Form NPORT-P WELLS FARGO MASTER TRUST For: May 31

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July 30, 2021 9:33 AM EDT

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      Wells Fargo Master Trust
      811-09689
      0001087961
      549300RK07I40T8DF120
      525 Market St.
      San Francisco
      
      94105
      415-396-4184
      Wells Fargo Factor Enhanced U.S. Low Volatility Equity Portfolio
      S000068540
      254900IWQCGG10AM4U07
      2022-02-28
      2021-05-31
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        Dollar General Corporation
        OPX52SQVOZI8IVSWYU66
        DOLLAR GENERAL CORP COMMON STOCK USD.875
        256677105
        
          
          
          
        
        807.0000000000
        NS
        USD
        163788.7200000000
        0.6395961310
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Dollar Tree Inc
        549300PMSTQITB1WHR43
        DOLLAR TREE INC COMMON STOCK USD.01
        256746108
        
          
          
          
        
        677.0000000000
        NS
        USD
        66007.5000000000
        0.2577597628
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Dominion Energy Inc
        ILUL7B6Z54MRYCF6H308
        DOMINION ENERGY INC COMMON STOCK
        25746U109
        
          
          
          
        
        1250.0000000000
        NS
        USD
        95175.0000000000
        0.3716590604
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Dominos Pizza Inc
        25490005ZWM1IF9UXU57
        DOMINO S PIZZA INC COMMON STOCK USD.01
        25754A201
        
          
          
          
        
        162.0000000000
        NS
        USD
        69152.9400000000
        0.2700427287
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Duke Realty Corp
        254900E47KH1NFFKNF25
        DUKE REALTY CORP REIT USD.01
        264411505
        
          
          
          
        
        92.0000000000
        NS
        USD
        4274.3200000000
        0.0166912504
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Eastman Chemical Company
        FDPVHDGJ1IQZFK9KH630
        EASTMAN CHEMICAL CO COMMON STOCK USD.01
        277432100
        
          
          
          
        
        25.0000000000
        NS
        USD
        3135.0000000000
        0.0122421976
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        eBay Inc.
        OML71K8X303XQONU6T67
        EBAY INC COMMON STOCK USD.001
        278642103
        
          
          
          
        
        360.0000000000
        NS
        USD
        21916.8000000000
        0.0855852618
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Ecolab Inc.
        82DYEISM090VG8LTLS26
        ECOLAB INC COMMON STOCK USD1.0
        278865100
        
          
          
          
        
        641.0000000000
        NS
        USD
        137866.2800000000
        0.5383688162
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Electronic Arts Inc.
        549300O7A67PUEYKDL45
        ELECTRONIC ARTS INC COMMON STOCK USD.01
        285512109
        
          
          
          
        
        1714.0000000000
        NS
        USD
        244982.0200000000
        0.9566565522
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Entergy Corporation
        4XM3TW50JULSLG8BNC79
        ENTERGY CORP COMMON STOCK USD.01
        29364G103
        
          
          
          
        
        33.0000000000
        NS
        USD
        3473.5800000000
        0.0135643549
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Equinix, Inc.
        549300EVUN2BTLJ3GT74
        EQUINIX INC REIT USD.001
        29444U700
        
          
          
          
        
        9.0000000000
        NS
        USD
        6630.4800000000
        0.0258920721
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Equity Residential Properties Trust
        5493008RACSH5EP3PI59
        EQUITY RESIDENTIAL REIT USD.01
        29476L107
        
          
          
          
        
        1405.0000000000
        NS
        USD
        108817.2500000000
        0.4249321448
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Erie Indemnity Co
        549300WA5KP94KRUFZ80
        ERIE INDEMNITY COMPANY CL A COMMON STOCK
        29530P102
        
          
          
          
        
        125.0000000000
        NS
        USD
        25141.2500000000
        0.0981767623
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Evergy Inc
        549300PGTHDQY6PSUI61
        EVERGY INC COMMON STOCK
        30034W106
        
          
          
          
        
        509.0000000000
        NS
        USD
        31552.9100000000
        0.1232143408
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Eversource Energy
        SJ7XXD41SQU3ZNWUJ746
        EVERSOURCE ENERGY COMMON STOCK USD5.0
        30040W108
        
          
          
          
        
        908.0000000000
        NS
        USD
        73720.5200000000
        0.2878791615
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Extra Space Storage Inc.
        529900SDJHKRQWED6A16
        EXTRA SPACE STORAGE INC REIT USD.01
        30225T102
        
          
          
          
        
        721.0000000000
        NS
        USD
        108013.0100000000
        0.4217915818
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Exxon Mobil Corporation
        J3WHBG0MTS7O8ZVMDC91
        EXXON MOBIL CORP COMMON STOCK
        30231G102
        
          
          
          
        
        150.0000000000
        NS
        USD
        8755.5000000000
        0.0341902905
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fidelity National Information Services Inc
        6WQI0GK1PRFVBA061U48
        FIDELITY NATIONAL INFO SERV COMMON STOCK USD.01
        31620M106
        
          
          
          
        
        1588.0000000000
        NS
        USD
        236580.2400000000
        0.9238475408
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        FiServ Inc.
        GI7UBEJLXYLGR2C7GV83
        FISERV INC COMMON STOCK USD.01
        337738108
        
          
          
          
        
        1643.0000000000
        NS
        USD
        189273.6000000000
        0.7391147709
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fleetcor Technolo
        549300DG6RR0NQSFLN74
        FLEETCOR TECHNOLOGIES INC COMMON STOCK USD.001
        339041105
        
          
          
          
        
        193.0000000000
        NS
        USD
        52966.9200000000
        0.2068362040
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fox Corporation
        549300DDU6FDRBIELS05
        FOX CORP   CLASS A COMMON STOCK USD.01
        35137L105
        
          
          
          
        
        220.0000000000
        NS
        USD
        8217.0000000000
        0.0320874442
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fox Corporation
        549300DDU6FDRBIELS05
        FOX CORP   CLASS B COMMON STOCK USD.01
        35137L204
        
          
          
          
        
        344.0000000000
        NS
        USD
        12480.3200000000
        0.0487357395
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Gallagher Aj &Co
        54930049QLLMPART6V29
        ARTHUR J GALLAGHER + CO COMMON STOCK USD1.0
        363576109
        
          
          
          
        
        1090.0000000000
        NS
        USD
        159804.9000000000
        0.6240392852
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        General Mills, Inc.
        2TGYMUGI08PO8X8L6150
        GENERAL MILLS INC COMMON STOCK USD.1
        370334104
        
          
          
          
        
        1027.0000000000
        NS
        USD
        64557.2200000000
        0.2520964090
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Gilead Sciences, Inc.
        549300WTZWR07K8MNV44
        GILEAD SCIENCES INC COMMON STOCK USD.001
        375558103
        
          
          
          
        
        5362.0000000000
        NS
        USD
        354481.8200000000
        1.3842540597
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Henry Jack & Assoc
        529900X1QS8C54W0JB21
        JACK HENRY + ASSOCIATES INC COMMON STOCK USD.01
        426281101
        
          
          
          
        
        1222.0000000000
        NS
        USD
        188371.3000000000
        0.7355912830
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Hershey Co (The)
        21X2CX66SU2BR6QTAD08
        HERSHEY CO/THE COMMON STOCK USD1.0
        427866108
        
          
          
          
        
        1644.0000000000
        NS
        USD
        284494.2000000000
        1.1109518996
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        The Home Depot, Inc.
        QEKMOTMBBKA8I816DO57
        HOME DEPOT INC COMMON STOCK USD.05
        437076102
        
          
          
          
        
        705.0000000000
        NS
        USD
        224831.5500000000
        0.8779688218
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Honeywell International Inc.
        ISRPG12PN4EIEOEMW547
        HONEYWELL INTERNATIONAL INC COMMON STOCK USD1.0
        438516106
        
          
          
          
        
        385.0000000000
        NS
        USD
        88900.3500000000
        0.3471565069
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Hormel Foods Corp
        MSD54751OJP1FS2ND863
        HORMEL FOODS CORP COMMON STOCK USD.01465
        440452100
        
          
          
          
        
        3560.0000000000
        NS
        USD
        172802.4000000000
        0.6747946163
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Humana Inc.
        529900YLDW34GJAO4J06
        HUMANA INC COMMON STOCK USD.166
        444859102
        
          
          
          
        
        218.0000000000
        NS
        USD
        95418.6000000000
        0.3726103201
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Huntington Ingalls Industries, Inc.
        5TZLZ6WJTBVJ0QWBG121
        HUNTINGTON INGALLS INDUSTRIE COMMON STOCK USD.01
        446413106
        
          
          
          
        
        8.0000000000
        NS
        USD
        1729.6800000000
        0.0067544129
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Idexx Laboratories
        OGMTXK0LUU1HKV2P0J84
        IDEXX LABORATORIES INC COMMON STOCK USD.1
        45168D104
        
          
          
          
        
        22.0000000000
        NS
        USD
        12278.4200000000
        0.0479473185
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Incyte Corporation.
        549300Z4WN6JVZ3T4680
        INCYTE CORP COMMON STOCK USD.001
        45337C102
        
          
          
          
        
        1284.0000000000
        NS
        USD
        107573.5200000000
        0.4200753702
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Intel Corporation
        KNX4USFCNGPY45LOCE31
        INTEL CORP COMMON STOCK USD.001
        458140100
        
          
          
          
        
        314.0000000000
        NS
        USD
        17935.6800000000
        0.0700389596
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Intercontinental Exchange Inc
        5493000F4ZO33MV32P92
        INTERCONTINENTAL EXCHANGE IN COMMON STOCK USD.01
        45866F104
        
          
          
          
        
        1171.0000000000
        NS
        USD
        132182.4800000000
        0.5161735362
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        International Business Machines Corporation
        VGRQXHF3J8VDLUA7XE92
        INTL BUSINESS MACHINES CORP COMMON STOCK USD.2
        459200101
        
          
          
          
        
        680.0000000000
        NS
        USD
        97743.2000000000
        0.3816878998
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        The Interpublic Group of Companies, Inc.
        5493008IUOJ5VWTRC333
        INTERPUBLIC GROUP OF COS INC COMMON STOCK USD.1
        460690100
        
          
          
          
        
        184.0000000000
        NS
        USD
        6198.9600000000
        0.0242069834
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Intuit Inc
        VI90HBPH7XSFMB9E4M29
        INTUIT INC COMMON STOCK USD.01
        461202103
        
          
          
          
        
        163.0000000000
        NS
        USD
        71571.6700000000
        0.2794878867
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Ionis Pharmaceuticals, Inc.
        549300SI4ZGLG0BLUZ92
        IONIS PHARMACEUTICALS INC COMMON STOCK USD.001
        462222100
        
          
          
          
        
        519.0000000000
        NS
        USD
        19332.7500000000
        0.0754945280
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Johnson & Johnson
        549300G0CFPGEF6X2043
        JOHNSON + JOHNSON COMMON STOCK USD1.0
        478160104
        
          
          
          
        
        2466.0000000000
        NS
        USD
        417370.5000000000
        1.6298348080
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Juniper Networks
        AUHIXNGG7U2U7JEHM527
        JUNIPER NETWORKS INC COMMON STOCK USD.00001
        48203R104
        
          
          
          
        
        1400.0000000000
        NS
        USD
        36862.0000000000
        0.1439463754
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Kellogg Company
        LONOZNOJYIBXOHXWDB86
        KELLOGG CO COMMON STOCK USD.25
        487836108
        
          
          
          
        
        1546.0000000000
        NS
        USD
        101247.5400000000
        0.3953723728
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Keysight Technologies, Inc.
        549300GLKVIO8YRCYN02
        KEYSIGHT TECHNOLOGIES IN COMMON STOCK
        49338L103
        
          
          
          
        
        1422.0000000000
        NS
        USD
        202464.3600000000
        0.7906247837
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Kimberly-Clark Corporation
        MP3J6QPYPGN75NVW2S34
        KIMBERLY CLARK CORP COMMON STOCK USD1.25
        494368103
        
          
          
          
        
        345.0000000000
        NS
        USD
        45067.3500000000
        0.1759883263
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Knight Swift Transn Holdings Inc
        N/A
        KNIGHT SWIFT TRANSPORTATION COMMON STOCK USD.001
        499049104
        
          
          
          
        
        96.0000000000
        NS
        USD
        4582.0800000000
        0.0178930554
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        The Kroger Co.
        6CPEOKI6OYJ13Q6O7870
        KROGER CO COMMON STOCK USD1.0
        501044101
        
          
          
          
        
        7635.0000000000
        NS
        USD
        282342.3000000000
        1.1025487146
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        L3 Harris Technologies Inc
        549300UTE50ZMDBG8A20
        L3HARRIS TECHNOLOGIES INC COMMON STOCK USD1.0
        502431109
        
          
          
          
        
        529.0000000000
        NS
        USD
        115353.7400000000
        0.4504571854
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        The Estee Lauder Companies Inc.
        549300VFZ8XJ9NUPU221
        ESTEE LAUDER COMPANIES CL A COMMON STOCK USD.01
        518439104
        
          
          
          
        
        12.0000000000
        NS
        USD
        3678.2400000000
        0.0143635537
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Leidos Holdings Inc
        549300IUTGTP6EJP8124
        LEIDOS HOLDINGS INC COMMON STOCK USD.0001
        525327102
        
          
          
          
        
        5.0000000000
        NS
        USD
        513.7500000000
        0.0020061974
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Eli Lilly and Company
        FRDRIPF3EKNDJ2CQJL29
        ELI LILLY + CO COMMON STOCK
        532457108
        
          
          
          
        
        1831.0000000000
        NS
        USD
        365723.9400000000
        1.4281546193
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Lockheed Martin Corporation
        DPRBOZP0K5RM2YE8UU08
        LOCKHEED MARTIN CORP COMMON STOCK USD1.0
        539830109
        
          
          
          
        
        449.0000000000
        NS
        USD
        171607.8000000000
        0.6701296947
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Markel Corporation
        549300SCNO12JLWIK605
        MARKEL CORP COMMON STOCK
        570535104
        
          
          
          
        
        87.0000000000
        NS
        USD
        106617.6300000000
        0.4163426129
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Marketaxess Hldgs
        5493002U1CA1XJOVID83
        MARKETAXESS HOLDINGS INC COMMON STOCK USD.003
        57060D108
        
          
          
          
        
        21.0000000000
        NS
        USD
        9797.3400000000
        0.0382586833
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Marsh & McLennan Companies, Inc.
        549300XMP3KDCKJXIU47
        MARSH + MCLENNAN COS COMMON STOCK USD1.0
        571748102
        
          
          
          
        
        1513.0000000000
        NS
        USD
        209323.5500000000
        0.8174099701
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Masimo Corporation
        549300Q4A8JK0PIYCU29
        MASIMO CORP COMMON STOCK USD.001
        574795100
        
          
          
          
        
        274.0000000000
        NS
        USD
        59074.4000000000
        0.2306859574
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MasterCard Incorporated
        AR5L2ODV9HN37376R084
        MASTERCARD INC   A COMMON STOCK USD.0001
        57636Q104
        
          
          
          
        
        612.0000000000
        NS
        USD
        220674.9600000000
        0.8617373079
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        McCormick & Company, Incorporated
        549300JQQA6MQ4OJP259
        MCCORMICK + CO NON VTG SHRS COMMON STOCK
        579780206
        
          
          
          
        
        1118.0000000000
        NS
        USD
        99569.0800000000
        0.3888179744
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        McDonald's Corporation
        UE2136O97NLB5BYP9H04
        MCDONALD S CORP COMMON STOCK USD.01
        580135101
        
          
          
          
        
        1556.0000000000
        NS
        USD
        363932.8400000000
        1.4211603609
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Merck & Co., Inc
        4YV9Y5M8S0BRK1RP0397
        MERCK + CO. INC. COMMON STOCK USD.5
        58933Y105
        
          
          
          
        
        4534.0000000000
        NS
        USD
        344085.2600000000
        1.3436554180
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Mettler-Toledo International Inc
        5493000BD5GJNUDIUG10
        METTLER TOLEDO INTERNATIONAL COMMON STOCK USD.01
        592688105
        
          
          
          
        
        2.0000000000
        NS
        USD
        2601.9000000000
        0.0101604382
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Microsoft Corporation
        INR2EJN1ERAN0W5ZP974
        MICROSOFT CORP COMMON STOCK USD.00000625
        594918104
        
          
          
          
        
        1492.0000000000
        NS
        USD
        372522.5600000000
        1.4547032793
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Mid-America Apartment Communities, Inc.
        549300FQZKFR5YNSHZ21
        MID AMERICA APARTMENT COMM REIT USD.01
        59522J103
        
          
          
          
        
        9.0000000000
        NS
        USD
        1446.3000000000
        0.0056478119
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Mondelez International, Inc.
        549300DV9GIB88LZ5P30
        MONDELEZ INTERNATIONAL INC A COMMON STOCK
        609207105
        
          
          
          
        
        1619.0000000000
        NS
        USD
        102855.0700000000
        0.4016497890
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Monster Beverage Corp
        52990090AP0E7HCB6F33
        MONSTER BEVERAGE CORP COMMON STOCK
        61174X109
        
          
          
          
        
        124.0000000000
        NS
        USD
        11689.4800000000
        0.0456475036
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        MORGAN STANLEY COMMON STOCK USD.01
        617446448
        
          
          
          
        
        27.0000000000
        NS
        USD
        2455.6500000000
        0.0095893309
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Motorola Solutions Inc
        6S552MUG6KGJVEBSEC55
        MOTOROLA SOLUTIONS INC COMMON STOCK USD.01
        620076307
        
          
          
          
        
        1256.0000000000
        NS
        USD
        257869.3600000000
        1.0069817077
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Nasdaq Inc
        549300L8X1Q78ERXFD06
        NASDAQ INC COMMON STOCK USD.01
        631103108
        
          
          
          
        
        115.0000000000
        NS
        USD
        19257.9000000000
        0.0752022382
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Netflix, Inc.
        549300Y7VHGU0I7CE873
        NETFLIX INC COMMON STOCK USD.001
        64110L106
        
          
          
          
        
        56.0000000000
        NS
        USD
        28157.3600000000
        0.1099546936
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Neurocrine Biosciences Inc
        549300FECER0XBN49756
        NEUROCRINE BIOSCIENCES INC COMMON STOCK USD.001
        64125C109
        
          
          
          
        
        400.0000000000
        NS
        USD
        38488.0000000000
        0.1502959172
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Newmont Corporation
        549300VSP3RIX7FGDZ51
        NEWMONT CORP COMMON STOCK USD1.6
        651639106
        
          
          
          
        
        5122.0000000000
        NS
        USD
        376364.5600000000
        1.4697063170
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Nextera Energy Inc
        N/A
        NEXTERA ENERGY INC COMMON STOCK USD.01
        65339F101
        
          
          
          
        
        4629.0000000000
        NS
        USD
        338935.3800000000
        1.3235450996
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Nike, Inc.
        787RXPR0UX0O0XUXPZ81
        NIKE INC  CL B COMMON STOCK
        654106103
        
          
          
          
        
        924.0000000000
        NS
        USD
        126089.0400000000
        0.4923786092
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Northrop Grumman Corporation
        RIMU48P07456QXSO0R61
        NORTHROP GRUMMAN CORP COMMON STOCK USD1.0
        666807102
        
          
          
          
        
        67.0000000000
        NS
        USD
        24513.2900000000
        0.0957245740
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Nortonlifelock Inc
        YF6ZV0M6AU4FY94MK914
        NORTONLIFELOCK INC COMMON STOCK USD.01
        668771108
        
          
          
          
        
        2112.0000000000
        NS
        USD
        58417.9200000000
        0.2281223983
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        OReilly Automotive, Inc.
        549300K2RLMQL149Q332
        O REILLY AUTOMOTIVE INC COMMON STOCK USD.01
        67103H107
        
          
          
          
        
        159.0000000000
        NS
        USD
        85084.0800000000
        0.3322539451
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Omnicom Group Inc
        HKUPACFHSSASQK8HLS17
        OMNICOM GROUP COMMON STOCK USD.15
        681919106
        
          
          
          
        
        795.0000000000
        NS
        USD
        65380.8000000000
        0.2553124948
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Oracle Corporation
        1Z4GXXU7ZHVWFCD8TV52
        ORACLE CORP COMMON STOCK USD.01
        68389X105
        
          
          
          
        
        3571.0000000000
        NS
        USD
        281180.5400000000
        1.0980120335
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Otis Worldwide Corporation
        549300ZLBKR8VSU25153
        OTIS WORLDWIDE CORP COMMON STOCK USD.01
        68902V107
        
          
          
          
        
        243.0000000000
        NS
        USD
        19034.1900000000
        0.0743286490
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Paccar Inc
        KDTEY8BWE486IKZ3CC07
        PACCAR INC COMMON STOCK USD1.0
        693718108
        
          
          
          
        
        62.0000000000
        NS
        USD
        5676.7200000000
        0.0221676325
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Palo Alto Networks Inc
        549300QXR2YVZV231H43
        PALO ALTO NETWORKS INC COMMON STOCK USD.0001
        697435105
        
          
          
          
        
        136.0000000000
        NS
        USD
        49402.0000000000
        0.1929151657
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Paychex Inc
        529900K900DW6SUBM174
        PAYCHEX INC COMMON STOCK USD.01
        704326107
        
          
          
          
        
        2983.0000000000
        NS
        USD
        301700.6200000000
        1.1781430936
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Pepsico Inc
        FJSUNZKFNQ5YPJ5OT455
        PEPSICO INC COMMON STOCK USD.017
        713448108
        
          
          
          
        
        2603.0000000000
        NS
        USD
        385087.8200000000
        1.5037707101
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Pfizer Inc.
        765LHXWGK1KXCLTFYQ30
        PFIZER INC COMMON STOCK USD.05
        717081103
        
          
          
          
        
        5398.0000000000
        NS
        USD
        209064.5400000000
        0.8163985342
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Philip Morris International Inc.
        HL3H1H2BGXWVG3BSWR90
        PHILIP MORRIS INTERNATIONAL COMMON STOCK
        718172109
        
          
          
          
        
        457.0000000000
        NS
        USD
        44068.5100000000
        0.1720878489
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Price T Rowe Group
        549300SIV6FPS9Y7IH33
        T ROWE PRICE GROUP INC COMMON STOCK USD.2
        74144T108
        
          
          
          
        
        74.0000000000
        NS
        USD
        14159.9000000000
        0.0552945115
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        The Procter & Gamble Company
        2572IBTT8CCZW6AU4141
        PROCTER + GAMBLE CO/THE COMMON STOCK
        742718109
        
          
          
          
        
        2127.0000000000
        NS
        USD
        286825.9500000000
        1.1200574002
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        The Progressive Corporation
        529900TACNVLY9DCR586
        PROGRESSIVE CORP COMMON STOCK USD1.0
        743315103
        
          
          
          
        
        1219.0000000000
        NS
        USD
        120778.5200000000
        0.4716409903
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Public Service Enterprise Group Incorporated
        PUSS41EMO3E6XXNV3U28
        PUBLIC SERVICE ENTERPRISE GP COMMON STOCK
        744573106
        
          
          
          
        
        65.0000000000
        NS
        USD
        4037.8000000000
        0.0157676381
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Public Storage
        549300LMZF40TKJ6DM64
        PUBLIC STORAGE REIT USD.1
        74460D109
        
          
          
          
        
        1046.0000000000
        NS
        USD
        295474.0800000000
        1.1538284101
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        QUALCOMM Incorporated
        H1J8DDZKZP6H7RWC0H53
        QUALCOMM INC COMMON STOCK USD.0001
        747525103
        
          
          
          
        
        25.0000000000
        NS
        USD
        3363.5000000000
        0.0131344917
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Regeneron Pharmaceuticals, Inc.
        549300RCBFWIRX3HYQ56
        REGENERON PHARMACEUTICALS COMMON STOCK USD.001
        75886F107
        
          
          
          
        
        632.0000000000
        NS
        USD
        317535.7600000000
        1.2399794294
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Republic Services, Inc.
        NKNQHM6BLECKVOQP7O46
        REPUBLIC SERVICES INC COMMON STOCK USD.01
        760759100
        
          
          
          
        
        3398.0000000000
        NS
        USD
        370993.6400000000
        1.4487328357
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ResMed Inc.
        529900T3QE5253CCXF22
        RESMED INC COMMON STOCK USD.004
        761152107
        
          
          
          
        
        6.0000000000
        NS
        USD
        1235.1000000000
        0.0048230744
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Rollins Inc
        549300F2A0BXT4SGWD84
        ROLLINS INC COMMON STOCK USD1.0
        775711104
        
          
          
          
        
        926.0000000000
        NS
        USD
        31567.3400000000
        0.1232706900
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        SBA Communications Corporation
        5299001HX8ZN8Y8QIT49
        SBA COMMUNICATIONS CORP REIT USD.01
        78410G104
        
          
          
          
        
        86.0000000000
        NS
        USD
        25638.3200000000
        0.1001178242
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Ss&C Tech Hldgs
        529900POY8H7NPPNKK71
        SS+C TECHNOLOGIES HOLDINGS COMMON STOCK USD.01
        78467J100
        
          
          
          
        
        38.0000000000
        NS
        USD
        2807.0600000000
        0.0109615895
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Henry Schein, Inc.
        VGO3WGL8H45T73F4RR92
        HENRY SCHEIN INC COMMON STOCK USD.01
        806407102
        
          
          
          
        
        73.0000000000
        NS
        USD
        5550.9200000000
        0.0216763826
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Seagen Inc
        N/A
        SEAGEN INC COMMON STOCK USD.001
        81181C104
        
          
          
          
        
        268.0000000000
        NS
        USD
        41633.8000000000
        0.1625802888
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        The Sherwin-Williams Company
        Z15BMIOX8DDH0X2OBP21
        SHERWIN WILLIAMS CO/THE COMMON STOCK USD1.0
        824348106
        
          
          
          
        
        36.0000000000
        NS
        USD
        10207.0800000000
        0.0398587209
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Sirius XM Holdings Inc
        54930055RWDMVXAGZK98
        SIRIUS XM HOLDINGS INC COMMON STOCK USD.001
        82968B103
        
          
          
          
        
        4892.0000000000
        NS
        USD
        30575.0000000000
        0.1193955952
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        J.M. Smucker Company
        5493000WDH6A0LHDJD55
        JM SMUCKER CO/THE COMMON STOCK
        832696405
        
          
          
          
        
        608.0000000000
        NS
        USD
        81040.3200000000
        0.3164630332
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Southern Company
        549300FC3G3YU2FBZD92
        SOUTHERN CO/THE COMMON STOCK USD5.0
        842587107
        
          
          
          
        
        4322.0000000000
        NS
        USD
        276262.2400000000
        1.0788060366
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Southwest Airlines Co.
        UDTZ87G0STFETI6HGH41
        SOUTHWEST AIRLINES CO COMMON STOCK USD1.0
        844741108
        
          
          
          
        
        24.0000000000
        NS
        USD
        1475.0400000000
        0.0057600418
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Starbucks Corporation
        OQSJ1DU9TAOC51A47K68
        STARBUCKS CORP COMMON STOCK USD.001
        855244109
        
          
          
          
        
        1609.0000000000
        NS
        USD
        183232.9200000000
        0.7155258721
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Stryker Corporation
        5493002F0SC4JTBU5137
        STRYKER CORP COMMON STOCK USD.1
        863667101
        
          
          
          
        
        671.0000000000
        NS
        USD
        171286.1700000000
        0.6688737273
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        T-Mobile US, Inc.
        549300QHIJYOHPACPG31
        T MOBILE US INC COMMON STOCK USD.0001
        872590104
        
          
          
          
        
        2594.0000000000
        NS
        USD
        366921.3000000000
        1.4328303187
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Take-Two Interactive Software Inc.
        BOMSTHHJK882EWYX3334
        TAKE TWO INTERACTIVE SOFTWRE COMMON STOCK USD.01
        874054109
        
          
          
          
        
        1110.0000000000
        NS
        USD
        205971.6000000000
        0.8043205812
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Target Corporation
        8WDDFXB5T1Z6J0XC1L66
        TARGET CORP COMMON STOCK USD.0833
        87612E106
        
          
          
          
        
        351.0000000000
        NS
        USD
        79648.9200000000
        0.3110296061
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Teladoc Health Inc
        549300I2PVFBC9MFAC61
        TELADOC HEALTH INC COMMON STOCK USD.001
        87918A105
        
          
          
          
        
        71.0000000000
        NS
        USD
        10691.1800000000
        0.0417491349
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Texas Instruments Incorporated
        WDJNR2L6D8RWOEB8T652
        TEXAS INSTRUMENTS INC COMMON STOCK USD1.0
        882508104
        
          
          
          
        
        569.0000000000
        NS
        USD
        108007.5800000000
        0.4217703777
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Thermo Fisher Scientific Inc
        HCHV7422L5HDJZCRFL38
        THERMO FISHER SCIENTIFIC INC COMMON STOCK USD1.0
        883556102
        
          
          
          
        
        1.0000000000
        NS
        USD
        469.5000000000
        0.0018334009
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Tradeweb Markets Inc
        N/A
        TRADEWEB MARKETS INC CLASS A COMMON STOCK USD.01
        892672106
        
          
          
          
        
        3.0000000000
        NS
        USD
        251.3400000000
        0.0009814845
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Travelers Companies, Inc.
        549300Y650407RU8B149
        TRAVELERS COS INC/THE COMMON STOCK NPV
        89417E109
        
          
          
          
        
        984.0000000000
        NS
        USD
        157144.8000000000
        0.6136515756
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Tyler Technologies
        25490040SMU4Z8LBCW70
        TYLER TECHNOLOGIES INC COMMON STOCK USD.01
        902252105
        
          
          
          
        
        568.0000000000
        NS
        USD
        228994.8800000000
        0.8942266554
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Tyson Foods, Inc.
        WD6L6041MNRW1JE49D58
        TYSON FOODS INC CL A COMMON STOCK USD.1
        902494103
        
          
          
          
        
        72.0000000000
        NS
        USD
        5724.0000000000
        0.0223522612
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        United Health Group Incorporated
        549300GHBMY8T5GXDE41
        UNITEDHEALTH GROUP INC COMMON STOCK USD.01
        91324P102
        
          
          
          
        
        501.0000000000
        NS
        USD
        206371.9200000000
        0.8058838337
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Veeva Systems Inc
        549300YZEXPDB92M2F02
        VEEVA SYSTEMS INC CLASS A COMMON STOCK USD.00001
        922475108
        
          
          
          
        
        68.0000000000
        NS
        USD
        19811.1200000000
        0.0773625663
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Verisign, Inc.
        LMPL4N8ZOJRMF0KOF759
        VERISIGN INC COMMON STOCK USD.001
        92343E102
        
          
          
          
        
        397.0000000000
        NS
        USD
        87308.2400000000
        0.3409393059
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Verizon Communications Inc.
        2S72QS2UO2OESLG6Y829
        VERIZON COMMUNICATIONS INC COMMON STOCK USD.1
        92343V104
        
          
          
          
        
        5992.0000000000
        NS
        USD
        338488.0800000000
        1.3217983898
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Verisk Analytics, Inc.
        549300I1YSWNIRKBWP67
        VERISK ANALYTICS INC COMMON STOCK USD.001
        92345Y106
        
          
          
          
        
        293.0000000000
        NS
        USD
        50639.1900000000
        0.1977464016
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Vertex Pharmaceuticals Incorporated
        54930015RAQRRZ5ZGJ91
        VERTEX PHARMACEUTICALS INC COMMON STOCK USD.01
        92532F100
        
          
          
          
        
        1477.0000000000
        NS
        USD
        308146.5100000000
        1.2033143405
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Viatris Inc
        254900ZZTSW7NL773X71
        VIATRIS INC COMMON STOCK
        92556V106
        
          
          
          
        
        669.0000000000
        NS
        USD
        10195.5600000000
        0.0398137352
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Visa Inc
        549300JZ4OKEHW3DPJ59
        VISA INC CLASS A SHARES COMMON STOCK USD.0001
        92826C839
        
          
          
          
        
        1522.0000000000
        NS
        USD
        345950.6000000000
        1.3509395842
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Wec Energy Group Incorporation
        549300IGLYTZUK3PVP70
        WEC ENERGY GROUP INC COMMON STOCK USD.01
        92939U106
        
          
          
          
        
        1889.0000000000
        NS
        USD
        177395.9900000000
        0.6927326184
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        WALMART INC
        Y87794H0US1R65VBXU25
        WALMART INC COMMON STOCK USD.1
        931142103
        
          
          
          
        
        1812.0000000000
        NS
        USD
        257358.3600000000
        1.0049862490
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Waste Connections Inc (CA) Inc
        549300HDLRTPBQU69P29
        WASTE CONNECTIONS INC COMMON STOCK
        94106B101
        
          
          
          
        
        2804.0000000000
        NS
        USD
        340517.7600000000
        1.3297243049
        Long
        EC
        CORP
        CA
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Waste Management, Inc.
        549300YX8JIID70NFS41
        WASTE MANAGEMENT INC COMMON STOCK USD.01
        94106L109
        
          
          
          
        
        3052.0000000000
        NS
        USD
        429355.3600000000
        1.6766357726
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        West Pharmaceutical Services Incorporated
        5493007NKRGM1RJQ1P16
        WEST PHARMACEUTICAL SERVICES COMMON STOCK USD.25
        955306105
        
          
          
          
        
        40.0000000000
        NS
        USD
        13900.4000000000
        0.0542811621
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        The Western Union Company
        28ID94QU1140NC23S047
        WESTERN UNION CO COMMON STOCK USD.01
        959802109
        
          
          
          
        
        6522.0000000000
        NS
        USD
        159593.3400000000
        0.6232131419
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Xcel Energy Inc
        LGJNMI9GH8XIDG5RCM61
        XCEL ENERGY INC COMMON STOCK USD2.5
        98389B100
        
          
          
          
        
        3775.0000000000
        NS
        USD
        267572.0000000000
        1.0448705868
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Zimmer Biomet Holdings Inc
        2P2YLDVPES3BXQ1FRB91
        ZIMMER BIOMET HOLDINGS INC COMMON STOCK USD.01
        98956P102
        
          
          
          
        
        36.0000000000
        NS
        USD
        6059.8800000000
        0.0236638750
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Zoetis Inc.
        549300HD9Q1LOC9KLJ48
        ZOETIS INC COMMON STOCK USD.01
        98978V103
        
          
          
          
        
        542.0000000000
        NS
        USD
        95760.5600000000
        0.3739456764
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Zoom Video Communications Inc
        549300T9GCHU0ODOM055
        ZOOM VIDEO COMMUNICATIONS A COMMON STOCK USD.001
        98980L101
        
          
          
          
        
        167.0000000000
        NS
        USD
        55365.5100000000
        0.2162027152
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Amcor Plc
        549300GSODGFCDQ3DI89
        AMCOR PLC COMMON STOCK USD.01
        G0250X107
        
          
          
          
        
        3698.0000000000
        NS
        USD
        43636.4000000000
        0.1704004562
        Long
        EC
        CORP
        JE
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Aon plc
        VVT2B79I2Z4U3R6BY589
        AON PLC COMMON STOCK
        G0403H108
        
          
          
          
        
        877.0000000000
        NS
        USD
        222205.4900000000
        0.8677140385
        Long
        EC
        CORP
        IE
        N
        
        1
        
          N
          N
          N
        
      
      
        Accenture Plc
        N/A
        ACCENTURE PLC CL A COMMON STOCK USD.0000225
        G1151C101
        
          
          
          
        
        1566.0000000000
        NS
        USD
        441862.5600000000
        1.7254764786
        Long
        EC
        CORP
        IE
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Bunge Limited
        5493007M0RIN8HY3MM77
        BUNGE LTD COMMON STOCK USD.01
        G16962105
        
          
          
          
        
        223.0000000000
        NS
        USD
        19360.8600000000
        0.0756042977
        Long
        EC
        CORP
        BM
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Everest Re Group
        549300N24XF2VV0B3570
        EVEREST RE GROUP LTD COMMON STOCK USD.01
        G3223R108
        
          
          
          
        
        532.0000000000
        NS
        USD
        138298.7200000000
        0.5400574975
        Long
        EC
        CORP
        BM
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Liberty Global Plc
        549300BSGXG3QLIQYT84
        LIBERTY GLOBAL PLC A COMMON STOCK USD.01
        G5480U104
        
          
          
          
        
        537.0000000000
        NS
        USD
        14665.4700000000
        0.0572687660
        Long
        EC
        CORP
        GB
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Linde Plc
        8945002PAZHZLBGKGF02
        LINDE PLC COMMON STOCK EUR.001
        G5494J103
        
          
          
          
        
        11.0000000000
        NS
        USD
        3306.6000000000
        0.0129122968
        Long
        EC
        CORP
        IE
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Medtronic Plc
        549300GX3ZBSQWUXY261
        MEDTRONIC PLC COMMON STOCK USD.1
        G5960L103
        
          
          
          
        
        2512.0000000000
        NS
        USD
        317994.0800000000
        1.2417691723
        Long
        EC
        CORP
        IE
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Renaissancere Holdings Ltd.
        EK6GB9U3U58PDI411C94
        RENAISSANCERE HOLDINGS LTD COMMON STOCK USD1.0
        G7496G103
        
          
          
          
        
        662.0000000000
        NS
        USD
        102027.4400000000
        0.3984178879
        Long
        EC
        CORP
        BM
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Pentair Plc
        549300EVR9D56WPSRP15
        PENTAIR PLC COMMON STOCK USD.01
        G7S00T104
        
          
          
          
        
        21.0000000000
        NS
        USD
        1448.3700000000
        0.0056558953
        Long
        EC
        CORP
        IE
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Willis Towers Watson Public Limited Company
        549300WHC56FF48KL350
        WILLIS TOWERS WATSON PLC COMMON STOCK USD.000304635
        G96629103
        
          
          
          
        
        258.0000000000
        NS
        USD
        67430.8800000000
        0.2633180720
        Long
        EC
        CORP
        IE
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Chubb Limited
        E0JAN6VLUDI1HITHT809
        CHUBB LTD COMMON STOCK
        H1467J104
        
          
          
          
        
        500.0000000000
        NS
        USD
        84995.0000000000
        0.3319060870
        Long
        EC
        CORP
        CH
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Garmin Ltd
        2549001E0HIPIJQ0W046
        GARMIN LTD COMMON STOCK CHF.1
        H2906T109
        
          
          
          
        
        415.0000000000
        NS
        USD
        59029.6000000000
        0.2305110131
        Long
        EC
        CORP
        CH
        
        N
        
        1
        
          N
          N
          N
        
      
      
        TE Connectivity Ltd
        894500ZRIX9K13RHXR17
        TE CONNECTIVITY LTD COMMON STOCK CHF.57
        H84989104
        
          
          
          
        
        104.0000000000
        NS
        USD
        14110.7200000000
        0.0551024632
        Long
        EC
        CORP
        CH
        N
        
        1
        
          N
          N
          N
        
      
      
        Agnc Investment Corp
        5TRACI5HRMELWV32OF39
        AGNC INVESTMENT CORP REIT USD.01
        00123Q104
        
          
          
          
        
        300.0000000000
        NS
        USD
        5562.0000000000
        0.0217196501
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT+T INC COMMON STOCK USD1.0
        00206R102
        
          
          
          
        
        6459.0000000000
        NS
        USD
        190088.3700000000
        0.7422964537
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Abbott Laboratories
        HQD377W2YR662HK5JX27
        ABBOTT LABORATORIES COMMON STOCK
        002824100
        
          
          
          
        
        620.0000000000
        NS
        USD
        72323.0000000000
        0.2824218358
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        AbbVie Inc.
        FR5LCKFTG8054YNNRU85
        ABBVIE INC COMMON STOCK USD.01
        00287Y109
        
          
          
          
        
        50.0000000000
        NS
        USD
        5660.0000000000
        0.0221023408
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ACTIVISION BLIZZARD INC
        549300TPQQDBP9GNOF40
        ACTIVISION BLIZZARD INC COMMON STOCK USD.000001
        00507V109
        
          
          
          
        
        2371.0000000000
        NS
        USD
        230579.7500000000
        0.9004155841
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Adobe Inc
        FU4LY2G4933NH2E1CP29
        ADOBE INC COMMON STOCK USD.0001
        00724F101
        
          
          
          
        
        666.0000000000
        NS
        USD
        336050.2800000000
        1.3122787633
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Advance Auto Parts
        529900UCNQ5H9FSL0Y70
        ADVANCE AUTO PARTS INC COMMON STOCK USD.0001
        00751Y106
        
          
          
          
        
        8.0000000000
        NS
        USD
        1517.8400000000
        0.0059271761
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Air Products & Chemicals, Inc.
        7QEON6Y1RL5XR3R1W237
        AIR PRODUCTS + CHEMICALS INC COMMON STOCK USD1.0
        009158106
        
          
          
          
        
        229.0000000000
        NS
        USD
        68622.1400000000
        0.2679699508
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Akamai Technologies, Inc.
        OC1LZNN2LF5WTJ5RIL89
        AKAMAI TECHNOLOGIES INC COMMON STOCK USD.01
        00971T101
        
          
          
          
        
        1372.0000000000
        NS
        USD
        156696.1200000000
        0.6118994770
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Alleghany Corp
        549300DCJE6AYX159479
        ALLEGHANY CORP COMMON STOCK USD1.0
        017175100
        
          
          
          
        
        2.0000000000
        NS
        USD
        1433.1400000000
        0.0055964220
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Alliant Energy Corporation
        5493009ML300G373MZ12
        ALLIANT ENERGY CORP COMMON STOCK USD.01
        018802108
        
          
          
          
        
        983.0000000000
        NS
        USD
        56178.4500000000
        0.2193772518
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        The Allstate Corporation
        OBT0W1ED8G0NWVOLOJ77
        ALLSTATE CORP COMMON STOCK USD.01
        020002101
        
          
          
          
        
        1471.0000000000
        NS
        USD
        200953.3100000000
        0.7847241226
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Alphabet Inc.
        5493006MHB84DD0ZWV18
        ALPHABET INC CL C COMMON STOCK USD.001
        02079K107
        
          
          
          
        
        14.0000000000
        NS
        USD
        33761.8400000000
        0.1318402283
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Alphabet Inc.
        5493006MHB84DD0ZWV18
        ALPHABET INC CL A COMMON STOCK USD.001
        02079K305
        
          
          
          
        
        1.0000000000
        NS
        USD
        2356.8500000000
        0.0092035162
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Altria Group, Inc.
        XSGZFLO9YTNO9VCQV219
        ALTRIA GROUP INC COMMON STOCK USD.333
        02209S103
        
          
          
          
        
        188.0000000000
        NS
        USD
        9253.3600000000
        0.0361344374
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Amazon.com, Inc.
        ZXTILKJKG63JELOEG630
        AMAZON.COM INC COMMON STOCK USD.01
        023135106
        
          
          
          
        
        8.0000000000
        NS
        USD
        25784.5600000000
        0.1006888925
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Amerco
        5493003WIDMLDHYC6Y24
        AMERCO COMMON STOCK USD.25
        023586100
        
          
          
          
        
        83.0000000000
        NS
        USD
        47728.3200000000
        0.1863794333
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Ameren Corporation
        XRZQ5S7HYJFPHJ78L959
        AMEREN CORPORATION COMMON STOCK USD.01
        023608102
        
          
          
          
        
        251.0000000000
        NS
        USD
        21134.2000000000
        0.0825292032
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        American Electric Power Co, Inc.
        1B4S6S7G0TW5EE83BO58
        AMERICAN ELECTRIC POWER COMMON STOCK USD6.5
        025537101
        
          
          
          
        
        1416.0000000000
        NS
        USD
        121776.0000000000
        0.4755361569
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        American Tower Corporation
        5493006ORUSIL88JOE18
        AMERICAN TOWER CORP REIT USD.01
        03027X100
        
          
          
          
        
        729.0000000000
        NS
        USD
        186230.3400000000
        0.7272308187
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        American Water Works Company, Inc.
        549300DXHIJQMD5WFW18
        AMERICAN WATER WORKS CO INC COMMON STOCK USD.01
        030420103
        
          
          
          
        
        274.0000000000
        NS
        USD
        42475.4800000000
        0.1658670553
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Amgen Inc.
        62QBXGPJ34PQ72Z12S66
        AMGEN INC COMMON STOCK USD.0001
        031162100
        
          
          
          
        
        413.0000000000
        NS
        USD
        98269.2200000000
        0.3837420117
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Amphenol Corporation
        549300D3L3G0R4U4VT04
        AMPHENOL CORP CL A COMMON STOCK USD.001
        032095101
        
          
          
          
        
        2514.0000000000
        NS
        USD
        169091.6400000000
        0.6603040718
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Anthem Inc
        8MYN82XMYQH89CTMTH67
        ANTHEM INC COMMON STOCK USD.01
        036752103
        
          
          
          
        
        338.0000000000
        NS
        USD
        134598.3600000000
        0.5256075650
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Apple Inc.
        HWUPKR0MPOU8FGXBT394
        APPLE INC COMMON STOCK USD.00001
        037833100
        
          
          
          
        
        314.0000000000
        NS
        USD
        39127.5400000000
        0.1527933255
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Archer-Daniels-Midland Company
        549300LO13MQ9HYSTR83
        ARCHER DANIELS MIDLAND CO COMMON STOCK
        039483102
        
          
          
          
        
        455.0000000000
        NS
        USD
        30271.1500000000
        0.1182090587
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Arista Networks Inc
        635400H1WKBLOQERUU95
        ARISTA NETWORKS INC COMMON STOCK USD.0001
        040413106
        
          
          
          
        
        64.0000000000
        NS
        USD
        21720.3200000000
        0.0848180060
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Arrow Electronics, Inc.
        549300YNNLBXT8N8R512
        ARROW ELECTRONICS INC COMMON STOCK USD1.0
        042735100
        
          
          
          
        
        227.0000000000
        NS
        USD
        27314.9100000000
        0.1066649202
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Automatic Data Processing, Inc.
        HGBOLILQXWER4SAL2I23
        AUTOMATIC DATA PROCESSING COMMON STOCK USD.1
        053015103
        
          
          
          
        
        700.0000000000
        NS
        USD
        137214.0000000000
        0.5358216581
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Autozone, Inc.
        GA3JGKJ41LJKXDN23E90
        AUTOZONE INC COMMON STOCK USD.01
        053332102
        
          
          
          
        
        91.0000000000
        NS
        USD
        128000.6000000000
        0.4998432647
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Ball Corporation
        0BGI85ALH27ZJP15DY16
        BALL CORP COMMON STOCK
        058498106
        
          
          
          
        
        185.0000000000
        NS
        USD
        15199.6000000000
        0.0593545475
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Baxter International, Inc.
        J5OIVXX3P24RJRW5CK77
        BAXTER INTERNATIONAL INC COMMON STOCK USD1.0
        071813109
        
          
          
          
        
        1318.0000000000
        NS
        USD
        108234.1600000000
        0.4226551742
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Becton, Dickinson and Company
        ICE2EP6D98PQUILVRZ91
        BECTON DICKINSON AND CO COMMON STOCK USD1.0
        075887109
        
          
          
          
        
        261.0000000000
        NS
        USD
        63133.2900000000
        0.2465359521
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Berkshire Hathaway Inc.
        5493000C01ZX7D35SD85
        BERKSHIRE HATHAWAY INC CL B COMMON STOCK USD.0033
        084670702
        
          
          
          
        
        577.0000000000
        NS
        USD
        167006.8800000000
        0.6521630690
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Bio-Rad Laboratories, Inc.
        549300ZC1GPV35XYDK53
        BIO RAD LABORATORIES A COMMON STOCK USD.0001
        090572207
        
          
          
          
        
        123.0000000000
        NS
        USD
        74091.5100000000
        0.2893278801
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Biomarin Pharmaceutical Inc.
        NSLL8ITTRR0J5HEMR848
        BIOMARIN PHARMACEUTICAL INC COMMON STOCK USD.001
        09061G101
        
          
          
          
        
        337.0000000000
        NS
        USD
        26050.1000000000
        0.1017258281
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Biogen Inc
        W8J5WZB5IY3K0NDQT671
        BIOGEN INC COMMON STOCK USD.0005
        09062X103
        
          
          
          
        
        99.0000000000
        NS
        USD
        26480.5200000000
        0.1034066213
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Black Knight Inc
        549300TUSNXS3BFFML48
        BLACK KNIGHT INC COMMON STOCK
        09215C105
        
          
          
          
        
        2229.0000000000
        NS
        USD
        163586.3100000000
        0.6388057185
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BlackRock, Inc.
        549300LRIF3NWCU26A80
        BLACKROCK INC COMMON STOCK USD.01
        09247X101
        
          
          
          
        
        8.0000000000
        NS
        USD
        7016.3200000000
        0.0273987801
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Booz Allen Hamilton Hldg Corp
        529900JPV47PIUWMA015
        BOOZ ALLEN HAMILTON HOLDINGS COMMON STOCK USD.01
        099502106
        
          
          
          
        
        940.0000000000
        NS
        USD
        79834.2000000000
        0.3117531259
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Bristol-Myers Squibb Company
        HLYYNH7UQUORYSJQCN42
        BRISTOL MYERS SQUIBB CO COMMON STOCK USD.1
        110122108
        
          
          
          
        
        1155.0000000000
        NS
        USD
        75906.6000000000
        0.2964158196
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Broadridge Financial Solutions Inc.
        549300KZDJZQ2YIHRC28
        BROADRIDGE FINANCIAL SOLUTIO COMMON STOCK USD.01
        11133T103
        
          
          
          
        
        771.0000000000
        NS
        USD
        122959.0800000000
        0.4801560928
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Broadcom Inc
        549300WV6GIDOZJTV909
        BROADCOM INC COMMON STOCK
        11135F101
        
          
          
          
        
        150.0000000000
        NS
        USD
        70849.5000000000
        0.2766678077
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Brown & Brown Inc
        549300PC8KTJ71XKFY89
        BROWN + BROWN INC COMMON STOCK USD.1
        115236101
        
          
          
          
        
        2214.0000000000
        NS
        USD
        116279.2800000000
        0.4540714257
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Brown-Forman Corporation
        549300873K3LXF7ARU34
        BROWN FORMAN CORP CLASS B COMMON STOCK USD.15
        115637209
        
          
          
          
        
        346.0000000000
        NS
        USD
        27804.5600000000
        0.1085770070
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Cboe Global Markets Inc
        529900RLNSGA90UPEH54
        CBOE GLOBAL MARKETS INC COMMON STOCK
        12503M108
        
          
          
          
        
        720.0000000000
        NS
        USD
        80136.0000000000
        0.3129316571
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CDW Corp
        9845001B052ABF0B6755
        CDW CORP/DE COMMON STOCK USD.01
        12514G108
        
          
          
          
        
        44.0000000000
        NS
        USD
        7278.4800000000
        0.0284225168
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CH Robinson Worldw
        529900WNWN5L0OVDHA79
        C.H. ROBINSON WORLDWIDE INC COMMON STOCK USD.1
        12541W209
        
          
          
          
        
        2056.0000000000
        NS
        USD
        199473.1200000000
        0.7789439700
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CME Group Inc.
        LCZ7XYGSLJUHFXXNXD88
        CME GROUP INC COMMON STOCK USD.01
        12572Q105
        
          
          
          
        
        642.0000000000
        NS
        USD
        140443.9200000000
        0.5484345189
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CMS Energy Corporation
        549300IA9XFBAGNIBW29
        CMS ENERGY CORP COMMON STOCK USD.01
        125896100
        
          
          
          
        
        1274.0000000000
        NS
        USD
        79930.7600000000
        0.3121301934
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Cabot Oil & Gas Co
        FCNMH6O7VWU7LHXMK351
        CABOT OIL + GAS CORP COMMON STOCK USD.1
        127097103
        
          
          
          
        
        862.0000000000
        NS
        USD
        14136.8000000000
        0.0552043058
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Campbell Soup Company
        5493007JDSMX8Z5Z1902
        CAMPBELL SOUP CO COMMON STOCK USD.0375
        134429109
        
          
          
          
        
        1093.0000000000
        NS
        USD
        53196.3100000000
        0.2077319736
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Carrier Global Corporation
        549300JE3W6CWY2NAN77
        CARRIER GLOBAL CORP COMMON STOCK USD.01
        14448C104
        
          
          
          
        
        319.0000000000
        NS
        USD
        14651.6700000000
        0.0572148769
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Celanese Corporation
        549300FHJQTDPPN41627
        CELANESE CORP COMMON STOCK USD.0001
        150870103
        
          
          
          
        
        31.0000000000
        NS
        USD
        5128.9500000000
        0.0200285867
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Centerpoint Energy Inc
        21TPXMRRHFKOBHDC8J74
        CENTERPOINT ENERGY INC COMMON STOCK USD.01
        15189T107
        
          
          
          
        
        211.0000000000
        NS
        USD
        5338.3000000000
        0.0208460999
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Cerner Corp
        549300L4UJ40IEVVI304
        CERNER CORP COMMON STOCK USD.01
        156782104
        
          
          
          
        
        196.0000000000
        NS
        USD
        15337.0000000000
        0.0598910954
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Charter Communications, Inc.
        0J0XRGZE3PBRFEZ7MV65
        CHARTER COMMUNICATIONS INC A COMMON STOCK USD.001
        16119P108
        
          
          
          
        
        170.0000000000
        NS
        USD
        118070.1000000000
        0.4610645907
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Cheniere Energy Inc
        MIHC87W9WTYSYZWV1J40
        CHENIERE ENERGY INC COMMON STOCK USD.003
        16411R208
        
          
          
          
        
        544.0000000000
        NS
        USD
        46185.6000000000
        0.1803551006
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Chewy Inc
        N/A
        CHEWY INC   CLASS A COMMON STOCK USD.01
        16679L109
        
          
          
          
        
        11.0000000000
        NS
        USD
        809.8200000000
        0.0031623529
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Church & Dwight Co., Inc.
        POOXSI30AWAQGYJZC921
        CHURCH + DWIGHT CO INC COMMON STOCK USD1.0
        171340102
        
          
          
          
        
        971.0000000000
        NS
        USD
        83243.8300000000
        0.3250677556
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Cisco Systems, Inc.
        N/A
        CISCO SYSTEMS INC COMMON STOCK USD.001
        17275R102
        
          
          
          
        
        3639.0000000000
        NS
        USD
        192503.1000000000
        0.7517259917
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Citrix Systems Inc.
        HCTKJGUQOPZ5NBK7NP58
        CITRIX SYSTEMS INC COMMON STOCK USD.001
        177376100
        
          
          
          
        
        1737.0000000000
        NS
        USD
        199685.5200000000
        0.7797733935
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        The Clorox Company
        54930044KVSC06Z79I06
        CLOROX COMPANY COMMON STOCK USD1.0
        189054109
        
          
          
          
        
        568.0000000000
        NS
        USD
        100382.6400000000
        0.3919949321
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        The Coca-Cola Company
        UWJKFUJFZ02DKWI3RY53
        COCA COLA CO/THE COMMON STOCK USD.25
        191216100
        
          
          
          
        
        515.0000000000
        NS
        USD
        28474.3500000000
        0.1111925418
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Cognizant Technolo
        5493006IEVQEFQO40L83
        COGNIZANT TECH SOLUTIONS A COMMON STOCK USD.01
        192446102
        
          
          
          
        
        1727.0000000000
        NS
        USD
        123584.1200000000
        0.4825968785
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Colgate-Palmolive Company
        YMEGZFW4SBUSS5BQXF88
        COLGATE PALMOLIVE CO COMMON STOCK USD1.0
        194162103
        
          
          
          
        
        623.0000000000
        NS
        USD
        52194.9400000000
        0.2038216166
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Comcast Corporation
        51M0QTTNCGUN7KFCFZ59
        COMCAST CORP CLASS A COMMON STOCK USD.01
        20030N101
        
          
          
          
        
        2844.0000000000
        NS
        USD
        163074.9600000000
        0.6368088931
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Consolidated Edison, Inc.
        54930033SBW53OO8T749
        CONSOLIDATED EDISON INC COMMON STOCK USD.1
        209115104
        
          
          
          
        
        2958.0000000000
        NS
        USD
        228475.9200000000
        0.8922001128
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        The Cooper Companies, Inc.
        QJKMVPIGLH7530PCUE20
        COOPER COS INC/THE COMMON STOCK USD.1
        216648402
        
          
          
          
        
        184.0000000000
        NS
        USD
        72394.8000000000
        0.2827022153
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Corteva Inc
        549300WZN9I2QKLS0O94
        CORTEVA INC COMMON STOCK USD.01
        22052L104
        
          
          
          
        
        24.0000000000
        NS
        USD
        1092.0000000000
        0.0042642679
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Crown Castle International Corp.
        54930012H97VSM0I2R19
        CROWN CASTLE INTL CORP REIT USD.01
        22822V101
        
          
          
          
        
        851.0000000000
        NS
        USD
        161264.5000000000
        0.6297390338
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Crown Holdings Inc
        NYLWZIOY8PUNIT4JOE22
        CROWN HOLDINGS INC COMMON STOCK USD5.0
        228368106
        
          
          
          
        
        119.0000000000
        NS
        USD
        12285.5600000000
        0.0479752003
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        DTE Energy Company
        549300IX8SD6XXD71I78
        DTE ENERGY COMPANY COMMON STOCK
        233331107
        
          
          
          
        
        136.0000000000
        NS
        USD
        18766.6400000000
        0.0732838643
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Danaher Corporation
        S4BKK9OTCEWQ3YHPFM11
        DANAHER CORP COMMON STOCK USD.01
        235851102
        
          
          
          
        
        1168.0000000000
        NS
        USD
        299171.5200000000
        1.1682669399
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        DENTSPLY SIRONA INC
        9NHEHR1SOZCYXDO8HO28
        DENTSPLY SIRONA INC COMMON STOCK USD.01
        24906P109
        
          
          
          
        
        271.0000000000
        NS
        USD
        18135.3200000000
        0.0708185552
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Walt Disney Company
        549300GZKULIZ0WOW665
        WALT DISNEY CO/THE COMMON STOCK USD.01
        254687106
        
          
          
          
        
        1221.0000000000
        NS
        USD
        218131.6500000000
        0.8518056640
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        DISH Network Corporation
        529900U350CWHH15G169
        DISH NETWORK CORP A COMMON STOCK USD.01
        25470M109
        
          
          
          
        
        232.0000000000
        NS
        USD
        10096.6400000000
        0.0394274519
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        WELLS FARGO GOVT MM SELECT CLASS  3802
        N/A
        WELLS FARGO GOVT MM SELECT CLASS  3802
        976RXG000
        
          
          
        
        664453.8100000000
        NS
        USD
        664453.8100000000
        2.5946969127
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ICE FUTURES EUROPE - FINANCIAL PRODUCTS DIVISION
        549300UF4R84F48NCH34
        S+P500 EMINI FUT  JUN21 XCME 20210618
        000000000
        
          
          
        
        3.0000000000
        NC
        USD
        12011.8100000000
        0.0469062045
        N/A
        DE
        CORP
        GB
        N
        
        1
        
          
            
              Chicago Mercantile Exchange Holdings Inc.
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                S+P 500 INDEX INDEX
                S+P 500 INDEX
                
                  
                  
                
              
            
            2021-06-18
            618348.1900000000
            USD
            12011.8100000000
          
        
        
          N
          N
          N
        
      
    
    
      2021-07-29
      Wells Fargo Master Trust
      Jeremy DePalma
      Jeremy DePalma
      Treasurer
    
  
  XXXX

Portfolio of investments—May 31, 2021 (unaudited)

	Shares	Value
Common stocks: 96.80%
Communication services: 8.94%
Diversified telecommunication services: 2.07%
AT&T Incorporated	6,459	$ 190,088
Verizon Communications Incorporated	5,992	338,488
		528,576
Entertainment: 3.62%
Activision Blizzard Incorporated	2,371	230,580
Electronic Arts Incorporated	1,714	244,982
Netflix Incorporated †	56	28,157
Take-Two Interactive Software Incorporated †	1,110	205,972
The Walt Disney Company †	1,221	218,132
		927,823
Interactive media & services: 0.14%
Alphabet Incorporated Class A †	1	2,357
Alphabet Incorporated Class C †	14	33,762
		36,119
Media: 1.68%
Charter Communications Incorporated Class A †	170	118,070
Comcast Corporation Class A	2,844	163,075
DISH Network Corporation Class A †	232	10,097
Fox Corporation Class A	220	8,217
Fox Corporation Class B	344	12,480
Interpublic Group of Companies Incorporated	184	6,199
Liberty Global plc Class A †	537	14,665
Omnicom Group Incorporated	795	65,381
Sirius XM Holdings Incorporated	4,892	30,575
		428,759
Wireless telecommunication services: 1.43%
T-Mobile US Incorporated †	2,594	366,921
Consumer discretionary: 6.24%
Hotels, restaurants & leisure: 2.41%
Domino's Pizza Incorporated	162	69,153
McDonald's Corporation	1,556	363,933
Starbucks Corporation	1,609	183,233
		616,319
Household durables: 0.23%
Garmin Limited	415	59,030
Internet & direct marketing retail: 0.19%
Amazon.com Incorporated †	8	25,785
Chewy Incorporated Class A †	11	810
eBay Incorporated	360	21,917
		48,512
Multiline retail: 1.21%
Dollar General Corporation	807	163,789

See accompanying notes to portfolio of investments

Wells Fargo Factor Enhanced U.S. Low Volatility Equity Portfolio | 1

Portfolio of investments—May 31, 2021 (unaudited)

	Shares	Value
Multiline retail (continued)
Dollar Tree Incorporated †	677	$ 66,008
Target Corporation	351	79,649
		309,446
Specialty retail: 1.71%
Advance Auto Parts Incorporated	8	1,518
AutoZone Incorporated †	91	128,001
O'Reilly Automotive Incorporated †	159	85,084
The Home Depot Incorporated	705	224,832
		439,435
Textiles, apparel & luxury goods: 0.49%
Nike Incorporated Class B	924	126,089
Consumer staples: 10.28%
Beverages: 1.77%
Brown-Forman Corporation Class B	346	27,805
Monster Beverage Corporation †	124	11,689
PepsiCo Incorporated	2,603	385,088
The Coca-Cola Company	515	28,474
		453,056
Food & staples retailing: 2.11%
The Kroger Company	7,635	282,342
Walmart Incorporated	1,812	257,358
		539,700
Food products: 3.96%
Archer Daniels Midland Company	455	30,271
Bunge Limited	223	19,361
Campbell Soup Company	1,093	53,196
General Mills Incorporated	1,027	64,557
Hormel Foods Corporation	3,560	172,802
Kellogg Company	1,546	101,248
McCormick & Company Incorporated	1,118	99,569
Mondelez International Incorporated Class A	1,619	102,855
The Hershey Company	1,644	284,494
The J.M. Smucker Company	608	81,040
Tyson Foods Incorporated Class A	72	5,724
		1,015,117
Household products: 2.22%
Church & Dwight Company Incorporated	971	83,244
Colgate-Palmolive Company	623	52,195
Kimberly-Clark Corporation	345	45,067
The Clorox Company	568	100,383
The Procter & Gamble Company	2,127	286,826
		567,715
Personal products: 0.01%
The Estee Lauder Companies Incorporated Class A	12	3,678

See accompanying notes to portfolio of investments

2 | Wells Fargo Factor Enhanced U.S. Low Volatility Equity Portfolio

Portfolio of investments—May 31, 2021 (unaudited)

	Shares	Value
Tobacco: 0.21%
Altria Group Incorporated	188	$ 9,253
Philip Morris International Incorporated	457	44,069
		53,322
Energy: 0.27%
Oil, gas & consumable fuels: 0.27%
Cabot Oil & Gas Corporation	862	14,137
Cheniere Energy Incorporated †	544	46,186
Exxon Mobil Corporation	150	8,756
		69,079
Financials: 8.94%
Capital markets: 1.58%
BlackRock Incorporated	8	7,016
Cboe Global Markets Incorporated	720	80,136
CME Group Incorporated	642	140,444
Intercontinental Exchange Incorporated	1,171	132,182
MarketAxess Holdings Incorporated	21	9,797
Morgan Stanley	27	2,456
T. Rowe Price Group Incorporated	74	14,160
The NASDAQ Incorporated	115	19,258
Tradeweb Markets Incorporated Class A	3	251
		405,700
Diversified financial services: 0.65%
Berkshire Hathaway Incorporated Class B †	577	167,007
Insurance: 6.69%
Alleghany Corporation †	2	1,433
Aon plc Class A	877	222,205
Arthur J. Gallagher & Company	1,090	159,805
Brown & Brown Incorporated	2,214	116,279
Chubb Limited	500	84,995
Erie Indemnity Company Class A	125	25,141
Everest Reinsurance Group Limited	532	138,299
Markel Corporation †	87	106,618
Marsh & McLennan Companies Incorporated	1,513	209,324
Progressive Corporation	1,219	120,779
RenaissanceRe Holdings Limited	662	102,027
The Allstate Corporation	1,471	200,953
The Travelers Companies Incorporated	984	157,145
Willis Towers Watson plc	258	67,431
		1,712,434
Mortgage REITs: 0.02%
AGNC Investment Corporation	300	5,562
Health care: 18.13%
Biotechnology: 5.25%
AbbVie Incorporated	50	5,660
Amgen Incorporated	413	98,269
Biogen Incorporated †	99	26,481
BioMarin Pharmaceutical Incorporated †	337	26,050

See accompanying notes to portfolio of investments

Wells Fargo Factor Enhanced U.S. Low Volatility Equity Portfolio | 3

Portfolio of investments—May 31, 2021 (unaudited)

	Shares	Value
Biotechnology (continued)
Gilead Sciences Incorporated	5,362	$ 354,482
Incyte Corporation †	1,284	107,574
Ionis Pharmaceuticals Incorporated †	519	19,333
Neurocrine Biosciences Incorporated †	400	38,488
Regeneron Pharmaceuticals Incorporated †	632	317,536
Seagen Incorporated †	268	41,634
Vertex Pharmaceuticals Incorporated †	1,477	308,147
		1,343,654
Health care equipment & supplies: 4.74%
Abbott Laboratories	620	72,323
Baxter International Incorporated	1,318	108,234
Becton Dickinson & Company	261	63,133
Danaher Corporation	1,168	299,172
Dentsply Sirona Incorporated	271	18,135
IDEXX Laboratories Incorporated †	22	12,278
Masimo Corporation †	274	59,074
Medtronic plc	2,512	317,994
ResMed Incorporated	6	1,235
Stryker Corporation	671	171,286
The Cooper Companies Incorporated	184	72,395
West Pharmaceutical Services Incorporated	40	13,900
Zimmer Biomet Holdings Incorporated	36	6,060
		1,215,219
Health care providers & services: 1.73%
Anthem Incorporated	338	134,598
Henry Schein Incorporated †	73	5,551
Humana Incorporated	218	95,419
UnitedHealth Group Incorporated	501	206,372
		441,940
Health care technology: 0.18%
Cerner Corporation	196	15,337
Teladoc Incorporated †	71	10,691
Veeva Systems Incorporated Class A †	68	19,811
		45,839
Life sciences tools & services: 0.30%
Bio-Rad Laboratories Incorporated Class A †	123	74,092
Mettler-Toledo International Incorporated †	2	2,602
Thermo Fisher Scientific Incorporated	1	470
		77,164
Pharmaceuticals: 5.93%
Bristol-Myers Squibb Company	1,155	75,907
Eli Lilly & Company	1,831	365,724
Johnson & Johnson	2,466	417,371
Merck & Company Incorporated	4,534	344,085
Pfizer Incorporated	5,398	209,065
Viatris Incorporated	669	10,196
Zoetis Incorporated	542	95,761
		1,518,109

See accompanying notes to portfolio of investments

4 | Wells Fargo Factor Enhanced U.S. Low Volatility Equity Portfolio

Portfolio of investments—May 31, 2021 (unaudited)

	Shares	Value
Industrials: 7.81%
Aerospace & defense: 1.22%
Huntington Ingalls Industries Incorporated	8	$ 1,730
L3Harris Technologies Incorporated	529	115,354
Lockheed Martin Corporation	449	171,608
Northrop Grumman Corporation	67	24,513
		313,205
Air freight & logistics: 0.78%
C.H. Robinson Worldwide Incorporated	2,056	199,473
Airlines: 0.01%
Southwest Airlines Company †	24	1,475
Building products: 0.06%
Carrier Global Corporation	319	14,652
Commercial services & supplies: 4.58%
Republic Services Incorporated	3,398	370,994
Rollins Incorporated	926	31,567
Waste Connections Incorporated	2,804	340,518
Waste Management Incorporated	3,052	429,355
		1,172,434
Industrial conglomerates: 0.35%
Honeywell International Incorporated	385	88,900
Machinery: 0.10%
Otis Worldwide Corporation	243	19,034
PACCAR Incorporated	62	5,677
Pentair plc	21	1,448
		26,159
Professional services: 0.51%
Booz Allen Hamilton Holding Corporation	940	79,834
Leidos Holdings Incorporated	5	514
Verisk Analytics Incorporated	293	50,639
		130,987
Road & rail: 0.20%
AMERCO	83	47,728
Knight-Swift Transportation Holdings Incorporated	96	4,582
		52,310
Information technology: 22.85%
Communications equipment: 1.99%
Arista Networks Incorporated †	64	21,720
Cisco Systems Incorporated	3,639	192,503
Juniper Networks Incorporated	1,400	36,862
Motorola Solutions Incorporated	1,256	257,869
		508,954
Electronic equipment, instruments & components: 1.64%
Amphenol Corporation Class A	2,514	169,092
Arrow Electronics Incorporated †	227	27,315

See accompanying notes to portfolio of investments

Wells Fargo Factor Enhanced U.S. Low Volatility Equity Portfolio | 5

Portfolio of investments—May 31, 2021 (unaudited)

	Shares	Value
Electronic equipment, instruments & components (continued)
CDW Corporation of Delaware	44	$ 7,278
Keysight Technologies Incorporated †	1,422	202,464
TE Connectivity Limited	104	14,111
		420,260
IT services: 11.82%
Accenture plc Class A	1,566	441,863
Akamai Technologies Incorporated †	1,372	156,696
Automatic Data Processing Incorporated	700	137,214
Black Knight Incorporated †	2,229	163,586
Broadridge Financial Solutions Incorporated	771	122,959
Cognizant Technology Solutions Corporation Class A	1,727	123,584
Fidelity National Information Services Incorporated	1,588	236,580
Fiserv Incorporated †	1,643	189,274
FleetCor Technologies Incorporated †	193	52,967
International Business Machines Corporation	680	97,743
Jack Henry & Associates Incorporated	1,222	188,371
MasterCard Incorporated Class A	612	220,675
Paychex Incorporated	2,983	301,701
The Western Union Company	6,522	159,593
VeriSign Incorporated †	397	87,308
Visa Incorporated Class A	1,522	345,951
		3,026,065
Semiconductors & semiconductor equipment: 0.78%
Broadcom Incorporated	150	70,850
Intel Corporation	314	17,936
QUALCOMM Incorporated	25	3,364
Texas Instruments Incorporated	569	108,008
		200,158
Software: 6.47%
Adobe Incorporated †	666	336,050
Citrix Systems Incorporated	1,737	199,686
Intuit Incorporated	163	71,572
Microsoft Corporation	1,492	372,523
NortonLifeLock Incorporated	2,112	58,418
Oracle Corporation	3,571	281,181
Palo Alto Networks Incorporated †	136	49,402
SS&C Technologies Holdings Incorporated	38	2,807
Tyler Technologies Incorporated †	568	228,995
Zoom Video Communications Incorporated †	167	55,366
		1,656,000
Technology hardware, storage & peripherals: 0.15%
Apple Incorporated	314	39,128
Materials: 2.64%
Chemicals: 0.89%
Air Products & Chemicals Incorporated	229	68,622
Celanese Corporation Series A	31	5,129
Corteva Incorporated	24	1,092
Eastman Chemical Company	25	3,135
Ecolab Incorporated	641	137,866

See accompanying notes to portfolio of investments

6 | Wells Fargo Factor Enhanced U.S. Low Volatility Equity Portfolio

Portfolio of investments—May 31, 2021 (unaudited)

	Shares	Value
Chemicals (continued)
Linde plc	11	$ 3,307
The Sherwin-Williams Company	36	10,207
		229,358
Containers & packaging: 0.28%
Amcor plc	3,698	43,636
Ball Corporation	185	15,200
Crown Holdings Incorporated	119	12,286
		71,122
Metals & mining: 1.47%
Newmont Corporation	5,122	376,365
Real estate: 3.51%
Equity REITs: 3.51%
American Tower Corporation	729	186,223
Crown Castle International Corporation	851	161,265
Duke Realty Corporation	92	4,274
Equinix Incorporated	9	6,630
Equity Residential	1,405	108,817
Extra Space Storage Incorporated	721	108,013
Mid-America Apartment Communities Incorporated	9	1,446
Public Storage Incorporated	1,046	295,474
SBA Communications Corporation	86	25,638
		897,780
Utilities: 7.19%
Electric utilities: 4.57%
Alliant Energy Corporation	983	56,178
American Electric Power Company Incorporated	1,416	121,776
Entergy Corporation	33	3,474
Evergy Incorporated	509	31,553
Eversource Energy	908	73,721
NextEra Energy Incorporated	4,629	338,935
The Southern Company	4,322	276,262
Xcel Energy Incorporated	3,775	267,572
		1,169,471
Multi-utilities: 2.46%
Ameren Corporation	251	21,134
CenterPoint Energy Incorporated	211	5,338
CMS Energy Corporation	1,274	79,931
Consolidated Edison Incorporated	2,958	228,476
Dominion Energy Incorporated	1,250	95,175
DTE Energy Company	136	18,767
Public Service Enterprise Group Incorporated	65	4,038
WEC Energy Group Incorporated	1,889	177,396
		630,255
Water utilities: 0.16%
American Water Works Company Incorporated	274	42,475
Total Common stocks (Cost $21,103,191)		24,788,310

See accompanying notes to portfolio of investments

Wells Fargo Factor Enhanced U.S. Low Volatility Equity Portfolio | 7

Portfolio of investments—May 31, 2021 (unaudited)

		Yield	Shares	Value
Short-term investments: 2.59%
Investment companies: 2.59%
Wells Fargo Government Money Market Fund Select Class ♠∞		0.03%	664,454	$ 664,454
Total Short-term investments (Cost $664,454)				664,454
Total investments in securities (Cost $21,767,645)	99.39%			25,452,764
Other assets and liabilities, net	0.61			155,383
Total net assets	100.00%			$25,608,147

†	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.

Abbreviations:
REIT	Real estate investment trust

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	$302,669	$2,278,817	$(1,917,032)	$0	$0	$664,454	2.59%	664,454	$43

Futures contracts

Description	Number of contracts	Expiration date	Notional cost	Notional value	Unrealized gains	Unrealized losses
Long
E-Mini S&P 500 Index	3	6-18-2021	$618,348	$630,360	$12,012	$0

See accompanying notes to portfolio of investments

8 | Wells Fargo Factor Enhanced U.S. Low Volatility Equity Portfolio

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.

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 Portfolio’s Valuation Procedures.

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.

Futures contracts

Futures contracts are agreements between the Portfolio 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. The Portfolio may buy and sell futures contracts in order to gain exposure to, or protect against, changes in security values and is subject to 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 Portfolio 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 Portfolio since futures contracts are exchange traded and the exchange’s clearinghouse, as the counterparty to all exchange traded futures, guarantees the futures contracts against default.

Upon entering into futures contracts, the Portfolio 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). Should the Portfolio fail to make requested variation margin payments, the broker can gain access to the initial margin to satisfy the Portfolio’s payment obligations. When the contracts are closed, a realized gain or loss is recorded.

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.

Wells Fargo Factor Enhanced U.S. Low Volatility Equity Portfolio | 9

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:
Common stocks
Communication services	$2,288,198	$0	$0	$2,288,198
Consumer discretionary	1,598,831	0	0	1,598,831
Consumer staples	2,632,588	0	0	2,632,588
Energy	69,079	0	0	69,079
Financials	2,290,703	0	0	2,290,703
Health care	4,641,925	0	0	4,641,925
Industrials	1,999,595	0	0	1,999,595
Information technology	5,850,565	0	0	5,850,565
Materials	676,845	0	0	676,845
Real estate	897,780	0	0	897,780
Utilities	1,842,201	0	0	1,842,201
Short-term investments
Investment companies	664,454	0	0	664,454
	25,452,764	0	0	25,452,764
Futures contracts	12,012	0	0	12,012
Total assets	$25,464,776	$0	$0	$25,464,776

Futures contracts are reported at their cumulative unrealized gains (losses) at measurement date as reported in the table following the Portfolio of Investments. All other assets and liabilities are reported at their market value at measurement date.

Additional sector, industry or geographic detail, if any, is included in the Portfolio of Investments.

As of May 31, 2021, $140,000 was segregated as cash collateral for open futures contracts.

For the three months ended May 31, 2021, the Portfolio did not have any transfers into/out of Level 3.

10 | Wells Fargo Factor Enhanced U.S. Low Volatility Equity Portfolio

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