Annual Report - Wells Fargo Funds

Transcription

Wells Fargo Bank, N.A.
Collective Investment Funds
2015
annual report
Table of Contents
Page
Independent Auditors’ Report
1
Financial Statements:
Wells Fargo/BlackRock Bond Index CIT
Wells Fargo/BlackRock International Equity Index CIT
Wells Fargo/BlackRock Large Cap Growth Index CIT
Wells Fargo/BlackRock Large Cap Value Index CIT
Wells Fargo/BlackRock Russell 2000 Index CIT
Wells Fargo/BlackRock S&P 500 Index CIT
Wells Fargo/BlackRock S&P MidCap Index CIT
Wells Fargo/BlackRock Short Term Investment Fund
Wells Fargo/BlackRock U.S. Aggregate Bond Index CIT
3
10
17
24
31
38
46
53
60
Notes to Financial Statements
67
Regulatory Statement
79
KPMG LLP
Two Financial Center
60 South Street
Boston, MA 02111
Independent Auditors’ Report
The Unitholders and Wells Fargo Bank. N.A.
Report on the Financial Statements
We have audited the accompanying financial statements of the Wells Fargo/BlackRock Bond Index CIT,
Wells Fargo/BlackRock International Equity Index CIT, Wells Fargo/BlackRock Large Cap Growth Index
CIT, Wells Fargo/BlackRock Large Cap Value Index CIT, Wells Fargo/BlackRock Russell 2000 Index CIT,
Wells Fargo/BlackRock S&P 500 Index CIT, Wells Fargo/BlackRock S&P MidCap Index CIT, Wells
Fargo/BlackRock Short Term Investment Fund, and Wells Fargo/BlackRock U.S. Aggregate Bond Index
CIT (collectively, “the Funds”), which comprise the statements of assets and liabilities, including the
schedules of investments, as of December 31, 2015, and the related statements of operations, changes in net
assets, and selected per unit data for the year then ended, and the related notes to the financial statements.
Management’s Responsibility for the Financial Statements
Management is responsible for the preparation and fair presentation of these financial statements in
accordance with U.S. generally accepted accounting principles; this includes the design, implementation,
and maintenance of internal control relevant to the preparation and fair presentation of financial statements
that are free from material misstatement, whether due to fraud or error.
Auditors’ Responsibility
Our responsibility is to express an opinion on these financial statements based on our audit. We conducted
our audit in accordance with auditing standards generally accepted in the United States of America. Those
standards require that we plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free from material misstatement.
An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the
financial statements. The procedures selected depend on the auditors’ judgment, including the assessment of
the risks of material misstatement of the financial statements, whether due to fraud or error. In making those
risk assessments, the auditor considers internal control relevant to the Fund’s preparation and fair
presentation of the financial statements 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 Fund’s internal
control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of
accounting policies used and the reasonableness of significant accounting estimates made by management,
as well as evaluating the overall presentation of the financial statements.
We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our
audit opinion.
KPMG LLP is a Delaware limited liability partnership,
the U.S. member firm of KPMG International Cooperative
(“KPMG International”), a Swiss entity.
Opinion
In our opinion, the financial statements referred to above present fairly in all material respects, the financial
position of the Funds as of December 31, 2015, and the results of their operations, changes in their net assets,
and their selected per unit data for the year then ended in accordance with U.S. generally accepted accounting
principles.
Our audit was made for the purpose of forming an opinion on the basic financial statements taken as a whole.
The supplementary schedules of investments purchased and sold or redeemed and the schedules of monthly
values are presented for the purpose of additional analysis and are not a required part of the basic financial
statements. Such information has been subjected to the auditing procedures applied in the audit of the basic
financial statements and, in our opinion, is fairly stated in all material respects in related to the basic financial
statements as a whole.
Boston, Massachusetts
April 14, 2016
2
WELLS FARGO/BLACKROCK BOND INDEX CIT
Statement of Assets and Liabilities
December 31, 2015
Fair
value
Cost
Assets:
Affiliated short term investment
Unaffiliated investments
Total investments
Fund shares sold
Receivable for investment securities sold
Total assets
Liabilities:
Fund shares repurchased
Accrued expenses
Total liabilities
Net assets
Class
F
N
N25
See accompanying notes to financial statements.
$
$
1,000
106,613,512
106,614,512
$
$
Net Assets
$ 21,900,901
$ 72,920,215
$ 12,003,849
3
1,000
106,836,654
106,837,654
86,909
1,658
106,926,221
88,567
12,689
101,256
106,824,965
Shares
Outstanding Net Asset Value
2,104,077
$
10.41
1,889,311
$
38.60
313,728
$
38.26
Statement of Operations
Year ended December 31, 2015
Investment income:
Interest income
Total income
Expenses:
Administration, Advisory, and Trustee Fees
Total expenses
Net investment loss
Realized and unrealized gain (loss) on investment transaction:
Net realized gain on:
Investments
Net change in unrealized appreciation (depreciation) of:
Investments
Net gain on investment transactions
Net increase in net assets resulting from operations
$
2
2
180,428
180,428
(180,426)
5,987,525
$
4
(4,762,174)
1,225,351
1,044,925
Statement of Changes in Net Assets
Increase/(decrease) in net assets from operations:
Net investment loss
Net realized gain on investment transactions
Net change in unrealized appreciation (depreciation) of investments
Participant unit transactions:
Class F proceeds from issuance of units (240,695 units)
Class F payments for withdrawals (367,151 units)
Net change
Class N proceeds from issuance of units (2,277,416 units)
Class N payments for withdrawals (3,494,929 units)
Net change
Class N25 proceeds from issuance of units (111,605 units)
Class N25 payments for withdrawals (1,289,336 units)
Net change
Change in net assets derived from unit transactions
Total decrease in net assets
Net assets:
Beginning of year (2,230,533 Class F units, 3,106,824 Class N units,
1,491,459 Class N25 units)
End of year (2,104,077 Class F units, 1,889,311 Class N units,
313,728 Class N25 units)
5
$
(180,426)
5,987,525
(4,762,174)
1,044,925
2,521,537
(3,831,258)
(1,309,721)
88,901,353
(136,194,150)
(47,292,797)
4,306,598
(49,999,520)
(45,692,922)
(94,295,440)
(93,250,515)
200,075,480
$
106,824,965
Schedule of Investments
December 31, 2015
Shares
___________
Collective Investment Funds: 100.00%
BlackRock Government/Credit Bond Index
Fund F
Total Collective Investment Funds
Short-Term Investments: 0.00%
Wells Fargo/BlackRock Short Term
Investment Fund S (1)
Total Short-Term Investments
Total Investments: 100.00%
(1)
Cost
____________
3,945,224 $
1,000
$
106,613,512 $
106,613,512
Fair
Value
______________
106,836,654
106,836,654
____________________________________
____________________________________
____________________________________
____________________________________
1,000
1,000
106,614,512 $
1,000
1,000
106,837,654
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
Percentages shown are based on total investments.
Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. Represents
approximately 0.00% ownership share of the Short Term Investment Fund S as of December 31, 2015.
6
Statement of Selected Per Unit Data
Class F
Per share operating performance:
Unit value, beginning of year
Income from investment operations:
Net investment loss(1)
Net realized and unrealized gain on investments
Total from investment operations
Unit value, end of year
Total return per unit
Net assets, end of year
$
$
$
10.39
(0.01)
0.03
0.02
10.41
0.16%
21,900,901
Class N
$
$
$
Ratios: see note 4 for Underlying Fund average expense and portfolio turnover information.
Ratio of expenses to average net assets
0.07%
Ratio of net investment loss to average net assets
(0.07)%
(1) Based on average number of units outstanding.
7
38.55
(0.04)
0.09
0.05
38.60
0.13%
72,920,215
0.10%
(0.10)%
Class N25
$
$
$
38.31
(0.14)
0.09
(0.05)
38.26
(0.12)%
12,003,849
0.35%
(0.35)%
Supplemental Schedule of Investments Purchased and Sold or Redeemed
Year Ended December 31, 2015
Collective investment funds
Total investments
$
Purchased
Cost
46,210,668 $
$
46,210,668 $
Sold or redeemed
Cost
Proceeds
134,717,310 $
140,704,835 $
Gain
5,987,525
134,717,310 $
5,987,525
8
140,704,835 $
Supplemental Schedule of Monthly Values
January 31, 2015
February 28, 2015
March 31, 2015
April 30, 2015
May 31, 2015
June 30, 2015
July 31, 2015
August 31, 2015
September 30, 2015
October 31, 2015
November 30, 2015
December 31, 2015
Class F
Units
Unit
outstanding
valuation
2,217,964 $
10.66
2,265,822
10.53
2,255,235
10.58
2,305,011
10.53
2,305,025
10.49
2,313,321
10.36
2,276,504
10.43
2,204,702
10.41
2,192,145
10.49
2,203,043
10.48
2,139,744
10.45
2,104,077
10.41
Class N
Units
Unit
outstanding
valuation
3,041,645 $
39.53
3,324,937
39.05
2,010,199
39.23
2,007,632
39.04
1,982,936
38.89
1,866,702
38.41
1,782,526
38.69
1,638,326
38.60
1,606,868
38.89
1,807,863
38.88
2,055,859
38.76
1,889,311
38.60
9
Class N25
Units
Unit
outstanding
valuation
1,489,093 $
39.28
1,120,558
38.80
1,084,522
38.97
384,448
38.77
380,950
38.61
358,734
38.13
340,135
38.40
339,459
38.30
305,005
38.58
310,174
38.56
309,430
38.43
313,728
38.26
WELLS FARGO/BLACKROCK INTERNATIONAL EQUITY INDEX CIT
December 31, 2015
Fair
value
Cost
Assets:
Total investments
Fund shares sold
Total assets
Liabilities:
Payable for investment securities purchased
Accrued expenses
Total liabilities
Net assets
Class
TR
F
N
$
$
500
394,040,116
394,040,616
$
$
Net Assets
$ 30,431,974
$ 200,327,050
$ 158,310,332
10
500
389,118,249
389,118,749
9,023,803
398,142,552
8,521,358
502,446
49,392
9,073,196
389,069,356
Shares
3,270,167
$
9.31
16,309,393
$
12.28
9,816,085
$
16.13
Investment income:
Dividend income from affiliated short term investment
$
1
Total income
1
Expenses:
448,419
Program fees (TR)
47,351
Total expenses
495,770
Net investment loss
(495,769)
Investments
15,709,600
Investments
(19,633,593)
Net loss on investment transactions
(3,923,993)
Net decrease in net assets resulting from operations
$
(4,419,762)
11
Net investment loss
Class TR proceeds from issuance of units (4,263,322 units)
Class TR payments for withdrawals (1,110,638 units)
Net change
Class F proceeds from issuance of units (4,256,135 units)
Class F payments for withdrawals (2,807,341 units)
Net change
Net change
Total increase in net assets
Net assets:
Beginning of year (117,483 Class TR units, 14,860,599 Class F units,
9,278,143 Class N units)
End of year (3,270,167 Class TR units, 16,309,393 Class F units,
$
40,226,092
(10,434,973)
29,791,119
55,369,574
(36,188,041)
19,181,533
58,295,658
(49,407,370)
8,888,288
57,860,940
53,441,178
335,628,178
$
12
(495,769)
15,709,600
(19,633,593)
(4,419,762)
389,069,356
December 31, 2015
Fair
Shares
___________
BlackRock EAFE Equity Index Fund F
(1)
Cost
____________
11,644,704 $
500
$
394,040,116 $
394,040,116
Value
______________
389,118,249
389,118,249
____________________________________
____________________________________
____________________________________
____________________________________
500
500
394,040,616 $
500
500
389,118,749
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
13
Class TR
Net realized and unrealized loss on investments
$
$
$
9.42
(0.06)
(0.05)
(0.11)
9.31
(1.16)%
30,431,974
Class F
$
$
$
0.57%
(0.57)%
14
12.37
(0.01)
(0.08)
(0.09)
12.28
(0.70)%
200,327,050
0.11%
(0.11)%
Class N
$
$
$
16.24
(0.02)
(0.09)
(0.11)
16.13
(0.71)%
158,310,332
0.12%
(0.12)%
Total investments
$
Purchased
Cost
118,350,825 $
$
118,350,825 $
Sold or redeemed
Cost
Proceeds
45,259,644 $
60,969,244 $
Gain
15,709,600
45,259,644 $
15,709,600
15
60,969,244 $
January 31, 2015
February 28, 2015
March 31, 2015
April 30, 2015
May 31, 2015
June 30, 2015
July 31, 2015
August 31, 2015
September 30, 2015
October 31, 2015
November 30, 2015
December 31, 2015
Class TR
Units
Unit
outstanding
valuation
119,598 $
9.52
118,309
10.09
993,921
9.93
1,051,450
10.34
1,043,580
10.29
1,039,334
9.99
1,160,370
10.19
1,230,856
9.44
1,326,150
8.96
1,482,087
9.59
1,531,603
9.50
3,270,167
9.31
Class F
Units
Unit
outstanding
valuation
15,309,800 $
12.51
15,358,020
13.26
15,831,212
13.07
16,072,740
13.60
15,963,990
13.54
15,735,631
13.16
16,654,363
13.43
16,800,530
12.44
17,285,805
11.81
17,288,583
12.65
17,285,624
12.54
16,309,393
12.28
16
Class N
Units
Unit
outstanding
valuation
9,737,950 $
16.43
9,383,465
17.41
10,250,593
17.16
10,415,710
17.86
10,235,645
17.78
10,289,179
17.28
10,336,698
17.63
9,752,161
16.33
9,773,612
15.51
9,803,362
16.61
9,805,469
16.46
9,816,085
16.13
WELLS FARGO/BLACKROCK LARGE CAP GROWTH INDEX CIT
December 31, 2015
Fair
value
Cost
Assets:
Total investments
Fund shares sold
Total assets
Liabilities:
Accrued expenses
Total liabilities
Net assets
Class
TR
F
N
N20
$
$
1,500
210,988,939
210,990,439
$
$
$
$
$
$
Net Assets
4,785,420
159,315,683
92,714,028
5,423,447
17
1,500
262,258,210
262,259,710
3,053,872
2,838,557
268,152,139
5,892,429
21,132
5,913,561
262,238,578
Shares
439,772
$
10.88
10,119,382
$
15.74
5,363,148
$
17.29
269,585
$
20.12
Investment income:
Total income
Expenses:
Program fees (TR)
Total expenses
Net investment loss
Investments
Investments
$
3
3
188,879
29,670
218,549
(218,546)
16,682,802
$
18
(528,994)
16,153,808
15,935,262
Net investment loss
Class TR payments for withdrawals (759,505 units)
Net change
Net change
Class N proceeds from issuance of units (467,014 units)
Net change
Class N20 payments for withdrawals (83,211 units)
Net change
Net assets:
6,048,772 Class N units, 343,691 Class N20 units)
End of year (439,772 Class TR units, 10,119,382 Class F units,
19
$
(218,546)
16,682,802
(528,994)
15,935,262
11,932,420
(8,267,106)
3,665,314
28,511,214
(34,507,360)
(5,996,146)
8,053,185
(19,834,913)
(11,781,728)
184,031
(1,608,344)
(1,424,313)
(15,536,873)
398,389
261,840,189
$
262,238,578
December 31, 2015
Shares
___________
BlackRock Russell 1000® Growth Fund F
(1)
Cost
____________
14,712,035 $
1,500
$
210,988,939 $
210,988,939
Fair
Value
______________
262,258,210
262,258,210
____________________________________
____________________________________
____________________________________
____________________________________
1,500
1,500
210,990,439 $
1,500
1,500
262,259,710
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
20
Class TR
$
Net investment income(1)
$
$
10.35
(0.06)
0.59
0.53
10.88
5.14%
4,785,420
Class F
$
$
$
14.90
(0.01)
0.85
0.84
15.74
5.63%
159,315,683
Class N
$
$
$
0.52%
0.08%
(0.52)%
(0.08)%
21
16.37
(0.01)
0.93
0.92
17.29
5.60%
92,714,028
0.12%
(0.12)%
Class N20
$
$
$
19.09
(0.06)
1.09
1.03
20.12
5.39%
5,423,447
0.41%
(0.41)%
Total investments
$
Purchased
Cost
41,000,002 $
$
41,000,002 $
Sold or redeemed
Cost
Proceeds
40,068,839 $
56,751,641 $
40,068,839 $
22
56,751,641 $
Gain
16,682,802
16,682,802
January 31, 2015
February 28, 2015
March 31, 2015
April 30, 2015
May 31, 2015
June 30, 2015
July 31, 2015
August 31, 2015
September 30, 2015
October 31, 2015
November 30, 2015
December 31, 2015
Class TR
Units
Unit
outstanding valuation
78,289 $
10.18
77,509
10.86
627,754
10.73
664,917
10.78
663,574
10.92
647,029
10.73
615,286
11.08
665,290
10.41
713,902
10.15
889,091
11.02
909,879
11.05
439,772
10.88
Class F
Units
Unit
outstanding
valuation
10,394,319 $
14.67
10,121,776
15.65
10,262,258
15.46
10,187,084
15.54
10,110,466
15.76
9,848,420
15.48
9,789,530
16.01
9,837,374
15.04
10,587,865
14.67
10,924,861
15.93
10,711,857
15.98
10,119,382
15.74
23
Class N
Units
Unit
outstanding
valuation
6,046,230 $
16.11
5,096,143
17.19
5,121,389
16.98
5,129,076
17.07
5,129,069
17.31
5,144,178
17.00
5,349,717
17.58
5,325,551
16.51
5,300,392
16.11
5,349,253
17.49
5,359,375
17.55
5,363,148
17.29
Class N20
Units
Unit
outstanding valuation
308,072 $
18.79
307,616
20.03
308,230
19.79
307,178
19.89
307,202
20.17
296,450
19.81
290,424
20.47
276,324
19.23
263,300
18.75
263,401
20.37
263,497
20.42
269,585
20.12
WELLS FARGO/BLACKROCK LARGE CAP VALUE INDEX CIT
December 31, 2015
Fair
value
Cost
Assets:
Total investments
Fund shares sold
Total assets
Liabilities:
Accrued expenses
Total liabilities
Net assets
Class
TR
F
N
N20
$
$
1,500
222,087,613
222,089,113
$
$
$
$
$
$
Net Assets
5,463,142
147,704,464
115,466,240
13,577,788
24
1,500
282,234,593
282,236,093
10,579,580
292,815,673
7,063,435
3,516,145
24,459
10,604,039
282,211,634
Shares
551,865
$
9.90
10,065,579
$
14.67
5,474,725
$
21.09
187,352
$
72.47
Investment income:
Total income
Expenses:
Program fees (TR)
Total expenses
Net investment loss
Investments
Investments
$
3
3
230,547
34,770
265,317
(265,314)
20,028,092
$
25
(28,763,417)
(8,735,325)
(9,000,639)
Net investment loss
Net change
Net change
Class N proceeds from issuance of units (987,198 units)
Net change
Net change
Net assets:
26
$
(265,314)
20,028,092
(28,763,417)
(9,000,639)
15,047,639
(10,463,436)
4,584,203
31,717,489
(24,221,453)
7,496,036
21,031,271
(28,847,663)
(7,816,392)
508,911
(2,382,071)
(1,873,160)
2,390,687
(6,609,952)
288,821,586
$
282,211,634
December 31, 2015
Fair
Shares
___________
BlackRock Russell 1000® Value Fund F
(1)
Cost
____________
11,630,099 $
1,500
$
222,087,613 $
222,087,613
Value
______________
282,234,593
282,234,593
____________________________________
____________________________________
____________________________________
____________________________________
1,500
1,500
222,089,113 $
1,500
1,500
282,236,093
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
27
Class TR
$
$
$
10.33
(0.05)
(0.38)
(0.43)
9.90
(4.14)%
5,463,142
Class F
$
$
$
15.24
(0.01)
(0.56)
(0.57)
14.67
(3.69)%
147,704,464
Class N
$
$
$
0.52%
0.06%
(0.52)%
(0.06)%
28
21.91
(0.02)
(0.80)
(0.82)
21.09
(3.72)%
115,466,240
0.09%
(0.09)%
Class N20
$
$
$
75.42
(0.21)
(2.74)
(2.95)
72.47
(3.91)%
13,577,788
0.29%
(0.29)%
Total investments
$
Purchased
Cost
54,416,497 $
$
54,416,497 $
Sold or redeemed
Cost
Proceeds
32,259,663 $
52,287,755 $
32,259,663 $
29
52,287,755 $
Gain
20,028,092
20,028,092
January 31, 2015
February 28, 2015
March 31, 2015
April 30, 2015
May 31, 2015
June 30, 2015
July 31, 2015
August 31, 2015
September 30, 2015
October 31, 2015
November 30, 2015
December 31, 2015
Class TR
Units
Unit
outstanding
valuation
95,466 $
9.91
94,455
10.39
801,748
10.24
851,879
10.33
850,390
10.45
818,352
10.24
714,437
10.29
787,819
9.67
850,144
9.38
1,148,024
10.08
1,179,442
10.12
551,865
9.90
Class F
Units
Unit
outstanding
valuation
9,462,808 $
14.63
9,378,091
15.34
9,580,495
15.13
9,576,129
15.27
9,512,065
15.45
9,325,760
15.15
9,312,165
15.23
9,474,139
14.32
10,375,370
13.89
10,685,908
14.94
10,542,707
14.99
10,065,579
14.67
30
Class N
Units
Unit
outstanding
valuation
5,849,807 $
21.03
5,419,767
22.05
5,438,992
21.75
5,439,318
21.95
5,410,265
22.22
5,408,359
21.78
5,448,282
21.89
5,145,779
20.58
5,102,708
19.96
5,125,645
21.47
5,121,841
21.55
5,474,725
21.09
Class N20
Units
Unit
outstanding
valuation
210,961 $
72.41
209,705
75.91
210,784
74.85
207,832
75.53
207,665
76.43
204,973
74.92
202,441
75.27
198,283
70.77
196,156
68.62
194,717
73.79
188,005
74.06
187,352
72.47
WELLS FARGO/BLACKROCK RUSSELL 2000 INDEX CIT
December 31, 2015
Fair
value
Cost
Assets:
Total investments
Fund shares sold
Total assets
Liabilities:
Accrued expenses
Total liabilities
Net assets
Class
TR
F
N
N35
$
$
1,500
233,921,698
233,923,198
$
$
$
$
$
$
Net Assets
7,419,929
82,951,917
141,377,371
45,092,179
31
1,500
276,886,876
276,888,376
4,357,803
520,300
281,766,479
4,878,103
46,980
4,925,083
276,841,396
Shares
726,865
$
10.21
5,829,234
$
14.23
5,430,889
$
26.03
1,558,907
$
28.93
Investment income:
Total income
Expenses:
Program fees (TR)
Total expenses
Net investment loss
Investments
Investments
$
3
3
524,972
8,390
533,362
(533,359)
13,801,205
$
32
(26,491,524)
(12,690,319)
(13,223,678)
Net investment loss
Class TR proceeds from issuance of units (903,846 units)
Net change
Net change
Net change
Net change
Net assets:
4,746,654 Class N units, 1,874,925 Class N35 units)
5,430,889 Class N units, 1,558,907 Class N35 units)
33
$
(533,359)
13,801,205
(26,491,524)
(13,223,678)
9,377,725
(2,028,441)
7,349,284
22,296,618
(15,890,505)
6,406,113
75,637,963
(56,196,429)
19,441,534
26,410,469
(35,873,777)
(9,463,308)
23,733,623
10,509,945
266,331,451
$
276,841,396
December 31, 2015
Shares
___________
BlackRock Russell 2000® Index Fund F
(1)
Cost
____________
8,345,974 $
1,500
$
233,921,698 $
233,921,698
Fair
Value
______________
276,886,876
276,886,876
____________________________________
____________________________________
____________________________________
____________________________________
1,500
1,500
233,923,198 $
1,500
1,500
276,888,376
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
34
Class TR
$
Net investment income(1)
$
$
10.71
(0.06)
(0.44)
(0.50)
10.21
(4.70)%
7,419,929
Class F
$
$
$
14.86
(0.01)
(0.62)
(0.63)
14.23
(4.26)%
82,951,917
Class N
$
$
$
0.56%
0.13%
(0.56)%
(0.13)%
35
27.20
(0.03)
(1.14)
(1.17)
26.03
(4.28)%
141,377,371
0.18%
(0.18)%
Class N35
$
$
$
30.33
(0.15)
(1.25)
(1.40)
28.93
(4.62)%
45,092,179
0.67%
(0.67)%
Total investments
$
Purchased
Cost
62,658,716 $
$
62,658,716 $
Sold or redeemed
Cost
Proceeds
25,655,235 $
39,456,440 $
Gain
13,801,205
25,655,235 $
13,801,205
36
39,456,440 $
January 31, 2015
February 28, 2015
March 31, 2015
April 30, 2015
May 31, 2015
June 30, 2015
July 31, 2015
August 31, 2015
September 30, 2015
October 31, 2015
November 30, 2015
December 31, 2015
Class TR
Class F
Class N
Class N35
Units
Unit
Units
Unit
Units
Unit
Units
Unit
outstanding valuation outstanding valuation outstanding valuation outstanding valuation
19,162 $
10.37
5,813,975 $
14.39
5,190,612 $
26.33
1,883,358 $
29.35
18,768
10.98
5,755,285
15.24
5,499,099
27.89
1,595,393
31.09
148,165
11.17
5,775,761
15.51
5,351,364
28.38
1,816,745
31.62
156,325
10.88
5,800,696
15.11
5,491,880
27.66
1,819,119
30.80
156,397
11.12
5,804,332
15.46
5,482,924
28.29
1,824,988
31.50
159,353
11.20
5,672,563
15.58
5,511,346
28.50
1,716,883
31.73
198,453
11.07
5,845,864
15.40
5,664,501
28.17
1,750,330
31.35
208,763
10.37
5,903,652
14.43
5,671,251
26.41
1,733,518
29.38
224,140
9.86
6,255,500
13.73
5,456,755
25.12
1,617,977
27.93
230,936
10.41
6,274,656
14.51
5,412,233
26.54
1,614,912
29.50
236,800
10.75
6,220,701
14.98
5,409,280
27.41
1,610,726
30.46
726,865
10.21
5,829,234
14.23
5,430,889
26.03
1,558,907
28.93
37
WELLS FARGO/BLACKROCK S&P 500 INDEX CIT
December 31, 2015
Fair
value
Cost
Assets:
Total investments
Fund shares sold
Total assets
Liabilities:
Accrued expenses
Total liabilities
Net assets
Class
TR
F
N
N5
N20
$
2,000
2,855,100,364
$ 2,855,102,364
$
2,000
3,660,235,594
3,660,237,594
26,534,442
3,517,341
3,690,289,377
30,048,261
148,695
30,196,956
$ 3,660,092,421
Net Assets
$ 48,246,342
$ 876,472,738
$ 2,453,374,058
$ 189,271,008
$ 92,728,275
38
Shares
4,617,356
$
10.45
55,729,151
$
15.73
30,590,170
$
80.20
1,758,010
$ 107.66
6,847,362
$
13.54
Investment income:
Interest income
Total income
Expenses:
Program fees (TR)
Total expenses
Net investment loss
Investments
Investments
$
3
3
1,503,874
19,963
1,523,837
(1,523,834)
199,145,790
(135,728,425)
63,417,365
$
61,893,531
39
Net investment loss
Net change
Net change
Net change
Class N5 proceeds from isusance of units (542,924 units)
Net change
Class N20 proceeds from issuance of units (4,494,046 units)
Net change
Net assets:
28,816,816 Class N units, 2,797,480 Class N5 units, 3,941,904
Class N20 units)
30,590,170 Class N units, 1,758,010 Class N5 units, 6,847,362
Class N20 units)
40
$
(1,523,834)
199,145,790
(135,728,425)
61,893,531
53,018,815
(5,440,442)
47,578,373
256,170,285
(260,027,309)
(3,857,024)
837,677,941
(698,851,866)
138,826,075
58,171,734
(170,576,688)
(112,404,954)
60,819,464
(21,404,164)
39,415,300
109,557,770
171,451,301
3,488,641,120
$
3,660,092,421
December 31, 2015
Fair
Shares
___________
BlackRock Equity Index Fund F
Wells Fargo/Blackrock Short Term
(1)
Cost
____________
99,999,164 $
2,000
$
2,855,100,364 $
2,855,100,364
Value
______________
3,660,235,594
3,660,235,594
____________________________________
____________________________________
____________________________________
____________________________________
2,000
2,000
2,855,102,364 $
2,000
2,000
3,660,237,594
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
41
Class TR
$
$
$
10.35
(0.05)
0.15
0.10
10.45
0.98%
48,246,342
Class F
$
$
$
0.47%
(0.47)%
See footnote summary on page 43.
42
15.50
Class N
$
79.07
(0.00)(2)
(0.03)
0.23
1.16
0.23
1.13
15.73 $
80.20
1.45%
1.43%
876,472,738 $ 2,453,374,058
0.02%
(0.02)%
0.04%
(0.04)%
Statement of Selected Per Unit Data (continued)
Class N5
$
$
$
(2) Ratio is less than $(0.005).
43
106.19
(0.10)
1.57
1.47
107.66
1.38%
189,271,008
0.09%
(0.09)%
Class N20
$
$
$
13.38
(0.03)
0.19
0.16
13.54
1.23%
92,728,275
0.24%
(0.24)%
Total investments
$
Purchased
Cost
628,824,720 $
$
628,824,720 $
Sold or redeemed
Cost
Proceeds
320,937,512 $
519,862,652 $
Gain
198,925,140
320,937,512 $
198,925,140
44
519,862,652 $
January 31, 2015
February 28, 2015
March 31, 2015
April 30, 2015
May 31, 2015
June 30, 2015
July 31, 2015
August 31, 2015
September 30, 2015
October 31, 2015
November 30, 2015
December 31, 2015
Class TR
Units
Unit
outstanding
valuation
34,952 $
10.03
34,460
10.61
292,891
10.43
311,081
10.53
310,511
10.66
325,645
10.46
473,888
10.67
487,681
10.02
521,368
9.77
466,034
10.59
476,332
10.62
4,617,356
10.45
Class F
Units
Unit
outstanding
valuation
56,847,366 $
15.04
56,664,041
15.90
57,123,850
15.65
58,394,852
15.80
54,480,569
16.00
54,766,645
15.70
56,521,498
16.03
60,097,542
15.07
60,389,915
14.69
61,593,518
15.93
56,116,500
15.98
55,729,151
15.73
January 31, 2015
February 28, 2015
March 31, 2015
April 30, 2015
May 31, 2015
June 30, 2015
July 31, 2015
August 31, 2015
September 30, 2015
October 31, 2015
November 30, 2015
December 31, 2015
Class N5
Units
Unit
outstanding
valuation
2,808,090 $
103.01
2,503,765
108.92
2,471,793
107.18
2,479,790
108.21
2,077,919
109.59
1,991,494
107.52
1,982,454
109.77
1,997,113
103.16
1,894,183
100.60
1,896,999
109.08
1,744,440
109.40
1,758,010
107.66
Class N20
Units
Unit
outstanding
valuation
4,115,225 $
12.97
4,458,384
13.72
4,862,023
13.50
4,835,927
13.62
4,839,464
13.80
5,083,666
13.53
5,015,646
13.82
5,016,024
12.98
4,933,253
12.66
4,807,314
13.72
6,910,766
13.76
6,847,362
13.54
45
Class N
Units
Unit
outstanding
valuation
29,889,152 $
76.70
29,877,949
81.11
29,770,152
79.81
30,593,377
80.58
30,988,243
81.61
30,821,837
80.07
30,732,195
81.75
30,632,217
76.84
30,392,427
74.93
30,886,601
81.25
31,034,912
81.49
30,590,170
80.20
WELLS FARGO/BLACKROCK S&P MIDCAP INDEX CIT
December 31, 2015
Fair
value
Cost
Assets:
Total investments
Fund shares sold
Total assets
Liabilities:
Accrued expenses
Total liabilities
Net assets
Class
TR
F
N
N35
$
$
2,500
600,885,237
600,887,737
$
$
$
$
$
$
Net Assets
19,378,668
375,268,680
311,805,655
72,992,884
46
2,500
779,508,086
779,510,586
12,251,948
791,762,534
7,963,582
4,288,366
64,699
12,316,647
779,445,887
Shares
1,903,899
$
10.18
25,166,186
$
14.91
9,473,707
$
32.91
610,121
$ 119.64
Investment income:
Total income
Expenses:
Program fees (TR)
Total expenses
Net investment loss
Investments
Investments
$
5
5
748,125
10,250
758,375
(758,370)
27,623,609
$
47
(43,517,596)
(15,893,987)
(16,652,357)
Net investment loss
Net change
Net change
Net change
Net change
Net assets:
48
$
(758,370)
27,623,609
(43,517,596)
(16,652,357)
23,505,355
(4,155,575)
19,349,780
62,866,896
(58,352,607)
4,514,289
117,829,675
(78,648,615)
39,181,060
30,269,854
(64,957,687)
(34,687,833)
28,357,296
11,704,939
767,740,948
$
779,445,887
December 31, 2015
Fair
Shares
___________
BlackRock Mid Capitalization Equity Index
Fund F
(1)
Cost
____________
12,383,335 $
2,500
$
600,885,237 $
600,885,237
Value
______________
779,508,086
779,508,086
____________________________________
____________________________________
____________________________________
____________________________________
2,500
2,500
600,887,737 $
2,500
2,500
779,510,586
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
49
Class TR
$
$
$
10.45
(0.05)
(0.22)
(0.27)
10.18
(2.56)%
19,378,668
Class F
$
$
$
15.23
(0.01)
(0.31)
(0.32)
14.91
(2.11)%
375,268,680
Class N
$
$
$
0.49%
0.04%
(0.49)%
(0.04)%
50
33.63
(0.02)
(0.70)
(0.72)
32.91
(2.14)%
311,805,655
0.07%
(0.07)%
Class N35
$
$
$
122.68
(0.52)
(2.52)
(3.04)
119.64
(2.48)%
72,992,884
0.42%
(0.42)%
Total investments
$
Purchased
Cost
102,015,137 $
$
102,015,137 $
Sold or redeemed
Cost
Proceeds
46,491,155 $
74,114,764 $
Gain
27,623,609
46,491,155 $
27,623,609
51
74,114,764 $
January 31, 2015
February 28, 2015
March 31, 2015
April 30, 2015
May 31, 2015
June 30, 2015
July 31, 2015
August 31, 2015
September 30, 2015
October 31, 2015
November 30, 2015
December 31, 2015
Class TR
Units
Unit
outstanding
valuation
14,141 $
10.33
13,994
10.85
112,644
10.99
119,350
10.82
119,104
11.01
145,137
10.86
339,079
10.87
335,538
10.26
360,062
9.93
222,666
10.48
225,903
10.62
1,903,899
10.18
Class F
Units
Unit
outstanding
valuation
25,097,788 $
15.06
24,736,822
15.84
24,514,511
16.04
24,621,849
15.81
24,492,383
16.09
23,934,093
15.88
24,004,580
15.90
23,984,841
15.01
24,479,827
14.53
25,110,504
15.35
25,056,596
15.56
25,166,186
14.91
52
Class N
Units
Unit
outstanding
valuation
8,304,989 $
33.26
8,881,078
34.96
9,115,943
35.42
9,209,949
34.90
9,307,643
35.52
9,189,006
35.05
9,262,000
35.09
9,271,575
33.14
9,366,678
32.07
9,389,713
33.88
9,451,087
34.34
9,473,707
32.91
Class N35
Units
Unit
outstanding
valuation
865,169 $
121.28
740,870
127.46
770,567
129.10
789,989
127.15
790,061
129.37
779,255
127.63
778,760
127.76
774,000
120.61
753,027
116.69
749,610
123.22
663,397
124.88
610,121
119.64
WELLS FARGO/BLACKROCK SHORT TERM INVESTMENT FUND
December 31, 2015
Cost
Assets:
Investments
Cash
Accrued interest income
Reimbursement due from Trustee
Total assets
Liabilities:
Income distribution payable
Accrued expenses
Total liabilities
Net assets
Class
TR
F
N
S
$ 7,694,475,459
Fair
value
$ 7,694,475,459
4
2,350,044
2
7,696,825,509
1,330,116
933,564
2,263,680
$ 7,694,561,829
Net Assets
$
2,944,184
$ 232,332,777
$ 945,846,355
$ 6,513,438,513
53
Shares
2,940,081
$
1.00
232,212,322
$
1.00
945,534,612
$
1.00
6,513,921,301
$
1.00
Investment income:
Interest income
Total income
Expenses:
Program fees (TR)
Total expenses
Administration expense waiver
Total net expenses
Net investment income
Investments
$
21,495,002
21,495,002
2,415,905
2,723
2,418,628
(329)
2,418,299
19,076,703
$
54
13,247,559
13,247,559
32,324,262
Distributions to participants from:
Net change
Net change
Class N proceeds from issuance of units (2,681,235,716 units)
Class N payments for withdrawals (2,395,901,607 units)
Net change
Class S proceeds from isusance of units (13,045,083,526 units)
Class S reinvestment of distributions (1,077,575 units)
Class S payments for withdrawals (15,310,534,690 units)
Net change
Class N15 proceeds from issuance of units 969,867,163 units)
Class N15 payments for withdrawals (1,428,283,596 units)
Net change
Net assets:
Beginning of year (293,786 Class TR units, 234,459,582 Class F
units, 660,200,503 Class N units, 8,778,294,890 Class S units
458,416,433 Class N15 units)
945,534,612 Class N units, 6,513,921,301 Class S units, 0
Class N15 units)
55
$
19,076,703
13,247,559
32,324,262
(19,076,703)
3,809,557
(1,163,262)
2,646,295
945,835,348
(948,082,608)
(2,247,260)
2,681,235,716
(2,395,901,607)
285,334,109
13,045,083,526
1,077,575
(15,310,534,690)
(2,264,373,589)
969,867,163
(1,428,283,596)
(458,416,433)
(2,437,056,878)
(2,423,809,319)
10,118,371,148
$
7,694,561,829
December 31, 2015
Par
Value
___________________________________
Wells Fargo Short Term Investment
Fund G
7,694,475,459
Cost
_____________________________________
$ 7,694,475,459
$ 7,694,475,459
7,694,475,459
7,694,475,459
$ 7,694,475,459
$ 7,694,475,459
All securities are valued at amortized cost in valuing the Fund's assets.
Fair
Value
_____________________________________
56
Class TR
$
Net investment income(1)(2)
Net realized and unrealized gain on investments(2)
Total from investment operations(2)
$
$
1.00
0.00
0.00
0.00
1.00
0.14%
2,944,184
Class F
$
Class N
1.00
1.00
$
1.00
$
0.00
0.00
0.00
1.00
0.13%
945,846,355
0.00
0.00
0.00
$
1.00
0.13%
$ 6,513,438,513
0.17%
0.04%
0.09%
0.21%
0.07%
0.18%
0.02%
0.23%
(2) Amount is less than $0.005.
57
$
$
0.00
0.00
0.00
1.00
0.11%
232,332,777
$
Class S
$
Purchased
Short term investments
Total investments
$
Cost
580,272,667,867 $
Sold or redeemed
Cost
582,516,084,682 $
Accretion/
Amortization
Proceeds
582,502,856,311 $
5,930,364 $
$ 580,272,667,867 $ 582,516,084,682 $ 582,502,856,311 $
58
5,930,364 $
Gain
13,247,559
13,247,559
January 31, 2015
February 28, 2015
March 31, 2015
April 30, 2015
May 31, 2015
June 30, 2015
July 31, 2015
August 31, 2015
September 30, 2015
October 31, 2015
November 30, 2015
December 31, 2015
Basis F
Units
Unit
outstanding
valuation
209,044,291 $
1.00
208,563,474
1.00
147,055,848
1.00
124,774,097
1.00
127,730,489
1.00
134,456,050
1.00
134,371,076
1.00
132,695,721
1.00
148,514,121
1.00
167,213,318
1.00
166,302,559
1.00
232,212,322
1.00
Basis TR
Units
Unit
outstanding
valuation
309,553 $
1.00
311,355
1.00
2,343,595
1.00
2,573,854
1.00
2,562,060
1.00
2,543,394
1.00
2,713,518
1.00
2,710,138
1.00
2,736,078
1.00
2,733,318
1.00
2,782,094
1.00
2,940,081
1.00
January 31, 2015
February 28, 2015
March 31, 2015
April 30, 2015
May 31, 2015
June 30, 2015
July 31, 2015
August 31, 2015
September 30, 2015
October 31, 2015
November 30, 2015
December 31, 2015
Basis S
Units
Unit
outstanding
valuation
7,969,699,700 $
1.00
8,057,202,080
1.00
7,392,588,790
1.00
7,306,031,732
1.00
7,166,101,767
1.00
7,377,907,240
1.00
7,525,988,248
1.00
8,286,517,087
1.00
8,429,740,014
1.00
8,362,335,450
1.00
7,981,020,716
1.00
6,513,921,301
1.00
Basis N15
Units
Unit
outstanding
valuation
246,556,285 $
1.00
226,153,971
1.00
248,678,368
1.00
257,600,176
1.00
240,924,077
1.00
275,457,174
1.00
255,751,973
1.00
276,575,321
1.00
253,376,028
1.00
272,114,063
1.00
-
59
Basis N
Units
Unit
outstanding
valuation
695,387,931 $
1.00
624,746,309
1.00
641,058,268
1.00
707,733,187
1.00
617,869,121
1.00
554,259,698
1.00
597,844,220
1.00
625,698,114
1.00
721,524,924
1.00
555,015,574
1.00
878,355,779
1.00
945,534,612
1.00
WELLS FARGO/BLACKROCK U.S. AGGREGATE BOND INDEX CIT
December 31, 2015
Fair
value
Cost
Assets:
Total investments
Fund shares sold
Total assets
Liabilities:
Accrued expenses
Total liabilities
Net assets
Class
TR
F
N
$
$
500
576,579,491
576,579,991
$
$
Net Assets
$ 52,324,430
$ 465,308,086
$ 70,850,926
60
500
588,526,132
588,526,632
15,152,118
3,258,266
606,937,016
18,410,384
43,190
18,453,574
588,483,442
Shares
5,133,612
$
10.19
44,447,611
$
10.47
4,678,017
$
15.15
Investment income:
Total income
Expenses:
Program fees (TR)
Total expenses
Net investment loss
Investments
Investments
$
1
1
268,705
98,261
366,966
(366,965)
3,772,394
$
61
(1,297,819)
2,474,575
2,107,610
Net investment loss
Net change
Net change
Net change
Net assets:
Beginning of year (239,381 Class TR units, 24,625,358 Class F
units, 2,875,781 Class N units)
62
$
(366,965)
3,772,394
(1,297,819)
2,107,610
72,681,904
(22,621,301)
50,060,603
269,433,939
(63,075,943)
206,357,996
53,615,401
(25,945,547)
27,669,854
284,088,453
286,196,063
302,287,379
$
588,483,442
December 31, 2015
Shares
___________
BlackRock U.S. Debt Index Fund F
(1)
Cost
____________
20,156,592 $
500
$
576,579,491 $
576,579,491
Fair
Value
______________
588,526,132
588,526,132
____________________________________
____________________________________
____________________________________
____________________________________
500
500
576,579,991 $
500
500
588,526,632
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
____________________________________
63
Class TR
$
$
$
10.19
(0.05)
0.05
0.00
10.19
0.03%
52,324,430
Class F
$
$
$
0.52%
(0.52)%
64
10.42
(0.01)
0.06
0.05
10.47
0.48%
465,308,086
0.06%
(0.06)%
Class N
$
$
$
15.07
(0.01)
0.09
0.08
15.15
0.49%
70,850,926
0.07%
(0.07)%
Total investments
$
Purchased
Cost
360,966,761 $
$
360,966,761 $
Sold or redeemed
Cost
Proceeds
73,446,176 $
77,218,570 $
Gain
3,772,394
73,446,176 $
3,772,394
65
77,218,570 $
January 31, 2015
February 28, 2015
March 31, 2015
April 30, 2015
May 31, 2015
June 30, 2015
July 31, 2015
August 31, 2015
September 30, 2015
October 31, 2015
November 30, 2015
December 31, 2015
Class TR
Units
Unit
outstanding
valuation
241,241 $
10.40
239,130
10.30
2,054,439
10.34
2,216,015
10.31
2,211,981
10.27
2,194,524
10.15
2,450,452
10.22
2,525,127
10.20
2,609,996
10.27
2,711,681
10.26
2,812,142
10.23
5,133,612
10.19
Class F
Units
Unit
outstanding
valuation
25,097,033 $
10.63
25,291,484
10.54
25,804,182
10.58
26,088,211
10.55
26,236,053
10.52
35,767,587
10.41
46,151,298
10.47
46,403,278
10.46
46,082,048
10.53
46,606,460
10.53
46,502,168
10.50
44,447,611
10.47
66
Class N
Units
Unit
outstanding
valuation
3,100,870 $
15.39
4,228,564
15.24
4,388,828
15.31
4,544,207
15.27
4,624,552
15.22
4,656,170
15.06
4,490,575
15.15
4,532,489
15.13
4,657,520
15.24
4,795,254
15.24
4,765,833
15.20
4,678,017
15.15
WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS
December 31, 2015
Bond Index CIT
S&P 500 Index CIT
International Equity Index CIT
S&P MidCap Index CIT
Large Cap Growth Index CIT
Short Term Investment Fund
Large Cap Value Index CIT
U.S. Aggregate Bond Index CIT
Russell 2000 Index CIT
(1)
Fund Descriptions
The Wells Fargo Bank Collective Investment Funds for Employee Benefit Trusts, identified above,
(collectively the “Funds”, each a “Fund”) are established, operated, and maintained for the
collective investment and reinvestment of monies contributed thereto by Wells Fargo Bank, N.A.
(the Trustee and Manager) or an affiliate of the Trustee in its capacity as trustee, investment
manager, or any other capacity authorized by law for retirement plans (the participants) qualified
under Section 401(a) and tax-exempt under Section 501(a) of the Internal Revenue Code (IRC) of
1986, as amended.
(a)
Bond Index CIT
The Fund seeks to approximate as closely as practicable the total return, before deduction of
fees and expenses, of the Barclays Government/Credit Bond Index. The Fund is an index
fund that invests in the debt securities of companies that compose the Index. The Fund will
pursue its objective through investment in one or more underlying collective investment
funds maintained by BlackRock Institutional Trust Company, N.A.
(b)
fees and expenses, of the Morgan Stanley Capital International Europe, Australasia and Far
East Index. The Fund is an index fund that invests in the equity securities of companies that
compose the Index. The Fund will pursue its objective through investment in one or more
underlying collective investment funds maintained by BlackRock Institutional Trust
Company, N.A.
(c)
fees and expenses, of the Russell 1000® Growth Index. The Fund is an index fund that invests
in the equity securities of companies that compose the Index. The Fund will pursue its
objective through investment in one or more underlying collective investment funds
maintained by BlackRock Institutional Trust Company, N.A.
67
December 31, 2015
(d)
fees and expenses, of the Russell 1000® Value Index. The Fund is an index fund that invests
in the equity securities of companies that compose the Index. The Fund will pursue its
(e)
fees and expenses, of the Russell 2000® Index. The Fund is an index fund that invests in the
equity securities of companies that compose the Index. The Fund will pursue its objective
through investment in one or more underlying collective investment funds maintained by
BlackRock Institutional Trust Company, N.A.
(f)
S&P 500 Index CIT
fees and expenses, of the Standard & Poor’s 500 Index. The Fund is an index fund that
invests in the equity securities of companies that compose the Index. The Fund will pursue its
(g)
S&P MidCap Index CIT
fees and expenses, of the Standard & Poor’s 400 MidCap Index. The Fund is an index fund
that invests in the equity securities of companies that compose the Index. The Fund will
pursue its objective through investment in one or more underlying collective investment
funds maintained by BlackRock Institutional Trust Company, N.A.
(h)
The Short Term Investment Fund invests primarily in short term fixed income securities.
(i)
fees and expenses, of the U.S. Aggregate Bond Index. The Fund is an index fund that invests
in the debt securities of companies that compose the Index. The Fund will pursue its objective
through investment in one or more underlying collective investment funds maintained by
BlackRock Institutional Trust Company, N.A.
68
December 31, 2015
(2)
Summary of Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trustee in the
preparation of the financial statements. The policies are in conformity with accounting
principles generally accepted in the United States of America and the Wells Fargo Bank
Declaration of Trust Establishing Investment Funds for Employee Benefit Trusts, as amended
and restated effective January 2, 2014. The Funds are investment companies and,
accordingly, follow the investment company accounting and reporting guidance of the
Financial Accounting Standards Board (“FASB”) Accounting Standards Codification
(“ASC”) Topic 946 - Investment Companies, which is part of generally accepted in the
United States of America (“GAAP”).
(a)
Basis of Accounting
The accompanying financial statements have been presented on the accrual basis of
accounting.
(b)
Fund Valuation
Valuation of the Funds' units occurs daily. Unit values are determined by dividing the value
of each Fund’s net assets by the total number of participants’ units outstanding on the
valuation date.
(c)
Valuation of Investments and Presentation
Investments held by the Funds consist of investments in underlying investment companies,
which are fair valued at their respective daily net asset values.
(d)
Investment Transactions and Related Investment Income
Investment transactions are accounted for on the trade date. The cost of investments sold is
computed on an average cost basis. Dividend income is recorded on the ex-dividend date.
(e)
Distributions
The Funds do not distribute their investment income to participants, but rather reinvest their
investment income back into their respective funds.
(f)
Purchases and Redemptions of Units
Participants' purchases and redemptions of units from the Fund are based on unit values as of
the valuation date. Purchase and redemptions of units may occur on a daily basis.
(g)
Participants' Net Assets
Participants have a proportionate undivided interest in the Fund's net assets.
69
December 31, 2015
(h)
Income Taxes
The Funds maintain tax-exempt status by operating as a collective trust fund regulated by the
Office of the Comptroller of the Currency, and as such no provision for income taxes is
required. It is intended that the Fund be exempt from taxation under Section 501(a) of the
Code and qualify as a “group trust” under Revenue Ruling 81-100 and other applicable
Internal Revenue Service rules and regulations.
The Funds follow accounting policies under ASC 740, Income Taxes, regarding how
uncertain tax positions should be recognized, measured, presented and disclosed in the
financial statements. Management has analyzed the Funds’ tax positions taken in all potential
open tax years and has concluded that as of December 31, 2015, there are no positions which
would call into question the Funds’ tax-exempt status. As such, the Funds do not have an
accrual for uncertain tax positions. The Funds’ federal and state fiduciary and Federal excise
tax returns for tax years for which the applicable statutes of limitations have not expired
(open tax years: December 31, 2012; December 31, 2013; December 31, 2014; and December
31, 2015) are subject to examination by the Internal Revenue Service and state jurisdictions.
As of and during the period ended December 31, 2015, the Funds did not have a liability for
any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to
unrecognized tax benefits as income tax expense in the Statement of Operations. During the
period, the Funds did not incur any interest or penalties. The Funds are not aware of any tax
positions for which it is reasonably possible that the total amounts of unrecognized tax
benefits will change materially in the next 12 months.
(i)
Expenses
In accordance with the Trust Agreement, the Trustee may charge the Funds for custody,
accounting, audit fees and certain other expenses incurred. The Trust Investment Committee
(the “Committee”) of Wells Fargo Bank, N.A. reviews and determines the annual accounting
fee charged to each Fund. The Committee also determines any fee cap associated with
respect to fees charged to each Fund. Please refer to the Fund Disclosure Document for
specific fund expense rates and any caps that may be in effect.
The Funds may also incur indirect expenses (through their investment in Underlying Funds)
for administration, audit, custodial and related services to the Underlying Funds. Indirect
expenses from the Underlying Funds are netted against dividend income and included within
“investment income.”
The Trustee has agreed to bear all operating expenses in excess of a certain percent of the
Funds' respective net assets ("net operating expense ratio cap"). A Fund's investment
management fee is not included in the operating expenses to which the net operating expense
ratio cap applies. The effects of this expense arrangement have been reflected in the
Statement of Operations and Financial Highlights.
70
December 31, 2015
This reduction consisted of less than a one basis point decrease in administrative expenses
which were wholly due to Wells Fargo at the time in the total amount of $329. There is no
guarantee that Wells Fargo will continue this expense reduction in the future.
(j)
Use of Estimates
The preparation of financial statements in conformity with accounting principles generally
accepted in the United States of America requires the Trustee to make estimates and
assumptions that affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities as of 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.
(k)
Cash Overdrafts
The Fund's may have overnight cash overdrafts. Cash overdrafts are funded by the Trustee
and settled the next morning. No cash overdraft fees were assessed to the Funds for the year
ended December 31, 2015.
(l)
Regulatory Requirements
The Funds are collective investment funds authorized under the Office of the Comptroller of
the Currency’s Regulation 9.18 (a)(2).
(m) Related Party Transactions
The Funds may invest in other funds maintained by the Trustee, if provided for in the Funds’
Trust Agreement. The sub-advisors to the Funds may also invest in funds (“Underlying
Funds”) which are affiliates of the sub-advisor. Affiliated sub-advisors to the Funds do not
charge management fees to the Underlying Funds. The Underlying Funds will incur operating
expenses, including fund accounting, audit, and other administrative expenses. These
Underlying Fund expenses will be in addition to the fees and expenses charged by Wells
Fargo to the Funds.
(n)
Credit Risk and Uncertainties
Investment securities in which the Funds invest are subject to various risks, such as market,
credit, and interest rate risks. Due to the level of risk associated with such securities, it is at
least reasonably possible that changes in the near term could materially affect participants’
unit values and the amounts reported in the statements of assets and liabilities.
(o)
Fair Value Hierarchy
The Funds are subject to the provisions of ASC 820-10, Fair Value Measurements ("ASC
820-10"), which among other things, establishes a framework for measuring fair value and
requires enhanced disclosures about investments that are measured and reported at fair value.
In accordance with ASC 820-10, fair value is defined as the price that a Fund would receive
71
December 31, 2015
upon selling an investment in a timely transaction to an independent buyer in the principal or
most advantageous market of the investment.
ASC 820-10 establishes a fair value hierarchy that prioritizes the inputs to valuation
techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted
quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and
the lowest priority to measurements involving significant unobservable inputs (Level 3
measurements). The three levels of the fair value hierarchy are follows:
Level 1: Inputs that reflect unadjusted quoted prices in active markets for identical assets
or liabilities that the Funds have the ability to access at the measurement date.
Level 2: Inputs other than quoted prices included within Level 1 that are observable for
the asset or liability either directly or indirectly, including quoted prices for
similar assets or liabilities in active markets, quoted prices for identical or
similar assets or liabilities in markets that are not considered to be active,
inputs other than quoted prices that are observable for the asset or liability, and
inputs that are derived principally from or corroborated by observable market
data by correlation or other means.
Level 3: Unobservable inputs based on the best information available in the
circumstances, to the extent observable inputs are not available (including the
Fund’s own assumptions in determining the fair value of investments).
Observable inputs are inputs that reflect the assumptions market participants would use in
pricing the asset or liability developed based on market data obtained from sources
independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting
entity's own assumptions regarding the assumptions market participants would use in pricing
the asset or liability, based on the best information available in the circumstances.
Valuations of the Funds' Investments in other collective funds (the “Underlying Funds”) are
determined as follows:
The unit value of an Underlying Fund is calculated by dividing such fund's net asset
value on the calculation date by the number of units of such fund that are outstanding
on the calculation date. The Fund has the ability to redeem its investment in the
Underlying Fund at net asset value per unit at the valuation date. Accordingly,
investments in Underlying Funds are classified as Level 2.
As of December 31, 2015, the Funds' investment values were classified as Level 2. The
details of each Underlying Fund's investments into major categories are available upon
request to the Plan Sponsor’s Relationship Manager.
The following table presents the values of the financial instruments carried on the
statement of assets and liabilities by caption and by level within the valuation hierarchy
as of December 31, 2015. The breakdown of the Fund's investments into major categories
is disclosed in its respective Schedule of Investments.
72
December 31, 2015
Fair value measurements at reporting date using
Quoted prices
Significant
in active
other
Significant
markets for
observable
unobservable
identical assets
inputs
inputs
(Level 1)
(Level 2)
(Level 3)
Investments in securities
Bond Index CIT:
Value of investment
securities:
Collective Investment
Funds
Fixed Income
Short Term Investment
Total
International Equity Index
CIT:
Value of investment
securities:
Funds
Equity
Total
Large Cap Growth Index
CIT:
Value of investment
securities:
Funds
Equity
Total
Large Cap Value Index
CIT:
Value of investment
securities:
Funds
Equity
Total
$
$
$
$
$
$
$
$
Total
− $
−
− $
106,836,654 $
1,000
106,837,654 $
− $
−
− $
106,836,654
1,000
106,837,654
− $
−
− $
389,118,249 $
500
389,118,749 $
− $
−
− $
389,118,249
500
389,118,749
− $
−
− $
262,258,210 $
1,500
262,259,710 $
− $
−
− $
262,258,210
1,500
262,259,710
− $
−
− $
282,234,593 $
1,500
282,236,093 $
− $
−
− $
282,234,593
1,500
282,236,093
73
December 31, 2015
Russell 2000 Index CIT:
Value of investment
securities:
Funds
Equity
Total
S&P 500 Index CIT:
Value of investment
securities:
Funds
Equity
Total
S&P MidCap Index CIT:
Value of investment
securities:
Funds
Equity
Total
Fund:
Value of investment
securities:
Funds
Total
U.S. Aggregate Bond Index
CIT:
Value of investment
securities:
Funds
Fixed Income
Total
$
$
− $
−
− $
276,886,876 $
1,500
276,888,376 $
− $
−
− $
276,886,876
1,500
276,888,376
− $ 3,660,235,594 $
−
2,000
− $ 3,660,237,594 −$
− $ 3,660,235,594
−
2,000
− $ 3,660,237,594
$
− $
−
− $
− $
−
− $
$
$
− $ 7,694,475,459 $
− $ 7,694,475,459 $
− $ 7,694,475,459
− $ 7,694,475,459
− $
−
− $
− $
−
− $
$
$
$
74
779,508,086 $
2,500
779,510,586 $
588,526,132
500
588,526,632
779,508,086
2,500
779,510,586
588,526,132
500
588,526,632
December 31, 2015
(3) Securities Lending and Short Term Investments
Certain Funds earn securities lending income indirectly by their investment in Underlying Funds
that lend securities. The Securities Lending Table provided below provides information on
securities lending income earned indirectly by each Fund. Securities lending income earned by an
Underlying Fund consists of borrower fees (negotiated fees paid by the borrower if it posts U.S.
government obligations or letters of credit as collateral) and/or earnings from investment of cash
collateral posted by borrowers. A portion of the return from investment of cash collateral may be
paid to the borrowers of the securities as a negotiated rebate of interest earned on the cash
collateral. The remaining securities lending income is divided between the Underlying Funds and
BTC. BTC bears all operational costs with respect to securities lending transactions. Securities
lending by Underlying Funds involves exposure to certain risks, including cash collateral
reinvestment risk. Additional information on the securities lending program may be obtained by
reading the notes to the financial statements of the Funds listed on the Schedule of Investments.
Securities Lending Income
Underlying Funds (unaudited)
$
104,943
Fund Name
Bond Index CIT
133,151
77,395
80,102
692,510
S&P 500 Index CIT
725,945
S&P Mid Cap Index CIT
592,223
252,063
75
December 31, 2015
(4) Underlying Average Expense and Portfolio Turnover
The following ratios are provided as informational only and are unaudited by our Auditors. They
reflect the ratios of the underlying BlackRock managed collective funds in which the Wells Fargo
funds primarily invest.
Unaudited
Underlying
Portfolio
Turnover Ratio
Underlying
Portfolio Avg
Exp Ratio
13.73%
0.01%
2.01%
0.01%
28.45%
0.01%
19.32%
0.01%
18.86%
0.01%
4.61%
0.00%
Wells Fargo/BlackRock S&P MidCap Index CIT
22.16%
0.01%
12.86%
0.00%
Fund Name
(5) Class Allocations
The Funds issue multiple classes of units. Class N units are the base units of the Funds. The Funds
offer various Class N units which have included in their expense ratios additional revenue available
to the Plan for administrative expenses incurred by the Plan in amounts ranging from 0% to 0.35%
annualized based on the value of each Fund’s assets. All investment income, expenses, and
unrealized and realized gains and losses are allocated to the Unit Classes on a pro-rated basis.
(6) STIF Restructuring
Summary of Manager Change and other Structural Changes
The Trustee determined that in the best interests of all of the funds unit holders, several structural
changes to the Wells Fargo Short Term Investment Fund were made during November, 2015 that
were completed between November 23rd and November 30th 2015.
1) The N15 unit class was merged into the N unit class on a unit for unit basis and the
15 basis point administrative offset revenue share provision for this unit class was
eliminated;
2) Fund Sub-Advisor - from Wells Capital Management to BlackRock Institutional
Trust Company (BTC) through its underlying investment management of the
BlackRock Short-Term Investment Fund A5;
3) Product Name – from Wells Fargo Short Term Investment Fund to Wells
Fargo/BlackRock Short Term Investment Fund;
76
December 31, 2015
4) Structure – from portfolio of individual securities to fund of funds
The N15 unit class change was completed on November 23rd. The remaining changes were
effective at the close of business on November 30, 2015.
NEW PORTFOLIO ADVISOR
Wells Fargo Capital Management was replaced as the sub-advisor to the fund with BlackRock
Institutional Trust Company, N.A. (BTC). BTC, in turn, is Investment Manager for the
BlackRock Short-Term Investment Fund A5 for which the Wells Fargo/BlackRock Short Term
Investment Fund is currently the sole unit holder.
PRODUCT NAME & EXPENSE SUMMARY
In an effort to align the naming convention with the other 8 CIT strategies advised by BTC, the
following changes were completed on November 20, 2015:
Current Collective Fund
Wells Fargo Short-Term
Investment Fund S
Investment Fund F
Investment Fund N
Investment Fund AT
CUSIP
Total
Expense
Ratio
PF9983008
0.01%
PF9980012
0.03%
PF9980004
0.06%
PF9980020
0.16%
Activity
New Collective Fund
Name
Change
Name
Change
Name
Change
Name
Change
Wells Fargo/BlackRock ShortTerm Investment Fund S
Wells Fargo/BlackRock ShortTerm Investment Fund F
Wells Fargo/BlackRock ShortTerm Investment Fund N
Wells Fargo/BlackRock ShortTerm Investment Fund AT
CUSIP
(No
Change)
Anticipated
Total Expense
Ratio (upon
11/30/15
transition)
PF9983008
0.13%
PF9980012
0.13%
PF9980004
0.16%
PF9980020
0.20%
PRODUCT STRUCTURE
Previously the Wells Fargo Short Term Investment Fund was structured as a pool of individual
securities. The new structure is a “fund of funds” structure by which the Wells Fargo Short Term
Investment Fund owns units in the BlackRock Short-Term Investment Fund A5. This structural
change was effected by an in-kind transfer of all assets and liabilities including any remaining
capital loss carry forward in exchange for units of the newly created BlackRock Short-Term
Investment Fund A5. This structure aligns with the other Wells Fargo CITs advised by BTC.
BTC, in turn, made a capital contribution to the BlackRock Short Term Investment Fund in an
amount equal to the loss carry forward. As a result of these changes, the underlying “shadow”
Net Asset Value (NAV) was increased from .9985 at November 30th to 1.0000 as of December
1st.
77
December 31, 2015
(7) Target My Retirement Program Fees
The Target My Retirement Investment program (represented by the TR unit class) is a managed
retirement solution that provides participants with professional investment advice, based on a
personalized investment strategy. Participants pay an overall program fee of up to 0.315%
depending on the participant's allocations. Program fees are in addition to any other Fund expenses.
Wells Fargo has retained Morningstar Associates, LLC, as an independent financial expert to
provide investment advice for the Target My Retirement program. Morningstar receives 0.065% for
their investment advice and Wells Fargo receives 0.25% with the exception of the Wells
Fargo/BlackRock Short Term Investment Fund, for which Wells Fargo receives 0.01%, as program
manager based on annualized net assets in the program. Expenses were charged to participant
accounts adopting the program. Fees are accrued on a daily basis and TR unit values are net of
program fees and expenses.
(8) Ownership Concentration
At December 31, 2015, the following Funds have unitholders that were not related parties that held
units in excess of 10% of the outstanding units in various classes of the Funds. Investment
activities, including redemptions, of such unitholders could have a material impact on the
operations of the Fund or expense impact on the class.
Fund
Bond Index CIT
S&P M idCap Index CIT
(9)
$
$
$
$
$
$
Mkt Value
106,826,641.62
271,604,266.62
292,687,177.36
775,157,174.08
592,150,827.51
7,196,202,853.14
Number of
unitholders with
ownership in
excess of 10%
3
1
1
1
1
1
Aggregated
%
55%
25%
20%
15%
34%
41%
Subsequent Events
The Trustee has evaluated the possibility of subsequent events impacting the Funds' financial
statements. The Trustee has determined that there are no subsequent events that need to
be disclosed in the Funds' financial statements through April 14, 2016, the date the
financial statements were available to be issued.
78
Regulatory statement
______________________________________________________________________________
Wells Fargo Bank, N.A.
Participation requirements. Participation in each Fund is available to employee benefit
accounts which meet the following conditions:
 The participating account is part of a plan and related trust qualified under Section
401(a) of the Internal Revenue Code (IRC), and which is exempt from tax under IRC
Section 501 (a) or is part of a governmental plan as defined by IRC Section 818(a)(6),
or a separate account maintained by a life insurance company consisting exclusively of
the assets of plans described above.
 The participating plan or trust instrument of qualified plans adopts documents
establishing Wells Fargo Bank’s collective investment funds.
 Wells Fargo Bank, N.A. serves in a fiduciary capacity with respect to a participating
account.
Filing of Annual Report with Department of Labor
A plan administrator receiving this Annual Report may be eligible for a simplified
reporting procedure described In Department of Labor Regulations §2520.103-3 for a
plan year ending on or after the end of a Fund's fiscal year. The fiscal year end for each
Fund is December 31. To such eligible plan administrators, Wells Fargo Bank, N.A. as
Trustee for the Funds certifies that the statements of assets and liabilities included in the
Annual Report were filed with the Department of Labor on or before the date upon
which the annual report of such plans is required to be filed by the plan administrators
in accordance with Department of Labor Regulation §2520.103-9. The "Employer
Identification Number" of each Fund is as follows:
Index Series
EIN
Wells Fargo/BlackRock S&P Mid Cap Index CIT
Wells Fargo/BlackRock Short Term Investment Fund
79
94-3226244
52-2265229
52-2265232
52-2265227
52-2265233
94-3224211
52-2265235
41-6292499
20-5699010
Regulatory statement
______________________________________________________________________________
Regulatory requirement
Collective funds are authorized under the Comptroller of the Currency's Regulation 9.18(a)(2)
and are subject to other pertinent provisions of Regulation 9 as promulgated by the
Comptroller of the Currency. In compliance with this Regulation, the Trustee will provide
detail of Investment transactions upon request and without charge.
80

Annual Report - Wells Fargo Funds

Transcription

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