Wells Fargo Bank, N.A. - Allspring Global Investments

Wells Fargo Bank, N.A. Collective Investment Funds

Annual Report 2021

Notice to Unitholders

Effective April 1, 2022, Wells Fargo resigned as Trustee and SEI Trust Company assumed trusteeship of the Trust which became Allspring Collective

Investment Trust. Each Fund also changed its name as follows:

Former Fund name New Fund name

Wells Fargo Bloomberg US Aggregate ex-Corporate Index CIT Allspring Bloomberg US Aggregate ex-Corporate Index CIT

Wells Fargo Emerging Markets Bond Index CIT Allspring Emerging Markets Bond Index CIT

Wells Fargo Factor Enhanced Emerging Markets Equity CIT Allspring Factor Enhanced Emerging Markets Equity CIT

Wells Fargo Factor Enhanced International Equity CIT Allspring Factor Enhanced International Equity CIT

Wells Fargo Factor Enhanced U.S. Large Cap Equity CIT Allspring Factor Enhanced U.S. Large Cap Equity CIT

Wells Fargo Factor Enhanced U.S. Low Volatility Equity CIT Allspring Factor Enhanced U.S. Low Volatility Equity CIT

Wells Fargo Factor Enhanced U.S. Small Cap Equity CIT Allspring Factor Enhanced U.S. Small Cap Equity CIT

Wells Fargo High Yield Corporate Bond Index CIT Allspring High Yield Corporate Bond Index CIT

Wells Fargo Investment Grade Corporate Bond Index CIT Allspring Investment Grade Corporate Bond Index CIT

Wells Fargo Strategic Retirement Bond Index CIT Allspring Strategic Retirement Bond Index CIT

Wells Fargo US REIT Index CIT Allspring US REIT Index CIT

Table of Contents

Page

Independent Auditors' Report 1

Financial Statements:Statements of Assets and Liabilities 3Statements of Operations 7Statements of Changes in Net Assets 11Financial Highlights 15

Schedule of Investments:Wells Fargo Bloomberg US Aggregate ex-Corporate Index CIT

(formerly, Wells Fargo Bloomberg Barclays US Aggregateex-Corporate Index CIT) 26

Wells Fargo Emerging Markets Bond Index CIT 99Wells Fargo Factor Enhanced Emerging Markets Equity CIT 120Wells Fargo Factor Enhanced International Equity CIT 143Wells Fargo Factor Enhanced U.S. Large Cap Equity CIT 161Wells Fargo Factor Enhanced U.S. Low Volatility Equity CIT 178Wells Fargo Factor Enhanced U.S. Small Cap Equity CIT 185Wells Fargo High Yield Corporate Bond Index CIT 220Wells Fargo Investment Grade Corporate Bond Index CIT 231Wells Fargo Strategic Retirement Bond Index CIT 274Wells Fargo US REIT Index CIT 279

Notes to Financial Statements 283

Appendix 294

Regulatory Statement 299

KPMG LLP Two Financial Center 60 South Street Boston, MA 02111

KPMG LLP, a Delaware limited liability partnership and a member firm of the KPMG global organization of independent member firms affiliated with KPMG International Limited, a private English company limited by guarantee.

Independent Auditors’ Report

The Unitholders of the Funds and Wells Fargo Bank, N.A. Wells Fargo Bloomberg US Aggregate ex-Corporate Index CIT (formerly, Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Index CIT), Wells Fargo Emerging Markets Bond Index CIT, Wells Fargo Factor Enhanced Emerging Markets Equity CIT, Wells Fargo Factor Enhanced International Equity CIT, Wells Fargo Factor Enhanced U.S. Large Cap Equity CIT, Wells Fargo Factor Enhanced U.S. Low Volatility Equity CIT, Wells Fargo Factor Enhanced U.S. Small Cap Equity CIT, Wells Fargo High Yield Corporate Bond Index CIT, Wells Fargo Investment Grade Corporate Bond Index CIT, Wells Fargo Strategic Retirement Bond Index CIT, Wells Fargo US REIT Index CIT:

Opinion

We have audited the financial statements of Wells Fargo Bloomberg US Aggregate ex-Corporate Index CIT (formerly, Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Index CIT), Wells Fargo Emerging Markets Bond Index CIT, Wells Fargo Factor Enhanced Emerging Markets Equity CIT, Wells Fargo Factor Enhanced International Equity CIT, Wells Fargo Factor Enhanced U.S. Large Cap Equity CIT, Wells Fargo Factor Enhanced U.S. Low Volatility Equity CIT, Wells Fargo Factor Enhanced U.S. Small Cap Equity CIT, Wells Fargo High Yield Corporate Bond Index CIT, Wells Fargo Investment Grade Corporate Bond Index CIT, Wells Fargo Strategic Retirement Bond Index CIT, Wells Fargo US REIT Index CIT (collectively, the Funds), eleven 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, 2021, 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.

In our opinion, the accompanying financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of December 31, 2021, 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.

Basis for Opinion

We conducted our audits in accordance with auditing standards generally accepted in the United States of America (GAAS). Our responsibilities under those standards are further described in the Auditors’ Responsibilities for the Audit of the Financial Statements section of our report. We are required to be independent of the Funds and to meet our other ethical responsibilities, in accordance with the relevant ethical requirements relating to our audits. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

Emphasis of Matter

As discussed in Note 10 to the financial statements, subsequent to the date of the financial statements and financial highlights, the Trustee received notification from the remaining unitholders of each Fund that they intend to redeem all of their units. As a result, liquidation became imminent as of that date. The Funds are expected to terminate on or around April 19, 2022. Our opinion is not modified with respect to this matter.

Responsibilities of Management for the Financial Statements

Management is responsible for the preparation and fair presentation of the financial statements and financial highlights in accordance with U.S. generally accepted accounting principles, and for 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.

2

In preparing the financial statements and financial highlights, management is required to evaluate whether there are conditions or events, considered in the aggregate, that raise substantial doubt about the Funds' ability to continue as a going concern for one year after the date that the financial statements and financial highlights are issued.

Auditors’ Responsibilities for the Audit of the Financial Statements

Our objectives are to obtain reasonable assurance about whether the financial statements and financial highlights as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditors’ report that includes our opinion. Reasonable assurance is a high level of assurance but is not absolute assurance and therefore is not a guarantee that an audit conducted in accordance with GAAS will always detect a material misstatement when it exists. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control. Misstatements are considered material if there is a substantial likelihood that, individually or in the aggregate, they would influence the judgment made by a reasonable user based on the financial statements and financial highlights.

In performing an audit in accordance with GAAS, we:

● Exercise professional judgment and maintain professional skepticism throughout the audit.

● Identify and assess the risks of material misstatement of the financial statements and financial highlights, whether due to fraud or error, and design and perform audit procedures responsive to those risks. Such procedures include examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights.

● Obtain an understanding of internal control relevant to the audit 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 Funds' internal control. Accordingly, no such opinion is expressed.

● Evaluate the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluate the overall presentation of the financial statements and financial highlights.

● Conclude whether, in our judgment, there are conditions or events, considered in the aggregate, that raise substantial doubt about the Funds' ability to continue as a going concern for a reasonable period of time.

We are required to communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit, significant audit findings, and certain internal control related matters that we identified during the audit.

Other Information Included in the Annual Report

Management is responsible for the other information included in the annual report. The other information comprises the Supplemental Schedule of Monthly Values and Regulatory Statement included in the annual report but does not include the financial statements and our auditors’ report thereon. Our opinion on the financial statements does not cover the other information, and we do not express an opinion or any form of assurance thereon.

In connection with our audit of the financial statements, our responsibility is to read the other information and consider whether a material inconsistency exists between the other information and the financial statements, or the other information otherwise appears to be materially misstated. If, based on the work performed, we conclude that an uncorrected material misstatement of the other information exists, we are required to describe it in our report.

Boston, Massachusetts April 13, 2022

Wells FargoBloomberg USAggregate ex-

Corporate IndexCIT

Wells FargoEmerging

Markets BondIndex CIT

Wells FargoFactor

EnhancedEmerging

Markets EquityCIT

Assets:Unaffiliated investments, at value (see cost below) $ 1,562,839,042 $ 131,560,514 $ 811,408,956

Affiliated investments, at value (see cost below) 377,564,535 2,549,036 26,336,286

Foreign currency, at value (see cost below) - - 6,247,486

Cash on deposit at broker 40 - 3,582,649

Receivable for investments sold 7,105,949 807,805 22,069,511

Receivable for Fund units sold 247,900 20,210 10,508

Receivable for interest and dividends 4,962,797 1,875,595 926,293

Total assets 1,952,720,263 136,813,160 870,581,689

Liabilities:Payable for investments purchased 360,988,886 2,289,851 32,511,700

Payable for Fund units repurchased 391,197 46,722 707,958

Due to custodian 132 - -

Variation margin payable on futures contracts - - 142,349

Trustee fee payable - - 48

Total liabilities 361,380,215 2,336,573 33,362,055

Net assets $ 1,591,340,048 $ 134,476,587 $ 837,219,634

Unaffiliated investments, at cost $ 1,554,411,551 $ 134,049,079 $ 777,216,045

Affiliated investments, at cost $ 377,564,535 $ 2,549,036 $ 26,336,286

Foreign currency, at cost $ - $ - $ 6,300,899

Computation of net asset value per unit:Class G

Net assets $ 1,591,338,537 $ 134,476,152 $ 837,083,087

Units outstanding 141,448,311 12,051,360 75,108,220

Net asset value per unit $ 11.25 $ 11.16 $ 11.15

Class TMRNet assets $ 1,511 $ 435 $ 136,547

Units outstanding 133 38 12,823

Net asset value per unit $ 11.36 $ 11.44(1) $ 10.65

(1) The difference between the recalculated and stated NAV is due to rounding.


Statements of Assets and LiabilitiesDecember 31, 2021

See accompanying notes to financial statements. 3

Wells FargoFactor

EnhancedInternationalEquity CIT

Wells FargoFactor Enhanced

U.S.Large CapEquity CIT

Wells Fargo FactorEnhanced

U.S. Low VolatilityEquity CIT

Assets:Unaffiliated investments, at value (see cost below) $ 2,726,881,187 $ 4,492,138,356 $ 82,562,436

Affiliated investments, at value (see cost below) 47,657,104 77,239,790 621,047

Foreign currency, at value (see cost below) 2,057,716 - -

Cash - 150,448 -

Cash on deposit at broker 9,787,400 13,500,000 320,000

Receivable for investments sold 79 - 1,690,962


Receivable for dividends 13,415,520 2,394,110 63,178

Other receivables - 138,321 -

Total assets 2,799,841,753 4,585,700,208 85,299,999

Liabilities:Payable for Fund units repurchased 1,088,601 - -

Variation margin payable on futures contracts 20,823 260,690 7,031

Trustee fee payable 159 237 -

Total liabilities 1,109,583 260,927 7,031

Net assets $ 2,798,732,170 $ 4,585,439,281 $ 85,292,968

Unaffiliated investments, at cost $ 2,430,878,566 $ 3,781,147,035 $ 71,092,711

Affiliated investments, at cost $ 47,657,104 $ 77,239,790 $ 621,047

Foreign currency, at cost $ 2,072,071 $ - $ -


Net assets $ 2,798,254,489 $ 4,584,320,356 $ 85,292,968



Class TMRNet assets $ 477,681 $ 1,118,925 $ -

Units outstanding 36,552 64,217 -

Net asset value per unit $ 13.07 $ 17.42 $ -




Wells FargoFactor

Enhanced U.S.Small CapEquity CIT

Wells FargoHigh Yield

Corporate BondIndex CIT

Wells FargoInvestment

GradeCorporate Bond

Index CITAssets:

Unaffiliated investments, at value (see cost below) $ 1,094,752,810 $ 131,058,347 $ 816,554,389

Affiliated investments, at value (see cost below) 48,341,945 1,381,962 21,746,245

Cash 7,883 - -

Cash on deposit at broker 3,594,662 - -

Receivable for investments sold - - 8,829,765


Receivable for interest and dividends 850,844 2,060,428 7,496,299

Total assets 1,147,579,049 134,522,458 854,755,195

Liabilities:Payable for investments purchased - - 26,282,589

Payable for Fund units repurchased - 24,563 210,957

Due to broker - - 4

Variation margin payable on futures contracts 93,318 - -

Trustee fee payable 67 30 -

Total liabilities 93,385 24,593 26,493,550

Net assets $ 1,147,485,664 $ 134,497,865 $ 828,261,645

Unaffiliated investments, at cost $ 970,770,743 $ 129,794,027 $ 803,361,181

Affiliated investments, at cost $ 48,341,945 $ 1,381,962 $ 21,746,245


Net assets $ 1,147,289,189 $ 134,393,248 $ 828,259,629



Class TMRNet assets $ 196,475 $ 104,617 $ 2,016

Units outstanding 13,153 8,535 165





Wells FargoStrategic

RetirementBond Index CIT

Wells Fargo USREIT Index CIT

Assets:Unaffiliated investments, at value (see cost below) $ 211,062,339 $ 95,561,193

Affiliated investments, at value (see cost below) 2,401,181 -

Cash - 5,664

Receivable for investments sold 997,085 135,311

Receivable for Fund units sold 89,351 15,780

Receivable for interest and dividends 638,928 297,192

Total assets 215,188,884 96,015,140

Liabilities:Payable for investments purchased 1,104,457 -

Payable for Fund units repurchased 15,304 52,572

Due to broker 40 -

Trustee fee payable 456 37

Total liabilities 1,120,257 52,609

Net assets $ 214,068,627 $ 95,962,531

Unaffiliated investments, at cost $ 206,303,924 $ 69,776,273

Affiliated investments, at cost $ 2,401,181 $ -


Net assets $ 212,578,575 $ 95,838,790

Units outstanding 18,295,420 5,874,585

Net asset value per unit $ 11.62 $ 16.31

Class TMRNet assets $ 1,490,052 $ 123,741

Units outstanding 128,022 7,435

Net asset value per unit $ 11.64 $ 16.64





Corporate IndexCIT

Wells FargoEmerging


Wells FargoFactor

EnhancedEmerging

Markets EquityCIT

Investment income:Interest income $ 13,910,900 $ 5,509,411 $ -

Dividend income (net of foreign taxes withheld, see below) - - 21,048,109

Dividend income from affiliated short-term investment 241,906 1,655 22,011

Total income 14,152,806 5,511,066 21,070,120

Expenses:Trustee fee - - 19

TMR Program fees 5 1 934

Total expenses 5 1 953

Net investment income (loss) 14,152,801 5,511,065 21,069,167

Realized and unrealized gain (loss) on investments:Net realized gain (loss) on:

Unaffiliated investments (net of foreign capital gains taxes

withheld, see below) 656,338 (1,185,921) 60,100,088

Futures contracts - - 711,699

Foreign currency transactions - - (4,190,611)

Net realized gain (loss) on investments 656,338 (1,185,921) 56,621,176

Net change in unrealized gain (loss) on:

Unaffiliated investments (37,264,450) (6,686,757) (89,642,988)

Futures contracts - - (109,964)

Foreign currency translation of other assets and liabilities - - (54,476)

Net change in unrealized gain (loss) on investments (37,264,450) (6,686,757) (89,807,428)

Net realized and unrealized gain (loss) on investments (36,608,112) (7,872,678) (33,186,252)

Net increase (decrease) in net assets resulting from operations $ (22,455,311) $ (2,361,613) $ (12,117,085)

Foreign taxes withheld on dividend income $ - $ - $ 2,451,308

Foreign capital gains taxes withheld on realized investments - - 2,057,103


Statements of OperationsYear ended December 31, 2021


Wells FargoFactor



U.S.Large Cap

Equity CIT(1)


U.S. Low VolatilityEquity CIT(2)

Investment income:Dividend income (net of foreign taxes withheld, see below) $ 79,664,995 $ 56,712,687 $ 1,210,173


Total income 79,728,238 56,804,190 1,212,283

Expenses:Trustee fee 61 126 -

TMR Program fees 2,921 5,452 -

Total expenses 2,982 5,578 -



Unaffiliated investments 205,088,382 75,010,155 3,362,286

Futures contracts 5,846,172 20,281,567(3) 486,920

Foreign currency transactions 39,990,515 - (3)

Net realized gain (loss) on investments 250,925,069 95,291,722 3,849,203


Unaffiliated investments (41,341,769) 710,991,321 11,469,725

Futures contracts 1,211,098 1,867,288 17,626

Foreign currency translation of other assets and liabilities (638,263) - (17)

Net change in unrealized gain (loss) on investments (40,768,934) 712,858,609 11,487,334

Net realized and unrealized gain (loss) on investments 210,156,135 808,150,331 15,336,537

Net increase from payment from affiliate - 4,071,739(3) -

Net increase (decrease) in net assets resulting from operations $ 289,881,391 $ 869,020,682 $ 16,548,820

Foreign taxes withheld on dividend income $ 2,700,768 $ 4,367 $ 56

(1) For the period from January 25, 2021 (commencement of operations) to December 31, 2021.(2) For the period from February 2, 2021 (commencement of operations) to December 31, 2021.(3) Includes a futures transaction loss of $3,394,889 in connection with a transfer in-kind transaction which was offset by a Payment from an

affiliate of the Trustee, and an additional $676,850 for opportunity costs on the loss of use of funds. See Note 8 in the Notes to Financial

Statements for additional information.




Wells FargoFactor





GradeCorporate Bond

Index CITInvestment income:

Interest income $ - $ 5,817,331 $ 19,337,694

Dividend income (net of foreign taxes withheld, see below) 12,604,051 - -


Total income 12,636,895 5,819,342 19,343,981

Expenses:Trustee fee 27 10 -

TMR Program fees 1,147 563 6

Total expenses 1,174 573 6



Unaffiliated investments 155,876,199 2,381,088 9,995,175

Futures contracts 4,991,892 - -



Unaffiliated investments 7,612,630 (2,979,712) (38,036,646)

Futures contracts 519,516 - -

Net change in unrealized gain (loss) on investments 8,132,146 (2,979,712) (38,036,646)

Net realized and unrealized gain (loss) on investments 169,000,237 (598,624) (28,041,471)

Net increase (decrease) in net assets resulting from operations $ 181,635,958 $ 5,220,145 $ (8,697,496)

Foreign taxes withheld on dividend income $ 8,527 $ - $ -







Investment income:Interest income $ 6,375,410 $ -

Dividend income - 2,849,456

Dividend income from affiliated short-term investment 2,467 355

Total income 6,377,877 2,849,811

Expenses:Trustee fee 148 13

TMR Program fees 4,249 606

Total expenses 4,397 619

Net investment income (loss) 6,373,480 2,849,192


Unaffiliated investments 850,978 10,785,243


Unaffiliated investments (3,274,092) 21,906,746

Net realized and unrealized gain (loss) on investments (2,423,114) 32,691,989

Net increase (decrease) in net assets resulting from operations $ 3,950,366 $ 35,541,181





Corporate IndexCIT

Wells FargoEmerging


Wells FargoFactor

EnhancedEmerging

Markets EquityCIT

Increase (decrease) in net assets from operations:Net investment income (loss) $ 14,152,801 $ 5,511,065 $ 21,069,167

Net realized gain (loss) on investments 656,338 (1,185,921) 56,621,176

Net change in unrealized gain (loss) on investments (37,264,450) (6,686,757) (89,807,428)

Net increase (decrease) in net assets resulting from operations (22,455,311) (2,361,613) (12,117,085)

Participating unitholders transactions:Proceeds for issuance of units

Class G 561,048,841 44,714,960 301,486,690

Class TMR 2,905 650 126,774

Payments for redemption of units

Class G (153,548,570) (9,821,841) (102,594,716)

Class TMR (3,392) (751) (404,230)

Change in net assets derived from unit transactions 407,499,784 34,893,018 198,614,518

Total increase (decrease) in net assets 385,044,473 32,531,405 186,497,433

Net assets:Beginning of year 1,206,295,575 101,945,182 650,722,201

End of year $ 1,591,340,048 $ 134,476,587 $ 837,219,634

Participating unitholders transactions:Issuance of units

Class G 49,689,298 3,988,758 26,029,910

Class TMR 255 56 11,267

Redemption of units

Class G (13,619,595) (875,613) (8,717,695)

Class TMR (299) (65) (36,717)


Statements of Changes in Net AssetsYear ended December 31, 2021


Wells FargoFactor



U.S.Large Cap

Equity CIT(1)


U.S. Low VolatilityEquity CIT(2)

Increase (decrease) in net assets from operations:Net investment income (loss) $ 79,725,256 $ 56,798,612 $ 1,212,283

Net realized gain (loss) on investments 250,925,069 95,291,722(3) 3,849,203

Net change in unrealized gain (loss) on investments (40,768,934) 712,858,609 11,487,334

Net increase from payment from affiliate - 4,071,739(3) -

Net increase (decrease) in net assets resulting from operations 289,881,391 869,020,682 16,548,820


Class G 619,562,600 556,387,418 87,063,137

Class TMR 288,279 547,283 -

Proceeds for issuance of units on transfer in-kind

Class G - 3,708,829,644 -

Class TMR - 2,387,693 -


Class G (271,450,714) (549,382,873) (18,318,989)

Class TMR (1,179,557) (2,350,566) -

Change in net assets derived from unit transactions 347,220,608 3,716,418,599 68,744,148

Total increase (decrease) in net assets 637,101,999 4,585,439,281 85,292,968

Net assets:Beginning of year 2,161,630,171 - -

End of year $ 2,798,732,170 $ 4,585,439,281 $ 85,292,968


Class G 47,937,489 35,271,029 8,615,581

Class TMR 22,814 35,159 -

Issuance of units on transfer in-kind

Class G - 252,523,415 -

Class TMR - 168,050 -

Redemption of units

Class G (21,042,634) (33,838,832) (1,639,558)

Class TMR (90,094) (138,992) -

(1) For the period from January 25, 2021 (commencement of operations) to December 31, 2021.(2) For the period from February 2, 2021 (commencement of operations) to December 31, 2021.(3) Includes a futures transaction loss of $3,394,889 in connection with a transfer in-kind transaction which was offset by a Payment from an

affiliate of the Trustee, and an additional $676,850 for opportunity costs on the loss of use of funds. See Note 8 in the Notes to Financial

Statements for additional information.




Wells FargoFactor





GradeCorporate Bond

Index CITIncrease (decrease) in net assets from operations:

Net investment income (loss) $ 12,635,721 $ 5,818,769 $ 19,343,975


Net change in unrealized gain (loss) on investments 8,132,146 (2,979,712) (38,036,646)

Net increase (decrease) in net assets resulting from operations 181,635,958 5,220,145 (8,697,496)


Class G 307,982,873 40,229,791 289,465,404

Class TMR 390,657 37,132 3,774


Class G (235,299,095) (12,981,523) (80,726,897)

Class TMR (620,199) (249,830) (4,152)

Change in net assets derived from unit transactions 72,454,236 27,035,570 208,738,129

Total increase (decrease) in net assets 254,090,194 32,255,715 200,040,633

Net assets:Beginning of year 893,395,470 102,242,150 628,221,012

End of year $ 1,147,485,664 $ 134,497,865 $ 828,261,645


Class G 20,326,396 3,360,079 24,309,666

Class TMR 26,951 3,100 309

Redemption of units

Class G (15,700,005) (1,075,941) (6,752,686)

Class TMR (39,912) (20,674) (341)







Increase (decrease) in net assets from operations:Net investment income (loss) $ 6,373,480 $ 2,849,192

Net realized gain (loss) on investments 850,978 10,785,243

Net change in unrealized gain (loss) on investments (3,274,092) 21,906,746

Net increase (decrease) in net assets resulting from operations 3,950,366 35,541,181


Class G 75,985,201 25,200,357

Class TMR 3,499,614 38,452


Class G (24,742,247) (37,049,190)

Class TMR (2,052,064) (256,581)

Change in net assets derived from unit transactions 52,690,504 (12,066,962)

Total increase (decrease) in net assets 56,640,870 23,474,219

Net assets:Beginning of year 157,427,757 72,488,312

End of year $ 214,068,627 $ 95,962,531


Class G 6,631,024 2,018,317

Class TMR 303,840 2,790

Redemption of units

Class G (2,149,349) (2,662,877)

Class TMR (176,091) (16,754)




Class G Class TMRPer unit operating performance:

Net asset value, beginning of year $ 11.45 $ 11.59

Income from investment operations:

Net investment income (loss)(1) 0.11 0.08

Net realized and unrealized gain (loss) on investments (0.31) (0.31)

Total from investment operations (0.20) (0.23)

Net asset value, end of year $ 11.25 $ 11.36

Total return (1.72)% (1.98)%

Net assets, end of year $ 1,591,338,537 $ 1,511

Ratio of expenses to average net assets 0.00% 0.24%

Ratio of net investment income (loss) to average net assets 0.96% 0.70%

Portfolio turnover rate 23% 23%

(1) Based on average number of units outstanding.


Wells Fargo Bloomberg US Aggregate ex-Corporate Index CITFinancial Highlights

Year ended December 31, 2021

15








Total return (2.17)% (2.16)%

Net assets, end of year $ 134,476,152 $ 435






Wells Fargo Emerging Markets Bond Index CITFinancial Highlights










Total return (0.95)% (1.19)%

Net assets, end of year $ 837,083,087 $ 136,547






Wells Fargo Factor Enhanced Emerging Markets Equity CITFinancial Highlights







Net realized and unrealized gain (loss) on investments 1.11 1.06

Total from investment operations 1.52 1.44


Total return 12.64% 12.37%







Wells Fargo Factor Enhanced International Equity CITFinancial Highlights



Class G(1) Class TMR(1)

Per unit operating performance:Net asset value, beginning of period $ 14.69 $ 14.21




Payment from affiliate 0.02 0.02


Net asset value, end of period $ 18.05 $ 17.42

Total return* 22.91%(3) 22.63%(3)

Net assets, end of year $ 4,584,320,356 $ 1,118,925

Ratio of expenses to average net assets 0.00%(4) 0.24%(4)

Ratio of net investment income (loss) to average net assets 1.45%(4) 1.21%(4)


* The total return includes a reimbursement by an affiliate of the Trustee for a realized investment loss of $3,394,889 and an additional

$676,850 for opportunity cost. Had the affiliate not reimbursed the Fund, the total return would have been 22.83% for Class G and 22.39%

for Class TMR. See Note 8 in the Notes to Financial Statements for additional information.(1) For the period from January 25, 2021 (commencement of operations) to December 31, 2021.(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.


Wells Fargo Factor Enhanced U.S. Large Cap Equity CITFinancial Highlights



Class G(1)

Per unit operating performance:Net asset value, beginning of period $ 10.00


Net investment income (loss)(2) 0.17

Net realized and unrealized gain (loss) on investments 2.06

Total from investment operations 2.23

Net asset value, end of period $ 12.23

Total return 22.26%(3)

Net assets, end of year $ 85,292,968

Ratio of expenses to average net assets 0.00%(4)

Ratio of net investment income (loss) to average net assets 1.63%(4)

Portfolio turnover rate 47%

(1) For the period from February 2, 2021 (commencement of operations) to December 31, 2021.(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.


Wells Fargo Factor Enhanced U.S. Low Volatility Equity CITFinancial Highlights

Year ended December 31, 2021(1)
















Wells Fargo Factor Enhanced U.S. Small Cap Equity CITFinancial Highlights

















Wells Fargo High Yield Corporate Bond Index CITFinancial Highlights










Total return (1.55)% (1.76)%







Wells Fargo Investment Grade Corporate Bond Index CITFinancial Highlights











Net assets, end of year $ 212,578,575 $ 1,490,052






Wells Fargo Strategic Retirement Bond Index CITFinancial Highlights

















Wells Fargo US REIT Index CITFinancial Highlights



ParValue

InterestRate

MaturityDate

S&P Rating(Unaudited) Cost

FairValue

Corporate bonds: 0.68%

Energy: 0.11%

Equinor ASA 450,000 7.75% 6/15/2023 AA- $ 497,850 $ 493,334

Equinor ASA 180,000 3.25 11/10/2024 AA- 182,412 189,577

Equinor ASA 80,000 3.13 4/06/2030 AA- 85,330 85,946

Equinor ASA 620,000 3.95 5/15/2043 AA- 666,266 720,728

Equinor ASA 30,000 4.80 11/08/2043 AA- 34,999 38,831

Equinor ASA 130,000 3.25 11/18/2049 AA- 135,094 137,691

Equinor ASA 50,000 3.70 4/06/2050 AA- 56,409 57,234

Petroleos Mexicanos 38,850 2.38 4/15/2025 38,840 39,724

Total Energy 1,697,200 1,763,065

Financial: 0.57%

Industrial & Commercial Bank of

China Ltd/New York NY 310,000 2.96 11/08/2022 A 307,948 314,818

Kreditanstalt fuer Wiederaufbau 360,000 2.13 1/17/2023 AAA 359,992 366,076

Kreditanstalt fuer Wiederaufbau 2,750,000 2.63 2/28/2024 AAA 2,858,215 2,856,810







Kreditanstalt fuer Wiederaufbau(1) 280,000 1.84 4/18/2036 AAA 230,148 215,836

Kreditanstalt fuer Wiederaufbau(1) 220,000 1.82 6/29/2037 AAA 160,026 166,447

Landwirtschaftliche Rentenbank 530,000 2.38 6/10/2025 542,378 551,983

Landwirtschaftliche Rentenbank 790,000 0.88 3/30/2026 AAA 784,089 775,889

Landwirtschaftliche Rentenbank 50,000 1.75 7/27/2026 AAA 48,520 50,865

Oesterreichische Kontrollbank AG 920,000 1.50 2/12/2025 AA+ 950,276 930,586

Oesterreichische Kontrollbank AG 140,000 0.38 9/17/2025 AA+ 139,144 135,675

Private Export Funding Corp 99,000 2.05 11/15/2022 NR 98,925 100,350

Private Export Funding Corp 79,000 2.45 7/15/2024 NR 79,167 81,713

Total Financial 9,078,258 9,038,030

Total Corporate bonds 10,775,458 10,801,095

Foreign government bonds: 4.08%

Canada: 0.41%

Canada Government International

Bond 210,000 1.63 1/22/2025 AAA 218,150 213,414

Export Development Canada 730,000 1.38 2/24/2023 AAA 739,600 736,792

Province of Alberta Canada 130,000 3.30 3/15/2028 128,582 142,407

Province of Alberta Canada 750,000 1.88 11/13/2024 778,986 766,864

Province of Alberta Canada 70,000 1.30 7/22/2030 A 67,448 66,682

Province of British Columbia

Canada 130,000 7.25 9/01/2036 AA+ 193,726 216,541

Province of British Columbia

Canada 380,000 1.75 9/27/2024 AA+ 395,489 387,283

Province of Manitoba Canada 230,000 2.60 4/16/2024 A+ 241,378 238,372

Province of Ontario Canada 110,000 2.30 6/15/2026 A+ 110,305 114,087





Wells Fargo Bloomberg US Aggregate ex-Corporate Index CITSchedule of Investments

December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue

Foreign government bonds (Continued)

Province of Quebec Canada 500,000 7.50% 9/15/2029 AA- $ 708,432 $ 698,179

Province of Quebec Canada 300,000 2.63 2/13/2023 AA- 302,853 306,919






Total Canada 6,588,949 6,600,801

Chile: 0.10%

Chile Government International

Bond 305,000 3.13 1/21/2026 A 309,216 321,016


Bond 245,000 3.24 2/06/2028 A 246,478 258,171


Bond 295,000 3.10 1/22/2061 A 284,594 272,559


Bond 450,000 3.10 5/07/2041 A 463,837 440,325


Bond 230,000 3.86 6/21/2047 A 278,500 255,015

Total Chile 1,582,625 1,547,086

Hungary: 0.03%

Hungary Government International

Bond 106,000 5.75 11/22/2023 BBB 112,451 114,809


Bond 292,000 5.38 3/25/2024 BBB 317,365 317,138

Total Hungary 429,816 431,947

Indonesia: 0.12%

Indonesia Government

International Bond 220,000 4.75 2/11/2029 BBB 238,487 256,020




International Bond 245,000 4.35 1/11/2048 248,977 280,237





Total Indonesia 1,825,769 1,882,623

Israel: 0.08%

Israel Government AID Bond 30,000 5.50 9/18/2033 AA+ 38,287 41,463

Israel Government AID Bond 110,000 5.50 12/04/2023 AA+ 114,740 119,828

Israel Government International

Bond 300,000 3.15 6/30/2023 AA- 312,460 309,949

Israel Government International

Bond 340,000 4.13 1/17/2048 AA- 363,041 416,119

State of Israel 385,000 3.38 1/15/2050 AA- 395,520 415,822

Total Israel 1,224,048 1,303,181

Italy: 0.09%

Republic of Italy Government

International Bond 620,000 5.38 6/15/2033 NR 720,012 762,968



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Republic of Italy Government

International Bond 680,000 2.38% 10/17/2024 $ 706,720 $ 696,596

Total Italy 1,426,732 1,459,564

Japan: 0.24%

Japan Bank for International

Cooperation 530,000 2.25 11/04/2026 A+ 522,477 547,589


Cooperation 640,000 2.38 11/16/2022 A+ 651,068 650,006


Cooperation 210,000 2.75 11/16/2027 A+ 201,819 222,566


Cooperation 500,000 2.50 5/23/2024 A+ 523,059 517,714


Cooperation 200,000 1.88 7/21/2026 A+ 207,843 203,791


Cooperation 1,510,000 3.50 10/31/2028 A+ 1,675,163 1,690,778

Total Japan 3,781,429 3,832,444

Korea: 0.20%

Export-Import Bank of Korea 270,000 2.88 1/21/2025 AA 285,587 282,296




Korea Development Bank 210,000 2.75 3/19/2023 AA 209,680 214,035



Korea International Bond 500,000 4.13 6/10/2044 AA 645,508 649,905

Total Korea 3,220,305 3,227,572

Mexico: 0.34%

Mexico Government International

Bond 870,000 6.75 9/27/2034 BBB 1,122,358 1,160,371


Bond 158,000 5.75 10/12/2110 BBB 165,624 181,227


Bond 40,000 4.75 3/08/2044 BBB 38,639 43,550


Bond 58,000 4.00 10/02/2023 BBB 59,828 61,046


Bond 475,000 4.35 1/15/2047 BBB 486,122 492,936


Bond 705,000 3.75 1/11/2028 BBB 774,379 756,881


Bond 475,000 4.60 1/23/2046 BBB 469,537 508,017


Bond 495,000 4.50 4/22/2029 BBB 563,170 550,767


Bond 600,000 4.50 1/31/2050 BBB 680,117 636,000


Bond 385,000 3.25 4/16/2030 BBB 380,029 394,194


Bond 155,000 8.30 8/15/2031 BBB 214,969 225,719



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Bond 155,000 7.50% 4/08/2033 BBB $ 200,645 $ 216,808


Bond 120,000 5.55 1/21/2045 BBB 143,754 143,551

Total Mexico 5,299,171 5,371,067

Multi-National: 1.78%

African Development Bank 670,000 0.88 3/23/2026 AAA 671,745 658,998

African Development Bank 350,000 3.00 9/20/2023 AAA 353,773 363,455

Asian Development Bank 410,000 2.50 11/02/2027 AAA 453,733 434,504


Asian Development Bank 1,600,000 0.63 4/29/2025 AAA 1,596,233 1,575,237






Asian Development Bank 820,000 5.82 6/16/2028 AAA 1,021,034 1,042,548


Asian Infrastructure Investment

Bank 790,000 0.50 5/28/2025 AAA 790,852 773,115

Asian Infrastructure Investment

Bank 100,000 2.25 5/16/2024 AAA 100,833 103,145

Corp Andina de Fomento 90,000 2.75 1/06/2023 A+ 90,046 91,641

European Bank for Reconstruction

& Development 820,000 0.50 5/19/2025 AAA 824,870 801,905

European Investment Bank 180,000 4.88 2/15/2036 AAA 248,675 247,686


European Investment Bank 190,000 2.88 8/15/2023 192,627 196,649


European Investment Bank 1,160,000 1.63 3/14/2025 AAA 1,203,591 1,178,005




European Investment Bank 1,430,000 1.88 2/10/2025 AAA 1,485,456 1,466,931

Inter-American Development

Bank 30,000 3.88 10/28/2041 41,195 38,255


Bank 10,000 3.20 8/07/2042 AAA 12,272 11,599


Bank 170,000 3.00 2/21/2024 AAA 172,437 177,959


Bank 90,000 2.00 6/02/2026 AAA 90,831 92,792


Bank 410,000 2.63 1/16/2024 AAA 410,063 425,285


Bank 1,320,000 2.25 6/18/2029 AAA 1,385,371 1,387,047


Bank 1,400,000 0.50 5/24/2023 AAA 1,405,005 1,398,492



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Bank 320,000 0.25% 11/15/2023 AAA $ 319,989 $ 317,124


Bank 10,000 2.38 7/07/2027 10,357 10,493


Bank 10,000 3.13 9/18/2028 AAA 11,440 11,042


Bank 760,000 1.13 7/20/2028 AAA 749,130 742,769


Bank 600,000 7.00 6/15/2025 AAA 728,971 719,234

International Bank for

Reconstruction & Development 620,000 2.50 11/22/2027 685,516 654,899


Reconstruction & Development 10,000 4.75 2/15/2035 AAA 12,773 13,340




Reconstruction & Development 1,590,000 1.63 1/15/2025 AAA 1,638,875 1,617,119






Reconstruction & Development 1,040,000 0.75 11/24/2027 AAA 1,039,992 997,503











International Finance Corp 950,000 1.38 10/16/2024 AAA 972,301 959,430

Nordic Investment Bank 690,000 0.38 9/11/2025 AAA 675,389 669,617

Total Multi-National 28,554,753 28,326,322

Panama: 0.15%

Panama Government International

Bond 55,000 8.88 9/30/2027 BBB 67,886 74,003


Bond 545,000 9.38 4/01/2029 BBB 776,574 780,718


Bond 110,000 7.13 1/29/2026 BBB 126,927 131,726


Bond 310,000 4.50 5/15/2047 BBB 369,986 341,775


Bond 200,000 4.00 9/22/2024 BBB 201,693 212,302


Bond 275,000 3.16 1/23/2030 BBB 282,605 284,628



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Bond 275,000 3.87% 7/23/2060 BBB $ 345,442 $ 275,000


Bond 295,000 4.50 4/01/2056 BBB 360,407 324,945

Total Panama 2,531,520 2,425,097

Peru: 0.15%

Peruvian Government

International Bond 95,000 8.75 11/21/2033 BBB+ 139,179 147,963

Peruvian Government


Peruvian Government


Peruvian Government


Peruvian Government


Peruvian Government


Peruvian Government


Peruvian Government


Total Peru 2,289,519 2,305,338

Philippines: 0.20%

Philippine Government


















Total Philippines 3,149,661 3,155,481

Poland: 0.02%

Republic of Poland Government

International Bond 275,000 3.25 4/06/2026 A- 292,851 294,942

Total Poland 292,851 294,942

Sweden: 0.07%

Svensk Exportkredit AB 210,000 2.88 3/14/2023 AA+ 211,776 215,593



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Svensk Exportkredit AB 970,000 0.38% 7/30/2024 AA+ $ 970,571 $ 954,342

Total Sweden 1,182,347 1,169,935

Uruguay: 0.10%

Uruguay Government International

Bond 25,000 4.38 10/27/2027 BBB 25,132 28,094


Bond 100,000 7.63 3/21/2036 BBB 130,884 151,001


Bond 780,000 5.10 6/18/2050 BBB 964,649 1,029,998


Bond 220,000 4.38 1/23/2031 BBB 265,225 253,277


Bond 70,000 4.50 8/14/2024 BBB 72,818 74,113


Bond 30,000 4.13 11/20/2045 BBB 31,957 35,513

Total Uruguay 1,490,665 1,571,996

Total Foreign government bonds 64,870,160 64,905,396

Government/Agency bonds: 90.65%

Federal Agencies: 38.64%

Fannie Mae Single Family 15 yr

Pool #AH1527 13,773 3.50 12/01/2025 12,884 14,499


Pool #AJ6933 72,189 3.00 11/01/2026 69,463 75,711


Pool #AL3396 150,481 2.50 3/01/2028 148,690 156,621


Pool #AO7977 8,884 3.00 6/01/2027 8,597 9,319


Pool #AQ0420 182,262 2.50 10/01/2027 180,280 189,299


Pool #AS4877 215,297 3.00 4/01/2030 210,916 226,392


Pool #AU1363 405,049 2.50 7/01/2028 401,833 420,661


Pool #AW7396 81,229 3.50 1/01/2027 76,321 85,545


Pool #931409 4,271 4.00 6/01/2024 3,799 4,481


Pool #931743 16,799 4.50 8/01/2024 15,266 17,461


Pool #934852 175 4.00 5/01/2024 158 184


Pool #972746 1,012 4.50 2/01/2023 756 1,049


Pool #995901 4,031 4.50 7/01/2024 3,554 4,192


Pool #AB6290 127,706 3.00 9/01/2027 123,726 133,768


Pool #AB6291 275,299 3.00 9/01/2027 267,667 288,598



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue

Government/Agency bonds (Continued)


Pool #MA0678 1,594 4.00% 3/01/2026 $ 1,471 $ 1,679


Pool #MA3930 3,365,307 2.50 2/01/2035 3,526,225 3,485,226


Pool #257233 113 4.50 6/01/2023 88 117


Pool #AH1907 822 4.00 3/01/2026 679 862


Pool #AH3830 16,586 3.50 2/01/2026 15,451 17,466


Pool #AH5620 1,291 4.00 2/01/2026 1,179 1,359


Pool #AH6301 12,825 4.00 5/01/2026 11,955 13,489


Pool #AI7225 517 4.00 7/01/2026 491 543


Pool #AK3264 49,964 3.00 2/01/2027 48,167 52,398


Pool #AL0788 731 4.00 5/01/2026 663 767


Pool #AL3169 55,665 3.00 1/01/2028 54,217 58,399


Pool #AL9867 779,096 3.00 2/01/2032 771,520 818,288


Pool #AO9736 242,044 3.00 7/01/2027 237,302 253,919


Pool #AP3164 17,465 3.00 8/01/2027 17,285 18,260


Pool #AS3117 119,124 3.00 8/01/2029 116,456 124,959


Pool #AS5729 365,774 3.00 9/01/2030 359,164 384,608


Pool #AS8511 37,380 2.50 12/01/2031 35,842 38,826


Pool #AU1661 372,773 2.50 7/01/2028 369,520 387,128


Pool #AW8351 116,368 3.00 9/01/2029 113,532 122,077


Pool #CA5025 1,729,224 2.50 1/01/2035 1,761,910 1,800,311


Pool #FM1077 1,813,107 3.50 4/01/2034 1,869,931 1,915,644


Pool #FM1155 913,980 2.50 6/01/2032 926,310 946,648


Pool #FM3654 1,410,385 3.00 6/01/2035 1,502,824 1,487,956


Pool #890169 2,825 5.00 3/01/2024 2,253 2,911


Pool #890305 1,135 4.50 5/01/2025 1,011 1,179



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #929674 13,706 5.00% 6/01/2023 $ 12,262 $ 14,129


Pool #930627 1,325 4.00 2/01/2024 1,197 1,390


Pool #930667 209 4.50 3/01/2024 184 217


Pool #930851 146 4.00 4/01/2024 118 153


Pool #932557 391 4.00 2/01/2025 352 411


Pool #933883 443 4.50 4/01/2023 343 460


Pool #944980 15 5.50 7/01/2022 6 15


Pool #963318 1,030 5.00 5/01/2023 853 1,062


Pool #966689 2,533 5.00 6/01/2023 1,618 2,611


Pool #975365 415 5.00 6/01/2023 317 428


Pool #976421 250 4.50 3/01/2023 201 259


Pool #988941 3,929 5.00 9/01/2023 3,083 4,051


Pool #993244 515 4.00 7/01/2024 484 541


Pool #993566 3,681 4.00 4/01/2024 3,224 3,861


Pool #995755 359 4.50 5/01/2024 313 372


Pool #995880 10,585 4.00 6/01/2024 9,397 11,101


Pool #AA4538 237 4.00 4/01/2024 210 248


Pool #AA4746 12,884 3.50 11/01/2025 11,939 13,664


Pool #AA5533 125 4.00 4/01/2024 107 131


Pool #AA5564 231 4.00 6/01/2024 209 243


Pool #AA7693 304 4.00 7/01/2024 265 319


Pool #AA7803 7,747 4.50 7/01/2024 7,055 8,045


Pool #AA9781 1,625 4.50 7/01/2024 1,444 1,691


Pool #AA9274 804 4.00 8/01/2024 732 844


Pool #AA9584 27,747 4.00 4/01/2024 26,705 29,109



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #AA9747 903 4.50% 7/01/2024 $ 784 $ 939


Pool #AB1365 19,583 3.50 8/01/2025 17,970 20,615


Pool #AB1460 463 4.00 9/01/2025 423 486


Pool #AB6373 88,608 3.00 10/01/2027 85,866 92,953


Pool #AC8007 4,329 4.00 1/01/2025 3,858 4,545


Pool #AC7962 6,428 4.50 1/01/2025 5,849 6,699


Pool #MA2903 655,895 3.00 2/01/2032 649,800 689,335


Pool #MA3090 149,614 3.00 8/01/2032 148,512 157,683


Pool #MA3246 852,722 2.50 1/01/2033 816,615 883,977


Pool #MA3865 1,067,796 3.00 12/01/2034 1,093,417 1,118,381


Pool #AD1612 496 4.50 2/01/2025 438 516


Pool #AD1613 1,797 4.50 2/01/2025 1,601 1,872


Pool #AD2089 527 4.50 2/01/2025 483 548


Pool #AD3600 1,615 4.50 3/01/2025 1,337 1,677


Pool #AD3828 378 4.00 4/01/2025 340 397


Pool #AD4268 916 4.50 3/01/2025 847 964


Pool #AD5634 6,060 4.00 5/01/2025 5,533 6,364


Pool #AD6018 568 4.00 7/01/2025 519 597


Pool #AD7073 494 4.00 6/01/2025 447 519


Pool #AD7150 272 4.00 7/01/2025 250 286


Pool #AD6392 10,716 4.50 5/01/2025 9,793 11,168


Pool #AD8162 6,837 4.00 8/01/2025 6,357 7,182


Pool #AD8562 239 4.00 8/01/2025 212 251


Pool #AD9083 611 4.00 7/01/2025 584 642


Pool #AE0851 35,934 4.00 1/01/2026 33,218 37,753



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #AE0988 3,453 4.00% 9/01/2025 $ 3,098 $ 3,622


Pool #AE1173 3,273 4.00 7/01/2025 2,947 3,438


Pool #AE2977 1,652 4.00 8/01/2025 1,535 1,735


Pool #AE3962 48 4.00 9/01/2025 6 51


Pool #AE6406 429 4.00 10/01/2025 374 450


Pool #AE8226 13,351 3.50 12/01/2025 12,431 14,052


Pool #MA3955 1,543,901 2.50 3/01/2035 1,620,744 1,595,891


Pool #MA4013 3,191,777 2.50 5/01/2035 3,332,725 3,299,566


TBA(2) 15,835,000 1.50 1/19/2037 15,890,797 15,877,375


TBA(2) 24,305,000 2.00 1/16/2036 24,892,484 24,886,522


Pool #MA2550 178,507 3.00 3/01/2036 177,930 188,419


Pool #MA2909 1,404,061 3.50 2/01/2037 1,376,782 1,501,588


Pool #MA4232 3,649,592 2.00 1/01/2041 3,776,724 3,708,290


Pool #254689 228 6.00 3/01/2023 81 250


Pool #254739 548 6.00 4/01/2023 145 601


Pool #254798 532 6.00 6/01/2023 254 584


Pool #254513 97 6.00 10/01/2022 8 107


Pool #254635 44 6.00 2/01/2023 17 48


Pool #254916 3,647 5.50 9/01/2023 2,514 3,988


Pool #256640 9,231 5.50 3/01/2027 8,328 10,109


Pool #257202 653 4.50 4/01/2028 589 698


Pool #AA4298 34,552 4.50 3/01/2029 32,732 36,990


Pool #MA2473 295,883 3.50 12/01/2035 286,974 316,439


Pool #MA3214 408,210 3.00 12/01/2037 397,602 430,136


Pool #MA3800 795,413 3.00 10/01/2039 812,027 826,233



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #MA3890 907,861 3.00% 1/01/2040 $ 934,173 $ 945,914


Pool #MA4129 1,650,471 2.50 9/01/2040 1,731,191 1,699,159


Pool #MA4407 2,062,703 2.00 8/01/2041 2,105,212 2,078,049


Pool #MA4286 2,293,301 1.50 3/01/2041 2,331,069 2,251,878

Fannie Mae Single Family 20 yr 4,200,000 2.00 2/01/2042 4,249,219 4,250,695


Pool #735925 2,215 5.00 10/01/2035 2,157 2,503


Pool #190396 24,276 4.50 6/01/2039 24,008 26,819


Pool #AH3782 97,338 4.00 2/01/2041 97,796 106,834


Pool #AH6578 159,411 4.50 2/01/2041 157,284 176,201


Pool #AL4338 232,612 4.00 10/01/2043 233,483 255,481


Pool #AP2152 364,137 3.50 8/01/2042 368,425 393,299


Pool #AP4089 250,018 3.50 9/01/2042 251,988 269,840


Pool #AP8904 319,392 3.50 10/01/2042 321,327 343,560


Pool #AR2462 219,926 3.00 1/01/2043 220,409 232,149


Pool #AS0427 160,447 4.50 9/01/2043 158,921 177,571


Pool #AS2959 92,148 4.00 7/01/2044 90,895 100,664


Pool #AS3292 253,543 4.00 9/01/2044 250,542 276,922


Pool #AS5629 431,563 3.50 8/01/2045 433,670 461,852


Pool #AS5696 453,737 3.50 8/01/2045 453,582 484,432


Pool #AS5782 245,855 4.00 9/01/2045 240,493 267,545


Pool #AS6302 258,004 3.50 12/01/2045 258,485 276,408


Pool #AS8483 793,361 3.00 12/01/2046 793,140 835,541


Pool #AT7721 464,660 3.00 6/01/2043 465,714 489,941


Pool #AU4346 455,525 3.50 7/01/2043 457,001 488,569


Pool #AX3162 200,263 4.00 10/01/2044 199,085 216,031



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #AX5316 94,781 4.50% 1/01/2042 $ 95,030 $ 104,756


Pool #AX7677 350,274 3.50 1/01/2045 350,949 376,007


Pool #AZ2936 510,965 3.00 9/01/2045 510,992 536,813


Pool #735382 13,710 5.00 4/01/2035 13,141 15,478


Pool #735580 5,592 5.00 6/01/2035 5,384 6,309


Pool #745275 13,620 5.00 2/01/2036 13,232 15,398


Pool #745418 109,299 5.50 4/01/2036 105,696 123,213


Pool #770332 17,250 5.00 4/01/2034 16,472 19,490


Pool #880627 7,488 5.50 4/01/2036 7,200 8,525


Pool #BA3989 283,882 3.50 2/01/2046 284,951 302,896


Pool #BC1158 6,340,464 3.50 2/01/2046 6,799,929 6,766,046


Pool #929195 40,762 6.50 3/01/2038 40,081 46,986


Pool #932385 43,587 4.50 1/01/2040 43,532 48,304


Pool #932491 25,168 4.50 2/01/2040 24,896 27,843


Pool #954864 561 6.00 11/01/2037 557 626


Pool #971036 14,211 4.50 2/01/2039 14,039 15,712


Pool #973164 769 5.50 2/01/2038 743 842


Pool #974571 15,271 5.00 11/01/2036 14,774 17,259


Pool #995586 8,166 4.00 3/01/2039 8,240 8,956


Pool #AA0777 63,417 4.00 4/01/2039 62,726 69,363


Pool #AA4463 15,314 4.50 4/01/2039 15,189 16,926


Pool #AB1379 229,049 4.50 8/01/2040 221,630 253,121


Pool #AB1810 16,348 4.00 11/01/2040 16,383 17,803


Pool #AB1953 77,833 4.00 12/01/2040 78,806 85,482


Pool #AB2277 11,631 4.50 2/01/2041 11,140 12,714



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #AB3576 33,766 4.00% 9/01/2041 $ 34,059 $ 37,076


Pool #AB7076 296,500 3.00 11/01/2042 297,140 313,111


Pool #AB6317 398,924 3.50 9/01/2042 401,808 430,850


Pool #AB6387 393,358 3.00 10/01/2042 394,346 415,615


Pool #AB7273 513,532 3.00 12/01/2042 514,659 542,605


Pool #AB8826 262,733 3.00 3/01/2043 263,216 277,201


Pool #AC1258 4,265 4.00 8/01/2039 4,295 4,688


Pool #AC1605 65,605 4.00 9/01/2039 66,198 72,106


Pool #AC1616 5,721 5.00 8/01/2039 5,615 6,480


Pool #AC5843 16,337 4.50 5/01/2040 16,497 18,006


Pool #AC8563 26,656 4.00 1/01/2040 26,939 29,168


Pool #MA2522 408,518 3.50 2/01/2046 410,343 436,799


Pool #MA3121 463,220 4.00 9/01/2047 463,299 495,996


Pool #MA3444 17,575 4.50 8/01/2048 18,205 18,823


Pool #AD7134 34,701 5.00 7/01/2040 34,422 39,360


Pool #AD7948 15,618 4.50 6/01/2040 15,655 17,262


Pool #AD9104 2,892 4.00 8/01/2040 2,919 3,174


Pool #AE0828 40,743 3.50 2/01/2041 41,146 43,964


Pool #AE0215 6,569 4.00 12/01/2039 6,621 7,205


Pool #AE0349 104,189 6.00 4/01/2040 99,053 120,842


Pool #AE0481 192,082 5.00 9/01/2040 189,656 216,341


Pool #AE3349 7,248 3.50 10/01/2040 7,261 7,821


Pool #AE4628 23,947 4.50 10/01/2040 23,744 26,435


Pool #AE6086 28,719 4.50 10/01/2040 28,030 31,514


Pool #AL6302 191,539 4.50 10/01/2041 190,451 211,678



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #725423 1,822 5.50% 5/01/2034 $ 1,738 $ 2,041


Pool #MA3537 519,821 4.50 12/01/2048 540,889 557,389


Pool #MA3384 1,024,590 4.00 6/01/2048 1,037,455 1,092,789


Pool #AC5401 9,489 5.00 10/01/2039 9,248 10,715


Pool #MA3522 1,049,928 4.50 11/01/2048 1,094,578 1,124,191


Pool #725238 11,165 5.00 3/01/2034 10,771 12,362


Pool #735503 16,848 6.00 4/01/2035 15,845 19,098


Pool #745355 96,058 5.00 3/01/2036 94,049 108,554


Pool #745948 6,055 6.50 10/01/2036 5,927 7,069


Pool #BM2003 2,223,999 4.00 10/01/2047 2,385,800 2,381,226


Pool #MA3496 258,237 4.50 10/01/2048 267,465 277,161


Pool #MA2974 140,848 4.50 4/01/2047 138,014 152,485


Pool #BP6546 1,131,579 3.00 8/01/2050 1,186,999 1,179,355


Pool #124642 174 8.00 1/01/2023 135 178


Pool #190048 47 8.00 10/01/2023 16 47


Pool #190272 399 7.50 7/01/2026 338 434


Pool #190308 184 7.50 9/01/2030 162 209


Pool #190379 9,826 5.50 5/01/2037 9,549 11,224


Pool #250330 857 8.00 9/01/2025 758 918


Pool #252874 148 7.50 11/01/2029 131 171


Pool #252254 708 6.00 2/01/2029 635 793


Pool #254311 126 6.50 5/01/2032 118 143


Pool #254335 243 7.50 5/01/2032 227 278


Pool #254383 414 7.50 6/01/2032 369 486


Pool #254903 1,563 5.00 10/01/2033 1,502 1,764



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #254918 10,353 4.50% 9/01/2033 $ 10,062 $ 11,402


Pool #255070 1,445 6.00 1/01/2034 1,336 1,661


Pool #255411 2,243 5.50 10/01/2034 2,127 2,547


Pool #255459 2,596 6.00 11/01/2034 2,432 2,995


Pool #256514 747 6.00 12/01/2036 713 867


Pool #255813 886 5.00 8/01/2035 849 996


Pool #256692 2,494 6.50 4/01/2037 2,489 2,945


Pool #257236 431 6.50 6/01/2038 421 511


Pool #257308 1,603 6.50 8/01/2038 1,540 1,906


Pool #303273 558 8.00 5/01/2025 477 594


Pool #303110 56 9.00 1/01/2025 38 57


Pool #303573 299 8.00 9/01/2025 270 318


Pool #303913 515 7.00 5/01/2026 444 558


Pool #316653 46 8.00 8/01/2025 46 46


Pool #320397 586 8.00 7/01/2025 551 622


Pool #323064 13 8.00 11/01/2023 6 13


Pool #323311 119 7.50 9/01/2028 105 128


Pool #323424 143 7.50 12/01/2028 128 156


Pool #323405 544 7.50 10/01/2028 462 591


Pool #323434 230 7.50 12/01/2028 210 250


Pool #326535 481 8.00 10/01/2025 461 509


Pool #357603 3,441 5.50 8/01/2034 3,339 3,902


Pool #414716 808 8.00 7/01/2027 702 861


Pool #535533 206 8.00 10/01/2030 189 237


Pool #535095 486 8.00 1/01/2030 426 560



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #535284 103 7.50% 5/01/2030 $ 98 $ 111


Pool #535338 204 8.50 10/01/2028 163 224


Pool #535332 699 8.50 4/01/2030 613 814


Pool #535903 345 7.50 3/01/2031 319 385


Pool #545684 302 7.50 5/01/2032 290 353


Pool #555967 1,044 5.50 11/01/2033 994 1,180


Pool #AH0297 32,172 4.00 12/01/2040 32,607 35,332


Pool #AH0930 31,352 4.00 12/01/2040 31,243 34,416


Pool #AH1410 18,858 4.00 1/01/2041 18,984 20,663


Pool #AH3579 7,920 4.50 6/01/2040 7,868 8,755


Pool #AH3645 45,406 4.00 2/01/2041 45,628 49,851


Pool #AH6234 4,505 4.00 3/01/2041 4,548 4,946


Pool #AH5496 34,695 3.50 1/01/2041 34,939 37,301


Pool #AH6623 29,337 4.00 3/01/2041 29,139 31,950


Pool #AH6715 12,234 4.00 4/01/2041 12,268 13,408


Pool #AH6920 2,999 4.50 4/01/2041 2,869 3,213


Pool #AH7948 4,912 4.00 10/01/2041 4,680 5,391


Pool #AH8470 108,159 4.50 4/01/2041 106,097 119,573


Pool #AI8714 20,543 4.50 8/01/2041 19,971 22,722


Pool #AI9876 14,516 4.00 8/01/2041 14,734 15,441


Pool #AJ1407 5,770 4.00 9/01/2041 5,823 6,314


Pool #AJ3051 14,579 4.00 10/01/2041 14,583 16,003


Pool #AJ3109 3,599 4.00 1/01/2042 3,615 3,950


Pool #AJ3797 2,852 4.00 11/01/2041 2,904 3,131


Pool #AJ4049 29,532 4.00 10/01/2041 29,734 32,416



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #AJ5380 13,417 4.00% 11/01/2041 $ 13,526 $ 14,683


Pool #AJ5643 14,765 4.00 11/01/2041 14,887 16,083


Pool #AJ6066 48,307 4.00 12/01/2041 48,712 52,860


Pool #AJ7689 27,126 4.00 12/01/2041 27,404 29,686


Pool #AJ9039 2,817 4.00 12/01/2041 2,840 3,091


Pool #AK1938 23,254 4.00 2/01/2042 23,285 25,525


Pool #AK5322 29,977 4.00 3/01/2042 29,667 32,063


Pool #AL1505 43,478 4.00 3/01/2042 43,975 47,364


Pool #AL1998 105,767 4.00 3/01/2042 107,636 116,095


Pool #AL2459 41,398 4.00 8/01/2042 41,578 45,233


Pool #AL2752 326,308 5.00 3/01/2042 322,292 369,707


Pool #AL2863 22,752 4.00 4/01/2042 22,854 24,973


Pool #AL3347 24,592 6.00 6/01/2040 23,783 28,484


Pool #AL4469 205,506 5.50 6/01/2041 199,200 230,942


Pool #AL3865 329,935 3.50 7/01/2043 331,837 354,930


Pool #AL4157 122,720 3.00 9/01/2043 122,953 129,272


Pool #AL5780 104,894 4.50 5/01/2044 103,244 115,660


Pool #AP3798 108,210 3.50 10/01/2042 108,846 116,813


Pool #AP5506 139,154 3.00 9/01/2042 139,107 146,621


Pool #AP5509 276,896 3.00 9/01/2042 277,345 291,924


Pool #AP8782 120,771 2.50 11/01/2042 118,818 124,445


Pool #AP8848 102,877 3.50 10/01/2042 103,089 111,082


Pool #AP9087 4,800 3.50 9/01/2042 4,792 5,059


Pool #AQ4558 45,650 3.50 12/01/2042 45,893 49,282


Pool #AQ5175 416,750 3.00 12/01/2042 417,614 439,885



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #AQ7316 25,794 2.50% 1/01/2043 $ 25,351 $ 26,578


Pool #AR9188 36,528 2.50 3/01/2043 35,859 37,641


Pool #AS0863 183,156 3.00 10/01/2043 183,195 193,092


Pool #AS0016 392,185 3.00 7/01/2043 392,995 413,475


Pool #AS1586 3,539 4.50 1/01/2044 3,490 3,903


Pool #AS2495 185,293 4.00 5/01/2044 182,702 201,888


Pool #AS3880 35,465 4.50 11/01/2044 32,369 38,476


Pool #AS4702 1,333,792 3.50 4/01/2045 1,433,485 1,428,336


Pool #AS6730 421,100 3.50 2/01/2046 421,801 450,407


Pool #AS7234 3,179,479 3.00 5/01/2046 3,226,504 3,329,611


Pool #AS7800 661,684 3.00 8/01/2046 661,370 692,865


Pool #AS8649 680,122 3.00 1/01/2047 679,734 712,221


Pool #AT0353 80,640 3.50 5/01/2043 80,969 87,056


Pool #AT4253 293,183 3.00 6/01/2043 293,785 309,315


Pool #AT5895 50,891 3.00 6/01/2043 51,004 53,693


Pool #AT9667 115,161 3.50 7/01/2043 115,953 123,908


Pool #AU3353 2,814,835 3.00 8/01/2043 2,894,797 2,968,657


Pool #AU5340 31,396 3.00 6/01/2043 31,450 33,118


Pool #662893 1,070 7.50 12/01/2032 1,050 1,210


Pool #685371 4,101 5.50 2/01/2033 3,820 4,635


Pool #685410 357 5.50 2/01/2033 262 396


Pool #689627 1,410 5.50 2/01/2033 1,244 1,578


Pool #693528 3,218 5.50 2/01/2033 3,084 3,610


Pool #694878 370 5.50 4/01/2033 366 406


Pool #694491 8,959 5.50 3/01/2033 8,497 10,119



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #696860 1,145 5.50% 4/01/2033 $ 1,100 $ 1,296


Pool #696920 1,467 5.50 4/01/2033 1,383 1,609


Pool #696906 2,423 5.50 4/01/2033 2,318 2,744


Pool #702459 617 5.50 6/01/2033 578 697


Pool #704005 2,721 5.50 5/01/2033 2,545 3,062


Pool #704265 10,392 5.50 5/01/2033 9,155 11,738


Pool #705686 1,696 6.00 10/01/2033 1,712 1,866


Pool #710158 3,225 5.50 6/01/2033 3,187 3,616


Pool #709305 2,117 5.50 7/01/2033 1,988 2,397


Pool #709365 2,408 5.50 7/01/2033 2,161 2,662


Pool #713674 1,004 5.50 7/01/2033 761 1,100


Pool #721623 1,415 5.50 7/01/2033 1,355 1,552


Pool #725162 7,770 6.00 2/01/2034 7,226 8,777


Pool #725206 915 5.50 2/01/2034 871 1,018


Pool #725233 26,275 5.00 4/01/2034 25,193 29,589


Pool #725234 35,162 5.00 3/01/2034 33,957 39,580


Pool #725221 15,755 5.50 1/01/2034 14,902 17,806


Pool #725232 8,888 5.00 3/01/2034 8,565 10,017


Pool #725250 7,890 5.00 3/01/2034 7,606 8,892


Pool #725257 14,070 5.50 2/01/2034 13,496 15,918


Pool #725690 17,025 6.00 8/01/2034 15,938 19,324


Pool #725773 11,417 5.50 9/01/2034 10,939 12,947


Pool #725946 7,819 5.50 11/01/2034 7,498 8,868


Pool #727219 22,180 5.50 9/01/2033 21,229 25,116


Pool #728650 7,381 5.50 7/01/2033 6,977 8,340



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #728719 452 4.50% 7/01/2033 $ 440 $ 495


Pool #729899 777 5.50 4/01/2033 709 851


Pool #731746 1,469 4.50 9/01/2033 1,456 1,608


Pool #731134 1,126 5.50 7/01/2033 1,103 1,235


Pool #731138 440 5.50 7/01/2033 318 482


Pool #731218 467 4.50 8/01/2033 423 509


Pool #733016 364 4.50 8/01/2033 356 398


Pool #733380 1,308 5.50 8/01/2033 1,258 1,481


Pool #735141 18,418 5.50 1/01/2035 17,777 20,916


Pool #735230 5,496 5.50 2/01/2035 5,309 6,241


Pool #735224 1,391 5.50 2/01/2035 1,327 1,575


Pool #735228 5,781 5.50 2/01/2035 5,581 6,571


Pool #735480 1,448 5.50 4/01/2035 1,418 1,650


Pool #735744 319 6.00 8/01/2035 300 370


Pool #735896 8,275 6.00 9/01/2035 7,647 9,593


Pool #739564 387 4.50 9/01/2033 378 419


Pool #740792 234 4.50 9/01/2033 213 250


Pool #740631 226 4.50 9/01/2033 181 242


Pool #743107 588 5.50 10/01/2033 544 650


Pool #743318 1,072 5.50 10/01/2033 1,027 1,211


Pool #744905 1,999 5.50 11/01/2033 1,758 2,193


Pool #745002 2,695 6.00 10/01/2035 2,512 3,098


Pool #745162 6,942 6.00 1/01/2036 6,534 8,049


Pool #745412 1,284 5.50 12/01/2035 1,244 1,458


Pool #745946 6,100 5.50 11/01/2036 5,928 6,949



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #747519 5,041 4.50% 10/01/2033 $ 4,879 $ 5,541


Pool #747684 1,073 5.50 11/01/2033 1,032 1,217


Pool #748299 753 5.50 11/01/2033 706 830


Pool #748356 481 5.50 11/01/2033 478 528


Pool #749844 831 5.50 11/01/2033 739 920


Pool #753026 227 5.50 11/01/2033 204 249


Pool #754272 10,412 5.50 12/01/2033 10,245 11,812


Pool #753670 2,428 7.00 12/01/2033 2,315 2,745


Pool #753803 4,120 5.00 10/01/2033 4,041 4,649


Pool #753965 582 7.00 12/01/2033 584 652


Pool #755591 3,396 5.50 11/01/2033 3,126 3,856


Pool #756165 25,150 5.50 11/01/2033 23,959 28,447


Pool #756171 4,105 5.50 11/01/2033 3,760 4,656


Pool #756322 714 5.50 1/01/2034 709 783


Pool #759667 264 7.00 4/01/2031 243 282


Pool #758933 2,650 5.50 1/01/2034 2,262 2,936


Pool #759332 6,415 5.50 1/01/2034 6,201 7,265


Pool #759425 6,987 5.50 1/01/2034 6,563 7,902


Pool #761702 504 5.50 1/01/2034 477 562


Pool #762043 424 5.50 12/01/2033 369 465


Pool #762648 861 5.50 1/01/2034 791 953


Pool #765404 2,153 6.00 8/01/2034 2,019 2,468


Pool #769199 9,712 5.50 1/01/2034 8,984 11,016


Pool #776586 1,309 5.50 4/01/2034 1,257 1,484


Pool #776971 2,374 5.00 4/01/2034 2,305 2,683



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #777139 237 6.00% 6/01/2034 $ 231 $ 262


Pool #781666 1,418 5.50 2/01/2035 1,319 1,612


Pool #791196 4,923 6.00 9/01/2034 4,512 5,602


Pool #790497 3,943 6.00 8/01/2034 3,883 4,457


Pool #790820 2,262 6.00 9/01/2034 1,922 2,508


Pool #791279 3,547 6.00 9/01/2034 3,383 4,015


Pool #792407 3,545 6.00 9/01/2034 3,165 3,967


Pool #794230 3,595 6.00 9/01/2034 2,917 4,060


Pool #794643 2,654 6.00 10/01/2034 2,435 2,968


Pool #795577 489 6.00 5/01/2035 415 537


Pool #794964 642 7.00 10/01/2034 643 661


Pool #796147 896 6.00 10/01/2034 811 1,019


Pool #797443 74,265 5.50 1/01/2035 70,133 83,647


Pool #796717 1,234 6.00 8/01/2034 1,160 1,425


Pool #798761 494 5.50 11/01/2034 399 541


Pool #799643 4,206 5.50 11/01/2034 4,071 4,781


Pool #801229 1,708 6.00 11/01/2034 1,683 1,880


Pool #801423 979 6.00 12/01/2034 921 1,079


Pool #801767 709 6.00 1/01/2035 699 781


Pool #804695 640 4.50 12/01/2034 587 685


Pool #804059 2,961 6.00 10/01/2034 2,788 3,424


Pool #805173 1,396 6.00 1/01/2035 1,378 1,537


Pool #805319 2,857 6.00 1/01/2035 2,717 3,194


Pool #805384 498 5.50 1/01/2035 478 567


Pool #810225 764 6.00 1/01/2035 739 874



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #811147 734 6.00% 4/01/2035 $ 723 $ 808


Pool #812273 946 6.00 5/01/2035 848 1,043


Pool #814540 1,161 5.50 3/01/2035 1,113 1,286


Pool #814554 1,700 5.50 4/01/2035 1,691 1,867


Pool #814692 4,077 5.50 4/01/2035 3,840 4,565


Pool #814865 709 5.50 4/01/2035 625 777


Pool #816227 2,049 5.50 3/01/2035 1,937 2,292


Pool #817347 675 6.00 7/01/2035 614 743


Pool #819357 333 4.50 3/01/2035 331 366


Pool #819408 216 6.00 5/01/2035 213 238


Pool #821395 3,953 5.50 6/01/2035 3,874 4,501


Pool #821601 257 6.00 6/01/2035 235 283


Pool #821842 64,155 5.50 6/01/2035 64,066 70,346


Pool #821901 1,769 6.00 6/01/2035 1,716 1,971


Pool #821936 1,309 6.00 6/01/2035 1,236 1,450


Pool #821995 877 6.00 7/01/2035 848 967


Pool #822475 184 6.00 5/01/2035 183 203


Pool #823506 298 6.00 6/01/2035 267 329


Pool #823537 443 6.00 7/01/2035 423 489


Pool #823161 3,503 6.00 5/01/2035 3,234 3,973


Pool #823206 867 6.00 5/01/2035 856 989


Pool #824605 165 6.00 12/01/2034 136 189


Pool #825113 1,102 6.00 5/01/2035 1,048 1,213


Pool #825457 887 5.50 6/01/2035 712 971


Pool #825948 456 6.00 7/01/2035 398 502



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #825979 909 6.00% 7/01/2035 $ 806 $ 1,001


Pool #826305 2,434 5.00 7/01/2035 2,360 2,753


Pool #826500 2,599 5.00 8/01/2035 2,513 2,941


Pool #827303 1,045 6.00 6/01/2035 1,030 1,151


Pool #828346 4,048 5.00 7/01/2035 3,933 4,574


Pool #828716 196 6.00 7/01/2035 159 215


Pool #831088 1,535 6.00 7/01/2035 1,437 1,699


Pool #831351 738 5.50 2/01/2036 703 809


Pool #832547 899 6.00 9/01/2035 886 989


Pool #831800 636 6.50 9/01/2036 617 726


Pool #831831 1,439 6.00 9/01/2036 1,273 1,648


Pool #831878 362 6.50 10/01/2036 355 399


Pool #832414 11,388 5.00 7/01/2035 11,005 12,863


Pool #832708 3,621 6.00 9/01/2035 3,413 4,028


Pool #833573 2,580 6.00 8/01/2035 2,369 2,987


Pool #835206 660 6.00 8/01/2035 513 727


Pool #834769 651 6.00 7/01/2035 579 754


Pool #835035 1,400 6.00 6/01/2035 1,386 1,541


Pool #835163 1,269 5.50 8/01/2035 1,059 1,409


Pool #837564 746 6.00 6/01/2035 739 820


Pool #843566 10,081 5.50 11/01/2035 9,467 11,474


Pool #844342 436 5.50 11/01/2035 422 496


Pool #844610 375 6.00 12/01/2035 300 413


Pool #844716 5,181 6.00 12/01/2035 5,093 5,914


Pool #844734 6,064 6.00 12/01/2035 5,810 6,993



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #848983 591 5.50% 1/01/2036 $ 565 $ 673


Pool #850314 645 5.50 1/01/2036 616 710


Pool #851053 2,316 5.50 11/01/2035 2,277 2,597


Pool #851791 1,052 5.50 1/01/2036 993 1,198


Pool #851810 2,488 5.50 2/01/2036 2,379 2,791


Pool #869832 2,076 5.50 3/01/2036 1,824 2,278


Pool #871045 80 6.50 1/01/2037 60 88


Pool #872317 124 6.50 5/01/2036 103 142


Pool #878187 1,756 6.50 8/01/2036 1,761 2,009


Pool #880182 996 5.50 1/01/2036 970 1,134


Pool #BC0769 652,859 4.00 12/01/2045 651,130 713,105


Pool #BC1515 1,522,703 3.50 8/01/2046 1,587,184 1,622,162


Pool #BD7081 480,653 4.00 3/01/2047 478,456 516,847


Pool #BK4764 146,569 4.00 8/01/2048 149,400 155,930


Pool #BK4778 567,609 3.50 8/01/2048 550,238 598,785


Pool #BM1164 713,979 3.50 12/01/2045 715,811 759,285


Pool #BM3627 4,955,836 3.00 11/01/2046 5,100,531 5,224,962


Pool #BM5446 106,233 3.50 2/01/2049 106,196 111,776


Pool #BN0877 416,538 4.50 11/01/2048 432,962 447,361


Pool #BN4805 471,626 3.50 2/01/2049 472,778 497,340


Pool #BO3532 817,464 3.00 12/01/2049 837,410 853,998


Pool #CA1686 472,189 3.50 3/01/2048 466,625 499,340


Pool #CA1389 835,009 4.50 3/01/2048 884,537 897,874


Pool #CA2653 290,367 5.00 8/01/2048 304,311 317,267


Pool #CA3868 1,852,413 4.00 7/01/2049 1,958,412 2,000,020



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #CA4536 3,795,183 3.00% 11/01/2049 $ 4,009,236 $ 3,964,420


Pool #FM4116 2,510,147 4.50 7/01/2049 2,733,237 2,720,763


Pool #FM4904 1,538,173 2.50 11/01/2050 1,612,338 1,574,802


Pool #886958 2,287 6.00 6/01/2036 2,267 2,633


Pool #888336 21,840 5.00 7/01/2036 21,233 24,670


Pool #888343 43,673 5.00 11/01/2035 42,923 49,329


Pool #888016 479 5.50 5/01/2036 465 545


Pool #888095 7,342 5.50 12/01/2035 7,161 8,365


Pool #888486 256 6.50 7/01/2037 245 288


Pool #888645 689 5.00 8/01/2037 673 779


Pool #888795 924 5.50 11/01/2036 904 1,053


Pool #889139 1,648 5.50 3/01/2037 1,592 1,846


Pool #889427 7,048 6.00 3/01/2038 6,857 8,112


Pool #889753 48,741 4.50 6/01/2038 48,525 53,827


Pool #889982 18,095 5.50 11/01/2038 17,658 20,718


Pool #891435 1,235 5.50 3/01/2036 1,194 1,401


Pool #893353 3,205 6.00 9/01/2036 2,977 3,679


Pool #894311 5,905 5.50 11/01/2036 5,825 6,737


Pool #896527 597 6.50 8/01/2036 596 659


Pool #897130 3,118 6.50 9/01/2036 2,935 3,573


Pool #897794 414 6.50 9/01/2036 404 469


Pool #898126 249 6.50 9/01/2036 240 280


Pool #898818 13,099 6.00 11/01/2036 11,941 15,158


Pool #899892 4,566 6.00 11/01/2036 3,868 5,111


Pool #902516 17,145 5.50 11/01/2036 16,969 19,572



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #903677 735 6.50% 10/01/2036 $ 710 $ 853


Pool #904601 12,838 6.00 11/01/2036 12,108 14,865


Pool #905590 48 6.50 12/01/2036 8 53


Pool #905673 487 5.50 12/01/2036 473 554


Pool #908789 301 6.00 2/01/2037 276 347


Pool #910913 409 6.50 2/01/2037 410 461


Pool #913927 396 6.50 2/01/2037 365 456


Pool #914577 221 6.50 4/01/2037 222 244


Pool #916304 680 6.50 4/01/2037 615 750


Pool #928379 3,101 5.50 6/01/2037 2,947 3,541


Pool #930631 1,710 4.50 3/01/2039 1,670 1,890


Pool #929953 13,787 5.50 9/01/2038 13,389 15,770


Pool #930327 1,248 6.50 12/01/2038 1,256 1,377


Pool #930924 11,713 4.50 4/01/2039 11,703 12,943


Pool #930913 60,958 4.00 4/01/2039 61,859 67,004


Pool #930982 174,849 4.50 4/01/2039 170,692 193,185


Pool #931149 280,656 5.00 5/01/2039 273,075 318,174


Pool #933731 11,599 5.50 4/01/2038 11,104 13,109


Pool #934259 417 4.50 1/01/2039 402 457


Pool #936794 80 5.50 6/01/2037 79 88


Pool #939959 242 7.00 6/01/2037 219 266


Pool #940734 814 7.00 10/01/2037 709 906


Pool #944511 500 6.50 7/01/2037 501 552


Pool #944728 402 6.00 7/01/2037 299 445


Pool #948292 6,077 5.50 8/01/2037 6,088 6,945



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #948146 28,602 5.50% 11/01/2037 $ 26,538 $ 32,730


Pool #949008 457 7.00 8/01/2037 460 521


Pool #952010 1,268 6.00 12/01/2037 1,156 1,469


Pool #952425 28 7.00 9/01/2037 28 28


Pool #955429 693 6.00 12/01/2037 592 771


Pool #955713 1,563 6.00 11/01/2037 1,478 1,812


Pool #956941 2,267 6.00 12/01/2037 2,197 2,614


Pool #959596 421 6.00 11/01/2037 413 487


Pool #966202 1,394 6.00 12/01/2037 1,312 1,614


Pool #966648 6,115 6.00 12/01/2037 5,854 6,933


Pool #966857 379 6.00 12/01/2037 357 435


Pool #970179 378 4.50 4/01/2038 380 404


Pool #970664 386 5.50 11/01/2038 371 428


Pool #971044 5,312 4.00 2/01/2039 5,326 5,831


Pool #973165 320 6.00 2/01/2038 208 352


Pool #973288 22,459 5.00 3/01/2038 22,184 25,441


Pool #974658 8,740 5.50 3/01/2038 8,027 9,576


Pool #985615 18,182 5.50 4/01/2034 17,276 20,557


Pool #984996 3,315 6.00 8/01/2038 2,922 3,666


Pool #991864 7,730 6.00 10/01/2038 7,232 8,951


Pool #993276 4,177 5.00 5/01/2039 3,768 4,612


Pool #995048 13,120 5.50 5/01/2038 12,762 14,636


Pool #995024 1,683 5.50 8/01/2037 1,619 1,916


Pool #995119 9,881 5.50 11/01/2038 9,670 11,314


Pool #995230 13,516 6.50 1/01/2039 13,190 15,677



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #995297 17,184 5.00% 2/01/2038 $ 16,807 $ 19,420


Pool #995674 20,993 6.00 5/01/2038 19,703 24,349


Pool #995737 23,020 5.00 2/01/2038 22,454 26,016


Pool #995862 3,715 5.00 7/01/2039 3,638 4,208


Pool #995896 5,430 5.00 6/01/2039 5,357 6,144


Pool #AA0166 1,895 6.00 12/01/2038 1,875 2,140


Pool #AA0466 637 4.50 2/01/2039 623 702


Pool #AA2627 786 4.50 2/01/2039 701 844


Pool #AA4656 5,082 4.00 5/01/2039 5,056 5,579


Pool #AA4630 28,962 4.50 5/01/2039 28,794 32,041


Pool #AA5036 654 4.00 4/01/2039 657 718


Pool #AB0281 35,855 6.00 2/01/2037 33,979 41,517


Pool #AB0733 15,994 4.50 6/01/2039 15,619 17,674


Pool #AB1409 44,675 3.50 9/01/2040 44,828 48,247


Pool #AB1806 26,139 4.00 11/01/2040 25,871 28,682


Pool #AB2068 40,118 3.50 1/01/2041 40,454 43,308


Pool #AB2775 46,753 4.50 4/01/2041 45,278 51,675


Pool #AB2819 15,715 5.00 4/01/2041 15,131 17,805


Pool #AB3744 13,589 4.00 10/01/2041 13,781 14,919


Pool #AC2816 12,557 4.00 10/01/2039 12,761 13,784


Pool #AC3673 8,743 5.00 10/01/2039 8,192 9,781


Pool #AC7292 3,325 4.50 12/01/2039 3,310 3,675


Pool #MA0186 11,920 4.00 9/01/2039 11,962 13,063


Pool #MA0561 51,715 4.00 11/01/2040 52,295 56,785


Pool #MA0583 316,232 4.00 12/01/2040 318,401 346,709



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #MA1028 9,637 4.00% 4/01/2042 $ 9,749 $ 10,583


Pool #MA1103 15,363 3.50 7/01/2042 15,529 16,530


Pool #MA1208 106,939 3.00 10/01/2042 107,117 112,919


Pool #MA1466 102,416 3.50 6/01/2043 103,176 110,581


Pool #MA2136 561,246 3.50 1/01/2045 564,335 603,451


Pool #MA2930 567,401 4.00 3/01/2047 565,089 610,454


Pool #MA3415 469,593 4.00 7/01/2048 475,995 499,112


Pool #MA3873 1,520,051 4.00 12/01/2049 1,584,908 1,615,133


Pool #MA3938 869,287 4.00 2/01/2050 927,332 925,020


Pool #AD3881 7,377 4.00 10/01/2040 7,451 8,098


Pool #AD8522 15,465 4.00 8/01/2040 15,595 16,926


Pool #AE0113 10,078 4.00 7/01/2040 10,162 11,054


Pool #AE0217 2,408 4.50 8/01/2040 2,397 2,659


Pool #AE0218 123,942 4.50 8/01/2040 123,148 136,821


Pool #AE1761 21,314 4.00 9/01/2040 21,411 23,402


Pool #AE2575 5,167 4.00 9/01/2040 5,168 5,662


Pool #AE2614 5,500 4.00 9/01/2040 5,499 5,990


Pool #AE2650 10,476 4.00 11/01/2040 10,386 11,393


Pool #AE3886 67,042 4.50 11/01/2040 65,254 74,116


Pool #AE4639 8,270 4.50 10/01/2040 7,740 9,133


Pool #AE4971 2,454 4.00 11/01/2040 2,458 2,648


Pool #AE5147 29,840 4.00 11/01/2040 29,970 32,748


Pool #AE5156 20,387 4.00 11/01/2040 20,542 22,381


Pool #AE6965 59,991 4.00 11/01/2040 59,443 65,631


Pool #AE7264 9,570 4.00 1/01/2041 9,693 10,503



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #AE8716 27,895 4.00% 11/01/2040 $ 28,035 $ 30,333


Pool #AE9349 19,872 4.00 11/01/2040 19,883 21,817


Pool #AE9365 1,481 4.00 12/01/2040 1,478 1,604


Pool #FM5298 13,207,476 3.50 10/01/2050 13,968,877 13,901,717


TBA(2) 2,740,000 3.50 2/25/2049 2,885,991 2,884,465


TBA(2) 6,915,000 3.00 1/13/2052 7,164,065 7,163,686


TBA(2) 17,175,000 1.50 1/14/2052 16,543,014 16,585,363


TBA(2) 82,165,000 2.50 7/25/2051 83,855,224 83,827,954


TBA(2) 122,000,000 2.00 7/25/2051 121,549,260 121,624,105

Fannie Mae-ACES 225,000 2.98 8/25/2029 221,492 243,623

Fannie Mae-ACES 3,025,000 3.61 2/25/2031 3,526,761 3,419,155

Fannie Mae-ACES(3) 210,000 3.82 9/25/2030 208,794 240,496

Fannie Mae-ACES(3) 305,169 3.09 4/25/2027 307,772 326,634

Fannie Mae-ACES 500,000 2.47 4/25/2026 502,161 515,930

Fannie Mae-ACES 407,334 3.27 1/25/2039 427,633 426,802

Fannie Mae-ACES(3) 655,000 2.96 2/25/2027 660,371 693,444

Fannie Mae-ACES(3) 131,581 3.22 4/25/2029 128,746 143,467

Fannie Mae-ACES(3) 790,000 3.77 8/25/2030 861,456 898,835

Fannie Mae-ACES 171,384 3.30 8/01/2028 178,000 174,535

Fannie Mae-ACES 3,337,972 1.80 1/25/2058 3,526,107 3,324,025

Fannie Mae-ACES(3) 1,000,000 3.70 8/25/2028 1,155,596 1,113,074

Fannie Mae-ACES 2,486,584 2.61 6/25/2029 2,641,881 2,582,062

Federal Farm Credit Banks

Funding Corp 220,000 1.77 6/26/2023 AA+ 219,710 224,628


Funding Corp 210,000 0.47 1/27/2025 AA+ 209,748 206,446


Funding Corp 480,000 0.17 11/30/2022 AA+ 479,858 479,288


Funding Corp 30,000 0.31 11/30/2023 AA+ 29,986 29,763


Funding Corp 2,530,000 0.84 2/02/2028 AA+ 2,474,966 2,435,270


Funding Corp 870,000 0.13 4/13/2023 AA+ 869,255 865,665

Federal Home Loan Banks 180,000 1.38 2/17/2023 AA+ 180,567 181,920









December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Federal Home Loan Banks 1,100,000 2.13% 6/09/2023 AA+ $ 1,128,215 $ 1,123,949


Federal Home Loan Banks 1,750,000 2.88 9/13/2024 AA+ 1,873,034 1,839,012




Federal Home Loan Banks 2,570,000 0.13 6/02/2023 AA+ 2,568,812 2,551,706

Federal Home Loan Mortgage

Corp 141,000 6.75 9/15/2029 AA+ 187,581 194,263


Corp 77,000 6.25 7/15/2032 AA+ 100,758 110,617


Corp 50,000 1.50 2/12/2025 AA+ 51,496 50,722


Corp 310,000 0.38 5/05/2023 AA+ 310,501 309,305


Corp 660,000 0.25 6/26/2023 AA+ 659,972 656,822


Corp 10,000 0.35 3/29/2024 9,997 9,890


Corp 250,000 0.62 12/01/2025 250,000 245,693


Corp 2,020,000 0.80 10/28/2026 2,002,799 1,969,874


Corp 50,000 0.68 8/06/2025 49,908 49,038


Corp 1,760,000 0.38 7/21/2025 AA+ 1,750,165 1,715,249


Corp 2,260,000 0.25 11/06/2023 AA+ 2,260,920 2,239,993

Federal National Mortgage

Association 1,110,000 6.63 11/15/2030 AA+ 1,558,658 1,567,557


Association 119,000 6.25 5/15/2029 AA+ 146,671 158,050


Association 119,000 7.13 1/15/2030 AA+ 155,902 168,398


Association 176,000 7.25 5/15/2030 AA+ 231,954 253,266


Association 143,000 2.13 4/24/2026 AA+ 140,597 148,289


Association 238,000 1.88 9/24/2026 AA+ 231,007 244,547


Association 160,000 0.25 7/10/2023 AA+ 160,265 159,128


Association 590,000 0.75 10/08/2027 AA+ 588,265 569,192


Association 1,820,000 0.56 10/22/2025 AA+ 1,818,603 1,775,261


Association 720,000 2.38 1/19/2023 AA+ 736,638 734,743



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Association 110,000 2.88% 9/12/2023 AA+ $ 112,319 $ 114,056


Association 20,000 2.50 2/05/2024 AA+ 19,969 20,708


Association 60,000 1.63 10/15/2024 AA+ 59,837 61,116


Association 480,000 6.21 8/06/2038 AA+ 765,245 770,186


Association 1,510,000 0.35 8/18/2023 AA+ 1,512,186 1,501,329


Association 1,130,000 0.35 8/18/2023 AA+ 1,131,503 1,124,198

Freddie Mac Multifamily

Structured Pass-Through

Certificates(3) 405,000 3.30 11/25/2027 413,011 442,774



Certificates 310,000 2.64 1/25/2023 310,597 315,035



Certificates 675,000 3.30 7/25/2024 680,664 708,418



Certificates 126,000 3.08 1/25/2031 121,179 137,687



Certificates 478,035 2.91 4/25/2024 AAA 475,289 494,954



Certificates 930,000 2.95 7/25/2024 AAA 939,610 966,428



Certificates 437,918 3.18 11/25/2028 444,208 465,710



Certificates 761,291 3.75 11/25/2029 783,745 839,844



Certificates 45,000 3.75 4/25/2033 44,504 52,164

Freddie Mac Single Family 15 yr

Pool #G14120 24,924 4.00 4/01/2026 23,181 26,236


Pool #G18529 319,190 2.50 10/01/2029 318,023 331,607


Pool #G18604 117,769 2.50 6/01/2031 117,564 122,366


Pool #G18581 271,755 2.50 1/01/2031 271,216 281,523


Pool #J11728 9,397 4.00 2/01/2025 8,516 9,869


Pool #J13947 35,638 3.50 12/01/2025 32,646 37,531



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #E02866 1,850 4.00% 4/01/2026 $ 1,689 $ 1,946


Pool #V60494 188,005 3.00 2/01/2029 185,363 198,125


Pool #G13300 1,672 4.50 5/01/2023 1,254 1,736


Pool #G13375 4,336 4.50 11/01/2023 3,238 4,498


Pool #G13136 453 4.50 5/01/2023 322 470


Pool #G13201 3,484 4.50 7/01/2023 2,641 3,615


Pool #G13240 307 5.00 8/01/2023 249 317


Pool #G13650 330 4.50 9/01/2024 287 343


Pool #G15167 68,124 3.50 8/01/2029 65,801 72,086


Pool #G15180 98,490 3.50 9/01/2029 102,231 104,211


Pool #G14453 18,783 4.00 6/01/2026 16,770 19,722


Pool #G14557 37,834 3.00 8/01/2027 36,535 39,616


Pool #G14658 23,622 3.00 5/01/2027 22,831 24,770


Pool #G14953 159,997 3.50 1/01/2029 154,384 169,359


Pool #G18409 29,080 3.00 11/01/2026 28,159 30,462


Pool #G18415 127,912 3.00 12/01/2026 123,781 133,970


Pool #G18396 1,737 3.50 7/01/2026 1,646 1,830


Pool #G18406 18,175 3.00 10/01/2026 17,583 19,038


Pool #G18483 39,046 2.50 9/01/2028 38,778 40,566


Pool #G18488 91,565 2.50 11/01/2028 90,894 95,130


Pool #G18518 181,171 3.00 7/01/2029 178,150 190,141


Pool #J09380 812 4.50 4/01/2024 704 844


Pool #J10247 2,271 4.50 6/01/2024 2,132 2,358


Pool #J11719 10,344 4.00 2/01/2025 9,298 10,860


Pool #J11209 6,046 4.00 11/01/2024 5,153 6,349



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #J11299 1,589 4.00% 12/01/2024 $ 1,468 $ 1,668


Pool #J11431 907 4.00 1/01/2025 857 952


Pool #J11542 7,981 4.00 1/01/2025 7,208 8,380


Pool #J12089 3,413 4.00 5/01/2025 3,051 3,586


Pool #J12250 7,720 4.00 6/01/2025 7,209 8,107


Pool #J12293 8,815 4.50 5/01/2025 8,121 9,191


Pool #J13273 1,795 3.50 10/01/2025 1,676 1,891


Pool #J13300 1,052 3.50 10/01/2025 982 1,107


Pool #J13433 3,113 3.50 11/01/2025 2,893 3,277


Pool #J13918 3,530 3.50 12/01/2025 3,255 3,717


Pool #J15337 1,339 4.00 5/01/2026 1,235 1,410


Pool #J16192 334 3.50 8/01/2026 269 351


Pool #J16040 5,154 3.50 7/01/2026 4,853 5,428


Pool #J16317 5,123 3.50 8/01/2026 4,880 5,399


Pool #J17316 38,177 3.00 11/01/2026 36,957 39,994


Pool #J18741 63,465 3.00 5/01/2027 62,086 66,600


Pool #J19396 54,895 3.00 6/01/2027 52,913 57,493


Pool #E02697 8,981 4.00 6/01/2025 8,250 9,436


Pool #E02790 20,685 3.50 10/01/2025 19,696 21,794


Pool #E02930 8,049 3.50 7/01/2026 7,488 8,479


Pool #E03077 13,191 3.00 3/01/2027 12,784 13,843


Pool #E03091 48,700 3.00 4/01/2027 47,172 51,146


Pool #E09013 39,184 3.00 10/01/2027 37,978 41,121


Pool #E09034 12,707 3.00 6/01/2028 12,480 13,337


Pool #J24339 102,615 2.50 6/01/2028 101,840 106,623



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #J25699 252,149 2.50% 9/01/2028 $ 250,604 $ 261,962


Pool #ZS8087 643,698 2.50 4/01/2033 638,107 666,367


Pool #C90993 16,783 5.50 10/01/2026 14,956 18,380


Pool #C91028 299 5.00 2/01/2027 278 326


Pool #C91065 12,978 6.00 7/01/2027 11,543 14,277


Pool #C91265 1,982 4.50 9/01/2029 1,879 2,124


Pool #C90833 781 6.00 3/01/2024 441 857


Pool #C90676 226 5.50 5/01/2023 144 247


Pool #G01740 22,095 5.50 12/01/2034 20,968 25,093


Pool #A76485 466 5.00 4/01/2038 457 528


Pool #G01854 26,832 5.50 6/01/2035 25,657 30,530


Pool #G03238 274 6.00 8/01/2037 246 312


Pool #G03351 2,646 6.00 9/01/2037 2,508 3,038


Pool #G03428 553 6.00 11/01/2037 537 642


Pool #G04579 6,473 6.50 8/01/2037 5,929 7,334


Pool #G04691 1,379 5.00 6/01/2038 1,352 1,563


Pool #G05205 10,616 5.00 1/01/2039 10,436 12,033


Pool #G05518 16,036 5.00 2/01/2039 15,815 18,171


Pool #G05831 12,994 6.50 4/01/2039 12,422 14,606


Pool #G06066 3,029 6.00 5/01/2040 2,868 3,515


Pool #G06087 7,738 5.00 9/01/2040 7,634 8,767


Pool #G06088 16,167 5.50 1/01/2038 15,530 18,465


Pool #G06359 82,453 4.00 2/01/2041 83,842 90,374


Pool #G07387 157,957 4.00 4/01/2042 158,913 172,925


Pool #G07568 176,891 4.50 9/01/2041 176,336 194,265



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #G08588 146,028 4.00% 5/01/2044 $ 146,320 $ 159,920


Pool #G08615 265,043 3.50 11/01/2044 266,755 283,511


Pool #G08654 526,721 3.50 7/01/2045 528,855 562,565


Pool #G08658 257,207 3.00 8/01/2045 257,454 270,340


Pool #G08729 666,677 4.50 9/01/2046 662,339 722,289


Pool #A80659 27,159 5.00 2/01/2037 26,841 30,783


Pool #C03633 344,868 4.00 12/01/2040 349,138 378,805


Pool #C03759 67,972 3.50 2/01/2042 68,592 73,163


Pool #A86951 22,231 4.50 6/01/2039 22,098 24,591


Pool #A90563 13,947 5.00 1/01/2040 14,115 15,821


Pool #A91160 114,638 4.50 2/01/2040 113,892 126,841


Pool #A92271 5,265 5.00 5/01/2040 4,886 5,931


Pool #A92506 26,047 5.00 6/01/2040 24,553 29,346


Pool #A93700 15,807 4.50 9/01/2040 15,895 17,489


Pool #A94704 21,957 4.00 11/01/2040 21,690 24,046


Pool #A94713 61,515 4.00 11/01/2040 62,086 67,466


Pool #A95407 59,457 4.00 12/01/2040 59,968 65,311


Pool #Q04674 242,892 4.00 12/01/2041 245,182 265,940


Pool #Q07896 79,418 3.50 5/01/2042 80,246 85,449


Pool #Q12052 207,229 3.50 10/01/2042 210,321 223,902


Pool #Q17674 457,368 3.00 4/01/2043 458,761 483,056


Pool #Q20570 450,082 3.50 8/01/2043 451,842 486,021


Pool #Q26319 316,189 4.00 5/01/2044 316,640 345,987


Pool #G60176 237,696 3.50 7/01/2045 239,288 254,878


Pool #G60358 286,614 3.50 12/01/2045 288,752 307,573



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #G08771 618,292 4.00% 7/01/2047 $ 617,760 $ 663,181


Pool #G08347 13,682 4.50 6/01/2039 13,596 15,137


Pool #G05695 17,874 4.50 11/01/2039 17,581 19,763


Pool #G00818 1,590 7.50 11/01/2027 1,400 1,765


Pool #G00888 1,286 7.50 3/01/2028 1,111 1,421


Pool #G00539 242 8.00 9/01/2026 200 265


Pool #G01749 538 5.50 1/01/2035 514 604


Pool #G01797 13,782 5.50 12/01/2033 12,989 15,589


Pool #G00911 325 7.00 2/01/2027 304 338


Pool #G00924 957 8.00 3/01/2028 850 1,060


Pool #G01188 87 7.50 4/01/2027 67 88


Pool #G01158 272 7.50 1/01/2031 253 314


Pool #G01323 144 7.00 9/01/2031 134 164


Pool #C61510 70 8.00 12/01/2031 67 78


Pool #C65062 99 6.50 3/01/2032 81 110


Pool #C66626 53 7.00 4/01/2032 40 55


Pool #C68001 144 7.00 6/01/2032 141 156


Pool #C68094 206 7.00 6/01/2032 202 211


Pool #C69596 338 6.50 8/01/2032 321 385


Pool #C69600 317 6.50 8/01/2032 278 350


Pool #C69682 596 6.50 8/01/2032 588 657


Pool #C69903 198 6.50 8/01/2032 196 219


Pool #C70139 227 6.50 8/01/2032 215 253


Pool #C70466 255 6.50 9/01/2032 249 281


Pool #C72255 70 6.50 7/01/2032 67 77



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #C73496 304 6.00% 11/01/2032 $ 299 $ 348


Pool #C73627 823 6.00 11/01/2032 735 926


Pool #A40375 21,339 5.00 12/01/2035 20,600 24,154


Pool #A40465 1,519 5.00 12/01/2035 1,496 1,714


Pool #A40588 3,172 5.50 12/01/2035 2,641 3,620


Pool #A40728 603 4.50 12/01/2035 601 646


Pool #A42492 1,298 6.50 2/01/2036 1,051 1,432


Pool #A44406 326 5.50 4/01/2036 315 372


Pool #A43991 66,586 5.00 3/01/2036 65,999 72,626


Pool #A44072 761 6.00 4/01/2036 679 883


Pool #A47152 10,051 5.50 10/01/2035 9,921 11,027


Pool #A47403 4,010 5.00 10/01/2035 3,926 4,539


Pool #A48671 7,269 6.00 5/01/2036 7,143 8,008


Pool #A48838 907 5.50 5/01/2036 877 995


Pool #A56498 1,583 6.00 1/01/2037 1,344 1,837


Pool #A56988 5,157 5.50 2/01/2037 5,023 5,910


Pool #A57561 173 5.50 2/01/2037 159 198


Pool #A57608 858 5.50 2/01/2037 759 941


Pool #A59320 1,742 5.50 4/01/2037 1,706 1,913


Pool #A60787 2,339 5.50 5/01/2037 2,269 2,576


Pool #A61717 792 5.50 5/01/2037 665 869


Pool #A61720 513 5.50 5/01/2037 464 563


Pool #A61789 1,275 5.50 5/01/2037 1,108 1,399


Pool #A61797 8,099 5.50 6/01/2037 8,010 9,184


Pool #A62650 2,080 5.50 6/01/2037 2,060 2,284



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #A61823 4,144 5.50% 6/01/2037 $ 4,059 $ 4,605


Pool #A62005 3,744 5.50 6/01/2037 3,635 4,165


Pool #A65518 217 6.00 9/01/2037 190 250


Pool #A66380 654 6.00 9/01/2037 646 758


Pool #A66740 27,343 6.50 10/01/2037 27,272 31,322


Pool #A67449 5,445 6.00 11/01/2037 5,027 6,120


Pool #A68998 246 6.00 11/01/2037 237 285


Pool #A68439 5,735 5.50 11/01/2037 5,154 6,290


Pool #A68579 1,514 6.00 11/01/2037 1,210 1,680


Pool #A69830 1,950 6.00 12/01/2037 1,551 2,262


Pool #A72300 136 6.00 1/01/2038 126 152


Pool #A73519 211 5.00 3/01/2038 207 235


Pool #A73116 18,785 6.50 2/01/2038 16,795 20,732


Pool #A73703 960 5.00 3/01/2038 895 1,055


Pool #A73705 142 5.00 3/01/2038 130 160


Pool #A73872 741 5.00 3/01/2038 719 840


Pool #A74198 281 5.00 2/01/2038 275 318


Pool #A75744 18,870 4.50 4/01/2038 18,990 20,648


Pool #A76046 134,386 5.50 4/01/2038 131,912 153,907


Pool #A76335 1,448 5.00 4/01/2038 1,413 1,642


Pool #A76409 1,101 5.00 4/01/2038 746 1,200


Pool #A76528 1,194 6.50 5/01/2038 900 1,320


Pool #A77344 2,272 5.00 5/01/2038 2,094 2,578


Pool #A77463 180 5.00 5/01/2038 175 204


Pool #A77472 468 5.00 6/01/2038 453 530



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #A77796 13,566 5.50% 5/01/2038 $ 13,337 $ 15,546


Pool #A78602 769 6.00 6/01/2038 761 847


Pool #A78831 20,192 5.00 6/01/2038 19,093 22,093


Pool #A79846 445 6.00 7/01/2038 432 495


Pool #A79427 1,738 6.00 7/01/2038 1,726 1,913


Pool #G01842 2,809 4.50 6/01/2035 2,779 3,096


Pool #G01910 7,056 5.00 10/01/2035 6,724 7,980


Pool #G02072 1,832 5.50 3/01/2036 1,791 2,088


Pool #G02261 6,060 5.50 12/01/2035 5,884 6,915


Pool #G02386 7,759 6.00 11/01/2036 7,252 8,981


Pool #G03295 4,521 6.50 7/01/2037 4,388 5,233


Pool #G02408 3,310 5.50 12/01/2036 3,165 3,780


Pool #G02422 9,364 6.00 12/01/2036 8,787 10,857


Pool #G02478 2,954 5.50 12/01/2036 2,832 3,376


Pool #G02869 8,523 5.00 11/01/2035 8,235 9,637


Pool #G03075 2,178 5.50 7/01/2037 2,089 2,495


Pool #G04120 2,756 5.00 3/01/2038 2,626 3,105


Pool #G04173 6,886 6.50 12/01/2037 6,403 8,157


Pool #G04176 15,570 5.50 5/01/2038 14,976 17,845


Pool #G03504 831 6.00 11/01/2037 786 965


Pool #G03513 628 6.00 11/01/2037 581 728


Pool #G03550 23,272 6.00 11/01/2037 21,486 26,572


Pool #G03551 16,098 6.00 11/01/2037 15,310 18,678


Pool #G03616 13,510 6.00 12/01/2037 12,622 15,675


Pool #G03646 4,850 6.00 1/01/2038 4,475 5,628



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #G03660 12,798 6.00% 12/01/2037 $ 12,371 $ 14,846


Pool #G04214 14,153 5.50 5/01/2038 13,371 16,220


Pool #G04448 18,974 5.50 7/01/2038 18,285 21,729


Pool #G04607 710 6.00 9/01/2038 684 822


Pool #G04668 6,658 5.00 3/01/2038 6,542 7,543


Pool #G04688 726 5.50 9/01/2038 708 831


Pool #G04765 22,120 6.00 9/01/2038 21,049 25,665


Pool #G04815 10,500 5.00 9/01/2038 10,294 11,900


Pool #G04817 16,251 5.00 9/01/2038 15,946 18,415


Pool #G05982 17,162 4.50 9/01/2040 16,926 18,923


Pool #G05228 496 6.00 1/01/2039 469 574


Pool #G05342 13,681 5.00 1/01/2039 13,443 15,503


Pool #G05521 929 5.50 5/01/2037 888 1,063


Pool #G05671 12,092 5.50 8/01/2038 11,702 13,493


Pool #G05707 7,602 5.50 10/01/2039 7,026 8,666


Pool #G05683 5,326 5.00 12/01/2038 5,226 6,034


Pool #G05792 37,555 4.50 2/01/2040 37,380 41,551


Pool #G06800 1,840 4.00 10/01/2041 1,860 2,016


Pool #G06892 1,464 4.00 1/01/2042 1,457 1,588


Pool #G06358 23,811 4.00 4/01/2041 24,149 26,158


Pool #G06562 47,628 5.00 5/01/2041 46,898 53,969


Pool #G07116 15,302 6.00 7/01/2039 14,285 17,437


Pool #G07551 310,211 3.00 10/01/2043 311,043 327,334


Pool #G08011 9,554 6.00 9/01/2034 8,841 10,956


Pool #G08086 1,906 5.50 10/01/2035 1,843 2,175



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #G08099 6,973 5.00% 12/01/2035 $ 6,710 $ 7,893


Pool #G08109 1,987 4.50 11/01/2035 1,938 2,192


Pool #G08113 1,605 6.50 2/01/2036 1,539 1,842


Pool #G08216 2,741 5.50 8/01/2037 2,635 3,138


Pool #G08269 397 5.50 5/01/2038 381 455


Pool #G08300 945 5.50 11/01/2038 893 1,083


Pool #G08344 1,891 4.50 5/01/2039 1,877 2,092


Pool #G08368 32,452 4.50 10/01/2039 32,231 35,793


Pool #G08369 1,418 5.00 10/01/2039 1,388 1,609


Pool #G08463 15,096 4.00 10/01/2041 15,197 16,502


Pool #G08488 50,129 3.50 4/01/2042 50,686 54,093


Pool #G08490 61,967 4.50 4/01/2042 62,845 68,408


Pool #G08537 583,053 3.00 7/01/2043 584,689 615,461


Pool #G08566 224,490 3.50 1/01/2044 226,113 241,410


Pool #G08585 244,496 3.50 5/01/2044 245,991 262,063


Pool #G08665 209,371 4.50 8/01/2045 198,043 230,844


Pool #G08702 303,740 3.50 4/01/2046 305,153 324,141


Pool #G08693 451,611 3.50 3/01/2046 453,441 482,052


Pool #G08721 433,215 3.00 9/01/2046 433,712 454,960


Pool #G08762 147,676 4.00 5/01/2047 147,313 158,326


Pool #G08750 546,726 3.00 3/01/2047 547,263 573,004


Pool #G08757 158,623 3.50 4/01/2047 159,253 168,763


Pool #A80845 5,298 5.50 8/01/2038 5,089 6,071


Pool #A80378 4,155 5.50 12/01/2036 3,896 4,568


Pool #A80983 334 5.00 8/01/2038 327 378



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #A81618 387 6.00% 9/01/2038 $ 376 $ 448


Pool #A83575 16,001 5.00 12/01/2038 15,806 18,151


Pool #A82762 840 5.00 11/01/2038 816 952


Pool #A83350 23,476 5.50 12/01/2038 23,342 26,857


Pool #A83406 390 5.50 12/01/2038 390 427


Pool #C00875 230 7.50 10/01/2029 209 261


Pool #C00193 69 7.50 12/01/2022 40 70


Pool #C00555 883 7.50 10/01/2027 751 985


Pool #C00701 530 6.50 1/01/2029 484 591


Pool #C00689 115 6.50 12/01/2028 106 128


Pool #C00756 148 7.00 4/01/2029 135 167


Pool #C01222 140 7.00 9/01/2031 128 163


Pool #C01622 1,806 5.00 9/01/2033 1,735 2,040


Pool #C01839 4,243 5.00 5/01/2034 4,117 4,800


Pool #C01846 4,339 5.00 6/01/2034 4,144 4,908


Pool #C01848 610 6.00 6/01/2034 568 704


Pool #C03565 19,955 4.00 12/01/2040 20,079 21,818


Pool #C03325 20,396 6.00 2/01/2039 17,895 23,460


Pool #C03461 22,396 4.00 2/01/2040 22,637 24,606


Pool #C03831 48,645 4.50 3/01/2042 48,275 53,787


Pool #C04061 359,868 4.00 6/01/2042 356,872 395,384


Pool #A83738 659 5.50 12/01/2038 647 723


Pool #A84128 21,499 5.50 1/01/2039 21,404 24,038


Pool #A85349 4,734 4.50 3/01/2039 4,563 5,236


Pool #A84694 435 4.50 2/01/2039 415 477



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #A84814 68,047 4.50% 3/01/2039 $ 66,563 $ 75,265


Pool #A85244 51,714 6.50 3/01/2039 51,525 57,075


Pool #A85495 6,772 4.50 4/01/2039 6,749 7,435


Pool #A85718 7,309 4.00 4/01/2039 7,367 8,037


Pool #A86044 1,623 5.00 5/01/2039 1,513 1,833


Pool #A86802 13,842 4.00 6/01/2039 13,669 15,085


Pool #A86830 26,583 4.50 6/01/2039 26,327 29,404


Pool #A86876 1,377 5.00 6/01/2039 1,376 1,563


Pool #A87997 19,981 5.00 8/01/2039 18,475 22,669


Pool #A88027 913 5.00 8/01/2039 880 1,032


Pool #A87339 1,647 5.00 7/01/2039 1,627 1,869


Pool #A89031 6,695 4.00 9/01/2039 6,709 7,333


Pool #A89760 3,657 4.50 12/01/2039 3,602 4,033


Pool #A90316 1,100 4.50 12/01/2039 1,092 1,215


Pool #A90319 29,958 5.00 12/01/2039 29,558 33,995


Pool #C15744 769 8.50 11/01/2026 602 837


Pool #C25414 67 6.50 4/01/2029 63 74


Pool #C27803 98 6.00 6/01/2029 88 108


Pool #A91808 19,224 4.50 4/01/2040 18,735 21,098


Pool #A92240 9,703 4.50 5/01/2040 9,649 10,732


Pool #A93099 15,195 5.00 7/01/2040 14,699 17,171


Pool #A93643 28,095 4.00 9/01/2040 26,895 30,728


Pool #A93854 28,230 4.50 9/01/2040 27,609 30,987


Pool #A93948 27,102 4.50 9/01/2040 26,813 29,976


Pool #A94175 16,889 4.00 10/01/2040 17,018 18,555



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #A94184 2,848 4.00% 10/01/2040 $ 2,795 $ 3,119


Pool #A94326 18,741 3.50 10/01/2040 18,911 20,241


Pool #A95113 40,284 4.00 11/01/2040 40,446 44,052


Pool #A96174 184,090 4.00 1/01/2041 185,347 201,583


Pool #A96563 84,419 4.00 1/01/2041 84,399 92,726


Pool #A97571 10,962 5.00 3/01/2041 10,997 12,022


Pool #A97601 27,524 4.50 3/01/2041 27,766 30,518


Pool #A10107 1,913 5.50 6/01/2033 1,856 2,100


Pool #A13738 17,885 5.00 9/01/2033 17,799 20,218


Pool #A13739 6,289 5.00 9/01/2033 5,810 7,092


Pool #A13829 5,298 5.00 9/01/2033 5,103 5,896


Pool #A13995 2,261 6.00 10/01/2033 2,233 2,511


Pool #A14165 8,754 5.00 10/01/2033 8,384 9,919


Pool #A14339 689 5.50 10/01/2033 628 755


Pool #A15120 1,609 5.50 10/01/2033 1,400 1,771


Pool #A15851 12,566 5.50 12/01/2033 11,487 14,363


Pool #A16517 427 5.00 12/01/2033 312 465


Pool #A16524 2,605 7.00 12/01/2033 2,375 2,924


Pool #A16527 1,887 6.00 11/01/2033 1,805 2,077


Pool #A16622 5,418 5.00 12/01/2033 5,322 6,104


Pool #A16674 3,328 5.00 12/01/2033 3,113 3,675


Pool #A16675 2,251 5.00 12/01/2033 2,081 2,463


Pool #A17501 3,689 7.00 1/01/2034 3,241 4,206


Pool #A20041 951 5.00 3/01/2034 901 1,052


Pool #A20113 42 6.50 10/01/2031 (9) 47



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #A20559 1,057 5.50% 4/01/2034 $ 996 $ 1,197


Pool #A21666 719 5.00 5/01/2034 671 803


Pool #A21808 250 5.00 5/01/2034 222 273


Pool #A21904 4,456 5.50 5/01/2034 4,295 5,006


Pool #A22207 6,379 5.00 5/01/2034 6,337 7,139


Pool #A23571 3,059 5.00 6/01/2034 3,039 3,341


Pool #A23121 408 5.00 5/01/2034 387 445


Pool #A23131 1,306 5.00 6/01/2034 1,259 1,478


Pool #A23132 1,157 5.00 6/01/2034 1,111 1,310


Pool #A23137 4,654 5.00 6/01/2034 4,399 5,267


Pool #A23139 989 5.00 6/01/2034 980 1,108


Pool #A23164 2,368 5.00 6/01/2034 2,328 2,633


Pool #A23165 1,531 5.00 6/01/2034 1,509 1,703


Pool #A23432 704 5.00 6/01/2034 701 769


Pool #A23820 293 5.00 6/01/2034 223 320


Pool #A24995 984 6.00 7/01/2034 927 1,084


Pool #A26403 1,662 5.50 9/01/2034 1,536 1,824


Pool #A27507 4,190 6.00 10/01/2034 3,797 4,756


Pool #A27704 796 6.00 10/01/2034 772 876


Pool #A27872 914 6.00 10/01/2034 893 1,007


Pool #A29692 318 5.50 1/01/2035 283 348


Pool #A31511 1,650 5.50 2/01/2035 1,579 1,830


Pool #A32759 585 4.50 5/01/2035 557 627


Pool #A34054 1,459 6.00 4/01/2035 1,351 1,610


Pool #A36418 824 5.00 8/01/2035 785 916



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #A37002 3,384 5.00% 9/01/2035 $ 3,321 $ 3,831


Pool #A37317 1,333 5.00 9/01/2035 1,203 1,492


Pool #A37713 6,641 5.00 9/01/2035 6,331 7,447


Pool #A37846 10,571 5.00 9/01/2035 10,244 11,962


Pool #A38962 2,063 5.50 10/01/2034 1,972 2,336


Pool #A39083 1,578 5.50 10/01/2035 1,455 1,731


Pool #A39197 110 5.00 11/01/2035 83 120


Pool #A39433 5,395 5.00 11/01/2035 5,121 6,106


Pool #A39646 365 4.50 11/01/2035 356 402


Pool #C53365 943 6.50 6/01/2031 929 1,041


Pool #ZT0383 1,588,553 3.50 3/01/2048 1,681,831 1,683,226


Pool #SD8052 2,182,597 4.00 3/01/2050 2,326,915 2,318,752


Pool #Q01402 10,132 4.50 6/01/2041 9,839 11,204


Pool #Q02009 18,299 4.50 7/01/2041 17,709 19,818


Pool #Q02849 5,187 4.50 8/01/2041 5,127 5,683


Pool #Q03580 5,621 4.50 9/01/2041 5,541 6,173


Pool #Q04244 34,562 4.00 11/01/2041 34,423 37,962


Pool #Q05926 2,361 4.00 2/01/2042 2,370 2,593


Pool #Q08641 125,657 3.50 6/01/2042 126,782 135,765


Pool #Q08768 14,287 4.50 6/01/2042 13,298 15,308


Pool #Q10899 92,060 3.50 9/01/2042 92,220 98,842


Pool #Q12303 261,683 3.00 11/01/2042 262,320 276,368


Pool #Q13743 611,348 3.00 11/01/2042 613,322 645,758


Pool #Q19982 98,054 3.50 7/01/2043 98,783 104,924


Pool #Q20542 428,909 3.00 7/01/2043 430,107 452,794



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #Q45094 1,066,370 3.00% 12/01/2046 $ 1,067,660 $ 1,120,977


Pool #Q50962 518,229 3.50 9/01/2047 522,821 549,448


Pool #QB0588 1,980,866 3.00 6/01/2050 2,094,416 2,064,778


Pool #QB0754 4,574,428 3.00 7/01/2050 4,817,556 4,760,131


Pool #QB1861 2,335,401 3.00 8/01/2050 2,463,386 2,436,997


Pool #QB2462 961,108 3.00 8/01/2050 1,008,827 1,003,334


Pool #RA1902 1,333,627 4.00 12/01/2049 1,404,262 1,426,410


Pool #RA3587 2,533,983 4.00 9/01/2050 2,769,589 2,740,631


Pool #SD0392 3,468,757 3.00 6/01/2050 3,664,306 3,644,518


Pool #QA6700 4,033,119 3.00 1/01/2050 4,212,093 4,194,384


Pool #RA1903 2,917,104 4.00 12/01/2049 3,156,213 3,115,280

Ginnie Mae TBA(2) 29,670,000 2.50 1/21/2052 30,417,845 30,383,901

GNMA I Single Family 30 yr

Pool #770399 17,656 4.50 6/15/2041 17,341 19,799


Pool #779579 17,090 3.50 10/15/2041 16,669 18,242


Pool #779396 112,529 3.50 6/15/2042 112,902 120,256


Pool #AB9203 229,847 3.00 11/15/2042 230,793 240,683


Pool #716812 14,349 4.50 4/15/2039 14,344 16,100


Pool #716850 10,597 4.50 4/15/2039 10,581 11,867


Pool #722760 14,897 6.50 8/15/2039 11,968 16,343


Pool #722282 17,224 4.50 9/15/2039 17,144 19,337


Pool #723616 25,135 5.00 1/15/2040 24,788 28,937


Pool #723430 17,272 4.50 11/15/2039 17,079 19,304


Pool #733153 25,826 4.50 5/15/2040 25,834 28,599


Pool #738003 23,339 4.50 2/15/2041 23,267 26,392


Pool #738015 11,702 4.50 2/15/2041 11,353 13,079



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #737532 63,454 4.00% 10/15/2040 $ 64,008 $ 69,766


Pool #737794 51,332 4.00 12/15/2040 51,779 56,465


Pool #737898 93,441 4.00 1/15/2041 93,461 102,678


Pool #738711 47,456 4.00 9/15/2041 47,608 51,646


Pool #742550 10,808 4.50 9/15/2040 10,931 12,129


Pool #748495 7,454 4.00 8/15/2040 7,447 8,099


Pool #487807 11,623 4.50 3/15/2039 11,613 12,985


Pool #782405 53,524 5.50 9/15/2038 51,668 61,942


Pool #782789 17,377 5.50 10/15/2039 17,107 20,009


Pool #783024 42,475 5.00 7/15/2040 42,219 48,900


Pool #783292 50,139 6.00 12/15/2040 48,285 58,190


Pool #783313 9,122 5.50 2/15/2041 8,866 10,504


Pool #676678 2,494 6.00 1/15/2038 2,476 2,897


Pool #692595 31,488 5.00 6/15/2039 31,127 36,168


Pool #694553 6,154 5.50 12/15/2038 5,543 7,128


Pool #698402 10,892 4.50 7/15/2039 10,883 12,173


Pool #698483 14,844 4.50 8/15/2039 14,591 16,623


Pool #698033 2,956 5.50 1/15/2039 2,744 3,425


Pool #698095 9,025 4.50 4/15/2039 8,939 10,126


Pool #698223 1,736 4.00 6/15/2039 1,746 1,893


Pool #698308 16,136 4.50 5/15/2039 16,009 17,881


Pool #706529 16,564 6.50 2/15/2039 15,876 18,922


Pool #709484 208 5.50 7/15/2039 98 229


Pool #711321 253 6.00 1/15/2039 106 278


Pool #487824 97,938 4.50 4/15/2039 98,003 109,820



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #781029 442 6.50% 5/15/2029 $ 399 $ 493


Pool #760401 128 5.00 11/15/2041 107 144


Pool #760404 7,288 5.00 11/15/2041 7,370 8,199


Pool #762563 6,231 5.00 4/15/2041 6,293 7,011


Pool #761750 2,031 4.50 5/15/2041 1,787 2,291


Pool #779084 40,403 3.00 4/15/2042 40,507 42,308


Pool #796233 65,698 3.50 5/15/2042 65,799 70,128


Pool #796269 130,057 3.50 7/15/2042 130,334 138,181


Pool #AA1881 85,903 3.00 9/15/2042 85,731 89,814


Pool #AD2336 82,675 3.50 4/15/2043 82,945 87,266


Pool #598543 465 5.50 4/15/2035 426 511


Pool #598579 363 5.50 12/15/2032 328 401


Pool #598660 1,956 5.50 5/15/2033 1,747 2,211


Pool #603673 1,149 5.50 5/15/2033 1,102 1,313


Pool #603841 313 5.50 12/15/2032 287 344


Pool #604871 2,438 5.00 12/15/2033 2,339 2,810


Pool #604087 336 5.50 3/15/2033 320 384


Pool #604142 1,261 5.50 3/15/2033 1,201 1,442


Pool #604185 883 5.50 4/15/2033 842 1,009


Pool #604245 2,843 5.50 4/15/2033 2,653 3,250


Pool #604337 3,573 5.50 5/15/2033 3,417 4,031


Pool #604474 5,300 5.00 7/15/2033 4,971 5,959


Pool #604479 8,559 5.00 7/15/2033 8,094 9,981


Pool #604550 2,152 5.00 8/15/2033 2,035 2,482


Pool #604713 4,289 5.50 10/15/2033 4,002 4,906



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #605734 7,527 6.00% 10/15/2034 $ 6,837 $ 8,747


Pool #605618 2,834 5.50 7/15/2034 2,674 3,239


Pool #569798 265 7.50 5/15/2032 259 269


Pool #574385 227 6.50 1/15/2032 218 250


Pool #577434 263 6.50 2/15/2032 236 288


Pool #581148 424 6.50 3/15/2032 402 490


Pool #582021 309 6.50 8/15/2032 302 341


Pool #586254 4,176 5.50 10/15/2034 3,739 4,706


Pool #586283 6,290 5.50 11/15/2034 5,812 7,123


Pool #587021 259 6.50 4/15/2032 242 285


Pool #592075 1,548 5.00 7/15/2033 1,495 1,760


Pool #592466 771 5.50 12/15/2032 751 866


Pool #594172 3,018 6.00 11/15/2033 2,874 3,467


Pool #606468 1,435 5.50 4/15/2033 1,375 1,615


Pool #609383 1,192 5.50 4/15/2033 1,129 1,327


Pool #611423 511 5.50 4/15/2033 444 574


Pool #611547 663 5.50 5/15/2033 637 737


Pool #611529 174 5.50 5/15/2033 141 191


Pool #612929 154 5.50 7/15/2033 105 169


Pool #612802 1,070 5.50 5/15/2033 1,025 1,192


Pool #345077 182 7.00 3/15/2026 165 194


Pool #345133 241 7.50 1/15/2024 223 244


Pool #346691 64 7.50 8/15/2023 57 65


Pool #366658 47 7.00 1/15/2024 40 48

GNMA I Single Family 30 yr 11 8.00 8/15/2024 (5) 11



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #405557 176 7.00% 1/15/2026 $ 171 $ 188


Pool #422301 231 7.00 2/15/2026 224 245


Pool #425008 1,631 5.00 11/15/2033 1,556 1,877


Pool #429675 3,619 5.00 11/15/2033 3,351 4,107


Pool #429677 605 5.00 11/15/2033 598 680


Pool #434129 367 7.00 12/15/2028 348 373


Pool #455357 381 7.00 12/15/2027 345 406


Pool #458719 264 7.00 12/15/2027 258 283


Pool #460971 384 7.50 11/15/2027 374 399


Pool #462642 530 6.50 7/15/2028 462 585


Pool #462826 640 7.00 7/15/2028 600 664


Pool #462827 250 7.00 7/15/2028 248 252


Pool #464763 219 7.00 8/15/2028 218 225


Pool #469651 283 7.00 10/15/2028 281 293


Pool #482699 314 7.00 8/15/2028 311 327


Pool #716792 484 4.50 4/15/2039 484 543


Pool #720162 6,763 4.50 7/15/2039 6,619 7,559


Pool #720156 9,847 4.50 7/15/2039 9,791 11,000


Pool #721338 8,350 5.00 10/15/2040 8,417 9,520


Pool #722258 2,251 4.50 9/15/2039 2,228 2,527


Pool #723544 22,756 5.50 12/15/2039 21,518 26,353


Pool #724935 6,076 4.50 1/15/2040 5,780 6,754


Pool #726316 63,503 5.00 9/15/2039 61,735 73,026


Pool #726380 79,417 4.50 10/15/2039 79,235 89,913


Pool #726019 19,819 4.50 6/15/2040 19,697 22,507



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #727290 12,635 4.50% 1/15/2040 $ 12,780 $ 14,004


Pool #732462 2,396 4.50 5/15/2040 2,296 2,656


Pool #732490 47,678 6.00 3/15/2040 47,791 52,522


Pool #732531 10,535 5.00 8/15/2040 10,651 12,160


Pool #733747 57,110 5.00 6/15/2040 56,125 65,835


Pool #733871 23,924 4.50 8/15/2040 24,323 26,864


Pool #734029 31,634 4.50 11/15/2040 31,997 35,935


Pool #734161 9,118 3.50 1/15/2041 9,052 9,665


Pool #737031 17,964 4.50 2/15/2040 17,859 20,065


Pool #737376 4,836 4.50 3/15/2040 4,750 5,405


Pool #737382 6,809 5.00 3/15/2040 6,553 7,839


Pool #738904 19,195 4.00 10/15/2041 18,873 20,998


Pool #738316 11,943 4.50 5/15/2041 9,810 13,227


Pool #743107 11,667 5.00 8/15/2040 11,339 13,287


Pool #744075 1,298 5.00 6/15/2041 1,308 1,459


Pool #748479 68,951 4.00 8/15/2040 69,215 75,552


Pool #749376 28,506 4.50 7/15/2041 27,711 32,129


Pool #750582 4,917 5.00 5/15/2041 4,778 5,638


Pool #486635 1,672 6.50 11/15/2028 1,521 1,834


Pool #487833 5,719 4.00 4/15/2039 5,626 6,174


Pool #520234 776 6.00 7/15/2034 715 880


Pool #520260 2,283 6.00 9/15/2034 2,115 2,590


Pool #550142 152 6.50 7/15/2031 130 173


Pool #552659 416 6.50 7/15/2032 387 465


Pool #553056 382 5.50 2/15/2033 351 434



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #553166 2,733 5.50% 4/15/2033 $ 2,519 $ 3,120


Pool #553244 774 5.50 5/15/2033 724 873


Pool #553311 1,004 5.50 6/15/2033 948 1,146


Pool #562466 997 6.00 8/15/2034 892 1,132


Pool #566612 385 6.50 10/15/2031 381 423


Pool #313123 20 7.00 12/15/2022 19 20


Pool #332371 25 7.00 10/15/2022 23 25


Pool #780802 376 6.50 5/15/2028 342 420


Pool #780827 213 6.50 7/15/2028 196 234


Pool #780031 56 7.00 7/15/2024 43 58


Pool #780035 388 6.50 7/15/2024 290 426


Pool #780073 517 9.00 3/15/2025 434 551


Pool #780113 327 7.00 10/15/2024 250 344


Pool #780167 264 7.00 12/15/2024 213 276


Pool #780213 104 7.50 8/15/2025 81 110


Pool #780469 146 6.00 6/15/2024 103 160


Pool #780615 107 6.50 8/15/2027 93 117


Pool #780685 135 6.50 12/15/2027 113 148


Pool #781694 1,934 6.00 12/15/2031 1,806 2,239


Pool #781704 252 6.50 4/15/2033 226 292


Pool #781722 7,838 5.00 2/15/2034 7,486 8,974


Pool #781769 18,684 5.00 11/15/2033 17,957 21,564


Pool #780912 493 6.50 11/15/2028 433 544


Pool #780936 1,297 7.50 12/15/2028 1,118 1,452


Pool #780941 338 6.00 12/15/2028 305 372



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #780977 147 7.50% 12/15/2028 $ 129 $ 164


Pool #781035 132 6.50 5/15/2029 117 148


Pool #781038 355 6.50 5/15/2029 322 400


Pool #781089 291 7.50 9/15/2029 272 329


Pool #781079 305 7.50 8/15/2029 273 350


Pool #781096 745 6.50 12/15/2028 670 837


Pool #781113 200 7.00 11/15/2029 179 228


Pool #781184 741 8.00 12/15/2024 603 789


Pool #781207 200 7.50 8/15/2030 179 230


Pool #781210 1,581 6.50 9/15/2029 1,438 1,762


Pool #781226 165 6.50 12/15/2030 150 186


Pool #781318 709 8.00 12/15/2024 362 744


Pool #781478 495 7.50 3/15/2032 436 572


Pool #781525 157 6.50 11/15/2032 143 181


Pool #781579 790 6.50 2/15/2033 710 914


Pool #781589 556 5.50 4/15/2033 529 635


Pool #781594 3,296 6.50 1/15/2033 2,983 3,821


Pool #781636 2,771 5.50 7/15/2033 2,633 3,167


Pool #781621 424 7.00 3/15/2033 404 503


Pool #781626 1,048 5.50 6/15/2033 1,003 1,197


Pool #781627 3,890 5.50 6/15/2033 3,665 4,445


Pool #781659 677 6.00 10/15/2033 659 786


Pool #783701 46,425 6.00 6/15/2041 43,614 53,886


Pool #783851 59,159 6.00 3/15/2041 56,354 67,175


Pool #751947 6,384 4.50 1/15/2041 5,724 7,076



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #756928 5,703 3.50% 11/15/2040 $ 5,686 $ 6,054


Pool #782119 6,567 6.00 8/15/2036 6,234 7,627


Pool #782365 4,692 6.00 7/15/2038 4,439 5,447


Pool #782379 2,480 6.00 8/15/2038 1,959 2,816


Pool #783565 28,276 6.50 7/15/2040 25,991 31,975


Pool #782949 36,011 5.00 5/15/2040 35,439 41,458


Pool #782925 7,626 4.50 3/15/2040 7,655 8,557


Pool #783095 30,110 4.00 9/15/2040 29,948 32,720


Pool #783456 25,534 3.50 10/15/2041 25,649 27,297


Pool #614504 593 5.00 6/15/2033 483 667


Pool #614548 4,558 5.00 7/15/2033 4,306 5,186


Pool #614601 6,844 5.00 7/15/2033 6,694 7,809


Pool #615630 326 5.00 9/15/2033 293 372


Pool #615278 750 5.00 7/15/2033 723 844


Pool #615459 1,249 5.00 8/15/2033 1,230 1,432


Pool #631527 1,197 5.50 7/15/2034 1,062 1,318


Pool #635877 424 6.00 10/15/2034 420 467


Pool #640933 966 5.50 5/15/2035 963 1,062


Pool #645011 4,816 5.50 7/15/2035 4,756 5,527


Pool #646015 1,560 6.00 8/15/2037 1,289 1,751


Pool #670109 1,679 6.00 7/15/2037 1,676 1,865


Pool #671111 4,324 6.00 8/15/2037 4,158 4,935


Pool #671325 1,155 6.00 7/15/2037 943 1,308


Pool #672770 39,591 6.50 6/15/2038 38,762 44,178


Pool #672877 40,934 5.50 7/15/2038 40,770 47,414



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #675179 39,784 5.00% 3/15/2038 $ 39,303 $ 45,933


Pool #676842 4,093 5.50 5/15/2038 3,909 4,740


Pool #676859 17,448 5.00 5/15/2038 16,193 20,154


Pool #676927 33,302 5.50 4/15/2038 33,235 38,542


Pool #677051 2,705 5.50 6/15/2038 2,552 3,131


Pool #687719 13,071 5.50 7/15/2038 12,851 15,142


Pool #689508 4,878 6.00 7/15/2038 4,913 5,382


Pool #696537 2,936 5.50 8/15/2038 2,809 3,392


Pool #697704 715 5.50 12/15/2038 703 828


Pool #697749 9,693 5.00 3/15/2039 9,254 11,188


Pool #697914 37,586 5.00 3/15/2039 36,720 43,311


Pool #697947 40,792 5.00 3/15/2039 39,856 47,021


Pool #698010 4,278 5.00 1/15/2039 4,177 4,940


Pool #698073 29,631 4.50 4/15/2039 29,460 33,273


Pool #698103 49,216 5.00 4/15/2039 47,689 56,660


Pool #698343 18,553 5.00 5/15/2039 17,934 21,431


Pool #699137 542 6.00 9/15/2038 545 607


Pool #699237 138 6.50 9/15/2038 95 156


Pool #699494 439 6.00 10/15/2038 381 486


Pool #699495 277 6.00 10/15/2038 269 314


Pool #699972 1,059 6.50 12/15/2038 1,055 1,200


Pool #700811 61 6.00 10/15/2038 48 67


Pool #700785 3,176 6.00 10/15/2038 2,841 3,498


Pool #701206 1,409 6.00 10/15/2038 1,113 1,550


Pool #702547 2,059 5.50 11/15/2038 1,748 2,369



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #704109 219 6.00% 12/15/2038 $ 214 $ 248


Pool #704575 13,349 4.50 6/15/2039 13,154 14,920


Pool #705357 557 6.00 12/15/2038 540 647


Pool #706474 901 6.00 1/15/2039 862 1,005


Pool #707286 3,411 5.00 2/15/2039 3,198 3,937


Pool #713592 5,249 4.00 7/15/2039 5,106 5,724


Pool #713872 9,497 4.50 9/15/2039 9,206 10,664

GNMA II Single Family 30 yr

Pool #MA3521 273,730 3.50 3/20/2046 272,327 289,616


Pool #MA3597 1,569,531 3.50 4/20/2046 1,623,857 1,658,283


Pool #MA3736 351,938 3.50 6/20/2046 350,341 370,678


Pool #MA4262 535,256 3.50 2/20/2047 534,679 562,696


Pool #MA0089 255,568 4.00 5/20/2042 256,881 278,479


Pool #MA0154 103,012 3.50 6/20/2042 103,509 110,356


Pool #MA0391 193,111 3.00 9/20/2042 193,918 202,553


Pool #MA0462 315,219 3.50 10/20/2042 316,954 337,671


Pool #MA0533 195,968 3.00 11/20/2042 196,842 205,551


Pool #MA0624 514,470 3.00 12/20/2042 517,039 539,643


Pool #MA0698 356,482 3.00 1/20/2043 358,320 373,925


Pool #MA1761 442,235 4.00 3/20/2044 437,322 478,282


Pool #MA1089 207,727 3.00 6/20/2043 208,814 217,891


Pool #MA1285 178,029 3.50 9/20/2043 178,698 190,630


Pool #MA1523 125,064 4.50 12/20/2043 122,248 138,337


Pool #MA1600 290,621 3.50 1/20/2044 291,462 310,598


Pool #MA2677 218,874 3.00 3/20/2045 219,319 228,562


Pool #MA2678 118,492 3.50 3/20/2045 118,615 125,385



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #MA2303 399,253 3.50% 10/20/2044 $ 400,261 $ 423,789


Pool #MA2444 200,064 3.00 12/20/2044 200,550 209,293


Pool #MA2756 137,730 4.50 4/20/2045 133,570 152,170


Pool #MA2892 189,506 3.50 6/20/2045 188,031 200,562


Pool #MA3035 241,241 4.00 8/20/2045 227,893 260,977


Pool #MA3106 160,987 4.00 9/20/2045 151,711 174,141


Pool #MA3173 307,741 3.50 10/20/2045 305,578 325,444


Pool #MA3174 214,212 4.00 10/20/2045 202,363 227,576


Pool #MA3377 575,588 4.00 1/20/2046 546,551 620,796


Pool #MA4003 1,023,882 3.00 10/20/2046 1,047,833 1,068,789


Pool #MA4004 326,270 3.50 10/20/2046 325,806 343,886


Pool #MA4068 467,410 3.00 11/20/2046 468,732 487,919


Pool #MA4509 307,779 3.00 6/20/2047 308,601 321,603


Pool #MA4510 357,145 3.50 6/20/2047 357,009 375,200


Pool #MA4586 552,805 3.50 7/20/2047 552,351 580,670


Pool #MA4962 3,847,134 3.50 1/20/2048 4,081,195 4,044,581


Pool #AD1744 158,695 3.00 2/20/2043 159,209 168,935


Pool #AD8811 325,611 3.00 3/20/2043 326,834 346,615


Pool #AM4971 152,958 3.50 4/20/2045 153,111 162,886


Pool #5233 363,500 4.00 11/20/2041 364,954 393,748


Pool #MA5265 1,767,282 4.50 6/20/2048 1,917,437 1,879,502


Pool #MA4901 296,167 4.00 12/20/2047 303,789 315,619


Pool #MA4720 656,714 4.00 9/20/2047 636,262 698,143


Pool #MA6339 1,720,129 3.50 12/20/2049 1,827,013 1,791,067


Pool #MA6932 13,717,215 3.00 10/20/2050 14,368,609 14,213,467



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #MA0023 95,522 4.00% 4/20/2042 $ 95,879 $ 103,472


Pool #MA0392 159,819 3.50 9/20/2042 160,678 171,205


Pool #MA0933 252,965 3.00 4/20/2043 254,257 265,343


Pool #MA3802 394,716 3.00 7/20/2046 395,724 411,968


Pool #AB9822 138,259 3.50 3/20/2043 137,825 145,844


Pool #MA0321 41,750 5.00 8/20/2042 40,395 47,159


Pool #MA0628 9,760 5.00 12/20/2042 9,594 11,030


Pool #MA1678 54,096 4.00 2/20/2044 53,462 58,584


Pool #MA1680 55,381 5.00 2/20/2044 55,192 62,561


Pool #MA0934 205,739 3.50 4/20/2043 206,260 220,388


Pool #MA1015 66,065 5.00 5/20/2043 64,073 74,693


Pool #MA1090 257,661 3.50 6/20/2043 258,551 276,025


Pool #MA1092 186,275 4.50 6/20/2043 186,049 204,727


Pool #MA1377 48,287 4.50 10/20/2043 47,003 53,383


Pool #MA1521 247,282 3.50 12/20/2043 247,971 264,380


Pool #MA1838 258,400 3.50 4/20/2044 259,263 275,730


Pool #MA1919 173,680 3.50 5/20/2044 180,460 185,263


Pool #MA1920 162,205 4.00 5/20/2044 160,319 175,673


Pool #MA3596 236,885 3.00 4/20/2046 237,336 247,115


Pool #MA3036 126,798 4.50 8/20/2045 122,816 139,447


Pool #MA4450 146,516 3.00 5/20/2047 146,977 152,558


Pool #MA4451 380,183 3.50 5/20/2047 379,667 399,379


Pool #MA4069 460,590 3.50 11/20/2046 460,054 484,448


Pool #MA4264 403,394 4.50 2/20/2047 382,659 436,018


Pool #MA5329 29,827 3.50 7/20/2048 29,754 31,256



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Pool #MA4651 724,138 3.00% 8/20/2047 $ 730,005 $ 753,851


Pool #MA4652 751,520 3.50 8/20/2047 751,657 789,195


Pool #MA5190 351,376 3.00 5/20/2048 346,181 366,900


Pool #MA5986 1,270,731 4.00 6/20/2049 1,317,275 1,338,130


Pool #MA6340 1,563,994 4.00 12/20/2049 1,630,811 1,654,177


Pool #2590 535 6.50 5/20/2028 474 587


Pool #2702 754 7.00 1/20/2029 669 838


Pool #2795 1,291 6.50 8/20/2029 1,169 1,442


Pool #3131 537 5.50 9/20/2031 485 584


Pool #4397 40,205 4.50 3/20/2039 39,617 44,076


Pool #4097 50,048 5.00 3/20/2038 48,827 56,287


Pool #4194 18,116 5.50 7/20/2038 17,772 20,199


Pool #4220 28,596 5.00 8/20/2038 27,835 32,211


Pool #4244 444 5.50 9/20/2038 429 513


Pool #4289 12,499 5.00 11/20/2038 12,294 14,119


Pool #4922 50,568 4.00 1/20/2041 50,579 54,772


Pool #5084 49,111 5.50 6/20/2041 48,392 55,924


Pool #MA7474 3,931,399 3.50 7/20/2051 4,158,327 4,104,850


TBA(2) 2,615,000 3.00 7/20/2049 2,705,504 2,705,617


TBA(2) 30,545,000 2.00 1/21/2052 30,855,921 30,820,769

Japan International Cooperation

Agency 640,000 2.75 4/27/2027 A+ 691,429 677,331

Tennessee Valley Authority 130,000 4.70 7/15/2033 AA+ 173,951 167,944







Total Federal Agencies 609,639,076 615,012,215



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


US Government Notes & Bonds: 52.01%

US Treasury Bond(4) 2,743,000 5.25% 11/15/2028 $ 3,125,584 $ 3,432,286

US Treasury Bond(4) 1,960,000 5.25 2/15/2029 2,390,354 2,468,605

US Treasury Bond(4) 1,212,000 6.13 8/15/2029 1,624,958 1,625,926

US Treasury Bond(4) 2,735,000 6.25 5/15/2030 3,668,868 3,776,009

US Treasury Bond(4) 6,152,000 5.38 2/15/2031 8,417,320 8,232,866

US Treasury Bond(4) 834,000 4.50 2/15/2036 1,023,338 1,146,229

US Treasury Bond(4) 238,000 4.75 2/15/2037 301,072 337,588

US Treasury Bond(4) 354,000 5.00 5/15/2037 457,678 515,277

US Treasury Bond(4) 675,000 4.38 2/15/2038 824,647 930,129

US Treasury Bond(4) 179,000 4.50 5/15/2038 235,333 250,299

US Treasury Bond(4) 318,000 3.50 2/15/2039 351,785 398,941

US Treasury Bond(4) 413,000 4.25 5/15/2039 499,591 566,229

US Treasury Bond(4) 1,868,000 4.50 8/15/2039 2,306,012 2,637,966

US Treasury Bond(4) 823,000 4.38 5/15/2040 1,093,213 1,151,975

US Treasury Bond(4) 1,872,000 3.88 8/15/2040 2,570,139 2,467,311

US Treasury Bond(4) 2,542,000 4.25 11/15/2040 3,670,589 3,516,102

US Treasury Bond(4) 2,988,000 4.75 2/15/2041 4,240,963 4,395,978

US Treasury Bond(4) 2,518,000 4.38 5/15/2041 3,423,131 3,547,134

US Treasury Bond(4) 62,000 3.75 8/15/2041 70,893 80,975

US Treasury Bond(4) 3,560,000 3.13 11/15/2041 4,557,576 4,277,980

US Treasury Bond(4) 1,530,000 3.13 2/15/2042 1,775,346 1,843,351

US Treasury Bond(4) 1,600,000 2.75 8/15/2042 1,804,033 1,823,000

US Treasury Bond(4) 1,953,000 2.75 11/15/2042 1,933,996 2,225,810

US Treasury Bond(4) 5,236,000 3.13 2/15/2043 6,273,486 6,310,812

US Treasury Bond(4) 2,918,000 2.88 5/15/2043 3,370,845 3,390,807

US Treasury Bond(4) 1,290,000 3.63 8/15/2043 1,848,052 1,673,372

US Treasury Bond(4) 393,000 3.75 11/15/2043 521,968 519,727

US Treasury Bond(4) 1,485,000 3.63 2/15/2044 1,640,625 1,932,530

US Treasury Bond(4) 742,000 3.38 5/15/2044 945,952 934,137

US Treasury Bond(4) 994,000 3.00 11/15/2044 1,017,629 1,185,345

US Treasury Bond(4) 3,048,000 2.50 2/15/2045 2,856,360 3,351,967

US Treasury Bond(4) 1,349,000 3.00 5/15/2045 1,359,667 1,613,478

US Treasury Bond(4) 252,000 2.88 8/15/2045 244,501 295,874

US Treasury Bond(4) 1,220,000 3.00 11/15/2045 1,150,340 1,465,620

US Treasury Bond(4) 2,092,000 2.50 2/15/2046 2,042,354 2,310,925

US Treasury Bond(4) 1,314,000 2.50 5/15/2046 1,203,483 1,452,227

US Treasury Bond(4) 3,965,000 2.25 8/15/2046 3,504,954 4,192,368

US Treasury Bond(4) 2,391,000 2.88 11/15/2046 2,384,285 2,828,011

US Treasury Bond(4) 790,000 3.00 2/15/2047 1,094,249 956,023

US Treasury Bond(4) 1,046,000 3.00 5/15/2047 1,062,162 1,269,583

US Treasury Bond(4) 5,270,700 2.75 8/15/2047 5,147,069 6,133,365

US Treasury Bond(4) 1,880,000 2.75 11/15/2047 2,192,765 2,188,731

US Treasury Bond(4) 1,340,000 3.00 2/15/2048 1,713,630 1,635,533

US Treasury Bond(4) 3,720,000 3.13 5/15/2048 5,090,461 4,649,128

US Treasury Bond(4) 1,490,000 3.00 8/15/2048 1,754,160 1,823,213

US Treasury Bond(4) 159,000 7.13 2/15/2023 167,876 170,826

US Treasury Bond(4) 230,000 6.88 8/15/2025 267,210 277,240



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


US Treasury Bond(4) 119,000 6.63% 2/15/2027 $ 143,749 $ 150,479

US Treasury Bond(4) 2,225,000 6.13 11/15/2027 2,821,278 2,827,141

US Treasury Bond(4) 336,000 5.50 8/15/2028 395,103 422,573

US Treasury Bond(4) 3,185,000 3.38 11/15/2048 4,236,472 4,167,249

US Treasury Bond(4) 3,770,000 3.00 2/15/2049 4,273,117 4,635,038

US Treasury Bond(4) 4,680,000 2.88 5/15/2049 5,497,307 5,637,572

US Treasury Bond(4) 5,390,000 2.25 8/15/2049 5,409,344 5,768,774

US Treasury Bond(4) 6,665,000 2.38 11/15/2049 7,173,581 7,321,607

US Treasury Bond(4) 7,670,000 2.00 2/15/2050 8,431,759 7,790,743

US Treasury Bond(4) 676,000 6.50 11/15/2026 806,072 843,521

US Treasury Bond(4) 5,615,000 1.25 5/15/2050 5,427,621 4,768,144

US Treasury Bond(4) 4,605,000 1.13 5/15/2040 4,583,092 4,036,211

US Treasury Bond(4) 8,445,000 1.38 8/15/2050 7,410,132 7,397,622

US Treasury Bond(4) 6,720,000 1.13 8/15/2040 5,907,204 5,867,400

US Treasury Bond(4) 6,855,000 1.63 11/15/2050 6,155,228 6,386,664

US Treasury Bond(4) 6,520,000 1.38 11/15/2040 6,006,446 5,941,859

US Treasury Bond(4) 4,850,000 1.88 2/15/2051 4,727,226 4,798,469

US Treasury Bond(4) 7,810,000 1.88 2/15/2041 7,430,436 7,730,375

US Treasury Bond(4) 3,715,000 2.38 5/15/2051 3,916,733 4,103,334

US Treasury Bond(4) 1,860,000 2.00 8/15/2051 1,901,715 1,896,038

US Treasury Bond(4) 1,990,000 1.75 8/15/2041 1,965,015 1,929,367

US Treasury Note(4) 6,204,000 1.50 8/15/2026 6,100,300 6,274,280

US Treasury Note(4) 2,455,000 1.38 8/31/2023 2,419,232 2,484,057

US Treasury Note(4) 6,535,000 2.13 7/31/2024 6,769,843 6,742,537

US Treasury Note(4) 3,060,000 2.25 8/15/2027 3,351,199 3,209,892

US Treasury Note(4) 845,000 1.88 8/31/2024 850,221 866,488

US Treasury Note(4) 595,000 2.13 9/30/2024 618,734 614,430

US Treasury Note(4) 5,235,000 2.25 10/31/2024 5,445,173 5,426,405

US Treasury Note(4) 1,670,000 2.25 11/15/2027 1,809,698 1,753,304

US Treasury Note(4) 3,550,000 2.13 11/30/2024 3,732,070 3,668,426

US Treasury Note(4) 3,720,000 2.25 12/31/2024 3,709,981 3,859,791

US Treasury Note(4) 4,475,000 2.38 1/31/2023 4,577,059 4,567,297

US Treasury Note(4) 1,220,000 2.50 1/31/2025 1,216,655 1,275,520

US Treasury Note(4) 4,145,000 2.75 2/15/2028 4,113,663 4,479,838

US Treasury Note(4) 2,095,000 2.63 2/28/2023 2,155,475 2,146,802

US Treasury Note(4) 2,840,000 2.63 3/31/2025 3,044,878 2,984,663

US Treasury Note(4) 10,000 2.75 4/30/2023 10,003 10,292

US Treasury Note(4) 60,000 2.88 4/30/2025 60,403 63,565

US Treasury Note(4) 7,145,000 2.88 5/15/2028 7,642,461 7,784,422

US Treasury Note(4) 1,930,000 2.75 5/31/2023 1,932,156 1,989,559

US Treasury Note(4) 3,130,000 2.63 6/30/2023 3,243,186 3,224,756

US Treasury Note(4) 3,860,000 2.88 8/15/2028 3,993,178 4,215,542

US Treasury Note(4) 2,200,000 2.75 8/31/2023 2,215,755 2,275,453

US Treasury Note(4) 3,650,000 2.75 8/31/2025 3,848,090 3,861,443

US Treasury Note(4) 1,343,000 2.75 2/15/2024 1,360,896 1,398,766

US Treasury Note(4) 6,785,000 2.38 8/15/2024 7,162,199 7,045,003

US Treasury Note(4) 3,099,000 2.25 11/15/2024 3,080,326 3,212,791

US Treasury Note(4) 2,914,000 2.00 2/15/2025 2,858,131 3,001,420



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


US Treasury Note(4) 4,321,000 2.00% 8/15/2025 $ 4,250,903 $ 4,456,369

US Treasury Note(4) 3,611,000 2.25 11/15/2025 3,605,470 3,761,082

US Treasury Note(4) 3,879,000 1.75 1/31/2023 3,877,626 3,933,397

US Treasury Note(4) 550,000 1.63 2/15/2026 577,900 559,453

US Treasury Note(4) 3,179,000 1.50 2/28/2023 3,143,740 3,216,626

US Treasury Note(4) 1,431,000 1.50 3/31/2023 1,420,855 1,448,496

US Treasury Note(4) 1,987,000 1.63 4/30/2023 1,974,874 2,015,641

US Treasury Note(4) 3,581,000 1.63 5/15/2026 3,514,678 3,641,010

US Treasury Note(4) 1,590,000 1.38 6/30/2023 1,572,867 1,608,881

US Treasury Note 3,300,000 1.25 7/31/2023 3,219,369 3,333,000

US Treasury Note 5,845,000 1.63 10/31/2023 5,877,506 5,943,178

US Treasury Note 2,139,000 2.00 11/15/2026 2,253,006 2,212,612

US Treasury Note 4,520,000 2.13 11/30/2023 4,540,266 4,641,298

US Treasury Note 3,179,000 2.00 2/15/2023 3,176,620 3,233,887

US Treasury Note 1,302,000 2.25 12/31/2023 1,304,302 1,341,009

US Treasury Note 360,000 2.25 1/31/2024 358,146 371,053

US Treasury Note 3,817,000 2.25 2/15/2027 3,894,573 3,998,457

US Treasury Note 1,987,000 1.75 5/15/2023 1,977,719 2,019,754

US Treasury Note 1,550,000 2.50 8/15/2023 1,559,533 1,596,379

US Treasury Note 2,329,000 2.13 2/29/2024 2,326,378 2,395,868

US Treasury Note 3,755,000 2.13 3/31/2024 3,769,168 3,864,716

US Treasury Note 1,734,000 2.75 11/15/2023 1,753,377 1,799,499

US Treasury Note 3,775,000 2.00 4/30/2024 3,715,167 3,877,338

US Treasury Note 3,973,000 2.38 5/15/2027 4,301,266 4,193,067

US Treasury Note 1,955,000 2.13 5/15/2025 1,999,168 2,023,654

US Treasury Note 1,987,000 2.00 5/31/2024 1,977,588 2,041,565

US Treasury Note 3,179,000 2.00 6/30/2024 3,162,873 3,267,788

US Treasury Note 2,465,000 2.75 6/30/2025 2,460,614 2,605,678

US Treasury Note 1,775,000 2.75 7/31/2023 1,811,973 1,834,560

US Treasury Note 1,340,000 2.88 7/31/2025 1,337,698 1,424,012

US Treasury Note(4) 3,300,000 2.88 9/30/2023 3,301,115 3,425,813

US Treasury Note 4,825,000 1.38 9/30/2023 4,816,738 4,883,428

US Treasury Note(4) 2,140,000 3.00 9/30/2025 2,139,344 2,286,122

US Treasury Note(4) 325,000 3.00 10/31/2025 329,755 347,585

US Treasury Note(4) 3,235,000 3.13 11/15/2028 3,656,649 3,595,778

US Treasury Note(4) 2,985,000 2.63 12/31/2025 3,013,782 3,156,171

US Treasury Note(4) 3,940,000 2.63 1/31/2026 4,088,248 4,166,088

US Treasury Note(4) 1,210,000 2.50 2/28/2026 1,317,491 1,273,667

US Treasury Note(4) 860,000 2.25 3/31/2026 856,625 896,785

US Treasury Note(4) 2,500,000 2.25 4/30/2024 2,523,136 2,581,738

US Treasury Note(4) 1,975,000 2.13 5/31/2026 2,111,407 2,051,377

US Treasury Note(4) 875,000 1.75 6/30/2024 875,436 894,072

US Treasury Note(4) 8,005,000 1.88 6/30/2026 8,266,307 8,228,890

US Treasury Note 6,430,000 1.75 7/31/2024 6,679,668 6,573,921

US Treasury Note 2,990,000 1.88 7/31/2026 3,006,708 3,074,678

US Treasury Note 2,640,000 1.63 8/15/2029 2,745,865 2,678,259

US Treasury Note 2,830,000 1.38 8/31/2026 2,873,446 2,846,471

US Treasury Note 2,020,000 1.25 8/31/2024 2,007,275 2,038,543



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


US Treasury Note 1,940,000 1.63% 9/30/2026 $ 1,940,470 $ 1,972,965

US Treasury Note 1,945,000 1.50 9/30/2024 1,942,501 1,975,695

US Treasury Note 2,400,000 1.50 10/31/2024 2,387,961 2,437,594

US Treasury Note 4,410,000 1.63 10/31/2026 4,444,578 4,484,591

US Treasury Note 4,725,000 1.75 11/15/2029 4,733,903 4,843,125

US Treasury Note 4,175,000 1.63 11/30/2026 4,277,022 4,246,105

US Treasury Note 4,530,000 1.50 11/30/2024 4,511,674 4,601,135

US Treasury Note 4,370,000 1.75 12/31/2026 4,631,968 4,472,422

US Treasury Note 2,385,000 1.75 12/31/2024 2,404,301 2,439,408

US Treasury Note 4,220,000 1.38 1/31/2025 4,353,605 4,268,134

US Treasury Note 3,045,000 1.50 1/31/2027 3,196,701 3,078,662

US Treasury Note 4,165,000 1.38 2/15/2023 4,221,572 4,208,440

US Treasury Note 4,030,000 1.50 2/15/2030 4,267,648 4,050,780

US Treasury Note 5,030,000 1.13 2/28/2025 5,167,003 5,047,684

US Treasury Note 4,915,000 0.50 3/15/2023 4,929,604 4,916,920

US Treasury Note 2,220,000 0.50 3/31/2025 2,230,339 2,183,145

US Treasury Note 5,550,000 0.25 4/15/2023 5,556,375 5,531,355

US Treasury Note 1,390,000 0.38 4/30/2025 1,392,100 1,359,159

US Treasury Note 6,420,000 0.50 4/30/2027 6,288,771 6,158,184

US Treasury Note 5,495,000 0.13 5/15/2023 5,487,570 5,463,447

US Treasury Note 5,605,000 0.63 5/15/2030 5,387,793 5,240,675

US Treasury Note 5,325,000 0.25 5/31/2025 5,307,369 5,179,811

US Treasury Note 4,145,000 0.25 6/15/2023 4,150,102 4,125,732

US Treasury Note 3,720,000 0.50 6/30/2027 3,724,349 3,559,575

US Treasury Note 4,065,000 0.25 6/30/2025 4,061,676 3,949,243

US Treasury Note 4,830,000 0.13 7/15/2023 4,824,440 4,795,096

US Treasury Note 3,575,000 0.25 7/31/2025 3,577,906 3,467,750

US Treasury Note 3,240,000 0.38 7/31/2027 3,234,838 3,077,367

US Treasury Note 7,675,000 0.63 8/15/2030 7,526,774 7,157,537

US Treasury Note 5,930,000 0.13 8/15/2023 5,928,223 5,881,587

US Treasury Note 3,685,000 0.50 8/31/2027 3,688,968 3,516,152

US Treasury Note 5,940,000 0.25 8/31/2025 5,937,790 5,754,143

US Treasury Note 4,640,000 0.13 9/15/2023 4,637,814 4,597,588

US Treasury Note 5,800,000 0.38 9/30/2027 5,770,369 5,489,836

US Treasury Note 2,285,000 0.25 9/30/2025 2,283,194 2,212,701

US Treasury Note 8,385,000 0.13 10/15/2023 8,364,817 8,301,150

US Treasury Note 3,495,000 0.50 10/31/2027 3,471,036 3,325,984

US Treasury Note 3,645,000 0.25 10/31/2025 3,627,733 3,522,978

US Treasury Note 5,635,000 0.88 11/15/2030 5,598,218 5,357,432

US Treasury Note 8,190,000 0.25 11/15/2023 8,184,339 8,122,496

US Treasury Note 6,155,000 0.63 11/30/2027 6,159,480 5,895,096

US Treasury Note 6,385,000 0.38 11/30/2025 6,391,170 6,192,203

US Treasury Note 6,400,000 0.13 12/15/2023 6,394,870 6,326,500

US Treasury Note 7,730,000 0.38 12/31/2025 7,604,757 7,492,665

US Treasury Note 6,330,000 0.13 1/15/2024 6,322,676 6,250,133

US Treasury Note 8,340,000 0.13 1/31/2023 8,333,478 8,311,331

US Treasury Note 6,515,000 0.38 1/31/2026 6,496,904 6,302,754

US Treasury Note 4,665,000 0.75 1/31/2028 4,651,290 4,492,249



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


US Treasury Note 7,975,000 1.13% 2/15/2031 $ 7,738,855 $ 7,739,800

US Treasury Note 5,920,000 0.13 2/15/2024 5,897,164 5,842,762

US Treasury Note 4,145,000 1.13 2/29/2028 4,141,992 4,084,768

US Treasury Note 3,345,000 0.50 2/28/2026 3,314,552 3,250,007

US Treasury Note 7,600,000 0.25 3/15/2024 7,590,211 7,509,156

US Treasury Note 4,930,000 1.25 3/31/2028 4,890,823 4,886,092

US Treasury Note 4,285,000 0.75 3/31/2026 4,256,793 4,203,652

US Treasury Note 8,040,000 0.38 4/15/2024 8,047,656 7,959,286

US Treasury Note 6,805,000 1.25 4/30/2028 6,777,477 6,743,064

US Treasury Note 7,650,000 1.63 5/15/2031 7,726,404 7,746,820

US Treasury Note 6,925,000 0.25 5/15/2024 6,895,128 6,830,593

US Treasury Note 2,175,000 1.25 5/31/2028 2,181,710 2,153,505

US Treasury Note 4,110,000 0.75 5/31/2026 4,101,344 4,025,552

US Treasury Note 5,695,000 0.25 6/15/2024 5,666,600 5,611,132

US Treasury Note 7,830,000 1.25 6/30/2028 7,846,792 7,749,865

US Treasury Note 5,630,000 0.88 6/30/2026 5,630,198 5,540,712

US Treasury Note 3,195,000 0.13 6/30/2023 3,189,217 3,173,409

US Treasury Note 5,890,000 0.63 7/31/2026 5,870,790 5,727,335

US Treasury Note 5,180,000 1.00 7/31/2028 5,159,165 5,043,013

US Treasury Note 4,960,000 0.13 5/31/2023 4,957,315 4,929,194

US Treasury Note 8,395,000 0.38 8/15/2024 8,335,336 8,284,160

US Treasury Note 5,210,000 1.13 8/31/2028 5,229,002 5,109,056

US Treasury Note 8,565,000 1.25 8/15/2031 8,406,415 8,373,626

US Treasury Note 7,650,000 0.75 8/31/2026 7,643,033 7,478,772

US Treasury Note 8,420,000 0.38 9/15/2024 8,305,870 8,300,936

US Treasury Note 7,905,000 1.25 9/30/2028 7,870,745 7,812,055

US Treasury Note 5,935,000 1.38 10/31/2028 5,927,747 5,910,889

US Treasury Note 3,210,000 1.38 11/15/2031 3,186,379 3,169,373

US Treasury Note 3,740,000 1.50 11/30/2028 3,770,877 3,754,609

US Treasury Note 8,355,000 1.38 12/31/2028 8,326,932 8,317,141

Total US Government Notes & Bonds 825,374,876 827,621,491

Total Government/Agency bonds 1,435,013,952 1,442,633,706

Corporate asset-backed securities: 0.47%

Ally Auto Receivables Trust

2019-1 370,000 3.02 4/15/2024 376,397 375,685

Ally Auto Receivables Trust

2019-3 360,000 1.96 12/16/2024 AAA 367,263 365,076

American Express Credit Account

Master Trust 100,000 2.87 10/15/2024 100,098 100,533


Master Trust 510,000 2.67 11/15/2024 513,641 513,506


Master Trust 375,000 2.00 4/15/2025 AAA 375,603 379,042

Americredit Automobile

Receivables Trust 2019-2 135,000 2.74 4/18/2025 135,245 137,743

Capital One Multi-Asset

Execution Trust 85,000 2.29 7/15/2025 AAA 84,816 86,114





December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue

Corporate asset-backed securities (Continued)


Execution Trust 105,000 2.43% 1/15/2025 AAA $ 104,982 $ 105,461





Carmax Auto Owner Trust 2018-3 100,000 3.91 1/15/2025 AA+ 99,973 101,916

CenterPoint Energy Restoration

Bond Co LLC 37,103 4.24 8/15/2023 AAA 37,192 37,584

Chase Issuance Trust 105,000 2.16 9/15/2024 AAA 104,417 106,273

Citibank Credit Card Issuance

Trust 225,000 3.29 5/23/2025 AAA 226,396 232,915

Citibank Credit Card Issuance

Trust 220,000 3.96 10/13/2030 AAA 245,243 252,189

Drive Auto Receivables Trust 126,109 4.09 1/15/2026 AAA 126,248 128,137

Fifth Third Auto Trust 2019-1 88,184 2.64 12/15/2023 AAA 88,557 88,696

Ford Credit Floorplan Master

Owner Trust A 125,000 2.48 9/15/2024 AAA 124,712 126,726


Owner Trust A 445,000 0.70 9/15/2025 447,454 443,143


Owner Trust A 495,000 1.06 9/15/2027 494,845 487,377


Owner Trust A 450,000 3.17 3/15/2025 AAA 467,050 462,995


Owner Trust A 440,000 2.84 3/15/2024 442,319 442,238


Owner Trust A 390,000 3.06 4/15/2026 413,076 406,419

Mercedes-Benz Auto Receivables

Trust 2018-1 330,892 3.15 10/15/2024 AAA 333,849 334,057

Nissan Auto Receivables Owner

Trust 2018-C 270,000 3.27 6/16/2025 AAA 272,576 274,547

Synchrony Credit Card Master

Note Trust 60,000 2.62 10/15/2025 AAA 59,753 61,003

Synchrony Credit Card Master

Note Trust 85,000 3.47 5/15/2026 85,000 88,062

USAA Auto Owner Trust 2019-1 375,000 2.14 11/15/2024 AAA 378,236 378,067

World Omni Auto Receivables

Trust 474,420 1.10 4/15/2025 AAA 477,452 476,130

World Omni Auto Receivables

Trust 2018-C 100,000 3.27 9/16/2024 AAA 100,644 101,617

Total Corporate asset-backed securities 7,427,632 7,441,318

Corporate mortgage-backed securities: 1.39%

Benchmark Mortgage Trust

2018-B2(3) 345,000 3.88 2/15/2051 AAA 348,293 379,617

Benchmark Mortgage Trust

2018-B5 100,000 4.57 7/15/2051 NR 102,288 112,011

CCUBS Commercial Mortgage

Trust 2017-C1(3) 85,000 4.16 11/15/2050 85,505 91,025



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue

Corporate mortgage-backed securities (Continued)

Citigroup Commercial Mortgage

Trust 2014-GC21 185,671 3.58% 5/10/2047 $ 190,485 $ 191,321


Trust 2017-P7(3) 500,000 4.14 4/14/2050 536,934 521,756


Trust 2017-P8(3) 600,000 3.79 9/15/2050 AAA 661,068 648,595


Trust 2018-C5(3) 300,000 4.41 6/10/2051 321,552 333,927


Trust 2019-GC43 3,730,000 2.78 11/10/2052 AAA 4,028,610 3,875,030

COMM Mortgage Trust

2015-DC1 905,000 3.35 2/10/2048 917,611 948,527

COMM Mortgage Trust

2013-CCRE12 155,000 4.30 10/10/2046 158,644 160,078

COMM Mortgage Trust

2014-CCRE18(3) 355,000 4.46 7/15/2047 NR 361,614 372,477

COMM Mortgage Trust

2014-UBS6 480,000 3.64 12/10/2047 490,848 505,675

COMM Mortgage Trust

2015-LC23 333,229 3.60 10/10/2048 337,779 346,298

COMM Mortgage Trust

2016-DC2 485,000 3.77 2/10/2049 488,368 520,616

COMM Mortgage Trust

2017-COR2 845,000 3.51 9/10/2050 866,190 910,461

GS Mortgage Securities Trust

2013-GC16(3) 490,000 5.16 11/10/2046 503,374 509,382


2014-GC22 2,579,377 3.86 6/10/2047 2,762,069 2,712,755


2015-GC34 315,000 3.51 10/10/2048 315,449 333,743


2016-GS4(3) 330,000 3.44 11/10/2049 326,755 352,236


2017-GS7 850,000 3.43 8/10/2050 865,972 911,326


2017-GS8 500,000 3.47 11/10/2050 519,970 539,981


2018-GS10 A5(3) 360,000 4.16 7/10/2051 AAA 374,461 405,204


2019-GSA1 140,000 3.05 11/10/2052 AAA 143,261 148,274

JPMBB Commercial Mortgage

Securities Trust 2013-C15 330,000 4.42 11/15/2045 338,508 346,221

JPMBB Commercial Mortgage

Securities Trust 2015-C28 620,000 3.23 10/15/2048 626,423 647,346

Morgan Stanley Bank of America

Merrill Lynch Trust 2013-C7 495,000 2.92 2/15/2046 496,571 501,130


Merrill Lynch Trust 2014-C17 1,603,416 3.44 8/15/2047 1,651,063 1,631,016


Merrill Lynch Trust

2016-C30(3) 260,000 3.31 9/15/2049 253,561 260,516



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue

Corporate mortgage-backed securities (Continued)


Merrill Lynch Trust 2016-C32 1,308,784 3.46% 12/15/2049 $ 1,392,480 $ 1,378,547


Merrill Lynch Trust

2016-C32(3) 645,000 4.43 12/15/2049 658,018 616,963


Merrill Lynch Trust 2017-C34 845,000 3.54 11/15/2052 868,863 913,719

Total Corporate mortgage-backed securities 21,992,587 22,125,773

Municipal bonds: 0.94%

American Municipal Power Inc 320,000 7.83 2/15/2041 A 470,939 529,095

American Municipal Power Inc 80,000 5.94 2/15/2047 A 97,071 121,364

American Municipal Power, Inc 65,000 8.08 2/15/2050 A 107,525 123,123

Bay Area Toll Authority 180,000 6.91 10/01/2050 AA- 275,594 317,439

Bay Area Toll Authority 180,000 7.04 4/01/2050 AA- 279,344 314,856

Board of Regents of the University

of Texas System 205,000 3.35 8/15/2047 AAA 191,739 238,581

California State University 660,000 2.90 11/01/2051 AA- 664,395 664,312

Commonwealth of Massachusetts 260,000 4.91 5/01/2029 AA 280,951 311,158

Dallas Area Rapid Transit 380,000 5.02 12/01/2048 AA+ 577,262 532,102

Los Angeles Department of Water

& Power Power System

Revenue 265,000 6.57 7/01/2045 AA- 424,639 429,961



Revenue 5,000 5.72 7/01/2039 AA- 6,372 7,060



Revenue 60,000 6.60 7/01/2050 AA+ 85,682 101,873

Los Angeles Unified School

District 60,000 6.76 7/01/2034 A+ 84,744 83,561

Massachusetts School Building

Authority 620,000 3.40 10/15/2040 AA 647,982 648,834

Metropolitan Transportation

Authority 90,000 5.87 11/15/2039 BBB+ 119,606 116,461


Authority 70,000 6.81 11/15/2040 BBB+ 97,117 99,605


Authority 650,000 5.18 11/15/2049 BBB+ 865,368 889,800

Municipal Electric Authority of

Georgia 110,000 6.64 4/01/2057 A 171,756 167,469

New Jersey Economic

Development Authority 100,000 7.43 2/15/2029 BBB 118,296 125,683

New Jersey State Turnpike

Authority 170,000 7.41 1/01/2040 A+ 252,061 273,654

New Jersey Transportation Trust

Fund Authority 130,000 6.56 12/15/2040 BBB 172,832 191,159

New York City Transitional

Finance Authority Future Tax

Secured Revenue 50,000 5.57 11/01/2038 AAA 68,573 64,936



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue

Municipal bonds (Continued)

New York City Transitional

Finance Authority Future Tax

Secured Revenue 230,000 5.77% 8/01/2036 AAA $ 273,949 $ 288,328

New York City Water & Sewer

System 530,000 5.95 6/15/2042 AA+ 820,046 796,141

New York City Water & Sewer

System 230,000 5.72 6/15/2042 AA+ 323,531 338,738

New York State Dormitory

Authority 215,000 5.60 3/15/2040 AA+ 281,738 288,962

New York State Dormitory

Authority 910,000 4.95 8/01/2048 AA 1,007,716 1,032,192

Port Authority of New York &

New Jersey 150,000 4.93 10/01/2051 A+ 199,917 207,907


New Jersey 340,000 4.23 10/15/2057 A+ 396,437 426,361


New Jersey 130,000 4.03 9/01/2048 A+ 147,406 158,302

Regents of the University of

California Medical Center

Pooled Revenue 390,000 6.58 5/15/2049 AA- 592,359 600,650

Sales Tax Securitization Corp 320,000 3.59 1/01/2043 AA- 304,409 347,071

State Board of Administration

Finance Corp 640,000 2.15 7/01/2030 AA 664,090 638,489

State of California 80,000 7.50 4/01/2034 AA- 108,006 122,425






State of Illinois 820,000 5.10 6/01/2033 BBB 876,795 947,825

State of Oregon 49,107 5.76 6/01/2023 AA+ 50,245 51,454

State of Texas 240,000 5.52 4/01/2039 AAA 305,596 337,695

Texas Private Activity Bond

Surface Transportation Corp 340,000 3.92 12/31/2049 379,489 380,370

Texas Transportation Commission

State Highway Fund 85,000 4.00 10/01/2033 AAA 104,921 101,600

University of California 100,000 3.06 7/01/2025 AA 100,479 106,327

Total Municipal bonds 14,331,762 14,931,754

Yield SharesShort-term investments: 23.73%

Wells Fargo/BlackRock

Short Term Investment

Fund S(5) 0.05(6) 377,564,535 377,564,535 377,564,535

Total Short-term investments 377,564,535 377,564,535

Total Investments : 121.94% $ 1,931,976,086 $ 1,940,403,577

Percentages shown are based on total net assets. (1) Zero coupon bond. Interest rate represents yield to maturity.(2) Security is purchased on a when-issued basis.



December 31, 2021


(3) Variable/Floating Rate Security - Interest rate changes on these instruments are based on changes in a designated base rate. The ratesshown are those in effect on December 31, 2021.

(4) All or a portion of this security is segregated for 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 4.904% of the total net assets of the Wells Fargo/BlackRock Short Term Investment Fund S.(6) The rate represents the 7-day annualized yield at period end. Abbreviations:ACES Alternative Credit Enhancement Securities

GNMA Government National Mortgage Association

TBA To Be Announced



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Azerbaijan: 0.57%

Southern Gas Corridor CJSC 400,000 6.88% 3/24/2026 $ 440,914 $ 459,456

State Oil Co of the Azerbaijan

Republic 250,000 6.95 3/18/2030 BB- 278,653 301,040

Total Azerbaijan 719,567 760,496

Bahrain: 0.32%

Mumtalakat Sukuk Holding Co 200,000 5.63 2/27/2024 B+ 201,658 210,340

Oil and Gas Holding Co BSCC 200,000 7.63 11/07/2024 216,897 215,500

Total Bahrain 418,555 425,840

Chile: 1.70%

Banco del Estado de Chile 200,000 2.70 1/09/2025 A 201,476 204,002

Codelco, Inc 200,000 3.15 1/15/2051 A 201,958 186,386

Corp Nacional del Cobre de Chile 200,000 3.63 8/01/2027 A 221,628 213,381




Empresa de Transporte de

Pasajeros Metro SA 400,000 3.65 5/07/2030 A 428,093 424,500

Empresa Nacional del Petroleo 200,000 5.25 11/06/2029 BB+ 227,152 215,500

Total Chile 2,304,406 2,286,756

China: 2.10%

China Huaneng Group Hong Kong

Treasury Management Holding

Ltd 200,000 2.70 1/20/2031 199,164 202,397

Minmetals Bounteous Finance

BVI Ltd 200,000 4.75 7/30/2025 220,186 217,520

Sinopec Group Overseas

Development 2012 Ltd 200,000 4.88 5/17/2042 A+ 250,831 245,507













State Grid Overseas Investment

2013 Ltd 200,000 4.38 5/22/2043 A+ 255,828 250,520


2014 Ltd 200,000 4.13 5/07/2024 A+ 214,518 213,260


BVI Ltd 350,000 3.50 5/04/2027 A+ 354,220 377,755

Total China 2,797,390 2,828,716

Georgia: 0.15%

Georgian Railway JSC 200,000 4.00 6/17/2028 B+ 202,390 200,056

Total Georgia 202,390 200,056


Wells Fargo Emerging Markets Bond Index CITSchedule of Investments

December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue

Corporate bonds (Continued)

Indonesia: 1.56%

PT Indonesia Asahan Aluminium

Persero 400,000 5.71% 11/15/2023 $ 425,646 $ 428,888

PT Pertamina Persero 200,000 6.50 11/07/2048 BBB 277,138 267,208




PT Perusahaan Perseroan Persero

Perusahaan Listrik Negara 600,000 4.13 5/15/2027 618,528 640,224


Kazakhstan: 1.71%

Development Bank of Kazakhstan,

JSC 200,000 4.13 12/10/2022 BBB- 200,375 204,350

Kazakhstan Temir Zholy Finance

BV 400,000 6.95 7/10/2042 BB 539,979 532,680

KazMunayGas National Co JSC 200,000 4.75 4/19/2027 BB 197,414 220,764

KazMunayGas National Co JSC 400,000 5.75 4/19/2047 BB 452,440 488,411

KazMunayGas National Co JSC 200,000 3.50 4/14/2033 214,908 207,187

KazMunayGas National Co JSC 400,000 4.75 4/24/2025 438,995 434,680

KazTransGas, JSC 200,000 4.38 9/26/2027 215,393 217,500

Total Kazakhstan 2,259,504 2,305,572

Malaysia: 1.47%

Petroliam Nasional Bhd 100,000 7.63 10/15/2026 A- 126,876 126,178

Petronas Capital Ltd 400,000 3.50 4/21/2030 A- 442,640 432,258






Total Malaysia 1,974,090 1,975,833

Mexico: 2.79%

Banco Nacional de Comercio

Exterior SNC(1) 200,000 2.72 8/11/2031 203,309 197,502

Comision Federal de Electricidad 400,000 4.88 1/15/2024 BBB 419,653 424,500

Mexico City Airport Trust 200,000 3.88 4/30/2028 BBB 167,389 207,200

Petroleos Mexicanos 150,000 6.75 9/21/2047 BBB 134,716 133,125
















December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Petroleos Mexicanos 390,000 6.95% 1/28/2060 BBB $ 334,852 $ 348,075


Total Mexico 3,657,902 3,747,895

Panama: 0.45%

Aeropuerto Internacional de

Tocumen SA 400,000 5.13 8/11/2061 BBB 428,875 418,504

Banco Nacional de Panama 200,000 2.50 8/11/2030 BBB 199,283 187,502

Total Panama 628,158 606,006

Peru: 0.46%

Petroleos del Peru SA 200,000 5.63 6/19/2047 BBB- 191,667 198,028

Petroleos del Peru SA 400,000 4.75 6/19/2032 BBB- 425,747 417,376

Total Peru 617,414 615,404

Philippines: 0.17%

Power Sector Assets & Liabilities

Management Corp 200,000 7.39 12/02/2024 BBB+ 236,531 234,895

Total Philippines 236,531 234,895

Russia: 0.47%

Gtlk Europe Capital DAC 400,000 5.95 4/17/2025 424,146 422,453

Vnesheconombank Via VEB

Finance PLC 200,000 5.94 11/21/2023 BBB- 206,537 211,500

Total Russia 630,683 633,953

South Africa: 0.47%

Eskom Holdings SOC Ltd 200,000 6.75 8/06/2023 CCC+ 201,621 205,184

Eskom Holdings SOC Ltd 200,000 6.35 8/10/2028 BB- 185,168 215,500

Eskom Holdings SOC Ltd 200,000 7.13 2/11/2025 CCC+ 209,147 206,500

Total South Africa 595,936 627,184

United Arab Emirates: 1.72%

Abu Dhabi Crude Oil

Pipeline LLC 200,000 4.60 11/02/2047 AA 199,858 236,419

DAE Funding LLC 200,000 2.63 3/20/2025 205,156 200,750

DP World Crescent Ltd 200,000 3.75 1/30/2030 208,799 211,340

DP World Ltd 200,000 4.70 9/30/2049 211,129 217,750

DP World Ltd 300,000 6.85 7/02/2037 NR 392,258 394,478

MDGH GMTN RSC Ltd 200,000 2.88 5/21/2030 AA 215,109 208,291




Total United Arab Emirates 2,256,609 2,310,072


Foreign government bonds: 81.72%

Angola: 1.03%

Angolan Government International

Bond 200,000 9.50 11/12/2025 193,104 213,684


Bond 200,000 8.00 11/26/2029 CCC+ 133,177 196,952


Bond 400,000 8.25 5/09/2028 395,921 401,280


Bond 400,000 9.13 11/26/2049 CCC+ 431,306 383,082



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Bond 200,000 9.38% 5/08/2048 $ 205,961 $ 195,416

Total Angola 1,359,469 1,390,414

Argentina: 1.18%

Argentine Republic Government

International Bond(1) 1,125,000 0.50 7/09/2030 CCC+ 517,471 393,761


International Bond(1) 1,260,000 1.13 7/09/2035 CCC+ 415,114 403,213


International Bond(1) 675,000 2.00 1/09/2038 CCC+ 273,753 254,813




International Bond 214,960 1.00 7/09/2029 CCC+ 89,683 77,925



Total Argentina 1,914,528 1,590,340

Armenia: 0.17%

Republic of Armenia International

Bond 200,000 7.15 3/26/2025 211,957 222,882

Total Armenia 211,957 222,882

Azerbaijan: 0.31%

Republic of Azerbaijan


Republic of Azerbaijan


Total Azerbaijan 418,299 413,840

Bahrain: 2.15%

Bahrain Government International

Bond 400,000 6.75 9/20/2029 B+ 427,914 430,370


Bond 200,000 7.00 1/26/2026 B+ 209,949 219,493


Bond 200,000 5.45 9/16/2032 B+ 203,030 194,000


Bond 200,000 7.50 9/20/2047 B+ 244,112 202,080


Bond 200,000 6.00 9/19/2044 B+ 203,067 181,114


Bond 200,000 7.00 10/12/2028 B+ 210,753 216,781


Bond 400,000 4.25 1/25/2028 B+ 403,178 389,222

CBB International Sukuk Co 5 Spc 400,000 5.62 2/12/2024 B+ 411,180 420,000

CBB International Sukuk Co 7

SPC 200,000 6.88 10/05/2025 B+ 228,577 224,250

CBB International Sukuk

Programme Co WLL 200,000 4.50 3/30/2027 B+ 205,919 206,530

CBB International Sukuk

Programme Co WLL 200,000 3.95 9/16/2027 B+ 205,494 201,346

Total Bahrain 2,953,173 2,885,186



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Belarus: 0.55%

Republic of Belarus International

Bond 400,000 6.88% 2/28/2023 B $ 404,120 $ 395,856


Bond 200,000 6.20 2/28/2030 B 192,680 157,760


Bond 200,000 7.63 6/29/2027 B 216,629 182,940

Total Belarus 813,429 736,556

Bolivia: 0.16%

Bolivian Government International

Bond 200,000 5.95 8/22/2023 B+ 207,706 209,502

Total Bolivia 207,706 209,502

Brazil: 3.17%

Banco Nacional de

Desenvolvimento Economico e

Social 200,000 5.75 9/26/2023 BB- 206,661 215,000

Brazilian Government

International Bond 500,000 2.63 1/05/2023 BB- 500,245 508,750

























Total Brazil 4,286,962 4,267,264

Chile: 1.20%


Bond 200,000 3.13 1/21/2026 A 218,091 210,502


Bond 200,000 3.24 2/06/2028 A 222,388 210,752


Bond 200,000 3.50 1/25/2050 A 205,792 206,968



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Bond 200,000 2.55% 1/27/2032 A $ 211,579 $ 199,500


Bond 400,000 3.10 1/22/2061 A 388,012 369,572


Bond 200,000 3.10 5/07/2041 A 195,596 195,700


Bond 200,000 3.86 6/21/2047 A 200,645 221,752

Total Chile 1,642,103 1,614,746

China: 2.52%

China Development Bank 300,000 4.00 1/24/2037 A+ 295,655 345,888

China Government International

Bond 400,000 1.95 12/03/2024 416,329 410,797


Bond 1,000,000 0.55 10/21/2025 A+ 992,401 973,110


Bond 200,000 2.63 11/02/2027 205,879 211,032


Bond 300,000 2.75 12/03/2039 298,209 316,192


Bond 500,000 0.40 10/21/2023 A+ 501,226 494,818

Export-Import Bank of China 400,000 3.25 11/28/2027 A+ 414,995 432,594

Export-Import Bank of China 200,000 2.75 11/28/2022 A+ 203,644 203,154

Total China 3,328,338 3,387,585

Colombia: 2.43%

Colombia Government

International Bond 200,000 4.00 2/26/2024 BB+ 210,595 206,402

Colombia Government


Colombia Government


Colombia Government


Colombia Government


Colombia Government


Colombia Government


Colombia Government


Colombia Government


Colombia Government


Colombia Government


Colombia Government


Total Colombia 3,721,304 3,271,567



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Costa Rica: 0.83%

Costa Rica Government

International Bond 200,000 7.00% 4/04/2044 B $ 207,659 $ 195,750


International Bond 200,000 4.38 4/30/2025 B 196,639 203,500





Instituto Costarricense de

Electricidad 400,000 6.38 5/15/2043 344,558 339,000

Total Costa Rica 1,139,003 1,111,002

Croatia: 0.41%

Croatia Government International

Bond 500,000 6.00 1/26/2024 BBB- 525,744 547,996

Total Croatia 525,744 547,996

Dominican Republic: 2.44%

Dominican Republic International

Bond 400,000 6.88 1/29/2026 BB- 448,347 455,604


Bond 150,000 6.40 6/05/2049 BB- 166,558 157,502


Bond 700,000 5.88 1/30/2060 BB- 666,361 672,875


Bond 300,000 4.50 1/30/2030 BB- 274,298 304,875


Bond 450,000 4.88 9/23/2032 BB- 472,012 457,312


Bond 500,000 5.95 1/25/2027 BB- 501,499 556,250


Bond 450,000 7.45 4/30/2044 BB- 472,926 532,125


Bond 150,000 5.30 1/21/2041 BB- 154,245 148,125

Total Dominican Republic 3,156,246 3,284,668

Ecuador: 1.53%

Ecuador Government International

Bond(1) 900,000 5.00 7/31/2030 B- 650,486 745,875


Bond(1) 1,600,000 1.00 7/31/2035 B- 1,042,262 1,050,000


Bond(1) 450,000 0.50 7/31/2040 B- 285,200 263,250

Total Ecuador 1,977,948 2,059,125

Egypt: 2.45%

Egypt Government International

Bond 200,000 8.15 11/20/2059 B 219,308 170,520


Bond 200,000 7.05 1/15/2032 B 212,653 184,320


Bond 200,000 8.88 5/29/2050 B 219,557 181,276



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Bond 200,000 7.63% 5/29/2032 B $ 217,705 $ 189,118


Bond 200,000 7.60 3/01/2029 B 210,459 198,183


Bond 200,000 5.25 10/06/2025 B 210,497 201,508


Bond 200,000 5.88 2/16/2031 B 193,032 176,936


Bond 700,000 5.88 6/11/2025 B 707,833 718,939


Bond 400,000 7.90 2/21/2048 B 377,345 334,848


Bond 200,000 7.50 1/31/2027 195,721 207,994


Bond 200,000 8.50 1/31/2047 199,961 176,992


Bond 250,000 6.88 4/30/2040 B 237,318 210,623


Bond 200,000 7.50 2/16/2061 B 171,656 163,014


Bond 200,000 7.30 9/30/2033 B 192,098 184,008

Total Egypt 3,565,143 3,298,279

El Salvador: 0.68%

El Salvador Government

International Bond 200,000 5.88 1/30/2025 B- 175,335 126,002















Total El Salvador 1,436,610 915,186

Gabon: 0.29%

Gabon Government International

Bond 200,000 6.63 2/06/2031 197,125 193,870

Gabon Government International

Bond144A 200,000 7.00 11/24/2031 192,526 195,500

Total Gabon 389,651 389,370

Ghana: 1.42%

Ghana Government International

Bond 400,000 7.88 2/11/2035 B- 377,989 313,200



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Bond 400,000 8.75% 3/11/2061 B- $ 330,680 $ 316,560


Bond 500,000 7.63 5/16/2029 B- 509,922 416,150


Bond 400,000 8.13 1/18/2026 B- 401,794 369,000


Bond 200,000 8.63 6/16/2049 B- 192,279 158,150


Bond 200,000 6.38 2/11/2027 B- 205,876 168,388


Bond 200,000 7.75 4/07/2029 B- 204,283 167,179

Total Ghana 2,222,823 1,908,627

Guatemala: 0.64%

Guatemala Government Bond 200,000 6.13 6/01/2050 BB- 230,930 229,002




Total Guatemala 885,262 861,454

Honduras: 0.24%

Honduras Government


Total Honduras 309,800 317,253

Hungary: 1.55%


Bond 550,000 5.75 11/22/2023 BBB 577,326 595,705


Bond 200,000 5.38 3/25/2024 BBB 219,391 217,218


Bond 450,000 7.63 3/29/2041 BBB 740,530 734,875


Bond 330,000 5.38 2/21/2023 BBB 338,093 346,251


Bond 200,000 3.13 9/21/2051 BBB 197,981 196,749

Total Hungary 2,073,321 2,090,798

India: 0.49%

Export-Import Bank of India 200,000 3.25 1/15/2030 BBB- 204,378 203,365

Export-Import Bank of India 450,000 4.00 1/14/2023 BBB- 451,426 462,106

Total India 655,804 665,471

Indonesia: 3.12%













December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



International Bond 200,000 4.20% 10/15/2050 BBB $ 234,330 $ 227,759











Perusahaan Penerbit SBSN

Indonesia III 200,000 4.40 3/01/2028 BBB 212,146 225,610










Iraq: 0.47%

Iraq International Bond 446,875 5.80 1/15/2028 433,455 426,855

Iraq International Bond 200,000 6.75 3/09/2023 B- 203,958 202,014

Total Iraq 637,413 628,869

Ivory Coast: 0.35%

Ivory Coast Government


Total Ivory Coast 479,394 473,625

Jamaica: 0.80%

Jamaica Government International

Bond 200,000 8.00 3/15/2039 B+ 282,678 276,750


Bond 450,000 6.75 4/28/2028 B+ 498,301 516,375


Bond 200,000 7.88 7/28/2045 B+ 272,004 276,750

Total Jamaica 1,052,983 1,069,875

Jordan: 0.65%

Jordan Government International

Bond 300,000 5.85 7/07/2030 B+ 300,814 303,039


Bond 200,000 7.38 10/10/2047 B+ 222,178 201,870


Bond 350,000 5.75 1/31/2027 B+ 352,186 367,528

Total Jordan 875,178 872,437

Kazakhstan: 0.94%

Kazakhstan Government

International Bond 200,000 4.88 10/14/2044 BBB- 202,704 245,564



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



International Bond 200,000 5.13% 7/21/2025 BBB- $ 218,867 $ 225,195





Total Kazakhstan 1,156,727 1,258,322

Kenya: 0.90%

Republic of Kenya Government






Total Kenya 1,222,949 1,204,804

Kuwait: 0.73%

Kuwait International Government

Bond 900,000 3.50 3/20/2027 A+ 961,033 980,019

Total Kuwait 961,033 980,019

Lebanon: 0.17%

Lebanon Government International

Bond(2) 1,060,000 6.00 1/27/2023 D 966,815 109,265


Bond(2) 750,000 6.65 2/26/2030 D 635,915 76,950


Bond(2) 200,000 6.25 11/04/2024 D 184,159 21,000


Bond(2) 200,000 7.05 11/02/2035 D 26,038 21,012

Total Lebanon 1,812,927 228,227

Malaysia: 1.12%

Malaysia Sovereign Sukuk Bhd 200,000 3.04 4/22/2025 A- 194,812 209,581

Malaysia Sovereign Sukuk Bhd 200,000 4.24 4/22/2045 A- 266,831 248,856

Malaysia Sukuk Global Bhd 750,000 3.18 4/27/2026 A- 789,359 799,882

Malaysia Wakala Sukuk Bhd 250,000 3.08 4/28/2051 A- 260,566 254,590

Total Malaysia 1,511,568 1,512,909

Mexico: 2.16%


Bond 400,000 4.13 1/21/2026 BBB 442,103 439,004


Bond 35,000 6.75 9/27/2034 BBB 46,893 46,682


Bond 20,000 6.05 1/11/2040 BBB 25,178 24,850


Bond 200,000 5.75 10/12/2110 BBB 182,525 229,402


Bond 200,000 4.75 3/08/2044 BBB 210,669 217,752


Bond 200,000 4.60 2/10/2048 BBB 186,687 213,002


Bond 400,000 3.25 4/16/2030 BBB 370,679 409,552



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Bond 200,000 5.00% 4/27/2051 BBB $ 234,465 $ 226,702


Bond 200,000 2.66 5/24/2031 BBB 199,724 195,002


Bond 200,000 3.75 4/19/2071 BBB 188,783 179,800


Bond 600,000 5.55 1/21/2045 BBB 625,663 717,756

Total Mexico 2,713,369 2,899,504

Mongolia: 0.29%

Mongolia Government


Mongolia Government


Total Mongolia 409,171 392,738

Morocco: 0.56%

Morocco Government


Morocco Government


Morocco Government


Total Morocco 804,688 759,822

Mozambique: 0.13%

Mozambique International Bond(1) 200,000 5.00 9/15/2031 191,587 168,900

Total Mozambique 191,587 168,900

Namibia: 0.16%

Namibia International Bonds 200,000 5.25 10/29/2025 208,860 209,792

Total Namibia 208,860 209,792

Nigeria: 1.62%

Nigeria Government International

Bond 400,000 9.25 1/21/2049 B- 432,567 406,760


Bond 200,000 8.75 1/21/2031 B- 217,866 209,490


Bond 200,000 7.63 11/21/2025 B- 202,044 212,896


Bond 400,000 7.63 11/28/2047 B- 388,758 357,264


Bond 600,000 7.88 2/16/2032 B- 654,413 590,088


Bond 400,000 6.50 11/28/2027 B- 366,963 398,596

Total Nigeria 2,262,611 2,175,094

Oman: 2.73%

Oman Government International

Bond 450,000 4.75 6/15/2026 B+ 436,467 462,822


Bond 200,000 4.13 1/17/2023 200,787 203,250


Bond 200,000 6.00 8/01/2029 208,189 215,244



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Bond 200,000 7.38% 10/28/2032 $ 222,990 $ 233,008


Bond 200,000 6.25 1/25/2031 210,215 218,466


Bond 200,000 7.00 1/25/2051 203,962 209,160


Bond 200,000 6.50 3/08/2047 B+ 204,951 198,180


Bond 200,000 4.75 6/15/2026 B+ 170,373 205,699


Bond 200,000 6.50 3/08/2047 B+ 150,253 198,180


Bond 200,000 6.75 1/17/2048 175,895 203,220


Bond 200,000 5.63 1/17/2028 197,836 212,000


Bond 200,000 4.88 2/01/2025 209,811 208,007


Bond 200,000 6.75 10/28/2027 224,585 224,000

Oman Sovereign Sukuk Co 250,000 5.93 10/31/2025 246,271 274,025

Oman Sovereign Sukuk Co 400,000 4.40 6/01/2024 410,339 413,159

Total Oman 3,472,924 3,678,420

Pakistan: 0.97%

Codelco, Inc 200,000 7.50 6/04/2031 B- 196,814 193,500

Pakistan Government International

Bond 200,000 8.25 4/15/2024 B- 216,319 212,750


Bond 500,000 6.88 12/05/2027 B- 476,343 503,750


Bond 200,000 7.38 4/08/2031 209,668 198,250

Third Pakistan International Sukuk

Co Ltd 200,000 5.63 12/05/2022 B- 200,529 203,520

Total Pakistan 1,299,673 1,311,770

Panama: 2.35%


Bond 400,000 9.38 4/01/2029 BBB 521,791 573,004


Bond 200,000 7.13 1/29/2026 BBB 225,866 239,502


Bond 200,000 6.70 1/26/2036 BBB 261,715 267,500


Bond 200,000 3.88 3/17/2028 BBB 206,788 215,702


Bond 250,000 4.50 4/16/2050 BBB 243,139 275,377


Bond 200,000 4.00 9/22/2024 BBB 215,099 212,302


Bond 700,000 3.87 7/23/2060 BBB 752,764 700,000



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Bond 250,000 4.30% 4/29/2053 BBB $ 261,308 $ 268,378


Bond 200,000 4.50 4/01/2056 BBB 251,985 220,302


Bond 200,000 2.25 9/29/2032 BBB 202,875 189,750

Total Panama 3,143,330 3,161,817

Paraguay: 0.68%

Paraguay Government

International Bond 200,000 6.10 8/11/2044 BB 227,994 245,750

Paraguay Government


Paraguay Government


Paraguay Government


Total Paraguay 886,243 920,250

Peru: 2.42%

Peruvian Government


Peruvian Government

International Bond 735,000 6.55 3/14/2037 BBB+ 989,944 1,001,445

Peruvian Government


Peruvian Government


Peruvian Government


Peruvian Government


Peruvian Government


Peruvian Government


Peruvian Government


Peruvian Government


Total Peru 3,239,780 3,255,290

Philippines: 3.02%













December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



International Bond 200,000 2.95% 5/05/2045 BBB+ $ 194,541 $ 196,995











Total Philippines 3,950,480 4,058,539

Poland: 0.96%







Total Poland 1,272,480 1,295,443

Qatar: 3.92%

Qatar Government International

Bond 400,000 3.25 6/02/2026 AA- 401,785 425,988


Bond 200,000 3.88 4/23/2023 AA- 208,386 207,930


Bond 300,000 4.00 3/14/2029 AA- 322,086 337,974


Bond 600,000 4.82 3/14/2049 AA- 714,193 786,384


Bond 400,000 3.75 4/16/2030 AA- 461,605 448,520


Bond 250,000 3.40 4/16/2025 AA- 268,157 265,172


Bond 400,000 4.40 4/16/2050 AA- 499,404 496,917


Bond 400,000 5.75 1/20/2042 AA- 577,443 560,486


Bond 600,000 4.63 6/02/2046 AA- 702,878 757,884


Bond 200,000 4.50 4/23/2028 AA- 208,805 229,640


Bond 90,000 9.75 6/15/2030 AA- 142,086 141,081

SoQ Sukuk A QSC 600,000 3.24 1/18/2023 AA- 614,571 615,921

Total Qatar 5,121,399 5,273,897

Romania: 1.01%

Romanian Government




December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Romanian Government


Romanian Government


Romanian Government


Romanian Government


Total Romania 1,331,895 1,362,333

Russia: 2.79%

Russian Foreign Bond - Eurobond 600,000 5.63 4/04/2042 BBB- 656,766 781,500

Russian Foreign Bond - Eurobond 800,000 4.88 9/16/2023 BBB- 844,488 842,240

Russian Foreign Bond - Eurobond 400,000 4.38 3/21/2029 427,909 440,325




Total Russia 3,570,072 3,750,501

Saudi Arabia: 3.91%

KSA Sukuk Ltd 200,000 2.97 10/29/2029 204,139 210,150

KSA Sukuk Ltd 200,000 3.63 4/20/2027 221,071 216,646

KSA Sukuk Ltd 200,000 4.30 1/19/2029 207,093 227,626

Saudi Government International

Bond 200,000 2.88 3/04/2023 199,522 204,709


Bond 200,000 5.00 4/17/2049 236,730 253,490


Bond 500,000 3.63 3/04/2028 541,076 544,350


Bond 200,000 3.75 1/21/2055 175,467 214,412


Bond 200,000 4.50 4/22/2060 241,166 245,940


Bond 400,000 2.50 2/03/2027 417,408 412,232


Bond 200,000 3.45 2/02/2061 191,909 201,788


Bond 200,000 2.90 10/22/2025 210,040 209,500


Bond 400,000 2.75 2/03/2032 388,737 411,548


Bond 800,000 4.50 10/26/2046 839,177 937,408


Bond 250,000 4.50 4/17/2030 273,502 291,290


Bond 250,000 5.25 1/16/2050 267,001 329,095


Bond 300,000 4.38 4/16/2029 335,310 344,130

Total Saudi Arabia 4,949,348 5,254,314



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Senegal: 0.31%

Senegal Government International

Bond 400,000 6.25% 5/23/2033 B+ $ 388,702 $ 411,267

Total Senegal 388,702 411,267

Serbia: 0.14%

Serbia International Bond 200,000 2.13 12/01/2030 BB+ 199,546 187,140

Total Serbia 199,546 187,140

South Africa: 1.97%

Republic of South Africa

Government International Bond 200,000 5.88 9/16/2025 BB- 222,278 220,992


Government International Bond 200,000 4.85 9/27/2027 207,706 210,600












Government International Bond 200,000 5.65 9/27/2047 205,829 191,600





Total South Africa 2,574,108 2,645,568

Sri Lanka: 0.97%

Sri Lanka Government














Total Sri Lanka 2,044,773 1,302,889

Trinidad: 0.34%

Trinidad & Tobago Government




December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Trinidad & Tobago Government


Total Trinidad 448,183 459,629

Tunisia: 0.11%

Banque Centrale de Tunisie


Total Tunisia 190,519 151,730

Turkey: 3.29%

Hazine Mustesarligi Varlik

Kiralama AS 200,000 4.49 11/25/2024 196,505 194,256

Turkey Government International

Bond 200,000 7.63 4/26/2029 205,580 199,754


Bond 200,000 5.13 2/17/2028 189,437 178,952


Bond 200,000 6.13 10/24/2028 213,668 185,862


Bond 200,000 7.25 12/23/2023 211,351 202,106


Bond 500,000 7.38 2/05/2025 501,900 503,128


Bond 400,000 5.75 5/11/2047 315,288 323,000


Bond 400,000 5.60 11/14/2024 401,097 385,000


Bond 400,000 5.25 3/13/2030 396,290 343,723


Bond 200,000 6.38 10/14/2025 207,030 194,906


Bond 200,000 5.95 1/15/2031 205,155 178,708


Bond 200,000 6.75 5/30/2040 184,704 180,160


Bond 400,000 4.88 4/16/2043 320,708 306,080


Bond 800,000 4.88 10/09/2026 786,918 723,978


Bond 130,000 6.88 3/17/2036 130,603 121,737

Turkiye Ihracat Kredi Bankasi AS 200,000 4.25 9/18/2022 196,453 198,036

Total Turkey 4,662,687 4,419,386

Ukraine: 2.09%

Ukraine Government International

Bond 200,000 9.75 11/01/2028 B 216,613 201,836


Bond 200,000 8.99 2/01/2024 B 199,819 199,329


Bond 600,000 7.38 9/25/2032 B 608,463 534,156


Bond 100,000 7.75 9/01/2022 B 101,649 98,952



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Bond 600,000 7.25% 3/15/2033 B $ 642,722 $ 528,000


Bond 200,000 6.88 5/21/2029 B 203,656 176,690


Bond 400,000 8.99 2/01/2024 B 422,313 398,659


Bond 300,000 7.75 9/01/2023 B 315,383 292,994


Bond 400,000 7.75 9/01/2025 B 408,346 383,120

Total Ukraine 3,118,964 2,813,736

United Arab Emirates: 2.60%

Abu Dhabi Government

International Bond 650,000 3.13 9/30/2049 AA 639,660 663,275















Sharjah Sukuk Program Ltd 200,000 3.85 4/03/2026 BBB- 209,363 211,136

Sharjah Sukuk Program Ltd 200,000 4.23 3/14/2028 BBB- 214,478 214,098

UAE International Government

Bond 200,000 3.25 10/19/2061 200,998 208,299

Total United Arab Emirates 3,435,363 3,492,176

Uruguay: 2.47%


Bond 300,000 4.38 10/27/2027 BBB 314,963 337,128


Bond 520,000 5.10 6/18/2050 BBB 567,512 686,665


Bond 450,000 4.38 1/23/2031 BBB 511,062 518,067


Bond 450,000 4.98 4/20/2055 BBB 463,159 590,067


Bond 360,000 4.50 8/14/2024 BBB 385,928 381,154


Bond 250,000 4.13 11/20/2045 BBB 233,076 295,940


Bond 350,000 7.88 1/15/2033 BBB 538,983 516,691

Total Uruguay 3,014,683 3,325,712



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Uzbekistan: 0.16%

Republic of Uzbekistan

International Bond 200,000 5.38% 2/20/2029 BB- $ 198,747 $ 212,662

Total Uzbekistan 198,747 212,662

Vietnam: 0.16%

Vietnam Government International

Bond 200,000 4.80 11/19/2024 BB 200,646 216,385

Total Vietnam 200,646 216,385

Zambia: 0.34%

Zambia Government International

Bond 200,000 8.50 4/14/2024 D 208,237 156,850


Bond 200,000 8.97 7/30/2027 D 158,769 154,200


Bond 200,000 5.38 9/20/2022 D 166,336 149,283

Total Zambia 533,342 460,333

Total Foreign government

bonds 112,726,328 109,897,561




Fund S(3) 0.05%(4) 2,549,036 2,549,036 2,549,036


Total Investments: 99.73% $ 136,598,115 $ 134,109,550

Percentages shown are based on total net assets. 144A The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to

Rule 144A. The Fund holds 0.15% of its portfolio in 144A securities.(1) 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, 2021.(2) Security is in default.(3) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds

approximately 0.033% of the total net assets of the Wells Fargo/BlackRock Short Term Investment Fund S.(4) The rate represents the 7-day annualized yield at period end. Abbreviations:GMTN Global Medium Term Note



December 31, 2021


Country Diversification

Country% of Total

InvestmentsMexico 4.95%

Indonesia 4.70

China 4.64

United Arab Emirates 4.32

Qatar 3.93

Saudi Arabia 3.92

Turkey 3.29

Russia 3.27

Philippines 3.21

Brazil 3.18

Chile 2.90

Peru 2.89

Panama 2.81

Oman 2.74

Kazakhstan 2.66

Malaysia 2.60

Uruguay 2.48

Bahrain 2.47

Egypt 2.46

Dominican Republic 2.45

South Africa 2.44

Colombia 2.44

Ukraine 2.10

United States 1.90

Nigeria 1.62

Other 23.63

100.00%



December 31, 2021


Shares CostFair

ValueCommon stocks: 94.64%

Communication services: 10.16%

Advanced Info Service PCL

NVDR 73,400 $ 419,955 $ 504,913

America Movil SAB de CV Series

L 3,411,300 2,502,610 3,611,974

Axiata Group Bhd 59,800 56,812 59,714

Baidu, Inc ADR 29,596 4,574,954 4,403,589

Beijing Enlight Media Co Ltd

Class A 221,200 327,641 445,985

Bharti Airtel Ltd 99,972 928,171 919,624

CD Projekt SA 1,954 95,597 92,937

Cheil Worldwide, Inc 42,141 827,698 808,641

Chunghwa Telecom Co Ltd 293,000 1,095,805 1,233,411

Cyfrowy Polsat SA 47,477 370,007 409,119

DiGi.Com Bhd 322,800 322,925 337,832

Emirates Telecommunications

Group Co PJSC 275,799 1,970,450 2,383,004

Etihad Etisalat Co 46,923 359,534 389,202

G-bits Network Technology

Xiamen Co Ltd Class A 7,200 412,683 476,566

Globe Telecom, Inc 1,485 98,350 96,743

Grupo Televisa SAB 232,700 598,811 436,522

Hellenic Telecommunications

Organization SA 60,061 956,412 1,111,508

Hello Group, Inc ADR 139,653 1,791,541 1,254,084

HYBE Co Ltd 1,741 533,519 509,942

Info Edge India Ltd 10,581 764,207 793,792

Intouch Holdings PCL NVDR 441,700 1,016,640 1,060,617

iQIYI, Inc ADR 22,231 198,634 101,373

Kakao Corp 29,863 2,703,228 2,820,030

Kingsoft Corp Ltd 29,400 149,868 129,137

Kunlun Tech Co Ltd Class A 128,800 370,345 467,842

LG Uplus Corp 51,730 627,895 590,257

Megacable Holdings SAB de CV 225,100 821,765 769,444

Mobile Telecommunications Co

KSCP 633,250 1,260,218 1,247,028

Mobile TeleSystems PJSC ADR 9,924 88,308 78,896

MTN Group Ltd 212,567 1,279,336 2,277,208

MultiChoice Group 38,875 326,717 297,704

NAVER Corp 12,745 2,851,517 4,045,535

NCSoft Corp 92 49,599 49,692

NetEase, Inc ADR 28,825 2,076,083 2,933,808

Orange Polska SA 263,415 488,909 552,438

Pearl Abyss Corp 17,809 1,160,353 2,069,655

Perfect World Co Ltd Class A 82,300 248,439 262,266

PLDT, Inc 6,370 212,830 226,356

PT Telkom Indonesia Persero Tbk 6,191,000 1,500,859 1,766,925

Saudi Telecom Co 82,236 2,584,269 2,459,785

SK Telecom Co Ltd 922 45,293 44,806


Wells Fargo Factor Enhanced Emerging Markets Equity CITSchedule of Investments

December 31, 2021


Shares CostFair

ValueCommon stocks (Continued)

Telefonica Brasil SA 90,300 $ 733,706 $ 783,899

Telekom Malaysia Bhd 851,800 1,247,540 1,124,556

Tencent Holdings Ltd 591,200 43,911,622 34,633,976

TIM SA 206,800 446,739 489,846

Turkcell Iletisim Hizmetleri AS 340,317 692,430 474,885

Vodacom Group Ltd 113,288 980,866 957,065

Weibo Corp ADR 12,638 713,987 391,525

Wuhu Sanqi Interactive

Entertainment Network

Technology Group Co Ltd

Class A 122,700 482,369 520,190

Yandex NV Class A 18,921 1,356,533 1,128,643

Total Communication

services 89,634,579 85,034,489

Consumer discretionary: 12.17%

Abu Dhabi National Oil Co for

Distribution PJSC 187,271 214,804 217,707

Alibaba Group Holding Ltd ADR 158,551 40,624,321 18,834,273

Allegro.eu SA144A 42,434 689,945 408,496

Americanas SA 49,700 270,957 280,062

ANTA Sports Products Ltd 62,600 841,739 938,492

Bajaj Auto Ltd 11,021 513,705 481,734

Balkrishna Industries Ltd 5,512 180,643 172,280

Beijing Roborock Technology Co

Ltd Class A 1,381 169,646 176,164

Bharat Forge Ltd 12,948 140,583 121,554

Bosideng International Holdings

Ltd 440,000 333,829 277,061

Brilliance China Automotive

Holdings Ltd 690,000 547,504 645,972

BYD Co Ltd Class H 75,000 1,198,143 2,564,267

BYD Co Ltd Class A 15,500 644,931 652,068

Cheng Shin Rubber Industry Co

Ltd 204,000 328,053 265,854

China Meidong Auto Holdings Ltd 16,000 64,457 82,487

China Yuhua Education Corp

Ltd144A 3,748,000 2,460,145 1,341,052

CJ ENM Co Ltd 10,185 1,469,436 1,187,366

Coway Co Ltd 10,393 681,127 651,135

Cub Elecparts, Inc 1 7 7

Dongfeng Motor Group Co Ltd

Class H 2,040,000 1,979,410 1,695,302

Eclat Textile Co Ltd 18,000 400,150 410,152

Ecovacs Robotics Co Ltd Class A 30,400 701,101 720,011

Falabella SA 2 10 7

Feng TAY Enterprise Co Ltd 15,000 125,742 125,381

FF Group 10,917 179,495 124

Ford Otomotiv Sanayi AS 48,118 1,048,754 866,044



December 31, 2021


Shares CostFair


Fuyao Glass Industry Group Co

Ltd Class H144A 189,200 $ 1,037,403 $ 977,841

Geely Automobile Holdings Ltd 660,000 1,616,387 1,802,874

Genting Bhd 721,600 904,118 808,899

Genting Malaysia Bhd 653,500 479,816 451,772

Giant Manufacturing Co Ltd 227,000 2,299,671 2,825,239

Great Wall Motor Co Ltd Class H 480,000 1,244,667 1,649,749

Great Wall Motor Co Ltd Class A 41,300 346,155 314,544

Guangzhou Automobile Group Co

Ltd Class H 1,795,200 1,747,687 1,770,439

Haier Smart Home Co Ltd Class A 16,400 70,305 76,913

Haier Smart Home Co Ltd Class H 176,800 618,910 747,101

Hang Zhou Great Star Industrial

Co Ltd Class A 37,200 172,994 178,081

Hankook Tire & Technology Co

Ltd 23,619 1,016,324 789,046

Hero MotoCorp Ltd 3,875 141,102 128,345

Home Product Center PCL NVDR 199,100 86,097 86,374

Hotel Shilla Co Ltd 394 25,799 25,822

Hyundai Mobis Co Ltd 4,992 1,159,401 1,067,074

Hyundai Motor Co 12,414 1,692,800 2,179,022

Jarir Marketing Co 20,662 995,713 1,081,236

Jason Furniture Hangzhou Co Ltd

Class A 7,400 85,526 89,589

JD.com, Inc ADR 82,940 3,957,522 5,811,606

Jiumaojiu International Holdings

Ltd144A 173,000 381,684 303,954

Jollibee Foods Corp 1,920 8,097 8,148

Jubilant Foodworks Ltd 19,513 892,740 942,659

Kangwon Land, Inc 21,481 446,350 433,909

Kia Corp 27,439 1,357,225 1,893,650

LG Electronics, Inc 15,668 1,444,651 1,814,050

Li Ning Co Ltd 187,000 1,368,317 2,046,854

Lojas Renner SA 13,442 107,656 58,172

Lotte Shopping Co Ltd 8,088 777,171 592,624

LPP SA 23 91,152 98,185

Mahindra & Mahindra Ltd 78,332 836,934 882,156

Maruti Suzuki India Ltd 8,052 756,759 804,429

Meituan Class B144A 405,300 8,503,381 11,715,811

Midea Group Co Ltd Class A 15,885 114,531 183,965

momo.com, Inc 49,000 2,979,414 2,868,745

Motherson Sumi Systems Ltd 50,682 157,046 152,246

Mr Price Group Ltd 42,143 611,597 527,614

MRF Ltd 34 38,547 33,544

Naspers Ltd 15,645 2,493,254 2,427,012

NIO, Inc ADR 52,841 1,924,629 1,674,003

OPAP SA 91,517 1,222,549 1,299,275

Oppein Home Group, Inc Class A 8,500 186,994 196,718

Ozon Holdings PLC ADR 5,131 265,331 155,134



December 31, 2021


Shares CostFair


Page Industries Ltd 598 $ 316,666 $ 325,175

Pinduoduo, Inc ADR 26,454 2,690,146 1,542,268

Pou Chen Corp 48,000 65,368 57,424

PT Astra International Tbk 3,434,500 1,353,488 1,374,666

Sailun Group Co Ltd Class A 255,000 468,289 591,753

Shenzhen Overseas Chinese Town

Co Ltd Class A 41,600 46,206 45,951

Shenzhou International Group

Holdings Ltd 28,400 565,261 545,961

Shinsegae, Inc 2,132 517,187 454,972

Tata Motors Ltd 237,303 1,129,984 1,539,974

Titan Co Ltd 14,793 473,339 501,965

Tongcheng Travel Holdings Ltd 458,000 972,631 848,154

Topsports International Holdings

Ltd144A 160,000 214,085 161,897

Trip.com Group Ltd ADR 28,387 876,052 698,888

Vibra Energia SA 523,700 2,452,076 2,007,999

Vipshop Holdings Ltd ADR 45,931 690,857 385,820

Woolworths Holdings Ltd 420,608 1,474,359 1,368,857

Yum China Holdings, Inc 29,235 1,751,292 1,457,072

Zhongsheng Group Holdings Ltd 112,000 722,558 873,300

Total Consumer discretionary 119,252,887 101,871,571

Consumer staples: 5.49%

Abdullah Al Othaim Markets Co 568 18,800 16,370

Adecoagro SA 97,488 905,653 748,708

Almarai Co JSC 3,983 57,686 51,778

Ambev SA 321,600 943,152 899,910

Amorepacific Corp 1,490 315,280 209,100

AMOREPACIFIC Group 2,782 122,632 103,660

Angel Yeast Co Ltd Class A 14,700 136,493 139,219

Anhui Gujing Distillery Co Ltd

Class B 37,300 493,494 530,974

Anhui Kouzi Distillery Co Ltd

Class A 3,200 27,672 35,583

Arca Continental SAB de CV 86,300 532,580 548,007

Atacadao SA 92,500 363,943 252,581

Avenue Supermarts Ltd144A 7,001 469,063 439,961

BGF retail Co Ltd 8,482 1,229,511 1,036,407

Bid Corp Ltd 35,093 738,405 718,883

BRF SA 147,400 689,625 597,549

Britannia Industries Ltd 6,845 358,705 332,049

By-health Co Ltd Class A 118,000 510,951 499,154

C&S Paper Co Ltd Class A 74,100 243,694 194,279

Carabao Group PCL NVDR 218,500 859,561 781,088

Cencosud SA 801,963 1,431,888 1,341,311

Charoen Pokphand Foods PCL

NVDR 381,100 307,561 291,186

China Feihe Ltd144A 238,000 476,792 319,264

China Mengniu Dairy Co Ltd 285,000 1,466,033 1,615,507



December 31, 2021


Shares CostFair


China Resources Beer Holdings

Co Ltd 64,000 $ 461,506 $ 524,062

Chongqing Brewery Co Ltd

Class A 4,100 100,837 97,345

Cia Cervecerias Unidas SA 78,279 689,968 641,213

CJ CheilJedang Corp 836 293,637 272,346

Clicks Group Ltd 68,904 1,248,810 1,364,373

Coca-Cola Femsa SAB de CV 216,705 1,170,639 1,190,764

Colgate-Palmolive India Ltd 34,244 722,454 682,386

CP ALL PCL NVDR 29,700 73,588 52,418

Dabur India Ltd 10,487 88,091 81,831

Dali Foods Group Co Ltd144A 300,000 176,027 156,972

Dino Polska SA144A 3,963 285,591 361,270

E-MART, Inc 2,030 281,868 257,346

Fomento Economico Mexicano

SAB de CV 58,600 492,037 456,454

Fraser & Neave Holdings Bhd 45,000 310,069 267,235

Godrej Consumer Products Ltd 37,470 521,246 488,111

Gruma SAB de CV Class B 12,505 134,568 159,822

Grupo Bimbo SAB de CV Class A 155,400 350,475 478,825

Hengan International Group Co

Ltd 1,000 5,571 5,149

Hindustan Unilever Ltd 25,401 842,185 806,479

IOI Corp Bhd 178,900 177,800 160,177

ITC Ltd 456,213 1,387,600 1,338,217

JBS SA 395,000 2,298,379 2,695,102

Kimberly-Clark de Mexico SAB

de CV Class A 389,600 674,659 591,949

KT&G Corp 6,338 494,678 421,083

Kuala Lumpur Kepong Bhd 25,800 141,309 134,883

Kweichow Moutai Co Ltd Class A 4,700 1,512,651 1,511,764

LG Household & Health Care Ltd 317 366,992 292,580

Magnit PJSC GDR 26,160 382,489 392,400

Marico Ltd 143,529 871,747 989,837

Nestle India Ltd 4,599 1,163,483 1,219,153

Nestle Malaysia Bhd 1,700 56,098 54,762

Osotspa PCL NVDR 526,100 540,265 539,187

President Chain Store Corp 25,000 258,005 246,852

Proya Cosmetics Co Ltd Class A 3,900 125,642 127,470

PT Charoen Pokphand Indonesia

Tbk 2,221,400 1,008,552 925,849

PT Gudang Garam Tbk 337,800 821,626 725,404

Raia Drogasil SA 73,900 360,278 321,739

Shanghai Jahwa United Co Ltd

Class A 37,100 237,580 235,231

Shoprite Holdings Ltd 79,866 846,028 1,046,904

Sichuan Swellfun Co Ltd Class A 18,100 388,903 340,766

SPAR Group Ltd 41,952 538,786 439,976

Sun Art Retail Group Ltd 186,000 98,711 74,662



December 31, 2021


Shares CostFair


Tata Consumer Products Ltd 10,761 $ 123,431 $ 107,624

Thai Union Group PCL NVDR 2,907,600 1,455,273 1,698,018

Tiger Brands Ltd 87,789 1,261,689 997,164

Tingyi Cayman Islands Holding

Corp 280,000 474,168 575,258

Tsingtao Brewery Co Ltd Class H 30,000 217,824 280,857

Uni-President China Holdings Ltd 1,051,000 1,108,058 1,018,982

Uni-President Enterprises Corp 576,000 1,458,579 1,426,070

United Spirits Ltd 22,433 268,407 271,074

Universal Robina Corp 166,500 455,897 417,944

Vinda International Holdings Ltd 141,000 452,731 343,569

Wal-Mart de Mexico SAB de CV 657,900 1,950,161 2,449,031

Want Want China Holdings Ltd 1,040,000 776,846 954,967

Yihai Kerry Arawana Holdings Co

Ltd Class A 51,600 632,572 509,495

Total Consumer staples 46,336,238 45,922,929

Energy: 4.34%

Bharat Petroleum Corp Ltd 174,366 1,074,933 904,134

China Oilfield Services Ltd

Class H 188,000 180,383 164,672

China Petroleum & Chemical Corp

Class H 4,584,000 2,707,650 2,133,993

China Shenhua Energy Co Ltd

Class H 813,500 1,588,237 1,907,109

Coal India Ltd 39,397 75,274 77,405

Ecopetrol SA 242,548 187,848 160,206

Exxaro Resources Ltd 128,330 1,372,425 1,231,114

Gazprom PJSC 580,120 1,511,975 2,654,144

GS Holdings Corp 20,358 775,676 668,662

Hindustan Petroleum Corp Ltd 354,313 1,146,948 1,393,455

Indian Oil Corp Ltd 682,873 997,237 1,024,278

LUKOIL PJSC 42,922 3,497,844 3,815,220

MOL Hungarian Oil & Gas PLC 55,525 468,667 430,940

Oil & Natural Gas Corp Ltd 442,042 751,209 846,791

PetroChina Co Ltd Class H 4,442,000 1,687,578 1,976,741

Petroleo Brasileiro SA 142,900 767,826 786,964

Petronas Dagangan Bhd 59,400 278,838 293,721

Petronet LNG Ltd 201,572 658,671 586,800

Polski Koncern Naftowy Orlen SA 30,211 478,453 556,847

PT Adaro Energy Tbk 1,475,900 138,028 234,058

PT United Tractors Tbk 231,500 370,326 359,422

PTT Exploration & Production

PCL NVDR 148,600 466,927 523,878

PTT PCL NVDR 581,400 741,711 659,792

Qatar Fuel QSC 97,354 479,714 488,675

Reliance Industries Ltd 221,553 6,321,577 7,058,131

Rosneft Oil Co PJSC 62,640 470,168 497,506

Shanxi Coking Coal Energy Group

Co Ltd Class A 216,600 315,111 281,058



December 31, 2021


Shares CostFair


S-Oil Corp 8,516 $ 716,383 $ 612,063

Surgutneftegas PJSC 452,202 206,803 238,210

Tatneft PJSC 147,239 1,471,759 976,432

Thai Oil PCL NVDR 84,500 143,286 125,043

Ultrapar Participacoes SA 59,300 249,630 157,233

Yankuang Energy Group Co Ltd

Class H 1,216,000 1,163,039 2,417,169

Yankuang Energy Group Co Ltd

Class A 20,600 79,531 76,054

Total Energy 33,541,665 36,317,920

Financials: 17.81%

360 DigiTech, Inc ADR 9,180 192,092 210,497

Absa Group Ltd 110,961 1,018,904 1,062,259

Abu Dhabi Commercial Bank

PJSC 488,012 916,018 1,132,230

Abu Dhabi Islamic Bank PJSC 244,428 338,192 456,382

Agricultural Bank of China Ltd

Class H 571,000 197,718 196,251

Akbank TAS 1,089,494 767,542 592,967

Al Rajhi Bank 121,173 2,719,353 4,569,707

Alinma Bank 185,270 1,161,835 1,180,242

Alpha Services & Holdings SA 5,004 6,103 6,136

Arab National Bank 51,045 312,307 310,873

Axis Bank Ltd 262,065 2,388,698 2,392,179

B3 SA - Brasil Bolsa Balcao 670,300 2,378,833 1,334,825

Bajaj Finance Ltd 19,957 1,739,463 1,873,206

Bajaj Finserv Ltd 2,994 667,355 660,789

Banco BTG Pactual SA 215,400 941,144 809,061

Banco de Chile 12 2 1

Banco do Brasil SA 104,800 788,530 541,647

Banco Santander Brasil SA 191,600 1,309,135 1,030,593

Banco Santander Chile 2,105,358 90,008 84,598

Bancolombia SA 34,693 277,267 296,077

Bangkok Commercial Asset

Management PCL NVDR 380,300 212,980 245,605

Bank AlBilad 62,369 563,549 768,692

Bank of China Ltd Class H 10,505,000 4,096,834 3,785,683

Bank of Communications Co Ltd

Class H 2,461,000 1,524,039 1,486,532

Bank of the Philippine Islands 331,940 558,853 599,858

Bank Polska Kasa Opieki SA 30,960 770,068 934,486

Banque Saudi Fransi 18,483 228,983 232,213

BB Seguridade Participacoes SA 477,100 2,262,866 1,766,045

BDO Unibank, Inc 333,850 814,381 790,228

BOC International China Co Ltd

Class A 46,200 101,156 97,498

Bupa Arabia for Cooperative

Insurance Co 18,667 715,368 653,325

Capitec Bank Holdings Ltd 2,610 295,191 334,100



December 31, 2021


Shares CostFair


Cathay Financial Holding Co Ltd 863,000 $ 1,424,174 $ 1,944,210

Chailease Holding Co Ltd 83,124 526,615 790,660

China Cinda Asset Management

Co Ltd Class H 5,751,000 999,906 1,047,306

China CITIC Bank Corp Ltd

Class H 4,537,000 2,253,536 1,966,651

China Construction Bank Corp

Class H 7,121,000 5,637,761 4,931,472

China Development Financial

Holding Corp 1,312,000 628,735 828,647

China Everbright Ltd 912,000 1,109,395 1,090,065

China Galaxy Securities Co Ltd

Class H 2,415,000 1,472,189 1,387,513

China International Capital Corp

Ltd Class H144A 188,400 449,686 519,471

China Life Insurance Co Ltd

Class H 439,000 1,049,626 727,393

China Merchants Bank Co Ltd

Class H 467,500 2,618,997 3,630,259

China Merchants Bank Co Ltd

Class A 45,200 351,577 345,453

China Pacific Insurance Group Co

Ltd Class H 5,600 21,460 15,189

China Taiping Insurance Holdings

Co Ltd 265,000 457,553 363,640

Cholamandalam Investment and

Finance Co Ltd 40,520 279,630 283,668

CIMB Group Holdings Bhd 824,700 981,260 1,078,880

CITIC Securities Co Ltd Class H 8,500 19,272 22,183

Co for Cooperative Insurance 18,867 423,902 388,309

Commercial Bank PSQC 765,969 1,032,770 1,419,517

Credicorp Ltd 10,704 1,386,261 1,306,637

CTBC Financial Holding Co Ltd 2,159,000 1,617,110 2,022,551

DB Insurance Co Ltd 21,546 1,030,973 978,246

E.Sun Financial Holding Co Ltd 1 1 1

Emirates NBD Bank PJSC 79,911 308,152 294,559

Eurobank Ergasias Services and

Holdings SA Class A 146,085 148,466 148,256

Far East Horizon Ltd 899,000 951,617 797,825

First Abu Dhabi Bank PJSC 171,373 764,950 879,015

FirstRand Ltd 215,859 808,064 823,610

Founder Securities Co Ltd Class A 96,500 133,843 118,707

Fubon Financial Holding Co Ltd 1,086,200 2,096,657 2,989,793

GF Securities Co Ltd Class H 592,600 956,020 1,129,334

GF Securities Co Ltd Class A 54,200 165,571 209,117

Grupo de Inversiones

Suramericana SA 24,601 141,340 181,513

Grupo Financiero Banorte SAB de

CV Class O 269,700 1,430,324 1,754,094



December 31, 2021


Shares CostFair


Grupo Financiero Inbursa SAB de

CV 347,600 $ 355,342 $ 417,110

Haitong Securities Co Ltd Class H 932,800 817,561 826,625

Hana Financial Group, Inc 31,763 1,016,342 1,122,157

HDFC Asset Management Co

Ltd144A 19,531 768,295 642,690

HDFC Life Insurance Co Ltd144A 13,254 123,312 115,814

Hithink RoyalFlush Information

Network Co Ltd Class A 4,200 93,233 95,277

Hong Leong Bank Bhd 48,300 202,961 215,878

Hong Leong Financial Group Bhd 116,400 478,754 484,488

Housing Development Finance

Corp Ltd 172,281 5,268,951 5,994,381

Hua Nan Financial Holdings Co

Ltd 1 1 1

IBF Financial Holdings Co Ltd 1 0 1

ICICI Bank Ltd ADR 104,911 1,197,809 2,076,189

ICICI Bank Ltd 328,911 2,552,229 3,274,922

ICICI Lombard General Insurance

Co Ltd144A 5,124 104,757 96,589

Industrial & Commercial Bank of

China Ltd Class H 6,263,000 4,314,678 3,534,084

Industrial Bank of Korea 22,453 190,748 194,235

Industrial Securities Co Ltd

Class A 124,100 170,382 192,380

KB Financial Group, Inc 32,386 1,283,808 1,497,667

Komercni Banka AS 2,965 95,426 126,771

Korea Investment Holdings Co Ltd 24,077 1,715,422 1,631,229

Kotak Mahindra Bank Ltd 22,207 472,867 536,566

Krung Thai Bank PCL NVDR 1,879,700 677,820 741,003

Krungthai Card PCL NVDR 445,500 870,367 790,238

Kuwait Finance House KSCP 728,880 1,924,617 2,005,210

Malayan Banking Bhd 274,900 501,344 547,688

Masraf Al Rayan QSC 362,336 440,644 461,657

Mega Financial Holding Co Ltd 482,000 561,499 619,018

Meritz Securities Co Ltd 297,019 1,154,431 1,286,002

Metro Pacific Investments Corp 5,609,500 473,046 429,025

Metropolitan Bank & Trust Co 1,027,096 966,713 1,121,915

Mirae Asset Securities Co Ltd 101,290 838,041 735,846

N Ap 28,750 48,495 58,429

National Bank of Kuwait SAKP 620,303 1,815,639 2,045,180

Nedbank Group Ltd 114,755 1,244,965 1,260,397

NH Investment & Securities Co

Ltd 133,304 1,422,890 1,400,101

Northeast Securities Co Ltd

Class A 90,200 117,985 124,261

Old Mutual Ltd 1,292,748 1,066,835 1,062,755

OTP Bank Nyrt 30,543 1,656,067 1,557,427



December 31, 2021


Shares CostFair


People's Insurance Co Group of

China Ltd Class H 6,581,000 $ 2,165,396 $ 1,991,800

PICC Property & Casualty Co Ltd

Class H 2,252,000 2,107,791 1,839,711

Ping An Insurance Group Co of

China Ltd Class H 328,000 3,661,583 2,361,921

Piramal Enterprises Ltd 10,967 415,427 390,064

Postal Savings Bank of China Co

Ltd Class H144A 2,339,000 1,548,111 1,640,814

Powszechna Kasa Oszczednosci

Bank Polski SA 8,592 95,219 95,300

Powszechny Zaklad Ubezpieczen

SA 82,132 783,343 717,213

PT Bank Central Asia Tbk 4,185,600 1,895,485 2,143,657

PT Bank Mandiri Persero Tbk 1,600,500 545,563 790,294

PT Bank Negara Indonesia Persero

Tbk 462,500 232,701 218,628

PT Bank Rakyat Indonesia Persero

Tbk 5,477,500 1,542,250 1,577,115

Public Bank Bhd 1,522,800 1,369,314 1,520,607

Qatar International Islamic Bank

QSC 228,696 571,631 578,373

Qatar Islamic Bank SAQ 141,001 662,855 709,700

Qatar National Bank QPSC 422,282 2,133,267 2,341,147

Rand Merchant Investment

Holdings Ltd 179,307 409,620 508,271

Remgro Ltd 100,267 861,379 825,229

RHB Bank Bhd 550,000 713,658 708,953

Riyad Bank 80,465 489,964 580,812

Samsung Fire & Marine Insurance

Co Ltd 4,283 760,833 727,578

Samsung Securities Co Ltd 21,501 835,228 810,684

Sanlam Ltd 109,992 435,214 409,735

Santander Bank Polska SA 6,180 412,960 530,702

Saudi National Bank 205,984 2,679,138 3,533,286

Sberbank of Russia PJSC 778,560 2,860,232 3,044,596

SBI Life Insurance Co Ltd144A 18,202 294,687 292,855

Shanghai Commercial & Savings

Bank Ltd 45,000 76,944 76,761

Shin Kong Financial Holding Co

Ltd 66,000 26,399 26,302

Shinhan Financial Group Co Ltd 47,385 1,574,087 1,464,150

Shriram Transport Finance Co Ltd 20,729 353,549 339,369

Siam Commercial Bank PCL

NVDR 375,100 1,377,062 1,423,786

SinoPac Financial Holdings Co

Ltd 963,000 478,332 561,613

Srisawad Corp PCL NVDR 391,190 800,097 721,507

Standard Bank Group Ltd 75,963 702,866 667,435

State Bank of India 219,392 990,411 1,358,958



December 31, 2021


Shares CostFair


Sul America SA 1 $ 7 $ 5

Taishin Financial Holding Co Ltd 820,836 450,168 561,551

TCS Group Holding PLC GDR 12,687 926,953 1,022,049

Turkiye Is Bankasi AS Class C 821,538 628,738 446,508

VTB Bank PJSC 236,120,000 132,496 150,709

Woori Financial Group, Inc 98,449 1,003,655 1,049,892

Yes Bank Ltd 7,004,442 1,293,106 1,290,913

Yuanta Financial Holding Co Ltd 20,000 18,327 18,269

Zhongtai Securities Co Ltd

Class A 561,400 825,715 878,213

Total Financials 143,178,197 149,116,770

Health care: 5.08%

3SBio, Inc144A 1,543,500 1,529,740 1,286,654

Aier Eye Hospital Group Co Ltd

Class A 1 10 7

Apeloa Pharmaceutical Co Ltd

Class A 180,600 1,031,053 994,336

Apollo Hospitals Enterprise Ltd 23,715 1,204,465 1,599,405

Aspen Pharmacare Holdings Ltd 84,455 1,185,995 1,189,525

Aurobindo Pharma Ltd 72,856 817,059 719,733

Bangkok Dusit Medical Services

PCL NVDR 701,900 494,122 482,770

Beijing Tiantan Biological

Products Corp Ltd Class A 102,900 478,455 467,569

Beijing Wantai Biological

Pharmacy Enterprise Co Ltd

Class A 40,400 1,452,183 1,404,065

Bumrungrad Hospital PCL NVDR 55,300 214,618 232,706

Celltrion Healthcare Co Ltd 2,351 180,228 158,388

Celltrion, Inc 7,113 1,342,946 1,184,091

China Medical System Holdings

Ltd 1,055,000 2,232,452 1,761,592

China Resources Pharmaceutical

Group Ltd144A 243,500 141,407 110,859

China Resources Sanjiu Medical &

Pharmaceutical Co Ltd Class A 68,100 298,658 365,858

China Traditional Chinese

Medicine Holdings Co Ltd 3,100,000 1,648,834 2,055,389

Chongqing Zhifei Biological

Products Co Ltd Class A 42,300 978,248 826,972

Cipla Ltd 70,100 719,327 890,305

CSPC Pharmaceutical Group Ltd 1,284,000 1,620,805 1,394,730

Daan Gene Co Ltd Class A 196,720 631,053 619,173

Divi's Laboratories Ltd 18,808 885,275 1,183,653

Dr Sulaiman Al Habib Medical

Services Group Co 10,998 403,923 472,235

Green Cross Corp 3,792 1,065,265 694,000

Guangzhou Baiyunshan

Pharmaceutical Holdings Co

Ltd Class A 65,000 317,469 348,796



December 31, 2021


Shares CostFair


Guangzhou Kingmed Diagnostics

Group Co Ltd Class A 22,900 $ 387,710 $ 400,162

Hartalega Holdings Bhd 173,600 318,133 238,773

Huadong Medicine Co Ltd

Class A 89,316 515,475 563,362

Hualan Biological Engineering,

Inc Class A 14,700 66,909 67,211

Intco Medical Technology Co Ltd

Class A 58,900 637,367 534,535

Jiangsu Yuyue Medical Equipment

& Supply Co Ltd Class A 25,300 143,094 150,053

Joinn Laboratories China Co Ltd

Class A 32,700 606,065 592,241

Lupin Ltd 42,609 616,995 544,967

Mouwasat Medical Services Co 36,467 1,706,099 1,684,927

Pharmally International Holding

Co Ltd 12,256 67,191 4

Pharmaron Beijing Co Ltd

Class H144A 21,900 421,277 337,872

Pharmaron Beijing Co Ltd Class A 12,900 303,510 285,938

PT Kalbe Farma Tbk 1,979,000 188,094 224,247

Richter Gedeon Nyrt 70,468 1,860,705 1,894,931

Seegene, Inc 29,074 1,754,567 1,491,915

Shandong Weigao Group Medical

Polymer Co Ltd Class H 24,000 42,230 29,948

Shanghai Fosun Pharmaceutical

Group Co Ltd Class H 137,000 729,175 603,516

Shanghai Pharmaceuticals Holding

Co Ltd Class H 135,100 269,124 256,078

Shanghai Pharmaceuticals Holding

Co Ltd Class A 30,600 95,512 95,401

SillaJen, Inc 7,206 74,547 19,398

Sino Biopharmaceutical Ltd 847,000 655,713 593,086

Sinopharm Group Co Ltd Class H 760,000 2,141,629 1,653,032

SK Bioscience Co Ltd 3,863 777,558 731,167

Sri Trang Gloves Thailand PCL

NVDR 1,342,200 1,589,720 1,215,433

Sun Pharmaceutical Industries Ltd 100,056 919,518 1,138,315

Supermax Corp Bhd 2,746,746 2,831,302 969,207

Top Glove Corp Bhd 923,600 988,903 574,202

Torrent Pharmaceuticals Ltd 1,160 42,752 51,160

Walvax Biotechnology Co Ltd

Class A 59,000 525,757 520,260

Winning Health Technology

Group Co Ltd Class A 268,400 606,687 705,812

WuXi AppTec Co Ltd Class H144A 16,112 239,966 278,949

Wuxi Biologics Cayman, Inc144A 262,000 3,863,641 3,109,708

Zhangzhou Pientzehuang

Pharmaceutical Co Ltd Class A 8,200 534,557 562,440



December 31, 2021


Shares CostFair


Zhejiang NHU Co Ltd Class A 760 $ 3,323 $ 3,711

Total Health care 47,398,395 42,564,772

Industrials: 5.48%

Aboitiz Equity Ventures, Inc 72,630 80,791 77,555

Adani Enterprises Ltd 35,844 700,386 824,282

Adani Ports & Special Economic

Zone Ltd 46,402 405,706 455,870

Agility Public Warehousing Co

KSC 229,834 669,899 717,423

Airtac International Group 2,000 75,229 73,437

AviChina Industry & Technology

Co Ltd Class H 2,612,000 1,667,529 1,805,526

Beijing United Information

Technology Co Ltd Class A 800 13,560 13,494

Bharat Electronics Ltd 245,603 627,856 693,669

Bidvest Group Ltd 12,040 165,803 143,143

BTS Group Holdings PCL NVDR 379,100 111,012 105,963

China Baoan Group Co Ltd

Class A 246,300 607,291 557,652

China Communications Services

Corp Ltd Class H 1,392,000 737,231 678,367

China Everbright Environment

Group Ltd 576,000 369,718 462,422

China Merchants Port Holdings Co

Ltd 1,014,000 1,634,973 1,846,580

China Railway Group Ltd Class H 2,317,000 1,130,074 1,224,236

China Southern Airlines Co Ltd

Class H 166,000 93,490 99,418

CITIC Ltd 1,298,000 1,358,613 1,281,761

CJ Corp 13,258 1,110,574 929,044

CJ Logistics Corp 4,850 703,769 513,635

Container Corp Of India Ltd 150,611 1,157,213 1,245,136

Contemporary Amperex

Technology Co Ltd Class A 700 63,374 64,581

COSCO SHIPPING Holdings Co

Ltd Class H 1,005,900 880,573 1,950,511

COSCO SHIPPING Ports Ltd 1,716,000 1,348,233 1,489,868

Doosan Bobcat, Inc 29,792 1,010,745 1,019,566

Doosan Co Ltd 1 41 99

Ecopro BM Co Ltd 2,124 853,992 892,389

Evergreen Marine Corp Taiwan

Ltd 174,750 723,439 895,231

Fangda Carbon New Material Co

Ltd Class A 8,300 10,023 14,091

Fosun International Ltd 380,000 566,994 409,847

Grupo Aeroportuario del Sureste

SAB de CV Class B 9,155 185,283 188,743

GS Engineering & Construction

Corp 22,668 781,785 753,806

GT Capital Holdings, Inc 91,552 1,063,723 969,517



December 31, 2021


Shares CostFair


Haitian International Holdings Ltd 139,000 $ 448,258 $ 385,935

Havells India Ltd 5,864 72,845 110,203

Hefei Meiya Optoelectronic

Technology, Inc Class A 47,000 276,392 276,247

Hiwin Technologies Corp 2,000 22,219 22,134

Hongfa Technology Co Ltd

Class A 37,200 376,355 435,659

Hyundai Engineering &

Construction Co Ltd 15,658 658,798 584,246

Hyundai Glovis Co Ltd 11,686 1,902,761 1,647,921

Hyundai Heavy Industries

Holdings Co Ltd 5,156 276,350 232,691

Industries Qatar QSC 171,150 642,141 727,978

International Container Terminal

Services, Inc 284,900 859,789 1,117,419

Jiangsu Expressway Co Ltd

Class H 1,450,000 1,556,498 1,485,787

Korean Air Lines Co Ltd 17,308 405,394 426,215

Larsen & Toubro Ltd 13,698 211,187 349,362

LG Corp 12,383 866,845 842,878

Localiza Rent a Car SA 106,395 1,015,424 1,009,449

NARI Technology Co Ltd Class A 12,000 72,332 75,370

S-1 Corp 345 21,456 21,467

Samsung Engineering Co Ltd 35,743 703,549 687,227

Sany Heavy Equipment

International Holdings Co Ltd 859,000 849,193 830,627

Shanghai International Port Group

Co Ltd Class A 462,100 346,832 397,328

Sime Darby Bhd 1,864,300 1,040,530 1,038,208

Sinotrans Ltd Class A 1,448,500 912,494 1,018,190

Sinotruk Hong Kong Ltd 67,500 182,352 103,879

SK, Inc 1,789 386,249 377,156

Sungrow Power Supply Co Ltd

Class A 21,200 276,886 484,982

Suzhou Maxwell Technologies Co

Ltd Class A 4,000 417,079 403,116

TBEA Co Ltd Class A 131,600 444,894 437,128

Turkiye Sise ve Cam Fabrikalari

AS 321,764 285,133 325,437

Wan Hai Lines Ltd 2,000 14,482 14,265

WEG SA 30,460 143,525 179,414

Weichai Power Co Ltd Class H 201,000 436,234 393,362

Westports Holdings Bhd 774,500 819,240 752,934

Wuxi Shangji Automation Co Ltd

Class A 22,400 718,225 586,874

Xinjiang Goldwind Science &

Technology Co Ltd Class H 471,800 883,915 920,904

Yang Ming Marine Transport Corp 360,000 1,991,642 1,565,830

Zhejiang Expressway Co Ltd

Class H 2,104,000 1,864,017 1,875,307



December 31, 2021


Shares CostFair


Zhuzhou CRRC Times Electric Co

Ltd Class H 53,300 $ 335,006 $ 308,622

Zhuzhou Kibing Group Co Ltd

Class A 345,600 982,363 927,261

Zoomlion Heavy Industry Science

and Technology Co Ltd Class H 131,000 155,288 82,489

Total Industrials 44,783,094 45,858,363

Information technology: 23.44%

Accton Technology Corp 55,000 442,286 515,361

Acer, Inc 207,000 196,012 227,293

Advantech Co Ltd 3,000 37,710 42,886

ASE Technology Holding Co Ltd 732,500 2,414,371 2,830,536

Asustek Computer, Inc 64,000 651,727 868,830

AU Optronics Corp 1,799,000 1,164,745 1,487,162

Beijing E-Hualu Information

Technology Co Ltd Class A 115,100 543,824 638,406

Beijing Kingsoft Office Software,

Inc Class A 750 30,638 31,185

Beijing Shiji Information


Beijing Yuanliu Hongyuan

Electronic Technology Co Ltd

Class A 9,100 217,911 256,208

BYD Electronic International Co

Ltd 67,500 379,993 247,145

Catcher Technology Co Ltd 8,000 45,853 45,225

Chinasoft International Ltd 1,076,000 1,725,518 1,401,999

Compal Electronics, Inc 958,000 722,873 837,486

Daqo New Energy Corp ADR 12,552 848,831 506,097

Delta Electronics Thailand PCL

NVDR 32,000 346,787 396,151

Delta Electronics, Inc 177,000 1,236,050 1,756,227

Flat Glass Group Co Ltd Class H 233,000 1,095,775 1,183,295

Flat Glass Group Co Ltd Class A 21,300 167,359 193,638

Globalwafers Co Ltd 22,000 556,030 704,796

Hangzhou First Applied Material

Co Ltd Class A 42,808 864,384 876,868

Hangzhou Silan Microelectronics

Co Ltd Class A 55,300 542,057 470,280

HCL Technologies Ltd 161,898 1,777,674 2,872,910

Hon Hai Precision Industry Co Ltd 1,301,800 4,421,939 4,881,930

Hundsun Technologies, Inc

Class A 67,800 670,578 661,155

Iflytek Co Ltd Class A 116,900 1,086,607 963,138

Infosys Ltd ADR 76,703 675,057 1,941,353

Infosys Ltd 301,755 4,063,282 7,663,053

Innolux Corp 2,549,000 1,745,913 1,801,252

Inventec Corp 470,000 431,630 423,300

JA Solar Technology Co Ltd

Class A 15,500 229,622 225,447



December 31, 2021


Shares CostFair


Kingboard Holdings Ltd 584,500 $ 2,642,262 $ 2,844,711

Kingboard Laminates Holdings

Ltd 1,467,000 2,473,119 2,494,684

Larsen & Toubro Infotech Ltd144A 16,740 832,567 1,651,128

Lenovo Group Ltd 1,722,000 1,809,516 1,978,714

Leyard Optoelectronic Co Ltd

Class A 79,900 120,226 128,500

LG Display Co Ltd 69,509 1,472,493 1,433,118

LG Innotek Co Ltd 9,669 1,689,449 2,955,997

Lite-On Technology Corp 624,000 1,186,997 1,436,913

LONGi Green Energy Technology

Co Ltd Class A 16,800 217,086 227,221

MediaTek, Inc 137,000 2,747,541 5,878,602

Micro-Star International Co Ltd 28,000 133,236 162,175

Mitac Holdings Corp 1 1 1

Nan Ya Printed Circuit Board

Corp 50,000 707,736 1,029,919

Nanya Technology Corp 52,000 153,559 146,464

National Silicon Industry Group

Co Ltd Class A 64,645 281,265 261,893

Novatek Microelectronics Corp 125,000 1,529,765 2,427,287

Pegatron Corp 150,000 345,138 374,265

Powertech Technology, Inc 322,000 1,117,875 1,134,740

Quanta Computer, Inc 177,000 442,231 604,495

Realtek Semiconductor Corp 62,000 796,129 1,295,384

Samsung Electro-Mechanics Co

Ltd 8,654 1,123,493 1,435,276

Samsung Electronics Co Ltd 477,954 23,386,089 31,389,587

Samsung SDI Co Ltd 3,790 1,133,960 2,084,393

Samsung SDS Co Ltd 5,835 969,350 766,465

Sangfor Technologies, Inc Class A 12,100 448,802 362,619

Shanghai Baosight Software Co

Ltd Class A 123,950 1,225,245 1,183,032

Silergy Corp 6,000 641,649 1,085,978

SK Hynix, Inc 49,766 4,092,920 5,465,929

SK Square Co Ltd 9 618 503

Sunny Optical Technology Group

Co Ltd 88,600 2,058,433 2,802,003

Synnex Technology International

Corp 841,000 1,403,984 2,009,402

Taiwan Semiconductor

Manufacturing Co Ltd 2,480,000 32,674,078 54,860,066

Tata Consultancy Services Ltd 100,957 3,436,653 5,077,141

Tech Mahindra Ltd 128,326 1,518,147 3,091,035

Thunder Software Technology Co

Ltd Class A 20,500 462,810 445,230

Tianjin Zhonghuan Semiconductor

Co Ltd Class A 27,900 170,871 182,765

TOTVS SA 174,200 956,543 885,299



December 31, 2021


Shares CostFair


TravelSky Technology Ltd

Class H 96,000 $ 196,052 $ 161,528

Unigroup Guoxin Microelectronics

Co Ltd Class A 5,800 202,835 204,759

Unimicron Technology Corp 101,000 256,589 840,519

United Microelectronics Corp 1,415,000 1,548,368 3,315,019

Vanguard International

Semiconductor Corp 145,000 655,455 825,953

Winbond Electronics Corp 524,000 643,460 641,618

Wipro Ltd 304,389 1,496,156 2,929,209

Wistron Corp 267,000 273,648 280,987

Wiwynn Corp 25,000 697,807 1,005,562

WPG Holdings Ltd 990,320 1,648,063 1,881,540

Xiaomi Corp Class B144A 1,053,400 3,499,253 2,553,271

Xinyi Solar Holdings Ltd 64,000 101,481 108,506

Yealink Network Technology

Corp Ltd Class A 27,800 330,609 355,278

Yonyou Network Technology Co

Ltd Class A 77,200 401,712 434,612

Zhejiang Jingsheng Mechanical &

Electrical Co Ltd Class A 45,700 495,697 498,349

ZTE Corp Class H 542,400 1,615,922 1,485,113

Total Information technology 139,958,591 196,247,549

Materials: 7.36%

ACC Ltd 27,958 769,282 833,354

Advanced Petrochemical Co 45,965 788,508 860,833

African Rainbow Minerals Ltd 51,984 917,598 754,298

Aluminum Corp of China Ltd

Class H 2,982,000 1,260,063 1,648,264

Aluminum Corp of China Ltd

Class A 615,400 540,584 588,040

Ambuja Cements Ltd 178,940 761,808 908,714

Aneka Tambang Tbk 6,375,400 1,060,987 1,009,017

Anglo American Platinum Ltd 380 49,926 43,324

Anhui Conch Cement Co Ltd

Class H 129,000 693,410 644,375

Asian Paints Ltd 13,147 503,899 598,308

Baoshan Iron & Steel Co Ltd

Class A 51,900 61,228 58,306

Cemex SAB de CV 1,303,500 942,784 890,624

Cemex SAB de CV ADR 15,463 74,361 104,839

China Hongqiao Group Ltd 1,348,500 1,393,715 1,423,287

China Molybdenum Co Ltd

Class H 2,007,000 1,356,061 1,057,867

China National Building Material

Co Ltd Class H 988,000 1,214,878 1,211,314

China Resources Cement Holdings

Ltd 78,000 64,159 58,919

China Steel Corp 363,000 473,276 463,212



December 31, 2021


Shares CostFair


Cia Siderurgica Nacional SA 312,900 $ 1,502,877 $ 1,401,426

Ecopro Co Ltd 1 30 99

Eregli Demir ve Celik Fabrikalari

TAS 1 2 2

Formosa Chemicals & Fibre Corp 254,000 750,605 740,816

Formosa Plastics Corp 252,000 897,906 945,824

Ganfeng Lithium Co Ltd

Class H144A 3,400 61,183 53,501

Grasim Industries Ltd 23,499 466,974 512,826

Grupo Mexico SAB de CV Series

B 221,300 712,069 964,726

Guangzhou Tinci Materials


Hangzhou Oxygen Plant Group Co

Ltd Class A 73,484 396,771 346,012

Hanwha Solutions Corp 4,272 153,615 127,412

Hindalco Industries Ltd 141,923 535,118 907,929

Hyundai Steel Co 11,570 541,233 398,448

Impala Platinum Holdings Ltd 98,118 1,027,310 1,385,413

Indorama Ventures PCL NVDR 494,900 598,659 639,848

Jiangxi Copper Co Ltd Class H 798,000 1,450,840 1,277,201

JSW Steel Ltd 82,478 686,609 727,799

KGHM Polska Miedz SA 21,767 1,040,602 755,558

Klabin SA 55,000 274,949 252,929

Korea Zinc Co Ltd 761 327,688 327,436

Kumba Iron Ore Ltd 17,512 724,053 505,623

Kumho Petrochemical Co Ltd 8,845 1,722,385 1,233,026

Lee & Man Paper Manufacturing

Ltd 1,438,000 1,135,382 999,540

LG Chem Ltd 3,394 1,449,956 1,754,568

Lotte Chemical Corp 4,209 996,164 767,807

Luxi Chemical Group Co Ltd

Class A 269,100 742,379 644,318

MMC Norilsk Nickel PJSC 6,277 1,669,998 1,907,826

MMG Ltd 316,000 143,739 101,314

N Ap 1,209 219,262 210,311

N Ap 156,330 420,407 451,906

N Ap 265,870 445,587 431,890

Nan Ya Plastics Corp 420,000 1,208,852 1,293,912

National Industrialization Co 51,631 274,894 273,369

National Petrochemical Co 42,567 513,634 452,276

Nine Dragons Paper Holdings Ltd 519,000 686,015 557,102

Orbia Advance Corp SAB de CV 287,500 750,177 733,792

Pangang Group Vanadium

Titanium & Resources Co Ltd

Class A 941,900 575,258 574,892

Petronas Chemicals Group Bhd 287,300 579,124 615,150

PhosAgro PJSC GDR 13,820 260,755 298,236

POSCO 6,369 1,621,801 1,476,887



December 31, 2021


Shares CostFair


PT Indocement Tunggal Prakarsa

Tbk 135,800 $ 101,174 $ 115,282

PTT Global Chemical PCL NVDR 317,700 622,762 558,395

SABIC Agri-Nutrients Co 5,284 134,111 248,053

Sahara International Petrochemical

Co 117,499 1,296,770 1,309,499

Sasol Ltd 90,417 1,553,057 1,469,595

Saudi Arabian Mining Co 420 8,785 8,765

Saudi Basic Industries Corp 83,219 2,440,737 2,566,424

Saudi Cement Co 34,460 596,386 502,467

Saudi Industrial Investment Group 84,223 658,984 697,567

Saudi Kayan Petrochemical Co 38,657 176,120 174,639

SCG Packaging PCL NVDR 321,600 614,928 666,182

Severstal PAO 21,098 353,615 450,238

Shandong Hualu Hengsheng

Chemical Co Ltd Class A 139,280 663,118 684,015

Shanxi Taigang Stainless Steel Co

Ltd Class A 908,300 1,059,420 1,003,308

Siam Cement PCL NVDR 61,300 773,718 708,695

Sibanye Stillwater Ltd 314,729 1,024,247 969,764

Sinoma Science & Technology Co

Ltd Class A 43,400 233,792 231,663

Sinopec Shanghai Petrochemical

Co Ltd Class A 811,700 487,722 531,085

Taiwan Cement Corp 91,001 158,282 157,718

Tata Steel Ltd 149,611 2,204,574 2,236,950

Tongkun Group Co Ltd Class A 56,900 192,957 189,091

Tongling Nonferrous Metals

Group Co Ltd Class A 148,000 79,809 80,811

UltraTech Cement Ltd 8,978 859,846 916,820

UPL Ltd 42,709 431,577 429,241

Vale SA 1 14 14

Vedanta Ltd 454,292 1,979,108 2,085,196

Xiamen Tungsten Co Ltd Class A 26,700 97,427 94,804

Yanbu National Petrochemical Co 16,009 285,384 292,293

Yunnan Aluminium Co Ltd

Class A 80,200 137,766 140,559

Zhejiang Juhua Co Ltd Class A 163,300 270,654 330,784

Zijin Mining Group Co Ltd

Class H 746,000 714,638 887,828

Total Materials 61,264,049 61,662,429

Real estate: 1.77%

Agile Group Holdings Ltd REIT 124,000 147,765 67,267

Aldar Properties PJSC REIT 737,837 769,441 801,206

A-Living Smart City Services Co

Ltd REIT144A 88,750 152,753 151,378

Cencosud Shopping SA REIT 598,976 785,884 710,757

China Overseas Land &

Investment Ltd REIT 349,000 879,197 826,226



December 31, 2021


Shares CostFair


China Overseas Property Holdings

Ltd REIT 670,000 $ 633,485 $ 710,595

China Resources Land Ltd REIT 170,000 695,464 715,096

CIFI Holdings Group Co Ltd

REIT 322,000 253,462 193,674

Country Garden Holdings Co Ltd

REIT 752,000 931,940 667,369

Country Garden Services Holdings

Co Ltd REIT 42,000 247,862 251,541

DLF Ltd REIT 133,905 714,444 703,340

Emaar Properties PJSC REIT 499,711 525,904 664,054

Fibra Uno Administracion SA de

CV REIT 914,500 1,062,727 967,403

Guangzhou R&F Properties Co

Ltd Class H REIT 181,200 268,468 67,390

Hopson Development Holdings

Ltd REIT 347,710 975,342 725,069

Kaisa Group Holdings Ltd REIT 5,261,285 2,110,699 526,294

KWG Group Holdings Ltd REIT 132,000 172,920 86,335

Land & Houses PCL REIT 3,934,500 1,054,681 1,034,420

Logan Group Co Ltd REIT 135,000 181,945 103,186

Mabanee Co KPSC REIT 45,208 118,276 118,571

Powerlong Real Estate Holdings

Ltd REIT 899,000 724,046 470,394

PT Hanson International Tbk

REIT 20,353,800 133,519 71,404

Ruentex Development Co Ltd

REIT 215,000 495,112 494,687

Seazen Group Ltd REIT 1,132,000 1,153,381 765,066

Shanghai Lujiazui Finance &

Trade Zone Development Co

Ltd Class B REIT 783,422 687,696 713,697

Shenzhen Investment Ltd REIT 1,386,000 401,261 298,617

Shimao Services Holdings Ltd

REIT144A 18,000 12,291 12,512

Sunac China Holdings Ltd REIT 282,000 967,799 426,026

Wharf Holdings Ltd REIT 246,000 777,923 755,583

Youngor Group Co Ltd Class A

REIT 268,700 308,426 290,482

Yuexiu Property Co Ltd REIT 519,000 550,755 457,263

Total Real estate 18,894,868 14,846,902

Utilities: 1.54%

Beijing Enterprises Holdings Ltd 142,000 493,355 489,872

CEZ AS 1,894 66,855 71,688

CGN Power Co Ltd Class H144A 4,574,000 1,344,581 1,390,229

China Longyuan Power Group

Corp Ltd Class H 886,000 1,355,081 2,067,983

China Power International

Development Ltd 14,000 9,495 9,426



December 31, 2021


Shares CostFair


China Resources Power Holdings

Co Ltd 314,000 $ 603,975 $ 1,051,022

Cia de Saneamento Basico do

Estado de Sao Paulo 16,200 113,461 118,301

Electricity Generating PCL NVDR 110,400 602,142 579,403

Enel Americas SA 58 9 6

Engie Brasil Energia SA 5,600 41,787 38,587

ENN Energy Holdings Ltd 92,700 1,187,506 1,745,210

Equatorial Energia SA 104,700 463,052 424,560

GAIL India Ltd 331,833 577,997 576,747

Global Power Synergy PCL

NVDR 62,300 142,204 165,666

Huadian Power International Corp

Ltd Class A 42,300 32,522 35,508

Huaneng Power International, Inc

Class H 368,000 170,805 245,882

Interconexion Electrica SA ESP 18,076 105,879 99,459

Kunlun Energy Co Ltd 1,012,000 881,925 948,724

N Ap 3,561,300 231,645 202,431

NTPC Ltd 294,079 496,252 492,138

PGE Polska Grupa Energetyczna

SA 150,027 367,526 299,368

Power Grid Corp of India Ltd 482,292 1,069,268 1,326,154

Qatar Electricity & Water Co QSC 3,396 15,770 15,480

Ratch Group PCL NVDR 141,700 205,307 191,029

Saudi Electricity Co 48,477 355,947 309,189

YTL Corp Bhd 1 0 0

Total Utilities 10,934,346 12,894,062

Total Common stocks 755,176,909 792,337,756

YieldPreferred stocks: 2.28%


Hyundai Motor Co 0.99% 499 42,087 42,321

Hyundai Motor Co 1.02 1,466 121,341 121,288

Total Consumer discretionary 163,428 163,609


LG Household & Health Care Ltd 1.80 687 411,915 355,738

Total Consumer staples 411,915 355,738

Energy: 0.33%

Petroleo Brasileiro SA 19.98 536,700 2,268,811 2,726,513

Total Energy 2,268,811 2,726,513

Financials: 0.71%

Banco Bradesco SA 5.27 606,733 3,088,517 2,103,427

Itau Unibanco Holding SA 4.46 471,600 3,061,022 1,777,290

Itausa SA 4.42 1,280,948 2,651,768 2,048,754




December 31, 2021


Yield Shares CostFair

ValuePreferred stocks (Continued)


Samsung Electronics Co Ltd 1.52% 59,897 $ 4,160,171 $ 3,580,981


Materials: 0.36%

Braskem SA 12.81 149,100 1,585,495 1,575,745

Gerdau SA 11.65 292,300 1,409,811 1,436,890

Total Materials 2,995,306 3,012,635

Utilities: 0.39%

Centrais Eletricas Brasileiras SA 6.44 285,200 1,729,796 1,685,113

Cia Energetica de Minas Gerais 10.30 676,727 1,508,402 1,615,106

Total Utilities 3,238,198 3,300,219

Total Preferred stocks 22,039,136 19,069,166

Right: 0.00%

Real estate: 0.00%

Seazen Group Ltd, expiration date

1/19/2022 53,904 0 2,034

Total Real estate 0 2,034

Total Rights 0 2,034

Short-term investments: 3.14%



Fund S(1) 0.05(2) 26,336,286 26,336,286 26,336,286


Total Investments : 100.06% $ 803,552,331 $ 837,745,242

Open futures contracts outstanding as of December 31, 2021, were as follows:

Contracts Description ValueUnrealizedgain (loss)

Financial Futures - Long:

424 MSCI Emerging Market March 2022 $ 25,997,560 $ 147,856


Rule 144A. The Fund holds 3.63% of its portfolio in 144A securities.(1) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds

approximately 0.342% of the total net assets of the Wells Fargo/BlackRock Short Term Investment Fund S.(2) The rate represents the 7-day annualized yield at period end. Abbreviations:ADR American Depositary Receipt

GDR Global Depositary Receipt

NVDR Non-voting Depository Receipts

REIT Real Estate Investment Trust



December 31, 2021



Country% of Total

InvestmentsChina 32.31%

Taiwan 14.68

Korea 12.85

India 11.50

Brazil 3.83

United States 3.46

South Africa 3.24

Saudi Arabia 3.12

Russia 2.17

Thailand 2.04

Mexico 1.99

Malaysia 1.49

Indonesia 1.38

Other 5.94

100.00%



December 31, 2021


Shares CostFair



Auto Trader Group PLC144A 603,006 $ 4,695,170 $ 6,039,871

BCE, Inc 25,500 1,210,085 1,326,657

Bollore SA 711,066 3,624,995 3,982,978

BT Group PLC 2,100,364 4,358,525 4,820,218

Capcom Co Ltd 45,700 1,292,205 1,076,296

CyberAgent, Inc 62,100 1,054,354 1,035,196

Deutsche Telekom AG 294,990 4,450,451 5,450,673

Elisa Oyj 15,373 923,342 946,607

Hakuhodo DY Holdings, Inc 260,700 4,248,354 4,338,035

HKT Trust & HKT Ltd 778,000 1,064,704 1,045,641

Kakaku.com, Inc 96,300 2,606,015 2,574,413

KDDI Corp 179,700 4,781,109 5,255,093

Koei Tecmo Holdings Co Ltd 30,040 1,376,080 1,179,511

Konami Holdings Corp 50,900 2,922,637 2,443,176

Koninklijke KPN NV 1,105,269 3,193,311 3,435,291

Nintendo Co Ltd 16,000 9,512,385 7,485,714

Nippon Telegraph & Telephone

Corp 213,500 4,920,777 5,838,853

Orange SA 272,140 3,181,556 2,916,442

Pearson PLC 109,884 1,188,876 912,034

Proximus SADP 174,113 3,703,398 3,397,621

Publicis Groupe SA 78,007 4,539,613 5,257,608

Quebecor, Inc Class B 68,100 1,658,035 1,537,021

REA Group Ltd 23,718 2,390,028 2,892,801

Rogers Communications, Inc

Class B 48,400 2,328,877 2,304,543

Scout24 SE144A 7,147 508,873 499,049

SEEK Ltd 77,660 1,879,242 1,852,120

Singapore Telecommunications

Ltd 215,000 384,055 370,140

SoftBank Corp 337,100 4,520,197 4,257,764

SoftBank Group Corp 156,100 13,199,693 7,483,455

Spark New Zealand Ltd 915,574 2,954,311 2,834,387

Square Enix Holdings Co Ltd 46,800 2,487,570 2,400,818

Swisscom AG 3,871 2,156,267 2,183,724

Tele2 AB Class B 184,394 2,593,896 2,630,503

Telecom Italia SpA 1,416,837 609,596 697,050

Telecom Italia SpA 289,070 143,308 137,229

Telefonica SA 716,782 3,247,382 3,108,115

Telenor ASA 161,403 2,847,442 2,537,102

Telstra Corp Ltd 1,016,658 2,690,586 3,091,819

Toho Co Ltd 800 38,401 34,234

United Internet AG 37,983 1,489,939 1,505,884

Universal Music Group NV 165,038 4,864,901 4,656,055

Vivendi SE 97,068 3,187,675 1,313,986

Vodafone Group PLC 3,813,111 6,694,866 5,794,004


Wells Fargo Factor Enhanced International Equity CITSchedule of Investments

December 31, 2021


Shares CostFair


WPP PLC 192,536 $ 2,152,427 $ 2,917,496

Total Communication

services 133,875,509 127,797,227


ABC-Mart, Inc 25,600 1,238,550 1,095,947

adidas AG 18,711 6,161,841 5,387,743

Aisin Corp 42,400 1,658,634 1,626,784

Aristocrat Leisure Ltd 180,851 4,969,762 5,732,860

Bandai Namco Holdings, Inc 18,700 989,647 1,462,123

Barratt Developments PLC 287,464 2,526,189 2,910,445

Bayerische Motoren Werke AG 47,909 4,348,329 4,792,923

Bridgestone Corp 36,800 1,584,649 1,579,921

Burberry Group PLC 52,918 1,373,847 1,301,824

Canadian Tire Corp Ltd Class A 22,600 3,070,350 3,241,665

Chow Tai Fook Jewellery Group

Ltd 1,941,200 4,033,901 3,490,279

Cie Financiere Richemont SA

Class A 55,655 5,271,253 8,316,794

Cie Generale des Etablissements

Michelin SCA 28,499 3,687,862 4,677,105

Compass Group PLC 372,900 7,604,831 8,333,237

Continental AG 13,985 1,734,021 1,469,340

Daimler AG 125,783 9,041,887 9,610,342

Denso Corp 55,500 3,619,702 4,599,331

Dollarama, Inc 2,700 116,674 135,133

Domino's Pizza Enterprises Ltd 45,496 4,180,316 3,906,865

Electrolux AB Class B 117,865 3,323,887 2,854,651

Entain PLC 325,747 7,445,767 7,420,597

EssilorLuxottica SA 23,844 3,923,678 5,082,889

Evolution AB144A 26,294 2,511,526 3,716,419

Fast Retailing Co Ltd 5,800 4,934,746 3,296,978

Flutter Entertainment PLC 6,985 1,158,314 1,105,386

Genting Singapore Ltd 870,200 522,952 500,449

Gildan Activewear, Inc 128,100 4,226,607 5,431,047

Hermes International 3,728 3,342,937 6,519,286

Honda Motor Co Ltd 234,300 6,588,715 6,666,006

Iida Group Holdings Co Ltd 81,500 1,675,809 1,895,482

Industria de Diseno Textil SA 170,648 5,735,949 5,503,403

Isuzu Motors Ltd 157,200 1,757,245 1,956,586

JD Sports Fashion PLC 159,510 412,656 470,240

Kering SA 7,737 6,893,196 6,226,779

Kingfisher PLC 793,331 3,006,219 3,632,710

Koito Manufacturing Co Ltd 9,300 432,343 492,566

La Francaise des Jeux SAEM144A 105,483 4,597,135 4,676,396

LVMH Moet Hennessy Louis

Vuitton SE 34,057 21,826,356 28,188,612

Magna International, Inc 41,000 2,380,773 3,317,404

Mazda Motor Corp 554,400 4,693,347 4,253,849



December 31, 2021


Shares CostFair


McDonald's Holdings Co Japan

Ltd 71,200 $ 3,319,153 $ 3,151,028

Mercari, Inc 6,300 389,662 320,528

Moncler SpA 18,153 1,169,347 1,311,885

Next PLC 27,738 2,792,884 3,059,899

Nissan Motor Co Ltd 234,600 1,209,557 1,129,961

Panasonic Corp 312,100 3,032,467 3,430,849

Pandora A/S 53,297 4,882,700 6,629,660

Persimmon PLC 70,522 2,485,358 2,726,196

Prosus NV 130,532 12,163,084 10,927,340

Puma SE 16,784 1,290,025 2,049,733

Renault SA 26,220 1,013,981 911,813

Restaurant Brands International,

Inc 73,000 4,457,906 4,426,341

Sekisui House Ltd 112,800 2,360,818 2,426,975

Sharp Corp 67,600 964,464 776,356

Shimano, Inc 5,400 1,388,401 1,438,124

Sodexo SA 49,778 4,805,888 4,367,162

Sony Group Corp 133,700 13,452,926 16,883,392

Stellantis NV 425,778 7,018,418 8,038,083

Sumitomo Electric Industries Ltd 151,900 2,240,168 1,982,444

Suzuki Motor Corp 35,400 1,507,828 1,365,124

Swatch Group AG 10,531 3,011,705 3,207,068

Swatch Group AG 10,221 564,112 597,587

Tabcorp Holdings Ltd 1,394,763 4,586,609 5,094,094

Taylor Wimpey PLC 598,305 1,293,531 1,421,262

Toyota Motor Corp 1,240,000 18,373,013 22,918,406

Wesfarmers Ltd 144,084 4,456,031 6,216,319

Yamada Holdings Co Ltd 1,293,200 5,273,979 4,421,068

Yamaha Corp 30,300 1,595,995 1,494,863

Yamaha Motor Co Ltd 66,300 1,388,446 1,592,467

Zalando SE144A 29,832 1,596,884 2,403,161

ZOZO, Inc 220,700 6,678,352 6,881,455



Ajinomoto Co, Inc 102,000 2,307,563 3,105,095

Alimentation Couche-Tard, Inc 158,200 5,114,558 6,628,404

Anheuser-Busch InBev SA 103,937 6,709,922 6,291,725

Asahi Group Holdings Ltd 13,000 557,730 506,074

Barry Callebaut AG 147 355,854 356,865

Beiersdorf AG 14,233 1,598,736 1,458,954

British American Tobacco PLC 258,109 11,418,644 9,549,849

Carlsberg AS Class B 22,112 2,922,675 3,817,587

Carrefour SA 312,487 5,389,369 5,729,617

Chocoladefabriken Lindt &

Spruengli AG 24 290,442 332,660

Chocoladefabriken Lindt &

Spruengli AG 7 828,135 938,762



December 31, 2021


Shares CostFair


Coca-Cola Europacific Partners

PLC 54,474 $ 2,811,265 $ 3,046,731

Coca-Cola HBC AG 109,302 3,436,994 3,780,013

Coles Group Ltd 141,177 1,724,697 1,842,677

Danone SA 99,270 6,834,459 6,169,699

Davide Campari-Milano NV 90,605 942,912 1,322,132

Diageo PLC 305,347 11,943,488 16,680,886

Empire Co Ltd 113,500 3,183,681 3,458,073

Essity AB Class B 79,419 2,607,127 2,591,029

George Weston Ltd 33,300 3,195,575 3,860,847

Heineken Holding NV 19,150 1,819,702 1,769,254

Heineken NV 28,025 2,970,786 3,154,272

HelloFresh SE 24,127 1,927,697 1,849,046

Henkel AG & Co KGaA 11,919 1,216,560 929,099

Imperial Brands PLC 268,212 6,509,147 5,868,515

Ito En Ltd 11,000 658,828 577,965

J Sainsbury PLC 1,394,125 4,981,367 5,204,395

Japan Tobacco, Inc 87,800 1,654,995 1,772,852

Jeronimo Martins SGPS SA 90,253 1,892,396 2,065,335

Kao Corp 41,400 2,817,268 2,168,296

Kerry Group PLC Class A 28,974 3,445,362 3,735,765

Kesko Oyj Class B 116,195 3,241,575 3,872,871

Kikkoman Corp 3,300 179,904 277,896

Kirin Holdings Co Ltd 77,200 1,484,132 1,243,451

Kobayashi Pharmaceutical Co Ltd 1,300 130,182 102,255

Kobe Bussan Co Ltd 39,700 1,314,474 1,537,084

Koninklijke Ahold Delhaize NV 191,644 4,965,557 6,575,054

Kose Corp 10,400 1,516,817 1,179,797

Lion Corp 55,200 908,652 737,915

Loblaw Cos Ltd 52,600 3,731,876 4,309,628

L'Oreal SA 35,615 13,086,092 16,906,348

MEIJI Holdings Co Ltd 7,900 560,186 471,581

Metro, Inc 16,500 692,289 878,122

Mowi ASA 119,634 3,229,841 2,831,345

Nestle SA 384,253 39,845,913 53,648,362

NH Foods Ltd 71,400 2,984,920 2,574,394

Orkla ASA 107,987 1,042,544 1,082,414

Pernod Ricard SA 22,938 3,947,971 5,523,302

Pigeon Corp 93,100 2,506,894 1,781,698

Pola Orbis Holdings, Inc 184,400 4,165,160 3,073,171

Reckitt Benckiser Group PLC 57,549 4,935,945 4,940,129

Saputo, Inc 47,800 1,353,690 1,076,960

Seven & i Holdings Co Ltd 119,100 4,955,716 5,238,970

Shiseido Co Ltd 27,600 1,910,469 1,539,707

Suntory Beverage & Food Ltd 17,700 695,706 640,970

Swedish Match AB 151,919 927,776 1,206,037

Tesco PLC 2,184,761 8,073,500 8,572,874

Treasury Wine Estates Ltd 267,980 2,229,679 2,413,714



December 31, 2021


Shares CostFair


Unicharm Corp 27,300 $ 1,015,625 $ 1,187,746

Unilever PLC 363,716 20,954,576 19,424,003

WH Group Ltd144A 7,412,500 5,934,791 4,648,527

Wilmar International Ltd 458,500 1,586,991 1,408,571

Woolworths Group Ltd 88,125 2,529,857 2,437,024

Yakult Honsha Co Ltd 12,700 645,210 662,549


Energy: 4.12%

Ampol Ltd 33,844 719,861 730,324

BP PLC 2,832,219 11,425,399 12,669,883

Canadian Natural Resources Ltd 198,500 6,214,855 8,387,545

Cenovus Energy, Inc 95,000 781,251 1,164,829

Enbridge, Inc 288,400 10,197,732 11,265,144

ENEOS Holdings, Inc 1,278,400 5,388,396 4,775,860

Eni SpA 349,288 4,015,317 4,854,325

Equinor ASA 114,496 2,173,638 3,031,772

Galp Energia SGPS SA 169,495 2,000,540 1,644,104

Idemitsu Kosan Co Ltd 79,600 1,933,910 2,031,373

Imperial Oil Ltd 102,200 2,425,776 3,685,809

Inpex Corp 218,200 1,533,510 1,897,379

Keyera Corp 31,600 600,182 712,714

Lundin Energy AB 96,279 2,713,468 3,445,129

Neste Oyj 22,382 681,400 1,101,547

OMV AG 11,868 717,643 671,168

Parkland Corp 111,200 3,513,873 3,056,583

Repsol SA 527,928 5,730,742 6,252,317

Royal Dutch Shell PLC Class A 415,345 8,244,710 9,117,601

Royal Dutch Shell PLC Class B 371,704 7,127,227 8,162,618

Suncor Energy, Inc 204,900 4,623,043 5,126,752

TC Energy Corp 95,400 4,362,951 4,436,841

Tenaris SA 62,441 536,648 651,697

TotalEnergies SE 309,817 13,558,707 15,742,185

Washington H Soul Pattinson &

Co Ltd 30,252 760,582 651,711

Total Energy 101,981,361 115,267,210

Financials: 17.59%

3i Group PLC 346,834 5,543,151 6,802,434

abrdn plc 569,971 2,209,771 1,858,505

Admiral Group PLC 58,615 2,199,708 2,504,711

Aegon NV 614,713 2,557,166 3,074,443

Ageas SA 66,800 3,455,150 3,464,158

AIA Group Ltd 1,410,400 18,028,679 14,216,958

Allianz SE 47,720 11,055,436 11,255,173

Amundi SA144A 10,015 881,626 827,220

Assicurazioni Generali SpA 153,840 2,853,136 3,251,365

Australia & New Zealand Banking

Group Ltd 416,720 8,113,742 8,340,609

Aviva PLC 230,588 1,150,016 1,280,909

AXA SA 218,124 4,988,125 6,502,628



December 31, 2021


Shares CostFair


Banco Bilbao Vizcaya Argentaria

SA 1,273,486 $ 6,665,032 $ 7,553,019

Banco Santander SA 2,502,618 7,874,481 8,311,385

Bank Hapoalim BM 245,703 2,016,120 2,528,765

Bank Leumi Le-Israel BM 376,687 2,983,074 4,040,350

Bank of Montreal 90,700 7,043,153 9,765,155

Bank of Nova Scotia 173,800 9,940,243 12,303,878

Barclays PLC 2,424,012 5,003,062 6,135,510

BNP Paribas SA 136,766 6,974,906 9,462,378

BOC Hong Kong Holdings Ltd 259,500 807,528 850,296

Brookfield Asset Management, Inc

Class A 148,300 6,934,103 8,955,798

CaixaBank SA 1,229,196 3,079,186 3,357,719

Canadian Imperial Bank of

Commerce 63,200 5,421,894 7,366,963

CNP Assurances 37,093 587,223 918,510

Commonwealth Bank of Australia 225,228 15,080,538 16,550,328

Concordia Financial Group Ltd 108,900 386,872 395,476

Credit Agricole SA 23,412 285,067 334,515

Credit Suisse Group AG 200,506 2,408,617 1,944,030

Dai-ichi Life Holdings, Inc 157,300 2,611,116 3,172,736

Daiwa Securities Group, Inc 324,400 1,677,762 1,830,586

Danske Bank A/S 95,742 1,382,890 1,652,889

DBS Group Holdings Ltd 236,500 4,272,904 5,731,738

Deutsche Bank AG 368,493 4,123,489 4,589,585

Deutsche Boerse AG 4,496 769,023 750,717

Direct Line Insurance Group PLC 796,653 3,289,047 3,008,484

DNB Bank ASA 160,506 4,007,584 3,671,371

EQT AB 50,778 2,337,831 2,752,677

Eurazeo SE 8,359 801,177 730,884

EXOR NV 63,860 5,127,777 5,716,597

Fairfax Financial Holdings Ltd 13,000 5,530,426 6,394,814

FinecoBank Banca Fineco SpA 16,049 309,939 281,058

Gjensidige Forsikring ASA 51,068 1,129,692 1,238,957

Great-West Lifeco, Inc 16,800 431,699 504,153

Groupe Bruxelles Lambert SA 3,781 423,027 422,546

Hang Seng Bank Ltd 108,900 2,118,204 1,992,938

Hannover Rueck SE 1,390 247,919 263,539

Hong Kong Exchanges & Clearing

Ltd 116,700 5,580,922 6,815,625

HSBC Holdings PLC 2,605,679 14,763,198 15,823,512

iA Financial Corp, Inc 32,600 1,571,811 1,865,361

IGM Financial, Inc 117,800 3,355,155 4,248,418

Industrivarden AB Class C 22,662 791,257 710,016

Industrivarden AB Class A 93,416 3,280,221 2,968,222

ING Groep NV 457,680 4,189,515 6,378,921

Intact Financial Corp 21,100 2,569,265 2,742,608

Intesa Sanpaolo SpA 1,492,624 3,270,986 3,855,333

Investor AB Class B 213,841 3,870,325 5,365,978



December 31, 2021


Shares CostFair


Israel Discount Bank Ltd Class A 430,223 $ 1,904,958 $ 2,888,631

Japan Post Insurance Co Ltd 133,300 2,511,331 2,141,313

Julius Baer Group Ltd 41,831 2,576,485 2,797,333

KBC Group NV 25,888 1,845,404 2,224,069

Kinnevik AB Class B 77,277 3,338,768 2,747,476

Legal & General Group PLC 517,007 1,823,191 2,081,890

Lloyds Banking Group PLC 9,394,719 5,307,804 6,078,354

Macquarie Group Ltd 45,003 4,662,230 6,725,193

Magellan Financial Group Ltd 19,091 632,366 295,016

Manulife Financial Corp 252,900 4,800,060 4,820,285

Medibank Pvt Ltd 2,266,559 5,262,327 5,524,267

Mediobanca Banca di Credito

Finanziario SpA 330,807 3,338,257 3,797,822

Mitsubishi UFJ Financial Group,

Inc 1,423,700 6,818,784 7,748,166

Mizrahi Tefahot Bank Ltd 46,511 1,394,668 1,791,168

Mizuho Financial Group, Inc 224,900 2,839,216 2,856,511

MS&AD Insurance Group

Holdings, Inc 71,200 2,172,944 2,192,411

Muenchener

Rueckversicherungs-Gesellschaft

AG in Muenchen 12,071 2,915,206 3,563,464

National Australia Bank Ltd 442,396 8,350,137 9,282,593

National Bank of Canada 48,700 2,508,834 3,712,896

NatWest Group PLC 96,964 313,398 296,221

NN Group NV 37,753 1,538,718 2,046,362

Nomura Holdings, Inc 322,200 1,522,123 1,403,390

Nordea Bank ABP 593,954 5,224,412 7,245,375

Onex Corp 62,500 4,593,928 4,905,332

ORIX Corp 174,200 3,013,736 3,555,103

Oversea-Chinese Banking Corp

Ltd 559,700 4,697,832 4,734,773

Partners Group Holding AG 4,875 6,452,404 8,047,696

Poste Italiane SpA144A 58,129 759,304 761,505

Power Corp of Canada 90,900 1,993,345 3,003,771

Prudential PLC 253,698 4,655,597 4,376,543

Raiffeisen Bank International AG 22,658 476,085 665,477

Resona Holdings, Inc 288,800 1,133,896 1,122,328

Royal Bank of Canada 185,400 14,561,659 19,676,628

Sampo Oyj Class A 40,129 1,875,693 2,008,377

SBI Holdings, Inc 27,300 666,191 744,622

Schroders PLC 44,638 1,931,172 2,150,944

SCOR SE 52,480 1,504,547 1,639,498

Shizuoka Bank Ltd 45,300 320,283 323,398

Singapore Exchange Ltd 64,500 533,332 445,125

Skandinaviska Enskilda Banken

AB Class A 180,782 2,068,869 2,509,897

Societe Generale SA 132,201 3,196,565 4,546,178

Sofina SA 123 51,744 60,495



December 31, 2021


Shares CostFair


Sompo Holdings Inc 62,200 $ 2,546,194 $ 2,623,204

St James's Place PLC 70,269 1,468,142 1,601,221

Standard Chartered PLC 402,930 2,588,268 2,445,510

Sumitomo Mitsui Financial Group

Inc 146,200 4,230,650 4,992,332

Sumitomo Mitsui Trust Holdings,

Inc 69,400 2,145,434 2,320,621

Sun Life Financial, Inc 71,400 3,031,980 3,974,287

Suncorp Group Ltd 213,391 1,578,824 1,718,646

Svenska Handelsbanken AB

Class A 131,990 1,586,677 1,426,540

Swedbank AB Class A 99,705 1,924,703 2,003,655

Swiss Life Holding AG 2,068 764,536 1,263,500

Swiss Re AG 60,330 5,651,710 5,955,383

T&D Holdings, Inc 29,900 322,142 381,995

TMX Group Ltd 5,400 583,902 547,492

Tokio Marine Holdings, Inc 30,200 1,464,161 1,681,223

Toronto-Dominion Bank 223,800 10,782,277 17,158,088

UBS Group AG 557,956 8,279,044 10,014,910

UniCredit SpA 169,827 2,000,547 2,610,469

United Overseas Bank Ltd 215,900 4,051,489 4,309,669

Wendel SE 3,660 500,388 439,192

Westpac Banking Corp 501,403 8,699,904 7,788,389

Zurich Insurance Group AG 17,903 7,372,954 7,842,928


Health care: 11.15%

Alcon, Inc 58,735 4,376,219 5,180,741

Astellas Pharma, Inc 191,500 2,983,388 3,116,764

AstraZeneca PLC 205,830 22,447,182 24,177,011

Bausch Health Cos, Inc 150,300 4,600,395 4,151,533

Bayer AG 133,580 8,075,166 7,133,744

Carl Zeiss Meditec AG 15,760 2,807,846 3,306,075

Chugai Pharmaceutical Co Ltd 20,500 761,529 668,218

Coloplast A/S Class B 16,647 2,108,900 2,931,124

CSL Ltd 66,381 10,225,612 14,040,467

Daiichi Sankyo Co Ltd 83,200 2,736,702 2,117,558

Demant A/S 78,674 3,632,395 4,028,592

DiaSorin SpA 9,716 1,824,678 1,848,430

Eisai Co Ltd 11,200 865,432 635,799

Eurofins Scientific SE 39,944 3,777,668 4,947,814

Fisher & Paykel Healthcare Corp

Ltd 85,899 1,576,737 1,927,344

Fresenius Medical Care AG & Co

KGaA 22,730 1,842,307 1,473,545

Fresenius SE & Co KGaA 79,912 3,752,103 3,211,934

Genmab A/S 16,140 5,526,151 6,442,329

GlaxoSmithKline PLC 654,904 12,598,888 14,241,630

GN Store Nord AS 17,832 1,073,143 1,118,882

Grifols SA 43,661 1,286,232 840,153



December 31, 2021


Shares CostFair


Hikma Pharmaceuticals PLC 76,316 $ 2,479,104 $ 2,292,172

Hisamitsu Pharmaceutical Co, Inc 9,400 456,789 324,719

Hoya Corp 51,500 4,350,695 7,642,174

Hua Han Health Industry Holdings

Ltd 254,722 17,303 327

Ipsen SA 30,595 2,725,325 2,804,008

Koninklijke Philips NV 120,557 5,598,307 4,497,131

Lonza Group AG 7,547 2,692,050 6,283,541

M3, Inc 57,500 5,047,405 2,899,228

Medipal Holdings Corp 264,200 5,186,392 4,952,408

Merck KGaA 34,971 5,915,131 8,996,536

Nippon Shinyaku Co Ltd 19,900 1,531,422 1,385,740

NMC Health PLC(1) 22,272 639,653 282,893

Novartis AG 293,820 26,988,197 25,818,544

Novo Nordisk A/S Class B 272,454 18,803,606 30,603,631

Olympus Corp 80,500 1,350,477 1,853,692

Ono Pharmaceutical Co Ltd 35,700 935,021 887,338

Orion Oyj Class B 68,208 3,015,526 2,833,276

Otsuka Holdings Co Ltd 51,800 2,142,517 1,884,531

PeptiDream, Inc 13,900 632,400 308,635

QIAGEN NV 2,919 150,186 161,860

Recordati Industria Chimica e

Farmaceutica SpA 61,247 3,514,133 3,932,919

Roche Holding AG 93,126 26,496,832 38,634,357

Roche Holding AG 13,994 5,172,055 6,263,452

Sanofi 157,274 15,040,364 15,860,815

Sartorius Stedim Biotech 3,313 742,110 1,819,540

Shionogi & Co Ltd 37,600 2,384,653 2,645,022

Siemens Healthineers AG144A 51,033 3,129,779 3,804,979

Smith & Nephew PLC 20,615 404,128 360,931

Sonic Healthcare Ltd 126,087 3,089,055 4,277,584

Sonova Holding AG 9,917 2,491,876 3,875,532

Straumann Holding AG 2,302 3,032,074 4,867,788

Sumitomo Dainippon Pharma Co

Ltd 110,300 1,666,458 1,272,576

Sysmex Corp 11,100 911,780 1,498,295

Takeda Pharmaceutical Co Ltd 202,700 6,840,374 5,535,390

Terumo Corp 36,500 1,432,390 1,541,782

UCB SA 13,622 1,404,618 1,556,292


Industrials: 14.53%

ABB Ltd 334,434 10,527,135 12,746,208

ACS Actividades de Construccion

y Servicios SA 79,494 2,266,307 2,119,394

Adecco Group AG 68,415 3,646,868 3,486,247

Aena SME SA 10,231 1,679,991 1,611,218

AGC, Inc 23,900 1,050,816 1,141,776

Airbus SE 63,607 6,818,732 8,136,723

Alfa Laval AB 68,950 2,264,869 2,769,689



December 31, 2021


Shares CostFair


ANA Holdings, Inc 11,700 $ 289,992 $ 244,587

AP Moller - Maersk A/S Class B 914 2,142,172 3,262,352

Ashtead Group PLC 65,596 4,785,604 5,275,751

Assa Abloy AB Class B 96,639 2,924,498 2,945,651

Atlantia SpA 68,911 1,597,466 1,367,316

Atlas Copco AB Class A 90,616 4,147,944 6,261,640

Atlas Copco AB Class B 45,542 2,352,203 2,675,148

Auckland International Airport Ltd 173,218 838,954 913,505

Aurizon Holdings Ltd 262,144 790,831 665,623

BAE Systems PLC 648,235 4,535,300 4,824,047

Bouygues SA 21,415 864,529 767,757

Brambles Ltd 413,494 3,170,311 3,197,903

Brenntag SE 42,968 2,966,343 3,880,174

Bunzl PLC 1,682 50,444 65,682

Bureau Veritas SA 67,912 2,143,325 2,256,133

Canadian National Railway Co 110,900 10,151,136 13,622,390

Canadian Pacific Railway Ltd 94,500 5,169,434 6,796,798

Cie de Saint-Gobain 105,392 5,711,345 7,423,704

CK Hutchison Holdings Ltd 648,500 5,801,304 4,183,308

CNH Industrial NV 78,837 1,253,213 1,524,250

Dai Nippon Printing Co Ltd 97,800 2,193,536 2,461,314

Daikin Industries Ltd 23,900 5,311,063 5,413,808

Daimler Truck Holding AG 62,891 1,988,902 2,312,009

Dassault Aviation SA 32,489 3,544,277 3,513,928

DCC PLC 32,668 2,696,494 2,675,175

Deutsche Lufthansa AG 233,131 1,795,022 1,632,370

Deutsche Post AG 158,522 8,342,121 10,196,254

DSV A/S 22,101 4,892,990 5,150,157

Eiffage SA 617 62,685 63,544

Elbit Systems Ltd 3,404 450,671 588,397

Epiroc AB Class A 140,237 2,121,827 3,546,003

Epiroc AB Class B 72,307 1,314,997 1,529,091

Experian PLC 28,272 1,148,827 1,389,878

FANUC Corp 17,500 4,640,350 3,719,833

Ferguson PLC 31,786 3,047,653 5,638,287

Fuji Electric Co Ltd 102,900 3,992,497 5,621,230

GEA Group AG 48,637 1,849,261 2,656,522

Geberit AG 4,936 3,089,194 4,023,500

Getlink SE 44,553 625,350 738,535

Hino Motors Ltd 366,600 3,250,549 3,022,969

Hitachi Ltd 192,700 10,177,715 10,439,200

Husqvarna AB Class B 56,331 705,987 900,671

Intertek Group PLC 10,338 809,680 787,806

ITOCHU Corp 108,900 2,192,727 3,331,673

Japan Airlines Co Ltd 18,200 482,756 345,496

Jardine Matheson Holdings Ltd 6,900 445,675 379,569

Kajima Corp 141,400 1,910,962 1,625,042

Kingspan Group PLC 3,741 304,228 447,208



December 31, 2021


Shares CostFair


Kintetsu Group Holdings Co Ltd 8,000 $ 286,644 $ 223,637

KION Group AG 1,442 86,900 157,503

Komatsu Ltd 83,300 2,423,119 1,948,053

Kone Oyj Class B 19,404 1,283,839 1,392,405

Kubota Corp 79,200 1,501,789 1,761,095

Kurita Water Industries Ltd 31,000 1,475,063 1,469,665

Legrand SA 43,863 4,347,633 5,138,621

Makita Corp 49,200 2,174,361 2,088,524

Marubeni Corp 696,100 5,505,070 6,782,101

MINEBEA MITSUMI, Inc 65,300 1,464,192 1,855,409

MISUMI Group, Inc 36,400 1,514,194 1,495,384

Mitsubishi Corp 122,700 2,991,094 3,896,105

Mitsubishi Electric Corp 382,800 5,019,377 4,858,893

Mitsubishi Heavy Industries Ltd 105,300 3,063,539 2,434,578

Mitsui & Co Ltd 235,400 4,520,033 5,578,476

MTR Corp Ltd 324,000 1,748,072 1,738,931

Nabtesco Corp 45,300 1,939,712 1,342,240

NGK Insulators Ltd 196,200 3,214,544 3,320,685

Nibe Industrier AB Class A 55,570 745,871 839,659

Nidec Corp 36,100 4,977,544 4,270,424

Nippon Yusen KK 71,500 2,262,176 5,452,082

NSK Ltd 289,700 2,644,196 1,861,200

Obayashi Corp 160,100 1,478,484 1,239,068

Persol Holdings Co Ltd 176,700 3,376,223 5,137,242

Prysmian SpA 91,026 3,285,783 3,424,047

Qantas Airways Ltd 499,052 1,984,395 1,819,057

Randstad NV 92,266 5,700,564 6,306,890

Rational AG 849 791,825 868,326

Recruit Holdings Co Ltd 130,400 6,111,311 7,935,582

RELX PLC (London) 209,743 5,171,638 6,819,221

ROCKWOOL International A/S

Class B 5,304 2,108,182 2,316,139

Rolls-Royce Holdings PLC 683,135 1,364,609 1,136,219

Safran SA 36,034 4,664,280 4,416,719

Sandvik AB 142,764 3,685,856 3,979,336

Schindler Holding AG 10,007 2,551,086 2,686,178

Schindler Holding AG 442 121,757 118,119

Schneider Electric SE 76,888 11,664,700 15,096,624

Securitas AB Class B 295,566 4,769,942 4,065,941

SG Holdings Co Ltd 25,200 505,436 590,901

SGS SA 196 492,312 653,404

Shimizu Corp 112,400 965,601 696,918

Siemens AG 105,735 16,809,754 18,313,596

Siemens Energy AG 22,271 679,506 568,229

Singapore Technologies

Engineering Ltd 220,700 619,286 615,785

SITC International Holdings Co

Ltd 250,000 756,770 904,130

Skanska AB Class B 126,522 2,790,542 3,269,471



December 31, 2021


Shares CostFair


SKF AB Class B 125,114 $ 2,817,571 $ 2,958,911

SMC Corp 3,600 2,258,893 2,433,089

Sohgo Security Services Co Ltd 32,700 1,539,381 1,299,361

Spirax-Sarco Engineering PLC 17,569 2,951,559 3,816,773

Sumitomo Corp 25,400 347,568 375,905

Taisei Corp 25,500 990,010 775,457

Techtronic Industries Co Ltd 163,500 1,199,392 3,254,253

Teleperformance 8,388 1,753,540 3,743,496

Thales SA 15,872 1,572,546 1,351,656

Thomson Reuters Corp 18,900 2,150,635 2,260,171

TOPPAN, Inc 290,100 4,757,967 5,443,932

Toromont Industries Ltd 24,100 1,674,351 2,178,802

Toshiba Corp 144,100 5,750,207 5,929,486

Toyota Tsusho Corp 75,100 2,791,034 3,461,864

Transurban Group 288,063 2,747,258 2,896,399

Untrade Housing 52,764 2,367 68

Vestas Wind Systems A/S 97,252 2,540,374 2,961,822

Vinci SA 39,957 3,954,905 4,226,572

Volvo AB Class B 199,358 3,666,316 4,610,450

Volvo AB Class A 18,747 483,204 439,758

Wartsila OYJ Abp 64,573 830,511 905,686

Wolters Kluwer NV 32,776 2,590,188 3,865,882

WSP Global, Inc 20,000 2,528,033 2,903,356

Xinyi Glass Holdings Ltd 260,000 696,785 650,204

Yamato Holdings Co Ltd 69,100 1,773,164 1,623,264

Yaskawa Electric Corp 22,600 1,166,089 1,108,884



Advantest Corp 42,100 3,609,565 3,986,834

Adyen NV144A 2,263 3,691,768 5,955,406

ASM International NV 13,785 4,800,691 6,100,342

ASML Holding NV 57,398 32,733,458 46,181,150

Atos SE 13,504 1,017,209 574,845

Azbil Corp 36,200 1,469,098 1,651,029

Bechtle AG 37,778 2,139,484 2,688,267

BlackBerry Ltd 73,500 716,154 686,802

Brother Industries Ltd 27,000 571,149 520,412

Canon, Inc 119,700 2,900,480 2,919,921

Capgemini SE 31,301 4,618,179 7,679,596

CGI, Inc 58,800 4,901,110 5,199,241

Check Point Software

Technologies Ltd 36,674 4,868,543 4,274,721

Computershare Ltd 253,532 3,058,116 3,689,144

Constellation Software, Inc 4,200 4,093,053 7,792,520

Dassault Systemes SE 84,160 4,081,863 5,012,142

Disco Corp 4,100 1,357,349 1,253,175

Edenred 6,042 343,341 279,073

FUJIFILM Holdings Corp 51,700 3,127,232 3,832,741



December 31, 2021


Shares CostFair


Fujitsu Ltd 51,200 $ 5,848,773 $ 8,797,515

Halma PLC 66,123 2,523,338 2,864,025

Hexagon AB Class B 250,593 3,252,247 3,969,529

Hirose Electric Co Ltd 9,200 1,413,124 1,546,147

Ibiden Co Ltd 5,100 265,801 302,866

Infineon Technologies AG 78,210 3,117,103 3,600,668

Itochu Techno-Solutions Corp 7,300 229,971 234,825

Keyence Corp 18,800 10,527,784 11,820,652

Kyocera Corp 14,000 862,042 875,364

Lasertec Corp 6,300 1,485,489 1,929,699

Logitech International SA 20,631 1,531,950 1,730,686

Murata Manufacturing Co Ltd 59,200 5,917,117 4,721,938

NEC Corp 31,578 1,130,905 1,460,157

Nemetschek SE 19,140 1,646,440 2,447,317

Nice Ltd 2,719 726,724 824,552

Nokia Oyj 678,778 3,738,418 4,299,166

Nomura Research Institute Ltd 123,500 3,275,305 5,279,723

NTT Data Corp 186,500 3,152,718 4,000,653

Obic Co Ltd 2,500 477,724 467,873

Omron Corp 15,500 859,329 1,544,533

Open Text Corp 39,600 1,986,930 1,879,587

Open Text Corp 44,326 1,683,469 2,104,598

Oracle Corp Japan 23,800 2,143,134 1,808,169

Otsuka Corp 82,200 3,875,892 3,919,512

Renesas Electronics Corp 148,900 1,626,080 1,849,442

Rohm Co Ltd 20,000 2,071,381 1,819,388

Sage Group PLC 453,448 4,339,621 5,232,956

SAP SE 155,698 20,804,930 21,912,859

SCSK Corp 136,700 2,589,113 2,720,628

Seiko Epson Corp 87,700 1,609,892 1,579,513

Shimadzu Corp 63,000 2,534,635 2,660,994

Shopify, Inc Class A 13,000 15,764,625 17,899,498

Sinch AB144A 145,253 2,636,221 1,832,850

STMicroelectronics NV 19,416 733,228 958,699

SUMCO Corp 82,300 1,743,783 1,675,857

TDK Corp 27,600 1,411,138 1,077,114

TeamViewer AG144A 23,123 317,125 310,281

Telefonaktiebolaget LM Ericsson

Class B 419,574 4,179,112 4,616,589

Temenos AG 18,508 2,550,492 2,551,167

TIS, Inc 206,000 4,616,858 6,125,625

Tokyo Electron Ltd 25,100 10,702,305 14,446,866

Trend Micro, Inc 24,700 1,294,040 1,371,245

Venture Corp Ltd 274,548 3,908,522 3,730,316

WiseTech Global Ltd 25,975 617,598 1,107,051

Wix.com Ltd 7,481 2,159,083 1,180,427

Yokogawa Electric Corp 20,400 411,423 368,208




December 31, 2021


Shares CostFair


Materials: 7.65%

Air Liquide SA 47,242 $ 6,243,970 $ 8,246,316

Akzo Nobel NV 27,046 2,568,973 2,971,414

Anglo American PLC 176,593 5,974,059 7,209,068

ArcelorMittal SA 338,487 9,505,448 10,846,163

Arkema SA 11,644 1,459,928 1,641,841

Asahi Kasei Corp 105,900 1,196,318 997,615

B2Gold Corp 153,900 733,996 605,891

Barrick Gold Corp 30,600 602,170 581,786

BASF SE 110,803 8,654,608 7,776,748

BHP Group PLC 291,312 8,311,708 8,672,746

BlueScope Steel Ltd 425,382 5,662,695 6,468,271

Boliden AB 34,748 1,040,267 1,339,873

Clariant AG 39,029 776,408 810,741

Covestro AG144A 59,669 3,757,104 3,672,506

CRH PLC 139,856 6,420,995 7,407,194

EMS-Chemie Holding AG 962 739,511 1,075,112

Evonik Industries AG 40,020 1,297,573 1,292,865

Evraz PLC 954,191 7,080,802 7,769,936

First Quantum Minerals Ltd 80,200 1,705,917 1,919,170

Fortescue Metals Group Ltd 246,608 2,276,638 3,446,651

Givaudan SA 394 1,500,931 2,067,162

Glencore PLC 2,349,627 8,574,601 11,924,675

HeidelbergCement AG 20,299 1,664,806 1,373,776

Holcim Ltd 50,265 2,809,894 2,556,429

ICL Group Ltd 114,195 623,548 1,099,939

JFE Holdings, Inc 282,600 3,411,325 3,605,412

Johnson Matthey PLC 27,704 1,166,230 767,224

Kinross Gold Corp 25,600 200,329 148,547

Koninklijke DSM NV 11,758 1,254,683 2,650,523

LANXESS AG 36,840 2,710,258 2,278,137

Lundin Mining Corp 232,200 2,023,420 1,813,618

Mitsubishi Chemical Holdings

Corp 668,000 5,438,045 4,954,803

Mitsubishi Gas Chemical Co, Inc 130,700 3,011,253 2,215,558

Mitsui Chemicals, Inc 175,300 5,117,007 4,712,100

Mondi PLC 65,386 1,398,411 1,616,069

Nippon Sanso Holdings Corp 90,200 2,098,575 1,972,913

Nippon Steel Corp 264,100 4,508,099 4,314,349

Nitto Denko Corp 26,500 1,852,854 2,047,189

Norsk Hydro ASA 880,179 5,252,703 6,925,765

Novozymes A/S Class B 19,812 1,212,811 1,626,759

Nutrien Ltd 72,800 4,129,354 5,472,014

Oji Holdings Corp 512,400 2,846,268 2,482,607

Pan American Silver Corp 28,700 882,881 716,054

Rio Tinto Ltd 53,303 3,505,209 3,882,326

Rio Tinto PLC 152,793 8,883,527 10,117,290

Shin-Etsu Chemical Co Ltd 30,300 5,498,185 5,259,333



December 31, 2021


Shares CostFair


Sika AG 19,874 $ 4,666,867 $ 8,259,976

Smurfit Kappa Group PLC 40,327 1,447,326 2,223,991

Solvay SA 23,048 2,696,973 2,681,742

South32 Ltd 1,388,463 3,249,740 4,050,807

Sumitomo Chemical Co Ltd 463,300 2,353,174 2,184,835

Sumitomo Metal Mining Co Ltd 54,000 2,495,525 2,045,219

Teck Resources Ltd Class B 25,900 594,166 745,908

Toray Industries, Inc 518,600 3,223,162 3,072,516

Tosoh Corp 220,500 3,596,109 3,275,861

Umicore SA 27,765 1,576,986 1,130,073

UPM-Kymmene Oyj 40,898 1,526,374 1,556,112

voestalpine AG 77,578 3,217,282 2,814,775

West Fraser Timber Co Ltd 37,800 3,087,377 3,606,233

Yara International ASA 59,297 2,823,873 2,989,647

Total Materials 194,139,229 213,990,173

Real estate: 2.96%

British Land Co PLC REIT 300,743 2,023,007 2,161,545

Canadian Apartment Properties

REIT 71,500 3,065,708 3,389,177

Capitaland Investment Ltd REIT 968,100 2,414,436 2,449,704

CK Asset Holdings Ltd REIT 768,000 4,962,439 4,840,905

Covivio REIT 8,506 742,652 699,190

Daito Trust Construction Co Ltd

REIT 47,700 5,431,279 5,472,196

Daiwa House Industry Co Ltd

REIT 125,600 3,580,754 3,609,628

Daiwa House REIT Investment

Corp REIT 288 822,238 872,462

Dexus REIT 343,521 2,640,513 2,779,207

Fastighets AB Balder Class B

REIT 9,878 672,038 710,860

FirstService Corp REIT 13,100 2,026,710 2,574,537

GLP J-Reit REIT 1,991 3,275,360 3,441,479

Goodman Group REIT 245,403 2,244,840 4,731,388

GPT Group REIT 613,689 2,317,733 2,419,973

Henderson Land Development Co

Ltd REIT 627,420 2,832,484 2,671,396

Hongkong Land Holdings Ltd

REIT 389,900 1,968,099 2,027,480

Hulic Co Ltd REIT 84,100 903,777 799,748

Japan Metropolitan Fund Invest

REIT 782 724,317 673,690

Klepierre SA REIT 136,160 3,125,758 3,232,128

Land Securities Group PLC REIT 144,468 1,193,261 1,518,209

LEG Immobilien SE REIT 2,217 276,027 309,100

Lendlease Corp Ltd REIT 94,787 961,455 737,207

Link REIT 263,300 2,474,270 2,318,106

Mirvac Group REIT 791,685 1,438,843 1,676,132

Mitsubishi Estate Co Ltd REIT 43,600 699,114 604,840



December 31, 2021


Shares CostFair


Mitsui Fudosan Co Ltd REIT 61,600 $ 1,409,120 $ 1,220,959

New World Development Co Ltd

REIT 132,000 641,298 522,241

Nomura Real Estate Holdings, Inc

REIT 131,000 2,861,201 3,018,495

Nomura Real Estate Master Fund,

Inc REIT 56 91,419 78,811

RioCan Real Estate Investment

Trust REIT 24,100 324,609 437,056

Segro PLC REIT 187,590 2,198,231 3,647,452

Sino Land Co Ltd REIT 482,000 717,512 600,217

Stockland REIT 638,460 2,103,791 1,969,529

Sun Hung Kai Properties Ltd

REIT 306,000 4,281,022 3,712,397

Swire Pacific Ltd Class A REIT 377,000 2,786,490 2,144,257

Swire Properties Ltd REIT 242,000 704,494 606,432

Swiss Prime Site AG REIT 10,744 1,106,382 1,054,716

United Urban Investment Corp

REIT 1,191 1,717,695 1,399,778

UOL Group Ltd REIT 101,400 565,509 533,486

Vicinity Centres REIT 1,791,132 2,135,838 2,202,303

Vonovia SE REIT 55,036 3,053,245 3,032,602


Utilities: 3.50%

AltaGas Ltd 243,600 3,899,702 5,259,272

Atco Ltd 104,400 3,091,945 3,524,155

Canadian Utilities Ltd Class A 95,300 2,494,214 2,764,186

Chubu Electric Power Co, Inc 366,300 4,266,047 3,869,048

CK Infrastructure Holdings Ltd 714,000 4,143,494 4,546,313

CLP Holdings Ltd 299,000 2,869,482 3,019,699

E.ON SE 273,684 3,292,984 3,803,507

EDP - Energias de Portugal SA 43,338 209,941 238,412

EDP Renovaveis SA 22,723 541,080 566,556

Emera, Inc 37,600 1,629,213 1,879,183

Enagas SA 95,843 2,247,336 2,226,559

Endesa SA 43,327 1,160,089 997,449

Enel SpA 1,027,896 10,228,430 8,219,136

Engie SA 78,000 1,181,440 1,155,682

Fortis, Inc 31,000 1,269,901 1,495,656

Fortum Oyj 159,757 4,508,662 4,899,815

Hong Kong & China Gas Co Ltd 601,000 929,280 935,697

Iberdrola SA 726,722 6,339,285 8,604,371

Kansai Electric Power Co, Inc 15,100 145,250 141,139

Meridian Energy Ltd 213,517 789,772 709,253

National Grid PLC 455,953 5,535,560 6,540,610

Naturgy Energy Group SA 27,355 681,152 889,726

Northland Power, Inc 30,800 1,133,469 924,037

Origin Energy Ltd 249,174 1,019,541 949,942

Osaka Gas Co Ltd 47,100 831,355 778,999



December 31, 2021


Shares CostFair


Power Assets Holdings Ltd 547,500 $ 3,281,432 $ 3,412,418

Red Electrica Corp SA 86,945 1,776,611 1,880,132

RWE AG 70,007 2,960,558 2,836,441

Snam SpA 308,105 1,590,136 1,855,770

SSE PLC 206,578 3,692,230 4,610,829

Terna - Rete Elettrica Nazionale 78,998 571,881 639,065

Tohoku Electric Power Co, Inc 19,400 166,940 137,896

Uniper SE 189,393 7,110,618 8,992,401

United Utilities Group PLC 134,724 1,676,842 1,985,853

Veolia Environnement SA 71,613 2,150,842 2,630,202

Total Utilities 89,416,714 97,919,409

Total Common stocks 2,417,850,360 2,713,598,388

YieldPreferred stocks: 0.47%


Bayerische Motoren Werke AG 2.64% 18,938 1,427,460 1,570,464

Porsche Automobil Holding SE 2.66 40,023 2,770,302 3,778,682



Henkel AG & Co KGaA 2.61 56,554 6,241,759 4,563,404


Health care: 0.06%

Sartorius AG 0.12 2,292 578,149 1,550,171

Total Health care 578,149 1,550,171

Materials: 0.06%

Fuchs Petrolub SE 2.49 40,277 2,010,536 1,820,078


Total Preferred stocks 13,028,206 13,282,799

Short-term investments: 1.71%



Fund S(2) 0.05(3) 47,657,104 47,657,104 47,657,104






507 MSCI EAFE March 2022 $ 58,857,630 $ 1,884,838


Rule 144A. The Fund holds 1.46% of its portfolio in 144A securities.(1) Security is valued using significant unobservable inputs.(2) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds

approximately 0.619% of the total net assets of the Wells Fargo/BlackRock Short Term Investment Fund S.(3) The rate represents the 7-day annualized yield at period end.



December 31, 2021


Abbreviations:REIT Real Estate Investment Trust


Country% of Total

InvestmentsJapan 20.10%

Canada 10.42

United Kingdom 10.30

France 8.77

Switzerland 8.51

Germany 7.44

Australia 6.86

Netherlands 4.76

Sweden 3.26

United States 3.14

Hong Kong 2.70

Denmark 2.62

Spain 1.95

Italy 1.62

Finland 1.11

Other 6.44

100.00%



December 31, 2021


Shares CostFair



Activision Blizzard, Inc 64,048 $ 5,982,083 $ 4,261,113

Alphabet, Inc Class A 32,505 64,347,838 94,168,285

Alphabet, Inc Class C 29,553 58,294,628 85,514,265

Altice USA, Inc Class A 21,661 757,880 350,475

AT&T, Inc 734,490 21,628,132 18,068,454

Charter Communications, Inc

Class A 11,476 7,618,162 7,482,008

Comcast Corp Class A 419,939 20,714,911 21,135,530

Discovery, Inc Class A 16,779 692,333 394,978

Discovery, Inc Class C 31,876 805,666 729,960

Electronic Arts, Inc 32,175 4,683,531 4,243,883

Fox Corp Class A 90,152 3,323,858 3,326,609

Interpublic Group of Cos, Inc 162,551 4,418,450 6,087,535

Loyalty Ventures, Inc 24,599 908,999 739,692

Lumen Technologies, Inc 107,852 1,429,036 1,353,543

Madison Square Garden Sports

Corp 1,870 332,356 324,875

Match Group, Inc 49,957 7,548,772 6,606,813

Meta Platforms, Inc Class A 236,089 66,445,286 79,408,535

Netflix, Inc 43,401 24,327,455 26,146,499

News Corp Class A 102,051 2,046,293 2,276,758

News Corp Class B 90,872 1,720,064 2,044,620

Nexstar Media Group, Inc Class A 28,040 4,169,995 4,233,479

Omnicom Group, Inc 37,190 2,829,423 2,724,911

Pinterest, Inc Class A 55,340 3,791,035 2,011,609

Playtika Holding Corp 158,218 3,977,570 2,735,589

Roku, Inc 10,260 4,105,508 2,341,332

Sirius XM Holdings, Inc 483,778 3,038,948 3,071,990

Spotify Technology SA 12,550 3,761,824 2,937,077

Take-Two Interactive Software,

Inc 10,738 2,159,851 1,908,357

T-Mobile US, Inc 69,910 9,807,562 8,108,162

TripAdvisor, Inc 73,219 2,752,354 1,995,950

Twitter, Inc 12,287 852,621 531,044

Verizon Communications, Inc 356,599 20,832,131 18,528,884

ViacomCBS, Inc Class B 1,151 50,523 34,737

ViacomCBS, Inc Class A 46 2,149 1,535

Walt Disney Co 181,958 30,873,274 28,183,475

World Wrestling Entertainment,

Inc Class A 95,877 5,422,687 4,730,571

Zynga, Inc Class A 103,231 766,548 660,678

Total Communication

services 397,219,736 449,403,810


Amazon.com, Inc 43,881 142,875,049 146,314,174

Aptiv PLC 30,056 4,752,004 4,957,737

Aramark 23,010 826,652 847,918

AutoNation, Inc 148,701 14,915,742 17,375,712


Wells Fargo Factor Enhanced U.S. Large Cap Equity CITSchedule of Investments

December 31, 2021


Shares CostFair


Bath & Body Works, Inc 24,079 $ 750,783 $ 1,680,473

Best Buy Co, Inc 18,919 2,140,019 1,922,170

Booking Holdings, Inc 2,522 5,830,559 6,050,858

BorgWarner, Inc 23,682 1,052,191 1,067,348

Boyd Gaming Corp 89,772 5,028,564 5,886,350

Brunswick Corp 41,455 3,952,867 4,175,762

Capri Holdings Ltd 16,820 910,573 1,091,786

Chipotle Mexican Grill, Inc

Class A 3,595 5,329,391 6,284,959

Choice Hotels International, Inc 25,187 3,224,521 3,928,920

Churchill Downs, Inc 3,110 763,116 749,199

Darden Restaurants, Inc 33,332 4,415,024 5,021,132

Deckers Outdoor Corp 1,536 605,100 562,652

Dick's Sporting Goods, Inc 37,417 2,835,144 4,302,581

Dollar General Corp 7,789 1,608,974 1,836,880

Domino's Pizza, Inc 15,259 5,975,448 8,611,111

eBay, Inc 58,449 3,407,285 3,886,858

Etsy, Inc 1,849 376,540 404,820

Expedia Group, Inc 10,981 1,837,725 1,984,486

Foot Locker, Inc 100,085 5,381,710 4,366,709

Ford Motor Co 517,938 5,844,110 10,757,572

Frontdoor, Inc 106,140 5,051,771 3,890,031

Gap, Inc 42,322 1,234,278 746,983

General Motors Co 139,504 7,420,849 8,179,119

Gentex Corp 23,669 801,574 824,865

Genuine Parts Co 6,963 812,437 976,213

Grand Canyon Education, Inc 6,857 590,216 587,713

H&R Block, Inc 233,717 5,765,765 5,506,373

Hanesbrands, Inc 91,753 1,619,706 1,534,110

Harley-Davidson, Inc 730 26,714 27,514

Hilton Worldwide Holdings, Inc 13,948 1,853,330 2,175,749

Home Depot, Inc 92,684 26,422,355 38,464,787

Kohl's Corp 70,750 4,045,908 3,494,342

Lear Corp 5,932 927,229 1,085,259

Lennar Corp Class A 3,366 309,242 390,995

Lithia Motors, Inc Class A 4,235 1,530,345 1,257,583

LKQ Corp 47,220 2,313,602 2,834,617

Lowe's Cos, Inc 54,018 9,404,534 13,962,573

Marriott International, Inc Class A 23,303 2,864,501 3,850,588

Marriott Vacations Worldwide

Corp 11,157 1,768,315 1,885,310

Mattel, Inc 183,663 3,672,543 3,959,774

McDonald's Corp 66,307 14,262,032 17,774,917

Newell Brands, Inc 2,142 50,033 46,781

NIKE, Inc Class B 56,448 7,764,422 9,408,188

Nordstrom, Inc 75,499 2,269,641 1,707,787

O'Reilly Automotive, Inc 342 207,808 241,531

Penske Automotive Group, Inc 57,369 3,654,423 6,151,104



December 31, 2021


Shares CostFair


Petco Health & Wellness Co, Inc

Class A 37,197 $ 796,354 $ 736,129

Polaris, Inc 5,705 735,320 627,037

Six Flags Entertainment Corp 72,639 3,156,690 3,092,969

Skechers USA, Inc Class A 12,959 541,518 562,421

Starbucks Corp 129,791 13,592,577 15,181,653

Tapestry, Inc 20,941 890,725 850,205

Target Corp 52,775 10,119,243 12,214,246

Tempur Sealy International, Inc 39,220 1,697,867 1,844,517

Terminix Global Holdings, Inc 22,629 1,131,615 1,023,510

Tesla, Inc 63,371 49,570,727 66,969,205

Thor Industries, Inc 22,795 2,623,880 2,365,437

TJX Cos, Inc 44,218 2,946,060 3,357,031

Tractor Supply Co 2,023 399,654 482,688

Travel + Leisure Co 8,733 422,522 482,673

Ulta Beauty, Inc 1,646 615,234 678,712

Under Armour, Inc Class A 132,280 2,830,919 2,803,013

Under Armour, Inc Class C 82,857 1,545,509 1,494,740

Victoria's Secret & Co 7,604 176,431 422,326

Wayfair, Inc Class A 15,701 4,621,844 2,982,719

Wendy's Co 106,713 2,274,401 2,545,105

Whirlpool Corp 1,006 208,990 236,068

Williams-Sonoma, Inc 10,935 1,737,410 1,849,437

Wyndham Hotels & Resorts, Inc 31,951 2,019,316 2,864,407

YETI Holdings, Inc 10,377 880,333 859,527

Yum China Holdings, Inc 42,502 2,711,781 2,118,300

Yum! Brands, Inc 70,241 7,930,650 9,753,665



Albertsons Cos, Inc Class A 174,318 3,973,211 5,262,660

Altria Group, Inc 181,733 8,222,598 8,612,327

Archer-Daniels-Midland Co 118,313 6,598,540 7,996,776

Boston Beer Co, Inc Class A 944 876,871 476,814

Bunge Ltd 95,016 6,229,409 8,870,694

Campbell Soup Co 19,361 922,848 841,429

Church & Dwight Co, Inc 9,246 804,001 947,715

Clorox Co 3,348 635,344 583,757

Coca-Cola Co 382,692 19,414,385 22,659,193

Colgate-Palmolive Co 105,735 8,332,337 9,023,425

Conagra Brands, Inc 23,501 832,904 802,559

Constellation Brands, Inc Class A 16,692 3,802,638 4,189,191

Costco Wholesale Corp 43,831 15,861,562 24,882,859

Darling Ingredients, Inc 51,428 3,483,361 3,563,446

Estee Lauder Cos, Inc Class A 9,683 3,044,464 3,584,647

Flowers Foods, Inc 184,795 4,296,761 5,076,319

General Mills, Inc 21,318 1,271,808 1,436,407

Hain Celestial Group, Inc 67,207 2,962,208 2,863,690

Herbalife Nutrition Ltd 10,451 490,230 427,759



December 31, 2021


Shares CostFair


Hershey Co 22,473 $ 3,905,702 $ 4,347,851

Ingredion, Inc 30,618 2,821,589 2,958,924

J M Smucker Co 16,939 2,140,803 2,300,655

Kellogg Co 30,933 1,979,182 1,992,704

Keurig Dr Pepper, Inc 92,788 3,206,845 3,420,166

Kimberly-Clark Corp 33,875 4,597,355 4,841,415

Kraft Heinz Co 27,398 1,016,352 983,588

Kroger Co 172,775 6,394,417 7,819,797

Molson Coors Beverage Co

Class B 18,258 933,741 846,258

Mondelez International, Inc

Class A 72,929 4,223,364 4,835,922

Monster Beverage Corp 36,883 3,273,695 3,542,243

PepsiCo, Inc 147,268 20,751,030 25,581,924

Philip Morris International, Inc 154,991 12,736,532 14,724,145

Pilgrim's Pride Corp 263,281 6,041,529 7,424,524

Post Holdings, Inc 10,503 1,159,079 1,184,003

Procter & Gamble Co 240,157 31,939,036 39,284,882

Reynolds Consumer Products, Inc 5,528 150,832 173,579

Seaboard Corp 143 544,955 562,706

Spectrum Brands Holdings, Inc 57,851 5,492,502 5,884,604

Sysco Corp 22,032 1,777,020 1,730,614

Tyson Foods, Inc Class A 96,017 7,273,650 8,368,842

US Foods Holding Corp 21,707 811,464 756,055

Walgreens Boots Alliance, Inc 68,361 3,458,880 3,565,710

Walmart, Inc 135,621 19,779,244 19,623,003


Energy: 2.03%

Antero Midstream Corp 33,505 327,019 324,328

APA Corp 158,397 2,445,752 4,259,295

Baker Hughes Co Class A 67,651 1,558,029 1,627,683

Cheniere Energy, Inc 24,820 2,262,378 2,517,244

Chevron Corp 172,160 15,311,373 20,202,976

ConocoPhillips 71,710 3,317,359 5,176,028

Continental Resources, Inc 28,943 1,476,150 1,295,489

Coterra Energy, Inc 78,346 1,729,488 1,488,574

Diamondback Energy, Inc 20,248 1,891,962 2,183,747

EOG Resources, Inc 47,203 3,819,080 4,193,042

Exxon Mobil Corp 437,846 22,734,390 26,791,797

HollyFrontier Corp 14,587 486,310 478,162

Marathon Oil Corp 53,906 829,344 885,136

Marathon Petroleum Corp 95,696 4,675,869 6,123,587

Occidental Petroleum Corp 22,898 750,482 663,813

ONEOK, Inc 34,138 2,037,098 2,005,949

Phillips 66 42,567 3,098,214 3,084,405

Schlumberger NV 98,202 2,438,872 2,941,150

Targa Resources Corp 88,367 3,778,057 4,616,292

Valero Energy Corp 28,243 1,686,880 2,121,332

Total Energy 76,654,106 92,980,029



December 31, 2021


Shares CostFair


Financials: 8.92%

Affiliated Managers Group, Inc 43,060 $ 5,411,013 $ 7,083,801

Aflac, Inc 33,147 1,568,139 1,935,453

Alleghany Corp 1,348 902,371 899,911

Allstate Corp 29,627 3,305,537 3,485,617

Ally Financial, Inc 20,588 906,462 980,195

American Express Co 36,539 5,752,158 5,977,780

American Financial Group, Inc 84,248 11,579,856 11,568,935

American International Group, Inc 33,497 1,627,938 1,904,639

Ameriprise Financial, Inc 9,980 2,091,609 3,010,567

Aon PLC Class A 11,155 2,343,170 3,352,747

Assurant, Inc 13,907 2,061,655 2,167,545

Assured Guaranty Ltd 3,601 172,661 180,770

Axis Capital Holdings Ltd 40,477 1,987,197 2,204,782

Bank of America Corp 643,887 20,134,173 28,646,533

Bank of Hawaii Corp 2,510 206,887 210,238

Bank of New York Mellon Corp 28,045 1,526,349 1,628,854

Bank OZK 155,030 7,092,343 7,213,546

Berkshire Hathaway, Inc Class B 182,811 44,064,213 54,660,489

BlackRock, Inc 11,229 8,118,342 10,280,823

Blackstone, Inc 144,050 16,182,065 18,638,629

BOK Financial Corp 37,292 3,580,749 3,933,933

Capital One Financial Corp 25,676 3,880,604 3,725,331

Carlyle Group, Inc 79,930 3,529,675 4,388,157

Charles Schwab Corp 40,576 2,878,959 3,412,442

Chubb Ltd 36,630 5,680,940 7,080,945

Cincinnati Financial Corp 337 40,378 38,394

Citigroup, Inc 176,011 10,783,715 10,629,304

Citizens Financial Group, Inc 36,642 1,361,186 1,731,334

CNA Financial Corp 13,935 609,838 614,255

Discover Financial Services 7,299 805,569 843,472

Equitable Holdings, Inc 19,335 591,748 633,995

Erie Indemnity Co Class A 1 242 193

Evercore, Inc Class A 48,331 5,522,424 6,565,766

Everest Re Group Ltd 5,131 1,312,303 1,405,484

Fifth Third Bancorp 48,280 1,549,437 2,102,594

First American Financial Corp 39,310 2,280,489 3,075,221

First Citizens BancShares, Inc

Class A 616 529,763 511,181

First Hawaiian, Inc 13,174 389,885 360,045

First Republic Bank 2,674 539,600 552,208

FNB Corp 375,952 4,524,669 4,560,298

Franklin Resources, Inc 31,826 963,050 1,065,853

Goldman Sachs Group, Inc 27,283 8,364,993 10,437,112

Hanover Insurance Group, Inc 30,256 3,998,990 3,965,351

Huntington Bancshares, Inc 26,703 374,242 411,760

Invesco Ltd 220,389 5,530,644 5,073,355

Janus Henderson Group PLC 17,002 692,916 713,064



December 31, 2021


Shares CostFair


Jefferies Financial Group, Inc 70,817 $ 2,035,511 $ 2,747,700

JPMorgan Chase & Co 277,345 36,124,591 43,917,581

Kemper Corp 1,827 130,834 107,409

KeyCorp 49,107 970,703 1,135,845

KKR & Co, Inc 10,148 404,567 756,026

LPL Financial Holdings, Inc 8,159 1,232,819 1,306,174

M&T Bank Corp 4,203 607,983 645,497

Marsh & McLennan Cos, Inc 44,617 5,133,300 7,755,327

Mercury General Corp 82,765 4,502,238 4,391,511

MetLife, Inc 51,165 2,578,193 3,197,301

MGIC Investment Corp 1,118 14,051 16,122

Moody's Corp 6,233 1,915,880 2,434,485

Morgan Stanley 102,031 7,400,156 10,015,363

MSCI, Inc Class A 3,033 1,809,546 1,858,289

Nasdaq, Inc 20,783 3,750,668 4,364,638

New York Community Bancorp,

Inc 45,089 605,771 550,537

Old Republic International Corp 218,583 5,112,362 5,372,770

OneMain Holdings, Inc 56,023 2,957,320 2,803,391

PacWest Bancorp 38,222 1,306,014 1,726,488

Pinnacle Financial Partners, Inc 14,481 1,385,180 1,382,935

PNC Financial Services Group,

Inc 30,086 4,830,712 6,032,845

Popular, Inc 26,885 1,645,711 2,205,645

Progressive Corp 36,080 3,365,566 3,703,612

Prudential Financial, Inc 34,628 2,838,111 3,748,135

Raymond James Financial, Inc 17,020 1,410,351 1,708,808

Regions Financial Corp 65,785 1,147,292 1,434,113

Rocket Cos, Inc Class A 175,746 2,817,238 2,460,444

S&P Global, Inc 23,586 8,272,896 11,130,941

SEI Investments Co 71,401 4,446,795 4,351,177

SLM Corp 30,595 623,291 601,804

Stifel Financial Corp 35,074 2,267,149 2,469,911

SVB Financial Group 893 420,135 605,668

Synchrony Financial 50,533 1,821,792 2,344,226

Synovus Financial Corp 29,449 1,221,245 1,409,724

T Rowe Price Group, Inc 22,321 3,745,618 4,389,201

Travelers Cos Inc 31,726 4,704,849 4,962,898

Truist Financial Corp 88,608 4,997,146 5,187,998

Unum Group, Inc 20,580 548,383 505,651

US Bancorp 114,899 6,563,937 6,453,877

UWM Holdings Corp 9,569 64,734 56,648

Virtu Financial, Inc Class A 9,145 248,684 263,650

Voya Financial, Inc 11,812 745,004 783,254

Webster Financial Corp 8,968 502,511 500,773

Wintrust Financial Corp 9,436 758,810 856,978

Zions Bancorp NA 7,221 458,281 456,078




December 31, 2021


Shares CostFair


Health care: 13.96%

Abbott Laboratories 177,271 $ 20,343,420 $ 24,949,121

AbbVie, Inc 215,627 23,642,568 29,195,896

Acadia Healthcare Co, Inc 58,792 3,567,803 3,568,674

Agilent Technologies, Inc 46,585 5,879,042 7,437,295

Align Technology, Inc 7,311 3,987,647 4,804,643

Amgen, Inc 73,115 18,551,421 16,448,682

Anthem, Inc 25,659 8,457,872 11,893,973

Avantor, Inc 140,351 4,092,466 5,914,391

Baxter International, Inc 43,948 3,600,572 3,772,496

Becton Dickinson and Co 29,844 7,292,913 7,505,169

Biogen, Inc 14,852 4,510,026 3,563,292

BioMarin Pharmaceutical, Inc 14,162 1,086,721 1,251,213

Bio-Techne Corp 6,485 3,102,192 3,354,950

Boston Scientific Corp 113,921 4,718,001 4,839,364

Bristol-Myers Squibb Co 224,074 14,033,054 13,971,014

Bruker Corp 79,817 5,981,423 6,697,444

Catalent, Inc 11,122 1,353,705 1,423,950

Centene Corp 44,075 3,054,372 3,631,780

Certara, Inc 17,515 465,103 497,776

Charles River Laboratories

International, Inc 11,094 3,105,996 4,179,997

Cigna Corp 33,974 7,555,450 7,801,450

Cooper Cos, Inc 1,613 624,112 675,750

CVS Health Corp 164,009 12,299,747 16,919,168

Danaher Corp 59,433 14,352,361 19,554,051

DaVita, Inc 6,971 809,522 793,021

DENTSPLY SIRONA, Inc 53,026 3,362,553 2,958,321

Edwards Lifesciences Corp 50,413 4,606,232 6,531,004

Eli Lilly & Co 84,724 18,213,622 23,402,463

Envista Holdings Corp 157,598 6,845,718 7,101,366

Exelixis, Inc 113,176 2,251,945 2,068,857

Figs, Inc Class A 38,966 1,454,277 1,073,903

Gilead Sciences, Inc 196,107 13,346,020 14,239,329

Globus Medical, Inc Class A 40,872 2,870,122 2,950,958

HCA Healthcare, Inc 32,737 6,370,567 8,410,790

Henry Schein, Inc 38,457 2,698,886 2,981,571

Hologic, Inc 37,326 2,722,058 2,857,679

Horizon Therapeutics PLC 35,878 3,132,329 3,866,213

Humana, Inc 10,284 4,171,770 4,770,336

ICU Medical, Inc 2,030 418,100 481,800

IDEXX Laboratories, Inc 13,374 6,628,012 8,806,244

Illumina, Inc 5,947 2,357,624 2,262,477

Incyte Corp 62,888 5,317,849 4,615,979

Integra LifeSciences Holdings

Corp 44,066 3,046,034 2,951,981

Intuitive Surgical, Inc 25,251 6,766,606 9,072,684

Ionis Pharmaceuticals, Inc 81,766 2,871,218 2,488,139

IQVIA Holdings, Inc 24,666 4,803,008 6,959,265



December 31, 2021


Shares CostFair


Jazz Pharmaceuticals PLC 6,873 $ 1,236,475 $ 875,620

Johnson & Johnson 264,840 43,956,120 45,306,179

Laboratory Corp of America

Holdings 14,784 3,814,088 4,645,281

Masimo Corp 1,047 281,449 306,541

Medtronic PLC 130,270 15,390,561 13,476,431

Merck & Co, Inc 240,190 18,149,407 18,408,162

Mettler-Toledo International, Inc 4,694 5,635,239 7,966,704

Moderna, Inc 46,880 9,385,767 11,906,582

Molina Healthcare, Inc 19,619 4,297,478 6,240,412

Natera, Inc 2,630 314,324 245,616

Neurocrine Biosciences, Inc 27,781 2,657,929 2,366,108

Novavax, Inc 7,583 1,427,051 1,084,900

Organon & Co 297,293 8,872,605 9,052,572

PerkinElmer, Inc 7,425 1,067,176 1,492,871

Perrigo Co PLC 13,445 595,794 523,011

Pfizer, Inc 610,097 22,929,326 36,026,228

Quest Diagnostics, Inc 5,471 772,368 946,538

Quidel Corp 6,397 1,194,036 863,531

Regeneron Pharmaceuticals, Inc 18,527 10,154,188 11,700,171

ResMed, Inc 23,543 5,795,377 6,132,481

Sage Therapeutics, Inc 1 78 43

Seagen, Inc 2,552 445,389 394,539

STERIS PLC 11,944 2,346,977 2,907,289

Stryker Corp 30,575 7,452,758 8,176,367

Syneos Health, Inc 53,516 4,218,152 5,495,023

Teleflex, Inc 707 293,765 232,235

Thermo Fisher Scientific, Inc 36,133 18,746,884 24,109,383

United Therapeutics Corp 40,567 6,772,808 8,765,717

UnitedHealth Group, Inc 92,460 32,405,094 46,427,864

Universal Health Services, Inc

Class B 7,379 1,083,642 956,761

Veeva Systems, Inc Class A 16,993 4,882,625 4,341,372

Vertex Pharmaceuticals, Inc 24,523 5,601,771 5,385,251

Viatris, Inc 85,399 1,491,477 1,155,448

Waters Corp 22,897 7,012,083 8,531,422

West Pharmaceutical Services, Inc 12,293 3,765,607 5,765,540

Zimmer Biomet Holdings, Inc 24,485 3,980,880 3,110,574

Zoetis, Inc 38,255 6,172,062 9,335,368


Industrials: 8.61%

3M Co 58,270 9,928,625 10,350,500

A O Smith Corp 19,953 1,107,431 1,712,965

Acuity Brands, Inc 25,596 4,484,388 5,419,185

ADT, Inc 15,888 132,585 133,618

AECOM 6,016 384,272 465,338

AGCO Corp 6,146 643,977 713,059

Alaska Air Group, Inc 19,763 1,098,818 1,029,652



December 31, 2021


Shares CostFair


Allison Transmission Holdings,

Inc 33,867 $ 1,221,305 $ 1,231,065

AMERCO 343 227,068 249,097

AMETEK, Inc 6,918 901,696 1,017,223

Boeing Co 33,755 7,405,478 6,795,557

Booz Allen Hamilton Holding

Corp Class A 30,989 2,985,194 2,627,557

Builders FirstSource, Inc 15,816 692,186 1,355,589

BWX Technologies, Inc 24,470 1,437,331 1,171,624

CACI International, Inc Class A 15,500 4,015,366 4,172,755

Carlisle Cos, Inc 6,800 1,180,942 1,687,216

Carrier Global Corp 47,097 2,143,135 2,554,541

Caterpillar, Inc 41,282 7,746,953 8,534,641

CH Robinson Worldwide, Inc 37,234 3,627,247 4,007,495

Cintas Corp 5,720 1,931,242 2,534,932

Clean Harbors, Inc 36,183 3,389,325 3,609,978

Copa Holdings SA Class A 34,336 2,961,174 2,838,214

Crane Co 16,733 1,604,865 1,702,248

CSX Corp 116,427 3,466,481 4,377,655

Cummins, Inc 7,847 1,915,946 1,711,745

Curtiss-Wright Corp 10,640 1,175,178 1,475,449

Deere & Co 22,231 6,629,284 7,622,788

Donaldson Co Inc 12,684 745,628 751,654

Dover Corp 13,942 1,974,668 2,531,867

Eaton Corp PLC 57,059 7,929,941 9,860,936

Emerson Electric Co 72,069 6,856,676 6,700,255

Expeditors International of

Washington, Inc 27,787 2,925,677 3,731,516

Fastenal Co 8,288 428,531 530,929

FedEx Corp 16,293 4,129,950 4,214,022

Flowserve Corp 31,364 1,223,196 959,738

FTI Consulting, Inc 34,066 4,635,012 5,226,406

Gates Industrial Corp PLC 56,395 934,427 897,244

Generac Holdings, Inc 5,549 2,467,262 1,952,804

General Dynamics Corp 47,180 8,134,982 9,835,615

General Electric Co 109,424 11,404,996 10,337,285

Hexcel Corp 8,202 506,268 424,864

Honeywell International, Inc 69,286 14,028,865 14,446,824

Howmet Aerospace, Inc 125,182 3,052,468 3,984,543

Hubbell, Inc Class B 31,127 5,707,598 6,482,820

Huntington Ingalls Industries, Inc 36,547 7,366,785 6,824,787

IHS Markit Ltd 791 92,592 105,140

Illinois Tool Works, Inc 16,437 3,325,534 4,056,652

ITT, Inc 25,132 2,225,185 2,568,239

Jacobs Engineering Group, Inc 30,601 4,044,511 4,260,577

JB Hunt Transport Services, Inc 29,905 4,480,526 6,112,582

JetBlue Airways Corp 1 15 14

Johnson Controls International

PLC 100,726 5,907,578 8,190,031



December 31, 2021


Shares CostFair


Knight-Swift Transportation

Holdings, Inc 53,446 $ 2,433,966 $ 3,256,999

L3Harris Technologies, Inc 20,102 4,313,753 4,286,551

Landstar System, Inc 47,510 7,012,512 8,505,240

LegalZoom.com, Inc 26,982 646,196 433,601

Leidos Holdings, Inc 18,829 1,954,792 1,673,898

Lennox International, Inc 9,792 2,905,091 3,176,133

Lincoln Electric Holdings, Inc 35,375 4,298,796 4,933,751

Lockheed Martin Corp 24,666 8,495,913 8,766,543

ManpowerGroup, Inc 83,884 7,921,692 8,164,430

Masco Corp 6,092 344,164 427,780

Middleby Corp 314 54,226 61,783

MSA Safety, Inc 3,593 589,417 542,399

MSC Industrial Direct Co, Inc

Class A 46,155 3,801,037 3,879,789

Nielsen Holdings PLC 176,919 4,118,487 3,628,609

Norfolk Southern Corp 364 97,235 108,366

Northrop Grumman Corp 22,233 7,208,905 8,605,727

nVent Electric PLC 139,501 4,431,599 5,301,038

Old Dominion Freight Line, Inc 13,610 3,313,692 4,877,552

Oshkosh Corp 6,741 814,390 759,778

Otis Worldwide Corp 46,707 3,535,415 4,066,779

Owens Corning 24,629 2,174,970 2,228,925

PACCAR, Inc 2,582 252,868 227,887

Parker-Hannifin Corp 8,947 2,599,436 2,846,220

Pentair PLC 55,239 3,504,500 4,034,104

Raytheon Technologies Corp 121,917 9,206,121 10,492,177

Regal Rexnord Corp 31,908 4,093,269 5,430,103

Republic Services, Inc Class A 14,121 1,582,896 1,969,173

Robert Half International, Inc 68,541 5,060,781 7,643,692

Rockwell Automation, Inc 12,620 3,743,595 4,402,487

Rollins, Inc 22,062 780,462 754,741

Ryder System, Inc 127,157 9,637,322 10,481,552

Schneider National, Inc Class B 372,733 8,664,514 10,030,245

Science Applications International

Corp 42,972 3,878,458 3,592,030

Sensata Technologies Holding

PLC 15,424 886,079 951,507

Shoals Technologies Group, Inc

Class A 20,468 566,481 497,372

Stericycle, Inc 35,617 2,416,335 2,124,198

Textron, Inc 60,831 2,902,547 4,696,153

Timken Co 6,332 485,250 438,744

Toro Co 4,053 453,014 404,935

Trane Technologies PLC 25,817 4,611,646 5,215,809

Union Pacific Corp 43,419 9,096,316 10,938,549

United Parcel Service, Inc Class B 73,239 12,154,381 15,698,047

Univar Solutions, Inc 163,971 3,959,906 4,648,578

Vertiv Holdings Co Class A 29,006 597,310 724,280



December 31, 2021


Shares CostFair


Waste Management, Inc 41,007 $ 5,544,614 $ 6,844,068

Watsco, Inc 7,355 1,996,976 2,301,232

WW Grainger, Inc 4,669 2,054,248 2,419,663

XPO Logistics, Inc 9,488 746,415 734,656

Xylem, Inc 2,593 316,798 310,953



Accenture PLC Class A 73,085 18,691,162 30,297,387

Adobe, Inc 49,836 23,253,277 28,260,002

Advanced Micro Devices, Inc 115,089 10,759,640 16,561,307

Akamai Technologies, Inc 13,958 1,516,431 1,633,644

Allegro MicroSystems, Inc 205,653 6,010,912 7,440,526

Alliance Data Systems Corp 61,498 3,957,465 4,093,922

Amdocs Ltd 58,910 4,387,909 4,408,824

Analog Devices, Inc 46,894 7,059,207 8,242,558

Anaplan, Inc 597 32,955 27,372

ANSYS, Inc 1,639 587,435 657,436

Apple, Inc 1,563,715 222,058,542 277,668,873

Applied Materials, Inc 103,471 10,686,468 16,282,197

Arrow Electronics, Inc 69,799 7,922,964 9,371,912

Atlassian Corp PLC Class A 20,314 5,733,221 7,745,525

Autodesk, Inc 23,108 6,757,189 6,497,739

Automatic Data Processing, Inc 41,048 7,215,800 10,121,616

Avnet, Inc 246,045 9,828,170 10,144,435

Bentley Systems, Inc Class B 49,499 3,037,389 2,392,287

Block, Inc 44,199 9,557,004 7,138,580

Broadcom, Inc 39,514 18,001,512 26,293,011

Broadridge Financial Solutions,

Inc 29,693 4,559,523 5,428,474

Cadence Design Systems, Inc 47,508 6,565,857 8,853,116

CDK Global, Inc 12,258 604,341 511,649

CDW Corp 23,306 4,093,350 4,772,603

Ciena Corp 15,515 805,927 1,194,190

Cirrus Logic, Inc 34,806 2,790,819 3,202,848

Cisco Systems, Inc 381,942 17,329,507 24,203,665

Cloudflare, Inc Class A 7,990 923,874 1,050,685

Cognizant Technology Solutions

Corp Class A 104,991 8,154,378 9,314,801

CommScope Holding Co, Inc 20,242 303,176 223,472

Concentrix Corp 33,103 4,459,417 5,912,858

Crowdstrike Holdings, Inc Class A 14,675 3,266,590 3,004,706

Datadog, Inc Class A 1,934 274,425 344,465

Datto Holding Corp 22,585 556,226 595,115

DocuSign, Inc Class A 20,007 4,862,857 3,047,266

Dolby Laboratories, Inc Class A 66,863 6,554,021 6,366,695

DoubleVerify Holdings, Inc 1,686 65,883 56,110

Dropbox, Inc Class A 286,086 7,878,447 7,020,550

DXC Technology Co 323,126 9,777,353 10,401,426

Dynatrace, Inc 27,785 1,926,796 1,676,825



December 31, 2021


Shares CostFair


Elastic NV 2,178 $ 274,729 $ 268,090

Entegris, Inc 13,406 1,519,603 1,857,803

EPAM Systems, Inc 12,822 4,677,271 8,570,866

Euronet Worldwide, Inc 5,077 682,017 605,026

Fair Isaac Corp 11,343 5,605,712 4,919,119

Fidelity National Information

Services, Inc 38,049 5,443,896 4,153,048

First Solar, Inc 8,173 720,406 712,359

Fiserv, Inc 55,460 6,176,106 5,756,193

FleetCor Technologies, Inc 3,490 969,579 781,202

Fortinet, Inc 28,487 5,971,868 10,238,228

Gartner, Inc 24,081 4,636,911 8,050,760

Genpact Ltd 84,375 3,990,158 4,478,625

Global Payments, Inc 14,611 2,559,027 1,975,115

Globant SA 2,215 481,102 695,709

GoDaddy, Inc Class A 1,817 146,349 154,191

Guidewire Software, Inc 2,967 340,537 336,843

Hewlett Packard Enterprise Co 98,637 1,459,875 1,555,505

HP, Inc 228,453 5,803,965 8,605,824

HubSpot, Inc 4,580 1,766,943 3,018,907

Intel Corp 385,572 22,369,376 19,856,958

International Business Machines

Corp 110,406 13,418,004 14,756,866

Intuit, Inc 30,709 11,902,062 19,752,643

Jabil, Inc 103,803 4,825,573 7,302,541

Jack Henry & Associates, Inc 23,669 3,887,742 3,952,486

Juniper Networks, Inc 53,804 1,475,248 1,921,341

Keysight Technologies, Inc 8,446 1,374,629 1,744,183

KLA Corp 20,799 6,583,871 8,945,858

Kyndryl Holdings, Inc 22,081 619,575 399,666

Lam Research Corp 15,830 8,390,420 11,384,144

Mandiant, Inc 174,439 3,530,479 3,059,660

Manhattan Associates, Inc 37,483 4,396,667 5,828,232

Mastercard, Inc Class A 77,862 25,176,508 27,977,374

McAfee Corp Class A 621,146 13,972,622 16,019,355

Microchip Technology, Inc 61,776 4,249,778 5,378,219

Micron Technology, Inc 111,145 9,086,119 10,353,157

Microsoft Corp 785,842 188,805,154 264,294,381

MKS Instruments, Inc 5,513 1,026,218 960,199

Monolithic Power Systems, Inc 2,364 1,068,549 1,166,232

Motorola Solutions, Inc 20,901 3,744,225 5,678,802

N-able, Inc 250,496 3,227,519 2,780,506

NCR Corp 12,723 537,336 511,465

New Relic, Inc 43,518 3,166,284 4,785,239

NortonLifeLock, Inc 56,230 1,198,483 1,460,855

Nutanix, Inc Class A 57,760 1,677,032 1,840,234

NVIDIA Corp 229,019 31,643,185 67,356,778

NXP Semiconductors NV 37,842 7,734,746 8,619,651

ON Semiconductor Corp 156,260 6,583,692 10,613,179



December 31, 2021


Shares CostFair


Oracle Corp 184,808 $ 11,652,144 $ 16,117,106

Palantir Technologies, Inc Class A 38,848 891,756 707,422

Palo Alto Networks, Inc 10,036 3,403,032 5,587,643

Paychex, Inc 53,052 5,026,148 7,241,598

PayPal Holdings, Inc 96,837 24,026,653 18,261,521

Pegasystems, Inc 538 66,448 60,159

PTC, Inc 26,281 3,421,595 3,183,943

Qorvo, Inc 21,805 4,000,355 3,410,084

QUALCOMM, Inc 115,176 18,934,934 21,062,235

RingCentral, Inc Class A 5,466 1,499,395 1,024,055

salesforce.com, Inc 74,980 17,038,203 19,054,667

ServiceNow, Inc 18,758 10,089,553 12,176,005

Shift4 Payments, Inc Class A 17,738 1,730,783 1,027,562

Skyworks Solutions, Inc 20,449 3,572,125 3,172,458

Smartsheet, Inc Class A 37,707 2,477,207 2,920,407

SolarWinds Corp 3,403 67,311 48,289

SS&C Technologies Holdings, Inc 71,728 4,930,727 5,880,261

Switch, Inc Class A 26,586 674,620 761,423

Synopsys, Inc 23,992 6,491,138 8,841,052

TD SYNNEX Corp 23,285 2,437,052 2,662,873

Teradata Corp 131,876 4,170,470 5,600,774

Teradyne, Inc 18,591 2,465,034 3,040,186

Texas Instruments, Inc 101,332 17,522,329 19,098,042

Tyler Technologies, Inc 3,908 1,700,598 2,102,309

Ubiquiti, Inc 2,081 635,633 638,243

VeriSign, Inc 18,780 3,820,856 4,766,740

Visa, Inc Class A 152,655 30,284,864 33,081,865

VMware, Inc Class A 21,957 3,009,592 2,544,377

Western Digital Corp 31,061 1,979,279 2,025,488

Western Union Co 41,915 1,026,635 747,764

Workday, Inc Class A 18,256 4,463,916 4,987,174

Xerox Holdings Corp 5,728 137,902 129,682

Zendesk, Inc 5,001 713,249 521,554

Zoom Video Communications, Inc

Class A 11,604 4,500,097 2,134,092

Total Information technology 1,100,566,202 1,382,513,342

Materials: 1.93%

Alcoa Corp 28,209 1,052,187 1,680,692

Amcor PLC 3 35 36

Ardagh Group SA 5,435 134,385 0

Ashland Global Holdings, Inc 5,470 482,572 588,900

Avery Dennison Corp 9,334 1,701,271 2,021,464

Axalta Coating Systems Ltd 20,489 602,036 678,596

Berry Global Group, Inc 17,777 1,104,218 1,311,587

Celanese Corp Class A 6,862 1,006,108 1,153,228

Chemours Co 130,863 3,603,671 4,391,762

Cleveland-Cliffs, Inc 11,765 231,382 256,124

Corteva, Inc 45,924 1,903,090 2,171,287



December 31, 2021


Shares CostFair


Diversey Holdings Ltd 27,124 $ 439,722 $ 361,020

Dow, Inc 95,314 5,537,831 5,406,210

DuPont de Nemours, Inc 28,419 2,148,016 2,295,687

Eagle Materials, Inc 18,268 2,282,799 3,040,891

Eastman Chemical Co 13,654 1,412,296 1,650,905

Ecolab, Inc 10,493 2,244,560 2,461,553

Element Solutions, Inc 77,951 1,790,130 1,892,650

Freeport-McMoRan, Inc 43,964 1,493,373 1,834,618

Graphic Packaging Holding Co 68,058 1,302,386 1,327,131

Huntsman Corp 127,837 3,474,131 4,458,955

International Paper Co 39,777 1,995,225 1,868,723

LyondellBasell Industries NV

Class A 31,179 3,059,938 2,875,639

Martin Marietta Materials, Inc 474 166,949 208,807

Mosaic Co 55,082 1,620,111 2,164,172

Nucor Corp 42,490 3,101,512 4,850,234

Olin Corp 181,344 7,110,694 10,430,907

Packaging Corp of America 6,308 880,354 858,834

PPG Industries, Inc 6,691 972,448 1,153,796

Reliance Steel & Aluminum Co 19,096 2,382,242 3,097,753

Sealed Air Corp 15,808 756,618 1,066,566

Sherwin-Williams Co 19,735 4,830,339 6,949,878

Sonoco Products Co 15,290 930,626 885,138

Steel Dynamics, Inc 72,278 3,367,430 4,486,295

Sylvamo Corp 6,493 192,772 181,090

United States Steel Corp 174,916 4,156,709 4,164,750

Valvoline, Inc 49,943 1,567,310 1,862,374

Westlake Chemical Corp 5,469 484,545 531,204

Westrock Co 38,057 1,993,392 1,688,209

Total Materials 73,515,413 88,307,665

Real estate: 2.84%

AGNC Investment Corp REIT 64,233 1,077,895 966,064

American Campus Communities,

Inc REIT 62,459 2,964,905 3,578,276

American Homes 4 Rent Class A

REIT 41,848 1,261,175 1,824,991

American Tower Corp REIT 23,275 5,358,545 6,807,937

Annaly Capital Management, Inc

REIT 125,940 1,050,075 984,851

Apartment, Income Corp REIT 36,554 1,823,146 1,998,407

AvalonBay Communities, Inc

REIT 11,820 2,649,089 2,985,614

Brixmor Property Group, Inc

REIT 42,509 904,030 1,080,154

Camden Property Trust REIT 22,756 2,917,169 4,066,042

CBRE Group, Inc Class A REIT 60,125 4,437,683 6,524,164

Crown Castle International Corp

REIT 33,189 5,586,648 6,927,872

CubeSmart REIT 44,021 1,581,839 2,505,235



December 31, 2021


Shares CostFair


Duke Realty Corp REIT 22,417 $ 1,114,461 $ 1,471,452

Equinix, Inc REIT 4,145 3,069,038 3,506,007

Equity LifeStyle Properties, Inc

REIT 13,491 1,028,535 1,182,621

Equity Residential REIT 37,685 3,120,385 3,410,492

Essex Property Trust, Inc REIT 8,897 2,893,119 3,133,790

Extra Space Storage, Inc REIT 18,359 2,551,570 4,162,536

First Industrial Realty Trust, Inc

REIT 31,693 1,687,177 2,098,077

Gaming and Leisure Properties,

Inc REIT 29,467 1,291,983 1,433,864

Healthpeak Properties, Inc REIT 31,982 1,073,156 1,154,230

Highwoods Properties, Inc REIT 16,489 745,357 735,244

Invitation Homes, Inc REIT 70,432 2,406,025 3,193,387

Iron Mountain, Inc REIT 151,125 5,695,522 7,908,371

Jones Lang LaSalle, Inc REIT 32,145 6,772,717 8,657,934

Lamar Advertising Co Class A

REIT 35,089 2,847,543 4,256,296

Life Storage, Inc REIT 18,496 1,659,120 2,833,217

Mid-America Apartment

Communities, Inc REIT 21,747 3,003,068 4,989,632

National Retail Properties, Inc

REIT 8,679 390,972 417,200

New Residential Investment Corp

REIT 23,564 243,138 252,370

Omega Healthcare Investors, Inc

REIT 13,015 507,303 385,114

Orion Office, Inc REIT 1,352 29,925 25,242

Prologis, Inc REIT 36,457 3,964,570 6,137,901

Public Storage REIT 16,600 4,230,206 6,217,696

Rayonier, Inc REIT 1 34 40

Realty, Income Corp REIT 13,525 896,099 968,255

Regency Centers Corp REIT 27,354 1,878,262 2,061,124

SBA Communications Corp

Class A REIT 4,878 1,612,878 1,897,640

Simon Property Group, Inc REIT 28,816 3,423,569 4,603,932

SL Green Realty Corp REIT 2,034 154,213 145,838

UDR, Inc REIT 17,174 919,410 1,030,268

Ventas, inc REIT 15,096 822,791 771,708

VICI Properties, Inc REIT 38,445 1,108,651 1,157,579

Welltower, Inc REIT 36,114 2,715,851 3,097,498

Weyerhaeuser Co REIT 164,820 5,461,858 6,787,288


Utilities: 2.45%

AES Corp 163,257 4,276,156 3,967,145

Alliant Energy Corp 6,851 364,175 421,131

American Electric Power Co, Inc 27,466 2,348,428 2,443,650

American Water Works Co, Inc 18,011 2,877,822 3,401,557

Avangrid, Inc 5,626 278,403 280,625



December 31, 2021


Shares CostFair


CenterPoint Energy, Inc 114,540 $ 2,599,691 $ 3,196,811

CMS Energy Corp 1,522 91,875 99,006

Consolidated Edison, Inc 12,884 951,029 1,099,263

Dominion Energy, Inc 55,246 4,099,003 4,340,126

DTE Energy Co 20,604 2,311,808 2,463,002

Duke Energy Corp 62,936 6,150,729 6,601,986

Edison International 34,320 2,058,607 2,342,340

Entergy Corp 2,109 199,828 237,579

Essential Utilities, Inc 15,807 722,750 848,678

Evergy, Inc 46,516 2,894,427 3,191,463

Eversource Energy 8,692 776,705 790,798

Exelon Corp 137,474 6,046,428 7,940,498

FirstEnergy Corp 111,593 4,003,654 4,641,153

Hawaiian Electric Industries, Inc 35,211 1,491,933 1,461,257

IDACORP, Inc 18,300 1,881,779 2,073,573

MDU Resources Group, Inc 277,057 8,029,789 8,544,438

National Fuel Gas Co 27,572 1,472,956 1,762,954

NextEra Energy, Inc 146,800 12,752,516 13,705,248

NiSource, Inc 28,092 691,999 775,620

NRG Energy, Inc 142,918 5,869,190 6,156,907

OGE Energy Corp 112,714 3,813,875 4,325,963

PG&E Corp 132,048 1,497,751 1,603,063

PPL Corp 65,439 1,895,129 1,967,096

Public Service Enterprise Group,

Inc 47,410 2,808,959 3,163,669

Sempra Energy 28,336 3,757,182 3,748,286

Southern Co 93,526 5,727,316 6,414,013

UGI Corp 20,781 857,905 954,056

Vistra Corp 236,802 4,267,157 5,391,982

WEC Energy Group, Inc 9,839 897,725 955,072

Xcel Energy, Inc 18,483 1,230,590 1,251,299

Total Utilities 101,995,269 112,561,307

Total Common stocks 3,781,147,035 4,492,138,356

YieldShort-term investments: 1.68%



Fund S(1) 0.05%(2) 77,239,790 77,239,790 77,239,790





December 31, 2021





378 S&P 500 E-Mini Index March 2022 $ 89,935,650 $ 1,867,288

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 1.003% of the total net assets of the Wells Fargo/BlackRock Short Term Investment Fund S.(2) The rate represents the 7-day annualized yield at period end. Abbreviations:REIT Real Estate Investment Trust



December 31, 2021


Shares CostFair



Activision Blizzard, Inc 8,941 $ 839,639 $ 594,845

Alphabet, Inc Class A 41 107,561 118,779

Alphabet, Inc Class C 385 969,171 1,114,032

AT&T, Inc 19,394 544,405 477,092

Charter Communications, Inc

Class A 946 579,613 616,764

Comcast Corp Class A 8,225 416,353 413,964

Electronic Arts, Inc 5,113 721,458 674,405

Fox Corp Class A 2,442 87,320 90,110

Fox Corp Class B 2,413 78,528 82,693

Interpublic Group of Cos, Inc 2,551 86,344 95,535

Liberty Global PLC Class A 1,718 44,397 47,657

Meta Platforms, Inc Class A 194 62,371 65,252

Netflix, Inc 1,236 734,028 744,616

News Corp Class A 1,222 32,426 27,263

Omnicom Group, Inc 869 55,160 63,672

Roku, Inc 26 8,961 5,933

Sirius XM Holdings, Inc 3,993 24,003 25,355

Take-Two Interactive Software,

Inc 3,061 627,302 544,001

T-Mobile US, Inc 9,599 1,229,536 1,113,292

Verizon Communications, Inc 20,353 1,085,991 1,057,542

Walt Disney Co 3,537 624,725 547,846

Total Communication

services 8,959,292 8,520,648


Amazon.com, Inc 171 580,686 570,172

AutoZone, Inc 279 356,150 584,893

Chewy, Inc Class A 515 38,081 30,370

Dollar General Corp 2,958 602,799 697,585

Dollar Tree, Inc 1,499 154,976 210,639

Domino's Pizza, Inc 947 431,373 534,421

eBay, Inc 789 51,518 52,468

Garmin Ltd 800 101,191 108,936

Hasbro, Inc 63 5,560 6,412

Home Depot, Inc 1,507 410,770 625,420

McDonald's Corp 3,637 775,837 974,971

NIKE, Inc Class B 829 114,850 138,169

O'Reilly Automotive, Inc 497 233,842 350,996

Peloton Interactive, Inc Class A 1,429 151,761 51,101

Starbucks Corp 4,447 456,240 520,166

Target Corp 3,775 829,428 873,686

Yum! Brands, Inc 489 59,472 67,903



Archer-Daniels-Midland Co 1,238 73,402 83,676

Boston Beer Co, Inc Class A 15 15,249 7,577

Bunge Ltd 531 44,826 49,574


Wells Fargo Factor Enhanced U.S. Low Volatility Equity CITSchedule of Investments

December 31, 2021


Shares CostFair


Campbell Soup Co 2,413 $ 112,021 $ 104,869

Church & Dwight Co, Inc 3,881 327,419 397,803

Clorox Co 2,949 544,858 514,188

Colgate-Palmolive Co 3,856 305,967 329,071

Costco Wholesale Corp 183 73,528 103,889

General Mills, Inc 4,135 259,517 278,616

Hershey Co 4,521 682,587 874,678

Hormel Foods Corp 10,775 504,284 525,928

J M Smucker Co 1,753 200,728 238,092

Kellogg Co 5,263 309,577 339,042

Kimberly-Clark Corp 1,637 214,751 233,960

Kroger Co 27,245 950,694 1,233,109

McCormick & Co, Inc 653 57,955 63,086

Mondelez International, Inc

Class A 4,810 268,544 318,951

PepsiCo, Inc 7,267 1,012,519 1,262,351

Procter & Gamble Co 6,989 903,426 1,143,261

Tyson Foods, Inc Class A 1,019 79,369 88,816

Walmart, Inc 7,638 1,074,718 1,105,142


Energy: 0.25%

Cheniere Energy, Inc 1,665 116,543 168,864

Coterra Energy, Inc 2,256 46,981 42,864

Total Energy 163,524 211,728

Financials: 6.35%

Alleghany Corp 45 30,283 30,042

American Financial Group, Inc 255 33,392 35,017

Aon PLC Class A 1,140 243,115 342,638

Arthur J Gallagher & Co 3,496 419,163 593,166

Berkshire Hathaway, Inc Class B 3,500 925,041 1,046,500

Blackstone, Inc 179 20,880 23,161

Brown & Brown, Inc 5,757 276,909 404,602

Cboe Global Markets, Inc 2,216 214,714 288,966

CME Group, Inc 1,653 317,744 377,644

Erie Indemnity Co Class A 963 201,014 185,532

FactSet Research Systems, Inc 102 47,193 49,573

Intercontinental Exchange, Inc 3,237 387,658 442,724

MarketAxess Holdings, Inc 211 82,780 86,778

Marsh & McLennan Cos, Inc 4,562 551,880 792,967

Nasdaq, Inc 596 109,334 125,166

Progressive Corp 3,470 302,662 356,195

Raymond James Financial, Inc 174 14,959 17,470

Tradeweb Markets, Inc Class A 59 3,840 5,908

Travelers Cos Inc 254 36,110 39,733

Willis Towers Watson PLC 724 154,195 171,943


Health care: 17.20%

Abbott Laboratories 2,205 264,930 310,332



December 31, 2021


Shares CostFair


AbbVie, Inc 98 $ 10,782 $ 13,269

Amgen, Inc 1,681 385,689 378,175

Avantor, Inc 465 18,458 19,595

Baxter International, Inc 4,974 387,794 426,968

Becton Dickinson and Co 2,332 584,208 586,451

BioMarin Pharmaceutical, Inc 2,781 232,646 245,701

Bio-Rad Laboratories, Inc Class A 333 210,248 251,605

Bio-Techne Corp 15 7,053 7,760

Boston Scientific Corp 477 19,693 20,263

Bristol-Myers Squibb Co 3,595 225,240 224,148

Charles River Laboratories

International, Inc 46 16,425 17,332

Cooper Cos, Inc 539 202,694 225,809

Danaher Corp 3,225 789,621 1,061,057

DENTSPLY SIRONA, Inc 409 23,409 22,818

Eli Lilly & Co 2,682 539,425 740,822

Gilead Sciences, Inc 16,363 1,068,448 1,188,118

Henry Schein, Inc 32 2,424 2,481

Hologic, Inc 13 978 995

Horizon Therapeutics PLC 2,864 260,151 308,625

Humana, Inc 176 75,619 81,639

Incyte Corp 4,439 381,873 325,823

IQVIA Holdings, Inc 9 2,422 2,539

Jazz Pharmaceuticals PLC 61 9,548 7,771

Johnson & Johnson 8,097 1,304,085 1,385,154

Masimo Corp 740 193,018 216,657

Medtronic PLC 3,311 372,289 342,523

Merck & Co, Inc 13,249 986,480 1,015,403

Molina Healthcare, Inc 107 24,887 34,035

Neurocrine Biosciences, Inc 1,498 123,648 127,585

Pfizer, Inc 16,487 592,249 973,557

Quest Diagnostics, Inc 154 24,290 26,644

Regeneron Pharmaceuticals, Inc 1,877 941,924 1,185,363

Seagen, Inc 2,465 368,261 381,089

Thermo Fisher Scientific, Inc 371 236,355 247,546

UnitedHealth Group, Inc 1,321 444,426 663,327

Veeva Systems, Inc Class A 161 46,377 41,132

Vertex Pharmaceuticals, Inc 4,591 983,017 1,008,184

Waters Corp 79 27,295 29,435

West Pharmaceutical Services, Inc 341 113,498 159,932

Zoetis, Inc 1,486 242,162 362,629


Industrials: 9.12%

3M Co 1,771 318,361 314,583

AMERCO 351 200,169 254,907

Booz Allen Hamilton Holding

Corp Class A 2,857 235,035 242,245

CH Robinson Worldwide, Inc 5,296 460,495 570,009

Eaton Corp PLC 250 37,723 43,205



December 31, 2021


Shares CostFair


Emerson Electric Co 296 $ 27,195 $ 27,519

Expeditors International of

Washington, Inc 6,437 803,676 864,425

General Dynamics Corp 362 68,428 75,466

Honeywell International, Inc 814 162,232 169,727

Huntington Ingalls Industries, Inc 279 57,547 52,101

Jacobs Engineering Group, Inc 174 24,625 24,226

JB Hunt Transport Services, Inc 228 37,644 46,603

Knight-Swift Transportation

Holdings, Inc 533 26,054 32,481

Lockheed Martin Corp 83 27,368 29,499

Northrop Grumman Corp 216 70,602 83,607

Old Dominion Freight Line, Inc 1,910 477,554 684,506

Otis Worldwide Corp 647 48,987 56,334

Pentair PLC 455 32,895 33,229

Republic Services, Inc Class A 8,643 793,455 1,205,266

Robert Half International, Inc 660 63,506 73,603

Rollins, Inc 5,828 201,083 199,376

United Parcel Service, Inc Class B 753 151,402 161,398

Verisk Analytics, Inc 589 118,706 134,722

Waste Connections, Inc 8,120 822,631 1,106,512

Waste Management, Inc 7,738 882,123 1,291,472



Accenture PLC Class A 3,486 870,508 1,445,121

Adobe, Inc 1,714 830,101 971,941

Akamai Technologies, Inc 4,068 456,297 476,119

Amphenol Corp Class A 6,212 399,004 543,302

Analog Devices, Inc 32 5,878 5,625

Apple, Inc 597 93,730 106,009

Arista Networks, Inc 578 47,821 83,088

Arrow Electronics, Inc 1,330 158,880 178,579

Automatic Data Processing, Inc 2,288 396,577 564,175

Bentley Systems, Inc Class B 71 3,704 3,431

Black Knight, Inc 4,315 370,912 357,670

Broadcom, Inc 363 170,501 241,544


Inc 2,394 359,089 437,671

CDW Corp 90 15,662 18,430

Cisco Systems, Inc 19,773 1,033,242 1,253,015

Citrix Systems, Inc 4,615 615,913 436,533

Cognizant Technology Solutions

Corp Class A 4,683 362,006 415,476

Dropbox, Inc Class A 3,088 88,445 75,780

Dynatrace, Inc 14 877 845

EPAM Systems, Inc 747 368,260 499,332

Fair Isaac Corp 59 23,844 25,587

Fidelity National Information

Services, Inc 1,596 209,281 174,203



December 31, 2021


Shares CostFair


Fiserv, Inc 2,819 $ 308,873 $ 292,584

Fortinet, Inc 401 95,563 144,119

Gartner, Inc 144 35,780 48,142

Intel Corp 1,344 70,963 69,216


Corp 1,695 199,674 226,554

Intuit, Inc 475 181,706 305,529

Jack Henry & Associates, Inc 3,175 481,791 530,193

Juniper Networks, Inc 4,582 118,987 163,623

Keysight Technologies, Inc 4,270 613,798 881,798

Mastercard, Inc Class A 1,436 478,587 515,984

Microsoft Corp 3,647 895,190 1,226,559

Motorola Solutions, Inc 3,656 662,437 993,335

NortonLifeLock, Inc 5,281 114,525 137,200

ON Semiconductor Corp 223 9,095 15,146

Oracle Corp 11,444 751,694 998,031

Palo Alto Networks, Inc 268 104,588 149,212

Paychex, Inc 8,945 818,468 1,220,992

PTC, Inc 24 2,896 2,908

Skyworks Solutions, Inc 71 11,433 11,015

SS&C Technologies Holdings, Inc 493 35,434 40,416

Synopsys, Inc 2 515 737

Texas Instruments, Inc 3,858 699,689 727,117

Tyler Technologies, Inc 1,446 619,952 777,876

VeriSign, Inc 3,026 680,711 768,059

Visa, Inc Class A 4,473 902,439 969,344

VMware, Inc Class A 806 100,302 93,399

Western Union Co 15,001 337,524 267,618

Zebra Technologies Corp Class A 296 149,504 176,179

Zoom Video Communications, Inc

Class A 1,060 361,430 194,945

Zscaler, Inc 580 113,677 186,371


Materials: 1.39%

Air Products and Chemicals, Inc 507 145,360 154,260

Amcor PLC 2,854 33,006 34,277

CF Industries Holdings, Inc 191 11,246 13,519

Linde PLC 89 29,061 30,832

Mosaic Co 659 22,846 25,892

Newmont Corp 14,654 863,051 908,841

Packaging Corp of America 114 14,990 15,521


Real estate: 2.77%

American Tower Corp REIT 609 148,973 178,132

Camden Property Trust REIT 240 35,152 42,883

CBRE Group, Inc Class A REIT 111 11,400 12,045

Crown Castle International Corp

REIT 2,218 363,019 462,985

Equinix, Inc REIT 40 31,952 33,834



December 31, 2021


Shares CostFair


Equity Residential REIT 388 $ 33,615 $ 35,114

Extra Space Storage, Inc REIT 604 70,842 136,945

Iron Mountain, Inc REIT 370 16,860 19,362


Communities, Inc REIT 301 59,971 69,061

Public Storage REIT 2,842 659,938 1,064,500

Regency Centers Corp REIT 49 3,583 3,692

SBA Communications Corp

Class A REIT 784 269,060 304,992


Utilities: 7.36%

Alliant Energy Corp 2,286 119,982 140,520

Ameren Corp 1,731 150,086 154,076

American Electric Power Co, Inc 3,100 252,767 275,807

American Water Works Co, Inc 333 53,918 62,890

CenterPoint Energy, Inc 273 5,801 7,619

CMS Energy Corp 2,548 145,613 165,747

Consolidated Edison, Inc 8,280 584,071 706,450

Dominion Energy, Inc 3,593 262,826 282,266

DTE Energy Co 74 7,719 8,846

Duke Energy Corp 7,193 727,214 754,546

Essential Utilities, Inc 27 1,254 1,450

Evergy, Inc 1,339 82,660 91,869

Eversource Energy 1,727 151,512 157,123

Exelon Corp 653 31,258 37,717

FirstEnergy Corp 1,175 43,850 48,868

NextEra Energy, Inc 12,831 1,069,817 1,197,902


Inc 488 29,202 32,564

Southern Co 10,756 640,219 737,647

UGI Corp 827 36,797 37,968

WEC Energy Group, Inc 7,099 630,076 689,100

Xcel Energy, Inc 10,158 644,697 687,697






Fund S(1) 0.05%(2) 621,047 621,047 621,047

Total Short-term investments 621,047 621,047




December 31, 2021





10 S&P 500 E-Mini Index March 2022 $ 2,379,250 $ 17,626





December 31, 2021


Shares CostFair



AMC Entertainment Holdings, Inc

Class A 192,511 $ 7,802,570 $ 5,236,299

AMC Networks, Inc Class A 35,510 1,578,371 1,222,964

ATN International, Inc 2,758 107,217 110,182

Boston Omaha Corp Class A 1,882 56,413 54,070

Cargurus, Inc 44,355 1,279,520 1,492,102

Cars.com, Inc 110,737 1,445,865 1,781,758

Chicken Soup For The Soul

Entertainment, Inc 18,461 695,081 255,500

Cinemark Holdings, Inc 36,012 523,753 580,514

Clear Channel Outdoor Holdings,

Inc 25,556 70,662 84,590

Cogent Communications

Holdings, Inc 15,129 1,144,487 1,107,140

Consolidated Communications

Holdings, Inc 20,184 153,930 150,976

CuriosityStream, Inc 65,409 663,572 387,875

EchoStar Corp Class A 45,894 1,196,681 1,209,307

Entercom Communications Corp 44,747 181,038 115,000

Entravision Communications Corp

Class A 103,305 595,486 700,408

Eventbrite, Inc Class A 8,153 142,622 142,188

EverQuote, Inc Class A 6,386 181,052 100,005

EW Scripps Co Class A 36,032 708,401 697,219

Fluent, Inc 127,107 351,205 252,943

fuboTV, Inc 33,891 926,064 525,988

Gannett Co, Inc 51,746 349,672 275,806

Globalstar, Inc 334,143 592,667 387,606

Gogo, Inc 29,413 350,510 397,958

Gray Television, Inc 31,613 506,846 637,318

Hemisphere Media Group, Inc 5,992 70,422 43,562

IDT Corp Class B 39,383 710,033 1,739,153

iHeartMedia, Inc Class A 55,373 1,344,973 1,165,048

IMAX Corp 16,930 370,244 302,031

Iridium Communications, Inc 35,917 1,590,831 1,483,013

John Wiley & Sons, Inc Class A 22,430 1,251,189 1,284,566

Liberty Latin America Ltd Class A 78,017 1,074,661 909,678

Liberty Latin America Ltd Class C 59,736 827,834 680,990

Lions Gate Entertainment Corp

Class B 90,953 1,515,947 1,399,767

Lions Gate Entertainment Corp

Class A 79,810 1,498,167 1,328,038

LiveOne, Inc 47,273 112,262 60,510

Madison Square Garden

Entertainment Corp 3,933 317,639 276,647

Magnite, Inc 24,080 850,188 421,400

Marcus Corp 31,149 597,486 556,321

MediaAlpha, Inc Class A 7,468 284,844 115,306


Wells Fargo Factor Enhanced U.S. Small Cap Equity CITSchedule of Investments

December 31, 2021


Shares CostFair


Ooma, Inc 27,268 $ 441,522 $ 557,358

Outbrain, Inc 4,729 71,576 66,206

QuinStreet, Inc 33,234 557,516 604,527

Radius Global Infrastructure, Inc

Class A 45,124 703,185 726,496

Scholastic Corp 5,216 193,227 208,431

Shenandoah Telecommunications

Co 8,397 403,237 214,124

Sinclair Broadcast Group, Inc

Class A 3,637 113,602 96,126

Stagwell, Inc 92,614 614,225 802,963

TechTarget, Inc 2,512 118,149 240,298

TEGNA, Inc 104,449 1,648,768 1,938,574

Telephone and Data Systems, Inc 44,793 1,001,083 902,579

Thryv Holdings, Inc 26,527 1,017,475 1,091,056

TrueCar, Inc 11,085 58,058 37,689

United States Cellular Corp 6,172 222,368 194,542

WideOpenWest, Inc 15,792 168,213 339,844

Yelp, Inc 32,136 1,096,546 1,164,609

Ziff Davis, Inc 21,218 2,121,236 2,352,228

Total Communication

services 44,570,391 41,209,396


1-800-Flowers.com, Inc Class A 35,662 991,854 833,421

2U, Inc 24,845 954,035 498,639

Aaron's Co, Inc 25,935 726,958 639,298

Abercrombie & Fitch Co Class A 20,539 827,755 715,373

Academy Sports & Outdoors, Inc 35,703 1,427,862 1,567,362

Acushnet Holdings Corp 9,386 472,387 498,209

Adient PLC 33,061 1,075,464 1,582,961

Adtalem Global Education, Inc 18,066 711,254 534,031

American Axle & Manufacturing

Holdings, Inc 115,922 1,104,718 1,081,552

American Eagle Outfitters, Inc 41,985 1,174,989 1,063,060

American Outdoor Brands, Inc 5,971 148,581 119,002

American Public Education, Inc 6,491 178,012 144,425

Arko Corp 41,930 431,913 367,726

Asbury Automotive Group, Inc 6,705 587,694 1,158,155

Bally's Corp 11,441 552,905 435,444

Bassett Furniture Industries, Inc 19,848 398,970 332,851

Beazer Homes USA, Inc 34,738 624,680 806,616

Bed Bath & Beyond, Inc 35,806 538,343 522,052

Big 5 Sporting Goods Corp 19,524 484,170 371,151

Big Lots, Inc 10,358 557,828 466,628

Biglari Holdings, Inc Class B 3,398 565,260 484,453

BJ's Restaurants, Inc 7,704 369,599 266,173

Bloomin' Brands, Inc 85,808 1,793,252 1,800,252

Bluegreen Vacations Holding

Corp 18,778 388,356 659,108



December 31, 2021


Shares CostFair


Boot Barn Holdings, Inc 8,498 $ 612,023 $ 1,045,679

Brinker International, Inc 32,192 1,074,764 1,177,905

Buckle, Inc 9,622 289,581 407,107

Caleres, Inc 16,238 384,905 368,278

Callaway Golf Co 8,125 265,569 222,950

Camping World Holdings, Inc

Class A 11,974 359,030 483,750

Canoo, Inc 189,732 1,366,957 1,464,731

CarParts.com, Inc 29,204 414,532 327,085

Carriage Services, Inc 15,951 564,873 1,027,882

Carrols Restaurant Group, Inc 11,713 74,199 34,670

Cato Corp Class A 14,248 274,073 244,496

Cavco Industries, Inc 1,961 488,094 622,912

Century Communities, Inc 18,466 609,614 1,510,334

Cheesecake Factory, Inc 19,726 875,204 772,273

Chico's FAS, Inc 35,992 165,758 193,637

Children's Place Inc/The 5,068 422,187 401,842

Chuy's Holdings, Inc 9,010 239,270 271,381

Citi Trends, Inc 4,480 363,457 424,480

Conn's, Inc 15,136 340,587 355,999

Container Store Group, Inc 4,463 50,448 44,541

Cracker Barrel Old Country Store,

Inc 9,052 1,267,748 1,164,449

Crocs, Inc 20,697 1,632,563 2,653,769

Dana, Inc 56,726 873,601 1,294,487

Dave & Buster's Entertainment,

Inc 17,758 670,678 681,907

Del Taco Restaurants, Inc 74,072 699,311 922,196

Denny's Corp 42,025 643,182 672,400

Designer Brands, Inc Class A 1,090 14,917 15,489

Dillard's, Inc Class A 5,148 539,396 1,261,363

Dine Brands Global, Inc 9,092 765,038 689,265

Dorman Products, Inc 2,434 187,298 275,066

Drive Shack, Inc 31,511 83,387 45,061

Duluth Holdings, Inc Class B 38,373 519,342 582,502

El Pollo Loco Holdings, Inc 23,234 330,301 329,690

Escalade, Inc 11,436 234,534 180,574

Ethan Allen Interiors, Inc 29,544 703,748 776,712

European Wax Center, Inc Class A 5,619 163,422 170,537

Everi Holdings, Inc 45,997 667,106 982,036

F45 Training Holdings, Inc 15,747 250,040 171,485

Fiesta Restaurant Group, Inc 25,303 350,744 278,586

Fisker, Inc 7,900 169,020 124,267

Flexsteel Industries, Inc 6,477 236,407 173,972

Fox Factory Holding Corp 9,927 1,353,064 1,688,583

Full House Resorts, Inc 22,718 200,523 275,115

Funko, Inc Class A 28,164 590,684 529,483

Genesco, Inc 7,150 441,381 458,816

Gentherm, Inc 10,077 575,547 875,691



December 31, 2021


Shares CostFair


G-III Apparel Group Ltd 21,148 $ 561,290 $ 584,531

Golden Entertainment, Inc 21,378 866,779 1,080,230

Goodyear Tire & Rubber Co 89,326 1,447,603 1,904,430

GoPro, Inc Class A 48,183 429,213 496,767

Graham Holdings Co Class B 2,838 1,867,135 1,787,458

Green Brick Partners, Inc 10,161 160,808 308,183

Group 1 Automotive, Inc 8,534 847,426 1,666,008

Groupon, Inc 8,891 270,828 205,916

Guess?, Inc 4,576 115,034 108,360

Hall of Fame Resort &

Entertainment Co 17,932 46,514 27,257

Hamilton Beach Brands Holding

Co Class A 18,496 354,781 265,603

Haverty Furniture Cos, Inc 1,439 39,077 43,990

Helen of Troy Ltd 4,716 1,167,083 1,152,921

Hibbett, Inc 12,751 632,718 917,179

Hilton Grand Vacations, Inc 13,945 432,152 726,674

Hooker Furnishings Corp 6,660 209,095 155,045

Houghton Mifflin Harcourt Co 96,762 906,658 1,557,868

Installed Building Products, Inc 2,239 234,740 312,833

International Game Technology

PLC 15,606 250,184 451,169

iRobot Corp 2,755 227,507 181,499

Jack in the Box, Inc 8,284 683,945 724,684

JOANN, Inc 4,495 68,027 46,658

Johnson Outdoors, Inc Class A 997 117,508 93,409

KB Home 27,498 1,150,942 1,229,986

Kirkland's, Inc 26,737 573,839 399,183

Kontoor Brands, Inc 19,513 836,084 1,000,041

Kura Sushi USA, Inc Class A 5,907 291,068 477,522

Lands' End, Inc 30,020 687,927 589,293

Laureate Education, Inc Class A 43,389 306,049 531,081

La-Z-Boy, Inc 3,609 147,445 131,043

Lazydays Holdings, Inc 12,792 267,284 275,540

LCI Industries 6,637 688,984 1,034,509

LGI Homes, Inc 6,844 800,861 1,057,261

Lifetime Brands, Inc 8,047 120,325 128,511

Liquidity Services, Inc 28,694 463,197 633,564

Lordstown Motors Corp Class A 36,554 323,675 126,111

Lovesac Co 890 56,791 58,971

M/I Homes, Inc 16,602 629,696 1,032,312

Macy's, Inc 115,786 2,180,537 3,031,278

Malibu Boats, Inc Class A 8,268 480,255 568,260

MarineMax, Inc 11,561 425,692 682,561

MasterCraft Boat Holdings, Inc 31,924 830,227 904,407

MDC Holdings, Inc 17,722 569,158 989,419

Meritage Homes Corp 12,256 1,155,759 1,495,967

Modine Manufacturing Co 18,670 233,814 188,380

Monarch Casino & Resort, Inc 2,145 127,774 158,623



December 31, 2021


Shares CostFair


Movado Group, Inc 20,841 $ 682,734 $ 871,779

Murphy USA, Inc 5,039 683,266 1,003,970

Nathan's Famous, Inc 4,539 291,746 265,032

National Vision Holdings, Inc 10,147 466,179 486,955

Nautilus, Inc 11,441 198,351 70,133

Noodles & Co 30,646 293,874 277,959

ODP Corp 16,829 512,625 661,043

ONE Group Hospitality Inc/The 44,452 498,738 560,540

OneWater Marine, Inc Class A 3,784 141,822 230,711

Overstock.com, Inc 18,469 835,711 1,089,856

Oxford Industries, Inc 7,844 742,272 796,323

Papa John's International, Inc 11,838 889,150 1,580,018

Party City Holdco, Inc 47,536 405,985 264,776

Patrick Industries, Inc 9,946 579,541 802,543

Perdoceo Education Corp 91,510 1,130,179 1,076,158

PetMed Express, Inc 7,420 209,731 187,429

Quotient Technology, Inc 1,236 13,479 9,171

RCI Hospitality Holdings, Inc 8,320 460,158 647,962

Red Robin Gourmet Burgers, Inc 19,981 396,875 330,286

Red Rock Resorts, Inc Class A 29,934 730,592 1,646,669

Regis Corp 8,941 27,684 15,557

Rent-A-Center, Inc 15,353 625,855 737,558

Revolve Group, Inc 25,239 1,792,083 1,414,394

Rocky Brands, Inc 403 13,094 16,039

Rush Street Interactive, Inc 18,102 214,317 298,683

Ruth's Hospitality Group, Inc 12,425 257,278 247,258

Sally Beauty Holdings, Inc 47,882 821,529 883,902

Scientific Games Corp Class A 25,435 1,035,257 1,699,821

SeaWorld Entertainment, Inc 7,962 417,985 516,415

Shake Shack, Inc Class A 5,187 646,548 374,294

Shoe Carnival, Inc 7,180 210,507 280,594

Shutterstock, Inc 10,499 674,911 1,164,129

Signet Jewelers Ltd 13,742 801,066 1,195,966

Skyline Champion Corp 18,202 992,376 1,437,594

Sleep Number Corp 7,632 572,087 584,611

Smith & Wesson Brands, Inc 73,047 1,541,493 1,300,237

Snap One Holdings Corp 647 10,452 13,639

Sonic Automotive, Inc Class A 14,269 493,119 705,602

Sonos, Inc 31,046 1,186,446 925,171

Standard Motor Products, Inc 3,267 143,883 171,158

Steven Madden Ltd 24,468 975,641 1,137,028

Stitch Fix, Inc Class A 22,767 704,193 430,752

StoneMor, Inc 12,148 33,859 27,697

Strategic Education, Inc 6,633 549,946 383,653

Stride, Inc 20,585 495,723 686,098

Sturm Ruger & Co, Inc 12,392 825,051 842,904

Target Hospitality Corp 31,083 114,879 110,655

Taylor Morrison Home Corp 38,021 1,050,992 1,329,214



December 31, 2021


Shares CostFair


Tenneco, Inc Class A 70,633 $ 951,596 $ 798,153

Texas Roadhouse, Inc 20,190 1,542,313 1,802,563

Tilly's, Inc Class A 20,115 287,308 324,053

Traeger, Inc 8,553 175,242 104,004

Tri Pointe Homes, Inc 45,652 798,336 1,273,234

Tupperware Brands Corp 33,897 762,329 518,285

Unifi, Inc 6,383 154,525 147,766

Universal Electronics, Inc 4,759 217,179 193,929

Urban Outfitters, Inc 10,951 424,004 321,521

Vera Bradley, Inc 9,080 101,037 77,271

Vista Outdoor, Inc 34,595 778,720 1,593,792

Visteon Corp 7,665 594,730 851,888

VOXX International Corp 26,185 313,209 266,301

Wingstop, Inc 7,471 1,165,996 1,290,989

Winmark Corp 1,445 303,987 358,779

Winnebago Industries, Inc 44,401 3,115,841 3,326,523

Wolverine World Wide, Inc 11,710 404,797 337,365

Workhorse Group, Inc 45,389 370,095 197,896

WW International, Inc 19,386 573,727 312,696

XPEL, Inc 3,743 216,309 255,572

Zumiez, Inc 2,160 65,820 103,658



Andersons, Inc 17,193 473,912 665,541

AppHarvest, Inc 25,130 310,099 97,756

B&G Foods, Inc 26,991 810,698 829,433

Beauty Health Co 47,849 1,062,764 1,156,032

BJ's Wholesale Club Holdings, Inc 44,604 2,232,482 2,987,130

Calavo Growers, Inc 5,928 457,591 251,347

Cal-Maine Foods, Inc 8,153 286,048 301,579

Celsius Holdings, Inc 15,412 431,519 1,149,273

Central Garden & Pet Co 17,782 960,649 935,867

Central Garden & Pet Co Class A 9,446 424,681 451,991

Coca-Cola Consolidated, Inc 3,689 1,026,432 2,284,192

Duckhorn Portfolio Inc/The 4,876 102,225 113,806

Edgewell Personal Care Co 22,318 708,585 1,020,156

elf Beauty, Inc 11,928 344,593 396,129

Energizer Holdings, Inc 19,900 832,802 797,990

Fresh Del Monte Produce, Inc 27,320 830,849 754,032

Hostess Brands, Inc 69,621 1,066,376 1,421,661

Ingles Markets, Inc Class A 9,662 647,720 834,217

Inter Parfums, Inc 6,834 502,048 730,555

J & J Snack Foods Corp 5,496 797,079 868,148

John B Sanfilippo & Son, Inc 11,126 857,038 1,003,120

Lancaster Colony Corp 6,372 1,152,039 1,055,203

Landec Corp 37,523 407,315 416,505

Limoneira Co 3,724 59,644 55,860

Medifast, Inc 7,026 1,103,547 1,471,455



December 31, 2021


Shares CostFair


MGP Ingredients, Inc 8,322 $ 525,500 $ 707,287

Mission Produce, Inc 19,305 348,846 303,088

National Beverage Corp 12,090 556,609 548,040

Natural Grocers by Vitamin

Cottage, Inc 4,573 49,215 65,165

Nature's Sunshine Products, Inc 8,229 138,479 152,236

NewAge, Inc 50,631 95,355 52,150

Nu Skin Enterprises, Inc Class A 18,353 1,033,038 931,415

Oil-Dri Corp of America 4,475 156,715 146,467

Performance Food Group Co 45,627 2,250,333 2,093,823

PriceSmart, Inc 4,899 410,587 358,460

Primo Water Corp 44,475 735,792 784,094

Rite Aid Corp 19,246 351,972 282,724

Seneca Foods Corp Class A 12,177 524,934 583,887

Simply Good Foods Co 22,487 830,176 934,785

SpartanNash Co 20,702 403,103 533,283

Sprouts Farmers Market, Inc 41,831 1,095,523 1,241,544

Tattooed Chef, Inc 13,390 267,517 208,081

Tootsie Roll Industries, Inc 10,198 317,025 369,474

TreeHouse Foods, Inc 18,116 839,797 734,241

Turning Point Brands, Inc 4,551 214,382 171,937

United Natural Foods, Inc 34,714 1,004,156 1,703,763

Universal Corp 551 30,247 30,261

USANA Health Sciences, Inc 7,998 718,597 809,398

Vector Group Ltd 94,618 918,422 1,086,215

WD-40 Co 4,049 873,696 990,547

Weis Markets, Inc 906 48,919 59,687

Zevia PBC Class A 6,316 80,198 44,528


Energy: 3.86%

Alto Ingredients, Inc 67,577 360,605 325,045

Altus Midstream Co Class A 6,022 389,819 369,209

Antero Resources Corp 106,252 1,044,210 1,859,410

Arch Resources, Inc 12,253 811,085 1,118,944

Archrock, Inc 48,394 408,534 361,987

Aspen Aerogels, Inc 3,891 144,231 193,733

Berry Corp 10,431 77,709 87,829

Brigham Minerals, Inc Class A 5,838 119,183 123,123

Bristow Group, Inc 5,455 166,631 172,760

Cactus, Inc Class A 14,448 386,881 550,902

California Resources Corp 30,241 913,110 1,291,593

Callon Petroleum Co 22,573 1,195,785 1,066,574

Centennial Resource

Development, Inc Class A 152,731 1,053,650 913,331

Centrus Energy Corp Class A 4,842 120,988 241,664

ChampionX Corp 54,869 1,180,347 1,108,903

Chesapeake Energy Corp 34,781 1,952,319 2,244,070

Civitas Resources, Inc 12,674 418,504 620,646

Clean Energy Fuels Corp 55,595 449,486 340,797



December 31, 2021


Shares CostFair


CNX Resources Corp 54,411 $ 632,464 $ 748,151

CONSOL Energy, Inc 29,376 544,637 667,129

CVR Energy, Inc 3,446 58,461 57,927

Delek US Holdings, Inc 14,743 342,464 220,998

Denbury, Inc 19,788 1,441,510 1,515,563

DHT Holdings, Inc 51,313 337,860 266,315

Dorian LPG Ltd 34,722 367,495 440,622

Earthstone Energy, Inc Class A 22,318 207,517 244,159

Equitrans Midstream Corp 105,706 950,634 1,093,000

Expro Group Holdings NV 8,667 151,912 124,372

Falcon Minerals Corp 49,207 229,738 239,638

FTS International, Inc Class A 25,622 659,625 672,578

Golar LNG Ltd 15,618 205,306 193,507

Green Plains, Inc 8,813 170,495 306,340

Helix Energy Solutions Group, Inc 11,518 45,619 35,936

Helmerich & Payne, Inc 15,402 491,709 365,027

Kosmos Energy Ltd 243,907 725,064 843,918

Laredo Petroleum, Inc 17,152 1,093,744 1,031,350

Magnolia Oil & Gas Corp Class A 103,671 1,464,663 1,956,272

Matador Resources Co 39,538 923,009 1,459,743

Murphy Oil Corp 42,003 1,058,421 1,096,698

National Energy Services Reunited

Corp 13,965 138,338 131,969

Newpark Resources, Inc 72,044 213,566 211,809

NexTier Oilfield Solutions, Inc

Class I 95,356 430,422 338,514

Northern Oil and Gas, Inc 25,390 566,488 522,526

Oasis Petroleum, Inc 7,486 751,115 943,161

Oceaneering International, Inc 65,773 659,924 743,893

Oil States International, Inc 49,100 293,807 244,027

Ovintiv, Inc 88,658 2,033,281 2,987,775

Par Pacific Holdings, Inc 8,132 124,835 134,097

Patterson-UTI Energy, Inc 40,376 374,855 341,177

PBF Energy, Inc Class A 28,824 393,103 373,847

PDC Energy, Inc 26,461 779,497 1,290,768

Peabody Energy Corp 31,721 451,092 319,431

ProPetro Holding Corp 34,619 287,470 280,414

Range Resources Corp 62,424 467,043 1,113,020

Ranger Oil Corp Class A 5,048 68,502 135,892

Renewable Energy Group, Inc 13,328 527,159 565,640

REX American Resources Corp 2,196 171,900 210,816

RPC, Inc 12,388 61,740 56,242

Scorpio Tankers, Inc 9,939 182,562 127,319

Select Energy Services, Inc

Class A 13,049 76,379 81,295

SM Energy Co 49,860 715,963 1,469,873

Southwestern Energy Co 213,061 875,935 992,864

Teekay Tankers Ltd Class A 1 13 11

Tellurian, Inc 84,675 363,245 260,799



December 31, 2021


Shares CostFair


TETRA Technologies, Inc 258,973 $ 935,333 $ 735,483

US Silica Holdings, Inc 31,918 336,096 300,029

W&T Offshore, Inc 27,847 101,228 89,946

Whiting Petroleum Corp 33,019 1,939,289 2,135,669

World Fuel Services Corp 23,186 693,641 613,733

Total Energy 38,309,245 44,321,802

Financials: 13.40%

1st Source Corp 9,922 466,956 492,131

A-Mark Precious Metals, Inc 7,632 247,684 466,315

Amerant Bancorp, Inc 9,377 240,424 323,975

American Equity Investment Life

Holding Co 39,404 1,207,726 1,533,604

American National Bankshares,

Inc 7,355 229,261 277,136

Ameris Bancorp 27,781 1,150,802 1,380,160

AMERISAFE, Inc 10,442 637,121 562,093

Apollo Commercial Real Estate

Finance, Inc 37,944 556,894 499,343

Arbor Realty Trust, Inc 38,294 508,327 701,546

Ares Commercial Real Estate Corp 1,308 15,293 19,018

Argo Group International

Holdings Ltd 15,288 826,360 888,386

ARMOUR Residential REIT, Inc 44,309 472,704 434,671

Arrow Financial Corp 4,909 173,496 172,944

Artisan Partners Asset

Management, Inc Class A 22,212 794,585 1,058,180

Associated Banc-Corp 56,256 1,140,867 1,270,823

Associated Capital Group, Inc

Class A 4,826 188,682 207,518

Atlantic Union Bankshares Corp 25,933 819,911 967,042

Atlanticus Holdings Corp 8,529 411,283 608,288

Axos Financial, Inc 16,613 511,964 928,833

Banc of California, Inc 25,426 486,365 498,858

BancFirst Corp 439 27,702 30,976

Banco Latinoamericano de

Comercio Exterior SA Class E 3,719 66,672 61,735

Bancorp, Inc 28,370 486,709 718,045

Bank of NT Butterfield & Son

Ltd/The 14,431 470,807 549,965

BankUnited, Inc 34,068 921,281 1,441,417

Banner Corp 11,413 588,075 692,427

Bar Harbor Bankshares 1,053 30,089 30,463

Berkshire Hills Bancorp, Inc 23,749 643,427 675,184

BGC Partners, Inc Class A 131,669 525,518 612,261

Blackstone Mortgage Trust, Inc

Class A 35,207 994,973 1,078,038

Blucora, Inc 794 13,565 13,752

Blue Foundry Bancorp 10,092 139,140 147,646

Blue Ridge Bankshares, Inc 6,138 109,944 109,870



December 31, 2021


Shares CostFair


Brightsphere Investment Group,

Inc 32,283 $ 694,320 $ 826,445

Broadmark Realty Capital, Inc 45,084 464,425 425,142

Brookline Bancorp, Inc 37,012 542,046 599,224

Business First Bancshares, Inc 6,629 136,804 187,667

Byline Bancorp, Inc 16,088 392,787 440,007

Cadence Bank 45,440 1,238,363 1,353,658

Cambridge Bancorp 3,632 317,452 339,919

Camden National Corp 5,401 238,618 260,112

Capital Bancorp, Inc 16,984 366,428 444,981

Capstar Financial Holdings, Inc 17,523 385,995 368,509

Cathay General Bancorp 33,861 1,150,355 1,455,684

Central Pacific Financial Corp 14,090 367,165 396,915

Chimera Investment Corp 125,639 1,462,496 1,894,636

Citizens & Northern Corp 4,185 111,471 109,312

City Holding Co 4,731 340,941 386,948

Civista Bancshares, Inc 20,600 499,921 502,640

CNB Financial Corp 7,795 180,229 206,568

CNO Financial Group, Inc 62,768 1,056,610 1,496,389

Cohen & Steers, Inc 7,563 608,573 699,653

Columbia Banking System, Inc 20,900 756,872 683,848

Community Bank System, Inc 12,879 994,112 959,228

Community Trust Bancorp, Inc 7,551 330,384 329,299

ConnectOne Bancorp, Inc 28,899 751,128 945,286

Cowen, Inc Class A 9,883 187,457 356,776

Crawford & Co Class A 40,253 406,311 301,495

CrossFirst Bankshares, Inc 8,446 117,171 131,842

Curo Group Holdings Corp 7,984 115,831 127,824

Customers Bancorp, Inc 32,687 1,086,220 2,136,749

CVB Financial Corp 29,730 594,892 636,519

Diamond Hill Investment Group,

Inc 1,218 212,730 236,572

Dime Community Bancshares, Inc 6,737 229,101 236,873

Donegal Group, Inc Class A 25,378 380,082 362,652

Donnelley Financial Solutions, Inc 20,067 532,932 945,958

Dynex Capital, Inc 33,509 616,364 559,935

Eagle Bancorp, Inc 11,552 601,871 673,944

Eastern Bankshares, Inc 28,605 573,660 576,963

eHealth, Inc 3,183 136,860 81,167

Ellington Financial, Inc 32,191 575,242 550,144

Employers Holdings, Inc 19,057 790,683 788,579

Encore Capital Group, Inc 12,249 489,232 760,785

Enova International, Inc 24,947 620,743 1,021,829

Enstar Group Ltd 7,162 1,564,356 1,773,240

Enterprise Financial Services Corp 8,973 355,814 422,539

Equity Bancshares, Inc Class A 4,800 159,028 162,864

Essent Group Ltd 20,377 860,350 927,765

Farmers National Banc Corp 11,351 186,081 210,561

FB Financial Corp 3,805 117,594 166,735



December 31, 2021


Shares CostFair


Federal Agricultural Mortgage

Corp Class C 2,140 $ 225,835 $ 265,210

Federated Hermes, Inc 34,268 986,403 1,287,791

Financial Institutions, Inc 17,231 498,719 547,946

First BanCorp/Puerto Rico 75,898 755,295 1,045,874

First Bancorp/Southern Pines NC 10,275 335,374 469,773

First Bancshares, Inc 7,350 282,897 283,857

First Bank/Hamilton NJ 28,404 336,416 412,142

First Busey Corp 15,752 375,504 427,194

First Commonwealth Financial

Corp 51,956 672,388 835,972

First Community Bankshares, Inc 8,830 286,691 295,099

First Financial Bancorp 37,849 825,746 922,759

First Financial Bankshares, Inc 34,122 1,482,923 1,734,762

First Financial Corp 4,232 182,107 191,667

First Foundation, Inc 14,642 321,749 364,000

First Internet Bancorp 5,944 216,078 279,606

First Interstate BancSystem, Inc

Class A 14,266 540,017 580,198

First Merchants Corp 18,519 726,333 775,761

First of Long Island Corp 8,295 178,719 179,089

FirstCash Holdings, Inc 9,495 757,244 710,321

Flushing Financial Corp 16,631 366,697 404,133

Focus Financial Partners, Inc

Class A 10,436 528,436 623,238

FS Bancorp, Inc 9,989 287,717 335,930

Fulton Financial Corp 54,768 873,184 931,056

GAMCO Investors, Inc Class A 17,979 360,243 449,115

Genworth Financial, Inc Class A 322,927 1,199,658 1,307,854

German American Bancorp, Inc 2,711 85,651 105,675

Glacier Bancorp, Inc 30,786 1,570,759 1,745,566

Goosehead Insurance, Inc Class A 1,900 148,454 247,152

Granite Point Mortgage Trust, Inc 4,941 66,571 57,859

Great Ajax Corp 1 11 13

Great Southern Bancorp, Inc 5,667 289,884 335,770

Greenhill & Co, Inc 4,977 74,710 89,238

Greenlight Capital Re Ltd Class A 112,504 981,937 882,031

Guaranty Bancshares, Inc 24 882 902

Hamilton Lane, Inc Class A 5,147 401,648 533,332

Hancock Whitney Corp 35,378 1,508,364 1,769,608

Hanmi Financial Corp 44,925 937,361 1,063,824

Hannon Armstrong Sustainable

Infrastructure Capital, Inc 3,488 104,828 185,283

HarborOne Bancorp, Inc 18,112 247,992 268,782

HBT Financial, Inc 3,393 54,430 63,551

HCI Group, Inc 2,304 273,473 192,476

Heartland Financial USA, Inc 13,547 584,850 685,614

Heritage Financial Corp 7,722 197,315 188,726

Heritage Insurance Holdings, Inc 8,993 108,812 52,879



December 31, 2021


Shares CostFair


Hilltop Holdings, Inc 32,846 $ 792,771 $ 1,154,208

Home Bancorp, Inc 5,293 204,903 219,712

Home BancShares, Inc 46,547 749,471 1,133,419

Home Point Capital, Inc 2,686 10,996 12,087

HomeStreet, Inc 7,223 230,896 375,596

HomeTrust Bancshares, Inc 19,741 585,697 611,576

Hope Bancorp, Inc 62,443 855,460 918,537

Horace Mann Educators Corp 16,114 646,907 623,612

Horizon Bancorp, Inc/IN 15,658 260,037 326,469

Houlihan Lokey, Inc 15,390 1,198,088 1,593,173

Independent Bank Corp 11,669 872,273 951,374

Independent Bank Corp 19,282 383,235 460,261

Independent Bank Group, Inc 10,464 586,277 754,978

International Bancshares Corp 7,297 316,489 309,320

Invesco Mortgage Capital, Inc 207,539 696,092 576,958

Investors Title Co 705 131,127 138,991

Kearny Financial Corp 10,294 132,021 136,396

Kinsale Capital Group, Inc 3,253 608,342 773,856

KKR Real Estate Finance Trust,

Inc 879 15,589 18,310

Ladder Capital Corp 22,710 283,901 272,293

Lakeland Bancorp, Inc 25,853 457,444 490,948

Lakeland Financial Corp 5,365 283,190 429,951

LendingClub Corp 25,187 619,794 609,022

Live Oak Bancshares, Inc 3,631 193,260 316,950

Luther Burbank Corp 3,063 41,031 43,005

Macatawa Bank Corp 4,904 46,392 43,253

Maiden Holdings Ltd 61,773 204,942 189,025

Mercantile Bank Corp 9,152 306,633 320,595

Merchants Bancorp 3,846 120,177 182,031

Meta Financial Group, Inc 13,549 573,262 808,333

Metrocity Bankshares, Inc 18,852 309,750 518,996

Metropolitan Bank Holding Corp 2,837 173,441 302,226

MFA Financial, Inc 258,060 1,124,545 1,176,754

Mid Penn Bancorp, Inc 3,636 92,743 115,407

Midland States Bancorp, Inc 10,686 275,223 264,906

MidWestOne Financial Group, Inc

Class I 2,961 85,220 95,848

Moelis & Co Class A 25,449 1,263,860 1,590,817

Mr Cooper Group, Inc 27,067 656,109 1,126,258

MVB Financial Corp 2,668 113,900 110,775

National Bank Holdings Corp

Class A 9,237 303,563 405,874

Navient Corp 82,286 1,096,574 1,746,109

NBT Bancorp, Inc 16,454 630,397 633,808

Nelnet, Inc Class A 9,358 570,021 914,089

New York Mortgage Trust, Inc 139,567 583,147 519,189

Nicolet Bankshares, Inc 3,799 248,336 325,764

NMI Holdings, Inc Class A 28,186 606,443 615,864



December 31, 2021


Shares CostFair


Northfield Bancorp, Inc 13,198 $ 231,329 $ 213,280

Northrim BanCorp, Inc 10,482 427,886 455,548

Northwest Bancshares, Inc 21,139 287,778 299,328

OceanFirst Financial Corp 12,362 268,137 274,436

Ocwen Financial Corp 2,891 80,172 115,553

OFG Bancorp 29,921 691,499 794,702

Old National Bancorp 58,265 963,078 1,055,762

Old Second Bancorp, Inc 9,703 109,387 122,161

Open Lending Corp Class A 11,925 487,999 268,074

Oportun Financial Corp 461 11,707 9,335

Origin Bancorp, Inc 8,557 361,368 367,266

Orrstown Financial Services, Inc 15,847 349,351 399,344

Pacific Premier Bancorp, Inc 25,395 1,074,740 1,016,562

Park National Corp 5,043 501,209 692,454

Peapack-Gladstone Financial Corp 6,585 221,064 233,109

PennyMac Financial Services, Inc 8,338 306,053 581,826

PennyMac Mortgage Investment

Trust 18,790 358,007 325,631

Peoples Bancorp, Inc/OH 9,296 285,262 295,706

Piper Sandler Cos 6,726 808,288 1,200,658

PJT Partners, Inc Class A 6,759 339,672 500,774

PRA Group, Inc 7,044 285,968 353,679

Preferred Bank/Los Angeles CA 7,280 436,187 522,631

Premier Financial Corp 10,434 287,897 322,515

Primis Financial Corp 8,796 132,712 132,292

ProAssurance Corp 5,423 125,955 137,202

PROG Holdings, Inc 24,432 1,106,108 1,102,128

Provident Financial Services, Inc 18,276 417,186 442,645

Pzena Investment Management,

Inc Class A 58,261 529,151 551,732

QCR Holdings, Inc 13,608 590,446 762,048

Radian Group, Inc 68,821 1,387,818 1,454,188

RBB Bancorp 22,890 521,393 599,718

Redwood Trust, Inc 89,714 1,003,376 1,183,328

Regional Management Corp 23,294 1,195,574 1,338,473

Renasant Corp 15,684 528,739 595,208

Republic Bancorp, Inc Class A 4,483 207,410 227,916

RLI Corp 12,158 1,265,231 1,362,912

S&T Bancorp, Inc 18,627 562,783 587,123

Safety Insurance Group, Inc 10,910 910,823 927,677

Sandy Spring Bancorp, Inc 22,589 939,008 1,086,079

Sculptor Capital Management, Inc 26,962 618,645 575,639

Seacoast Banking Corp of Florida 13,250 349,985 468,918

Selective Insurance Group, Inc 25,146 1,779,530 2,060,463

Selectquote, Inc 36,885 975,278 334,178

ServisFirst Bancshares, Inc 14,500 640,963 1,231,630

Sierra Bancorp 4,958 118,723 134,610

Silvergate Capital Corp Class A 5,457 651,680 808,727



December 31, 2021


Shares CostFair


Simmons First National Corp

Class A 35,459 $ 834,826 $ 1,048,877

SiriusPoint Ltd 54,183 491,264 440,508

SmartFinancial, Inc 5,071 132,925 138,743

South Plains Financial, Inc 13,184 290,992 366,647

Southern First Bancshares, Inc 11,682 615,185 730,008

Southern Missouri Bancorp, Inc 7,359 330,741 383,919

Southside Bancshares, Inc 14,616 569,090 611,241

SouthState Corp 15,894 1,272,803 1,273,268

StepStone Group, Inc Class A 9,555 368,338 397,201

Stewart Information Services,

Corp 22,348 1,071,635 1,781,806

Stock Yards Bancorp, Inc 2,003 122,694 127,952

StoneX Group, Inc 10,286 636,492 630,017

Summit Financial Group, Inc 5,898 133,338 161,900

Texas Capital Bancshares, Inc 14,024 882,303 844,946

Tompkins Financial Corp 3,730 298,959 311,753

Towne Bank 26,938 755,089 850,971

TPG RE Finance Trust, Inc 9,775 126,173 120,428

Trean Insurance Group, Inc 6,600 55,494 58,806

TriCo Bancshares 9,607 401,040 412,717

Triumph Bancorp, Inc 6,683 296,285 795,812

Trupanion, Inc 6,602 551,480 871,662

Trustmark Corp 21,993 661,727 713,893

Two Harbors Investment Corp 159,113 1,055,241 918,082

United Bankshares, Inc 34,377 1,154,845 1,247,198

United Community Banks, Inc 25,613 705,003 920,531

United Fire Group, Inc 5,808 134,561 134,688

Universal Insurance Holdings, Inc 34,069 462,396 579,173

Univest Financial Corp 22,002 593,382 658,300

Valley National Bancorp 143,148 1,650,911 1,968,285

Velocity Financial, Inc 14,554 185,110 199,390

Veritex Holdings, Inc 21,629 554,574 860,402

Virtus Investment Partners, Inc 2,701 471,944 802,467

Walker & Dunlop, Inc 7,804 448,989 1,177,468

Washington Federal, Inc 18,277 629,891 610,086

Washington Trust Bancorp, Inc 9,092 473,260 512,516

Waterstone Financial, Inc 29,111 572,244 636,366

WesBanco, Inc 22,693 774,594 794,028

West BanCorp, Inc 16,668 492,000 517,875

Westamerica BanCorp 1 57 58

WisdomTree Investments, Inc 42,296 243,637 258,852

World Acceptance Corp 929 129,899 228,004

WSFS Financial Corp 16,449 836,292 824,424


Health care: 18.90%

4D Molecular Therapeutics, Inc 7,352 188,856 161,303

ACADIA Pharmaceuticals, Inc 50,236 1,107,494 1,172,508

Accuray, Inc 215,578 852,585 1,028,307



December 31, 2021


Shares CostFair


Aclaris Therapeutics, Inc 7,277 $ 123,196 $ 105,808

Adagio Therapeutics, Inc 6,421 191,386 46,616

Addus HomeCare Corp 2,908 233,793 271,927

Aeglea BioTherapeutics, Inc 1,151 9,179 5,467

Aerie Pharmaceuticals, Inc 42,047 595,120 295,170

Aerovate Therapeutics, Inc 953 19,903 11,236

Affimed NV 43,017 310,025 237,454

Agenus, Inc 77,168 312,705 248,481

Agiliti, Inc 20,188 414,948 467,554

Agios Pharmaceuticals, Inc 18,073 1,030,519 594,060

Akebia Therapeutics, Inc 243,009 706,036 549,200

Akoya Biosciences, Inc 11,215 214,855 171,702

Alector, Inc 53,962 1,475,166 1,114,315

Alkermes PLC 108,655 2,670,808 2,527,315

Allakos, Inc 6,277 597,078 61,452

Allogene Therapeutics, Inc 2,275 53,861 33,943

Allscripts Healthcare Solutions,

Inc 117,322 1,362,771 2,164,591

Alpha Teknova, Inc 1,737 42,619 35,574

Alphatec Holdings, Inc 26,315 343,832 300,780

Alpine Immune Sciences, Inc 5,371 45,341 74,388

Amicus Therapeutics, Inc 119,832 1,817,533 1,384,060

AMN Healthcare Services, Inc 19,660 1,623,348 2,405,008

Amneal Pharmaceuticals, Inc 317,919 1,796,907 1,522,832

Amphastar Pharmaceuticals, Inc 52,073 932,124 1,212,780

AnaptysBio, Inc 17,954 523,460 623,902

Anavex Life Sciences Corp 14,915 234,810 258,626

AngioDynamics, Inc 44,692 1,053,822 1,232,605

ANI Pharmaceuticals, Inc 3,591 187,922 165,473

Anika Therapeutics, Inc 10,664 434,021 382,091

Antares Pharma, Inc 103,656 389,692 370,052

Apellis Pharmaceuticals, Inc 22,379 1,139,184 1,058,079

Apollo Medical Holdings, Inc 15,880 1,100,963 1,166,862

Apria, Inc 11,876 328,894 387,158

Apyx Medical Corp 48,361 392,802 619,988

Arbutus Biopharma Corp 80,126 226,134 311,690

Arcturus Therapeutics Holdings,

Inc 816 33,746 30,200

Arcus Biosciences, Inc 17,101 452,701 692,077

Ardelyx, Inc 2 16 2

Arena Pharmaceuticals, Inc 8,134 607,009 755,974

Arrowhead Pharmaceuticals, Inc 32,299 2,327,179 2,141,424

Arvinas, Inc 8,210 683,781 674,369

Atea Pharmaceuticals, Inc 22,790 530,465 203,743

Athenex, Inc 3,792 19,223 5,157

AtriCure, Inc 14,202 805,274 987,465

Atrion Corp 1,349 860,942 950,910

Avanos Medical, Inc 17,167 678,967 595,180

Avid Bioservices, Inc 66,763 932,113 1,948,144



December 31, 2021


Shares CostFair


Axogen, Inc 12,951 $ 245,097 $ 121,351

Axonics, Inc 10,233 608,615 573,048

Beam Therapeutics, Inc 9,292 865,444 740,479

Berkeley Lights, Inc 2,099 97,383 38,160

BioCryst Pharmaceuticals, Inc 111,548 1,014,757 1,544,940

BioDelivery Sciences

International, Inc 261,016 972,602 809,150

Biohaven Pharmaceutical Holding

Co Ltd 16,128 1,577,706 2,222,600

BioLife Solutions, Inc 1,750 42,965 65,223

Bionano Genomics, Inc 92,440 603,014 276,396

Bioventus, Inc Class A 10,700 140,450 155,043

Blueprint Medicines Corp 25,635 2,407,945 2,745,765

Bridgebio Pharma, Inc 19,628 954,645 327,395

Brookdale Senior Living, Inc 57,653 275,250 297,489

Brooklyn ImmunoTherapeutics,

Inc 44,608 320,362 186,015

Butterfly Network, Inc 108,764 1,201,051 727,631

C4 Therapeutics, Inc 13,323 508,297 429,001

Cara Therapeutics, Inc 22,809 450,762 277,814

Cardiovascular Systems, Inc 10,563 431,328 198,373

CareDx, Inc 26,731 1,382,063 1,215,726

Caribou Biosciences, Inc 18,638 418,611 281,247

Castlight Health, Inc Class B 544,041 1,145,438 837,823

Catalyst Pharmaceuticals, Inc 359,036 1,778,497 2,430,674

Celcuity, Inc 15,841 372,242 208,943

Celldex Therapeutics, Inc 19,910 936,852 769,322

Century Therapeutics, Inc 13,099 293,963 207,750

Cerus Corp 33,775 186,097 230,008

Chimerix, Inc 24,894 217,954 160,068

ChromaDex Corp 67,103 472,132 250,965

ClearPoint Neuro, Inc 2,128 39,612 23,876

Clovis Oncology, Inc 40,929 247,068 110,918

Codex DNA, Inc 1,857 21,829 20,056

Codexis, Inc 35,586 820,331 1,112,774

Codiak Biosciences, Inc 3,774 67,505 42,042

Cogent Biosciences, Inc 799 5,334 6,855

Coherus Biosciences, Inc 23,234 354,418 370,815

Collegium Pharmaceutical, Inc 68,548 1,447,463 1,280,477

Community Health Systems, Inc 46,418 344,922 617,824

Computer Programs and Systems,

Inc 18,503 567,773 542,138

CONMED Corp 15,224 1,366,856 2,158,154

Corcept Therapeutics, Inc 75,678 1,488,167 1,498,424

Cortexyme, Inc 6,057 588,179 76,439

CorVel Corp 3,795 414,081 789,360

Covetrus, Inc 34,747 1,173,292 693,898

Cross Country Healthcare, Inc 56,649 772,033 1,572,576

CryoLife, Inc 17,005 434,234 346,052



December 31, 2021


Shares CostFair


CryoPort, Inc 4,397 $ 91,387 $ 260,170

Cullinan Oncology, Inc 9,034 215,253 139,395

Curis, Inc 47,545 369,343 226,314

Cutera, Inc 15,284 493,724 631,535

CVRx, Inc 5,510 92,280 67,387

Cyteir Therapeutics, Inc 2,868 55,148 32,609

Cytek Biosciences, Inc 16,186 366,921 264,156

Cytokinetics, Inc 33,136 796,929 1,510,339

CytomX Therapeutics, Inc 72,430 429,348 313,622

Deciphera Pharmaceuticals, Inc 13,084 446,598 127,831

Denali Therapeutics, Inc 32,588 1,959,948 1,453,425

DermTech, Inc 8,892 358,109 140,494

Dynavax Technologies Corp 91,565 914,235 1,288,320

Eagle Pharmaceuticals, Inc 38,164 1,712,668 1,943,311

Editas Medicine, Inc 26,907 1,633,313 714,381

Eiger BioPharmaceuticals, Inc 11,466 95,974 59,509

Eliem Therapeutics, Inc 2,400 49,250 25,104

Emergent BioSolutions, Inc 47,673 3,331,360 2,072,345

Enanta Pharmaceuticals, Inc 12,199 804,037 912,241

Ensign Group, Inc 19,371 823,689 1,626,389

Erasca, Inc 24,056 538,966 374,792

Evolent Health, Inc Class A 40,322 443,470 1,115,710

Evolus, Inc 11,558 122,834 75,243

Exagen, Inc 1,508 15,586 17,538

EyePoint Pharmaceuticals, Inc 4,875 37,796 59,670

Fate Therapeutics, Inc 26,959 2,320,289 1,577,371

FibroGen, Inc 31,615 1,166,324 445,772

Forian, Inc 25,781 295,797 232,545

Fortress Biotech, Inc 112,213 361,525 280,533

Fulcrum Therapeutics, Inc 4,970 124,076 87,919

Fulgent Genetics, Inc 11,317 635,757 1,138,377

G1 Therapeutics, Inc 14,479 315,768 147,831

Gemini Therapeutics, Inc 8,127 22,029 23,650

Glaukos Corp 9,048 785,157 402,093

Global Blood Therapeutics, Inc 36,655 1,126,536 1,072,892

Graphite Bio, Inc 5,574 79,843 69,285

Gritstone bio, Inc 58,838 497,430 756,657

Haemonetics Corp 9,562 565,576 507,168

Halozyme Therapeutics, Inc 91,792 4,005,500 3,690,956

Hanger, Inc 14,040 312,578 254,545

Harmony Biosciences Holdings,

Inc 8,343 246,427 355,746

Harpoon Therapeutics, Inc 4,375 32,629 33,031

Harvard Bioscience, Inc 155,139 846,522 1,093,730

Health Catalyst, Inc 8,269 457,150 327,618

HealthEquity, Inc 14,007 1,117,378 619,670

HealthStream, Inc 28,121 796,706 741,270

Heron Therapeutics, Inc 33,468 525,879 305,563



December 31, 2021


Shares CostFair


Heska Corp 3,576 $ 584,574 $ 652,584

Homology Medicines, Inc 54,148 359,816 197,099

Hookipa Pharma, Inc 38,453 410,426 89,595

Icosavax, Inc 5,177 159,156 118,450

Ideaya Biosciences, Inc 26,777 591,691 633,008

Imago Biosciences, Inc 3,335 75,162 79,073

Immuneering Corp Class A 7,769 226,834 125,625

ImmunityBio, Inc 110,321 1,523,510 670,752

ImmunoGen, Inc 162,802 908,191 1,207,991

Impel Neuropharma, Inc 26,317 278,007 227,116

Inari Medical, Inc 11,699 1,112,972 1,067,768

Infinity Pharmaceuticals, Inc 286,033 771,158 643,574

InfuSystem Holdings, Inc 14,579 212,120 248,280

Inhibrx, Inc 3,546 133,930 154,854

Innovage Holding Corp 6,148 42,242 30,740

Innoviva, Inc 110,616 1,373,653 1,908,126

Inogen, Inc 18,423 1,077,299 626,382

Inotiv, Inc 4,793 144,962 201,642

Inovio Pharmaceuticals, Inc 42,533 328,089 212,240

Insmed, Inc 38,365 1,415,863 1,045,063

Inspire Medical Systems, Inc 6,411 1,210,368 1,474,915

Integer Holdings Corp 21,028 1,671,300 1,799,787

Intellia Therapeutics, Inc 24,587 1,522,710 2,907,167

Intercept Pharmaceuticals, Inc 10,285 193,635 167,543

Intra-Cellular Therapies, Inc 10,208 352,658 534,287

Invacare Corp 12,867 116,680 34,998

Invitae Corp 2,760 111,223 42,145

iRadimed Corp 15,617 548,271 721,662

iRhythm Technologies, Inc 1,743 450,313 205,134

Ironwood Pharmaceuticals, Inc 237,973 2,537,924 2,774,765

IVERIC bio, Inc 30,675 509,746 512,886

Janux Therapeutics, Inc 4,466 102,676 88,114

Joint Corp 11,590 713,186 761,347

Jounce Therapeutics, Inc 52,875 496,906 441,506

KalVista Pharmaceuticals, Inc 1,600 39,717 21,168

Karuna Therapeutics, Inc 5,334 660,573 698,754

Karyopharm Therapeutics, Inc 25,847 169,597 166,196

Kezar Life Sciences, Inc 1,649 22,863 27,571

Kodiak Sciences, Inc 509 54,510 43,153

Krystal Biotech, Inc 3,191 247,813 223,210

Kymera Therapeutics, Inc 14,216 707,175 902,574

Lantheus Holdings, Inc 37,523 923,948 1,084,039

LeMaitre Vascular, Inc 18,123 757,604 910,318

Lexicon Pharmaceuticals, Inc 466,691 2,312,253 1,838,763

LHC Group, Inc 6,927 1,394,265 950,592

Ligand Pharmaceuticals, Inc 14,113 1,719,672 2,179,894

Lineage Cell Therapeutics, Inc 448,573 1,179,576 1,099,004

LivaNova PLC 21,979 1,615,044 1,921,624



December 31, 2021


Shares CostFair


MacroGenics, Inc 22,531 $ 490,650 $ 361,623

Madrigal Pharmaceuticals, Inc 4,176 463,066 353,874

MannKind Corp 90,918 308,016 397,312

MaxCyte, Inc 14,253 159,394 145,238

MEDNAX, Inc 36,742 1,047,411 999,750

Medpace Holdings, Inc 13,375 1,146,571 2,910,935

MEI Pharma, Inc 32,451 97,478 86,644

MeiraGTx Holdings plc 13,403 196,105 318,187

Meridian Bioscience, Inc 43,645 807,879 890,358

Merit Medical Systems, Inc 29,619 1,275,652 1,845,264

Mesa Laboratories, Inc 1,133 323,398 371,726

MiMedx Group, Inc 196,041 1,819,064 1,184,088

ModivCare, Inc 3,714 330,791 550,749

Monte Rosa Therapeutics, Inc 13,090 258,904 267,298

Morphic Holding, Inc 8,721 332,357 413,201

Multiplan Corp 10,138 71,810 44,911

Myriad Genetics, Inc 30,884 833,127 852,398

NanoString Technologies, Inc 12,029 761,499 507,985

NantHealth, Inc 144,862 248,527 152,829

National HealthCare Corp 2,965 211,209 201,442

Natus Medical, Inc 53,294 1,389,306 1,264,667

Neogen Corp 41,857 1,756,671 1,900,726

NeoGenomics, Inc 41,775 2,084,090 1,425,363

Neuronetics, Inc 8,750 126,856 39,025

Nevro Corp 145 12,627 11,755

NextGen Healthcare, Inc 68,493 1,031,417 1,218,490

NGM Biopharmaceuticals, Inc 7,226 170,651 127,972

Nurix Therapeutics, Inc 5,285 128,821 153,001

Nuvalent, Inc Class A 3,983 85,076 75,836

NuVasive, Inc 18,092 1,154,525 949,468

Nuvation Bio, Inc 45,850 416,652 389,725

Ocugen, Inc 66,433 463,833 302,270

Ocular Therapeutix, Inc 1 19 7

Omega Therapeutics, Inc 13,214 267,671 149,715

Oncocyte Corp 22,677 82,993 49,209

Oncternal Therapeutics, Inc 121,990 504,062 276,917

OPKO Health, Inc 378,331 1,426,249 1,819,772

OptimizeRx Corp 7,302 219,760 453,527

Option Care Health, Inc 53,122 1,171,693 1,510,790

Oramed Pharmaceuticals, Inc 65,034 1,636,826 928,686

OraSure Technologies, Inc 24,818 260,711 215,668

Organogenesis Holdings, Inc 177,846 2,173,611 1,643,297

Ortho Clinical Diagnostics

Holdings PLC Class H 59,721 1,140,519 1,277,432

Orthofix Medical, Inc 26,700 1,112,757 830,103

Outset Medical, Inc 2,051 92,141 94,531

Owens & Minor, Inc 55,290 1,178,709 2,405,115

Pacific Biosciences of California,

Inc 62,653 1,802,761 1,281,880



December 31, 2021


Shares CostFair


Pacira BioSciences, Inc 27,571 $ 1,310,505 $ 1,658,947

Paratek Pharmaceuticals, Inc 198,932 1,128,027 893,205

Patterson Cos, Inc 59,446 1,665,660 1,744,740

PDL BioPharma(1) 76,573 170,306 189,135

Personalis, Inc 6,739 136,974 96,166

PetIQ, Inc 1,229 29,760 27,911

Phibro Animal Health Corp

Class A 84,774 1,884,418 1,731,085

Phreesia, Inc 14,148 588,022 589,406

Precigen, Inc 34,044 250,069 126,303

Precision BioSciences, Inc 50,262 489,182 371,939

Prestige Consumer Healthcare, Inc 44,843 1,864,408 2,719,728

Progyny, Inc 14,523 854,942 731,233

Prometheus Biosciences, Inc 5,156 134,147 203,868

Protagonist Therapeutics, Inc 15,930 536,196 544,806

Prothena Corp PLC 13,353 665,990 659,638

PTC Therapeutics, Inc 25,504 1,328,316 1,015,824

Puma Biotechnology, Inc 198,363 1,684,085 603,024

Quanterix Corp 10,593 513,409 449,143

R1 RCM, Inc 5,613 56,120 143,075

Radius Health, Inc 16,954 315,487 117,322

RadNet, Inc 16,554 544,037 498,441

Rallybio Corp 2,418 46,877 23,068

Rapid Micro Biosystems, Inc

Class A 2,724 48,853 28,983

RAPT Therapeutics, Inc 3,740 116,333 137,370

Reata Pharmaceuticals, Inc

Class A 3,120 428,922 82,274

REGENXBIO, Inc 22,392 900,991 732,218

Relay Therapeutics, Inc 16,058 579,323 493,141

Reneo Pharmaceuticals, Inc 2,271 17,502 19,417

Retractable Technologies, Inc 64,423 916,528 446,451

Revance Therapeutics, Inc 1,618 52,787 26,406

REVOLUTION Medicines, Inc 11,594 413,671 291,821

Rigel Pharmaceuticals, Inc 199,418 686,770 528,458

Rocket Pharmaceuticals, Inc 896 43,231 19,560

Rubius Therapeutics, Inc 39,538 764,429 382,728

RxSight, Inc 16,063 205,300 180,709

Sana Biotechnology, Inc 4,163 84,488 64,443

Sangamo Therapeutics, Inc 69,552 712,421 521,640

Scholar Rock Holding Corp 7,481 176,734 185,828

Schrodinger, Inc 5,301 384,961 184,634

SeaSpine Holdings Corp 893 18,436 12,163

Seer, Inc 57 1,853 1,300

Select Medical Holdings Corp 44,537 906,861 1,309,388

Selecta Biosciences, Inc 76,167 295,854 248,304

Senseonics Holdings, Inc 172,750 545,527 461,243

Sharps Compliance Corp 11,603 97,189 82,729

Shockwave Medical, Inc 10,215 1,365,940 1,821,641



December 31, 2021


Shares CostFair


Sientra, Inc 70,890 $ 478,961 $ 260,166

SIGA Technologies, Inc 224,018 1,525,494 1,684,615

Sight Sciences, Inc 14,727 360,594 258,753

Sigilon Therapeutics, Inc 5,807 35,597 16,027

Silk Road Medical, Inc 1,981 92,245 84,410

Sorrento Therapeutics, Inc 175,491 1,147,791 816,033

Spero Therapeutics, Inc 8,522 147,614 136,437

SpringWorks Therapeutics, Inc 12,203 867,704 756,342

SQZ Biotechnologies Co 15,741 225,907 140,567

STAAR Surgical Co 19,981 1,284,200 1,824,265

Stereotaxis, Inc 38,046 254,446 235,885

Summit Therapeutics, Inc 15,617 99,569 42,010

Supernus Pharmaceuticals, Inc 49,553 1,484,165 1,444,965

Surface Oncology, Inc 119,913 804,225 573,184

Surgery Partners, Inc 1,486 70,466 79,367

Surmodics, Inc 10,414 476,082 501,434

Sutro Biopharma, Inc 29,498 617,310 438,930

Syros Pharmaceuticals, Inc 2 16 7

Tabula Rasa HealthCare, Inc 8,130 329,828 121,950

Tactile Systems Technology, Inc

Class I 6,901 352,174 131,326

Tenaya Therapeutics, Inc 14,510 349,209 274,965

Tenet Healthcare Corp 41,429 2,116,358 3,384,335

TG Therapeutics, Inc 20,099 876,251 381,881

TherapeuticsMD, Inc 196,822 233,717 69,970

Tivity Health, Inc 48,316 1,143,615 1,277,475

TransMedics Group, Inc 4,410 136,732 84,496

Travere Therapeutics, Inc 31,826 746,947 987,879

Turning Point Therapeutics, Inc

Class I 11,617 1,139,657 554,131

Twist Bioscience Corp 14,941 986,118 1,156,284

UroGen Pharma Ltd 34,507 544,790 328,162

US Physical Therapy, Inc 5,568 684,203 532,022

Utah Medical Products, Inc 9,147 805,275 914,700

Vanda Pharmaceuticals, Inc 71,174 1,139,073 1,116,720

Varex Imaging Corp 46,083 1,228,051 1,453,919

Vaxart, Inc 20,863 148,417 130,811

Veracyte, Inc 25,217 703,123 1,038,940

Verastem, Inc 351,099 1,092,925 719,753

Vericel Corp 47,669 1,316,001 1,873,392

Verrica Pharmaceuticals, Inc 4,813 53,149 44,087

Viemed Healthcare, Inc 44,797 320,917 233,840

ViewRay, Inc 74,646 483,966 411,299

Viking Therapeutics, Inc 36,554 218,904 168,148

Vincerx Pharma, Inc 6,861 99,221 69,914

Vir Biotechnology, Inc 16,591 560,818 694,665

Viracta Therapeutics, Inc 58,887 384,818 214,938

Vocera Communications, Inc 13,659 377,987 885,650

XBiotech, Inc 28,776 556,017 320,277



December 31, 2021


Shares CostFair


Xencor, Inc 41,454 $ 1,451,337 $ 1,663,134

XOMA Corp 23,698 668,639 494,103

Y-mAbs Therapeutics, Inc 12,788 445,715 207,293

Zentalis Pharmaceuticals, Inc 6,738 462,193 566,396

ZIOPHARM Oncology, Inc 91,687 173,930 99,939

Zynex, Inc 32,434 466,880 323,367


Industrials: 13.68%

AAON, Inc 4,178 234,251 331,859

AAR Corp 30,437 1,030,564 1,187,956

ABM Industries, Inc 27,580 1,008,787 1,126,643

ACCO Brands Corp 58,777 510,364 485,498

AeroVironment, Inc 4,827 427,304 299,419

AerSale Corp 3,351 58,620 59,447

Air Transport Services Group, Inc 4,058 105,041 119,224

Alamo Group, Inc 3,765 512,257 554,133

Albany International Corp Class A 11,667 836,237 1,031,946

Allegiant Travel Co 5,316 1,064,154 994,305

Allied Motion Technologies, Inc 10,179 359,098 371,432

Altra Industrial Motion Corp 22,613 1,232,727 1,166,152

Ameresco, Inc Class A 6,190 167,061 504,114

American Woodmark Corp 2,601 250,145 169,585

API Group Corp 68,549 1,378,444 1,766,508

Apogee Enterprises, Inc 11,691 418,359 562,922

Applied Industrial Technologies,

Inc 10,359 842,906 1,063,869

ArcBest Corp 13,127 695,485 1,573,271

Arcosa, Inc 5,113 248,551 269,455

Array Technologies, Inc 47,197 753,034 740,521

ASGN, Inc 15,513 1,363,623 1,914,304

Astec Industries, Inc 6,525 369,784 451,987

Astronics Corp 30,272 436,171 363,264

Atkore, Inc 26,939 1,109,636 2,995,347

Atlas Air Worldwide Holdings,

Inc 11,586 726,488 1,090,474

Avis Budget Group, Inc 16,569 1,501,139 3,435,914

AZZ, Inc 26,097 1,236,942 1,442,903

Babcock & Wilcox Enterprises,

Inc 112,122 789,169 1,011,340

Barnes Group, Inc 16,995 825,894 791,797

Barrett Business Services, Inc 5,595 390,898 386,391

Beacon Roofing Supply, Inc 20,436 935,248 1,172,005

Bloom Energy Corp Class A 30,629 1,030,372 671,694

Blue Bird Corp 10,343 225,043 161,765

BlueLinx Holdings, Inc 20,320 897,040 1,945,843

Boise Cascade Co 21,856 801,901 1,556,147

Brady Corp Class A 16,398 810,098 883,852

BrightView Holdings, Inc 4,902 78,360 69,020

Brink's Co/The 11,014 807,202 722,188



December 31, 2021


Shares CostFair


Casella Waste Systems, Inc

Class A 6,473 $ 260,431 $ 552,924

CBIZ, Inc 16,928 557,089 662,223

Chart Industries, Inc 10,758 1,406,736 1,715,793

Cimpress PLC 2,814 327,926 201,511

CIRCOR International, Inc 7,072 236,596 192,217

Columbus McKinnon Corp 3,568 159,510 165,056

Comfort Systems USA, Inc 12,070 658,229 1,194,206

Commercial Vehicle Group, Inc 74,762 698,370 602,582

Construction Partners, Inc Class A 6,874 166,990 202,164

CoreCivic, Inc 7,595 81,836 75,722

Cornerstone Building Brands, Inc 47,071 767,167 820,918

Covenant Logistics Group, Inc 28,814 618,603 761,554

CRA International, Inc 5,551 534,203 518,241

CSW Industrials, Inc 657 83,915 79,405

Daseke, Inc 10,211 97,092 102,518

Deluxe Corp 22,375 839,352 718,461

Desktop Metal, Inc Class A 51,426 446,779 254,559

Douglas Dynamics, Inc 11,485 442,794 448,604

Ducommun, Inc 6,134 238,190 286,887

Dycom Industries, Inc 10,389 788,847 974,073

EMCOR Group, Inc 19,013 1,886,918 2,422,066

Encore Wire Corp 19,084 1,303,849 2,730,920

Energy Recovery, Inc 10,325 166,267 221,884

Enerpac Tool Group Corp 21,640 529,006 438,859

EnerSys 20,067 1,387,585 1,586,497

Ennis, Inc 11,416 228,516 222,954

EnPro Industries, Inc 6,897 609,520 759,153

Eos Energy Enterprises, Inc 14,917 219,121 112,176

ESCO Technologies, Inc 6,666 564,842 599,873

Evoqua Water Technologies Corp 34,337 680,788 1,605,255

Exponent, Inc 12,882 1,175,856 1,503,716

Federal Signal Corp 26,557 817,434 1,150,980

Fluor Corp 48,697 882,842 1,206,225

Forward Air Corp 8,824 773,505 1,068,498

Franklin Covey Co 8,694 369,648 403,054

Franklin Electric Co, Inc 17,759 883,952 1,679,291

Frontier Group Holdings, Inc 3,966 61,862 53,819

FuelCell Energy, Inc 36,539 728,077 190,003

GATX Corp 3,558 327,857 370,708

Gibraltar Industries, Inc 6,284 365,472 419,017

Global Industrial Co 428 14,269 17,505

GMS, Inc 17,974 616,246 1,080,417

Gorman-Rupp Co 8,308 297,808 370,121

GrafTech International Ltd 193,608 2,179,133 2,290,383

Granite Construction, Inc 23,509 812,456 909,798

Great Lakes Dredge & Dock Corp 21,459 240,877 337,335

Greenbrier Cos, Inc 9,707 360,283 445,454



December 31, 2021


Shares CostFair


Griffon Corp 8,780 $ 174,164 $ 250,054

Hawaiian Holdings, Inc 621 14,038 11,408

Healthcare Services Group, Inc 26,104 842,700 464,390

Heidrick & Struggles

International, Inc 16,863 774,696 737,419

Helios Technologies, Inc 11,854 865,541 1,246,685

Herc Holdings, Inc 7,459 561,744 1,167,706

Heritage-Crystal Clean, Inc 15,397 451,903 493,012

Hillenbrand, Inc 29,655 1,362,269 1,541,763

HireQuest, Inc 2,390 48,215 48,182

HNI Corp 15,470 536,641 650,513

Hub Group, Inc Class A 11,509 664,584 969,518

Huron Consulting Group, Inc 5,567 267,996 277,793

Hydrofarm Holdings Group, Inc 6,022 225,252 170,362

Hyliion Holdings Corp 11,651 121,225 72,236

Hyster-Yale Materials Handling,

Inc 7,810 396,644 320,991

ICF International, Inc 10,085 926,453 1,034,217

Ideanomics, Inc 144,208 336,043 173,050

Infrastructure and Energy

Alternatives, Inc 32,063 367,312 294,980

Insperity, Inc 11,461 815,204 1,353,659

Insteel Industries, Inc 15,041 357,056 598,782

Interface, Inc 47,096 715,073 751,181

JELD-WEN Holding, Inc 23,350 637,321 615,506

John Bean Technologies Corp 10,230 1,300,488 1,570,919

Kadant, Inc 4,899 602,117 1,129,122

Kaman Corp 7,605 343,428 328,156

KAR Auction Services, Inc 12,069 173,432 188,518

KBR, Inc 37,537 1,204,657 1,787,512

Kelly Services, Inc Class A 30,622 676,752 513,531

Kennametal, Inc 30,931 1,179,700 1,110,732

Kforce, Inc 13,978 526,622 1,051,425

Korn Ferry 19,783 1,184,549 1,498,167

Kratos Defense & Security

Solutions, Inc 18,627 510,414 361,364

Lindsay Corp 5,348 540,352 812,896

Luxfer Holdings PLC 15,297 311,449 295,385

Manitowoc Co, Inc 41,661 896,025 774,478

ManTech International Corp

Class A 9,257 651,636 675,113

Masonite International Corp 6,119 613,246 721,736

Matrix Service Co 9,833 112,031 73,944

Matson, Inc 13,777 581,446 1,240,343

Matthews International Corp

Class A 16,247 595,653 595,777

Maxar Technologies, Inc 20,336 451,834 600,522

Mayville Engineering Co, Inc 42,702 675,957 636,687

McGrath RentCorp 1,346 92,484 108,030



December 31, 2021


Shares CostFair


Meritor, Inc 47,341 $ 1,086,150 $ 1,173,110

Mesa Air Group, Inc 157,251 1,228,192 880,606

Miller Industries, Inc 4,870 199,097 162,658

MillerKnoll, Inc 26,865 1,027,751 1,052,839

Mistras Group, Inc 55,268 529,290 410,641

Moog, Inc Class A 10,465 838,209 847,351

MRC Global, Inc 27,720 215,246 190,714

Mueller Industries, Inc 41,031 1,301,638 2,435,600

Mueller Water Products, Inc

Class A 57,373 685,959 826,171

MYR Group, Inc 12,232 623,246 1,352,248

National Presto Industries, Inc 250 21,757 20,507

Nikola Corp 70,073 709,580 691,620

NL Industries, Inc 31,832 198,768 235,557

NN, Inc 25,602 154,925 104,968

NOW, Inc 21,844 185,299 186,548

NV5 Global, Inc 850 84,562 117,402

Park Aerospace Corp 20,760 309,905 274,032

Park-Ohio Holdings Corp 3,218 96,193 68,125

PGT Innovations, Inc 2,088 41,647 46,959

Pitney Bowes, Inc 63,202 396,786 419,029

Powell Industries, Inc 17,385 473,799 512,684

Preformed Line Products Co 5,935 393,873 383,994

Primoris Services Corp 19,924 487,383 477,778

Proto Labs, Inc 2,326 454,599 119,440

Quanex Building Products Corp 20,178 452,707 500,011

Radiant Logistics, Inc 77,714 470,958 566,535

RBC Bearings, Inc 5,624 1,033,195 1,135,879

Resideo Technologies, Inc 55,996 1,409,029 1,457,576

Resources Connection, Inc 27,620 464,618 492,741

REV Group, Inc 47,369 821,287 670,271

Romeo Power, Inc 47,227 255,897 172,379

Rush Enterprises, Inc Class A 18,854 613,834 1,049,037

Rush Enterprises, Inc Class B 7,581 304,925 409,147

Saia, Inc 7,474 1,416,840 2,518,962

Shyft Group, Inc 32,921 778,841 1,617,409

Simpson Manufacturing Co, Inc 13,066 1,318,623 1,817,089

SkyWest, Inc 25,856 1,045,424 1,016,141

SP Plus Corp 4,311 135,877 121,656

Spirit Airlines, Inc 19,918 590,815 435,208

SPX Corp 12,260 592,376 731,677

Standex International Corp 6,276 509,505 694,502

Steelcase, Inc Class A 31,957 444,042 374,536

Stem, Inc 16,299 484,393 309,192

Sterling Construction Co, Inc 23,844 441,364 627,097

Sun Country Airlines Holdings,

Inc 12,980 447,401 353,705

Team, Inc 9,164 55,284 9,989

Tennant Co 6,766 514,361 548,317



December 31, 2021


Shares CostFair


Terex Corp 42,552 $ 1,438,494 $ 1,870,160

Tetra Tech, Inc 14,560 1,994,162 2,472,288

Textainer Group Holdings Ltd 9,032 166,644 322,533

Thermon Group Holdings, Inc 21,421 377,377 362,658

Titan International, Inc 86,756 678,235 950,846

Titan Machinery, Inc 27,928 652,680 940,894

TPI Composites, Inc 13,630 454,006 203,905

Transcat, Inc 2,723 181,823 251,687

TriNet Group, Inc 8,879 715,098 845,814

Trinity Industries, Inc 13,755 386,213 415,401

Triton International Ltd 16,131 741,605 971,570

Triumph Group, Inc 26,621 408,607 493,287

TrueBlue, Inc 40,487 1,013,761 1,120,275

Tutor Perini Corp 34,450 491,074 426,146

UFP Industries, Inc 20,610 1,184,264 1,896,326

UniFirst Corp 3,223 593,563 678,119

Universal Logistics Holdings, Inc 1,632 40,787 30,780

Upwork, Inc 23,245 942,189 794,049

US Xpress Enterprises, Inc

Class A 10,118 79,993 59,393

Vectrus, Inc 14,619 684,478 669,112

Veritiv Corp 11,826 593,104 1,449,513

Vicor Corp 6,419 713,171 815,085

View, Inc 19,533 139,375 76,374

VSE Corp 2,619 106,370 159,602

Wabash National Corp 43,598 709,882 851,033

Watts Water Technologies, Inc

Class A 11,139 1,075,674 2,162,860

Werner Enterprises, Inc 19,333 770,493 921,411

WESCO International, Inc 10,518 885,879 1,384,064

WillScot Mobile Mini Holdings

Corp 39,606 1,200,523 1,617,509

Zurn Water Solutions Corp 44,045 1,123,741 1,603,238



3D Systems Corp 41,569 1,387,894 895,396

8x8, Inc 49,665 1,390,294 832,385

A10 Networks, Inc 99,037 1,229,631 1,642,033

ACI Worldwide, Inc 64,780 2,323,281 2,247,866

ADTRAN, Inc 17,861 276,814 407,767

Advanced Energy Industries, Inc 12,923 1,325,047 1,176,768

Aeva Technologies, Inc 43,242 371,585 326,910

Agilysys, Inc 12,395 501,440 551,082

Alarm.com Holdings, Inc 21,573 1,459,084 1,829,606

Alpha & Omega Semiconductor

Ltd 27,163 675,889 1,644,991

Altair Engineering, Inc Class A 24,769 1,047,338 1,915,139

Ambarella, Inc 8,452 827,312 1,714,826

American Software, Inc Class A 61,019 1,342,132 1,596,867



December 31, 2021


Shares CostFair


Amkor Technology, Inc 38,126 $ 594,432 $ 945,144

Appfolio, Inc Class A 6,871 736,801 831,803

Appian Corp 15,122 1,267,882 986,106

Arlo Technologies, Inc 16,665 124,640 174,816

Asana, Inc Class A 24,779 1,914,764 1,847,274

Avaya Holdings Corp 30,782 604,887 609,484

Aviat Networks, Inc 13,882 439,244 445,335

Avid Technology, Inc 23,871 316,952 777,478

Axcelis Technologies, Inc 24,725 746,622 1,843,496

AXT, Inc 13,613 109,539 119,931

Badger Meter, Inc 9,081 599,438 967,671

Belden, Inc 24,471 1,218,852 1,608,479

Benchmark Electronics, Inc 32,067 910,164 869,016

Benefitfocus, Inc 22,248 260,698 237,164

BigCommerce Holdings, Inc

Series 1 1,844 122,451 65,222

Blackbaud, Inc 28,131 2,018,986 2,221,786

Blackline, Inc 13,624 1,722,054 1,410,629

BM Technologies, Inc 2,685 33,504 24,729

Bottomline Technologies DE, Inc 20,618 887,011 1,164,298

Box, Inc Class A 59,619 1,308,674 1,561,422

Brightcove, Inc 14,879 220,920 152,063

BTRS Holdings, Inc Class A 104,878 1,174,172 820,146

CalAmp Corp 3,280 38,623 23,157

Calix, Inc 15,903 256,526 1,271,763

Cambium Networks Corp 8,068 284,041 206,783

Casa Systems, Inc 245 2,138 1,389

Cerence, Inc 14,124 903,913 1,082,463

CEVA, Inc 1,660 63,444 71,778

ChannelAdvisor Corp 40,054 788,907 988,533

Cleanspark, Inc 12,189 188,263 116,039

Clearfield, Inc 7,030 183,393 593,473

CMC Materials, Inc 6,621 996,829 1,269,179

Cohu, Inc 17,688 598,548 673,736

CommVault Systems, Inc 17,022 1,031,804 1,173,156

Conduent, Inc 139,900 836,219 747,066

Consensus Cloud Solutions, Inc 7,072 299,512 409,257

CoreCard Corp 17,256 563,527 669,533

Corsair Gaming, Inc 9,000 268,546 189,090

Couchbase, Inc 6,108 180,044 152,456

CS Disco, Inc 4,911 222,701 175,568

CSG Systems International, Inc 24,174 1,134,845 1,392,906

CTS Corp 20,184 719,109 741,156

Daktronics, Inc 120,452 711,899 608,283

Diebold Nixdorf, Inc 24,541 297,811 222,096

Digital Turbine, Inc 30,915 1,053,709 1,885,506

DigitalOcean Holdings, Inc 4,054 321,057 325,658

Diodes, Inc 17,820 921,647 1,956,814



December 31, 2021


Shares CostFair


Domo, Inc Class B 17,148 $ 1,065,720 $ 850,541

Ebix, Inc 23,745 738,195 721,848

eGain Corp 36,430 389,019 363,571

EMCORE Corp 76,982 644,274 537,334

Envestnet, Inc 17,023 1,320,720 1,350,605

ePlus, Inc 15,422 682,136 830,937

EVERTEC, Inc 30,860 1,139,471 1,542,383

Evo Payments, Inc Class A 20,521 527,147 525,338

ExlService Holdings, Inc 16,454 1,238,348 2,382,046

Extreme Networks, Inc 74,337 704,518 1,167,091

Fabrinet 18,230 1,639,519 2,159,708

FARO Technologies, Inc 2 140 140

FormFactor, Inc 26,574 563,743 1,214,963

GreenBox POS 28,902 340,424 121,388

Grid Dynamics Holdings, Inc 26,925 671,256 1,022,342

GTY Technology Holdings, Inc 49,828 367,256 333,848

Hackett Group, Inc 58,222 1,104,636 1,195,298

Harmonic, Inc 12,458 108,571 146,506

IBEX Holdings Ltd 3,174 55,441 40,913

Ichor Holdings Ltd 21,703 894,935 998,989

Identiv, Inc 19,899 474,396 559,958

II-VI, Inc 31,790 2,398,265 2,172,211

Impinj, Inc 3,236 219,725 287,033

Infinera Corp 5,827 56,438 55,881

Insight Enterprises, Inc 19,102 1,284,790 2,036,273

Intapp, Inc 7,753 192,263 195,065

InterDigital, Inc 18,274 1,179,869 1,308,967

International Money Express, Inc 50,172 722,364 800,745

Iteris, Inc 10,828 66,989 43,312

Itron, Inc 10,063 898,641 689,517

Kaltura, Inc 25,223 256,962 85,002

Kimball Electronics, Inc 42,491 834,796 924,604

Knowles Corp 43,020 873,547 1,004,517

Kopin Corp 29,482 189,952 120,581

Kulicke & Soffa Industries, Inc 36,933 1,991,681 2,235,924

Lattice Semiconductor Corp 47,439 1,990,383 3,655,649

LivePerson, Inc 17,414 1,088,670 622,028

LiveRamp Holdings, Inc 12,747 833,868 611,219

MACOM Technology Solutions

Holdings, Inc Class H 17,257 994,858 1,351,223

Marathon Digital Holdings, Inc 48,063 1,314,739 1,579,350

Maximus, Inc 26,377 2,103,840 2,101,456

MaxLinear, Inc 18,097 615,229 1,364,333

MeridianLink, Inc 20,669 468,734 446,037

Meta Materials, Inc 286,096 1,446,764 703,796

Methode Electronics, Inc 21,898 808,739 1,076,725

MicroStrategy, Inc Class A 2,721 739,226 1,481,557

MicroVision, Inc 337 5,170 1,688



December 31, 2021


Shares CostFair


Mimecast Ltd 23,731 $ 1,152,744 $ 1,888,276

Mitek Systems, Inc 36,146 502,452 641,591

Model N, Inc 6,463 242,407 194,084

Napco Security Technologies, Inc 5,330 240,182 266,393

NETGEAR, Inc 10,617 383,019 310,123

NetScout Systems, Inc 11,760 319,914 389,021

Novanta, Inc 10,896 1,415,226 1,921,292

NVE Corp 12,143 826,088 829,367

ON24, Inc 28,838 708,642 500,339

OneSpan, Inc 12,450 257,002 210,779

Onto Innovation, Inc 19,368 1,354,581 1,960,623

OSI Systems, Inc 9,329 825,830 869,463

Ouster, Inc 16,431 205,200 85,441

PagerDuty, Inc 24,598 1,031,513 854,780

Paya Holdings, Inc 31,048 355,168 196,844

PC Connection, Inc 11,686 509,327 504,017

Perficient, Inc 15,860 815,837 2,050,539

Photronics, Inc 58,581 700,553 1,104,252

Ping Identity Holding Corp 16,616 396,879 380,174

Plantronics, Inc 16,939 488,439 496,990

Plexus Corp 14,855 1,072,703 1,424,446

Power Integrations, Inc 21,138 1,804,002 1,963,509

Priority Technology Holdings, Inc 26,658 205,050 188,739

Progress Software Corp 38,606 1,621,796 1,863,512

PROS Holdings, Inc 15,356 650,728 529,628

Q2 Holdings, Inc 14,617 1,788,613 1,161,174

Qualys, Inc 15,277 2,055,742 2,096,310

Rackspace Technology, Inc 5,166 89,756 69,586

Rambus, Inc 43,999 894,625 1,293,131

Rapid7, Inc 16,880 1,575,107 1,986,607

Ribbon Communications, Inc 8,785 52,315 53,149

Rimini Street, Inc 40,614 305,200 242,466

Riot Blockchain, Inc 61,032 1,805,494 1,362,845

Sailpoint Technologies Holdings,

Inc 25,192 1,315,492 1,217,781

Sanmina Corp 26,994 849,765 1,119,171

Sapiens International Corp NV 19,336 620,297 666,125

ScanSource, Inc 41,863 1,306,060 1,468,554

SecureWorks Corp Class A 79,302 1,683,442 1,266,453

Semtech Corp 21,105 1,562,619 1,876,868

ShotSpotter, Inc 10,126 448,488 298,920

Silicon Laboratories, Inc 11,772 1,616,424 2,429,976

SiTime Corp 2,703 541,947 790,736

SMART Global Holdings, Inc 24,451 983,905 1,735,776

Smith Micro Software, Inc 15,825 81,021 77,859

Sprout Social, Inc Class A 17,094 1,065,028 1,550,255

SPS Commerce, Inc 15,932 1,053,758 2,267,920

StarTek, Inc 42,571 345,269 222,221



December 31, 2021


Shares CostFair


Sumo Logic, Inc 18,857 $ 411,350 $ 255,701

SunPower Corp 30,164 591,811 629,523

Super Micro Computer, Inc 25,825 837,062 1,135,009

Synaptics, Inc 11,589 917,063 3,355,131

Telos Corp 14,746 501,593 227,383

Tenable Holdings, Inc 25,554 1,233,330 1,407,259

TTEC Holdings, Inc 14,014 1,017,332 1,268,968

TTM Technologies, Inc 74,889 1,016,302 1,115,846

Tucows, Inc Class A 1,752 140,269 146,853

Turtle Beach Corp 9,799 209,495 218,126

Ultra Clean Holdings, Inc 27,773 1,153,022 1,593,059

Unisys Corp 46,139 826,030 949,079

Upland Software, Inc 10,714 464,811 192,209

Varonis Systems, Inc 24,197 1,349,306 1,180,330

Veeco Instruments, Inc 24,581 506,823 699,821

Velodyne Lidar, Inc 12,543 122,073 58,200

Verint Systems, Inc 42,723 1,886,950 2,243,385

Veritone, Inc 3,203 102,596 72,003

Verra Mobility Corp 46,201 642,401 712,881

Viant Technology, Inc Class A 100,304 1,587,266 973,450

Viavi Solutions, Inc 67,274 1,092,981 1,185,368

Vishay Intertechnology, Inc 81,422 1,508,611 1,780,699

Vishay Precision Group, Inc 5,639 186,645 209,320

Workiva, Inc Class A 17,388 1,335,341 2,268,960

Xperi Holding Corp 61,207 1,143,752 1,157,424

Yext, Inc 47,417 669,983 470,377

Zuora, Inc Class A 66,309 1,114,689 1,238,652


Materials: 3.55%

AdvanSix, Inc 35,655 957,581 1,684,699

Allegheny Technologies, Inc 29,283 599,502 466,478

American Vanguard Corp 8,334 138,394 136,594

Amyris, Inc 15,340 197,654 82,989

Arconic Corp 21,952 375,382 724,636

Avient Corp 32,311 1,380,435 1,807,800

Balchem Corp 10,591 1,372,405 1,785,643

Cabot Corp 20,976 1,221,352 1,178,851

Carpenter Technology Corp 5,101 206,562 148,898

Century Aluminum Co 50,943 682,486 843,616

Coeur Mining, Inc 89,272 780,940 449,931

Commercial Metals Co 49,948 889,872 1,812,613

Compass Minerals International,

Inc 9,108 571,534 465,237

Constellium SE 48,912 934,169 876,014

Ecovyst, Inc 5,618 86,198 57,528

GCP Applied Technologies, Inc 17,981 420,566 569,278

Glatfelter Corp 15,520 221,776 266,944

Greif, Inc Class A 15,774 800,130 952,276



December 31, 2021


Shares CostFair


Greif, Inc Class B 668 $ 39,529 $ 39,933

Hawkins, Inc 14,104 396,824 556,403

Haynes International, Inc 7,036 301,513 283,762

HB Fuller Co 20,826 1,054,819 1,686,906

Hecla Mining Co 128,777 573,970 672,216

Ingevity Corp 14,378 1,007,542 1,030,903

Innospec, Inc 11,918 948,827 1,076,672

Intrepid Potash, Inc 12,574 411,851 537,287

Kaiser Aluminum Corp 3,056 358,695 287,081

Koppers Holdings, Inc 13,109 404,071 410,312

Kronos Worldwide, Inc 6,086 87,683 91,351

Livent Corp 33,598 698,437 819,119

Materion Corp 7,774 468,047 714,742

Minerals Technologies, Inc 14,471 730,206 1,058,554

MP Materials Corp 4,627 203,334 210,158

O-I Glass, Inc 89,672 1,112,683 1,078,754

Olympic Steel, Inc 46,155 1,035,348 1,084,643

Orion Engineered Carbons SA 33,795 542,274 620,476

Quaker Chemical Corp 3,541 890,631 817,192

Rayonier Advanced Materials, Inc 9,921 82,390 56,649

Ryerson Holding Corp 44,329 567,273 1,154,770

Schnitzer Steel Industries, Inc

Class A 28,259 982,273 1,467,207

Schweitzer-Mauduit International,

Inc 1,919 77,123 57,378

Sensient Technologies Corp 17,965 1,265,474 1,797,578

Stepan Co 7,247 639,773 900,730

Summit Materials, Inc Class A 28,727 853,934 1,153,102

SunCoke Energy, Inc 86,823 539,789 572,164

TimkenSteel Corp 77,526 990,147 1,279,179

Tredegar Corp 21,116 269,124 249,591

TriMas Corp 11,012 347,437 407,444

Trinseo PLC 18,338 866,443 962,011

Tronox Holdings PLC Class A 53,513 934,234 1,285,917

UFP Technologies, Inc 36 2,408 2,529

Valhi, Inc 8,277 206,554 237,964

Verso Corp Class A 14,763 310,373 398,896

Warrior Met Coal, Inc 18,140 436,682 466,379

Worthington Industries, Inc 16,386 760,250 895,659

Total Materials 33,234,903 40,731,636

Real estate: 6.76%

Acadia Realty Trust REIT 26,788 589,475 584,782

Agree Realty Corp REIT 18,465 1,221,980 1,317,662

Alexander & Baldwin, Inc REIT 43,298 819,136 1,086,347

Alexander's, Inc REIT 751 203,218 195,485

American Assets Trust, Inc REIT 15,673 571,825 588,208

American Finance Trust, Inc REIT 20,790 176,502 189,813

Apartment Investment and

Management Co Class A REIT 116,322 836,558 898,006



December 31, 2021


Shares CostFair


Apple Hospitality, Inc REIT 68,670 $ 1,050,395 $ 1,109,020

Armada Hoffler Properties, Inc

REIT 31,885 426,806 485,290

Braemar Hotels & Resorts, Inc

REIT 25,062 120,388 127,816

Brandywine Realty Trust REIT 118,838 1,603,724 1,594,806

Broadstone Net Lease, Inc REIT 61,850 1,302,481 1,535,117

BRT Apartments Corp REIT 14,823 261,548 355,604

CareTrust, Inc REIT 45,920 1,029,111 1,048,354

CatchMark Timber Trust, Inc

Class A REIT 17,796 166,118 155,003

Centerspace REIT 6,605 643,629 732,494

City Office, Inc REIT 75,454 1,148,855 1,487,953

Clipper Realty, Inc REIT 4,611 38,726 45,833

Community Healthcare Trust, Inc

Class I REIT 1,045 47,025 49,397

Corporate Office Properties Trust

REIT 40,132 1,181,445 1,122,492

CTO Realty Growth, Inc REIT 14,610 799,099 897,346

Cushman & Wakefield PLC REIT 50,033 801,368 1,112,734

DiamondRock Hospitality Co

REIT 52,657 466,869 506,034

DigitalBridge Group, Inc REIT 170,385 992,323 1,419,307

Easterly Government Properties,

Inc REIT 12,313 263,342 282,214

EastGroup Properties, Inc REIT 12,469 1,793,407 2,841,062

Empire State Realty Trust, Inc

Class A REIT 57,338 655,035 510,308

Equity Commonwealth REIT 14,330 386,274 371,147

Escrow New York REIT(1) 7,950 100,573 112,731

Essential Properties Realty Trust,

Inc REIT 33,174 727,014 956,406

eXp World Holdings, Inc REIT 18,302 347,454 616,594

Farmland Partners, Inc REIT 22,969 272,157 274,480

Forestar Group, Inc REIT 14,592 326,788 317,376

Four Corners Property Trust, Inc

REIT 26,510 682,834 779,659

Franklin Street Properties Corp

REIT 128,452 649,229 764,289

GEO Group, Inc REIT 105,237 960,829 815,587

Getty Realty Corp REIT 25,447 742,583 816,594

Gladstone Commercial Corp REIT 17,335 372,281 446,723

Gladstone Land Corp REIT 6,056 173,050 204,451

Global Net Lease, Inc REIT 10,624 198,159 162,335

Healthcare Realty Trust, Inc REIT 36,676 1,106,684 1,160,429

Hersha Hospitality Trust REIT 8,517 78,825 78,101

Independence Realty Trust, Inc

REIT 34,458 386,764 890,050



December 31, 2021


Shares CostFair


Industrial Logistics Properties

Trust REIT 23,337 $ 548,670 $ 584,592

Innovative Industrial Properties,

Inc REIT 6,994 729,311 1,838,793

iStar, Inc REIT 25,411 476,754 656,366

Kennedy-Wilson Holdings, Inc

REIT 52,151 1,098,601 1,245,366

Kite Realty Group Trust REIT 68,103 1,265,459 1,483,283

LTC Properties, Inc REIT 16,478 649,338 562,559

LXP Industrial Trust REIT 117,928 1,307,327 1,842,035

Macerich Co REIT 59,399 728,037 1,026,415

Mack-Cali Realty Corp REIT 16,949 298,341 311,523

Marcus & Millichap, Inc REIT 12,392 416,203 637,692

National Health Investors, Inc

REIT 16,479 1,112,458 947,048

National Storage Affiliates Trust

REIT 32,992 1,248,456 2,283,046

Newmark Group, Inc Class A

REIT 101,076 1,277,466 1,890,121

NexPoint Residential Trust, Inc

REIT 6,598 340,893 553,110

Office Properties Income Trust

REIT 9,978 290,730 247,854

One Liberty Properties, Inc REIT 39,782 1,180,662 1,403,509

Outfront Media, Inc REIT 43,107 1,078,699 1,156,130

Paramount Group, Inc REIT 49,204 496,800 410,361

Pebblebrook Hotel Trust, Inc

REIT 31,764 662,892 710,561

Phillips Edison & Co, Inc REIT 8,647 271,468 285,697

Physicians Realty Trust REIT 65,579 1,163,391 1,234,853

Piedmont Office Realty Trust, Inc

Class A REIT 50,233 930,613 923,283

Plymouth Industrial, Inc REIT 5,685 130,060 181,920

PotlatchDeltic Corp REIT 24,070 1,141,652 1,449,495

Preferred Apartment

Communities, Inc Class A REIT 19,184 237,273 346,463

PS Business Parks, Inc REIT 9,163 1,287,580 1,687,550

Rafael Holdings, Inc Class B REIT 11,307 92,619 57,666

RE/MAX Holdings, Inc Class A

REIT 103 4,268 3,140

Realogy Holdings Corp REIT 42,630 567,086 716,610

Redfin Corp REIT 13,428 991,276 515,501

Retail Opportunity Investments

Corp REIT 54,302 865,218 1,064,319

Retail Value, Inc REIT 6,263 163,102 40,208

RLJ Lodging Trust REIT 39,480 571,628 549,956

RMR Group, Inc Class A REIT 22,266 884,634 772,185

RPT Realty REIT 64,972 858,111 869,325

Ryman Hospitality Properties, Inc

REIT 15,918 1,121,752 1,463,819



December 31, 2021


Shares CostFair


Sabra Health Care, Inc REIT 64,431 $ 1,089,732 $ 872,396

Saul Centers, Inc REIT 6,195 288,563 328,459

Seritage Growth Properties REIT 343 5,905 4,552

Service Properties Trust REIT 31,432 372,807 276,287

SITE Centers Corp REIT 70,833 822,807 1,121,286

St Joe Co REIT 3,330 85,235 173,327

STAG Industrial, Inc REIT 51,074 1,677,477 2,449,509

Summit Hotel Properties, Inc

REIT 12,451 121,460 121,522

Sunstone Hotel Investors, Inc

REIT 65,022 793,365 762,708

Tanger Factory Outlet Centers, Inc

REIT 63,421 985,743 1,222,757

Terreno Realty Corp REIT 23,281 1,383,554 1,985,636

UMH Properties, Inc REIT 30,808 704,363 841,983

Uniti Group, Inc REIT 60,087 619,252 841,819

Universal Health Realty Income

Trust REIT 3,122 179,537 185,665

Urban Edge Properties REIT 57,123 1,004,002 1,085,337

Urstadt Biddle Properties, Inc

Class A REIT 40,607 689,965 864,929

Washington Real Estate

Investment Trust REIT 19,762 489,475 510,848

Whitestone REIT 35,560 336,806 360,223

Xenia Hotels & Resorts, Inc REIT 28,316 500,889 512,803


Utilities: 2.61%

Akazoo SA 17,394 69,216 174

ALLETE, Inc 17,348 1,167,800 1,151,040

American States Water Co 13,112 1,039,259 1,356,305

Artesian Resources Corp Class A 9,185 360,337 425,541

Avista Corp 26,071 1,088,501 1,107,757

Black Hills Corp 22,735 1,382,122 1,604,409

Brookfield Infrastructure Corp

Class A 18,291 1,221,572 1,248,544

California Water Service Group 22,865 1,151,194 1,643,079

Chesapeake Utilities Corp 9,209 924,678 1,342,764

Clearway Energy, Inc Class A 48,840 1,389,798 1,635,163

Clearway Energy, Inc Class C 41,691 881,742 1,502,127

Contra Aduro Biotech 10,407 0 0

Contra Pfenex(1) 19,550 14,663 14,663

Contra Prevail Therape(1) 9,194 4,597 4,597

Douglas Elliman, Inc 47,309 356,253 544,054

Dova Pharmaceuticals 6,521 3,521 65

ESC Nil Hildgsbe(1) 43,918 43,932 21,959

ESC War 25,230 0 0

Global Water Resources, Inc 7,456 128,741 127,498

MGE Energy, Inc 9,699 693,158 797,743

Middlesex Water Co 7,097 489,305 853,769



December 31, 2021


Shares CostFair


New Jersey Resources Corp 42,141 $ 1,621,455 $ 1,730,309

Northwest Natural Holding Co 18,877 951,550 920,820

NorthWestern Corp 18,877 1,096,492 1,079,009

ONE Gas, Inc 15,863 1,182,733 1,230,810

Ormat Technologies, Inc 16,573 1,135,690 1,314,239

Otter Tail Corp 18,296 944,119 1,306,700

Portland General Electric Co 28,735 1,317,543 1,520,656

Pure Cycle Corp 31,416 434,870 458,674

SJW Group 7,416 474,959 542,851

South Jersey Industries, Inc 46,175 1,050,378 1,206,091

Spire, Inc 18,725 1,278,472 1,221,244

Sunnova Energy International, Inc 15,707 621,660 438,539

Unitil Corp 12,152 553,681 558,870

Via Renewables, Inc 91,520 1,014,396 1,046,074

York Water Co 1 48 50

Total Utilities 26,088,435 29,956,187

Total Common stocks 970,770,743 1,094,752,787

Warrants: 0.00%

Energy: 0.00%

Battalion Oil, expiration date

10/8/2022 742 0 7


10/8/2022 593 0 6


10/8/2022 954 0 10

Total Energy 0 23

Total Warrants 0 23




Fund S(2) 0.05%(3) 48,341,945 48,341,945 48,341,945






459 Russell 2000 E-Mini March 2022 $ 51,472,260 $ 982,501

Percentages shown are based on total net assets. (1) Security is valued using significant unobservable inputs.(2) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds




December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Basic Materials: 2.91%

Alcoa Nederland Holding BV144A 290,000 6.13% 5/15/2028 BB+ $ 311,626 $ 312,113

Axalta Coating

Systems LLC/Axalta Coating

Systems Dutch Holding B

BV144A 360,000 4.75 6/15/2027 BB- 376,520 375,300

Cleveland-Cliffs, Inc 365,000 6.25 10/01/2040 B- 394,853 394,412

Domtar Corp144A 200,000 6.75 10/01/2028 BB+ 203,170 205,296

FMG Resources August 2006 Pty

Ltd144A 310,000 4.38 4/01/2031 BB+ 332,923 325,500

Freeport-McMoRan, Inc 370,000 4.25 3/01/2030 BB+ 385,390 390,350

Freeport-McMoRan, Inc 270,000 4.63 8/01/2030 BB+ 286,685 289,575

Methanex Corp 270,000 5.25 12/15/2029 BB 281,873 284,720

Novelis Corp144A 625,000 4.75 1/30/2030 BB 647,700 657,031

SCIH Salt Holdings, Inc144A 190,000 6.63 5/01/2029 CCC+ 187,799 177,650

Tronox, Inc144A 500,000 4.63 3/15/2029 B 511,806 499,375

Total Basic Materials 3,920,345 3,911,322

Communications: 17.58%

Altice Financing SA144A 320,000 5.00 1/15/2028 B 316,958 312,285

Altice France Holding SA144A 680,000 10.50 5/15/2027 CCC+ 727,321 731,000

AMC Networks, Inc 200,000 4.75 8/01/2025 BB 200,000 204,250

ANGI Group LLC144A 210,000 3.88 8/15/2028 B+ 208,756 205,275

Avaya, Inc144A 320,000 6.13 9/15/2028 B+ 338,076 339,200

CCO Holdings LLC/CCO

Holdings Capital Corp144A 1,035,000 4.50 6/01/2033 BB 1,022,138 1,055,938

Clear Channel International

BV144A 490,000 6.63 8/01/2025 B 507,156 508,375

Clear Channel Outdoor Holdings,

Inc144A 385,000 7.75 4/15/2028 CCC 402,576 411,950

Connect Finco SARL/Connect US

Finco LLC144A 550,000 6.75 10/01/2026 B+ 572,676 578,188

CSC Holdings LLC144A 300,000 5.50 4/15/2027 BB 291,991 310,125



Cumulus Media New Holdings,

Inc144A 300,000 6.75 7/01/2026 B 261,838 311,250

Diamond Sports

Group LLC/Diamond Sports

Finance Co144A 530,000 5.38 8/15/2026 CCC 538,086 265,000

Directv Financing LLC/Directv

Financing Co-Obligor, Inc144A 425,000 5.88 8/15/2027 BB 439,503 435,077

DISH DBS Corp 360,000 5.00 3/15/2023 B- 364,043 369,000

DISH DBS Corp 300,000 5.88 11/15/2024 B- 271,682 308,178

DISH DBS Corp144A 720,000 5.25 12/01/2026 B+ 714,627 731,365

Frontier Communications

Holdings LLC144A 695,000 5.00 5/01/2028 B+ 713,655 715,850

Gray Television, Inc144A 250,000 7.00 5/15/2027 B 263,439 267,188

Gray Television, Inc144A 315,000 4.75 10/15/2030 B 317,216 313,031

Hughes Satellite Systems Corp 200,000 6.63 8/01/2026 BB 207,159 223,850


Wells Fargo High Yield Corporate Bond Index CITSchedule of Investments

December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


iHeartCommunications, Inc 220,000 6.38% 5/01/2026 B+ $ 227,816 $ 228,250

iHeartCommunications, Inc144A 360,000 5.25 8/15/2027 B+ 357,736 374,436

Intrado Corp144A 167,000 8.50 10/15/2025 CCC 165,245 164,495

Lamar Media Corp 350,000 3.75 2/15/2028 BB 350,368 350,875

Level 3 Financing, Inc 210,000 5.25 3/15/2026 BB 214,049 214,647

Ligado Networks LLC144A 291,179 15.50 11/01/2023 285,870 235,855

LogMeIn, Inc144A 270,000 5.50 9/01/2027 B 276,122 273,240

Lumen Technologies, Inc 400,000 7.50 4/01/2024 BB- 436,549 438,000



Match Group Holdings II LLC144A 715,000 4.13 8/01/2030 BB 732,598 722,150

McGraw-Hill Education, Inc144A 420,000 8.00 8/01/2029 CCC 411,070 416,787

Nexstar Media, Inc144A 200,000 5.63 7/15/2027 B+ 204,027 210,824

Nokia Oyj 300,000 4.38 6/12/2027 BB+ 301,592 324,000

NortonLifeLock, Inc144A 200,000 5.00 4/15/2025 BB- 200,721 201,525

Outfront Media

Capital LLC/Outfront Media

Capital Corp144A 450,000 4.63 3/15/2030 B+ 451,246 448,875

Quebecor Media, Inc 260,000 5.75 1/15/2023 BB- 269,207 270,400

Radiate Holdco LLC/Radiate

Finance, Inc144A 210,000 4.50 9/15/2026 B 217,658 212,100

Rakuten Group, Inc144A,(1) 520,000 6.25 12/31/2099 B+ 547,297 548,600

Sirius XM Radio, Inc144A 440,000 5.50 7/01/2029 BB 472,235 474,100

Sprint Capital Corp 335,000 8.75 3/15/2032 BB+ 434,733 502,500

TEGNA, Inc 510,000 5.00 9/15/2029 BB 531,110 521,475

Telecom Italia Capital SA 295,000 7.20 7/18/2036 BB 322,186 338,235

Telecom Italia SpA144A 300,000 5.30 5/30/2024 BB 300,380 315,738

T-Mobile USA, Inc 605,000 2.25 2/15/2026 BB+ 609,781 606,512

T-Mobile USA, Inc 460,000 5.38 4/15/2027 BB+ 476,196 478,699

Uber Technologies, Inc144A 300,000 8.00 11/01/2026 B- 299,860 319,500

Univision Communications,

Inc144A 400,000 5.13 2/15/2025 B 391,558 404,000

UPC Broadband Finco BV144A 800,000 4.88 7/15/2031 BB- 815,438 816,000

UPC Holding BV144A 290,000 5.50 1/15/2028 B 293,957 300,875

Viasat, Inc144A 230,000 5.63 4/15/2027 BB+ 236,829 237,061

Virgin Media Secured Finance

PLC144A 530,000 5.50 5/15/2029 BB- 555,462 559,622

Vodafone Group PLC(1) 200,000 7.00 4/04/2079 BB+ 229,257 241,896

Vodafone Group PLC(1) 245,000 4.13 6/04/2081 BB+ 247,190 242,540

Windstream

Escrow LLC/Windstream

Escrow Finance Corp144A 235,000 7.75 8/15/2028 B 249,513 249,208

Zayo Group Holdings, Inc144A 900,000 4.00 3/01/2027 B 892,415 887,193

Ziggo Bond Co BV144A 300,000 6.00 1/15/2027 B- 288,222 309,000

Ziggo BV144A 670,000 4.88 1/15/2030 B+ 692,614 687,152

Total Communications 23,617,468 23,650,381

Consumer, Cyclical: 23.01%

1011778 BC ULC/New Red

Finance, Inc144A 1,180,000 4.00 10/15/2030 B+ 1,147,144 1,159,350



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Adient Global Holdings Ltd144A 400,000 4.88% 8/15/2026 B $ 344,878 $ 408,000

Air Canada144A 645,000 3.88 8/15/2026 BB- 652,660 657,900

Allen Media LLC/Allen Media

Co-Issuer, Inc144A 685,000 10.50 2/15/2028 B- 727,906 714,664

Allison Transmission, Inc144A 210,000 5.88 6/01/2029 229,694 228,375

Allison Transmission, Inc144A 715,000 3.75 1/30/2031 707,885 697,125

American Airlines Group, Inc144A 255,000 3.75 3/01/2025 CCC 237,178 238,425

American Airlines

Inc/AAdvantage Loyalty IP

Ltd144A 690,000 5.50 4/20/2026 722,216 717,514

American Airlines Pass-Through

Trust, 2015-1 Class A 196,148 3.38 5/01/2027 BB+ 171,790 194,320

American Axle & Manufacturing,

Inc 320,000 6.50 4/01/2027 B+ 321,166 332,400

American Builders & Contractors

Supply Co, Inc144A 350,000 4.00 1/15/2028 BB+ 350,336 358,131

Aramark Services, Inc144A 350,000 6.38 5/01/2025 B+ 363,996 365,750

BCPE Empire Holdings, Inc144A 205,000 7.63 5/01/2027 CCC 204,640 209,319

Bed Bath & Beyond, Inc 475,000 5.17 8/01/2044 B+ 434,541 394,580

Boyd Gaming Corp 200,000 4.75 12/01/2027 B 205,988 204,000

Brookfield Residential Properties,

Inc/Brookfield Residential

US LLC144A 310,000 6.25 9/15/2027 B+ 320,605 323,578

Caesars Entertainment, Inc144A 820,000 8.13 7/01/2027 CCC+ 883,453 908,101

Carnival Corp144A 825,000 5.75 3/01/2027 B 845,442 825,000

Carnival Corp144A 330,000 9.88 8/01/2027 BB- 349,114 377,096

Cedar Fair LP 690,000 5.25 7/15/2029 CCC+ 672,249 707,250

Churchill Downs, Inc144A 210,000 5.50 4/01/2027 B+ 216,615 216,300

Clarios Global LP/Clarios US

Finance Co144A 360,000 6.25 5/15/2026 B 365,654 376,650

Dana, Inc 300,000 5.63 6/15/2028 BB 317,207 318,750

Delta Air Lines, Inc 730,000 7.38 1/15/2026 B+ 823,097 859,427

Delta Air Lines, Inc 300,000 4.38 4/19/2028 B+ 224,910 319,617

Dornoch Debt Merger Sub,

Inc144A 165,000 6.63 10/15/2029 CCC 165,250 162,938

eG Global Finance PLC144A 310,000 8.50 10/30/2025 B- 322,052 321,238

Ford Motor Co 495,000 4.75 1/15/2043 BB+ 533,021 546,356

Golden Nugget, Inc144A 300,000 8.75 10/01/2025 CCC 304,931 312,000

Goodyear Tire & Rubber Co 890,000 4.88 3/15/2027 BB- 930,356 942,287

H&E Equipment Services, Inc144A 635,000 3.88 12/15/2028 BB- 630,587 630,237

Hanesbrands, Inc144A 200,000 4.63 5/15/2024 BB 202,379 209,428

Hilton Worldwide

Finance LLC/Hilton Worldwide

Finance Corp 200,000 4.88 4/01/2027 BB 205,275 206,000

IHO Verwaltungs GmbH144A 230,000 6.38 5/15/2029 BB- 251,058 247,250

International Game Technology

PLC144A 860,000 6.25 1/15/2027 BB 960,653 963,200

Jaguar Land Rover Automotive

PLC144A 300,000 4.50 10/01/2027 B+ 298,337 291,024



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


LCM Investments Holdings

II LLC144A 235,000 4.88% 5/01/2029 BB- $ 241,893 $ 241,505

Live Nation Entertainment,

Inc144A 710,000 4.75 10/15/2027 B- 694,674 729,525

Macy's Retail Holdings LLC144A 490,000 5.88 4/01/2029 BB- 499,918 522,462

MajorDrive Holdings IV LLC144A 210,000 6.38 6/01/2029 CCC+ 208,215 203,175

Mattel, Inc144A 480,000 3.38 4/01/2026 BB 491,905 492,250

MGM China Holdings Ltd144A 260,000 5.88 5/15/2026 B+ 269,052 260,650

MGM Resorts International 550,000 5.75 6/15/2025 B+ 597,566 591,937

Mohegan Gaming &

Entertainment144A 190,000 8.00 2/01/2026 B- 196,448 199,479

NCL Corp Ltd144A 254,000 12.25 5/15/2024 B+ 291,244 300,990

Newell Brands, Inc 360,000 4.70 4/01/2026 BB+ 393,050 392,492

Party City Holdings, Inc144A 195,000 8.75 2/15/2026 B 201,623 201,338

QVC, Inc 850,000 4.75 2/15/2027 BB+ 899,130 874,021

Resorts World Las

Vegas LLC/RWLV Capital,

Inc144A 400,000 4.63 4/16/2029 BB 406,484 402,266

Rite Aid Corp144A 195,000 8.00 11/15/2026 CCC 206,998 198,900

Royal Caribbean Cruises Ltd 230,000 5.25 11/15/2022 B 232,736 233,167

Royal Caribbean Cruises Ltd144A 220,000 10.88 6/01/2023 BB- 231,056 240,351

Royal Caribbean Cruises Ltd 340,000 3.70 3/15/2028 B 325,075 318,709

Scientific Games International,

Inc144A 430,000 8.25 3/15/2026 B- 448,266 452,575

Six Flags Entertainment Corp144A 200,000 5.50 4/15/2027 B- 205,782 207,000

Staples, Inc144A 340,000 7.50 4/15/2026 B 345,265 349,350

Station Casinos LLC144A 595,000 4.50 2/15/2028 B- 600,899 598,391

Studio City Finance Ltd144A 1,200,000 5.00 1/15/2029 B+ 1,093,824 1,074,000

SWF Escrow Issuer Corp144A 225,000 6.50 10/01/2029 CCC 214,935 216,271

Toll Brothers Finance Corp 270,000 4.38 4/15/2023 BB+ 276,331 278,775

Toll Brothers Finance Corp 230,000 4.88 3/15/2027 BB+ 227,612 257,313

Travel + Leisure Co 270,000 6.00 4/01/2027 BB- 279,091 293,428

United Airlines, Inc144A 600,000 4.38 4/15/2026 BB- 620,720 625,641

Viking Cruises Ltd144A 210,000 5.88 9/15/2027 CCC 204,361 199,962

VOC Escrow Ltd144A 350,000 5.00 2/15/2028 B 359,974 346,500

WMG Acquisition Corp144A 200,000 3.88 7/15/2030 BB+ 205,107 203,250

Wolverine Escrow LLC144A 210,000 8.50 11/15/2024 CCC+ 195,953 194,775

Wynn Las Vegas LLC/Wynn Las

Vegas Capital Corp144A 450,000 4.25 5/30/2023 B+ 436,427 453,375

Wynn Macau Ltd144A 210,000 5.50 1/15/2026 B+ 219,018 197,400

Wynn Macau Ltd144A 400,000 5.63 8/26/2028 B+ 393,736 370,394

Wynn Macau Ltd144A 110,000 5.13 12/15/2029 B+ 110,453 99,930

Wynn Resorts Finance LLC/Wynn

Resorts Capital Corp144A 240,000 5.13 10/01/2029 B+ 251,014 243,600

Yum! Brands, Inc144A 200,000 7.75 4/01/2025 BB- 209,966 210,750

Yum! Brands, Inc 360,000 3.63 3/15/2031 BB- 360,392 358,650

Yum! Brands, Inc 350,000 4.63 1/31/2032 BB- 364,336 371,917

Total Consumer, Cyclical 30,654,792 30,950,044



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Consumer, Non-cyclical: 18.26%

ADT Security Corp144A 1,270,000 4.88% 7/15/2032 BB- $ 1,280,492 $ 1,296,664

Adtalem Global Education,

Inc144A 235,000 5.50 3/01/2028 BB- 238,845 229,713

Ahern Rentals, Inc144A 200,000 7.38 5/15/2023 CCC- 195,213 190,250

Albertsons Companies,

Inc/Safeway, Inc/New

Albertsons LP/Albertsons LLC144A 200,000 3.50 3/15/2029 BB 201,563 200,392

Albertsons Companies,

Inc/Safeway, Inc/New

Albertsons LP/Albertsons LLC144A 510,000 4.88 2/15/2030 BB 522,755 550,657

Albion Financing 2SARL144A 200,000 8.75 4/15/2027 B 200,978 203,300

Allied Universal

Holdco LLC/Allied Universal

Finance Corp144A 480,000 6.63 7/15/2026 B 500,086 503,616

Aptim Corp144A 200,000 7.75 6/15/2025 CCC+ 197,756 177,500

APX Group, Inc144A 415,000 5.75 7/15/2029 CCC 418,110 408,775

Avantor Funding, Inc144A 380,000 4.63 7/15/2028 BB- 396,066 396,150

Avis Budget Car Rental LLC/Avis

Budget Finance, Inc144A 480,000 5.75 7/15/2027 B 497,014 498,000

Avon Products, Inc 280,000 8.45 3/15/2043 BB- 348,461 344,400

B&G Foods, Inc 340,000 5.25 4/01/2025 B 345,081 347,269

Bausch Health Cos, Inc144A 250,000 7.00 1/15/2028 B 259,179 248,750



Brink's Co144A 240,000 4.63 10/15/2027 BB- 248,235 247,200

Catalent Pharma Solutions,

Inc144A 430,000 3.13 2/15/2029 BB- 427,624 424,152

Centene Corp 415,000 2.45 7/15/2028 BBB- 421,511 408,775

Centene Corp 735,000 4.63 12/15/2029 BBB- 795,620 792,668

Community Health Systems,

Inc144A 205,000 6.88 4/01/2028 CCC 204,278 200,900

Community Health Systems,

Inc144A 280,000 6.00 1/15/2029 B 297,780 298,550

CoreLogic, Inc144A 210,000 4.50 5/01/2028 B 209,040 209,202

DaVita, Inc144A 765,000 4.63 6/01/2030 B+ 790,225 783,169

Elanco Animal Health, Inc 300,000 5.90 8/28/2028 BB- 314,089 348,000

Encompass Health Corp 520,000 4.63 4/01/2031 B+ 551,366 529,100

Endo Dac/Endo

Finance LLC/Endo Finco,

Inc144A 400,000 6.00 7/15/2023 CCC- 372,523 300,000

Envision Healthcare Corp144A 260,000 8.75 10/15/2026 CCC- 164,998 149,500

Garda World Security Corp144A 370,000 9.50 11/01/2027 CCC+ 398,177 398,928

Garda World Security Corp144A 210,000 6.00 6/01/2029 CCC+ 205,725 200,550

Gartner, Inc144A 545,000 3.75 10/01/2030 BB+ 559,664 557,208

HCA, Inc 850,000 5.38 2/01/2025 BB- 947,327 934,150

Herc Holdings, Inc144A 370,000 5.50 7/15/2027 BB- 384,282 384,800

IHS Markit Ltd144A 540,000 5.00 11/01/2022 NR 553,823 555,390

IQVIA, Inc144A 300,000 5.00 10/15/2026 BB 304,745 307,875



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


JBS USA LUX SA/JBS USA

Food Co/JBS USA Finance,

Inc144A 370,000 6.50% 4/15/2029 BB+ $ 416,625 $ 407,004

Kraft Heinz Foods Co 415,000 5.20 7/15/2045 BB+ 526,309 527,661

Kraft Heinz Foods Co 585,000 4.88 10/01/2049 BB+ 702,113 734,726

Legacy LifePoint Health LLC144A 500,000 4.38 2/15/2027 B 507,880 503,750

Molina Healthcare, Inc144A 430,000 4.38 6/15/2028 BB- 447,063 442,900

Mozart Debt Merger Sub, Inc144A 415,000 5.25 10/01/2029 B- 421,806 420,661

MPH Acquisition

Holdings LLC144A 490,000 5.50 9/01/2028 B+ 477,500 496,737

Nielsen Finance LLC/Nielsen

Finance Co144A 565,000 5.88 10/01/2030 BB 607,066 596,550

Organon & Co/Organon Foreign

Debt Co-Issuer BV144A 990,000 4.13 4/30/2028 BB 1,016,296 1,006,087

Par Pharmaceutical, Inc144A 325,000 7.50 4/01/2027 B- 342,755 332,127

Pilgrim's Pride Corp144A 200,000 5.88 9/30/2027 BB+ 206,361 211,188

Post Holdings, Inc144A 720,000 4.63 4/15/2030 B+ 719,022 733,320

Prime Security Services

Borrower LLC/Prime Finance,

Inc144A 430,000 5.25 4/15/2024 BB- 454,317 457,582

Prime Security Services

Borrower LLC/Prime Finance,

Inc144A 340,000 6.25 1/15/2028 B- 305,971 354,450

RP Escrow Issuer LLC144A 430,000 5.25 12/15/2025 B- 444,514 433,762

Sabre GLBL, Inc144A 470,000 7.38 9/01/2025 B 495,816 491,150

Service Corp International 270,000 5.13 6/01/2029 BB 292,076 289,575

Teleflex, Inc 210,000 4.63 11/15/2027 BB 219,010 218,400

Tenet Healthcare Corp144A 270,000 5.13 11/01/2027 B+ 277,803 281,138

Tenet Healthcare Corp144A 370,000 4.63 6/15/2028 B+ 363,324 380,175

United Rentals North America, Inc 200,000 4.88 1/15/2028 BB 203,171 210,175

United Rentals North America, Inc 220,000 5.25 1/15/2030 BB 239,831 238,150

US Foods, Inc144A 310,000 6.25 4/15/2025 BB 320,782 322,788

Vector Group Ltd144A 290,000 10.50 11/01/2026 B- 298,219 300,513

Total Consumer, Non-cyclical 24,613,025 24,558,116

Diversified: 0.16%

Stena AB144A 210,000 7.00 2/01/2024 B+ 211,141 216,300

Total Diversified 211,141 216,300

Energy: 14.57%

Antero Midstream

Partners LP/Antero Midstream

Finance Corp144A 200,000 5.75 3/01/2027 BB 202,629 207,250

Antero Resources Corp 370,000 5.00 3/01/2025 BB 356,750 375,935

Apache Corp 190,000 5.35 7/01/2049 BB+ 201,301 217,075

Archrock Partners LP/Archrock

Partners Finance Corp144A 310,000 6.88 4/01/2027 B+ 321,636 325,500

Ascent Resources Utica

Holdings LLC/ARU Finance

Corp144A 415,000 5.88 6/30/2029 B 415,863 399,309

Buckeye Partners LP 430,000 3.95 12/01/2026 BB 433,929 438,260

Cheniere Energy Partners LP 200,000 4.50 10/01/2029 BB 207,795 212,000



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Cheniere Energy Partners LP 400,000 4.00% 3/01/2031 BB $ 407,131 $ 419,580

Cheniere Energy, Inc 460,000 4.63 10/15/2028 BB 473,289 489,311

CNX Resources Corp144A 350,000 7.25 3/14/2027 BB- 370,717 371,255

Comstock Resources, Inc144A 425,000 5.88 1/15/2030 B+ 428,746 435,625

Continental Resources, Inc 480,000 3.80 6/01/2024 BB+ 429,898 500,863

Continental Resources, Inc 225,000 4.38 1/15/2028 BB+ 246,219 243,236

CQP Holdco LP/BIP-V Chinook

Holdco LLC144A 325,000 5.50 6/15/2031 B 337,098 339,219

Crestwood Midstream

Partners LP/Crestwood

Midstream Finance Corp 220,000 5.75 4/01/2025 BB- 218,461 224,950

CVR Energy, Inc144A 270,000 5.25 2/15/2025 B+ 258,589 260,550

DCP Midstream Operating LP 390,000 5.13 5/15/2029 BB+ 395,498 440,700

DCP Midstream

Operating LP144A,(1) 200,000 5.85 5/21/2043 BB- 188,149 194,000

Endeavor Energy

Resources LP/EER Finance,

Inc144A 200,000 6.63 7/15/2025 BB 209,576 211,606

EnLink Midstream Partners LP 65,000 5.45 6/01/2047 BB+ 62,735 65,578

EQM Midstream Partners LP 330,000 4.00 8/01/2024 BB- 308,848 342,788

EQM Midstream Partners LP 200,000 4.13 12/01/2026 BB- 169,700 205,000

EQT Corp 400,000 7.50 2/01/2030 BB+ 334,001 514,000

Genesis Energy LP/Genesis

Energy Finance Corp 400,000 6.25 5/15/2026 B 386,729 390,000

Hilcorp Energy I LP/Hilcorp

Finance Co144A 200,000 6.25 11/01/2028 BB 191,276 210,250

Indigo Natural Resources LLC144A 480,000 5.38 2/01/2029 NR 488,721 507,600

Ithaca Energy North Sea PLC144A 1,000,000 9.00 7/15/2026 1,033,192 1,025,000

Laredo Petroleum, Inc144A 270,000 7.75 7/31/2029 B 264,627 263,250

MEG Energy Corp144A 400,000 7.13 2/01/2027 BB- 399,227 425,968

Murphy Oil Corp 200,000 5.75 8/15/2025 BB 203,634 205,576

Nabors Industries, Inc 210,000 5.75 2/01/2025 CCC- 128,575 194,649

New Fortress Energy, Inc144A 265,000 6.50 9/30/2026 BB- 260,108 263,013

NGL Energy Partners LP/NGL

Energy Finance Corp 260,000 7.50 4/15/2026 CCC+ 254,926 222,950

NuStar Logistics LP 350,000 6.00 6/01/2026 BB- 365,659 379,750

Occidental Petroleum Corp 210,000 3.50 8/15/2029 BB 189,963 215,733



Ovintiv, Inc 320,000 6.50 2/01/2038 BBB- 292,627 415,169

PBF Holding Co LLC/PBF

Finance Corp144A 650,000 9.25 5/15/2025 BB- 617,288 618,312

Penn Virginia Holdings LLC144A 190,000 9.25 8/15/2026 B 198,329 197,125

Range Resources Corp 400,000 9.25 2/01/2026 BB- 409,642 431,117

SM Energy Co 300,000 6.75 9/15/2026 B 297,462 308,250

Summit Midstream

Holdings LLC/Summit

Midstream Finance Corp144A 200,000 8.50 10/15/2026 BB- 202,664 208,386

Sunoco LP/Sunoco Finance Corp 300,000 5.88 3/15/2028 BB- 308,876 317,250



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Tallgrass Energy

Partners LP/Tallgrass Energy

Finance Corp144A 350,000 6.00% 3/01/2027 BB- $ 356,851 $ 364,000

Tallgrass Energy

Partners LP/Tallgrass Energy

Finance Corp144A 300,000 5.50 1/15/2028 BB- 302,206 297,375

Targa Resources

Partners LP/Targa Resources

Partners Finance Corp 330,000 6.50 7/15/2027 BB+ 350,951 353,760

Targa Resources



Targa Resources



TerraForm Power

Operating LLC144A 460,000 4.75 1/15/2030 BB- 483,347 482,248

Transocean, Inc144A 214,000 11.50 1/30/2027 CCC+ 347,539 209,720

USA Compression

Partners LP/USA Compression

Finance Corp 210,000 6.88 4/01/2026 B+ 214,177 218,400

Weatherford International Ltd144A 455,000 8.63 4/30/2030 B- 462,914 472,358

Western Midstream Operating LP 925,000 5.30 2/01/2030 BB+ 956,821 1,016,612

Western Midstream Operating LP 300,000 5.30 3/01/2048 BB+ 362,099 361,502

Total Energy 18,839,121 19,599,893

Financial: 9.87%

Acrisure LLC/Acrisure Finance,

Inc144A 330,000 10.13 8/01/2026 CCC+ 366,965 363,412

Alliant Holdings

Intermediate LLC/Alliant

Holdings Co-Issuer144A 300,000 4.25 10/15/2027 B 305,138 300,000

CIT Group, Inc 490,000 5.00 8/01/2023 BB+ 485,006 517,562

CTR Partnership LP/CareTrust

Capital Corp144A 205,000 3.88 6/30/2028 BB+ 210,042 209,100

Curo Group Holdings Corp144A 195,000 7.50 8/01/2028 CCC+ 197,828 196,186

Deutsche Bank AG 400,000 4.50 4/01/2025 BB+ 403,533 425,775

Diversified Healthcare Trust 200,000 9.75 6/15/2025 BB 213,617 216,390

Dresdner Funding Trust I144A 330,000 8.15 6/30/2031 BB- 463,022 465,557

Global Aircraft Leasing Co

Ltd144A 246,976 6.50 9/15/2024 250,810 238,332

GTCR AP Finance, Inc144A 200,000 8.00 5/15/2027 CCC+ 208,088 207,500

Howard Hughes Corp144A 440,000 4.38 2/01/2031 BB- 445,468 444,400

HUB International Ltd144A 300,000 7.00 5/01/2026 CCC+ 296,515 308,250

Icahn Enterprises LP/Icahn

Enterprises Finance Corp 280,000 4.75 9/15/2024 BB 283,316 290,500





Intesa Sanpaolo SpA144A 200,000 5.02 6/26/2024 BB+ 202,934 214,303



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Intesa Sanpaolo SpA144A,(1) 200,000 4.95% 6/01/2042 BB+ $ 208,812 $ 205,480

Iron Mountain, Inc144A 330,000 5.00 7/15/2028 BB- 327,567 339,075

Iron Mountain, Inc144A 570,000 4.88 9/15/2029 BB- 583,444 589,939

iStar, Inc 430,000 4.75 10/01/2024 BB 441,976 446,125

Jefferson Capital

Holdings LLC144A 195,000 6.00 8/15/2026 198,712 197,438

Liberty Mutual Group, Inc144A 435,000 4.30 2/01/2061 BB+ 406,874 408,900

MPT Operating

Partnership LP/MPT Finance

Corp 300,000 5.00 10/15/2027 BBB- 288,869 313,875

MPT Operating

Partnership LP/MPT Finance

Corp 250,000 4.63 8/01/2029 BBB- 262,101 263,750

Nationstar Mortgage Holdings,

Inc144A 260,000 5.13 12/15/2030 B+ 262,442 256,750

Navient Corp 200,000 5.88 10/25/2024 B+ 197,157 213,250

Navient Corp 430,000 5.63 8/01/2033 B+ 409,159 409,577

NFP Corp144A 200,000 6.88 8/15/2028 CCC+ 208,457 200,516

OneMain Finance Corp 365,000 6.88 3/15/2025 BB- 409,623 406,062

OneMain Finance Corp 450,000 8.88 6/01/2025 BB- 480,765 481,500

Park Intermediate

Holdings LLC/PK Domestic

Property LLC/PK Finance

Co-Issuer144A 360,000 5.88 10/01/2028 B+ 378,180 374,400

PennyMac Financial Services,

Inc144A 220,000 4.25 2/15/2029 BB- 208,797 211,508

Provident Financing Trust I 175,000 7.41 3/15/2038 BB+ 211,094 213,500

Realogy Group LLC/Realogy

Co-Issuer Corp144A 200,000 5.75 1/15/2029 B+ 209,751 205,000

Rocket Mortgage LLC/Rocket

Mortgage Co-Issuer, Inc144A 350,000 3.63 3/01/2029 BB+ 345,392 351,312

SBA Communications Corp 410,000 3.88 2/15/2027 BB- 418,887 422,300

Service Properties Trust 250,000 4.95 2/15/2027 B+ 218,690 242,500

Service Properties Trust 340,000 4.38 2/15/2030 B+ 275,563 312,800

UniCredit SpA144A,(1) 330,000 5.86 6/19/2032 BB+ 341,627 362,008

Uniti Group LP/Uniti Group

Finance, Inc/CSL

Capital LLC144A 245,000 6.50 2/15/2029 CCC 246,942 244,158

VICI Properties LP/VICI Note Co,

Inc144A 490,000 4.63 12/01/2029 BB 508,817 521,470

World Acceptance Corp144A 205,000 7.00 11/01/2026 B 204,651 205,513

Total Financial 13,067,353 13,271,744

Industrial: 6.36%

AECOM 300,000 5.13 3/15/2027 BB- 294,742 326,803

Ardagh Packaging Finance

PLC/Ardagh Holdings USA,

Inc144A 590,000 5.25 8/15/2027 B- 600,152 593,687

Bombardier, Inc144A 320,000 7.88 4/15/2027 CCC+ 332,820 331,872

Builders FirstSource, Inc144A 204,000 6.75 6/01/2027 BBB- 213,593 215,220

Energizer Holdings, Inc144A 300,000 4.38 3/31/2029 B 308,232 292,785



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


FXI Holdings, Inc144A 200,000 7.88% 11/01/2024 B- $ 188,740 $ 203,780

GFL Environmental, Inc144A 370,000 3.75 8/01/2025 BB- 377,591 373,700

GFL Environmental, Inc144A 370,000 5.13 12/15/2026 BB- 386,230 384,800

JELD-WEN, Inc144A 290,000 4.88 12/15/2027 BB- 301,407 297,581

LABL, Inc144A 200,000 6.75 7/15/2026 B- 209,291 206,120

Madison IAQ LLC144A 405,000 5.88 6/30/2029 CCC+ 414,243 405,000

Mauser Packaging Solutions

Holding Co144A 240,000 5.50 4/15/2024 B- 240,952 242,201

Mauser Packaging Solutions

Holding Co144A 300,000 7.25 4/15/2025 CCC 301,575 300,761

Rolls-Royce PLC144A 760,000 5.75 10/15/2027 BB- 819,359 840,484

Sealed Air Corp144A 200,000 5.13 12/01/2024 BB+ 206,832 214,000

Spirit AeroSystems, Inc144A 330,000 7.50 4/15/2025 B 333,166 346,087

Standard Industries, Inc144A 400,000 5.00 2/15/2027 BB 410,581 411,760

Standard Industries, Inc144A 200,000 4.75 1/15/2028 BB 189,970 206,500

TK Elevator US Newco, Inc144A 240,000 5.25 7/15/2027 B+ 249,143 252,300

TransDigm, Inc144A 510,000 6.25 3/15/2026 B+ 528,097 530,081

TransDigm, Inc 510,000 4.88 5/01/2029 B- 511,749 512,193

Triumph Group, Inc 230,000 7.75 8/15/2025 CCC- 224,737 228,275

Trivium Packaging Finance

BV144A 290,000 5.50 8/15/2026 B 300,062 301,600

WESCO Distribution, Inc144A 290,000 7.25 6/15/2028 BB- 309,783 317,912

XPO Logistics, Inc144A 210,000 6.25 5/01/2025 B+ 218,829 219,713

Total Industrial 8,471,876 8,555,215

Technology: 2.09%

Black Knight InfoServ LLC144A 270,000 3.63 9/01/2028 BB- 275,946 269,646

CDK Global, Inc 230,000 4.88 6/01/2027 BB+ 228,020 238,050

Clarivate Science Holdings

Corp144A 215,000 3.88 7/01/2028 B 214,510 216,075

Entegris, Inc144A 380,000 3.63 5/01/2029 BB 386,657 380,950

MSCI, Inc144A 270,000 3.63 11/01/2031 BB+ 277,983 280,125

NCR Corp144A 300,000 5.75 9/01/2027 B+ 309,264 313,500

NCR Corp144A 370,000 6.13 9/01/2029 B+ 391,637 395,398

Rackspace Technology Global,

Inc144A 200,000 5.38 12/01/2028 B- 206,905 195,000

SS&C Technologies, Inc144A 300,000 5.50 9/30/2027 B+ 308,856 313,500

Xerox Corp 200,000 4.38 3/15/2023 BB 199,109 206,600

Total Technology 2,798,887 2,808,844

Utilities: 2.63%

AmeriGas Partners LP/AmeriGas

Finance Corp 200,000 5.50 5/20/2025 202,491 214,250

Calpine Corp144A 200,000 4.50 2/15/2028 BB+ 205,688 207,500

Calpine Corp144A 540,000 5.13 3/15/2028 B+ 558,276 548,186

Clearway Energy

Operating LLC144A 260,000 4.75 3/15/2028 BB 274,065 273,325

FirstEnergy Corp 650,000 7.38 11/15/2031 BB+ 869,061 877,110

NextEra Energy Operating

Partners LP144A 250,000 4.50 9/15/2027 BB 256,292 270,000

NRG Energy, Inc 61,000 6.63 1/15/2027 BB+ 63,317 63,412



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


NRG Energy, Inc144A 220,000 5.25% 6/15/2029 BB+ $ 231,636 $ 235,705

PG&E Corp 320,000 5.00 7/01/2028 BB- 319,664 336,582

Talen Energy Supply LLC144A 200,000 10.50 1/15/2026 CCC 199,121 86,000

Vistra Operations Co LLC144A 210,000 5.50 9/01/2026 BB 214,812 216,854

Vistra Operations Co LLC144A 200,000 5.00 7/31/2027 BB 205,596 207,564






Fund S(2) 0.05(3) 1,381,962 1,381,962 1,381,962





shown are those in effect on December 31, 2021.(2) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds




December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Basic Materials: 3.16%

Air Products and Chemicals, Inc 79,000 3.35% 7/31/2024 A $ 79,923 $ 83,028

ArcelorMittal SA 290,000 6.75 3/01/2041 BBB- 400,685 391,529

Barrick Gold Corp 400,000 5.25 4/01/2042 BBB 485,601 518,725

Barrick North America

Finance LLC 28,000 5.70 5/30/2041 BBB 33,532 38,053

BHP Billiton Finance USA Ltd 119,000 4.13 2/24/2042 A 124,909 140,847

BHP Billiton Finance USA Ltd 400,000 5.00 9/30/2043 A 579,954 528,972

Cabot Corp 1,115,000 4.00 7/01/2029 BBB 1,229,819 1,216,379

Celulosa Arauco y Constitucion

SA 600,000 4.50 8/01/2024 BBB- 630,784 637,506

CF Industries, Inc 130,000 5.38 3/15/2044 BBB- 164,942 163,943

Dow Chemical Co 1,600,000 4.80 11/30/2028 BBB 1,910,120 1,866,280

Dow Chemical Co 95,000 9.40 5/15/2039 BBB 171,779 170,204



DuPont de Nemours, Inc 1,300,000 4.21 11/15/2023 BBB+ 1,342,920 1,374,712

DuPont de Nemours, Inc 500,000 4.73 11/15/2028 BBB+ 594,927 579,119



Eastman Chemical Co 1,450,000 4.50 12/01/2028 BBB 1,687,733 1,648,197

Eastman Chemical Co 56,000 4.65 10/15/2044 BBB 59,753 66,971

Ecolab, Inc 79,000 5.50 12/08/2041 A- 95,341 110,864

Fibria Overseas Finance Ltd 40,000 5.50 1/17/2027 BBB- 41,703 44,850

FMC Corp 200,000 3.45 10/01/2029 BBB- 204,834 212,953

Georgia-Pacific LLC 40,000 8.00 1/15/2024 A+ 43,973 45,427

Georgia-Pacific LLC 79,000 8.88 5/15/2031 A+ 110,737 122,092

Huntsman International LLC 300,000 4.50 5/01/2029 BB+ 340,492 331,615

International Flavors &

Fragrances, Inc 300,000 5.00 9/26/2048 BBB 367,646 385,608

International Paper Co 79,000 5.00 9/15/2035 BBB 87,447 98,573




Linde, Inc 79,000 2.70 2/21/2023 A 79,057 80,368

LYB International Finance BV 1,319,000 4.88 3/15/2044 BBB 1,448,328 1,629,241

LYB International Finance

III LLC 400,000 4.20 10/15/2049 BBB 465,128 461,994

LYB International Finance

III LLC 400,000 4.20 5/01/2050 BBB 437,493 462,314

LyondellBasell Industries NV 200,000 5.75 4/15/2024 BBB 210,188 217,282

Mosaic Co 99,000 4.25 11/15/2023 BBB 100,332 104,129

Mosaic Co 200,000 5.63 11/15/2043 BBB 211,038 265,614

Newmont Corp 200,000 2.80 10/01/2029 BBB 198,560 205,639

Newmont Corp 99,000 6.25 10/01/2039 BBB 122,333 138,051

Nucor Corp 300,000 2.70 6/01/2030 A- 320,690 309,232

Nucor Corp 405,000 2.98 12/15/2055 A- 401,485 397,591

Nutrien Ltd 79,000 5.88 12/01/2036 BBB 91,443 106,205

Nutrien Ltd 20,000 5.63 12/01/2040 BBB 22,864 27,235


Wells Fargo Investment Grade Corporate Bond Index CITSchedule of Investments

December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Nutrien Ltd 40,000 6.13% 1/15/2041 BBB $ 46,892 $ 56,668

Nutrien Ltd 64,000 5.25 1/15/2045 BBB 69,530 85,021

PPG Industries, Inc 500,000 3.75 3/15/2028 BBB+ 533,718 551,400

Rio Tinto Alcan, Inc 20,000 5.75 6/01/2035 A 23,404 27,037

Rio Tinto Finance USA Ltd 399,000 7.13 7/15/2028 A 527,131 520,158

Rio Tinto Finance USA PLC 79,000 4.75 3/22/2042 A 88,568 101,208

Rio Tinto Finance USA PLC 1,209,000 4.13 8/21/2042 A 1,467,813 1,445,515

Sherwin-Williams Co 3,085,000 3.13 6/01/2024 BBB 3,223,825 3,220,135

Sherwin-Williams Co 79,000 3.95 1/15/2026 BBB 80,823 85,967

Sherwin-Williams Co 500,000 2.90 3/15/2052 BBB 488,750 488,264

Southern Copper Corp 450,000 7.50 7/27/2035 BBB+ 612,885 642,937

Southern Copper Corp 256,000 6.75 4/16/2040 BBB+ 340,622 358,080

Suzano Austria GmbH 600,000 6.00 1/15/2029 BBB- 715,923 694,506

Teck Resources Ltd 400,000 5.40 2/01/2043 BBB- 415,053 487,753

Vale Overseas Ltd 20,000 8.25 1/17/2034 BBB- 24,756 28,150

Vale Overseas Ltd 544,000 6.88 11/21/2036 BBB- 761,824 722,845

Westlake Chemical Corp 40,000 3.60 8/15/2026 BBB 40,195 42,897



Total Basic Materials 25,609,055 26,134,494

Communications: 8.18%

Alibaba Group Holding Ltd 900,000 3.60 11/28/2024 A+ 913,879 946,731





Alphabet, Inc 2,279,000 3.38 2/25/2024 AA+ 2,421,882 2,401,190

Alphabet, Inc 119,000 2.00 8/15/2026 AA+ 115,035 122,624

Alphabet, Inc 1,240,000 2.25 8/15/2060 AA+ 1,100,858 1,104,982

Amazon.com, Inc 165,000 0.45 5/12/2024 AA 164,198 163,367

Amazon.com, Inc 1,314,000 2.80 8/22/2024 AA 1,379,116 1,375,383

Amazon.com, Inc 500,000 3.15 8/22/2027 AA 557,204 540,010

Amazon.com, Inc 300,000 1.50 6/03/2030 AA 297,831 290,721

Amazon.com, Inc 500,000 4.80 12/05/2034 AA 594,575 638,562

Amazon.com, Inc 495,000 4.05 8/22/2047 AA 553,460 600,161

Amazon.com, Inc 400,000 2.50 6/03/2050 AA 361,336 380,855

Amazon.com, Inc 1,175,000 4.25 8/22/2057 AA 1,467,775 1,504,474

America Movil SAB de CV 500,000 4.38 7/16/2042 BBB+ 525,939 593,572

America Movil SAB de CV 700,000 4.38 4/22/2049 BBB+ 844,505 846,230

AT&T, Inc 99,000 3.40 5/15/2025 BBB 98,457 104,586

AT&T, Inc 87,000 4.50 5/15/2035 BBB 85,136 100,502

AT&T, Inc 79,000 6.00 8/15/2040 BBB 86,795 106,760

AT&T, Inc 210,000 5.15 3/15/2042 BBB 262,170 262,934

AT&T, Inc 79,000 4.90 6/15/2042 BBB 80,603 95,171

AT&T, Inc 240,000 3.10 2/01/2043 BBB 228,789 233,314

AT&T, Inc 104,000 3.50 9/15/2053 BBB 103,434 104,925

AT&T, Inc 37,000 3.55 9/15/2055 BBB 36,717 37,134

AT&T, Inc 40,000 5.70 3/01/2057 BBB 42,132 54,863



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


AT&T, Inc 1,520,000 3.80% 12/01/2057 BBB $ 1,580,542 $ 1,582,414

AT&T, Inc 1,530,000 3.65 9/15/2059 BBB 1,541,615 1,545,130

AT&T, Inc 620,000 3.85 6/01/2060 BBB 656,557 647,629

AT&T, Inc 1,445,000 3.50 2/01/2061 BBB 1,398,333 1,420,879

Baidu, Inc 200,000 4.13 6/30/2025 208,453 215,285

Baidu, Inc 2,000,000 3.63 7/06/2027 2,191,061 2,143,895

Bell Telephone Co of Canada 300,000 4.46 4/01/2048 BBB+ 346,645 371,157

Booking Holdings, Inc 159,000 2.75 3/15/2023 A- 158,956 162,412



British Telecommunications PLC 579,000 9.63 12/15/2030 BBB 849,584 847,871

Charter Communications

Operating LLC/Charter

Communications Operating

Capital 200,000 4.91 7/23/2025 BBB- 206,300 220,222




Capital 419,000 3.75 2/15/2028 BBB- 422,404 448,868




Capital 300,000 5.05 3/30/2029 BBB- 339,449 343,441




Capital 119,000 6.38 10/23/2035 BBB- 134,701 153,718




Capital 400,000 5.38 4/01/2038 BBB- 473,435 477,331




Capital 155,000 6.48 10/23/2045 BBB- 176,925 211,666




Capital 127,000 5.38 5/01/2047 BBB- 128,380 151,588




Capital 870,000 3.90 6/01/2052 BBB- 881,890 872,407




Capital 663,000 6.83 10/23/2055 BBB- 966,848 948,174




Capital 175,000 3.85 4/01/2061 BBB- 167,314 165,027



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue





Capital 535,000 4.40% 12/01/2061 BBB- $ 576,066 $ 553,461




Capital 170,000 3.95 6/30/2062 BBB- 166,836 163,774

Cisco Systems Inc 200,000 2.60 2/28/2023 AA- 201,003 204,511



Cisco Systems Inc 1,600,000 2.50 9/20/2026 AA- 1,705,237 1,678,523



Comcast Corp 159,000 3.15 3/01/2026 A- 159,542 169,528

Comcast Corp 159,000 3.30 2/01/2027 A- 160,210 170,814

Comcast Corp 99,000 7.05 3/15/2033 A- 129,011 142,426

Comcast Corp 20,000 5.65 6/15/2035 A- 23,783 26,446

Comcast Corp 79,000 4.40 8/15/2035 A- 84,424 94,667

Comcast Corp 224,000 4.65 7/15/2042 A- 268,553 274,110

Comcast Corp 50,000 4.60 8/15/2045 A- 54,444 62,184

Comcast Corp 335,000 4.00 8/15/2047 A- 391,483 385,313

Comcast Corp 1,430,000 4.70 10/15/2048 A- 1,839,761 1,820,883

Comcast Corp 990,000 4.00 11/01/2049 A- 1,122,906 1,147,155

Comcast Corp 700,000 3.45 2/01/2050 A- 790,340 747,476

Comcast Corp 1,130,000 2.65 8/15/2062 A- 1,025,137 1,002,820

Comcast Corp144A 335,000 2.99 11/01/2063 A- 317,195 317,924

Corning, Inc 320,000 5.75 8/15/2040 BBB+ 363,584 432,673

Corning, Inc 20,000 4.75 3/15/2042 BBB+ 21,772 25,190

Corning, Inc 275,000 5.45 11/15/2079 BBB+ 390,669 363,041

Deutsche Telekom International

Finance BV 439,000 8.75 6/15/2030 BBB 612,608 638,070

Deutsche Telekom International

Finance BV 20,000 9.25 6/01/2032 BBB 28,765 31,896

Discovery Communications LLC 199,000 2.95 3/20/2023 BBB- 198,773 203,528








eBay, Inc 159,000 3.60 6/05/2027 BBB+ 159,092 172,880

Expedia Group, Inc 600,000 3.25 2/15/2030 BBB- 518,349 612,300

Fox Corp 400,000 5.58 1/25/2049 BBB 538,643 545,958

Grupo Televisa SAB 244,000 6.63 1/15/2040 BBB+ 326,796 330,973

Grupo Televisa SAB 200,000 5.00 5/13/2045 BBB+ 199,508 236,063

Interpublic Group of Cos Inc 400,000 4.75 3/30/2030 BBB 482,400 464,487

Juniper Networks, Inc 20,000 5.95 3/15/2041 BBB 22,362 26,462



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Motorola Solutions, Inc 600,000 4.60% 5/23/2029 BBB- $ 699,849 $ 685,504

Omnicom Group Inc/Omnicom

Capital Inc 119,000 3.65 11/01/2024 BBB+ 120,379 126,130

Omnicom Group Inc/Omnicom

Capital Inc 159,000 3.60 4/15/2026 BBB+ 160,154 170,467

Omnicom Group, Inc 400,000 4.20 6/01/2030 BBB+ 467,847 449,655

Orange SA 379,000 9.00 3/01/2031 BBB+ 516,863 580,735

Rogers Communications, Inc 540,000 4.10 10/01/2023 BBB+ 568,891 563,519

Rogers Communications, Inc 200,000 4.35 5/01/2049 BBB+ 245,449 231,765

Telefonica Emisiones SA 700,000 4.10 3/08/2027 BBB- 713,352 770,488



Telefonica Europe BV 424,000 8.25 9/15/2030 BBB- 613,068 598,786

TELUS Corp 500,000 2.80 2/16/2027 BBB+ 528,798 519,795

Thomson Reuters Corp 300,000 3.35 5/15/2026 BBB 307,597 318,368

Time Warner Cable LLC 99,000 6.55 5/01/2037 BBB- 113,817 129,519




Time Warner Entertainment Co LP 119,000 8.38 7/15/2033 BBB- 153,520 173,266

T-Mobile USA, Inc 385,000 3.00 2/15/2041 BBB- 375,175 375,878

T-Mobile USA, Inc 690,000 3.60 11/15/2060 BBB- 711,693 683,461

T-Mobile USA, Inc144A 790,000 3.60 11/15/2060 BBB- 810,645 782,514

TWDC Enterprises 18 Corp 200,000 3.00 2/13/2026 BBB+ 207,362 211,575




Verizon Communications, Inc 119,000 3.50 11/01/2024 BBB+ 119,000 126,622


Verizon Communications, Inc144A 365,000 2.36 3/15/2032 BBB+ 363,227 359,641





Verizon Communications, Inc 2,190,000 3.00 11/20/2060 BBB+ 2,058,517 2,069,444

Verizon Communications, Inc 1,915,000 3.70 3/22/2061 BBB+ 2,048,525 2,076,276

ViacomCBS, Inc 200,000 4.00 1/15/2026 BBB 199,369 215,935








Vodafone Group PLC 159,000 2.95 2/19/2023 BBB 159,339 162,331


Vodafone Group PLC 1,020,000 7.88 2/15/2030 BBB 1,248,869 1,416,982





December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Vodafone Group PLC 125,000 5.13% 6/19/2059 BBB $ 167,557 $ 164,160

Walt Disney Co 300,000 6.40 12/15/2035 BBB+ 426,392 429,316



Walt Disney Co 970,000 3.80 5/13/2060 BBB+ 1,169,436 1,123,709

Total Communications 66,582,459 67,742,800

Consumer, Cyclical: 5.94%


Trust 90,663 3.58 1/15/2028 A- 92,448 92,060


Trust 765 3.20 6/15/2028 A- 764 768


Trust 390,625 3.65 2/15/2029 400,147 407,588


Trust 64,035 3.35 10/15/2029 64,271 65,130

American Honda Finance Corp 600,000 2.05 1/10/2023 A- 609,773 608,853

American Honda Finance Corp 2,185,000 0.88 7/07/2023 A- 2,201,317 2,185,737



American Honda Finance Corp 1,000,000 3.50 2/15/2028 A- 1,004,031 1,091,670

AutoZone, Inc 200,000 3.13 7/15/2023 BBB 200,363 205,613

AutoZone, Inc 400,000 3.63 4/15/2025 BBB 434,835 426,545

AutoZone, Inc 40,000 3.75 6/01/2027 BBB 40,333 43,667

Best Buy Co, Inc 500,000 1.95 10/01/2030 BBB+ 479,121 479,691

Costco Wholesale Corp 559,000 3.00 5/18/2027 A+ 598,433 600,688

Costco Wholesale Corp 705,000 1.75 4/20/2032 A+ 693,654 684,951

Cummins, Inc 700,000 3.65 10/01/2023 A+ 735,175 728,795

Daimler Finance North

America LLC 107,000 8.50 1/18/2031 A- 145,877 159,106

Dollar General Corp 560,000 3.25 4/15/2023 BBB 572,500 573,531

Dollar General Corp 40,000 4.15 11/01/2025 BBB 41,308 43,439

Dollar Tree, Inc 800,000 4.20 5/15/2028 BBB 848,144 891,607

DR Horton, Inc 300,000 4.75 2/15/2023 BBB 306,333 309,873

General Motors Co 328,000 6.60 4/01/2036 BBB 345,321 443,635




General Motors Financial Co, Inc 28,000 3.70 5/09/2023 BBB 28,163 28,835

General Motors Financial Co, Inc 1,000,000 5.10 1/17/2024 BBB 1,073,270 1,072,241







Hasbro, Inc 500,000 3.90 11/19/2029 BBB- 514,281 551,268

Hasbro, Inc 99,000 6.35 3/15/2040 BBB- 118,152 136,592

Home Depot Inc 265,000 1.88 9/15/2031 A 261,816 260,718

Home Depot, Inc 99,000 3.00 4/01/2026 A 99,465 105,180



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Home Depot, Inc 79,000 2.80% 9/14/2027 A $ 78,160 $ 83,777

Home Depot, Inc 700,000 1.38 3/15/2031 A 683,676 659,865

Home Depot, Inc 159,000 5.88 12/16/2036 A 201,420 225,209

Home Depot, Inc 300,000 5.95 4/01/2041 A 435,811 430,445

Home Depot, Inc 379,000 4.20 4/01/2043 A 450,263 457,336

Home Depot, Inc 119,000 4.25 4/01/2046 A 127,549 148,100

Home Depot, Inc 738,000 3.90 6/15/2047 A 722,171 862,182

Home Depot, Inc 300,000 4.50 12/06/2048 A 372,344 387,870

Hyatt Hotels Corp 400,000 5.75 4/23/2030 BB+ 477,424 477,142

Las Vegas Sands Corp 500,000 3.90 8/08/2029 BBB- 512,111 503,486

Lennar Corp 600,000 4.75 11/29/2027 BBB- 693,477 679,008

Lowe's Cos, Inc 99,000 3.88 9/15/2023 BBB+ 100,645 103,286

Lowe's Cos, Inc 72,000 3.38 9/15/2025 BBB+ 73,071 76,627

Lowe's Cos, Inc 519,000 2.50 4/15/2026 BBB+ 517,164 540,239

Lowe's Cos, Inc 559,000 3.10 5/03/2027 BBB+ 552,451 596,406

Lowe's Cos, Inc 600,000 1.30 4/15/2028 BBB+ 596,537 575,001

Lowe's Cos, Inc 328,000 4.65 4/15/2042 BBB+ 374,230 399,773

Lowe's Cos, Inc 119,000 3.70 4/15/2046 BBB+ 116,334 130,440

Lowe's Cos, Inc 559,000 4.05 5/03/2047 BBB+ 647,338 643,094

Magna International, Inc 79,000 3.63 6/15/2024 A- 80,161 83,087

Marriott International, Inc 1,700,000 5.75 5/01/2025 BBB- 1,910,417 1,913,591

Marriott International, Inc 159,000 3.13 6/15/2026 BBB- 158,386 165,126

McDonald's Corp 79,000 3.25 6/10/2024 BBB+ 79,892 83,001









MDC Holdings, Inc 400,000 3.85 1/15/2030 BBB- 429,098 425,871

NIKE, Inc 400,000 2.38 11/01/2026 AA- 387,859 417,936

NIKE, Inc 480,000 3.25 3/27/2040 AA- 521,026 522,161

NIKE, Inc 1,530,000 3.38 3/27/2050 AA- 1,728,395 1,729,486

O'Reilly Automotive, Inc 119,000 3.60 9/01/2027 BBB 119,398 128,619

O'Reilly Automotive, Inc 300,000 3.90 6/01/2029 BBB 341,537 331,132

PACCAR Financial Corp 500,000 2.65 4/06/2023 A+ 514,658 511,749

PulteGroup, Inc 300,000 5.50 3/01/2026 BBB- 348,374 341,106

Sands China Ltd 500,000 5.13 8/08/2025 BBB- 520,942 524,530

Sands China Ltd 200,000 5.40 8/08/2028 BBB- 215,202 215,284

Southwest Airlines Co 600,000 3.45 11/16/2027 BBB 638,028 638,966

Starbucks Corp 500,000 3.80 8/15/2025 BBB+ 551,641 539,423

Starbucks Corp 1,159,000 2.45 6/15/2026 BBB+ 1,160,869 1,199,011

Starbucks Corp 700,000 3.35 3/12/2050 BBB+ 746,805 731,943

Target Corp 159,000 3.50 7/01/2024 A 161,887 168,585

Target Corp 179,000 2.50 4/15/2026 A 175,242 187,350

Target Corp 1,000,000 3.38 4/15/2029 A 1,109,770 1,095,285



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


TJX Cos, Inc 500,000 3.88% 4/15/2030 A $ 549,677 $ 560,738

Toyota Motor Corp 500,000 2.76 7/02/2029 A+ 524,937 525,566

Toyota Motor Credit Corp 119,000 2.63 1/10/2023 A+ 119,282 121,415





United Airlines Pass-Through

Trust 45,950 4.15 4/11/2024 BBB- 47,174 47,634


Trust 43,095 4.30 8/15/2025 BBB 44,681 45,048


Trust 27,628 4.00 4/11/2026 BBB 28,485 28,913


Trust 52,367 3.75 9/03/2026 BBB+ 53,451 54,700


Trust 1,151,057 3.10 7/07/2028 1,167,095 1,184,229


Trust 343,472 3.50 3/01/2030 338,969 357,827


Trust 374,231 2.70 5/01/2032 352,657 370,965

Walgreens Boots Alliance, Inc 400,000 3.80 11/18/2024 BBB 428,498 424,880

Walgreens Boots Alliance, Inc 600,000 4.80 11/18/2044 BBB 654,171 721,538

Walmart, Inc 155,000 3.40 6/26/2023 AA 161,567 161,232

Walmart, Inc 335,000 1.05 9/17/2026 AA 333,007 331,237

Walmart, Inc 300,000 3.25 7/08/2029 AA 343,894 329,696

Walmart, Inc 600,000 2.38 9/24/2029 AA 641,774 625,950

Walmart, Inc 345,000 1.80 9/22/2031 AA 344,052 341,541

Walmart, Inc 1,000,000 5.63 4/15/2041 AA 1,296,445 1,446,313

Walmart, Inc 535,000 2.50 9/22/2041 AA 542,318 539,400

Whirlpool Corp 79,000 3.70 5/01/2025 BBB 80,159 84,262

Whirlpool Corp 500,000 4.50 6/01/2046 BBB 580,994 594,951

WW Grainger, Inc 56,000 4.60 6/15/2045 A+ 60,493 71,657

WW Grainger, Inc 79,000 3.75 5/15/2046 A+ 75,968 90,196

Total Consumer, Cyclical 48,086,576 49,188,290

Consumer, Non-cyclical: 18.74%

Abbott Laboratories 300,000 3.40 11/30/2023 A+ 316,148 313,959


Abbott Laboratories 1,100,000 4.75 11/30/2036 A+ 1,376,339 1,403,734




Abbott Laboratories 738,000 4.90 11/30/2046 A+ 956,564 1,008,994

AbbVie, Inc 199,000 2.85 5/14/2023 BBB+ 199,173 203,405

AbbVie, Inc 159,000 3.20 5/14/2026 BBB+ 158,458 168,560

AbbVie, Inc 700,000 3.20 11/21/2029 BBB+ 767,966 748,435

AbbVie, Inc 139,000 4.55 3/15/2035 BBB+ 159,694 167,132

AbbVie, Inc 199,000 4.30 5/14/2036 BBB+ 206,926 234,585

AbbVie, Inc 40,000 4.40 11/06/2042 BBB+ 41,463 47,728



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


AbbVie, Inc 200,000 4.85% 6/15/2044 BBB+ $ 230,295 $ 250,635

AbbVie, Inc 159,000 4.75 3/15/2045 BBB+ 180,148 198,317

AbbVie, Inc 789,000 4.70 5/14/2045 BBB+ 947,701 978,857

AbbVie, Inc 689,000 4.45 5/14/2046 BBB+ 817,652 833,229

AbbVie, Inc 720,000 4.88 11/14/2048 BBB+ 928,662 930,380

Advocate Health & Hospitals Corp 160,000 2.21 6/15/2030 AA 166,279 160,246

Aetna, Inc 2,300,000 2.80 6/15/2023 BBB 2,363,034 2,356,604

Aetna, Inc 200,000 6.63 6/15/2036 BBB 288,328 283,513

Aetna, Inc 300,000 4.50 5/15/2042 BBB 338,724 354,513

Aetna, Inc 1,000,000 3.88 8/15/2047 BBB 1,089,780 1,112,379

Altria Group, Inc 159,000 4.00 1/31/2024 BBB 162,808 167,888






American University 825,000 3.67 4/01/2049 A+ 949,964 953,260

AmerisourceBergen Corp 400,000 3.40 5/15/2024 BBB+ 408,567 417,794

Amgen, Inc 79,000 3.63 5/22/2024 A- 80,267 83,202

Amgen, Inc 700,000 2.45 2/21/2030 A- 734,629 712,433

Amgen, Inc 359,000 4.40 5/01/2045 A- 355,777 428,382

Amgen, Inc 159,000 4.56 6/15/2048 A- 168,885 197,096

Amgen, Inc 885,000 3.38 2/21/2050 A- 915,535 920,516

Amgen, Inc 79,000 4.66 6/15/2051 A- 84,990 101,060

Amgen, Inc 698,000 2.77 9/01/2053 A- 692,349 652,150

Anheuser-Busch

Cos LLC/Anheuser-Busch

InBev Worldwide, Inc 318,000 4.70 2/01/2036 BBB+ 308,737 383,766

Anheuser-Busch

Cos LLC/Anheuser-Busch

InBev Worldwide, Inc 1,631,000 4.90 2/01/2046 BBB+ 1,968,676 2,061,478

Anheuser-Busch InBev Finance,

Inc 759,000 4.63 2/01/2044 BBB+ 911,323 909,799

Anheuser-Busch InBev

Worldwide, Inc 910,000 4.44 10/06/2048 BBB+ 1,068,440 1,087,652


Worldwide, Inc 870,000 4.75 4/15/2058 BBB+ 1,104,031 1,075,638


Worldwide, Inc 110,000 5.80 1/23/2059 BBB+ 162,951 159,043

Anthem, Inc 700,000 2.38 1/15/2025 A 737,014 721,813

Anthem, Inc 600,000 4.10 3/01/2028 A 674,295 665,256

Anthem, Inc 200,000 2.88 9/15/2029 A 215,406 209,323

Anthem, Inc 20,000 6.38 6/15/2037 A 25,310 28,365

Anthem, Inc 374,000 4.65 8/15/2044 A 415,981 468,797

Anthem, Inc 200,000 4.55 3/01/2048 A 193,483 249,436

Anthem, Inc 705,000 3.70 9/15/2049 A 681,216 784,481

Archer-Daniels-Midland Co 103,000 4.02 4/16/2043 A 106,691 123,946

Archer-Daniels-Midland Co 800,000 3.75 9/15/2047 A 945,140 943,475

Ascension Health 800,000 3.11 11/15/2039 AA+ 820,695 849,997



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


AstraZeneca PLC 819,000 3.38% 11/16/2025 A- $ 843,039 $ 878,976

AstraZeneca PLC 79,000 3.13 6/12/2027 A- 78,392 84,668

AstraZeneca PLC 1,019,000 6.45 9/15/2037 A- 1,439,449 1,498,035

AstraZeneca PLC 300,000 4.00 9/18/2042 A- 360,345 358,331

Automatic Data Processing, Inc 880,000 1.25 9/01/2030 AA- 854,577 828,191

Avery Dennison Corp 160,000 2.25 2/15/2032 BBB 160,298 155,385

Baptist Health South Florida

Obligated Group 790,000 3.12 11/15/2071 AA- 786,588 755,361

BAT Capital Corp 79,000 3.22 8/15/2024 BBB+ 79,204 82,108






Baxalta, Inc 79,000 4.00 6/23/2025 BBB+ 80,757 85,181

Baxter International, Inc 40,000 2.60 8/15/2026 BBB 39,028 41,451

Baxter International, Inc 40,000 3.50 8/15/2046 BBB 36,605 43,530

Becton Dickinson and Co 200,000 3.36 6/06/2024 BBB 203,135 209,390



Biogen, Inc 2,223,000 4.05 9/15/2025 A- 2,457,661 2,414,447

Biogen, Inc 165,000 2.25 5/01/2030 A- 167,925 162,457

Biogen, Inc144A 138,000 3.25 2/15/2051 A- 135,962 135,411

Boston Scientific Corp 1,500,000 4.00 3/01/2029 BBB 1,697,485 1,665,712

Boston Scientific Corp 759,000 7.38 1/15/2040 BBB 1,143,862 1,180,244

Bristol-Myers Squibb Co 159,000 3.88 8/15/2025 A+ 166,465 172,066

Bristol-Myers Squibb Co 3,410,000 1.45 11/13/2030 A+ 3,303,424 3,248,572


Bristol-Myers Squibb Co 1,125,000 2.35 11/13/2040 A+ 1,082,420 1,066,846




Bunge Ltd Finance Corp 400,000 3.75 9/25/2027 BBB 370,240 433,936

California Institute of Technology 645,000 3.65 9/01/2119 AA- 731,793 750,427

Campbell Soup Co 200,000 3.65 3/15/2023 BBB- 207,284 206,170



Cardinal Health, Inc 200,000 3.75 9/15/2025 BBB 203,196 214,365



Catholic Health Services of Long

Island Obligated Group 305,000 3.37 7/01/2050 A- 311,124 313,159

Cigna Corp 1,470,000 3.75 7/15/2023 A- 1,538,336 1,528,668

Cigna Corp 200,000 3.50 6/15/2024 A- 203,870 209,696

Cigna Corp 319,000 4.50 2/25/2026 A- 336,961 352,356

Cigna Corp 1,000,000 2.40 3/15/2030 A- 1,023,240 1,008,821

Cigna Corp 40,000 6.13 11/15/2041 A- 48,852 57,646

Cigna Corp 791,000 4.80 7/15/2046 A- 861,807 998,301

Cigna Corp 490,000 4.90 12/15/2048 A- 630,108 633,141



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Cleveland Clinic Foundation 495,000 4.86% 1/01/2114 AA $ 747,579 $ 735,875

Clorox Co 400,000 3.90 5/15/2028 A- 444,936 448,232

Coca-Cola Co 1,200,000 3.38 3/25/2027 A+ 1,329,074 1,296,196

Coca-Cola Co 340,000 2.90 5/25/2027 A+ 352,720 361,944

Coca-Cola Co 480,000 1.65 6/01/2030 A+ 480,831 463,189

Coca-Cola Co 995,000 2.75 6/01/2060 A+ 1,002,534 985,504

Colgate-Palmolive Co 79,000 3.25 3/15/2024 AA- 79,907 82,827

Colgate-Palmolive Co 40,000 4.00 8/15/2045 AA- 41,442 49,991

CommonSpirit Health 79,000 4.35 11/01/2042 A- 74,189 90,649

CommonSpirit Health 300,000 3.82 10/01/2049 AA 301,641 339,098

Conagra Brands, Inc 49,000 3.20 1/25/2023 BBB- 49,174 49,929

Conagra Brands, Inc 1,700,000 4.85 11/01/2028 BBB- 1,963,318 1,961,011

Conagra Brands, Inc 200,000 5.30 11/01/2038 BBB- 254,102 252,717

Constellation Brands, Inc 91,000 4.25 5/01/2023 BBB 92,597 94,830

Constellation Brands, Inc 1,100,000 3.70 12/06/2026 BBB 1,116,218 1,188,232



CVS Health Corp 200,000 4.10 3/25/2025 BBB 201,498 215,567









DH Europe Finance II Sarl 400,000 3.25 11/15/2039 BBB+ 461,233 427,002

Diageo Capital PLC 500,000 3.50 9/18/2023 A- 524,359 520,611

Eli Lilly & Co 1,800,000 3.38 3/15/2029 A+ 1,821,001 1,984,139

Eli Lilly & Co 79,000 3.70 3/01/2045 A+ 79,902 91,206

Eli Lilly & Co 400,000 2.25 5/15/2050 A+ 374,884 365,848

Equifax, Inc 800,000 3.10 5/15/2030 BBB 841,224 837,343

Estee Lauder Cos, Inc 400,000 3.15 3/15/2027 A+ 417,989 428,623

Estee Lauder Cos, Inc 79,000 4.38 6/15/2045 A+ 84,930 99,373

Fomento Economico Mexicano

SAB de CV 300,000 3.50 1/16/2050 A- 320,953 313,680

Ford Foundation 2,735,000 2.82 6/01/2070 AAA 2,886,663 2,819,520

General Mills, Inc 40,000 3.65 2/15/2024 BBB 40,522 41,914




Georgetown University 235,000 5.22 10/01/2118 A- 351,028 334,956

Gilead Sciences, Inc 200,000 2.50 9/01/2023 BBB+ 197,313 204,753





GlaxoSmithKline Capital PLC 400,000 3.00 6/01/2024 A 404,572 418,461



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


GlaxoSmithKline Capital PLC 400,000 3.38% 6/01/2029 A $ 454,743 $ 436,176

GlaxoSmithKline Capital, Inc 119,000 2.80 3/18/2023 A 119,415 121,882




Global Payments, Inc 200,000 2.65 2/15/2025 BBB- 207,786 205,536

Global Payments, Inc 500,000 4.80 4/01/2026 BBB- 560,799 555,081

HCA, Inc 1,000,000 5.00 3/15/2024 BBB- 1,041,826 1,075,278

HCA, Inc 300,000 4.50 2/15/2027 BBB- 325,009 330,481

HCA, Inc 500,000 5.50 6/15/2047 BBB- 633,113 654,271

HCA, Inc 600,000 5.25 6/15/2049 BBB- 745,205 770,592

Hershey Co 640,000 2.30 8/15/2026 A 642,465 662,987

Humana, Inc 300,000 3.13 8/15/2029 BBB+ 325,163 314,317

Humana, Inc 500,000 4.95 10/01/2044 BBB+ 511,741 643,069

Illumina, Inc 4,000,000 2.55 3/23/2031 BBB 4,039,457 3,998,858

J M Smucker Co 79,000 3.50 3/15/2025 BBB 79,767 84,184

J M Smucker Co 300,000 3.38 12/15/2027 BBB 329,224 320,556

J M Smucker Co 79,000 4.25 3/15/2035 BBB 82,107 92,266

J M Smucker Co 40,000 4.38 3/15/2045 BBB 41,448 48,253

Johnson & Johnson 349,000 2.45 3/01/2026 AAA 355,758 364,148

Johnson & Johnson 3,345,000 3.55 3/01/2036 AAA 3,872,133 3,826,322





Kaiser Foundation Hospitals 420,000 3.15 5/01/2027 AA- 464,738 447,047




Kellogg Co 183,000 3.25 4/01/2026 BBB 183,013 193,778

Kellogg Co 500,000 2.10 6/01/2030 BBB 513,073 489,722

Kellogg Co 40,000 4.50 4/01/2046 BBB 41,303 49,629

Keurig Dr Pepper, Inc 600,000 3.13 12/15/2023 BBB 608,038 621,724





Kimberly-Clark Corp 40,000 2.75 2/15/2026 A 39,807 42,288





Koninklijke Philips NV 131,000 6.88 3/11/2038 BBB+ 169,352 191,172

Kroger Co 79,000 3.85 8/01/2023 BBB 79,792 82,057

Kroger Co 579,000 3.50 2/01/2026 BBB 605,090 619,545

Kroger Co 900,000 2.65 10/15/2026 BBB 954,880 935,168

Kroger Co 107,000 3.70 8/01/2027 BBB 106,594 116,788

Kroger Co 320,000 7.50 4/01/2031 BBB 395,945 446,986



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Kroger Co 79,000 6.90% 4/15/2038 BBB $ 96,277 $ 115,179

Kroger Co 32,000 5.40 7/15/2040 BBB 33,989 41,903

Kroger Co 300,000 5.00 4/15/2042 BBB 355,919 380,688

Kroger Co 119,000 4.65 1/15/2048 BBB 117,308 147,489


Holdings 159,000 3.25 9/01/2024 BBB 159,498 166,460


Holdings 400,000 3.60 2/01/2025 BBB 431,452 422,240


Holdings 79,000 3.60 9/01/2027 BBB 79,545 85,327


Holdings 60,000 4.70 2/01/2045 BBB 62,128 73,021

Mass General Brigham, Inc 600,000 3.34 7/01/2060 AA- 674,393 652,947

Massachusetts Institute of

Technology 125,000 4.68 7/01/2114 AAA 184,625 185,751

Mayo Clinic 440,000 3.20 11/15/2061 AA 489,833 472,876

McCormick & Co, Inc 159,000 3.15 8/15/2024 BBB 159,844 166,005



Mead Johnson Nutrition Co 24,000 4.13 11/15/2025 A- 24,827 26,148



Medtronic Global Holdings SCA 479,000 3.35 4/01/2027 A 501,316 516,518

Memorial Sloan-Kettering Cancer

Center 300,000 4.13 7/01/2052 AA- 399,168 377,622

Merck & Co, Inc 200,000 2.80 5/18/2023 A+ 200,157 205,882

Merck & Co, Inc 479,000 2.75 2/10/2025 A+ 487,592 501,676

Merck & Co, Inc 79,000 6.55 9/15/2037 A+ 104,430 116,400

Merck & Co, Inc 200,000 3.90 3/07/2039 A+ 234,528 234,746

Merck & Co, Inc 219,000 4.15 5/18/2043 A+ 236,107 266,133

Merck & Co, Inc 919,000 3.70 2/10/2045 A+ 1,040,952 1,057,635

Merck & Co, Inc 500,000 2.45 6/24/2050 A+ 477,598 471,038

Molson Coors Beverage Co 79,000 5.00 5/01/2042 BBB- 86,443 95,437

Molson Coors Beverage Co 327,000 4.20 7/15/2046 BBB- 294,746 362,464

Mondelez International, Inc 700,000 2.75 4/13/2030 BBB 757,126 721,352

Moody's Corp 400,000 2.63 1/15/2023 BBB+ 399,196 406,645

Moody's Corp 40,000 4.88 2/15/2024 BBB+ 41,392 42,736

Moody's Corp 170,000 2.75 8/19/2041 BBB+ 165,168 165,892

Moody's Corp 185,000 2.55 8/18/2060 BBB+ 168,181 162,256

Moody's Corp 570,000 3.10 11/29/2061 BBB+ 575,591 565,071

Mylan, Inc 170,000 5.40 11/29/2043 BBB- 214,731 209,576

New York and Presbyterian

Hospital 40,000 4.02 8/01/2045 41,228 48,902


Hospital 199,000 4.06 8/01/2056 200,503 256,847


Hospital 135,000 3.95 8/01/2119 169,954 163,720

Northwell Healthcare, Inc 300,000 3.81 11/01/2049 A- 309,954 332,653

Novant Health, Inc 475,000 3.32 11/01/2061 AA- 526,638 509,271



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Novartis Capital Corp 464,000 3.40% 5/06/2024 AA- $ 479,205 $ 489,522

Novartis Capital Corp 600,000 3.10 5/17/2027 AA- 647,680 639,826



NYU Langone Hospitals 40,000 4.37 7/01/2047 A 42,172 46,491

OhioHealth Corp 225,000 2.83 11/15/2041 AA+ 231,928 229,630

PayPal Holdings, Inc 2,700,000 2.65 10/01/2026 A- 2,838,263 2,834,313

PepsiCo, Inc 354,000 2.75 3/01/2023 A+ 359,307 362,704

PepsiCo, Inc 119,000 3.60 3/01/2024 A+ 121,258 125,394

PepsiCo, Inc 150,000 7.00 3/01/2029 A+ 177,383 202,619

PepsiCo, Inc 500,000 2.63 7/29/2029 A+ 521,364 526,061

PepsiCo, Inc 3,860,000 1.40 2/25/2031 A+ 3,755,945 3,681,070

PepsiCo, Inc 79,000 4.00 3/05/2042 A+ 82,059 94,063

PepsiCo, Inc 79,000 4.45 4/14/2046 A+ 87,185 103,729

PepsiCo, Inc 187,000 4.00 5/02/2047 A+ 194,288 230,675

PepsiCo, Inc 300,000 3.38 7/29/2049 A+ 327,313 335,779

Pfizer, Inc 400,000 3.20 9/15/2023 A+ 409,923 415,569

Pfizer, Inc 199,000 3.40 5/15/2024 A+ 202,832 210,773

Pfizer, Inc 119,000 2.75 6/03/2026 A+ 118,553 126,020

Pfizer, Inc 199,000 3.00 12/15/2026 A+ 200,023 213,908

Pfizer, Inc 159,000 4.00 12/15/2036 A+ 169,906 189,019

Pfizer, Inc 175,000 7.20 3/15/2039 A+ 254,302 282,399

Pfizer, Inc 200,000 3.90 3/15/2039 A+ 238,497 235,310

Pfizer, Inc 1,410,000 2.55 5/28/2040 A+ 1,417,998 1,406,743

Pfizer, Inc 79,000 5.60 9/15/2040 A+ 99,025 110,998

Pfizer, Inc 300,000 4.40 5/15/2044 A+ 403,430 372,895

Pfizer, Inc 483,000 4.13 12/15/2046 A+ 586,786 596,936

Philip Morris International, Inc 20,000 2.13 5/10/2023 A 19,851 20,299







President and Fellows of Harvard

College 20,000 4.88 10/15/2040 AAA 24,093 27,299

President and Fellows of Harvard

College 135,000 3.30 7/15/2056 AAA 159,723 154,134

Procter & Gamble Co 224,000 2.70 2/02/2026 AA- 234,182 236,602

Procter & Gamble Co 1,059,000 2.85 8/11/2027 AA- 1,140,941 1,132,962

Quanta Services, Inc 635,000 2.35 1/15/2032 BBB- 625,822 616,536

Quest Diagnostics, Inc 40,000 4.25 4/01/2024 BBB+ 40,913 42,259

Quest Diagnostics, Inc 300,000 3.50 3/30/2025 BBB+ 299,908 316,623

Regeneron Pharmaceuticals, Inc 165,000 1.75 9/15/2030 BBB+ 160,148 156,033

RELX Capital, Inc 200,000 4.00 3/18/2029 BBB+ 232,380 221,826

Reynolds American, Inc 400,000 4.85 9/15/2023 BBB+ 426,503 424,627






December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Royalty Pharma PLC 700,000 0.75% 9/02/2023 BBB- $ 701,431 $ 695,591

Royalty Pharma PLC 390,000 2.15 9/02/2031 BBB- 376,608 368,417

Royalty Pharma PLC 645,000 3.30 9/02/2040 BBB- 648,757 643,141

S&P Global, Inc 400,000 4.00 6/15/2025 441,434 432,769

S&P Global, Inc 690,000 2.30 8/15/2060 614,854 596,555

Sanofi 400,000 3.38 6/19/2023 AA 406,477 414,664

Shire Acquisitions Investments

Ireland DAC 79,000 2.88 9/23/2023 BBB+ 78,748 81,250

Shire Acquisitions Investments

Ireland DAC 72,000 3.20 9/23/2026 BBB+ 70,969 76,368

Stryker Corp 119,000 3.38 5/15/2024 A- 120,275 124,881

Stryker Corp 599,000 3.50 3/15/2026 A- 640,636 641,931

Stryker Corp 103,000 4.63 3/15/2046 A- 112,268 131,897

Sysco Corp 20,000 3.75 10/01/2025 BBB 20,438 21,432

Sysco Corp 199,000 3.30 7/15/2026 BBB 199,943 211,936

Sysco Corp 1,000,000 2.40 2/15/2030 BBB 933,362 1,002,933

Sysco Corp 600,000 5.95 4/01/2030 BBB 692,410 748,919

Takeda Pharmaceutical Co Ltd 1,600,000 4.40 11/26/2023 BBB+ 1,688,187 1,692,952

Takeda Pharmaceutical Co Ltd 400,000 5.00 11/26/2028 BBB+ 482,850 469,906

Takeda Pharmaceutical Co Ltd 200,000 3.03 7/09/2040 BBB+ 200,192 203,516

Takeda Pharmaceutical Co Ltd 1,600,000 3.38 7/09/2060 BBB+ 1,710,882 1,656,574

Thermo Fisher Scientific, Inc 440,000 5.30 2/01/2044 BBB+ 609,071 605,166

Tyson Foods, Inc 400,000 4.00 3/01/2026 BBB+ 438,261 433,755




Unilever Capital Corp 500,000 2.00 7/28/2026 A+ 526,309 511,223

Unilever Capital Corp 600,000 2.90 5/05/2027 A+ 608,826 636,013

Unilever Capital Corp 1,519,000 5.90 11/15/2032 A+ 2,075,402 2,042,129

Universal Health Services, Inc144A 160,000 2.65 10/15/2030 BBB- 163,337 158,705

University of Southern California 40,000 3.03 10/01/2039 AA 37,712 42,435



Utah Acquisition Sub, Inc 159,000 3.95 6/15/2026 BBB- 158,889 171,432

Utah Acquisition Sub, Inc 100,000 5.25 6/15/2046 BBB- 131,477 122,510

Verisk Analytics, Inc 600,000 4.13 3/15/2029 BBB 697,279 668,976

Verisk Analytics, Inc 79,000 5.50 6/15/2045 BBB 88,934 106,039

Viatris, Inc 380,000 3.85 6/22/2040 BBB- 406,424 402,449

Viatris, Inc 155,000 4.00 6/22/2050 BBB- 167,677 165,088

Wyeth LLC 107,000 6.50 2/01/2034 A+ 136,828 152,692

Wyeth LLC 20,000 6.00 2/15/2036 A+ 25,205 28,191

Zimmer Biomet Holdings, Inc 535,000 3.55 4/01/2025 BBB 549,585 563,556

Zoetis, Inc 119,000 3.25 2/01/2023 BBB 119,593 121,263

Zoetis, Inc 40,000 4.50 11/13/2025 BBB 42,243 44,034

Zoetis, Inc 79,000 4.70 2/01/2043 BBB 85,580 100,689

Zoetis, Inc 300,000 3.95 9/12/2047 BBB 326,611 352,228

Total Consumer, Non-cyclical 153,098,537 155,210,805

Energy: 8.36%

Baker Hughes Holdings LLC 32,000 5.13 9/15/2040 A- 36,524 39,942



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Baker Hughes

Holdings LLC/Baker Hughes

Co-Obligor, Inc 400,000 4.08% 12/15/2047 A- $ 405,005 $ 454,555

Boardwalk Pipelines LP 79,000 4.95 12/15/2024 BBB- 81,239 85,611

Boardwalk Pipelines LP 356,000 4.45 7/15/2027 BBB- 395,128 389,539

BP Capital Markets America, Inc 119,000 2.75 5/10/2023 A- 117,698 121,956





BP Capital Markets PLC 540,000 3.81 2/10/2024 A- 570,487 569,402



Burlington Resources LLC 24,000 5.95 10/15/2036 A- 28,906 32,646

Cenovus Energy, Inc 1,800,000 5.25 6/15/2037 BBB- 2,023,056 2,126,782

Cheniere Corpus Christi

Holdings LLC 300,000 7.00 6/30/2024 BBB- 322,659 331,867

Chevron Corp 279,000 2.57 5/16/2023 AA- 281,298 285,030

Chevron Corp 734,000 3.19 6/24/2023 AA- 757,898 755,740

Chevron Corp 740,000 3.33 11/17/2025 AA- 766,952 789,759

Columbia Pipeline Group, Inc 119,000 4.50 6/01/2025 NR 123,176 128,276

Columbia Pipeline Group, Inc 199,000 5.80 6/01/2045 NR 240,283 263,073

Conoco Funding Co 79,000 7.25 10/15/2031 A- 100,658 111,393

ConocoPhillips144A 500,000 3.75 10/01/2027 A- 490,466 548,096

ConocoPhillips 200,000 6.50 2/01/2039 A- 258,414 290,528

ConocoPhillips Co 199,000 3.35 11/15/2024 A- 201,934 210,060


ConocoPhillips Co 1,015,000 6.95 4/15/2029 A- 1,344,831 1,335,356


Coterra Energy, Inc144A 400,000 4.38 6/01/2024 BBB 427,939 423,009

Coterra Energy, Inc144A 64,000 3.90 5/15/2027 BBB 65,175 68,776

Devon Energy Corp 40,000 5.85 12/15/2025 BBB- 43,103 45,735





Diamondback Energy, Inc 500,000 3.50 12/01/2029 BBB- 498,699 530,204

Eastern Gas Transmission &

Storage, Inc144A 300,000 3.00 11/15/2029 A 314,233 309,575

Eastern Gas Transmission &

Storage, Inc144A 79,000 4.80 11/01/2043 A 94,385 95,763

Enable Midstream Partners LP 119,000 3.90 5/15/2024 BBB- 119,354 124,255

Enable Midstream Partners LP 400,000 4.40 3/15/2027 BBB- 397,422 431,618

Enbridge Energy Partners LP 159,000 7.50 4/15/2038 BBB+ 199,274 237,761

Enbridge, Inc 400,000 4.00 10/01/2023 BBB+ 420,666 417,621

Enbridge, Inc 800,000 3.50 6/10/2024 BBB+ 810,937 834,928

Enbridge, Inc 500,000 4.25 12/01/2026 BBB+ 506,821 549,536

Enbridge, Inc 79,000 3.70 7/15/2027 BBB+ 79,615 85,176

Energy Transfer LP 200,000 3.60 2/01/2023 BBB- 204,504 203,880



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Energy Transfer LP 300,000 4.20% 9/15/2023 BBB- $ 314,649 $ 313,286













Enterprise Products

Operating LLC 56,000 3.35 3/15/2023 BBB+ 56,331 57,302

Enterprise Products


Enterprise Products


Enterprise Products


Enterprise Products


Enterprise Products


Enterprise Products


Enterprise Products


Enterprise Products


Enterprise Products


Enterprise Products

Operating LLC 1,305,000 3.95 1/31/2060 BBB+ 1,435,715 1,408,881

Enterprise Products

Operating LLC(1) 159,000 5.25 8/16/2077 BBB- 161,760 162,326

EOG Resources, Inc 79,000 2.63 3/15/2023 A- 78,870 80,341



Exxon Mobil Corp 2,555,000 2.02 8/16/2024 AA- 2,624,232 2,617,833

Exxon Mobil Corp 159,000 2.71 3/06/2025 AA- 159,464 165,332






Exxon Mobil Corp 1,675,000 3.10 8/16/2049 AA- 1,702,312 1,696,426

Halliburton Co 619,000 3.50 8/01/2023 BBB+ 639,653 639,052



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Halliburton Co 420,000 6.70% 9/15/2038 BBB+ $ 580,689 $ 576,435



Hess Corp 20,000 7.88 10/01/2029 BBB- 23,543 27,064

Hess Corp 99,000 7.30 8/15/2031 BBB- 114,667 131,813

Hess Corp 228,000 6.00 1/15/2040 BBB- 269,675 289,565

Hess Corp 99,000 5.60 2/15/2041 BBB- 103,046 122,222

Hess Corp 860,000 5.80 4/01/2047 BBB- 1,117,374 1,098,690

Kinder Morgan Energy

Partners LP 79,000 3.50 9/01/2023 BBB 79,308 81,667


Partners LP 20,000 7.40 3/15/2031 BBB 23,524 26,702


Partners LP 234,000 6.95 1/15/2038 BBB 280,228 323,761


Partners LP 103,000 6.50 9/01/2039 BBB 117,334 137,092


Partners LP 79,000 6.38 3/01/2041 BBB 89,861 104,688


Partners LP 79,000 5.00 3/01/2043 BBB 79,211 92,006


Partners LP 79,000 5.50 3/01/2044 BBB 83,000 96,845

Kinder Morgan, Inc 159,000 3.15 1/15/2023 BBB 159,182 162,357

Kinder Morgan, Inc 1,079,000 4.30 6/01/2025 BBB 1,154,818 1,166,011




Magellan Midstream Partners LP 640,000 5.15 10/15/2043 BBB+ 710,280 770,754

Marathon Oil Corp 159,000 4.40 7/15/2027 BBB- 161,554 174,165



Marathon Petroleum Corp 200,000 5.13 12/15/2026 BBB 203,112 227,611

Marathon Petroleum Corp 1,005,000 4.50 4/01/2048 BBB 1,131,601 1,145,715

MPLX LP 999,000 4.50 7/15/2023 BBB 1,042,150 1,039,996

MPLX LP 400,000 4.88 12/01/2024 BBB 442,909 434,158

MPLX LP 300,000 4.88 6/01/2025 BBB 334,746 328,278

MPLX LP 528,000 4.13 3/01/2027 BBB 526,615 577,672

MPLX LP 28,000 5.20 3/01/2047 BBB 29,810 34,279

NOV, Inc 279,000 3.95 12/01/2042 BBB+ 246,070 273,355

ONEOK Partners LP 200,000 5.00 9/15/2023 BBB 207,426 210,616




ONEOK, Inc 600,000 2.20 9/15/2025 BBB 598,264 606,008

ONEOK, Inc 24,000 4.00 7/13/2027 BBB 24,253 25,947

ONEOK, Inc 40,000 4.95 7/13/2047 BBB 40,820 46,216

Phillips 66 500,000 3.85 4/09/2025 BBB+ 542,816 533,132

Phillips 66 700,000 3.90 3/15/2028 BBB+ 739,138 758,701

Phillips 66 315,000 2.15 12/15/2030 BBB+ 312,270 303,146



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Phillips 66 Partners LP 40,000 3.61% 2/15/2025 BBB $ 40,127 $ 42,105

Pioneer Natural Resources Co 700,000 2.15 1/15/2031 BBB 695,521 675,377

Plains All American

Pipeline LP/PAA Finance Corp 479,000 3.85 10/15/2023 BBB- 481,193 496,727

Plains All American


Plains All American


Sabine Pass Liquefaction LLC 230,000 5.75 5/15/2024 BBB- 240,017 250,136

Sabine Pass Liquefaction LLC 2,865,000 5.63 3/01/2025 BBB- 3,187,889 3,180,791




Schlumberger Investment SA 979,000 3.65 12/01/2023 A 1,028,595 1,022,546

Shell International Finance BV 200,000 3.25 5/11/2025 A+ 205,752 212,850







Shell International Finance BV 1,264,000 4.00 5/10/2046 A+ 1,456,513 1,469,876


Spectra Energy Partners LP 79,000 4.75 3/15/2024 BBB+ 81,488 84,157

Suncor Energy, Inc 490,000 6.50 6/15/2038 BBB+ 684,819 670,008

Suncor Energy, Inc 119,000 6.85 6/01/2039 BBB+ 159,072 171,256

TotalEnergies Capital International

SA 79,000 2.70 1/25/2023 A 79,169 80,617


SA 379,000 3.70 1/15/2024 A 384,213 398,387


SA 800,000 3.75 4/10/2024 A 837,816 848,988


SA 600,000 2.83 1/10/2030 A 633,705 628,240


SA 445,000 3.46 7/12/2049 A 485,047 480,731

TotalEnergies Capital SA 600,000 3.88 10/11/2028 A 656,233 669,164

TransCanada PipeLines Ltd 79,000 3.75 10/16/2023 BBB+ 80,286 82,216



TransCanada PipeLines Ltd 1,100,000 4.63 3/01/2034 BBB+ 1,190,502 1,291,378






Transcontinental Gas Pipe Line

Co LLC 79,000 7.85 2/01/2026 BBB 90,804 96,430



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Transcontinental Gas Pipe Line

Co LLC 479,000 5.40% 8/15/2041 BBB $ 541,324 $ 612,932

Valero Energy Corp 400,000 3.40 9/15/2026 BBB 429,138 427,274




Williams Cos, Inc 79,000 4.50 11/15/2023 BBB 80,620 83,226






Total Energy 67,125,076 69,226,333

Financial: 30.93%

AerCap Ireland Capital

DAC/AerCap Global Aviation

Trust 1,100,000 3.30 1/23/2023 BBB 1,108,280 1,123,139



Trust 500,000 2.88 8/14/2024 BBB 515,997 514,282



Trust 200,000 4.45 10/01/2025 BBB 211,830 215,257



Trust 800,000 3.65 7/21/2027 BBB 739,961 843,056



Trust 600,000 3.85 10/29/2041 BBB 628,299 624,983

Aflac, Inc 99,000 3.63 11/15/2024 A- 101,377 105,709

Aflac, Inc 400,000 3.60 4/01/2030 A- 453,927 440,922

Air Lease Corp 500,000 2.75 1/15/2023 BBB 509,891 507,620



Air Lease Corp 1,000,000 3.63 4/01/2027 BBB 999,361 1,048,828



Aircastle Ltd 400,000 5.00 4/01/2023 BBB- 400,637 417,528

Alexandria Real Estate Equities,

Inc 840,000 4.30 1/15/2026 BBB+ 932,985 919,879


Inc 2,015,000 3.95 1/15/2027 BBB+ 2,229,226 2,202,267


Inc 2,550,000 3.95 1/15/2028 BBB+ 2,703,827 2,815,295

Allstate Corp 700,000 3.28 12/15/2026 A- 769,467 751,810

Allstate Corp 20,000 5.95 4/01/2036 A- 24,633 27,526

Allstate Corp 40,000 4.50 6/15/2043 A- 43,722 48,626

Allstate Corp(1) 79,000 5.75 8/15/2053 BBB 81,216 82,160

Ally Financial, Inc 900,000 5.13 9/30/2024 BBB- 999,100 983,355



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


American Campus Communities

Operating Partnership LP 79,000 4.13% 7/01/2024 BBB $ 80,352 $ 84,372

American Campus Communities

Operating Partnership LP 300,000 3.63 11/15/2027 BBB 334,110 320,361

American Express Co 400,000 3.00 10/30/2024 BBB+ 408,010 419,203


American Express Co144A 200,000 3.30 5/03/2027 BBB+ 214,011 214,425


American International Group, Inc 500,000 3.90 4/01/2026 BBB+ 513,231 541,903


American International Group, Inc 1,400,000 4.25 3/15/2029 BBB+ 1,575,512 1,599,711



American Tower Corp 40,000 3.50 1/31/2023 BBB- 40,261 41,074



American Tower Corp 79,000 4.00 6/01/2025 NR 80,409 84,539





Ameriprise Financial, Inc 500,000 3.00 4/02/2025 A- 534,618 521,950

Ameriprise Financial, Inc 79,000 2.88 9/15/2026 A- 77,975 83,163

Aon Corp 300,000 6.25 9/30/2040 A- 402,588 427,574

Aon PLC 79,000 3.88 12/15/2025 A- 80,965 85,338

Arch Capital Finance LLC 159,000 4.01 12/15/2026 A- 162,579 174,457

Arch Capital Group Ltd 400,000 7.35 5/01/2034 A- 585,986 573,719

Arch Capital Group US, Inc 79,000 5.14 11/01/2043 A- 88,045 103,005

Ares Capital Corp 79,000 3.50 2/10/2023 BBB- 78,836 80,815

Ares Capital Corp 200,000 4.25 3/01/2025 BBB- 196,777 211,663

Ares Capital Corp 1,500,000 3.25 7/15/2025 BBB- 1,582,164 1,549,166

Arthur J Gallagher & Co 160,000 3.50 5/20/2051 BBB 167,730 168,958

Australia & New Zealand Banking

Group Ltd 2,350,000 3.70 11/16/2025 AA- 2,599,299 2,551,316

AvalonBay Communities, Inc 79,000 3.50 11/15/2025 A- 80,165 84,471



AXA SA 60,000 8.60 12/15/2030 BBB+ 79,505 86,560

Bain Capital Specialty Finance,

Inc 3,920,000 2.95 3/10/2026 3,964,220 3,908,157

Banco Santander SA 400,000 3.85 4/12/2023 A- 414,756 413,737

Banco Santander SA 2,400,000 5.18 11/19/2025 BBB+ 2,551,568 2,671,516

Banco Santander SA 400,000 4.25 4/11/2027 A- 450,595 439,768

Bank of America Corp 119,000 4.00 1/22/2025 BBB+ 120,900 127,091


Bank of America Corp 4,000 3.25 10/21/2027 A- 3,887 4,258

Bank of America Corp(1) 79,000 3.71 4/24/2028 A- 79,911 85,733

Bank of America Corp 925,000 6.11 1/29/2037 BBB+ 1,255,349 1,244,285

Bank of America Corp 1,584,000 5.88 2/07/2042 A- 2,251,846 2,249,132



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Bank of America Corp(1) 155,000 3.31% 4/22/2042 A- $ 162,504 $ 162,908

Bank of America Corp 439,000 5.00 1/21/2044 A- 533,801 576,481

Bank of America Corp 889,000 4.88 4/01/2044 A- 1,138,327 1,156,738




Bank of Montreal 500,000 2.50 6/28/2024 A- 493,490 515,620

Bank of Montreal(1) 600,000 3.80 12/15/2032 BBB+ 659,432 643,557

Bank of New York Mellon Corp 159,000 3.65 2/04/2024 A 161,849 167,338




Bank of New York Mellon Corp 900,000 3.85 4/28/2028 A 1,022,820 1,009,742

Bank of New York Mellon Corp 500,000 3.00 10/30/2028 A- 496,943 532,273

Bank of New York Mellon Corp 779,000 3.30 8/23/2029 A- 759,409 839,697

Bank of Nova Scotia 500,000 2.38 1/18/2023 A- 510,628 508,580

Bank of Nova Scotia 500,000 3.40 2/11/2024 A- 515,210 524,607

Bank of Nova Scotia 1,500,000 2.70 8/03/2026 A- 1,582,100 1,563,643

Barclays PLC(1) 500,000 4.34 5/16/2024 BBB 525,024 520,488

Barclays PLC 200,000 3.65 3/16/2025 BBB 200,793 211,241

Barclays PLC(1) 400,000 3.93 5/07/2025 BBB 409,333 420,662

Barclays PLC 500,000 5.20 5/12/2026 BB+ 567,952 557,935

Barclays PLC 500,000 4.34 1/10/2028 BBB 550,970 545,887

Barclays PLC(1) 400,000 5.09 6/20/2030 BB+ 446,967 453,733

Barclays PLC(1) 400,000 3.56 9/23/2035 BB+ 422,051 409,654

Barclays PLC 600,000 4.95 1/10/2047 BBB 706,654 776,867

Berkshire Hathaway Finance Corp 1,400,000 1.85 3/12/2030 AA 1,448,479 1,386,797

Berkshire Hathaway Finance Corp 220,000 5.75 1/15/2040 AA 326,540 309,069



Berkshire Hathaway Finance Corp 1,200,000 4.20 8/15/2048 AA 1,507,965 1,456,199

Berkshire Hathaway, Inc 200,000 2.75 3/15/2023 AA 205,037 204,208

Berkshire Hathaway, Inc 200,000 4.50 2/11/2043 AA 261,224 246,803

BlackRock, Inc 400,000 3.50 3/18/2024 AA- 410,755 422,713

BlackRock, Inc 66,000 3.20 3/15/2027 AA- 66,518 71,234

Blackstone Secured Lending Fund 3,110,000 2.75 9/16/2026 3,203,428 3,109,506

BNP Paribas SA 200,000 3.25 3/03/2023 A+ 201,791 205,930

Boston Properties LP 1,000,000 3.13 9/01/2023 BBB+ 1,011,474 1,028,642

Boston Properties LP 500,000 3.65 2/01/2026 BBB+ 528,648 535,646

Boston Properties LP 1,000,000 3.40 6/21/2029 BBB+ 1,057,820 1,061,395

BPCE SA 250,000 4.00 4/15/2024 A 255,781 266,112

Brighthouse Financial, Inc 350,000 4.70 6/22/2047 BBB+ 333,060 384,108

Brixmor Operating Partnership LP 40,000 3.65 6/15/2024 BBB- 39,923 41,908

Brixmor Operating Partnership LP 428,000 3.85 2/01/2025 BBB- 440,586 452,513

Brookfield Asset Management, Inc 79,000 4.00 1/15/2025 A- 79,960 84,434

Brookfield Finance I UK PLC 1,760,000 2.34 1/30/2032 A- 1,739,525 1,716,790

Brookfield Finance, Inc 1,835,000 2.72 4/15/2031 A- 1,877,961 1,851,218

Camden Property Trust 300,000 3.15 7/01/2029 A- 312,615 319,046



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Canadian Imperial Bank of

Commerce 2,400,000 3.50% 9/13/2023 A+ $ 2,529,062 $ 2,508,881

Capital One Financial Corp 1,000,000 3.50 6/15/2023 BBB 1,041,294 1,036,232

Capital One Financial Corp 400,000 3.30 10/30/2024 BBB 427,234 420,985

Capital One Financial Corp 600,000 3.20 2/05/2025 BBB 600,942 628,694

Capital One Financial Corp 500,000 3.75 7/28/2026 BBB- 482,728 536,147

CC Holdings GS V LLC/Crown

Castle GS III Corp 119,000 3.85 4/15/2023 BBB- 120,146 123,142

Charles Schwab Corp 200,000 3.00 3/10/2025 A 204,598 210,230

Charles Schwab Corp 479,000 3.63 4/01/2025 A 516,445 510,350

Charles Schwab Corp 2,600,000 3.20 1/25/2028 A 2,846,179 2,794,911

Chubb INA Holdings, Inc 119,000 2.70 3/13/2023 A 119,118 121,882

Chubb INA Holdings, Inc 200,000 3.35 5/03/2026 A 206,611 214,425

Chubb INA Holdings, Inc 1,160,000 4.35 11/03/2045 A 1,415,924 1,434,420

Citigroup, Inc 119,000 3.50 5/15/2023 BBB 119,551 123,017


Citigroup, Inc 119,000 3.30 4/27/2025 BBB+ 119,693 126,386



Citigroup, Inc(1) 400,000 3.52 10/27/2028 BBB+ 442,594 429,073











CME Group, Inc 500,000 4.15 6/15/2048 AA- 567,199 646,930

CNA Financial Corp 400,000 3.90 5/01/2029 A- 416,090 442,709

Comerica, Inc 4,580,000 3.70 7/31/2023 BBB+ 4,800,393 4,766,099

Cooperatieve Rabobank UA 600,000 2.75 1/10/2023 A+ 615,128 612,618

Cooperatieve Rabobank UA 1,000,000 4.63 12/01/2023 BBB+ 1,045,653 1,065,567

Cooperatieve Rabobank UA 1,050,000 3.38 5/21/2025 A+ 1,083,862 1,119,460

Cooperatieve Rabobank UA 200,000 4.38 8/04/2025 BBB+ 198,140 216,659

Cooperatieve Rabobank UA 450,000 3.75 7/21/2026 BBB+ 495,191 484,617

Cooperatieve Rabobank UA 630,000 5.25 5/24/2041 A+ 868,697 883,326

Credit Suisse AG 250,000 3.63 9/09/2024 A+ 254,262 265,088

Credit Suisse AG 450,000 2.95 4/09/2025 A+ 473,010 471,030

Credit Suisse Group AG 550,000 3.75 3/26/2025 BBB+ 566,944 583,607

Credit Suisse Group AG 650,000 4.55 4/17/2026 BBB+ 740,351 716,131

Credit Suisse USA, Inc 175,000 7.13 7/15/2032 A+ 253,529 248,684

Crown Castle International Corp 187,000 4.45 2/15/2026 BBB- 192,465 204,661



Crown Castle International Corp 1,000,000 2.90 4/01/2041 BBB- 973,218 972,527




December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


CubeSmart LP 400,000 3.00% 2/15/2030 BBB $ 398,259 $ 416,865

Deutsche Bank AG 400,000 3.70 5/30/2024 BBB- 421,729 420,314

Deutsche Bank AG 500,000 3.70 5/30/2024 BBB- 530,109 525,008

Deutsche Bank AG 2,019,000 4.10 1/13/2026 BBB- 2,100,253 2,165,649

Digital Realty Trust LP 300,000 4.75 10/01/2025 BBB 325,399 332,107

Digital Realty Trust LP 40,000 3.70 8/15/2027 BBB 40,333 43,347

Discover Bank 450,000 3.45 7/27/2026 BBB 484,343 476,001

Discover Financial Services 1,000,000 3.95 11/06/2024 BBB- 1,033,573 1,063,532

Discover Financial Services 200,000 4.10 2/09/2027 BBB- 219,642 216,777

Duke Realty LP 60,000 3.75 12/01/2024 BBB+ 60,901 63,609




Equinix, Inc 500,000 2.90 11/18/2026 BBB 501,532 517,980

Equinix, Inc 1,600,000 1.55 3/15/2028 BBB 1,605,724 1,538,963

ERP Operating LP 119,000 3.00 4/15/2023 A- 119,440 121,702




Essex Portfolio LP 40,000 3.88 5/01/2024 BBB+ 40,542 42,098

Essex Portfolio LP 79,000 3.38 4/15/2026 BBB+ 78,713 83,775

Federal Realty Investment Trust 400,000 3.50 6/01/2030 A- 412,323 426,321

Federal Realty Investment Trust 40,000 4.50 12/01/2044 A- 42,162 47,344

Fifth Third Bancorp 600,000 4.30 1/16/2024 BBB 604,358 634,460

Fifth Third Bancorp 500,000 2.38 1/28/2025 BBB+ 522,410 513,303

Fifth Third Bancorp 1,100,000 3.95 3/14/2028 BBB+ 1,184,660 1,213,842

Fifth Third Bancorp 360,000 8.25 3/01/2038 BBB 561,630 590,392

Fifth Third Bank NA 400,000 3.85 3/15/2026 BBB+ 423,413 431,414

First Republic Bank 500,000 4.38 8/01/2046 BBB+ 610,265 601,454

Franklin Resources, Inc 255,000 1.60 10/30/2030 A 250,538 240,872

FS KKR Capital Corp 160,000 2.63 1/15/2027 160,529 157,900

GLP Capital LP/GLP Financing II,

Inc 400,000 5.25 6/01/2025 BBB- 408,239 438,101

Goldman Sachs Group Inc(1) 500,000 3.69 6/05/2028 BBB+ 546,212 538,422

Goldman Sachs Group Inc 215,000 6.25 2/01/2041 BBB+ 310,692 312,555

Goldman Sachs Group, Inc 134,000 3.85 7/08/2024 BBB+ 136,105 141,781



Goldman Sachs Group, Inc 20,000 5.95 1/15/2027 BBB 21,993 23,575

Goldman Sachs Group, Inc(1) 300,000 4.22 5/01/2029 BBB+ 346,063 333,248


Goldman Sachs Group, Inc 748,000 6.45 5/01/2036 BBB 985,000 1,022,206

Goldman Sachs Group, Inc(1) 170,000 2.91 7/21/2042 BBB+ 167,331 169,015

Goldman Sachs Group, Inc 1,764,000 5.15 5/22/2045 BBB 2,343,913 2,294,024

Hartford Financial Services Group,

Inc 20,000 6.10 10/01/2041 BBB+ 25,352 27,988

Hartford Financial Services Group,

Inc 300,000 4.30 4/15/2043 BBB+ 290,546 353,363



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Healthcare Trust of America

Holdings LP 532,000 3.50% 8/01/2026 BBB $ 582,780 $ 567,091

Healthpeak Properties, Inc 200,000 4.00 6/01/2025 BBB+ 203,588 215,193

Healthpeak Properties, Inc 400,000 3.50 7/15/2029 BBB+ 445,796 433,735

Host Hotels & Resorts LP 79,000 3.88 4/01/2024 BBB- 79,735 82,553

Host Hotels & Resorts LP 300,000 3.38 12/15/2029 BBB- 299,192 305,767

HSBC Bank USA NA 500,000 7.00 1/15/2039 A- 777,881 776,297

HSBC Holdings PLC(1) 600,000 3.95 5/18/2024 A- 625,739 622,234


HSBC Holdings PLC 200,000 4.38 11/23/2026 BBB 205,983 219,424




HSBC Holdings PLC 500,000 6.50 5/02/2036 BBB 632,771 679,313

HSBC Holdings PLC 1,250,000 6.50 9/15/2037 BBB 1,711,013 1,729,434

Huntington Bancshares, Inc 300,000 2.63 8/06/2024 BBB+ 315,012 308,923

Huntington Bancshares, Inc 400,000 4.00 5/15/2025 BBB+ 425,023 430,219

ING Groep NV 300,000 3.55 4/09/2024 A- 309,517 314,472

ING Groep NV 2,800,000 3.95 3/29/2027 A- 2,942,505 3,060,427

Intercontinental Exchange, Inc 2,640,000 4.00 10/15/2023 A- 2,786,523 2,777,343

Intercontinental Exchange, Inc 345,000 3.75 12/01/2025 A- 376,343 372,843



Invesco Finance PLC 79,000 4.00 1/30/2024 BBB+ 80,611 83,410

Invesco Finance PLC 165,000 5.38 11/30/2043 BBB+ 216,217 216,725

Jefferies Group LLC/Jefferies

Group Capital Finance Inc 72,000 4.85 1/15/2027 BBB 74,670 81,670

JPMorgan Chase & Co 119,000 3.20 1/25/2023 A- 119,586 122,227


JPMorgan Chase & Co(1) 127,000 3.22 3/01/2025 A- 127,477 132,025


JPMorgan Chase & Co 20,000 8.75 9/01/2030 BBB- 26,959 30,184





JPMorgan Chase & Co 634,000 5.63 8/16/2043 BBB+ 873,746 886,207


JPMorgan Chase & Co 330,000 4.95 6/01/2045 BBB+ 441,692 429,435

JPMorgan Chase & Co(1) 1,395,000 4.03 7/24/2048 A- 1,595,742 1,646,706



KeyBank NA 250,000 3.40 5/20/2026 BBB+ 249,442 266,261

KeyBank NA 600,000 6.95 2/01/2028 BBB+ 723,972 754,844

KeyBank NA 1,650,000 3.90 4/13/2029 BBB+ 1,824,898 1,822,934

Kilroy Realty LP 79,000 4.25 8/15/2029 BBB 80,971 88,621

Kilroy Realty LP 2,190,000 2.65 11/15/2033 BBB 2,174,285 2,128,655

Kimco Realty Corp 32,000 3.30 2/01/2025 BBB+ 32,027 33,633




December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Kimco Realty Corp 40,000 3.80% 4/01/2027 BBB+ $ 40,299 $ 43,279


Lazard Group LLC 40,000 3.63 3/01/2027 BBB+ 39,936 42,805

Legg Mason, Inc 79,000 4.75 3/15/2026 A 81,797 88,513

LifeStorage LP 400,000 3.50 7/01/2026 BBB 441,244 427,887

Lincoln National Corp 40,000 3.35 3/09/2025 A- 40,125 42,446



Lloyds Banking Group PLC 800,000 4.05 8/16/2023 BBB+ 845,508 838,162

Lloyds Banking Group PLC 200,000 4.58 12/10/2025 BBB- 198,619 218,167

Lloyds Banking Group PLC 400,000 4.65 3/24/2026 BBB- 413,477 440,344

Lloyds Banking Group PLC 500,000 3.75 1/11/2027 BBB+ 487,890 541,063

Lloyds Banking Group PLC(1) 300,000 3.57 11/07/2028 BBB+ 331,960 320,403

Lloyds Banking Group PLC(1) 1,435,000 3.37 12/14/2046 BBB- 1,418,498 1,427,418

Loews Corp 79,000 2.63 5/15/2023 A 79,008 80,627

Manufacturers & Traders Trust Co 700,000 3.40 8/17/2027 BBB+ 780,785 747,486

Manulife Financial Corp 40,000 4.15 3/04/2026 A 41,350 43,783

Manulife Financial Corp(1) 79,000 4.06 2/24/2032 A- 79,552 84,994

Manulife Financial Corp 440,000 5.38 3/04/2046 A 542,965 615,912

Markel Corp 300,000 5.00 4/05/2046 BBB 311,639 380,118

Marsh & McLennan Cos, Inc 79,000 3.50 6/03/2024 A- 80,026 83,291


Marsh & McLennan Cos, Inc 1,700,000 4.38 3/15/2029 A- 1,820,411 1,937,824


Marsh & McLennan Cos, Inc 1,100,000 4.75 3/15/2039 A- 1,265,241 1,371,684

Mastercard, Inc 1,850,000 2.00 3/03/2025 A+ 1,895,597 1,896,676

Mastercard, Inc 400,000 2.95 11/21/2026 A+ 428,550 425,550

Mastercard, Inc 400,000 3.30 3/26/2027 A+ 446,403 432,252

Mastercard, Inc 300,000 3.80 11/21/2046 A+ 315,029 354,750

Mastercard, Inc 200,000 3.95 2/26/2048 A+ 199,119 240,830

MetLife, Inc 1,400,000 4.37 9/15/2023 A- 1,438,434 1,480,991

MetLife, Inc 119,000 3.60 4/10/2024 A- 121,247 125,599

MetLife, Inc 1,019,000 3.60 11/13/2025 A- 1,101,470 1,098,843

MetLife, Inc 665,000 10.75 8/01/2039 BBB 1,158,185 1,121,071

MetLife, Inc 119,000 4.88 11/13/2043 A- 134,643 154,330

Mid-America Apartments LP 79,000 3.75 6/15/2024 BBB+ 79,820 83,158

Mid-America Apartments LP 200,000 3.95 3/15/2029 BBB+ 202,819 223,274


Inc 400,000 3.78 3/02/2025 A- 404,053 427,435


Inc 250,000 3.85 3/01/2026 A- 255,690 270,486


Inc 79,000 3.68 2/22/2027 A- 80,498 85,617


Inc 399,000 3.29 7/25/2027 A- 392,545 426,114


Inc 900,000 4.05 9/11/2028 A- 1,030,231 1,008,650


Inc 1,100,000 3.20 7/18/2029 A- 1,180,531 1,162,008



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Inc 800,000 3.75% 7/18/2039 A- $ 904,632 $ 906,915

Mizuho Financial Group, Inc 700,000 3.66 2/28/2027 A- 709,945 754,949



Mizuho Financial Group, Inc 400,000 2.56 9/13/2031 BBB+ 390,392 389,858

Morgan Stanley 119,000 4.10 5/22/2023 BBB 120,658 123,942

Morgan Stanley 79,000 3.70 10/23/2024 BBB+ 80,321 84,131

Morgan Stanley(1) 500,000 0.86 10/21/2025 BBB+ 501,949 492,888

Morgan Stanley 79,000 3.95 4/23/2027 BBB 79,923 86,970



Morgan Stanley 779,000 6.38 7/24/2042 BBB+ 1,159,712 1,180,152

Morgan Stanley 600,000 4.30 1/27/2045 BBB+ 668,651 737,774

Morgan Stanley 800,000 4.38 1/22/2047 BBB+ 843,213 1,004,913

Morgan Stanley(1) 1,335,000 5.60 3/24/2051 BBB+ 1,960,208 1,994,130

Nasdaq, Inc 40,000 4.25 6/01/2024 BBB+ 40,915 42,490

Nasdaq, Inc 500,000 3.85 6/30/2026 BBB+ 557,568 545,158

National Australia Bank Ltd 750,000 2.50 7/12/2026 AA- 794,973 783,185

National Bank of Canada 3,250,000 0.75 8/06/2024 BBB+ 3,232,311 3,205,789

National Retail Properties, Inc 52,000 4.00 11/15/2025 BBB+ 52,683 56,317

NatWest Group PLC(1) 400,000 4.27 3/22/2025 BBB 429,426 423,299

NatWest Group PLC 1,500,000 4.80 4/05/2026 BBB 1,611,860 1,668,396

NatWest Group PLC(1) 200,000 3.03 11/28/2035 BB+ 202,844 197,338

Nomura Holdings, Inc 700,000 3.10 1/16/2030 BBB+ 712,587 721,557

Nomura Holdings, Inc 1,000,000 2.61 7/14/2031 BBB+ 1,000,059 986,819

Northern Trust Corp 79,000 3.95 10/30/2025 A 81,666 86,333

Northern Trust Corp 300,000 3.65 8/03/2028 A+ 318,448 333,882

Office Properties Income Trust 79,000 4.25 5/15/2024 BBB- 79,374 82,382

Omega Healthcare Investors, Inc 199,000 4.38 8/01/2023 BBB- 200,378 207,649




ORIX Corp 119,000 3.70 7/18/2027 A- 119,605 129,178

Owl Rock Technology Finance

Corp 2,875,000 2.50 1/15/2027 BBB- 2,893,906 2,815,588

PNC Bank NA 750,000 3.80 7/25/2023 A- 785,994 781,553

PNC Bank NA 600,000 3.25 6/01/2025 A 626,078 637,603

PNC Bank NA 450,000 3.10 10/25/2027 A 473,032 481,421

PNC Bank NA 250,000 4.05 7/26/2028 A- 288,651 280,353

PNC Financial Services Group

Inc(1) 225,000 2.31 4/23/2032 A- 233,648 226,794

Principal Financial Group, Inc 200,000 3.70 5/15/2029 A- 227,876 220,727



Progressive Corp 200,000 3.20 3/26/2030 A 224,061 215,773

Prologis LP 600,000 2.25 4/15/2030 A- 615,258 603,049

Prudential Financial, Inc 119,000 5.75 7/15/2033 A 139,588 154,337




December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Prudential Financial, Inc 20,000 6.63% 6/21/2040 A $ 26,400 $ 29,889

Prudential Financial, Inc(1) 79,000 5.63 6/15/2043 BBB+ 80,911 82,200






Public Storage 400,000 3.09 9/15/2027 A 413,945 429,507

Raymond James Financial, Inc 879,000 4.95 7/15/2046 BBB+ 1,073,142 1,118,709

Realty Income Corp 424,000 4.60 2/06/2024 A- 452,152 450,955

Realty Income Corp 32,000 4.88 6/01/2026 A- 36,208 36,002

Regency Centers LP 24,000 3.60 2/01/2027 BBB+ 24,010 25,865



Royal Bank of Canada 400,000 1.95 1/17/2023 A 406,111 405,368

Royal Bank of Canada 1,000,000 3.70 10/05/2023 A 1,056,359 1,048,922

Royal Bank of Canada 1,600,000 4.65 1/27/2026 A- 1,734,383 1,774,352

Sabra Health Care LP 1,780,000 3.20 12/01/2031 BBB- 1,752,117 1,739,488

Santander Holdings USA, Inc 400,000 3.40 1/18/2023 BBB+ 408,455 408,812

Santander Holdings USA, Inc 99,000 4.40 7/13/2027 BBB+ 100,652 108,539

Santander UK Group Holdings

PLC 580,000 3.57 1/10/2023 BBB 575,240 580,246


PLC(1) 500,000 3.37 1/05/2024 BBB 512,263 510,833


PLC(1) 1,300,000 3.82 11/03/2028 BBB 1,301,467 1,395,300

Simon Property Group LP 400,000 3.75 2/01/2024 A- 405,258 418,789









SITE Centers Corp 79,000 3.63 2/01/2025 BBB- 78,064 82,703

Spirit Realty LP 600,000 4.00 7/15/2029 BBB 658,669 659,095

State Street Corp 300,000 3.10 5/15/2023 A- 303,024 309,334

State Street Corp 2,100,000 3.70 11/20/2023 A 2,146,194 2,209,546

State Street Corp 400,000 3.55 8/18/2025 A 419,969 430,913

State Street Corp(1) 500,000 2.35 11/01/2025 A 524,183 515,321

Sumitomo Mitsui Banking Corp 250,000 3.00 1/18/2023 A 250,454 255,625

Sumitomo Mitsui Financial Group,

Inc 200,000 2.70 7/16/2024 A- 210,346 206,535


Inc 500,000 2.45 9/27/2024 A- 523,944 514,220


Inc 79,000 3.78 3/09/2026 A- 80,518 85,207



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Inc 79,000 2.63% 7/14/2026 A- $ 76,894 $ 81,788


Inc 400,000 3.01 10/19/2026 A- 395,804 418,898


Inc 379,000 3.45 1/11/2027 A- 381,672 405,941


Inc 459,000 3.36 7/12/2027 A- 448,268 491,522


Inc 200,000 3.54 1/17/2028 A- 196,092 215,793


Inc 500,000 4.31 10/16/2028 A- 556,770 563,175


Inc 1,060,000 3.20 9/17/2029 BBB+ 1,133,540 1,103,226


Inc 570,000 2.14 9/23/2030 BBB+ 549,258 547,711


Inc 600,000 2.22 9/17/2031 A- 593,059 588,508


Inc 355,000 2.93 9/17/2041 BBB+ 349,647 350,642

SVB Financial Group 360,000 1.80 2/02/2031 BBB 351,795 341,063

Synchrony Financial 2,060,000 4.25 8/15/2024 BBB- 2,205,892 2,181,809

Synchrony Financial 79,000 3.70 8/04/2026 BBB- 78,618 83,895

Synchrony Financial 400,000 5.15 3/19/2029 BBB- 420,306 459,682

Toronto-Dominion Bank 500,000 3.50 7/19/2023 AA- 516,526 521,022

Toronto-Dominion Bank 300,000 3.25 3/11/2024 A 318,305 313,497

Toronto-Dominion Bank 2,045,000 2.65 6/12/2024 A 2,063,015 2,121,205

Transatlantic Holdings, Inc 79,000 8.00 11/30/2039 BBB+ 104,812 123,876

Travelers Cos Inc 810,000 4.60 8/01/2043 A 1,031,964 1,034,305

Travelers Cos, Inc 60,000 5.35 11/01/2040 A 72,505 81,286



Travelers Property Casualty Corp 20,000 6.38 3/15/2033 A 24,865 27,811

Trinity Acquisition PLC 40,000 4.40 3/15/2026 BBB 41,396 43,758

Truist Bank 450,000 2.75 5/01/2023 A 447,627 461,438

Truist Bank 900,000 3.63 9/16/2025 A- 937,331 964,137

Truist Bank 600,000 4.05 11/03/2025 A 605,821 654,752

Truist Bank 1,600,000 2.25 3/11/2030 A- 1,633,963 1,595,830

UDR, Inc 600,000 3.20 1/15/2030 BBB+ 617,815 630,352

Unum Group 300,000 5.75 8/15/2042 BBB 353,028 366,257

US Bancorp 600,000 3.38 2/05/2024 A+ 619,082 628,956

US Bancorp 300,000 2.40 7/30/2024 A+ 302,439 309,952

US Bancorp 500,000 3.60 9/11/2024 A 539,475 531,063

US Bancorp 79,000 3.10 4/27/2026 A 78,832 83,480

US Bancorp 659,000 3.15 4/27/2027 A+ 672,028 705,593

US Bank NA 1,050,000 3.40 7/24/2023 AA- 1,059,745 1,091,755

Ventas Realty LP 2,300,000 4.40 1/15/2029 BBB+ 2,557,300 2,610,235

Visa, Inc 1,060,000 3.15 12/14/2025 AA- 1,121,866 1,131,016

Visa, Inc 199,000 2.75 9/15/2027 AA- 196,670 209,777



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Visa, Inc 403,000 4.15% 12/14/2035 AA- $ 480,245 $ 482,281

Visa, Inc 199,000 3.65 9/15/2047 AA- 197,519 231,584

Visa, Inc 400,000 2.00 8/15/2050 AA- 353,610 350,311

Voya Financial, Inc 538,000 4.80 6/15/2046 BBB+ 630,528 666,268

W R Berkley Corp 510,000 3.15 9/30/2061 BBB+ 503,928 484,011

Welltower, Inc 200,000 2.70 2/15/2027 BBB+ 213,444 208,360

Welltower, Inc 2,600,000 4.13 3/15/2029 BBB+ 2,863,395 2,907,462

Welltower, Inc 79,000 6.50 3/15/2041 BBB+ 98,616 114,335

Western Union Co 400,000 4.25 6/09/2023 BBB 418,929 416,453

Westpac Banking Corp 1,400,000 3.65 5/15/2023 AA- 1,447,581 1,455,744

Westpac Banking Corp 500,000 3.30 2/26/2024 AA- 531,074 524,502




Westpac Banking Corp 465,000 2.96 11/16/2040 BBB+ 467,634 456,067

Westpac Banking Corp 1,025,000 3.13 11/18/2041 BBB+ 1,011,808 1,015,872

Weyerhaeuser Co 479,000 7.38 3/15/2032 BBB 633,199 673,881

Willis North America, Inc 600,000 4.50 9/15/2028 BBB 658,469 670,670

WP Carey, Inc 79,000 4.60 4/01/2024 BBB 80,255 83,869

WP Carey, Inc 400,000 4.00 2/01/2025 BBB 428,697 425,504

XLIT Ltd 79,000 4.45 3/31/2025 BBB+ 79,792 85,634

XLIT Ltd 79,000 5.25 12/15/2043 A 88,254 109,008

Total Financial 252,496,108 256,165,028

Industrial: 8.27%

3M Co 1,100,000 2.25 3/15/2023 A+ 1,098,499 1,118,014

3M Co 700,000 3.25 2/14/2024 A+ 738,369 731,686

3M Co 300,000 3.63 10/15/2047 A+ 304,430 341,051

3M Co 600,000 4.00 9/14/2048 A+ 750,464 720,842

ABB Finance USA, Inc 405,000 4.38 5/08/2042 A- 515,272 506,792

Agilent Technologies, Inc 300,000 2.75 9/15/2029 BBB+ 299,824 309,698

Amphenol Corp 400,000 2.05 3/01/2025 BBB+ 407,891 407,517

Arrow Electronics, Inc 79,000 3.25 9/08/2024 BBB- 78,840 82,453

Boeing Co 159,000 1.88 6/15/2023 BBB- 157,800 160,280

Boeing Co 99,000 2.85 10/30/2024 BBB- 99,522 102,529

Boeing Co 200,000 2.60 10/30/2025 BBB- 202,416 205,478

Boeing Co 159,000 2.25 6/15/2026 BBB- 155,668 159,228

Boeing Co 600,000 3.63 2/01/2031 BBB- 643,247 639,831

Boeing Co 300,000 6.13 2/15/2033 BBB- 352,152 379,166

Boeing Co 99,000 6.88 3/15/2039 BBB- 138,998 137,097

Boeing Co 520,000 5.88 2/15/2040 BBB- 674,920 665,680

Boeing Co 79,000 3.38 6/15/2046 BBB- 75,531 75,703

Boeing Co 455,000 3.75 2/01/2050 BBB- 483,411 472,899

Boeing Co 1,230,000 5.81 5/01/2050 BBB- 1,652,038 1,665,575

Boeing Co 300,000 5.93 5/01/2060 BBB- 416,267 416,305

Burlington Northern Santa Fe LLC 79,000 3.85 9/01/2023 AA- 80,457 82,207






December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Burlington Northern Santa Fe LLC 20,000 6.15% 5/01/2037 AA- $ 25,427 $ 28,337








Canadian National Railway Co 40,000 2.75 3/01/2026 A 39,885 41,792




Canadian Pacific Railway Co 79,000 4.45 3/15/2023 BBB+ 80,179 81,622





Carlisle Cos, Inc 400,000 2.75 3/01/2030 BBB 420,123 407,610

Carrier Global Corp 2,300,000 2.24 2/15/2025 BBB 2,393,438 2,355,156

Carrier Global Corp 720,000 2.49 2/15/2027 BBB 756,628 739,675

Caterpillar Financial Services

Corp 300,000 3.45 5/15/2023 A 301,465 310,342


Corp 200,000 3.75 11/24/2023 A 201,192 210,767


Corp 79,000 3.30 6/09/2024 A 80,044 82,989

Caterpillar, Inc 400,000 2.60 4/09/2030 A 429,405 416,820







CNH Industrial Capital LLC 500,000 4.20 1/15/2024 BBB 507,598 527,727

CNH Industrial Capital LLC 375,000 1.45 7/15/2026 BBB 375,350 366,961

CSX Corp 40,000 3.25 6/01/2027 BBB+ 40,021 42,892

CSX Corp 20,000 6.22 4/30/2040 BBB+ 25,311 28,493

CSX Corp 60,000 5.50 4/15/2041 BBB+ 70,826 79,837

CSX Corp 1,000,000 4.75 5/30/2042 BBB+ 1,153,391 1,251,314

CSX Corp 28,000 4.40 3/01/2043 BBB+ 29,347 33,096

CSX Corp 400,000 3.95 5/01/2050 BBB+ 513,350 469,672

CSX Corp 79,000 4.50 8/01/2054 BBB+ 81,303 99,391

CSX Corp 135,000 4.65 3/01/2068 BBB+ 180,604 175,081

Deere & Co 20,000 5.38 10/16/2029 A 23,041 24,774

Deere & Co 79,000 3.90 6/09/2042 A 82,596 93,796

Eaton Corp 379,000 4.00 11/02/2032 A- 419,947 435,477

Eaton Corp 79,000 4.15 11/02/2042 A- 79,908 92,348

Emerson Electric Co 500,000 1.95 10/15/2030 A 512,423 493,157

Emerson Electric Co 79,000 5.25 11/15/2039 A 92,651 105,230



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


FedEx Corp 40,000 3.25% 4/01/2026 BBB $ 40,250 $ 42,662

FedEx Corp 200,000 3.40 2/15/2028 BBB 193,489 215,839

FedEx Corp 205,000 2.40 5/15/2031 BBB 207,202 205,410

FedEx Corp 925,000 3.25 5/15/2041 BBB 949,434 944,924

FedEx Corp 79,000 4.10 4/15/2043 BBB 78,811 88,499

FedEx Corp 519,000 5.10 1/15/2044 BBB 651,081 658,153

FedEx Corp 119,000 4.55 4/01/2046 BBB 126,115 142,602

FedEx Corp 159,000 4.40 1/15/2047 BBB 164,731 187,250

Flex Ltd 60,000 4.75 6/15/2025 BBB- 62,149 65,271

Flex Ltd 500,000 4.88 6/15/2029 BBB- 577,329 567,194

Fortive Corp 79,000 3.15 6/15/2026 BBB 78,779 83,686

Fortive Corp 79,000 4.30 6/15/2046 BBB 82,569 93,576

Fortune Brands Home & Security,

Inc 200,000 4.00 9/21/2023 BBB+ 205,069 209,528

GATX Corp 200,000 4.55 11/07/2028 BBB 200,653 229,172

GATX Corp 79,000 5.20 3/15/2044 BBB 88,023 99,008

GE Capital Funding LLC 800,000 4.40 5/15/2030 BBB+ 916,984 867,472

GE Capital Funding LLC 700,000 4.55 5/15/2032 BBB+ 746,261 827,993

GE Capital International Funding

Co Unlimited Co 600,000 3.37 11/15/2025 BBB+ 637,509 637,878

General Dynamics Corp 200,000 2.38 11/15/2024 A- 193,432 207,474





General Electric Co 200,000 6.75 3/15/2032 BBB+ 243,166 272,751

Honeywell International, Inc 2,700,000 2.70 8/15/2029 A 2,934,271 2,827,519

Illinois Tool Works, Inc 79,000 3.50 3/01/2024 A+ 80,365 82,728

Illinois Tool Works, Inc 79,000 4.88 9/15/2041 A+ 90,546 104,232

Jabil, Inc 200,000 3.95 1/12/2028 BBB- 210,826 219,140

John Deere Capital Corp 400,000 2.70 1/06/2023 A 397,505 407,943





John Deere Capital Corp 1,000,000 2.80 7/18/2029 A 1,059,112 1,054,705



PLC(1) 117,000 3.63 7/02/2024 BBB+ 118,699 123,191


PLC 29,000 3.90 2/14/2026 BBB+ 29,769 31,390


PLC 414,000 4.50 2/15/2047 BBB+ 470,675 501,684


PLC(1) 36,000 4.95 7/02/2064 BBB+ 38,951 46,501

Kansas City Southern 79,000 3.00 5/15/2023 BBB 79,038 80,813



Keysight Technologies, Inc 29,000 4.60 4/06/2027 BBB 30,160 32,640



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


L3Harris Technologies, Inc 579,000 3.83% 4/27/2025 BBB $ 618,173 $ 617,276

Lockheed Martin Corp 559,000 3.55 1/15/2026 A- 570,833 605,116





Martin Marietta Materials, Inc 400,000 2.50 3/15/2030 BBB+ 422,812 403,539

Masco Corp 400,000 2.00 10/01/2030 BBB 401,152 383,995

Norfolk Southern Corp 559,000 2.90 6/15/2026 BBB+ 567,221 589,711




Northrop Grumman Corp 200,000 2.93 1/15/2025 BBB+ 199,512 208,339




Otis Worldwide Corp 700,000 3.11 2/15/2040 BBB 690,526 718,022

Owens Corning 10,000 7.00 12/01/2036 BBB 12,596 14,121

Owens Corning 600,000 4.40 1/30/2048 BBB 720,616 702,626

Packaging Corp of America 200,000 3.00 12/15/2029 BBB 201,369 209,118

Packaging Corp of America 390,000 4.05 12/15/2049 BBB 455,438 455,128

Parker-Hannifin Corp 48,000 3.30 11/21/2024 BBB+ 48,542 50,356




Precision Castparts Corp 350,000 3.25 6/15/2025 AA 367,120 371,039

Raytheon Technologies Corp 199,000 3.13 5/04/2027 A- 199,112 211,282











Republic Services, Inc 400,000 4.75 5/15/2023 BBB+ 419,685 416,970



Rockwell Automation, Inc 200,000 4.20 3/01/2049 A 235,635 250,543

Rockwell Automation, Inc 345,000 2.80 8/15/2061 A 348,032 337,531

Ryder System, Inc 500,000 3.88 12/01/2023 BBB 513,509 525,088

Sonoco Products Co 800,000 3.13 5/01/2030 BBB 841,096 836,518

Stanley Black & Decker, Inc 500,000 4.25 11/15/2028 A 596,511 567,994

Stanley Black & Decker, Inc 60,000 5.20 9/01/2040 A 68,684 78,445

Textron, Inc 68,000 3.88 3/01/2025 BBB 69,177 72,626

Textron, Inc 600,000 3.00 6/01/2030 BBB 635,645 619,165



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Trane Technologies Global

Holding Co Ltd 200,000 3.75% 8/21/2028 BBB $ 204,459 $ 218,458

Trane Technologies Luxembourg

Finance SA 119,000 3.55 11/01/2024 BBB 120,688 125,780

Trane Technologies Luxembourg

Finance SA 400,000 3.80 3/21/2029 BBB 444,720 436,925

Trimble, Inc 400,000 4.15 6/15/2023 BBB- 418,090 415,981

Tyco Electronics Group SA 91,000 3.45 8/01/2024 A- 92,128 95,403

Tyco Electronics Group SA 159,000 3.13 8/15/2027 A- 158,330 169,635

Union Pacific Corp 600,000 2.95 1/15/2023 A- 603,171 610,454








United Parcel Service, Inc 700,000 2.50 4/01/2023 A- 693,732 713,916








Vulcan Materials Co 450,000 4.50 6/15/2047 BBB+ 552,919 552,464

Waste Connections, Inc 400,000 2.60 2/01/2030 BBB+ 403,966 408,123

Waste Management, Inc 400,000 3.13 3/01/2025 A- 425,169 419,540

Waste Management, Inc 36,000 4.10 3/01/2045 A- 37,731 43,121

Westinghouse Air Brake

Technologies Corp 600,000 3.45 11/15/2026 BBB- 642,966 634,817

WestRock RKT LLC 159,000 4.00 3/01/2023 BBB 160,393 163,255

WRKCo, Inc 79,000 3.00 9/15/2024 BBB 78,878 82,350

WRKCo, Inc 159,000 3.38 9/15/2027 BBB 158,504 169,143

WRKCo, Inc 200,000 3.90 6/01/2028 BBB 225,222 218,965

WRKCo, Inc 960,000 4.90 3/15/2029 BBB 1,143,354 1,116,767

Xylem, Inc 400,000 3.25 11/01/2026 BBB 441,094 427,105

Total Industrial 67,337,499 68,509,303

Technology: 7.43%

Activision Blizzard, Inc 20,000 3.40 6/15/2027 A- 20,021 21,486

Activision Blizzard, Inc 324,000 4.50 6/15/2047 A- 316,877 388,588

Adobe, Inc 300,000 2.30 2/01/2030 A+ 302,691 306,624

Altera Corp 400,000 4.10 11/15/2023 A+ 427,965 422,751

Amdocs Ltd 1,410,000 2.54 6/15/2030 BBB 1,435,715 1,397,380

Apple, Inc 200,000 2.40 1/13/2023 AA+ 198,345 203,822

Apple, Inc 119,000 2.85 2/23/2023 AA+ 119,475 121,483

Apple, Inc 119,000 3.45 5/06/2024 AA+ 120,954 125,856

Apple, Inc 119,000 2.50 2/09/2025 AA+ 118,190 123,833

Apple, Inc 79,000 2.45 8/04/2026 AA+ 77,531 82,500



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Apple, Inc 79,000 2.90% 9/12/2027 AA+ $ 78,486 $ 84,203

Apple, Inc 360,000 4.50 2/23/2036 AA+ 444,597 451,663

Apple, Inc 700,000 3.85 5/04/2043 AA+ 818,138 824,304

Apple, Inc 159,000 3.45 2/09/2045 AA+ 151,860 177,426

Apple, Inc 159,000 4.38 5/13/2045 AA+ 172,436 200,498

Apple, Inc 300,000 4.65 2/23/2046 AA+ 429,310 393,506

Apple, Inc 1,435,000 3.75 9/12/2047 AA+ 1,678,643 1,677,707

Apple, Inc 1,355,000 3.75 11/13/2047 AA+ 1,554,230 1,590,281

Applied Materials, Inc 168,000 3.90 10/01/2025 A 183,413 183,031




Autodesk, Inc 159,000 3.50 6/15/2027 BBB 158,685 170,853

Broadcom Corp/Broadcom

Cayman Finance Ltd 400,000 3.63 1/15/2024 BBB- 418,539 418,346

Broadcom Corp/Broadcom

Cayman Finance Ltd 1,000,000 3.50 1/15/2028 BBB- 1,027,884 1,068,229

Broadcom, Inc 300,000 3.63 10/15/2024 BBB- 309,074 317,317

Broadcom, Inc 415,000 4.15 11/15/2030 BBB- 469,431 460,258

Broadcom, Inc144A 3,565,000 2.45 2/15/2031 BBB- 3,517,150 3,495,529

Broadcom, Inc144A 250,000 3.50 2/15/2041 BBB- 256,204 256,505


Inc 200,000 2.60 5/01/2031 BBB+ 208,174 200,748

Dell International LLC/EMC Corp 500,000 4.00 7/15/2024 BBB 506,464 530,549





Fiserv, Inc 400,000 3.80 10/01/2023 BBB 404,595 418,133

Fiserv, Inc 60,000 3.85 6/01/2025 BBB 61,298 64,076

Fiserv, Inc 500,000 3.20 7/01/2026 BBB 486,152 528,661

Fiserv, Inc 400,000 4.20 10/01/2028 BBB 446,134 448,410

Fiserv, Inc 600,000 3.50 7/01/2029 BBB 649,167 645,264

Hewlett Packard Enterprise Co 4,720,000 4.45 10/02/2023 BBB 4,985,170 4,980,542

Hewlett Packard Enterprise Co 119,000 4.90 10/15/2025 BBB 122,734 132,013

Hewlett Packard Enterprise Co 919,000 6.20 10/15/2035 BBB 985,162 1,202,915

HP, Inc 500,000 3.40 6/17/2030 BBB 542,715 529,077

HP, Inc 159,000 6.00 9/15/2041 BBB 171,520 211,305

Intel Corp 300,000 2.88 5/11/2024 A+ 315,306 312,329

Intel Corp 155,000 3.70 7/29/2025 A+ 159,426 167,251

Intel Corp 400,000 2.45 11/15/2029 A+ 425,968 413,779

Intel Corp 79,000 4.80 10/01/2041 A+ 91,620 102,023

Intel Corp 79,000 4.25 12/15/2042 A+ 84,794 96,268

Intel Corp 191,000 4.90 7/29/2045 A+ 223,543 253,890

Intel Corp 79,000 4.10 5/19/2046 A+ 83,127 93,830

Intel Corp 559,000 4.10 5/11/2047 A+ 648,683 670,794

Intel Corp 700,000 3.73 12/08/2047 A+ 726,303 797,300

Intel Corp 340,000 3.20 8/12/2061 A+ 352,630 348,181



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Corp 250,000 3.63% 2/12/2024 A- $ 254,772 $ 263,521


Corp 500,000 3.00 5/15/2024 A- 521,217 522,302


Corp 100,000 3.45 2/19/2026 A- 101,751 107,150


Corp 200,000 3.30 1/27/2027 A- 202,281 214,462


Corp 20,000 6.50 1/15/2028 A- 23,632 25,075


Corp 200,000 3.50 5/15/2029 A- 224,541 217,048


Corp 1,300,000 1.95 5/15/2030 A- 1,311,379 1,270,875


Corp 400,000 5.88 11/29/2032 A- 488,990 526,249


Corp 500,000 4.15 5/15/2039 A- 602,774 577,420


Corp 44,000 5.60 11/30/2039 A- 53,779 60,099


Corp 119,000 4.00 6/20/2042 A- 121,588 136,875

KLA Corp 359,000 4.65 11/01/2024 BBB+ 376,261 389,206

Lam Research Corp 40,000 3.80 3/15/2025 A- 40,696 43,015



Leidos, Inc 600,000 4.38 5/15/2030 BBB- 694,999 668,472

Marvell Technology, Inc 900,000 2.45 4/15/2028 904,566 912,793

Micron Technology, Inc 400,000 4.19 2/15/2027 BBB- 412,557 438,044

Microsoft Corp 40,000 2.00 8/08/2023 AAA 39,717 40,759












Microsoft Corp 1,315,000 2.68 6/01/2060 AAA 1,310,189 1,310,653

Microsoft Corp 1,410,000 3.04 3/17/2062 AAA 1,495,207 1,508,344

NetApp, Inc 400,000 3.30 9/29/2024 BBB+ 427,444 418,023

NVIDIA Corp 1,705,000 0.31 6/15/2023 A- 1,705,287 1,692,526

NVIDIA Corp 400,000 3.20 9/16/2026 A- 413,667 429,595

NXP BV/NXP Funding LLC144A 400,000 4.88 3/01/2024 BBB 413,789 429,682

NXP BV/NXP Funding LLC144A 2,100,000 5.35 3/01/2026 BBB 2,415,908 2,372,813

Oracle Corp 99,000 3.63 7/15/2023 BBB+ 100,734 102,584



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Oracle Corp 119,000 2.40% 9/15/2023 BBB+ $ 118,774 $ 121,355

Oracle Corp 159,000 3.40 7/08/2024 BBB+ 161,771 166,226

Oracle Corp 79,000 2.65 7/15/2026 BBB+ 78,110 81,187

Oracle Corp 500,000 2.95 4/01/2030 BBB+ 544,462 505,683

Oracle Corp 79,000 4.30 7/08/2034 BBB+ 85,345 87,498

Oracle Corp 119,000 3.85 7/15/2036 BBB+ 123,363 125,704

Oracle Corp 123,000 6.50 4/15/2038 BBB+ 166,426 165,905

Oracle Corp 107,000 6.13 7/08/2039 BBB+ 142,020 141,822

Oracle Corp 99,000 4.00 7/15/2046 BBB+ 102,195 102,754

Oracle Corp 1,549,000 4.38 5/15/2055 BBB+ 1,782,805 1,695,518

Oracle Corp 1,630,000 3.85 4/01/2060 BBB+ 1,804,015 1,609,545

QUALCOMM, Inc 999,000 3.25 5/20/2027 A 1,071,751 1,077,961

QUALCOMM, Inc 579,000 4.65 5/20/2035 A 702,561 719,901

QUALCOMM, Inc 24,000 4.30 5/20/2047 A 24,214 30,052

Roper Technologies, Inc 1,600,000 3.65 9/15/2023 BBB+ 1,671,118 1,665,540

Roper Technologies, Inc 724,000 3.80 12/15/2026 BBB+ 812,913 793,104

salesforce.com, Inc 300,000 3.70 4/11/2028 A+ 346,363 332,890

salesforce.com, Inc 1,330,000 3.05 7/15/2061 A+ 1,387,555 1,367,868

ServiceNow, Inc 440,000 1.40 9/01/2030 A- 422,280 409,554

Skyworks Solutions, Inc 415,000 3.00 6/01/2031 BBB- 435,884 418,296

Texas Instruments, Inc 400,000 4.15 5/15/2048 A+ 485,696 499,001

TSMC Arizona Corp 400,000 3.13 10/25/2041 AA- 423,325 416,677

VMware, Inc 165,000 1.40 8/15/2026 BBB- 165,014 162,159

VMware, Inc 583,000 3.90 8/21/2027 BBB- 622,534 634,716

Xilinx, Inc 450,000 2.38 6/01/2030 464,773 455,730

Total Technology 61,099,711 61,562,956

Utilities: 7.58%

AEP Transmission Co LLC 300,000 3.80 6/15/2049 A- 340,424 338,627

AES Corp 240,000 2.45 1/15/2031 BBB- 243,415 233,833

Alabama Power Co 79,000 3.55 12/01/2023 A- 80,205 82,729




Ameren Corp 40,000 3.65 2/15/2026 BBB 40,537 42,458

Ameren Corp 900,000 3.50 1/15/2031 BBB 992,494 970,810

Ameren Illinois Co 165,000 1.55 11/15/2030 A 162,370 155,231

Ameren Illinois Co 200,000 3.70 12/01/2047 A 231,219 226,962

American Electric Power Co, Inc 400,000 2.30 3/01/2030 BBB+ 400,357 389,968

American Water Capital Corp 119,000 3.85 3/01/2024 A 121,296 125,297




Appalachian Power Co 99,000 7.00 4/01/2038 A- 132,401 142,247



Arizona Public Service Co 340,000 4.35 11/15/2045 BBB+ 429,117 392,135





December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Atmos Energy Corp 400,000 2.63% 9/15/2029 A- $ 435,880 $ 411,242

Atmos Energy Corp 60,000 4.13 10/15/2044 A- 63,267 69,833

Atmos Energy Corp 500,000 4.13 3/15/2049 A- 584,475 594,390

Avangrid, Inc 200,000 3.80 6/01/2029 BBB 232,507 217,445

Baltimore Gas and Electric Co 20,000 6.35 10/01/2036 A 25,252 28,207

Baltimore Gas and Electric Co 79,000 3.75 8/15/2047 A 78,960 89,130

Berkshire Hathaway Energy Co 159,000 6.13 4/01/2036 A- 199,731 216,408




Black Hills Corp 79,000 4.25 11/30/2023 BBB+ 80,586 82,956

CenterPoint Energy Houston

Electric LLC 79,000 2.40 9/01/2026 A 76,937 81,356


Electric LLC 79,000 4.50 4/01/2044 A 89,834 99,073


Electric LLC 200,000 3.95 3/01/2048 A 199,478 238,363


Electric LLC 200,000 4.25 2/01/2049 A 233,798 248,420

CenterPoint Energy Resources

Corp 20,000 5.85 1/15/2041 BBB+ 24,313 27,042

CenterPoint Energy, Inc 160,000 1.45 6/01/2026 BBB 161,371 156,966

CMS Energy Corp 500,000 3.45 8/15/2027 BBB 486,529 536,216

Commonwealth Edison Co 159,000 2.55 6/15/2026 A 156,058 166,186





Connecticut Light and Power Co 390,000 0.75 12/01/2025 A+ 383,998 379,036

Consolidated Edison Co of New

York, Inc 400,000 3.35 4/01/2030 A- 428,768 430,163


York, Inc 20,000 5.85 3/15/2036 A- 24,442 26,352


York, Inc 200,000 6.75 4/01/2038 A- 308,187 289,024


York, Inc 200,000 5.50 12/01/2039 A- 246,835 257,060


York, Inc 79,000 4.20 3/15/2042 A- 84,343 89,074


York, Inc 1,154,000 3.85 6/15/2046 A- 1,275,645 1,252,227


York, Inc 300,000 4.65 12/01/2048 A- 363,255 371,109

Consumers Energy Co 79,000 3.25 8/15/2046 A 72,950 83,600

Consumers Energy Co 695,000 2.50 5/01/2060 A 628,920 612,684

Dominion Energy South Carolina,

Inc 20,000 6.05 1/15/2038 A 23,618 28,085


Inc 119,000 5.45 2/01/2041 A 135,428 160,478



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Inc 450,000 5.10% 6/01/2065 A $ 666,347 $ 643,364

Dominion Energy, Inc 24,000 2.85 8/15/2026 BBB 23,583 25,017





DTE Electric Co 27,000 3.65 3/15/2024 A 27,490 28,269

DTE Electric Co 800,000 2.63 3/01/2031 A 877,365 823,210

DTE Electric Co 79,000 3.70 6/01/2046 A 79,518 88,988

DTE Energy Co 200,000 3.40 6/15/2029 BBB 211,442 211,068

Duke Energy Carolinas LLC 135,000 6.10 6/01/2037 BBB+ 184,684 183,023

Duke Energy Carolinas LLC 99,000 6.05 4/15/2038 A 126,072 137,206

Duke Energy Carolinas LLC 689,000 3.75 6/01/2045 A 770,947 761,788

Duke Energy Corp 500,000 3.75 4/15/2024 BBB 532,316 525,065

Duke Energy Corp 79,000 3.15 8/15/2027 BBB 78,646 83,094

Duke Energy Corp 1,300,000 4.80 12/15/2045 BBB 1,559,209 1,595,922

Duke Energy Corp(1) 1,075,000 3.25 1/15/2082 BBB- 1,074,710 1,047,801

Duke Energy Florida LLC 445,000 3.20 1/15/2027 A 485,718 473,447




Duke Energy Indiana LLC 79,000 6.12 10/15/2035 BBB+ 98,277 105,329

Duke Energy Indiana LLC 20,000 6.35 8/15/2038 A 26,194 28,182

Duke Energy Progress LLC 199,000 3.25 8/15/2025 A 201,220 210,645

Duke Energy Progress LLC 119,000 4.10 5/15/2042 A 125,199 138,940

Edison International 79,000 2.95 3/15/2023 BBB- 79,203 80,256

Emera US Finance LP 107,000 3.55 6/15/2026 BBB- 107,542 113,805

Emera US Finance LP 107,000 4.75 6/15/2046 BBB- 114,989 126,051

Entergy Arkansas LLC 79,000 3.70 6/01/2024 A 80,452 82,989

Entergy Arkansas LLC 183,000 3.50 4/01/2026 A 186,255 195,757

Entergy Louisiana LLC 119,000 4.05 9/01/2023 A 121,203 123,755



Entergy Louisiana LLC 1,000,000 3.05 6/01/2031 A 951,247 1,057,623


Entergy Mississippi LLC 300,000 3.85 6/01/2049 A 329,545 343,938

Essential Utilities, Inc 400,000 3.57 5/01/2029 A- 448,395 432,963

Evergy Kansas Central, Inc 159,000 2.55 7/01/2026 A 155,850 164,812

Evergy Kansas Central, Inc 79,000 4.13 3/01/2042 A 82,955 91,286

Evergy Metro, Inc 905,000 2.25 6/01/2030 A+ 927,046 899,834

Evergy Metro, Inc 40,000 5.30 10/01/2041 A+ 46,362 52,033

Eversource Energy 40,000 3.15 1/15/2025 BBB+ 40,136 41,668

Eversource Energy 160,000 1.40 8/15/2026 BBB+ 160,484 156,794

Exelon Corp 159,000 3.95 6/15/2025 BBB 162,409 169,868

Exelon Corp 119,000 5.63 6/15/2035 BBB 138,669 151,310

Exelon Generation Co LLC 107,000 6.25 10/01/2039 BBB- 119,508 133,626

Florida Power & Light Co 229,000 3.13 12/01/2025 A+ 242,074 242,123



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Florida Power & Light Co 390,000 4.95% 6/01/2035 A+ $ 499,887 $ 492,213




Fortis, Inc 159,000 3.06 10/04/2026 BBB+ 156,360 165,513

Georgia Power Co 800,000 2.20 9/15/2024 BBB+ 830,764 818,415




Gulf Power Co 79,000 3.30 5/30/2027 A 79,495 84,300

Indiana Michigan Power Co 400,000 6.05 3/15/2037 A- 496,469 544,734

Indiana Michigan Power Co 159,000 3.75 7/01/2047 A- 156,903 175,320

Interstate Power and Light Co 200,000 3.25 12/01/2024 A- 213,870 209,951

ITC Holdings Corp 40,000 3.65 6/15/2024 BBB+ 40,449 41,939

ITC Holdings Corp 183,000 3.25 6/30/2026 BBB+ 182,637 192,896

MidAmerican Energy Co 400,000 3.65 4/15/2029 A+ 431,223 440,781

National Fuel Gas Co 75,000 3.75 3/01/2023 BBB- 75,324 76,652

National Fuel Gas Co 40,000 5.20 7/15/2025 BBB- 41,391 43,828

National Rural Utilities

Cooperative Finance Corp 79,000 2.70 2/15/2023 A- 79,055 80,448








Cooperative Finance Corp(1) 400,000 5.25 4/20/2046 BBB 429,199 429,907

Nevada Power Co 40,000 6.75 7/01/2037 A+ 53,031 59,154

NextEra Energy Capital Holdings,

Inc 79,000 3.55 5/01/2027 BBB+ 80,475 85,580

NextEra Energy Capital Holdings,

Inc(1) 800,000 4.80 12/01/2077 BBB 743,164 852,098

NiSource, Inc 119,000 3.49 5/15/2027 BBB+ 119,957 127,739

NiSource, Inc 47,000 5.25 2/15/2043 BBB+ 53,987 60,117

NiSource, Inc 400,000 4.80 2/15/2044 BBB+ 518,492 490,043

NiSource, Inc 119,000 4.38 5/15/2047 BBB+ 124,149 140,117

NiSource, Inc 200,000 3.95 3/30/2048 BBB+ 225,414 224,631

Northern States Power Co 79,000 6.20 7/01/2037 A 101,714 113,879



NSTAR Electric Co 600,000 3.95 4/01/2030 A 673,756 673,966

NSTAR Electric Co 40,000 5.50 3/15/2040 A 49,098 54,204

Oglethorpe Power Corp 20,000 5.95 11/01/2039 BBB+ 24,220 26,539

Oglethorpe Power Corp 79,000 5.38 11/01/2040 BBB+ 90,452 100,531

Ohio Edison Co 119,000 6.88 7/15/2036 BBB 152,619 169,407

Oklahoma Gas and Electric Co 400,000 3.30 3/15/2030 A- 418,990 427,068

Oncor Electric Delivery Co LLC 159,000 2.95 4/01/2025 A+ 158,737 165,952




December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Oncor Electric Delivery Co LLC 20,000 7.50% 9/01/2038 A+ $ 28,294 $ 31,680



Pacific Gas and Electric Co 500,000 3.30 3/15/2027 BBB- 521,181 508,328



Pacific Gas and Electric Co 1,000,000 2.50 2/01/2031 BBB- 982,463 952,561



PacifiCorp 99,000 5.75 4/01/2037 A+ 122,154 130,255

PacifiCorp 20,000 6.25 10/15/2037 A+ 25,836 27,796

PacifiCorp 20,000 6.35 7/15/2038 A+ 26,196 28,089

PacifiCorp 20,000 6.00 1/15/2039 A+ 25,632 27,370

PacifiCorp 28,000 4.10 2/01/2042 A+ 29,508 32,010

PacifiCorp 1,125,000 4.15 2/15/2050 A+ 1,356,703 1,330,900

PECO Energy Co 79,000 4.15 10/01/2044 A 84,615 93,817

PECO Energy Co 300,000 3.90 3/01/2048 A 335,590 350,196

Potomac Electric Power Co 679,000 3.60 3/15/2024 A 717,739 710,215

PPL Electric Utilities Corp 400,000 4.75 7/15/2043 A 465,691 505,951

PPL Electric Utilities Corp 200,000 3.95 6/01/2047 A 198,058 233,587

Public Service Co of Colorado 20,000 6.25 9/01/2037 A 25,897 29,173




Public Service Electric and Gas Co 79,000 2.38 5/15/2023 A 78,819 80,384






Inc 165,000 0.80 8/15/2025 BBB 163,522 160,636


Inc 440,000 1.60 8/15/2030 BBB 425,466 407,849

Puget Sound Energy, Inc 79,000 6.27 3/15/2037 A- 99,325 109,218




San Diego Gas & Electric Co 285,000 1.70 10/01/2030 A 281,445 272,712

San Diego Gas & Electric Co 145,000 4.50 8/15/2040 A 177,605 175,913

Sempra Energy 700,000 3.25 6/15/2027 BBB 699,471 738,307

Southern California Edison Co 500,000 3.70 8/01/2025 A- 542,740 533,853






Southern California Gas Co 700,000 2.55 2/01/2030 A+ 748,878 717,763





December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Southern Co 724,000 2.95% 7/01/2023 BBB $ 745,108 $ 741,445

Southern Co 400,000 3.70 4/30/2030 BBB 449,743 435,051

Southern Co 24,000 4.25 7/01/2036 BBB 24,825 27,077

Southern Co 119,000 4.40 7/01/2046 BBB 124,708 139,404

Southern Co Gas Capital Corp 165,000 1.75 1/15/2031 BBB+ 161,230 154,517



Southern Power Co 79,000 5.15 9/15/2041 BBB 84,966 96,730

Southern Power Co 48,000 5.25 7/15/2043 BBB 52,764 60,027

Southwestern Electric Power Co 20,000 6.20 3/15/2040 A- 25,545 27,655

Southwestern Public Service Co 79,000 3.30 6/15/2024 A 79,734 82,211

Tampa Electric Co 79,000 4.10 6/15/2042 BBB+ 80,133 91,041

Tucson Electric Power Co 40,000 3.05 3/15/2025 A- 39,732 41,566

Union Electric Co 99,000 3.50 4/15/2024 A 100,352 103,371




Virginia Electric and Power Co 40,000 2.75 3/15/2023 BBB+ 40,068 40,684


Virginia Electric and Power Co 1,234,000 3.50 3/15/2027 BBB+ 1,348,943 1,329,340








Wisconsin Power and Light Co 99,000 6.38 8/15/2037 A 127,494 139,048

Wisconsin Public Service Corp 79,000 3.67 12/01/2042 A- 77,673 87,691

Xcel Energy, Inc 400,000 3.30 6/01/2025 BBB+ 424,935 419,950



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


Xcel Energy, Inc 300,000 2.60% 12/01/2029 BBB+ $ 317,681 $ 306,649

Total Utilities 61,926,160 62,814,380





Fund S(2) 0.05(3) 21,746,245 21,746,245 21,746,245





shown are those in effect on December 31, 2021.(2) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds




December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue

Government/Agency bonds: 98.60%

Federal Agencies: 1.82%


Funding Corp 105,000 1.10% 8/10/2029 AA+ $ 104,919 $ 99,992








Corp 215,000 1.50 2/12/2025 AA+ 221,357 218,105


Corp 385,000 0.25 12/04/2023 AA+ 384,556 381,359


Association 115,000 6.25 5/15/2029 AA+ 157,617 152,738


Association 70,000 2.13 4/24/2026 AA+ 68,215 72,589


Association 15,000 1.88 9/24/2026 AA+ 14,284 15,413


Association 725,000 0.25 5/22/2023 AA+ 725,283 721,952


Association 430,000 0.75 10/08/2027 AA+ 430,919 414,835


Association 350,000 0.56 10/22/2025 AA+ 349,731 341,396

Total Federal Agencies 3,923,625 3,894,606

US Government Notes & Bonds: 96.78%

US Treasury Bond 810,000 5.25 11/15/2028 1,013,685 1,013,544

US Treasury Bond 545,000 6.25 5/15/2030 748,822 752,441

US Treasury Bond 470,000 7.63 2/15/2025 577,524 566,258

US Treasury Bond 385,000 6.00 2/15/2026 436,140 459,895

US Treasury Bond 30,000 6.75 8/15/2026 36,511 37,390

US Treasury Bond 475,000 6.63 2/15/2027 568,535 600,652

US Treasury Bond 530,000 6.13 11/15/2027 646,863 673,431

US Treasury Bond 485,000 5.50 8/15/2028 572,292 609,963

US Treasury Bond 250,000 6.50 11/15/2026 307,083 311,953

US Treasury Bond 510,000 6.38 8/15/2027 634,171 649,891

US Treasury Inflation Indexed

Bonds 2,452,061 0.75 7/15/2028 2,620,329 2,807,910


Bonds 820,973 3.63 4/15/2028 1,031,201 1,090,626


Bonds 2,399,477 2.38 1/15/2025 2,525,734 2,732,368


Bonds 2,231,426 2.00 1/15/2026 2,523,350 2,581,814


Bonds 1,281,215 2.38 1/15/2027 1,402,029 1,547,292


Bonds 2,456,074 1.75 1/15/2028 2,839,598 2,946,200


Wells Fargo Strategic Retirement Bond Index CITSchedule of Investments

December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Bonds 1,127,403 2.50% 1/15/2029 $ 1,244,333 $ 1,441,121


Bonds 3,887,965 0.38 7/15/2027 4,307,262 4,313,237


Bonds 2,871,014 0.50 1/15/2028 2,903,415 3,212,237


Bonds 4,488,211 0.63 4/15/2023 4,544,300 4,691,758


Bonds 5,044,643 0.63 1/15/2024 5,221,376 5,368,247


Bonds 4,490,768 0.25 1/15/2025 4,611,095 4,810,952


Bonds 3,171,335 0.63 1/15/2026 3,210,250 3,482,758


Bonds 3,597,236 0.13 7/15/2026 3,728,610 3,905,268


Bonds 3,588,219 0.13 1/15/2023 3,661,165 3,705,677


Bonds 3,254,658 0.38 1/15/2027 3,265,044 3,579,626


Bonds 4,540,834 0.38 7/15/2023 4,599,315 4,774,190


Bonds 4,811,615 0.13 7/15/2024 4,892,530 5,128,889


Bonds 4,823,560 0.38 7/15/2025 5,042,112 5,238,722


Bonds 2,908,712 0.88 1/15/2029 3,007,947 3,363,407


Bonds 2,264,975 0.50 4/15/2024 2,273,404 2,414,264


Bonds 2,313,781 3.88 4/15/2029 3,004,401 3,222,277


Bonds 2,763,156 0.25 7/15/2029 2,840,999 3,095,841


Bonds 1,811,263 0.13 10/15/2024 1,822,551 1,934,493


Bonds 3,687,970 0.13 1/15/2030 3,902,154 4,093,017


Bonds 2,832,716 0.13 4/15/2025 2,933,163 3,029,997


Bonds 3,959,747 0.13 7/15/2030 4,336,457 4,429,946


Bonds 3,699,541 0.13 10/15/2025 3,940,089 3,987,994


Bonds 4,218,840 0.13 1/15/2031 4,598,784 4,723,251


Bonds 1,914,535 0.13 4/15/2026 2,073,482 2,066,024


Bonds 4,025,469 0.13 7/15/2031 4,506,274 4,524,509



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue



Bonds 2,095,565 0.13% 10/15/2026 $ 2,294,941 $ 2,278,765

US Treasury Note 1,180,000 1.50 8/15/2026 1,237,003 1,193,367

US Treasury Note 950,000 1.38 8/31/2023 969,464 961,244

US Treasury Note 1,455,000 2.25 8/15/2027 1,550,272 1,526,272

US Treasury Note 380,000 2.25 11/15/2027 372,268 398,956

US Treasury Note 580,000 2.13 11/30/2024 577,449 599,348

US Treasury Note 765,000 2.38 1/31/2023 765,848 780,778

US Treasury Note 1,070,000 2.75 2/15/2028 1,117,490 1,156,436

US Treasury Note 540,000 2.63 2/28/2023 545,579 553,352

US Treasury Note 560,000 2.50 3/31/2023 561,385 573,803

US Treasury Note 470,000 2.63 3/31/2025 465,972 493,941

US Treasury Note 825,000 2.88 5/15/2028 945,863 898,831

US Treasury Note 710,000 2.88 5/31/2025 717,525 752,794

US Treasury Note 755,000 2.75 5/31/2023 757,839 778,299

US Treasury Note 645,000 2.63 6/30/2023 655,523 664,526

US Treasury Note 1,335,000 2.88 8/15/2028 1,449,365 1,457,966

US Treasury Note 590,000 2.75 2/15/2024 597,324 614,499

US Treasury Note 795,000 2.38 8/15/2024 798,745 825,465

US Treasury Note 795,000 2.25 11/15/2024 795,886 824,191

US Treasury Note 525,000 2.00 2/15/2025 521,327 540,750

US Treasury Note 810,000 2.00 8/15/2025 802,658 835,376

US Treasury Note 800,000 2.25 11/15/2025 799,213 833,250

US Treasury Note 1,510,000 1.63 2/15/2026 1,574,166 1,535,953

US Treasury Note 535,000 1.50 2/28/2023 527,618 541,332

US Treasury Note 390,000 1.63 4/30/2023 388,765 395,622

US Treasury Note 800,000 1.63 5/15/2026 777,426 813,406

US Treasury Note 950,000 1.25 7/31/2023 965,087 959,500

US Treasury Note 320,000 2.00 11/15/2026 315,231 331,013

US Treasury Note 705,000 2.00 2/15/2023 704,612 717,172

US Treasury Note 95,000 2.25 1/31/2024 93,861 97,917

US Treasury Note 820,000 2.25 2/15/2027 793,247 858,982

US Treasury Note 715,000 1.75 5/15/2023 711,896 726,786

US Treasury Note 655,000 2.50 8/15/2023 659,291 674,599

US Treasury Note 1,075,000 2.13 3/31/2024 1,076,238 1,106,410

US Treasury Note 730,000 2.75 11/15/2023 738,491 757,575

US Treasury Note 780,000 2.50 5/15/2024 785,935 810,286

US Treasury Note 410,000 2.00 4/30/2024 413,111 421,115

US Treasury Note 960,000 2.38 5/15/2027 947,273 1,013,175

US Treasury Note 800,000 2.13 5/15/2025 796,903 828,094

US Treasury Note 1,050,000 2.00 5/31/2024 1,095,343 1,078,834

US Treasury Note 665,000 2.75 6/30/2025 684,130 702,952

US Treasury Note 670,000 2.75 7/31/2023 680,838 692,482

US Treasury Note 595,000 2.88 10/31/2023 593,136 618,451

US Treasury Note 250,000 3.13 11/15/2028 254,649 277,881

US Treasury Note 855,000 2.88 11/30/2025 892,790 911,343

US Treasury Note 515,000 2.88 11/30/2023 518,460 536,083

US Treasury Note 785,000 2.63 12/31/2023 787,396 814,223



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


US Treasury Note 800,000 2.50% 1/31/2024 $ 800,460 $ 828,625

US Treasury Note 1,475,000 2.63 2/15/2029 1,650,531 1,594,556

US Treasury Note 760,000 2.25 3/31/2026 758,962 792,508

US Treasury Note 885,000 2.25 4/30/2024 924,630 913,935

US Treasury Note 545,000 2.38 5/15/2029 611,814 580,872

US Treasury Note 855,000 2.38 4/30/2026 878,031 896,648

US Treasury Note 835,000 1.75 6/30/2024 834,734 853,200

US Treasury Note 1,115,000 1.75 7/31/2024 1,125,785 1,139,957

US Treasury Note 760,000 1.88 7/31/2026 765,058 781,523

US Treasury Note 740,000 1.63 8/15/2029 742,821 750,724

US Treasury Note 1,065,000 1.25 8/31/2024 1,094,224 1,074,776

US Treasury Note 705,000 1.50 9/30/2024 703,526 716,126

US Treasury Note 1,150,000 1.50 11/30/2024 1,190,663 1,168,059

US Treasury Note 200,000 1.50 2/15/2030 202,428 201,031

US Treasury Note 1,190,000 1.13 2/28/2025 1,220,753 1,194,184

US Treasury Note 1,595,000 0.38 4/30/2025 1,570,932 1,559,611

US Treasury Note 1,050,000 0.50 4/30/2027 1,047,624 1,007,180

US Treasury Note 1,225,000 0.13 5/15/2023 1,224,883 1,217,966

US Treasury Note 2,010,000 0.63 5/15/2030 1,947,383 1,879,350

US Treasury Note 1,085,000 0.25 5/31/2025 1,081,292 1,055,417

US Treasury Note 1,070,000 0.38 7/31/2027 1,068,061 1,016,291

US Treasury Note 1,900,000 0.63 8/15/2030 1,868,278 1,771,898

US Treasury Note 1,075,000 0.50 8/31/2027 1,076,157 1,025,743

US Treasury Note 545,000 0.38 9/30/2027 540,926 515,855

US Treasury Note 1,055,000 0.50 10/31/2027 1,047,483 1,003,981

US Treasury Note 2,055,000 0.88 11/15/2030 2,003,179 1,953,775

US Treasury Note 570,000 0.63 11/30/2027 563,167 545,931

US Treasury Note 1,550,000 0.38 11/30/2025 1,547,202 1,503,197

US Treasury Note 1,570,000 0.38 12/31/2025 1,566,404 1,521,796

US Treasury Note 1,700,000 0.13 12/31/2022 1,700,247 1,694,754

US Treasury Note 1,545,000 0.13 1/15/2024 1,543,212 1,525,506

US Treasury Note 1,580,000 0.13 1/31/2023 1,580,133 1,574,569

US Treasury Note 1,595,000 0.38 1/31/2026 1,590,570 1,543,038

US Treasury Note 1,670,000 0.13 2/15/2024 1,664,000 1,648,212

US Treasury Note 1,755,000 1.13 2/29/2028 1,746,906 1,729,498

US Treasury Note 1,230,000 1.25 3/31/2028 1,226,676 1,219,045

US Treasury Note 1,695,000 1.25 4/30/2028 1,724,418 1,679,573

US Treasury Note 1,125,000 1.25 5/31/2028 1,124,394 1,113,882

US Treasury Note 780,000 0.38 7/15/2024 779,839 770,372

US Treasury Note 1,310,000 1.00 7/31/2028 1,309,421 1,275,357

US Treasury Note 1,715,000 0.13 7/31/2023 1,713,305 1,701,535

US Treasury Note 1,605,000 0.38 8/15/2024 1,604,055 1,583,809

US Treasury Note 1,760,000 0.38 9/15/2024 1,746,444 1,735,113

US Treasury Note 1,835,000 1.25 9/30/2028 1,820,356 1,813,424



December 31, 2021


ParValue

InterestRate

MaturityDate


FairValue


US Treasury Note 1,820,000 1.38% 10/31/2028 $ 1,819,721 $ 1,812,606

Total US Government Notes & Bonds 202,380,299 207,167,733

Total Government/Agency bonds 206,303,924 211,062,339




Fund S(1) 0.05(2) 2,401,181 2,401,181 2,401,181







December 31, 2021


Shares CostFair


Real estate: 99.58%

Acadia Realty Trust REIT 7,421 $ 137,579 $ 162,000

Agree Realty Corp REIT 5,854 413,127 417,741


Inc REIT 11,833 1,864,474 2,638,286

American Assets Trust, Inc REIT 4,414 148,610 165,657

American Campus Communities,

Inc REIT 11,676 463,090 668,918

American Finance Trust, Inc REIT 10,362 85,807 94,605

American Homes 4 Rent Class A

REIT 23,805 663,482 1,038,136

Americold Realty Trust REIT 22,385 752,525 734,004

Apartment Investment and

Management Co Class A REIT 12,774 323,826 98,615

Apartment, Income Corp REIT 13,172 635,242 720,113

Apple Hospitality, Inc REIT 17,819 232,313 287,777

Ashford Hospitality Trust, Inc

REIT 2,731 27,686 26,218

AvalonBay Communities, Inc

REIT 11,726 2,094,666 2,961,870

Boston Properties, Inc REIT 11,928 1,273,819 1,373,867

Brandywine Realty Trust REIT 14,358 182,338 192,684

Brixmor Property Group, Inc

REIT 24,920 410,243 633,217

Broadstone Net Lease, Inc REIT 13,531 320,050 335,839

Camden Property Trust REIT 8,576 871,374 1,532,360

CareTrust, Inc REIT 8,141 188,892 185,859

Centerspace REIT 1,198 95,888 132,858

Chatham Lodging Trust REIT 4,091 51,413 56,129

City Office, Inc REIT 3,654 46,989 72,057

Community Healthcare Trust, Inc

Class I REIT 1,969 89,133 93,075

Corporate Office Properties Trust

REIT 9,424 244,685 263,589

Cousins Properties, Inc REIT 12,476 410,215 502,533

CubeSmart REIT 18,190 612,712 1,035,193

DiamondRock Hospitality Co

REIT 17,673 140,908 169,838

Digital Realty Trust, Inc REIT 23,813 3,271,338 4,211,805

Diversified Healthcare Trust REIT 20,054 81,964 61,967

Douglas Emmett, Inc REIT 14,724 484,209 493,254

Duke Realty Corp REIT 31,957 1,142,088 2,097,658

Easterly Government Properties,

Inc REIT 7,227 157,608 165,643

EastGroup Properties, Inc REIT 3,414 420,509 777,880

Empire State Realty Trust, Inc

Class A REIT 11,866 130,664 105,607

EPR Properties REIT 6,276 323,998 298,047

Equity Commonwealth REIT 10,144 304,956 262,730


Wells Fargo US REIT Index CITSchedule of Investments

December 31, 2021


Shares CostFair


Equity LifeStyle Properties, Inc

REIT 14,345 $ 906,276 $ 1,257,483

Equity Residential REIT 28,636 1,910,926 2,591,558

Essential Properties Realty Trust,

Inc REIT 10,201 211,382 294,095

Essex Property Trust, Inc REIT 5,462 1,411,151 1,923,880

Extra Space Storage, Inc REIT 11,235 1,230,573 2,547,312

Federal Realty Investment Trust

REIT 5,875 596,850 800,880

First Industrial Realty Trust, Inc

REIT 10,932 428,175 723,698

Four Corners Property Trust, Inc

REIT 6,490 180,973 190,871

Franklin Street Properties Corp

REIT 7,977 43,297 47,463

Getty Realty Corp REIT 3,309 102,577 106,186

Global Medical REIT, Inc REIT 5,063 73,416 89,868

Global Net Lease, Inc REIT 8,692 157,714 132,814

Healthcare Realty Trust, Inc REIT 12,380 377,962 391,703

Healthcare Trust of America, Inc

Class A REIT 18,531 509,572 618,750

Healthpeak Properties, Inc REIT 45,234 1,301,031 1,632,495

Hersha Hospitality Trust REIT 2,770 29,076 25,401

Highwoods Properties, Inc REIT 8,759 356,889 390,564

Host Hotels & Resorts, Inc REIT 59,916 886,714 1,041,939

Hudson Pacific Properties, Inc

REIT 12,794 347,662 316,140

Independence Realty Trust, Inc

REIT 8,773 121,567 226,607

Industrial Logistics Properties

Trust REIT 5,488 116,010 137,474

Innovative Industrial Properties,

Inc REIT 2,008 274,602 527,923

Invitation Homes, Inc REIT 50,076 1,432,807 2,270,446

JBG SMITH Properties REIT 9,578 303,839 274,984

Kilroy Realty Corp REIT 8,795 565,174 584,516

Kimco Realty Corp REIT 51,725 889,955 1,275,021

Kite Realty Group Trust REIT 18,378 349,754 400,273

Life Storage, Inc REIT 6,883 525,296 1,054,338

LTC Properties, Inc REIT 3,303 129,459 112,764

LXP Industrial Trust REIT 23,732 290,976 370,694

Macerich Co REIT 17,876 271,655 308,897

Mack-Cali Realty Corp REIT 6,715 113,175 123,422

Medical Properties Trust REIT 50,037 1,114,699 1,182,374


Communities, Inc REIT 9,662 1,201,545 2,216,849

Monmouth Real Estate Investment

Corp REIT 8,250 155,090 173,333

National Health Investors, Inc

REIT 3,847 249,312 221,087



December 31, 2021


Shares CostFair


National Retail Properties, Inc

REIT 14,736 $ 692,642 $ 708,360

National Storage Affiliates Trust

REIT 6,875 269,486 475,750

NETSTREIT Corp REIT 3,324 81,057 76,120

NexPoint Residential Trust, Inc

REIT 1,906 81,144 159,780

Office Properties Income Trust

REIT 4,063 97,547 100,925

Omega Healthcare Investors, Inc

REIT 20,052 722,148 593,339

Orion Office, Inc REIT 4,544 100,489 84,836

Paramount Group, Inc REIT 13,780 142,211 114,925

Park Hotels & Resorts, Inc REIT 19,843 319,768 374,636

Pebblebrook Hotel Trust, Inc

REIT 11,024 210,783 246,607

Piedmont Office Realty Trust, Inc

Class A REIT 10,416 183,028 191,446

Prologis, Inc REIT 62,040 5,681,270 10,445,054

PS Business Parks, Inc REIT 1,688 232,380 310,879

Public Storage REIT 12,801 2,868,369 4,794,743

Realty, Income Corp REIT 47,474 3,265,557 3,398,664

Regency Centers Corp REIT 12,930 685,908 974,276

Retail Opportunity Investments

Corp REIT 10,188 144,147 199,685

Rexford Industrial Realty, Inc

REIT 12,711 597,605 1,030,989

RLJ Lodging Trust REIT 13,977 179,964 194,700

RPT Realty REIT 7,072 90,108 94,623

Ryman Hospitality Properties, Inc

REIT 4,619 286,270 424,763

Seritage Growth Properties REIT 3,038 53,066 40,314

Service Properties Trust REIT 13,852 159,915 121,759

Simon Property Group, Inc REIT 27,575 2,781,734 4,405,658

SITE Centers Corp REIT 15,064 156,324 238,463

SL Green Realty Corp REIT 5,598 384,158 401,377

Spirit Realty Capital, Inc REIT 10,347 498,484 498,622

STAG Industrial, Inc REIT 14,685 455,548 704,293

STORE Capital Corp REIT 20,592 717,933 708,365

Summit Hotel Properties, Inc

REIT 8,932 77,769 87,176

Sun Communities, Inc REIT 9,732 1,382,681 2,043,428

Sunstone Hotel Investors, Inc

REIT 18,404 207,031 215,879

Tanger Factory Outlet Centers, Inc

REIT 8,724 120,385 168,199

Terreno Realty Corp REIT 6,277 335,696 535,365

UDR, Inc REIT 24,388 1,006,001 1,463,036

Universal Health Realty Income

Trust REIT 1,075 65,874 63,930



December 31, 2021


Shares CostFair


Urban Edge Properties REIT 9,238 $ 143,793 $ 175,522

Ventas, inc REIT 33,495 1,571,215 1,712,264

Vornado Realty Trust REIT 13,340 631,982 558,412

Washington Real Estate

Investment Trust REIT 7,101 175,612 183,561

Welltower, Inc REIT 36,525 2,310,991 3,132,749

WP Carey, Inc REIT 15,630 1,201,425 1,282,442

Xenia Hotels & Resorts, Inc REIT 9,583 141,224 173,548




Percentages shown are based on total net assets.

Abbreviations:REIT Real Estate Investment Trust



December 31, 2021


1. ORGANIZATIONWells Fargo Bank Collective Investment Funds for Employee Benefit Trusts consists of the following funds (each a "Fund", collectively "the

Funds"):

Wells Fargo Bloomberg US Aggregate ex-CorporateIndex CIT (formerly, Wells Fargo Bloomberg BarclaysUS Aggregate ex-Corporate Index CIT) Wells Fargo Factor Enhanced U.S. Small Cap Equity CIT

Wells Fargo Emerging Markets Bond Index CIT Wells Fargo High Yield Corporate Bond Index CITWells Fargo Factor Enhanced Emerging Markets

Equity CITWells Fargo Investment Grade Corporate Bond Index CIT

Wells Fargo Factor Enhanced International Equity CIT Wells Fargo Strategic Retirement Bond Index CITWells Fargo Factor Enhanced U.S. Large Cap Equity CIT Wells Fargo US REIT Index CITWells Fargo Factor Enhanced U.S. Low Volatility

Equity 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 December 16, 2021, and are each a collective investment fund managed and trusteed by

Wells Fargo Bank, N.A. ("Wells Fargo" or "the Trustee") for retirement plans 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.

Effective on November 1, 2021, the sale transaction of Wells Fargo Asset Management ("WFAM") by Wells Fargo & Company to GTCR LLC

and Reverence Capital Partners, L.P. was closed. In connection with the closing of the transaction, WFAM became known as Allspring Global

Investments (“Allspring”) and various entities that provided services to the Funds changed their names to "Allspring", including Allspring Global

Investments, LLC, the investment advisor to the Funds and Allspring Funds Distributor, LLC. As part of the transaction, Wells Fargo’s collective

investment trust business will be transferred from Wells Fargo to SEI Trust Company, with investment advisory services to remain unchanged and

is expected to close at the beginning of the second quarter of 2022. As of November 1, 2021, Allspring Global Investments, LLC and Allspring

Funds Distributor, LLC are no longer affiliates of the Funds but continue to serve as the investment advisor and distributor.

The investment objective of each Fund is as follows:

Wells Fargo Bloomberg US Aggregate ex-Corporate Index CITThe Fund seeks to replicate the total return of the Bloomberg US Aggregated-Corporate Index before fees and expenses.

Wells Fargo Emerging Markets Bond Index CITThe Fund seeks to replicate the total return of the JP Morgan EMBI Global Diversified Index before fees and expenses.

Wells Fargo Factor Enhanced Emerging Markets Equity CITThe Fund seeks long-term capital appreciation.

Wells Fargo Factor Enhanced International Equity CITThe Fund seeks long-term capital appreciation.

Wells Fargo Factor Enhanced U.S. Small Cap Equity CITThe Fund seeks long-term capital appreciation.

Wells Fargo Factor Enhanced U.S. Large Cap Equity CIThe Fund seeks long-term capital appreciation.

Wells Fargo Factor Enhanced U.S. Low Volatility Equity CITThe Fund seeks long-term capital appreciation.

Wells Fargo High Yield Corporate Bond Index CITThe Fund seeks to replicate the total return of the Bloomberg U.S. High Yield 2% Issuer Capped Bond Index, before fees and expenses.

Wells Fargo Investment Grade Corporate Bond Index CITThe Fund seeks to replicate the total return of the Bloomberg US Corporate Bond Index, before fees and expenses.

Wells Fargo Bank, N.A. Collective Investment FundsNotes to Financial Statements

283

Wells Fargo Strategic Retirement Bond Index CITThe Fund seeks to replicate the total return of a blended index that is weighted 50% to the Bloomberg U.S. Treasury Inflation-Linked 1-10 Year

Bond Index and 50% to the Bloomberg U.S. Intermediate Government Bond Index, before fees and expenses.

Wells Fargo US REIT Index CITThe Fund seeks to replicate the total return of the Dow Jones U.S. Select REIT Index, before fees and expenses.

2. SIGNIFICANT ACCOUNTING POLICIESThe 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 valuationAll investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time),

although the Funds may deviate from this calculation time under unusual or unexpected circumstances.

Equity securities and futures contracts that are listed on a foreign or domestic exchange or market are valued at the official closing price or, if none,

the last sales price. If no sale occurs on the principal exchange or market that day, a fair value price will be determined in accordance with the

Collective Fund Valuation Procedure.

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 Collective Fund Oversight Committee ("CFOC"), a sub-committee of the Trust

Investment Committee of Wells Fargo.

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, 2021, such fair value pricing was used in pricing of certain foreign securities held in Wells Fargo Factor Enhanced

Emerging Markets Equity CIT and Wells Fargo Factor Enhanced International Index CIT.

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 underlying collective investment funds are valued at net asset value per unit as reported by the underlying funds as of the close of

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

Investments which are not valued using the 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 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 contractsFutures 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 and security values and is subject to interest rate risk and equity price 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.


284

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.

Foreign currency translationThe 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.

When-issued transactionsA 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 recognitionSecurities 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 equivalentsCash, 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 unitholdersUnits 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 or loss to holders of each Fund.

Federal and other taxesEach Fund maintains tax-exempt status by operating as collective investment trust funds regulated by the OCC, and as such no provision for

income taxes is required. It is intended that the Funds be exempt from taxation under Section 501(a) of the Code and qualify as a "group trust" under

Revenue Ruling 81-100 and other applicable Internal Revenue Service rules and regulations.

Each Fund’s federal and state fiduciary and federal excise tax returns for the 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.


285

Class allocationsWells Fargo has created unit classes of the Funds with differing embedded fees. Class G unit class is not available to plans for direct investment.

Class TMR 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 fund-level 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 MEASUREMENTSFair 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, 2021.

Investments in securitiesQuoted prices

(Level 1)

Other significantobservable

inputs(Level 2)

Significantunobservable

inputs(Level 3) Total

Wells Fargo Bloomberg US Aggregate ex-Corporate Index CIT:Value of investment securities:

Corporate bonds $ — $ 10,801,095 $ — $ 10,801,095

Foreign government bonds — 64,905,396 — 64,905,396

Government/Agency bonds 827,621,491 615,012,215 — 1,442,633,706

Corporate asset-backed securities — 7,441,318 — 7,441,318

Corporate mortgage-backed securities — 22,125,773 — 22,125,773

Municipal bonds — 14,931,754 — 14,931,754

Short-term investments 377,564,535 — — 377,564,535

Total $ 1,205,186,026 $ 735,217,551 $ — $ 1,940,403,577

Wells Fargo Emerging Markets Bond Index CIT:Value of investment securities:

Corporate bonds $ — $ 21,662,953 $ — $ 21,662,953

Foreign government bonds — 109,897,561 — 109,897,561


Total $ 2,549,036 $ 131,560,514 $ — $ 134,109,550


286


(Level 1)


inputs(Level 2)



Wells Fargo Factor Enhanced Emerging Markets Equity CIT:Value of investment securities:

Common stocksCommunication services $ 60,555,721 $ 24,478,768 $ — $ 85,034,489

Consumer discretionary 78,777,836 23,093,735 — 101,871,571

Consumer staples 31,184,463 14,738,466 — 45,922,929

Energy 22,861,300 13,456,620 — 36,317,920

Financials 89,939,718 59,177,052 — 149,116,770

Health care 37,655,651 4,909,121 — 42,564,772

Industrials 32,346,877 13,511,486 — 45,858,363

Information technology 51,776,161 144,471,388 — 196,247,549

Materials 35,029,562 26,632,867 — 61,662,429

Real estate 11,852,535 2,994,367 — 14,846,902

Utilities 10,466,063 2,427,999 — 12,894,062

Preferred stocksConsumer discretionary — 163,609 — 163,609

Consumer staples — 355,738 — 355,738

Energy — 2,726,513 — 2,726,513

Financials — 5,929,471 — 5,929,471

Information technology — 3,580,981 — 3,580,981

Materials — 3,012,635 — 3,012,635

Utilities — 3,300,219 — 3,300,219

RightReal estate — 2,034 — 2,034


Total $ 488,782,173 $ 348,963,069 $ — $ 837,745,242

Other financial instruments:

Assets:

Futures contracts $ 147,856 $ — $ — $ 147,856


287


(Level 1)


inputs(Level 2)



Wells Fargo Factor Enhanced International Equity CIT:Value of investment securities:

Common stocksCommunication services $ 62,698,733 $ 65,098,494 $ — $ 127,797,227

Consumer discretionary 145,451,634 165,027,405 — 310,479,039

Consumer staples 169,221,735 105,345,207 — 274,566,942

Energy 86,554,643 28,712,567 — 115,267,210

Financials 306,784,835 185,485,766 — 492,270,601

Health care 96,954,272 214,762,160 282,893 311,999,325

Industrials 151,215,024 255,457,732 — 406,672,756

Information technology 130,382,139 149,352,549 — 279,734,688

Materials 121,333,541 92,656,632 — 213,990,173

Real estate 56,601,654 26,299,364 — 82,901,018

Utilities 47,147,955 50,771,454 — 97,919,409

Preferred stocksConsumer discretionary — 5,349,146 — 5,349,146

Consumer staples — 4,563,404 — 4,563,404

Health care — 1,550,171 — 1,550,171

Materials — 1,820,078 — 1,820,078


Total $ 1,422,003,269 $ 1,352,252,129 $ 282,893 $ 2,774,538,291


Assets:

Futures contracts $ 1,884,838 $ — $ — $ 1,884,838

Wells Fargo Factor Enhanced U.S. Large Cap Equity CIT:Value of investment securities:

Common stocksCommunication services $ 449,403,810 $ — $ — $ 449,403,810

Consumer discretionary 513,430,713 — — 513,430,713

Consumer staples 278,855,781 — — 278,855,781

Energy 92,980,029 — — 92,980,029

Financials 408,972,349 — — 408,972,349

Health care 640,152,054 — — 640,152,054

Industrials 394,627,856 — — 394,627,856

Information technology 1,382,513,342 — — 1,382,513,342

Materials 88,307,665 — — 88,307,665

Real estate 130,333,450 — — 130,333,450

Utilities 112,561,307 — — 112,561,307


Total $ 4,569,378,146 $ — $ — $ 4,569,378,146


Assets:

Futures contracts $ 1,867,288 $ — $ — $ 1,867,288


288


(Level 1)


inputs(Level 2)



Wells Fargo Factor Enhanced U.S. Low Volatility Equity CIT:Value of investment securities:




Energy 211,728 — — 211,728

Financials 5,415,725 — — 5,415,725

Health care 14,670,291 — — 14,670,291

Industrials 7,777,021 — — 7,777,021

Information technology 20,447,677 — — 20,447,677

Materials 1,183,142 — — 1,183,142

Real estate 2,363,545 — — 2,363,545

Utilities 6,278,672 — — 6,278,672

Short-term investments 621,047 — — 621,047

Total $ 83,183,483 $ — $ — $ 83,183,483


Assets:


Wells Fargo Factor Enhanced U.S. Small Cap Equity CIT:Value of investment securities:




Energy 44,321,802 — — 44,321,802

Financials 153,747,010 — — 153,747,010

Health care 216,731,247 — 189,135 216,920,382

Industrials 156,923,406 — — 156,923,406

Information technology 172,055,527 — — 172,055,527

Materials 40,731,636 — — 40,731,636

Real estate 77,407,108 — 112,731 77,519,839

Utilities 29,914,729 239 41,219 29,956,187

WarrantsEnergy — 23 — 23


Total $ 1,142,751,408 $ 262 $ 343,085 $ 1,143,094,755


Assets:


Wells Fargo High Yield Corporate Bond Index CIT:Value of investment securities:

Corporate bonds $ — $ 131,058,347 $ — $ 131,058,347


Total $ 1,381,962 $ 131,058,347 $ — $ 132,440,309


289


(Level 1)


inputs(Level 2)



Wells Fargo Investment Grade Corporate Bond Index CIT:Value of investment securities:

Corporate bonds $ — $ 816,554,389 $ — $ 816,554,389


Total $ 21,746,245 $ 816,554,389 $ — $ 838,300,634

Wells Fargo Strategic Retirement Bond Index CIT:Value of investment securities:

Government/Agency bonds $ 207,167,733 $ 3,894,606 $ — $ 211,062,339


Total $ 209,568,914 $ 3,894,606 $ — $ 213,463,520

Wells Fargo US REIT Index CIT:Value of investment securities:

Common stocksReal estate $ 95,561,193 $ — $ — $ 95,561,193

Additional sector, industry or geographic detail, if any, for each Fund is included in the Schedule of Investments.

Futures contracts are reported at their cumulative unrealized gains (losses) at the measurement date as reported in the table following each

applicable Schedule of Investments. For futures 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, 2021 each Fund, except Wells Fargo Factor Enhanced U.S. Small Cap Equity CIT, did not have transfers into/out

of Level 3. Wells Fargo Factor Enhanced U.S. Small Cap Equity CIT had deminimus transfers into/out of Level 3.

4. TRANSACTIONS WITH AFFILIATES AND OTHER EXPENSESTrustee feeWells 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. Class G unit class is not charged a class-level Trustee fee. A class-level Trustee fee is charged to Class TMR unit class at an

annual rate of 0.01% of its average daily net assets.

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

responsibilities that Wells Fargo may outsource to third parties. Each Fund’s expense accruals are adjusted periodically, within the limits approved

by the CFOC, based on expenses incurred. All Fund expenses, except TMR Program fees, are reported under Trustee fee on the Statement of

Operations. For the year ended December 31, 2021, the effective expense ratio incurred by each unit class is reflected in the Financial Highlights.

TMR Program feesFor Class TMR 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 Investment Management, a registered investment adviser, to provide investment advice for the Target MyRetirementSM program. Class TMR unit class is charged an annual rate of 0.23% of its average daily net assets. Out of this fee, Allspring Global

Investments, LLC receives 0.05% for its services provided in connection with the Target My Retirement program.

5. INVESTMENT PORTFOLIO TRANSACTIONSPurchases and sales of investments for the year ended December 31, 2021 were as follows:

Purchasesat cost

Salesproceeds

Realizedgain (loss)

Wells Fargo Bloomberg US Aggregate ex-Corporate Index CIT:Fixed income $ 3,715,691,710 $ 3,281,922,732 $ 656,338

Short-term investments 718,309,504 470,438,231 -


290

Purchasesat cost

Salesproceeds

Realizedgain (loss)

Wells Fargo Emerging Markets Bond Index CIT:Fixed income $ 53,445,745 $ 13,049,020 $ (1,185,921)


Wells Fargo Factor Enhanced Emerging Markets Equity CIT:Equities 863,409,346 660,209,098 60,100,088


Wells Fargo Factor Enhanced International Equity CIT:Equities 2,548,371,535 2,123,603,323 205,088,382


Wells Fargo Factor Enhanced U.S. Large Cap Equity CIT:Equities 7,224,454,427 3,518,179,225 75,010,155

Short-term investments 1,065,615,632 988,375,842 -

Wells Fargo Factor Enhanced U.S. Low Volatility Equity CIT:Equities 105,192,056 37,461,630 3,362,286


Wells Fargo Factor Enhanced U.S. Small Cap Equity CIT:Equities 1,325,593,124 1,234,886,738 155,876,199

Fixed income 28,290 28,282 -


Wells Fargo High Yield Corporate Bond Index CIT:Fixed income 115,263,389 81,540,521 2,381,088


Wells Fargo Investment Grade Corporate Bond Index CIT:Fixed income 566,081,852 335,500,637 9,995,175


Wells Fargo Strategic Retirement Bond Index CIT:Fixed income 100,792,223 42,187,680 850,978


Wells Fargo US REIT Index CIT:Equities 49,439,853 58,672,784 10,785,243


6. DERIVATIVE TRANSACTIONSDuring the year ended December 31, 2021, the following Funds entered into futures contracts to gain market exposure. The table below discloses

the volume of the following Funds' activity during the year ended December 31, 2021.


Emerging MarketsEquity CIT


InternationalEquity CIT


U.S. Large CapEquity CIT


U.S. Low VolatilityEquity CIT


U.S. Small CapEquity CIT

Futures contractsAverage notional

balance on long

futures contracts $ 26,364,463 $ 92,516,321 $ 76,024,342 $ 1,685,837 $ 40,879,402


291

The fair value, realized gains or losses and change in unrealized gains or losses, if any, on derivative instruments are reflected in the corresponding

financial statement captions.

7. CONCENTRATION OF OWNERSHIPAs of December 31, 2021, each Fund had unitholder that held units in excess of 10% of the outstanding units of each Fund. Investment activities,

including redemptions, of such unitholders could have a material impact on the operations of each Fund or expense impact on the class.

Number ofunitholders with

ownership inexcess of 10%

Aggregate% of

ownershipWells Fargo Bloomberg US Aggregate ex-Corporate Index CIT 4 77.71%

Wells Fargo Emerging Markets Bond Index CIT 4 77.65

Wells Fargo Factor Enhanced Emerging Markets Equity CIT 5 79.77

Wells Fargo Factor Enhanced International Equity CIT 5 79.82

Wells Fargo Factor Enhanced U.S. Large Cap Equity CIT 5 78.81

Wells Fargo Factor Enhanced U.S. Low Volatility Equity CIT 3 83.24

Wells Fargo Factor Enhanced U.S. Small Cap Equity CIT 5 78.80

Wells Fargo High Yield Corporate Bond Index CIT 4 77.59

Wells Fargo Investment Grade Corporate Bond Index CIT 4 77.71

Wells Fargo Strategic Retirement Bond Index CIT 4 90.75

Wells Fargo US REIT Index CIT 3 89.21

8. SUBSCRIPTION IN-KINDAfter the close of business on January 25, 2021, Wells Fargo Factor Enhanced U.S. Large Cap Equity CIT commenced operations after a

redemption in-kind transaction from Class G and Class TMR unit classes of Wells Fargo Factor Enhanced Large Cap Core CIT, an affiliated CIT

fund. Wells Fargo Factor Enhanced Large Cap Equity CIT received cash in the amount of $141,159,149 and securities with a fair value of

$3,570,058,188.

In connection with the in-kind transaction, Wells Fargo Factor Enhanced U.S. Large Cap Equity CIT received financial futures trading losses of

$3,394,889 from Wells Fargo Factor Enhanced Large Cap Core CIT. The trading losses were subsequently reimbursed by Wells Capital

Management, Incorporated, an affiliate of the Trustee, along with $676,850 of opportunity costs for the loss of use of the funds.

9. CORONAVIRUS (COVID-19) PANDEMICOn 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

last for an extended period of time. COVID-19 has led to significant uncertainty and volatility in the financial markets.

10. SUBSEQUENT EVENTSRussia launched a large-scale invasion of Ukraine on February 24, 2022. As a result of this military action, the United States and many other

countries have instituted various economic sanctions against Russian individuals and entities. The situation has led to increased financial market

volatility and could have severe adverse effects on regional and global economic markets, including the markets for certain securities and

commodities, such as oil and natural gas. The extent and duration of the military action, resulting sanctions imposed, other punitive action taken

and the resulting market disruptions cannot be easily predicted. Between February 8, 2022 and March 2, 2022, Wells Fargo Emerging Markets

Bond Index CIT sold all of its Russian and Ukrainian positions and incurred a realized loss of $4,475,774.

On March 25, 2022, the Trustee received notification from the remaining unitholders of each Fund that they intend to redeem all of their units. As

a result, liquidation became imminent as of that date. The Funds are expected to terminate on or about April 19, 2022.

Effective on April 1, 2022, Wells Fargo resigned as Trustee and SEI Trust Company assumed trusteeship of the Trust which became Allspring

Collective Investment Trust. As Trustee, SEI Trust Company may make certain amendments to the Declaration of Trust as it deems appropriate.

Each Fund also changed its name as follows:


292

Former Fund name New Fund nameWells Fargo Bloomberg US Aggregate ex-Corporate

Index CITAllspring Bloomberg US Aggregate ex-Corporate

Index CITWells Fargo Emerging Markets Bond Index CIT Allspring Emerging Markets Bond Index CITWells Fargo Factor Enhanced Emerging Markets

Equity CITAllspring Factor Enhanced Emerging Markets Equity CIT

Wells Fargo Factor Enhanced International Equity CIT Allspring Factor Enhanced International Equity CITWells Fargo Factor Enhanced U.S. Large Cap Equity CIT Allspring Factor Enhanced U.S. Large Cap Equity CITWells Fargo Factor Enhanced U.S. Low Volatility

Equity CITAllspring Factor Enhanced U.S. Low Volatility Equity CIT

Wells Fargo Factor Enhanced U.S. Small Cap Equity CIT Allspring Factor Enhanced U.S. Small Cap Equity CITWells Fargo High Yield Corporate Bond Index CIT Allspring High Yield Corporate Bond Index CITWells Fargo Investment Grade Corporate Bond Index CIT Allspring Investment Grade Corporate Bond Index CITWells Fargo Strategic Retirement Bond Index CIT Allspring Strategic Retirement Bond Index CITWells Fargo US REIT Index CIT Allspring US REIT Index CIT

Additionally, the Funds have evaluated the need for disclosures and/or adjustments resulting from subsequent events through April 13, 2022, 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.


293

Wells Fargo Bloomberg US Aggregate ex-Corporate Index CIT Class G Class TMR

Unitsoutstanding

Unitvaluation

Unitsoutstanding

Unitvaluation

January 31, 2021 113,574,305 $ 11.40 175 $ 11.54

February 28, 2021 123,203,824 11.24 168 11.38

March 31, 2021 125,885,227 11.12 168 11.26

April 30, 2021 130,356,369 11.20 141 11.33

May 31, 2021 131,418,939 11.20 138 11.33

June 30, 2021 132,969,183 11.26 133 11.38

July 31, 2021 133,669,119 11.37 145 11.50

August 31, 2021 135,289,991 11.36 157 11.48

September 30, 2021 133,629,200 11.26 164 11.39

October 31, 2021 138,028,626 11.25 265 11.37

November 30, 2021 139,380,858 11.30 136 11.41

December 31, 2021 141,448,311 11.25 133 11.36

Wells Fargo Emerging Markets Bond Index CIT Class G Class TMR

Unitsoutstanding

Unitvaluation

Unitsoutstanding

Unitvaluation

January 31, 2021 9,702,340 $ 11.28 46 $ 11.57

February 28, 2021 10,552,972 10.98 45 11.26

March 31, 2021 10,909,014 10.87 45 11.14

April 30, 2021 11,109,098 11.11 39 11.39

May 31, 2021 11,097,086 11.22 40 11.51

June 30, 2021 11,187,641 11.30 38 11.59

July 31, 2021 11,309,427 11.35 41 11.64

August 31, 2021 11,360,083 11.46 43 11.75

September 30, 2021 11,310,035 11.22 45 11.51

October 31, 2021 11,716,822 11.22 67 11.51

November 30, 2021 12,055,681 11.02 39 11.30

December 31, 2021 12,051,360 11.16 38 11.44

Wells Fargo Factor Enhanced Emerging Markets Equity CIT Class G Class TMR

Unitsoutstanding

Unitvaluation

Unitsoutstanding

Unitvaluation

January 31, 2021 54,980,102 $ 11.53 38,444 $ 11.04

February 28, 2021 57,459,959 11.66 38,067 11.16

March 31, 2021 60,567,948 11.56 35,458 11.07

April 30, 2021 61,447,983 11.88 34,764 11.37

May 31, 2021 62,509,302 12.06 38,775 11.53

June 30, 2021 62,901,374 12.14 40,208 11.61

July 31, 2021 67,463,079 11.40 40,628 10.91

August 31, 2021 68,795,966 11.73 41,026 11.21

September 30, 2021 69,119,816 11.23 41,558 10.73

October 31, 2021 70,219,722 11.30 42,438 10.80

November 30, 2021 74,357,518 10.87 12,767 10.39

December 31, 2021 75,108,220 11.15 12,823 10.65

Wells Fargo Bank, N.A. Collective Investment FundsAppendix

Supplemental Schedule of Monthly Values (Unaudited)

294

Wells Fargo Factor Enhanced International Equity CIT Class G Class TMR

Unitsoutstanding

Unitvaluation

Unitsoutstanding

Unitvaluation

January 31, 2021 179,303,582 $ 11.86 104,509 $ 11.46

February 28, 2021 185,277,189 12.14 104,276 11.72

March 31, 2021 187,175,235 12.50 103,139 12.07

April 30, 2021 189,936,507 12.91 105,543 12.46

May 31, 2021 188,010,566 13.44 110,462 12.97

June 30, 2021 192,307,642 13.22 109,303 12.76

July 31, 2021 194,332,523 13.28 110,420 12.81

August 31, 2021 196,768,077 13.48 111,240 13.00

September 30, 2021 198,170,237 13.07 111,962 12.60

October 31, 2021 201,262,121 13.52 114,215 13.03

November 30, 2021 208,909,970 12.91 36,416 12.44

December 31, 2021 206,309,504 13.56 36,552 13.07

Wells Fargo Factor Enhanced U.S. Large Cap Equity CIT Class G Class TMR

Unitsoutstanding

Unitvaluation

Unitsoutstanding

Unitvaluation

January 31, 2021 249,770,857(1) $ 14.10(1) 168,369(2) $ 13.64(2)

February 28, 2021 259,658,673 14.48 167,260 14.01

March 31, 2021 258,184,052 15.07 166,824 14.57

April 30, 2021 254,806,911 15.88 163,652 15.36

May 31, 2021 257,561,650 16.05 169,720 15.52

June 30, 2021 257,883,418 16.37 175,944 15.82

July 31, 2021 255,108,530 16.70 177,729 16.14

August 31, 2021 253,604,372 17.21 178,712 16.63

September 30, 2021 256,747,657 16.45 179,811 15.88

October 31, 2021 260,189,289 17.49 183,137 16.89

November 30, 2021 253,980,178 17.29 64,038 16.69

December 31, 2021 253,955,612 18.05 64,217 17.42

(1) Class G units commenced on January 25, 2021 at a NAV of $14.69.(2) Class TMR units commenced on January 25, 2021 at a NAV of $14.21.



295

Wells Fargo Factor Enhanced U.S. Low Volatility Equity CIT Class G

Unitsoutstanding

Unitvaluation

January 31, 2021 - $ -

February 29, 2021 7,728,456(1) 9.83(1)

March 31, 2021 7,459,686 10.39

April 30, 2021 7,380,043 10.82

May 31, 2021 7,409,539 10.90

June 30, 2021 7,354,111 11.07

July 31, 2021 7,205,307 11.46

August 31, 2021 7,117,526 11.68

September 30, 2021 7,246,756 11.11

October 31, 2021 7,380,754 11.73

November 30, 2021 7,222,293 11.49

December 31, 2021 6,976,023 12.23

(1) Class G units commenced on February 2, 2021 at a NAV of $10.00.

Wells Fargo Factor Enhanced U.S. Small Cap Equity CIT Class G Class TMR

Unitsoutstanding

Unitvaluation

Unitsoutstanding

Unitvaluation

January 31, 2021 63,546,313 $ 13.84 26,261 $ 13.35

February 28, 2021 64,143,173 14.70 26,157 14.18

March 31, 2021 65,524,851 14.94 23,132 14.41

April 30, 2021 66,025,003 15.25 31,214 14.70

May 31, 2021 67,250,411 15.34 45,276 14.78

June 30, 2021 67,678,634 15.61 42,242 15.05

July 31, 2021 70,517,014 15.11 42,649 14.56

August 31, 2021 70,749,877 15.50 43,013 14.93

September 30, 2021 70,385,330 15.04 43,372 14.48

October 31, 2021 71,715,886 15.66 44,401 15.08

November 30, 2021 72,864,023 15.11 13,101 14.54

December 31, 2021 73,915,013 15.52 13,153 14.94



296

Wells Fargo High Yield Corporate Bond Index CIT Class G Class TMR

Unitsoutstanding

Unitvaluation

Unitsoutstanding

Unitvaluation

January 31, 2021 9,278,395 $ 11.78 26,275 $ 11.79

February 28, 2021 9,836,571 11.80 26,380 11.81

March 31, 2021 10,032,351 11.82 26,290 11.83

April 30, 2021 10,320,712 11.95 26,464 11.95

May 31, 2021 10,398,496 11.97 19,796 11.97

June 30, 2021 10,452,693 12.10 18,028 12.10

July 31, 2021 10,570,498 12.14 18,245 12.14

August 31, 2021 10,653,355 12.21 18,346 12.20

September 30, 2021 10,408,890 12.20 18,353 12.20

October 31, 2021 10,774,140 12.17 18,661 12.16

November 30, 2021 11,004,074 12.04 8,513 12.03

December 31, 2021 10,951,012 12.27 8,535 12.26

Wells Fargo Investment Grade Corporate Bond Index CIT Class G Class TMR

Unitsoutstanding

Unitvaluation

Unitsoutstanding

Unitvaluation

January 31, 2021 56,099,471 $ 12.00 191 $ 12.29

February 28, 2021 61,474,638 11.79 187 12.07

March 31, 2021 63,165,708 11.55 187 11.83

April 30, 2021 64,973,326 11.70 172 11.98

May 31, 2021 65,178,594 11.76 173 12.04

June 30, 2021 65,146,412 11.97 165 12.25

July 31, 2021 65,281,509 12.13 182 12.42

August 31, 2021 66,086,350 12.09 199 12.37

September 30, 2021 65,392,466 11.96 197 12.24

October 31, 2021 67,601,026 11.99 314 12.27

November 30, 2021 68,500,539 11.99 169 12.26

December 31, 2021 69,334,531 11.95 165 12.22

Wells Fargo Strategic Retirement Bond Index CIT Class G Class TMR

Unitsoutstanding

Unitvaluation

Unitsoutstanding

Unitvaluation

January 31, 2021 15,875,609 $ 11.42 270 $ 11.47

February 28, 2021 17,133,456 11.33 258 11.37

March 31, 2021 17,240,458 11.30 258 11.34

April 30, 2021 17,589,705 11.40 5,010 11.44

May 31, 2021 17,609,706 11.46 169,091 11.50

June 30, 2021 17,775,493 11.47 288,007 11.50

July 31, 2021 17,743,265 11.64 291,265 11.68

August 31, 2021 17,832,727 11.62 292,515 11.65

September 30, 2021 17,540,741 11.56 294,986 11.59

October 31, 2021 18,172,414 11.58 299,588 11.60

November 30, 2021 18,205,609 11.61 127,663 11.64

December 31, 2021 18,295,420 11.62 128,022 11.64



297

Wells Fargo US REIT Index CIT Class G Class TMR

Unitsoutstanding

Unitvaluation

Unitsoutstanding

Unitvaluation

January 31, 2021 7,164,483 $ 11.12 21,529 $ 11.37

February 28, 2021 7,205,063 11.72 21,352 11.98

March 31, 2021 6,999,579 12.28 20,729 12.55

April 30, 2021 6,767,791 13.28 20,794 13.57

May 31, 2021 6,779,700 13.44 20,144 13.73

June 30, 2021 6,598,120 13.76 19,851 14.06

July 31, 2021 6,389,827 14.49 20,052 14.80

August 31, 2021 6,365,641 14.74 20,159 15.05

September 30, 2021 6,437,244 13.93 20,244 14.22

October 31, 2021 6,427,784 15.06 20,592 15.37

November 30, 2021 6,214,588 14.97 7,415 15.28

December 31, 2021 5,874,585 16.31 7,435 16.64



298

Regulatory requirementCollective 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 requirementsParticipation 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 LaborA 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 EINWells Fargo Bloomberg US Aggregate ex-Corporate Index CIT 82-6494961

Wells Fargo Emerging Markets Bond Index CIT 82-6498197

Wells Fargo Factor Enhanced Emerging Markets Equity CIT 82-6500970

Wells Fargo Factor Enhanced International Equity CIT 82-6504317

Wells Fargo Factor Enhanced U.S. Large Cap Equity CIT 85-6771011

Wells Fargo Factor Enhanced U.S. Low Volatility Equity CIT 85-6766855

Wells Fargo Factor Enhanced U.S. Small Cap Equity CIT 82-6507837

Wells Fargo High Yield Corporate Bond Index CIT 82-6511039

Wells Fargo Investment Grade Corporate Bond Index CIT 82-6514016

Wells Fargo Strategic Retirement Bond Index CIT 82-6516857

Wells Fargo US REIT Index CIT 82-6519906

Wells Fargo Bank, N.A. Collective Investment FundsRegulatory Statement

(Unaudited)

299

Wells Fargo Bank, N.A. - Allspring Global Investments

Documents