Portfolio of investments—May 31, 2021 (unaudited)
Interest rate | Maturity date | Principal | Value | |||
Yankee corporate bonds and notes: 14.84% | ||||||
Azerbaijan: 0.57% | ||||||
State Oil Company of the Azerbaijan Republic (Energy, Oil, gas & consumable fuels) | 4.75% | 3-13-2023 | $ | 200,000 | $ 212,020 | |
Bahrain: 0.60% | ||||||
Oil & Gas Holding Company (Energy, Oil, gas & consumable fuels) | 7.63 | 11-7-2024 | 200,000 | 224,444 | ||
Chile: 1.51% | ||||||
Codelco Incorporated (Materials, Metals & mining) | 4.25 | 7-17-2042 | 250,000 | 272,018 | ||
Codelco Incorporated (Materials, Metals & mining) | 4.88 | 11-4-2044 | 250,000 | 292,935 | ||
564,953 | ||||||
China: 2.21% | ||||||
Sinopec Group Overseas Development (2015) Limited (Energy, Oil, gas & consumable fuels) | 3.00 | 4-12-2022 | 200,000 | 203,894 | ||
Sinopec Group Overseas Development (2015) Limited (Energy, Oil, gas & consumable fuels) | 3.25 | 4-28-2025 | 200,000 | 213,399 | ||
Sinopec Group Overseas Development (2018) Limited (Energy, Oil, gas & consumable fuels) 144A | 2.30 | 1-8-2031 | 200,000 | 195,096 | ||
State Grid Overseas Investment (2016) Limited (Utilities, Electric utilities) | 2.88 | 5-18-2026 | 200,000 | 213,092 | ||
825,481 | ||||||
Indonesia: 1.73% | ||||||
PT Indonesia Asahan Aluminium Persero Tbk (Materials, Metals & mining) | 5.71 | 11-15-2023 | 200,000 | 220,500 | ||
PT Pertamina Persero Tbk (Energy, Oil, gas & consumable fuels) | 5.63 | 5-20-2043 | 200,000 | 230,153 | ||
PT Perusahaan Listrik Negar Tbk (Utilities, Electric utilities) | 4.00 | 6-30-2050 | 200,000 | 193,000 | ||
643,653 | ||||||
Kazakhstan: 1.22% | ||||||
KazMunayGas National Company JSC (Energy, Oil, gas & consumable fuels) | 3.50 | 4-14-2033 | 200,000 | 207,500 | ||
KazMunayGas National Company JSC (Energy, Oil, gas & consumable fuels) | 5.75 | 4-19-2047 | 200,000 | 246,004 | ||
453,504 | ||||||
Malaysia: 1.55% | ||||||
Petronas Capital Limited Bhd (Energy, Oil, gas & consumable fuels) | 3.50 | 4-21-2030 | 200,000 | 217,707 | ||
Petronas Capital Limited Bhd (Energy, Oil, gas & consumable fuels) | 4.50 | 3-18-2045 | 300,000 | 359,970 | ||
577,677 | ||||||
Mexico: 2.36% | ||||||
Petroleos Mexicanos Company (Energy, Oil, gas & consumable fuels) | 4.50 | 1-23-2026 | 300,000 | 307,410 | ||
Petroleos Mexicanos Company (Energy, Oil, gas & consumable fuels) | 5.63 | 1-23-2046 | 250,000 | 203,438 |
See accompanying notes to portfolio of investments
Wells Fargo Emerging Markets Bond Portfolio | 1
Portfolio of investments—May 31, 2021 (unaudited)
Interest rate | Maturity date | Principal | Value | |||
Mexico: 2.36% (continued) | ||||||
Petroleos Mexicanos Company (Energy, Oil, gas & consumable fuels) | 5.95% | 1-28-2031 | $ | 200,000 | $ 194,500 | |
Petroleos Mexicanos Company (Energy, Oil, gas & consumable fuels) | 6.75 | 9-21-2047 | 200,000 | 175,922 | ||
881,270 | ||||||
Peru: 0.56% | ||||||
Petroleos Del Peru - Petroperu SA (Energy, Oil, gas & consumable fuels) | 4.75 | 6-19-2032 | 200,000 | 207,800 | ||
Saudi Arabia: 0.57% | ||||||
KSA Sukuk Limited (Financials, Diversified financial services) | 2.97 | 10-29-2029 | 200,000 | 211,143 | ||
South Africa: 0.60% | ||||||
Eskom Holdings SOC Limited (Utilities, Electric utilities) | 6.35 | 8-10-2028 | 200,000 | 224,250 | ||
United Arab Emirates: 1.36% | ||||||
Abu Dhabi Crude Oil Pipeline LLC (Energy, Oil, gas & consumable fuels) | 4.60 | 11-2-2047 | 200,000 | 232,030 | ||
MDC-GMTN BV (Financials, Diversified financial services) | 3.75 | 4-19-2029 | 250,000 | 276,563 | ||
508,593 | ||||||
Total Yankee corporate bonds and notes (Cost $5,265,377) | 5,534,788 | |||||
Yankee government bonds: 82.62% | ||||||
Abu Dhabi Government | 2.13 | 9-30-2024 | 200,000 | 209,848 | ||
Abu Dhabi Government | 2.50 | 10-11-2022 | 200,000 | 206,000 | ||
Abu Dhabi Government | 3.13 | 9-30-2049 | 200,000 | 197,500 | ||
Abu Dhabi Government | 3.88 | 4-16-2050 | 200,000 | 224,516 | ||
Arab Republic of Egypt | 5.88 | 6-11-2025 | 200,000 | 215,000 | ||
Arab Republic of Egypt | 7.50 | 1-31-2027 | 200,000 | 227,524 | ||
Arab Republic of Egypt | 8.50 | 1-31-2047 | 250,000 | 265,377 | ||
Arab Republic of Egypt | 8.70 | 3-1-2049 | 200,000 | 214,840 | ||
China Development Bank | 4.00 | 1-24-2037 | 350,000 | 379,626 | ||
China Government | 0.40 | 10-21-2023 | 200,000 | 200,312 | ||
China Government | 1.88 | 12-3-2022 | 200,000 | 204,569 | ||
Dominican Republic | 5.88 | 1-30-2060 | 200,000 | 197,000 | ||
Dominican Republic | 5.95 | 1-25-2027 | 350,000 | 396,200 | ||
Dominican Republic | 6.00 | 7-19-2028 | 200,000 | 228,300 | ||
Dominican Republic | 6.40 | 6-5-2049 | 150,000 | 161,250 | ||
Export-Import Bank of India | 4.00 | 1-14-2023 | 250,000 | 261,450 | ||
Federation of Malaysia | 3.18 | 4-27-2026 | 400,000 | 437,217 | ||
Federative Republic of Brazil | 2.63 | 1-5-2023 | 200,000 | 206,620 | ||
Federative Republic of Brazil | 4.50 | 5-30-2029 | 200,000 | 214,400 | ||
Federative Republic of Brazil | 4.63 | 1-13-2028 | 400,000 | 435,392 | ||
Federative Republic of Brazil | 5.63 | 1-7-2041 | 250,000 | 270,938 | ||
Government of Jamaica | 7.88 | 7-28-2045 | 300,000 | 422,700 | ||
Islamic Republic of Pakistan | 8.25 | 9-30-2025 | 200,000 | 221,778 | ||
Kingdom of Bahrain | 6.75 | 9-20-2029 | 200,000 | 218,552 | ||
Kingdom of Bahrain | 7.00 | 10-12-2028 | 400,000 | 447,550 | ||
Kingdom of Jordan | 5.85 | 7-7-2030 | 200,000 | 207,750 | ||
Kingdom of Morocco | 4.25 | 12-11-2022 | 200,000 | 210,000 | ||
Kuwait Government | 3.50 | 3-20-2027 | 200,000 | 221,886 | ||
Lebanese Republic † | 6.60 | 11-27-2026 | 300,000 | 38,895 | ||
Lebanese Republic † | 7.05 | 11-2-2035 | 200,000 | 26,220 | ||
Mongolia Government | 5.13 | 12-5-2022 | 200,000 | 207,900 |
See accompanying notes to portfolio of investments
2 | Wells Fargo Emerging Markets Bond Portfolio
Portfolio of investments—May 31, 2021 (unaudited)
Interest rate | Maturity date | Principal | Value | |||
Yankee government bonds: 82.62% (continued) | ||||||
Oman Government | 3.88% | 3-8-2022 | $ | 300,000 | $ 304,514 | |
Oman Government | 4.75 | 6-15-2026 | 200,000 | 206,276 | ||
Oman Government | 5.93 | 10-31-2025 | 200,000 | 220,940 | ||
Oman Government | 6.50 | 3-8-2047 | 400,000 | 382,936 | ||
Oriental Republic of Uruguay | 4.38 | 10-27-2027 | 200,000 | 229,230 | ||
Oriental Republic of Uruguay | 4.98 | 4-20-2055 | 100,000 | 124,501 | ||
Oriental Republic of Uruguay | 5.10 | 6-18-2050 | 250,000 | 315,315 | ||
Oriental Republic of Uruguay | 7.88 | 1-15-2033 | 125,000 | 187,814 | ||
Perusahaan Penerbit SBSN Indonesia III | 4.45 | 2-20-2029 | 200,000 | 228,536 | ||
Qatar Government | 3.25 | 6-2-2026 | 200,000 | 218,500 | ||
Qatar Government | 3.75 | 4-16-2030 | 200,000 | 226,641 | ||
Qatar Government | 4.00 | 3-14-2029 | 200,000 | 230,017 | ||
Qatar Government | 4.63 | 6-2-2046 | 450,000 | 548,286 | ||
Republic of Angola | 8.25 | 5-9-2028 | 200,000 | 207,520 | ||
Republic of Angola | 9.50 | 11-12-2025 | 200,000 | 219,750 | ||
Republic of Argentina | 0.13 | 7-9-2046 | 1,018,500 | 339,721 | ||
Republic of Argentina | 1.00 | 7-9-2029 | 28,355 | 11,001 | ||
Republic of Argentina | 1.75 | 7-9-2030 | 200,000 | 73,858 | ||
Republic of Armenia 144A | 3.60 | 2-2-2031 | 200,000 | 184,488 | ||
Republic of Azerbaijan | 3.50 | 9-1-2032 | 200,000 | 203,500 | ||
Republic of Belarus | 7.63 | 6-29-2027 | 200,000 | 199,004 | ||
Republic of Chile | 3.50 | 1-25-2050 | 200,000 | 201,446 | ||
Republic of Chile | 3.86 | 6-21-2047 | 150,000 | 160,302 | ||
Republic of Colombia | 3.13 | 4-15-2031 | 200,000 | 193,060 | ||
Republic of Colombia | 4.13 | 5-15-2051 | 200,000 | 182,472 | ||
Republic of Colombia | 4.50 | 1-28-2026 | 200,000 | 218,294 | ||
Republic of Colombia | 5.00 | 6-15-2045 | 286,000 | 295,163 | ||
Republic of Colombia | 7.38 | 9-18-2037 | 150,000 | 194,475 | ||
Republic of Costa Rica | 7.00 | 4-4-2044 | 350,000 | 366,450 | ||
Republic of Cote d'Ivoire | 6.13 | 6-15-2033 | 200,000 | 212,834 | ||
Republic of Croatia | 6.00 | 1-26-2024 | 200,000 | 228,000 | ||
Republic of Eduador | 0.50 | 7-31-2030 | 250,000 | 217,125 | ||
Republic of Eduador | 0.50 | 7-31-2035 | 500,000 | 350,000 | ||
Republic of El Salvador | 7.65 | 6-15-2035 | 347,000 | 350,470 | ||
Republic of Gabon | 6.38 | 12-12-2024 | 150,000 | 158,408 | ||
Republic of Ghana | 6.38 | 2-11-2027 | 200,000 | 201,421 | ||
Republic of Ghana | 7.63 | 5-16-2029 | 300,000 | 306,385 | ||
Republic of Ghana | 8.63 | 6-16-2049 | 200,000 | 194,938 | ||
Republic of Guatemala | 4.38 | 6-5-2027 | 200,000 | 218,000 | ||
Republic of Hungary | 5.38 | 2-21-2023 | 200,000 | 217,158 | ||
Republic of Hungary | 5.38 | 3-25-2024 | 200,000 | 226,629 | ||
Republic of Indonesia | 4.10 | 4-24-2028 | 300,000 | 337,663 | ||
Republic of Indonesia | 5.13 | 1-15-2045 | 200,000 | 240,459 | ||
Republic of Indonesia | 7.75 | 1-17-2038 | 125,000 | 185,806 | ||
Republic of Iraq | 5.80 | 1-15-2028 | 218,750 | 210,573 | ||
Republic of Kazakhstan | 5.13 | 7-21-2025 | 200,000 | 232,608 | ||
Republic of Kazakhstan | 6.50 | 7-21-2045 | 200,000 | 288,500 | ||
Republic of Kenya | 6.88 | 6-24-2024 | 200,000 | 222,140 | ||
Republic of Kenya | 8.25 | 2-28-2048 | 200,000 | 221,500 | ||
Republic of Nigeria | 7.63 | 11-21-2025 | 200,000 | 227,300 | ||
Republic of Nigeria | 7.88 | 2-16-2032 | 300,000 | 325,125 | ||
Republic of Panama | 3.16 | 1-23-2030 | 200,000 | 209,252 | ||
Republic of Panama | 3.87 | 7-23-2060 | 200,000 | 200,348 | ||
Republic of Panama | 4.00 | 9-22-2024 | 200,000 | 217,252 | ||
Republic of Panama | 4.50 | 5-15-2047 | 350,000 | 388,941 |
See accompanying notes to portfolio of investments
Wells Fargo Emerging Markets Bond Portfolio | 3
Portfolio of investments—May 31, 2021 (unaudited)
Interest rate | Maturity date | Principal | Value | |||
Yankee government bonds: 82.62% (continued) | ||||||
Republic of Paraguay | 5.00% | 4-15-2026 | $ | 250,000 | $ 282,500 | |
Republic of Peru | 4.13 | 8-25-2027 | 100,000 | 110,876 | ||
Republic of Peru | 5.63 | 11-18-2050 | 100,000 | 130,636 | ||
Republic of Peru | 6.55 | 3-14-2037 | 300,000 | 403,878 | ||
Republic of Peru | 7.35 | 7-21-2025 | 100,000 | 122,751 | ||
Republic of Peru | 8.75 | 11-21-2033 | 25,000 | 38,781 | ||
Republic of Philippines | 1.65 | 6-10-2031 | 200,000 | 192,416 | ||
Republic of Philippines | 3.70 | 2-2-2042 | 200,000 | 212,582 | ||
Republic of Philippines | 4.20 | 1-21-2024 | 200,000 | 219,278 | ||
Republic of Philippines | 5.50 | 3-30-2026 | 150,000 | 182,388 | ||
Republic of Philippines | 6.38 | 1-15-2032 | 200,000 | 274,213 | ||
Republic of Poland | 3.25 | 4-6-2026 | 300,000 | 331,611 | ||
Republic of Poland | 4.00 | 1-22-2024 | 100,000 | 109,189 | ||
Republic of Senegal | 6.25 | 5-23-2033 | 200,000 | 211,550 | ||
Republic of South Africa | 4.85 | 9-30-2029 | 400,000 | 424,000 | ||
Republic of South Africa | 6.25 | 3-8-2041 | 200,000 | 217,055 | ||
Republic of Sri Lanka | 5.75 | 4-18-2023 | 200,000 | 158,626 | ||
Republic of Sri Lanka | 6.75 | 4-18-2028 | 300,000 | 200,121 | ||
Republic of Sri Lanka | 7.55 | 3-28-2030 | 200,000 | 133,414 | ||
Republic of Turkey | 4.88 | 10-9-2026 | 200,000 | 193,934 | ||
Republic of Turkey | 5.60 | 11-14-2024 | 200,000 | 204,000 | ||
Republic of Turkey | 6.63 | 2-17-2045 | 400,000 | 370,392 | ||
Republic of Turkey | 7.38 | 2-5-2025 | 200,000 | 214,709 | ||
Republic of Turkey | 7.63 | 4-26-2029 | 200,000 | 215,211 | ||
Republic of Venezuela † | 6.00 | 12-9-2020 | 225,000 | 22,500 | ||
Republic of Venezuela † | 7.00 | 3-31-2038 | 200,000 | 20,000 | ||
Republic of Zambia | 8.50 | 4-14-2024 | 200,000 | 132,000 | ||
Romania Government | 4.38 | 8-22-2023 | 200,000 | 216,264 | ||
Romania Government | 4.88 | 1-22-2024 | 150,000 | 165,760 | ||
Romania Government | 5.13 | 6-15-2048 | 200,000 | 236,838 | ||
Russian Federation | 4.50 | 4-4-2022 | 200,000 | 206,256 | ||
Russian Federation | 4.88 | 9-16-2023 | 200,000 | 217,486 | ||
Russian Federation | 5.10 | 3-28-2035 | 200,000 | 236,488 | ||
Russian Federation | 5.63 | 4-4-2042 | 200,000 | 253,319 | ||
Russian Federation | 12.75 | 6-24-2028 | 180,000 | 299,986 | ||
Saudi Government | 2.88 | 3-4-2023 | 200,000 | 207,800 | ||
Saudi Government | 3.63 | 3-4-2028 | 200,000 | 220,540 | ||
Saudi Government | 4.50 | 4-17-2030 | 200,000 | 234,120 | ||
Saudi Government | 4.50 | 10-26-2046 | 200,000 | 228,772 | ||
Saudi Government | 4.63 | 10-4-2047 | 200,000 | 232,548 | ||
Trinidad & Tobago Government | 4.50 | 8-4-2026 | 200,000 | 212,600 | ||
Ukraine Government | 7.38 | 9-25-2032 | 200,000 | 211,948 | ||
Ukraine Government | 7.75 | 9-1-2023 | 200,000 | 216,180 | ||
Ukraine Government | 7.75 | 9-1-2025 | 400,000 | 443,021 | ||
United Mexican States | 2.66 | 5-24-2031 | 200,000 | 194,166 | ||
United Mexican States | 3.25 | 4-16-2030 | 200,000 | 206,424 | ||
United Mexican States | 4.50 | 1-31-2050 | 200,000 | 209,026 | ||
United Mexican States | 6.75 | 9-27-2034 | 150,000 | 198,189 | ||
Total Yankee government bonds (Cost $30,451,562) | 30,816,297 |
See accompanying notes to portfolio of investments
4 | Wells Fargo Emerging Markets Bond Portfolio
Portfolio of investments—May 31, 2021 (unaudited)
Yield | Shares | Value | ||||
Short-term investments: 1.25% | ||||||
Investment companies: 1.25% | ||||||
Wells Fargo Government Money Market Fund Select Class ♠∞ | 0.03% | 465,819 | $ 465,819 | |||
Total Short-term investments (Cost $465,819) | 465,819 | |||||
Total investments in securities (Cost $36,182,758) | 98.71% | 36,816,904 | ||||
Other assets and liabilities, net | 1.29 | 482,663 | ||||
Total net assets | 100.00% | $37,299,567 |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
† | Non-income-earning security |
♠ | The issuer is an affiliate of the Portfolio as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
Investments in affiliates
An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliates of the Portfolio at the beginning of the period or the end of the period were as follows:
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | % of net assets | Shares, end of period | Income from affiliated securities | |
Short-term investments | |||||||||
Investment companies | |||||||||
Wells Fargo Government Money Market Fund Select Class | $654,821 | $2,848,868 | $(3,037,870) | $0 | $0 | $465,819 | 1.25% | 465,819 | $44 |
See accompanying notes to portfolio of investments
Wells Fargo Emerging Markets Bond Portfolio | 5
Notes to portfolio of investments—May 31, 2021 (unaudited)
Securities valuation
All 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 Portfolio may deviate from this calculation time under unusual or unexpected circumstances.
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 registered open-end investment companies are valued at net asset value.
Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC. The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.
Foreign currency translation
The accounting records of the Portfolio 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 Wells Fargo Asset Management Pricing Committee. 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.
Fair valuation measurements
Fair value measurements of investments are determined within a framework that has established a fair value hierarchy based upon the various data inputs utilized in determining the value of the Portfolio’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). The Portfolio’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 Portfolio’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.
6 | Wells Fargo Emerging Markets Bond Portfolio
Notes to portfolio of investments—May 31, 2021 (unaudited)
The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of May 31, 2021:
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Yankee corporate bonds and notes | $0 | $5,534,788 | $0 | $5,534,788 |
Yankee government bonds | 0 | 30,816,297 | 0 | 30,816,297 |
Short-term investments | ||||
Investment companies | 465,819 | 0 | 0 | 465,819 |
Total assets | $465,819 | $36,351,085 | $0 | $36,816,904 |
Additional sector, industry or geographic detail, if any, is included in the Portfolio of Investments.
For the three months ended May 31, 2021, the Portfolio did not have any transfers into/out of Level 3.
Wells Fargo Emerging Markets Bond Portfolio | 7