Wells Fargo Funds Trust FORM N-Q (Quarterly Schedule of Portfolio Holdings)

Form TypeN-Q
File Date2018-07-30

Document List

Wells Fargo Funds Trust FORM N-Q (Quarterly Schedule of Portfolio Holdings)
Wells Fargo Funds Trust CERTIFICATIONS
Form N-Q

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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-09253

 

 

Wells Fargo Funds Trust

(Exact name of registrant as specified in charter)

 

 

525 Market Street, 12th Floor, San Francisco, CA 94105

(Address of principal executive offices) (Zip code)

 

 

C. David Messman

Wells Fargo Funds Management, LLC

525 Market Street, 12th Floor, San Francisco, CA 94105

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: 800-222-8222

The following 20 series of Wells Fargo Funds Trust have a February 28 fiscal year end:

Wells Fargo Dow Jones Target Today Fund, Wells Fargo Dow Jones Target 2010 Fund, Wells Fargo Dow Jones Target 2015 Fund, Wells Fargo Dow Jones Target 2020 Fund, Wells Fargo Dow Jones Target 2025 Fund, Wells Fargo Dow Jones Target 2030 Fund, Wells Fargo Dow Jones Target 2035 Fund, Wells Fargo Dow Jones Target 2040 Fund, Wells Fargo Dow Jones Target 2045 Fund, Wells Fargo Dow Jones Target 2050 Fund, Wells Fargo Dow Jones Target 2055 Fund, Wells Fargo Dow Jones Target 2060 Fund, Wells Fargo Emerging Markets Bond Fund, Wells Fargo Factor Enhanced International Fund, Wells Fargo Factor Enhanced Large Cap Fund, Wells Fargo Factor Enhanced Emerging Markets Fund, Wells Fargo Factor Enhanced Small Cap Fund, Wells Fargo High Yield Corporate Bond Fund, Wells Fargo International Government Bond Fund, and Wells Fargo U.S. Core Bond Fund.

The following 9 series of Wells Fargo Funds Trust have an August 31 fiscal year end:

Wells Fargo Adjustable Rate Government Fund, Wells Fargo Conservative Income Fund, Wells Fargo Government Securities Fund, Wells Fargo High Yield Bond Fund, Wells Fargo Core Plus Bond Fund, Wells Fargo Short Duration Government Bond Fund, Wells Fargo Short-Term Bond Fund, Wells Fargo Short-Term High Yield Bond Fund, and Wells Fargo Ultra Short-Term Income Fund.

Date of reporting period: May 31, 2018

 

 

 


ITEM 1.

INVESTMENTS


Wells Fargo Target Today Fund    Portfolio of investments — May 31, 2018 (unaudited)

 

Security name               Value  

Investment Companies : 100.14%

       

Affiliated Master Portfolios : 100.14%

       

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

        $ 38,748,302  

Wells Fargo Emerging Markets Bond Portfolio

          3,280,625  

Wells Fargo Factor Enhanced Emerging Markets Portfolio

          2,446,721  

Wells Fargo Factor Enhanced International Portfolio

          8,196,299  

Wells Fargo Factor Enhanced Large Cap Portfolio

          15,887,207  

Wells Fargo Factor Enhanced Small Cap Portfolio

          4,012,535  

Wells Fargo High Yield Corporate Bond Portfolio

          3,280,601  

Wells Fargo Investment Grade Corporate Bond Portfolio

          20,130,943  

Wells Fargo Strategic Retirement Bond Portfolio

          13,085,089  

Wells Fargo U.S. REIT Portfolio

          2,849,363  

Total Investment Companies (Cost $108,517,021)

 

       111,917,685  
       

 

 

 

Total investments in securities (Cost $108,517,021)

     100.14        111,917,685  

Other assets and liabilities, net

     (0.14        (154,171
  

 

 

      

 

 

 

Total net assets

     100.00      $ 111,763,514  
  

 

 

      

 

 

 

Abbreviations:

 

REIT

Real estate investment trust

 

1


Investments in Affiliates

Transactions with the affiliated Master Portfolios were as follows:

 

   

% of ownership,

beginning of

period

   

% of ownership,

end of period

   

Value, end of

period

   

% of

net assets

 

Affiliated Master Portfolios

       

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

    4.29     4.16   $ 38,748,302    

Wells Fargo Emerging Markets Bond Portfolio

    5.00       4.87       3,280,625    

Wells Fargo Factor Enhanced Emerging Markets Portfolio

    0.77       0.76       2,446,721    

Wells Fargo Factor Enhanced International Portfolio

    0.82       0.78       8,196,299    

Wells Fargo Factor Enhanced Large Cap Portfolio

    0.95       0.89       15,887,207    

Wells Fargo Factor Enhanced Small Cap Portfolio

    0.98       0.92       4,012,535    

Wells Fargo High Yield Corporate Bond Portfolio

    2.87       2.75       3,280,601    

Wells Fargo Investment Grade Corporate Bond Portfolio

    4.96       4.83       20,130,943    

Wells Fargo Strategic Retirement Bond Portfolio

    11.79       11.64       13,085,089    

Wells Fargo U.S. REIT Portfolio

    4.72       4.47       2,849,363    
     

 

 

   

 

 

 
      $ 111,917,685       100.14 % 
     

 

 

   

 

 

 


Wells Fargo Target Today Fund (the “Fund”)

Notes to Portfolio of investments – May 31, 2018 (unaudited)

 

The Fund is a fund-of fund that invests in multiple diversified portfolios (each, an “affiliated Master Portfolio”, collectively, the “affiliated Master Portfolios”) of Wells Fargo Master Trust, a registered open-end management investment company. Each affiliated Master Portfolio directly acquires portfolio securities, and the Fund acquires an indirect interest in those securities. The affiliated Master Portfolios in turn invest in a combination of securities to gain exposure to equity and fixed income asset classes.

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 Fund may deviate from this calculation under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolios are valued daily based on the Fund’s proportionate share of each affiliated Master Portfolio’s net assets, which is also valued daily.

Fair valuation measurements

At May 31, 2018, the affiliated Master Portfolios in aggregate were valued at $111,917,685, do not have a redemption period notice, can be redeemed daily and do not have any unfunded commitments.

As of May 31, 2018, the Fund’s investment in an affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective of each affiliated Master Portfolio is as follows:

 

Affiliated Master Portfolio    Investment objective

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

  

Seeks to replicate the total return of the Bloomberg Barclays U.S. ex-Corporate Index, before fees and expenses

Wells Fargo Emerging Markets Bond Portfolio

  

Seeks to replicate the total return of the JP Morgan EMBI Global Diversified Index, before fees and expenses

Wells Fargo Factor Enhanced Emerging Markets Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Emerging Markets Index, before fees and expenses

Wells Fargo Factor Enhanced International Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced International Index, before fees and expenses

Wells Fargo Factor Enhanced Large Cap Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Large Cap Index, before fees and expenses

Wells Fargo Factor Enhanced Small Cap Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Small Cap Index, before fees and expenses

Wells Fargo High Yield Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. High Yield Bond Index, before fees and expenses

Wells Fargo Investment Grade Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. Investment Grade Corporate Bond Index, before fees and expenses

Wells Fargo Strategic Retirement Bond Portfolio

  

Seeks to replicate the total return of a blended index that is weighted 50% to the Bloomberg Barclays U.S. Treasury Inflation-Linked 1-10 Year Bond Index and 50% to the Bloomberg Barclays U.S. Intermediate Government Bond Index, before fees and expenfses

Wells Fargo U.S. REIT Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. REIT Index, before fees and expenses


Wells Fargo Target 2010 Fund    Portfolio of investments — May 31, 2018 (unaudited)

 

Security name               Value  

Investment Companies : 100.08%

       

Affiliated Master Portfolios : 100.08%

       

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

        $ 38,388,866  

Wells Fargo Emerging Markets Bond Portfolio

          3,243,131  

Wells Fargo Factor Enhanced Emerging Markets Portfolio

          2,782,576  

Wells Fargo Factor Enhanced International Portfolio

          9,322,991  

Wells Fargo Factor Enhanced Large Cap Portfolio

          18,102,849  

Wells Fargo Factor Enhanced Small Cap Portfolio

          4,581,501  

Wells Fargo High Yield Corporate Bond Portfolio

          3,236,048  

Wells Fargo Investment Grade Corporate Bond Portfolio

          19,950,021  

Wells Fargo Strategic Retirement Bond Portfolio

          12,948,308  

Wells Fargo U.S. REIT Portfolio

          3,216,057  

Total Investment Companies (Cost $97,373,218)

 

       115,772,348  
       

 

 

 

Total investments in securities (Cost $97,373,218)

     100.08        115,772,348  

Other assets and liabilities, net

     (0.08        (88,428
  

 

 

      

 

 

 

Total net assets

     100.00      $ 115,683,920  
  

 

 

      

 

 

 

Abbreviations:

 

REIT

Real estate investment trust

 

1


Investments in Affiliates

Transactions with the affiliated Master Portfolios were as follows:

 

   

% of ownership,

beginning of period

   

% of ownership,

end of period

   

Value, end of,

period

   

% of,

net

assets

 

Affiliated Master Portfolios

       

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

    4.64     4.12   $ 38,388,866    

Wells Fargo Emerging Markets Bond Portfolio

    5.40       4.81       3,243,131    

Wells Fargo Factor Enhanced Emerging Markets Portfolio

    0.94       0.86       2,782,576    

Wells Fargo Factor Enhanced International Portfolio

    1.00       0.89       9,322,991    

Wells Fargo Factor Enhanced Large Cap Portfolio

    1.15       1.02       18,102,849    

Wells Fargo Factor Enhanced Small Cap Portfolio

    1.20       1.05       4,581,501    

Wells Fargo High Yield Corporate Bond Portfolio

    3.10       2.71       3,236,048    

Wells Fargo Investment Grade Corporate Bond Portfolio

    5.36       4.79       19,950,021    

Wells Fargo Strategic Retirement Bond Portfolio

    12.75       11.52       12,948,308    

Wells Fargo U.S. REIT Portfolio

    5.76       5.05       3,216,057    
     

 

 

   

 

 

 
      $ 115,772,348       100.08 % 
     

 

 

   

 

 

 


Wells Fargo Target 2010 Fund (the “Fund”)

Notes to Portfolio of investments – May 31, 2018 (unaudited)

 

The Fund is a fund-of fund that invests in multiple diversified portfolios (each, an “affiliated Master Portfolio”, collectively, the “affiliated Master Portfolios”) of Wells Fargo Master Trust, a registered open-end management investment company. Each affiliated Master Portfolio directly acquires portfolio securities, and the Fund acquires an indirect interest in those securities. The affiliated Master Portfolios in turn invest in a combination of securities to gain exposure to equity and fixed income asset classes.

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 Fund may deviate from this calculation under unusual or unexpected circumstances.

Investments in an affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of each affiliated Master Portfolio’s net assets, which is also valued daily.

Fair valuation measurements

At May 31, 2018, the affiliated Master Portfolios in aggregate were valued at $115,772,348, do not have a redemption period notice, can be redeemed daily and do not have any unfunded commitments.

As of May 31, 2018, the Fund’s investment in an affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective of each affiliated Master Portfolio is as follows:

 

Affiliated Master Portfolio    Investment objective

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

  

Seeks to replicate the total return of the Bloomberg Barclays U.S. ex-Corporate Index, before fees and expenses

Wells Fargo Emerging Markets Bond Portfolio

  

Seeks to replicate the total return of the JP Morgan EMBI Global Diversified Index, before fees and expenses

Wells Fargo Factor Enhanced Emerging Markets Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Emerging Markets Index, before fees and expenses

Wells Fargo Factor Enhanced International Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced International Index, before fees and expenses

Wells Fargo Factor Enhanced Large Cap Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Large Cap Index, before fees and expenses

Wells Fargo Factor Enhanced Small Cap Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Small Cap Index, before fees and expenses

Wells Fargo High Yield Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. High Yield Bond Index, before fees and expenses

Wells Fargo Investment Grade Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. Investment Grade Corporate Bond Index, before fees and expenses

Wells Fargo Strategic Retirement Bond Portfolio

  

Seeks to replicate the total return of a blended index that is weighted 50% to the Bloomberg Barclays U.S. Treasury Inflation-Linked 1-10 Year Bond Index and 50% to the Bloomberg Barclays U.S. Intermediate Government Bond Index, before fees and expenses

Wells Fargo U.S. REIT Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. REIT Index, before fees and expenses


Wells Fargo Target 2015 Fund    Portfolio of investments — May 31, 2018 (unaudited)

 

Security name          Value  

Investment Companies : 100.08%

    

Affiliated Master Portfolios : 100.08%

    

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

     $ 46,649,799  

Wells Fargo Emerging Markets Bond Portfolio

       3,950,896  

Wells Fargo Factor Enhanced Emerging Markets Portfolio

       4,100,910  

Wells Fargo Factor Enhanced International Portfolio

       14,150,428  

Wells Fargo Factor Enhanced Large Cap Portfolio

       27,619,330  

Wells Fargo Factor Enhanced Small Cap Portfolio

       6,970,461  

Wells Fargo High Yield Corporate Bond Portfolio

       3,952,004  

Wells Fargo Investment Grade Corporate Bond Portfolio

       24,256,843  

Wells Fargo Strategic Retirement Bond Portfolio

       15,780,483  

Wells Fargo U.S. REIT Portfolio

       4,894,797  

Total Investment Companies (Cost $141,643,972)

 

    152,325,951  
    

 

 

 

Total investments in securities (Cost $141,643,972)

     100.08     152,325,951  

Other assets and liabilities, net

     (0.08     (117,834
  

 

 

   

 

 

 

Total net assets

     100.00   $ 152,208,117  
  

 

 

   

 

 

 

Abbreviations:

 

REIT

Real estate investment trust

 

1


Investments in Affiliates

Transactions with the affiliated Master Portfolios were as follows:

 

    

% of ownership,

beginning of period

   

% of ownership,

end of period

   

Value, end of,

period

    

% of,

net

assets

 

Affiliated Master Portfolios

         

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

     4.94     5.01   $ 46,649,799     

Wells Fargo Emerging Markets Bond Portfolio

     5.74       5.86       3,950,896     

Wells Fargo Factor Enhanced Emerging Markets Portfolio

     1.26       1.27       4,100,910     

Wells Fargo Factor Enhanced International Portfolio

     1.34       1.35       14,150,428     

Wells Fargo Factor Enhanced Large Cap Portfolio

     1.55       1.55       27,619,330     

Wells Fargo Factor Enhanced Small Cap Portfolio

     1.60       1.59       6,970,461     

Wells Fargo High Yield Corporate Bond Portfolio

     3.30       3.31       3,952,004     

Wells Fargo Investment Grade Corporate Bond Portfolio

     5.71       5.82       24,256,843     

Wells Fargo Strategic Retirement Bond Portfolio

     13.57       14.04       15,780,483     

Wells Fargo U.S. REIT Portfolio

     7.72       7.69       4,894,797     
      

 

 

    

 

 

 
       $ 152,325,951        100.08
      

 

 

    

 

 

 


Wells Fargo Target 2015 Fund (the “Fund”)

Notes to Portfolio of investments – May 31, 2018 (unaudited)

 

The Fund is a fund-of fund that invests in multiple diversified portfolios (each, an “affiliated Master Portfolio”, collectively, the “affiliated Master Portfolios”) of Wells Fargo Master Trust, a registered open-end management investment company. Each affiliated Master Portfolio directly acquires portfolio securities, and the Fund acquires an indirect interest in those securities. The affiliated Master Portfolios in turn invest in a combination of securities to gain exposure to equity and fixed income asset classes.

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 Fund may deviate from this calculation under unusual or unexpected circumstances.

Investments in an affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of each affiliated Master Portfolio’s net assets, which is also valued daily.

Fair valuation measurements

At May 31, 2018, the affiliated Master Portfolios in aggregate were valued at $152,325,951, do not have a redemption period notice, can be redeemed daily and do not have any unfunded commitments.

As of May 31, 2018, the Fund’s investment in an affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective of each affiliated Master Portfolio is as follows:

 

Affiliated Master Portfolio    Investment objective

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

  

Seeks to replicate the total return of the Bloomberg Barclays U.S. ex-Corporate Index, before fees and expenses

Wells Fargo Emerging Markets Bond Portfolio

  

Seeks to replicate the total return of the JP Morgan EMBI Global Diversified Index, before fees and expenses

Wells Fargo Factor Enhanced Emerging Markets Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Emerging Markets Index, before fees and expenses

Wells Fargo Factor Enhanced International Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced International Index, before fees and expenses

Wells Fargo Factor Enhanced Large Cap Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Large Cap Index, before fees and expenses

Wells Fargo Factor Enhanced Small Cap Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Small Cap Index, before fees and expenses

Wells Fargo High Yield Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. High Yield Bond Index, before fees and expenses

Wells Fargo Investment Grade Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. Investment Grade Corporate Bond Index, before fees and expenses

Wells Fargo Strategic Retirement Bond Portfolio

  

Seeks to replicate the total return of a blended index that is weighted 50% to the Bloomberg Barclays U.S. Treasury Inflation-Linked 1-10 Year Bond Index and 50% to the Bloomberg Barclays U.S. Intermediate Government Bond Index, before fees and expenses

Wells Fargo U.S. REIT Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. REIT Index, before fees and expenses


Wells Fargo Target 2020 Fund    Portfolio of investments — May 31, 2018 (unaudited)

 

Security name               Value  

Investment Companies : 100.21%

       

Affiliated Master Portfolios : 100.21%

       

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

        $ 214,537,391  

Wells Fargo Emerging Markets Bond Portfolio

          18,045,389  

Wells Fargo Factor Enhanced Emerging Markets Portfolio

          25,811,889  

Wells Fargo Factor Enhanced International Portfolio

          90,125,548  

Wells Fargo Factor Enhanced Large Cap Portfolio

          170,712,745  

Wells Fargo Factor Enhanced Small Cap Portfolio

          43,473,363  

Wells Fargo High Yield Corporate Bond Portfolio

          18,062,830  

Wells Fargo Investment Grade Corporate Bond Portfolio

          111,415,848  

Wells Fargo Strategic Retirement Bond Portfolio

          53,961,305  

Wells Fargo U.S. REIT Portfolio

          22,078,714  

Total Investment Companies (Cost $715,773,684)

 

       768,225,022  
       

 

 

 

Total investments in securities (Cost $715,773,684)

     100.21        768,225,022  

Other assets and liabilities, net

     (0.21        (1,610,574
  

 

 

      

 

 

 

Total net assets

     100.00      $ 766,614,448  
  

 

 

      

 

 

 

Abbreviations:

 

REIT

Real estate investment trust

 

1


Investments in Affiliates

Transactions with the affiliated Master Portfolios were as follows:

 

    

% of ownership,

beginning of period

   

% of ownership,

end of period

   

Value, end of,

period

    

% of,

net

assets

 

Affiliated Master Portfolios

         

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

     23.29     23.03   $ 214,537,391     

Wells Fargo Emerging Markets Bond Portfolio

     26.96       26.77       18,045,389     

Wells Fargo Factor Enhanced Emerging Markets Portfolio

     8.15       8.00       25,811,889     

Wells Fargo Factor Enhanced International Portfolio

     8.68       8.59       90,125,548     

Wells Fargo Factor Enhanced Large Cap Portfolio

     9.72       9.61       170,712,745     

Wells Fargo Factor Enhanced Small Cap Portfolio

     10.19       9.95       43,473,363     

Wells Fargo High Yield Corporate Bond Portfolio

     15.50       15.14       18,062,830     

Wells Fargo Investment Grade Corporate Bond Portfolio

     26.91       26.75       111,415,848     

Wells Fargo Strategic Retirement Bond Portfolio

     47.61       48.00       53,961,305     

Wells Fargo U.S. REIT Portfolio

     35.62       34.67       22,078,714     
      

 

 

    

 

 

 
       $ 768,225,022        100.21
      

 

 

    

 

 

 


Wells Fargo Target 2020 Fund (the “Fund”)

Notes to Portfolio of investments – May 31, 2018 (unaudited)

 

The Fund is a fund-of fund that invests in multiple diversified portfolios (each, an “affiliated Master Portfolio”, collectively, the “affiliated Master Portfolios”) of Wells Fargo Master Trust, a registered open-end management investment company. Each affiliated Master Portfolio directly acquires portfolio securities, and the Fund acquires an indirect interest in those securities. The affiliated Master Portfolios in turn invest in a combination of securities to gain exposure to equity and fixed income asset classes.

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 Fund may deviate from this calculation under unusual or unexpected circumstances.

Investments in an affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of each affiliated Master Portfolio’s net assets, which is also valued daily.

Fair valuation measurements

At May 31, 2018, the affiliated Master Portfolios in aggregate were valued at $768,225,022, do not have a redemption period notice, can be redeemed daily and do not have any unfunded commitments.

As of May 31, 2018, the Fund’s investment in an affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective of each affiliated Master Portfolio is as follows:

 

Affiliated Master Portfolio    Investment objective

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

  

Seeks to replicate the total return of the Bloomberg Barclays U.S. ex-Corporate Index, before fees and expenses

Wells Fargo Emerging Markets Bond Portfolio

  

Seeks to replicate the total return of the JP Morgan EMBI Global Diversified Index, before fees and expenses

Wells Fargo Factor Enhanced Emerging Markets Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Emerging Markets Index, before fees and expenses

Wells Fargo Factor Enhanced International Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced International Index, before fees and expenses

Wells Fargo Factor Enhanced Large Cap Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Large Cap Index, before fees and expenses

Wells Fargo Factor Enhanced Small Cap Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Small Cap Index, before fees and expenses

Wells Fargo High Yield Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. High Yield Bond Index, before fees and expenses

Wells Fargo Investment Grade Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. Investment Grade Corporate Bond Index, before fees and expenses

Wells Fargo Strategic Retirement Bond Portfolio

  

Seeks to replicate the total return of a blended index that is weighted 50% to the Bloomberg Barclays U.S. Treasury Inflation-Linked 1-10 Year Bond Index and 50% to the Bloomberg Barclays U.S. Intermediate Government Bond Index, before fees and expenses

Wells Fargo U.S. REIT Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. REIT Index, before fees and expenses


Wells Fargo Target 2025 Fund    Portfolio of investments — May 31, 2018 (unaudited)

 

Security name               Value  

Investment Companies : 100.11%

       

Affiliated Master Portfolios : 100.11%

       

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

        $ 104,177,600  

Wells Fargo Emerging Markets Bond Portfolio

          8,727,296  

Wells Fargo Factor Enhanced Emerging Markets Portfolio

          18,548,927  

Wells Fargo Factor Enhanced International Portfolio

          64,894,736  

Wells Fargo Factor Enhanced Large Cap Portfolio

          118,408,707  

Wells Fargo Factor Enhanced Small Cap Portfolio

          30,364,251  

Wells Fargo High Yield Corporate Bond Portfolio

          8,740,635  

Wells Fargo Investment Grade Corporate Bond Portfolio

          54,136,083  

Wells Fargo Strategic Retirement Bond Portfolio

          11,960,877  

Wells Fargo U.S. REIT Portfolio

          6,951,013  

Total Investment Companies (Cost $405,855,035)

 

       426,910,125  
       

 

 

 

Total investments in securities (Cost $405,855,035)

     100.11 %         426,910,125  

Other assets and liabilities, net

     (0.11        (462,374
  

 

 

      

 

 

 

Total net assets

     100.00 %       $ 426,447,751  
  

 

 

      

 

 

 

Abbreviations:

 

REIT

Real estate investment trust

 

1


Investments in Affiliates

Transactions with the affiliated Master Portfolios were as follows:

 

    

% of ownership,

beginning of period

   

% of ownership,

end of period

   

Value, end of,

period

    

% of,

net

assets

 

Affiliated Master Portfolios

         

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

     10.88     11.19   $ 104,177,600     

Wells Fargo Emerging Markets Bond Portfolio

     12.55       12.95       8,727,296     

Wells Fargo Factor Enhanced Emerging Markets Portfolio

     5.71       5.75       18,548,927     

Wells Fargo Factor Enhanced International Portfolio

     6.08       6.19       64,894,736     

Wells Fargo Factor Enhanced Large Cap Portfolio

     6.53       6.66       118,408,707     

Wells Fargo Factor Enhanced Small Cap Portfolio

     6.79       6.95       30,364,251     

Wells Fargo High Yield Corporate Bond Portfolio

     7.21       7.32       8,740,635     

Wells Fargo Investment Grade Corporate Bond Portfolio

     12.58       13.00       54,136,083     

Wells Fargo Strategic Retirement Bond Portfolio

     10.14       10.64       11,960,877     

Wells Fargo U.S. REIT Portfolio

     10.98       10.91       6,951,013     
      

 

 

    

 

 

 
       $ 426,910,125        100.11
      

 

 

    

 

 

 


Wells Fargo Target 2025 Fund (the “Fund”)

Notes to Portfolio of investments – May 31, 2018 (unaudited)

 

The Fund is a fund-of fund that invests in multiple diversified portfolios (each, an “affiliated Master Portfolio”, collectively, the “affiliated Master Portfolios”) of Wells Fargo Master Trust, a registered open-end management investment company. Each affiliated Master Portfolio directly acquires portfolio securities, and the Fund acquires an indirect interest in those securities. The affiliated Master Portfolios in turn invest in a combination of securities to gain exposure to equity and fixed income asset classes.

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 Fund may deviate from this calculation under unusual or unexpected circumstances.

Investments in an affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of each affiliated Master Portfolio’s net assets, which is also valued daily.

Fair valuation measurements

At May 31, 2018, the affiliated Master Portfolios in aggregate were valued at $426,910,125, do not have a redemption period notice, can be redeemed daily and do not have any unfunded commitments.

As of May 31, 2018, the Fund’s investment in an affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective of each affiliated Master Portfolio is as follows:

 

Affiliated Master Portfolio    Investment objective

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

  

Seeks to replicate the total return of the Bloomberg Barclays U.S. ex-Corporate Index, before fees and expenses

Wells Fargo Emerging Markets Bond Portfolio

  

Seeks to replicate the total return of the JP Morgan EMBI Global Diversified Index, before fees and expenses

Wells Fargo Factor Enhanced Emerging Markets Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Emerging Markets Index, before fees and expenses

Wells Fargo Factor Enhanced International Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced International Index, before fees and expenses

Wells Fargo Factor Enhanced Large Cap Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Large Cap Index, before fees and expenses

Wells Fargo Factor Enhanced Small Cap Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Small Cap Index, before fees and expenses

Wells Fargo High Yield Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. High Yield Bond Index, before fees and expenses

Wells Fargo Investment Grade Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. Investment Grade Corporate Bond Index, before fees and expenses

Wells Fargo Strategic Retirement Bond Portfolio

  

Seeks to replicate the total return of a blended index that is weighted 50% to the Bloomberg Barclays U.S. Treasury Inflation-Linked 1-10 Year Bond Index and 50% to the Bloomberg Barclays U.S. Intermediate Government Bond Index, before fees and expenses

Wells Fargo U.S. REIT Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. REIT Index, before fees and expenses


Wells Fargo Target 2030 Fund    Portfolio of investments — May 31, 2018 (unaudited)

 

Security name               Value  

Investment Companies : 100.10%

       

Affiliated Master Portfolios : 100.10%

       

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

        $ 174,331,968  

Wells Fargo Emerging Markets Bond Portfolio

          14,628,443  

Wells Fargo Factor Enhanced Emerging Markets Portfolio

          46,613,633  

Wells Fargo Factor Enhanced International Portfolio

          165,731,054  

Wells Fargo Factor Enhanced Large Cap Portfolio

          289,002,909  

Wells Fargo Factor Enhanced Small Cap Portfolio

          74,025,846  

Wells Fargo High Yield Corporate Bond Portfolio

          14,689,081  

Wells Fargo Investment Grade Corporate Bond Portfolio

          90,636,602  

Wells Fargo Strategic Retirement Bond Portfolio

          4,693,163  

Wells Fargo U.S. REIT Portfolio

          3,558,265  

Total Investment Companies (Cost $817,735,036)

 

       877,910,964  
       

 

 

 

Total investments in securities (Cost $817,735,036)

     100.10        877,910,964  

Other assets and liabilities, net

     (0.10        (854,772
  

 

 

      

 

 

 

Total net assets

     100.00      $ 877,056,192  
  

 

 

      

 

 

 

Abbreviations:

 

REIT

Real estate investment trust

 

1


Investments in Affiliates

Transactions with the affiliated Master Portfolios were as follows:

 

    

% of ownership,

beginning of period

   

% of ownership,

end of period

   

Value, end of,

period

    

% of,

net

assets

 

Affiliated Master Portfolios

         

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

     18.95     18.72   $ 174,331,968     

Wells Fargo Emerging Markets Bond Portfolio

     21.80       21.70       14,628,443     

Wells Fargo Factor Enhanced Emerging Markets Portfolio

     14.99       14.44       46,613,633     

Wells Fargo Factor Enhanced International Portfolio

     16.07       15.80       165,731,054     

Wells Fargo Factor Enhanced Large Cap Portfolio

     16.49       16.27       289,002,909     

Wells Fargo Factor Enhanced Small Cap Portfolio

     17.18       16.94       74,025,846     

Wells Fargo High Yield Corporate Bond Portfolio

     12.53       12.31       14,689,081     

Wells Fargo Investment Grade Corporate Bond Portfolio

     21.91       21.76       90,636,602     

Wells Fargo Strategic Retirement Bond Portfolio

     4.14       4.17       4,693,163     

Wells Fargo U.S. REIT Portfolio

     5.78       5.59       3,558,265     
      

 

 

    

 

 

 
       $ 877,910,964        100.10
      

 

 

    

 

 

 


Wells Fargo Target 2030 Fund (the “Fund”)

Notes to Portfolio of investments – May 31, 2018 (unaudited)

 

The Fund is a fund-of fund that invests in multiple diversified portfolios (each, an “affiliated Master Portfolio”, collectively, the “affiliated Master Portfolios”) of Wells Fargo Master Trust, a registered open-end management investment company. Each affiliated Master Portfolio directly acquires portfolio securities, and the Fund acquires an indirect interest in those securities. The affiliated Master Portfolios in turn invest in a combination of securities to gain exposure to equity and fixed income asset classes.

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 Fund may deviate from this calculation under unusual or unexpected circumstances.

Investments in an affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of each affiliated Master Portfolio’s net assets, which is also valued daily.

Fair valuation measurements

At May 31, 2018, the affiliated Master Portfolios in aggregate were valued at $877,910,964, do not have a redemption period notice, can be redeemed daily and do not have any unfunded commitments.

As of May 31, 2018, the Fund’s investment in an affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective of each affiliated Master Portfolio is as follows:

 

Affiliated Master Portfolio    Investment objective

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

  

Seeks to replicate the total return of the Bloomberg Barclays U.S. ex-Corporate Index, before fees and expenses

Wells Fargo Emerging Markets Bond Portfolio

  

Seeks to replicate the total return of the JP Morgan EMBI Global Diversified Index, before fees and expenses

Wells Fargo Factor Enhanced Emerging Markets Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Emerging Markets Index, before fees and expenses

Wells Fargo Factor Enhanced International Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced International Index, before fees and expenses

Wells Fargo Factor Enhanced Large Cap Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Large Cap Index, before fees and expenses

Wells Fargo Factor Enhanced Small Cap Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Small Cap Index, before fees and expenses

Wells Fargo High Yield Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. High Yield Bond Index, before fees and expenses

Wells Fargo Investment Grade Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. Investment Grade Corporate Bond Index, before fees and expenses

Wells Fargo Strategic Retirement Bond Portfolio

  

Seeks to replicate the total return of a blended index that is weighted 50% to the Bloomberg Barclays U.S. Treasury Inflation-Linked 1-10 Year Bond Index and 50% to the Bloomberg Barclays U.S. Intermediate Government Bond Index, before fees and expenses

Wells Fargo U.S. REIT Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. REIT Index, before fees and expenses


Wells Fargo Target 2035 Fund    Portfolio of investments — May 31, 2018 (unaudited)

 

Security name               Value  

Investment Companies : 100.05%

       

Affiliated Master Portfolios : 100.05%

       

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

        $ 57,684,290  

Wells Fargo Emerging Markets Bond Portfolio

          4,839,306  

Wells Fargo Factor Enhanced Emerging Markets Portfolio

          25,932,121  

Wells Fargo Factor Enhanced International Portfolio

          89,863,192  

Wells Fargo Factor Enhanced Large Cap Portfolio

          150,732,959  

Wells Fargo Factor Enhanced Small Cap Portfolio

          38,728,910  

Wells Fargo High Yield Corporate Bond Portfolio

          4,823,254  

Wells Fargo Investment Grade Corporate Bond Portfolio

          29,951,167  

Total Investment Companies (Cost $379,684,777)

 

       402,555,199  
       

 

 

 

Total investments in securities (Cost $379,684,777)

     100.05        402,555,199  

Other assets and liabilities, net

     (0.05        (191,288
  

 

 

      

 

 

 

Total net assets

     100.00      $ 402,363,911  
  

 

 

      

 

 

 

 

1


Investments in Affiliates

Transactions with the affiliated Master Portfolios were as follows:

 

    

% of ownership,

beginning of period

   

% of ownership,

end of period

   

Value, end of

period

     % of
net
assets
 

Affiliated Master Portfolios

         

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

     5.99     14.33   $ 57,684,290     

Wells Fargo Emerging Markets Bond Portfolio

     6.91       1.20       4,839,306     

Wells Fargo Factor Enhanced Emerging Markets Portfolio

     7.89       6.44       25,932,121     

Wells Fargo Factor Enhanced International Portfolio

     8.45       22.32       89,863,192     

Wells Fargo Factor Enhanced Large Cap Portfolio

     8.35       37.45       150,732,959     

Wells Fargo Factor Enhanced Small Cap Portfolio

     8.62       9.62       38,728,910     

Wells Fargo High Yield Corporate Bond Portfolio

     3.97       1.20       4,823,254     

Wells Fargo Investment Grade Corporate Bond Portfolio

     6.92       7.44       29,951,167     
      

 

 

    

 

 

 
       $ 402,555,199        100.05
      

 

 

    

 

 

 


Wells Fargo Target 2035 Fund (the “Fund”)

Notes to Portfolio of investments – May 31, 2018 (unaudited)

 

The Fund is a fund-of fund that invests in multiple diversified portfolios (each, an “affiliated Master Portfolio”, collectively, the “affiliated Master Portfolios”) of Wells Fargo Master Trust, a registered open-end management investment company. Each affiliated Master Portfolio directly acquires portfolio securities, and the Fund acquires an indirect interest in those securities. The affiliated Master Portfolios in turn invest in a combination of securities to gain exposure to equity and fixed income asset classes.

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 Fund may deviate from this calculation under unusual or unexpected circumstances.

Investments in an affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of each affiliated Master Portfolio’s net assets, which is also valued daily.

Fair valuation measurements

At May 31, 2018, the affiliated Master Portfolios in aggregate were valued at $402,555,199, do not have a redemption period notice, can be redeemed daily and do not have any unfunded commitments.

As of May 31, 2018, the Fund’s investment in an affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective of each affiliated Master Portfolio is as follows:

 

Affiliated Master Portfolio    Investment objective

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

  

Seeks to replicate the total return of the Bloomberg Barclays U.S. ex-Corporate Index, before fees and expenses

Wells Fargo Emerging Markets Bond Portfolio

  

Seeks to replicate the total return of the JP Morgan EMBI Global Diversified Index, before fees and expenses

Wells Fargo Factor Enhanced Emerging Markets Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Emerging Markets Index, before fees and expenses

Wells Fargo Factor Enhanced International Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced International Index, before fees and expenses

Wells Fargo Factor Enhanced Large Cap Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Large Cap Index, before fees and expenses

Wells Fargo Factor Enhanced Small Cap Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Small Cap Index, before fees and expenses

Wells Fargo High Yield Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. High Yield Bond Index, before fees and expenses

Wells Fargo Investment Grade Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. Investment Grade Corporate Bond Index, before fees and expenses


Wells Fargo Target 2040 Fund    Portfolio of investments — May 31, 2018 (unaudited)

 

Security name               Value  

Investment Companies : 100.15%

       

Affiliated Master Portfolios : 100.15%

       

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

        $ 77,478,971  

Wells Fargo Emerging Markets Bond Portfolio

          6,513,307  

Wells Fargo Factor Enhanced Emerging Markets Portfolio

          54,228,644  

Wells Fargo Factor Enhanced International Portfolio

          191,548,837  

Wells Fargo Factor Enhanced Large Cap Portfolio

          311,337,395  

Wells Fargo Factor Enhanced Small Cap Portfolio

          79,646,244  

Wells Fargo High Yield Corporate Bond Portfolio

          6,520,168  

Wells Fargo Investment Grade Corporate Bond Portfolio

          40,230,410  

Total Investment Companies (Cost $710,067,188)

 

       767,503,976  
       

 

 

 

Total investments in securities (Cost $710,067,188)

     100.15        767,503,976  

Other assets and liabilities, net

     (0.15        (1,127,319
  

 

 

      

 

 

 

Total net assets

     100.00      $ 766,376,657  
  

 

 

      

 

 

 

 

1


Investments in Affiliates

Transactions with the affiliated Master Portfolios were as follows:

 

    

% of ownership,

beginning of period

   

% of ownership,

end of period

   

Value, end of

period

     % of
net
assets
 

Affiliated Master Portfolios

         

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

     8.29     10.09   $ 77,478,971     

Wells Fargo Emerging Markets Bond Portfolio

     9.57       0.85       6,513,307     

Wells Fargo Factor Enhanced Emerging Markets Portfolio

     17.25       7.07       54,228,644     

Wells Fargo Factor Enhanced International Portfolio

     18.39       24.96       191,548,837     

Wells Fargo Factor Enhanced Large Cap Portfolio

     17.62       40.56       311,337,395     

Wells Fargo Factor Enhanced Small Cap Portfolio

     18.26       10.38       79,646,244     

Wells Fargo High Yield Corporate Bond Portfolio

     5.50       0.85       6,520,168     

Wells Fargo Investment Grade Corporate Bond Portfolio

     9.58       5.24       40,230,410     
      

 

 

    

 

 

 
       $ 767,503,976        100.15
      

 

 

    

 

 

 


Wells Fargo Target 2040 Fund (the “Fund”)

Notes to Portfolio of investments – May 31, 2018 (unaudited)

 

The Fund is a fund-of-funds that invests in multiple diversified master portfolios (each, an “affiliated Master Portfolio”, collectively, the “affiliated Master Portfolios”) of Wells Fargo Master Trust, a registered open-end management investment company. Each affiliated Master Portfolio invests in a combination of securities to gain exposure to equity and fixed income asset classes. Each affiliated Master Portfolio directly acquires portfolio securities and the Fund acquires an indirect interest in those securities.

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 Fund may deviate from this calculation under unusual or unexpected circumstances.

Investments in an affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of each affiliated Master Portfolio’s net assets, which is also valued daily.

Fair valuation measurements

At May 31, 2018, the affiliated Master Portfolios in aggregate were valued at $767,503,976, do not have a redemption period notice, can be redeemed daily and do not have any unfunded commitments.

As of May 31, 2018, each Fund’s investment in an affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective of each affiliated Master Portfolios is as follows:

 

Affiliated Master Portfolio    Investment objective

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

  

Seeks to replicate the total return of the Bloomberg Barclays U.S. ex-Corporate Index, before fees and expenses

Wells Fargo Emerging Markets Bond Portfolio

  

Seeks to replicate the total return of the JP Morgan EMBI Global Diversified Index, before fees and expenses

Wells Fargo Factor Enhanced Emerging Markets Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Emerging Markets Index, before fees and expenses

Wells Fargo Factor Enhanced International Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced International Index, before fees and expenses

Wells Fargo Factor Enhanced Large Cap Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Large Cap Index, before fees and expenses

Wells Fargo Factor Enhanced Small Cap Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Small Cap Index, before fees and expenses

Wells Fargo High Yield Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. High Yield Bond Index, before fees and expenses

Wells Fargo Investment Grade Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. Investment Grade Corporate Bond Index, before fees and expenses


Wells Fargo Target 2045 Fund    Portfolio of investments — May 31, 2018 (unaudited)

 

Security name               Value  

Investment Companies : 100.01%

       

Affiliated Master Portfolios : 100.01%

       

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

        $ 18,284,748  

Wells Fargo Emerging Markets Bond Portfolio

          1,540,070  

Wells Fargo Factor Enhanced Emerging Markets Portfolio

          20,527,760  

Wells Fargo Factor Enhanced International Portfolio

          68,990,132  

Wells Fargo Factor Enhanced Large Cap Portfolio

          109,624,958  

Wells Fargo Factor Enhanced Small Cap Portfolio

          28,274,000  

Wells Fargo High Yield Corporate Bond Portfolio

          1,526,965  

Wells Fargo Investment Grade Corporate Bond Portfolio

          9,493,912  

Total Investment Companies (Cost $244,110,401)

 

       258,262,545  
       

 

 

 

Total investments in securities (Cost $244,110,401)

     100.01 %         258,262,545  

Other assets and liabilities, net

     (0.01        (32,631
  

 

 

      

 

 

 

Total net assets

     100.00 %       $ 258,229,914  
  

 

 

      

 

 

 

 

1


Investments in Affiliates

Transactions with the affiliated Master Portfolios were as follows:

 

    

% of ownership,

beginning of period

   

% of ownership,

end of period

   

Value, end of

period

    

% of

net

assets

 

Affiliated Master Portfolios

         

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

     1.95     1.96   $ 18,284,748     

Wells Fargo Emerging Markets Bond Portfolio

     2.25       2.28       1,540,070     

Wells Fargo Factor Enhanced Emerging Markets Portfolio

     6.11       6.36       20,527,760     

Wells Fargo Factor Enhanced International Portfolio

     6.54       6.58       68,990,132     

Wells Fargo Factor Enhanced Large Cap Portfolio

     6.15       6.17       109,624,958     

Wells Fargo Factor Enhanced Small Cap Portfolio

     6.35       6.47       28,274,000     

Wells Fargo High Yield Corporate Bond Portfolio

     1.29       1.28       1,526,965     

Wells Fargo Investment Grade Corporate Bond Portfolio

     2.25       2.28       9,493,912     
      

 

 

    

 

 

 
       $ 258,262,545        100.01
      

 

 

    

 

 

 


Wells Fargo Target 2045 Fund (the “Fund”)

Notes to Portfolio of investments – May 31, 2018 (unaudited)

 

The Fund is a fund-of fund that invests in multiple diversified portfolios (each, an “affiliated Master Portfolio”, collectively, the “affiliated Master Portfolios”) of Wells Fargo Master Trust, a registered open-end management investment company. Each affiliated Master Portfolio directly acquires portfolio securities, and the Fund acquires an indirect interest in those securities. The affiliated Master Portfolios in turn invest in a combination of securities to gain exposure to equity and fixed income asset classes.

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 Fund may deviate from this calculation under unusual or unexpected circumstances.

Investments in an affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of each affiliated Master Portfolio’s net assets, which is also valued daily.

Fair valuation measurements

At May 31, 2018, the affiliated Master Portfolios in aggregate were valued at $258,262,545, do not have a redemption period notice, can be redeemed daily and do not have any unfunded commitments.

As of May 31, 2018, each Fund’s investment in an affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective of each affiliated Master Portfolios is as follows:

 

Affiliated Master Portfolio    Investment objective

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

  

Seeks to replicate the total return of the Bloomberg Barclays U.S. ex-Corporate Index, before fees and expenses

Wells Fargo Emerging Markets Bond Portfolio

  

Seeks to replicate the total return of the JP Morgan EMBI Global Diversified Index, before fees and expenses

Wells Fargo Factor Enhanced Emerging Markets Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Emerging Markets Index, before fees and expenses

Wells Fargo Factor Enhanced International Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced International Index, before fees and expenses

Wells Fargo Factor Enhanced Large Cap Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Large Cap Index, before fees and expenses

Wells Fargo Factor Enhanced Small Cap Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Small Cap Index, before fees and expenses

Wells Fargo High Yield Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. High Yield Bond Index, before fees and expenses

Wells Fargo Investment Grade Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. Investment Grade Corporate Bond Index, before fees and expenses


Wells Fargo Target 2050 Fund    Portfolio of investments — May 31, 2018 (unaudited)

 

Security name               Value  

Investment Companies : 100.06%

       

Affiliated Master Portfolios : 100.06%

       

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

        $ 24,841,179  

Wells Fargo Emerging Markets Bond Portfolio

          2,083,716  

Wells Fargo Factor Enhanced Emerging Markets Portfolio

          33,521,639  

Wells Fargo Factor Enhanced International Portfolio

          114,117,641  

Wells Fargo Factor Enhanced Large Cap Portfolio

          179,801,926  

Wells Fargo Factor Enhanced Small Cap Portfolio

          46,153,334  

Wells Fargo High Yield Corporate Bond Portfolio

          2,089,042  

Wells Fargo Investment Grade Corporate Bond Portfolio

          12,918,308  

Total Investment Companies (Cost $385,902,345)

 

       415,526,785  
       

 

 

 

Total investments in securities (Cost $385,902,345)

     100.06        415,526,785  

Other assets and liabilities, net

     (0.06        (240,555
  

 

 

      

 

 

 

Total net assets

     100.00      $ 415,286,230  
  

 

 

      

 

 

 

 

1


Investments in Affiliates

Transactions with the affiliated Master Portfolios were as follows:

 

     % of ownership,
beginning of period
    % of ownership,
end of period
    Value, end of
period
    

% of

net

assets

 

Affiliated Master Portfolios

         

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

     2.65     5.98   $ 24,841,179     

Wells Fargo Emerging Markets Bond Portfolio

     3.06       0.50       2,083,716     

Wells Fargo Factor Enhanced Emerging Markets Portfolio

     10.32       8.07       33,521,639     

Wells Fargo Factor Enhanced International Portfolio

     11.03       27.46       114,117,641     

Wells Fargo Factor Enhanced Large Cap Portfolio

     10.27       43.27       179,801,926     

Wells Fargo Factor Enhanced Small Cap Portfolio

     10.65       11.11       46,153,334     

Wells Fargo High Yield Corporate Bond Portfolio

     1.76       0.50       2,089,042     

Wells Fargo Investment Grade Corporate Bond Portfolio

     3.06       3.11       12,918,308     
      

 

 

    

 

 

 
       $ 415,526,785        100.06
      

 

 

    

 

 

 


Wells Fargo Target 2050 Fund (the “Fund”)

Notes to Portfolio of investments – May 31, 2018 (unaudited)

 

The Fund is a fund-of-funds that invests in multiple diversified portfolios (each, an “affiliated Master Portfolio”, collectively, the “affiliated Master Portfolios”) of Wells Fargo Master Trust, a registered open-end management investment company. Each affiliated Master Portfolio invests in a combination of securities to gain exposure to equity and fixed income asset classes. Each affiliated Master Portfolio directly acquires portfolio securities and the Fund acquires an indirect interest in those securities.

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 Fund may deviate from this calculation under unusual or unexpected circumstances.

Investments in an affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of each affiliated Master Portfolio’s net assets, which is also valued daily.

Fair valuation measurements

At May 31, 2018, the affiliated Master Portfolios in aggregate were valued at $415,526,785, do not have a redemption period notice, can be redeemed daily and do not have any unfunded commitments.

As of May 31, 2018, each Fund’s investment in an affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective of each affiliated Master Portfolios is as follows:

 

Affiliated Master Portfolio    Investment objective

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

  

Seeks to replicate the total return of the Bloomberg Barclays U.S. ex-Corporate Index, before fees and expenses

Wells Fargo Emerging Markets Bond Portfolio

  

Seeks to replicate the total return of the JP Morgan EMBI Global Diversified Index, before fees and expenses

Wells Fargo Factor Enhanced Emerging Markets Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Emerging Markets Index, before fees and expenses

Wells Fargo Factor Enhanced International Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced International Index, before fees and expenses

Wells Fargo Factor Enhanced Large Cap Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Large Cap Index, before fees and expenses

Wells Fargo Factor Enhanced Small Cap Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Small Cap Index, before fees and expenses

Wells Fargo High Yield Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. High Yield Bond Index, before fees and expenses

Wells Fargo Investment Grade Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. Investment Grade Corporate Bond Index, before fees and expenses


Wells Fargo Target 2055 Fund    Portfolio of investments — May 31, 2018 (unaudited)

 

Security name               Value  

Investment Companies : 100.31%

       

Affiliated Master Portfolios : 100.31%

       

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

        $ 4,956,566  

Wells Fargo Emerging Markets Bond Portfolio

          417,170  

Wells Fargo Factor Enhanced Emerging Markets Portfolio

          6,847,524  

Wells Fargo Factor Enhanced International Portfolio

          22,991,437  

Wells Fargo Factor Enhanced Large Cap Portfolio

          35,929,786  

Wells Fargo Factor Enhanced Small Cap Portfolio

          9,225,481  

Wells Fargo High Yield Corporate Bond Portfolio

          418,900  

Wells Fargo Investment Grade Corporate Bond Portfolio

          2,575,527  

Total Investment Companies (Cost $81,237,361)

 

       83,362,391  
       

 

 

 

Total investments in securities (Cost $81,237,361)

     100.31        83,362,391  

Other assets and liabilities, net

     (0.31        (258,717
  

 

 

      

 

 

 

Total net assets

     100.00      $ 83,103,674  
  

 

 

      

 

 

 

 

1


Investments in Affiliates

Transactions with the affiliated Master Portfolios were as follows:

 

    

% of ownership,

beginning of period

   

% of ownership,

end of period

    Value, end of
period
     % of
net
assets
 

Affiliated Master Portfolios

         

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

     0.52     0.53   $ 4,956,566     

Wells Fargo Emerging Markets Bond Portfolio

     0.61       0.62       417,170     

Wells Fargo Factor Enhanced Emerging Markets Portfolio

     2.02       2.12       6,847,524     

Wells Fargo Factor Enhanced International Portfolio

     2.16       2.19       22,991,437     

Wells Fargo Factor Enhanced Large Cap Portfolio

     2.01       2.02       35,929,786     

Wells Fargo Factor Enhanced Small Cap Portfolio

     2.09       2.11       9,225,481     

Wells Fargo High Yield Corporate Bond Portfolio

     0.35       0.35       418,900     

Wells Fargo Investment Grade Corporate Bond Portfolio

     0.61       0.62       2,575,527     
      

 

 

    

 

 

 
       $ 83,362,391        100.31
      

 

 

    

 

 

 


Wells Fargo Target 2055 Fund (the “Fund”)

Notes to Portfolio of investments – May 31, 2018 (unaudited)

 

The Fund is a fund-of-funds that invests in multiple diversified master portfolios (each, an “affiliated Master Portfolio”, collectively, the “affiliated Master Portfolios”) of Wells Fargo Master Trust, a registered open-end management investment company. Each affiliated Master Portfolio invests in a combination of securities to gain exposure to equity and fixed income asset classes. Each affiliated Master Portfolio directly acquires portfolio securities and the Fund acquires an indirect interest in those securities.

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 Fund may deviate from this calculation under unusual or unexpected circumstances.

Investments in an affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of each affiliated Master Portfolio’s net assets, which is also valued daily.

Fair valuation measurements

At May 31, 2018, the affiliated Master Portfolios in aggregate were valued at $83,362,391, do not have a redemption period notice, can be redeemed daily and do not have any unfunded commitments.

As of May 31, 2018, each Fund’s investment in an affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective of each affiliated Master Portfolios is as follows:

 

Affiliated Master Portfolio    Investment objective

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

  

Seeks to replicate the total return of the Bloomberg Barclays U.S. ex-Corporate Index, before fees and expenses

Wells Fargo Emerging Markets Bond Portfolio

  

Seeks to replicate the total return of the JP Morgan EMBI Global Diversified Index, before fees and expenses

Wells Fargo Factor Enhanced Emerging Markets Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Emerging Markets Index, before fees and expenses

Wells Fargo Factor Enhanced International Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced International Index, before fees and expenses

Wells Fargo Factor Enhanced Large Cap Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Large Cap Index, before fees and expenses

Wells Fargo Factor Enhanced Small Cap Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Small Cap Index, before fees and expenses

Wells Fargo High Yield Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. High Yield Bond Index, before fees and expenses

Wells Fargo Investment Grade Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. Investment Grade Corporate Bond Index, before fees and expenses


Wells Fargo Target 2060 Fund    Portfolio of investments — May 31, 2018 (unaudited)

 

 

Security name               Value  

Investment Companies : 101.21%

       

Affiliated Master Portfolios : 101.21%

       

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

 

     $ 1,451,684  

Wells Fargo Emerging Markets Bond Portfolio

 

       122,175  

Wells Fargo Factor Enhanced Emerging Markets Portfolio

 

       2,002,763  

Wells Fargo Factor Enhanced International Portfolio

 

       6,698,441  

Wells Fargo Factor Enhanced Large Cap Portfolio

 

       10,421,948  

Wells Fargo Factor Enhanced Small Cap Portfolio

 

       2,640,997  

Wells Fargo High Yield Corporate Bond Portfolio

 

       122,682  

Wells Fargo Investment Grade Corporate Bond Portfolio

 

       754,287  

Total Investment Companies (Cost $22,222,337)

 

       24,214,977  
       

 

 

 

Total investments in securities (Cost $22,222,337)

     101.21        24,214,977  

Other assets and liabilities, net

     (1.21        (290,594
  

 

 

      

 

 

 

Total net assets

     100.00      $ 23,924,383  
  

 

 

      

 

 

 

 

1


Investments in Affiliates

Transactions with the affiliated Master Portfolios were as follows:

 

    

% of ownership,

beginning of period

   

% of ownership,

end of period

    Value, end of
period
     % of
net
assets
 

Affiliated Master Portfolios

         

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

     0.13     5.99   $ 1,451,684     

Wells Fargo Emerging Markets Bond Portfolio

     0.15       0.50       122,175     

Wells Fargo Factor Enhanced Emerging Markets Portfolio

     0.51       8.27       2,002,763     

Wells Fargo Factor Enhanced International Portfolio

     0.55       27.66       6,698,441     

Wells Fargo Factor Enhanced Large Cap Portfolio

     0.51       43.05       10,421,948     

Wells Fargo Factor Enhanced Small Cap Portfolio

     0.53       10.91       2,640,997     

Wells Fargo High Yield Corporate Bond Portfolio

     0.09       0.51       122,682     

Wells Fargo Investment Grade Corporate Bond Portfolio

     0.15       3.11       754,287     
      

 

 

    

 

 

 
       $ 24,214,977        101.21
      

 

 

    

 

 

 


Wells Fargo Target 2060 Fund (the “Fund”)

Notes to Portfolio of investments – May 31, 2018 (unaudited)

 

The Fund is a fund-of-funds that invests in multiple diversified portfolios (each, an “affiliated Master Portfolio”, collectively, the “affiliated Master Portfolios”) of Wells Fargo Master Trust, a registered open-end management investment company. Each affiliated Master Portfolio invests in a combination of securities to gain exposure to equity and fixed income asset classes. Each affiliated Master Portfolio directly acquires portfolio securities and the Fund acquires an indirect interest in those securities.

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 Fund may deviate from this calculation under unusual or unexpected circumstances.

Investments in an affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of each affiliated Master Portfolio’s net assets, which is also valued daily.

Fair valuation measurements

At May 31, 2018, the affiliated Master Portfolios in aggregate were valued at $24,214,977, do not have a redemption period notice, can be redeemed daily and do not have any unfunded commitments.

As of May 31, 2018, each Fund’s investment in an affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective of each affiliated Master Portfolios is as follows:

 

Affiliated Master Portfolio    Investment objective

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

  

Seeks to replicate the total return of the Bloomberg Barclays U.S. ex-Corporate Index, before fees and expenses

Wells Fargo Emerging Markets Bond Portfolio

  

Seeks to replicate the total return of the JP Morgan EMBI Global Diversified Index, before fees and expenses

Wells Fargo Factor Enhanced Emerging Markets Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Emerging Markets Index, before fees and expenses

Wells Fargo Factor Enhanced International Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced International Index, before fees and expenses

Wells Fargo Factor Enhanced Large Cap Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Large Cap Index, before fees and expenses

Wells Fargo Factor Enhanced Small Cap Portfolio

  

Seeks to replicate the total return of the Wells Fargo Factor Enhanced Small Cap Index, before fees and expenses

Wells Fargo High Yield Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. High Yield Bond Index, before fees and expenses

Wells Fargo Investment Grade Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. Investment Grade Corporate Bond Index, before fees and expenses


Wells Fargo Emerging Markets Bond Fund    Portfolio of investments — May 31, 2018 (unaudited)

 

Security name               Value  

Investment Companies : 99.41%

       

Affiliated Master Portfolio : 99.41%

       

Wells Fargo Emerging Markets Bond Portfolio

        $ 9,529  
       

 

 

 

Total Investment Companies (Cost $9,958)

 

       9,529  
       

 

 

 

Total investments in securities (Cost $9,958)

     99.41        9,529  

Other assets and liabilities, net

     0.59          57  
  

 

 

      

 

 

 

Total net assets

     100.00      $ 9,586  
  

 

 

      

 

 

 

 

1


Investments In Affiliates

Transactions with the affiliated Master Portfolio were as follows:

 

    

% of ownership,

beginning of period

    % of ownership,
end of period
    Value, end of
period
     % of
net
assets
 

Wells Fargo Emerging Markets Bond Portfolio

     0.01     0.01   $ 9,529        99.41


Wells Fargo Emerging Markets Bond Fund (the “Fund”)

Notes to Portfolio of investments – May 31, 2018 (unaudited)

 

The Fund is a feeder fund in a master-feeder structure that seeks to achieve its investment objective by investing substantially all investable assets in a separate diversified portfolio (the “affiliated Master Portfolio”) of Wells Fargo Master Trust, a registered open-end management investment company. Since the affiliated Master Portfolio directly acquires portfolio securities, the Fund acquires an indirect interest in those securities. A portfolio of investments for the affiliated Master Portfolio is included with this filing.

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 Fund may deviate from this calculation under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of the affiliated Master Portfolio’s net assets, which is also valued daily.

Fair valuation measurements

At May 31, 2018, the Fund’s investment in Wells Fargo Emerging Markets Bond Portfolio, the affiliated Master Portfolio with a substantially identical investment objective seeking to replicate the total return of the JP Morgan EMBI Global Diversified Index, before fees and expenses, was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. At May 31, 2018, the affiliated Master Portfolio valued at $9,529 does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.


Wells Fargo Factor Enhanced International Fund    Portfolio of investments — May 31, 2018 (unaudited)

 

Security name               Value  

Investment Companies : 99.85%

       

Affiliated Master Portfolio : 99.85%

       

Wells Fargo Factor Enhanced International Portfolio

        $ 10,559  
       

 

 

 

Total Investment Companies (Cost $9,982)

 

       10,559  
       

 

 

 

Total investments in securities (Cost $9,982)

     99.85        10,559  

Other assets and liabilities, net

     0.15          16  
  

 

 

      

 

 

 

Total net assets

     100.00      $ 10,575  
  

 

 

      

 

 

 

 

1


Investments in Affiliates

Transactions with the affiliated Master Portfolio was as follows:

 

    

% of ownership,

beginning of

period

   

% of ownership,

end of period

   

Value,

end of period

    

% of net

assets

 

Wells Fargo Factor Enhanced International Portfolio

     0.00 %*      0.00 %*    $ 10,559        99.85

 

*

The amount owned is less than 0.005%.


Wells Fargo Factor Enhanced International Fund (the “Fund”)

Notes to Portfolio of investments – May 31, 2018 (unaudited)

 

The Fund is a feeder fund in a master-feeder structure that seeks to achieve its investment objective by investing substantially all investable assets in a separate diversified portfolio (the “affiliated Master Portfolio”) of Wells Fargo Master Trust, a registered open-end management investment company. Since the affiliated Master Portfolio directly acquires portfolio securities, the Fund acquires an indirect interest in those securities. A portfolio of investments for the affiliated Master Portfolio is included with this filing.

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 Fund may deviate from this calculation under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of the affiliated Master Portfolio’s net assets, which is also valued daily.

Fair valuation measurements

At May 31, 2018, the Fund’s investment in Wells Fargo Factor Enhanced International Portfolio, the affiliated Master Portfolio with a substantially identical investment objective seeking to replicate the total return of the Wells Fargo Factor Enhanced International Index (Net), before fees and expenses, was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. At May 31, 2018, the affiliated Master Portfolio valued at $10,559 does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.


Wells Fargo Factor Enhanced Large Cap Fund    Portfolio of investments — May 31, 2018 (unaudited)

 

 

Security name               Value  

Investment Companies : 99.93%

       

Affiliated Master Portfolio : 99.93%

       

Wells Fargo Factor Enhanced Large Cap Portfolio

        $ 10,788  
       

 

 

 

Total Investment Companies (Cost $8,674)

 

       10,788  
       

 

 

 

Total investments in securities (Cost $8,674)

     99.93        10,788  

Other assets and liabilities, net

     0.07          8  
  

 

 

      

 

 

 

Total net assets

     100.00      $ 10,796  
  

 

 

      

 

 

 

 

1


Investments in Affiliates

Transactions with the affiliated Master Portfolio were as follows:

 

    

% of ownership,

beginning of

period

   

% of ownership,

end of period

   

Value,

end of period

    

% of net

assets

 

Wells Fargo Factor Enhanced Large Cap Portfolio

     0.00 %*      0.00 %*    $ 10,788        99.93

 

*

The amount owned is less than 0.005%.


Wells Fargo Factor Enhanced Large Cap Fund (the “Fund”)

Notes to Portfolio of investments – May 31, 2018 (unaudited)

 

The Fund is a feeder fund in a master-feeder structure that seeks to achieve its investment objective by investing substantially all investable assets in a separate diversified portfolio (the “affiliated Master Portfolio”) of Wells Fargo Master Trust, a registered open-end management investment company. Since the affiliated Master Portfolio directly acquires portfolio securities, the Fund acquires an indirect interest in those securities. A portfolio of investments for the affiliated Master Portfolio is included with this filing.

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 Fund may deviate from this calculation under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of the affiliated Master Portfolio’s net assets, which is also valued daily.

Fair valuation measurements

At May 31, 2018, the Fund’s investment in Wells Fargo Factor Enhanced Large Cap Portfolio, the affiliated Master Portfolio with a substantially identical investment objective seeking to replicate the total return of the Wells Fargo Factor Enhanced Large Cap Index, before fees and expenses, was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. At May 31, 2018, the affiliated Master Portfolio valued at $10,788 does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.


Wells Fargo Factor Enhanced Emerging Markets Fund    Portfolio of investments — May 31, 2018 (unaudited)

 

Security name               Value  

Investment Companies : 99.51%

       

Affiliated Master Portfolio : 99.51%

       

Wells Fargo Factor Enhanced Emerging Markets Portfolio

        $ 10,056  
       

 

 

 

Total Investment Companies (Cost $10,365)

 

       10,056  
       

 

 

 

Total investments in securities (Cost $10,365)

     99.51        10,056  

Other assets and liabilities, net

     0.49          50  
  

 

 

      

 

 

 

Total net assets

     100.00      $ 10,106  
  

 

 

      

 

 

 

 

1


Investments in Affiliates

Transactions with the affiliated Master Portfolio were as follows:

 

    

% of ownership,
beginning of

period

    % of ownership,
end of period
    Value,
end of period
     % of net
assets
 

Wells Fargo Factor Enhanced Emerging Markets Portfolio

     0.00 %*      0.00 %*    $ 10,056        99.51

 

*

The amount owned is less than 0.005%.


Wells Fargo Factor Enhanced Emerging Markets Fund (the “Fund”)

Notes to Portfolio of investments – May 31, 2018 (unaudited)

 

The Fund is a feeder fund in a master-feeder structure that seeks to achieve its investment objective by investing substantially all investable assets in a separate diversified portfolio (the “affiliated Master Portfolio”) of Wells Fargo Master Trust, a registered open-end management investment company. Since the affiliated Master Portfolio directly acquires portfolio securities, the Fund acquires an indirect interest in those securities. A portfolio of investments for the affiliated Master Portfolio is included with this filing.

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 Fund may deviate from this calculation under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of the affiliated Master Portfolio’s net assets, which is also valued daily.

Fair valuation measurements

At May 31, 2018, the Fund’s investment in Wells Fargo Factor Enhanced Emerging Markets Portfolio, the affiliated Master Portfolio with a substantially identical investment objective seeking to replicate the total return of the Wells Fargo Factor Enhanced Emerging Markets Index (Net), before fees and expenses, was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. At May 31, 2018, the affiliated Master Portfolio valued at $10,056 does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.


Wells Fargo Factor Enhanced Small Cap Fund    Portfolio of investments — May 31, 2018 (unaudited)

 

Security name               Value  

Investment Companies : 99.88%

       

Affiliated Master Portfolio : 99.88%

       

Wells Fargo Factor Enhanced Small Cap Portfolio

        $ 11,579  
       

 

 

 

Total Investment Companies (Cost $10,148)

 

       11,579  
       

 

 

 

Total investments in securities (Cost $10,148)

     99.88        11,579  

Other assets and liabilities, net

     0.12          14  
  

 

 

      

 

 

 

Total net assets

     100.00      $ 11,593  
  

 

 

      

 

 

 

 

1


Investments in Affiliates

Transactions with the affiliated Master Portfolio were as follows:

 

    

% of ownership,
beginning of

period

    % of ownership,
end of period
    Value,
end of period
    

% of net

assets

 

Wells Fargo Factor Enhanced Small Cap Portfolio

     0.00 %*      0.00 %*    $ 11,579        99.88

 

*

The amount owned is less than 0.005%.


Wells Fargo Factor Enhanced Small Cap Fund (the “Fund”)

Notes to Portfolio of investments – May 31, 2018 (unaudited)

 

The Fund is a feeder fund in a master-feeder structure that seeks to achieve its investment objective by investing substantially all investable assets in a separate diversified portfolio (the “affiliated Master Portfolio”) of Wells Fargo Master Trust, a registered open-end management investment company. Since the affiliated Master Portfolio directly acquires portfolio securities, the Fund acquires an indirect interest in those securities. A portfolio of investments for the affiliated Master Portfolio is included with this filing.

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 Fund may deviate from this calculation under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of the affiliated Master Portfolio’s net assets, which is also valued daily.

Fair valuation measurements

At May 31, 2018, the Fund’s investment in Wells Fargo Factor Enhanced Small Cap Portfolio, the affiliated Master Portfolio with a substantially identical investment objective seeking to replicate the total return of the Wells Fargo Factor Enhanced Small Cap Index, before fees and expenses, was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. At May 31, 2018, the affiliated Master Portfolio valued at $11,579 does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.


Wells Fargo High Yield Corporate Bond Fund    Portfolio of investments — May 31, 2018 (unaudited)

 

 

Security name               Value  

Investment Companies : 100.33%

       

Affiliated Master Portfolio : 100.33%

       

Wells Fargo High Yield Corporate Bond Portfolio

        $ 9,508  
       

 

 

 

Total Investment Companies (Cost $9,804)

 

       9,508  
       

 

 

 

Total investments in securities (Cost $9,804)

     100.33        9,508  

Other assets and liabilities, net

     (0.33        (31
  

 

 

      

 

 

 

Total net assets

     100.00      $ 9,477  
  

 

 

      

 

 

 

 

1


Investments in Affiliates

Transactions with the affiliated Master Portfolio were as follows:

 

    

% of ownership,

beginning of

period

   

% of ownership,

end of period

   

Value,

end of period

    

% of net

assets

 

Wells Fargo High Yield Corporate Bond Portfolio

     0.00 %*      0.01   $ 9,508        100.33

 

*

The amount owned is less than 0.005%.


Wells Fargo High Yield Corporate Bond Fund (the “Fund”)

Notes to Portfolio of investments – May 31, 2018 (unaudited)

 

The Fund is a feeder fund in a master-feeder structure that seeks to achieve its investment objective by investing substantially all investable assets in a separate diversified portfolio (the “affiliated Master Portfolio”) of Wells Fargo Master Trust, a registered open-end management investment company. Since the affiliated Master Portfolio directly acquires portfolio securities, the Fund acquires an indirect interest in those securities. A portfolio of investments for the affiliated Master Portfolio is included with this filing.

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 Fund may deviate from this calculation under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of the affiliated Master Portfolio’s net assets, which is also valued daily.

Fair valuation measurements

At May 31, 2018, the Fund’s investment in Wells Fargo High Yield Corporate Bond Portfolio, the affiliated Master Portfolio with a substantially identical investment objective seeking to replicate the total return of the Wells Fargo U.S. High Yield Bond Index, before fees and expenses, was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. At May 31, 2018, the affiliated Master Portfolio valued at $9,508 does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.


Wells Fargo International Government Bond Fund    Portfolio of investments — May 31, 2018 (unaudited)

 

Security name               Value  

Investment Companies : 98.83%

       

Affiliated Master Portfolio : 98.83%

       

Wells Fargo International Government Bond Portfolio

        $ 9,954  
       

 

 

 

Total Investment Companies (Cost $9,987)

 

       9,954  
       

 

 

 

Total investments in securities (Cost $9,987)

     98.83        9,954  

Other assets and liabilities, net

     1.17          118  
  

 

 

      

 

 

 

Total net assets

     100.00      $ 10,072  
  

 

 

      

 

 

 

 

1


Investments in Affiliates

Transactions with the affiliated Master Portfolio were as follows:

 

    

% of ownership,

beginning of

period

   

% of ownership,

end of period

   

Value,

end of period

    

% of net

assets

 

Wells Fargo International Government Bond Portfolio

     0.10     0.10   $ 9,954        98.83


Wells Fargo International Government Bond Fund (the “Fund”)

Notes to Portfolio of investments – May 31, 2018 (unaudited)

 

The Fund is a feeder fund in a master-feeder structure that seeks to achieve its investment objective by investing substantially all investable assets in a separate diversified portfolio (the “affiliated Master Portfolio”) of Wells Fargo Master Trust, a registered open-end management investment company. Since the affiliated Master Portfolio directly acquires portfolio securities, the Fund acquires an indirect interest in those securities. A portfolio of investments for the affiliated Master Portfolio is included with this filing.

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 Fund may deviate from this calculation under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of the affiliated Master Portfolio’s net assets, which is also valued daily.

Fair valuation measurements

At May 31, 2018, the Fund’s investment in Wells Fargo International Government Bond Portfolio, the affiliated Master Portfolio with a substantially identical investment objective seeking to replicate the total return of the Wells Fargo International Government Bond Index, before fees and expenses, was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. At May 31, 2018, the affiliated Master Portfolio valued at $9,954 does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.


Wells Fargo U.S. Core Bond Fund   Portfolio of investments — May 31, 2018 (unaudited)

 

Security name               Value  

Investment Companies : 99.89%

       

Affiliated Master Portfolios : 99.89%

       

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

        $ 7,189  

Wells Fargo Investment Grade Corporate Bond Portfolio

          2,412  
       

 

 

 

Total Investment Companies (Cost $9,892)

 

       9,601  
       

 

 

 

Total investments in securities (Cost $9,892)

     99.89        9,601  

Other assets and liabilities, net

     0.11          11  
  

 

 

      

 

 

 

Total net assets

     100.00      $ 9,612  
  

 

 

      

 

 

 

 

1


Investments in Affiliates

Transactions with the affiliated Master Portfolios were as follows:

 

    

% of ownership,

beginning of

period

   

% of ownership,

end of period

    Value,
end of period
    

% of net

assets

 

Affiliated Master Portfolios

         

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

     0.00 %*      0.00 %*    $ 7,189     

Wells Fargo Investment Grade Corporate Bond Portfolio

     0.00     0.00     2,412     
      

 

 

    

 

 

 
       $ 9,601        99.89
      

 

 

    

 

 

 

 

*

The amount owned is less than 0.005%.


Wells Fargo U.S. Core Bond Fund (the “Fund”)

Notes to Portfolio of investments – May 31, 2018 (unaudited)

 

The Fund is a fund-of-funds that invests substantially all of its assets in two underlying portfolios (each, an “affiliated Master Portfolio”, collectively, the “affiliated Master Portfolios”) of Wells Fargo Master Trust, a registered open-end management investment company. Each affiliated Master Portfolio directly acquires portfolio securities, and the Fund acquires an indirect interest in those securities. The affiliated Master Portfolios in turn invest in a broadly diversified collection of fixed income securities.

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 Fund may deviate from this calculation under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolios are valued daily based on the Fund’s proportionate share of each affiliated Master Portfolio’s net assets, which is also valued daily.

Fair valuation measurements

As of May 31, 2018, the Fund’s investment in an affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective of each affiliated Master Portfolios is as follows:

 

Affiliated Master Portfolio    Investment objective

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

  

Seeks to replicate the total return of the Bloomberg Barclays US ex-Corporate Index, before fees and expenses

Wells Fargo Investment Grade Corporate Bond Portfolio

  

Seeks to replicate the total return of the Wells Fargo U.S. Investment Grade Corporate Bond Index, before fees and expenses

At May 31, 2018, the affiliated Master Portfolios in aggregate were valued at $9,601, do not have a redemption period notice, can be redeemed daily and do not have any unfunded commitments.


Wells Fargo Adjustable Rate Government Fund    Portfolio of investments — May 31, 2018 (unaudited)

 

 

Security name    Interest rate     Maturity date    Principal      Value  

Agency Securities : 94.35%

          

FDIC Series 2010-S2 Class 3A (1 Month LIBOR +0.70%) 144A±

     2.59   12-29-2045    $ 417,335      $ 418,307  

FHLMC (1 Year Treasury Constant Maturity +0.71%) ±

     1.95     4-1-2030      57,527        57,778  

FHLMC (11th District Cost of Funds +1.25%) ±

     2.00     6-1-2018      418        417  

FHLMC (11th District Cost of Funds +1.25%) ±

     2.00     9-1-2018      48        48  

FHLMC (11th District Cost of Funds +1.25%) ±

     2.00     5-1-2019      1,717        1,710  

FHLMC (11th District Cost of Funds +1.25%) ±

     2.00     1-1-2030      5,837        5,762  

FHLMC (11th District Cost of Funds +1.25%) ±

     2.00     7-1-2030      149,376        147,359  

FHLMC (11th District Cost of Funds +1.25%) ±

     2.03     7-1-2018      78        78  

FHLMC (11th District Cost of Funds +1.25%) ±

     2.03     2-1-2019      1,197        1,192  

FHLMC (11th District Cost of Funds +1.25%) ±

     2.03     2-1-2035      184,297        182,071  

FHLMC (10 Year Treasury Constant Maturity -0.85%) ±

     2.03     3-15-2024      427,304        424,136  

FHLMC (11th District Cost of Funds +1.36%) ±

     2.11     10-1-2030      5,459        5,434  

FHLMC (11th District Cost of Funds +1.44%) ±

     2.17     6-1-2020      9,730        9,679  

FHLMC (11th District Cost of Funds +1.50%) ±

     2.28     8-1-2018      40        40  

FHLMC (11th District Cost of Funds +1.76%) ±

     2.51     1-1-2022      5,043        5,036  

FHLMC (11th District Cost of Funds +1.25%) ±

     2.61     11-1-2030      164,514        165,008  

FHLMC (11th District Cost of Funds +1.88%) ±

     2.63     6-1-2019      17,788        17,758  

FHLMC (11th District Cost of Funds +1.89%) ±

     2.64     7-1-2018      424        423  

FHLMC (11th District Cost of Funds +1.87%) ±

     2.68     3-1-2025      145,993        145,766  

FHLMC (11th District Cost of Funds +2.02%) ±

     2.77     6-1-2029      138,187        139,071  

FHLMC (12 Month Treasury Average +1.90%) ±

     2.86     5-1-2028      221,812        229,368  

FHLMC (11th District Cost of Funds +2.25%) ±

     3.00     8-1-2019      5,826        5,832  

FHLMC (11th District Cost of Funds +1.53%) ±

     3.03     6-1-2019      2,917        2,915  

FHLMC (6 Month LIBOR +1.42%) ±

     3.05     2-1-2037      6,629        6,820  

FHLMC (1 Year Treasury Constant Maturity +1.55%) ±

     3.07     7-1-2030      4,179        4,163  

FHLMC (11th District Cost of Funds +2.39%) ±

     3.08     6-1-2021      43,183        43,404  

FHLMC (1 Year Treasury Constant Maturity +2.02%) ±

     3.17     12-1-2035      549,959        574,199  

FHLMC (1 Year Treasury Constant Maturity +1.88%) ±

     3.17     5-1-2035      305,060        318,423  

FHLMC (3 Year Treasury Constant Maturity +2.27%) ±

     3.19     4-1-2032      87,837        89,161  

FHLMC (12 Month Treasury Average +2.46%) ±

     3.23     10-1-2029      104,700        107,264  

FHLMC (1 Year Treasury Constant Maturity +2.23%) ±

     3.23     5-1-2032      43,235        44,869  

FHLMC (1 Year Treasury Constant Maturity +1.99%) ±

     3.24     11-1-2034      300,007        313,824  

FHLMC (1 Year Treasury Constant Maturity +2.01%) ±

     3.26     6-1-2020      358        357  

FHLMC (1 Year Treasury Constant Maturity +2.31%) ±

     3.31     6-1-2035      526,072        551,947  

FHLMC (1 Year Treasury Constant Maturity +2.22%) ±

     3.35     8-1-2033      234,091        246,154  

FHLMC (1 Year Treasury Constant Maturity +2.23%) ±

     3.35     10-1-2033      56,425        56,845  

FHLMC (1 Year Treasury Constant Maturity +2.23%) ±

     3.35     11-1-2026      70,841        72,915  

FHLMC (6 Month LIBOR +1.73%) ±

     3.36     6-1-2024      7,154        7,159  

FHLMC (6 Month LIBOR +1.66%) ±

     3.36     6-1-2037      410,658        423,046  

FHLMC (1 Year Treasury Constant Maturity +2.03%) ±

     3.37     3-1-2025      64,148        66,113  

FHLMC (1 Year Treasury Constant Maturity +2.25%) ±

     3.37     11-1-2035      1,044,286        1,104,093  

FHLMC (1 Year Treasury Constant Maturity +2.35%) ±

     3.37     7-1-2038      1,096,979        1,158,207  

FHLMC (1 Year Treasury Constant Maturity +2.02%) ±

     3.39     5-1-2020      163        163  

FHLMC (1 Year Treasury Constant Maturity +2.10%) ±

     3.39     10-1-2037      1,257,404        1,318,847  

FHLMC (US Treasury H15 Treasury Bill 6 Month Auction High Discount +1.75%) ±

     3.40     1-1-2023      26,934        28,025  

FHLMC (1 Year Treasury Constant Maturity +2.20%) ±

     3.42     12-1-2034      443,856        465,918  

FHLMC (1 Year Treasury Constant Maturity +2.25%) ±

     3.43     9-1-2033      192,417        202,922  

FHLMC (1 Year Treasury Constant Maturity +2.37%) ±

     3.44     7-1-2027      523,721        526,922  

FHLMC (1 Year Treasury Constant Maturity +2.05%) ±

     3.44     8-1-2033      1,500,217        1,558,875  

FHLMC (1 Year Treasury Constant Maturity +2.25%) ±

     3.45     2-1-2036      1,177,647        1,244,884  

FHLMC (1 Year Treasury Constant Maturity +2.23%) ±

     3.45     7-1-2034      150,181        158,520  

FHLMC (1 Year Treasury Constant Maturity +2.17%) ±

     3.45     8-1-2034      943,560        991,727  

FHLMC (1 Year Treasury Constant Maturity +2.22%) ±

     3.46     10-1-2033      302,131        318,676  

FHLMC (1 Year Treasury Constant Maturity +2.23%) ±

     3.47     5-1-2038      1,211,008        1,275,496  

FHLMC (1 Year Treasury Constant Maturity +2.22%) ±

     3.47     10-1-2033      702,638        741,544  

FHLMC (1 Year Treasury Constant Maturity +2.22%) ±

     3.47     10-1-2033      1,251,397        1,316,936  

FHLMC (1 Year Treasury Constant Maturity +2.24%) ±

     3.47     2-1-2036      679,057        710,210  

FHLMC (1 Year Treasury Constant Maturity +2.48%) ±

     3.48     10-1-2025      28,965        29,080  

FHLMC (12 Month LIBOR +1.73%) ±

     3.48     1-1-2035      419,110        440,813  

FHLMC (1 Year Treasury Constant Maturity +2.25%) ±

     3.48     10-1-2034      977,870        1,032,996  

FHLMC (1 Year Treasury Constant Maturity +2.33%) ±

     3.48     9-1-2033      784,820        828,859  

FHLMC (1 Year Treasury Constant Maturity +2.22%) ±

     3.48     12-1-2033      505,755        526,851  

FHLMC (1 Year Treasury Constant Maturity +2.25%) ±

     3.48     8-1-2035      1,899,329        2,009,262  

FHLMC (1 Year Treasury Constant Maturity +2.25%) ±

     3.49     4-1-2036      560,161        590,828  

FHLMC (1 Year Treasury Constant Maturity +2.32%) ±

     3.49     7-1-2031      179,846        189,509  

FHLMC (12 Month LIBOR +1.74%) ±

     3.49     12-1-2036      403,395        421,895  

 

1


Portfolio of investments — May 31, 2018 (unaudited)    Wells Fargo Adjustable Rate Government Fund

 

Security name    Interest rate     Maturity date    Principal      Value  

Agency Securities (continued)

 

  

FHLMC (1 Year Treasury Constant Maturity +2.24%) ±

     3.49   2-1-2036    $ 1,074,662      $ 1,135,374  

FHLMC (1 Year Treasury Constant Maturity +2.25%) ±

     3.50     9-1-2038      228,564        233,536  

FHLMC (1 Year Treasury Constant Maturity +2.25%) ±

     3.50     10-1-2034      1,473,690        1,554,538  

FHLMC (1 Year Treasury Constant Maturity +2.29%) ±

     3.50     11-1-2027      476,621        498,476  

FHLMC (1 Year Treasury Constant Maturity +2.36%) ±

     3.50     1-1-2028      2,487        2,611  

FHLMC (1 Year Treasury Constant Maturity +2.43%) ±

     3.50     6-1-2025      58,684        59,376  

FHLMC (1 Year Treasury Constant Maturity +2.24%) ±

     3.51     1-1-2036      1,472,379        1,550,869  

FHLMC (1 Year Treasury Constant Maturity +2.29%) ±

     3.52     11-1-2029      158,776        163,065  

FHLMC (1 Year Treasury Constant Maturity +2.24%) ±

     3.52     10-1-2036      444,301        466,238  

FHLMC (1 Year Treasury Constant Maturity +2.27%) ±

     3.52     5-1-2025      68,531        69,275  

FHLMC (1 Year Treasury Constant Maturity +2.27%) ±

     3.52     11-1-2029      41,193        41,692  

FHLMC (1 Year Treasury Constant Maturity +2.25%) ±

     3.52     5-1-2034      90,343        95,528  

FHLMC (12 Month LIBOR +1.78%) ±

     3.53     11-1-2035      425,188        446,344  

FHLMC (1 Year Treasury Constant Maturity +2.48%) ±

     3.53     6-1-2030      270,204        281,866  

FHLMC (12 Month LIBOR +1.77%) ±

     3.53     6-1-2035      1,041,283        1,096,798  

FHLMC (1 Year Treasury Constant Maturity +2.25%) ±

     3.53     3-1-2036      658,621        689,179  

FHLMC (1 Year Treasury Constant Maturity +2.26%) ±

     3.53     2-1-2036      548,146        578,159  

FHLMC (1 Year Treasury Constant Maturity +2.02%) ±

     3.54     5-1-2020      87        87  

FHLMC (6 Month LIBOR +1.70%) ±

     3.54     1-1-2037      1,171,451        1,217,895  

FHLMC (1 Year Treasury Constant Maturity +2.28%) ±

     3.55     7-1-2031      1,030,269        1,061,702  

FHLMC (1 Year Treasury Constant Maturity +2.30%) ±

     3.55     3-1-2037      381,507        403,917  

FHLMC (1 Year Treasury Constant Maturity +2.34%) ±

     3.55     7-1-2034      573,506        597,301  

FHLMC (1 Year Treasury Constant Maturity +2.18%) ±

     3.55     6-1-2036      1,015,528        1,066,585  

FHLMC (1 Year Treasury Constant Maturity +2.23%) ±

     3.56     5-1-2034      1,515,573        1,595,931  

FHLMC (US Treasury H15 Treasury Bill 6 Month Auction High Discount +1.94%) ±

     3.56     7-1-2024      32,185        31,959  

FHLMC (1 Year Treasury Constant Maturity +2.22%) ±

     3.56     7-1-2036      320,500        343,084  

FHLMC (1 Year Treasury Constant Maturity +2.21%) ±

     3.56     11-1-2036      1,062,807        1,119,437  

FHLMC (1 Year Treasury Constant Maturity +2.23%) ±

     3.57     1-1-2034      755,587        792,013  

FHLMC (1 Year Treasury Constant Maturity +2.28%) ±

     3.57     10-1-2036      400,190        421,506  

FHLMC (1 Year Treasury Constant Maturity +2.25%) ±

     3.57     1-1-2037      158,501        166,509  

FHLMC (1 Year Treasury Constant Maturity +2.23%) ±

     3.57     5-1-2038      912,677        958,815  

FHLMC (3 Year Treasury Constant Maturity +2.44%) ±

     3.58     5-1-2031      115,399        120,514  

FHLMC (1 Year Treasury Constant Maturity +2.26%) ±

     3.58     5-1-2034      1,391,871        1,463,429  

FHLMC (12 Month LIBOR +1.78%) ±

     3.58     10-1-2035      1,080,949        1,137,502  

FHLMC (11th District Cost of Funds +2.21%) ±

     3.59     12-1-2025      29,658        29,861  

FHLMC (1 Year Treasury Constant Maturity +2.28%) ±

     3.59     1-1-2035      347,940        365,266  

FHLMC (12 Month LIBOR +1.75%) ±

     3.59     6-1-2033      681,302        714,924  

FHLMC (1 Year Treasury Constant Maturity +2.36%) ±

     3.60     1-1-2028      18,006        18,755  

FHLMC (1 Year Treasury Constant Maturity +2.05%) ±

     3.60     1-1-2030      17,423        17,955  

FHLMC (1 Year Treasury Constant Maturity +2.24%) ±

     3.62     4-1-2037      549,814        577,920  

FHLMC (US Treasury H15 Treasury Bill 6 Month Auction High Discount +0.00%) ±

     3.63     11-1-2018      165        165  

FHLMC (1 Year Treasury Constant Maturity +2.24%) ±

     3.63     11-1-2022      85,702        87,755  

FHLMC (1 Year Treasury Constant Maturity +2.16%) ±

     3.63     6-1-2033      468,491        488,625  

FHLMC (1 Year Treasury Constant Maturity +2.28%) ±

     3.64     4-1-2037      1,469,915        1,553,564  

FHLMC (2 Year Treasury Constant Maturity +2.44%) ±

     3.64     8-1-2029      103,158        105,818  

FHLMC (1 Year Treasury Constant Maturity +2.30%) ±

     3.64     9-1-2030      204,581        214,821  

FHLMC (1 Year Treasury Constant Maturity +2.32%) ±

     3.64     10-1-2033      1,831,703        1,924,067  

FHLMC (12 Month LIBOR +1.75%) ±

     3.65     2-1-2037      214,986        225,816  

FHLMC (1 Year Treasury Constant Maturity +2.32%) ±

     3.65     7-1-2038      655,669        693,209  

FHLMC (1 Year Treasury Constant Maturity +2.22%) ±

     3.65     1-1-2033      508,061        530,294  

FHLMC (1 Year Treasury Constant Maturity +2.47%) ±

     3.65     7-1-2034      821,660        862,985  

FHLMC (12 Month LIBOR +1.76%) ±

     3.66     10-1-2036      568,216        595,672  

FHLMC (1 Year Treasury Constant Maturity +2.30%) ±

     3.66     11-1-2035      1,114,526        1,176,950  

FHLMC (12 Month LIBOR +1.67%) ±

     3.67     8-1-2035      145,009        147,703  

FHLMC (1 Year Treasury Constant Maturity +2.23%) ±

     3.67     9-1-2035      1,484,831        1,566,740  

FHLMC (12 Month Treasury Average +2.37%) ±

     3.67     6-1-2028      95,734        97,718  

FHLMC (1 Year Treasury Constant Maturity +2.27%) ±

     3.67     2-1-2034      1,498,361        1,577,322  

FHLMC (12 Month LIBOR +1.75%) ±

     3.67     5-1-2033      192,159        202,800  

FHLMC (1 Year Treasury Constant Maturity +2.28%) ±

     3.67     2-1-2036      792,173        837,405  

FHLMC (1 Year Treasury Constant Maturity +2.26%) ±

     3.68     9-1-2038      673,891        698,314  

FHLMC (12 Month LIBOR +1.93%) ±

     3.69     4-1-2035      953,434        1,006,411  

FHLMC (12 Month LIBOR +1.87%) ±

     3.69     9-1-2036      726,601        764,791  

FHLMC (1 Year Treasury Constant Maturity +2.32%) ±

     3.70     9-1-2029      679,008        710,085  

FHLMC (12 Month LIBOR +1.76%) ±

     3.70     5-1-2037      1,294,079        1,353,981  

FHLMC (5 Year Treasury Constant Maturity +2.13%) ±

     3.70     8-1-2029      9,227        9,152  

FHLMC (1 Year Treasury Constant Maturity +2.25%) ±

     3.71     2-1-2036      1,009,923        1,060,655  

 

2


Wells Fargo Adjustable Rate Government Fund    Portfolio of investments — May 31, 2018 (unaudited)

 

Security name    Interest rate     Maturity date    Principal      Value  

Agency Securities (continued)

 

  

FHLMC (1 Year Treasury Constant Maturity +2.21%) ±

     3.71   1-1-2037    $ 1,121,340      $ 1,180,654  

FHLMC (1 Year Treasury Constant Maturity +2.23%) ±

     3.71     2-1-2034      960,293        1,000,817  

FHLMC (1 Year Treasury Constant Maturity +2.26%) ±

     3.71     2-1-2034      713,992        754,808  

FHLMC (1 Year Treasury Constant Maturity +2.25%) ±

     3.72     6-1-2035      121,638        128,409  

FHLMC (1 Year Treasury Constant Maturity +2.24%) ±

     3.72     8-1-2035      470,177        495,029  

FHLMC (1 Year Treasury Constant Maturity +2.38%) ±

     3.72     6-1-2035      1,562,937        1,631,219  

FHLMC (12 Month LIBOR +1.98%) ±

     3.73     11-1-2032      116,381        118,352  

FHLMC (1 Year Treasury Constant Maturity +2.25%) ±

     3.73     11-1-2036      1,016,271        1,070,312  

FHLMC (1 Year Treasury Constant Maturity +2.23%) ±

     3.73     2-1-2034      487,772        511,840  

FHLMC (12 Month LIBOR +1.82%) ±

     3.74     5-1-2039      859,702        901,314  

FHLMC (1 Year Treasury Constant Maturity +2.24%) ±

     3.74     7-1-2037      549,384        580,359  

FHLMC (1 Year Treasury Constant Maturity +2.36%) ±

     3.74     6-1-2035      530,946        562,011  

FHLMC (1 Year Treasury Constant Maturity +2.45%) ±

     3.76     12-1-2032      549,711        575,204  

FHLMC (1 Year Treasury Constant Maturity +2.36%) ±

     3.77     2-1-2031      552,937        578,816  

FHLMC (1 Year Treasury Constant Maturity +2.36%) ±

     3.77     2-1-2035      1,098,074        1,163,261  

FHLMC (1 Year Treasury Constant Maturity +2.43%) ±

     3.79     10-1-2030      1,560,124        1,634,105  

FHLMC (1 Year Treasury Constant Maturity +2.35%) ±

     3.79     2-1-2036      110,712        117,120  

FHLMC (1 Year Treasury Constant Maturity +2.55%) ±

     3.80     9-1-2029      129,438        130,782  

FHLMC (1 Year Treasury Constant Maturity +2.34%) ±

     3.80     9-1-2032      1,588,878        1,672,787  

FHLMC (1 Year Treasury Constant Maturity +2.33%) ±

     3.80     6-1-2035      1,034,344        1,093,887  

FHLMC (5 Year Treasury Constant Maturity +2.44%) ±

     3.82     8-1-2027      35,797        35,848  

FHLMC (1 Year Treasury Constant Maturity +2.44%) ±

     3.82     2-1-2029      3,323        3,311  

FHLMC (1 Year Treasury Constant Maturity +2.48%) ±

     3.82     6-1-2030      32,288        32,795  

FHLMC (1 Year Treasury Constant Maturity +2.40%) ±

     3.82     9-1-2031      68,198        69,050  

FHLMC (1 Year Treasury Constant Maturity +2.29%) ±

     3.84     9-1-2033      768,638        809,950  

FHLMC (1 Year Treasury Constant Maturity +2.44%) ±

     3.85     11-1-2029      643,420        669,642  

FHLMC (1 Year Treasury Constant Maturity +2.23%) ±

     3.86     3-1-2034      715,634        747,730  

FHLMC (1 Year Treasury Constant Maturity +2.24%) ±

     3.87     3-1-2027      94,306        95,725  

FHLMC (1 Year Treasury Constant Maturity +2.30%) ±

     3.87     1-1-2036      589,336        623,407  

FHLMC (1 Year Treasury Constant Maturity +2.37%) ±

     3.88     1-1-2037      1,727,308        1,829,907  

FHLMC (Federal Cost of Funds +2.72%) ±

     3.89     4-1-2023      11,821        11,939  

FHLMC (1 Year Treasury Constant Maturity +2.25%) ±

     3.89     4-1-2038      1,058,871        1,114,286  

FHLMC (1 Year Treasury Constant Maturity +2.36%) ±

     3.89     4-1-2034      441,526        458,333  

FHLMC (12 Month LIBOR +1.84%) ±

     3.89     4-1-2035      1,369,766        1,442,656  

FHLMC (3 Year Treasury Constant Maturity +2.44%) ±

     3.89     5-1-2032      217,610        215,336  

FHLMC (1 Year Treasury Constant Maturity +2.40%) ±

     3.90     7-1-2029      55,519        57,704  

FHLMC (6 Month LIBOR +2.08%) ±

     3.91     6-1-2026      850,946        873,339  

FHLMC (1 Year Treasury Constant Maturity +2.23%) ±

     3.91     3-1-2034      784,745        819,949  

FHLMC (1 Year Treasury Constant Maturity +2.48%) ±

     3.92     10-1-2025      64,848        65,812  

FHLMC (1 Year Treasury Constant Maturity +2.48%) ±

     3.93     2-1-2030      51,094        51,646  

FHLMC (1 Year Treasury Constant Maturity +2.67%) ±

     3.93     5-1-2028      222,222        230,081  

FHLMC (1 Year Treasury Constant Maturity +2.57%) ±

     3.94     8-1-2030      2,624,503        2,738,579  

FHLMC (1 Year Treasury Constant Maturity +2.18%) ±

     3.96     4-1-2023      186,399        187,308  

FHLMC (11th District Cost of Funds +2.57%) ±

     3.96     12-1-2025      361,847        377,795  

FHLMC (12 Month LIBOR +1.87%) ±

     3.96     5-1-2035      156,588        165,337  

FHLMC (12 Month LIBOR +1.99%) ±

     3.97     7-1-2036      714,116        747,930  

FHLMC (1 Year Treasury Constant Maturity +2.24%) ±

     3.98     8-1-2027      5,364        5,411  

FHLMC (12 Month LIBOR +1.87%) ±

     3.98     4-1-2037      535,460        562,307  

FHLMC (1 Year Treasury Constant Maturity +2.17%) ±

     3.98     5-1-2037      178,975        186,930  

FHLMC (1 Year Treasury Constant Maturity +2.48%) ±

     3.99     6-1-2035      1,622,740        1,726,738  

FHLMC

     4.00     12-15-2023      3,265        3,263  

FHLMC (1 Year Treasury Constant Maturity +2.13%) ±

     4.01     7-1-2019      405        404  

FHLMC (3 Year Treasury Constant Maturity +2.65%) ±

     4.04     6-1-2035      954,588        1,006,310  

FHLMC (6 Month LIBOR +2.38%) ±

     4.04     2-1-2024      17,190        17,218  

FHLMC (6 Month LIBOR +2.12%) ±

     4.04     5-1-2037      106,715        111,843  

FHLMC (1 Year Treasury Constant Maturity +2.52%) ±

     4.05     11-1-2029      106,234        109,326  

FHLMC (12 Month LIBOR +1.91%) ±

     4.05     3-1-2032      818,521        859,678  

FHLMC (12 Month LIBOR +1.75%) ±

     4.06     4-1-2035      228,003        239,456  

FHLMC (1 Year Treasury Constant Maturity +2.23%) ±

     4.08     4-1-2034      328,124        342,778  

FHLMC (1 Year Treasury Constant Maturity +2.23%) ±

     4.11     4-1-2034      339,633        356,421  

FHLMC (1 Year Treasury Constant Maturity +2.43%) ±

     4.11     8-1-2029      83,614        84,746  

FHLMC (12 Month LIBOR +1.91%) ±

     4.12     4-1-2037      641,934        675,546  

FHLMC (1 Year Treasury Constant Maturity +2.25%) ±

     4.13     5-1-2034      180,372        188,845  

FHLMC (1 Year Treasury Constant Maturity +2.48%) ±

     4.13     6-1-2030      97,731        99,467  

FHLMC (1 Year Treasury Constant Maturity +2.48%) ±

     4.15     10-1-2024      83,295        86,297  

FHLMC (1 Year Treasury Constant Maturity +2.61%) ±

     4.21     9-1-2030      103,636        105,414  

FHLMC (1 Year Treasury Constant Maturity +2.36%) ±

     4.23     4-1-2038      1,881,005        1,990,778  

FHLMC (FHLMC National Average Mortgage Contract
+3.27%) ±

     4.27     2-1-2021      11,064        11,132  

 

3


Portfolio of investments — May 31, 2018 (unaudited)    Wells Fargo Adjustable Rate Government Fund

 

Security name    Interest rate     Maturity date    Principal      Value  

Agency Securities (continued)

 

  

FHLMC (1 Year Treasury Constant Maturity +2.44%) ±

     4.32   4-1-2029    $ 97,352      $ 98,359  

FHLMC (1 Year Treasury Constant Maturity +2.60%) ±

     4.48     6-1-2032      140,434        142,105  

FHLMC (6 Month LIBOR +3.30%) ±

     4.99     11-1-2026      96,198        99,126  

FHLMC

     5.00     10-1-2022      8,473        8,773  

FHLMC (1 Year Treasury Constant Maturity +2.32%) ±

     5.50     8-1-2024      225,480        226,759  

FHLMC Series 0020 Class F ±±

     2.26     7-1-2029      12,669        12,938  

FHLMC Series 1671 Class QA (11th District Cost of Funds +0.95%) ±

     1.76     2-15-2024      590,190        601,313  

FHLMC Series 1686 Class FE (11th District Cost of Funds +1.10%) ±

     1.91     2-15-2024      19,332        19,722  

FHLMC Series 1730 Class FA (10 Year Treasury Constant Maturity -0.60%) ±

     2.28     5-15-2024      130,241        130,044  

FHLMC Series 2315 Class FW (1 Month LIBOR +0.55%) ±

     2.47     4-15-2027      85,739        86,808  

FHLMC Series 2391 Class EF (1 Month LIBOR +0.50%) ±

     2.42     6-15-2031      75,797        76,212  

FHLMC Series 2454 Class SL (1 Month LIBOR +8.00%) ±(c)

     6.08     3-15-2032      149,658        26,038  

FHLMC Series 2461 Class FI (1 Month LIBOR +0.50%) ±

     2.42     4-15-2028      109,154        109,580  

FHLMC Series 2464 Class FE (1 Month LIBOR +1.00%) ±

     2.92     3-15-2032      97,543        100,433  

FHLMC Series 2466 Class FV (1 Month LIBOR +0.55%) ±

     2.47     3-15-2032      190,257        193,159  

FHLMC Series 2538 Class F (1 Month LIBOR +0.60%) ±

     2.52     12-15-2032      417,496        423,620  

FHLMC Series 3335 Class FT (1 Month LIBOR +0.15%) ±

     2.07     8-15-2019      1,286        1,285  

FHLMC Series 3436 Class A ±±

     3.28     11-15-2036      862,394        911,110  

FHLMC Series T-15 Class A6 (1 Month LIBOR +0.40%) ±

     2.30     11-25-2028      550,379        548,903  

FHLMC Series T-16 Class A (1 Month LIBOR +0.35%) ±

     2.31     6-25-2029      1,356,650        1,379,661  

FHLMC Series T-20 Class A7 (1 Month LIBOR +0.30%) ±

     2.26     12-25-2029      2,566,405        2,524,191  

FHLMC Series T-21 Class A (1 Month LIBOR +0.36%) ±

     2.32     10-25-2029      1,218,587        1,209,880  

FHLMC Series T-23 Class A (1 Month LIBOR +0.28%) ±

     2.24     5-25-2030      1,560,427        1,559,557  

FHLMC Series T-27 Class A (1 Month LIBOR +0.30%) ±

     2.26     10-25-2030      1,083,297        1,088,191  

FHLMC Series T-30 Class A7 (1 Month LIBOR +0.36%) ±

     2.32     12-25-2030      1,134,912        1,099,091  

FHLMC Series T-35 Class A (1 Month LIBOR +0.28%) ±

     2.24     9-25-2031      2,925,971        2,895,069  

FHLMC Series T-48 Class 2A ±±

     3.90     7-25-2033      2,247,029        2,262,200  

FHLMC Series T-54 Class 4A ±±

     3.75     2-25-2043      1,509,293        1,506,881  

FHLMC Series T-55 Class 1A1

     6.50     3-25-2043      64,054        71,178  

FHLMC Series T-56 Class 3AF (1 Month LIBOR +1.00%) ±

     2.96     5-25-2043      981,133        1,003,320  

FHLMC Series T-62 Class 1A1 (12 Month Treasury Average +1.20%) ±

     3.08     10-25-2044      3,716,568        3,715,811  

FHLMC Series T-63 Class 1A1 (12 Month Treasury Average +1.20%) ±

     2.26     2-25-2045      3,325,528        3,335,162  

FHLMC Series T-66 Class 2A1 ±±

     3.73     1-25-2036      2,147,558        2,162,175  

FHLMC Series T-67 Class 1A1C ±±

     3.55     3-25-2036      5,014,138        5,125,973  

FHLMC Series T-67 Class 2A1C ±±

     3.38     3-25-2036      4,005,737        4,023,213  

FHLMC Series T-75 Class A1 (1 Month LIBOR +0.04%) ±

     1.94     12-25-2036      1,234,315        1,230,768  

FNMA (11th District Cost of Funds +1.25%) ±

     2.00     4-1-2019      215        214  

FNMA (11th District Cost of Funds +1.25%) ±

     2.00     3-1-2021      95        94  

FNMA (11th District Cost of Funds +1.25%) ±

     2.00     3-1-2033      130,369        130,425  

FNMA (11th District Cost of Funds +1.25%) ±

     2.03     11-1-2023      26,370        26,156  

FNMA (11th District Cost of Funds +1.25%) ±

     2.03     11-1-2024      2,923        2,916  

FNMA (11th District Cost of Funds +1.26%) ±

     2.03     1-1-2035      967,298        974,663  

FNMA (11th District Cost of Funds +1.25%) ±

     2.04     4-1-2021      25,643        25,509  

FNMA (11th District Cost of Funds +1.25%) ±

     2.07     4-1-2042      2,006,325        1,996,929  

FNMA (11th District Cost of Funds +1.25%) ±

     2.07     10-1-2044      1,108,499        1,103,107  

FNMA (11th District Cost of Funds +1.25%) ±

     2.10     11-1-2020      140,193        139,327  

FNMA (11th District Cost of Funds +1.25%) ±

     2.18     1-1-2038      127,185        127,036  

FNMA (11th District Cost of Funds +1.45%) ±

     2.21     4-1-2024      1,776,490        1,781,598  

FNMA (11th District Cost of Funds +1.50%) ±

     2.25     5-1-2019      22        22  

FNMA (11th District Cost of Funds +1.50%) ±

     2.25     6-1-2019      43        43  

FNMA (11th District Cost of Funds +1.25%) ±

     2.27     9-1-2037      2,221,054        2,211,948  

FNMA (1 Month LIBOR +0.35%) ±

     2.31     8-25-2018      253,878        253,956  

FNMA (11th District Cost of Funds +1.63%) ±

     2.33     5-1-2028      20,276        20,263  

FNMA (11th District Cost of Funds +1.50%) ±

     2.38     1-1-2019      2,833        2,824  

FNMA (11th District Cost of Funds +1.78%) ±

     2.44     1-1-2036      216,675        218,033  

FNMA (3 Year Treasury Constant Maturity +1.21%) ±

     2.45     3-1-2030      17,803        17,751  

FNMA (11th District Cost of Funds +1.25%) ±

     2.50     10-1-2018      312        311  

FNMA (11th District Cost of Funds +1.82%) ±

     2.51     5-1-2028      46,738        46,910  

FNMA (11th District Cost of Funds +1.87%) ±

     2.52     10-1-2024      1,048        1,048  

FNMA (11th District Cost of Funds +1.78%) ±

     2.53     11-1-2022      25,855        25,863  

FNMA (1 Year Treasury Constant Maturity +1.25%) ±

     2.54     1-1-2021      986        998  

FNMA (11th District Cost of Funds +1.78%) ±

     2.56     3-1-2033      273,758        274,368  

FNMA (1 Year Treasury Constant Maturity +1.25%) ±

     2.57     1-1-2021      1,412        1,427  

FNMA (11th District Cost of Funds +1.83%) ±

     2.60     1-1-2036      64,740        65,050  

FNMA (11th District Cost of Funds +1.86%) ±

     2.61     9-1-2019      4,186        4,183  

 

4


Wells Fargo Adjustable Rate Government Fund    Portfolio of investments — May 31, 2018 (unaudited)

 

Security name    Interest rate     Maturity date      Principal      Value  

Agency Securities (continued)

 

       

FNMA (11th District Cost of Funds +1.87%) ±

     2.62     10-1-2027      $ 464,785      $ 469,905  

FNMA (1 Year Treasury Constant Maturity +1.52%) ±

     2.63       8-1-2033        1,228,747        1,269,401  

FNMA (11th District Cost of Funds +2.00%) ±

     2.65       7-1-2028        591        593  

FNMA (11th District Cost of Funds +1.90%) ±

     2.68       9-1-2030        319,631        324,141  

FNMA (11th District Cost of Funds +1.97%) ±

     2.72       9-1-2021        13,950        13,943  

FNMA (6 Month LIBOR +1.00%) ±

     2.73       6-1-2021        20,204        20,690  

FNMA (6 Month LIBOR +1.00%) ±

     2.75       12-1-2020        7,429        7,417  

FNMA (11th District Cost of Funds +1.25%) ±

     2.76       10-1-2018        1,039        1,037  

FNMA (11th District Cost of Funds +2.02%) ±

     2.77       11-1-2024        30,974        31,213  

FNMA (6 Month LIBOR +1.15%) ±

     2.77       8-1-2032        225,900        226,038  

FNMA (11th District Cost of Funds +1.96%) ±

     2.78       1-1-2021        68,041        68,060  

FNMA (12 Month Treasury Average +1.40%) ±

     2.78       12-1-2030        90,908        90,432  

FNMA (11th District Cost of Funds +1.25%) ±

     2.79       7-1-2020        531,158        531,565  

FNMA (1 Year Treasury Constant Maturity +1.50%) ±

     2.83       8-1-2030        1,184,998        1,211,955  

FNMA (11th District Cost of Funds +1.25%) ±

     2.84       3-1-2019        49,644        49,604  

FNMA (1 Year Treasury Constant Maturity +1.76%) ±

     2.85       8-1-2032        136,197        139,011  

FNMA (11th District Cost of Funds +2.12%) ±

     2.86       4-1-2020        1,116,928        1,114,176  

FNMA (6 Month LIBOR +1.16%) ±

     2.87       8-1-2033        3,458        3,521  

FNMA (6 Month LIBOR +1.18%) ±

     2.88       8-1-2033        177,169        183,600  

FNMA (11th District Cost of Funds +1.72%) ±

     2.92       4-1-2030        1,348        1,348  

FNMA (1 Month LIBOR +1.17%) ±

     2.92       5-1-2029        44,889        46,451  

FNMA (1 Year Treasury Constant Maturity +1.88%) ±

     2.93       8-1-2031        59,486        62,143  

FNMA (6 Month LIBOR +1.08%) ±

     2.95       9-1-2032        54,539        54,562  

FNMA (6 Month LIBOR +1.37%) ±

     2.99       1-1-2032        223,550        231,438  

FNMA (6 Month LIBOR +1.38%) ±

     3.00       12-1-2031        19,194        19,184  

FNMA (3 Year Treasury Constant Maturity +2.14%) ±

     3.02       10-1-2025        6,489        6,440  

FNMA (6 Month LIBOR +1.55%) ±

     3.05       12-1-2022        6,304        6,338  

FNMA (11th District Cost of Funds +1.21%) ±

     3.05       10-1-2034        127,483        128,793  

FNMA (US Treasury H15 Treasury Bill 6 Month Auction High Discount +1.75%) ±

     3.06       7-1-2020        1,063        1,066  

FNMA (1 Year Treasury Constant Maturity +2.09%) ±

     3.09       8-1-2025        20,533        20,973  

FNMA (1 Year Treasury Constant Maturity +1.74%) ±

     3.12       1-1-2035        88,703        92,703  

FNMA (6 Month LIBOR +1.63%) ±

     3.13       1-1-2022        6,378        6,362  

FNMA (6 Month LIBOR +1.38%) ±

     3.13       8-1-2031        130,552        133,116  

FNMA (3 Year Treasury Constant Maturity +2.15%) ±

     3.15       8-1-2031        35,854        36,264  

FNMA (11th District Cost of Funds +1.25%) ±

     3.15       4-1-2034        1,395,373        1,426,249  

FNMA (1 Year Treasury Constant Maturity +1.82%) ±

     3.16       4-1-2038        570,393        597,520  

FNMA (1 Year Treasury Constant Maturity +2.12%) ±

     3.16       8-1-2026        48,919        49,814  

FNMA (1 Year Treasury Constant Maturity +1.70%) ±

     3.16       2-1-2033        314,988        326,187  

FNMA (6 Month LIBOR +1.44%) ±

     3.18       12-1-2031        107,368        108,993  

FNMA (6 Month LIBOR +1.54%) ±

     3.18       1-1-2035        1,502,307        1,555,274  

FNMA (6 Month LIBOR +1.42%) ±

     3.18       9-1-2031        150,546        154,597  

FNMA (3 Year Treasury Constant Maturity +2.47%) ±

     3.22       6-1-2024        17,925        17,872  

FNMA (6 Month LIBOR +1.55%) ±

     3.22       2-1-2033        201,542        208,544  

FNMA (1 Year Treasury Constant Maturity +2.22%) ±

     3.22       7-1-2035        177,702        187,187  

FNMA (6 Month LIBOR +1.74%) ±

     3.24       12-1-2024        57,592        57,651  

FNMA (1 Year Treasury Constant Maturity +2.11%) ±

     3.25       7-1-2035        555,138        582,109  

FNMA (Federal Cost of Funds +2.00%) ±

     3.25       11-1-2028        1,087        1,089  

FNMA (1 Year Treasury Constant Maturity +2.11%) ±

     3.26       9-1-2036        463,749        484,050  

FNMA (1 Year Treasury Constant Maturity +2.21%) ±

     3.26       7-1-2033        64,539        68,362  

FNMA (1 Year Treasury Constant Maturity +2.21%) ±

     3.27       6-1-2033        498,616        519,169  

FNMA (1 Year Treasury Constant Maturity +2.27%) ±

     3.27       6-1-2036        166,038        176,298  

FNMA (1 Year Treasury Constant Maturity +2.18%) ±

     3.28       1-1-2036        883,788        931,123  

FNMA (12 Month LIBOR +1.53%) ±

     3.28       9-1-2035        1,265,619        1,321,549  

FNMA (12 Month Treasury Average +1.92%) ±

     3.29       6-1-2035        629,270        654,074  

FNMA (12 Month Treasury Average +1.89%) ±

     3.29       11-1-2035        925,976        965,689  

FNMA (12 Month Treasury Average +1.94%) ±

     3.29       7-1-2035        799,609        831,580  

FNMA (12 Month Treasury Average +1.89%) ±

     3.29       11-1-2035        37,956        39,421  

FNMA (1 Year Treasury Constant Maturity +2.29%) ±

     3.29       6-1-2037        772,883        815,600  

FNMA (1 Year Treasury Constant Maturity +2.13%) ±

     3.31       10-1-2025        92,179        94,235  

FNMA (1 Year Treasury Constant Maturity +2.22%) ±

     3.31       6-1-2035        789,576        834,090  

FNMA (1 Year Treasury Constant Maturity +2.19%) ±

     3.32       8-1-2033        1,451,573        1,535,463  

FNMA (1 Year Treasury Constant Maturity +2.22%) ±

     3.32       7-1-2035        836,146        886,095  

FNMA (1 Year Treasury Constant Maturity +2.21%) ±

     3.32       8-1-2035        1,548,074        1,639,729  

FNMA (12 Month Treasury Average +1.91%) ±

     3.32       1-1-2036        2,278,315        2,368,393  

FNMA (6 Month LIBOR +1.47%) ±

     3.32       10-1-2037        970,179        1,001,644  

FNMA (US Treasury H15 Treasury Bill 6 Month Auction High Discount +2.13%) ±

     3.33       7-1-2018        641        640  

 

5


Portfolio of investments — May 31, 2018 (unaudited)    Wells Fargo Adjustable Rate Government Fund

 

 

Security name    Interest rate     Maturity date      Principal      Value  

Agency Securities (continued)

 

       

FNMA (1 Year Treasury Constant Maturity +2.06%) ±

     3.33     12-1-2033      $ 757,956      $ 782,434  

FNMA (12 Month Treasury Average +1.98%) ±

     3.33       7-1-2035        1,125,429        1,172,327  

FNMA (1 Year Treasury Constant Maturity +2.30%) ±

     3.33       9-1-2030        111,538        113,879  

FNMA (1 Year Treasury Constant Maturity +2.21%) ±

     3.34       7-1-2035        668,522        708,148  

FNMA (1 Year Treasury Constant Maturity +1.89%) ±

     3.34       7-1-2038        913,026        952,221  

FNMA (1 Year Treasury Constant Maturity +2.08%) ±

     3.34       11-1-2035        721,272        756,082  

FNMA (12 Month Treasury Average +1.94%) ±

     3.34       11-1-2035        157,150        163,911  

FNMA (1 Year Treasury Constant Maturity +2.18%) ±

     3.35       6-1-2035        412,092        434,737  

FNMA (1 Year Treasury Constant Maturity +2.35%) ±

     3.35       6-1-2030        52,463        53,684  

FNMA (1 Year Treasury Constant Maturity +2.14%) ±

     3.35       12-1-2034        984,171        1,035,561  

FNMA (Federal Cost of Funds +2.00%) ±

     3.35       1-1-2029        632        637  

FNMA (1 Year Treasury Constant Maturity +2.18%) ±

     3.36       9-1-2035        1,383,527        1,461,586  

FNMA (Federal Cost of Funds +2.00%) ±

     3.36       2-1-2029        8,703        8,724  

FNMA (1 Year Treasury Constant Maturity +2.32%) ±

     3.36       10-1-2034        769,411        816,039  

FNMA (1 Year Treasury Constant Maturity +1.58%) ±

     3.37       3-1-2034        343,304        359,489  

FNMA (6 Month LIBOR +1.42%) ±

     3.37       12-1-2031        223,462        231,737  

FNMA (12 Month Treasury Average +1.97%) ±

     3.37       12-1-2035        3,052,197        3,178,289  

FNMA (Federal Cost of Funds +1.75%) ±

     3.38       8-1-2018        2,912        2,912  

FNMA (Federal Cost of Funds +1.75%) ±

     3.38       1-1-2029        699        703  

FNMA (1 Year Treasury Constant Maturity +2.28%) ±

     3.38       4-1-2024        39,975        40,230  

FNMA (1 Year Treasury Constant Maturity +2.12%) ±

     3.38       10-1-2035        165,798        173,921  

FNMA (12 Month Treasury Average +1.98%) ±

     3.38       11-1-2035        1,064,192        1,108,047  

FNMA (12 Month Treasury Average +1.98%) ±

     3.39       10-1-2035        553,948        577,277  

FNMA (12 Month LIBOR +1.65%) ±

     3.40       9-1-2037        582,766        610,267  

FNMA (1 Year Treasury Constant Maturity +2.17%) ±

     3.40       11-1-2038        624,686        658,186  

FNMA (1 Year Treasury Constant Maturity +2.28%) ±

     3.40       9-1-2026        34,522        35,312  

FNMA (1 Year Treasury Constant Maturity +2.14%) ±

     3.40       10-1-2033        316,782        332,893  

FNMA (1 Year Treasury Constant Maturity +2.10%) ±

     3.40       7-1-2035        326,827        338,684  

FNMA (1 Year Treasury Constant Maturity +2.09%) ±

     3.40       1-1-2036        179,959        189,263  

FNMA (12 Month LIBOR +1.65%) ±

     3.41       9-1-2036        707,750        738,290  

FNMA (1 Year Treasury Constant Maturity +2.18%) ±

     3.41       9-1-2036        611,637        646,498  

FNMA (1 Year Treasury Constant Maturity +2.11%) ±

     3.41       5-1-2034        674,727        707,573  

FNMA (12 Month Treasury Average +1.99%) ±

     3.41       8-1-2035        87,034        86,774  

FNMA (12 Month LIBOR +1.67%) ±

     3.42       9-1-2034        1,066,426        1,120,059  

FNMA (1 Year Treasury Constant Maturity +2.17%) ±

     3.42       12-1-2039        200,470        206,774  

FNMA (6 Month LIBOR +1.93%) ±

     3.43       6-1-2032        69,958        70,596  

FNMA (1 Year Treasury Constant Maturity +2.52%) ±

     3.43       12-1-2021        11,877        11,871  

FNMA (12 Month LIBOR +1.67%) ±

     3.44       7-1-2035        1,454,364        1,527,463  

FNMA (1 Year Treasury Constant Maturity +2.17%) ±

     3.44       9-1-2035        197,238        207,361  

FNMA (1 Year Treasury Constant Maturity +2.21%) ±

     3.45       11-1-2035        1,302,613        1,376,474  

FNMA (1 Year Treasury Constant Maturity +2.20%) ±

     3.45       10-1-2036        817,622        858,730  

FNMA (1 Year Treasury Constant Maturity +2.04%) ±

     3.45       6-1-2034        641,701        674,057  

FNMA (12 Month Treasury Average +2.49%) ±

     3.45       6-1-2040        792,744        819,876  

FNMA (Federal Cost of Funds +2.00%) ±

     3.45       8-1-2029        46,773        50,169  

FNMA (12 Month Treasury Average +2.08%) ±

     3.46       1-1-2035        444,618        464,425  

FNMA (1 Year Treasury Constant Maturity +2.22%) ±

     3.46       12-1-2040        937,202        988,861  

FNMA (12 Month LIBOR +1.65%) ±

     3.46       12-1-2033        1,111,327        1,163,099  

FNMA (6 Month LIBOR +1.55%) ±

     3.47       3-1-2034        287,225        297,068  

FNMA (1 Year Treasury Constant Maturity +2.22%) ±

     3.47       10-1-2034        434,016        458,250  

FNMA (1 Year Treasury Constant Maturity +2.22%) ±

     3.47       6-1-2026        33,285        34,108  

FNMA (1 Year Treasury Constant Maturity +2.15%) ±

     3.48       4-1-2040        155,136        163,218  

FNMA (1 Year Treasury Constant Maturity +2.03%) ±

     3.48       12-1-2032        637,035        659,067  

FNMA (1 Year Treasury Constant Maturity +2.26%) ±

     3.48       1-1-2038        704,692        746,267  

FNMA (1 Year Treasury Constant Maturity +2.18%) ±

     3.48       1-1-2033        2,066,170        2,131,830  

FNMA (1 Year Treasury Constant Maturity +2.24%) ±

     3.48       1-1-2037        1,303,491        1,377,953  

FNMA (12 Month LIBOR +1.62%) ±

     3.49       1-1-2040        258,270        269,027  

FNMA (1 Year Treasury Constant Maturity +2.24%) ±

     3.49       7-1-2037        475,450        500,038  

FNMA (1 Year Treasury Constant Maturity +2.07%) ±

     3.49       4-1-2030        81,323        82,679  

FNMA (1 Year Treasury Constant Maturity +2.13%) ±

     3.49       5-1-2035        694,708        729,042  

FNMA (1 Year Treasury Constant Maturity +2.19%) ±

     3.49       2-1-2036        687,022        725,116  

FNMA (1 Year Treasury Constant Maturity +2.21%) ±

     3.49       7-1-2038        1,318,120        1,389,996  

FNMA (1 Year Treasury Constant Maturity +2.19%) ±

     3.50       7-1-2035        1,016,241        1,071,442  

FNMA (1 Year Treasury Constant Maturity +2.19%) ±

     3.50       6-1-2036        1,466,308        1,546,688  

FNMA (1 Year Treasury Constant Maturity +2.13%) ±

     3.50       1-1-2027        13,957        14,003  

FNMA (1 Year Treasury Constant Maturity +2.38%) ±

     3.50       7-1-2027        96,458        98,607  

FNMA (1 Year Treasury Constant Maturity +1.63%) ±

     3.50       11-1-2029        7,541        7,544  

FNMA (1 Year Treasury Constant Maturity +2.29%) ±

     3.50       12-1-2030        68,544        69,943  

FNMA (1 Year Treasury Constant Maturity +2.30%) ±

     3.50       9-1-2037        738,168        782,185  

 

6


Wells Fargo Adjustable Rate Government Fund    Portfolio of investments — May 31, 2018 (unaudited)

 

Security name    Interest rate     Maturity date      Principal      Value  

Agency Securities (continued)

 

       

FNMA (US Treasury H15 Treasury Bill 6 Month Auction High Discount +2.00%) ±

     3.50     10-1-2018      $ 1,190      $ 1,191  

FNMA (1 Year Treasury Constant Maturity +2.23%) ±

     3.50       9-1-2022        108,244        108,844  

FNMA (1 Year Treasury Constant Maturity +2.24%) ±

     3.50       2-1-2033        144,020        147,444  

FNMA (1 Year Treasury Constant Maturity +2.33%) ±

     3.51       11-1-2024        69,322        71,699  

FNMA (1 Year Treasury Constant Maturity +2.22%) ±

     3.51       5-1-2033        1,526,876        1,589,681  

FNMA (1 Year Treasury Constant Maturity +2.40%) ±

     3.51       7-1-2037        633,841        661,721  

FNMA (1 Year Treasury Constant Maturity +2.23%) ±

     3.52       11-1-2037        716,150        756,075  

FNMA (1 Year Treasury Constant Maturity +2.21%) ±

     3.52       6-1-2035        803,132        844,389  

FNMA (1 Year Treasury Constant Maturity +2.20%) ±

     3.52       2-1-2034        1,615,312        1,690,282  

FNMA (1 Year Treasury Constant Maturity +2.23%) ±

     3.53       1-1-2035        583,065        616,308  

FNMA (1 Year Treasury Constant Maturity +2.41%) ±

     3.53       9-1-2030        286,423        303,643  

FNMA (1 Year Treasury Constant Maturity +2.18%) ±

     3.53       12-1-2034        843,285        888,007  

FNMA (1 Year Treasury Constant Maturity +2.16%) ±

     3.53       10-1-2035        1,637,487        1,727,004  

FNMA (1 Year Treasury Constant Maturity +2.19%) ±

     3.53       12-1-2035        347,713        366,513  

FNMA (1 Year Treasury Constant Maturity +1.67%) ±

     3.54       4-1-2033        185,043        192,723  

FNMA (12 Month LIBOR +1.75%) ±

     3.55       1-1-2035        722,028        758,681  

FNMA (1 Year Treasury Constant Maturity +2.18%) ±

     3.55       12-1-2024        24,907        25,000  

FNMA (1 Year Treasury Constant Maturity +2.20%) ±

     3.55       5-1-2033        314,146        329,129  

FNMA (1 Year Treasury Constant Maturity +2.19%) ±

     3.55       12-1-2040        339,570        358,094  

FNMA (1 Year Treasury Constant Maturity +2.28%) ±

     3.55       4-1-2024        12,317        12,613  

FNMA (12 Month Treasury Average +2.15%) ±

     3.55       8-1-2036        2,022,454        2,120,832  

FNMA (1 Year Treasury Constant Maturity +2.21%) ±

     3.56       6-1-2034        1,855,797        1,958,789  

FNMA (1 Year Treasury Constant Maturity +2.12%) ±

     3.56       5-1-2034        483,750        506,955  

FNMA (12 Month Treasury Average +2.60%) ±

     3.56       7-1-2039        1,782,223        1,872,091  

FNMA (1 Year Treasury Constant Maturity +2.26%) ±

     3.56       12-1-2040        2,488,465        2,628,103  

FNMA (1 Year Treasury Constant Maturity +2.32%) ±

     3.57       5-1-2025        34,592        34,704  

FNMA (US Treasury H15 Treasury Bill 6 Month Auction High Discount +2.23%) ±

     3.57       7-1-2025        2,235        2,332  

FNMA (1 Year Treasury Constant Maturity +2.23%) ±

     3.57       3-1-2038        1,615,998        1,706,696  

FNMA (12 Month LIBOR +1.67%) ±

     3.57       9-1-2038        859,228        902,391  

FNMA (1 Year Treasury Constant Maturity +2.21%) ±

     3.57       1-1-2027        341,093        343,804  

FNMA (1 Year Treasury Constant Maturity +2.21%) ±

     3.57       9-1-2035        570,971        602,858  

FNMA (12 Month LIBOR +1.57%) ±

     3.58       6-1-2035        1,765,115        1,843,677  

FNMA (1 Year Treasury Constant Maturity +2.35%) ±

     3.58       4-1-2036        783,438        828,824  

FNMA (12 Month LIBOR +1.83%) ±

     3.58       1-1-2033        906,385        953,064  

FNMA (1 Year Treasury Constant Maturity +2.36%) ±

     3.58       11-1-2034        459,852        489,306  

FNMA (12 Month LIBOR +1.80%) ±

     3.58       7-1-2033        689,209        727,137  

FNMA (1 Year Treasury Constant Maturity +2.08%) ±

     3.58       9-1-2035        1,665,714        1,752,438  

FNMA (5 Year Treasury Constant Maturity +1.90%) ±

     3.59       9-1-2031        215,563        219,650  

FNMA (12 Month LIBOR +1.82%) ±

     3.59       4-1-2035        1,112,774        1,174,043  

FNMA (1 Year Treasury Constant Maturity +2.47%) ±

     3.59       9-1-2028        40,028        40,671  

FNMA (1 Year Treasury Constant Maturity +2.18%) ±

     3.59       5-1-2036        957,075        1,010,124  

FNMA (1 Year Treasury Constant Maturity +2.22%) ±

     3.60       8-1-2031        109,959        111,678  

FNMA (1 Year Treasury Constant Maturity +2.29%) ±

     3.60       1-1-2031        383,395        403,375  

FNMA (1 Year Treasury Constant Maturity +2.32%) ±

     3.60       1-1-2037        901,025        946,386  

FNMA (1 Year Treasury Constant Maturity +2.22%) ±

     3.61       6-1-2027        84,590        85,975  

FNMA (1 Year Treasury Constant Maturity +2.31%) ±

     3.61       12-1-2034        769,781        815,321  

FNMA (1 Year Treasury Constant Maturity +2.18%) ±

     3.61       4-1-2038        1,078,986        1,137,513  

FNMA (1 Year Treasury Constant Maturity +2.20%) ±

     3.61       2-1-2035        237,614        250,773  

FNMA (12 Month LIBOR +1.74%) ±

     3.61       6-1-2036        330,008        345,452  

FNMA (1 Year Treasury Constant Maturity +2.23%) ±

     3.61       5-1-2035        1,367,883        1,441,456  

FNMA (1 Year Treasury Constant Maturity +2.25%) ±

     3.62       6-1-2027        831        849  

FNMA (1 Year Treasury Constant Maturity +2.37%) ±

     3.62       7-1-2027        22,328        22,419  

FNMA (1 Year Treasury Constant Maturity +2.36%) ±

     3.63       1-1-2029        236,815        243,944  

FNMA (1 Year Treasury Constant Maturity +2.20%) ±

     3.63       12-1-2032        550,983        579,423  

FNMA (12 Month LIBOR +1.72%) ±

     3.63       6-1-2035        197,946        208,200  

FNMA (12 Month LIBOR +1.75%) ±

     3.63       7-1-2035        592,290        623,613  

FNMA (12 Month LIBOR +1.72%) ±

     3.63       2-1-2038        653,778        687,422  

FNMA (US Treasury H15 Treasury Bill 6 Month Auction High Discount +2.25%) ±

     3.63       7-1-2020        13,593        13,582  

FNMA (1 Year Treasury Constant Maturity +2.02%) ±

     3.64       11-1-2027        24,493        24,595  

FNMA (12 Month LIBOR +1.82%) ±

     3.64       12-1-2046        637,091        673,130  

FNMA (6 Month LIBOR +1.98%) ±

     3.64       10-1-2024        86,708        89,148  

FNMA (12 Month LIBOR +1.69%) ±

     3.64       3-1-2037        418,534        440,586  

FNMA (1 Year Treasury Constant Maturity +2.29%) ±

     3.64       10-1-2036        718,019        759,933  

FNMA (12 Month LIBOR +1.67%) ±