N-CSR

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-09253

Wells Fargo Funds Trust

(Exact name of registrant as specified in charter)

525 Market St., San Francisco, CA 94105

(Address of principal executive offices) (Zip code)

Catherine Kennedy

Wells Fargo Funds Management, LLC

525 Market St., San Francisco, CA 94105

(Name and address of agent for service)

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

Date of fiscal year end: February 29

Registrant is making a filing for 27 of its series:

Wells Fargo Dynamic Target Today Fund, Wells Fargo Dynamic Target 2015 Fund, Wells Fargo Dynamic Target 2020 Fund, Wells Fargo Dynamic Target 2025 Fund, Wells Fargo Dynamic Target 2030 Fund, Wells Fargo Dynamic Target 2035 Fund, Wells Fargo Dynamic Target 2040 Fund, Wells Fargo Dynamic Target 2045 Fund, Wells Fargo Dynamic Target 2050 Fund, Wells Fargo Dynamic Target 2055 Fund, Wells Fargo Dynamic Target 2060 Fund, Wells Fargo Target Today Fund, Wells Fargo Target 2010 Fund, Wells Fargo Target 2015 Fund, Wells Fargo Target 2020 Fund, Wells Fargo Target 2025 Fund, Wells Fargo Target 2030 Fund, Wells Fargo Target 2035 Fund, Wells Fargo Target 2040 Fund, Wells Fargo Target 2045 Fund, Wells Fargo Target 2050 Fund, Wells Fargo Target 2055 Fund, Wells Fargo Target 2060 Fund, Wells Fargo Emerging Markets Bond Fund, Wells Fargo High Yield Corporate Bond Fund, Wells Fargo International Government Bond Fund, and Wells Fargo U.S. Core Bond Fund.

Date of reporting period: February 29, 2020

ITEM 1. REPORT TO STOCKHOLDERS

Annual Report

February 29, 2020

Target Date Retirement Funds

∎ Wells Fargo Target Today Fund

∎ Wells Fargo Target 2010 Fund

∎ Wells Fargo Target 2015 Fund

∎ Wells Fargo Target 2020 Fund

∎ Wells Fargo Target 2025 Fund

∎ Wells Fargo Target 2030 Fund

∎ Wells Fargo Target 2035 Fund

∎ Wells Fargo Target 2040 Fund

∎ Wells Fargo Target 2045 Fund

∎ Wells Fargo Target 2050 Fund

∎ Wells Fargo Target 2055 Fund

∎ Wells Fargo Target 2060 Fund

Beginning on January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, paper copies of the Wells Fargo Funds’ annual and semi-annual shareholder reports issued after this date will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, by calling 1-800-222-8222 or by enrolling at wellsfargo.com/advantagedelivery.

You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call 1-800-222-8222. Your election to receive reports in paper will apply to all Wells Fargo Funds held in your account with your financial intermediary or, if you are a direct investor, to all Wells Fargo Funds that you hold.

Contents

Letter to shareholders	2
Performance highlights
Wells Fargo Target Today Fund	7
Wells Fargo Target 2010 Fund	10
Wells Fargo Target 2015 Fund	13
Wells Fargo Target 2020 Fund	16
Wells Fargo Target 2025 Fund	19
Wells Fargo Target 2030 Fund	22
Wells Fargo Target 2035 Fund	25
Wells Fargo Target 2040 Fund	28
Wells Fargo Target 2045 Fund	31
Wells Fargo Target 2050 Fund	34
Wells Fargo Target 2055 Fund	37
Wells Fargo Target 2060 Fund	40
Fund expenses	45
Portfolio of investments
Wells Fargo Target Today Fund	50
Wells Fargo Target 2010 Fund	51
Wells Fargo Target 2015 Fund	52
Wells Fargo Target 2020 Fund	53
Wells Fargo Target 2025 Fund	54
Wells Fargo Target 2030 Fund	55
Wells Fargo Target 2035 Fund	56
Wells Fargo Target 2040 Fund	57
Wells Fargo Target 2045 Fund	58
Wells Fargo Target 2050 Fund	59
Wells Fargo Target 2055 Fund	60
Wells Fargo Target 2060 Fund	61

Financial statements
Statements of assets and liabilities	62
Statements of operations	66
Statements of changes in net assets	69
Financial highlights	82
Notes to financial statements	106
Report of independent registered public accounting firm	113
Other information	114
Appendix I	120
Appendix II	122
Appendix III	123

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The views expressed and any forward-looking statements are as of February 29, 2020, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Asset Management. Discussions of individual securities, or the markets generally, or any Wells Fargo Fund are not intended as individual recommendations. Future events or results may vary significantly from those expressed in any forward-looking statements. The views expressed are subject to change at any time in response to changing circumstances in the market. Wells Fargo Asset Management and the Fund disclaim any obligation to publicly update or revise any views expressed or forward-looking statements.

INVESTMENT PRODUCTS: NOT FDIC INSURED  ◾  NO BANK GUARANTEE  ◾  MAY LOSE VALUE

Target Date Retirement Funds  |  1

Letter to shareholders (unaudited)

Andrew Owen

President

Wells Fargo Funds

Dear Shareholder:

We are pleased to offer you this annual report for the Wells Fargo Target Date Funds for the 12-month period that ended February 29, 2020. Despite periods of market volatility, particularly at the end of the reporting period in February and with the onset of the novel coronavirus (COVID-19), returns were positive overall for financial markets as supportive central banks addressed concerns over slowing global economic growth and international trade tensions.

Fixed-income and equity investors had mixed annual returns, as U.S. markets led the way, with much stronger annual returns than non-U.S. markets, among both equities and fixed-income investments. For the period, U.S. stocks, based on the S&P 500 Index,¹ gained 8.19% and international stocks, as measured by the MSCI ACWI ex USA Index (Net),² returned -0.69%. The MSCI EM Index (Net)³ trailed, with a -1.88% return. For bond investors, the Bloomberg Barclays U.S. Aggregate Bond Index⁴ added a healthy 11.68%, the Bloomberg Barclays Global Aggregate ex-USD Index⁵ gained a more modest 4.83%, the Bloomberg Barclays Municipal Bond Index⁶ returned 9.46%, and the ICE BofA U.S. High Yield Index⁷ added 5.91%.

The year began on a strong note but enthusiasm faded.

Financial markets began the period with a tailwind from an increase in central bank supportive actions in response to slowing global growth and ongoing U.S.-China trade issues. By the end of the first quarter of 2019, more accommodative U.S. Federal Reserve (Fed) sentiment and steady U.S. economic and business metrics encouraged domestic investors.

During April, sustained low inflation, solid employment data, and first-quarter U.S. gross domestic product (GDP) of an annualized rate of 3.2% supported favorable sentiment. During May, however, markets tumbled on mixed investment signals. In the U.S., partisan political wrangling ramped up in advance of the 2020 election. The U.K.’s Brexit disagreements caused Prime Minister Theresa May to resign. Boris Johnson succeeded her, only to add to uncertainty about Brexit’s resolution ahead of an October 2019 deadline. The European Commission downgraded the 2019 growth forecast to 1.2%. The U.S. increased tariffs on products from China, China responded, and then talks broke down. President Donald Trump threatened to turn his foreign policy tariff tool to Mexico over immigration issues.

¹  The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock’s weight in the index proportionate to its market value. You cannot invest directly in an index.

²  The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed markets, excluding the United States. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index.

³  The MSCI Emerging Markets (EM) Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure equity market performance of emerging markets. You cannot invest directly in an index.

⁴  The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage backed securities. You cannot invest directly in an index.

⁵  The Bloomberg Barclays Global Aggregate ex-USD Index is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-income markets excluding the U.S. dollar-denominated debt market. You cannot invest directly in an index.

⁶  The Bloomberg Barclays Municipal Bond Index is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. You cannot invest directly in an index.

⁷  The ICE BofA U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2020. ICE Data Indices, LLC. All rights reserved.

2  |  Target Date Retirement Funds

Letter to shareholders (unaudited)

Midway through the year, investors regrouped, sentiment turned positive, and U.S. equity markets advanced during June and July. The gains, primarily driven by geopolitical and monetary policy events, pushed equity markets to new highs. European Central Bank President Mario Draghi indicated the bank was ready to cut rates or buy more assets to prop up inflation if needed. President Trump backed off of tariff threats against Mexico and China. In the U.S., the Fed implemented a 0.25% federal funds rate cut in July.

Later in July, the U.S. reversed course and threatened to impose higher tariffs on China’s exports after talks failed. China responded with tariff threats of its own and devalued the renminbi, roiling global markets. Major U.S. stock market indices closed July with the worst weekly results of the year. Bond prices gained as Treasury yields fell to multiyear lows, and the yield curve inverted at multiple points along the 30-year arc.

In August, U.S.-China trade tensions continued with no signs of compromise. Evidence of a continued global economic slowdown mounted, and central banks in China, New Zealand, and Thailand cut interest rates. Industrial and manufacturing data declined in China, Canada, Japan, and Germany. Adding to global uncertainty, Italy’s prime minister resigned, many feared a crackdown in Hong Kong as protestors sustained their calls for reform, and Boris Johnson planned to suspend Parliament as Brexit’s deadline neared.

In the U.S., the Fed cut interest rates a second time in September. U.S. manufacturing data disappointed investors. The U.S. Congress announced it would pursue an impeachment investigation of President Trump. Meanwhile, the Brexit impasse showed no signs of resolution. Officials in China said that hitting the country’s economic growth goals for the year would be difficult considering the weight of tariffs and trade restrictions. Although the S&P 500 Index finished the third quarter with the best year-to-date returns in more than 20 years, concerns about future returns remained.

The fourth quarter started on a strong note, with U.S.-China trade tensions relaxing in October along with renewed optimism for a U.K. Brexit deal and positive macroeconomic data. The initial estimate of U.S. third-quarter GDP growth was a resilient 1.9% annualized rate, while the U.S. unemployment rate fell to a 50-year low of 3.5% in September. However, despite resilience among U.S. consumers, business confidence declined while manufacturing activity contracted. Concerned with a potential economic slowdown, the Fed lowered interest rates another quarter point in late October—its third rate cut in four months. This helped push the S&P 500 Index to a new all-time high while emerging market equities rallied and global bonds declined overall, reflecting a broad pickup in risk appetite.

Equity markets continued to rally in November despite ongoing geopolitical risks. Hopes for a U.S.-China trade deal buoyed investor confidence. U.S. business sentiment improved slightly, and manufacturing and services activity picked up. With that positive backdrop, developed market equities outpaced those in emerging markets, and U.S. stocks, as reflected by the S&P 500 Index, outperformed non-U.S. stocks overall. While consumer confidence and purchasing manager activity rose in the eurozone, China reported weakening manufacturing and consumer data. Bond yields rose marginally, leading to slightly negative returns for global government and investment-grade corporate bonds.

Financial markets ended 2019 with a boost from the U.S. and China accord on a Phase One trade deal. That, along with the landslide win by the pro-Brexit U.K. Conservative Party in a national election and ongoing central bank support, gave investors greater confidence. U.S. economic indicators were generally positive, with the exception of manufacturing activity and business confidence. Consumer confidence was resilient, fed by a robust labor market, tame inflation, and lower interest rates, which boosted housing affordability and stimulated homebuyer activity. The impeachment of U.S.

President Donald Trump had little impact on markets. Meanwhile, slowing Chinese economic activity, partly attributable to the trade war, led to further government stimulus at year-end through lower reserve ratios, allowing banks to lend more money.

_“Midway through the year, investors regrouped, sentiment turned positive, and U.S. equity markets advanced._”

Target Date Retirement Funds  |  3

Letter to shareholders (unaudited)

_“Capital market volatility picked up sharply in late January on concerns over the unknown impact of the coronavirus on the global economy and stock markets._”

For further information about your Fund, contact your investment professional, visit our website at wfam.com, or call us directly at 1-800-222-8222.

The year-end rally continued in early January 2020. However, capital market volatility picked up sharply in late January on concerns over the unknown impact of the coronavirus on the global economy and stock markets. With sentiment somewhat souring, perceived safe havens did well in January. The U.S. dollar and Japanese yen both rose and government bonds outperformed equities. While the S&P 500 Index held its ground, emerging market equities tumbled, including those in Asia, that are most exposed to viruses—physical or economic—originating in China.

In February, the coronavirus became the major market focus. Fears of the virus’s impact on Chinese and global growth led to expectations of increased global central bank monetary policy support. That led the 10-year Treasury yield to fall to an all-time low of 1.1% by the end of the month. Although equity markets initially shrugged off concerns about the outbreak, focusing instead on strong fourth-quarter earnings and improving business confidence in January, market sentiment turned sharply lower toward month-end and the S&P 500 Index lost 8.2% for the month. Oil prices tumbled as Russia and the Organization of the Petroleum Exporting Countries compounded a major decline in oil demand with a brutal price war, partly aimed at dissuading further U.S. shale production. As a result, the price of West Texas Intermediate crude oil fell 13% in February and 27% for 2020 year to date.

Don’t let short-term uncertainty derail long-term investment goals.

Periods of investment uncertainty can present challenges, but experience has taught us that maintaining long-term investment goals can be an effective way to plan for the future. To help you create a sound strategy based on your personal goals and risk tolerance, Wells Fargo Funds offers more than 100 mutual funds spanning a wide range of asset classes and investment styles. Although diversification cannot guarantee an investment profit or prevent losses, we believe it can be an effective way to manage investment risk and potentially smooth out overall portfolio performance. We encourage investors to know their investments and to understand that appropriate levels of risk-taking may unlock opportunities.

Thank you for choosing to invest with Wells Fargo Funds. We appreciate your confidence in us and remain committed to helping you meet your financial needs.

Sincerely,

Andrew Owen

President

Wells Fargo Funds

Notice to shareholders

Effective July 1, 2020, the Funds’ underlying U.S. large- and small-capitalization companies, international (non-U.S.) developed and emerging markets allocations will no longer seek to track proprietary indexes and their portfolios will be realigned with the methodology summarized below (the “Factor Enhanced Methodology”) over a period of approximately three months. Also effective July 1, 2020, each of the Wells Fargo Target Today Fund, Wells Fargo Target 2010 Fund, Wells Fargo Target 2015 Fund, Wells Fargo Target 2020 Fund, Wells Fargo Target 2025 Fund and Wells Fargo Target 2030 Fund will invest a portion of its assets in a new low volatility equity allocation.

Factor Enhanced Methodology. A systematic, rules based methodology designed to build a portfolio of stocks that provides exposure to factors (or characteristics) commonly tied to a stock’s potential for enhanced risk-adjusted returns relative to the market. Those factors include, but are not limited to, value, quality, momentum, size, and low volatility.

4  |  Target Date Retirement Funds

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Performance highlights (unaudited)

Wells Fargo Target Date Funds

Investment objective

Each Fund seeks total return over time, consistent with its strategic target asset allocation.

Manager

Wells Fargo Funds Management, LLC

Subadviser

Wells Capital Management Incorporated

Portfolio managers

Kandarp R. Acharya, CFA^®‡, FRM

Petros N. Bocray, CFA^®‡, FRM

Christian L. Chan, CFA^®‡

The target date represents the year in which investors may likely begin withdrawing assets. The Funds gradually seek to reduce market risk as the target date approaches and after it arrives by decreasing equity exposure and increasing fixed income exposure. The principal value is not guaranteed at any time, including at the target date. The Funds will indirectly be exposed to all of the risks of an investment in the affiliated master portfolios and will bear expenses of the underlying affiliated master portfolios.

Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. Bond values fluctuate in response to the financial condition of individual issuers, general market and economic conditions, and changes in interest rates. Changes in market conditions and government policies may lead to periods of heightened volatility in the bond market and reduced liquidity for certain bonds held by the Funds. In general, when interest rates rise, bond values fall and investors may lose principal value. Interest rate changes and their impact on the Funds and its share price can be sudden and unpredictable. High-yield securities have a greater risk of default and tend to be more volatile than higher-rated debt securities. The use of derivatives may reduce returns and/or increase volatility. Securities issued by U.S. government agencies or government sponsored entities may not be guaranteed by the U.S. Treasury. Certain investment strategies tend to increase the total risk of an investment (relative to the broader market). The Funds are exposed to foreign investment risk, mortgage-and asset-backed securities risk, and smaller-company investment risk. Consult the Funds’ prospectus for additional information on these and other risks.

^‡  CFA^® and Chartered Financial Analyst^® are trademarks owned by CFA Institute.

6  |  Target Date Retirement Funds

Performance highlights (unaudited)

Target Today Fund

Average annual total returns (%) as of February 29, 2020

		Including sales charge						Excluding sales charge						Expense ratios1 (%)
	Inception date	1 year		5 year		10 year		1 year		5 year		10 year		Gross		Net2
Class A (STWRX)	3-1-1994		1.43		1.73		2.82		7.64		2.94		3.43		0.94		0.65
Class C (WFODX)	12-1-1998		5.80		2.16		2.65		6.80		2.16		2.65		1.69		1.40
Class R (WFRRX)3	6-28-2013		–		–		–		7.35		2.66		3.21		1.19		0.90
Class R4 (WOTRX)4	11-30-2012		–		–		–		7.98		3.18		3.79		0.66		0.34
Class R6 (WOTDX)	6-30-2004		–		–		–		8.16		3.40		3.94		0.51		0.19
Administrator Class (WFLOX)	11-8-1999		–		–		–		7.76		3.05		3.57		0.86		0.54
S&P Target Date Retirement Income Index5	–		–		–		–		7.04		3.97		5.31		–		–
Wells Fargo Target Today Blended Index6	–		–		–		–		8.18		–		–		–		–

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted and assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wfam.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 5.75%. For Class C shares, the maximum contingent deferred sales charge is 1.00%. Performance including a contingent deferred sales charge assumes the sales charge for the corresponding time period. Class R, Class R4, Class R6, and Administrator Class shares are sold without a front-end sales charge or contingent deferred sales charge.

Growth of $10,000 investment as of February 29, 2020⁷

Please see footnotes on page 9.

Target Date Retirement Funds  |  7

Performance highlights (unaudited)

Target Today Fund (continued)

Holdings (%) as of February 29, 20208
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	35.69
Wells Fargo Investment Grade Corporate Bond Portfolio	18.50
Wells Fargo Factor Enhanced Large Cap Portfolio	13.01
Wells Fargo Strategic Retirement Bond Portfolio	12.04
Wells Fargo Factor Enhanced International Portfolio	6.92
Wells Fargo Factor Enhanced Small Cap Portfolio	3.23
Wells Fargo Emerging Markets Bond Portfolio	2.95
Wells Fargo High Yield Corporate Bond Portfolio	2.91
Wells Fargo U.S. REIT Portfolio	2.26
Wells Fargo Factor Enhanced Emerging Markets Portfolio	2.06

Volatility metrics as of February 29, 202010
	Beta11		Standard deviation12			R-squared13
Class A		0.87		3.70	%		0.91
Class C		0.87		3.72	%		0.91
Class R		0.87		3.72	%		0.91
Class R4		0.86		3.68	%		0.90
Class R6		0.86		3.68	%		0.91
Administrator Class		0.86		3.69	%		0.91

Portfolio allocation as of February 29, 2020⁹

Please see footnotes on page 9.

8  |  Target Date Retirement Funds

Performance highlights (unaudited)

Target Today Fund (continued)

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.13% of acquired fund fees and expenses representing the net expenses from the affiliated master portfolios. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

² The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.65% for Class A, 1.40% for Class C, 0.90% for Class R, 0.34% for Class R4, 0.19% for Class R6, and 0.54% for Administrator Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios invest and from money market funds, and extraordinary expenses are excluded from the expense caps. All other acquired fund fees from the affiliated master portfolios are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³ Historical performance shown for the Class R shares prior to their inception reflects the performance of the Class A shares and has been adjusted to reflect the higher expenses applicable to the Class R shares.

⁴ Historical performance shown for the Class R4 shares prior to their inception reflects the performance of the Class R6 shares and has been adjusted to reflect the higher expenses applicable to the Class R4 shares.

⁵  The S&P Target Date Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. This index is representative of the investment opportunity available to investors for the target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. You cannot invest directly in an index.

⁶ Source: Wells Fargo Funds Management, LLC. The Wells Fargo Target Blended Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, each corresponding to the target retirement date. The index weightings among the major asset classes are adjusted annually. The inception date of the index is July 14, 2017. See Appendix I for additional information. You cannot invest directly in an index.

⁷ The chart compares the performance of Class A shares for the most recent ten years with the S&P Target Date Retirement Income Index and the Wells Fargo Target Today Blended Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁸  Holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁹  Amounts are calculated based on the total long-term investments of the Fund. These amounts are subject to change and may have changed since the date specified.

¹⁰ These metrics show the degree and timing of the Fund’s fluctuations compared to S&P Target Date Retirement Income Index over 36 months.

¹¹  Beta measures fund volatility relative to general market movements. It is a standardized measure of systematic risk in comparison with a specified index. The benchmark beta is 1.00 by definition. Beta is based on historical performance and does not represent future results.

¹² Standard deviation is the square root of the sum of squared deviations from the mean. It is often used as a measure of volatility, variability, or risk. Standard deviation is based on historical performance and does not represent future results.

¹³  R-squared (R2) is a statistical measure that reflects the percentage of a fund’s movements that can be explained by movements in its benchmark index. The measure ranges from 0.0, which means that the fund’s performance bears no relationship to the performance of the index, to 1.0, which means that the fund’s performance was perfectly synchronized with the performance of the benchmark. R2 is based on historical performance and does not represent future results.

Target Date Retirement Funds  |  9

Performance highlights (unaudited)

Target 2010 Fund

Average annual total returns (%) as of February 29, 2020

		Including sales charge						Excluding sales charge						Expense ratios1 (%)
	Inception date	1 year		5 year		10 year		1 year		5 year		10 year		Gross		Net2
Class A (STNRX)	3-1-1994		1.37		1.82		3.21		7.57		3.03		3.82		0.91		0.65
Class C (WFOCX)	12-1-1998		5.70		2.25		3.04		6.70		2.25		3.04		1.66		1.40
Class R (WFARX)3	6-28-2013		–		–		–		7.29		2.76		3.61		1.16		0.90
Class R4 (WFORX)4	11-30-2012		–		–		–		7.90		3.34		4.22		0.63		0.34
Class R6 (WFOAX)	6-30-2004		–		–		–		8.07		3.50		4.33		0.48		0.19
Administrator Class (WFLGX)	11-8-1999		–		–		–		7.77		3.14		3.96		0.83		0.54
S&P Target Date 2010 Index5	–		–		–		–		6.76		4.27		6.00		–		–
Wells Fargo Target 2010 Blended Index6	–		–		–		–		8.09		–		–		–		–

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted and assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wfam.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 5.75%. For Class C shares, the maximum contingent deferred sales charge is 1.00%. Performance including a contingent deferred sales charge assumes the sales charge for the corresponding time period. Class R, Class R4, Class R6, and Administrator Class shares are sold without a front-end sales charge or contingent deferred sales charge.

Growth of $10,000 investment as of February 29, 2020⁷

Please see footnotes on page 12.

10  |  Target Date Retirement Funds

Performance highlights (unaudited)

Target 2010 Fund (continued)

Holdings (%) as of February 29, 20208
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	35.28
Wells Fargo Investment Grade Corporate Bond Portfolio	18.22
Wells Fargo Factor Enhanced Large Cap Portfolio	13.59
Wells Fargo Strategic Retirement Bond Portfolio	11.88
Wells Fargo Factor Enhanced International Portfolio	7.30
Wells Fargo Factor Enhanced Small Cap Portfolio	3.38
Wells Fargo Emerging Markets Bond Portfolio	2.91
Wells Fargo High Yield Corporate Bond Portfolio	2.86
Wells Fargo U.S. REIT Portfolio	2.37
Wells Fargo Factor Enhanced Emerging Markets Portfolio	2.21

Volatility metrics as of February 29, 202010
	Beta11		Standard deviation12			R-squared13
Class A		0.80		3.95	%		0.91
Class C		0.79		3.93	%		0.90
Class R		0.79		3.92	%		0.90
Class R4		0.79		3.90	%		0.90
Class R6		0.79		3.90	%		0.90
Administrator Class		0.78		3.87	%		0.90

Portfolio allocation as of February 29, 2020⁹

Please see footnotes on page 12.

Target Date Retirement Funds  |  11

Performance highlights (unaudited)

Target 2010 Fund (continued)

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.13% of acquired fund fees and expenses representing the net expenses from the affiliated master portfolios. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

²  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.65% for Class A, 1.40% for Class C, 0.90% for Class R, 0.34% for Class R4, 0.19% for Class R6, and 0.54% for Administrator Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios invest and from money market funds, and extraordinary expenses are excluded from the expense caps. All other acquired fund fees from the affiliated master portfolios are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³ Historical performance shown for the Class R shares prior to their inception reflects the performance of the Class A shares and has been adjusted to reflect the higher expenses applicable to the Class R shares.

⁴ Historical performance shown for the Class R4 shares prior to their inception reflects the performance of the Class R6 shares and has been adjusted to reflect the higher expenses applicable to the Class R4 shares.

⁵  The S&P Target Date Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. This index is representative of the investment opportunity available to investors for the target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. You cannot invest directly in an index.

⁶ Source: Wells Fargo Funds Management, LLC. The Wells Fargo Target Blended Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, each corresponding to the target retirement date. The index weightings among the major asset classes are adjusted annually. The inception date of the index is July 14, 2017. See Appendix I for additional information. You cannot invest directly in an index.

⁷ The chart compares the performance of Class A shares for the most recent ten years with the S&P Target Date 2010 Index and the Wells Fargo Target 2010 Blended Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁸  Holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁹  Amounts are calculated based on the total long-term investments of the Fund. These amounts are subject to change and may have changed since the date specified.

¹⁰ These metrics show the degree and timing of the Fund’s fluctuations compared to S&P Target Date 2010 Index over 36 months.

¹¹  Beta measures fund volatility relative to general market movements. It is a standardized measure of systematic risk in comparison with a specified index. The benchmark beta is 1.00 by definition. Beta is based on historical performance and does not represent future results.

¹² Standard deviation is the square root of the sum of squared deviations from the mean. It is often used as a measure of volatility, variability, or risk. Standard deviation is based on historical performance and does not represent future results.

¹³  R-squared (R2) is a statistical measure that reflects the percentage of a fund’s movements that can be explained by movements in its benchmark index. The measure ranges from 0.0, which means that the fund’s performance bears no relationship to the performance of the index, to 1.0, which means that the fund’s performance was perfectly synchronized with the performance of the benchmark. R2 is based on historical performance and does not represent future results.

12  |  Target Date Retirement Funds

Performance highlights (unaudited)

Target 2015 Fund

Average annual total returns (%) as of February 29, 2020

		Including sales charge						Excluding sales charge						Expense ratios1 (%)
	Inception date	1 year		5 year		10 year		1 year		5 year		10 year		Gross		Net2
Class A (WFACX)3	11-30-2012		1.01		2.11		3.87		7.18		3.31		4.48		0.89		0.65
Class R (WFBRX)4	6-28-2013		–		–		–		6.80		3.05		4.22		1.14		0.90
Class R4 (WFSRX)5	11-30-2012		–		–		–		7.57		3.64		4.83		0.61		0.34
Class R6 (WFSCX)	6-29-2007		–		–		–		7.74		3.80		4.94		0.46		0.19
Administrator Class (WFFFX)	6-29-2007		–		–		–		7.20		3.45		4.58		0.81		0.54
S&P Target Date 2015 Index6	–		–		–		–		6.33		4.58		6.66		–		–
Wells Fargo Target 2015 Blended Index7	–		–		–		–		7.60		–		–		–		–

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted and assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wfam.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 5.75%. Class R, Class R4, Class R6, and Administrator Class shares are sold without a front-end sales charge or contingent deferred sales charge.

Growth of $10,000 investment as of February 29, 2020⁸

Please see footnotes on page 15.

Target Date Retirement Funds  |  13

Performance highlights (unaudited)

Target 2015 Fund (continued)

Holdings (%) as of February 29, 20209
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	33.26
Wells Fargo Investment Grade Corporate Bond Portfolio	17.17
Wells Fargo Factor Enhanced Large Cap Portfolio	15.85
Wells Fargo Strategic Retirement Bond Portfolio	11.20
Wells Fargo Factor Enhanced International Portfolio	8.44
Wells Fargo Factor Enhanced Small Cap Portfolio	3.94
Wells Fargo U.S. REIT Portfolio	2.80
Wells Fargo Emerging Markets Bond Portfolio	2.74
Wells Fargo High Yield Corporate Bond Portfolio	2.69
Wells Fargo Factor Enhanced Emerging Markets Portfolio	2.56

Volatility metrics as of February 29, 202011
	Beta12		Standard deviation13			R-squared14
Class A		0.78		4.42	%		0.92
Class R		0.78		4.42	%		0.92
Class R4		0.78		4.43	%		0.92
Class R6		0.77		4.38	%		0.92
Administrator Class		0.78		4.41	%		0.92

Portfolio allocation as of February 29, 2020¹⁰

Please see footnotes on page 15.

14  |  Target Date Retirement Funds

Performance highlights (unaudited)

Target 2015 Fund (continued)

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.14% of acquired fund fees and expenses representing the net expenses from the affiliated master portfolios. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

²  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.65% for Class A, 0.90% for Class R, 0.34% for Class R4, 0.19% for Class R6, and 0.54% for Administrator Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios invest and from money market funds, and extraordinary expenses are excluded from the expense caps. All other acquired fund fees from the affiliated master portfolios are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  Historical performance shown for the Class A shares prior to their inception reflects the performance of the Class R6 shares and has been adjusted to reflect the higher expenses applicable to the Class A shares.

⁴ Historical performance shown for the Class R shares prior to their inception reflects the performance of the Class A shares and has been adjusted to reflect the higher expenses applicable to the Class R shares.

⁵ Historical performance shown for the Class R4 shares prior to their inception reflects the performance of the Class R6 shares and has been adjusted to reflect the higher expenses applicable to the Class R4 shares.

⁶  The S&P Target Date Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. This index is representative of the investment opportunity available to investors for the target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. You cannot invest directly in an index.

⁷ Source: Wells Fargo Funds Management, LLC. The Wells Fargo Target Blended Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, each corresponding to the target retirement date. The index weightings among the major asset classes are adjusted annually. The inception date of the index is July 14, 2017. See Appendix I for additional information. You cannot invest directly in an index.

⁸ The chart compares the performance of Class A shares for the most recent ten years with the S&P Target Date 2015 Index and the Wells Fargo Target 2015 Blended Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁹  Holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

¹⁰  Amounts are calculated based on the total long-term investments of the Fund. These amounts are subject to change and may have changed since the date specified.

¹¹ These metrics show the degree and timing of the Fund’s fluctuations compared to S&P Target Date 2015 Index over 36 months.

¹²  Beta measures fund volatility relative to general market movements. It is a standardized measure of systematic risk in comparison with a specified index. The benchmark beta is 1.00 by definition. Beta is based on historical performance and does not represent future results.

¹³ Standard deviation is the square root of the sum of squared deviations from the mean. It is often used as a measure of volatility, variability, or risk. Standard deviation is based on historical performance and does not represent future results.

¹⁴  R-squared (R2) is a statistical measure that reflects the percentage of a fund’s movements that can be explained by movements in its benchmark index. The measure ranges from 0.0, which means that the fund’s performance bears no relationship to the performance of the index, to 1.0, which means that the fund’s performance was perfectly synchronized with the performance of the benchmark. R2 is based on historical performance and does not represent future results.

Target Date Retirement Funds  |  15

Performance highlights (unaudited)

Target 2020 Fund

Average annual total returns (%) as of February 29, 2020

		Including sales charge						Excluding sales charge							Expense ratios1 (%)
	Inception date	1 year		5 year		10 year		1 year			5 year		10 year		Gross		Net2
Class A (STTRX)	3-1-1994		0.40		2.44		4.57		6.53			3.66		5.20		0.75		0.65
Class C (WFLAX)	12-1-1998		4.79		2.90		4.42		5.79			2.90		4.42		1.50		1.40
Class R (WFURX)3	6-28-2013		–		–		–		6.32			3.43		5.01		1.00		0.90
Class R4 (WFLRX)4	11-30-2012		–		–		–		6.90	*		4.00		5.61		0.47		0.34
Class R6 (WFOBX)	6-30-2004		–		–		–		7.06			4.15		5.72		0.32		0.19
Administrator Class (WFLPX)	11-08-1999		–		–		–		6.73			3.77		5.34		0.67		0.54
S&P Target Date 2020 Index5	–		–		–		–		6.06			4.86		7.24		–		–
Wells Fargo Target 2020 Blended Index6	–		–		–		–		7.05			–		–		–		–

* Total return differs from the return in the Financial Highlights in this report. The total return presented is calculated based on the NAV at which the shareholder transactions were processed. The NAV and total return presented in the Financial Highlights reflects certain adjustments made to the net assets of the Fund that are necessary under U.S. generally accepted accounting principles.

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted and assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wfam.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 5.75%. For Class C shares, the maximum contingent deferred sales charge is 1.00%. Performance including a contingent deferred sales charge assumes the sales charge for the corresponding time period. Class R, Class R4, Class R6, and Administrator Class shares are sold without a front-end sales charge or contingent deferred sales charge.

Growth of $10,000 investment as of February 29, 2020⁷

Please see footnotes on page 18.

16  |  Target Date Retirement Funds

Performance highlights (unaudited)

Target 2020 Fund (continued)

Holdings (%) as of February 29, 20208
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	30.63
Wells Fargo Factor Enhanced Large Cap Portfolio	18.69
Wells Fargo Investment Grade Corporate Bond Portfolio	15.80
Wells Fargo Factor Enhanced International Portfolio	10.00
Wells Fargo Strategic Retirement Bond Portfolio	9.48
Wells Fargo Factor Enhanced Small Cap Portfolio	4.69
Wells Fargo Factor Enhanced Emerging Markets Portfolio	3.04
Wells Fargo U.S. REIT Portfolio	2.93
Wells Fargo Emerging Markets Bond Portfolio	2.52
Wells Fargo High Yield Corporate Bond Portfolio	2.48

Volatility metrics as of February 29, 202010
	Beta11		Standard deviation12			R-squared13
Class A		0.83		5.20	%		0.95
Class C		0.83		5.20	%		0.95
Class R		0.81		5.13	%		0.95
Class R4		0.82		5.16	%		0.95
Class R6		0.82		5.17	%		0.95
Administrator Class		0.82		5.18	%		0.95

Portfolio allocation as of February 29, 2020⁹

Please see footnotes on page 18.

Target Date Retirement Funds  |  17

Performance highlights (unaudited)

Target 2020 Fund (continued)

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.14% of acquired fund fees and expenses representing the net expenses from the affiliated master portfolios. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

²  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.65% for Class A, 1.40% for Class C, 0.90% for Class R, 0.34% for Class R4, 0.19% for Class R6, and 0.54% for Administrator Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios invest and from money market funds, and extraordinary expenses are excluded from the expense caps. All other acquired fund fees from the affiliated master portfolios are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³ Historical performance shown for the Class R shares prior to their inception reflects the performance of the Class A shares and has been adjusted to reflect the higher expenses applicable to the Class R shares.

⁴ Historical performance shown for the Class R4 shares prior to their inception reflects the performance of the Class R6 shares and has been adjusted to reflect the higher expenses applicable to the Class R4 shares.

⁵  The S&P Target Date Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. This index is representative of the investment opportunity available to investors for the target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. You cannot invest directly in an index.

⁶ Source: Wells Fargo Funds Management, LLC. The Wells Fargo Target Blended Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, each corresponding to the target retirement date. The index weightings among the major asset classes are adjusted annually. The inception date of the index is July 14, 2017. See Appendix I for additional information. You cannot invest directly in an index.

⁷ The chart compares the performance of Class A shares for the most recent ten years with the S&P Target Date 2020 Index and the Wells Fargo Target 2020 Blended Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁸  Holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁹  Amounts are calculated based on the total long-term investments of the Fund. These amounts are subject to change and may have changed since the date specified.

¹⁰ These metrics show the degree and timing of the Fund’s fluctuations compared to S&P Target Date 2020 Index over 36 months.

¹¹  Beta measures fund volatility relative to general market movements. It is a standardized measure of systematic risk in comparison with a specified index. The benchmark beta is 1.00 by definition. Beta is based on historical performance and does not represent future results.

¹² Standard deviation is the square root of the sum of squared deviations from the mean. It is often used as a measure of volatility, variability, or risk. Standard deviation is based on historical performance and does not represent future results.

¹³  R-squared (R2) is a statistical measure that reflects the percentage of a fund’s movements that can be explained by movements in its benchmark index. The measure ranges from 0.0, which means that the fund’s performance bears no relationship to the performance of the index, to 1.0, which means that the fund’s performance was perfectly synchronized with the performance of the benchmark. R2 is based on historical performance and does not represent future results.

18  |  Target Date Retirement Funds

Performance highlights (unaudited)

Target 2025 Fund

Average annual total returns (%) as of February 29, 2020

		Including sales charge						Excluding sales charge						Expense ratios1 (%)
	Inception date	1 year		5 year		10 year		1 year		5 year		10 year		Gross		Net2
Class A (WFAYX)3	11-30-2012		-0.37		2.76		5.44		5.71		3.98		6.07		0.78		0.65
Class R (WFHRX)4	6-28-2013		–		–		–		5.37		3.56		5.71		1.03		0.90
Class R4 (WFGRX)5	11-30-2012		–		–		–		6.16		4.30		6.43		0.50		0.34
Class R6 (WFTYX)	6-29-2007		–		–		–		6.15		4.48		6.54		0.35		0.19
Administrator Class (WFTRX)	6-29-2007		–		–		–		5.88		4.13		6.18		0.70		0.54
S&P Target Date 2025 Index6	–		–		–		–		5.49		5.13		7.70		–		–
Wells Fargo Target 2025 Blended Index7	–		–		–		–		6.10		–		–		–		–

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted and assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wfam.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 5.75%. Class R, Class R4, Class R6, and Administrator Class shares are sold without a front-end sales charge or contingent deferred sales charge.

Growth of $10,000 investment as of February 29, 2020⁸

Please see footnotes on page 21.

Target Date Retirement Funds  |  19

Performance highlights (unaudited)

Target 2025 Fund (continued)

Holdings (%) as of February 29, 20209
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	27.49
Wells Fargo Factor Enhanced Large Cap Portfolio	23.84
Wells Fargo Investment Grade Corporate Bond Portfolio	14.24
Wells Fargo Factor Enhanced International Portfolio	13.40
Wells Fargo Factor Enhanced Small Cap Portfolio	5.96
Wells Fargo Strategic Retirement Bond Portfolio	4.51
Wells Fargo Factor Enhanced Emerging Markets Portfolio	4.07
Wells Fargo Emerging Markets Bond Portfolio	2.26
Wells Fargo High Yield Corporate Bond Portfolio	2.22
Wells Fargo U.S. REIT Portfolio	2.09

Volatility metrics as of February 29, 202011
	Beta12		Standard deviation13			R-squared14
Class A		0.83		6.18	%		0.97
Class R		0.84		6.27	%		0.96
Class R4		0.82		6.13	%		0.97
Class R6		0.85		6.33	%		0.97
Administrator Class		0.83		6.21	%		0.97

Portfolio allocation as of February 29, 2020¹⁰

Please see footnotes on page 21.

20  |  Target Date Retirement Funds

Performance highlights (unaudited)

Target 2025 Fund (continued)

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.15% of acquired fund fees and expenses representing the net expenses from the affiliated master portfolios. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

²  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.65% for Class A, 0.90% for Class R, 0.34% for Class R4, 0.19% for Class R6, and 0.54% for Administrator Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios invest and from money market funds, and extraordinary expenses are excluded from the expense caps. All other acquired fund fees from the affiliated master portfolios are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  Historical performance shown for the Class A shares prior to their inception reflects the performance of the Class R6 shares and has been adjusted to reflect the higher expenses applicable to the Class A shares.

⁴ Historical performance shown for the Class R shares prior to their inception reflects the performance of the Class A shares and has been adjusted to reflect the higher expenses applicable to the Class R shares.

⁵ Historical performance shown for the Class R4 shares prior to their inception reflects the performance of the Class R6 shares and has been adjusted to reflect the higher expenses applicable to the Class R4 shares.

⁶  The S&P Target Date Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. This index is representative of the investment opportunity available to investors for the target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. You cannot invest directly in an index.

⁷ Source: Wells Fargo Funds Management, LLC. The Wells Fargo Target Blended Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, each corresponding to the target retirement date. The index weightings among the major asset classes are adjusted annually. The inception date of the index is July 14, 2017. See Appendix I for additional information. You cannot invest directly in an index.

⁸ The chart compares the performance of Class A shares for the most recent ten years with the S&P Target Date 2025 Index and the Wells Fargo Target 2025 Blended Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁹  Holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

¹⁰  Amounts are calculated based on the total long-term investments of the Fund. These amounts are subject to change and may have changed since the date specified.

¹¹ These metrics show the degree and timing of the Fund’s fluctuations compared to S&P Target Date 2025 Index over 36 months.

¹²  Beta measures fund volatility relative to general market movements. It is a standardized measure of systematic risk in comparison with a specified index. The benchmark beta is 1.00 by definition. Beta is based on historical performance and does not represent future results.

¹³ Standard deviation is the square root of the sum of squared deviations from the mean. It is often used as a measure of volatility, variability, or risk. Standard deviation is based on historical performance and does not represent future results.

¹⁴  R-squared (R2) is a statistical measure that reflects the percentage of a fund’s movements that can be explained by movements in its benchmark index. The measure ranges from 0.0, which means that the fund’s performance bears no relationship to the performance of the index, to 1.0, which means that the fund’s performance was perfectly synchronized with the performance of the benchmark. R2 is based on historical performance and does not represent future results.

Target Date Retirement Funds  |  21

Performance highlights (unaudited)

Target 2030 Fund

Average annual total returns (%) as of February 29, 2020

		Including sales charge						Excluding sales charge						Expense ratios1 (%)
	Inception date	1 year		5 year		10 year		1 year		5 year		10 year		Gross		Net2
Class A (STHRX)	3-1-1994		-1.27		3.08		6.15		4.72		4.32		6.77		0.76		0.65
Class C (WFDMX)	12-1-1998		2.92		3.53		5.97		3.92		3.53		5.97		1.51		1.40
Class R (WFJRX)3	6-28-2013		–		–		–		4.48		4.04		6.56		1.01		0.90
Class R4 (WTHRX)4	11-30-2012		–		–		–		5.07		4.65		7.19		0.48		0.34
Class R6 (WFOOX)	6-30-2004		–		–		–		5.15		4.79		7.29		0.33		0.19
Administrator Class (WFLIX)	11-8-1999		–		–		–		4.86		4.44		6.92		0.68		0.54
S&P Target Date 2030 Index5	–		–		–		–		4.83		5.34		8.10		–		–
Wells Fargo Target 2030 Blended Index6	–		–		–		–		5.07		–		–		–		–

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted and assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wfam.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 5.75%. For Class C shares, the maximum contingent deferred sales charge is 1.00%. Performance including a contingent deferred sales charge assumes the sales charge for the corresponding time period. Class R, Class R4, Class R6, and Administrator Class shares are sold without a front-end sales charge or contingent deferred sales charge.

Growth of $10,000 investment as of February 29, 2020⁷

Please see footnotes on page 24.

22  |  Target Date Retirement Funds

Performance highlights (unaudited)

Target 2030 Fund (continued)

Holdings (%) as of February 29, 20208
Wells Fargo Factor Enhanced Large Cap Portfolio	29.09
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	23.61
Wells Fargo Factor Enhanced International Portfolio	17.06
Wells Fargo Investment Grade Corporate Bond Portfolio	12.23
Wells Fargo Factor Enhanced Small Cap Portfolio	7.26
Wells Fargo Factor Enhanced Emerging Markets Portfolio	5.17
Wells Fargo Emerging Markets Bond Portfolio	1.92
Wells Fargo High Yield Corporate Bond Portfolio	1.90
Wells Fargo Strategic Retirement Bond Portfolio	1.15
Wells Fargo U.S. REIT Portfolio	0.76

Volatility metrics as of February 29, 202010
	Beta11		Standard deviation12			R-squared13
Class A		0.85		7.40	%		0.98
Class C		0.85		7.38	%		0.98
Class R		0.85		7.41	%		0.98
Class R4		0.85		7.36	%		0.98
Class R6		0.85		7.41	%		0.98
Administrator Class		0.85		7.40	%		0.98

Portfolio allocation as of February 29, 2020⁹

Please see footnotes on page 24.

Target Date Retirement Funds  |  23

Performance highlights (unaudited)

Target 2030 Fund (continued)

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.15% of acquired fund fees and expenses represeningt the net expenses from the affiliated master portfolios. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

²  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.65% for Class A, 1.40% for Class C, 0.90% for Class R, 0.34% for Class R4, 0.19% for Class R6, and 0.54% for Administrator Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios invest and from money market funds, and extraordinary expenses are excluded from the expense caps. All other acquired fund fees from the affiliated master portfolios are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³ Historical performance shown for the Class R shares prior to their inception reflects the performance of the Class A shares and has been adjusted to reflect the higher expenses applicable to the Class R shares.

⁴ Historical performance shown for the Class R4 shares prior to their inception reflects the performance of the Class R6 shares and has been adjusted to reflect the higher expenses applicable to the Class R4 shares.

⁵  The S&P Target Date Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. This index is representative of the investment opportunity available to investors for the target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. You cannot invest directly in an index.

⁶ Source: Wells Fargo Funds Management, LLC. The Wells Fargo Target Blended Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, each corresponding to the target retirement date. The index weightings among the major asset classes are adjusted annually. The inception date of the index is July 14, 2017. See Appendix I for additional information. You cannot invest directly in an index.

⁷ The chart compares the performance of Class A shares for the most recent ten years with the S&P Target Date 2030 Index and the Wells Fargo Target 2030 Blended Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁸  Holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁹  Amounts are calculated based on the total long-term investments of the Fund. These amounts are subject to change and may have changed since the date specified.

¹⁰ These metrics show the degree and timing of the Fund’s fluctuations compared to S&P Target Date 2030 Index over 36 months.

¹¹  Beta measures fund volatility relative to general market movements. It is a standardized measure of systematic risk in comparison with a specified index. The benchmark beta is 1.00 by definition. Beta is based on historical performance and does not represent future results.

¹² Standard deviation is the square root of the sum of squared deviations from the mean. It is often used as a measure of volatility, variability, or risk. Standard deviation is based on historical performance and does not represent future results.

¹³  R-squared (R2) is a statistical measure that reflects the percentage of a fund’s movements that can be explained by movements in its benchmark index. The measure ranges from 0.0, which means that the fund’s performance bears no relationship to the performance of the index, to 1.0, which means that the fund’s performance was perfectly synchronized with the performance of the benchmark. R2 is based on historical performance and does not represent future results.

24  |  Target Date Retirement Funds

Performance highlights (unaudited)

Target 2035 Fund

Average annual total returns (%) as of February 29, 2020

		Including sales charge						Excluding sales charge						Expense ratios1 (%)
	Inception date	1 year		5 year		10 year		1 year		5 year		10 year		Gross		Net2
Class A (WFQBX)3	11-30-2012		-2.26		3.28		6.78		3.70		4.51		7.41		0.80		0.65
Class R (WFKRX)4	6-28-2013		–		–		–		3.46		4.24		7.14		1.05		0.90
Class R4 (WTTRX)5	11-30-2012		–		–		–		3.99		4.84		7.76		0.52		0.34
Class R6 (WFQRX)	6-29-2007		–		–		–		4.16		4.99		7.87		0.37		0.19
Administrator Class (WFQWX)	6-29-2007		–		–		–		3.75		4.61		7.49		0.72		0.54
S&P Target Date 2035 Index6	–		–		–		–		4.15		5.52		8.44		–		–
Wells Fargo Target 2035 Blended Index7	–		–		–		–		3.93		–		–		–		–

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted and assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wfam.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 5.75%. Class R, Class R4, Class R6, and Administrator Class shares are sold without a front-end sales charge or contingent deferred sales charge.

Growth of $10,000 investment as of February 29, 2020⁸

Please see footnotes on page 27.

Target Date Retirement Funds  |  25

Performance highlights (unaudited)

Target 2035 Fund (continued)

Holdings (%) as of February 29, 20209
Wells Fargo Factor Enhanced Large Cap Portfolio	34.13
Wells Fargo Factor Enhanced International Portfolio	20.86
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	18.05
Wells Fargo Investment Grade Corporate Bond Portfolio	9.34
Wells Fargo Factor Enhanced Small Cap Portfolio	8.53
Wells Fargo Factor Enhanced Emerging Markets Portfolio	6.28
Wells Fargo Emerging Markets Bond Portfolio	1.49
Wells Fargo High Yield Corporate Bond Portfolio	1.46

Volatility metrics as of February 29, 202011
	Beta12		Standard deviation13			R-squared14
Class A		0.86		8.50	%		0.98
Class R		0.86		8.48	%		0.98
Class R4		0.87		8.60	%		0.98
Class R6		0.86		8.52	%		0.98
Administrator Class		0.87		8.55	%		0.98

Portfolio allocation as of February 29, 2020¹⁰

Please see footnotes on page 27.

26  |  Target Date Retirement Funds

Performance highlights (unaudited)

Target 2035 Fund (continued)

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.16% of acquired fund fees and expenses representing the net expenses from the affiliated master portfolios. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

²  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.65% for Class A, 0.90% for Class R, 0.34% for Class R4, 0.19% for Class R6, and 0.54% for Administrator Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios invest and from money market funds, and extraordinary expenses are excluded from the expense caps. All other acquired fund fees from the affiliated master portfolios are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  Historical performance shown for the Class A shares prior to their inception reflects the performance of the Class R6 shares and has been adjusted to reflect the higher expenses applicable to the Class A shares.

⁴ Historical performance shown for the Class R shares prior to their inception reflects the performance of the Class A shares and has been adjusted to reflect the higher expenses applicable to the Class R shares.

⁵ Historical performance shown for the Class R4 shares prior to their inception reflects the performance of the Class R6 shares and has been adjusted to reflect the higher expenses applicable to the Class R4 shares.

⁶  The S&P Target Date Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. This index is representative of the investment opportunity available to investors for the target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. You cannot invest directly in an index.

⁷ Source: Wells Fargo Funds Management, LLC. The Wells Fargo Target Blended Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, each corresponding to the target retirement date. The index weightings among the major asset classes are adjusted annually. The inception date of the index is July 14, 2017. See Appendix I for additional information. You cannot invest directly in an index.

⁸ The chart compares the performance of Class A shares for the most recent ten years with the S&P Target Date 2035 Index and the Wells Fargo Target 2035 Blended Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁹  Holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

¹⁰  Amounts are calculated based on the total long-term investments of the Fund. These amounts are subject to change and may have changed since the date specified.

¹¹ These metrics show the degree and timing of the Fund’s fluctuations compared to S&P Target Date 2035 Index over 36 months.

¹²  Beta measures fund volatility relative to general market movements. It is a standardized measure of systematic risk in comparison with a specified index. The benchmark beta is 1.00 by definition. Beta is based on historical performance and does not represent future results.

¹³ Standard deviation is the square root of the sum of squared deviations from the mean. It is often used as a measure of volatility, variability, or risk. Standard deviation is based on historical performance and does not represent future results.

¹⁴  R-squared (R2) is a statistical measure that reflects the percentage of a fund’s movements that can be explained by movements in its benchmark index. The measure ranges from 0.0, which means that the fund’s performance bears no relationship to the performance of the index, to 1.0, which means that the fund’s performance was perfectly synchronized with the performance of the benchmark. R2 is based on historical performance and does not represent future results.

Target Date Retirement Funds  |  27

Performance highlights (unaudited)

Target 2040 Fund

Average annual total returns (%) as of February 29, 2020

		Including sales charge						Excluding sales charge						Expense ratios1 (%)
	Inception date	1 year		5 year		10 year		1 year		5 year		10 year		Gross		Net2
Class A (STFRX)	3-1-1994		-3.23		3.37		7.13		2.68		4.60		7.76		0.78		0.65
Class C (WFOFX)	7-1-1998		0.87		3.81		6.95		1.87		3.81		6.95		1.53		1.40
Class R (WFMRX)3	6-28-2013		–		–		–		2.44		4.35		7.56		1.03		0.90
Class R4 (WTFRX)4	11-30-2012		–		–		–		2.94		4.93		8.17		0.50		0.34
Class R6 (WFOSX)	6-30-2004		–		–		–		3.09		5.07		8.28		0.35		0.19
Administrator Class (WFLWX)	11-8-1999		–		–		–		2.82		4.72		7.91		0.70		0.54
S&P Target Date 2040 Index5	–		–		–		–		3.70		5.65		8.68		–		–
Wells Fargo Target 2040 Blended Index6	–		–		–		–		2.90		–		–		–		–

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted and assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wfam.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 5.75%. For Class C shares, the maximum contingent deferred sales charge is 1.00%. Performance including a contingent deferred sales charge assumes the sales charge for the corresponding time period. Class R, Class R4, Class R6, and Administrator Class shares are sold without a front-end sales charge or contingent deferred sales charge.

Growth of $10,000 investment as of February 29, 2020⁷

Please see footnotes on page 30.

28  |  Target Date Retirement Funds

Performance highlights (unaudited)

Target 2040 Fund (continued)

Holdings (%) as of February 29, 20208
Wells Fargo Factor Enhanced Large Cap Portfolio	38.24
Wells Fargo Factor Enhanced International Portfolio	24.19
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	12.33
Wells Fargo Factor Enhanced Small Cap Portfolio	9.52
Wells Fargo Factor Enhanced Emerging Markets Portfolio	7.34
Wells Fargo Investment Grade Corporate Bond Portfolio	6.39
Wells Fargo Emerging Markets Bond Portfolio	1.01
Wells Fargo High Yield Corporate Bond Portfolio	1.00

Volatility metrics as of February 29, 202010
	Beta11		Standard deviation12			R-squared13
Class A		0.89		9.42	%		0.99
Class C		0.89		9.43	%		0.99
Class R		0.89		9.40	%		0.99
Class R4		0.89		9.41	%		0.98
Class R6		0.89		9.39	%		0.99
Administrator Class		0.89		9.39	%		0.99

Portfolio allocation as of February 29, 2020⁹

Please see footnotes on page 30.

Target Date Retirement Funds  |  29

Performance highlights (unaudited)

Target 2040 Fund (continued)

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.17% of acquired fund fees and expenses representing the net expenses from the affiliated master portfolios. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

²  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.65% for Class A, 1.40% for Class C, 0.90% for Class R, 0.34% for Class R4, 0.19% for Class R6, and 0.54% for Administrator Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios invest and from money market funds, and extraordinary expenses are excluded from the expense caps. All other acquired fund fees from the affiliated master portfolios are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  Historical performance shown for the Class R shares prior to their inception reflects the performance of the Class A shares and has been adjusted to reflect the higher expenses applicable to the Class R shares.

⁴  Historical performance shown for the Class R4 shares prior to their inception reflects the performance of the Class R6 shares and has been adjusted to reflect the higher expenses applicable to the Class R4 shares.

⁵  The S&P Target Date Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. This index is representative of the investment opportunity available to investors for the target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. You cannot invest directly in an index.

⁶  Source: Wells Fargo Funds Management, LLC. The Wells Fargo Target Blended Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, each corresponding to the target retirement date. The index weightings among the major asset classes are adjusted annually. The inception date of the index is July 14, 2017. See Appendix I for additional information. You cannot invest directly in an index.

⁷  The chart compares the performance of Class A shares for the most recent ten years with the S&P Target Date 2040 Index and the Wells Fargo Target 2040 Blended Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁸  Holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁹  Amounts are calculated based on the total long-term investments of the Fund. These amounts are subject to change and may have changed since the date specified.

¹⁰  These metrics show the degree and timing of the Fund’s fluctuations compared to S&P Target Date 2040 Index over 36 months.

¹¹  Beta measures fund volatility relative to general market movements. It is a standardized measure of systematic risk in comparison with a specified index. The benchmark beta is 1.00 by definition. Beta is based on historical performance and does not represent future results.

¹²  Standard deviation is the square root of the sum of squared deviations from the mean. It is often used as a measure of volatility, variability, or risk. Standard deviation is based on historical performance and does not represent future results.

¹³  R-squared (R2) is a statistical measure that reflects the percentage of a fund’s movements that can be explained by movements in its benchmark index. The measure ranges from 0.0, which means that the fund’s performance bears no relationship to the performance of the index, to 1.0, which means that the fund’s performance was perfectly synchronized with the performance of the benchmark. R2 is based on historical performance and does not represent future results.

30  |  Target Date Retirement Funds

Performance highlights (unaudited)

Target 2045 Fund

Average annual total returns (%) as of February 29, 2020

		Including sales charge						Excluding sales charge							Expense ratios1 (%)
	Inception date	1 year		5 year		10 year		1 year			5 year		10 year		Gross		Net2
Class A (WFQVX)3	11-30-2012		-3.78		3.47		7.41		2.14			4.69		8.04		0.85		0.65
Class R (WFNRX)4	6-28-2013		–		–		–		1.81			4.44		7.78		1.10		0.90
Class R4 (WFFRX)5	11-30-2012		–		–		–		2.46	*		5.01		8.41		0.57		0.34
Class R6 (WFQPX)	6-29-2007		–		–		–		2.64			5.19		8.51		0.42		0.19
Administrator Class (WFQYX)	6-29-2007		–		–		–		2.21			4.79		8.11		0.77		0.54
S&P Target Date 2045 Index6	–		–		–		–		3.43			5.73		8.84		–		–
Wells Fargo Target 2045 Blended Index7	–		–		–		–		2.32			–		–		–		–

* Total return differs from the return in the Financial Highlights in this report. The total return presented is calculated based on the NAV at which the shareholder transactions were processed. The NAV and total return presented in the Financial Highlights reflects certain adjustments made to the net assets of the Fund that are necessary under U.S. generally accepted accounting principles.

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted and assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wfam.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 5.75%. Class R, Class R4, Class R6, and Administrator Class shares are sold without a front-end sales charge or contingent deferred sales charge.

Growth of $10,000 investment as of February 29, 2020⁸

Please see footnotes on page 33.

Target Date Retirement Funds  |  31

Performance highlights (unaudited)

Target 2045 Fund (continued)

Holdings (%) as of February 29, 20209
Wells Fargo Factor Enhanced Large Cap Portfolio	40.46
Wells Fargo Factor Enhanced International Portfolio	26.09
Wells Fargo Factor Enhanced Small Cap Portfolio	10.18
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	9.24
Wells Fargo Factor Enhanced Emerging Markets Portfolio	7.91
Wells Fargo Investment Grade Corporate Bond Portfolio	4.76
Wells Fargo Emerging Markets Bond Portfolio	0.75
Wells Fargo High Yield Corporate Bond Portfolio	0.75

Volatility metrics as of February 29, 202011
	Beta12		Standard deviation13			R-squared14
Class A		0.91		10.03	%		0.99
Class R		0.90		9.97	%		0.99
Class R4		0.91		10.00	%		0.99
Class R6		0.91		9.98	%		0.99
Administrator Class		0.90		9.96	%		0.99

Portfolio allocation as of February 29, 2020¹⁰

Please see footnotes on page 33.

32  |  Target Date Retirement Funds

Performance highlights (unaudited)

Target 2045 Fund (continued)

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.17% of acquired fund fees and expenses representing the net expenses from the affiliated master portfolios. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

²  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.65% for Class A, 0.90% for Class R, 0.34% for Class R4, 0.19% for Class R6, and 0.54% for Administrator Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios invest and from money market funds, and extraordinary expenses are excluded from the expense caps. All other acquired fund fees from the affiliated master portfolios are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  Historical performance shown for the Class A shares prior to their inception reflects the performance of the Class R6 shares and has been adjusted to reflect the higher expenses applicable to the Class A shares.

⁴ Historical performance shown for the Class R4 shares prior to their inception reflects the performance of the Class R6 shares and has been adjusted to reflect the higher expenses applicable to the Class R4 shares.

⁶  The S&P Target Date Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. This index is representative of the investment opportunity available to investors for the target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. You cannot invest directly in an index.

⁷ Source: Wells Fargo Funds Management, LLC. The Wells Fargo Target Blended Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, each corresponding to the target retirement date. The index weightings among the major asset classes are adjusted annually. The inception date of the index is July 14, 2017. See Appendix I for additional information. You cannot invest directly in an index.

⁸ The chart compares the performance of Class A shares for the most recent ten years with the S&P Target Date 2045 Index and the Wells Fargo Target 2045 Blended Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁹  Holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

¹⁰  Amounts are calculated based on the total long-term investments of the Fund. These amounts are subject to change and may have changed since the date specified.

¹¹ These metrics show the degree and timing of the Fund’s fluctuations compared to S&P Target Date 2045 Index over 36 months.

¹²  Beta measures fund volatility relative to general market movements. It is a standardized measure of systematic risk in comparison with a specified index. The benchmark beta is 1.00 by definition. Beta is based on historical performance and does not represent future results.

¹³ Standard deviation is the square root of the sum of squared deviations from the mean. It is often used as a measure of volatility, variability, or risk. Standard deviation is based on historical performance and does not represent future results.

¹⁴  R-squared (R2) is a statistical measure that reflects the percentage of a fund’s movements that can be explained by movements in its benchmark index. The measure ranges from 0.0, which means that the fund’s performance bears no relationship to the performance of the index, to 1.0, which means that the fund’s performance was perfectly synchronized with the performance of the benchmark. R2 is based on historical performance and does not represent future results.

Target Date Retirement Funds  |  33

Performance highlights (unaudited)

Target 2050 Fund

Average annual total returns (%) as of February 29, 2020

		Including sales charge						Excluding sales charge						Expense ratios1 (%)
	Inception date	1 year		5 year		10 year		1 year		5 year		10 year		Gross		Net2
Class A (WFQAX)3	11-30-2012		-4.04		3.47		7.44		1.74		4.70		8.07		0.81		0.65
Class C (WFQCX)4	11-30-2012		-0.12		3.90		7.26		0.88		3.90		7.26		1.56		1.40
Class R (WFWRX)5	6-28-2013		–		–		–		1.38		4.41		7.79		1.06		0.90
Class R4 (WQFRX)6	11-30-2012		–		–		–		1.89		5.01		8.43		0.53		0.34
Class R6 (WFQFX)	6-29-2007		–		–		–		2.18		5.18		8.54		0.38		0.19
Administrator Class (WFQDX)	6-29-2007		–		–		–		1.70		4.81		8.15		0.73		0.54
S&P Target Date 2045 Index7	–		–		–		–		3.43		5.73		8.84		–		–
S&P Target Date 2050 Index7	–		–		–		–		3.24		5.81		–		–		–
Wells Fargo Target 2050 Blended Index8	–		–		–		–		1.87		–		–		–		–

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted and assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wfam.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 5.75%. For Class C shares, the maximum contingent deferred sales charge is 1.00%. Performance including a contingent deferred sales charge assumes the sales charge for the corresponding time period. Class R, Class R4, Class R6, and Administrator Class shares are sold without a front-end sales charge or contingent deferred sales charge.

Growth of $10,000 investment as of February 29, 2020⁹

Please see footnotes on page 36.

34  |  Target Date Retirement Funds

Performance highlights (unaudited)

Target 2050 Fund (continued)

Holdings (%) as of February 29, 202010
Wells Fargo Factor Enhanced Large Cap Portfolio	42.25
Wells Fargo Factor Enhanced International Portfolio	27.80
Wells Fargo Factor Enhanced Small Cap Portfolio	10.55
Wells Fargo Factor Enhanced Emerging Markets Portfolio	8.39
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	6.49
Wells Fargo Investment Grade Corporate Bond Portfolio	3.37
Wells Fargo Emerging Markets Bond Portfolio	0.53
Wells Fargo High Yield Corporate Bond Portfolio	0.53

Volatility metrics as of February 29, 202012
	Beta13		Standard deviation14			R-squared15
Class A		0.91		10.25	%		0.99
Class C		0.91		10.32	%		0.99
Class R		0.91		10.28	%		0.99
Class R4		0.91		10.32	%		0.99
Class R6		0.92		10.33	%		0.99
Administrator Class		0.91		10.28	%		0.99

Portfolio allocation as of February 29, 2020¹¹

Please see footnotes on page 36.

Target Date Retirement Funds  |  35

Performance highlights (unaudited)

Target 2050 Fund (continued)

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.17% of acquired fund fees and expenses representing the net expenses from the affiliated master portfolios. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

²  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.65% for Class A, 1.40% for Class C, 0.90% for Class R, 0.34% for Class R4, 0.19% for Class R6, and 0.54% for Administrator Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios invest and from money market funds, and extraordinary expenses are excluded from the expense caps. All other acquired fund fees from the affiliated master portfolios are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  Historical performance shown for the Class A shares prior to their inception reflects the performance of the Class R6 shares and has been adjusted to reflect the higher expenses applicable to the Class A shares.

⁴  Historical performance shown for Class C shares prior to their inception reflects the performance of the Class R6 shares and has been adjusted to reflect the higher expenses applicable to the Class C shares.

⁵  Historical performance shown for the Class R shares prior to their inception reflects the performance of the Class A shares and has been adjusted to reflect the higher expenses applicable to the Class R shares.

⁶ Historical performance shown for the Class R4 shares prior to their inception reflects the performance of the Class R6 shares and has been adjusted to reflect the higher expenses applicable to the Class R4 shares.

⁷  The S&P Target Date Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. This index is representative of the investment opportunity available to investors for the target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. You cannot invest directly in an index.

⁸ Source: Wells Fargo Funds Management, LLC. The Wells Fargo Target Blended Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, each corresponding to the target retirement date. The index weightings among the major asset classes are adjusted annually. The inception date of the index is July 14, 2017. See Appendix I for additional information. You cannot invest directly in an index.

⁹ The chart compares the performance of Class A shares for the most recent ten years with the S&P Target Date 2050 Index and the Wells Fargo Target 2050 Blended Index. The performance shown for the S&P Target Date 2050 Index represents the returns of the S&P Target Date 2045 Index from 2/28/2009 to 05/31/2012 and the S&P Target Date 2050 Index from 6/1/2012 (index inception date) through period end. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

¹⁰  Holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

¹¹  Amounts are calculated based on the total long-term investments of the Fund. These amounts are subject to change and may have changed since the date specified.

¹² These metrics show the degree and timing of the Fund’s fluctuations compared to S&P Target Date 2050 Index over 36 months.

¹³  Beta measures fund volatility relative to general market movements. It is a standardized measure of systematic risk in comparison with a specified index. The benchmark beta is 1.00 by definition. Beta is based on historical performance and does not represent future results.

¹⁴ Standard deviation is the square root of the sum of squared deviations from the mean. It is often used as a measure of volatility, variability, or risk. Standard deviation is based on historical performance and does not represent future results.

¹⁵  R-squared (R2) is a statistical measure that reflects the percentage of a fund’s movements that can be explained by movements in its benchmark index. The measure ranges from 0.0, which means that the fund’s performance bears no relationship to the performance of the index, to 1.0, which means that the fund’s performance was perfectly synchronized with the performance of the benchmark. R2 is based on historical performance and does not represent future results.

36  |  Target Date Retirement Funds

Performance highlights (unaudited)

Target 2055 Fund

Average annual total returns (%) as of February 29, 2020

		Including sales charge						Excluding sales charge							Expense ratios1 (%)
	Inception date	1 year		5 year		Since inception		1 year		5 year		Since inception			Gross		Net2
Class A (WFQZX)3	11-30-2012		-4.26		3.45		6.05		1.62		4.68		6.78			1.27		0.65
Class R (WFYRX)4	6-28-2013		–		–		–		1.43		4.42		6.44			1.52		0.90
Class R4 (WFVRX)5	11-30-2012		–		–		–		1.98		5.00		7.13			0.99		0.34
Class R6 (WFQUX)	6-30-2011		–		–		–		2.10		5.17		7.25			0.84		0.19
Administrator Class (WFLHX)	6-30-2011		–		–		–		1.74		4.81		6.88			1.19		0.54
S&P Target Date 2055 Index6	–		–		–		–		3.17		5.86		7.95	*		–		–
Wells Fargo Target 2055 Blended Index7	–		–		–		–		1.87		–		–			–		–

* Based on the inception date of the oldest Fund class.

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted and assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wfam.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 5.75%. Class R, Class R4, Class R6, and Administrator Class shares are sold without a front-end sales charge or contingent deferred sales charge.

Growth of $10,000 investment as of February 29, 2020⁸

Please see footnotes on page 39.

Target Date Retirement Funds  |  37

Performance highlights (unaudited)

Target 2055 Fund (continued)

Holdings (%) as of February 29, 20209
Wells Fargo Factor Enhanced Large Cap Portfolio	42.42
Wells Fargo Factor Enhanced International Portfolio	28.08
Wells Fargo Factor Enhanced Small Cap Portfolio	10.58
Wells Fargo Factor Enhanced Emerging Markets Portfolio	8.48
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	6.58
Wells Fargo Investment Grade Corporate Bond Portfolio	3.40
Wells Fargo Emerging Markets Bond Portfolio	0.54
Wells Fargo High Yield Corporate Bond Portfolio	0.54

Volatility metrics as of February 29, 202011
	Beta12		Standard deviation13			R-squared14
Class A		0.90		10.25	%		0.99
Class R		0.90		10.28	%		0.99
Class R4		0.91		10.30	%		0.99
Class R6		0.91		10.33	%		0.99
Administrator Class		0.91		10.31	%		0.99

Portfolio allocation as of February 29, 2020¹⁰

Please see footnotes on page 39.

38  |  Target Date Retirement Funds

Performance highlights (unaudited)

Target 2055 Fund (continued)

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.18% of acquired fund fees and expenses representing the net expenses from the affiliated master portfolios. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

²  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.65% for Class A, 0.90% for Class R, 0.34% for Class R4, 0.19% for Class R6, and 0.54% for Administrator Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios invest and from money market funds, and extraordinary expenses are excluded from the expense caps. All other acquired fund fees from the affiliated master portfolios are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  Historical performance shown for the Class A shares prior to their inception reflects the performance of the Class R6 shares and has been adjusted to reflect the higher expenses applicable to the Class A shares.

⁴ Historical performance shown for the Class R shares prior to their inception reflects the performance of the Class A shares and has been adjusted to reflect the higher expenses applicable to the Class R shares.

⁵ Historical performance shown for the Class R4 shares prior to their inception reflects the performance of the Class R6 shares and has been adjusted to reflect the higher expenses applicable to the Class R4 shares.

⁶  The S&P Target Date Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. This index is representative of the investment opportunity available to investors for the target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. You cannot invest directly in an index.

⁷ Source: Wells Fargo Funds Management, LLC. The Wells Fargo Target Blended Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, each corresponding to the target retirement date. The index weightings among the major asset classes are adjusted annually. The inception date of the index is July 14, 2017. See Appendix I for additional information. You cannot invest directly in an index.

⁸ The chart compares the performance of Class A shares for the most recent ten years with the S&P Target Date 2055 Index and the Wells Fargo Target 2055 Blended Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁹  Holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

¹⁰  Amounts are calculated based on the total long-term investments of the Fund. These amounts are subject to change and may have changed since the date specified.

¹¹ These metrics show the degree and timing of the Fund’s fluctuations compared to S&P Target Date 2055 Index over 36 months.

¹²  Beta measures fund volatility relative to general market movements. It is a standardized measure of systematic risk in comparison with a specified index. The benchmark beta is 1.00 by definition. Beta is based on historical performance and does not represent future results.

¹³ Standard deviation is the square root of the sum of squared deviations from the mean. It is often used as a measure of volatility, variability, or risk. Standard deviation is based on historical performance and does not represent future results.

¹⁴  R-squared (R2) is a statistical measure that reflects the percentage of a fund’s movements that can be explained by movements in its benchmark index. The measure ranges from 0.0, which means that the fund’s performance bears no relationship to the performance of the index, to 1.0, which means that the fund’s performance was perfectly synchronized with the performance of the benchmark. R2 is based on historical performance and does not represent future results.

Target Date Retirement Funds  |  39

Performance highlights (unaudited)

Target 2060 Fund

Average annual total returns (%) as of February 29, 2020

		Including Sales Charge				Excluding Sales Charge					Expense ratios1 (%)
	Inception date	1 year		Since inception		1 year		Since inception			Gross		Net2
Class A (WFAFX)	6-30-2015		-4.19		3.99		1.67		5.32			2.51		0.65
Class C (WFCFX)	6-30-2015		-0.06		4.54		0.94		4.54			3.26		1.40
Class R (WFRFX)	6-30-2015		–		–		1.42		5.04			2.76		0.90
Class R4 (WFSFX)	6-30-2015		–		–		1.94		5.66			2.23		0.34
Class R6 (WFUFX)	6-30-2015		–		–		2.07		5.79			2.08		0.19
Administrator Class (WFDFX)	6-30-2015		–		–		1.79		5.45			2.43		0.54
S&P Target Date 2055 Index3	–		–		–		3.17		6.48	*		–		–
S&P Target Date 2060+ Index3,**	–		–		–		3.25		–			–		–
Wells Fargo Target 2060 Blended Index4	–		–		–		1.87		–			–		–

* Based on the inception date of the oldest Fund class.

** The inception date of the index is May 31, 2016.

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted and assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wfam.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 5.75%. For Class C shares, the maximum contingent deferred sales charge is 1.00%. Performance including a contingent deferred sales charge assumes the sales charge for the corresponding time period. Class R, Class R4, Class R6, and Administrator Class shares are sold without a front-end sales charge or contingent deferred sales charge.

Growth of $10,000 investment as of February 29, 2020⁵

Please see footnotes on page 42.

40  |  Target Date Retirement Funds

Performance highlights (unaudited)

Target 2060 Fund (continued)

Holdings (%) as of February 29, 20206
Wells Fargo Factor Enhanced Large Cap Portfolio	42.48
Wells Fargo Factor Enhanced International Portfolio	28.13
Wells Fargo Factor Enhanced Small Cap Portfolio	10.60
Wells Fargo Factor Enhanced Emerging Markets Portfolio	8.48
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	6.39
Wells Fargo Investment Grade Corporate Bond Portfolio	3.29
Wells Fargo Emerging Markets Bond Portfolio	0.52
Wells Fargo High Yield Corporate Bond Portfolio	0.52

Volatility metrics as of February 29, 20208
	Beta9		Standard deviation10			R-squared11
Class A		0.90		10.37	%		0.99
Class C		0.90		10.38	%		0.99
Class R		0.90		10.36	%		0.99
Class R4		0.90		10.35	%		0.99
Class R6		0.90		10.36	%		0.99
Administrator Class		0.90		10.33	%		0.99

Portfolio allocation as of February 29, 2020⁷

Please see footnotes on page 42.

Target Date Retirement Funds  |  41

Performance highlights (unaudited)

Target 2060 Fund (continued)

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.18% of acquired fund fees and expenses representing the net expenses from the affiliated master portfolios. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

²  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.65% for Class A, 1.40% for Class C, 0.90% for Class R, 0.34% for Class R4, 0.19% for Class R6, and 0.54% for Administrator Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios invest and from money market funds, and extraordinary expenses are excluded from the expense caps. All other acquired fund fees and expenses from the affiliated master portfolios are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  The S&P Target Date Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. This index is representative of the investment opportunity available to investors for the target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. You cannot invest directly in an index.

⁴ Source: Wells Fargo Funds Management, LLC. The Wells Fargo Target Blended Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, each corresponding to the target retirement date. The index weightings among the major asset classes are adjusted annually. The inception date of the index is July 14, 2017. See Appendix I for additional information. You cannot invest directly in an index.

⁵ The chart compares the performance of Class A shares since inception with the S&P Target Date 2060+ Index and the Wells Fargo Target 2060 Blended Index. The performance shown for the S&P Target Date 2060+ Index represents the returns of the S&P Target Date 2055 Index from 6/30/2015 to 4/30/2016 and the S&P Target Date 2060+ Index from 5/1/2016 (index inception date) through period end. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁶  Holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁷  Amounts are calculated based on the total long-term investments of the Fund. These amounts are subject to change and may have changed since the date specified.

⁸ These metrics show the degree and timing of the Fund’s fluctuations compared to S&P Target Date 2060+ Index over 36 months.

⁹  Beta measures fund volatility relative to general market movements. It is a standardized measure of systematic risk in comparison with a specified index. The benchmark beta is 1.00 by definition. Beta is based on historical performance and does not represent future results.

¹⁰ Standard deviation is the square root of the sum of squared deviations from the mean. It is often used as a measure of volatility, variability, or risk. Standard deviation is based on historical performance and does not represent future results.

¹¹  R-squared (R2) is a statistical measure that reflects the percentage of a fund’s movements that can be explained by movements in its benchmark index. The measure ranges from 0.0, which means that the fund’s performance bears no relationship to the performance of the index, to 1.0, which means that the fund’s performance was perfectly synchronized with the performance of the benchmark. R2 is based on historical performance and does not represent future results.

42  |  Target Date Retirement Funds

Performance highlights (unaudited)

MANAGER’S DISCUSSION

Highlights

The Wells Fargo Target Date Funds seek to manage the asset allocation and risk profile of multi-asset-class funds for investors as they save for their target retirement date. The strategic asset allocations are designed to provide high levels of diversification across equity and fixed-income investments. Our approach to portfolio construction helps investors make more aggressive allocations when they may be most beneficial while remaining diversified to manage risks during bear markets.

All of the Wells Fargo Target Date Funds invest at different allocation levels in the same underlying portfolios that seek to replicate indices comprising a blend of factor-enhanced equity and factor-enhanced bond investments, including domestic, international, and emerging market equities and debt. The breadth and depth of diversification and disciplined asset allocation help manage risk but do not eliminate it. The factor-enhanced equity indices contain a broad mix of large-cap, mid-cap, small-cap, growth, value, and international stocks, including emerging markets. The fixed-income indices invest in several types of fixed-income securities, including U.S. and non-U.S. government bonds, corporate bonds, and high-yield securities. In addition, depending on the number of years to the target retirement date, the portfolios invest in other assets: real estate investment trusts (REITs) and Treasury Inflation-Protected Securities.

The Funds address investment risk through diversification and disciplined asset allocation.

The Wells Fargo Target Date Funds are designed to become more conservative as a fund moves down the glide path and its target date approaches. Our goal is to manage the relative risk of each Fund as dictated by the glide path. A fund’s targeted risk is not the same as a fund’s equity allocation percentage because fixed-income securities, other assets, and cash equivalents carry risks. While asset allocation and diversification do not ensure or guarantee better performance and cannot eliminate the risk of investment losses, on a monthly basis, we adjust each Target Date Fund’s allocations to equities, fixed income, other assets, and cash equivalents in response to changing market conditions and the Fund’s movement down the strategic glide path that represents relative risk as it moves toward the target retirement date.

Global equity markets experienced a steep sell-off beginning in February 2020.

For the 12-month period that ended February 29, 2020, each Wells Fargo Target Date Fund posted positive returns, with the near-dated funds generating higher absolute returns due to their higher fixed-income allocations. Twelve funds comprise the Wells Fargo Target Date Funds. Seven of the funds offer six share classes, including two classes with sales charges. Five of the funds offer five share classes, including one class with sales charges. In general, the relative performance was stronger in the near-dated funds.

After ending the fourth quarter of 2019 on a high note, some of those gains were reversed at the end of February as a result of the novel coronavirus (COVID-19) expanding globally. Domestically, the S&P 500 Index¹ rose 8.19% for the 12-month period that ended February 29, 2020. For the same period, the Russell 2000^® Index² returned -4.92% while foreign markets also did not fare well, with the MSCI EAFE Index (Net)³ falling 0.57% and the MSCI EM Index (Net)⁴ declining 1.88%. The Bloomberg Barclays U.S. Aggregate Bond Index⁵ rose 11.68% for the period while the Bloomberg Barclays Global Aggregate ex U.S. Index⁶ returned 4.83%.

During the one-year period, while stocks as a whole produced positive results, both large caps and REITs were the main contributors, while foreign and small-cap stocks produced negative results. On a relative basis, the REIT, international, and small-cap stocks in the portfolio tended to outperform their market benchmarks. Meanwhile, the large-cap and emerging market portfolios lagged their benchmark during the period. The exposure to foreign and small-cap stocks detracted from absolute performance. Funds with larger fixed-income allocations relative to other funds achieved higher absolute returns than funds with relatively larger allocations to small-cap, international, and emerging market equities, which delivered negative results during the year. The Target 2050 Fund, Target 2055 Fund, and Target 2060 Fund, which had not begun to move down the glide path, had the highest total equity exposures over the past 12 months. The shortest-dated Target Today Fund remained invested at its minimum allowable equity allocation during the period.

Global macroeconomic conditions are clouded by the coronavirus.

At the time of this writing, the impact of the coronavirus is the major source of global uncertainty. The full impact the coronavirus will have on the economy and the financial markets is unknown. The situation has quickly escalated, but we don’t know if it will hit catastrophic and tragic levels. Initial economic reports show some signs of weakness from the supply and demand disruption caused by the quarantine in China. Concerns over travel are also having a negative impact on the economy.

Please see footnotes on page 44.

Target Date Retirement Funds  |  43

Performance highlights (unaudited)

Governments have started to take actions but these efforts are limited and not coordinated. Global central banks have also started to take action as more countries beyond China are being affected by the virus.

So, we return to the question we cannot yet answer: How deep is the damage from the coronavirus? Time will provide us a clearer picture as more data is released. Could the virus kill the economic expansion and hopes of a global rebound from the malaise of 2019? The prognosis is unclear at the moment, but do not count out a U.S. economy that has proven to be resilient. As of period-end, unemployment and inflation were low. Central banks have been accommodative. Industrial production and retail sales have been disappointing. Economic growth forecasts have fallen, so at least the market seems to be pricing in lower growth. As more information becomes available, we will continue to reevaluate the portfolio’s risk/reward composition and make adjustments as required.

¹  The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock’s weight in the index proportionate to its market value. You cannot invest directly in an index.

²  The Russell 2000^® Index measures the performance of the 2,000 smallest companies in the Russell 3000^® Index, which represents approximately 8% of the total market capitalization of the Russell 3000^® Index. You cannot invest directly in an index.

³ The Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE) Index (Net) is a free-float-adjusted market-capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the United States and Canada. You cannot invest directly in an index.

⁴ The MSCI Emerging Markets (EM) Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure large- and mid-cap equity market performance of emerging markets. You cannot invest directly in an index.

⁵  The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index.

⁶  Bloomberg Barclays Global Aggregate ex U.S. Index is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-income markets excluding the U.S.-dollar-denominated debt market. You cannot invest directly in an index.

44  |  Target Date Retirement Funds

Fund expenses (unaudited)

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and contingent deferred sales charges (if any) on redemptions and (2) ongoing costs, including management fees, distribution (12b-1) and/or shareholder servicing fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the six-month period and held for the entire period from September 1, 2019 to February 29, 2020.

Actual expenses

The “Actual” line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the “Actual” line under the heading entitled “Expenses paid during period” for your applicable class of shares to estimate the expenses you paid on your account during this period.

Hypothetical example for comparison purposes

The “Hypothetical” line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) and contingent deferred sales charges. Therefore, the “Hypothetical” line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Target Today Fund	Beginning account  value 9-1-2019		Ending account value 2-29-2020		Expenses paid during the period¹		Annualized net expense ratio
Class A
Actual	$	1,000.00	$	1,016.29	$	3.06		0.61	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.83	$	3.07		0.61	%
Class C
Actual	$	1,000.00	$	1,011.87	$	7.00		1.40	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.90	$	7.02		1.40	%
Class R
Actual	$	1,000.00	$	1,014.55	$	4.51		0.90	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,020.39	$	4.52		0.90	%
Class R4
Actual	$	1,000.00	$	1,017.37	$	1.71		0.34	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.17	$	1.71		0.34	%
Class R6
Actual	$	1,000.00	$	1,019.30	$	0.95		0.19	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.92	$	0.96		0.19	%
Administrator Class
Actual	$	1,000.00	$	1,017.38	$	2.66		0.53	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.23	$	2.66		0.53	%

¹ Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one-half-year period).

Target Date Retirement Funds  |  45

Fund expenses (unaudited)

Target 2010 Fund	Beginning account value 9-1-2019		Ending account value 2-29-2020		Expenses paid during the period¹		Annualized net expense ratio
Class A
Actual	$	1,000.00	$	1,016.88	$	3.11		0.62	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.78	$	3.12		0.62	%
Class C
Actual	$	1,000.00	$	1,012.30	$	7.00		1.40	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.90	$	7.02		1.40	%
Class R
Actual	$	1,000.00	$	1,015.07	$	4.56		0.90	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,020.34	$	4.57		0.90	%
Class R4
Actual	$	1,000.00	$	1,018.35	$	1.71		0.34	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.17	$	1.71		0.34	%
Class R6
Actual	$	1,000.00	$	1,019.11	$	0.95		0.19	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.92	$	0.96		0.19	%
Administrator Class
Actual	$	1,000.00	$	1,017.13	$	2.71		0.54	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.18	$	2.72		0.54	%
Target 2015 Fund
Class A
Actual	$	1,000.00	$	1,015.18	$	3.01		0.60	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.88	$	3.02		0.60	%
Class R
Actual	$	1,000.00	$	1,012.77	$	4.50		0.90	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,020.39	$	4.52		0.90	%
Class R4
Actual	$	1,000.00	$	1,016.49	$	1.70		0.34	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.17	$	1.71		0.34	%
Class R6
Actual	$	1,000.00	$	1,017.40	$	0.95		0.19	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.92	$	0.96		0.19	%
Administrator Class
Actual	$	1,000.00	$	1,015.09	$	2.71		0.54	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.18	$	2.72		0.54	%
Target 2020 Fund
Class A
Actual	$	1,000.00	$	1,013.06	$	3.05		0.61	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.83	$	3.07		0.61	%
Class C
Actual	$	1,000.00	$	1,009.23	$	6.99		1.40	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.90	$	7.02		1.40	%
Class R
Actual	$	1,000.00	$	1,011.46	$	4.50		0.90	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,020.39	$	4.52		0.90	%
Class R4
Actual	$	1,000.00	$	1,014.83	$	1.70		0.34	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.17	$	1.71		0.34	%
Class R6
Actual	$	1,000.00	$	1,015.51	$	0.95		0.19	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.92	$	0.96		0.19	%
Administrator Class
Actual	$	1,000.00	$	1,013.65	$	2.70		0.54	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.18	$	2.72		0.54	%

¹ Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one-half-year period).

46  |  Target Date Retirement Funds

Fund expenses (unaudited)

Target 2025 Fund	Beginning account value 9-1-2019		Ending account value 2-29-2020		Expenses paid during the period¹		Annualized net expense ratio
Class A
Actual	$	1,000.00	$	1,009.99	$	3.00		0.60	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.88	$	3.02		0.60	%
Class R
Actual	$	1,000.00	$	1,007.91	$	4.49		0.90	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,020.39	$	4.52		0.90	%
Class R4
Actual	$	1,000.00	$	1,012.82	$	1.70		0.34	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.17	$	1.71		0.34	%
Class R6
Actual	$	1,000.00	$	1,012.72	$	0.95		0.19	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.92	$	0.96		0.19	%
Administrator Class
Actual	$	1,000.00	$	1,010.59	$	2.70		0.54	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.18	$	2.72		0.54	%
Target 2030 Fund
Class A
Actual	$	1,000.00	$	1,006.23	$	3.09		0.62	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.78	$	3.12		0.62	%
Class C
Actual	$	1,000.00	$	1,002.56	$	6.97		1.40	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.90	$	7.02		1.40	%
Class R
Actual	$	1,000.00	$	1,005.58	$	4.44		0.89	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,020.44	$	4.47		0.89	%
Class R4
Actual	$	1,000.00	$	1,008.17	$	1.70		0.34	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.17	$	1.71		0.34	%
Class R6
Actual	$	1,000.00	$	1,008.85	$	0.95		0.19	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.92	$	0.96		0.19	%
Administrator Class
Actual	$	1,000.00	$	1,006.95	$	2.69		0.54	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.18	$	2.72		0.54	%
Target 2035 Fund
Class A
Actual	$	1,000.00	$	1,003.01	$	3.04		0.61	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.83	$	3.07		0.61	%
Class R
Actual	$	1,000.00	$	1,001.01	$	4.48		0.90	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,020.39	$	4.52		0.90	%
Class R4
Actual	$	1,000.00	$	1,004.65	$	1.69		0.34	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.17	$	1.71		0.34	%
Class R6
Actual	$	1,000.00	$	1,004.85	$	0.95		0.19	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.92	$	0.96		0.19	%
Administrator Class
Actual	$	1,000.00	$	1,002.56	$	2.69		0.54	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.18	$	2.72		0.54	%

¹ Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one-half-year period).

Target Date Retirement Funds  |  47

Fund expenses (unaudited)

Target 2040 Fund	Beginning account value 9-1-2019		Ending account value 2-29-2020		Expenses paid during the period¹		Annualized net expense ratio
Class A
Actual	$	1,000.00	$	998.45	$	3.13		0.63	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.73	$	3.17		0.63	%
Class C
Actual	$	1,000.00	$	993.58	$	6.94		1.40	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.90	$	7.02		1.40	%
Class R
Actual	$	1,000.00	$	996.78	$	4.47		0.90	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,020.39	$	4.52		0.90	%
Class R4
Actual	$	1,000.00	$	999.30	$	1.69		0.34	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.17	$	1.71		0.34	%
Class R6
Actual	$	1,000.00	$	1,000.08	$	0.94		0.19	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.92	$	0.96		0.19	%
Administrator Class
Actual	$	1,000.00	$	998.71	$	2.68		0.54	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.18	$	2.72		0.54	%
Target 2045 Fund
Class A
Actual	$	1,000.00	$	995.65	$	3.08		0.62	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.78	$	3.12		0.62	%
Class R
Actual	$	1,000.00	$	994.15	$	4.46		0.90	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,020.39	$	4.52		0.90	%
Class R4
Actual	$	1,000.00	$	996.61	$	1.69		0.34	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.17	$	1.71		0.34	%
Class R6
Actual	$	1,000.00	$	998.26	$	0.94		0.19	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.92	$	0.96		0.19	%
Administrator Class
Actual	$	1,000.00	$	995.65	$	2.68		0.54	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.18	$	2.72		0.54	%
Target 2050 Fund
Class A
Actual	$	1,000.00	$	993.74	$	3.07		0.62	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.78	$	3.12		0.62	%
Class C
Actual	$	1,000.00	$	989.26	$	6.92		1.40	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.90	$	7.02		1.40	%
Class R
Actual	$	1,000.00	$	991.58	$	4.46		0.90	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,020.39	$	4.52		0.90	%
Class R4
Actual	$	1,000.00	$	993.98	$	1.69		0.34	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.17	$	1.71		0.34	%
Class R6
Actual	$	1,000.00	$	995.40	$	0.94		0.19	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.92	$	0.96		0.19	%
Administrator Class
Actual	$	1,000.00	$	993.38	$	2.68		0.54	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.18	$	2.72		0.54	%

¹ Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one-half-year period).

48  |  Target Date Retirement Funds

Fund expenses (unaudited)

Target 2055 Fund	Beginning account value 9-1-2019		Ending account value 2-29-2020		Expenses paid during the period¹		Annualized net expense ratio
Class A
Actual	$	1,000.00	$	993.03	$	3.07		0.62	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.78	$	3.12		0.62	%
Class R
Actual	$	1,000.00	$	992.53	$	4.46		0.90	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,020.39	$	4.52		0.90	%
Class R4
Actual	$	1,000.00	$	994.91	$	1.69		0.34	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.17	$	1.71		0.34	%
Class R6
Actual	$	1,000.00	$	995.18	$	0.94		0.19	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.92	$	0.96		0.19	%
Administrator Class
Actual	$	1,000.00	$	994.15	$	2.68		0.54	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.18	$	2.72		0.54	%
Target 2060 Fund
Class A
Actual	$	1,000.00	$	993.27	$	3.17		0.64	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.68	$	3.22		0.64	%
Class C
Actual	$	1,000.00	$	989.49	$	6.93		1.40	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.90	$	7.02		1.40	%
Class R
Actual	$	1,000.00	$	992.06	$	4.46		0.90	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,020.39	$	4.52		0.90	%
Class R4
Actual	$	1,000.00	$	994.65	$	1.69		0.34	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.17	$	1.71		0.34	%
Class R6
Actual	$	1,000.00	$	995.03	$	0.94		0.19	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.92	$	0.96		0.19	%
Administrator Class
Actual	$	1,000.00	$	993.69	$	2.68		0.54	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.18	$	2.72		0.54	%

¹ Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one-half-year period).

Target Date Retirement Funds  |  49

Portfolio of investments—February 29, 2020

TARGET TODAY FUND

	Value
Investment Companies: 99.57%
Affiliated Master Portfolios: 99.57%
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	$	22,901,338
Wells Fargo Emerging Markets Bond Portfolio		1,895,415
Wells Fargo Factor Enhanced Emerging Markets Portfolio		1,323,937
Wells Fargo Factor Enhanced International Portfolio		4,440,914
Wells Fargo Factor Enhanced Large Cap Portfolio		8,346,795
Wells Fargo Factor Enhanced Small Cap Portfolio		2,075,970
Wells Fargo High Yield Corporate Bond Portfolio		1,865,859
Wells Fargo Investment Grade Corporate Bond Portfolio		11,869,651
Wells Fargo Strategic Retirement Bond Portfolio		7,722,631
Wells Fargo U.S. REIT Portfolio		1,450,556
Total Investment Companies (Cost $56,495,254)		63,893,066

Total investments in securities (Cost $56,495,254)	99.57	%		63,893,066
Other assets and liabilities, net	0.43			273,647
Total net assets	100.00	%	$	64,166,713

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		3.85	%		3.44	%	$	154,813		$	1,610,053		$	559,441	$	0	$	6,898	$	22,901,338
Wells Fargo Emerging Markets Bond Portfolio		4.56			4.45			19,585			45,063			106,738		0		343		1,895,415
Wells Fargo Factor Enhanced Emerging Markets Portfolio		0.58			0.61			(43,922	)		(68,181	)		202		42,691		827		1,323,937
Wells Fargo Factor Enhanced International Portfolio		0.73			0.76			10,428			(25,441	)		312		137,615		2647		4,440,914
Wells Fargo Factor Enhanced Large Cap Portfolio		0.84			0.87			718,058			(399,248	)		980		211,321		5,236		8,346,795
Wells Fargo Factor Enhanced Small Cap Portfolio		0.88			0.90			71,983			(210,279	)		298		35,287		1,677		2,075,970
Wells Fargo High Yield Corporate Bond Portfolio		2.31			3.46			(37,249	)		3,568			117,779		0		543		1,865,859
Wells Fargo Investment Grade Corporate Bond Portfolio		4.64			4.53			175,309			1,178,785			450,272		0		1,326		11,869,651
Wells Fargo Strategic Retirement Bond Portfolio		10.90			10.17			35,893			374,173			190,142		0		511		7,722,631
Wells Fargo U.S. REIT Portfolio		3.85			5.66			191,301			(169,839	)		0		44,785		134		1,450,556
							$	1,296,199		$	2,338,654		$	1,426,164	$	471,699	$	20,142	$	63,893,066		99.57	%

The accompanying notes are an integral part of these financial statements.

50  |  Target Date Retirement Funds

Portfolio of investments—February 29, 2020

TARGET 2010 FUND

	Value
Investment Companies: 100.00%
Affiliated Master Portfolios: 100.00%
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	$	20,362,341
Wells Fargo Emerging Markets Bond Portfolio		1,679,191
Wells Fargo Factor Enhanced Emerging Markets Portfolio		1,277,250
Wells Fargo Factor Enhanced International Portfolio		4,215,131
Wells Fargo Factor Enhanced Large Cap Portfolio		7,844,881
Wells Fargo Factor Enhanced Small Cap Portfolio		1,952,689
Wells Fargo High Yield Corporate Bond Portfolio		1,648,043
Wells Fargo Investment Grade Corporate Bond Portfolio		10,514,999
Wells Fargo Strategic Retirement Bond Portfolio		6,859,297
Wells Fargo U.S. REIT Portfolio		1,368,029
Total Investment Companies (Cost $37,841,350)		57,721,851

Total investments in securities (Cost $37,841,350)	100.00	%		57,721,851
Other assets and liabilities, net	0.00			(2,054	)
Total net assets	100.00	%	$	57,719,797

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		3.71	%		3.06	%	$	152,750		$	1,459,564		$	505,252	$	0	$	6,219	$	20,362,341
Wells Fargo Emerging Markets Bond Portfolio		4.40			3.95			18,280			43,468			96,254		0		312		1,679,191
Wells Fargo Factor Enhanced Emerging Markets Portfolio		0.62			0.59			(42,337	)		(72,513	)		203		42,538		828		1,277,250
Wells Fargo Factor Enhanced International Portfolio		0.77			0.72			10,260			(12,739	)		308		138,268		2,640		4,215,131
Wells Fargo Factor Enhanced Large Cap Portfolio		0.89			0.82			704,241			(329,098	)		980		208,032		5,206		7,844,881
Wells Fargo Factor Enhanced Small Cap Portfolio		0.93			0.85			69,007			(201,500	)		298		35,037		1,665		1,952,689
Wells Fargo High Yield Corporate Bond Portfolio		2.22			3.05			(32,718	)		3,778			105,999		0		489		1,648,043
Wells Fargo Investment Grade Corporate Bond Portfolio		4.48			4.01			164,029			1,076,774			406,283		0		1,194		10,514,999
Wells Fargo Strategic Retirement Bond Portfolio		10.52			9.04			36,664			335,600			174,193		0		462		6,859,297
Wells Fargo U.S. REIT Portfolio		4.12			5.34			189,501			(158,103	)		0		44,986		131		1,368,029
							$	1,269,677		$	2,145,231		$	1,289,770	$	468,861	$	19,146	$	57,721,851		100.00	%

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  51

Portfolio of investments—February 29, 2020

TARGET 2015 FUND

	Value
Investment Companies: 100.65%
Affiliated Master Portfolios: 100.65%
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	$	20,816,591
Wells Fargo Emerging Markets Bond Portfolio		1,717,830
Wells Fargo Factor Enhanced Emerging Markets Portfolio		1,600,463
Wells Fargo Factor Enhanced International Portfolio		5,282,239
Wells Fargo Factor Enhanced Large Cap Portfolio		9,919,645
Wells Fargo Factor Enhanced Small Cap Portfolio		2,465,329
Wells Fargo High Yield Corporate Bond Portfolio		1,683,087
Wells Fargo Investment Grade Corporate Bond Portfolio		10,749,102
Wells Fargo Strategic Retirement Bond Portfolio		7,012,044
Wells Fargo U.S. REIT Portfolio		1,752,489
Total Investment Companies (Cost $50,801,015)		62,998,819

Total investments in securities (Cost $50,801,015)	100.65	%		62,998,819
Other assets and liabilities, net	(0.65	)		(406,385	)
Total net assets	100.00	%	$	62,592,434

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		4.14	%		3.13	%	$	314,318		$	1,454,515		$	541,945	$	0	$	6,687	$	20,816,591
Wells Fargo Emerging Markets Bond Portfolio		4.96			4.04			31,519			36,299			103,247		0		337		1,717,830
Wells Fargo Factor Enhanced Emerging Markets Portfolio		0.86			0.74			(44,089	)		(99,411	)		275		57,034		1,124		1,600,463
Wells Fargo Factor Enhanced International Portfolio		1.08			0.90			51,296			(41,670	)		413		188,296		3,572		5,282,239
Wells Fargo Factor Enhanced Large Cap Portfolio		1.24			1.03			1,005,915			(497,798	)		1,323		279,817		7,032		9,919,645
Wells Fargo Factor Enhanced Small Cap Portfolio		1.30			1.07			107,498			(285,912	)		402		47,326		2,248		2,465,329
Wells Fargo High Yield Corporate Bond Portfolio		2.52			3.12			(23,485	)		(4,719	)		113,982		0		525		1,683,087
Wells Fargo Investment Grade Corporate Bond Portfolio		5.01			4.10			254,795			1,093,411			436,094		0		1,281		10,749,102
Wells Fargo Strategic Retirement Bond Portfolio		11.73			9.24			90,076			323,012			188,421		0		493		7,012,044
Wells Fargo U.S. REIT Portfolio		5.75			6.84			263,926			(220,885	)		0		61,187		173		1,752,489
							$	2,051,769		$	1,756,842		$	1,386,102	$	633,660	$	23,472	$	62,998,819		100.65	%

The accompanying notes are an integral part of these financial statements.

52  |  Target Date Retirement Funds

Portfolio of investments—February 29, 2020

TARGET 2020 FUND

	Value
Investment Companies: 100.26%
Affiliated Master Portfolios: 100.26%
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	$	112,966,054
Wells Fargo Emerging Markets Bond Portfolio		9,302,103
Wells Fargo Factor Enhanced Emerging Markets Portfolio		11,199,559
Wells Fargo Factor Enhanced International Portfolio		36,889,478
Wells Fargo Factor Enhanced Large Cap Portfolio		68,909,574
Wells Fargo Factor Enhanced Small Cap Portfolio		17,314,004
Wells Fargo High Yield Corporate Bond Portfolio		9,152,870
Wells Fargo Investment Grade Corporate Bond Portfolio		58,277,803
Wells Fargo Strategic Retirement Bond Portfolio		34,971,188
Wells Fargo U.S. REIT Portfolio		10,800,296
Total Investment Companies (Cost $325,671,894)		369,782,929

Total investments in securities (Cost $325,671,894)	100.26	%		369,782,929
Other assets and liabilities, net	(0.26	)		(960,593	)
Total net assets	100.00	%	$	368,822,336

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		18.88	%		16.98	%	$	726,103		$	7,601,672		$	2,708,243	$	0	$	33,386	$	112,966,054
Wells Fargo Emerging Markets Bond Portfolio		22.29			21.86			92,129			208,085			514,798		0		1,657		9,302,103
Wells Fargo Factor Enhanced Emerging Markets Portfolio		5.25			5.16			(386,758	)		(559,469	)		1,799		376,598		7,299		11,199,559
Wells Fargo Factor Enhanced International Portfolio		6.54			6.30			65,244			104,819			2,739		1,216,579		23,365		36,889,478
Wells Fargo Factor Enhanced Large Cap Portfolio		7.38			7.17			6,154,316			(2,693,895	)		8,496		1,822,832		45,424		68,909,574
Wells Fargo Factor Enhanced Small Cap Portfolio		7.78			7.54			610,381			(1,676,733	)		2,594		304,109		14,498		17,314,004
Wells Fargo High Yield Corporate Bond Portfolio		11.26			16.95			(181,941	)		10,478			568,020		0		2,621		9,152,870
Wells Fargo Investment Grade Corporate Bond Portfolio		22.77			22.25			835,289			5,605,583			2,179,217		0		6,415		58,277,803
Wells Fargo Strategic Retirement Bond Portfolio		44.53			46.07			144,524			1,450,969			769,602		0		2,121		34,971,188
Wells Fargo U.S. REIT Portfolio		27.64			42.17			1,350,597			(1,246,152	)		0		315,823		952		10,800,296
							$	9,409,884		$	8,805,357		$	6,755,508	$	4,035,941	$	137,738	$	369,782,929		100.26	%

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  53

Portfolio of investments—February 29, 2020

TARGET 2025 FUND

	Value
Investment Companies: 100.08%
Affiliated Master Portfolios: 100.08%
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	$	68,135,753
Wells Fargo Emerging Markets Bond Portfolio		5,606,503
Wells Fargo Factor Enhanced Emerging Markets Portfolio		10,103,923
Wells Fargo Factor Enhanced International Portfolio		33,225,318
Wells Fargo Factor Enhanced Large Cap Portfolio		59,131,208
Wells Fargo Factor Enhanced Small Cap Portfolio		14,779,867
Wells Fargo High Yield Corporate Bond Portfolio		5,512,065
Wells Fargo Investment Grade Corporate Bond Portfolio		35,320,544
Wells Fargo Strategic Retirement Bond Portfolio		11,196,647
Wells Fargo U.S. REIT Portfolio		5,183,218
Total Investment Companies (Cost $224,424,110)		248,195,046

Total investments in securities (Cost $224,424,110)	100.08	%		248,195,046
Other assets and liabilities, net	(0.08	)		(204,792	)
Total net assets	100.00	%	$	247,990,254

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		12.05	%		10.24	%	$	1,085,241		$	4,307,405		$	1,702,847	$	0	$	21,017	$	68,135,753
Wells Fargo Emerging Markets Bond Portfolio		14.31			13.18			107,949			97,092			320,929		0		1,038		5,606,503
Wells Fargo Factor Enhanced Emerging Markets Portfolio		4.98			4.66			(262,364	)		(572,066	)		1,620		349,830		6,816		10,103,923
Wells Fargo Factor Enhanced International Portfolio		6.25			5.67			364,754			(217,509	)		2,377		1,138,685		21,787		33,225,318
Wells Fargo Factor Enhanced Large Cap Portfolio		6.78			6.15			5,984,995			(3,020,982	)		7,296		1,620,097		40,561		59,131,208
Wells Fargo Factor Enhanced Small Cap Portfolio		7.13			6.44			667,171			(1,605,419	)		2,247		270,519		12,960		14,779,867
Wells Fargo High Yield Corporate Bond Portfolio		7.26			10.21			(63,357	)		(22,742	)		353,972		0		1,633		5,512,065
Wells Fargo Investment Grade Corporate Bond Portfolio		14.61			13.49			853,504			3,296,130			1,370,421		0		4,032		35,320,544
Wells Fargo Strategic Retirement Bond Portfolio		14.18			14.75			150,098			393,274			243,800		0		674		11,196,647
Wells Fargo U.S. REIT Portfolio		12.83			20.24			655,090			(633,626	)		0		143,932		435		5,183,218
							$	9,543,081		$	2,021,557		$	4,005,509	$	3,523,063	$	110,953	$	248,195,046		100.08	%

The accompanying notes are an integral part of these financial statements.

54  |  Target Date Retirement Funds

Portfolio of investments—February 29, 2020

TARGET 2030 Fund

	Value
Investment Companies: 100.15%
Affiliated Master Portfolios: 100.15%
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	$	124,815,696
Wells Fargo Emerging Markets Bond Portfolio		10,173,419
Wells Fargo Factor Enhanced Emerging Markets Portfolio		27,330,320
Wells Fargo Factor Enhanced International Portfolio		90,174,111
Wells Fargo Factor Enhanced Large Cap Portfolio		153,797,438
Wells Fargo Factor Enhanced Small Cap Portfolio		38,386,472
Wells Fargo High Yield Corporate Bond Portfolio		10,044,507
Wells Fargo Investment Grade Corporate Bond Portfolio		64,677,796
Wells Fargo Strategic Retirement Bond Portfolio		6,071,987
Wells Fargo U.S. REIT Portfolio		3,997,079
Total Investment Companies (Cost $486,322,891)		529,468,825

Total investments in securities (Cost $486,322,891)	100.15	%		529,468,825
Other assets and liabilities, net	(0.15	)		(799,549	)
Total net assets	100.00	%	$	528,669,276

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		18.92	%		18.76	%	$	826,077		$	8,231,024		$	2,812,223	$	0	$	34,616	$	124,815,696
Wells Fargo Emerging Markets Bond Portfolio		22.13			23.91			102,589			221,633			529,763		0		1,700		10,173,419
Wells Fargo Factor Enhanced Emerging Markets Portfolio		11.68			12.59			(883,282	)		(1,496,042	)		3,948		861,177		16,570		27,330,320
Wells Fargo Factor Enhanced International Portfolio		14.90			15.39			228,681			(514,268	)		5,953		2,835,861		54,704		90,174,111
Wells Fargo Factor Enhanced Large Cap Portfolio		15.17			16.00			13,310,342			(7,752,029	)		17,166		3,880,424		96,087		153,797,438
Wells Fargo Factor Enhanced Small Cap Portfolio		15.48			16.72			1,317,529			(4,029,811	)		5,115		625,877		29,769		38,386,472
Wells Fargo High Yield Corporate Bond Portfolio		11.18			18.60			(178,543	)		421			585,266		0		2,701		10,044,507
Wells Fargo Investment Grade Corporate Bond Portfolio		22.84			24.69			902,045			5,953,035			2,264,971		0		6,686		64,677,796
Wells Fargo Strategic Retirement Bond Portfolio		6.08			8.00			25,429			231,092			108,479		0		318		6,071,987
Wells Fargo U.S. REIT Portfolio		6.30			15.61			331,520			(447,548	)		0		76,897		254		3,997,079
							$	15,982,387		$	397,507		$	6,332,884	$	8,280,236	$	243,405	$	529,468,825		100.15	%

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  55

Portfolio of investments—February 29, 2020

TARGET 2035 FUND

	Value
Investment Companies: 100.14%
Affiliated Master Portfolios: 100.14%
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	$	39,411,021
Wells Fargo Emerging Markets Bond Portfolio		3,242,850
Wells Fargo Factor Enhanced Emerging Markets Portfolio		13,703,377
Wells Fargo Factor Enhanced International Portfolio		45,557,652
Wells Fargo Factor Enhanced Large Cap Portfolio		74,536,900
Wells Fargo Factor Enhanced Small Cap Portfolio		18,621,674
Wells Fargo High Yield Corporate Bond Portfolio		3,187,292
Wells Fargo Investment Grade Corporate Bond Portfolio		20,397,848
Total Investment Companies (Cost $203,523,534)		218,658,614

Total investments in securities (Cost $203,523,534)	100.14	%		218,658,614
Other assets and liabilities, net	(0.14	)		(312,214	)
Total net assets	100.00	%	$	218,346,400

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		6.69	%		5.92	%	$	264,646		$	2,716,463		$	926,096	$	0	$	11,422	$	39,411,021
Wells Fargo Emerging Markets Bond Portfolio		7.91			7.62			32,021			77,153			175,100		0		569		3,242,850
Wells Fargo Factor Enhanced Emerging Markets Portfolio		6.61			6.31			(467,362	)		(689,622	)		2,119		463,658		9,074		13,703,377
Wells Fargo Factor Enhanced International Portfolio		8.33			7.78			96,333			(66,573	)		3,054		1,517,411		29,037		45,557,652
Wells Fargo Factor Enhanced Large Cap Portfolio		8.33			7.75			6,656,095			(3,381,176	)		8,735		1,980,776		49,518		74,536,900
Wells Fargo Factor Enhanced Small Cap Portfolio		8.77			8.11			644,631			(1,867,433	)		2,705		332,467		15,891		18,621,674
Wells Fargo High Yield Corporate Bond Portfolio		4.01			5.90			(60,883	)		7,763			193,327		0		891		3,187,292
Wells Fargo Investment Grade Corporate Bond Portfolio		8.06			7.79			293,554			1,975,678			744,925		0		2,200		20,397,848
							$	7,459,035		$	(1,227,747	)	$	2,056,061	$	4,294,312	$	118,602	$	218,658,614		100.14	%

The accompanying notes are an integral part of these financial statements.

56  |  Target Date Retirement Funds

Portfolio of investments—February 29, 2020

TARGET 2040 FUND

	Value
Investment Companies: 100.02%
Affiliated Master Portfolios: 100.02%
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	$	57,737,605
Wells Fargo Emerging Markets Bond Portfolio		4,748,930
Wells Fargo Factor Enhanced Emerging Markets Portfolio		34,374,422
Wells Fargo Factor Enhanced International Portfolio		113,276,195
Wells Fargo Factor Enhanced Large Cap Portfolio		179,070,472
Wells Fargo Factor Enhanced Small Cap Portfolio		44,600,910
Wells Fargo High Yield Corporate Bond Portfolio		4,673,222
Wells Fargo Investment Grade Corporate Bond Portfolio		29,902,864
Total Investment Companies (Cost $441,025,905)		468,384,620

Total investments in securities (Cost $441,025,905)	100.02	%		468,384,620
Other assets and liabilities, net	(0.02	)		(84,275	)
Total net assets	100.00	%	$	468,300,345

Transactions with the affiliated Master Portfolios were as follows:    

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		8.60	%		8.68	%	$	158,737		$	3,986,592		$	1,275,891	$	0	$	15,688	$	57,737,605
Wells Fargo Emerging Markets Bond Portfolio		10.09			11.16			29,403			116,357			241,470		0		775		4,748,930
Wells Fargo Factor Enhanced Emerging Markets Portfolio		13.86			15.84			(1,195,695	)		(1,813,741	)		4,693		1,038,597		19,937		34,374,422
Wells Fargo Factor Enhanced International Portfolio		17.50			19.34			(114,833	)		(901,067	)		6,827		3,345,442		64,620		113,276,195
Wells Fargo Factor Enhanced Large Cap Portfolio		16.87			18.63			14,288,383			(9,046,755	)		18,837		4,344,360		107,220		179,070,472
Wells Fargo Factor Enhanced Small Cap Portfolio		17.79			19.43			1,356,514			(4,546,703	)		5,806		719,560		34,192		44,600,910
Wells Fargo High Yield Corporate Bond Portfolio		5.10			8.66			(98,415	)		13,040			266,475		0		1,228		4,673,222
Wells Fargo Investment Grade Corporate Bond Portfolio		10.36			11.42			295,296			2,830,022			1,026,709		0		3,034		29,902,864
							$	14,719,390		$	(9,362,255	)	$	2,846,708	$	9,447,959	$	246,694	$	468,384,620		100.02	%

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  57

Portfolio of investments—February 29, 2020

TARGET 2045 FUND

	Value
Investment Companies: 100.14%
Affiliated Master Portfolios: 100.14%
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	$	10,213,782
Wells Fargo Emerging Markets Bond Portfolio		834,101
Wells Fargo Factor Enhanced Emerging Markets Portfolio		8,734,141
Wells Fargo Factor Enhanced International Portfolio		28,834,801
Wells Fargo Factor Enhanced Large Cap Portfolio		44,718,161
Wells Fargo Factor Enhanced Small Cap Portfolio		11,248,915
Wells Fargo High Yield Corporate Bond Portfolio		822,220
Wells Fargo Investment Grade Corporate Bond Portfolio		5,260,423
Total Investment Companies (Cost $104,512,593)		110,666,544

Total investments in securities (Cost $104,512,593)	100.14	%		110,666,544
Other assets and liabilities, net	(0.14	)		(149,410	)
Total net assets	100.00	%	$	110,517,134

Transactions with the affiliated Master Portfolios were as follows:    

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated Income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		1.97	%		1.53	%	$	44,311		$	725,129		$	254,860	$	0	$	3,150	$	10,213,782
Wells Fargo Emerging Markets Bond Portfolio		2.33			1.96			5,923			23,444			48,072		0		159		834,101
Wells Fargo Factor Enhanced Emerging Markets Portfolio		4.82			4.02			(322,609	)		(408,695	)		1,509		314,178		6,242		8,734,141
Wells Fargo Factor Enhanced International Portfolio		5.96			4.92			(24,622	)		80,787			2,227		1,040,464		19,706		28,834,801
Wells Fargo Factor Enhanced Large Cap Portfolio		5.61			4.65			3,894,894			(1,596,226	)		5,905		1,251,553		31,616		44,718,161
Wells Fargo Factor Enhanced Small Cap Portfolio		5.91			4.90			337,100			(1,071,664	)		1,810		212,951		10,141		11,248,915
Wells Fargo High Yield Corporate Bond Portfolio		1.18			1.52			(18,673	)		5,887			53,114		0		245		822,220
Wells Fargo Investment Grade Corporate Bond Portfolio		2.38			2.01			64,659			526,176			204,762		0		605		5,260,423
							$	3,980,983		$	(1,715,162	)	$	572,259	$	2,819,146	$	71,864	$	110,666,544		100.14	%

The accompanying notes are an integral part of these financial statements.

58  |  Target Date Retirement Funds

Portfolio of investments—February 29, 2020

TARGET 2050 FUND

	Value
Investment Companies: 99.91%
Affiliated Master Portfolios: 99.91%
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	$	13,822,144
Wells Fargo Emerging Markets Bond Portfolio		1,135,056
Wells Fargo Factor Enhanced Emerging Markets Portfolio		17,871,989
Wells Fargo Factor Enhanced International Portfolio		59,213,487
Wells Fargo Factor Enhanced Large Cap Portfolio		89,984,400
Wells Fargo Factor Enhanced Small Cap Portfolio		22,471,197
Wells Fargo High Yield Corporate Bond Portfolio		1,120,313
Wells Fargo Investment Grade Corporate Bond Portfolio		7,167,964
Total Investment Companies (Cost $199,632,732)		212,786,550

Total investments in securities (Cost $199,632,732)	99.91	%		212,786,550
Other assets and liabilities, net	0.09			184,614
Total net assets	100.00	%	$	212,971,164

Transactions with the affiliated Master Portfolios were as follows:    

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated Income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		2.15	%		2.08	%	$	68,989		$	1,152,855		$	321,561	$	0	$	3,969	$	13,822,144
Wells Fargo Emerging Markets Bond Portfolio		2.52			2.67			10,368			34,008			60,797		0		195		1,135,056
Wells Fargo Factor Enhanced Emerging Markets Portfolio		7.10			8.24			(674,367	)		(1,125,409	)		2,520		533,429		10,252		17,871,989
Wells Fargo Factor Enhanced International Portfolio		8.80			10.11			25,406			(808,643	)		3,855		1,708,197		33,029		59,213,487
Wells Fargo Factor Enhanced Large Cap Portfolio		8.18			9.36			8,217,965			(5,638,871	)		9,822		2,139,149		52,721		89,984,400
Wells Fargo Factor Enhanced Small Cap Portfolio		8.61			9.79			803,139			(2,677,493	)		3,012		356,179		16,952		22,471,197
Wells Fargo High Yield Corporate Bond Portfolio		1.27			2.08			(26,761	)		4,619			67,119		0		310		1,120,313
Wells Fargo Investment Grade Corporate Bond Portfolio		2.59			2.74			97,690			824,402			258,660		0		766		7,167,964
							$	8,522,429		$	(8,234,532	)	$	727,346	$	4,736,954	$	118,194	$	212,786,550		99.91	%

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  59

Portfolio of investments—February 29, 2020

TARGET 2055 FUND

	Value
Investment Companies: 100.62%
Affiliated Master Portfolios: 100.62%
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	$	2,286,147
Wells Fargo Emerging Markets Bond Portfolio		186,727
Wells Fargo Factor Enhanced Emerging Markets Portfolio		2,947,668
Wells Fargo Factor Enhanced International Portfolio		9,756,886
Wells Fargo Factor Enhanced Large Cap Portfolio		14,740,495
Wells Fargo Factor Enhanced Small Cap Portfolio		3,677,320
Wells Fargo High Yield Corporate Bond Portfolio		184,338
Wells Fargo Investment Grade Corporate Bond Portfolio		1,180,319
Total Investment Companies (Cost $35,299,236)		34,959,900

Total investments in securities (Cost $35,299,236)	100.62	%		34,959,900
Other assets and liabilities, net	(0.62	)		(214,030	)
Total net assets	100.00	%	$	34,745,870

Transactions with the affiliated Master Portfolios were as follows:    

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated Income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		0.37	%		0.34	%	$	6,263		$	88,033		$	54,555	$	0	$	676	$	2,286,147
Wells Fargo Emerging Markets Bond Portfolio		0.44			0.44			914			2,671			10,321		0		33		186,727
Wells Fargo Factor Enhanced Emerging Markets Portfolio		1.24			1.36			(61,577	)		(87,210	)		428		90,733		1,760		2,947,668
Wells Fargo Factor Enhanced International Portfolio		1.53			1.67			209			(48,871	)		654		290,211		5,631		9,756,886
Wells Fargo Factor Enhanced Large Cap Portfolio		1.43			1.53			740,700			(395,880	)		1,660		362,449		8,948		14,740,495
Wells Fargo Factor Enhanced Small Cap Portfolio		1.50			1.60			71,413			(196,891	)		510		60,929		2,894		3,677,320
Wells Fargo High Yield Corporate Bond Portfolio		0.22			0.34			(2,466	)		541			11,399		0		53		184,338
Wells Fargo Investment Grade Corporate Bond Portfolio		0.45			0.45			9,007			64,186			43,864		0		130		1,180,319
							$	764,463		$	(573,421	)	$	123,391	$	804,322	$	20,125	$	34,959,900		100.62	%

The accompanying notes are an integral part of these financial statements.

60  |  Target Date Retirement Funds

Portfolio of investments—February 29, 2020

TARGET 2060 FUND

	Value
Investment Companies: 100.41%
Affiliated Master Portfolios: 100.41%
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	$	1,445,369
Wells Fargo Emerging Markets Bond Portfolio		118,025
Wells Fargo Factor Enhanced Emerging Markets Portfolio		1,920,457
Wells Fargo Factor Enhanced International Portfolio		6,370,300
Wells Fargo Factor Enhanced Large Cap Portfolio		9,618,683
Wells Fargo Factor Enhanced Small Cap Portfolio		2,400,090
Wells Fargo High Yield Corporate Bond Portfolio		116,473
Wells Fargo Investment Grade Corporate Bond Portfolio		745,444
Total Investment Companies (Cost $22,576,917)		22,734,841

Total investments in securities (Cost $22,576,917)	100.41	%		22,734,841
Other assets and liabilities, net	(0.41	)		(92,132	)
Total net assets	100.00	%	$	22,642,709

Transactions with the affiliated Master Portfolios were as follows:    

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated Income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		0.16	%		0.22	%	$	3,325		$	54,151		$	29,860	$	0	$	367	$	1,445,369
Wells Fargo Emerging Markets Bond Portfolio		0.19			0.28			546			1,286			5,665		0		18		118,025
Wells Fargo Factor Enhanced Emerging Markets Portfolio		0.54			0.88			(31,973	)		(72,290	)		227		48,748		913		1,920,457
Wells Fargo Factor Enhanced International Portfolio		0.66			1.09			5,089			(91,176	)		355		151,116		2,987		6,370,300
Wells Fargo Factor Enhanced Large Cap Portfolio		0.62			1.00			398,299			(385,640	)		882		199,145		4,780		9,618,683
Wells Fargo Factor Enhanced Small Cap Portfolio		0.65			1.05			41,750			(149,111	)		271		32,484		1,536		2,400,090
Wells Fargo High Yield Corporate Bond Portfolio		0.10			0.22			(1,197	)		(268	)		6,249		0		29		116,473
Wells Fargo Investment Grade Corporate Bond Portfolio		0.20			0.28			4,545			39,851			24,034		0		72		745,444
							$	420,384		$	(603,197	)	$	67,543	$	431,493	$	10,702	$	22,734,841		100.41	%

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  61

Statements of assets and liabilities—February 29, 2020

	Target Today Fund		Target 2010 Fund
Assets
Investments in affiliated Master Portfolios, at value (see cost below)	$	63,893,066	$	57,721,851
Receivable for Fund shares sold		402,182		49,077
Receivable from manager		0		14,268
Prepaid expenses and other assets		20,052		28,584
Total assets		64,315,300		57,813,780
Liabilities
Payable for Fund shares redeemed		53,078		18,967
Due to manager		18,135		0
Administration fees payable		7,990		7,342
Distribution fees payable		336		365
Shareholder report expenses payable		19,279		14,302
Shareholder servicing fees payable		9,595		8,955
Professional fees payable		28,593		31,212
Trustees’ fees and expenses payable		4,576		4,568
Accrued expenses and other liabilities		7,005		8,272
Total liabilities		148,587		93,983
Total net assets	$	64,166,713	$	57,719,797
Net assets consist of
Paid-in capital	$	56,369,911	$	37,467,542
Total distributable earnings		7,796,802		20,252,255
Total net assets	$	64,166,713	$	57,719,797
Computation of net asset value and offering price per share
Net assets – Class A	$	36,877,632	$	33,505,414
Shares outstanding – Class A1		4,080,446		3,175,607
Net asset value per share – Class A		$9.04		$10.55
Maximum offering price per share – Class A2		$9.59		$11.19
Net assets – Class C	$	528,684	$	576,056
Shares outstanding – Class C1		56,828		53,972
Net asset value per share – Class C		$9.30		$10.67
Net assets – Class R	$	30,644	$	23,026
Shares outstanding – Class R1		3,403		2,201
Net asset value per share – Class R		$9.00		$10.46
Net assets – Class R4	$	2,436,515	$	1,155,309
Share outstanding – Class R41		262,178		107,963
Net asset value per share – Class R4		$9.29		$10.70
Net assets – Class R6	$	17,264,134	$	14,128,008
Shares outstanding – Class R61		1,860,921		1,322,891
Net asset value per share – Class R6		$9.28		$10.68
Net assets – Administrator Class	$	7,029,104	$	8,331,984
Shares outstanding – Administrator Class1		756,044		778,298
Net asset value per share – Administrator Class		$9.30		$10.71
Investments in affiliated Master Portfolios, at cost	$	56,495,254	$	37,841,350

¹  Each Fund has an unlimited number of authorized shares.

²  Maximum offering price is computed as 100/94.25 of net asset value. On investments of $50,000 or more, the offering price is reduced.

The accompanying notes are an integral part of these financial statements.

62  |  Target Date Retirement Funds

Statements of assets and liabilities—February 29, 2020

Target 2015 Fund		Target 2020 Fund		Target 2025 Fund		Target 2030 Fund		Target 2035 Fund		Target 2040 Fund		Target 2045 Fund
$	62,998,819	$	369,782,929	$	248,195,046	$	529,468,825	$	218,658,614	$	468,384,620	$	110,666,544
	16,295		332,996		208,934		511,271		171,039		527,038		83,933
	0		0		0		0		0		0		0
	12,013		374		31,901		15,805		9,062		29,240		13,262
	63,027,127		370,116,299		248,435,881		529,995,901		218,838,715		468,940,898		110,763,739
	300,086		956,938		254,824		929,398		243,445		317,549		98,762
	61,262		172,541		52,133		196,341		111,479		126,078		52,136
	7,320		36,107		23,558		48,873		22,553		48,178		10,850
	2		1,842		10		1,466		64		1,277		8
	19,105		37,318		43,460		44,081		42,926		44,416		34,643
	8,601		43,023		25,835		57,792		24,773		57,057		11,866
	27,874		29,112		25,695		29,752		28,353		29,388		28,631
	4,578		4,680		4,681		4,666		4,675		4,753		4,923
	5,865		12,402		15,431		14,256		14,047		11,857		4,786
	434,693		1,293,963		445,627		1,326,625		492,315		640,553		246,605
$	62,592,434	$	368,822,336	$	247,990,254	$	528,669,276	$	218,346,400	$	468,300,345	$	110,517,134
$	50,188,715	$	322,003,842	$	222,705,214	$	479,895,799	$	200,669,374	$	435,199,234	$	103,272,149
	12,403,719		46,818,494		25,285,040		48,773,477		17,677,026		33,101,111		7,244,985
$	62,592,434	$	368,822,336	$	247,990,254	$	528,669,276	$	218,346,400	$	468,300,345	$	110,517,134
$	32,650,094	$	132,754,690	$	94,504,596	$	163,774,081	$	95,284,112	$	175,941,540	$	42,792,019
	4,553,096		11,077,687		16,957,176		13,486,278		12,913,351		12,553,204		5,301,329
	$7.17		$11.98		$5.57		$12.14		$7.38		$14.02		$8.07
	$7.61		$12.71		$5.91		$12.88		$7.83		$14.88		$8.56
	N/A	$	2,784,740		N/A	$	2,059,518		N/A	$	1,905,830		N/A
	N/A		236,956		N/A		177,472		N/A		151,687		N/A
	N/A		$11.75		N/A		$11.60		N/A		$12.56		N/A
$	19,915	$	119,270	$	56,641	$	44,111	$	318,213	$	65,956	$	49,083
	2,716		10,056		10,309		3,628		42,768		4,709		5,971
	$7.33		$11.86		$5.49		$12.16		$7.44		$14.01		$8.22
$	5,852,746	$	31,138,520	$	36,023,124	$	51,595,294	$	26,748,452	$	41,864,138	$	15,459,981
	808,700		2,519,857		6,412,613		4,145,120		3,615,591		2,879,144		1,902,917
	$7.24		$12.36		$5.62		$12.45		$7.40		$14.54		$8.12
$	18,724,618	$	147,589,946	$	106,756,242	$	231,644,550	$	89,107,586	$	185,291,041	$	47,671,567
	2,587,691		11,949,161		19,038,078		18,645,756		12,056,059		12,757,272		5,895,289
	$7.24		$12.35		$5.61		$12.42		$7.39		$14.52		$8.09
$	5,345,061	$	54,435,170	$	10,649,651	$	79,551,722	$	6,888,037	$	63,231,840	$	4,544,484
	724,044		4,435,911		1,879,239		6,389,967		921,967		4,358,762		553,275
	$7.38		$12.27		$5.67		$12.45		$7.47		$14.51		$8.21
$	50,801,015	$	325,671,894	$	224,424,110	$	486,322,891	$	203,523,534	$	441,025,905	$	104,512,593

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  63

Statements of assets and liabilities—February 29, 2020

	Target 2050 Fund		Target 2055 Fund			Target 2060 Fund
Assets
Investments in affiliated Master Portfolios, at value (see cost below)	$	212,786,550	$	34,959,900		$	22,734,841
Receivable for Fund shares sold		558,257		69,911			133,617
Prepaid expenses and other assets		10,512		5,765			3,105
Total assets		213,355,319		35,035,576			22,871,563
Liabilities
Payable for Fund shares redeemed		210,949		86,810			23,057
Due to manager		54,718		116,684			132,499
Administration fees payable		17,613		2,492			1,213
Distribution fees payable		359		6			100
Shareholder report expenses payable		39,164		38,752			29,263
Shareholder servicing fees payable		20,958		2,451			1,279
Professional fees payable		30,710		31,679			31,196
Trustees’ fees and expenses payable		4,178		4,749			4,662
Accrued expenses and other liabilities		5,506		6,083			5,585
Total liabilities		384,155		289,706			228,854
Total net assets	$	212,971,164	$	34,745,870		$	22,642,709
Net assets consist of
Paid-in capital	$	197,192,253	$	35,443,298		$	22,441,495
Total distributable earnings/(loss)		15,778,911		(697,428	)		201,214
Total net assets	$	212,971,164	$	34,745,870		$	22,642,709
Computation of net asset value and offering price per share
Net assets – Class A	$	47,059,950	$	7,374,451		$	973,466
Shares outstanding – Class A1		6,774,615		639,130			85,124
Net asset value per share – Class A		$6.95		$11.54			$11.44
Maximum offering price per share – Class A2		$7.37		$12.24			$12.14
Net assets – Class C	$	519,450		N/A		$	141,623
Shares outstanding – Class C1		75,129		N/A			12,395
Net asset value per share – Class C		$6.91		N/A			$11.43
Net assets – Class R	$	37,278	$	41,167		$	67,034
Shares outstanding – Class R1		5,354		3,628			5,982
Net asset value per share – Class R		$6.96		$11.35			$11.21
Net assets – Class R4	$	17,988,928	$	7,233,363		$	2,296,769
Share outstanding – Class R41		2,568,534		624,852			196,855
Net asset value per share – Class R4		$7.00		$11.58			$11.67
Net assets – Class R6	$	107,867,914	$	19,338,013		$	15,540,868
Shares outstanding – Class R61		15,434,940		1,673,726			1,337,449
Net asset value per share – Class R6		$6.99		$11.55			$11.62
Net assets – Administrator Class	$	39,497,644	$	758,876		$	3,622,949
Shares outstanding – Administrator Class1		5,663,751		65,267			315,449
Net asset value per share – Administrator Class		$6.97		$11.63			$11.49
Investments in affiliated Master Portfolios, at cost	$	199,632,732	$	35,299,236		$	22,576,917

¹  Each Fund has an unlimited number of authorized shares.

²  Maximum offering price is computed as 100/94.25 of net asset value. On investments of $50,000 or more, the offering price is reduced.

The accompanying notes are an integral part of these financial statements.

64  |  Target Date Retirement Funds

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Statements of operations—year ended February 29, 2020

	Target Today Fund			Target 2010 Fund
Investment income
Interest allocated from affiliated Master Portfolios	$	1,426,164		$	1,289,770
Dividends allocated from affiliated Master Portfolios*		471,699			468,861
Affiliated income allocated from affiliated Master Portfolios		20,142			19,146
Expenses allocated from affiliated Master Portfolios		(109,409	)		(102,371	)
Waivers allocated from affiliated Master Portfolios		29,724			27,732
Total investment income		1,838,320			1,703,138
Expenses
Management fee		68,672			63,666
Administration fees
Class A		80,340			73,737
Class C		1,601			1,328
Class R		62			48
Class R4		2,159			1,204
Class R6		5,330			4,772
Administrator Class		11,906			13,634
Shareholder servicing fees
Class A		95,642			87,782
Class C		1,905			1,581
Class R		74			58
Class R4		2,699			1,505
Administrator Class		22,895			26,219
Distribution fees
Class C		5,712			4,716
Class R		54			37
Custody and accounting fees		5,729			5,968
Professional fees		39,705			39,041
Registration fees		85,528			84,348
Shareholder report expenses		41,100			40,804
Trustees’ fees and expenses		21,886			21,886
Other fees and expenses		15,039			14,596
Total expenses		508,038			486,930
Less: Fee waivers and/or expense reimbursements
Fund-level		(226,785	)		(223,134	)
Class A		(8,650	)		(7,511	)
Class C		(44	)		0
Class R4		(838	)		(442	)
Class R6		(5,330	)		(4,772	)
Administrator Class		(3,315	)		(3,515	)
Net expenses		263,076			247,556
Net investment income		1,575,244			1,455,582
Realized and unrealized gains (losses) on investments
Net realized gains on securities transactions allocated from affiliated Master Portfolios		1,296,199			1,269,677
Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios		2,338,654			2,145,231
Net realized and unrealized gains (losses) on investments		3,634,853			3,414,908
Net increase in net assets resulting from operations	$	5,210,097		$	4,870,490
* Net of foreign dividend withholding taxes allocated from affiliated Master Portfolios in the amount of		$30,498			$30,271

The accompanying notes are an integral part of these financial statements.

66  |  Target Date Retirement Funds

Statements of operations—year ended February 29, 2020

Target 2015 Fund			Target 2020 Fund			Target 2025 Fund			Target 2030 Fund			Target 2035 Fund			Target 2040 Fund			Target 2045 Fund
$	1,386,102		$	6,755,508		$	4,005,509		$	6,332,884		$	2,056,061		$	2,846,708		$	572,259
	633,660			4,035,941			3,523,063			8,280,236			4,294,312			9,447,959			2,819,146
	23,472			137,738			110,953			243,405			118,602			246,694			71,864
	(121,949	)		(681,767	)		(493,038	)		(1,003,749	)		(466,330	)		(968,302	)		(273,784	)
	32,823			176,673			115,578			211,282			93,564			191,024			54,005
	1,954,108			10,424,093			7,262,065			14,064,058			6,096,209			11,764,083			3,243,490
	73,702			402,684			285,839			569,372			253,241			505,423			138,900
	73,378			301,866			219,371			370,328			224,648			399,780			112,983
	N/A			6,679			N/A			5,308			N/A			4,541			N/A
	43			220			106			90			589			140			93
	5,439			29,438			31,754			44,813			22,853			36,241			14,261
	7,663			47,602			38,335			73,843			32,561			59,031			18,274
	8,317			78,237			18,005			114,783			11,549			91,978			8,208
	87,355			359,364			261,156			440,867			267,438			475,928			134,503
	N/A			7,951			N/A			6,319			N/A			5,406			N/A
	51			262			127			106			701			166			110
	6,583			36,797			39,692			56,016			28,566			45,302			17,827
	15,995			150,456			34,624			220,737			22,210			176,880			15,785
	N/A			23,849			N/A			18,942			N/A			16,217			N/A
	33			242			112			86			682			145			90
	7,009			31,581			17,739			36,302			16,280			31,223			10,921
	39,777			39,816			39,569			39,818			39,748			39,733			39,757
	75,772			92,563			79,065			93,253			81,238			91,277			81,598
	42,457			53,191			51,035			56,900			50,314			59,106			47,836
	21,886			21,893			21,912			21,886			21,886			21,993			22,056
	15,298			29,917			22,230			31,839			20,942			28,649			17,381
	480,758			1,714,608			1,160,671			2,201,608			1,095,446			2,089,159			680,583
	(222,255	)		(406,604	)		(347,131	)		(569,372	)		(379,851	)		(606,507	)		(319,468	)
	(12,457	)		(32,501	)		(29,426	)		(30,264	)		(24,224	)		(19,147	)		(7,656	)
	N/A			(285	)		N/A			(139	)		N/A			(131	)		N/A
	(2,349	)		(12,217	)		(13,564	)		(16,470	)		(8,568	)		(12,809	)		(5,124	)
	(7,663	)		(47,602	)		(38,335	)		(70,441	)		(30,863	)		(54,056	)		(16,093	)
	(2,446	)		(20,852	)		(4,862	)		(26,945	)		(2,731	)		(20,768	)		(1,787	)
	233,588			1,194,547			727,353			1,487,977			649,209			1,375,741			330,455
	1,720,520			9,229,546			6,534,712			12,576,081			5,447,000			10,388,342			2,913,035
	2,051,769			9,409,883			9,543,081			15,982,387			7,459,035			14,719,390			3,980,983
	1,756,842			8,805,358			2,021,557			397,507			(1,227,747	)		(9,362,255	)		(1,715,162	)
	3,808,611			18,215,241			11,564,638			16,379,894			6,231,288			5,357,135			2,265,821
$	5,529,131		$	27,444,787		$	18,099,350		$	28,955,975		$	11,678,288		$	15,745,477		$	5,178,856
	$40,790			$270,489			$251,548			$630,046			$332,819			$746,102			$222,133

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  67

Statements of operations—year ended February 29, 2020

	Target 2050 Fund			Target 2055 Fund			Target 2060 Fund
Investment income
Interest allocated from affiliated Master Portfolios	$	727,346		$	123,391		$	67,543
Dividends allocated from affiliated Master Portfolios*		4,736,954			804,322			431,493
Affiliated income allocated from affiliated Master Portfolios		118,194			20,125			10,702
Expenses allocated from affiliated Master Portfolios		(459,722	)		(78,014	)		(42,777	)
Waivers allocated from affiliated Master Portfolios		89,649			15,234			8,284
Total investment income		5,212,421			885,058			475,245
Expenses
Management fee		230,025			38,821			21,246
Administration fees
Class A		110,213			20,493			1,756
Class C		1,716			N/A			405
Class R		76			88			133
Class R4		15,901			5,984			2,076
Class R6		34,638			6,134			4,226
Administrator Class		53,759			1,421			4,512
Shareholder servicing fees
Class A		131,206			24,396			2,090
Class C		2,043			N/A			482
Class R		90			105			158
Class R4		19,876			7,480			2,595
Administrator Class		103,383			2,733			8,678
Distribution fees
Class C		6,109			N/A			1,402
Class R		71			80			137
Custody and accounting fees		17,247			3,905			1,729
Professional fees		39,753			38,316			38,082
Registration fees		92,605			71,639			80,138
Shareholder report expenses		50,138			43,201			35,312
Trustees’ fees and expenses		21,396			20,370			20,927
Other fees and expenses		21,196			12,980			13,014
Total expenses		951,441			298,146			239,098
Less: Fee waivers and/or expense reimbursements
Fund-level		(414,053	)		(218,303	)		(204,363	)
Class A		(7,365	)		(1,365	)		(48	)
Class C		0			N/A			0
Class R4		(5,347	)		(2,348	)		(887	)
Class R6		(30,141	)		(6,134	)		(4,226	)
Administrator Class		(11,574	)		(331	)		(1,034	)
Net expenses		482,961			69,665			28,540
Net investment income		4,729,460			815,393			446,705
Realized and unrealized gains (losses) on investments
Net realized gains on securities transactions allocated from affiliated Master Portfolios		8,522,429			764,463			420,384
Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios		(8,234,532	)		(573,421	)		(603,197	)
Net realized and unrealized gains (losses) on investments		287,897			191,042			(182,813	)
Net increase in net assets resulting from operations	$	5,017,357		$	1,006,435		$	263,892
*  Net of foreign dividend withholding taxes allocated from affiliated Master Portfolios in the amount of		$379,589			$64,675			$35,132

The accompanying notes are an integral part of these financial statements.

68  |  Target Date Retirement Funds

Statements of changes in net assets

	Target Today Fund
	Year ended February 29, 2020						Year ended February 28, 2019
Operations
Net investment income				$	1,575,244					$	2,429,304
Net realized gains on investments					1,296,199						620,996
Net change in unrealized gains (losses) on investments					2,338,654						(581,592	)
Net increase in net assets resulting from operations					5,210,097						2,468,708
Distributions to shareholders from net investment income and net realized gains
Class A					(1,169,652	)					(2,517,852	)
Class C					(14,676	)					(93,263	)
Class R					(830	)					(1,841	)
Class R4					(87,043	)					(432,768	)
Class R6					(609,311	)					(1,980,408	)
Administrator Class					(276,829	)					(799,525	)
Total distributions to shareholders					(2,158,341	)					(5,825,657	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		149,359			1,345,551			206,784			1,804,359
Class C		2,571			24,041			7,343			65,185
Class R		200			1,806			224			1,991
Class R4		40,010			368,117			325,203			2,970,200
Class R6		399,954			3,688,490			1,452,538			12,845,113
Administrator Class		209,192			1,938,421			273,358			2,477,519
					7,366,426						20,164,367
Reinvestment of distributions
Class A		129,020			1,161,402			292,451			2,499,654
Class C		1,560			14,465			10,639			92,963
Class R		21			191			53			450
Class R4		9,416			87,032			48,915			432,768
Class R6		66,048			609,311			224,739			1,978,037
Administrator Class		29,930			276,829			90,290			799,264
					2,149,230						5,803,136
Payment for shares redeemed
Class A		(571,838	)		(5,149,559	)		(1,367,602	)		(12,067,104	)
Class C		(51,100	)		(475,980	)		(159,312	)		(1,428,671	)
Class R		(32	)		(291	)		(265	)		(2,218	)
Class R4		(104,841	)		(966,970	)		(1,453,840	)		(13,174,601	)
Class R6		(521,023	)		(4,824,708	)		(4,168,399	)		(37,155,432	)
Administrator Class		(561,652	)		(5,233,763	)		(1,930,361	)		(17,559,794	)
					(16,651,271	)					(81,387,820	)
Net decrease in net assets resulting from capital share transactions					(7,135,615	)					(55,420,317	)
Total decrease in net assets					(4,083,859	)					(58,777,266	)
Net assets
Beginning of period					68,250,572						127,027,838
End of period				$	64,166,713					$	68,250,572

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  69

Statements of changes in net assets

	Target 2010 Fund
	Year ended February 29, 2020						Year ended February 28, 2019
Operations
Net investment income				$	1,455,582					$	2,476,072
Net realized gains on investments					1,269,677						869,510
Net change in unrealized gains (losses) on investments					2,145,231						(1,027,544	)
Net increase in net assets resulting from operations					4,870,490						2,318,038
Distributions to shareholders from net investment income and net realized gains
Class A					(1,123,354	)					(3,011,177	)
Class C					(14,364	)					(77,674	)
Class R					(679	)					(1,897	)
Class R4					(49,133	)					(506,744	)
Class R6					(566,122	)					(1,963,261	)
Administrator Class					(336,532	)					(1,356,706	)
Total distributions to shareholders					(2,090,184	)					(6,917,459	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		119,861			1,269,307			181,308			1,846,882
Class C		1,188			12,639			257			2,723
Class R4		32,005			346,187			143,760			1,546,412
Class R6		342,017			3,639,221			814,993			8,655,220
Administrator Class		161,826			1,741,823			167,432			1,795,350
					7,009,177						13,846,587
Reinvestment of distributions
Class A		106,000			1,116,451			297,632			2,981,123
Class C		1,345			14,364			7,707			77,674
Class R4		4,613			49,133			49,077			506,744
Class R6		53,171			565,811			191,587			1,960,435
Administrator Class		31,544			336,532			131,892			1,356,706
					2,082,291						6,882,682
Payment for shares redeemed
Class A		(581,970	)		(6,128,210	)		(1,768,153	)		(18,765,615	)
Class C		(20,313	)		(213,841	)		(58,488	)		(611,087	)
Class R4		(106,342	)		(1,137,025	)		(1,600,821	)		(17,053,647	)
Class R6		(710,084	)		(7,580,672	)		(3,088,623	)		(32,928,845	)
Administrator Class		(620,178	)		(6,621,402	)		(2,098,785	)		(22,448,123	)
					(21,681,150	)					(91,807,317	)
Net decrease in net assets resulting from capital share transactions					(12,589,682	)					(71,078,048	)
Total decrease in net assets					(9,809,376	)					(75,677,469	)
Net assets
Beginning of period					67,529,173						143,206,642
End of period				$	57,719,797					$	67,529,173

The accompanying notes are an integral part of these financial statements.

70  |  Target Date Retirement Funds

Statements of changes in net assets

	Target 2015 Fund
	Year ended February 29, 2020						Year ended February 28, 2019
Operations
Net investment income				$	1,720,520					$	3,124,396
Net realized gains on investments					2,051,769						3,264,482
Net change in unrealized gains (losses) on investments					1,756,842						(2,732,451	)
Net increase in net assets resulting from operations					5,529,131						3,656,427
Distributions to shareholders from net investment income and net realized gains
Class A					(1,744,646	)					(5,010,100	)
Class R					(947	)					(2,803	)
Class R4					(361,340	)					(2,377,135	)
Class R6					(1,303,361	)					(5,562,746	)
Administrator Class					(301,496	)					(1,088,842	)
Total distributions to shareholders					(3,711,790	)					(14,041,626	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		147,058			1,081,348			131,682			1,017,030
Class R4		72,085			529,173			710,739			5,613,679
Class R6		629,700			4,615,080			1,023,599			8,000,244
Administrator Class		59,225			443,896			84,246			671,519
					6,669,497						15,302,472
Reinvestment of distributions
Class A		239,738			1,740,335			720,306			5,000,087
Class R4		49,330			361,340			335,009			2,377,135
Class R6		178,070			1,303,361			786,251			5,543,091
Administrator Class		40,369			301,484			151,014			1,086,815
					3,706,520						14,007,128
Payment for shares redeemed
Class A		(979,311	)		(7,123,522	)		(1,103,238	)		(8,484,983	)
Class R4		(347,613	)		(2,542,630	)		(5,467,351	)		(42,554,274	)
Class R6		(2,609,415	)		(19,141,227	)		(5,135,152	)		(39,351,197	)
Administrator Class		(317,780	)		(2,395,510	)		(1,261,057	)		(9,993,094	)
					(31,202,889	)					(100,383,548	)
Net decrease in net assets resulting from capital share transactions					(20,826,872	)					(71,073,948	)
Total decrease in net assets					(19,009,531	)					(81,459,147	)
Net assets
Beginning of period					81,601,965						163,061,112
End of period				$	62,592,434					$	81,601,965

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  71

Statements of changes in net assets

	Target 2020 Fund
	Year ended February 29, 2020						Year ended February 28, 2019
Operations
Net investment income				$	9,229,546					$	16,649,802
Net realized gains on investments					9,409,883						11,172,686
Net change in unrealized gains (losses) on investments					8,805,358						(14,923,343	)
Net increase in net assets resulting from operations					27,444,787						12,899,145
Distributions to shareholders from net investment income and net realized gains
Class A					(4,792,200	)					(14,798,931	)
Class C					(80,283	)					(423,325	)
Class R					(3,847	)					(8,143	)
Class R4					(1,208,604	)					(7,102,885	)
Class R6					(5,927,221	)					(28,569,283	)
Administrator Class					(1,999,953	)					(6,837,883	)
Total distributions to shareholders					(14,012,108	)					(57,740,450	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		321,410			3,909,959			726,663			8,665,616
Class C		36,987			437,245			10,238			116,378
Class R		2,393			28,833			1,977			24,240
Class R4		386,925			4,825,572			1,930,520			24,820,810
Class R6		2,376,361			29,697,307			6,313,856			77,738,219
Administrator Class		748,329			9,345,037			1,097,867			13,895,391
					48,243,953						125,260,654
Reinvestment of distributions
Class A		384,564			4,723,271			1,279,396			14,591,417
Class C		6,244			75,187			35,841			400,497
Class R		252			3,058			509			5,753
Class R4		95,454			1,208,604			604,855			7,102,885
Class R6		468,154			5,924,470			2,411,804			28,542,013
Administrator Class		159,038			1,999,004			585,944			6,835,171
					13,933,594						57,477,736
Payment for shares redeemed
Class A		(2,279,102	)		(27,764,232	)		(5,218,829	)		(64,719,624	)
Class C		(102,178	)		(1,214,362	)		(255,519	)		(3,016,804	)
Class R		(71	)		(852	)		(335	)		(4,226	)
Class R4		(1,178,150	)		(14,819,303	)		(9,417,929	)		(117,856,517	)
Class R6		(3,758,077	)		(47,286,332	)		(26,888,456	)		(328,696,013	)
Administrator Class		(1,821,031	)		(22,673,905	)		(5,060,064	)		(64,081,593	)
					(113,758,986	)					(578,374,777	)
Net decrease in net assets resulting from capital share transactions					(51,581,439	)					(395,636,387	)
Total decrease in net assets					(38,148,760	)					(440,477,692	)
Net assets
Beginning of period					406,971,096						847,448,788
End of period				$	368,822,336					$	406,971,096

The accompanying notes are an integral part of these financial statements.

72  |  Target Date Retirement Funds

Statements of changes in net assets

	Target 2025 Fund
	Year ended February 29, 2020						Year ended February 28, 2019
Operations
Net investment income				$	6,534,712					$	9,134,567
Net realized gains on investments					9,543,081						18,776,534
Net change in unrealized gains (losses) on investments					2,021,557						(18,226,292	)
Net increase in net assets resulting from operations					18,099,350						9,684,809
Distributions to shareholders from net investment income and net realized gains
Class A					(5,548,280	)					(16,634,094	)
Class R					(2,895	)					(6,636	)
Class R4					(2,288,579	)					(10,413,427	)
Class R6					(7,333,390	)					(23,953,308	)
Administrator Class					(717,546	)					(2,458,518	)
Total distributions to shareholders					(15,890,690	)					(53,465,983	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		1,087,121			6,287,403			1,662,800			10,444,038
Class R		2,498			14,335			2,734			17,059
Class R4		989,423			5,756,100			3,487,417			22,273,083
Class R6		4,761,176			27,698,312			6,519,281			41,133,598
Administrator Class		217,491			1,275,211			720,680			4,555,243
					41,031,361						78,423,021
Reinvestment of distributions
Class A		950,220			5,515,105			3,038,024			16,527,940
Class R		349			2,001			724			3,889
Class R4		390,756			2,288,579			1,895,969			10,413,427
Class R6		1,255,125			7,330,906			4,355,013			23,899,900
Administrator Class		121,550			717,546			445,228			2,458,518
					15,854,137						53,303,674
Payment for shares redeemed
Class A		(4,190,988	)		(24,369,316	)		(3,912,642	)		(24,272,954	)
Class R		(526	)		(3,085	)		(44	)		(281	)
Class R4		(2,457,717	)		(14,208,062	)		(11,477,637	)		(69,488,672	)
Class R6		(10,404,250	)		(60,864,548	)		(18,795,141	)		(116,041,739	)
Administrator Class		(1,173,695	)		(6,909,384	)		(5,176,297	)		(33,280,447	)
					(106,354,395	)					(243,084,093	)
Net decrease in net assets resulting from capital share transactions					(49,468,897	)					(111,357,398	)
Total decrease in net assets					(47,260,237	)					(155,138,572	)
Net assets
Beginning of period					295,250,491						450,389,063
End of period				$	247,990,254					$	295,250,491

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  73

Statements of changes in net assets

	Target 2030 Fund
	Year ended February 29, 2020						Year ended February 28, 2019
Operations
Net investment income				$	12,576,081					$	17,929,294
Net realized gains on investments					15,982,387						21,369,543
Net change in unrealized gains (losses) on investments					397,507						(21,586,663	)
Net increase in net assets resulting from operations					28,955,975						17,712,174
Distributions to shareholders from net investment income and net realized gains
Class A					(6,430,044	)					(23,857,770	)
Class C					(67,659	)					(517,667	)
Class R					(1,549	)					(5,296	)
Class R4					(2,104,186	)					(12,770,471	)
Class R6					(10,088,137	)					(36,810,881	)
Administrator Class					(3,230,154	)					(12,493,202	)
Total distributions to shareholders					(21,921,729	)					(86,455,287	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		486,798			6,107,933			1,235,784			15,641,688
Class C		18,025			217,663			29,267			359,851
Class R		487			6,135			612			8,209
Class R4		677,292			8,716,604			2,359,710			32,163,857
Class R6		4,054,583			51,911,578			8,160,569			105,824,109
Administrator Class		1,226,067			15,794,715			1,824,427			24,481,447
					82,754,628						178,479,161
Reinvestment of distributions
Class A		494,750			6,317,784			2,007,781			23,475,108
Class C		5,313			64,760			45,371			506,109
Class R		56			715			177			2,070
Class R4		160,801			2,104,186			1,066,085			12,770,471
Class R6		771,741			10,079,787			3,073,794			36,782,051
Administrator Class		246,692			3,228,681			1,043,459			12,488,536
					21,795,913						86,024,345
Payment for shares redeemed
Class A		(2,256,546	)		(28,367,579	)		(5,339,051	)		(69,930,807	)
Class C		(93,773	)		(1,117,920	)		(191,660	)		(2,297,899	)
Class R		(238	)		(2,947	)		(6	)		(78	)
Class R4		(1,349,153	)		(17,323,715	)		(14,686,400	)		(196,256,211	)
Class R6		(4,960,799	)		(64,120,631	)		(18,119,135	)		(238,042,805	)
Administrator Class		(2,306,946	)		(29,822,957	)		(7,351,969	)		(99,462,934	)
					(140,755,749	)					(605,990,734	)
Net decrease in net assets resulting from capital share transactions					(36,205,208	)					(341,487,228	)
Total decrease in net assets					(29,170,962	)					(410,230,341	)
Net assets
Beginning of period					557,840,238						968,070,579
End of period				$	528,669,276					$	557,840,238

The accompanying notes are an integral part of these financial statements.

74  |  Target Date Retirement Funds

Statements of changes in net assets

	Target 2035 Fund
	Year ended February 29, 2020						Year ended February 28, 2019
Operations
Net investment income				$	5,447,000					$	8,021,063
Net realized gains on investments					7,459,035						10,893,935
Net change in unrealized gains (losses) on investments					(1,227,747	)					(12,779,105	)
Net increase in net assets resulting from operations					11,678,288						6,135,893
Distributions to shareholders from net investment income and net realized gains
Class A					(3,717,098	)					(14,755,385	)
Class R					(10,348	)					(30,775	)
Class R4					(1,141,365	)					(7,980,148	)
Class R6					(4,226,161	)					(19,477,075	)
Administrator Class					(329,081	)					(1,369,169	)
Total distributions to shareholders					(9,424,053	)					(43,612,552	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		1,003,096			7,678,231			1,578,518			12,844,648
Class R		8,162			63,766			6,995			56,742
Class R4		733,952			5,655,205			2,451,098			20,206,867
Class R6		2,932,915			22,487,188			5,344,920			44,142,406
Administrator Class		218,809			1,711,018			497,674			4,150,302
					37,595,408						81,400,965
Reinvestment of distributions
Class A		471,566			3,705,773			2,057,285			14,678,376
Class R		1,209			9,577			3,846			27,658
Class R4		144,784			1,141,365			1,114,355			7,980,148
Class R6		536,623			4,226,161			2,720,348			19,464,137
Administrator Class		41,355			329,081			189,877			1,369,169
					9,411,957						43,519,488
Payment for shares redeemed
Class A		(3,249,331	)		(25,183,350	)		(3,073,219	)		(24,856,182	)
Class R		(124	)		(966	)		(110	)		(797	)
Class R4		(1,910,906	)		(14,506,476	)		(8,784,984	)		(69,688,097	)
Class R6		(6,568,616	)		(51,007,636	)		(15,125,719	)		(120,242,533	)
Administrator Class		(624,558	)		(4,872,916	)		(3,641,319	)		(30,376,662	)
					(95,571,344	)					(245,164,271	)
Net decrease in net assets resulting from capital share transactions					(48,563,979	)					(120,243,818	)
Total decrease in net assets					(46,309,744	)					(157,720,477	)
Net assets
Beginning of period					264,656,144						422,376,621
End of period				$	218,346,400					$	264,656,144

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  75

Statements of changes in net assets

	Target 2040 Fund
	Year ended February 29, 2020						Year ended February 28, 2019
Operations
Net investment income				$	10,388,342					$	14,790,993
Net realized gains on investments					14,719,390						18,164,625
Net change in unrealized gains (losses) on investments					(9,362,255	)					(19,275,537	)
Net increase in net assets resulting from operations					15,745,477						13,680,081
Distributions to shareholders from net investment income and net realized gains
Class A					(5,969,824	)					(26,387,910	)
Class C					(54,085	)					(566,862	)
Class R					(2,012	)					(8,566	)
Class R4					(1,494,907	)					(11,144,854	)
Class R6					(6,885,470	)					(30,251,781	)
Administrator Class					(2,236,336	)					(10,424,413	)
Total distributions to shareholders					(16,642,634	)					(78,784,386	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		435,086			6,386,306			975,217			14,543,125
Class C		5,156			66,943			14,600			185,493
Class R		361			5,289			546			8,708
Class R4		539,927			8,201,151			1,612,529			26,355,724
Class R6		2,897,179			43,953,952			6,170,841			96,045,196
Administrator Class		801,012			12,206,638			1,225,528			19,649,251
					70,820,279						156,787,497
Reinvestment of distributions
Class A		392,281			5,915,396			1,920,022			26,095,251
Class C		3,965			53,572			46,258			564,325
Class R		84			1,267			365			4,951
Class R4		95,568			1,494,907			791,271			11,144,854
Class R6		438,966			6,859,433			2,148,298			30,244,963
Administrator Class		143,305			2,236,336			742,370			10,421,862
					16,560,911						78,476,206
Payment for shares redeemed
Class A		(1,759,927	)		(25,918,147	)		(3,380,962	)		(52,026,465	)
Class C		(74,926	)		(968,759	)		(205,482	)		(2,752,752	)
Class R		(146	)		(2,122	)		(4	)		(53	)
Class R4		(851,440	)		(12,910,537	)		(10,810,527	)		(171,991,630	)
Class R6		(3,239,228	)		(49,632,121	)		(12,842,572	)		(202,067,993	)
Administrator Class		(1,488,491	)		(22,741,073	)		(5,102,104	)		(82,271,545	)
					(112,172,759	)					(511,110,438	)
Net decrease in net assets resulting from capital share transactions					(24,791,569	)					(275,846,735	)
Total decrease in net assets					(25,688,726	)					(340,951,040	)
Net assets
Beginning of period					493,989,071						834,940,111
End of period				$	468,300,345					$	493,989,071

The accompanying notes are an integral part of these financial statements.

76  |  Target Date Retirement Funds

Statements of changes in net assets

	Target 2045 Fund
	Year ended February 29, 2020						Year ended February 28, 2019
Operations
Net investment income				$	2,913,035					$	4,977,067
Net realized gains on investments					3,980,983						5,191,613
Net change in unrealized gains (losses) on investments					(1,715,162	)					(8,363,923	)
Net increase in net assets resulting from operations					5,178,856						1,804,757
Distributions to shareholders from net investment income and net realized gains
Class A					(1,321,523	)					(7,665,404	)
Class R					(1,378	)					(4,825	)
Class R4					(576,633	)					(5,266,755	)
Class R6					(1,865,727	)					(13,021,360	)
Administrator Class					(168,990	)					(951,220	)
Total distributions to shareholders					(3,934,251	)					(26,909,564	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		789,569			6,621,798			1,268,596			11,274,214
Class R		1,634			14,129			332			3,049
Class R4		473,522			4,020,747			1,528,232			13,873,019
Class R6		1,565,972			13,262,234			3,469,897			31,474,217
Administrator Class		149,633			1,286,485			410,954			3,787,158
					25,205,393						60,411,657
Reinvestment of distributions
Class A		151,196			1,320,351			977,784			7,647,168
Class R		81			724			205			1,629
Class R4		65,625			576,633			668,576			5,266,755
Class R6		213,282			1,865,727			1,658,603			13,021,360
Administrator Class		19,022			168,990			119,796			951,220
					3,932,425						26,888,132
Payment for shares redeemed
Class A		(2,587,303	)		(22,123,618	)		(2,042,382	)		(17,742,050	)
Class R		(151	)		(1,260	)		(3	)		(28	)
Class R4		(1,333,356	)		(11,263,976	)		(4,568,498	)		(38,963,130	)
Class R6		(4,403,251	)		(37,539,591	)		(11,113,510	)		(95,882,723	)
Administrator Class		(487,259	)		(4,188,921	)		(2,913,889	)		(26,895,091	)
					(75,117,366	)					(179,483,022	)
Net decrease in net assets resulting from capital share transactions					(45,979,548	)					(92,183,233	)
Total decrease in net assets					(44,734,943	)					(117,288,040	)
Net assets
Beginning of period					155,252,077						272,540,117
End of period				$	110,517,134					$	155,252,077

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  77

Statements of changes in net assets

	Target 2050 Fund
	Year ended February 29, 2020						Year ended February 28, 2019
Operations
Net investment income				$	4,729,460					$	7,675,206
Net realized gains on investments					8,522,429						14,913,484
Net change in unrealized gains (losses) on investments					(8,234,532	)					(16,129,644	)
Net increase in net assets resulting from operations					5,017,357						6,459,046
Distributions to shareholders from net investments income and realized gains
Class A					(2,142,046	)					(9,998,721	)
Class C					(22,272	)					(229,385	)
Class R					(1,574	)					(6,315	)
Class R4					(891,969	)					(7,268,509	)
Class R6					(5,471,850	)					(25,908,320	)
Administrator Class					(1,843,022	)					(8,372,773	)
Total distributions to shareholders					(10,372,733	)					(51,784,023	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		777,411			5,706,122			1,473,336			11,485,855
Class C		5,495			40,328			18,446			154,231
Class R		832			6,201			966			8,274
Class R4		674,678			5,020,086			2,154,392			18,358,680
Class R6		4,116,817			30,609,669			7,548,457			60,871,822
Administrator Class		1,300,441			9,682,291			2,112,559			17,602,897
					51,064,697						108,481,759
Reinvestment of distributions
Class A		282,055			2,134,628			1,445,068			9,953,000
Class C		2,734			20,489			32,594			222,303
Class R		88			665			258			1,780
Class R4		116,874			891,969			1,046,261			7,268,509
Class R6		717,883			5,470,712			3,728,317			25,889,708
Administrator Class		242,411			1,843,022			1,210,420			8,372,773
					10,361,485						51,708,073
Payment for shares redeemed
Class A		(1,721,275	)		(12,792,520	)		(3,308,100	)		(26,774,618	)
Class C		(76,091	)		(558,912	)		(68,750	)		(505,169	)
Class R		(26	)		(191	)		(8	)		(67	)
Class R4		(942,718	)		(7,031,823	)		(14,586,164	)		(121,468,189	)
Class R6		(4,423,086	)		(33,198,589	)		(17,066,989	)		(137,002,569	)
Administrator Class		(1,498,842	)		(11,155,991	)		(7,277,621	)		(60,967,722	)
					(64,738,026	)					(346,718,334	)
Net decrease in net assets resulting from capital share transactions					(3,311,844	)					(186,528,502	)
Total decrease in net assets					(8,667,220	)					(231,853,479	)
Net assets
Beginning of period					221,638,384						453,491,863
End of period				$	212,971,164					$	221,638,384

The accompanying notes are an integral part of these financial statements.

78  |  Target Date Retirement Funds

Statements of changes in net assets

	Target 2055 Fund
	Year ended February 29, 2020						Year ended February 28, 2019
Operations
Net investment income				$	815,393					$	1,593,380
Net realized gains on investments					764,463						388,557
Net change in unrealized gains (losses) on investments					(573,421	)					(2,137,811	)
Net increase (decrease) in net assets resulting from operations					1,006,435						(155,874	)
Distributions to shareholders from net investment income and net realized gains
Class A					(142,934	)					(1,154,610	)
Class R					(779	)					(4,713	)
Class R4					(177,218	)					(1,589,454	)
Class R6					(505,416	)					(3,851,682	)
Administrator Class					(12,907	)					(132,101	)
Total distributions to shareholders					(839,254	)					(6,732,560	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		249,844			2,989,458			271,189			3,342,526
Class R		498			5,843			673			8,354
Class R4		329,687			3,988,255			562,108			7,049,850
Class R6		638,993			7,729,212			1,422,335			17,984,319
Administrator Class		29,947			360,117			104,231			1,320,409
					15,072,885						29,705,458
Reinvestment of distributions
Class A		11,368			142,357			103,856			1,150,306
Class R		20			245			136			1,486
Class R4		14,106			177,218			142,902			1,589,454
Class R6		40,325			505,416			346,774			3,849,401
Administrator Class		1,023			12,907			11,912			132,101
					838,143						6,722,748
Payment for shares redeemed
Class A		(537,744	)		(6,501,930	)		(272,876	)		(3,315,786	)
Class R		(657	)		(7,725	)		(419	)		(5,283	)
Class R4		(372,361	)		(4,499,286	)		(1,286,858	)		(15,246,998	)
Class R6		(603,431	)		(7,381,450	)		(4,613,789	)		(55,622,123	)
Administrator Class		(68,444	)		(823,710	)		(458,190	)		(5,851,842	)
					(19,214,101	)					(80,042,032	)
Net decrease in net assets resulting from capital share transactions					(3,303,073	)					(43,613,826	)
Total decrease in net assets					(3,135,892	)					(50,502,260	)
Net assets
Beginning of period					37,881,762						88,384,022
End of period				$	34,745,870					$	37,881,762

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  79

Statements of changes in net assets

	Target 2060 Fund
	Year ended February 29, 2020						Year ended February 28, 2019
Operations
Net investment income				$	446,705					$	490,747
Net realized gains (losses) on investments					420,384						(316,135	)
Net change in unrealized gains (losses) on investments					(603,197	)					310,679
Net increase in net assets resulting from operations					263,892						485,291
Distributions to shareholders from net investment income and net realized gain
Class A					(15,694	)					(24,635	)
Class C					(1,689	)					(10,144	)
Class R					(1,057	)					(2,753	)
Class R4					(53,088	)					(123,761	)
Class R6					(310,399	)					(688,736	)
Administrator Class					(63,995	)					(189,691	)
Total distributions to shareholders					(445,922	)					(1,039,720	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		59,651			719,273			76,768			896,544
Class C		1,122			13,049			1,954			22,381
Class R		1,141			13,327			789			9,061
Class R4		108,478			1,308,060			201,859			2,403,910
Class R6		748,398			9,084,784			923,279			10,972,269
Administrator Class		141,839			1,711,085			285,112			3,375,609
					12,849,578						17,679,774
Reinvestment of distributions
Class A		1,250			15,523			2,229			24,138
Class C		118			1,471			831			8,994
Class R		55			674			139			1,480
Class R4		4,178			52,899			11,186			123,228
Class R6		24,598			310,197			62,764			688,177
Administrator Class		5,118			63,822			17,416			189,167
					444,586						1,035,184
Payment for shares redeemed
Class A		(33,471	)		(403,008	)		(97,949	)		(1,159,367	)
Class C		(8,193	)		(99,186	)		0			0
Class R		(27	)		(314	)		(436	)		(5,264	)
Class R4		(90,634	)		(1,118,012	)		(462,721	)		(5,517,303	)
Class R6		(339,934	)		(4,197,518	)		(1,089,048	)		(12,971,855	)
Administrator Class		(98,703	)		(1,189,286	)		(394,173	)		(4,623,482	)
					(7,007,324	)					(24,277,271	)
Net increase (decrease) in net assets resulting from capital share transactions					6,286,840						(5,562,313	)
Total increase (decrease) in net assets					6,104,810						(6,116,742	)
Net assets
Beginning of period					16,537,899						22,654,641
End of period				$	22,642,709					$	16,537,899

The accompanying notes are an integral part of these financial statements.

80  |  Target Date Retirement Funds

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Financial highlights

	Beginning net asset value per share		Net investment income			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Target Today Fund
Class A
Year ended February 29, 2020	$	8.66		0.19			0.47			(0.20	)		(0.08	)	$	9.04
Year ended February 28, 2019	$	8.97		0.19			0.07			(0.21	)		(0.36	)	$	8.66
Year ended February 28, 2018	$	10.56		0.17			0.13			(0.08	)		(1.81	)	$	8.97
Year ended February 28, 2017	$	10.41		0.12			0.23			(0.11	)		(0.09	)	$	10.56
Year ended February 29, 2016	$	10.81		0.10	4		(0.29	)		(0.03	)		(0.18	)	$	10.41
Class C
Year ended February 29, 2020	$	8.89		0.14	4		0.47			(0.12	)		(0.08	)	$	9.30
Year ended February 28, 2019	$	9.18		0.14	4		0.06			(0.13	)		(0.36	)	$	8.89
Year ended February 28, 2018	$	10.77		0.10			0.13			(0.01	)		(1.81	)	$	9.18
Year ended February 28, 2017	$	10.63		0.03			0.24			(0.04	)		(0.09	)	$	10.77
Year ended February 29, 2016	$	11.08		0.02	4		(0.29	)		0.00			(0.18	)	$	10.63
Class R
Year ended February 29, 2020	$	8.62		0.17			0.46			(0.17	)		(0.08	)	$	9.00
Year ended February 28, 2019	$	8.94		0.17			0.06			(0.19	)		(0.36	)	$	8.62
Year ended February 28, 2018	$	10.53		0.14			0.14			(0.06	)		(1.81	)	$	8.94
Year ended February 28, 2017	$	10.39		0.09			0.23			(0.09	)		(0.09	)	$	10.53
Year ended February 29, 2016	$	10.80		0.07			(0.29	)		(0.01	)		(0.18	)	$	10.39
Class R4
Year ended February 29, 2020	$	8.89		0.23	4		0.48			(0.23	)		(0.08	)	$	9.29
Year ended February 28, 2019	$	9.20		0.24	4		0.05			(0.24	)		(0.36	)	$	8.89
Year ended February 28, 2018	$	10.81		0.17	4		0.13			(0.10	)		(1.81	)	$	9.20
Year ended February 28, 2017	$	10.65		0.14			0.25			(0.14	)		(0.09	)	$	10.81
Year ended February 29, 2016	$	11.06		0.14			(0.30	)		(0.07	)		(0.18	)	$	10.65
Class R6
Year ended February 29, 2020	$	8.88		0.24	4		0.48			(0.24	)		(0.08	)	$	9.28
Year ended February 28, 2019	$	9.19		0.25	4		0.06			(0.26	)		(0.36	)	$	8.88
Year ended February 28, 2018	$	10.78		0.21	4		0.15			(0.14	)		(1.81	)	$	9.19
Year ended February 28, 2017	$	10.64		0.17	4		0.23			(0.17	)		(0.09	)	$	10.78
Year ended February 29, 2016	$	11.05		0.15			(0.29	)		(0.09	)		(0.18	)	$	10.64
Administrator Class
Year ended February 29, 2020	$	8.90		0.21	4		0.48			(0.21	)		(0.08	)	$	9.30
Year ended February 28, 2019	$	9.21		0.22	4		0.05			(0.22	)		(0.36	)	$	8.90
Year ended February 28, 2018	$	10.78		0.18			0.15			(0.09	)		(1.81	)	$	9.21
Year ended February 28, 2017	$	10.63		0.13	4		0.23			(0.12	)		(0.09	)	$	10.78
Year ended February 29, 2016	$	11.03		0.12	4		(0.29	)		(0.05	)		(0.18	)	$	10.63

¹  Ratios include net expenses allocated from the affiliated Master Portfolios which were as follows:

	Year ended February 29, 2020			Year ended February 28									Year ended February 29, 2016
				2019			2018			2017
Class A		0.12	%		0.13	%		0.15	%		0.15	%		0.15	%
Class C		0.12			0.13			0.15			0.15			0.15
Class R		0.17			0.11			0.16			0.16			0.14
Class R4		0.12			0.13			0.16			0.15			0.15
Class R6		0.12			0.13			0.15			0.15			0.15
Administrator Class		0.12			0.13			0.15			0.15			0.15

²  Total return calculations do not include any sales charges.

³  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in each respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales.

⁴  Calculated based upon average shares outstanding

The accompanying notes are an integral part of these financial statements.

82  |  Target Date Retirement Funds

Financial highlights

Ratio to average net assets (annualized)									Total return2			Portfolio turnover rate3			Net assets at end of period (000s omitted)
Net investment income1			Gross expenses1			Net expenses1
	2.16	%		0.98	%		0.63	%		7.64	%		37	%	$	36,878
	2.21	%		0.93	%		0.65	%		3.09	%		45	%	$	37,865
	1.59	%		0.87	%		0.69	%		2.54	%		80	%	$	47,030
	1.06	%		0.85	%		0.76	%		3.39	%		41	%	$	55,965
	0.98	%		0.86	%		0.77	%		(1.74	)%		36	%	$	66,656
	1.46	%		1.73	%		1.39	%		6.80	%		37	%	$	529
	1.50	%		1.68	%		1.40	%		2.31	%		45	%	$	923
	0.83	%		1.62	%		1.44	%		1.76	%		80	%	$	2,250
	0.31	%		1.61	%		1.51	%		2.57	%		41	%	$	2,822
	0.19	%		1.63	%		1.53	%		(2.44	)%		36	%	$	2,763
	1.88	%		1.23	%		0.90	%		7.35	%		37	%	$	31
	1.96	%		1.16	%		0.89	%		2.72	%		45	%	$	28
	1.36	%		1.13	%		0.94	%		2.31	%		80	%	$	29
	0.79	%		1.12	%		1.01	%		3.13	%		41	%	$	32
	0.69	%		1.12	%		1.02	%		(2.00	)%		36	%	$	29
	2.46	%		0.70	%		0.34	%		7.98	%		37	%	$	2,437
	2.62	%		0.67	%		0.34	%		3.35	%		45	%	$	2,825
	1.54	%		0.60	%		0.44	%		2.46	%		80	%	$	12,858
	1.37	%		0.58	%		0.45	%		3.71	%		41	%	$	248,734
	1.27	%		0.59	%		0.45	%		(1.40	)%		36	%	$	271,674
	2.60	%		0.55	%		0.19	%		8.16	%		37	%	$	17,264
	2.72	%		0.51	%		0.19	%		3.52	%		45	%	$	17,013
	1.99	%		0.44	%		0.24	%		2.99	%		80	%	$	40,511
	1.53	%		0.42	%		0.30	%		3.81	%		41	%	$	72,643
	1.42	%		0.43	%		0.30	%		(1.25	)%		36	%	$	243,820
	2.29	%		0.90	%		0.53	%		7.76	%		37	%	$	7,029
	2.38	%		0.86	%		0.54	%		3.11	%		45	%	$	9,597
	1.66	%		0.79	%		0.59	%		2.77	%		80	%	$	24,351
	1.17	%		0.77	%		0.65	%		3.41	%		41	%	$	39,234
	1.07	%		0.78	%		0.65	%		(1.56	)%		36	%	$	61,887

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  83

Financial highlights

	Beginning net asset value per share		Net investment income			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Target 2010 Fund
Class A
Year ended February 29, 2020	$	10.13		0.23	4		0.53			(0.23	)		(0.11	)	$	10.55
Year ended February 28, 2019	$	10.72		0.23	4		0.07			(0.27	)		(0.62	)	$	10.13
Year ended February 28, 2018	$	12.41		0.19			0.22			(0.04	)		(2.06	)	$	10.72
Year ended February 28, 2017	$	12.26		0.15			0.30			(0.09	)		(0.21	)	$	12.41
Year ended February 29, 2016	$	13.16		0.14	4		(0.40	)		(0.06	)		(0.58	)	$	12.26
Class C
Year ended February 29, 2020	$	10.24		0.15	4		0.54			(0.15	)		(0.11	)	$	10.67
Year ended February 28, 2019	$	10.82		0.16	4		0.06			(0.18	)		(0.62	)	$	10.24
Year ended February 28, 2018	$	12.56		0.13			0.19			0.00			(2.06	)	$	10.82
Year ended February 28, 2017	$	12.42		0.07			0.30			(0.02	)		(0.21	)	$	12.56
Year ended February 29, 2016	$	13.36		0.04	4		(0.40	)		0.00			(0.58	)	$	12.42
Class R
Year ended February 29, 2020	$	10.04		0.20			0.53			(0.20	)		(0.11	)	$	10.46
Year ended February 28, 2019	$	10.63		0.20			0.07			(0.24	)		(0.62	)	$	10.04
Year ended February 28, 2018	$	12.33		0.16			0.22			(0.02	)		(2.06	)	$	10.63
Year ended February 28, 2017	$	12.19		0.11			0.31			(0.07	)		(0.21	)	$	12.33
Year ended February 29, 2016	$	13.11		0.11	4		(0.41	)		(0.04	)		(0.58	)	$	12.19
Class R4
Year ended February 29, 2020	$	10.27		0.27	4		0.54			(0.27	)		(0.11	)	$	10.70
Year ended February 28, 2019	$	10.86		0.29	4		0.04			(0.30	)		(0.62	)	$	10.27
Year ended February 28, 2018	$	12.55		0.23	4		0.22			(0.08	)		(2.06	)	$	10.86
Year ended February 28, 2017	$	12.38		0.19	4		0.32			(0.13	)		(0.21	)	$	12.55
Year ended February 29, 2016	$	13.30		0.18	4		(0.41	)		(0.11	)		(0.58	)	$	12.38
Class R6
Year ended February 29, 2020	$	10.25		0.28	4		0.54			(0.28	)		(0.11	)	$	10.68
Year ended February 28, 2019	$	10.84		0.29	4		0.06			(0.32	)		(0.62	)	$	10.25
Year ended February 28, 2018	$	12.54		0.25	4		0.22			(0.11	)		(2.06	)	$	10.84
Year ended February 28, 2017	$	12.37		0.21	4		0.32			(0.15	)		(0.21	)	$	12.54
Year ended February 29, 2016	$	13.29		0.19			(0.40	)		(0.13	)		(0.58	)	$	12.37
Administrator Class
Year ended February 29, 2020	$	10.27		0.24	4		0.55			(0.24	)		(0.11	)	$	10.71
Year ended February 28, 2019	$	10.86		0.26	4		0.05			(0.28	)		(0.62	)	$	10.27
Year ended February 28, 2018	$	12.55		0.21	4		0.21			(0.05	)		(2.06	)	$	10.86
Year ended February 28, 2017	$	12.39		0.16			0.31			(0.10	)		(0.21	)	$	12.55
Year ended February 29, 2016	$	13.29		0.16	4		(0.41	)		(0.07	)		(0.58	)	$	12.39

¹  Ratios include net expenses allocated from the affiliated Master Portfolios which were as follows:

	Year ended February 29, 2020			Year ended February 28									Year ended February 29, 2016
				2019			2018			2017
Class A		0.12	%		0.13	%		0.15	%		0.16	%		0.15	%
Class C		0.12			0.13			0.15			0.16			0.15
Class R		0.20			0.13			0.16			0.16			0.15
Class R4		0.12			0.13			0.15			0.16			0.15
Class R6		0.12			0.13			0.15			0.16			0.15
Administrator Class		0.12			0.13			0.15			0.16			0.15

²  Total return calculations do not include any sales charges.

³  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in each respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales.

⁴  Calculated based upon average shares outstanding

The accompanying notes are an integral part of these financial statements.

84  |  Target Date Retirement Funds

Financial highlights

Ratio to average net assets (annualized)									Total return2			Portfolio turnover rate3			Net assets at end of period (000s omitted)
Net investment income1			Gross expenses1			Net expenses1
	2.15	%		1.00	%		0.63	%		7.57	%		37	%	$	33,505
	2.20	%		0.91	%		0.65	%		3.03	%		45	%	$	35,777
	1.58	%		0.87	%		0.70	%		3.04	%		79	%	$	51,677
	1.14	%		0.87	%		0.78	%		3.71	%		41	%	$	60,237
	1.11	%		0.88	%		0.79	%		(1.99	)%		36	%	$	67,826
	1.40	%		1.75	%		1.39	%		6.70	%		37	%	$	576
	1.47	%		1.65	%		1.40	%		2.25	%		45	%	$	735
	0.83	%		1.62	%		1.45	%		2.25	%		79	%	$	1,323
	0.39	%		1.62	%		1.53	%		2.96	%		41	%	$	1,761
	0.34	%		1.65	%		1.55	%		(2.69	)%		36	%	$	1,984
	1.87	%		1.24	%		0.90	%		7.29	%		37	%	$	23
	1.94	%		1.14	%		0.90	%		2.82	%		45	%	$	22
	1.32	%		1.13	%		0.96	%		2.75	%		79	%	$	23
	0.88	%		1.14	%		1.03	%		3.45	%		41	%	$	53
	0.84	%		1.16	%		1.05	%		(2.27	)%		36	%	$	52
	2.50	%		0.72	%		0.34	%		7.90	%		37	%	$	1,155
	2.65	%		0.66	%		0.34	%		3.35	%		45	%	$	1,825
	1.83	%		0.59	%		0.41	%		3.30	%		79	%	$	17,218
	1.45	%		0.59	%		0.47	%		4.11	%		41	%	$	48,885
	1.42	%		0.61	%		0.47	%		(1.73	)%		36	%	$	70,528
	2.61	%		0.57	%		0.19	%		8.07	%		37	%	$	14,128
	2.71	%		0.48	%		0.19	%		3.53	%		45	%	$	16,789
	2.00	%		0.44	%		0.25	%		3.42	%		79	%	$	40,332
	1.61	%		0.44	%		0.32	%		4.27	%		41	%	$	82,474
	1.57	%		0.45	%		0.32	%		(1.59	)%		36	%	$	200,168
	2.29	%		0.92	%		0.54	%		7.77	%		37	%	$	8,332
	2.37	%		0.83	%		0.54	%		3.08	%		45	%	$	12,382
	1.68	%		0.79	%		0.59	%		3.09	%		79	%	$	32,634
	1.26	%		0.79	%		0.67	%		3.84	%		41	%	$	49,565
	1.22	%		0.80	%		0.67	%		(1.83	)%		36	%	$	91,381

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  85

Financial highlights

	Beginning net asset value per share		Net investment income			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Target 2015 Fund
Class A
Year ended February 29, 2020	$	7.04		0.16	4		0.34			(0.16	)		(0.21	)	$	7.17
Year ended February 28, 2019	$	7.88		0.16			0.06			(0.17	)		(0.89	)	$	7.04
Year ended February 28, 2018	$	10.12		0.15			0.27			(0.02	)		(2.64	)	$	7.88
Year ended February 28, 2017	$	9.87		0.15	4		0.37			(0.10	)		(0.17	)	$	10.12
Year ended February 29, 2016	$	10.40		0.15			(0.41	)		(0.09	)		(0.18	)	$	9.87
Class R
Year ended February 29, 2020	$	7.19		0.14			0.35			(0.14	)		(0.21	)	$	7.33
Year ended February 28, 2019	$	8.02		0.15			0.05			(0.14	)		(0.89	)	$	7.19
Year ended February 28, 2018	$	10.26		0.13			0.27			(0.00	)5		(2.64	)	$	8.02
Year ended February 28, 2017	$	10.01		0.13			0.37			(0.08	)		(0.17	)	$	10.26
Year ended February 29, 2016	$	10.55		0.13			(0.42	)		(0.07	)		(0.18	)	$	10.01
Class R4
Year ended February 29, 2020	$	7.10		0.18	4		0.35			(0.18	)		(0.21	)	$	7.24
Year ended February 28, 2019	$	7.94		0.21	4		0.03			(0.19	)		(0.89	)	$	7.10
Year ended February 28, 2018	$	10.16		0.19	4		0.26			(0.03	)		(2.64	)	$	7.94
Year ended February 28, 2017	$	9.91		0.18	4		0.37			(0.13	)		(0.17	)	$	10.16
Year ended February 29, 2016	$	10.43		0.18			(0.41	)		(0.11	)		(0.18	)	$	9.91
Class R6
Year ended February 29, 2020	$	7.10		0.19	4		0.35			(0.19	)		(0.21	)	$	7.24
Year ended February 28, 2019	$	7.94		0.21	4		0.04			(0.20	)		(0.89	)	$	7.10
Year ended February 28, 2018	$	10.15		0.25			0.22			(0.04	)		(2.64	)	$	7.94
Year ended February 28, 2017	$	9.90		0.20	4		0.37			(0.15	)		(0.17	)	$	10.15
Year ended February 29, 2016	$	10.42		0.20			(0.42	)		(0.12	)		(0.18	)	$	9.90
Administrator Class
Year ended February 29, 2020	$	7.24		0.17	4		0.35			(0.17	)		(0.21	)	$	7.38
Year ended February 28, 2019	$	8.07		0.19	4		0.04			(0.17	)		(0.89	)	$	7.24
Year ended February 28, 2018	$	10.29		0.18	4		0.26			(0.02	)		(2.64	)	$	8.07
Year ended February 28, 2017	$	10.02		0.17	4		0.38			(0.11	)		(0.17	)	$	10.29
Year ended February 29, 2016	$	10.55		0.17			(0.43	)		(0.09	)		(0.18	)	$	10.02

¹  Ratios include net expenses allocated from the affiliated Master Portfolios which were as follows:

	Year ended February 29, 2020			Year ended February 28									Year ended February 29, 2016
				2019			2018			2017
Class A		0.12	%		0.14	%		0.16	%		0.16	%		0.16	%
Class R		0.19			0.12			0.17			0.16			0.16
Class R4		0.12			0.14			0.16			0.16			0.16
Class R6		0.12			0.14			0.16			0.16			0.16
Administrator Class		0.12			0.14			0.16			0.16			0.16

²  Total return calculations do not include any sales charges.

³  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in each respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales.

⁴  Calculated based upon average shares outstanding

⁵  Amount is less than $0.005.

The accompanying notes are an integral part of these financial statements.

86  |  Target Date Retirement Funds

Financial highlights

Ratio to average net assets (annualized)									Total return2			Portfolio turnover rate3			Net assets at end of period (000s omitted)
Net investment income1			Gross expenses1			Net expenses1
	2.13	%		0.96	%		0.62	%		7.18	%		36	%	$	32,650
	2.16	%		0.90	%		0.65	%		3.17	%		44	%	$	36,236
	1.65	%		0.86	%		0.71	%		3.72	%		76	%	$	42,542
	1.43	%		0.87	%		0.79	%		5.30	%		41	%	$	54,770
	1.55	%		0.85	%		0.79	%		(2.54	)%		36	%	$	74,807
	1.83	%		1.19	%		0.90	%		6.80	%		36	%	$	20
	1.91	%		1.14	%		0.90	%		2.98	%		44	%	$	20
	1.41	%		1.12	%		0.96	%		3.52	%		76	%	$	22
	1.18	%		1.12	%		1.04	%		4.99	%		41	%	$	37
	1.25	%		1.14	%		1.06	%		(2.78	)%		36	%	$	42
	2.42	%		0.67	%		0.34	%		7.57	%		36	%	$	5,853
	2.62	%		0.60	%		0.34	%		3.50	%		44	%	$	7,352
	1.91	%		0.59	%		0.41	%		4.05	%		76	%	$	43,346
	1.73	%		0.59	%		0.48	%		5.57	%		41	%	$	105,773
	1.83	%		0.59	%		0.48	%		(2.22	)%		36	%	$	127,503
	2.62	%		0.52	%		0.19	%		7.74	%		36	%	$	18,725
	2.67	%		0.46	%		0.19	%		3.65	%		44	%	$	31,174
	2.08	%		0.44	%		0.26	%		4.27	%		76	%	$	61,265
	1.92	%		0.43	%		0.33	%		5.74	%		41	%	$	125,438
	1.97	%		0.44	%		0.33	%		(2.12	)%		36	%	$	367,041
	2.24	%		0.87	%		0.54	%		7.20	%		36	%	$	5,345
	2.33	%		0.81	%		0.54	%		3.33	%		44	%	$	6,821
	1.76	%		0.77	%		0.60	%		3.89	%		76	%	$	15,886
	1.59	%		0.78	%		0.68	%		5.52	%		41	%	$	21,910
	1.62	%		0.78	%		0.68	%		(2.45	)%		36	%	$	122,329

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  87

Financial highlights

	Beginning net asset value per share		Net investment income			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Target 2020 Fund
Class A
Year ended February 29, 2020	$	11.64		0.25	4		0.51			(0.27	)		(0.15	)	$	11.98
Year ended February 28, 2019	$	12.55		0.26			0.06			(0.41	)		(0.82	)	$	11.64
Year ended February 28, 2018	$	14.87		0.24			0.61			0.00			(3.17	)	$	12.55
Year ended February 28, 2017	$	14.19		0.21			0.85			(0.17	)		(0.21	)	$	14.87
Year ended February 29, 2016	$	15.24		0.22	4		(0.81	)		(0.10	)		(0.36	)	$	14.19
Class C
Year ended February 29, 2020	$	11.41		0.16	4		0.50			(0.17	)		(0.15	)	$	11.75
Year ended February 28, 2019	$	12.31		0.17	4		0.06			(0.31	)		(0.82	)	$	11.41
Year ended February 28, 2018	$	14.75		0.13			0.60			0.00			(3.17	)	$	12.31
Year ended February 28, 2017	$	14.10		0.10			0.84			(0.08	)		(0.21	)	$	14.75
Year ended February 29, 2016	$	15.16		0.11	4		(0.79	)		(0.02	)		(0.36	)	$	14.10
Class R
Year ended February 29, 2020	$	11.53		0.21	4		0.52			(0.25	)		(0.15	)	$	11.86
Year ended February 28, 2019	$	12.46		0.22	4		0.08			(0.41	)		(0.82	)	$	11.53
Year ended February 28, 2018	$	14.81		0.22	4		0.60			0.00			(3.17	)	$	12.46
Year ended February 28, 2017	$	14.14		0.18			0.84			(0.14	)		(0.21	)	$	14.81
Year ended February 29, 2016	$	15.18		0.17	4		(0.79	)		(0.06	)		(0.36	)	$	14.14
Class R4
Year ended February 29, 2020	$	11.98		0.30	4		0.54			(0.31	)		(0.15	)	$	12.36
Year ended February 28, 2019	$	12.89		0.33	4		0.04			(0.46	)		(0.82	)	$	11.98
Year ended February 28, 2018	$	15.15		0.31	4		0.60			0.00			(3.17	)	$	12.89
Year ended February 28, 2017	$	14.44		0.27	4		0.86			(0.21	)		(0.21	)	$	15.15
Year ended February 29, 2016	$	15.50		0.26			(0.81	)		(0.15	)		(0.36	)	$	14.44
Class R6
Year ended February 29, 2020	$	11.98		0.32	4		0.53			(0.33	)		(0.15	)	$	12.35
Year ended February 28, 2019	$	12.90		0.34	4		0.06			(0.50	)		(0.82	)	$	11.98
Year ended February 28, 2018	$	15.14		0.33	4		0.61			(0.01	)		(3.17	)	$	12.90
Year ended February 28, 2017	$	14.43		0.29	4		0.86			(0.23	)		(0.21	)	$	15.14
Year ended February 29, 2016	$	15.50		0.27			(0.80	)		(0.18	)		(0.36	)	$	14.43
Administrator Class
Year ended February 29, 2020	$	11.90		0.27	4		0.53			(0.28	)		(0.15	)	$	12.27
Year ended February 28, 2019	$	12.80		0.31			0.04			(0.43	)		(0.82	)	$	11.90
Year ended February 28, 2018	$	15.09		0.29			0.59			0.00			(3.17	)	$	12.80
Year ended February 28, 2017	$	14.40		0.24	4		0.84			(0.18	)		(0.21	)	$	15.09
Year ended February 29, 2016	$	15.46		0.23			(0.81	)		(0.12	)		(0.36	)	$	14.40

¹  Ratios include net expenses allocated from the affiliated Master Portfolios which were as follows:

	Year ended February 29, 2020			Year ended February 28									Year ended February 29, 2016
				2019			2018			2017
Class A		0.13	%		0.14	%		0.16	%		0.17	%		0.16	%
Class C		0.13			0.14			0.16			0.17			0.16
Class R		0.14			0.13			0.17			0.17			0.16
Class R4		0.13			0.14			0.17			0.17			0.16
Class R6		0.13			0.14			0.17			0.17			0.16
Administrator Class		0.13			0.14			0.17			0.17			0.16

²  Total return calculations do not include any sales charges.

³  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in each respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales.

⁴  Calculated based upon average shares outstanding

The accompanying notes are an integral part of these financial statements.

88  |  Target Date Retirement Funds

Financial highlights

Ratio to average net assets (annualized)									Total return2			Portfolio turnover rate3			Net assets at end of period (000s omitted)
Net investment income1			Gross expenses1			Net expenses1
	2.08	%		0.75	%		0.63	%		6.53	%		36	%	$	132,755
	2.14	%		0.75	%		0.65	%		3.12	%		43	%	$	147,196
	1.74	%		0.79	%		0.71	%		5.40	%		73	%	$	199,069
	1.44	%		0.85	%		0.81	%		7.53	%		39	%	$	218,652
	1.49	%		0.86	%		0.82	%		(3.86	)%		34	%	$	230,667
	1.33	%		1.50	%		1.39	%		5.79	%		36	%	$	2,785
	1.41	%		1.50	%		1.40	%		2.28	%		43	%	$	3,377
	0.99	%		1.54	%		1.46	%		4.60	%		73	%	$	6,219
	0.69	%		1.60	%		1.56	%		6.71	%		39	%	$	6,713
	0.74	%		1.62	%		1.58	%		(4.50	)%		34	%	$	6,355
	1.76	%		0.99	%		0.90	%		6.32	%		36	%	$	119
	1.84	%		1.00	%		0.90	%		2.84	%		43	%	$	86
	1.51	%		1.06	%		0.98	%		5.20	%		73	%	$	66
	1.21	%		1.10	%		1.06	%		7.27	%		39	%	$	321
	1.25	%		1.14	%		1.08	%		(4.08	)%		34	%	$	409
	2.39	%		0.47	%		0.34	%		6.99	%		36	%	$	31,139
	2.54	%		0.47	%		0.34	%		3.36	%		43	%	$	38,539
	2.05	%		0.53	%		0.42	%		5.70	%		73	%	$	130,172
	1.76	%		0.56	%		0.50	%		7.89	%		39	%	$	357,823
	1.82	%		0.58	%		0.50	%		(3.52	)%		34	%	$	408,501
	2.52	%		0.32	%		0.19	%		7.06	%		36	%	$	147,590
	2.66	%		0.32	%		0.19	%		3.58	%		43	%	$	154,089
	2.20	%		0.37	%		0.26	%		5.89	%		73	%	$	400,206
	1.92	%		0.41	%		0.35	%		8.04	%		39	%	$	645,237
	1.97	%		0.43	%		0.35	%		(3.42	)%		34	%	$	1,116,419
	2.18	%		0.67	%		0.54	%		6.73	%		36	%	$	54,435
	2.28	%		0.67	%		0.54	%		3.18	%		43	%	$	63,684
	1.85	%		0.72	%		0.61	%		5.51	%		73	%	$	111,716
	1.60	%		0.76	%		0.70	%		7.58	%		39	%	$	197,835
	1.62	%		0.77	%		0.70	%		(3.72	)%		34	%	$	526,327

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  89

Financial highlights

	Beginning net asset value per share		Net investment income			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Target 2025 Fund
Class A
Year ended February 29, 2020	$	5.57		0.12	4		0.21			(0.13	)		(0.20	)	$	5.57
Year ended February 28, 2019	$	6.41		0.13	4		(0.00	)5		(0.14	)		(0.83	)	$	5.57
Year ended February 28, 2018	$	10.48		0.17	4		0.63			(0.03	)		(4.84	)	$	6.41
Year ended February 28, 2017	$	9.77		0.13			0.90			(0.15	)		(0.17	)	$	10.48
Year ended February 29, 2016	$	10.69		0.14	4		(0.73	)		(0.08	)		(0.25	)	$	9.77
Class R
Year ended February 29, 2020	$	5.50		0.10	4		0.20			(0.11	)		(0.20	)	$	5.49
Year ended February 28, 2019	$	6.34		0.11	4		0.02			(0.14	)		(0.83	)	$	5.50
Year ended February 28, 2018	$	10.49		0.16	4		0.53			0.00			(4.84	)	$	6.34
Year ended February 28, 2017	$	9.79		0.12			0.88			(0.13	)		(0.17	)	$	10.49
Year ended February 29, 2016	$	10.71		0.13			(0.73	)		(0.07	)		(0.25	)	$	9.79
Class R4
Year ended February 29, 2020	$	5.61		0.14	4		0.21			(0.14	)		(0.20	)	$	5.62
Year ended February 28, 2019	$	6.45		0.16	4		(0.01	)		(0.16	)		(0.83	)	$	5.61
Year ended February 28, 2018	$	10.52		0.20			0.63			(0.06	)		(4.84	)	$	6.45
Year ended February 28, 2017	$	9.80		0.17			0.90			(0.18	)		(0.17	)	$	10.52
Year ended February 29, 2016	$	10.72		0.18			(0.73	)		(0.12	)		(0.25	)	$	9.80
Class R6
Year ended February 29, 2020	$	5.61		0.15	4		0.20			(0.15	)		(0.20	)	$	5.61
Year ended February 28, 2019	$	6.44		0.16	4		0.01			(0.17	)		(0.83	)	$	5.61
Year ended February 28, 2018	$	10.51		0.25			0.60			(0.08	)		(4.84	)	$	6.44
Year ended February 28, 2017	$	9.80		0.20	4		0.87			(0.19	)		(0.17	)	$	10.51
Year ended February 29, 2016	$	10.71		0.20			(0.73	)		(0.13	)		(0.25	)	$	9.80
Administrator Class
Year ended February 29, 2020	$	5.66		0.13	4		0.21			(0.13	)		(0.20	)	$	5.67
Year ended February 28, 2019	$	6.48		0.15	4		(0.00	)5		(0.14	)		(0.83	)	$	5.66
Year ended February 28, 2018	$	10.55		0.19			0.62			(0.04	)		(4.84	)	$	6.48
Year ended February 28, 2017	$	9.82		0.17	4		0.89			(0.16	)		(0.17	)	$	10.55
Year ended February 29, 2016	$	10.74		0.16			(0.74	)		(0.09	)		(0.25	)	$	9.82

¹  Ratios include net expenses allocated from the affiliated Master Portfolios which were as follows:

	Year ended February 29, 2020			Year ended February 28									Year ended February 29, 2016
				2019			2018			2017
Class A		0.13	%		0.15	%		0.17	%		0.17	%		0.16	%
Class R		0.15			0.13			0.18			0.17			0.16
Class R4		0.13			0.15			0.17			0.17			0.16
Class R6		0.13			0.15			0.17			0.16			0.16
Administrator Class		0.13			0.15			0.17			0.16			0.16

²  Total return calculations do not include any sales charges.

³  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in each respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s portfolio purchases and sales.

⁴  Calculated based upon average shares outstanding

⁵  Amount is more than $(0.005).

The accompanying notes are an integral part of these financial statements.

90  |  Target Date Retirement Funds

Financial highlights

Ratio to average net assets (annualized)									Total return2			Portfolio turnover rate3			Net assets at end of period (000s omitted)
Net investment income1			Gross expenses1			Net expenses1
	2.04	%		0.77	%		0.62	%		5.71	%		36	%	$	94,505
	2.08	%		0.78	%		0.65	%		2.78	%		43	%	$	106,485
	1.70	%		0.81	%		0.71	%		7.09	%		67	%	$	117,382
	1.37	%		0.84	%		0.81	%		10.61	%		36	%	$	140,428
	1.40	%		0.84	%		0.81	%		(5.56	)%		32	%	$	175,373
	1.73	%		1.01	%		0.89	%		5.37	%		36	%	$	57
	1.78	%		1.02	%		0.90	%		2.67	%		43	%	$	44
	1.53	%		1.10	%		1.02	%		5.94	%		67	%	$	29
	1.12	%		1.10	%		1.06	%		10.22	%		36	%	$	610
	1.20	%		1.13	%		1.08	%		(5.72	)%		32	%	$	830
	2.31	%		0.49	%		0.34	%		6.16	%		36	%	$	36,023
	2.45	%		0.50	%		0.34	%		3.05	%		43	%	$	42,046
	2.01	%		0.55	%		0.43	%		7.33	%		67	%	$	87,607
	1.65	%		0.57	%		0.50	%		10.98	%		36	%	$	274,639
	1.78	%		0.58	%		0.50	%		(5.26	)%		32	%	$	279,663
	2.49	%		0.34	%		0.19	%		6.15	%		36	%	$	106,756
	2.57	%		0.35	%		0.19	%		3.41	%		43	%	$	131,314
	2.16	%		0.39	%		0.26	%		7.54	%		67	%	$	201,812
	1.92	%		0.41	%		0.35	%		11.04	%		36	%	$	372,101
	1.92	%		0.43	%		0.35	%		(5.02	)%		32	%	$	1,416,984
	2.16	%		0.69	%		0.54	%		5.88	%		36	%	$	10,650
	2.27	%		0.70	%		0.54	%		2.94	%		43	%	$	15,362
	1.81	%		0.73	%		0.61	%		7.12	%		67	%	$	43,559
	1.59	%		0.76	%		0.70	%		10.87	%		36	%	$	65,620
	1.58	%		0.77	%		0.70	%		(5.45	)%		32	%	$	298,492

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  91

Financial highlights

	Beginning net asset value per share		Net investment income			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Target 2030 Fund
Class A
Year ended February 29, 2020	$	12.03		0.25			0.34			(0.27	)		(0.21	)	$	12.14
Year ended February 28, 2019	$	13.53		0.26			(0.00	)4		(0.33	)		(1.43	)	$	12.03
Year ended February 28, 2018	$	16.70		0.27			1.25			(0.15	)		(4.54	)	$	13.53
Year ended February 28, 2017	$	15.17		0.23			1.90			(0.31	)		(0.29	)	$	16.70
Year ended February 29, 2016	$	16.97		0.21	5		(1.44	)		(0.14	)		(0.43	)	$	15.17
Class C
Year ended February 29, 2020	$	11.50		0.15	5		0.32			(0.16	)		(0.21	)	$	11.60
Year ended February 28, 2019	$	13.01		0.16	5		(0.00	)4		(0.24	)		(1.43	)	$	11.50
Year ended February 28, 2018	$	16.24		0.18			1.17			(0.04	)		(4.54	)	$	13.01
Year ended February 28, 2017	$	14.79		0.07			1.88			(0.21	)		(0.29	)	$	16.24
Year ended February 29, 2016	$	16.58		0.10			(1.41	)		(0.05	)		(0.43	)	$	14.79
Class R
Year ended February 29, 2020	$	12.05		0.22	5		0.34			(0.24	)		(0.21	)	$	12.16
Year ended February 28, 2019	$	13.55		0.23	5		(0.00	)4		(0.30	)		(1.43	)	$	12.05
Year ended February 28, 2018	$	16.66		0.26	5		1.17			0.00			(4.54	)	$	13.55
Year ended February 28, 2017	$	15.14		0.18			1.90			(0.27	)		(0.29	)	$	16.66
Year ended February 29, 2016	$	16.95		0.18			(1.44	)		(0.12	)		(0.43	)	$	15.14
Class R4
Year ended February 29, 2020	$	12.32		0.29	5		0.36			(0.31	)		(0.21	)	$	12.45
Year ended February 28, 2019	$	13.81		0.34	5		(0.03	)		(0.37	)		(1.43	)	$	12.32
Year ended February 28, 2018	$	16.95		0.34	5		1.25			(0.19	)		(4.54	)	$	13.81
Year ended February 28, 2017	$	15.38		0.27			1.94			(0.35	)		(0.29	)	$	16.95
Year ended February 29, 2016	$	17.20		0.28			(1.47	)		(0.20	)		(0.43	)	$	15.38
Class R6
Year ended February 29, 2020	$	12.30		0.32			0.33			(0.32	)		(0.21	)	$	12.42
Year ended February 28, 2019	$	13.79		0.34	5		(0.01	)		(0.39	)		(1.43	)	$	12.30
Year ended February 28, 2018	$	16.93		0.36	5		1.26			(0.22	)		(4.54	)	$	13.79
Year ended February 28, 2017	$	15.37		0.31	5		1.92			(0.38	)		(0.29	)	$	16.93
Year ended February 29, 2016	$	17.19		0.30			(1.46	)		(0.23	)		(0.43	)	$	15.37
Administrator Class
Year ended February 29, 2020	$	12.32		0.27	5		0.35			(0.28	)		(0.21	)	$	12.45
Year ended February 28, 2019	$	13.80		0.30	5		(0.02	)		(0.33	)		(1.43	)	$	12.32
Year ended February 28, 2018	$	16.94		0.28			1.27			(0.15	)		(4.54	)	$	13.80
Year ended February 28, 2017	$	15.37		0.25	5		1.93			(0.32	)		(0.29	)	$	16.94
Year ended February 29, 2016	$	17.19		0.25			(1.47	)		(0.17	)		(0.43	)	$	15.37

¹  Ratios include net expenses allocated from the affiliated Master Portfolios which were as follows:

	Year ended February 29, 2020			Year ended February 28									Year ended February 29, 2016
				2019			2018			2017
Class A		0.14	%		0.15	%		0.17	%		0.17	%		0.16	%
Class C		0.14			0.15			0.17			0.17			0.16
Class R		0.16			0.15			0.19			0.17			0.16
Class R4		0.14			0.15			0.17			0.17			0.16
Class R6		0.14			0.15			0.17			0.16			0.16
Administrator Class		0.14			0.15			0.17			0.17			0.16

²  Total return calculations do not include any sales charges.

³  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in each respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales.

⁴  Amount is more than $(0.005).

⁵  Calculated based upon average shares outstanding

The accompanying notes are an integral part of these financial statements.

92  |  Target Date Retirement Funds

Financial highlights

Ratio to average net assets (annualized)									Total return2			Portfolio turnover rate3			Net assets at end of period (000s omitted)
Net investment income1			Gross expenses1			Net expenses1
	1.98	%		0.75	%		0.63	%		4.72	%		36	%	$	163,774
	2.04	%		0.76	%		0.65	%		2.55	%		43	%	$	177,608
	1.63	%		0.80	%		0.71	%		8.79	%		61	%	$	228,015
	1.32	%		0.84	%		0.82	%		14.15	%		31	%	$	230,044
	1.32	%		0.86	%		0.83	%		(7.37	)%		30	%	$	227,928
	1.24	%		1.50	%		1.39	%		3.92	%		36	%	$	2,060
	1.30	%		1.51	%		1.40	%		1.82	%		43	%	$	2,851
	0.88	%		1.55	%		1.46	%		7.95	%		61	%	$	4,748
	0.57	%		1.59	%		1.57	%		13.28	%		31	%	$	4,630
	0.63	%		1.63	%		1.59	%		(8.05	)%		30	%	$	4,662
	1.72	%		0.97	%		0.87	%		4.48	%		36	%	$	44
	1.76	%		1.01	%		0.89	%		2.37	%		43	%	$	40
	1.54	%		1.10	%		1.04	%		8.28	%		61	%	$	34
	1.06	%		1.10	%		1.07	%		13.88	%		31	%	$	904
	1.11	%		1.12	%		1.08	%		(7.57	)%		30	%	$	853
	2.28	%		0.47	%		0.34	%		5.07	%		36	%	$	51,595
	2.45	%		0.48	%		0.34	%		2.88	%		43	%	$	57,366
	1.95	%		0.53	%		0.42	%		9.09	%		61	%	$	219,799
	1.64	%		0.56	%		0.51	%		14.52	%		31	%	$	507,587
	1.73	%		0.58	%		0.51	%		(7.07	)%		30	%	$	513,864
	2.41	%		0.32	%		0.19	%		5.15	%		36	%	$	231,645
	2.51	%		0.33	%		0.19	%		3.08	%		43	%	$	230,953
	2.10	%		0.38	%		0.26	%		9.28	%		61	%	$	353,891
	1.87	%		0.41	%		0.36	%		14.63	%		31	%	$	618,551
	1.85	%		0.43	%		0.36	%		(6.93	)%		30	%	$	1,284,324
	2.08	%		0.67	%		0.54	%		4.86	%		36	%	$	79,552
	2.18	%		0.68	%		0.54	%		2.69	%		43	%	$	89,022
	1.75	%		0.72	%		0.61	%		8.86	%		61	%	$	161,583
	1.51	%		0.76	%		0.71	%		14.32	%		31	%	$	262,336
	1.52	%		0.77	%		0.71	%		(7.27	)%		30	%	$	498,554

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  93

Financial highlights

	Beginning net asset value per share		Net investment income			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Target 2035 Fund
Class A
Year ended February 29, 2020	$	7.38		0.15			0.14			(0.16	)		(0.13	)	$	7.38
Year ended February 28, 2019	$	8.35		0.15			(0.00	)4		(0.18	)		(0.94	)	$	7.38
Year ended February 28, 2018	$	11.25		0.18			1.01			(0.12	)		(3.97	)	$	8.35
Year ended February 28, 2017	$	9.89		0.13			1.56			(0.15	)		(0.18	)	$	11.25
Year ended February 29, 2016	$	11.32		0.15			(1.18	)		(0.11	)		(0.29	)	$	9.89
Class R
Year ended February 29, 2020	$	7.44		0.13			0.15			(0.15	)		(0.13	)	$	7.44
Year ended February 28, 2019	$	8.42		0.12			0.01			(0.17	)		(0.94	)	$	7.44
Year ended February 28, 2018	$	11.32		0.15			1.01			(0.09	)		(3.97	)	$	8.42
Year ended February 28, 2017	$	9.95		0.11			1.57			(0.13	)		(0.18	)	$	11.32
Year ended February 29, 2016	$	11.39		0.11			(1.17	)		(0.09	)		(0.29	)	$	9.95
Class R4
Year ended February 29, 2020	$	7.40		0.17	5		0.15			(0.19	)		(0.13	)	$	7.40
Year ended February 28, 2019	$	8.37		0.20	5		(0.03	)		(0.20	)		(0.94	)	$	7.40
Year ended February 28, 2018	$	11.27		0.21	5		1.02			(0.16	)		(3.97	)	$	8.37
Year ended February 28, 2017	$	9.91		0.17	5		1.56			(0.19	)		(0.18	)	$	11.27
Year ended February 29, 2016	$	11.33		0.18			(1.17	)		(0.14	)		(0.29	)	$	9.91
Class R6
Year ended February 29, 2020	$	7.39		0.18	5		0.15			(0.20	)		(0.13	)	$	7.39
Year ended February 28, 2019	$	8.37		0.25			(0.07	)		(0.22	)		(0.94	)	$	7.39
Year ended February 28, 2018	$	11.27		0.27			0.98			(0.18	)		(3.97	)	$	8.37
Year ended February 28, 2017	$	9.91		0.20	5		1.55			(0.21	)		(0.18	)	$	11.27
Year ended February 29, 2016	$	11.33		0.19			(1.16	)		(0.16	)		(0.29	)	$	9.91
Administrator Class
Year ended February 29, 2020	$	7.47		0.16	5		0.14			(0.17	)		(0.13	)	$	7.47
Year ended February 28, 2019	$	8.41		0.18			(0.01	)		(0.17	)		(0.94	)	$	7.47
Year ended February 28, 2018	$	11.30		0.19			1.02			(0.13	)		(3.97	)	$	8.41
Year ended February 28, 2017	$	9.94		0.16	5		1.55			(0.17	)		(0.18	)	$	11.30
Year ended February 29, 2016	$	11.37		0.16			(1.18	)		(0.12	)		(0.29	)	$	9.94

¹  Ratios include net expenses allocated from the affiliated Master Portfolios which were as follows:

	Year ended February 29, 2020			Year ended February 28									Year ended February 29, 2016
				2019			2018			2017
Class A		0.15	%		0.16	%		0.18	%		0.17	%		0.17	%
Class R		0.15			0.16			0.18			0.17			0.17
Class R4		0.15			0.16			0.18			0.17			0.16
Class R6		0.15			0.16			0.18			0.16			0.16
Administrator Class		0.15			0.16			0.18			0.16			0.16

²  Total return calculations do not include any sales charges.

³  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in each respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales.

⁴  Amount is more than $(0.005).

⁵  Calculated based upon average shares outstanding

The accompanying notes are an integral part of these financial statements.

94  |  Target Date Retirement Funds

Financial highlights

Ratio to average net assets (annualized)									Total return2			Portfolio turnover rate3			Net assets at end of period (000s omitted)
Net investment income1			Gross expenses1			Net expenses1
	1.92	%		0.80	%		0.63	%		3.70	%		36	%	$	95,284
	1.97	%		0.81	%		0.65	%		2.48	%		41	%	$	108,389
	1.56	%		0.83	%		0.72	%		10.21	%		55	%	$	118,000
	1.28	%		0.85	%		0.83	%		17.33	%		27	%	$	127,294
	1.19	%		0.84	%		0.83	%		(9.28	)%		28	%	$	142,817
	1.60	%		1.04	%		0.90	%		3.46	%		36	%	$	318
	1.68	%		1.06	%		0.90	%		2.16	%		41	%	$	250
	1.32	%		1.08	%		0.97	%		9.87	%		55	%	$	192
	0.89	%		1.11	%		1.08	%		17.09	%		27	%	$	171
	1.02	%		1.13	%		1.09	%		(9.48	)%		28	%	$	73
	2.20	%		0.52	%		0.34	%		3.99	%		36	%	$	26,748
	2.37	%		0.53	%		0.34	%		2.80	%		41	%	$	34,388
	1.90	%		0.56	%		0.43	%		10.53	%		55	%	$	82,617
	1.54	%		0.57	%		0.52	%		17.68	%		27	%	$	240,025
	1.66	%		0.59	%		0.52	%		(8.92	)%		28	%	$	228,810
	2.38	%		0.37	%		0.19	%		4.16	%		36	%	$	89,108
	2.48	%		0.38	%		0.19	%		2.86	%		41	%	$	112,021
	2.04	%		0.41	%		0.27	%		10.76	%		55	%	$	185,889
	1.83	%		0.42	%		0.37	%		17.86	%		27	%	$	317,594
	1.80	%		0.44	%		0.37	%		(8.78	)%		28	%	$	714,884
	2.04	%		0.72	%		0.54	%		3.75	%		36	%	$	6,888
	2.20	%		0.72	%		0.54	%		2.64	%		41	%	$	9,608
	1.67	%		0.74	%		0.61	%		10.33	%		55	%	$	35,678
	1.52	%		0.77	%		0.72	%		17.38	%		27	%	$	50,898
	1.46	%		0.78	%		0.72	%		(9.17	)%		28	%	$	182,599

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  95

Financial highlights

	Beginning net asset value per share		Net investment income			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Target 2040 Fund
Class A
Year ended February 29, 2020	$	14.09		0.28			0.12			(0.29	)		(0.18	)	$	14.02
Year ended February 28, 2019	$	16.02		0.29			(0.05	)		(0.36	)		(1.81	)	$	14.09
Year ended February 28, 2018	$	19.43		0.31			1.93			(0.31	)		(5.34	)	$	16.02
Year ended February 28, 2017	$	16.74		0.23			3.08			(0.27	)		(0.35	)	$	19.43
Year ended February 29, 2016	$	19.53		0.22	4		(2.27	)		(0.20	)		(0.54	)	$	16.74
Class C
Year ended February 29, 2020	$	12.66		0.15	4		0.11			(0.18	)		(0.18	)	$	12.56
Year ended February 28, 2019	$	14.61		0.17	4		(0.06	)		(0.25	)		(1.81	)	$	12.66
Year ended February 28, 2018	$	18.19		0.14	4		1.81			(0.19	)		(5.34	)	$	14.61
Year ended February 28, 2017	$	15.71		0.04	4		2.94			(0.15	)		(0.35	)	$	18.19
Year ended February 29, 2016	$	18.38		0.09	4		(2.15	)		(0.07	)		(0.54	)	$	15.71
Class R
Year ended February 29, 2020	$	14.08		0.25			0.12			(0.26	)		(0.18	)	$	14.01
Year ended February 28, 2019	$	16.02		0.25	4		(0.05	)		(0.33	)		(1.81	)	$	14.08
Year ended February 28, 2018	$	19.36		0.27	4		1.93			(0.20	)		(5.34	)	$	16.02
Year ended February 28, 2017	$	16.69		0.18			3.07			(0.23	)		(0.35	)	$	19.36
Year ended February 29, 2016	$	19.51		0.18			(2.28	)		(0.18	)		(0.54	)	$	16.69
Class R4
Year ended February 29, 2020	$	14.60		0.33	4		0.13			(0.34	)		(0.18	)	$	14.54
Year ended February 28, 2019	$	16.51		0.39	4		(0.08	)		(0.41	)		(1.81	)	$	14.60
Year ended February 28, 2018	$	19.86		0.36			1.99			(0.36	)		(5.34	)	$	16.51
Year ended February 28, 2017	$	17.09		0.27			3.18			(0.33	)		(0.35	)	$	19.86
Year ended February 29, 2016	$	19.93		0.28			(2.32	)		(0.26	)		(0.54	)	$	17.09
Class R6
Year ended February 29, 2020	$	14.58		0.35			0.13			(0.36	)		(0.18	)	$	14.52
Year ended February 28, 2019	$	16.50		0.39	4		(0.06	)		(0.44	)		(1.81	)	$	14.58
Year ended February 28, 2018	$	19.85		0.40	4		1.98			(0.39	)		(5.34	)	$	16.50
Year ended February 28, 2017	$	17.09		0.41			3.06			(0.36	)		(0.35	)	$	19.85
Year ended February 29, 2016	$	19.93		0.32			(2.33	)		(0.29	)		(0.54	)	$	17.09
Administrator Class
Year ended February 29, 2020	$	14.56		0.32			0.12			(0.31	)		(0.18	)	$	14.51
Year ended February 28, 2019	$	16.47		0.34	4		(0.07	)		(0.37	)		(1.81	)	$	14.56
Year ended February 28, 2018	$	19.82		0.33	4		1.98			(0.32	)		(5.34	)	$	16.47
Year ended February 28, 2017	$	17.07		0.25			3.14			(0.29	)		(0.35	)	$	19.82
Year ended February 29, 2016	$	19.89		0.27			(2.33	)		(0.22	)		(0.54	)	$	17.07

¹  Ratios include net expenses allocated from the affiliated Master Portfolios which were as follows:

	Year ended February 29, 2020			Year ended February 28									Year ended February 29, 2016
				2019			2018			2017
Class A		0.15	%		0.17	%		0.18	%		0.17	%		0.16	%
Class C		0.15			0.17			0.18			0.17			0.16
Class R		0.18			0.16			0.18			0.17			0.17
Class R4		0.15			0.17			0.18			0.17			0.16
Class R6		0.15			0.17			0.18			0.16			0.16
Administrator Class		0.15			0.17			0.18			0.17			0.16

²  Total return calculations do not include any sales charges.

³  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage each respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales.

⁴  Calculated based upon average shares outstanding

The accompanying notes are an integral part of these financial statements.

96  |  Target Date Retirement Funds

Financial highlights

Ratio to average net assets (annualized)									Total return2			Portfolio turnover rate3			Net assets at end of period (000s omitted)
Net investment income1			Gross expenses1			Net expenses1
	1.85	%		0.77	%		0.64	%		2.68	%		36	%	$	175,942
	1.91	%		0.78	%		0.65	%		2.32	%		40	%	$	189,990
	1.51	%		0.81	%		0.72	%		11.24	%		51	%	$	223,769
	1.21	%		0.85	%		0.83	%		20.01	%		24	%	$	218,689
	1.23	%		0.87	%		0.84	%		(10.72	)%		27	%	$	202,038
	1.12	%		1.52	%		1.39	%		1.87	%		36	%	$	1,906
	1.21	%		1.53	%		1.40	%		1.55	%		40	%	$	2,754
	0.76	%		1.56	%		1.46	%		10.41	%		51	%	$	5,292
	0.47	%		1.60	%		1.58	%		19.11	%		24	%	$	4,782
	0.54	%		1.63	%		1.60	%		(11.39	)%		27	%	$	4,621
	1.57	%		1.02	%		0.89	%		2.44	%		36	%	$	66
	1.63	%		1.02	%		0.90	%		2.04	%		40	%	$	62
	1.40	%		1.08	%		1.01	%		11.07	%		51	%	$	56
	0.94	%		1.10	%		1.08	%		19.68	%		24	%	$	394
	0.97	%		1.12	%		1.09	%		(10.96	)%		27	%	$	289
	2.14	%		0.49	%		0.34	%		2.94	%		36	%	$	41,864
	2.38	%		0.50	%		0.34	%		2.69	%		40	%	$	45,177
	1.85	%		0.54	%		0.42	%		11.56	%		51	%	$	189,896
	1.54	%		0.57	%		0.52	%		20.43	%		24	%	$	388,622
	1.64	%		0.59	%		0.52	%		(10.45	)%		27	%	$	385,259
	2.29	%		0.34	%		0.19	%		3.09	%		36	%	$	185,291
	2.40	%		0.35	%		0.19	%		2.81	%		40	%	$	184,594
	2.00	%		0.39	%		0.27	%		11.74	%		51	%	$	283,562
	1.80	%		0.41	%		0.37	%		20.56	%		24	%	$	489,693
	1.75	%		0.43	%		0.37	%		(10.32	)%		27	%	$	929,672
	1.95	%		0.69	%		0.54	%		2.82	%		36	%	$	63,232
	2.09	%		0.70	%		0.54	%		2.40	%		40	%	$	71,411
	1.63	%		0.73	%		0.61	%		11.38	%		51	%	$	132,365
	1.43	%		0.76	%		0.72	%		20.09	%		24	%	$	197,272
	1.42	%		0.78	%		0.72	%		(10.56	)%		27	%	$	320,415

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  97

Financial highlights

	Beginning net asset value per share		Net investment income			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Target 2045 Fund
Class A
Year ended February 29, 2020	$	8.13		0.16	4		0.03			(0.19	)		(0.06	)	$	8.07
Year ended February 28, 2019	$	9.18		0.16			(0.03	)		(0.19	)		(0.99	)	$	8.13
Year ended February 28, 2018	$	11.91		0.18	4		1.28			(0.20	)		(3.99	)	$	9.18
Year ended February 28, 2017	$	10.07		0.13			2.05			(0.17	)		(0.17	)	$	11.91
Year ended February 29, 2016	$	11.85		0.16			(1.52	)		(0.13	)		(0.29	)	$	10.07
Class R
Year ended February 29, 2020	$	8.29		0.13			0.03			(0.17	)		(0.06	)	$	8.22
Year ended February 28, 2019	$	9.33		0.14			(0.02	)		(0.17	)		(0.99	)	$	8.29
Year ended February 28, 2018	$	12.04		0.16			1.29			(0.17	)		(3.99	)	$	9.33
Year ended February 28, 2017	$	10.19		0.11			2.05			(0.14	)		(0.17	)	$	12.04
Year ended February 29, 2016	$	11.97		0.11			(1.51	)		(0.09	)		(0.29	)	$	10.19
Class R4
Year ended February 29, 2020	$	8.19		0.18	4		0.03			(0.22	)		(0.06	)	$	8.12
Year ended February 28, 2019	$	9.24		0.20	4		(0.04	)		(0.22	)		(0.99	)	$	8.19
Year ended February 28, 2018	$	11.96		0.22	4		1.28			(0.23	)		(3.99	)	$	9.24
Year ended February 28, 2017	$	10.11		0.16			2.06			(0.20	)		(0.17	)	$	11.96
Year ended February 29, 2016	$	11.89		0.18			(1.51	)		(0.16	)		(0.29	)	$	10.11
Class R6
Year ended February 29, 2020	$	8.15		0.20	4		0.03			(0.23	)		(0.06	)	$	8.09
Year ended February 28, 2019	$	9.21		0.22	4		(0.05	)		(0.24	)		(0.99	)	$	8.15
Year ended February 28, 2018	$	11.93		0.29			1.24			(0.26	)		(3.99	)	$	9.21
Year ended February 28, 2017	$	10.10		0.23			1.99			(0.22	)		(0.17	)	$	11.93
Year ended February 29, 2016	$	11.87		0.19			(1.49	)		(0.18	)		(0.29	)	$	10.10
Administrator Class
Year ended February 29, 2020	$	8.27		0.17	4		0.03			(0.20	)		(0.06	)	$	8.21
Year ended February 28, 2019	$	9.29		0.20	4		(0.05	)		(0.18	)		(0.99	)	$	8.27
Year ended February 28, 2018	$	12.01		0.19	4		1.28			(0.20	)		(3.99	)	$	9.29
Year ended February 28, 2017	$	10.16		0.16	4		2.04			(0.18	)		(0.17	)	$	12.01
Year ended February 29, 2016	$	11.94		0.16			(1.51	)		(0.14	)		(0.29	)	$	10.16

¹  Ratios include net expenses allocated from the affiliated Master Portfolios which were as follows:

	Year ended February 29, 2020			Year ended February 28									Year ended February 29, 2016
				2019			2018			2017
Class A		0.16	%		0.17	%		0.19	%		0.17	%		0.17	%
Class R		0.20			0.16			0.18			0.16			0.16
Class R4		0.16			0.17			0.19			0.17			0.16
Class R6		0.16			0.17			0.19			0.16			0.16
Administrator Class		0.16			0.17			0.19			0.17			0.16

²  Total return calculations do not include any sales charges.

³  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in each respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales.

⁴  Calculated based upon average shares outstanding

The accompanying notes are an integral part of these financial statements.

98  |  Target Date Retirement Funds

Financial highlights

Ratio to average net assets (annualized)									Total return2			Portfolio turnover rate3			Net assets at end of period (000s omitted)
Net investment income1			Gross expenses1			Net expenses1
	1.85	%		0.88	%		0.63	%		2.14	%		36	%	$	42,792
	1.88	%		0.85	%		0.65	%		2.21	%		39	%	$	56,491
	1.48	%		0.86	%		0.72	%		11.98	%		48	%	$	61,914
	1.22	%		0.86	%		0.83	%		21.85	%		22	%	$	70,570
	1.09	%		0.86	%		0.83	%		(11.70	)%		26	%	$	77,062
	1.47	%		1.13	%		0.90	%		1.81	%		36	%	$	49
	1.62	%		1.09	%		0.90	%		2.03	%		39	%	$	37
	1.25	%		1.10	%		0.97	%		11.77	%		48	%	$	36
	0.88	%		1.11	%		1.08	%		21.41	%		22	%	$	42
	1.01	%		1.14	%		1.09	%		(11.84	)%		26	%	$	30
	2.12	%		0.60	%		0.34	%		2.34	%		36	%	$	15,460
	2.26	%		0.57	%		0.34	%		2.53	%		39	%	$	22,076
	1.84	%		0.59	%		0.44	%		12.39	%		48	%	$	46,811
	1.46	%		0.59	%		0.52	%		22.25	%		22	%	$	151,999
	1.61	%		0.60	%		0.52	%		(11.41	)%		26	%	$	131,789
	2.32	%		0.45	%		0.19	%		2.64	%		36	%	$	47,672
	2.41	%		0.42	%		0.19	%		2.61	%		39	%	$	69,435
	1.97	%		0.43	%		0.27	%		12.61	%		48	%	$	133,524
	1.77	%		0.43	%		0.37	%		22.26	%		22	%	$	219,922
	1.73	%		0.45	%		0.37	%		(11.21	)%		26	%	$	407,094
	1.98	%		0.80	%		0.54	%		2.21	%		36	%	$	4,544
	2.14	%		0.76	%		0.54	%		2.32	%		39	%	$	7,213
	1.60	%		0.77	%		0.61	%		12.05	%		48	%	$	30,255
	1.46	%		0.78	%		0.72	%		21.89	%		22	%	$	41,504
	1.39	%		0.79	%		0.72	%		(11.55	)%		26	%	$	108,091

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  99

Financial highlights

	Beginning net asset value per share		Net investment income			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Target 2050 Fund
Class A
Year ended February 29, 2020	$	7.13		0.13	4		0.02			(0.14	)		(0.19	)	$	6.95
Year ended February 28, 2019	$	8.61		0.14			(0.05	)		(0.20	)		(1.37	)	$	7.13
Year ended February 28, 2018	$	11.40		0.20			1.23			(0.19	)		(4.03	)	$	8.61
Year ended February 28, 2017	$	9.61		0.12			2.02			(0.18	)		(0.17	)	$	11.40
Year ended February 29, 2016	$	11.34		0.11	4		(1.44	)		(0.12	)		(0.28	)	$	9.61
Class C
Year ended February 29, 2020	$	7.08		0.08	4		0.00	5		(0.06	)		(0.19	)	$	6.91
Year ended February 28, 2019	$	8.56		0.06			(0.03	)		(0.14	)		(1.37	)	$	7.08
Year ended February 28, 2018	$	11.36		0.11			1.22			(0.10	)		(4.03	)	$	8.56
Year ended February 28, 2017	$	9.58		0.04			2.02			(0.11	)		(0.17	)	$	11.36
Year ended February 29, 2016	$	11.30		0.06			(1.46	)		(0.04	)		(0.28	)	$	9.58
Class R
Year ended February 29, 2020	$	7.15		0.12			0.00	5		(0.12	)		(0.19	)	$	6.96
Year ended February 28, 2019	$	8.63		0.13			(0.05	)		(0.19	)		(1.37	)	$	7.15
Year ended February 28, 2018	$	11.43		0.15			1.24			(0.16	)		(4.03	)	$	8.63
Year ended February 28, 2017	$	9.63		0.09			2.04			(0.16	)		(0.17	)	$	11.43
Year ended February 29, 2016	$	11.37		0.11			(1.47	)		(0.10	)		(0.28	)	$	9.63
Class R4
Year ended February 29, 2020	$	7.19		0.16	4		0.00	5		(0.16	)		(0.19	)	$	7.00
Year ended February 28, 2019	$	8.66		0.20	4		(0.07	)		(0.23	)		(1.37	)	$	7.19
Year ended February 28, 2018	$	11.45		0.21	4		1.25			(0.22	)		(4.03	)	$	8.66
Year ended February 28, 2017	$	9.64		0.16	4		2.03			(0.21	)		(0.17	)	$	11.45
Year ended February 29, 2016	$	11.38		0.17			(1.48	)		(0.15	)		(0.28	)	$	9.64
Class R6
Year ended February 29, 2020	$	7.17		0.17			0.02			(0.18	)		(0.19	)	$	6.99
Year ended February 28, 2019	$	8.65		0.25			(0.12	)		(0.24	)		(1.37	)	$	7.17
Year ended February 28, 2018	$	11.44		0.26			1.22			(0.24	)		(4.03	)	$	8.65
Year ended February 28, 2017	$	9.64		0.19	4		2.01			(0.23	)		(0.17	)	$	11.44
Year ended February 29, 2016	$	11.37		0.18			(1.46	)		(0.17	)		(0.28	)	$	9.64
Administrator Class
Year ended February 29, 2020	$	7.16		0.14			0.01			(0.15	)		(0.19	)	$	6.97
Year ended February 28, 2019	$	8.62		0.18			(0.07	)		(0.20	)		(1.37	)	$	7.16
Year ended February 28, 2018	$	11.41		0.20			1.24			(0.20	)		(4.03	)	$	8.62
Year ended February 28, 2017	$	9.61		0.15	4		2.01			(0.19	)		(0.17	)	$	11.41
Year ended February 29, 2016	$	11.34		0.15			(1.47	)		(0.13	)		(0.28	)	$	9.61

¹  Ratios include net expenses allocated from the affiliated Master Portfolios which were as follows:

	Year ended February 29, 2020			Year ended February 28									Year ended February 29, 2016
				2019			2018			2017
Class A		0.16	%		0.17	%		0.19	%		0.17	%		0.17	%
Class C		0.16			0.17			0.18			0.17			0.16
Class R		0.21			0.18			0.23			0.19			0.19
Class R4		0.16			0.18			0.19			0.17			0.16
Class R6		0.16			0.17			0.19			0.16			0.16
Administrator Class		0.16			0.17			0.19			0.17			0.16

²  Total return calculations do not include any sales charges.

³  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in each respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales.

⁴  Calculated based upon average shares outstanding

⁵  Amount is less than $0.005.

The accompanying notes are an integral part of these financial statements.

100  |  Target Date Retirement Funds

Financial highlights

Ratio to average net assets (annualized)									Total return2			Portfolio turnover rate3			Net assets at end of period (000s omitted)
Net investment income1			Gross expenses1			Net expenses1
	1.81	%		0.83	%		0.63	%		1.74	%		36	%	$	47,060
	1.88	%		0.82	%		0.65	%		2.10	%		39	%	$	53,038
	1.47	%		0.83	%		0.72	%		12.26	%		46	%	$	67,360
	1.13	%		0.85	%		0.83	%		22.48	%		21	%	$	64,356
	1.05	%		0.86	%		0.83	%		(11.93	)%		26	%	$	58,749
	1.12	%		1.57	%		1.39	%		0.88	%		36	%	$	519
	1.13	%		1.57	%		1.40	%		1.38	%		39	%	$	1,013
	0.72	%		1.58	%		1.46	%		11.38	%		46	%	$	1,376
	0.33	%		1.61	%		1.58	%		21.58	%		21	%	$	1,218
	0.49	%		1.64	%		1.60	%		(12.56	)%		26	%	$	894
	1.50	%		1.07	%		0.89	%		1.38	%		36	%	$	37
	1.58	%		1.08	%		0.90	%		1.93	%		39	%	$	32
	1.24	%		1.12	%		0.97	%		11.88	%		46	%	$	28
	0.94	%		1.13	%		1.08	%		22.29	%		21	%	$	34
	1.00	%		1.17	%		1.10	%		(12.21	)%		26	%	$	32
	2.08	%		0.55	%		0.34	%		1.89	%		36	%	$	17,989
	2.40	%		0.53	%		0.34	%		2.57	%		39	%	$	19,551
	1.82	%		0.56	%		0.42	%		12.54	%		46	%	$	122,118
	1.45	%		0.57	%		0.52	%		23.00	%		21	%	$	243,339
	1.61	%		0.59	%		0.52	%		(11.72	)%		26	%	$	219,157
	2.23	%		0.40	%		0.19	%		2.18	%		36	%	$	107,868
	2.37	%		0.39	%		0.19	%		2.61	%		39	%	$	107,769
	1.95	%		0.41	%		0.27	%		12.73	%		46	%	$	180,036
	1.81	%		0.42	%		0.37	%		23.09	%		21	%	$	287,423
	1.72	%		0.44	%		0.37	%		(11.51	)%		26	%	$	806,152
	1.88	%		0.75	%		0.54	%		1.70	%		36	%	$	39,498
	2.07	%		0.74	%		0.54	%		2.37	%		39	%	$	40,236
	1.59	%		0.75	%		0.61	%		12.29	%		46	%	$	82,574
	1.37	%		0.76	%		0.72	%		22.72	%		21	%	$	121,028
	1.39	%		0.78	%		0.72	%		(11.86	)%		26	%	$	185,008

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  101

Financial highlights

	Beginning net asset value per share		Net investment income			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Target 2055 Fund
Class A
Year ended February 29, 2020	$	11.56		0.22	4		(0.01	)		(0.22	)		(0.01	)	$	11.54
Year ended February 28, 2019	$	12.72		0.22			(0.02	)		(0.30	)		(1.06	)	$	11.56
Year ended February 28, 2018	$	13.91		0.21	4		1.50			(0.23	)		(2.67	)	$	12.72
Year ended February 28, 2017	$	11.56		0.14			2.44			(0.23	)		0.00		$	13.91
Year ended February 29, 2016	$	13.28		0.14	4		(1.71	)		(0.12	)		(0.03	)	$	11.56
Class R
Year ended February 29, 2020	$	11.39		0.18			0.00	5		(0.21	)		(0.01	)	$	11.35
Year ended February 28, 2019	$	12.56		0.19			(0.03	)		(0.27	)		(1.06	)	$	11.39
Year ended February 28, 2018	$	13.76		0.18			1.49			(0.20	)		(2.67	)	$	12.56
Year ended February 28, 2017	$	11.45		0.10			2.41			(0.20	)		0.00		$	13.76
Year ended February 29, 2016	$	13.16		0.12			(1.71	)		(0.09	)		(0.03	)	$	11.45
Class R4
Year ended February 29, 2020	$	11.60		0.25	4		0.00	5		(0.26	)		(0.01	)	$	11.58
Year ended February 28, 2019	$	12.76		0.28	4		(0.05	)		(0.33	)		(1.06	)	$	11.60
Year ended February 28, 2018	$	13.94		0.27	4		1.50			(0.28	)		(2.67	)	$	12.76
Year ended February 28, 2017	$	11.59		0.18			2.44			(0.27	)		0.00		$	13.94
Year ended February 29, 2016	$	13.32		0.20			(1.74	)		(0.16	)		(0.03	)	$	11.59
Class R6
Year ended February 29, 2020	$	11.57		0.27	4		0.00	5		(0.28	)		(0.01	)	$	11.55
Year ended February 28, 2019	$	12.73		0.31	4		(0.06	)		(0.35	)		(1.06	)	$	11.57
Year ended February 28, 2018	$	13.91		0.31			1.48			(0.30	)		(2.67	)	$	12.73
Year ended February 28, 2017	$	11.57		0.23	4		2.40			(0.29	)		0.00		$	13.91
Year ended February 29, 2016	$	13.29		0.21			(1.72	)		(0.18	)		(0.03	)	$	11.57
Administrator Class
Year ended February 29, 2020	$	11.57		0.24	4		(0.03	)		(0.14	)		(0.01	)	$	11.63
Year ended February 28, 2019	$	12.73		0.28	4		(0.07	)		(0.31	)		(1.06	)	$	11.57
Year ended February 28, 2018	$	13.91		0.23	4		1.50			(0.24	)		(2.67	)	$	12.73
Year ended February 28, 2017	$	11.57		0.17	4		2.41			(0.24	)		0.00		$	13.91
Year ended February 29, 2016	$	13.28		0.17			(1.71	)		(0.14	)		(0.03	)	$	11.57

¹ Ratios include net expenses allocated from the affiliated Master Portfolios which were as follows:

	Year ended February 29, 2020			Year ended February 28									Year ended February 29, 2016
				2019			2018			2017
Class A		0.16	%		0.17	%		0.19	%		0.17	%		0.17	%
Class R		0.21			0.17			0.19			0.17			0.20
Class R4		0.16			0.18			0.19			0.17			0.16
Class R6		0.16			0.18			0.19			0.16			0.16
Administrator Class		0.16			0.18			0.19			0.17			0.16

²  Total return calculations do not include any sales charges.

³ Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in each respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales.

⁴  Calculated based upon average shares outstanding

⁵  Amount is less than $0.005.

The accompanying notes are an integral part of these financial statements.

102  |  Target Date Retirement Funds

Financial highlights

Ratio to average net assets (annualized)									Total return2			Portfolio turnover rate3			Net assets at end of period (000s omitted)
Net investment income1			Gross expenses1			Net expenses1
	1.87	%		1.21	%		0.63	%		1.62	%		36	%	$	7,374
	1.86	%		1.17	%		0.65	%		2.29	%		39	%	$	10,582
	1.47	%		1.04	%		0.71	%		12.15	%		46	%	$	10,352
	1.13	%		0.91	%		0.83	%		22.45	%		21	%	$	9,270
	1.15	%		0.94	%		0.84	%		(11.93	)%		26	%	$	8,940
	1.52	%		1.45	%		0.89	%		1.43	%		36	%	$	41
	1.60	%		1.39	%		0.89	%		1.96	%		39	%	$	43
	1.22	%		1.29	%		0.96	%		11.99	%		46	%	$	42
	0.98	%		1.16	%		1.08	%		22.04	%		21	%	$	40
	0.98	%		1.24	%		1.09	%		(12.16	)%		26	%	$	42
	2.08	%		0.93	%		0.34	%		1.98	%		36	%	$	7,233
	2.24	%		0.93	%		0.34	%		2.57	%		39	%	$	7,578
	1.85	%		0.73	%		0.44	%		12.56	%		46	%	$	15,764
	1.32	%		0.64	%		0.52	%		22.78	%		21	%	$	43,147
	1.61	%		0.66	%		0.52	%		(11.70	)%		26	%	$	27,193
	2.23	%		0.78	%		0.19	%		2.10	%		36	%	$	19,338
	2.46	%		0.87	%		0.19	%		2.71	%		39	%	$	18,491
	1.94	%		0.60	%		0.26	%		12.76	%		46	%	$	56,563
	1.79	%		0.47	%		0.37	%		22.97	%		21	%	$	65,516
	1.72	%		0.51	%		0.37	%		(11.52	)%		26	%	$	161,764
	1.97	%		1.13	%		0.54	%		1.74	%		36	%	$	759
	2.22	%		1.37	%		0.54	%		2.37	%		39	%	$	1,188
	1.62	%		0.94	%		0.62	%		12.32	%		46	%	$	5,662
	1.34	%		0.83	%		0.72	%		22.50	%		21	%	$	9,700
	1.37	%		0.85	%		0.72	%		(11.75	)%		26	%	$	14,747

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  103

Financial highlights

	Beginning net asset value per share		Net investment income			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains		Ending net asset value per share
Target 2060 Fund
Class A
Year ended February 29, 2020	$	11.44		0.19			0.02			(0.21	)		0.00	$	11.44
Year ended February 28, 2019	$	11.83		0.22	4		(0.01	)		(0.25	)		(0.35)	$	11.44
Year ended February 28, 2018	$	10.69		0.15			1.15			(0.16	)		0.00	$	11.83
Year ended February 28, 2017	$	8.84		0.09	4		1.86			(0.10	)		0.00	$	10.69
Year ended February 29, 20165	$	10.00		0.06			(1.11	)		(0.11	)		0.00	$	8.84
Class C
Year ended February 29, 2020	$	11.42		0.08			0.04			(0.11	)		0.00	$	11.43
Year ended February 28, 2019	$	11.85		0.13			(0.00	)6		(0.21	)		(0.35)	$	11.42
Year ended February 28, 2018	$	10.71		0.07			1.15			(0.08	)		0.00	$	11.85
Year ended February 28, 2017	$	8.90		0.04			1.84			(0.07	)		0.00	$	10.71
Year ended February 29, 20165	$	10.00		0.01			(1.11	)		0.00			0.00	$	8.90
Class R
Year ended February 29, 2020	$	11.22		0.18	4		(0.01	)		(0.18	)		0.00	$	11.21
Year ended February 28, 2019	$	11.65		0.19	4		(0.01	)		(0.26	)		(0.35)	$	11.22
Year ended February 28, 2018	$	10.53		0.14	4		1.11			(0.13	)		0.00	$	11.65
Year ended February 28, 2017	$	8.84		0.09	4		1.80			(0.20	)		0.00	$	10.53
Year ended February 29, 20165	$	10.00		0.05			(1.11	)		(0.10	)		0.00	$	8.84
Class R4
Year ended February 29, 2020	$	11.66		0.22			0.02			(0.23	)		0.00	$	11.67
Year ended February 28, 2019	$	12.06		0.28	4		(0.02	)		(0.31	)		(0.35)	$	11.66
Year ended February 28, 2018	$	10.88		0.21			1.16			(0.19	)		0.00	$	12.06
Year ended February 28, 2017	$	8.97		0.12	4		1.89			(0.10	)		0.00	$	10.88
Year ended February 29, 20165	$	10.00		0.08	4		(1.11	)		0.00			0.00	$	8.97
Class R6
Year ended February 29, 2020	$	11.61		0.25			0.01			(0.25	)		0.00	$	11.62
Year ended February 28, 2019	$	12.03		0.28	4		(0.01	)		(0.34	)		(0.35)	$	11.61
Year ended February 28, 2018	$	10.86		0.24			1.14			(0.21	)		0.00	$	12.03
Year ended February 28, 2017	$	8.95		0.13	4		1.90			(0.12	)		0.00	$	10.86
Year ended February 29, 20165	$	10.00		0.09	4		(1.12	)		(0.02	)		0.00	$	8.95
Administrator Class
Year ended February 29, 2020	$	11.48		0.21			0.01			(0.21	)		0.00	$	11.49
Year ended February 28, 2019	$	11.89		0.24	4		(0.01	)		(0.29	)		(0.35)	$	11.48
Year ended February 28, 2018	$	10.74		0.19			1.13			(0.17	)		0.00	$	11.89
Year ended February 28, 2017	$	8.89		0.10	4		1.88			(0.13	)		0.00	$	10.74
Year ended February 29, 20165	$	10.00		0.07			(1.12	)		(0.06	)		0.00	$	8.89

¹  Ratios include net expenses allocated from the affiliated Master Portfolios which were as follows:

	Year ended February 29, 2020			Year ended February 28									Year ended February 29, 20165
				2019			2018			2017
Class A		0.16	%		0.17	%		0.18	%		0.17	%		0.15	%
Class C		0.18			0.17			0.18			0.16			0.16
Class R		0.19			0.18			0.20			0.19			0.17
Class R4		0.16			0.18			0.19			0.17			0.16
Class R6		0.16			0.18			0.19			0.17			0.16
Administrator Class		0.16			0.18			0.19			0.17			0.16

²  Total return calculations do not include any sales charges.

³  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in each respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales.

⁴ Calculated based upon average shares outstanding

⁵ For the period from June 30, 2015 (commencement of class operations) to February 29, 2016

⁶ Amount is more than $(0.005).

The accompanying notes are an integral part of these financial statements.

104  |  Target Date Retirement Funds

Financial highlights

Ratio to average net assets (annualized)									Total return2			Portfolio turnover rate3			Net assets at end of period (000s omitted)
Net investment income1			Gross expenses1			Net expenses1
	1.74	%		1.61	%		0.64	%		1.67	%		36	%	$	973
	1.88	%		2.69	%		0.65	%		2.18	%		39	%	$	660
	1.45	%		1.79	%		0.71	%		12.20	%		46	%	$	907
	0.90	%		3.21	%		0.83	%		22.23	%		21	%	$	671
	0.97	%		14.47	%		0.83	%		(10.59	)%		26	%	$	100
	1.09	%		2.35	%		1.39	%		0.94	%		36	%	$	142
	1.10	%		3.06	%		1.40	%		1.42	%		39	%	$	221
	0.73	%		2.41	%		1.47	%		11.37	%		46	%	$	196
	0.39	%		5.30	%		1.58	%		21.22	%		21	%	$	252
	0.21	%		15.14	%		1.58	%		(11.00	)%		26	%	$	173
	1.50	%		1.85	%		0.90	%		1.42	%		36	%	$	67
	1.62	%		2.59	%		0.90	%		1.91	%		39	%	$	54
	1.24	%		1.81	%		0.97	%		11.90	%		46	%	$	50
	0.89	%		4.69	%		1.08	%		21.73	%		21	%	$	127
	0.72	%		14.73	%		1.08	%		(10.66	)%		26	%	$	89
	2.07	%		1.33	%		0.34	%		1.94	%		36	%	$	2,297
	2.34	%		3.01	%		0.34	%		2.56	%		39	%	$	2,038
	1.81	%		1.38	%		0.41	%		12.61	%		46	%	$	5,119
	1.14	%		1.88	%		0.52	%		22.45	%		21	%	$	6,443
	1.29	%		14.19	%		0.52	%		(10.30	)%		26	%	$	195
	2.20	%		1.18	%		0.19	%		2.07	%		36	%	$	15,541
	2.36	%		1.88	%		0.19	%		2.68	%		39	%	$	10,497
	1.95	%		1.29	%		0.26	%		12.70	%		46	%	$	12,115
	1.31	%		1.82	%		0.37	%		22.75	%		21	%	$	12,518
	1.41	%		14.05	%		0.37	%		(10.30	)%		26	%	$	573
	1.87	%		1.53	%		0.54	%		1.79	%		36	%	$	3,623
	2.06	%		2.42	%		0.54	%		2.32	%		39	%	$	3,068
	1.58	%		1.61	%		0.61	%		12.27	%		46	%	$	4,267
	0.98	%		2.31	%		0.72	%		22.38	%		21	%	$	4,427
	1.10	%		14.35	%		0.72	%		(10.50	)%		26	%	$	359

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  105

Notes to financial statements

1. ORGANIZATION

Wells Fargo Funds Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As an investment company, the Trust follows the accounting and reporting guidance in Financial Accounting Standards Board Accounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statements report on the following funds: Wells Fargo Target Today Fund (“Target Today Fund”), Wells Fargo Target 2010 Fund (“Target 2010 Fund”), Wells Fargo Target 2015 Fund (“Target 2015 Fund”), Wells Fargo Target 2020 Fund (“Target 2020 Fund”), Wells Fargo Target 2025 Fund (“Target 2025 Fund”), Wells Fargo Target 2030 Fund (“Target 2030 Fund”), Wells Fargo Target 2035 Fund (“Target 2035 Fund”), Wells Fargo Target 2040 Fund (“Target 2040 Fund”), Wells Fargo Target 2045 Fund (“Target 2045 Fund”), Wells Fargo Target 2050 Fund (“Target 2050 Fund”), Wells Fargo Target 2055 Fund (“Target 2055 Fund”), and Wells Fargo Target 2060 Fund (“Target 2060 Fund”) (each, a “Fund”, collectively, the “Funds”). Each Fund is a diversified series of the Trust.

Each Fund is a fund-of-funds which seeks to achieve its investment objective by investing in multiple diversified portfolios (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 a Fund investing in an affiliated Master Portfolio acquires an indirect interest in those securities. Each Fund accounts for its investment in the affiliated Master Portfolios as partnership investments and records on a daily basis its share of each affiliated Master Portfolio’s income, expense and realized and unrealized gains and losses. The financial statements of the affiliated Master Portfolios are presented in separate financial statements and may be obtained free of charge by contacting Investor Services or by visiting the SEC website at sec.gov. The financial statements of the affiliated Master Portfolios are filed with the SEC under Wells Fargo Master Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of each Fund, are in conformity with U.S. generally accepted accounting principles which require management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

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 Funds may deviate from this calculation time under unusual or unexpected circumstances.

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

Investment transactions, income and expenses

Investments in affiliated Master Portfolios are recorded on a trade date basis.

Each Fund records daily its proportionate share of each affiliated Master Portfolio’s income, expenses and realized and unrealized gains or losses. Each Fund also accrues its own expenses.

Distributions to shareholders

For each Fund (except Target Today Fund, Target 2010 Fund and Target 2015 Fund), distributions to shareholders from net investment income and any net realized gains are recorded on the ex-dividend date and paid at least annually. For Target Today Fund, Target 2010 Fund and Target 2015 Fund, distributions to shareholders are recorded on the ex-dividend date and paid from net investment income quarterly and any net realized gains are paid at least annually. Such distributions are determined in accordance with income tax regulations and may differ from U.S. generally accepted accounting principles. Dividend sources are estimated at the time of declaration. The tax character of distributions is determined as of each Fund’s fiscal year end. Therefore, a portion of each Fund’s distributions made prior the Fund’s fiscal year end may be categorized as a tax return of capital at year end.

Federal and other taxes

Each Fund is treated as a separate entity for federal income tax purposes. Each Fund intends to continue to qualify as a regulated investment company by distributing substantially all of its investment company taxable income and any net realized capital gains (after reduction for capital loss carryforwards) sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provision for federal income taxes was required.

106  |  Target Date Retirement Funds

Notes to financial statements

Each Fund’s income and federal excise tax returns and all financial records supporting those returns for the prior three fiscal years are subject to examination by the federal and Delaware revenue authorities. Management has analyzed each Fund’s tax positions taken on federal, state, and foreign tax returns for all open tax years and does not believe that there are any uncertain tax positions that require recognition of a tax liability.

As of February 29, 2020, the aggregate cost of all investments for federal income tax purposes and the unrealized gains (losses) were as follows:

	Tax cost		Gross unrealized gains		Gross unrealized losses			Net unrealized gains (losses)
Target Today Fund	$	56,804,484	$	7,088,582	$	0		$	7,088,582
Target 2010 Fund		38,149,182		19,572,669		0			19,572,669
Target 2015 Fund		51,598,820		11,399,999		0			11,399,999
Target 2020 Fund		327,980,840		41,802,089		0			41,802,089
Target 2025 Fund		227,815,743		20,379,303		0			20,379,303
Target 2030 Fund		489,651,056		39,817,769		0			39,817,769
Target 2035 Fund		205,153,966		13,504,648		0			13,504,648
Target 2040 Fund		443,600,981		24,783,639		0			24,783,639
Target 2045 Fund		105,679,385		4,987,159		0			4,987,159
Target 2050 Fund		201,584,536		11,202,014		0			11,202,014
Target 2055 Fund		35,646,316		0		(686,416	)		(686,416	)
Target 2060 Fund		22,598,219		136,622		0			136,622

Reclassifications are made to each Fund’s capital accounts for permanent tax differences to reflect income and gains available for distribution (or available capital loss carryforwards) under federal income tax regulations. U.S. generally accepted accounting principles require that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. At February 29, 2020, as a result of permanent book-to-tax differences, the following reclassification adjustments were made on the Statements of Assets and Liabilities:

	Paid-in capital		Total distributable earnings (loss)
Target Today Fund	$	10,089	$	(10,089	)
Target 2010 Fund		9,056		(9,056	)
Target 2015 Fund		10,084		(10,084	)
Target 2020 Fund		50,788		(50,788	)
Target 2025 Fund		27,573		(27,573	)
Target 2030 Fund		44,910		(44,910	)
Target 2035 Fund		14,407		(14,407	)
Target 2040 Fund		20,015		(20,015	)
Target 2045 Fund		3,782		(3,782	)
Target 2050 Fund		4,843		(4,843	)
Target 2055 Fund		809		(809	)
Target 2060 Fund		482		(482	)

As of February 29, 2020, Target 2055 Fund had capital loss carryforwards which consist of $56,604 in short-term capital losses.

Target Date Retirement Funds  |  107

Notes to financial statements

Class allocations

The separate classes of shares offered by each Fund differ principally in applicable sales charges, distribution, shareholder servicing, and administration fees. Class specific expenses are charged directly to that share class. Investment income, common fund-level expenses, and realized and unrealized gains (losses) on investments are allocated daily to each class of shares based on the relative proportion of net assets of each class.

3. FAIR VALUATION MEASUREMENTS

At February 29, 2020, 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 aggregate fair value of affiliated Master Portfolios held in each Fund was as follows:

	Aggregate fair value of affiliated Master Portfolios
Target Today Fund	$	63,893,066
Target 2010 Fund		57,721,851
Target 2015 Fund		62,998,819
Target 2020 Fund		369,782,929
Target 2025 Fund		248,195,046
Target 2030 Fund		529,468,825
Target 2035 Fund		218,658,614
Target 2040 Fund		468,384,620
Target 2045 Fund		110,666,544
Target 2050 Fund		212,786,550
Target 2055 Fund		34,959,900
Target 2060 Fund		22,734,841

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. Aggregate 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 (Net), before fees and expenses
Wells Fargo Factor Enhanced International Portfolio	Seeks to replicate the total return of the Wells Fargo Factor Enhanced International Index (Net), 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

Each affiliated Master Portfolio does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.

108  |  Target Date Retirement Funds

Notes to financial statements

4. TRANSACTIONS WITH AFFILIATES

Management fee

Wells Fargo Funds Management, LLC (“Funds Management”), an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”), is the manager of each Fund and provides advisory and fund-level administrative services under an investment management agreement. Under the investment management agreement, Funds Management is responsible for, among other services, implementing the investment objectives and strategies of each Fund, supervising the subadviser and providing fund-level administrative services in connection with each Fund’s operations. As compensation for its services under the investment management agreement, Funds Management is entitled to receive a management fee at the following annual rate based on each Fund’s average daily net assets:

Average daily net assets	Management fee
First $5 billion		0.10	%
Next $5 billion		0.09
Over $10 billion		0.08

For the year ended February 29, 2020, the management fee was equivalent to an annual rate of 0.10% of each Fund’s average daily net assets.

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Funds. The fees for subadvisory services is borne by Funds Management. Wells Capital Management Incorporated, an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo, is the subadviser to each Fund and is entitled to receive a fee from Funds Management at an annual rate starting at 0.05% and declining to 0.03% as the average daily net assets of each Fund increase.

Funds Management also serves as the adviser to each affiliated Master Portfolio and is entitled to receive a fee from each affiliated Master Portfolio for those services.

Administration fees

Under a class-level administration agreement, Funds Management provides class-level administrative services to each Fund, which includes paying fees and expenses for services provided by the transfer agent, sub-transfer agents, omnibus account servicers and record-keepers. As compensation for its services under the class-level administration agreement, Funds Management receives an annual fee which is calculated based on the average daily net assets of each class as follows:

	Class-level administration fee
Class A, Class C, Class R		0.21	%
Class R4		0.08
Class R6		0.03
Administrator Class		0.13

Waivers and/or expense reimbursements

Funds Management has contractually waived and/or reimbursed management and administration fees to the extent necessary to maintain certain net operating expense ratios for the Fund. When each class of the Fund has exceeded its expense cap, Funds Management has waived fees and/or reimbursed expenses from fund-level expenses on a proportionate basis and then from class specific expenses. When only certain classes exceed their expense caps, waivers and/or reimbursements are applied against class specific expenses before fund-level expenses. Funds Management has committed through June 30, 2020 to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’s expenses at 0.65% for Class A shares, 1.40% for Class C shares, 0.90% for Class R shares, 0.34% for Class R4 shares, 0.19% for Class R6 shares, and 0.54% for Administrator Class shares. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees.

Distribution fees

The Trust has adopted a Distribution Plan for Class C and Class R shares of the Funds pursuant to Rule 12b-1 under the 1940 Act. Distribution fees are charged to Class C and Class R shares and paid to Wells Fargo Funds Distributor, LLC (“Funds Distributor”), the principal underwriter of each Fund, at an annual rate of 0.75% of the average daily net assets of Class C shares and 0.25% of the average daily net assets of Class R shares.

Target Date Retirement Funds  |  109

Notes to financial statements

In addition, Funds Distributor is entitled to receive the front-end sales charge from the purchase of Class A shares and a contingent deferred sales charge on the redemption of certain Class A shares. Funds Distributor is also entitled to receive the contingent deferred sales charges from redemptions of Class C shares. For the year ended February 29, 2020, Funds Distributor received front-end sales charges and contingent deferred sales charges from the following Funds:

	Front-end sales charges		Contingent deferred sales charges
	Class A		Class C
Target Today Fund	$	5		$6
Target 2010 Fund		82		6
Target 2020 Fund		1,776		0
Target 2025 Fund		302		N/A
Target 2030 Fund		1,480		0
Target 2035 Fund		867		N/A
Target 2040 Fund		1,183		0
Target 2045 Fund		641		N/A
Target 2050 Fund		713		50
Target 2055 Fund		112		N/A
Target 2060 Fund		73		0

For the year ended February 29, 2020, the Funds did not received any contingent deferred sales charges on Class A shares.

Shareholder servicing fees

The Trust has entered into contracts with one or more shareholder servicing agents, whereby Class A, Class C, Class R, and Administrator Class of each Fund are charged a fee at an annual rate of 0.25% of the average daily net assets of each respective class. Class R4 is charged a fee at an annual rate of 0.10% of its average daily net assets. A portion of these total shareholder servicing fees were paid to affiliates of Wells Fargo.

5. INVESTMENT PORTFOLIO TRANSACTIONS

The Funds seek to achieve their investment objectives by investing substantially all of their investable assets in affiliated Master Portfolios. Purchases and sales related to these investments have been calculated by aggregating the results of multiplying each Fund’s ownership percentage in the respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. Purchases and sales of investments, excluding short-term securities, for the year ended February 29, 2020 were as follows:

	Purchases at cost				Sales proceeds
	U.S. government		Non-U.S. government		U.S. government		Non-U.S. government
Target Today Fund	$	13,576,702	$	11,659,357	$	11,932,055	$	18,274,868
Target 2010 Fund		12,068,680		10,736,509		10,606,241		16,829,550
Target 2015 Fund		12,337,808		12,494,391		10,842,739		19,666,010
Target 2020 Fund		65,774,931		79,767,954		57,607,527		125,187,620
Target 2025 Fund		35,886,275		61,906,922		30,786,433		95,063,404
Target 2030 Fund		60,214,488		148,985,240		50,618,877		223,318,420
Target 2035 Fund		18,279,344		68,310,129		15,215,850		101,032,597
Target 2040 Fund		26,779,494		159,037,890		22,291,440		234,466,423
Target 2045 Fund		4,737,231		39,227,128		3,943,293		57,723,076
Target 2050 Fund		6,410,920		78,225,792		5,336,498		114,953,847
Target 2055 Fund		1,060,338		12,855,541		882,632		18,884,604
Target 2060 Fund		670,375		8,378,778		558,023		12,308,262

110  |  Target Date Retirement Funds

Notes to financial statements

6. BANK BORROWINGS

The Trust (excluding the money market funds), Wells Fargo Master Trust and Wells Fargo Variable Trust are parties to a $280,000,000 revolving credit agreement whereby each Fund is permitted to use bank borrowings for temporary or emergency purposes, such as to fund shareholder redemption requests. Interest under the credit agreement is charged to each Fund based on a borrowing rate equal to the higher of the Federal Funds rate in effect on that day plus 1.25% or the overnight LIBOR rate in effect on that day plus 1.25%. In addition, an annual commitment fee equal to 0.25% of the unused balance is allocated to each participating fund.

For the year ended February 29, 2020, there were no borrowings by the Funds under the agreement.

7. DISTRIBUTIONS TO SHAREHOLDERS

The tax character of distributions paid during the years ended February 29, 2020, and February 28, 2019, were as follows:

	Ordinary income				Long-term capital gain
	2020		2019		2020		2019
Target Today Fund	$	1,674,354	$	2,598,411	$	483,987	$	3,227,246
Target 2010 Fund		1,528,224		3,122,464		561,960		3,794,995
Target 2015 Fund		1,905,919		4,694,034		1,805,871		9,347,592
Target 2020 Fund		9,353,571		25,139,928		4,658,537		32,600,522
Target 2025 Fund		7,456,663		15,835,434		8,434,027		37,630,549
Target 2030 Fund		13,067,359		33,293,575		8,854,370		53,161,712
Target 2035 Fund		5,613,342		15,806,349		3,810,711		27,806,203
Target 2040 Fund		10,673,051		30,356,656		5,969,583		48,427,730
Target 2045 Fund		3,024,677		10,355,033		909,574		16,554,531
Target 2050 Fund		4,871,843		17,429,561		5,500,890		34,354,462
Target 2055 Fund		839,254		2,008,124		0		4,724,436
Target 2060 Fund		443,733		505,426		2,189		534,294

As of February 29, 2020, the components of distributable earnings on a tax basis were as follows:

	Undistributed ordinary income		Undistributed long-term gain		Unrealized gains (losses)			Capital loss carryforward
Target Today Fund	$	233,038	$	475,182	$	7,088,582		$	0
Target 2010 Fund		211,086		468,500		19,572,669			0
Target 2015 Fund		268,644		735,076		11,399,999			0
Target 2020 Fund		1,395,790		3,620,615		41,802,089			0
Target 2025 Fund		1,235,341		3,670,396		20,379,303			0
Target 2030 Fund		2,363,104		6,592,604		39,817,769			0
Target 2035 Fund		838,536		3,333,842		13,504,648			0
Target 2040 Fund		1,445,492		6,871,980		24,783,639			0
Target 2045 Fund		211,407		2,046,419		4,987,159			0
Target 2050 Fund		857,019		3,719,878		11,202,014			0
Target 2055 Fund		45,592		0		(686,416	)		(56,604	)
Target 2060 Fund		48,417		16,175		136,622			0

Target Date Retirement Funds  |  111

Notes to financial statements

8. INDEMNIFICATION

Under the Trust’s organizational documents, the officers and Trustees have been granted certain indemnification rights against certain liabilities that may arise out of performance of their duties to the Trust. Additionally, in the normal course of business, the Trust may enter into contracts with service providers that contain a variety of indemnification clauses. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be estimated.

9. NEW ACCOUNTING PRONOUNCEMENT

In August 2018, FASB issued Accounting Standards Update (“ASU”) No. 2018-13, Fair Value Measurement (Topic 820) Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement. ASU 2018-13 updates the disclosure requirements for fair value measurements by modifying or removing certain disclosures and adding certain new disclosures. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Early adoption is permitted. Management has adopted the removal and modification of disclosures early, as permitted, and will adopt the additional new disclosures at the effective date.

10. SUBSEQUENT EVENT

On March 11, 2020, the World Health Organization announced that it had made the assessment that coronavirus disease 2019 (“COVID-19”) is a pandemic. The impacts of COVID-19 is adversely affecting the entire global economy, individual companies and investment products, and the market in general. There is significant uncertainty around the extent and duration of business disruptions related to COVID-19 and the impact may be short term or may last for an extended period of time. The risk of further spreading of COVID-19 has led to significant uncertainty and volatility in the financial markets and the value of the Funds and the securities in which the Funds invest have generally been adversely affected by impacts caused by COVID-19.

112  |  Target Date Retirement Funds

Report of independent registered public accounting firm

To the Shareholders of the Funds and Board of Trustees

Wells Fargo Funds Trust:

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of Wells Fargo Target Today Fund, Wells Fargo Target 2010 Fund, Wells Fargo Target 2015 Fund, Wells Fargo Target 2020 Fund, Wells Fargo Target 2025 Fund, Wells Fargo Target 2030 Fund, Wells Fargo Target 2035 Fund, Wells Fargo Target 2040 Fund, Wells Fargo Target 2045 Fund, Wells Fargo Target 2050 Fund, Wells Fargo Target 2055 Fund, and Wells Fargo Target 2060 Fund (collectively, the Funds), twelve of the funds constituting Wells Fargo Funds Trust, including the portfolios of investments, as of February 29, 2020, the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years or periods in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material- respects, the financial position of the Funds as of February 29, 2020, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of February 29, 2020, by correspondence with the transfer agent. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

We have not been able to determine the specific year that we began serving as the auditor of one or more Wells Fargo Funds investment companies; however we are aware that we have served as the auditor of one or more Wells Fargo Funds investment companies since at least 1955.

Boston, Massachusetts

April 28, 2020

Target Date Retirement Funds  |  113

Other information (unaudited)

TAX INFORMATION

For corporate shareholders, pursuant to Section 854 of the Internal Revenue Code, the percentage of ordinary income dividends qualifying for the corporate dividends-received deduction was as follows for the fiscal year ended February 29, 2020:

	Dividends-received deduction
Target Today Fund		12.52	%
Target 2010 Fund		13.47
Target 2015 Fund		14.21
Target 2020 Fund		18.63
Target 2025 Fund		20.48
Target 2030 Fund		27.76
Target 2035 Fund		33.67
Target 2040 Fund		39.02
Target 2045 Fund		42.16
Target 2050 Fund		40.14
Target 2055 Fund		43.99
Target 2060 Fund		44.32

Pursuant to Section 852 of the Internal Revenue Code, the following amounts were designated as a 20% rate gain distribution for the fiscal year ended February 29, 2020:

	20% rate gain distribution
Target Today Fund	$	483,987
Target 2010 Fund		561,960
Target 2015 Fund		1,805,871
Target 2020 Fund		4,658,537
Target 2025 Fund		8,434,027
Target 2030 Fund		8,854,370
Target 2035 Fund		3,810,711
Target 2040 Fund		5,969,583
Target 2045 Fund		909,574
Target 2050 Fund		5,500,890
Target 2060 Fund		2,189

114  |  Target Date Retirement Funds

Other information (unaudited)

Pursuant to Section 854 of the Internal Revenue Code, the following amounts of income dividends paid during the fiscal year ended February 29, 2020 have been designated as qualified dividend income (QDI):

	QDI
Target Today Fund	$	386,500
Target 2010 Fund		382,770
Target 2015 Fund		504,632
Target 2020 Fund		3,238,642
Target 2025 Fund		2,899,534
Target 2030 Fund		7,049,093
Target 2035 Fund		3,737,588
Target 2040 Fund		8,304,205
Target 2045 Fund		2,616,010
Target 2050 Fund		3,970,807
Target 2055 Fund		749,367
Target 2060 Fund		392,161

For the fiscal year ended February 29, 2020, the following amounts have been designated as interest-related dividends for nonresident alien shareholders pursuant to Section 871 of the Internal Revenue Code:

	Interest-related dividends
Target Today Fund	$	1,014,736
Target 2010 Fund		915,884
Target 2015 Fund		1,028,880
Target 2020 Fund		4,841,354
Target 2025 Fund		3,014,003
Target 2030 Fund		4,651,071
Target 2035 Fund		1,526,876
Target 2040 Fund		2,140,704
Target 2045 Fund		457,440
Target 2050 Fund		614,117
Target 2055 Fund		104,308
Target 2060 Fund		55,770

Target Date Retirement Funds  |  115

Other information (unaudited)

For the fiscal year ended February 29, 2020, the following amounts have been designated as short-term capital gain dividends for nonresident alien shareholders pursuant to Section 871 of the Internal Revenue Code:

	Short-term capital gain dividends
Target Today Fund	$	71,713
Target 2010 Fund		44,183
Target 2015 Fund		141,783
Target 2020 Fund		100,449
Target 2025 Fund		741,468
Target 2030 Fund		159,114

For the fiscal year ended February 29, 2020, the percentage of ordinary income distributed which was derived from interest on U.S. government securities was as follows:

	% of U.S. government income
Target Today Fund		18.52	%
Target 2010 Fund		18.38
Target 2015 Fund		16.37
Target 2020 Fund		15.51
Target 2025 Fund		11.19
Target 2030 Fund		9.38
Target 2035 Fund		6.88
Target 2040 Fund		4.88
Target 2045 Fund		3.53
Target 2050 Fund		2.76
Target 2055 Fund		2.68
Target 2060 Fund		2.81

PROXY VOTING INFORMATION

A description of the policies and procedures used to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling 1-800-222-8222, visiting our website at wfam.com, or visiting the SEC website at sec.gov. Information regarding how the proxies related to portfolio securities were voted during the most recent 12-month period ended June 30 is available on the website at wfam.com or by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS INFORMATION

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. Shareholders may view the filed Form N-PORT by visiting the SEC website at sec.gov.

116  |  Target Date Retirement Funds

Other information (unaudited)

BOARD OF TRUSTEES AND OFFICERS

Each of the Trustees and Officers¹ listed in the table below acts in identical capacities for each fund in the Wells Fargo family of funds, which consists of 146 mutual funds comprising the Wells Fargo Funds Trust, Wells Fargo Variable Trust, Wells Fargo Master Trust and four closed-end funds (collectively the “Fund Complex”). This table should be read in conjunction with the Prospectus and the Statement of Additional Information². The mailing address of each Trustee and Officer is 525 Market Street, 12th Floor, San Francisco, CA 94105. Each Trustee and Officer serves an indefinite term, however, each Trustee serves such term until reaching the mandatory retirement age established by the Trustees.

Independent Trustees

Name and year of birth	Position held and length of service*	Principal occupations during past five years or longer	Current other public company or investment company directorships
William R. Ebsworth (Born 1957)	Trustee, since 2015	Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder.	N/A
Jane A. Freeman (Born 1953)	Trustee, since 2015; Chair Liaison, since 2018	Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is a Board Member of The Ruth Bancroft Garden (non-profit organization). She is also an inactive Chartered Financial Analyst.	N/A
Isaiah Harris, Jr. (Born 1952)	Trustee, since 2009; Audit Committee Chairman, since 2019	Retired. Chairman of the Board of CIGNA Corporation since 2009, and Director since 2005. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Child Evangelism Fellowship (non-profit). Mr. Harris is a certified public accountant (inactive status).	CIGNA Corporation
Judith M. Johnson (Born 1949)	Trustee, since 2008; Audit Committee Chairman, from 2009 to 2018	Retired. Prior thereto, Chief Executive Officer and Chief Investment Officer of Minneapolis Employees Retirement Fund from 1996 to 2008. Ms. Johnson is an attorney, certified public accountant and a certified managerial accountant.	N/A

Target Date Retirement Funds   |  117

Other information (unaudited)

Name and year of birth	Position held and length of service*	Principal occupations during past five years or longer	Current other public company or investment company directorships
David F. Larcker (Born 1950)	Trustee, since 2009	James Irvin Miller Professor of Accounting at the Graduate School of Business, Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005.	N/A
Olivia S. Mitchell (Born 1953)	Trustee, since 2006; Nominating and Governance Committee Chair, since 2018	International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993.	N/A
Timothy J. Penny (Born 1951)	Trustee, since 1996; Chairman, since 2018	President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007.	N/A
James G. Polisson (Born 1959)	Trustee, since 2018	Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non-profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations.	N/A
Pamela Wheelock3 (Born 1959)	Trustee, since January 2020; previously Trustee from January 2018 to July 2019	Board member of the Destination Medical Center Economic Development Agency, Rochester, Minnesota since 2019. Acting Commissioner, Minnesota Department of Human Services, July 2019 through September 2019. Human Services Manager (part-time), Minnesota Department of Human Services, October 2019 through December 2019. Chief Operating Officer, Twin Cities Habitat for Humanity from 2017 to 2019. Vice President of University Services, University of Minnesota from 2012 to 2016. Prior thereto, on the Board of Directors, Governance Committee and Finance Committee for the Minnesota Philanthropy Partners (Saint Paul Foundation) from 2012 to 2018, Interim Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2011 to 2012, Chairman of the Board from 2009 to 2012 and Board Director from 2003 to 2015. Vice President, Leadership and Community Engagement, Bush Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011. Executive Vice President and Chief Financial Officer, Minnesota Sports and Entertainment from 2004 to 2009 and Senior Vice President from 2002 to 2004. Executive Vice President of the Minnesota Wild Foundation from 2004 to 2008. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently Board Chair of the Minnesota Wild Foundation since 2010.	N/A

* Length of service dates reflect the Trustee’s commencement of service with the Trust’s predecessor entities, where applicable.

118  |  Target Date Retirement Funds

Other information (unaudited)

Officers

Name and year of birth	Position held and length of service	Principal occupations during past five years or longer
Andrew Owen (Born 1960)	President, since 2017	Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014.
Jeremy DePalma1 (Born 1974)	Treasurer, since 2012	Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010.
Michelle Rhee (Born 1966)	Chief Legal Officer, since 2019	Secretary of Wells Fargo Funds Management, LLC, Chief Legal Counsel of Wells Fargo Asset Management and Assistant General Counsel of Wells Fargo Bank, N.A. since 2018. Associate General Counsel and Managing Director of Bank of America Corporation from 2004 to 2018.
Catherine Kennedy (Born 1969)	Secretary, since 2019	Vice President of Wells Fargo Funds Management, LLC and Senior Counsel of the Wells Fargo Legal Department since 2010. Vice President and Senior Counsel of Evergreen Investment Management Company, LLC from 1998 to 2010.
Michael H. Whitaker (Born 1967)	Chief Compliance Officer, since 2016	Chief Compliance Officer of Wells Fargo Asset Management since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016.
David Berardi (Born 1975)	Assistant Treasurer, since 2009	Vice President of Wells Fargo Funds Management, LLC since 2009. Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010. Manager of Fund Reporting and Control for Evergreen Investment Management Company, LLC from 2004 to 2010.

¹ Jeremy DePalma acts as Treasurer of 82 funds and Assistant Treasurer of 64 funds in the Fund Complex.

² The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling 1-800-222-8222 or by visiting the website at wfam.com.

³  Pamela Wheelock was re-appointed to the Board effective January 1, 2020.

Target Date Retirement Funds   |  119

Appendix I (unaudited)

On February 29, 2020, the Wells Fargo Target Blended Indexes were composed of the following indexes:

	Wells Fargo Target Today Blended Index			Wells Fargo Target 2010 Blended Index			Wells Fargo Target 2015 Blended Index
Bloomberg Barclays U.S. Aggregate ex-Corporate Index		34.50	%		34.00	%		31.55	%
Bloomberg Barclays U.S. Government Intermediate Bond Index		5.83	%		5.75	%		5.33	%
Bloomberg Barclays U.S. Treasury Inflation Notes: 1-10 Year Index		5.83	%		5.75	%		5.33	%
JP Morgan EMBI Global Diversified Index		2.94	%		2.90	%		2.69	%
Wells Fargo Factor Enhanced Emerging Markets Index (Net)		2.22	%		2.29	%		2.66	%
Wells Fargo Factor Enhanced International Index (Net)		7.41	%		7.66	%		8.89	%
Wells Fargo Factor Enhanced Large Cap Index		14.31	%		14.79	%		17.17	%
Wells Fargo Factor Enhanced Small Cap Index		3.57	%		3.69	%		4.28	%
Wells Fargo U.S. High Yield Bond Index		2.94	%		2.90	%		2.69	%
Wells Fargo U.S. Investment Grade Corporate Bond Index		17.95	%		17.69	%		16.41	%
Wells Fargo U.S. REIT Index		2.50	%		2.58	%		3.00	%

Average annual total returns (%) as of February 29, 2020

	1 year			5 year		10 year
Bloomberg Barclays U.S. Aggregate ex-Corporate Index1*		10.34			–		–
Bloomberg Barclays U.S. Government Intermediate Bond Index2		8.05			2.46		2.52
Bloomberg Barclays U.S. Treasury Inflation Notes: 1-10 Year Index3		7.86			2.48		2.70
JP Morgan EMBI Global Diversified Index4		9.68			5.98		6.78
Wells Fargo Factor Enhanced Emerging Markets Index (Net)5**		(6.74	)		–		–
Wells Fargo Factor Enhanced International Index (Net)6**		0.57			–		–
Wells Fargo Factor Enhanced Large Cap Index7**		3.85			–		–
Wells Fargo Factor Enhanced Small Cap Index8**		(5.66	)		–		–
Wells Fargo U.S. High Yield Bond Index9**		5.02			–		–
Wells Fargo U.S. Investment Grade Corporate Bond Index10**		15.67			–		–
Wells Fargo U.S. REIT Index11***		2.85			–		–

* The inception date of the index is December 2015.

** The inception date of the index is April 2017.

*** The inception date is March 2017.

¹ The Bloomberg Barclays U.S. Aggregate ex-Corporate Index is a broad-based benchmark that includes Treasuries, government-related securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities and commercial mortgage-backed securities (agency and non-agency). You cannot invest directly in an index.

² The Bloomberg Barclays U.S. Government Intermediate Bond Index is an unmanaged index composed of U.S. government securities with maturities in the 1- to 10-year range, including securities issued by the U.S. Treasury and U.S. government agencies. You cannot invest directly in an index.

³ Bloomberg Barclays U.S. Treasury Inflation Notes: 1-10 Year Index measures the performance of the U.S. Treasury Inflation Protected Securities (TIPS) market with maturities more than 1 year and less than 10 years. Federal Reserve holdings of U.S. TIPS are not index eligible and are excluded from the face amount outstanding of each bond in the index. You cannot invest directly in an index.

⁴ The JP Morgan Emerging Markets Bond Index (“EMBI”) Global Diversified Index is a composite index representing an unleveraged investment in emerging market bonds that is broadly based across the spectrum of emerging market bonds and includes reinvestment of income (to represent real assets). You cannot invest directly in an index.

⁵ The Wells Fargo Factor Enhanced Emerging Markets Index (Net) is an index of equity securities that is derived from a universe of companies domiciled in various emerging markets countries and that possess, in aggregate, diversified exposure to investment factors (or characteristics) that are commonly tied to a stock’s potential for enhanced risk-adjusted returns relative to the market. You cannot invest directly in an index.

120  |  Target Date Retirement Funds

Appendix I (unaudited)

Wells Fargo Target 2020 Blended Index			Wells Fargo Target 2025 Blended Index			Wells Fargo Target 2030 Blended Index			Wells Fargo Target 2035 Blended Index			Wells Fargo Target 2040 Blended Index			Wells Fargo Target 2045 Blended Index			Wells Fargo Target 2050 Blended Index			Wells Fargo Target 2055 Blended Index			Wells Fargo Target 2060 Blended Index
	28.97	%		25.90	%		21.86	%		16.58	%		11.24	%		8.29	%		5.92	%		5.92	%		5.92	%
	4.50	%		2.13	%		0.53	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
	4.50	%		2.13	%		0.53	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
	2.47	%		2.18	%		1.84	%		1.40	%		0.95	%		0.70	%		0.50	%		0.50	%		0.50	%
	3.16	%		4.17	%		5.25	%		6.31	%		7.31	%		7.84	%		8.28	%		8.28	%		8.28	%
	10.53	%		13.88	%		17.54	%		21.21	%		24.37	%		26.22	%		27.72	%		27.72	%		27.72	%
	20.12	%		25.39	%		30.74	%		35.58	%		39.46	%		41.55	%		43.20	%		43.20	%		43.20	%
	5.03	%		6.37	%		7.69	%		8.90	%		9.87	%		10.39	%		10.80	%		10.80	%		10.80	%
	2.47	%		2.18	%		1.84	%		1.40	%		0.95	%		0.70	%		0.50	%		0.50	%		0.50	%
	15.08	%		13.47	%		11.38	%		8.62	%		5.85	%		4.31	%		3.08	%		3.08	%		3.08	%
	3.17	%		2.20	%		0.80	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%

⁶ The Wells Fargo Factor Enhanced International Index (Net) is an index of equity securities that is derived from a universe of companies domiciled in various developed markets outside the U.S. and that possess, in aggregate, diversified exposure to investment factors (or characteristics) that are commonly tied to a stock’s potential for enhanced risk-adjusted returns relative to the market. You cannot invest directly in an index.

⁷ The Wells Fargo Factor Enhanced Large Cap Index is an index of equity securities that is derived from a universe of the largest 1,000 companies in the U.S. market and that possess, in aggregate, diversified exposure to investment factors (or characteristics) that are commonly tied to a stock’s potential for enhanced risk-adjusted returns relative to the market. You cannot invest directly in an index.

⁸ The Wells Fargo Factor Enhanced Small Cap Index is an index of equity securities that is derived from a universe of the smallest 2,000 companies in the U.S. market and that possess, in aggregate, diversified exposure to investment factors (or characteristics) that are commonly tied to a stock’s potential for enhanced risk-adjusted returns relative to the market. You cannot invest directly in an index.

⁹ The Wells Fargo U.S. High Yield Bond Index is a rules-based index designed to measure the performance of U.S. dollar-denominated below investment-grade corporate debt issued by U.S. or foreign issuers that have a remaining maturity of at least one year, regardless of optionality; it is constructed to provide increased diversification and liquidity versus traditional passive high yield bond indexes. You cannot invest directly in an index.

¹⁰ The Wells Fargo U.S. Investment Grade Corporate Bond Index is a rules-based index designed to measure the performance of publicly issued U.S. dollar-denominated investment grade, fixed rate corporate bonds issued by U.S. or foreign issuers that have a remaining maturity of at least one year, regardless of optionality; it is constructed to provide increased diversification and liquidity versus traditional passive corporate credit indexes. You cannot invest directly in an index.

¹¹ The Wells Fargo U.S. REIT Index is a float-adjusted, capitalization-weighted index of all applicable NYSE MKT or NASDAQ-listed classes of REIT stock that satisfy specified market capitalization and other eligibility requirements. You cannot invest directly in an index.

Target Date Retirement Funds   |  121

Appendix II (unaudited)

Effective on or about May 1, 2020, if you purchase Fund shares through a Janney Montgomery Scott LLC (“Janney”) brokerage account, you will be eligible for the following load waivers (front-end sales charge waivers and contingent deferred sales charge (“CDSC”), or back-end sales charge, waivers) and discounts, which may differ from those disclosed elsewhere in the Fund’s Prospectus or SAI.

Front-end sales charge* waivers on Class A shares available at Janney

Shares purchased through reinvestment of capital gains distributions and dividend reinvestment when purchasing shares of the same fund (but not any other fund within the fund family).

Shares purchased by employees and registered representatives of Janney or its affiliates and their family members as designated by Janney.

Shares purchased from the proceeds of redemptions within the same fund family, provided (1) the repurchase occurs within ninety (90) days following the redemption, (2) the redemption and purchase occur in the same account, and (3) redeemed shares were subject to a front-end or deferred sales load (i.e., right of reinstatement).

Employer-sponsored retirement plans (e.g., 401(k) plans, 457 plans, employer-sponsored 403(b) plans, profit sharing and money purchase pension plans and defined benefit plans). For purposes of this provision, employer-sponsored retirement plans do not include SEP IRAs, Simple IRAs, SAR-SEPs or Keogh plans.

Shares acquired through a right of reinstatement.

Class C shares that are no longer subject to a contingent deferred sales charge and are converted to Class A shares of the same fund pursuant to Janney’s policies and procedures.

CDSC waivers on Class A and Class C shares available at Janney

Shares sold upon the death or disability of the shareholder.

Shares sold as part of a systematic withdrawal plan as described in the Fund’s Prospectus.

Shares purchased in connection with a return of excess contributions from an IRA account.

Shares sold as part of a required minimum distribution for IRA and retirement accounts if the redemption is taken in or after the year the shareholder reaches qualified age based on applicable IRS regulations.

Shares sold to pay Janney fees but only if the transaction is initiated by Janney.

Shares acquired through a right of reinstatement.

Shares exchanged into the same share class of a different fund.

Front-end sales charge* discounts available at Janney; breakpoints, rights of accumulation and/or letters of intent

Breakpoints as described in the Fund’s Prospectus.

Rights of accumulation (“ROA”), which entitle shareholders to breakpoint discounts, will be automatically calculated based on the aggregated holding of fund family assets held by accounts within the purchaser’s household at Janney. Eligible fund family assets not held at Janney may be included in the ROA calculation only if the shareholder notifies his or her financial advisor about such assets.

Letters of intent which allow for breakpoint discounts based on anticipated purchases within a fund family, over a 13-month time period. Eligible fund family assets not held at Janney Montgomery Scott may be included in the calculation of letters of intent only if the shareholder notifies his or her financial advisor about such assets.

* Also referred to as an “initial sales charge.”

122  |  Target Date Retirement Funds

Appendix III (unaudited)

Effective on or after May 1, 2020, clients of Edward Jones (also referred to as “shareholders”) purchasing Fund shares on the Edward Jones commission and fee-based platforms are eligible only for the following sales charge discounts (also referred to as “breakpoints”) and waivers, which can differ from breakpoints and waivers described elsewhere in this Prospectus or SAI or through another broker-dealer. In all instances, it is the shareholder’s responsibility to inform Edward Jones at the time of purchase of any relationship, holdings of Wells Fargo Funds or other facts qualifying the purchaser for breakpoints or waivers. Edward Jones can ask for documentation of such circumstance.

Breakpoints available at Edward Jones

Rights of Accumulation (ROA)

The applicable sales charge on a purchase of Class A shares is determined by taking into account all share classes (except any money market funds and retirement plan share classes) of Wells Fargo Funds held by the shareholder or in an account grouped by Edward Jones with other accounts for the purpose of providing certain pricing considerations (“pricing groups”). This includes all share classes held on the Edward Jones platform and/or held on another platform. The inclusion of eligible fund family assets in the rights of accumulation calculation is dependent on the shareholder notifying his or her financial advisor of such assets at the time of calculation.

ROA is determined by calculating the higher of cost or market value (current shares x NAV).

Letter of Intent (LOI)

Through a LOI, shareholders can receive the sales charge and breakpoint discounts for purchases shareholders intend to makeover a 13-month period from the date Edward Jones receives the LOI. The LOI is determined by calculating the higher of cost or market value of qualifying holdings at LOI initiation in combination with the value that the shareholder intends to buy over a 13-month period to calculate the front-end sales charge and any breakpoint discounts. Each purchase the shareholder makes during that 13-month period will receive the sales charge and breakpoint discount that applies to the total amount. The inclusion of eligible fund family assets in the LOI calculation is dependent on the shareholder notifying his or her financial advisor of such assets at the time of calculation. Purchases made before the LOI is received by Edward Jones are not covered under the LOI and will not reduce the sales charge previously paid. Sales charges will be adjusted if LOI is not met.

Sales charges are waived for the following shareholders and in the following situations at Edward Jones:

●   Associates of Edward Jones and its affiliates and their family members who are in the same pricing group (as determined by Edward Jones under its policies and procedures) as the associate. This waiver will continue for the remainder of the associate’s life if the associate retires from Edward Jones in good-standing.

●   Shares purchased in an Edward Jones fee-based program.

●   Shares purchased through reinvestment of capital gains distributions and dividend reinvestment.

●   Shares purchased from the proceeds of redeemed shares of the same fund family so long as the following conditions are met: 1)the proceeds are from the sale of shares within 60 days of the purchase, and 2) the sale and purchase are made in the same share class and the same account or the purchase is made in an individual retirement account with proceeds from liquidations in anon-retirement account.

●   Shares exchanged into Class A shares from another share class so long as the exchange is into the same fund and was initiated at the discretion of Edward Jones. Edward Jones is responsible for any remaining CDSC due to the fund company, if applicable. Any future purchases are subject to the applicable sales charge as disclosed in the prospectus.

●   Exchanges from Class C shares to Class A shares of the same fund, generally, in the 84th month following the anniversary of the purchase date or earlier at the discretion of Edward Jones.

If the shareholder purchases shares that are subject to a CDSC and those shares are redeemed before the CDSC is expired, the shareholder is
responsible to pay the CDSC except in the following conditions available at Edward Jones:

●   The death or disability of the shareholder.

●   Systematic withdrawals with up to 10% per year of the account value.

●   Return of excess contributions from an Individual Retirement Account (IRA).

●   Shares sold as part of a required minimum distribution for IRA and retirement accounts if the redemption is taken in or after the year the shareholder reaches qualified age based on applicable IRS regulation.

●   Shares sold to pay Edward Jones fees or costs in such cases where the transaction is initiated by Edward Jones.

●   Shares exchanged in an Edward Jones fee-based program.

●   Shares acquired through NAV reinstatement.

Target Date Retirement Funds   |  123

Appendix III (unaudited)

Other Important Information for accounts at Edward Jones:

Minimum Purchase Amounts

●   $250 initial purchase minimum

●   $50 subsequent purchase minimum

Minimum Balances

Edward Jones has the right to redeem at its discretion fund holdings with a balance of $250 or less. The following are examples of accounts that are not included in this policy:

●   A fee-based account held on an Edward Jones platform

●   A 529 account held on an Edward Jones platform

●   An account with an active systematic investment plan or letter of intent (LOI)

Changing Share Classes

At any time it deems necessary, Edward Jones has the authority to exchange at NAV a shareholder’s holdings in a fund to Class A shares.

124  |  Target Date Retirement Funds

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For more information

More information about Wells Fargo Funds is available free upon request. To obtain literature, please write, visit the Funds’ website, or call:

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: wfam.com

Individual investors: 1-800-222-8222

Retail investment professionals: 1-888-877-9275

Institutional investment professionals: 1-866-765-0778

This report and the financial statements contained herein are submitted for the general information of the shareholders of Wells Fargo Funds. If this report is used for promotional purposes, distribution of the report must be accompanied or preceded by a current prospectus. Before investing, please consider the investment objectives, risks, charges, and expenses of the investment. For a current prospectus and, if available, a summary prospectus, containing this information, call 1-800-222-8222 or visit the Funds’ website at wfam.com. Read the prospectus carefully before you invest or send money.

Wells Fargo Asset Management (WFAM) is the trade name for certain investment advisory/management firms owned by Wells Fargo & Company. These firms include but are not limited to Wells Capital Management Incorporated and Wells Fargo Funds Management, LLC. Certain products managed by WFAM entities are distributed by Wells Fargo Funds Distributor, LLC (a broker-dealer and Member FINRA).

This material is for general informational and educational purposes only and is NOT intended to provide investment advice or a recommendation of any kind—including a recommendation for any specific investment, strategy, or plan.

INVESTMENT PRODUCTS: NOT FDIC INSURED  ◾  NO BANK GUARANTEE  ◾   MAY LOSE VALUE

© 2020 Wells Fargo & Company. All rights reserved

PAR-0220-04675 04-20

AOUTLD/AR003 02-20

Annual Report

February 29, 2020

Target Date Retirement Funds

∎ Wells Fargo Dynamic Target Today Fund

∎ Wells Fargo Dynamic Target 2015 Fund

∎ Wells Fargo Dynamic Target 2020 Fund

∎ Wells Fargo Dynamic Target 2025 Fund

∎ Wells Fargo Dynamic Target 2030 Fund

∎ Wells Fargo Dynamic Target 2035 Fund

∎ Wells Fargo Dynamic Target 2040 Fund

∎ Wells Fargo Dynamic Target 2045 Fund

∎ Wells Fargo Dynamic Target 2050 Fund

∎ Wells Fargo Dynamic Target 2055 Fund

∎ Wells Fargo Dynamic Target 2060 Fund

Beginning on January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, paper copies of the Wells Fargo Funds’ annual and semi-annual shareholder reports issued after this date will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, by calling 1-800-222-8222 or by enrolling at wellsfargo.com/advantagedelivery.

You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call 1-800-222-8222. Your election to receive reports in paper will apply to all Wells Fargo Funds held in your account with your financial intermediary or, if you are a direct investor, to all Wells Fargo Funds that you hold.

Contents

Letter to shareholders	2
Performance highlights
Wells Fargo Dynamic Target Today Fund	7
Wells Fargo Dynamic Target 2015 Fund	10
Wells Fargo Dynamic Target 2020 Fund	13
Wells Fargo Dynamic Target 2025 Fund	16
Wells Fargo Dynamic Target 2030 Fund	19
Wells Fargo Dynamic Target 2035 Fund	22
Wells Fargo Dynamic Target 2040 Fund	25
Wells Fargo Dynamic Target 2045 Fund	28
Wells Fargo Dynamic Target 2050 Fund	31
Wells Fargo Dynamic Target 2055 Fund	34
Wells Fargo Dynamic Target 2060 Fund	37
Fund expenses	41
Portfolio of investments
Wells Fargo Dynamic Target Today Fund	45
Wells Fargo Dynamic Target 2015 Fund	47
Wells Fargo Dynamic Target 2020 Fund	49
Wells Fargo Dynamic Target 2025 Fund	51
Wells Fargo Dynamic Target 2030 Fund	53
Wells Fargo Dynamic Target 2035 Fund	55
Wells Fargo Dynamic Target 2040 Fund	57
Wells Fargo Dynamic Target 2045 Fund	59
Wells Fargo Dynamic Target 2050 Fund	61
Wells Fargo Dynamic Target 2055 Fund	63
Wells Fargo Dynamic Target 2060 Fund	65

Financial statements
Statements of assets and liabilities	68
Statements of operations	72
Statements of changes in net assets	75
Financial highlights	86
Notes to financial statements	108
Report of independent registered public accounting firm	122
Other information	123
Appendix I	128
Appendix II	130
Appendix III	131

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The views expressed and any forward-looking statements are as of February 29, 2020, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Asset Management. Discussions of individual securities, or the markets generally, or any Wells Fargo Fund are not intended as individual recommendations. Future events or results may vary significantly from those expressed in any forward-looking statements. The views expressed are subject to change at any time in response to changing circumstances in the market. Wells Fargo Asset Management and the Fund disclaim any obligation to publicly update or revise any views expressed or forward-looking statements.

INVESTMENT PRODUCTS: NOT FDIC INSURED  ◾  NO BANK GUARANTEE  ◾  MAY LOSE VALUE

Target Date Retirement Funds  |  1

Letter to shareholders (unaudited)

Andrew Owen

President

Wells Fargo Funds

Dear Shareholder:

We are pleased to offer you this annual report for the Wells Fargo Dynamic Target Date Funds for the 12-month period that ended February 29, 2020. Despite periods of market volatility, particularly at the end of the reporting period in February and with the onset of the coronavirus, returns were positive overall for financial markets as supportive central banks addressed concerns over slowing global economic growth and international trade tensions.

Fixed-income and equity investors had mixed annual returns, as U.S. markets led the way, with much stronger annual returns than non-U.S. markets, among both equities and fixed-income investments. For the period, U.S. stocks, based on the S&P 500 Index,¹ gained 8.19% and international stocks, as measured by the MSCI ACWI ex USA Index (Net),² returned -0.69%. The MSCI EM Index (Net)³ trailed, with a -1.88% return. For bond investors, the Bloomberg Barclays U.S. Aggregate Bond Index⁴ added a healthy 11.68%, the Bloomberg Barclays Global Aggregate ex-USD Index⁵ gained a more modest 4.83%, the Bloomberg Barclays Municipal Bond Index⁶ returned 9.46%, and the ICE BofA U.S. High Yield Index⁷ added 5.91%.

The year began on a strong note but enthusiasm faded.

Financial markets began the period with a tailwind from an increase in central bank supportive actions in response to slowing global growth and ongoing U.S.-China trade issues. By the end of the first quarter of 2019, more accommodative U.S. Federal Reserve (Fed) sentiment and steady U.S. economic and business metrics encouraged domestic investors.

During April, sustained low inflation, solid employment data, and first-quarter U.S. gross domestic product (GDP) of an annualized rate of 3.2% supported favorable sentiment. During May, however, markets tumbled on mixed investment signals. In the U.S., partisan political wrangling ramped up in advance of the 2020 election. The U.K.’s Brexit disagreements caused Prime Minister Theresa May to resign. Boris Johnson succeeded her, only to add to uncertainty about Brexit’s resolution ahead of an October 2019 deadline. The European Commission downgraded the 2019 growth forecast to 1.2%. The U.S. increased tariffs on products from China, China responded, and then talks broke down. President Donald Trump threatened to turn his foreign policy tariff tool to Mexico over immigration issues.

¹  The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock’s weight in the index proportionate to its market value. You cannot invest directly in an index.

²  The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed markets, excluding the United States. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index.

³  The MSCI Emerging Markets (EM) Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure equity market performance of emerging markets. You cannot invest directly in an index.

⁴  The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage backed securities. You cannot invest directly in an index.

⁵  The Bloomberg Barclays Global Aggregate ex-USD Index is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-income markets excluding the U.S. dollar-denominated debt market. You cannot invest directly in an index.

⁶  The Bloomberg Barclays Municipal Bond Index is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. You cannot invest directly in an index.

⁷  The ICE BofA U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2020. ICE Data Indices, LLC. All rights reserved.

2  |  Target Date Retirement Funds

Letter to shareholders (unaudited)

Midway through the year, investors regrouped, sentiment turned positive, and U.S. equity markets advanced during June and July. The gains, primarily driven by geopolitical and monetary policy events, pushed equity markets to new highs. European Central Bank President Mario Draghi indicated the bank was ready to cut rates or buy more assets to prop up inflation if needed. President Trump backed off of tariff threats against Mexico and China. In the U.S., the Fed implemented a 0.25% federal funds rate cut in July.

Later in July, the U.S. reversed course and threatened to impose higher tariffs on China’s exports after talks failed. China responded with tariff threats of its own and devalued the renminbi, roiling global markets. Major U.S. stock market indices closed July with the worst weekly results of the year. Bond prices gained as Treasury yields fell to multiyear lows, and the yield curve inverted at multiple points along the 30-year arc.

In August, U.S.-China trade tensions continued with no signs of compromise. Evidence of a continued global economic slowdown mounted, and central banks in China, New Zealand, and Thailand cut interest rates. Industrial and manufacturing data declined in China, Canada, Japan, and Germany. Adding to global uncertainty, Italy’s prime minister resigned, many feared a crackdown in Hong Kong as protestors sustained their calls for reform, and Boris Johnson planned to suspend Parliament as Brexit’s deadline neared.

In the U.S., the Fed cut interest rates a second time in September. U.S. manufacturing data disappointed investors. The U.S. Congress announced it would pursue an impeachment investigation of President Trump. Meanwhile, the Brexit impasse showed no signs of resolution. Officials in China said that hitting the country’s economic growth goals for the year would be difficult considering the weight of tariffs and trade restrictions. Although the S&P 500 Index finished the third quarter with the best year-to-date returns in more than 20 years, concerns about future returns remained.

The fourth quarter started on a strong note, with U.S.-China trade tensions relaxing in October along with renewed optimism for a U.K. Brexit deal and positive macroeconomic data. The initial estimate of U.S. third-quarter GDP growth was a resilient 1.9% annualized rate, while the U.S. unemployment rate fell to a 50-year low of 3.5% in September. However, despite resilience among U.S. consumers, business confidence declined while manufacturing activity contracted. Concerned with a potential economic slowdown, the Fed lowered interest rates another quarter point in late October—its third rate cut in four months. This helped push the S&P 500 Index to a new all-time high while emerging market equities rallied and global bonds declined overall, reflecting a broad pickup in risk appetite.

Equity markets continued to rally in November despite ongoing geopolitical risks. Hopes for a U.S.-China trade deal buoyed investor confidence. U.S. business sentiment improved slightly, and manufacturing and services activity picked up. With that positive backdrop, developed market equities outpaced those in emerging markets, and U.S. stocks, as reflected by the S&P 500 Index, outperformed non-U.S. stocks overall. While consumer confidence and purchasing manager activity rose in the eurozone, China reported weakening manufacturing and consumer data. Bond yields rose marginally, leading to slightly negative returns for global government and investment-grade corporate bonds.

Financial markets ended 2019 with a boost from the U.S. and China accord on a Phase One trade deal. That, along with the landslide win by the pro-Brexit U.K. Conservative Party in a national election and ongoing central bank support, gave investors greater confidence. U.S. economic indicators were generally positive, with the exception of manufacturing activity and business confidence. Consumer confidence was resilient, fed by a robust labor market, tame inflation, and lower interest rates, which boosted housing affordability and stimulated homebuyer activity. The impeachment of U.S. President Donald Trump had little impact on markets. Meanwhile, slowing Chinese economic activity, partly attributable to the trade war, led to further government stimulus at year-end through lower reserve ratios, allowing banks to lend more money.

“Midway through the year, investors regrouped, sentiment turned positive, and U.S. equity markets advanced.”

Target Date Retirement Funds  |  3

Letter to shareholders (unaudited)

“Capital market volatility picked up sharply in late January on concerns over the unknown impact of the coronavirus on the global economy and stock markets.”

For further information about your Fund, contact your investment professional, visit our website at wfam.com,

or call us directly at 1-800-222-8222.

The year-end rally continued in early January 2020. However, capital market volatility picked up sharply in late January on concerns over the unknown impact of the coronavirus on the global economy and stock markets. With sentiment somewhat souring, perceived safe havens did well in January. The U.S. dollar and Japanese yen both rose and government bonds outperformed equities. While the S&P 500 Index held its ground, emerging market equities tumbled, including those in Asia, that are most exposed to viruses—physical or economic—originating in China.

In February, the coronavirus became the major market focus. Fears of the virus’s impact on global growth led to expectations of increased global central bank monetary policy support. That led the 10-year Treasury yield to fall to an all-time low of 1.1% by the end of the month. Although equity markets initially shrugged off concerns about the outbreak, focusing instead on strong fourth-quarter earnings and improving business confidence in January, market sentiment turned sharply lower toward month-end and the S&P 500 Index lost 8.2% for the month. Oil prices tumbled as Russia and the Organization of the Petroleum Exporting Countries compounded a major decline in oil demand with a brutal price war, partly aimed at dissuading further U.S. shale production. As a result, the price of West Texas Intermediate crude oil fell 13% in February and 27% for 2020 year to date.

Don’t let short-term uncertainty derail long-term investment goals.

Periods of investment uncertainty can present challenges, but experience has taught us that maintaining long-term investment goals can be an effective way to plan for the future. To help you create a sound strategy based on your personal goals and risk tolerance, Wells Fargo Funds offers more than 100 mutual funds spanning a wide range of asset classes and investment styles. Although diversification cannot guarantee an investment profit or prevent losses, we believe it can be an effective way to manage investment risk and potentially smooth out overall portfolio performance. We encourage investors to know their investments and to understand that appropriate levels of risk-taking may unlock opportunities.

Thank you for choosing to invest with Wells Fargo Funds. We appreciate your confidence in us and remain committed to helping you meet your financial needs.

Sincerely,

Andrew Owen

President

Wells Fargo Funds

Notice to shareholders

Effective July 1, 2020, the Funds’ underlying U.S. large- and small-capitalization companies, international (non-U.S.) developed and emerging markets allocations will no longer seek to track proprietary indexes and their portfolios will be realigned with the methodology summarized below (the “Factor Enhanced Methodology”) over a period of approximately three months.

Factor Enhanced Methodology. A systematic, rules based methodology designed to build a portfolio of stocks that provides exposure to factors (or characteristics) commonly tied to a stock’s potential for enhanced risk-adjusted returns relative to the market. Those factors include, but are not limited to, value, quality, momentum, size, and low volatility.

4  |  Target Date Retirement Funds

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Performance highlights (unaudited)

Wells Fargo Dynamic Target Date Funds

Investment objective

Each Fund seeks total return over time, consistent with its strategic target allocation.

Manager

Wells Fargo Funds Management, LLC

Subadviser

Wells Capital Management Incorporated

Portfolio managers

Kandarp R. Acharya, CFA^®‡, FRM

Petros N. Bocray, CFA^®‡, FRM

Christian L. Chan, CFA^®‡

The target date represents the year in which investors may likely begin withdrawing assets. The Funds gradually seek to reduce market risk as the target date approaches and after it arrives by decreasing equity exposure and increasing fixed income exposure. The principal value is not guaranteed at any time, including at the target date.

Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. Bond values fluctuate in response to the financial condition of individual issuers, general market and economic conditions, and changes in interest rates. Changes in market conditions and government policies may lead to periods of heightened volatility in the bond market and reduced liquidity for certain bonds held by each Fund. In general, when interest rates rise, bond values fall and investors may lose principal value. Interest rate changes and their impact on each Fund and its share price can be sudden and unpredictable. High-yield securities have a greater risk of default and tend to be more volatile than higher-rated debt securities. The use of derivatives may reduce returns and/or increase volatility. Securities issued by U.S. government agencies or government-sponsored entities may not be guaranteed by the U.S. Treasury. The Funds will indirectly be exposed to all of the risks of an investment in the underlying funds and will indirectly bear expenses of the underlying funds. Certain investment strategies tend to increase the total risk of an investment (relative to the broader market). The Funds are exposed to foreign investment risk, mortgage- and asset-backed securities risk, regulatory risk, and smaller-company investment risk. Consult the Funds’ prospectus for additional information on these and other risks.

^‡  CFA^® and Chartered Financial Analyst^® are trademarks owned by CFA Institute.

6  |  Target Date Retirement Funds

Performance highlights (unaudited)

Dynamic Target Today Fund

Average annual total returns (%) as of February 29, 2020

		Including sales charge				Excluding sales charge					Expense ratios1 (%)
	Inception date	1 year		Since inception		1 year		Since inception			Gross		Net2
Class A (WDYAX)	11-30-2015		0.77		4.12		6.95		5.59			4.39		0.68
Class C (WDYCX)	11-30-2015		5.11		4.80		6.11		4.80			5.14		1.43
Class R4 (WDYYX)	11-30-2015						7.33		5.92			4.11		0.37
Class R6 (WDYZX)	11-30-2015		–		–		7.48		6.07			3.96		0.22
S&P Target Date Retirement Income Index3	–		–		–		7.04		4.96	*		–		–
Wells Fargo Dynamic Target Today Blended Index4	–		–		–		7.20		–			–		–

* Based on the inception date of the oldest Fund class.

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted and assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wfam.com

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 5.75%. For Class C shares, the maximum contingent deferred sales charge is 1.00%. Performance including a contingent deferred sales charge assumes the sales charge for the corresponding time period. Class R4 and Class R6 shares are sold without a front-end sales charge or contingent deferred sales charge.

Growth of $10,000 investment as of February 29, 2020⁵

Please see footnotes on page 9.

Target Date Retirement Funds  |  7

Performance highlights (unaudited)

Dynamic Target Today Fund (continued)

Holdings (%) as of February 29, 20206
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	31.29
Wells Fargo Factor Enhanced Large Cap Portfolio	17.86
Wells Fargo Investment Grade Corporate Bond Portfolio	16.21
Wells Fargo Strategic Retirement Bond Portfolio	10.55
Wells Fargo Factor Enhanced International Portfolio	9.47
Wells Fargo Factor Enhanced Small Cap Portfolio	4.46
Wells Fargo U.S. REIT Portfolio	3.15
Wells Fargo Factor Enhanced Emerging Markets Portfolio	2.87
Wells Fargo Emerging Markets Bond Portfolio	2.60
Wells Fargo High Yield Corporate Bond Portfolio	2.55

Volatility metrics as of February 29, 20208
	Beta9		Standard deviation10			R-squared11
Class A		1.14		4.74	%		0.96
Class C		1.14		4.75	%		0.96
Class R4		1.14		4.74	%		0.96
Class R6		1.14		4.74	%		0.96

Allocations (%) as of February 29, 2020
	Neutral Allocation		Effective Allocation7
Equity		40		40
Fixed Income		60		60

Please see footnotes on page 9.

8  |  Target Date Retirement Funds

Performance highlights (unaudited)

Dynamic Target Today Fund (continued)

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.13% of acquired fund fees and expenses. Net expenses from affiliated master portfolios are included in the acquired fund fees and expense amount. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which only include net expenses from affiliated master portfolios.

²  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.68% for Class A, 1.43% for Class C, 0.37% for Class R4, and 0.22% for Class R6. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios invest and from money market funds, and extraordinary expenses are excluded from the expense caps. All other acquired fund fees and expenses from the affiliated master portfolios are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  The S&P Target Date Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. This index is representative of the investment opportunity available to investors for the target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. You cannot invest directly in an index.

⁴  Source: Wells Fargo Funds Management, LLC. The Wells Fargo Dynamic Target Blended Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. The index weightings among the major asset classes are adjusted annually. The inception date of the index is September 21, 2018. See Appendix I for additional information. You cannot invest directly in an index.

⁵  The chart compares the performance of Class A shares since inception with the S&P Target Date Retirement Income Index and the Wells Fargo Dynamic Target Today Blended Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁶  Holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁷  The effective allocation includes the effect of any tactical futures overlay that may be in place. Effective cash, if any, represents the net offset to such future positions. The effective allocation does not reflect futures positions held in dynamic risk hedging strategies. Effective allocations are subject to change and may have changed since the date specified.

⁸  These metrics show the degree and timing of the Fund’s fluctuations compared to S&P Target Date Retirement Income Index over 36 months.

⁹  Beta measures fund volatility relative to general market movements. It is a standardized measure of systematic risk in comparison with a specified index. The benchmark beta is 1.00 by definition. Beta is based on historical performance and does not represent future results.

¹⁰  Standard deviation is the square root of the sum of squared deviations from the mean. It is often used as a measure of volatility, variability, or risk. Standard deviation is based on historical performance and does not represent future results.

¹¹  R-squared (R2) is a statistical measure that reflects the percentage of a fund’s movements that can be explained by movements in its benchmark index. The measure ranges from 0.0, which means that the fund’s performance bears no relationship to the performance of the index, to 1.0, which means that the fund’s performance was perfectly synchronized with the performance of the benchmark. R2 is based on historical performance and does not represent future results.

Target Date Retirement Funds  |  9

Performance highlights (unaudited)

Dynamic Target 2015 Fund

Average annual total returns (%) as of February 29, 2020

		Including sales charge				Excluding sales charge					Expense ratios1 (%)
	Inception date	1 year		Since inception		1 year		Since inception			Gross		Net2
Class A (WDTAX)	11-30-2015		0.11		4.65		6.22		6.12			4.23		0.68
Class C (WDTCX)	11-30-2015		4.49		5.33		5.49		5.33			4.98		1.43
Class R4 (WDTYX)	11-30-2015		–		–		6.51		6.44			3.95		0.37
Class R6 (WDTZX)	11-30-2015		–		–		6.77		6.61			3.80		0.22
S&P Target Date 2015 Index3	–		–		–		6.33		5.74	*		–		–
Wells Fargo Dynamic Target 2015 Blended Index4	–		–		–		6.32		–			–		–

* Based on the inception date of the oldest Fund class.

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted and assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wfam.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 5.75%. For Class C shares, the maximum contingent deferred sales charge is 1.00%. Performance including a contingent deferred sales charge assumes the sales charge for the corresponding time period. Class R4 and Class R6 shares are sold without a front-end sales charge or contingent deferred sales charge.

Growth of $10,000 investment as of February 29, 2020⁵

Please see footnotes on page 12.

10  |  Target Date Retirement Funds

Performance highlights (unaudited)

Dynamic Target 2015 Fund (continued)

Holdings (%) as of February 29, 20206
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	26.97
Wells Fargo Factor Enhanced Large Cap Portfolio	22.07
Wells Fargo Investment Grade Corporate Bond Portfolio	13.95
Wells Fargo Factor Enhanced International Portfolio	11.65
Wells Fargo Strategic Retirement Bond Portfolio	9.05
Wells Fargo Factor Enhanced Small Cap Portfolio	5.51
Wells Fargo U.S. REIT Portfolio	3.86
Wells Fargo Factor Enhanced Emerging Markets Portfolio	3.51
Wells Fargo Emerging Markets Bond Portfolio	2.23
Wells Fargo High Yield Corporate Bond Portfolio	2.18

Volatility metrics as of February 29, 20208
	Beta9		Standard deviation10			R-squared11
Class A		1.08		5.97	%		0.97
Class C		1.07		5.93	%		0.97
Class R4		1.07		5.94	%		0.96
Class R6		1.08		5.98	%		0.96

Allocations (%) as of February 29, 2020
	Neutral Allocation		Effective Allocation7
Equity		49		49
Fixed Income		51		51

Please see footnotes on page 12.

Target Date Retirement Funds  |  11

Performance highlights (unaudited)

Dynamic Target 2015 Fund (continued)

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.14% of acquired fund fees and expenses. Net expenses from affiliated master portfolios are included in the acquired fund fees and expense amount. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which only include net expenses from affiliated master portfolios.

²  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.68% for Class A, 1.43% for Class C, 0.37% for Class R4, and 0.22% for Class R6. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios invest and from money market funds, and extraordinary expenses are excluded from the expense caps. All other acquired fund fees and expenses from the affiliated master portfolios are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  The S&P Target Date Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. This index is representative of the investment opportunity available to investors for the target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. You cannot invest directly in an index.

⁴  Source: Wells Fargo Funds Management, LLC. The Wells Fargo Dynamic Target Blended Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. The index weightings among the major asset classes are adjusted annually. The inception date of the index is September 21, 2018. See Appendix I for additional information. You cannot invest directly in an index.

⁵  The chart compares the performance of Class A shares since inception with the S&P Target Date 2015 Index and the Wells Fargo Dynamic Target 2015 Blended Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁶  Holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁷  The effective allocation includes the effect of any tactical futures overlay that may be in place. Effective cash, if any, represents the net offset to such future positions. The effective allocation does not reflect futures positions held in dynamic risk hedging strategies. Effective allocations are subject to change and may have changed since the date specified.

⁸ These metrics show the degree and timing of the Fund’s fluctuations compared to S&P Target Date 2015 Index over 36 months.

⁹  Beta measures fund volatility relative to general market movements. It is a standardized measure of systematic risk in comparison with a specified index. The benchmark beta is 1.00 by definition. Beta is based on historical performance and does not represent future results.

¹⁰ Standard deviation is the square root of the sum of squared deviations from the mean. It is often used as a measure of volatility, variability, or risk. Standard deviation is based on historical performance and does not represent future results.

¹¹  R-squared (R2) is a statistical measure that reflects the percentage of a fund’s movements that can be explained by movements in its benchmark index. The measure ranges from 0.0, which means that the fund’s performance bears no relationship to the performance of the index, to 1.0, which means that the fund’s performance was perfectly synchronized with the performance of the benchmark. R2 is based on historical performance and does not represent future results.

12  |  Target Date Retirement Funds

Performance highlights (unaudited)

Dynamic Target 2020 Fund

Average annual total returns (%) as of February 29, 2020

		Including sales charge				Excluding sales charge					Expense ratios1 (%)
	Inception date	1 year		Since inception		1 year		Since inception			Gross		Net2
Class A (WDTDX)	11-30-2015		-0.77		5.04		5.31		6.52			4.04		0.68
Class C (WDTEX)	11-30-2015		3.61		5.73		4.61		5.73			4.79		1.43
Class R4 (WDTGX)	11-30-2015		–		–		5.62		6.84			3.76		0.37
Class R6 (WDTHX)	11-30-2015		–		–		5.77		6.99			3.61		0.22
S&P Target Date 2020 Index3	–		–		–		6.06		6.11	*		–		–
Wells Fargo Dynamic Target 2020 Blended Index4	–		–		–		5.53		–			–		–

* Based on the inception date of the oldest Fund class.

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted and assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wfam.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 5.75%. For Class C shares, the maximum contingent deferred sales charge is 1.00%. Performance including a contingent deferred sales charge assumes the sales charge for the corresponding time period. Class R4 and Class R6 shares are sold without a front-end sales charge or contingent deferred sales charge.

Growth of $10,000 investment as of February 29, 2020⁵

Please see footnotes on page 15.

Target Date Retirement Funds  |  13

Performance highlights (unaudited)

Dynamic Target 2020 Fund (continued)

Holdings (%) as of February 29, 20206
Wells Fargo Factor Enhanced Large Cap Portfolio	26.15
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	22.78
Wells Fargo Factor Enhanced International Portfolio	14.10
Wells Fargo Investment Grade Corporate Bond Portfolio	11.78
Wells Fargo Strategic Retirement Bond Portfolio	7.05
Wells Fargo Factor Enhanced Small Cap Portfolio	6.53
Wells Fargo Factor Enhanced Emerging Markets Portfolio	4.26
Wells Fargo U.S. REIT Portfolio	4.12
Wells Fargo Emerging Markets Bond Portfolio	1.88
Wells Fargo High Yield Corporate Bond Portfolio	1.84

Volatility metrics as of February 29, 20208
	Beta9		Standard deviation10			R-squared11
Class A		1.09		6.82	%		0.97
Class C		1.09		6.77	%		0.97
Class R4		1.09		6.80	%		0.97
Class R6		1.10		6.84	%		0.97

Allocations (%) as of February 29, 2020
	Neutral Allocation		Effective Allocation7
Equity		57		57
Fixed Income		43		43

Please see footnotes on page 15.

14  |  Target Date Retirement Funds

Performance highlights (unaudited)

Dynamic Target 2020 Fund (continued)

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.13% of acquired fund fees and expenses. Net expenses from affiliated master portfolios are included in the acquired fund fees and expense amount. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which only include net expenses from affiliated master portfolios.

²  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.68% for Class A, 1.43% for Class C, 0.37% for Class R4, and 0.22% for Class R6. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios invest and from money market funds, and extraordinary expenses are excluded from the expense caps. All other acquired fund fees and expenses from the affiliated master portfolios are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  The S&P Target Date Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. This index is representative of the investment opportunity available to investors for the target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. You cannot invest directly in an index.

⁴  Source: Wells Fargo Funds Management, LLC. The Wells Fargo Dynamic Target Blended Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. The index weightings among the major asset classes are adjusted annually. The inception date of the index is September 21, 2018. See Appendix I for additional information. You cannot invest directly in an index.

⁵  The chart compares the performance of Class A shares since inception with the S&P Target Date 2020 Index and the Wells Fargo Dynamic Target 2020 Blended Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁶  Holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁷  The effective allocation includes the effect of any tactical futures overlay that may be in place. Effective cash, if any, represents the net offset to such future positions. The effective allocation does not reflect futures positions held in dynamic risk hedging strategies. Effective allocations are subject to change and may have changed since the date specified.

⁸ These metrics show the degree and timing of the Fund’s fluctuations compared to S&P Target Date 2020 Index over 36 months.

⁹  Beta measures fund volatility relative to general market movements. It is a standardized measure of systematic risk in comparison with a specified index. The benchmark beta is 1.00 by definition. Beta is based on historical performance and does not represent future results.

¹⁰ Standard deviation is the square root of the sum of squared deviations from the mean. It is often used as a measure of volatility, variability, or risk. Standard deviation is based on historical performance and does not represent future results.

¹¹  R-squared (R2) is a statistical measure that reflects the percentage of a fund’s movements that can be explained by movements in its benchmark index. The measure ranges from 0.0, which means that the fund’s performance bears no relationship to the performance of the index, to 1.0, which means that the fund’s performance was perfectly synchronized with the performance of the benchmark. R2 is based on historical performance and does not represent future results.

Target Date Retirement Funds  |  15

Performance highlights (unaudited)

Dynamic Target 2025 Fund

Average annual total returns (%) as of February 29, 2020

		Including sales charge				Excluding sales charge					Expense ratios1 (%)
	Inception date	1 year		Since inception		1 year		Since inception			Gross		Net2
Class A (WDTIX)	11-30-2015		-1.74		5.14		4.29		6.62			3.81		0.68
Class C (WDTJX)	11-30-2015		2.55		5.82		3.55		5.82			4.56		1.43
Class R4 (WDTLX)	11-30-2015		–		–		4.68		6.93			3.53		0.37
Class R6 (WDTMX)	11-30-2015		–		–		4.83		7.10			3.38		0.22
S&P Target Date 2025 Index3	–		–		–		5.49		6.46	*		–		–
Wells Fargo Dynamic Target 2025 Blended Index4	–		–		–		4.50		–			–		–

* Based on the inception date of the oldest Fund class.

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted and assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wfam.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 5.75%. For Class C shares, the maximum contingent deferred sales charge is 1.00%. Performance including a contingent deferred sales charge assumes the sales charge for the corresponding time period. Class R4 and Class R6 shares are sold without a front-end sales charge or contingent deferred sales charge.

Growth of $10,000 investment as of February 29, 2020⁵

Please see footnotes on page 18.

16  |  Target Date Retirement Funds

Performance highlights (unaudited)

Dynamic Target 2025 Fund (continued)

Holdings (%) as of February 29, 20206
Wells Fargo Factor Enhanced Large Cap Portfolio	31.64
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	19.46
Wells Fargo Factor Enhanced International Portfolio	17.56
Wells Fargo Investment Grade Corporate Bond Portfolio	10.03
Wells Fargo Factor Enhanced Small Cap Portfolio	7.95
Wells Fargo Factor Enhanced Emerging Markets Portfolio	5.31
Wells Fargo Strategic Retirement Bond Portfolio	3.19
Wells Fargo U.S. REIT Portfolio	2.75
Wells Fargo Emerging Markets Bond Portfolio	1.58
Wells Fargo High Yield Corporate Bond Portfolio	1.56

Allocations (%) as of February 29, 2020
	Neutral Allocation		Effective Allocation7
Equity		67		67
Fixed Income		33		33

Volatility metrics as of February 29, 20208
	Beta9		Standard deviation10		R-squared11
Class A		1.09		8.02%		0.98
Class C		1.08		7.99%		0.98
Class R4		1.08		7.98%		0.98
Class R6		1.08		7.99%		0.98

Please see footnotes on page 18.

Target Date Retirement Funds  |  17

Performance highlights (unaudited)

Dynamic Target 2025 Fund (continued)

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.14% of acquired fund fees and expenses. Net expenses from affiliated master portfolios are included in the acquired fund fees and expense amount. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which only include net expenses from affiliated master portfolios.

²  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.68% for Class A, 1.43% for Class C, 0.37% for Class R4, and 0.22% for Class R6. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios invest and from money market funds, and extraordinary expenses are excluded from the expense caps. All other acquired fund fees and expenses from the affiliated master portfolios are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  The S&P Target Date Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. This index is representative of the investment opportunity available to investors for the target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. You cannot invest directly in an index.

⁴  Source: Wells Fargo Funds Management, LLC. The Wells Fargo Dynamic Target Blended Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. The index weightings among the major asset classes are adjusted annually. The inception date of the index is September 21, 2018. See Appendix I for additional information. You cannot invest directly in an index.

⁵  The chart compares the performance of Class A shares since inception with the S&P Target Date 2025 Index and the Wells Fargo Dynamic Target 2025 Blended Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁶  Holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁷  The effective allocation includes the effect of any tactical futures overlay that may be in place. Effective cash, if any, represents the net offset to such future positions. The effective allocation does not reflect futures positions held in dynamic risk hedging strategies. Effective allocations are subject to change and may have changed since the date specified.

⁸ These metrics show the degree and timing of the Fund’s fluctuations compared to S&P Target Date 2025 Index over 36 months.

⁹  Beta measures fund volatility relative to general market movements. It is a standardized measure of systematic risk in comparison with a specified index. The benchmark beta is 1.00 by definition. Beta is based on historical performance and does not represent future results.

¹⁰ Standard deviation is the square root of the sum of squared deviations from the mean. It is often used as a measure of volatility, variability, or risk. Standard deviation is based on historical performance and does not represent future results.

¹¹  R-squared (R2) is a statistical measure that reflects the percentage of a fund’s movements that can be explained by movements in its benchmark index. The measure ranges from 0.0, which means that the fund’s performance bears no relationship to the performance of the index, to 1.0, which means that the fund’s performance was perfectly synchronized with the performance of the benchmark. R2 is based on historical performance and does not represent future results.

18  |  Target Date Retirement Funds

Performance highlights (unaudited)

Dynamic Target 2030 Fund

Average annual total returns (%) as of February 29, 2020

		Including sales charge				Excluding sales charge						Expense ratios1 (%)
	Inception date	1 year		Since inception		1 year			Since inception			Gross		Net2
Class A (WDTNX)	11-30-2015		-2.57		5.44		3.40			6.92			4.07		0.68
Class C (WDTOX)	11-30-2015		1.64		6.09		2.64	*		6.09			4.82		1.43
Class R4 (WDTQX)	11-30-2015		–		–		3.74			7.22			3.79		0.37
Class R6 (WDTSX)	11-30-2015		–		–		3.99			7.40			3.64		0.22
S&P Target Date 2030 Index3	–		–		–		4.83			6.73	**		–		–
Wells Fargo Dynamic Target 2030 Blended Index4	–		–		–		3.53			–			–		–

* Total return differs from the return in the Financial Highlights in this report. The total return presented is calculated based on the NAV at which the shareholder transactions were processed. The NAV and total return presented in the Financial Highlights reflects certain adjustments made to the net assets of the Fund that are necessary under U.S. generally accepted accounting principles.

** Based on the inception date of the oldest Fund class.

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted and assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wfam.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 5.75%. For Class C shares, the maximum contingent deferred sales charge is 1.00%. Performance including a contingent deferred sales charge assumes the sales charge for the corresponding time period. Class R4 and Class R6 shares are sold without a front-end sales charge or contingent deferred sales charge.

Growth of $10,000 investment as of February 29, 2020⁵

Please see footnotes on page 21.

Target Date Retirement Funds  |  19

Performance highlights (unaudited)

Dynamic Target 2030 Fund (continued)

Holdings (%) as of February 29, 20206
Wells Fargo Factor Enhanced Large Cap Portfolio	36.41
Wells Fargo Factor Enhanced International Portfolio	21.26
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	15.10
Wells Fargo Factor Enhanced Small Cap Portfolio	9.12
Wells Fargo Investment Grade Corporate Bond Portfolio	7.78
Wells Fargo Factor Enhanced Emerging Markets Portfolio	6.44
Wells Fargo Emerging Markets Bond Portfolio	1.23
Wells Fargo High Yield Corporate Bond Portfolio	1.22
Wells Fargo U.S. REIT Portfolio	0.95
Wells Fargo Strategic Retirement Bond Portfolio	0.73

Allocations (%) as of February 29, 2020
	Neutral Allocation		Effective Allocation7
Equity		76		76
Fixed Income		24		24

Volatility metrics as of February 29, 20208
	Beta9		Standard deviation10			R-squared11
Class A		1.03		8.90	%		0.98
Class C		1.03		8.90	%		0.98
Class R4		1.03		8.94	%		0.98
Class R6		1.03		8.91	%		0.98

Please see footnotes on page 21.

20  |  Target Date Retirement Funds

Performance highlights (unaudited)

Dynamic Target 2030 Fund (continued)

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.14% of acquired fund fees and expenses. Net expenses from affiliated master portfolios are included in the acquired fund fees and expense amount. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which only include net expenses from affiliated master portfolios.

²  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.68% for Class A, 1.43% for Class C, 0.37% for Class R4, and 0.22% for Class R6. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios invest and from money market funds, and extraordinary expenses are excluded from the expense caps. All other acquired fund fees and expenses from the affiliated master portfolios are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  The S&P Target Date Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. This index is representative of the investment opportunity available to investors for the target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. You cannot invest directly in an index.

⁴  Source: Wells Fargo Funds Management, LLC. The Wells Fargo Dynamic Target Blended Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. The index weightings among the major asset classes are adjusted annually. The inception date of the index is September 21, 2018. See Appendix I for additional information. You cannot invest directly in an index.

⁵  The chart compares the performance of Class A shares since inception with the S&P Target Date 2030 Index and the Wells Fargo Dynamic Target 2030 Blended Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁶  Holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁷  The effective allocation includes the effect of any tactical futures overlay that may be in place. Effective cash, if any, represents the net offset to such future positions. The effective allocation does not reflect futures positions held in dynamic risk hedging strategies. Effective allocations are subject to change and may have changed since the date specified.

⁸ These metrics show the degree and timing of the Fund’s fluctuations compared to S&P Target Date 2030 Index over 36 months.

⁹  Beta measures fund volatility relative to general market movements. It is a standardized measure of systematic risk in comparison with a specified index. The benchmark beta is 1.00 by definition. Beta is based on historical performance and does not represent future results.

¹⁰ Standard deviation is the square root of the sum of squared deviations from the mean. It is often used as a measure of volatility, variability, or risk. Standard deviation is based on historical performance and does not represent future results.

¹¹  R-squared (R2) is a statistical measure that reflects the percentage of a fund’s movements that can be explained by movements in its benchmark index. The measure ranges from 0.0, which means that the fund’s performance bears no relationship to the performance of the index, to 1.0, which means that the fund’s performance was perfectly synchronized with the performance of the benchmark. R2 is based on historical performance and does not represent future results.

Target Date Retirement Funds  |  21

Performance highlights (unaudited)

Dynamic Target 2035 Fund

Average annual total returns (%) as of February 29, 2020

		Including sales charge				Excluding sales charge						Expense ratios1 (%)
	Inception date	1 year		Since inception		1 year			Since inception			Gross		Net2
Class A (WDTTX)	11-30-2015		-3.15		5.68		2.76	*		7.16			4.33		0.68
Class C (WDCTX)	11-30-2015		0.99		6.34		1.99			6.34			5.08		1.43
Class R4 (WDTVX)	11-30-2015		–		–		3.05			7.47			4.05		0.37
Class R6 (WDTWX)	11-30-2015		–		–		3.19			7.62			3.90		0.22
S&P Target Date 2035 Index3	–		–		–		4.15			6.97	**		–		–
Wells Fargo Dynamic Target 2035 Blended Index4	–		–		–		2.92			–			–		–

* Total return differs from the return in the Financial Highlights in this report. The total return presented is calculated based on the NAV at which the shareholder transactions were processed. The NAV and total return presented in the Financial Highlights reflects certain adjustments made to the net assets of the Fund that are necessary under U.S. generally accepted accounting principles.

** Based on the inception date of the oldest Fund class.

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted and assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wfam.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 5.75%. For Class C shares, the maximum contingent deferred sales charge is 1.00%. Performance including a contingent deferred sales charge assumes the sales charge for the corresponding time period. Class R4 and Class R6 shares are sold without a front-end sales charge or contingent deferred sales charge.

Growth of $10,000 investment as of February 29, 2020⁵

Please see footnotes on page 24.

22  |  Target Date Retirement Funds

Performance highlights (unaudited)

Dynamic Target 2035 Fund (continued)

Holdings (%) as of February 29, 20206
Wells Fargo Factor Enhanced Large Cap Portfolio	39.24
Wells Fargo Factor Enhanced International Portfolio	24.00
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	12.57
Wells Fargo Factor Enhanced Small Cap Portfolio	9.82
Wells Fargo Factor Enhanced Emerging Markets Portfolio	7.22
Wells Fargo Investment Grade Corporate Bond Portfolio	6.47
Wells Fargo Emerging Markets Bond Portfolio	1.02
Wells Fargo High Yield Corporate Bond Portfolio	1.01

Allocations (%) as of February 29, 2020
	Neutral Allocation		Effective Allocation7
Equity		81		81
Fixed Income		19		19

Volatility metrics as of February 29, 20208
	Beta9		Standard deviation10			R-squared11
Class A		0.97		9.58	%		0.98
Class C		0.97		9.55	%		0.98
Class R4		0.97		9.55	%		0.98
Class R6		0.97		9.52	%		0.98

Please see footnotes on page 24.

Target Date Retirement Funds  |  23

Performance highlights (unaudited)

Dynamic Target 2035 Fund (continued)

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.14% of acquired fund fees and expenses. Net expenses from affiliated master portfolios are included in the acquired fund fees and expense amount. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which only include net expenses from affiliated master portfolios.

²  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.68% for Class A, 1.43% for Class C, 0.37% for Class R4, and 0.22% for Class R6. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios invest and from money market funds, and extraordinary expenses are excluded from the expense caps. All other acquired fund fees and expenses from the affiliated master portfolios are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  The S&P Target Date Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. This index is representative of the investment opportunity available to investors for the target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. You cannot invest directly in an index.

⁴  Source: Wells Fargo Funds Management, LLC. The Wells Fargo Dynamic Target Blended Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. The index weightings among the major asset classes are adjusted annually. The inception date of the index is September 21, 2018. See Appendix I for additional information. You cannot invest directly in an index.

⁵  The chart compares the performance of Class A shares since inception with the S&P Target Date 2035 Index and the Wells Fargo Dynamic Target 2035 Blended Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁶  Holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁷  The effective allocation includes the effect of any tactical futures overlay that may be in place. Effective cash, if any, represents the net offset to such future positions. The effective allocation does not reflect futures positions held in dynamic risk hedging strategies. Effective allocations are subject to change and may have changed since the date specified.

⁸  These metrics show the degree and timing of the Fund’s fluctuations compared to S&P Target Date 2035 Index over 36 months.

⁹  Beta measures fund volatility relative to general market movements. It is a standardized measure of systematic risk in comparison with a specified index. The benchmark beta is 1.00 by definition. Beta is based on historical performance and does not represent future results.

¹⁰  Standard deviation is the square root of the sum of squared deviations from the mean. It is often used as a measure of volatility, variability, or risk. Standard deviation is based on historical performance and does not represent future results.

¹¹  R-squared (R2) is a statistical measure that reflects the percentage of a fund’s movements that can be explained by movements in its benchmark index. The measure ranges from 0.0, which means that the fund’s performance bears no relationship to the performance of the index, to 1.0, which means that the fund’s performance was perfectly synchronized with the performance of the benchmark. R2 is based on historical performance and does not represent future results.

24  |  Target Date Retirement Funds

Performance highlights (unaudited)

Dynamic Target 2040 Fund

Average annual total returns (%) as of February 29, 2020

		Including sales charge				Excluding sales charge					Expense ratios1 (%)
	Inception date	1 year		Since inception		1 year		Since inception			Gross		Net2
Class A (WTDAX)	11-30-2015		-3.59		5.68		2.33		7.16			4.09		0.68
Class C (WTDCX)	11-30-2015		0.53		6.37		1.53		6.37			4.84		1.43
Class R4 (WTDEX)	11-30-2015		–		–		2.61		7.49			3.81		0.37
Class R6 (WTDFX)	11-30-2015		–		–		2.75		7.66			3.66		0.22
S&P Target Date 2040 Index3	–		–		–		3.70		7.15	*		–		–
Wells Fargo Dynamic Target 2040 Blended Index4	–		–		–		2.34		–			–		–

* Based on the inception date of the oldest Fund class.

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted and assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wfam.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 5.75%. For Class C shares, the maximum contingent deferred sales charge is 1.00%. Performance including a contingent deferred sales charge assumes the sales charge for the corresponding time period. Class R4 and Class R6 shares are sold without a front-end sales charge or contingent deferred sales charge.

Growth of $10,000 investment as of February 29, 2020⁵

Please see footnotes on page 27.

Target Date Retirement Funds  |  25

Performance highlights (unaudited)

Dynamic Target 2040 Fund (continued)

Holdings (%) as of February 29, 20206
Wells Fargo Factor Enhanced Large Cap Portfolio	41.24
Wells Fargo Factor Enhanced International Portfolio	25.94
Wells Fargo Factor Enhanced Small Cap Portfolio	10.31
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	9.26
Wells Fargo Factor Enhanced Emerging Markets Portfolio	7.83
Wells Fargo Investment Grade Corporate Bond Portfolio	4.78
Wells Fargo Emerging Markets Bond Portfolio	0.76
Wells Fargo High Yield Corporate Bond Portfolio	0.74

Volatility metrics as of February 29, 20208
	Beta9		Standard deviation10			R-squared11
Class A		0.95		10.04	%		0.98
Class C		0.95		10.06	%		0.98
Class R4		0.95		10.07	%		0.98
Class R6		0.95		10.09	%		0.98

Allocations (%) as of February 29, 2020
	Neutral Allocation		Effective Allocation7
Equity		86		86
Fixed Income		14		14

Please see footnotes on page 27.

26  |  Target Date Retirement Funds

Performance highlights (unaudited)

Dynamic Target 2040 Fund (continued)

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.14% of acquired fund fees and expenses. Net expenses from affiliated master portfolios are included in the acquired fund fees and expense amount. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which only include net expenses from affiliated master portfolios.

²  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.68% for Class A, 1.43% for Class C, 0.37% for Class R4, and 0.22% for Class R6. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios invest and from money market funds, and extraordinary expenses are excluded from the expense caps. All other acquired fund fees and expenses from the affiliated master portfolios are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  The S&P Target Date Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. This index is representative of the investment opportunity available to investors for the target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. You cannot invest directly in an index.

⁴  Source: Wells Fargo Funds Management, LLC. The Wells Fargo Dynamic Target Blended Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. The index weightings among the major asset classes are adjusted annually. The inception date of the index is September 21, 2018. See Appendix I for additional information. You cannot invest directly in an index.

⁵  The chart compares the performance of Class A shares since inception with the S&P Target Date 2040 Index and the Wells Fargo Dynamic Target 2040 Blended Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁶  Holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁷  The effective allocation includes the effect of any tactical futures overlay that may be in place. Effective cash, if any, represents the net offset to such future positions. The effective allocation does not reflect futures positions held in dynamic risk hedging strategies. Effective allocations are subject to change and may have changed since the date specified.

⁸ These metrics show the degree and timing of the Fund’s fluctuations compared to S&P Target Date 2040 Index over 36 months.

⁹  Beta measures fund volatility relative to general market movements. It is a standardized measure of systematic risk in comparison with a specified index. The benchmark beta is 1.00 by definition. Beta is based on historical performance and does not represent future results.

¹⁰ Standard deviation is the square root of the sum of squared deviations from the mean. It is often used as a measure of volatility, variability, or risk. Standard deviation is based on historical performance and does not represent future results.

¹¹  R-squared (R2) is a statistical measure that reflects the percentage of a fund’s movements that can be explained by movements in its benchmark index. The measure ranges from 0.0, which means that the fund’s performance bears no relationship to the performance of the index, to 1.0, which means that the fund’s performance was perfectly synchronized with the performance of the benchmark. R2 is based on historical performance and does not represent future results.

Target Date Retirement Funds  |  27

Performance highlights (unaudited)

Dynamic Target 2045 Fund

Average annual total returns (%) as of February 29, 2020

		Including sales charge				Excluding sales charge					Expense ratios1 (%)
	Inception date	1 year		Since inception		1 year		Since inception			Gross		Net2
Class A (WTDGX)	11-30-2015		-4.27		5.59		1.53		7.08			4.17		0.68
Class C (WTDHX)	11-30-2015		-0.22		6.26		0.78		6.26			4.92		1.43
Class R4 (WTDJX)	11-30-2015		–		–		1.83		7.38			3.89		0.37
Class R6 (WTDKX)	11-30-2015		–		–		1.97		7.54			3.74		0.22
S&P Target Date 2045 Index3	–		–		–		3.43		7.26	*		–		–
Wells Fargo Dynamic Target 2045 Blended Index4	–		–		–		1.75		–			–		–

* Based on the inception date of the oldest Fund class.

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted and assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wfam.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 5.75%. For Class C shares, the maximum contingent deferred sales charge is 1.00%. Performance including a contingent deferred sales charge assumes the sales charge for the corresponding time period. Class R4 and Class R6 shares are sold without a front-end sales charge or contingent deferred sales charge.

Growth of $10,000 investment as of February 29, 2020⁵

Please see footnotes on page 30.

28  |  Target Date Retirement Funds

Performance highlights (unaudited)

Dynamic Target 2045 Fund (continued)

Holdings (%) as of February 29, 20206
Wells Fargo Factor Enhanced Large Cap Portfolio	43.76
Wells Fargo Factor Enhanced International Portfolio	28.19
Wells Fargo Factor Enhanced Small Cap Portfolio	10.95
Wells Fargo Factor Enhanced Emerging Markets Portfolio	8.48
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	5.97
Wells Fargo Investment Grade Corporate Bond Portfolio	3.08
Wells Fargo Emerging Markets Bond Portfolio	0.49
Wells Fargo High Yield Corporate Bond Portfolio	0.48

Volatility metrics as of February 29, 20208
	Beta9		Standard deviation10			R-squared11
Class A		0.96		10.61	%		0.98
Class C		0.96		10.62	%		0.98
Class R4		0.96		10.59	%		0.98
Class R6		0.96		10.56	%		0.98

Allocations (%) as of February 29, 2020
	Neutral Allocation		Effective Allocation7
Equity		91		91
Fixed Income		9		9

Please see footnotes on page 30.

Target Date Retirement Funds  |  29

Performance highlights (unaudited)

Dynamic Target 2045 Fund (continued)

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.15% of acquired fund fees and expenses. Net expenses from affiliated master portfolios are included in the acquired fund fees and expense amount. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which only include net expenses from affiliated master portfolios.

²  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.68% for Class A, 1.43% for Class C, 0.37% for Class R4, and 0.22% for Class R6. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios invest and from money market funds, and extraordinary expenses are excluded from the expense caps. All other acquired fund fees and expenses from the affiliated master portfolios are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  The S&P Target Date Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. This index is representative of the investment opportunity available to investors for the target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. You cannot invest directly in an index.

⁴  Source: Wells Fargo Funds Management, LLC. The Wells Fargo Dynamic Target Blended Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. The index weightings among the major asset classes are adjusted annually. The inception date of the index is September 21, 2018. See Appendix I for additional information. You cannot invest directly in an index.

⁵ The chart compares the performance of Class A shares since inception with the S&P Target Date 2045 Index and the Wells Fargo Dynamic Target 2045 Blended Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁶  Holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁷  The effective allocation includes the effect of any tactical futures overlay that may be in place. Effective cash, if any, represents the net offset to such future positions. The effective allocation does not reflect futures positions held in dynamic risk hedging strategies. Effective allocations are subject to change and may have changed since the date specified.

⁸ These metrics show the degree and timing of the Fund’s fluctuations compared to S&P Target Date 2045 Index over 36 months.

⁹  Beta measures fund volatility relative to general market movements. It is a standardized measure of systematic risk in comparison with a specified index. The benchmark beta is 1.00 by definition. Beta is based on historical performance and does not represent future results.

¹⁰ Standard deviation is the square root of the sum of squared deviations from the mean. It is often used as a measure of volatility, variability, or risk. Standard deviation is based on historical performance and does not represent future results.

¹¹  R-squared (R2) is a statistical measure that reflects the percentage of a fund’s movements that can be explained by movements in its benchmark index. The measure ranges from 0.0, which means that the fund’s performance bears no relationship to the performance of the index, to 1.0, which means that the fund’s performance was perfectly synchronized with the performance of the benchmark. R2 is based on historical performance and does not represent future results.

30  |  Target Date Retirement Funds

Performance highlights (unaudited)

Dynamic Target 2050 Fund

Average annual total returns (%) as of February 29, 2020

		Including sales charge				Excluding sales charge						Expense ratios1 (%)
	Inception date	1 year		Since inception		1 year			Since inception			Gross		Net2
Class A (WTDLX)	11-30-2015		-4.87		5.40		0.90	*		6.88			4.33		0.68
Class C (WTDMX)	11-30-2015		-0.74		6.10		0.26			6.10			5.08		1.43
Class R4 (WTDOX)	11-30-2015		–		–		1.22			7.21			4.05		0.37
Class R6 (WTDPX)	11-30-2015		–		–		1.47			7.38			3.90		0.22
S&P Target Date 2050 Index3	–		–		–		3.24			7.36	**		–		–
Wells Fargo Dynamic Target 2050 Blended Index4	–		–		–		1.29			–			–		–

* Total return differs from the return in the Financial Highlights in this report. The total return presented is calculated based on the NAV at which the shareholder transactions were processed. The NAV and total return presented in the Financial Highlights reflects certain adjustments made to the net assets of the Fund that are necessary under U.S. generally accepted accounting principles.

** Based on the inception date of the oldest Fund class.

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted and assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wfam.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 5.75%. For Class C shares, the maximum contingent deferred sales charge is 1.00%. Performance including a contingent deferred sales charge assumes the sales charge for the corresponding time period. Class R4 and Class R6 shares are sold without a front-end sales charge or contingent deferred sales charge.

Growth of $10,000 investment as of February 29, 2020⁵

Please see footnotes on page 33.

Target Date Retirement Funds  |  31

Performance highlights (unaudited)

Dynamic Target 2050 Fund (continued)

Holdings (%) as of February 29, 20206
Wells Fargo Factor Enhanced Large Cap Portfolio	45.55
Wells Fargo Factor Enhanced International Portfolio	29.85
Wells Fargo Factor Enhanced Small Cap Portfolio	11.38
Wells Fargo Factor Enhanced Emerging Markets Portfolio	8.98
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	3.37
Wells Fargo Investment Grade Corporate Bond Portfolio	1.74
Wells Fargo Emerging Markets Bond Portfolio	0.27
Wells Fargo High Yield Corporate Bond Portfolio	0.27

Volatility metrics as of February 29, 20208
	Beta9		Standard deviation10			R-squared11
Class A		0.97		10.93	%		0.99
Class C		0.96		10.89	%		0.98
Class R4		0.96		10.87	%		0.99
Class R6		0.96		10.87	%		0.98

Allocations (%) as of February 29, 2020
	Neutral Allocation		Effective Allocation7
Equity		95		95
Fixed Income		5		5

Please see footnotes on page 33.

32  |  Target Date Retirement Funds

Performance highlights (unaudited)

Dynamic Target 2050 Fund (continued)

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.15% of acquired fund fees and expenses. Net expenses from affiliated master portfolios are included in the acquired fund fees and expense amount. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which only include net expenses from affiliated master portfolios.

²  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.68% for Class A, 1.43% for Class C, 0.37% for Class R4, and 0.22% for Class R6. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios invest and from money market funds, and extraordinary expenses are excluded from the expense caps. All other acquired fund fees and expenses from the affiliated master portfolios are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  The S&P Target Date Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. This index is representative of the investment opportunity available to investors for the target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. You cannot invest directly in an index.

⁴  Source: Wells Fargo Funds Management, LLC. The Wells Fargo Dynamic Target Blended Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. The index weightings among the major asset classes are adjusted annually. The inception date of the index is September 21, 2018. See Appendix I for additional information. You cannot invest directly in an index.

⁵ The chart compares the performance of Class A shares since inception with the S&P Target Date 2050 Index and the Wells Fargo Dynamic Target 2050 Blended Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁶  Holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁷  The effective allocation includes the effect of any tactical futures overlay that may be in place. Effective cash, if any represents the net offset to such future positions. The effective allocation does not reflect futures positions held in dynamic risk hedging strategies. Effective allocations are subject to change and may have changed since the date specified.

⁸ These metrics show the degree and timing of the Fund’s fluctuations compared to S&P Target Date 2050 Index over 36 months.

⁹  Beta measures fund volatility relative to general market movements. It is a standardized measure of systematic risk in comparison with a specified index. The benchmark beta is 1.00 by definition. Beta is based on historical performance and does not represent future results.

¹⁰ Standard deviation is the square root of the sum of squared deviations from the mean. It is often used as a measure of volatility, variability, or risk. Standard deviation is based on historical performance and does not represent future results.

¹¹  R-squared (R2) is a statistical measure that reflects the percentage of a fund’s movements that can be explained by movements in its benchmark index. The measure ranges from 0.0, which means that the fund’s performance bears no relationship to the performance of the index, to 1.0, which means that the fund’s performance was perfectly synchronized with the performance of the benchmark. R2 is based on historical performance and does not represent future results.

Target Date Retirement Funds  |  33

Performance highlights (unaudited)

Dynamic Target 2055 Fund

Average annual total returns (%) as of February 29, 2020

		Including sales charge				Excluding sales charge					Expense ratios1 (%)
	Inception date	1 year		Since inception		1 year		Since inception			Gross		Net2
Class A (WTDQX)	11-30-2015		-4.82		5.41		0.95		6.89			4.29		0.68
Class C (WTDRX)	11-30-2015		-0.74		6.10		0.26		6.10			5.04		1.43
Class R4 (WTDTX)	11-30-2015		–		–		1.24		7.20			4.01		0.37
Class R6 (WTDUX)	11-30-2015		–		–		1.38		7.36			3.86		0.22
S&P Target Date 2055 Index3	–		–		–		3.17		7.44	*		–		–
Wells Fargo Dynamic Target 2055 Blended Index4	–		–		–		1.29		–			–		–

* Based on the inception date of the oldest Fund class.

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted and assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website,wfam.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 5.75%. For Class C shares, the maximum contingent deferred sales charge is 1.00%. Performance including a contingent deferred sales charge assumes the sales charge for the corresponding time period. Class R4 and Class R6 shares are sold without a front-end sales charge or contingent deferred sales charge.

Growth of $10,000 investment as of February 29, 2020⁵

Please see footnotes on page 36.

34  |  Target Date Retirement Funds

Performance highlights (unaudited)

Dynamic Target 2055 Fund (continued)

Holdings (%) as of February 29, 20206
Wells Fargo Factor Enhanced Large Cap Portfolio	45.47
Wells Fargo Factor Enhanced International Portfolio	29.79
Wells Fargo Factor Enhanced Small Cap Portfolio	11.38
Wells Fargo Factor Enhanced Emerging Markets Portfolio	8.95
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	3.37
Wells Fargo Investment Grade Corporate Bond Portfolio	1.73
Wells Fargo Emerging Markets Bond Portfolio	0.27
Wells Fargo High Yield Corporate Bond Portfolio	0.27

Allocations (%) as of February 29, 2020
	Neutral Allocation		Effective Allocation7
Equity		95		95
Fixed Income		5		5

Volatility metrics as of February 29, 20208
	Beta9		Standard deviation10			R-squared11
Class A		0.96		10.88	%		0.99
Class C		0.96		10.90	%		0.99
Class R4		0.95		10.86	%		0.99
Class R6		0.96		10.90	%		0.99

Please see footnotes on page 36.

Target Date Retirement Funds  |  35

Performance highlights (unaudited)

Dynamic Target 2055 Fund (continued)

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.15% of acquired fund fees and expenses. Net expenses from affiliated master portfolios are included in the acquired fund fees and expense amount. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which only include net expenses from affiliated master portfolios.

²  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.68% for Class A, 1.43% for Class C, 0.37% for Class R4, and 0.22% for Class R6. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios invest and from money market funds, and extraordinary expenses are excluded from the expense caps. All other acquired fund fees and expenses from the affiliated master portfolios are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  The S&P Target Date Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. This index is representative of the investment opportunity available to investors for the target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. You cannot invest directly in an index.

⁴  Source: Wells Fargo Funds Management, LLC. The Wells Fargo Dynamic Target Blended Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. The index weightings among the major asset classes are adjusted annually. The inception date of the index is September 21, 2018. See Appendix I for additional information. You cannot invest directly in an index.

⁵ The chart compares the performance of Class A shares since inception with the S&P Target Date 2055 Index and the Wells Fargo Dynamic Target 2055 Blended Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁶  Holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁷  The effective allocation includes the effect of any tactical futures overlay that may be in place. Effective cash, if any, represents the net offset to such future positions. The effective allocation does not reflect futures positions held in dynamic risk hedging strategies. Effective allocations are subject to change and may have changed since the date specified.

⁸ These metrics show the degree and timing of the Fund’s fluctuations compared to S&P Target Date 2055 Index over 36 months.

⁹  Beta measures fund volatility relative to general market movements. It is a standardized measure of systematic risk in comparison with a specified index. The benchmark beta is 1.00 by definition. Beta is based on historical performance and does not represent future results.

¹⁰ Standard deviation is the square root of the sum of squared deviations from the mean. It is often used as a measure of volatility, variability, or risk. Standard deviation is based on historical performance and does not represent future results.

¹¹  R-squared (R2) is a statistical measure that reflects the percentage of a fund’s movements that can be explained by movements in its benchmark index. The measure ranges from 0.0, which means that the fund’s performance bears no relationship to the performance of the index, to 1.0, which means that the fund’s performance was perfectly synchronized with the performance of the benchmark. R2 is based on historical performance and does not represent future results.

36  |  Target Date Retirement Funds

Performance highlights (unaudited)

Dynamic Target 2060 Fund

Average annual total returns (%) as of February 29, 2020

		Including sales charge				Excluding sales charge						Expense ratios1 (%)
	Inception date	1 year		Since inception		1 year			Since inception			Gross		Net2
Class A (WTDVX)	11-30-2015		-4.76		5.46		1.01			6.94			4.29		0.68
Class C (WTDWX)	11-30-2015		-0.74		6.13		0.26	*		6.13			5.04		1.43
Class R4 (WTDZX)	11-30-2015		–		–		1.34			7.26			4.01		0.37
Class R6 (WTSZX)	11-30-2015		–		–		1.38	*		7.41			3.86		0.22
S&P Target Date 2055 Index3							3.17			7.44	**		–		–
S&P Target Date 2060+ Index3,***	–		–		–		3.25			–			–		–
Wells Fargo Dynamic Target 2060 Blended Index4	–		–		–		1.29			–			–		–

* Total return differs from the return in the Financial Highlights in this report. The total return presented is calculated based on the NAV at which the shareholder transactions were processed. The NAV and total return presented in the Financial Highlights reflects certain adjustments made to the net assets of the Fund that are necessary under U.S. generally accepted accounting principles.

** Based on the inception date of the oldest Fund class.

*** The inception date of the index is May 31, 2016.

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted and assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wfam.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 5.75%. For Class C shares, the maximum contingent deferred sales charge is 1.00%. Performance including a contingent deferred sales charge assumes the sales charge for the corresponding time period. Class R4 and Class R6 shares are sold without a front-end sales charge or contingent deferred sales charge.

Growth of $10,000 investment as of February 29, 2020⁵

Please see footnotes on page 39.

Target Date Retirement Funds  |  37

Performance highlights (unaudited)

Dynamic Target 2060 Fund (continued)

Holdings (%) as of February 29, 20206
Wells Fargo Factor Enhanced Large Cap Portfolio	45.48
Wells Fargo Factor Enhanced International Portfolio	29.82
Wells Fargo Factor Enhanced Small Cap Portfolio	11.37
Wells Fargo Factor Enhanced Emerging Markets Portfolio	8.97
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	3.37
Wells Fargo Investment Grade Corporate Bond Portfolio	1.73
Wells Fargo Emerging Markets Bond Portfolio	0.28
Wells Fargo High Yield Corporate Bond Portfolio	0.27
Wells Fargo U.S. REIT Portfolio	0.12

Allocations (%) as of February 29, 2020
	Neutral Allocation		Effective Allocation7
Equity		95		95
Fixed Income		5		5

Volatility metrics as of February 29, 20208
	Beta9		Standard deviation10			R-squared11
Class A		0.95		10.87	%		0.99
Class C		0.95		10.85	%		0.99
Class R4		0.95		10.87	%		0.99
Class R6		0.95		10.89	%		0.99

Please see footnotes on page 39.

38  |  Target Date Retirement Funds

Performance highlights (unaudited)

Dynamic Target 2060 Fund (continued)

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.15% of acquired fund fees and expenses. Net expenses from affiliated master portfolios are included in the acquired fund fees and expense amount. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which only include net expenses from affiliated master portfolios.

²  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.68% for Class A, 1.43% for Class C, 0.37% for Class R4, and 0.22% for Class R6. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios invest and from money market funds, and extraordinary expenses are excluded from the expense caps. All other acquired fund fees and expenses from the affiliated master portfolios are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  The S&P Target Date Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. This index is representative of the investment opportunity available to investors for the target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. You cannot invest directly in an index.

⁴  Source: Wells Fargo Funds Management, LLC. The Wells Fargo Dynamic Target Blended Index is designed as a benchmark for multi-asset class portfolios with risk profiles that become more conservative over time, corresponding to the target retirement date. The index weightings among the major asset classes are adjusted annually. The inception date of the index is September 21, 2018. See Appendix I for additional information. You cannot invest directly in an index.

⁵ The chart compares the performance of Class A shares since inception with the S&P Target Date 2060+ Index and the Wells Fargo Dynamic Target 2060 Blended Index. The performance shown for the S&P Target Date 2060+ Index represents the returns of the S&P Target Date 2055 Index from 11/30/2015 to 4/30/2016 and the S&P Target Date 2060+ Index from 5/31/2016 (index inception date) through period end. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁶  Holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁷  The effective allocation includes the effect of any tactical futures overlay that may be in place. Effective cash, if any, represents the net offset to such future positions. The effective allocation does not reflect futures positions held in dynamic risk hedging strategies. Effective allocations are subject to change and may have changed since the date specified.

⁸ These metrics show the degree and timing of the Fund’s fluctuations compared to S&P Target Date 2060+ Index over 36 months.

⁹  Beta measures fund volatility relative to general market movements. It is a standardized measure of systematic risk in comparison with a specified index. The benchmark beta is 1.00 by definition. Beta is based on historical performance and does not represent future results.

¹⁰ Standard deviation is the square root of the sum of squared deviations from the mean. It is often used as a measure of volatility, variability, or risk. Standard deviation is based on historical performance and does not represent future results.

¹¹  R-squared (R2) is a statistical measure that reflects the percentage of a fund’s movements that can be explained by movements in its benchmark index. The measure ranges from 0.0, which means that the fund’s performance bears no relationship to the performance of the index, to 1.0, which means that the fund’s performance was perfectly synchronized with the performance of the benchmark. R2 is based on historical performance and does not represent future results.

Target Date Retirement Funds  |  39

Performance highlights (unaudited)

MANAGER’S DISCUSSION

Highlights

The Wells Fargo Dynamic Target Date Funds seek to manage the asset allocation and risk profile of multi-asset-class funds for investors as they save for their target retirement date. The strategic asset allocations are designed with the goal of providing high levels of diversification across equity and fixed-income investments. Our approach to portfolio construction helps investors make more aggressive allocations when they may be most beneficial while remaining diversified to manage risks during bear markets. In September 2018, we introduced a number of factor-based equity strategies and passively managed fixed-income strategies into the Funds. The results over the period have contributed to relative performance.

The portfolio management team employs three levers as it seeks to manage investment risk.

The Dynamic Target Date Funds portfolio management team incorporates three levers as it seeks to manage investment risk over each Fund’s investment time horizon: tactical asset allocation, volatility management, and tail risk management. Tactical asset allocation, a futures overlay, uses timely shifts toward assets with higher expected returns and is driven by the market outlook of the Wells Fargo Multi-Asset Solutions team. Volatility management reduces exposure to risk assets in high-volatility markets and adds risk assets in low-volatility markets. Tail risk management uses institutional hedging techniques in an effort to mitigate risk during severe market downturns when a portfolio’s value falls to a specific level. Together, volatility management and tail risk management comprise the Funds’ dynamic risk hedging (DRH) strategy.

During the period, tactical asset allocation benefited all Funds and DRH reduced the Funds’ volatility.

For the 12-month period that ended February 29, 2020, each Wells Fargo Dynamic Target Date Fund posted positive returns. The near-dated Funds generated slightly higher absolute returns due to their higher fixed-income allocations.

Eleven funds—each offering four share classes, including two classes with sales charges—comprise the Dynamic Target Date Funds series. In general, the benchmark-relative performance tended to be higher for the near-dated Funds, as those Funds have a higher allocation to fixed-income investments, which tended to outperform over this period. As a whole, the Funds’ underlying style selection contributed to benchmark-relative performance. Domestic assets, both stocks and bonds, tended to have stronger performance than did foreign stocks and bonds.

Over the period, tactical asset allocation activities executed within the Funds detracted from relative performance. The largest contributor to performance was a long yen trade we initiated at the end of March and closed out mid-August. Our bearish market view resulted in losses in the final months of 2019 and beginning of 2020. We initiated a short S&P 500 Index¹ position at the end of August, which we subsequently sold out of at the end of October. Additionally, we implemented a long 10-year Treasury position in August and consequently closed it out at a loss in January of this year.

The DRH overlay contributed to performance during the period. As the period was marked by low volatility with limited downside movements, the DRH downside risk management was inactive for most of the period with no impact on performance. The period’s low volatility allowed for the volatility management to capitalize on this trend and take positions that added to performance.

Global macroeconomic conditions are clouded by the cornoavirus.

At the time of this writing, the impact of the coronavirus is the major source of global uncertainty. The full impact the coronavirus will have on the economy and the financial markets is unknown. The situation has quickly escalated, but we don’t know if it will hit catastrophic and tragic levels. Initial economic reports show some signs of weakness from the supply and demand disruption caused by the quarantine in China. Concerns over travel are also having a negative impact on the economy. Governments have started to take actions but these efforts are limited and not coordinated. Global central banks have also started to take action as more countries beyond China are being affected by the virus.

So, we return to the question we cannot yet answer: How deep is the damage from the coronavirus? Time will provide us a clearer picture as more data is released. Could the virus kill the economic expansion and hopes of a global rebound from the malaise of 2019? The prognosis is unclear at the moment, but do not count out a U.S. economy that has proven to be resilient. As of period-end, unemployment and inflation were low. Central banks have been accommodative. Industrial production and retail sales have been disappointing. Economic growth forecasts have fallen, so at least the market seems to be pricing in lower growth. As more information becomes available, we will continue to reevaluate the portfolio’s risk/reward composition and make adjustments as required.

¹  The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock’s weight in the index proportionate to its market value. You cannot invest directly in an index.

40  |  Target Date Retirement Funds

Fund expenses (unaudited)

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and contingent deferred sales charges (if any) on redemptions and (2) ongoing costs, including management fees, distribution (12b-1) and/or shareholder servicing fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the six-month period and held for the entire period from September 1, 2019 to February 29, 2020.

Actual expenses

The “Actual” line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the “Actual” line under the heading entitled “Expenses paid during period” for your applicable class of shares to estimate the expenses you paid on your account during this period.

Hypothetical example for comparison purposes

The “Hypothetical” line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) and contingent deferred sales charges. Therefore, the “Hypothetical” line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Dynamic Target Today Fund	Beginning account  value 9-1-2019		Ending account value 2-29-2020		Expenses paid during the period¹		Annualized net expense ratio
Class A
Actual	$	1,000.00	$	1,014.30	$	3.36		0.67	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.53	$	3.37		0.67	%
Class C
Actual	$	1,000.00	$	1,009.95	$	7.10		1.42	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.80	$	7.12		1.42	%
Class R4
Actual	$	1,000.00	$	1,015.97	$	1.85		0.37	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.02	$	1.86		0.37	%
Class R6
Actual	$	1,000.00	$	1,016.45	$	1.10		0.22	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.77	$	1.11		0.22	%
Dynamic Target 2015 Fund
Class A
Actual	$	1,000.00	$	1,012.56	$	3.25		0.65	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.63	$	3.27		0.65	%
Class C
Actual	$	1,000.00	$	1,009.29	$	7.14		1.43	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.75	$	7.17		1.43	%
Class R4
Actual	$	1,000.00	$	1,013.41	$	1.85		0.37	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.02	$	1.86		0.37	%
Class R6
Actual	$	1,000.00	$	1,014.85	$	1.10		0.22	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.77	$	1.11		0.22	%

¹  Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one-half-year period).

Target Date Retirement Funds  |  41

Fund expenses (unaudited)

Dynamic Target 2020 Fund	Beginning account value 9-1-2019		Ending account value 2-29-2020		Expenses paid during the period¹		Annualized net expense ratio
Class A
Actual	$	1,000.00	$	1,008.52	$	3.35		0.67	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.53	$	3.37		0.67	%
Class C
Actual	$	1,000.00	$	1,005.66	$	7.13		1.43	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.75	$	7.17		1.43	%
Class R4
Actual	$	1,000.00	$	1,010.68	$	1.85		0.37	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.02	$	1.86		0.37	%
Class R6
Actual	$	1,000.00	$	1,010.15	$	1.10		0.22	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.77	$	1.11		0.22	%
Dynamic Target 2025 Fund
Class A
Actual	$	1,000.00	$	1,006.05	$	3.24		0.65	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.63	$	3.27		0.65	%
Class C
Actual	$	1,000.00	$	1,002.75	$	7.12		1.43	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.75	$	7.17		1.43	%
Class R4
Actual	$	1,000.00	$	1,007.11	$	1.85		0.37	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.02	$	1.86		0.37	%
Class R6
Actual	$	1,000.00	$	1,008.56	$	1.10		0.22	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.77	$	1.11		0.22	%
Dynamic Target 2030 Fund
Class A
Actual	$	1,000.00	$	1,003.75	$	3.29		0.66	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.58	$	3.32		0.66	%
Class C
Actual	$	1,000.00	$	999.07	$	7.11		1.43	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.75	$	7.17		1.43	%
Class R4
Actual	$	1,000.00	$	1,005.23	$	1.84		0.37	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.02	$	1.86		0.37	%
Class R6
Actual	$	1,000.00	$	1,005.68	$	1.10		0.22	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.77	$	1.11		0.22	%
Dynamic Target 2035 Fund
Class A
Actual	$	1,000.00	$	1,002.12	$	3.24		0.65	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.63	$	3.27		0.65	%
Class C
Actual	$	1,000.00	$	997.53	$	7.10		1.43	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.75	$	7.17		1.43	%
Class R4
Actual	$	1,000.00	$	1,003.07	$	1.84		0.37	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.02	$	1.86		0.37	%
Class R6
Actual	$	1,000.00	$	1,003.51	$	1.10		0.22	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.77	$	1.11		0.22	%

¹  Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one-half-year period).

42  |  Target Date Retirement Funds

Fund expenses (unaudited)

Dynamic Target 2040 Fund	Beginning account value 9-1-2019		Ending account value 2-29-2020		Expenses paid during the period¹		Annualized net expense ratio
Class A
Actual	$	1,000.00	$	1,000.79	$	3.33		0.67	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.53	$	3.37		0.67	%
Class C
Actual	$	1,000.00	$	995.87	$	7.10		1.43	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.75	$	7.17		1.43	%
Class R4
Actual	$	1,000.00	$	1,001.63	$	1.84		0.37	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.02	$	1.86		0.37	%
Class R6
Actual	$	1,000.00	$	1,003.03	$	1.10		0.22	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.77	$	1.11		0.22	%
Dynamic Target 2045 Fund
Class A
Actual	$	1,000.00	$	996.86	$	3.23		0.65	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.63	$	3.27		0.65	%
Class C
Actual	$	1,000.00	$	992.45	$	7.08		1.43	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.75	$	7.17		1.43	%
Class R4
Actual	$	1,000.00	$	996.87	$	1.84		0.37	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.02	$	1.86		0.37	%
Class R6
Actual	$	1,000.00	$	998.27	$	1.09		0.22	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.77	$	1.11		0.22	%
Dynamic Target 2050 Fund
Class A
Actual	$	1,000.00	$	991.69	$	3.27		0.66	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.58	$	3.32		0.66	%
Class C
Actual	$	1,000.00	$	988.31	$	7.07		1.43	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.75	$	7.17		1.43	%
Class R4
Actual	$	1,000.00	$	993.91	$	1.83		0.37	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.02	$	1.86		0.37	%
Class R6
Actual	$	1,000.00	$	994.29	$	1.09		0.22	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.77	$	1.11		0.22	%
Dynamic Target 2055 Fund
Class A
Actual	$	1,000.00	$	992.19	$	3.32		0.67	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.53	$	3.37		0.67	%
Class C
Actual	$	1,000.00	$	989.33	$	7.07		1.43	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.75	$	7.17		1.43	%
Class R4
Actual	$	1,000.00	$	994.05	$	1.83		0.37	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.02	$	1.86		0.37	%
Class R6
Actual	$	1,000.00	$	994.42	$	1.09		0.22	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.77	$	1.11		0.22	%

¹  Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one-half-year period).

Target Date Retirement Funds  |  43

Fund expenses (unaudited)

Dynamic Target 2060 Fund	Beginning account value 9-1-2019		Ending account value 2-29-2020		Expenses paid during the period¹		Annualized net expense ratio
Class A
Actual	$	1,000.00	$	992.76	$	3.32		0.67	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.53	$	3.37		0.67	%
Class C
Actual	$	1,000.00	$	988.37	$	7.07		1.43	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.75	$	7.17		1.43	%
Class R4
Actual	$	1,000.00	$	994.13	$	1.83		0.37	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.02	$	1.86		0.37	%
Class R6
Actual	$	1,000.00	$	994.50	$	1.09		0.22	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.77	$	1.11		0.22	%

¹  Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one-half-year period).

44  |  Target Date Retirement Funds

Portfolio of investments—February 29, 2020

DYNAMIC TARGET TODAY FUND

								Value
Investment Companies: 101.01%
Affiliated Master Portfolios: 101.01%
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio								$	2,122,216
Wells Fargo Emerging Markets Bond Portfolio									176,660
Wells Fargo Factor Enhanced Emerging Markets Portfolio									194,992
Wells Fargo Factor Enhanced International Portfolio									642,073
Wells Fargo Factor Enhanced Large Cap Portfolio									1,211,162
Wells Fargo Factor Enhanced Small Cap Portfolio									302,309
Wells Fargo High Yield Corporate Bond Portfolio									172,668
Wells Fargo Investment Grade Corporate Bond Portfolio									1,099,864
Wells Fargo Strategic Retirement Bond Portfolio									715,576
Wells Fargo U.S. REIT Portfolio									214,010
Total Investment Companies (Cost $6,546,517)									6,851,530
	Yield			Maturity date		Principal
Short-Term Investments: 0.24%
U.S. Treasury Securities: 0.24%
U.S. Treasury Bill #(z)		1.28	%		3-12-2020	$	16,000		15,993
Total Short-Term Investments (Cost $15,993)									15,993

Total investments in securities (Cost $6,562,510)	101.25	%		6,867,523
Other assets and liabilities, net	(1.25	)		(84,570	)
Total net assets	100.00	%	$	6,782,953

# All or a portion of this security is segregated as collateral for investments in derivative instruments.

(z) Zero coupon security. The rate represents the current yield to maturity.

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost			Notional value			Unrealized gains		Unrealized losses
Short
MSCI EAFE Index		(1)		3-20-2020	$	(96,030	)	$	(90,800	)	$	5,230	$	0
Russell 2000 E-Mini Index		(1)		3-20-2020		(81,247	)		(73,745	)		7,502		0
S&P 500 E-Mini Index		(1)		3-20-2020		(161,681	)		(147,555	)		14,126		0
											$	26,858	$	0

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  45

Portfolio of investments—February 29, 2020

DYNAMIC TARGET TODAY FUND

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses)  on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		0.26	%		0.32	%	$	2,825		$	134,842		$	43,608	$	0	$	532	$	2,122,216
Wells Fargo Emerging Markets Bond Portfolio		0.31			0.42			913			3,950			8,362		0		26		176,660
Wells Fargo Factor Enhanced Emerging Markets Portfolio		0.06			0.09			(6,031	)		(8,399	)		25		5,035		96		194,992
Wells Fargo Factor Enhanced International Portfolio		0.08			0.11			(812	)		(6,908	)		49		15,885		302		642,073
Wells Fargo Factor Enhanced Large Cap Portfolio		0.09			0.13			87,156			(67,754	)		115		25,830		622		1,211,162
Wells Fargo Factor Enhanced Small Cap Portfolio		0.09			0.13			8,613			(28,317	)		35		4,210		198		302,309
Wells Fargo High Yield Corporate Bond Portfolio		0.16			0.32			(3,536	)		477			9,226		0		42		172,668
Wells Fargo Investment Grade Corporate Bond Portfolio		0.32			0.42			8,613			93,832			35,145		0		104		1,099,864
Wells Fargo Strategic Retirement Bond Portfolio		0.74			0.94			(295	)		32,766			14,277		0		41		715,576
Wells Fargo U.S. REIT Portfolio		0.41			0.84			21,847			(22,909	)		0		5,181		17		214,010
							$	119,293		$	131,580		$	110,842	$	56,141	$	1,980	$	6,851,530		101.01	%

The accompanying notes are an integral part of these financial statements.

46  |  Target Date Retirement Funds

Portfolio of investments—February 29, 2020

DYNAMIC TARGET 2015 FUND

								Value
Investment Companies: 100.98%
Affiliated Master Portfolios: 100.98%
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio								$	1,512,361
Wells Fargo Emerging Markets Bond Portfolio									125,249
Wells Fargo Factor Enhanced Emerging Markets Portfolio									197,094
Wells Fargo Factor Enhanced International Portfolio									653,633
Wells Fargo Factor Enhanced Large Cap Portfolio									1,237,489
Wells Fargo Factor Enhanced Small Cap Portfolio									309,278
Wells Fargo High Yield Corporate Bond Portfolio									122,443
Wells Fargo Investment Grade Corporate Bond Portfolio									782,579
Wells Fargo Strategic Retirement Bond Portfolio									507,719
Wells Fargo U.S. REIT Portfolio									216,626
Total Investment Companies (Cost $5,354,981)									5,664,471
	Yield			Maturity date		Principal
Short-Term Investments: 0.29%
U.S. Treasury Securities: 0.29%
U.S. Treasury Bill #(z)		1.28	%		3-12-2020	$	16,000		15,993
Total Short-Term Investments (Cost $15,993)									15,993

Total investments in securities (Cost $5,370,974)	101.27	%		5,680,464
Other assets and liabilities, net	(1.27	)		(71,002	)
Total net assets	100.00	%	$	5,609,462

# All or a portion of this security is segregated as collateral for investments in derivative instruments.

(z) Zero coupon security. The rate represents the current yield to maturity.

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost			Notional value			Unrealized gains		Unrealized losses
Short
MSCI EAFE Index		(1)		3-20-2020	$	(96,030	)	$	(90,800	)	$	5,230	$	0
Russell 2000 E-Mini Index		(1)		3-20-2020		(81,247	)		(73,745	)		7,502		0
S&P 500 E-Mini Index		(1)		3-20-2020		(161,681	)		(147,555	)		14,126		0
											$	26,858	$	0

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  47

Portfolio of investments—February 29, 2020

DYNAMIC TARGET 2015 FUND

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		0.21	%		0.23	%	$	(35	)	$	105,891		$	32,994	$	0	$	405	$	1,512,361
Wells Fargo Emerging Markets Bond Portfolio		0.25			0.29			441			3,318			6,304		0		20		125,249
Wells Fargo Factor Enhanced Emerging Markets Portfolio		0.08			0.09			(7,192	)		(9,398	)		28		5,925		114		197,094
Wells Fargo Factor Enhanced International Portfolio		0.10			0.11			(2,679	)		(2,308	)		58		18,912		353		653,633
Wells Fargo Factor Enhanced Large Cap Portfolio		0.11			0.13			94,318			(57,945	)		136		29,634		729		1,237,489
Wells Fargo Factor Enhanced Small Cap Portfolio		0.12			0.13			8,474			(29,424	)		41		4,893		233		309,278
Wells Fargo High Yield Corporate Bond Portfolio		0.13			0.23			(2,898	)		712			6,954		0		32		122,443
Wells Fargo Investment Grade Corporate Bond Portfolio		0.26			0.30			5,509			73,368			26,558		0		78		782,579
Wells Fargo Strategic Retirement Bond Portfolio		0.60			0.67			(963	)		25,683			11,032		0		30		507,719
Wells Fargo U.S. REIT Portfolio		0.51			0.85			26,951			(23,870	)		0		6,118		19		216,626
							$	121,926		$	86,027		$	84,105	$	65,482	$	2,013	$	5,664,471		100.98	%

The accompanying notes are an integral part of these financial statements.

48  |  Target Date Retirement Funds

Portfolio of investments—February 29, 2020

DYNAMIC TARGET 2020 FUND

								Value
Investment Companies: 100.49%
Affiliated Master Portfolios: 100.49%
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio								$	1,541,187
Wells Fargo Emerging Markets Bond Portfolio									126,955
Wells Fargo Factor Enhanced Emerging Markets Portfolio									288,039
Wells Fargo Factor Enhanced International Portfolio									954,089
Wells Fargo Factor Enhanced Large Cap Portfolio									1,769,093
Wells Fargo Factor Enhanced Small Cap Portfolio									441,750
Wells Fargo High Yield Corporate Bond Portfolio									124,660
Wells Fargo Investment Grade Corporate Bond Portfolio									796,795
Wells Fargo Strategic Retirement Bond Portfolio									477,259
Wells Fargo U.S. REIT Portfolio									278,613
Total Investment Companies (Cost $6,510,221)									6,798,440
	Yield			Maturity date		Principal
Short-Term Investments: 0.26%
U.S. Treasury Securities: 0.26%
U.S. Treasury Bill #(z)		1.33	%		3-12-2020	$	18,000		17,992
Total Short-Term Investments (Cost $17,992)									17,992

Total investments in securities (Cost $6,528,213)	100.75	%		6,816,432
Other assets and liabilities, net	(0.75	)		(51,022	)
Total net assets	100.00	%	$	6,765,410

# All or a portion of this security is segregated as collateral for investments in derivative instruments.

(z) Zero coupon security. The rate represents the current yield to maturity.

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost			Notional value			Unrealized gains		Unrealized losses
Short
MSCI EAFE Index		(1)		3-20-2020	$	(96,030	)	$	(90,800	)	$	5,230	$	0
MSCI Emerging Markets Index		(1)		3-20-2020		(52,548	)		(50,440	)		2,108		0
Russell 2000 E-Mini Index		(1)		3-20-2020		(81,247	)		(73,745	)		7,502		0
S&P 500 E-Mini Index		(1)		3-20-2020		(161,681	)		(147,555	)		14,126		0
											$	28,966	$	0

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  49

Portfolio of investments—February 29, 2020

DYNAMIC TARGET 2020 FUND

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		0.19	%		0.23	%	$	(3,425	)	$	180,072		$	31,274	$	0	$	384	$	1,541,187
Wells Fargo Emerging Markets Bond Portfolio		0.23			0.30			199			10,874			5,971		0		19		126,955
Wells Fargo Factor Enhanced Emerging Markets Portfolio		0.10			0.13			(10,684	)		8,396			37		9,217		148		288,039
Wells Fargo Factor Enhanced International Portfolio		0.12			0.16			(4,767	)		(31,921	)		76		30,444		464		954,089
Wells Fargo Factor Enhanced Large Cap Portfolio		0.14			0.18			121,678			(210,212	)		174		33,594		956		1,769,093
Wells Fargo Factor Enhanced Small Cap Portfolio		0.15			0.19			10,996			(74,088	)		53		5,021		301		441,750
Wells Fargo High Yield Corporate Bond Portfolio		0.11			0.23			(2,965	)		6,482			6,585		0		30		124,660
Wells Fargo Investment Grade Corporate Bond Portfolio		0.23			0.30			3,323			106,985			25,204		0		75		796,795
Wells Fargo Strategic Retirement Bond Portfolio		0.45			0.63			(1,981	)		44,118			8,580		0		26		477,259
Wells Fargo U.S. REIT Portfolio		0.51			1.09			26,220			(19,840	)		0		5,663		21		278,613
							$	138,594		$	20,866		$	77,954	$	83,939	$	2,424	$	6,798,440		100.49	%

The accompanying notes are an integral part of these financial statements.

50  |  Target Date Retirement Funds

Portfolio of investments—February 29, 2020

DYNAMIC TARGET 2025 FUND

								Value
Investment Companies: 101.03%
Affiliated Master Portfolios: 101.03%
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio								$	1,892,662
Wells Fargo Emerging Markets Bond Portfolio									154,044
Wells Fargo Factor Enhanced Emerging Markets Portfolio									516,155
Wells Fargo Factor Enhanced International Portfolio									1,707,722
Wells Fargo Factor Enhanced Large Cap Portfolio									3,077,326
Wells Fargo Factor Enhanced Small Cap Portfolio									773,538
Wells Fargo High Yield Corporate Bond Portfolio									151,426
Wells Fargo Investment Grade Corporate Bond Portfolio									974,900
Wells Fargo Strategic Retirement Bond Portfolio									309,890
Wells Fargo U.S. REIT Portfolio									266,986
Total Investment Companies (Cost $9,510,108)									9,824,649
	Yield			Maturity date		Principal
Short-Term Investments: 0.34%
U.S. Treasury Securities: 0.34%
U.S. Treasury Bill #(z)		1.24	%		3-12-2020	$	33,000		32,986
Total Short-Term Investments (Cost $32,986)									32,986

Total investments in securities (Cost $9,543,094)	101.37	%		9,857,635
Other assets and liabilities, net	(1.37	)		(133,500	)
Total net assets	100.00	%	$	9,724,135

# All or a portion of this security is segregated as collateral for investments in derivative instruments.

(z) Zero coupon security. The rate represents the current yield to maturity.

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost			Notional value			Unrealized gains		Unrealized losses
Short
MSCI EAFE Index		(2)		3-20-2020	$	(191,329	)	$	(181,600	)	$	9,729	$	0
MSCI Emerging Markets Index		(1)		3-20-2020		(52,548	)		(50,440	)		2,108		0
Russell 2000 E-Mini Index		(2)		3-20-2020		(160,290	)		(147,490	)		12,800		0
S&P 500 E-Mini Index		(2)		3-20-2020		(319,393	)		(295,110	)		24,283		0
											$	48,920	$	0

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  51

Portfolio of investments—February 29, 2020

DYNAMIC TARGET 2025 FUND

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		0.20	%		0.28	%	$	(9,299	)	$	206,463		$	34,994	$	0	$	427	$	1,892,662
Wells Fargo Emerging Markets Bond Portfolio		0.23			0.36			(172	)		12,868			6,651		0		21		154,044
Wells Fargo Factor Enhanced Emerging Markets Portfolio		0.15			0.24			(19,433	)		19,355			61		15,416		249		516,155
Wells Fargo Factor Enhanced International Portfolio		0.19			0.29			(11,209	)		(27,603	)		128		50,848		785		1,707,722
Wells Fargo Factor Enhanced Large Cap Portfolio		0.21			0.32			196,441			(300,166	)		281		54,588		1,552		3,077,326
Wells Fargo Factor Enhanced Small Cap Portfolio		0.22			0.34			17,821			(104,880	)		86		7,999		490		773,538
Wells Fargo High Yield Corporate Bond Portfolio		0.12			0.28			(3,684	)		8,198			7,337		0		34		151,426
Wells Fargo Investment Grade Corporate Bond Portfolio		0.24			0.37			928			125,761			28,196		0		84		974,900
Wells Fargo Strategic Retirement Bond Portfolio		0.23			0.41			(2,108	)		27,943			4,708		0		15		309,890
Wells Fargo U.S. REIT Portfolio		0.40			1.04			20,525			(16,656	)		0		4,526		18		266,986
							$	189,810		$	(48,717	)	$	82,442	$	133,377	$	3,675	$	9,824,649		101.03	%

The accompanying notes are an integral part of these financial statements.

52  |  Target Date Retirement Funds

Portfolio of investments—February 29, 2020

DYNAMIC TARGET 2030 FUND

								Value
Investment Companies: 100.24%
Affiliated Master Portfolios: 100.24%
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio								$	1,218,176
Wells Fargo Emerging Markets Bond Portfolio									99,036
Wells Fargo Factor Enhanced Emerging Markets Portfolio									519,383
Wells Fargo Factor Enhanced International Portfolio									1,715,939
Wells Fargo Factor Enhanced Large Cap Portfolio									2,938,621
Wells Fargo Factor Enhanced Small Cap Portfolio									735,642
Wells Fargo High Yield Corporate Bond Portfolio									98,589
Wells Fargo Investment Grade Corporate Bond Portfolio									627,785
Wells Fargo Strategic Retirement Bond Portfolio									59,097
Wells Fargo U.S. REIT Portfolio									76,492
Total Investment Companies (Cost $7,785,056)									8,088,760
	Yield			Maturity date		Principal
Short-Term Investments: 0.36%
U.S. Treasury Securities: 0.36%
U.S. Treasury Bill #(z)		1.24	%		3-12-2020	$	29,000		28,988
Total Short-Term Investments (Cost $28,988)									28,988

Total investments in securities (Cost $7,814,044)	100.60	%		8,117,748
Other assets and liabilities, net	(0.60	)		(48,371	)
Total net assets	100.00	%	$	8,069,377

# All or a portion of this security is segregated as collateral for investments in derivative instruments.

(z) Zero coupon security. The rate represents the current yield to maturity.

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost			Notional value			Unrealized gains		Unrealized losses
Short
MSCI EAFE Index		(1)		3-20-2020	$	(96,030	)	$	(90,800	)	$	5,230	$	0
MSCI Emerging Markets Index		(1)		3-20-2020		(52,548	)		(50,440	)		2,108		0
Russell 2000 E-Mini Index		(2)		3-20-2020		(160,290	)		(147,490	)		12,800		0
S&P 500 E-Mini Index		(2)		3-20-2020		(319,393	)		(295,110	)		24,283		0
											$	44,421	$	0

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  53

Portfolio of investments—February 29, 2020

DYNAMIC TARGET 2030 FUND

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		0.13	%		0.18	%	$	(7,321	)	$	64,795		$	22,938	$	0	$	283	$	1,218,176
Wells Fargo Emerging Markets Bond Portfolio		0.15			0.23			(238	)		2,644			4,354		0		14		99,036
Wells Fargo Factor Enhanced Emerging Markets Portfolio		0.15			0.24			(19,704	)		(13,477	)		60		14,951		244		519,383
Wells Fargo Factor Enhanced International Portfolio		0.20			0.29			(13,649	)		7,951			129		50,973		789		1,715,939
Wells Fargo Factor Enhanced Large Cap Portfolio		0.20			0.31			176,521			(128,702	)		266		50,888		1,472		2,938,621
Wells Fargo Factor Enhanced Small Cap Portfolio		0.21			0.32			14,029			(56,621	)		79		7,057		448		735,642
Wells Fargo High Yield Corporate Bond Portfolio		0.08			0.18			(2,585	)		970			4,805		0		22		98,589
Wells Fargo Investment Grade Corporate Bond Portfolio		0.16			0.24			(4	)		54,540			18,551		0		55		627,785
Wells Fargo Strategic Retirement Bond Portfolio		0.04			0.08			(474	)		2,668			852		0		3		59,097
Wells Fargo U.S. REIT Portfolio		0.08			0.30			4,102			(7,492	)		0		875		4		76,492
							$	150,677		$	(72,724	)	$	52,034	$	124,744	$	3,334	$	8,088,760		100.24	%

The accompanying notes are an integral part of these financial statements.

54  |  Target Date Retirement Funds

Portfolio of investments—February 29, 2020

DYNAMIC TARGET 2035 FUND

								Value
Investment Companies: 101.35%
Affiliated Master Portfolios: 101.35%
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio								$	971,206
Wells Fargo Emerging Markets Bond Portfolio									79,077
Wells Fargo Factor Enhanced Emerging Markets Portfolio									558,027
Wells Fargo Factor Enhanced International Portfolio									1,853,778
Wells Fargo Factor Enhanced Large Cap Portfolio									3,030,221
Wells Fargo Factor Enhanced Small Cap Portfolio									758,514
Wells Fargo High Yield Corporate Bond Portfolio									77,730
Wells Fargo Investment Grade Corporate Bond Portfolio									499,940
Total Investment Companies (Cost $7,575,688)									7,828,493
	Yield			Maturity date		Principal
Short-Term Investments: 0.43%
U.S. Treasury Securities: 0.43%
U.S. Treasury Bill #(z)		1.27	%		3-12-2020	$	33,000		32,986
Total Short-Term Investments (Cost $32,986)									32,986

Total investments in securities (Cost $7,608,674)	101.78	%		7,861,479
Other assets and liabilities, net	(1.78	)		(137,439	)
Total net assets	100.00	%	$	7,724,040

# All or a portion of this security is segregated as collateral for investments in derivative instruments.

(z) Zero coupon security. The rate represents the current yield to maturity.

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost			Notional value			Unrealized gains		Unrealized losses
Short
MSCI EAFE Index		(2)		3-20-2020	$	(184,775	)	$	(181,600	)	$	3,175	$	0
MSCI Emerging Markets Index		(1)		3-20-2020		(52,548	)		(50,440	)		2,108		0
Russell 2000 E-Mini Index		(2)		3-20-2020		(160,290	)		(147,490	)		12,800		0
S&P 500 E-Mini Index		(2)		3-20-2020		(319,393	)		(295,110	)		24,283		0
											$	42,366	$	0

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  55

Portfolio of investments—February 29, 2020

DYNAMIC TARGET 2035 FUND

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		0.10	%		0.15	%	$	(7,163	)	$	63,528		$	17,346	$	0	$	213	$	971,206
Wells Fargo Emerging Markets Bond Portfolio		0.11			0.19			(277	)		2,110			3,316		0		10		79,077
Wells Fargo Factor Enhanced Emerging Markets Portfolio		0.15			0.26			(21,347	)		(13,536	)		62		15,268		250		558,027
Wells Fargo Factor Enhanced International Portfolio		0.19			0.32			(15,584	)		2,543			131		51,457		805		1,853,778
Wells Fargo Factor Enhanced Large Cap Portfolio		0.19			0.32			179,087			(158,517	)		264		51,058		1,465		3,030,221
Wells Fargo Factor Enhanced Small Cap Portfolio		0.21			0.33			15,471			(58,103	)		80		7,254		457		758,514
Wells Fargo High Yield Corporate Bond Portfolio		0.06			0.14			(2,046	)		710			3,662		0		17		77,730
Wells Fargo Investment Grade Corporate Bond Portfolio		0.11			0.19			(859	)		41,760			14,042		0		42		499,940
							$	147,282		$	(119,505	)	$	38,903	$	125,037	$	3,259	$	7,828,493		101.35	%

The accompanying notes are an integral part of these financial statements.

56  |  Target Date Retirement Funds

Portfolio of investments—February 29, 2020

DYNAMIC TARGET 2040 FUND

								Value
Investment Companies: 100.86%
Affiliated Master Portfolios: 100.86%
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio								$	644,675
Wells Fargo Emerging Markets Bond Portfolio									52,653
Wells Fargo Factor Enhanced Emerging Markets Portfolio									545,039
Wells Fargo Factor Enhanced International Portfolio									1,805,152
Wells Fargo Factor Enhanced Large Cap Portfolio									2,870,114
Wells Fargo Factor Enhanced Small Cap Portfolio									717,849
Wells Fargo High Yield Corporate Bond Portfolio									51,742
Wells Fargo Investment Grade Corporate Bond Portfolio									332,894
Total Investment Companies (Cost $6,797,508)									7,020,118
	Yield			Maturity date		Principal
Short-Term Investments: 0.42%
U.S. Treasury Securities: 0.42%
U.S. Treasury Bill #(z)		1.25	%		3-12-2020	$	29,000		28,988
Total Short-Term Investments (Cost $28,988)									28,988

Total investments in securities (Cost $6,826,496)	101.28	%		7,049,106
Other assets and liabilities, net	(1.28	)		(89,002	)
Total net assets	100.00	%	$	6,960,104

# All or a portion of this security is segregated as collateral for investments in derivative instruments.

(z) Zero coupon security. The rate represents the current yield to maturity.

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost			Notional value			Unrealized gains		Unrealized losses
Short
MSCI EAFE Index		(1)		3-20-2020	$	(96,030	)	$	(90,800	)	$	5,230	$	0
MSCI Emerging Markets Index		(1)		3-20-2020		(52,548	)		(50,440	)		2,108		0
Russell 2000 E-Mini Index		(2)		3-20-2020		(160,290	)		(147,490	)		12,800		0
S&P 500 E-Mini Index		(2)		3-20-2020		(319,393	)		(295,110	)		24,283		0
											$	44,421	$	0

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  57

Portfolio of investments—February 29, 2020

DYNAMIC TARGET 2040 FUND

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		0.07	%		0.10	%	$	(6,370	)	$	45,672		$	11,837	$	0	$	146	$	644,675
Wells Fargo Emerging Markets Bond Portfolio		0.08			0.12			(325	)		1,538			2,257		0		7		52,653
Wells Fargo Factor Enhanced Emerging Markets Portfolio		0.16			0.25			(23,326	)		(5,754	)		65		14,004		263		545,039
Wells Fargo Factor Enhanced International Portfolio		0.20			0.31			(21,988	)		(11,338	)		135		43,448		827		1,805,152
Wells Fargo Factor Enhanced Large Cap Portfolio		0.20			0.30			166,971			(160,653	)		263		59,275		1,476		2,870,114
Wells Fargo Factor Enhanced Small Cap Portfolio		0.21			0.31			12,087			(62,724	)		81		9,680		457		717,849
Wells Fargo High Yield Corporate Bond Portfolio		0.04			0.10			(1,517	)		436			2,489		0		11		51,742
Wells Fargo Investment Grade Corporate Bond Portfolio		0.08			0.13			(1,384	)		30,145			9,570		0		28		332,894
							$	124,148		$	(162,678	)	$	26,697	$	126,407	$	3,215	$	7,020,118		100.86	%

The accompanying notes are an integral part of these financial statements.

58  |  Target Date Retirement Funds

Portfolio of investments—February 29, 2020

DYNAMIC TARGET 2045 FUND

								Value
Investment Companies: 101.40%
Affiliated Master Portfolios: 101.40%
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio								$	360,916
Wells Fargo Emerging Markets Bond Portfolio									29,424
Wells Fargo Factor Enhanced Emerging Markets Portfolio									512,656
Wells Fargo Factor Enhanced International Portfolio									1,703,465
Wells Fargo Factor Enhanced Large Cap Portfolio									2,645,478
Wells Fargo Factor Enhanced Small Cap Portfolio									661,979
Wells Fargo High Yield Corporate Bond Portfolio									28,907
Wells Fargo Investment Grade Corporate Bond Portfolio									185,883
Total Investment Companies (Cost $5,880,786)									6,128,708
	Yield			Maturity date		Principal
Short-Term Investments: 0.30%
U.S. Treasury Securities: 0.30%
U.S. Treasury Bill #(z)		1.27	%		3-12-2020	$	18,000		17,992
Total Short-Term Investments (Cost $17,992)									17,992

Total investments in securities (Cost $5,898,778)	101.70	%		6,146,700
Other assets and liabilities, net	(1.70	)		(102,836	)
Total net assets	100.00	%	$	6,043,864

# All or a portion of this security is segregated as collateral for investments in derivative instruments.

(z) Zero coupon security. The rate represents the purchase yield to maturity.

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost			Notional value			Unrealized gains		Unrealized losses
Short
MSCI EAFE Index		(1)		3-20-2020	$	(96,030	)	$	(90,800	)	$	5,230	$	0
MSCI Emerging Markets Index		(1)		3-20-2020		(52,548	)		(50,440	)		2,108		0
Russell 2000 E-Mini Index		(1)		3-20-2020		(79,044	)		(73,745	)		5,299		0
S&P 500 E-Mini Index		(1)		3-20-2020		(161,681	)		(147,555	)		14,126		0
											$	26,763	$	0

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  59

Portfolio of investments—February 29, 2020

DYNAMIC TARGET 2045 FUND

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		0.04	%		0.05	%	$	(3,519	)	$	15,962		$	6,684	$	0	$	82	$	360,916
Wells Fargo Emerging Markets Bond Portfolio		0.05			0.07			(181	)		865			1,276		0		4		29,424
Wells Fargo Factor Enhanced Emerging Markets Portfolio		0.17			0.24			(22,279	)		(17,052	)		64		13,560		259		512,656
Wells Fargo Factor Enhanced International Portfolio		0.21			0.29			(20,037	)		10,725			133		43,124		816		1,703,465
Wells Fargo Factor Enhanced Large Cap Portfolio		0.20			0.28			160,809			(118,291	)		255		56,956		1,425		2,645,478
Wells Fargo Factor Enhanced Small Cap Portfolio		0.21			0.29			11,715			(54,986	)		78		9,300		439		661,979
Wells Fargo High Yield Corporate Bond Portfolio		0.02			0.05			(853	)		278			1,407		0		6		28,907
Wells Fargo Investment Grade Corporate Bond Portfolio		0.05			0.07			(731	)		16,810			5,417		0		16		185,883
							$	124,924		$	(145,689	)	$	15,314	$	122,940	$	3,047	$	6,128,708		101.40	%

The accompanying notes are an integral part of these financial statements.

60  |  Target Date Retirement Funds

Portfolio of investments—February 29, 2020

DYNAMIC TARGET 2050 FUND

								Value
Investment Companies: 101.41%
Affiliated Master Portfolios: 101.41%
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio								$	180,255
Wells Fargo Emerging Markets Bond Portfolio									14,677
Wells Fargo Factor Enhanced Emerging Markets Portfolio									479,982
Wells Fargo Factor Enhanced International Portfolio									1,595,207
Wells Fargo Factor Enhanced Large Cap Portfolio									2,433,748
Wells Fargo Factor Enhanced Small Cap Portfolio									608,453
Wells Fargo High Yield Corporate Bond Portfolio									14,420
Wells Fargo Investment Grade Corporate Bond Portfolio									92,788
Total Investment Companies (Cost $5,177,655)									5,419,530
	Yield			Maturity date		Principal
Short-Term Investments: 0.22%
U.S. Treasury Securities: 0.22%
U.S. Treasury Bill #(z)		1.28	%		3-12-2020	$	12,000		11,995
Total Short-Term Investments (Cost $11,995)									11,995

Total investments in securities (Cost $5,189,650)	101.63	%		5,431,525
Other assets and liabilities, net	(1.63	)		(86,905	)
Total net assets	100.00	%	$	5,344,620

# All or a portion of this security is segregated as collateral for investments in derivative instruments.

(z) Zero coupon security. The rate represents the current yield to maturity.

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost			Notional value			Unrealized gains		Unrealized losses
Short
S&P 500 E-Mini Index		(1)		3-20-2020	$	(161,681	)	$	(147,555	)	$	14,126	$	0

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  61

Portfolio of investments—February 29, 2020

DYNAMIC TARGET 2050 FUND

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		0.02	%		0.03	%	$	(1,855	)	$	8,597		$	3,834	$	0	$	47	$	180,255
Wells Fargo Emerging Markets Bond Portfolio		0.03			0.03			(95	)		535			733		0		2		14,677
Wells Fargo Factor Enhanced Emerging Markets Portfolio		0.17			0.22			(21,895	)		(17,917	)		63		13,330		255		479,982
Wells Fargo Factor Enhanced International Portfolio		0.22			0.27			(21,219	)		6,178			130		42,526		797		1,595,207
Wells Fargo Factor Enhanced Large Cap Portfolio		0.20			0.25			150,213			(104,910	)		247		54,455		1,360		2,433,748
Wells Fargo Factor Enhanced Small Cap Portfolio		0.21			0.27			9,856			(52,617	)		76		8,988		425		608,453
Wells Fargo High Yield Corporate Bond Portfolio		0.01			0.03			(484	)		219			810		0		4		14,420
Wells Fargo Investment Grade Corporate Bond Portfolio		0.03			0.04			(318	)		9,710			3,112		0		9		92,788
							$	114,203		$	(150,205	)	$	9,005	$	119,299	$	2,899	$	5,419,530		101.41	%

The accompanying notes are an integral part of these financial statements.

62  |  Target Date Retirement Funds

Portfolio of investments—February 29, 2020

DYNAMIC TARGET 2055 FUND

								Value
Investment Companies: 101.23%
Affiliated Master Portfolios: 101.23%
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio								$	184,142
Wells Fargo Emerging Markets Bond Portfolio									14,993
Wells Fargo Factor Enhanced Emerging Markets Portfolio									489,774
Wells Fargo Factor Enhanced International Portfolio									1,629,436
Wells Fargo Factor Enhanced Large Cap Portfolio									2,487,185
Wells Fargo Factor Enhanced Small Cap Portfolio									622,563
Wells Fargo High Yield Corporate Bond Portfolio									14,733
Wells Fargo Investment Grade Corporate Bond Portfolio									94,791
Total Investment Companies (Cost $5,302,159)									5,537,617
	Yield			Maturity date		Principal
Short-Term Investments: 0.22%
U.S. Treasury Securities: 0.22%
U.S. Treasury Bill #(z)		1.27	%		3-12-2020	$	12,000		11,995
Total Short-Term Investments (Cost $11,995)									11,995

Total investments in securities (Cost $5,314,154)	101.45	%		5,549,612
Other assets and liabilities, net	(1.45	)		(79,514	)
Total net assets	100.00	%	$	5,470,098

# All or a portion of this security is segregated as collateral for investments in derivative instruments.

(z) Zero coupon security. The rate represents the purchase yield to maturity.

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost			Notional value			Unrealized gains		Unrealized losses
Short
S&P 500 E-Mini Index		(1)		3-20-2020	$	(161,681	)	$	(147,555	)	$	14,126	$	0

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  63

Portfolio of investments—February 29, 2020

DYNAMIC TARGET 2055 FUND

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses)  on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		0.03	%		0.03	%	$	(1,889	)	$	8,626		$	3,856	$	0	$	48	$	184,142
Wells Fargo Emerging Markets Bond Portfolio		0.03			0.04			(96	)		529			737		0		2		14,993
Wells Fargo Factor Enhanced Emerging Markets Portfolio		0.17			0.23			(22,049	)		(17,435	)		63		13,330		255		489,774
Wells Fargo Factor Enhanced International Portfolio		0.21			0.28			(21,211	)		6,655			130		42,467		798		1,629,436
Wells Fargo Factor Enhanced Large Cap Portfolio		0.20			0.26			151,715			(108,886	)		247		54,746		1,363		2,487,185
Wells Fargo Factor Enhanced Small Cap Portfolio		0.21			0.27			10,176			(53,026	)		76		9,009		426		622,563
Wells Fargo High Yield Corporate Bond Portfolio		0.01			0.03			(487	)		215			815		0		4		14,733
Wells Fargo Investment Grade Corporate Bond Portfolio		0.03			0.04			(334	)		9,706			3,131		0		9		94,791
							$	115,825		$	(153,616	)	$	9,055	$	119,552	$	2,905	$	5,537,617		101.23	%

The accompanying notes are an integral part of these financial statements.

64  |  Target Date Retirement Funds

Portfolio of investments—February 29, 2020

DYNAMIC TARGET 2060 FUND

								Value
Investment Companies: 101.41%
Affiliated Master Portfolios: 101.41%
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio								$	176,135
Wells Fargo Emerging Markets Bond Portfolio									14,341
Wells Fargo Factor Enhanced Emerging Markets Portfolio									469,332
Wells Fargo Factor Enhanced International Portfolio									1,559,315
Wells Fargo Factor Enhanced Large Cap Portfolio									2,378,601
Wells Fargo Factor Enhanced Small Cap Portfolio									594,758
Wells Fargo High Yield Corporate Bond Portfolio									14,085
Wells Fargo Investment Grade Corporate Bond Portfolio									90,668
Wells Fargo U.S. REIT Portfolio									6,228
Total Investment Companies (Cost $5,050,333)									5,303,463
	Yield			Maturity date		Principal
Short-Term Investments: 0.23%
U.S. Treasury Securities: 0.23%
U.S. Treasury Bill #(z)		1.28	%		3-12-2020	$	12,000		11,995
Total Short-Term Investments (Cost $11,995)									11,995

Total investments in securities (Cost $5,062,328)	101.64	%		5,315,458
Other assets and liabilities, net	(1.64	)		(85,590	)
Total net assets	100.00	%	$	5,229,868

# All or a portion of this security is segregated as collateral for investments in derivative instruments.

(z) Zero coupon security. The rate represents the current yield to maturity.

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost			Notional value			Unrealized gains		Unrealized losses
Short
S&P 500 E-Mini Index		(1)		3-20-2020	$	(161,681	)	$	(147,555	)	$	14,126	$	0

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  65

Portfolio of investments—February 29, 2020

DYNAMIC TARGET 2060 FUND

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		0.02	%		0.03	%	$	(1,852	)	$	8,676		$	3,889	$	0	$	47	$	176,135
Wells Fargo Emerging Markets Bond Portfolio		0.03			0.03			(96	)		550			733		0		3		14,341
Wells Fargo Factor Enhanced Emerging Markets Portfolio		0.17			0.22			(21,251	)		(18,466	)		63		13,394		255		469,332
Wells Fargo Factor Enhanced International Portfolio		0.22			0.27			(22,002	)		894			130		42,718		799		1,559,315
Wells Fargo Factor Enhanced Large Cap Portfolio		0.21			0.25			150,188			(93,485	)		248		54,521		1,332		2,378,601
Wells Fargo Factor Enhanced Small Cap Portfolio		0.22			0.26			9,729			(52,822	)		77		9,017		425		594,758
Wells Fargo High Yield Corporate Bond Portfolio		0.02			0.03			(483	)		231			809		0		4		14,085
Wells Fargo Investment Grade Corporate Bond Portfolio		0.03			0.03			(318	)		9,794			3,109		0		9		90,668
Wells Fargo U.S. REIT Portfolio		0.00			0.02			(47	)		(719	)		0		15		1		6,228
							$	113,868		$	(145,347	)	$	9,058	$	119,665	$	2,875	$	5,303,463		101.41	%

The accompanying notes are an integral part of these financial statements.

66  |  Target Date Retirement Funds

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Statements of assets and liabilities—February 29, 2020

	Dynamic Target Today Fund		Dynamic Target 2015 Fund
Assets
Investments in affiliated Master Portfolios, at value (see cost below)	$	6,851,530	$	5,664,471
Investments in unaffiliated securities, at value (see cost below)		15,993		15,993
Cash		10,000		10,000
Receivable for Fund shares sold		0		0
Receivable for daily variation margin on open futures contracts		1,498		1,498
Prepaid expenses and other assets		37,116		34,857
Total assets		6,916,137		5,726,819
Liabilities
Payable for Fund shares redeemed		13,880		0
Due to manager		70,410		68,994
Professional fees payable		22,147		21,897
Shareholder report expenses payable		19,866		19,647
Trustees’ fees and expenses payable		4,177		4,237
Custody and accounting fees payable		1,332		1,335
Administration fees payable		357		234
Distribution fee payable		68		67
Accrued expenses and other liabilities		947		946
Total liabilities		133,184		117,357
Total net assets	$	6,782,953	$	5,609,462
Net assets consist of
Paid-in capital	$	6,421,690	$	5,301,587
Total distributable earnings (loss)		361,263		307,875
Total net assets	$	6,782,953	$	5,609,462
Computation of net asset value and offering price per share
Net assets – Class A	$	1,021,909	$	460,196
Shares outstanding – Class A1		96,383		44,235
Net asset value per share – Class A		$10.60		$10.40
Maximum offering price per share – Class A2		$11.25		$11.03
Net assets – Class C	$	107,356	$	105,352
Shares outstanding – Class C1		10,163		10,180
Net asset value per share – Class C		$10.56		$10.35
Net assets – Class R4	$	109,116	$	107,100
Share outstanding – Class R41		10,279		10,296
Net asset value per share – Class R4		$10.62		$10.40
Net assets – Class R6	$	5,544,572	$	4,936,814
Shares outstanding – Class R61		522,147		474,416
Net asset value per share – Class R6		$10.62		$10.41
Investments in affiliated Master Portfolios, at cost	$	6,546,517	$	5,354,981
Investments in unaffiliated securities, at cost	$	15,993	$	15,993

¹  Each Fund has an unlimited number of authorized shares.

²  Maximum offering price is computed as 100/94.25 of net asset value. On investments of $50,000 or more, the offering price is reduced.

The accompanying notes are an integral part of these financial statements.

68  |  Target Date Retirement Funds

Statements of assets and liabilities—February 29, 2020

Dynamic Target 2020 Fund		Dynamic Target 2025 Fund		Dynamic Target 2030 Fund		Dynamic Target 2035 Fund		Dynamic Target 2040 Fund		Dynamic Target 2045 Fund		Dynamic Target 2050 Fund
$	6,798,440	$	9,824,649	$	8,088,760	$	7,828,493	$	7,020,118	$	6,128,708	$	5,419,530
	17,992		32,986		28,988		32,986		28,988		17,992		11,995
	10,000		3,556		4,550		3,557		4,550		10,000		10,000
	2,920		250		97,173		0		0		352		134
	1,670		3,177		2,504		1,168		2,503		1,677		1,860
	40,097		30,941		30,186		30,425		32,919		33,188		33,430
	6,871,119		9,895,559		8,252,161		7,896,629		7,089,078		6,191,917		5,476,949
	0		1,250		20,780		10,298		0		24,921		0
	56,958		118,139		109,444		110,878		79,525		76,177		80,790
	21,368		24,296		24,252		23,918		21,093		20,236		24,149
	20,204		20,179		20,987		20,580		20,770		20,020		20,560
	4,237		4,278		4,348		4,348		4,531		4,237		4,216
	1,385		1,374		1,347		1,301		1,357		1,317		1,367
	432		718		517		338		497		254		206
	68		85		68		71		67		73		71
	1,057		1,105		1,041		857		1,134		818		970
	105,709		171,424		182,784		172,589		128,974		148,053		132,329
$	6,765,410	$	9,724,135	$	8,069,377	$	7,724,040	$	6,960,104	$	6,043,864	$	5,344,620
$	6,488,680	$	9,477,118	$	7,891,418	$	7,612,738	$	6,915,365	$	6,014,700	$	5,349,856
	276,730		247,017		177,959		111,302		44,739		29,164		(5,236	)
$	6,765,410	$	9,724,135	$	8,069,377	$	7,724,040	$	6,960,104	$	6,043,864	$	5,344,620
$	1,435,254	$	2,855,915	$	2,316,852	$	733,040	$	1,858,368	$	413,595	$	254,120
	139,606		275,539		229,124		73,638		189,130		42,563		26,316
	$10.28		$10.36		$10.11		$9.95		$9.83		$9.72		$9.66
	$10.91		$10.99		$10.73		$10.56		$10.43		$10.31		$10.25
$	105,322	$	125,151	$	104,011	$	106,599	$	101,370	$	109,457	$	105,672
	10,250		12,095		10,303		10,740		10,331		11,311		11,020
	$10.28		$10.35		$10.10		$9.93		$9.81		$9.68		$9.59
$	107,061	$	107,841	$	105,607	$	104,045	$	102,963	$	101,819	$	100,912
	10,356		10,347		10,369		10,388		10,387		10,408		10,410
	$10.34		$10.42		$10.18		$10.02		$9.91		$9.78		$9.69
$	5,117,773	$	6,635,228	$	5,542,907	$	6,780,356	$	4,897,403	$	5,418,993	$	4,883,916
	494,779		636,347		543,896		676,511		493,742		553,437		503,498
	$10.34		$10.43		$10.19		$10.02		$9.92		$9.79		$9.70
$	6,510,221	$	9,510,108	$	7,785,056	$	7,575,688	$	6,797,508	$	5,880,786	$	5,177,655
$	17,992	$	32,986	$	28,988	$	32,986	$	28,988	$	17,992	$	11,995

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  69

Statements of assets and liabilities—February 29, 2020

	Dynamic Target 2055 Fund			Dynamic Target 2060 Fund
Assets
Investments in affiliated Master Portfolios, at value (see cost below)	$	5,537,617		$	5,303,463
Investments in unaffiliated securities, at value (see cost below)		11,995			11,995
Cash		10,000			10,000
Receivable for daily variation margin on open futures contracts		1,860			1,856
Prepaid expenses and other assets		33,327			32,036
Total assets		5,594,799			5,359,350
Liabilities
Due to manager		72,929			77,837
Professional fees payable		24,120			24,120
Shareholder report expenses payable		20,605			20,529
Trustees’ fees and expenses payable		4,232			4,232
Custody and accounting fees payable		1,376			1,389
Administration fees payable		205			222
Distribution fee payable		67			67
Accrued expenses and other liabilities		1,167			1,086
Total liabilities		124,701			129,482
Total net assets	$	5,470,098		$	5,229,868
Net assets consist of
Paid-in capital	$	5,478,727		$	5,227,190
Total distributable earnings (loss)		(8,629	)		2,678
Total net assets	$	5,470,098		$	5,229,868
Computation of net asset value and offering price per share
Net assets – Class A	$	238,770		$	344,594
Shares outstanding – Class A1		24,717			35,678
Net asset value per share – Class A		$9.66			$9.66
Maximum offering price per share – Class A2		$10.25			$10.25
Net assets – Class C	$	99,894		$	99,306
Shares outstanding – Class C1		10,419			10,319
Net asset value per share – Class C		$9.59			$9.62
Net assets – Class R4	$	100,925		$	101,429
Share outstanding – Class R41		10,413			10,424
Net asset value per share – Class R4		$9.69			$9.73
Net assets – Class R6	$	5,030,509		$	4,684,539
Shares outstanding – Class R61		518,905			481,147
Net asset value per share – Class R6		$9.69			$9.74
Investments in affiliated Master Portfolios, at cost	$	5,302,159		$	5,050,333
Investments in unaffiliated securities, at cost	$	11,995		$	11,995

¹  Each Fund has an unlimited number of authorized shares.

²  Maximum offering price is computed as 100/94.25 of net asset value. On investments of $50,000 or more, the offering price is reduced.

The accompanying notes are an integral part of these financial statements.

70  |  Target Date Retirement Funds

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Statements of operations—year ended February 29, 2020

	Dynamic Target Today Fund			Dynamic Target 2015 Fund
Investment income
Interest allocated from affiliated Master Portfolios	$	110,842		$	84,105
Dividends allocated from affiliated Master Portfolios*		56,141			65,482
Affiliated income allocated from affiliated Master Portfolios		1,980			2,013
Interest		255			262
Expenses allocated from affiliated Master Portfolios		(10,571	)		(10,155	)
Waivers allocated from affiliated Master Portfolios		2,843			2,696
Total investment income		161,490			144,403
Expenses
Management fee		9,323			8,522
Administration fees
Class A		1,420			1,008
Class C		234			223
Class R4		87			87
Class R6		1,596			1,496
Shareholder servicing fees
Class A		1,690			1,200
Class C		279			266
Class R4		109			108
Distribution fee
Class C		641			603
Custody and accounting fees		18,004			18,086
Professional fees		32,486			32,575
Registration fees		64,302			64,047
Shareholder report expenses		22,030			20,063
Trustees’ fees and expenses		21,712			21,773
Other fees and expenses		10,100			7,782
Total expenses		184,013			177,839
Less: Fee waivers and/or expense reimbursements
Fund-level		(172,145	)		(167,955	)
Class A		0			(113	)
Class R4		(104	)		(31	)
Class R6		(1,596	)		(1,496	)
Net expenses		10,168			8,244
Net investment income		151,322			136,159
Realized and unrealized gains (losses) on investments
Net realized gains (losses) on
Securities transactions allocated from affiliated Master Portfolios		119,293			121,926
Futures contracts		(10,517	)		(8,386	)
Net realized gains on investments		108,776			113,540
Net change in unrealized gains (losses) on
Securities transactions allocated from affiliated Master Portfolios		131,580			86,027
Futures contracts		26,675			26,675
Net change in unrealized gains (losses) on investments		158,255			112,702
Net realized and unrealized gains (losses) on investments		267,031			226,242
Net increase in net assets resulting from operations	$	418,353		$	362,401
* Net of foreign dividend withholding taxes allocated from affiliated Master Portfolios in the amount of		$3,726			$4,277

The accompanying notes are an integral part of these financial statements.

72  |  Target Date Retirement Funds

Statements of operations—year ended February 29, 2020

Dynamic Target 2020 Fund			Dynamic Target 2025 Fund			Dynamic Target 2030 Fund			Dynamic Target 2035 Fund			Dynamic Target 2040 Fund			Dynamic Target 2045 Fund			Dynamic Target 2050 Fund
$	77,954		$	82,442		$	52,034		$	38,903		$	26,697		$	15,314		$	9,005
	83,939			133,377			124,744			125,037			126,407			122,940			119,299
	2,424			3,675			3,334			3,259			3,215			3,047			2,899
	293			485			381			399			326			307			277
	(11,646	)		(16,249	)		(13,714	)		(13,230	)		(12,755	)		(11,977	)		(11,299	)
	2,973			3,717			2,800			2,584			2,479			2,316			2,181
	155,937			207,447			169,579			156,952			146,369			131,947			122,362
	9,521			13,013			10,861			10,285			9,697			8,874			8,213
	2,148			5,401			2,962			1,264			2,591			819			509
	224			285			310			226			220			232			229
	87			88			87			86			86			85			85
	1,533			1,757			1,672			1,812			1,506			1,593			1,505
	2,557			6,430			3,526			1,505			3,084			975			607
	267			340			369			270			262			276			273
	109			110			109			108			107			107			106
	607			822			913			616			595			638			629
	18,086			18,094			18,094			18,086			18,086			18,083			18,681
	32,575			32,575			32,575			32,575			35,075			32,575			32,575
	63,737			64,491			58,481			58,481			69,414			68,427			58,481
	20,063			23,063			20,063			20,063			25,063			20,063			20,063
	21,773			21,773			21,773			21,773			21,773			21,773			21,773
	7,120			10,434			8,432			8,434			12,620			7,120			7,120
	180,407			198,676			180,227			175,584			200,179			181,640			170,849
	(167,812	)		(178,639	)		(164,731	)		(167,153	)		(187,961	)		(173,749	)		(164,128	)
	0			0			(814	)		(147	)		0			(29	)		(41	)
	(67	)		(27	)		(121	)		(62	)		(117	)		(37	)		(35	)
	(1,533	)		(602	)		(1,672	)		0			(1,506	)		(1,593	)		(1,505	)
	10,995			19,408			12,889			8,222			10,595			6,232			5,140
	144,942			188,039			156,690			148,730			135,774			125,715			117,222
	138,594			189,810			150,677			147,282			124,148			124,924			114,203
	(14,716	)		(33,127	)		(25,577	)		(34,840	)		(26,682	)		(25,282	)		(17,574	)
	123,878			156,683			125,100			112,442			97,466			99,642			96,629
	20,866			(48,717	)		(72,724	)		(119,505	)		(162,678	)		(145,689	)		(150,205	)
	28,783			48,829			44,297			42,194			44,238			26,580			13,943
	49,649			112			(28,427	)		(77,311	)		(118,440	)		(119,109	)		(136,262	)
	173,527			156,795			96,673			35,131			(20,974	)		(19,467	)		(39,633	)
$	318,469		$	344,834		$	253,363		$	183,861		$	114,800		$	106,248		$	77,589
	$5,690			$9,671			$9,758			$9,954			$10,132			$9,959			$9,657

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  73

Statements of operations—year ended February 29, 2020

	Dynamic Target 2055 Fund			Dynamic Target 2060 Fund
Investment income
Interest allocated from affiliated Master Portfolios	$	9,055		$	9,058
Dividends allocated from affiliated Master Portfolios*		119,552			119,665
Affiliated income allocated from affiliated Master Portfolios		2,905			2,875
Interest		281			255
Expenses allocated from affiliated Master Portfolios		(11,363	)		(11,301	)
Waivers allocated from affiliated Master Portfolios		2,192			2,184
Total investment income		122,622			122,736
Expenses
Management fee		8,279			8,218
Administration fees
Class A		448			716
Class C		220			220
Class R4		85			85
Class R6		1,528			1,478
Shareholder servicing fees
Class A		534			852
Class C		262			261
Class R4		106			107
Distribution fee
Class C		597			593
Custody and accounting fees		18,685			18,083
Professional fees		32,575			32,575
Registration fees		68,824			58,481
Shareholder report expenses		20,063			20,063
Trustees’ fees and expenses		21,773			21,773
Other fees and expenses		7,175			7,175
Total expenses		181,154			170,680
Less: Fee waivers and/or expense reimbursements
Fund-level		(174,564	)		(163,628	)
Class R4		(43	)		(32	)
Class R6		(1,528	)		(1,478	)
Net expenses		5,019			5,542
Net investment income		117,603			117,194
Realized and unrealized gains (losses) on investments
Net realized gains (losses) on
Securities transactions allocated from affiliated Master Portfolios		115,825			113,868
Futures contracts		(18,682	)		(17,049	)
Net realized gains on investments		97,143			96,819
Net change in unrealized gains (losses) on
Securities transactions allocated from affiliated Master Portfolios		(153,616	)		(145,347	)
Futures contracts		13,954			13,943
Net change in unrealized gains (losses) on investments		(139,662	)		(131,404	)
Net realized and unrealized gains (losses) on investments		(42,519	)		(34,585	)
Net increase in net assets resulting from operations	$	75,084		$	82,609
* Net of foreign dividend withholding taxes allocated from affiliated Master Portfolio(s) in the amount of		$9,698			$9,706

The accompanying notes are an integral part of these financial statements.

74  |  Target Date Retirement Funds

Statements of changes in net assets

	Dynamic Target Today Fund
	Year ended February 29, 2020						Year ended February 28, 20191						Year ended May 31, 20182
Operations
Net investment income				$	151,322					$	88,772					$	100,782
Net realized gains on investments					108,776						204,973						134,802
Net change in unrealized gains (losses) on investments					158,255						(117,841	)					62,695
Net increase in net assets resulting from operations					418,353						175,904						298,279
Distributions to shareholders from net investment income and net realized gains
Class A					(21,015	)					(36,024	)					(8,659	)
Class C					(1,480	)					(9,345	)					(2,744	)
Class R4					(2,302	)					(10,587	)					(3,896	)
Class R6					(126,076	)					(495,495	)					(187,081	)
Total distributions to shareholders					(150,873	)					(551,451	)					(202,380	)
Capital share transactions		Shares						Shares						Shares
Proceeds from shares sold
Class A		64,419			692,848			5,826			59,358			15,000			163,052
Class C		566			5,800			0			0			0			0
Class R6		53,955			572,915			0			0			0			0
					1,271,563						59,358						163,052
Reinvestment of distributions
Class A		1,743			18,807			2,634			25,760			460			5,007
Class C		7			78			0			0			0			0
Class R6		1,162			12,544			0			0			0			0
					31,429						25,760						5,007
Payment for shares redeemed
Class A		(9,330	)		(100,493	)		(4,404	)		(46,017	)		(2,288	)		(25,033	)
Class C		(573	)		(6,241	)		0			0			0			0
Class R		N/A			N/A			N/A			N/A			(10,219	)3		(111,799	)3
Class R6		(6,593	)		(71,668	)		0			0			0			0
					(178,402	)					(46,017	)					(136,832	)
Net increase in net assets resulting from capital share transactions					1,124,590						39,101						31,227
Total increase (decrease) in net assets					1,392,070						(336,446	)					127,126
Net assets
Beginning of period					5,390,883						5,727,329						5,600,203
End of period				$	6,782,953					$	5,390,883					$	5,727,329

¹  For the nine months ended February 28, 2019. The Fund changed its fiscal year end from May 31 to February 28, effective February 28, 2019.

²  Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Undistributed net investment income at May 31, 2018 was $23,461. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 9, Distributions to Shareholders, in the notes to the financial statements.

³  For the period from June 1, 2017 to November 13, 2017. Effective at the close of business on November 13, 2017, Class R shares were liquidated and the class was subsequently closed. Class R shares are no longer offered by the Fund.

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  75

Statements of changes in net assets

	Dynamic Target 2015 Fund
	Year ended February 29, 2020						Year ended February 28, 20191						Year ended May 31, 20182
Operations
Net investment income				$	136,159					$	82,845					$	98,476
Net realized gains on investments					113,540						270,816						185,614
Net change in unrealized gains (losses) on investments					112,702						(191,326	)					123,486
Net increase in net assets resulting from operations					362,401						162,335						407,576
Distributions to shareholders from net investment income and net realized gains
Class A					(9,562	)					(49,785	)					(17,269	)
Class C					(1,643	)					(12,834	)					(3,262	)
Class R4					(2,549	)					(14,143	)					(4,434	)
Class R6					(124,757	)					(659,519	)					(212,012	)
Total distributions to shareholders					(138,511	)					(736,281	)					(236,977	)
Capital share transactions		Shares						Shares						Shares
Proceeds from shares sold
Class A		18,133			187,636			3,093			34,587			20,386			225,685
Reinvestment of distributions
Class A		685			7,332			3,744			36,027			1,177			13,065
Payment for shares redeemed
Class A		(13,627	)		(143,495	)		(9,037	)		(98,206	)		(14,072	)		(157,011	)
Class R		N/A			N/A			N/A			N/A			(10,237	)3		(114,241	)3
					(143,495	)					(98,206	)					(271,252	)
Net increase (decrease) in net assets resulting from capital share transactions					51,473						(27,592	)					(32,502	)
Total increase (decrease) in net assets					275,363						(601,538	)					138,097
Net assets
Beginning of period					5,334,099						5,935,637						5,797,540
End of period				$	5,609,462					$	5,334,099					$	5,935,637

¹  For the nine months ended February 28, 2019. The Fund changed its fiscal year end from May 31 to February 28, effective February 28, 2019.

²  Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Undistributed net investment income at May 31, 2018 was $18,398. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 9, Distributions to Shareholders, in the notes to the financial statements.

³  For the period from June 1, 2017 to November 13, 2017. Effective at the close of business on November 13, 2017, Class R shares were liquidated and the class was subsequently closed. Class R shares are no longer offered by the Fund.

The accompanying notes are an integral part of these financial statements.

76  |  Target Date Retirement Funds

Statements of changes in net assets

	Dynamic Target 2020 Fund
	Year ended February 29, 2020						Year ended February 28, 20191						Year ended May 31, 20182
Operations
Net investment income				$	144,942					$	79,004					$	94,850
Net realized gains on investments					123,878						318,626						207,399
Net change in unrealized gains (losses) on investments					49,649						(216,125	)					178,376
Net increase in net assets resulting from operations					318,469						181,505						480,625
Distributions to shareholders from net investment income and net realized gains
Class A					(25,690	)					(60,870	)					(17,727	)
Class C					(1,373	)					(14,641	)					(3,584	)
Class R4					(2,277	)					(15,976	)					(4,812	)
Class R6					(116,241	)					(744,080	)					(229,454	)
Total distributions to shareholders					(145,581	)					(835,567	)					(255,577	)
Capital share transactions		Shares						Shares						Shares
Proceeds from shares sold
Class A		107,841			1,133,041			25,542			246,644			37,638			417,972
Class R6		17,310			180,246			0			0			0			0
					1,313,287						246,644						417,972
Reinvestment of distributions
Class A		2,193			23,471			4,744			45,187			1,179			13,202
Class R6		367			3,947			0			0			0			0
					27,418						45,187						13,202
Payment for shares redeemed
Class A		(32,999	)		(343,229	)		(16,021	)		(171,963	)		(25,710	)		(288,158	)
Class R		N/A			N/A			N/A			N/A			(10,299	)3		(116,280	)3
Class R6		(13	)		(142	)		0			0			0			0
					(343,371	)					(171,963	)					(404,438	)
Net increase in net assets resulting from capital share transactions					997,334						119,868						26,736
Total increase (decrease) in net assets					1,170,222						(534,194	)					251,784
Net assets
Beginning of period					5,595,188						6,129,382						5,877,598
End of period				$	6,765,410					$	5,595,188					$	6,129,382

¹  For the nine months ended February 28, 2019. The Fund changed its fiscal year end from May 31 to February 28, effective February 28, 2019.

²  Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Undistributed net investment income at May 31, 2018 was $14,722. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 9, Distributions to Shareholders, in the notes to the financial statements.

³  For the period from June 1, 2017 to November 13, 2017. Effective at the close of business on November 13, 2017, Class R shares were liquidated and the class was subsequently closed. Class R shares are no longer offered by the Fund.

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  77

Statements of changes in net assets

	Dynamic Target 2025 Fund
	Year ended February 29, 2020						Year ended February 28, 20191						Year ended May 31, 20182
Operations
Net investment income				$	188,039					$	87,236					$	95,477
Net realized gains on investments					156,683						304,336						233,441
Net change in unrealized gains (losses) on investments					112						(213,852	)					227,374
Net increase in net assets resulting from operations					344,834						177,720						556,292
Distributions to shareholders from net investment income and net realized gains
Class A					(47,670	)					(211,810	)					(30,732	)
Class C					(1,476	)					(17,720	)					(4,346	)
Class R4					(2,127	)					(15,828	)					(5,079	)
Class R6					(134,882	)					(737,362	)					(241,848	)
Total distributions to shareholders					(186,155	)					(982,720	)					(282,005	)
Capital share transactions		Shares						Shares						Shares
Proceeds from shares sold
Class A		124,386			1,302,775			50,265			506,905			103,325			1,193,158
Class C		268			2,900			2,262			26,062			40			460
Class R6		163,537			1,735,695			0			0			0			0
					3,041,370						532,967						1,193,618
Reinvestment of distributions
Class A		4,188			45,780			20,342			196,231			2,278			25,877
Class C		28			301			332			3,183			0			0
Class R6		2,659			29,225			0			0			0			0
					75,306						199,414						25,877
Payment for shares redeemed
Class A		(44,031	)		(469,581	)		(11,116	)		(107,757	)		(20,981	)		(239,625	)
Class C		(1,039	)		(11,500	)		(1,246	)		(13,796	)		0			0
Class R		N/A			N/A			N/A			N/A			(10,291	)3		(117,732	)3
Class R6		(6,576	)		(71,845	)		0			0			0			0
					(552,926	)					(121,553	)					(357,357	)
Net increase in net assets resulting from capital share transactions					2,563,750						610,828						862,138
Total increase (decrease) in net assets					2,722,429						(194,172	)					1,136,425
Net assets
Beginning of period					7,001,706						7,195,878						6,059,453
End of period				$	9,724,135					$	7,001,706					$	7,195,878

¹  For the nine months ended February 28, 2019. The Fund changed its fiscal year end from May 31 to February 28, effective February 28, 2019.

²  Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Undistributed net investment income at May 31, 2018 was $12,057. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 9, Distributions to Shareholders, in the notes to the financial statements.

³  For the period from June 1, 2017 to November 13, 2017. Effective at the close of business on November 13, 2017, Class R shares were liquidated and the class was subsequently closed. Class R shares are no longer offered by the Fund.

The accompanying notes are an integral part of these financial statements.

78  |  Target Date Retirement Funds

Statements of changes in net assets

	Dynamic Target 2030 Fund
	Year ended February 29, 2020						Year ended February 28, 20191						Year ended May 31, 20182
Operations
Net investment income				$	156,690					$	76,778					$	90,167
Net realized gains on investments					125,100						360,992						271,306
Net change in unrealized gains (losses) on investments					(28,427	)					(279,792	)					288,238
Net increase in net assets resulting from operations					253,363						157,978						649,711
Distributions to shareholders from net investment income and net realized gains
Class A					(29,569	)					(159,867	)					(33,469	)
Class C					(558	)					(18,837	)					(4,147	)
Class R4					(2,035	)					(19,212	)					(5,342	)
Class R6					(125,609	)					(893,363	)					(253,969	)
Total distributions to shareholders					(157,771	)					(1,091,279	)					(296,927	)
Capital share transactions		Shares						Shares						Shares
Proceeds from shares sold
Class A		144,551			1,511,865			20,826			215,923			42,081			487,575
Class C		0			0			5,158			47,355			23			253
Class R6		119,094			1,224,410			0			0			0			0
					2,736,275						263,278						487,828
Reinvestment of distributions
Class A		2,428			26,197			13,298			125,493			2,468			28,325
Class C		0			0			40			362			0			0
Class R6		2,241			24,358			0			0			0			0
					50,555						125,855						28,325
Payment for shares redeemed
Class A		(19,512	)		(201,894	)		(11,891	)		(113,848	)		(14,800	)		(168,809	)
Class C		(5,192	)		(55,089	)		(1	)		(10	)		(1	)		(10	)
Class R		N/A			N/A			N/A			N/A			(10,313	)3		(119,216	)3
Class R6		(55,148	)		(597,605	)		0			0			0			0
					(854,588	)					(113,858	)					(288,035	)
Net increase in net assets resulting from capital share transactions					1,932,242						275,275						228,118
Total increase (decrease) in net assets					2,027,834						(658,026	)					580,902
Net assets
Beginning of period					6,041,543						6,699,569						6,118,667
End of period				$	8,069,377					$	6,041,543					$	6,699,569

¹  For the nine months ended February 28, 2019. The Fund changed its fiscal year end from May 31 to February 28, effective February 28, 2019.

²  Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Undistributed net investment income at May 31, 2018 was $6,806. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 9, Distributions to Shareholders, in the notes to the financial statements.

³  For the period from June 1, 2017 to November 13, 2017. Effective at the close of business on November 13, 2017, Class R shares were liquidated and the class was subsequently closed. Class R shares are no longer offered by the Fund.

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  79

Statements of changes in net assets

	Dynamic Target 2035 Fund
	Year ended February 29, 2020						Year ended February 28, 20191						Year ended May 31, 20182
Operations
Net investment income				$	148,730					$	68,442					$	84,130
Net realized gains on investments					112,442						403,375						281,177
Net change in unrealized gains (losses) on investments					(77,311	)					(326,225	)					319,827
Net increase in net assets resulting from operations					183,861						145,592						685,134
Distributions to shareholders from net investment income and net realized gains
Class A					(10,587	)					(92,213	)					(20,258	)
Class C					(1,100	)					(20,401	)					(4,536	)
Class R4					(1,911	)					(21,533	)					(5,751	)
Class R6					(133,706	)					(1,000,400	)					(272,883	)
Total distributions to shareholders					(147,304	)					(1,134,547	)					(303,428	)
Capital share transactions		Shares						Shares						Shares
Proceeds from shares sold
Class A		26,199			273,961			7,644			86,194			11,749			136,284
Class C		948			10,002			28			311			33			371
Class R6		199,224			2,018,216			0			0			0			0
					2,302,179						86,505						136,655
Reinvestment of distributions
Class A		831			8,898			7,619			70,937			1,274			14,733
Class C		4			47			11			101			0			0
Class R6		3,543			38,157			0			0			0			0
					47,102						71,038						14,733
Payment for shares redeemed
Class A		(6,312	)		(63,239	)		(1,204	)		(12,540	)		(4,960	)		(57,989	)
Class C		(561	)		(6,055	)		(1	)		(10	)		(1	)		(10	)
Class R		N/A			N/A			N/A			N/A			(10,332	)3		(120,471	)3
Class R6		(4,838	)		(51,447	)		0			0			0			0
					(120,741	)					(12,550	)					(178,470	)
Net increase (decrease) in net assets resulting from capital share transactions					2,228,540						144,993						(27,082	)
Total increase (decrease) in net assets					2,265,097						(843,962	)					354,624
Net assets
Beginning of period					5,458,943						6,302,905						5,948,281
End of period				$	7,724,040					$	5,458,943					$	6,302,905

¹  For the nine months ended February 28, 2019. The Fund changed its fiscal year end from May 31 to February 28, effective February 28, 2019.

²  Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Undistributed net investment income at May 31, 2018 was $3,822. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 9, Distributions to Shareholders, in the notes to the financial statements.

³  For the period from June 1, 2017 to November 13, 2017. Effective at the close of business on November 13, 2017, Class R shares were liquidated and the class was subsequently closed. Class R shares are no longer offered by the Fund.

The accompanying notes are an integral part of these financial statements.

80  |  Target Date Retirement Funds

Statements of changes in net assets

	Dynamic Target 2040 Fund
	Year ended February 29, 2020						Year ended February 28, 20191						Year ended May 31, 20182
Operations
Net investment income				$	135,774					$	62,655					$	81,629
Net realized gains on investments					97,466						425,134						289,487
Net change in unrealized gains (losses) on investments					(118,440	)					(358,045	)					345,801
Net increase in net assets resulting from operations					114,800						129,744						716,917
Distributions to shareholders from net investment income and net realized gains
Class A					(30,165	)					(81,122	)					(23,446	)
Class C					(1,101	)					(21,572	)					(4,589	)
Class R4					(1,982	)					(22,716	)					(5,818	)
Class R6					(101,722	)					(1,054,983	)					(276,025	)
Total distributions to shareholders					(134,970	)					(1,180,393	)					(309,878	)
Capital share transactions		Shares						Shares						Shares
Proceeds from shares sold
Class A		143,696			1,472,631			4,693			45,463			22,665			262,751
Class C		53			548			0			0			0			0
Class R6		18,839			189,983			0			0			0			0
					1,663,162						45,463						262,751
Reinvestment of distributions
Class A		2,661			28,283			6,359			58,731			1,531			17,789
Class R6		299			3,204			0			0			0			0
					31,487						58,731						17,789
Payment for shares redeemed
Class A		(3,647	)		(37,457	)		(4,887	)		(56,564	)		(11,843	)		(133,335	)
Class R		N/A			N/A			N/A			N/A			(10,331	)3		(121,078	)3
Class R6		(3,916	)		(40,282	)		0			0			0			0
					(77,739	)					(56,564	)					(254,413	)
Net increase in net assets resulting from capital share transactions					1,616,910						47,630						26,127
Total increase (decrease) in net assets					1,596,740						(1,003,019	)					433,166
Net assets
Beginning of period					5,363,364						6,366,383						5,933,217
End of period				$	6,960,104					$	5,363,364					$	6,366,383

¹  For the nine months ended February 28, 2019. The Fund changed its fiscal year end from May 31 to February 28, effective February 28, 2019.

²  Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Undistributed net investment income at May 31, 2018 was $1,231. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 9, Distributions to Shareholders, in the notes to the financial statements.

³  For the period from June 1, 2017 to November 13, 2017. Effective at the close of business on November 13, 2017, Class R shares were liquidated and the class was subsequently closed. Class R shares are no longer offered by the Fund.

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  81

Statements of changes in net assets

	Dynamic Target 2045 Fund
	Year ended February 29, 2020						Year ended February 28, 20191						Year ended May 31, 20182
Operations
Net investment income				$	125,715					$	60,220					$	79,429
Net realized gains on investments					99,642						388,694						303,822
Net change in unrealized gains (losses) on investments					(119,109	)					(344,323	)					339,121
Net increase in net assets resulting from operations					106,248						104,591						722,372
Distributions to shareholders from net investment income and net realized gains
Class A					(7,258	)					(61,549	)					(12,713	)
Class C					(1,297	)					(22,266	)					(4,745	)
Class R4					(2,030	)					(23,244	)					(5,966	)
Class R6					(115,733	)					(1,078,242	)					(282,869	)
Total distributions to shareholders					(126,318	)					(1,185,301	)					(306,293	)
Capital share transactions		Shares						Shares						Shares
Proceeds from shares sold
Class A		14,979			152,471			4,514			47,669			7,143			83,118
Class C		792			7,984			198			1,981			107			1,260
Class R6		74,309			741,092			0			0			0			0
					901,547						49,650						84,378
Reinvestment of distributions
Class A		515			5,458			4,186			38,472			602			7,025
Class C		10			108			16			145			0			0
Class R6		1,399			14,937			0			0			0			0
					20,503						38,617						7,025
Payment for shares redeemed
Class A		(6,739	)		(67,305	)		(2,637	)		(30,241	)		(87	)		(1,040	)
Class C		(4	)		(40	)		(1	)		(10	)		(107	)		(1,258	)
Class R		N/A			N/A			N/A			N/A			(10,352	)3		(121,641	)3
Class R6		(1,775	)		(18,548	)		0			0			0			0
					(85,893	)					(30,251	)					(123,939	)
Net increase (decrease) in net assets resulting from capital share transactions					836,157						58,016						(32,536	)
Total increase (decrease) in net assets					816,087						(1,022,694	)					383,543
Net assets
Beginning of period					5,227,777						6,250,471						5,866,928
End of period				$	6,043,864					$	5,227,777					$	6,250,471

¹  For the nine months ended February 28, 2019. The Fund changed its fiscal year end from May 31 to February 28, effective February 28, 2019.

²  Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Undistributed net investment income at May 31, 2018 was $589. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 9, Distributions to Shareholders, in the notes to the financial statements.

³  For the period from June 1, 2017 to November 13, 2017. Effective at the close of business on November 13, 2017, Class R shares were liquidated and the class was subsequently closed. Class R shares are no longer offered by the Fund.

The accompanying notes are an integral part of these financial statements.

82  |  Target Date Retirement Funds

Statements of changes in net assets

	Dynamic Target 2050 Fund
	Year ended February 29, 2020						Year ended February 28, 20191						Year ended May 31, 20182
Operations
Net investment income				$	117,222					$	59,299					$	78,691
Net realized gains on investments					96,629						365,335						300,614
Net change in unrealized gains (losses) on investments					(136,262	)					(334,760	)					334,798
Net increase in net assets resulting from operations					77,589						89,874						714,103
Distributions to shareholders from net investment income and net realized gains
Class A					(4,640	)					(40,596	)					(8,611	)
Class C					(1,391	)					(22,330	)					(4,797	)
Class R4					(2,164	)					(23,283	)					(6,031	)
Class R6					(111,777	)					(1,081,115	)					(285,870	)
Total distributions to shareholders					(119,972	)					(1,167,324	)					(305,309	)
Capital share transactions		Shares						Shares						Shares
Proceeds from shares sold
Class A		6,271			62,921			1,021			11,491			10,646			126,421
Class C		650			6,474			222			2,200			0			0
Class R6		23,548			234,939			0			0			0			0
					304,334						13,691						126,421
Reinvestment of distributions
Class A		257			2,728			1,930			17,714			241			2,807
Class C		8			86			16			147			0			0
Class R6		460			4,893			0			0			0			0
					7,707						17,861						2,807
Payment for shares redeemed
Class A		(555	)		(5,520	)		(4,313	)		(51,547	)		(1,328	)		(15,284	)
Class C		(176	)		(1,772	)		(2	)		(20	)		0			0
Class R		N/A			N/A			N/A			N/A			(10,355	)3		(121,770	)3
Class R6		(110	)		(1,112	)		0			0			0			0
					(8,404	)					(51,567	)					(137,054	)
Net increase (decrease) in net assets resulting from capital share transactions					303,637						(20,015	)					(7,826	)
Total increase (decrease) in net assets					261,254						(1,097,465	)					400,968
Net assets
Beginning of period					5,083,366						6,180,831						5,779,863
End of period				$	5,344,620					$	5,083,366					$	6,180,831

¹  For the nine months ended February 28, 2019. The Fund changed its fiscal year end from May 31 to February 28, effective February 28, 2019.

²  Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Undistributed net investment income at May 31, 2018 was $583. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 9, Distributions to Shareholders, in the notes to the financial statements.

³  For the period from June 1, 2017 to November 13, 2017. Effective at the close of business on November 13, 2017, Class R shares were liquidated and the class was subsequently closed. Class R shares are no longer offered by the Fund.

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  83

Statements of changes in net assets

	Dynamic Target 2055 Fund
	Year ended February 29, 2020						Year ended February 28, 20191						Year ended May 31, 20182
Operations
Net investment income				$	117,603					$	58,065					$	78,193
Net realized gains on investments					97,143						361,406						301,891
Net change in unrealized gains (losses) on investments					(139,662	)					(332,495	)					331,888
Net increase in net assets resulting from operations					75,084						86,976						711,972
Distributions to shareholders from net investment income and net realized gains
Class A					(4,235	)					(35,463	)					(7,154	)
Class C					(1,208	)					(22,192	)					(4,817	)
Class R4					(2,066	)					(23,284	)					(6,052	)
Class R6					(110,175	)					(1,082,903	)					(286,844	)
Total distributions to shareholders					(117,684	)					(1,163,842	)					(304,867	)
Capital share transactions		Shares						Shares						Shares
Proceeds from shares sold
Class A		8,776			87,647			2,394			26,457			2,190			25,733
Class C		114			1,104			0			0			0			0
Class R6		39,081			388,425			0			0			0			0
					477,176						26,457						25,733
Reinvestment of distributions
Class A		225			2,380			1,365			12,548			121			1,413
Class C		1			13			0			0			0			0
Class R6		732			7,780			0			0			0			0
					10,173						12,548						1,413
Payment for shares redeemed
Class A		(802	)		(8,231	)		(1,685	)		(15,080	)		(1	)		(10	)
Class C		(1	)		(10	)		0			0			0			0
Class R		N/A			N/A			N/A			N/A			(10,358	)3		(121,701	)3
Class R6		(644	)		(6,738	)		0			0			0			0
					(14,979	)					(15,080	)					(121,711	)
Net increase (decrease) in net assets resulting from capital share transactions					472,370						23,925						(94,565	)
Total increase (decrease) in net assets					429,770						(1,052,941	)					312,540
Net assets
Beginning of period					5,040,328						6,093,269						5,780,729
End of period				$	5,470,098					$	5,040,328					$	6,093,269

¹  For the nine months ended February 28, 2019. The Fund changed its fiscal year end from May 31 to February 28, effective February 28, 2019.

²  Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Undistributed net investment income at May 31, 2018 was $573. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 9, Distributions to Shareholders, in the notes to the financial statements.

³  For the period from June 1, 2017 to November 13, 2017. Effective at the close of business on November 13, 2017, Class R shares were liquidated and the class was subsequently closed. Class R shares are no longer offered by the Fund.

The accompanying notes are an integral part of these financial statements.

84  |  Target Date Retirement Funds

Statements of changes in net assets

	Dynamic Target 2060 Fund
	Year ended February 29, 2020						Year ended February 28, 20191						Year ended May 31, 20182
Operations
Net investment income				$	117,194					$	59,658					$	79,482
Net realized gains on investments					96,819						368,119						296,222
Net change in unrealized gains (losses) on investments					(131,404	)					(335,354	)					344,108
Net increase in net assets resulting from operations					82,609						92,423						719,812
Distributions to shareholders from net investment income and net realized gains
Class A					(8,688	)					(56,802	)					(12,696	)
Class C					(1,309	)					(21,948	)					(4,746	)
Class R4					(2,188	)					(23,022	)					(5,982	)
Class R6					(108,103	)					(1,069,143	)					(283,632	)
Total distributions to shareholders					(120,288	)					(1,170,915	)					(307,056	)
Capital share transactions		Shares						Shares						Shares
Proceeds from shares sold
Class A		16,240			169,838			7,237			85,061			15,177			179,059
Class C		0			0			0			0			5			51
Class R6		876			9,231			0			0			0			0
					179,069						85,061						179,110
Reinvestment of distributions
Class A		628			6,654			3,703			34,050			585			6,830
Class C		0			0			1			8			0			0
Class R6		10			102			0			0			0			0
					6,756						34,058						6,830
Payment for shares redeemed
Class A		(10,916	)		(115,961	)		(3,315	)		(40,040	)		(5,149	)		(60,843	)
Class C		(1	)		(10	)		(1	)		(10	)		0			0
Class R		N/A			N/A			N/A			N/A			(10,369	)3		(121,936	)3
					(115,971	)					(40,050	)					(182,779	)
Net increase in net assets resulting from capital share transactions					69,854						79,069						3,161
Total increase (decrease) in net assets					32,175						(999,423	)					415,917
Net assets
Beginning of period					5,197,693						6,197,116						5,781,199
End of period				$	5,229,868					$	5,197,693					$	6,197,116

¹  For the nine months ended February 28, 2019. The Fund changed its fiscal year end from May 31 to February 28, effective February 28, 2019.

²  Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Undistributed net investment income at May 31, 2018 was $507. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 9, Distributions to Shareholders, in the notes to the financial statements.

³  For the period from June 1, 2017 to November 13, 2017. Effective at the close of business on November 13, 2017, Class R shares were liquidated and the class was subsequently closed. Class R shares are no longer offered by the Fund.

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  85

Financial highlights

	Beginning net asset value per share		Net investment income			Net realized and unrealized gains (losses) on investments		Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Dynamic Target Today Fund
Class A
Year ended February 29, 2020	$	10.11		0.21	3		0.50		(0.22	)		0.00		$	10.60
Year ended February 28, 20195	$	10.82		0.13			0.16		(0.15	)		(0.85	)	$	10.11
Year ended May 31, 2018	$	10.65		0.15			0.38		(0.19	)		(0.17	)	$	10.82
Year ended May 31, 2017	$	10.06		0.12	3		0.65		(0.09	)		(0.09	)	$	10.65
Year ended May 31, 20167	$	10.00		0.06			0.03		(0.03	)		0.00		$	10.06
Class C
Year ended February 29, 2020	$	10.08		0.14			0.48		(0.14	)		0.00		$	10.56
Year ended February 28, 20195	$	10.76		0.08			0.15		(0.06	)		(0.85	)	$	10.08
Year ended May 31, 2018	$	10.58		0.07			0.38		(0.10	)		(0.17	)	$	10.76
Year ended May 31, 2017	$	10.03		0.05			0.64		(0.05	)		(0.09	)	$	10.58
Year ended May 31, 20167	$	10.00		0.03			0.03		(0.03	)		0.00		$	10.03
Class R4
Year ended February 29, 2020	$	10.10		0.25			0.49		(0.22	)		0.00		$	10.62
Year ended February 28, 20195	$	10.81		0.16			0.16		(0.18	)		(0.85	)	$	10.10
Year ended May 31, 2018	$	10.63		0.18			0.38		(0.21	)		(0.17	)	$	10.81
Year ended May 31, 2017	$	10.07		0.16			0.64		(0.15	)		(0.09	)	$	10.63
Year ended May 31, 20167	$	10.00		0.08			0.03		(0.04	)		0.00		$	10.07
Class R6
Year ended February 29, 2020	$	10.10		0.27	3		0.49		(0.24	)		0.00		$	10.62
Year ended February 28, 20195	$	10.82		0.17			0.15		(0.19	)		(0.85	)	$	10.10
Year ended May 31, 2018	$	10.64		0.20			0.38		(0.23	)		(0.17	)	$	10.82
Year ended May 31, 2017	$	10.08		0.17			0.65		(0.17	)		(0.09	)	$	10.64
Year ended May 31, 20167	$	10.00		0.09			0.03		(0.04	)		0.00		$	10.08

¹  Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

²  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in each respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. These purchase and sale amounts are aggregated with the direct purchases and sales in Underlying Funds and unaffiliated securities and included in the portfolio turnover calculation.

³  Calculated based upon average shares outstanding

⁴  Ratios reflect net expenses allocated from the affiliated Master Portfolios which were as follows:

	Year ended February 29, 2020			Year ended February 28, 20195
Class A		0.12	%		0.12	%
Class C		0.11			0.11
Class R4		0.11			0.11
Class R6		0.12			0.12

⁵  For the nine months ended February 28, 2019. The Fund changed its fiscal year end from May 31 to February 28, effective February 28, 2019.

⁶  Ratios do not reflect net expenses allocated from the affiliated Master Portfolios. Including annualized net expenses allocated from the affiliated Master Portfolios, the expense ratios would be increased by the following amounts:

	Year ended May 31
	2018			2017			20167
Class A		0.10	%		0.10	%		0.11	%
Class C		0.10			0.10			0.10
Class R4		0.10			0.10			0.11
Class R6		0.10			0.11			0.11

⁷  For the period from November 30, 2015 (commencement of class operations) to May 31, 2016

The accompanying notes are an integral part of these financial statements.

86  |  Target Date Retirement Funds

Financial highlights

Ratio to average net assets (annualized)												Portfolio turnover rate2			Net assets at end of period (000s omitted)
Net investment income			Gross expenses			Net expenses			Total return1
	1.95	%4		3.37	%4		0.66	%4		6.95	%		39	%	$	1,022
	1.75	%4		4.39	%4		0.59	%4		3.16	%		48	%	$	400
	1.37	%		4.39	%6		0.48	%6		4.96	%		94	%	$	384
	1.16	%		4.67	%6		0.53	%6		7.97	%		97	%	$	238
	1.31	%		5.22	%6		0.53	%6		0.95	%		66	%	$	101
	1.33	%4		4.02	%4		1.41	%4		6.11	%		39	%	$	107
	0.99	%4		5.14	%4		1.34	%4		2.60	%		48	%	$	102
	0.65	%		5.14	%6		1.24	%6		4.25	%		94	%	$	109
	0.45	%		5.45	%6		1.28	%6		7.12	%		97	%	$	108
	0.56	%		5.97	%6		1.28	%6		0.58	%		66	%	$	101
	2.38	%4		3.17	%4		0.36	%4		7.33	%		39	%	$	109
	2.02	%4		4.11	%4		0.31	%4		3.42	%		48	%	$	104
	1.67	%		4.11	%6		0.22	%6		5.27	%		94	%	$	111
	1.51	%		4.42	%6		0.22	%6		8.21	%		97	%	$	109
	1.62	%		4.94	%6		0.22	%6		1.08	%		66	%	$	101
	2.51	%4		3.02	%4		0.21	%4		7.48	%		39	%	$	5,545
	2.17	%4		3.97	%4		0.16	%4		3.49	%		48	%	$	4,785
	1.82	%		3.96	%6		0.07	%6		5.42	%		94	%	$	5,123
	1.67	%		4.27	%6		0.06	%6		8.48	%		97	%	$	5,037
	1.77	%		4.79	%6		0.07	%6		1.19	%		66	%	$	4,654

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  87

Financial highlights

	Beginning net asset value per share		Net investment income			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Dynamic Target 2015 Fund
Class A
Year ended February 29, 2020	$	9.99		0.22			0.41			(0.22	)		0.00		$	10.40
Year ended February 28, 20194	$	11.06		0.12			0.15			(0.13	)		(1.21	)	$	9.99
Year ended May 31, 2018	$	10.76		0.15	5		0.56			(0.19	)		(0.22	)	$	11.06
Year ended May 31, 2017	$	9.99		0.11			0.86			(0.09	)		(0.11	)	$	10.76
Year ended May 31, 20167	$	10.00		0.07			(0.04	)		(0.04	)		0.00		$	9.99
Class C
Year ended February 29, 2020	$	9.96		0.13			0.42			(0.16	)		0.00		$	10.35
Year ended February 28, 20194	$	11.01		0.06			0.15			(0.05	)		(1.21	)	$	9.96
Year ended May 31, 2018	$	10.71		0.06			0.56			(0.10	)		(0.22	)	$	11.01
Year ended May 31, 2017	$	9.97		0.04			0.85			(0.04	)		(0.11	)	$	10.71
Year ended May 31, 20167	$	10.00		0.03			(0.02	)		(0.04	)		0.00		$	9.97
Class R4
Year ended February 29, 2020	$	9.99		0.24			0.42			(0.25	)		0.00		$	10.40
Year ended February 28, 20194	$	11.07		0.15			0.14			(0.16	)		(1.21	)	$	9.99
Year ended May 31, 2018	$	10.75		0.17			0.58			(0.21	)		(0.22	)	$	11.07
Year ended May 31, 2017	$	10.01		0.15			0.84			(0.14	)		(0.11	)	$	10.75
Year ended May 31, 20167	$	10.00		0.08			(0.02	)		(0.05	)		0.00		$	10.01
Class R6
Year ended February 29, 2020	$	9.99		0.26			0.42			(0.26	)		0.00		$	10.41
Year ended February 28, 20194	$	11.07		0.16			0.15			(0.18	)		(1.21	)	$	9.99
Year ended May 31, 2018	$	10.76		0.19			0.57			(0.23	)		(0.22	)	$	11.07
Year ended May 31, 2017	$	10.01		0.16			0.86			(0.16	)		(0.11	)	$	10.76
Year ended May 31, 20167	$	10.00		0.09			(0.03	)		(0.05	)		0.00		$	10.01

¹  Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

²  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in each respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. These purchase and sale amounts are aggregated with the direct purchases and sales in Underlying Funds and unaffiliated securities and included in the portfolio turnover calculation.

³  Ratios reflect net expenses allocated from the affiliated Master Portfolios which were as follows:

	Year ended February 29, 2020			Year ended February 28, 20194
Class A		0.13	%		0.12	%
Class C		0.12			0.11
Class R4		0.12			0.11
Class R6		0.13			0.12

⁴  For the nine months ended February 28, 2019. The Fund changed its fiscal year end from May 31 to February 28, effective February 28, 2019.

⁵  Calculated based upon average shares outstanding

⁶  Ratios do not reflect net expenses allocated from the affiliated Master Portfolios. Including annualized net expenses allocated from the affiliated Master Portfolios, the expense ratios would be increased by the following amounts:

	Year ended May 31
	2018			2017			20167
Class A		0.10	%		0.11	%		0.10	%
Class C		0.09			0.10			0.10
Class R4		0.09			0.10			0.10
Class R6		0.10			0.11			0.11

⁷  For the period from November 30, 2015 (commencement of class operations) to May 31, 2016

The accompanying notes are an integral part of these financial statements.

88  |  Target Date Retirement Funds

Financial highlights

Ratio to average net assets (annualized)												Portfolio turnover rate2			Net assets at end of period (000s omitted)
Net investment income			Gross expenses			Net expenses			Total return1
	2.00	%3		3.63	%3		0.65	%3		6.22	%		38	%	$	460
	1.50	%3		4.23	%3		0.61	%3		3.09	%		45	%	$	390
	1.33	%		4.14	%6		0.51	%6		6.62	%		82	%	$	456
	1.14	%		4.42	%6		0.51	%6		9.95	%		81	%	$	363
	1.16	%		5.21	%6		0.45	%6		0.34	%		38	%	$	199
	1.26	%3		4.19	%3		1.42	%3		5.49	%		38	%	$	105
	0.76	%3		4.97	%3		1.36	%3		2.46	%		45	%	$	101
	0.52	%		4.89	%6		1.27	%6		5.80	%		82	%	$	112
	0.40	%		5.18	%6		1.27	%6		9.18	%		81	%	$	109
	0.56	%		5.96	%6		1.28	%6		0.07	%		38	%	$	100
	2.31	%3		3.34	%3		0.36	%3		6.51	%		38	%	$	107
	1.77	%3		3.94	%3		0.31	%3		3.30	%		45	%	$	103
	1.56	%		3.86	%6		0.23	%6		7.01	%		82	%	$	114
	1.45	%		4.15	%6		0.22	%6		10.28	%		81	%	$	111
	1.61	%		4.93	%6		0.22	%6		0.57	%		38	%	$	101
	2.46	%3		3.20	%3		0.21	%3		6.77	%		38	%	$	4,937
	1.91	%3		3.80	%3		0.16	%3		3.47	%		45	%	$	4,740
	1.72	%		3.71	%6		0.07	%6		7.06	%		82	%	$	5,253
	1.60	%		4.00	%6		0.06	%6		10.44	%		81	%	$	5,105
	1.77	%		4.78	%6		0.06	%6		0.58	%		38	%	$	4,629

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  89

Financial highlights

	Beginning net asset value per share		Net investment income			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Dynamic Target 2020 Fund
Class A
Year ended February 29, 2020	$	9.95		0.19	3		0.35			(0.21	)		0.00		$	10.28
Year ended February 28, 20195	$	11.18		0.11			0.18			(0.12	)		(1.40	)	$	9.95
Year ended May 31, 2018	$	10.78		0.14			0.70			(0.19	)		(0.25	)	$	11.18
Year ended May 31, 2017	$	9.99		0.11	3		0.97			(0.12	)		(0.17	)	$	10.78
Year ended May 31, 20167	$	10.00		0.06			(0.03	)		(0.04	)		0.00		$	9.99
Class C
Year ended February 29, 2020	$	9.95		0.13			0.33			(0.13	)		0.00		$	10.28
Year ended February 28, 20195	$	11.15		0.06			0.17			(0.03	)		(1.40	)	$	9.95
Year ended May 31, 2018	$	10.76		0.05			0.69			(0.10	)		(0.25	)	$	11.15
Year ended May 31, 2017	$	9.96		0.03			0.98			(0.04	)		(0.17	)	$	10.76
Year ended May 31, 20167	$	10.00		0.03			(0.03	)		(0.04	)		0.00		$	9.96
Class R4
Year ended February 29, 2020	$	9.99		0.24			0.33			(0.22	)		0.00		$	10.34
Year ended February 28, 20195	$	11.22		0.14			0.17			(0.14	)		(1.40	)	$	9.99
Year ended May 31, 2018	$	10.82		0.17			0.69			(0.21	)		(0.25	)	$	11.22
Year ended May 31, 2017	$	10.01		0.14			0.97			(0.13	)		(0.17	)	$	10.82
Year ended May 31, 20167	$	10.00		0.08			(0.02	)		(0.05	)		0.00		$	10.01
Class R6
Year ended February 29, 2020	$	9.99		0.25			0.34			(0.24	)		0.00		$	10.34
Year ended February 28, 20195	$	11.23		0.15			0.17			(0.16	)		(1.40	)	$	9.99
Year ended May 31, 2018	$	10.82		0.18			0.71			(0.23	)		(0.25	)	$	11.23
Year ended May 31, 2017	$	10.01		0.16			0.97			(0.15	)		(0.17	)	$	10.82
Year ended May 31, 20167	$	10.00		0.08			(0.02	)		(0.05	)		0.00		$	10.01

¹  Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

²  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in the respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. These purchase and sale amounts are aggregated with the direct purchases and sales in Underlying Funds and unaffiliated securities and included in the portfolio turnover calculation.

³  Calculated based upon average shares outstanding

⁴  Ratios reflect net expenses allocated from the affiliated Master Portfolios which were as follows:

	Year ended February 29, 2020			Year ended February 28, 20194
Class A		0.14	%		0.12	%
Class C		0.12			0.11
Class R4		0.12			0.11
Class R6		0.14			0.13

⁵  For the nine months ended February 28, 2019. The Fund changed its fiscal year end from May 31 to February 28, effective February 28, 2019.

⁶  Ratios do not reflect net expenses allocated from the affiliated Master Portfolios. Including annualized net expenses allocated from the affiliated Master Portfolios, the expense ratios would be increased by the following amounts:

	Year ended May 31
	2018			2017			20167
Class A		0.10	%		0.10	%		0.10	%
Class C		0.09			0.10			0.10
Class R4		0.09			0.10			0.10
Class R6		0.10			0.11			0.11

⁷  For the period from November 30, 2015 (commencement of class operations) to May 31, 2016

The accompanying notes are an integral part of these financial statements.

90  |  Target Date Retirement Funds

Financial highlights

Ratio to average net assets (annualized)												Portfolio turnover rate2			Net assets at end of period (000s omitted)
Net investment income			Gross expenses			Net expenses			Total return1
	1.81	%4		3.27	%4		0.67	%4		5.31	%		38	%	$	1,435
	1.38	%4		4.04	%4		0.61	%4		3.33	%		42	%	$	623
	1.15	%		3.96	%6		0.52	%6		7.80	%		72	%	$	540
	1.09	%		4.32	%6		0.51	%6		11.18	%		69	%	$	380
	1.33	%		5.21	%6		0.54	%6		0.35	%		38	%	$	119
	1.21	%4		3.88	%4		1.42	%4		4.61	%		38	%	$	105
	0.66	%4		4.79	%4		1.37	%4		2.72	%		42	%	$	102
	0.43	%		4.71	%6		1.28	%6		6.89	%		72	%	$	114
	0.33	%		5.09	%6		1.28	%6		10.39	%		69	%	$	110
	0.53	%		5.97	%6		1.29	%6		0.01	%		38	%	$	100
	2.26	%4		3.03	%4		0.36	%4		5.62	%		38	%	$	107
	1.71	%4		3.77	%4		0.32	%4		3.59	%		42	%	$	103
	1.47	%		3.68	%6		0.24	%6		8.03	%		72	%	$	116
	1.39	%		4.06	%6		0.23	%6		11.60	%		69	%	$	112
	1.59	%		4.94	%6		0.23	%6		0.61	%		38	%	$	101
	2.40	%4		2.90	%4		0.21	%4		5.77	%		38	%	$	5,118
	1.86	%4		3.63	%4		0.17	%4		3.65	%		42	%	$	4,767
	1.63	%		3.53	%6		0.08	%6		8.28	%		72	%	$	5,359
	1.54	%		3.91	%6		0.07	%6		11.64	%		69	%	$	5,165
	1.74	%		4.79	%6		0.07	%6		0.62	%		38	%	$	4,631

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  91

Financial highlights

	Beginning net asset value per share		Net investment income			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Dynamic Target 2025 Fund
Class A
Year ended February 29, 2020	$	10.10		0.19			0.25			(0.18	)		0.00		$	10.36
Year ended February 28, 20194	$	11.38		0.10			0.12			(0.10	)		(1.40	)	$	10.10
Year ended May 31, 2018	$	10.87		0.11	5		0.87			(0.19	)		(0.28	)	$	11.38
Year ended May 31, 2017	$	9.94		0.09			1.13			(0.12	)		(0.17	)	$	10.87
Year ended May 31, 20167	$	10.00		0.07			(0.08	)		(0.05	)		0.00		$	9.94
Class C
Year ended February 29, 2020	$	10.10		0.12			0.24			(0.11	)		0.00		$	10.35
Year ended February 28, 20194	$	11.35		0.05			0.12			(0.02	)		(1.40	)	$	10.10
Year ended May 31, 2018	$	10.84		0.04			0.85			(0.10	)		(0.28	)	$	11.35
Year ended May 31, 2017	$	9.91		0.03			1.10			(0.03	)		(0.17	)	$	10.84
Year ended May 31, 20167	$	10.00		0.02			(0.06	)		(0.05	)		0.00		$	9.91
Class R4
Year ended February 29, 2020	$	10.14		0.24			0.25			(0.21	)		0.00		$	10.42
Year ended February 28, 20194	$	11.42		0.14			0.11			(0.13	)		(1.40	)	$	10.14
Year ended May 31, 2018	$	10.90		0.16			0.85			(0.21	)		(0.28	)	$	11.42
Year ended May 31, 2017	$	9.96		0.14			1.10			(0.13	)		(0.17	)	$	10.90
Year ended May 31, 20167	$	10.00		0.08			(0.07	)		(0.05	)		0.00		$	9.96
Class R6
Year ended February 29, 2020	$	10.15		0.25	5		0.25			(0.22	)		0.00		$	10.43
Year ended February 28, 20194	$	11.43		0.15			0.11			(0.14	)		(1.40	)	$	10.15
Year ended May 31, 2018	$	10.91		0.18			0.85			(0.23	)		(0.28	)	$	11.43
Year ended May 31, 2017	$	9.96		0.15			1.11			(0.14	)		(0.17	)	$	10.91
Year ended May 31, 20167	$	10.00		0.08			(0.06	)		(0.06	)		0.00		$	9.96

¹  Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

²  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in the respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. These purchase and sale amounts are aggregated with the direct purchases and sales in Underlying Funds and unaffiliated securities and included in the portfolio turnover calculation.

³  Ratios reflect net expenses allocated from the affiliated Master Portfolios which were as follows:

	Year ended February 29, 2020			Year ended February 28, 20194
Class A		0.14	%		0.13	%
Class C		0.13			0.12
Class R4		0.12			0.12
Class R6		0.15			0.13

⁴  For the nine months ended February 28, 2019. The Fund changed its fiscal year end from May 31 to February 28, effective February 28, 2019.

⁵  Calculated based upon average shares outstanding

⁶  Ratios do not reflect net expenses allocated from the affiliated Master Portfolios. Including annualized net expenses allocated from the affiliated Master Portfolios, the expense ratios would be increased by the following amounts:

	Year ended May 31
	2018			2017			20167
Class A		0.10	%		0.10	%		0.10	%
Class C		0.09			0.10			0.10
Class R4		0.09			0.10			0.11
Class R6		0.10			0.11			0.11

⁷  For the period from November 30, 2015 (commencement of class operations) to May 31, 2016

The accompanying notes are an integral part of these financial statements.

92  |  Target Date Retirement Funds

Financial highlights

Ratio to average net assets (annualized)												Portfolio turnover rate2			Net assets at end of period (000s omitted)
Net investment income			Gross expenses			Net expenses			Total return1
	1.88	%3		2.72	%3		0.66	%3		4.29	%		37	%	$	2,856
	1.31	%3		3.81	%3		0.60	%3		2.76	%		41	%	$	1,929
	1.00	%		4.06	%6		0.52	%6		9.07	%		62	%	$	1,497
	1.07	%		4.75	%6		0.49	%6		12.62	%		58	%	$	510
	1.09	%		5.25	%6		0.46	%6		(0.07	)%		38	%	$	188
	1.17	%3		3.34	%3		1.42	%3		3.55	%		37	%	$	125
	0.56	%3		4.56	%3		1.36	%3		2.17	%		41	%	$	130
	0.36	%		4.88	%6		1.28	%6		8.24	%		62	%	$	130
	0.29	%		5.55	%6		1.29	%6		11.77	%		58	%	$	124
	0.52	%		6.00	%6		1.30	%6		(0.44	)%		38	%	$	100
	2.22	%3		2.45	%3		0.36	%3		4.68	%		37	%	$	108
	1.62	%3		3.53	%3		0.31	%3		2.96	%		41	%	$	105
	1.41	%		3.85	%6		0.24	%6		9.33	%		62	%	$	118
	1.35	%		4.52	%6		0.23	%6		12.84	%		58	%	$	113
	1.58	%		4.97	%6		0.23	%6		0.16	%		38	%	$	100
	2.31	%3		2.29	%3		0.22	%3		4.83	%		37	%	$	6,635
	1.77	%3		3.39	%3		0.16	%3		3.13	%		41	%	$	4,838
	1.56	%		3.70	%6		0.09	%6		9.48	%		62	%	$	5,451
	1.50	%		4.37	%6		0.08	%6		13.10	%		58	%	$	5,201
	1.73	%		4.82	%6		0.08	%6		0.17	%		38	%	$	4,609

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  93

Financial highlights

	Beginning net asset value per share		Net investment income			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Dynamic Target 2030 Fund
Class A
Year ended February 29, 2020	$	9.94		0.18			0.17			(0.18	)		0.00		$	10.11
Year ended February 28, 20194	$	11.54		0.11			0.12			(0.09	)		(1.74	)	$	9.94
Year ended May 31, 2018	$	10.92		0.13			0.98			(0.19	)		(0.30	)	$	11.54
Year ended May 31, 2017	$	9.91		0.09			1.22			(0.11	)		(0.19	)	$	10.92
Year ended May 31, 20167	$	10.00		0.06			(0.10	)		(0.05	)		0.00		$	9.91
Class C
Year ended February 29, 2020	$	9.88		0.12	6		0.15			(0.05	)		0.00		$	10.10
Year ended February 28, 20194	$	11.52		0.05			0.11			(0.06	)		(1.74	)	$	9.88
Year ended May 31, 2018	$	10.90		0.03			0.99			(0.10	)		(0.30	)	$	11.52
Year ended May 31, 2017	$	9.88		0.02			1.21			(0.02	)		(0.19	)	$	10.90
Year ended May 31, 20167	$	10.00		0.02			(0.09	)		(0.05	)		0.00		$	9.88
Class R4
Year ended February 29, 2020	$	9.99		0.23			0.16			(0.20	)		0.00		$	10.18
Year ended February 28, 20194	$	11.59		0.13			0.12			(0.11	)		(1.74	)	$	9.99
Year ended May 31, 2018	$	10.96		0.15			0.99			(0.21	)		(0.30	)	$	11.59
Year ended May 31, 2017	$	9.93		0.13			1.21			(0.12	)		(0.19	)	$	10.96
Year ended May 31, 20167	$	10.00		0.07			(0.08	)		(0.06	)		0.00		$	9.93
Class R6
Year ended February 29, 2020	$	9.99		0.24	6		0.17			(0.21	)		0.00		$	10.19
Year ended February 28, 20194	$	11.60		0.14			0.12			(0.13	)		(1.74	)	$	9.99
Year ended May 31, 2018	$	10.96		0.17			1.00			(0.23	)		(0.30	)	$	11.60
Year ended May 31, 2017	$	9.93		0.14			1.22			(0.14	)		(0.19	)	$	10.96
Year ended May 31, 20167	$	10.00		0.08			(0.09	)		(0.06	)		0.00		$	9.93

¹  Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

²  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in the respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. These purchase and sale amounts are aggregated with the direct purchases and sales in Underlying Funds and unaffiliated securities and included in the portfolio turnover calculation.

³  Ratios reflect net expenses allocated from the affiliated Master Portfolios which were as follows:

	Year ended February 29, 2020			Year ended February 28, 20194
Class A		0.15	%		0.13	%
Class C		0.14			0.12
Class R4		0.13			0.12
Class R6		0.15			0.13

⁴  For the nine months ended February 28, 2019. The Fund changed its fiscal year end from May 31 to February 28, effective February 28, 2019.

⁵  Ratios do not reflect net expenses allocated from the affiliated Master Portfolios. Including annualized net expenses allocated from the affiliated Master Portfolios, the expense ratios would be increased by the following amounts:

	Year ended May 31
	2018			2017			20167
Class A		0.10	%		0.10	%		0.10	%
Class C		0.09			0.10			0.10
Class R4		0.09			0.10			0.10
Class R6		0.10			0.11			0.11

⁶  Calculated based upon average shares outstanding

⁷  For the period from November 30, 2015 (commencement of class operations) to May 31, 2016

The accompanying notes are an integral part of these financial statements.

94  |  Target Date Retirement Funds

Financial highlights

Ratio to average net assets (annualized)												Portfolio turnover rate2			Net assets at end of period (000s omitted)
Net investment income			Gross expenses			Net expenses			Total return1
	1.77	%3		2.94	%3		0.66	%3		3.40	%		36	%	$	2,317
	1.23	%3		4.08	%3		0.60	%3		2.99	%		37	%	$	1,010
	1.08	%		4.20	%5		0.53	%5		10.30	%		53	%	$	917
	1.04	%		4.76	%5		0.48	%5		13.72	%		46	%	$	543
	1.19	%		5.29	%5		0.45	%5		(0.34	)%		22	%	$	173
	1.17	%3		3.62	%3		1.42	%3		2.74	%		36	%	$	104
	0.49	%3		4.81	%3		1.35	%3		2.32	%		37	%	$	153
	0.27	%		4.95	%5		1.29	%5		9.43	%		53	%	$	119
	0.24	%		5.59	%5		1.29	%5		12.86	%		46	%	$	112
	0.49	%		6.03	%5		1.30	%5		(0.70	)%		22	%	$	99
	2.17	%3		2.70	%3		0.36	%3		3.74	%		36	%	$	106
	1.51	%3		3.80	%3		0.31	%3		3.19	%		37	%	$	104
	1.32	%		3.92	%5		0.25	%5		10.53	%		53	%	$	120
	1.29	%		4.56	%5		0.24	%5		13.99	%		46	%	$	114
	1.55	%		5.00	%5		0.24	%5		(0.10	)%		22	%	$	100
	2.29	%3		2.54	%3		0.22	%3		3.99	%		36	%	$	5,543
	1.66	%3		3.66	%3		0.16	%3		3.26	%		37	%	$	4,775
	1.47	%		3.77	%5		0.09	%5		10.77	%		53	%	$	5,544
	1.44	%		4.41	%5		0.08	%5		14.15	%		46	%	$	5,238
	1.70	%		4.85	%5		0.09	%5		(0.09	)%		22	%	$	4,597

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  95

Financial highlights

	Beginning net asset value per share		Net investment income			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Dynamic Target 2035 Fund
Class A
Year ended February 29, 2020	$	9.84		0.18			0.09			(0.16	)		0.00		$	9.95
Year ended February 28, 20194	$	11.66		0.09			0.14			(0.08	)		(1.97	)	$	9.84
Year ended May 31, 2018	$	10.97		0.11			1.11			(0.19	)		(0.34	)	$	11.66
Year ended May 31, 2017	$	9.88		0.09			1.32			(0.11	)		(0.21	)	$	10.97
Year ended May 31, 20167	$	10.00		0.06			(0.12	)		(0.06	)		0.00		$	9.88
Class C
Year ended February 29, 2020	$	9.83		0.11			0.09			(0.10	)		0.00		$	9.93
Year ended February 28, 20194	$	11.63		0.03			0.14			0.00			(1.97	)	$	9.83
Year ended May 31, 2018	$	10.95		0.02			1.10			(0.10	)		(0.34	)	$	11.63
Year ended May 31, 2017	$	9.84		0.02			1.32			(0.02	)		(0.21	)	$	10.95
Year ended May 31, 20167	$	10.00		0.02			(0.13	)		(0.05	)		0.00		$	9.84
Class R4
Year ended February 29, 2020	$	9.89		0.22			0.09			(0.18	)		0.00		$	10.02
Year ended February 28, 20194	$	11.71		0.12			0.13			(0.10	)		(1.97	)	$	9.89
Year ended May 31, 2018	$	11.00		0.15			1.11			(0.21	)		(0.34	)	$	11.71
Year ended May 31, 2017	$	9.89		0.13			1.31			(0.12	)		(0.21	)	$	11.00
Year ended May 31, 20167	$	10.00		0.07			(0.12	)		(0.06	)		0.00		$	9.89
Class R6
Year ended February 29, 2020	$	9.89		0.23	6		0.10			(0.20	)		0.00		$	10.02
Year ended February 28, 20194	$	11.72		0.13			0.13			(0.12	)		(1.97	)	$	9.89
Year ended May 31, 2018	$	11.01		0.16			1.12			(0.23	)		(0.34	)	$	11.72
Year ended May 31, 2017	$	9.89		0.14			1.33			(0.14	)		(0.21	)	$	11.01
Year ended May 31, 20167	$	10.00		0.08			(0.13	)		(0.06	)		0.00		$	9.89

¹  Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

²  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in the respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. These purchase and sale amounts are aggregated with the direct purchases and sales in Underlying Funds and unaffiliated securities and included in the portfolio turnover calculation.

³  Ratios reflect net expenses allocated from the affiliated Master Portfolios which were as follows:

	Year ended February 29, 2020			Year ended February 28, 20194
Class A		0.15	%		0.13	%
Class C		0.14			0.13
Class R4		0.14			0.13
Class R6		0.16			0.13

⁴  For the nine months ended February 28, 2019. The Fund changed its fiscal year end from May 31 to February 28, effective February 28, 2019.

⁵  Ratios do not reflect net expenses allocated from the affiliated Master Portfolios. Including annualized net expenses allocated from the affiliated Master Portfolios, the expense ratios would be increased by the following amounts:

	Year ended May 31
	2018			2017			20167
Class A		0.09	%		0.10	%		0.10	%
Class C		0.09			0.10			0.10
Class R4		0.09			0.10			0.10
Class R6		0.10			0.11			0.11

⁶  Calculated based upon average shares outstanding

⁷  For the period from November 30, 2015 (commencement of class operations) to May 31, 2016

The accompanying notes are an integral part of these financial statements.

96  |  Target Date Retirement Funds

Financial highlights

Ratio to average net assets (annualized)												Portfolio turnover rate2			Net assets at end of period (000s omitted)
Net investment income			Gross expenses			Net expenses			Total return1
	1.81	%3		3.12	%3		0.66	%3		2.65	%		36	%	$	733
	1.16	%3		4.34	%3		0.60	%3		3.13	%		34	%	$	521
	0.99	%		4.32	%5		0.53	%5		11.24	%		44	%	$	453
	1.05	%		4.86	%5		0.49	%5		14.74	%		39	%	$	338
	1.24	%		5.32	%5		0.55	%5		(0.62	)%		19	%	$	119
	1.09	%3		3.71	%3		1.42	%3		1.99	%		36	%	$	107
	0.37	%3		5.08	%3		1.36	%3		2.55	%		34	%	$	102
	0.21	%		5.07	%5		1.29	%5		10.30	%		44	%	$	120
	0.21	%		5.67	%5		1.29	%5		14.02	%		39	%	$	113
	0.48	%		6.06	%5		1.30	%5		(1.08	)%		19	%	$	99
	2.15	%3		2.86	%3		0.36	%3		3.05	%		36	%	$	104
	1.42	%3		4.06	%3		0.31	%3		3.34	%		34	%	$	103
	1.26	%		4.04	%5		0.25	%5		11.59	%		44	%	$	122
	1.26	%		4.64	%5		0.24	%5		15.05	%		39	%	$	114
	1.54	%		5.03	%5		0.24	%5		(0.48	)%		19	%	$	99
	2.22	%3		2.66	%3		0.22	%3		3.19	%		36	%	$	6,780
	1.57	%3		3.91	%3		0.16	%3		3.41	%		34	%	$	4,734
	1.41	%		3.89	%5		0.09	%5		11.73	%		44	%	$	5,608
	1.41	%		4.49	%5		0.08	%5		15.31	%		39	%	$	5,270
	1.69	%		4.88	%5		0.08	%5		(0.46	)%		19	%	$	4,580

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  97

Financial highlights

	Beginning net asset value per share		Net investment income		Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Dynamic Target 2040 Fund
Class A
Year ended February 29, 2020	$	9.77		0.16		0.08			(0.18	)		0.00		$	9.83
Year ended February 28, 20194	$	11.74		0.08		0.11			(0.06	)		(2.10	)	$	9.77
Year ended May 31, 2018	$	11.00		0.09		1.20			(0.20	)		(0.35	)	$	11.74
Year ended May 31, 2017	$	9.85		0.09		1.37			(0.11	)		(0.20	)	$	11.00
Year ended May 31, 20166	$	10.00		0.06		(0.15	)		(0.06	)		0.00		$	9.85
Class C
Year ended February 29, 2020	$	9.76		0.11		0.05			(0.11	)		0.00		$	9.81
Year ended February 28, 20194	$	11.72		0.02		0.12			0.00			(2.10	)	$	9.76
Year ended May 31, 2018	$	10.98		0.02		1.17			(0.10	)		(0.35	)	$	11.72
Year ended May 31, 2017	$	9.82		0.02		1.36			(0.02	)		(0.20	)	$	10.98
Year ended May 31, 20166	$	10.00		0.02		(0.15	)		(0.05	)		0.00		$	9.82
Class R4
Year ended February 29, 2020	$	9.83		0.22		0.05			(0.19	)		0.00		$	9.91
Year ended February 28, 20194	$	11.80		0.11		0.11			(0.09	)		(2.10	)	$	9.83
Year ended May 31, 2018	$	11.04		0.14		1.18			(0.21	)		(0.35	)	$	11.80
Year ended May 31, 2017	$	9.86		0.13		1.37			(0.12	)		(0.20	)	$	11.04
Year ended May 31, 20166	$	10.00		0.07		(0.15	)		(0.06	)		0.00		$	9.86
Class R6
Year ended February 29, 2020	$	9.84		0.23		0.06			(0.21	)		0.00		$	9.92
Year ended February 28, 20194	$	11.81		0.12		0.12			(0.11	)		(2.10	)	$	9.84
Year ended May 31, 2018	$	11.04		0.16		1.19			(0.23	)		(0.35	)	$	11.81
Year ended May 31, 2017	$	9.87		0.14		1.36			(0.13	)		(0.20	)	$	11.04
Year ended May 31, 20166	$	10.00		0.08		(0.14	)		(0.07	)		0.00		$	9.87

¹  Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

²  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in each respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. These purchase and sale amounts are aggregated with the direct purchases and sales in Underlying Funds and unaffiliated securities and included in the portfolio turnover calculation.

³  Ratios reflect net expenses allocated from the affiliated Master Portfolios which were as follows:

	Year ended February 29, 2020			Year ended February 28, 20194
Class A		0.16	%		0.13	%
Class C		0.14			0.13
Class R4		0.14			0.13
Class R6		0.16			0.13

⁴  For the nine months ended February 28, 2019. The Fund changed its fiscal year end from May 31 to February 28, effective February 28, 2019.

⁵  Ratios do not reflect net expenses allocated from the affiliated Master Portfolios. Including annualized net expenses allocated from the affiliated Master Portfolios, the expense ratios would be increased by the following amounts:

	Year ended May 31
	2018			2017			20166
Class A		0.09	%		0.10	%		0.10	%
Class C		0.09			0.10			0.10
Class R4		0.09			0.10			0.10
Class R6		0.10			0.11			0.11

⁶  For the period from November 30, 2015 (commencement of class operations) to May 31, 2016

The accompanying notes are an integral part of these financial statements.

98  |  Target Date Retirement Funds

Financial highlights

Ratio to average net assets (annualized)												Portfolio turnover rate2			Net assets at end of period (000s omitted)
Net investment income			Gross expenses			Net expenses			Total return1
	1.62	%3		3.57	%3		0.67	%3		2.33	%		36	%	$	1,858
	0.99	%3		4.11	%3		0.63	%3		2.80	%		32	%	$	454
	1.02	%		3.93	%5		0.54	%5		11.79	%		40	%	$	472
	1.01	%		4.46	%5		0.51	%5		15.34	%		33	%	$	307
	1.22	%		5.33	%5		0.53	%5		(0.90	)%		15	%	$	157
	1.05	%3		4.35	%3		1.42	%3		1.53	%		36	%	$	101
	0.25	%3		4.85	%3		1.38	%3		2.30	%		32	%	$	100
	0.16	%		4.70	%5		1.29	%5		10.88	%		40	%	$	120
	0.18	%		5.25	%5		1.30	%5		14.52	%		33	%	$	113
	0.47	%		6.07	%5		1.30	%5		(1.25	)%		15	%	$	99
	2.10	%3		3.31	%3		0.36	%3		2.61	%		36	%	$	103
	1.29	%3		3.82	%3		0.34	%3		3.06	%		32	%	$	102
	1.21	%		3.67	%5		0.25	%5		12.07	%		40	%	$	123
	1.24	%		4.22	%5		0.24	%5		15.78	%		33	%	$	115
	1.53	%		5.04	%5		0.24	%5		(0.76	)%		15	%	$	99
	2.24	%3		3.15	%3		0.21	%3		2.75	%		36	%	$	4,897
	1.44	%3		3.67	%3		0.19	%3		3.24	%		32	%	$	4,707
	1.36	%		3.52	%5		0.10	%5		12.31	%		40	%	$	5,651
	1.39	%		4.07	%5		0.09	%5		15.82	%		33	%	$	5,285
	1.69	%		4.90	%5		0.09	%5		(0.64	)%		15	%	$	4,571

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  99

Financial highlights

	Beginning net asset value per share		Net investment income			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Dynamic Target 2045 Fund
Class A
Year ended February 29, 2020	$	9.73		0.16			0.00	3		(0.17	)		0.00		$	9.72
Year ended February 28, 20195	$	11.79		0.08			0.08			(0.07	)		(2.15	)	$	9.73
Year ended May 31, 2018	$	11.02		0.12			1.20			(0.19	)		(0.36	)	$	11.79
Year ended May 31, 2017	$	9.86		0.08			1.41			(0.10	)		(0.23	)	$	11.02
Year ended May 31, 20167	$	10.00		0.06			(0.14	)		(0.06	)		0.00		$	9.86
Class C
Year ended February 29, 2020	$	9.71		0.10			(0.01	)		(0.12	)		0.00		$	9.68
Year ended February 28, 20195	$	11.75		0.02			0.09			0.00			(2.15	)	$	9.71
Year ended May 31, 2018	$	10.99		0.02			1.20			(0.10	)		(0.36	)	$	11.75
Year ended May 31, 2017	$	9.83		0.02			1.39			(0.02	)		(0.23	)	$	10.99
Year ended May 31, 20167	$	10.00		0.02			(0.14	)		(0.05	)		0.00		$	9.83
Class R4
Year ended February 29, 2020	$	9.78		0.21			(0.01	)		(0.20	)		0.00		$	9.78
Year ended February 28, 20195	$	11.83		0.11			0.08			(0.09	)		(2.15	)	$	9.78
Year ended May 31, 2018	$	11.05		0.14			1.22			(0.22	)		(0.36	)	$	11.83
Year ended May 31, 2017	$	9.88		0.13			1.39			(0.12	)		(0.23	)	$	11.05
Year ended May 31, 20167	$	10.00		0.07			(0.13	)		(0.06	)		0.00		$	9.88
Class R6
Year ended February 29, 2020	$	9.79		0.22	8		(0.01	)		(0.21	)		0.00		$	9.79
Year ended February 28, 20195	$	11.84		0.12			0.08			(0.10	)		(2.15	)	$	9.79
Year ended May 31, 2018	$	11.06		0.16			1.21			(0.23	)		(0.36	)	$	11.84
Year ended May 31, 2017	$	9.88		0.14			1.40			(0.13	)		(0.23	)	$	11.06
Year ended May 31, 20167	$	10.00		0.08			(0.13	)		(0.07	)		0.00		$	9.88

¹  Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

²  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in each respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. These purchase and sale amounts are aggregated with the direct purchases and sales in Underlying Funds and unaffiliated securities and included in the portfolio turnover calculation.

³  Amount is less than $0.005.

⁴  Ratios reflect net expenses allocated from the affiliated Master Portfolios which were as follows:

	Year ended February 29, 2020			Year ended February 28, 20195
Class A		0.16	%		0.14	%
Class C		0.15			0.13
Class R4		0.15			0.13
Class R6		0.16			0.14

⁵  For the nine months ended February 28, 2019. The Fund changed its fiscal year end from May 31 to February 28, effective February 28, 2019.

⁶  Ratios do not reflect net expenses allocated from the affiliated Master Portfolios. Including annualized net expenses allocated from the affiliated Master Portfolios, the expense ratios would be increased by the following amounts:

	Year ended May 31
	2018			2017			20167
Class A		0.09	%		0.10	%		0.10	%
Class C		0.09			0.10			0.10
Class R4		0.09			0.10			0.10
Class R6		0.10			0.11			0.11

⁷  For the period from November 30, 2015 (commencement of class operations) to May 31, 2016

⁸  Calculated based upon average shares outstanding

The accompanying notes are an integral part of these financial statements.

100  |  Target Date Retirement Funds

Financial highlights

Ratio to average net assets (annualized)												Portfolio turnover rate2			Net assets at end of period (000s omitted)
Net investment income			Gross expenses			Net expenses			Total return1
	1.72	%4		3.61	%4		0.66	%4		1.53	%		36	%	$	414
	0.97	%4		4.18	%4		0.61	%4		2.62	%		31	%	$	329
	0.90	%		4.09	%6		0.54	%6		12.06	%		35	%	$	327
	0.98	%		4.58	%6		0.51	%6		15.64	%		31	%	$	221
	1.23	%		5.36	%6		0.53	%6		(0.79	)%		14	%	$	121
	1.00	%4		4.19	%4		1.42	%4		0.78	%		36	%	$	109
	0.21	%4		4.92	%4		1.36	%4		2.06	%		31	%	$	102
	0.15	%		4.84	%6		1.29	%6		11.18	%		35	%	$	121
	0.17	%		5.37	%6		1.30	%6		14.74	%		31	%	$	113
	0.48	%		6.10	%6		1.30	%6		(1.15	)%		14	%	$	99
	2.06	%4		3.34	%4		0.36	%4		1.83	%		36	%	$	102
	1.25	%4		3.89	%4		0.32	%4		2.81	%		31	%	$	102
	1.19	%		3.81	%6		0.25	%6		12.36	%		35	%	$	123
	1.23	%		4.34	%6		0.24	%6		15.88	%		31	%	$	115
	1.54	%		5.07	%6		0.24	%6		(0.55	)%		14	%	$	99
	2.18	%4		3.18	%4		0.21	%4		1.97	%		36	%	$	5,419
	1.40	%4		3.75	%4		0.17	%4		2.97	%		31	%	$	4,695
	1.35	%		3.66	%6		0.10	%6		12.51	%		35	%	$	5.679
	1.38	%		4.19	%6		0.09	%6		16.14	%		31	%	$	5,303
	1.69	%		4.92	%6		0.09	%6		(0.53	)%		14	%	$	4,576

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  101

Financial highlights

	Beginning net asset value per share		Net investment income		Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Dynamic Target 2050 Fund
Class A
Year ended February 29, 2020	$	9.73		0.17		(0.06	)		(0.18	)		0.00		$	9.66
Year ended February 28, 20194	$	11.80		0.07		0.06			(0.05	)		(2.15	)	$	9.73
Year ended May 31, 2018	$	11.03		0.11		1.22			(0.20	)		(0.36	)	$	11.80
Year ended May 31, 2017	$	9.86		0.09		1.40			(0.09	)		(0.23	)	$	11.03
Year ended May 31, 20166	$	10.00		0.06		(0.14	)		(0.06	)		0.00		$	9.86
Class C
Year ended February 29, 2020	$	9.68		0.10		(0.06	)		(0.13	)		0.00		$	9.59
Year ended February 28, 20194	$	11.76		0.02		0.05			0.00			(2.15	)	$	9.68
Year ended May 31, 2018	$	10.99		0.02		1.21			(0.10	)		(0.36	)	$	11.76
Year ended May 31, 2017	$	9.83		0.02		1.39			(0.02	)		(0.23	)	$	10.99
Year ended May 31, 20166	$	10.00		0.02		(0.14	)		(0.05	)		0.00		$	9.83
Class R4
Year ended February 29, 2020	$	9.76		0.21		(0.07	)		(0.21	)		0.00		$	9.69
Year ended February 28, 20194	$	11.83		0.10		0.06			(0.08	)		(2.15	)	$	9.76
Year ended May 31, 2018	$	11.05		0.14		1.22			(0.22	)		(0.36	)	$	11.83
Year ended May 31, 2017	$	9.88		0.13		1.39			(0.12	)		(0.23	)	$	11.05
Year ended May 31, 20166	$	10.00		0.07		(0.13	)		(0.06	)		0.00		$	9.88
Class R6
Year ended February 29, 2020	$	9.76		0.22		(0.06	)		(0.22	)		0.00		$	9.70
Year ended February 28, 20194	$	11.84		0.12		0.05			(0.10	)		(2.15	)	$	9.76
Year ended May 31, 2018	$	11.06		0.16		1.21			(0.23	)		(0.36	)	$	11.84
Year ended May 31, 2017	$	9.88		0.14		1.40			(0.13	)		(0.23	)	$	11.06
Year ended May 31, 20166	$	10.00		0.08		(0.13	)		(0.07	)		0.00		$	9.88

¹  Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

²  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in each respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. These purchase and sale amounts are aggregated with the direct purchases and sales in Underlying Funds and unaffiliated securities and included in the portfolio turnover calculation.

³  Ratios reflect net expenses allocated from the affiliated Master Portfolios which were as follows:

	Year ended February 29, 2020			Year ended February 28, 20194
Class A		0.16	%		0.13	%
Class C		0.16			0.13
Class R4		0.15			0.13
Class R6		0.17			0.14

⁴  For the nine months ended February 28, 2019. The Fund changed its fiscal year end from May 31 to February 28, effective February 28, 2019.

⁵  Ratios do not reflect net expenses allocated from the affiliated Master Portfolios. Including annualized net expenses allocated from the affiliated Master Portfolios, the expense ratios would be increased by the following amounts:

	Year ended May 31
	2018			2017			20166
Class A		0.09	%		0.10	%		0.10	%
Class C		0.09			0.10			0.10
Class R4		0.09			0.10			0.10
Class R6		0.10			0.11			0.11

⁶  For the period from November 30, 2015 (commencement of class operations) to May 31, 2016

The accompanying notes are an integral part of these financial statements.

102  |  Target Date Retirement Funds

Financial highlights

Ratio to average net assets (annualized)												Portfolio turnover rate2			Net assets at end of period (000s omitted)
Net investment income			Gross expenses			Net expenses			Total return1
	1.72	%3		3.67	%3		0.66	%3		1.01	%		36	%	$	254
	0.96	%3		4.34	%3		0.60	%3		2.37	%		31	%	$	198
	0.83	%		4.26	%5		0.54	%5		12.16	%		35	%	$	256
	0.91	%		4.80	%5		0.53	%5		15.65	%		31	%	$	134
	1.22	%		5.25	%5		0.53	%5		(0.78	)%		14	%	$	108
	0.99	%3		4.24	%3		1.42	%3		0.26	%		36	%	$	106
	0.21	%3		5.09	%3		1.35	%3		1.77	%		31	%	$	102
	0.15	%		5.02	%5		1.29	%5		11.33	%		35	%	$	121
	0.18	%		5.56	%5		1.29	%5		14.77	%		31	%	$	113
	0.48	%		6.00	%5		1.30	%5		(1.15	)%		14	%	$	99
	2.05	%3		3.39	%3		0.36	%3		1.22	%		36	%	$	101
	1.25	%3		4.06	%3		0.30	%3		2.67	%		31	%	$	102
	1.19	%		3.99	%5		0.25	%5		12.42	%		35	%	$	123
	1.23	%		4.53	%5		0.24	%5		15.90	%		31	%	$	115
	1.53	%		4.97	%5		0.24	%5		(0.55	)%		14	%	$	99
	2.19	%3		3.25	%3		0.21	%3		1.47	%		36	%	$	4,884
	1.40	%3		3.92	%3		0.15	%3		2.75	%		31	%	$	4,682
	1.35	%		3.84	%5		0.10	%5		12.56	%		35	%	$	5,681
	1.39	%		4.38	%5		0.09	%5		16.17	%		31	%	$	5,304
	1.69	%		4.82	%5		0.09	%5		(0.53	)%		14	%	$	4,576

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  103

Financial highlights

	Beginning net asset value per share		Net investment income			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Dynamic Target 2055 Fund
Class A
Year ended February 29, 2020	$	9.73		0.15			(0.04	)		(0.18	)		0.00		$	9.66
Year ended February 28, 20194	$	11.80		0.08			0.05			(0.05	)		(2.15	)	$	9.73
Year ended May 31, 2018	$	11.03		0.11			1.22			(0.19	)		(0.37	)	$	11.80
Year ended May 31, 2017	$	9.87		0.09			1.39			(0.09	)		(0.23	)	$	11.03
Year ended May 31, 20166	$	10.00		0.06			(0.13	)		(0.06	)		0.00		$	9.87
Class C
Year ended February 29, 2020	$	9.67		0.10			(0.06	)		(0.12	)		0.00		$	9.59
Year ended February 28, 20194	$	11.75		0.02			0.05			0.00			(2.15	)	$	9.67
Year ended May 31, 2018	$	10.99		0.02			1.21			(0.10	)		(0.37	)	$	11.75
Year ended May 31, 2017	$	9.84		0.02			1.38			(0.02	)		(0.23	)	$	10.99
Year ended May 31, 20166	$	10.00		0.02			(0.13	)		(0.05	)		0.00		$	9.84
Class R4
Year ended February 29, 2020	$	9.75		0.21			(0.07	)		(0.20	)		0.00		$	9.69
Year ended February 28, 20194	$	11.83		0.10			0.05			(0.08	)		(2.15	)	$	9.75
Year ended May 31, 2018	$	11.05		0.14			1.23			(0.22	)		(0.37	)	$	11.83
Year ended May 31, 2017	$	9.88		0.13			1.39			(0.12	)		(0.23	)	$	11.05
Year ended May 31, 20166	$	10.00		0.07			(0.13	)		(0.06	)		0.00		$	9.88
Class R6
Year ended February 29, 2020	$	9.75		0.22	7		(0.07	)		(0.21	)		0.00		$	9.69
Year ended February 28, 20194	$	11.84		0.12			0.04			(0.10	)		(2.15	)	$	9.75
Year ended May 31, 2018	$	11.06		0.16			1.22			(0.23	)		(0.37	)	$	11.84
Year ended May 31, 2017	$	9.89		0.14			1.39			(0.13	)		(0.23	)	$	11.06
Year ended May 31, 20166	$	10.00		0.08			(0.12	)		(0.07	)		0.00		$	9.89

¹  Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

²  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in each respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. These purchase and sale amounts are aggregated with the direct purchases and sales in Underlying Funds and unaffiliated securities and included in the portfolio turnover calculation.

³  Ratios reflect net expenses allocated from the affiliated Master Portfolios which were as follows:

	Year ended February 29, 2020			Year ended February 28, 20194
Class A		0.16	%		0.13	%
Class C		0.15			0.13
Class R4		0.15			0.13
Class R6		0.17			0.14

⁴  For the nine months ended February 28, 2019. The Fund changed its fiscal year end from May 31 to February 28, effective February 28, 2019.

⁵  Ratios do not reflect net expenses allocated from the affiliated Master Portfolios. Including annualized net expenses allocated from the affiliated Master Portfolios, the expense ratios would be increased by the following amounts:

	Year ended May 31
	2018			2017			20166
Class A		0.09	%		0.10	%		0.10	%
Class C		0.09			0.10			0.10
Class R4		0.09			0.10			0.10
Class R6		0.10			0.11			0.11

⁶  For the period from November 30, 2015 (commencement of class operations) to May 31, 2016

⁷  Calculated based upon average shares outstanding

The accompanying notes are an integral part of these financial statements.

104  |  Target Date Retirement Funds

Financial highlights

Ratio to average net assets (annualized)												Portfolio turnover rate2			Net assets at end of period (000s omitted)
Net investment income			Gross expenses			Net expenses			Total return1
	1.68	%3		3.82	%3		0.67	%3		0.95	%		36	%	$	239
	0.95	%3		4.31	%3		0.61	%3		2.37	%		31	%	$	161
	0.89	%		4.18	%5		0.54	%5		12.10	%		34	%	$	170
	0.90	%		4.67	%5		0.54	%5		15.56	%		31	%	$	134
	1.21	%		5.23	%5		0.54	%5		(0.68	)%		14	%	$	103
	0.99	%3		4.40	%3		1.42	%3		0.26	%		36	%	$	100
	0.18	%3		5.04	%3		1.36	%3		1.77	%		31	%	$	100
	0.15	%		4.93	%5		1.29	%5		11.25	%		34	%	$	121
	0.17	%		5.42	%5		1.30	%5		14.68	%		31	%	$	113
	0.47	%		5.98	%5		1.30	%5		(1.05	)%		14	%	$	99
	2.04	%3		3.55	%3		0.36	%3		1.24	%		36	%	$	101
	1.23	%3		4.02	%3		0.32	%3		2.58	%		31	%	$	102
	1.19	%		3.90	%5		0.25	%5		12.44	%		34	%	$	123
	1.23	%		4.39	%5		0.24	%5		15.94	%		31	%	$	115
	1.53	%		4.95	%5		0.24	%5		(0.55	)%		14	%	$	99
	2.18	%3		3.41	%3		0.21	%3		1.38	%		36	%	$	5,031
	1.38	%3		3.87	%3		0.17	%3		2.70	%		31	%	$	4,678
	1.34	%		3.75	%5		0.10	%5		12.58	%		34	%	$	5,679
	1.38	%		4.25	%5		0.09	%5		16.08	%		31	%	$	5,305
	1.69	%		4.80	%5		0.09	%5		(0.43	)%		14	%	$	4,579

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  105

Financial highlights

	Beginning net asset value per share		Net investment income			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Dynamic Target 2060 Fund
Class A
Year ended February 29, 2020	$	9.74		0.17	3		(0.05	)		(0.20	)		0.00		$	9.66
Year ended February 28, 20195	$	11.79		0.08			0.06			(0.06	)		(2.13	)	$	9.74
Year ended May 31, 2018	$	11.03		0.09			1.23			(0.20	)		(0.36	)	$	11.79
Year ended May 31, 2017	$	9.88		0.09			1.39			(0.09	)		(0.24	)	$	11.03
Year ended May 31, 20167	$	10.00		0.06			(0.12	)		(0.06	)		0.00		$	9.88
Class C
Year ended February 29, 2020	$	9.72		0.10			(0.07	)		(0.13	)		0.00		$	9.62
Year ended February 28, 20195	$	11.76		0.02			0.07			0.00			(2.13	)	$	9.72
Year ended May 31, 2018	$	10.99		0.02			1.21			(0.10	)		(0.36	)	$	11.76
Year ended May 31, 2017	$	9.85		0.02			1.38			(0.02	)		(0.24	)	$	10.99
Year ended May 31, 20167	$	10.00		0.02			(0.12	)		(0.05	)		0.00		$	9.85
Class R4
Year ended February 29, 2020	$	9.79		0.21			(0.06	)		(0.21	)		0.00		$	9.73
Year ended February 28, 20195	$	11.84		0.10			0.06			(0.08	)		(2.13	)	$	9.79
Year ended May 31, 2018	$	11.05		0.14			1.22			(0.21	)		(0.36	)	$	11.84
Year ended May 31, 2017	$	9.89		0.13			1.39			(0.12	)		(0.24	)	$	11.05
Year ended May 31, 20167	$	10.00		0.07			(0.12	)		(0.06	)		0.00		$	9.89
Class R6
Year ended February 29, 2020	$	9.80		0.23			(0.06	)		(0.23	)		0.00		$	9.74
Year ended February 28, 20195	$	11.85		0.12			0.06			(0.10	)		(2.13	)	$	9.80
Year ended May 31, 2018	$	11.06		0.16			1.22			(0.23	)		(0.36	)	$	11.85
Year ended May 31, 2017	$	9.90		0.14			1.39			(0.13	)		(0.24	)	$	11.06
Year ended May 31, 20167	$	10.00		0.08			(0.11	)		(0.07	)		0.00		$	9.90

¹  Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

²  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in each respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. These purchase and sale amounts are aggregated with the direct purchases and sales in Underlying Funds and unaffiliated securities and included in the portfolio turnover calculation.

³  Calculated based upon average shares outstanding

⁴  Ratios reflect net expenses allocated from the affiliated Master Portfolios which were as follows:

	Year ended February 29, 2020			Year ended February 28, 20195
Class A		0.16	%		0.14	%
Class C		0.15			0.13
Class R4		0.15			0.13
Class R6		0.17			0.14

⁵  For the nine months ended February 28, 2019. The Fund changed its fiscal year end from May 31 to February 28, effective February 28, 2019.

⁶  Ratios do not reflect net expenses allocated from the affiliated Master Portfolios. Including annualized net expenses allocated from the affiliated Master Portfolios, the expense ratios would be increased by the following amounts:

	Year ended May 31
	2018			2017			20167
Class A		0.09	%		0.10	%		0.10	%
Class C		0.09			0.10			0.10
Class R4		0.09			0.10			0.10
Class R6		0.10			0.11			0.11

⁷  For the period from November 30, 2015 (commencement of class operations) to May 31, 2016

The accompanying notes are an integral part of these financial statements.

106  |  Target Date Retirement Funds

Financial highlights

Ratio to average net assets (annualized)												Portfolio turnover rate2			Net assets at end of period (000s omitted)
Net investment income			Gross expenses			Net expenses			Total return1
	1.67	%4		3.64	%4		0.66	%4		1.01	%		36	%	$	345
	0.97	%4		4.30	%4		0.59	%4		2.40	%		31	%	$	290
	1.03	%		4.22	%6		0.53	%6		12.12	%		36	%	$	261
	0.92	%		4.80	%6		0.55	%6		15.57	%		30	%	$	127
	1.22	%		5.24	%6		0.55	%6		(0.58	)%		14	%	$	101
	0.99	%4		4.22	%4		1.42	%4		0.16	%		36	%	$	99
	0.20	%4		5.04	%4		1.35	%4		1.89	%		31	%	$	100
	0.15	%		4.99	%6		1.29	%6		11.28	%		36	%	$	121
	0.17	%		5.55	%6		1.30	%6		14.69	%		30	%	$	113
	0.48	%		5.99	%6		1.30	%6		(0.94	)%		14	%	$	99
	2.05	%4		3.37	%4		0.36	%4		1.34	%		36	%	$	101
	1.25	%4		4.01	%4		0.30	%4		2.60	%		31	%	$	102
	1.19	%		3.96	%6		0.25	%6		12.46	%		36	%	$	123
	1.23	%		4.52	%6		0.24	%6		15.94	%		30	%	$	115
	1.53	%		4.96	%6		0.24	%6		(0.45	)%		14	%	$	100
	2.20	%4		3.23	%4		0.21	%4		1.48	%		36	%	$	4,685
	1.40	%4		3.87	%4		0.15	%4		2.78	%		31	%	$	4,706
	1.35	%		3.81	%6		0.10	%6		12.60	%		36	%	$	5,692
	1.39	%		4.37	%6		0.09	%6		16.09	%		30	%	$	5,312
	1.69	%		4.81	%6		0.09	%6		(0.33	)%		14	%	$	4,584

The accompanying notes are an integral part of these financial statements.

Target Date Retirement Funds  |  107

Notes to financial statements

1. ORGANIZATION

Wells Fargo Funds Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As an investment company, the Trust follows the accounting and reporting guidance in Financial Accounting Standards Board Accounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statements report on the following funds: Wells Fargo Dynamic Target Today Fund (“Dynamic Target Today Fund”), Wells Fargo Dynamic Target 2015 Fund (“Dynamic Target 2015 Fund”), Wells Fargo Dynamic Target 2020 Fund (“Dynamic Target 2020 Fund”), Wells Fargo Dynamic Target 2025 Fund (“Dynamic Target 2025 Fund”), Wells Fargo Dynamic Target 2030 Fund (“Dynamic Target 2030 Fund”), Wells Fargo Dynamic Target 2035 Fund (“Dynamic Target 2035 Fund”), Wells Fargo Dynamic Target 2040 Fund (“Dynamic Target 2040 Fund”), Wells Fargo Dynamic Target 2045 Fund (“Dynamic Target 2045 Fund”), Wells Fargo Dynamic Target 2050 Fund (“Dynamic Target 2050 Fund”), Wells Fargo Dynamic Target 2055 Fund (“Dynamic Target 2055 Fund”), and Wells Fargo Dynamic Target 2060 Fund (“Dynamic Target 2060 Fund”) (each, a “Fund”, collectively, the “Funds”). Each Fund is a diversified series of the Trust.

Effective at the close of business on November 13, 2017, Class R shares were liquidated and the class was subsequently closed. Class R shares are no longer offered by the Funds. Information for Class R shares reflected in the financial statements represents activity through November 13, 2017.

Each Fund is a fund-of-funds which seeks to achieve its investment objective by investing in multiple diversified portfolios (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 a Fund investing in an affiliated Master Portfolio acquires an indirect interest in those securities. Each Fund accounts for its investment in the affiliated Master Portfolios as partnership investments and records on a daily basis its share of each affiliated Master Portfolio’s income, expense and realized and unrealized gains and losses. The financial statements of the affiliated Master Portfolios are presented in separate financial statements and may be obtained free of charge by contacting Investor Services or by visiting the SEC website at sec.gov. The financial statements of the affiliated Master Portfolios are filed with the SEC under Wells Fargo Master Trust.

Prior to September 21, 2018, each Fund invested in various affiliated mutual funds, unaffiliated mutual funds and exchange-traded funds (collectively, the “Underlying Funds”) to pursue its investment objective. Subsequent to September 21, 2018, each Fund invests solely in affiliated Master Portfolios.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of each Fund, are in conformity with U.S. generally accepted accounting principles which require management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

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 Funds may deviate from this calculation time under unusual or unexpected circumstances.

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

Investments in underlying mutual funds were valued at net asset per share as reported by the Underlying Funds as of the close of the regular trading on New York Stock Exchange on each day the exchange was open for trading.

Equity securities and futures contracts that are listed on a foreign or domestic exchange or market are valued at the official closing price or, if none, the last sales price. If no sale occurs on the principal exchange or market that day, a fair value price will be determined in accordance with the Funds’ Valuation Procedures.

Debt securities are valued at the evaluated bid price provided by an independent pricing service (e.g. taking into account various factors, including yields, maturities, or credit ratings) or, if a reliable price is not available, the quoted bid price from an independent broker-dealer.

Investments which are not valued using the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Funds. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been

108  |  Target Date Retirement Funds

Notes to financial statements

delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC (“Funds Management”). The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.

Futures contracts

Futures contracts are agreements between each Fund and a counterparty to buy or sell a specific amount of a commodity, financial instrument or currency at a specified price and on a specified date. A Fund may buy and sell futures contracts in order to gain exposure to, or protect against, changes in interest rates, security values, and foreign exchange rates and is subject to interest rate risk, equity price risk, and foreign currency risk. The primary risks associated with the use of futures contracts are the imperfect correlation between changes in market values of securities held by the Fund and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange. With futures contracts, there is minimal counterparty risk to the Fund since futures contracts are exchange traded and the exchange’s clearinghouse, as the counterparty to all exchange traded futures, guarantees the futures contracts against default.

Upon entering into a futures contracts, the Fund is required to deposit either cash or securities (initial margin) with the broker in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are paid to or from the broker each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains or losses and, if any, shown as variation margin receivable (payable) in the Statements of Assets and Liabilities. Should the Fund fail to make requested variation margin payments, the broker can gain access to the initial margin to satisfy the Fund’s payment obligations. When the contracts are closed, a realized gain or loss is recorded in the Statements of Operations.

Security transactions and income recognition

Securities transactions are recorded on a trade date basis. Realized gains or losses are recorded on the basis of identified cost.

Each Fund records on a daily basis its proportionate share of each affiliated Master Portfolio’s interest and dividend income, in addition to expenses and realized and unrealized gains and losses. Income from foreign securities in each affiliated Master Portfolio is recorded net of foreign taxes withheld where recovery of such taxes is not assured.

Interest income is accrued daily and bond discounts are accreted and premiums are amortized daily. To the extent debt obligations are placed on non-accrual status, any related interest income may be reduced by writing off interest receivables when the collection of all or a portion of interest has been determined to be doubtful based on consistently applied procedures and the fair value has decreased. If the issuer subsequently resumes interest payments or when the collectability of interest is reasonably assured, the debt obligation is removed from non-accrual status.

Distributions to shareholders

Distributions to shareholders from net investment income and any net realized gains are recorded on the ex-dividend date and paid at least annually. Such distributions are determined in accordance with income tax regulations and may differ from U.S. generally accepted accounting principles. Dividend sources are estimated at the time of declaration. The tax character of distributions is determined as of each Fund’s fiscal year end. Therefore, a portion of each Fund’s distributions made prior to the Fund’s fiscal year end may be categorized as a tax return of capital at year end.

Federal and other taxes

Each Fund is treated as a separate entity for federal income tax purposes. Each Fund intends to continue to qualify as a regulated investment company by distributing substantially all of its investment company taxable income and any net realized capital gains (after reduction for capital loss carryforwards) sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provision for federal income taxes was required.

Each Fund’s income and federal excise tax returns and all financial records supporting those returns for the prior three fiscal years are subject to examination by the federal and Delaware revenue authorities. Management has analyzed each Fund’s tax positions taken on federal, state, and foreign tax returns for all open tax years and does not believe that there are any uncertain tax positions that require recognition of a tax liability.

Target Date Retirement Funds  |  109

Notes to financial statements

As of February 29, 2020, the aggregate cost of all investments for federal income tax purposes and the unrealized gains (losses) were as follows:

	Tax cost		Gross unrealized gains		Gross unrealized losses		Net unrealized gains
Dynamic Target Today Fund	$	6,585,185	$	309,196	$	0	$	309,196
Dynamic Target 2015 Fund		5,393,091		314,231		0		314,231
Dynamic Target 2020 Fund		6,548,187		297,211		0		297,211
Dynamic Target 2025 Fund		9,568,473		338,082		0		338,082
Dynamic Target 2030 Fund		7,842,361		319,808		0		319,808
Dynamic Target 2035 Fund		7,632,143		271,702		0		271,702
Dynamic Target 2040 Fund		6,854,110		239,417		0		239,417
Dynamic Target 2045 Fund		5,912,765		260,698		0		260,698
Dynamic Target 2050 Fund		5,191,985		253,666		0		253,666
Dynamic Target 2055 Fund		5,317,078		246,660		0		246,660
Dynamic Target 2060 Fund		5,065,128		264,456		0		264,456

Reclassifications are made to each Fund’s capital accounts for permanent tax differences to reflect income and gains available for distribution (or available capital loss carryforwards) under federal income tax regulations. U.S. generally accepted accounting principles require that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. At February 29, 2020, as a result of permanent book-to-tax differences, the following reclassification adjustments were made on the Statements of Assets and Liabilities:

	Paid-in capital		Total distributable earnings (loss)
Dynamic Target Today Fund	$	686	$	(686	)
Dynamic Target 2015 Fund		692		(692	)
Dynamic Target 2020 Fund		591		(591	)
Dynamic Target 2025 Fund		1,140		(1,140	)
Dynamic Target 2030 Fund		576		(576	)
Dynamic Target 2035 Fund		468		(468	)
Dynamic Target 2040 Fund		334		(334	)
Dynamic Target 2045 Fund		160		(160	)
Dynamic Target 2050 Fund		63		(63	)
Dynamic Target 2055 Fund		233		(233	)
Dynamic Target 2060 Fund		213		(213	)

110  |  Target Date Retirement Funds

Notes to financial statements

As of February 29, 2020, capital loss carryforwards available to offset future net realized capital gains were as follows for the following Funds:

	No expiration
	Short-term		Long-term
Dynamic Target 2015 Fund	$	12,393	$	4,477
Dynamic Target 2020 Fund		26,761		6,147
Dynamic Target 2025 Fund		67,479		42,970
Dynamic Target 2030 Fund		81,442		76,233
Dynamic Target 2035 Fund		91,331		86,512
Dynamic Target 2040 Fund		103,861		104,885
Dynamic Target 2045 Fund		121,634		122,217
Dynamic Target 2050 Fund		131,673		137,647
Dynamic Target 2055 Fund		130,423		135,536
Dynamic Target 2060 Fund		133,023		138,979

Class allocations

The separate classes of shares offered by each Fund differ principally in applicable sales charges, distribution, shareholder servicing, and administration fees. Class specific expenses are charged directly to that share class. Investment income, common fund-level expenses, and realized and unrealized gains (losses) on investments are allocated daily to each class of shares based on the relative proportion of net assets of each class.

3. FAIR VALUATION MEASUREMENTS

Fair value measurements of investments are determined within a framework that has established a fair value hierarchy based

upon the various data inputs utilized in determining the value of each Fund’s investments. The three-level hierarchy gives the

highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). Each Fund’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

∎ Level 1 – quoted prices in active markets for identical securities

∎ Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

∎ Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

Target Date Retirement Funds  |  111

Notes to financial statements

The following is a summary of the inputs used in valuing each Fund’s assets and liabilities as of February 29, 2020:

Dynamic Target Today Fund	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Short-term investments
U.S. Treasury securities	$	15,993	$	0	$	0	$	15,993
Investments measured at net asset value*								6,851,530
		15,993		0		0		6,867,523
Futures contracts		26,858		0		0		26,858
Total assets	$	42,851	$	0	$	0	$	6,894,381

* Investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amount presented in the table is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. The Fund’s investments in the affiliated Master Portfolios are valued at $6,851,530. Each affiliated Master Portfolio does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.

Dynamic Target 2015 Fund	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Short-term investments
U.S. Treasury securities	$	15,993	$	0	$	0	$	15,993
Investments measured at net asset value*								5,664,471
		15,993		0		0		5,680,464
Futures contracts		26,858		0		0		26,858
Total assets	$	42,851	$	0	$	0	$	5,707,322

* Investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amount presented in the table is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. The Fund’s investments in the affiliated Master Portfolios are valued at $5,664,471. Each affiliated Master Portfolio does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.

Dynamic Target 2020 Fund	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Short-term investments
U.S. Treasury securities	$	17,992	$	0	$	0	$	17,992
Investments measured at net asset value*								6,798,440
		17,992		0		0		6,816,432
Futures contracts		28,966		0		0		28,966
Total assets	$	46,958	$	0	$	0	$	6,845,398

* Investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amount presented in the table is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. The Fund’s investments in the affiliated Master Portfolios are valued at $6,798,440. Each affiliated Master Portfolio does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.

112  |  Target Date Retirement Funds

Notes to financial statements

Dynamic Target 2025 Fund	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Short-term investments
U.S. Treasury securities	$	32,986	$	0	$	0	$	32,986
Investments measured at net asset value*								9,824,649
		32,986		0		0		9,857,635
Futures contracts		48,920		0		0		48,920
Total assets	$	81,906	$	0	$	0	$	9,906,555

* Investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amount presented in the table is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. The Fund’s investments in the affiliated Master Portfolios are valued at $9,824,649. Each affiliated Master Portfolio does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.

Dynamic Target 2030 Fund	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Short-term investments
U.S. Treasury securities	$	28,988	$	0	$	0	$	28,988
Investments measured at net asset value*								8,088,760
		28,988		0		0		8,117,748
Futures contracts		44,421		0		0		44,421
Total assets	$	73,409	$	0	$	0	$	8,162,169

* Investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amount presented in the table is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. The Fund’s investments in the affiliated Master Portfolios are valued at $8,088,760. Each affiliated Master Portfolio does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.

Dynamic Target 2035 Fund	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Short-term investments
U.S. Treasury securities	$	32,986	$	0	$	0	$	32,986
Investments measured at net asset value*								7,828,493
		32,986		0		0		7,861,479
Futures contracts		42,366		0		0		42,366
Total assets	$	75,352	$	0	$	0	$	7,903,845

* Investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amount presented in the table is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. The Fund’s investments in the affiliated Master Portfolios are valued at $7,828,493. Each affiliated Master Portfolio does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.

Target Date Retirement Funds  |  113

Notes to financial statements

Dynamic Target 2040 Fund	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Short-term investments
U.S. Treasury securities	$	28,988	$	0	$	0	$	28,988
Investments measured at net asset value*								7,020,118
		28,988		0		0		7,049,106
Futures contracts		44,421		0		0		44,421
Total assets	$	73,409	$	0	$	0	$	7,093,527

* Investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amount presented in the table is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. The Fund’s investments in the affiliated Master Portfolios are valued at $7,020,118. Each affiliated Master Portfolio does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.

Dynamic Target 2045 Fund	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Short-term investments
U.S. Treasury securities	$	17,992	$	0	$	0	$	17,992
Investments measured at net asset value*								6,128,708
		17,992		0		0		6,146,700
Futures contracts		26,763		0		0		26,763
Total assets	$	44,755	$	0	$	0	$	6,173,463

* Investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amount presented in the table is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. The Fund’s investments in the affiliated Master Portfolios are valued at $6,128,708. Each affiliated Master Portfolio does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.

Dynamic Target 2050 Fund	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Short-term investments
U.S. Treasury securities	$	11,995	$	0	$	0	$	11,995
Investments measured at net asset value*								5,419,530
		11,995		0		0		5,431,525
Futures contracts		14,126		0		0		14,126
Total assets	$	26,121	$	0	$	0	$	5,445,651

* Investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amount presented in the table is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. The Fund’s investments in the affiliated Master Portfolios are valued at $5,419,530. Each affiliated Master Portfolio does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.

114  |  Target Date Retirement Funds

Notes to financial statements

Dynamic Target 2055 Fund	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Short-term investments
U.S. Treasury securities	$	11,995	$	0	$	0	$	11,995
Investments measured at net asset value*								5,537,617
		11,995		0		0		5,549,612
Futures contracts		14,126		0		0		14,126
Total assets	$	26,121	$	0	$	0	$	5,563,738

* Investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amount presented in the table is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. The Fund’s investments in the affiliated Master Portfolios are valued at $5,537,617. Each affiliated Master Portfolio does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.

Dynamic Target 2060 Fund	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Short-term investments
U.S. Treasury securities	$	11,995	$	0	$	0	$	11,995
Investments measured at net asset value*								5,303,463
		11,995		0		0		5,315,458
Futures contracts		14,126		0		0		14,126
Total assets	$	26,121	$	0	$	0	$	5,329,584

* Investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amount presented in the table is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. The Fund’s investments in the affiliated Master Portfolios are valued at $5,303,463. Each affiliated Master Portfolio does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.

Futures contracts are reported at their cumulative unrealized gains (losses) at measurement date as reported in the table following each Portfolio of Investments. For futures contracts, the current day’s variation margin is reported on the Statements of Assets and Liabilities. All other assets and liabilities are reported at their market value at measurement date.

For the year ended February 29, 2020, the Funds did not have any transfers into/out of Level 3.

Target Date Retirement Funds  |  115

Notes to financial statements

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. Aggregate 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 (Net), before fees and expenses
Wells Fargo Factor Enhanced International Portfolio	Seeks to replicate the total return of the Wells Fargo Factor Enhanced International Index (Net), 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

4. TRANSACTIONS WITH AFFILIATES

Management fee

Funds Management, an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”), is the manager of each Fund and provides advisory and fund-level administrative services under an investment management agreement. Under the investment management agreement, Funds Management is responsible for, among other services, implementing the investment objectives and strategies of each Fund, supervising the subadviser and providing fund-level administrative services in connection with each Fund’s operations. As compensation for its services under the investment management agreement, Funds Management is entitled to receive a management fee at the following annual rate based on each Fund’s average daily net assets:

Average daily net assets	Management fee
First $5 billion		0.15	%
Next $5 billion		0.14
Over $10 billion		0.13

For the year ended February 29, 2020, the management fee was equivalent to an annual rate of 0.15% of each Fund’s average daily net assets.

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Funds. The fee for subadvisory services is borne by Funds Management. Wells Capital Management Incorporated, an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo, is the subadviser to each Fund and is entitled to receive a fee from Funds Management at an annual rate starting at 0.10% and declining to 0.06% as the average daily net assets of each Fund increase.

Funds Management also serves as the adviser to each affiliated Master Portfolio and is entitled to receive a fee from each affiliated Master Portfolio for those services.

116  |  Target Date Retirement Funds

Notes to financial statements

Administration fees

Under a class-level administration agreement, Funds Management provides class-level administrative services to each Fund, which includes paying fees and expenses for services provided by the transfer agent, sub-transfer agents, omnibus account servicers and record-keepers. As compensation for its services under the class-level administration agreement, Funds Management receives an annual fee which is calculated based on the average daily net assets of each class as follows:

	Class-level administration fee
Class A, Class C		0.21	%
Class R4		0.08
Class R6		0.03

Waivers and/or expense reimbursements

Funds Management has contractually waived and/or reimbursed management and administration fees to the extent necessary to maintain certain net operating expense ratios for each Fund. When each class of a Fund has exceeded its expense cap, Funds Management has waived fees and/or reimbursed expenses from fund-level expenses on a proportionate basis and then from class specific expenses. When only certain classes exceed their expense caps, waivers and/or reimbursements are applied against class specific expenses before fund-level expenses. Net expenses from the affiliated Master Portfolios are included in the expense caps. Funds Management has committed through June 30, 2020 to waive fees and/or reimburse expenses to the extent necessary to cap each Fund’s expenses at 0.68% for Class A shares, 1.43% for Class C shares, 0.37% for Class R4 shares, and 0.22% for Class R6 shares. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees.

Distribution fee

The Trust has adopted a Distribution Plan for Class C shares of each Fund pursuant to Rule 12b-1 under the 1940 Act. A distribution fee is charged to the Class C shares and paid to Wells Fargo Funds Distributor, LLC (“Funds Distributor”), the principal underwriter of each Fund, at an annual rate of 0.75% of the average daily net assets of Class C shares.

In addition, Funds Distributor is entitled to receive the front-end sales charge from the purchase of Class A shares and a contingent deferred sales charge on the redemption of certain Class A shares. Funds Distributor is also entitled to receive the contingent deferred sales charges from redemptions of Class C shares. For the year ended February 29, 2020, Funds Distributor received front-end sales charges and contingent deferred sales charges from the Funds as follows:

	Front-end sales charges		Contingent deferred sales charges
	Class A		Class C
Dynamic Target 2020 Fund	$	301	$	0
Dynamic Target 2025 Fund		10		0
Dynamic Target 2030 Fund		13		0
Dynamic Target 2035 Fund		50		0
Dynamic Target 2040 Fund		31		0
Dynamic Target 2050 Fund		12		17
Dynamic Target 2055 Fund		14		0
Dynamic Target 2060 Fund		52		0

For the year ended February 29, 2020, the Funds did not received any contingent deferred sales charges on Class A shares.

Shareholder servicing fees

The Trust has entered into contracts with one or more shareholder servicing agents, whereby Class A and Class C of each Fund are charged a fee at an annual rate of 0.25% of the average daily net assets of each respective class. Class R4 is charged a fee at an annual rate of 0.10% of its average daily net assets. A portion of these total shareholder servicing fees were paid to affiliates of Wells Fargo.

Target Date Retirement Funds  |  117

Notes to financial statements

5. INVESTMENT PORTFOLIO TRANSACTIONS

The Funds seek to achieve their investment objectives by investing substantially all of their investable assets in affiliated Master Portfolios. Purchases and sales related to these investments have been calculated by aggregating the results of multiplying each Fund’s ownership percentage in the respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. Purchases and sales of investments, excluding short-term securities, for the year ended February 29, 2020 were as follows:

	Purchases at cost				Sales proceeds
	U.S. government		Non-U.S. government		U.S. government		Non-U.S. government
Dynamic Target Today Fund	$	1,159,625	$	1,217,434	$	1,019,320	$	1,928,977
Dynamic Target 2015 Fund		869,694		1,231,205		764,382		1,976,735
Dynamic Target 2020 Fund		803,603		1,509,701		701,979		2,390,111
Dynamic Target 2025 Fund		824,803		2,299,814		705,441		3,585,836
Dynamic Target 2030 Fund		498,756		2,059,555		418,594		3,165,572
Dynamic Target 2035 Fund		367,556		2,010,237		305,950		3,097,857
Dynamic Target 2040 Fund		247,814		2,002,898		206,277		3,034,149
Dynamic Target 2045 Fund		140,726		1,880,475		117,139		2,846,345
Dynamic Target 2050 Fund		79,621		1,800,822		66,275		2,697,104
Dynamic Target 2055 Fund		80,238		1,804,732		66,789		2,713,655
Dynamic Target 2060 Fund		79,312		1,811,351		66,019		2,700,641

6. DERIVATIVE TRANSACTIONS

During the year ended February 29, 2020, the Funds entered into futures contracts to gain market exposure to certain asset classes consistent with an active asset allocation strategy.

During the year ended February 29, 2020, the Funds had average notional amounts in futures contracts outstanding as follows:

	Average notional balance
	Long futures		Short futures
Dynamic Target Today Fund	$	326,240	$	233,457
Dynamic Target 2015 Fund		337,580		233,902
Dynamic Target 2020 Fund		414,014		235,785
Dynamic Target 2025 Fund		563,983		344,429
Dynamic Target 2030 Fund		508,876		249,779
Dynamic Target 2035 Fund		485,318		250,856
Dynamic Target 2040 Fund		411,519		241,314
Dynamic Target 2045 Fund		393,497		238,231
Dynamic Target 2050 Fund		355,432		235,670
Dynamic Target 2055 Fund		358,824		235,926
Dynamic Target 2060 Fund		355,154		235,679

The cumulative unrealized gains (losses) reported in the table following each Portfolio of Investments represents the fair value of futures contracts at the end of the period. Only the current day’s variation margin as of February 29, 2020 is reported separately on the Statements of Assets and Liabilities.

118  |  Target Date Retirement Funds

Notes to financial statements

The effect of derivative instruments on the Statements of Operations for the year ended February 29, 2020 were as follows for the Funds:

	Amount of realized gains (losses) on derivatives											Change in unrealized gains (losses) on derivatives
	Interest rate contracts			Equity contracts			Foreign currency contracts		Total			Interest rate contracts			Equity contracts		Foreign currency contracts		Total
Dynamic Target Today Fund	$	(3,413	)	$	(14,644	)	$	7,540	$	(10,517	)	$	(458	)	$	27,133	$	0	$	26,675
Dynamic Target 2015 Fund		(4,169	)		(10,750	)		6,533		(8,386	)		(458	)		27,133		0		26,675
Dynamic Target 2020 Fund		(7,580	)		(23,215	)		16,079		(14,716	)		(458	)		28,966		275		28,783
Dynamic Target 2025 Fund		(10,766	)		(41,791	)		19,430		(33,127	)		(458	)		48,920		367		48,829
Dynamic Target 2030 Fund		(8,140	)		(33,295	)		15,858		(25,577	)		(458	)		44,421		334		44,297
Dynamic Target 2035 Fund		(8,140	)		(39,514	)		12,814		(34,840	)		(458	)		42,366		286		42,194
Dynamic Target 2040 Fund		(7,581	)		(33,174	)		14,073		(26,682	)		(458	)		44,696		0		44,238
Dynamic Target 2045 Fund		(7,581	)		(31,774	)		14,073		(25,282	)		(458	)		27,038		0		26,580
Dynamic Target 2050 Fund		(7,581	)		(24,066	)		14,073		(17,574	)		(458	)		14,401		0		13,943
Dynamic Target 2055 Fund		(7,581	)		(25,173	)		14,072		(18,682	)		(458	)		14,412		0		13,954
Dynamic Target 2060 Fund		(4,169	)		(19,413	)		6,533		(17,049	)		(458	)		14,401		0		13,943

7. BANK BORROWINGS

The Trust (excluding the money market funds), Wells Fargo Master Trust and Wells Fargo Variable Trust are parties to a $280,000,000 revolving credit agreement whereby the Fund is permitted to use bank borrowings for temporary or emergency purposes, such as to fund shareholder redemption requests. Interest under the credit agreement is charged to the Fund based on a borrowing rate equal to the higher of the Federal Funds rate in effect on that day plus 1.25% or the overnight LIBOR rate in effect on that day plus 1.25%. In addition, an annual commitment fee equal to 0.25% of the unused balance is allocated to each participating fund.

For the year ended February 29, 2020, there were no borrowings by the Funds under the agreement.

8. CONCENTRATION RISK

As of February 29, 2020, the Funds were primarily owned by Wells Fargo. Investment by and/or voting activities of Wells Fargo with respect to its holdings in each Fund could have a material impact on the Fund. At February 29, 2020, Wells Fargo’s ownership of each Fund was as follows:

	% of ownership
Dynamic Target Today Fund		78.92	%
Dynamic Target 2015 Fund		93.69
Dynamic Target 2020 Fund		77.57
Dynamic Target 2025 Fund		53.23
Dynamic Target 2030 Fund		62.79
Dynamic Target 2035 Fund		66.08
Dynamic Target 2040 Fund		72.42
Dynamic Target 2045 Fund		82.66
Dynamic Target 2050 Fund		92.64
Dynamic Target 2055 Fund		90.50
Dynamic Target 2060 Fund		95.13

Target Date Retirement Funds  |  119

Notes to financial statements

9. DISTRIBUTIONS TO SHAREHOLDERS

The tax character of distributions paid during the year ended February 29, 2020, nine months ended February 28, 2019 and year ended May 31, 2018, were as follows:

	Ordinary income						Long-term capital gain
	Year ended February 29, 2020		Nine months ended February 28, 2019		Year ended May 31, 2018		Year ended February 29, 2020		Nine months ended February 28, 2019		Year ended May 31, 2018
Dynamic Target Today Fund	$	150,873	$	103,816	$	124,638	$	0	$	447,635	$	77,742
Dynamic Targert 2015 Fund		138,511		97,930		132,289		0		638,351		104,688
Dynamic Targert 2020 Fund		145,581		93,092		135,985		0		742,475		119,592
Dynamic Targert 2025 Fund		186,155		85,930		141,386		0		896,790		140,619
Dynamic Targert 2030 Fund		157,771		87,398		143,677		0		1,003,881		153,250
Dynamic Targert 2035 Fund		147,304		77,170		142,730		0		1,057,377		160,698
Dynamic Targert 2040 Fund		134,970		74,543		143,182		0		1,105,850		166,696
Dynamic Targert 2045 Fund		126,318		71,516		141,095		0		1,113,785		165,198
Dynamic Targert 2050 Fund		119,972		66,824		139,471		0		1,100,500		165,838
Dynamic Targert 2055 Fund		117,684		70,308		138,999		0		1,093,534		165,868
Dynamic Targert 2060 Fund		120,288		67,610		140,602		0		1,103,305		166,454

As of February 29, 2020, the components of distributable earnings on a tax basis were as follows:

	Undistributed ordinary income		Undistributed long-term gain		Unrealized gains		Capital loss carryforward
Dynamic Target Today Fund	$	34,443	$	17,624	$	309,196	$	0
Dynamic Target 2015 Fund		10,514		0		314,231		(16,870	)
Dynamic Target 2020 Fund		12,427		0		297,211		(32,908	)
Dynamic Target 2025 Fund		19,384		0		338,082		(110,449	)
Dynamic Target 2030 Fund		15,826		0		319,808		(157,675	)
Dynamic Target 2035 Fund		17,443		0		271,702		(177,843	)
Dynamic Target 2040 Fund		14,068		0		239,417		(208,746	)
Dynamic Target 2045 Fund		12,317		0		260,698		(243,851	)
Dynamic Target 2050 Fund		10,418		0		253,666		(269,320	)
Dynamic Target 2055 Fund		10,670		0		246,660		(265,959	)
Dynamic Target 2060 Fund		10,224		0		264,456		(272,002	)

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Notes to financial statements

Effective for all filings after November 4, 2018, the Securities and Exchange Commission eliminated the requirement to separately state the components of distributions to shareholders under U.S. generally accepted accounting principles. The amounts of distributions to shareholders for the year ended May 31, 2018 were as follows:

	Class A				Class C				Class R4				Class R6
	Net investment income		Net realized gains		Net investment income		Net realized gains		Net investment income		Net realized gains		Net investment income		Net realized gains
Dynamic Target Today Fund	$	4,850	$	3,809	$	1,052	$	1,692	$	2,184	$	1,712	$	108,190	$	78,891
Dynamic Target 2015 Fund		8,846		8,423		1,047		2,215		2,194		2,240		108,793		103,219
Dynamic Target 2020 Fund		7,535		10,192		1,007		2,577		2,209		2,603		109,522		119,932
Dynamic Target 2025 Fund		12,080		18,652		1,171		3,175		2,210		2,869		109,652		132,196
Dynamic Target 2030 Fund		13,281		20,188		1,009		3,138		2,182		3,160		108,392		145,577
Dynamic Target 2035 Fund		7,626		12,632		1,038		3,498		2,221		3,530		110,280		162,603
Dynamic Target 2040 Fund		8,615		14,831		1,011		3,578		2,202		3,616		109,428		166,597
Dynamic Target 2045 Fund		4,463		8,250		1,054		3,691		2,245		3,721		111,422		171,447
Dynamic Target 2050 Fund		3,240		5,371		1,049		3,748		2,244		3,787		111,382		174,488
Dynamic Target 2055 Fund		2,435		4,719		1,052		3,765		2,247		3,805		111,534		175,310
Dynamic Target 2060 Fund		4,687		8,009		1,040		3,706		2,237		3,745		111,089		172,543

10. INDEMNIFICATION

Under the Trust’s organizational documents, the officers and Trustees have been granted certain indemnification rights against certain liabilities that may arise out of performance of their duties to the Trust. Additionally, in the normal course of business, the Trust may enter into contracts with service providers that contain a variety of indemnification clauses. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be estimated.

11. NEW ACCOUNTING PRONOUNCEMENT

In August 2018, FASB issued Accounting Standards Update (“ASU”) No. 2018-13, Fair Value Measurement (Topic 820) Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement. ASU 2018-13 updates the disclosure requirements for fair value measurements by modifying or removing certain disclosures and adding certain new disclosures. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Early adoption is permitted. Management has adopted the removal and modification of disclosures early, as permitted, and will adopt the additional new disclosures at the effective date.

12. SUBSEQUENT EVENT

On March 11, 2020, the World Health Organization announced that it had made the assessment that coronavirus disease 2019 (“COVID-19”) is a pandemic. The impacts of COVID-19 is adversely affecting the entire global economy, individual companies and investment products, and the market in general. There is significant uncertainty around the extent and duration of business disruptions related to COVID-19 and the impact may be short term or may last for an extended period of time. The risk of further spreading of COVID-19 has led to significant uncertainty and volatility in the financial markets and the value of the Funds and the securities in which the Funds invest have generally been adversely affected by impacts caused by COVID-19.

Target Date Retirement Funds  |  121

Report of independent registered public accounting firm

To the Shareholders of the Funds and Board of Trustees Wells Fargo Funds Trust:

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of Wells Fargo Dynamic Target Today Fund, Wells Fargo Dynamic Target 2015 Fund, Wells Fargo Dynamic Target 2020 Fund, Wells Fargo Dynamic Target 2025 Fund, Wells Fargo Dynamic Target 2030 Fund, Wells Fargo Dynamic Target 2035 Fund, Wells Fargo Dynamic Target 2040 Fund, Wells Fargo Dynamic Target 2045 Fund, Wells Fargo Dynamic Target 2050 Fund, Wells Fargo Dynamic Target 2055 Fund, and Wells Fargo Dynamic Target 2060 Fund (collectively, the Funds), eleven of the funds constituting Wells Fargo Funds Trust, including the portfolios of investments, as of February 29, 2020, the related statements of operations for the year then ended, the statements of changes in net assets for the year then ended, for the period from June 1, 2018 to February 28, 2019, and for the year ended May 31, 2018, and the related notes (collectively, the financial statements) and the financial highlights for each of the years or periods in the period from November 30, 2015 (commencement of operations) to February 29, 2020. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of February 29, 2020, the results of their operations for the year then ended, the changes in their net assets for each of the years or periods in the period from June 1, 2017 to February 29, 2020, and the financial highlights for each of the years or periods in the period from the commencement of operations to February 29, 2020, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of February 29, 2020, by correspondence with the custodian, transfer agent, and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

We have not been able to determine the specific year that we began serving as the auditor of one or more Wells Fargo Funds investment companies; however we are aware that we have served as the auditor of one or more Wells Fargo Funds investment companies since at least 1955.

Boston, Massachusetts

April 28, 2020

122  |  Target Date Retirement Funds

Other information (unaudited)

TAX INFORMATION

For corporate shareholders, pursuant to Section 854 of the Internal Revenue Code, the percentage of ordinary income dividends qualifying for the corporate dividends-received deduction was as follows for the fiscal year ended February 29, 2020:

	Dividends-received deduction
Dynamic Target Today Fund		15.08	%
Dynamic Target 2015 Fund		21.67	%
Dynamic Target 2020 Fund		26.56	%
Dynamic Target 2025 Fund		33.56	%
Dynamic Target 2030 Fund		38.01	%
Dynamic Target 2035 Fund		40.27	%
Dynamic Target 2040 Fund		43.35	%
Dynamic Target 2045 Fund		45.15	%
Dynamic Target 2050 Fund		46.22	%
Dynamic Target 2055 Fund		46.37	%
Dynamic Target 2060 Fund		46.28	%

Pursuant to Section 854 of the Internal Revenue Code, the following amounts of income dividends paid during the fiscal year ended February 29, 2020 have been designated as qualified dividend income (QDI):

	QDI
Dynamic Target Today Fund	$	40,618
Dynamic Target 2015 Fund		54,204
Dynamic Target 2020 Fund		69,916
Dynamic Target 2025 Fund		114,044
Dynamic Target 2030 Fund		112,080
Dynamic Target 2035 Fund		111,504
Dynamic Target 2040 Fund		113,135
Dynamic Target 2045 Fund		111,464
Dynamic Target 2050 Fund		109,724
Dynamic Target 2055 Fund		107,968
Dynamic Target 2060 Fund		110,362

For the fiscal year ended February 29, 2020, the following amounts have been designated as interest-related dividends for nonresident alien shareholders pursuant to Section 871 of the Internal Revenue Code:

	Interest-related dividends
Dynamic Target Today Fund	$	82,877
Dynamic Target 2015 Fund		64,304
Dynamic Target 2020 Fund		58,168
Dynamic Target 2025 Fund		59,319
Dynamic Target 2030 Fund		39,352
Dynamic Target 2035 Fund		30,233
Dynamic Target 2040 Fund		21,272

Target Date Retirement Funds  |  123

Other information (unaudited)

	Interest-related dividends
Dynamic Target 2045 Fund	$	13,816
Dynamic Target 2050 Fund		9,574
Dynamic Target 2055 Fund		9,366
Dynamic Target 2060 Fund		9,593

For the fiscal year ended February 29, 2020, the percentage of ordinary income distributed which was derived from interest on U.S. government securities was as follows:

	% of U.S. government income
Dynamic Target Today Fund		16.90	%
Dynamic Target 2015 Fund		14.30	%
Dynamic Target 2020 Fund		11.90	%
Dynamic Target 2025 Fund		8.79	%
Dynamic Target 2030 Fund		6.36	%
Dynamic Target 2035 Fund		4.99	%
Dynamic Target 2040 Fund		3.64	%
Dynamic Target 2045 Fund		2.27	%
Dynamic Target 2050 Fund		1.41	%
Dynamic Target 2055 Fund		1.41	%
Dynamic Target 2060 Fund		1.40	%

PROXY VOTING INFORMATION

A description of the policies and procedures used to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling 1-800-222-8222, visiting our website at wfam.com, or visiting the SEC website at sec.gov. Information regarding how the proxies related to portfolio securities were voted during the most recent 12-month period ended June 30 is available on the website at wfam.com or by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS INFORMATION

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. Shareholders may view the filed Form N-PORT by visiting the SEC website at sec.gov.

124  |  Target Date Retirement Funds

Other information (unaudited)

BOARD OF TRUSTEES AND OFFICERS

Each of the Trustees and Officers¹ listed in the table below acts in identical capacities for each fund in the Wells Fargo family of funds, which consists of 146 mutual funds comprising the Wells Fargo Funds Trust, Wells Fargo Variable Trust, Wells Fargo Master Trust and four closed-end funds (collectively the “Fund Complex”). This table should be read in conjunction with the Prospectus and the Statement of Additional Information². The mailing address of each Trustee and Officer is 525 Market Street, 12th Floor, San Francisco, CA 94105. Each Trustee and Officer serves an indefinite term, however, each Trustee serves such term until reaching the mandatory retirement age established by the Trustees.

Independent Trustees

Name and year of birth	Position held and length of service*	Principal occupations during past five years or longer	Current other public company or investment company directorships
William R. Ebsworth (Born 1957)	Trustee, since 2015	Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder.	N/A
Jane A. Freeman (Born 1953)	Trustee, since 2015; Chair Liaison, since 2018	Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is a Board Member of The Ruth Bancroft Garden (non-profit organization). She is also an inactive Chartered Financial Analyst.	N/A
Isaiah Harris, Jr. (Born 1952)	Trustee, since 2009; Audit Committee Chairman, since 2019	Retired. Chairman of the Board of CIGNA Corporation since 2009, and Director since 2005. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Child Evangelism Fellowship (non-profit). Mr. Harris is a certified public accountant (inactive status).	CIGNA Corporation
Judith M. Johnson (Born 1949)	Trustee, since 2008; Audit Committee Chairman, from 2009 to 2018	Retired. Prior thereto, Chief Executive Officer and Chief Investment Officer of Minneapolis Employees Retirement Fund from 1996 to 2008. Ms. Johnson is an attorney, certified public accountant and a certified managerial accountant.	N/A

Target Date Retirement Funds  |  125

Other information (unaudited)

Name and year of birth	Position held and length of service*	Principal occupations during past five years or longer	Current other public company or investment company directorships
David F. Larcker (Born 1950)	Trustee, since 2009	James Irvin Miller Professor of Accounting at the Graduate School of Business, Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005.	N/A
Olivia S. Mitchell (Born 1953)	Trustee, since 2006; Nominating and Governance Committee Chair, since 2018	International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993.	N/A
Timothy J. Penny (Born 1951)	Trustee, since 1996; Chairman, since 2018	President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007.	N/A
James G. Polisson (Born 1959)	Trustee, since 2018	Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non-profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations.	N/A
Pamela Wheelock3 (Born 1959)	Trustee, since January 2020; previously Trustee from January 2018 to July 2019	Board member of the Destination Medical Center Economic Development Agency, Rochester, Minnesota since 2019. Acting Commissioner, Minnesota Department of Human Services, July 2019 through September 2019. Human Services Manager (part-time), Minnesota Department of Human Services, October 2019 through December 2019. Chief Operating Officer, Twin Cities Habitat for Humanity from 2017 to 2019. Vice President of University Services, University of Minnesota from 2012 to 2016. Prior thereto, on the Board of Directors, Governance Committee and Finance Committee for the Minnesota Philanthropy Partners (Saint Paul Foundation) from 2012 to 2018, Interim Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2011 to 2012, Chairman of the Board from 2009 to 2012 and Board Director from 2003 to 2015. Vice President, Leadership and Community Engagement, Bush Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011. Executive Vice President and Chief Financial Officer, Minnesota Sports and Entertainment from 2004 to 2009 and Senior Vice President from 2002 to 2004. Executive Vice President of the Minnesota Wild Foundation from 2004 to 2008. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently Board Chair of the Minnesota Wild Foundation since 2010.	N/A

* Length of service dates reflect the Trustee’s commencement of service with the Trust’s predecessor entities, where applicable.    

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Other information (unaudited)

Officers

Name and year of birth	Position held and length of service	Principal occupations during past five years or longer
Andrew Owen (Born 1960)	President, since 2017	Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014.
Jeremy DePalma1 (Born 1974)	Treasurer, since 2012	Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010.
Michelle Rhee (Born 1966)	Chief Legal Officer, since 2019	Secretary of Wells Fargo Funds Management, LLC, Chief Legal Counsel of Wells Fargo Asset Management and Assistant General Counsel of Wells Fargo Bank, N.A. since 2018. Associate General Counsel and Managing Director of Bank of America Corporation from 2004 to 2018.
Catherine Kennedy (Born 1969)	Secretary, since 2019	Vice President of Wells Fargo Funds Management, LLC and Senior Counsel of the Wells Fargo Legal Department since 2010. Vice President and Senior Counsel of Evergreen Investment Management Company, LLC from 1998 to 2010.
Michael H. Whitaker (Born 1967)	Chief Compliance Officer, since 2016	Chief Compliance Officer of Wells Fargo Asset Management since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016.
David Berardi (Born 1975)	Assistant Treasurer, since 2009	Vice President of Wells Fargo Funds Management, LLC since 2009. Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010. Manager of Fund Reporting and Control for Evergreen Investment Management Company, LLC from 2004 to 2010.

¹ Jeremy DePalma acts as Treasurer of 82 funds and Assistant Treasurer of 64 funds in the Fund Complex.

² The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling 1-800-222-8222 or by visiting the website at wfam.com.

³  Pamela Wheelock was re-appointed to the Board effective January 1, 2020.

Target Date Retirement Funds  |  127

Appendix I (unaudited)

On February 29, 2020, the Wells Fargo Dynamic Target Blended Indexes were composed of the following indexes:

	Wells Fargo Dynamic Target Today Blended Index			Wells Fargo Dynamic Target 2015 Blended Index			Wells Fargo Dynamic Target 2020 Blended Index
Bloomberg Barclays U.S. Aggregate ex-Corporate Index		29.57	%		25.14	%		21.49	%
Bloomberg Barclays U.S. Government Intermediate Bond Index		5.00	%		4.25	%		3.34	%
Bloomberg Barclays U.S. Treasury Inflation Notes: 1-10 Year Index		5.00	%		4.25	%		3.34	%
JP Morgan EMBI Global Diversified Index		2.52	%		2.14	%		1.83	%
Wells Fargo Factor Enhanced Emerging Markets Index (Net)		2.96	%		3.62	%		4.28	%
Wells Fargo Factor Enhanced International Index (Net)		9.88	%		12.10	%		14.29	%
Wells Fargo Factor Enhanced Large Cap Index		19.07	%		23.37	%		27.30	%
Wells Fargo Factor Enhanced Small Cap Index		4.76	%		5.83	%		6.82	%
Wells Fargo U.S. High Yield Bond Index		2.52	%		2.14	%		1.83	%
Wells Fargo U.S. Investment Grade Corporate Bond Index		15.39	%		13.08	%		11.18	%
Wells Fargo U.S. REIT Index		3.33	%		4.08	%		4.30	%

Average annual total returns (%) as of February 29, 2020

	1 year			5 year		10 year
Bloomberg Barclays U.S. Aggregate ex-Corporate Index1*		10.34			–		–
Bloomberg Barclays U.S. Government Intermediate Bond Index2		8.05			2.46		2.52
Bloomberg Barclays U.S. Treasury Inflation Notes: 1-10 Year Index3		7.86			2.48		2.70
JP Morgan EMBI Global Diversified Index4		9.68			5.98		6.78
Wells Fargo Factor Enhanced Emerging Markets Index (Net)5**		(6.74	)		–		–
Wells Fargo Factor Enhanced International Index (Net)6**		0.57			–		–
Wells Fargo Factor Enhanced Large Cap Index7**		3.85			–		–
Wells Fargo Factor Enhanced Small Cap Index8**		(5.66	)		–		–
Wells Fargo U.S. High Yield Bond Index9**		5.02			–		–
Wells Fargo U.S. Investment Grade Corporate Bond Index10**		15.67			–		–
Wells Fargo U.S. REIT Index11***		2.85			–		–

* The inception date of the index is December 2015.

** The inception date of the index is April 2017.

** The inception date is March 2017

¹  The Bloomberg Barclays U.S. Aggregate ex-Corporate Index is a broad-based benchmark that includes Treasuries, government-related securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities and commercial mortgage-backed securities (agency and non-agency). You cannot invest directly in an index.

²  The Bloomberg Barclays U.S. Government Intermediate Bond Index is an unmanaged index composed of U.S. government securities with maturities in the 1- to 10-year range, including securities issued by the U.S. Treasury and U.S. government agencies. You cannot invest directly in an index.

³  Bloomberg Barclays U.S. Treasury Inflation Notes: 1-10 Year Index measures the performance of the U.S. Treasury Inflation Protected Securities (TIPS) market with maturities more than 1 year and less than 10 years. Federal Reserve holdings of U.S. TIPS are not index eligible and are excluded from the face amount outstanding of each bond in the index. You cannot invest directly in an index.

⁴  The J.P. Morgan Emerging Markets Bond Index (“EMBI”) Global Diversified Index is a composite index representing an unleveraged investment in emerging market bonds that is broadly based across the spectrum of emerging market bonds and includes reinvestment of income (to represent real assets). You cannot invest directly in an index.

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Appendix I (unaudited)

Wells Fargo Dynamic Target 2025 Blended Index		Wells Fargo Dynamic Target 2030 Blended Index			Wells Fargo Dynamic Target 2035 Blended Index			Wells Fargo Dynamic Target 2040 Blended Index			Wells Fargo Dynamic Target 2045 Blended Index			Wells Fargo Dynamic Target 2050 Blended Index			Wells Fargo Dynamic Target 2055 Blended Index			Wells Fargo Dynamic Target 2060 Blended Index
	17.81%		13.81	%		11.25	%		8.29	%		5.33	%		2.96	%		2.96	%		2.96	%
	1.47%		0.34	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
	1.47%		0.34	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
	1.50%		1.16	%		0.95	%		0.70	%		0.45	%		0.25	%		0.25	%		0.25	%
	5.37%		6.43	%		7.10	%		7.76	%		8.30	%		8.74	%		8.74	%		8.74	%
	17.88%		21.50	%		23.86	%		25.87	%		27.74	%		29.26	%		29.26	%		29.26	%
	32.71%		37.67	%		40.03	%		41.90	%		43.97	%		45.60	%		45.60	%		45.60	%
	8.20%		9.42	%		10.01	%		10.47	%		10.99	%		11.40	%		11.40	%		11.40	%
	1.50%		1.16	%		0.95	%		0.70	%		0.45	%		0.25	%		0.25	%		0.25	%
	9.26%		7.19	%		5.85	%		4.31	%		2.77	%		1.54	%		1.54	%		1.54	%
	2.83%		0.98	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%

⁵  The Wells Fargo Factor Enhanced Emerging Markets Index (Net) is an index of equity securities that is derived from a universe of companies domiciled in various emerging markets countries and that possess, in aggregate, diversified exposure to investment factors (or characteristics) that are commonly tied to a stock’s potential for enhanced risk-adjusted returns relative to the market. You cannot invest directly in an index.

⁶  The Wells Fargo Factor Enhanced International Index (Net) is an index of equity securities that is derived from a universe of companies domiciled in various developed markets outside the U.S. and that possess, in aggregate, diversified exposure to investment factors (or characteristics) that are commonly tied to a stock’s potential for enhanced risk-adjusted returns relative to the market. You cannot invest directly in an index.

⁷  The Wells Fargo Factor Enhanced Large Cap Index is an index of equity securities that is derived from a universe of the largest 1,000 companies in the U.S. market and that possess, in aggregate, diversified exposure to investment factors (or characteristics) that are commonly tied to a stock’s potential for enhanced risk-adjusted returns relative to the market. You cannot invest directly in an index.

⁸  The Wells Fargo Factor Enhanced Small Cap Index is an index of equity securities that is derived from a universe of the smallest 2,000 companies in the U.S. market and that possess, in aggregate, diversified exposure to investment factors (or characteristics) that are commonly tied to a stock’s potential for enhanced risk-adjusted returns relative to the market. You cannot invest directly in an index.

⁹  The Wells Fargo U.S. High Yield Bond Index is a rules-based index designed to measure the performance of U.S. dollar denominated below investment-grade corporate debt issued by U.S. or foreign issuers that have a remaining maturity of at least one year, regardless of optionality; it is constructed to provide increased diversification and liquidity versus traditional passive high yield bond indexes. You cannot invest directly in an index.

¹⁰  The Wells Fargo U.S. Investment Grade Corporate Bond Index is a rules-based index designed to measure the performance of publicly issued U.S. dollar denominated investment grade, fixed rate corporate bonds issued by U.S. or foreign issuers that have a remaining maturity of at least one year, regardless of optionality; it is constructed to provide increased diversification and liquidity versus traditional passive corporate credit indexes. You cannot invest directly in an index.

¹¹  The Wells Fargo U.S. REIT Index is a float-adjusted, capitalization-weighted index of all applicable NYSE MKT or NASDAQ-listed classes of REIT stock that satisfy specified market capitalization and other eligibility requirements. You cannot invest directly in an index.

Target Date Retirement Funds  |  129

Appendix II (unaudited)

Effective on or about May 1, 2020, if you purchase Fund shares through a Janney Montgomery Scott LLC (“Janney”) brokerage account, you will be eligible for the following load waivers (front-end sales charge waivers and contingent deferred sales charge (“CDSC”), or back-end sales charge, waivers) and discounts, which may differ from those disclosed elsewhere in the Fund’s Prospectus or SAI.

Front-end sales charge* waivers on Class A shares available at Janney

Shares purchased through reinvestment of capital gains distributions and dividend reinvestment when purchasing shares of the same fund (but not any other fund within the fund family).

Shares purchased by employees and registered representatives of Janney or its affiliates and their family members as designated by Janney.

Shares purchased from the proceeds of redemptions within the same fund family, provided (1) the repurchase occurs within ninety (90) days following the redemption, (2) the redemption and purchase occur in the same account, and (3) redeemed shares were subject to a front-end or deferred sales load (i.e., right of reinstatement).

Employer-sponsored retirement plans (e.g., 401(k) plans, 457 plans, employer-sponsored 403(b) plans, profit sharing and money purchase pension plans and defined benefit plans). For purposes of this provision, employer-sponsored retirement plans do not include SEP IRAs, Simple IRAs, SAR-SEPs or Keogh plans.

Shares acquired through a right of reinstatement.

Class C shares that are no longer subject to a contingent deferred sales charge and are converted to Class A shares of the same fund pursuant to Janney’s policies and procedures.

CDSC waivers on Class A and Class C shares available at Janney

Shares sold upon the death or disability of the shareholder.

Shares sold as part of a systematic withdrawal plan as described in the Fund’s Prospectus.

Shares purchased in connection with a return of excess contributions from an IRA account.

Shares sold as part of a required minimum distribution for IRA and retirement accounts if the redemption is taken in or after the year the shareholder reaches qualified age based on applicable IRS regulations.

Shares sold to pay Janney fees but only if the transaction is initiated by Janney.

Shares acquired through a right of reinstatement.

Shares exchanged into the same share class of a different fund.

Front-end sales charge* discounts available at Janney; breakpoints, rights of accumulation and/or letters of intent

Breakpoints as described in the Fund’s Prospectus.

Rights of accumulation (“ROA”), which entitle shareholders to breakpoint discounts, will be automatically calculated based on the aggregated holding of fund family assets held by accounts within the purchaser’s household at Janney. Eligible fund family assets not held at Janney may be included in the ROA calculation only if the shareholder notifies his or her financial advisor about such assets.

Letters of intent which allow for breakpoint discounts based on anticipated purchases within a fund family, over a 13-month time period. Eligible fund family assets not held at Janney Montgomery Scott may be included in the calculation of letters of intent only if the shareholder notifies his or her financial advisor about such assets.

* Also referred to as an “initial sales charge.”

130  |  Target Date Retirement Funds

Appendix III (unaudited)

Effective on or after May 1, 2020, clients of Edward Jones (also referred to as “shareholders”) purchasing Fund shares on the Edward Jones commission and fee-based platforms are eligible only for the following sales charge discounts (also referred to as “breakpoints”) and waivers, which can differ from breakpoints and waivers described elsewhere in this Prospectus or SAI or through another broker-dealer. In all instances, it is the shareholder’s responsibility to inform Edward Jones at the time of purchase of any relationship, holdings of Wells Fargo Funds or other facts qualifying the purchaser for breakpoints or waivers. Edward Jones can ask for documentation of such circumstance.

Breakpoints available at Edward Jones

Rights of Accumulation (ROA)

The applicable sales charge on a purchase of Class A shares is determined by taking into account all share classes (except any money market funds and retirement plan share classes) of Wells Fargo Funds held by the shareholder or in an account grouped by Edward Jones with other accounts for the purpose of providing certain pricing considerations (“pricing groups”). This includes all share classes held on the Edward Jones platform and/or held on another platform. The inclusion of eligible fund family assets in the rights of accumulation calculation is dependent on the shareholder notifying his or her financial advisor of such assets at the time of calculation.

ROA is determined by calculating the higher of cost or market value (current shares x NAV).

Letter of Intent (LOI)

Through a LOI, shareholders can receive the sales charge and breakpoint discounts for purchases shareholders intend to makeover a 13-month period from the date Edward Jones receives the LOI. The LOI is determined by calculating the higher of cost or market value of qualifying holdings at LOI initiation in combination with the value that the shareholder intends to buy over a 13-month period to calculate the front-end sales charge and any breakpoint discounts. Each purchase the shareholder makes during that 13-month period will receive the sales charge and breakpoint discount that applies to the total amount. The inclusion of eligible fund family assets in the LOI calculation is dependent on the shareholder notifying his or her financial advisor of such assets at the time of calculation. Purchases made before the LOI is received by Edward Jones are not covered under the LOI and will not reduce the sales charge previously paid. Sales charges will be adjusted if LOI is not met.

Sales charges are waived for the following shareholders and in the following situations at Edward Jones:

●   Associates of Edward Jones and its affiliates and their family members who are in the same pricing group (as determined by Edward Jones under its policies and procedures) as the associate. This waiver will continue for the remainder of the associate’s life if the associate retires from Edward Jones in good-standing.

●   Shares exchanged in an Edward Jones fee-based program.

●   Shares purchased through reinvestment of capital gains distributions and dividend reinvestment.

●   Shares purchased from the proceeds of redeemed shares of the same fund family so long as the following conditions are met: 1) the proceeds are from the sale of shares within 60 days of the purchase, and 2) the sale and purchase are made in the same share class and the same account or the purchase is made in an individual retirement account with proceeds from liquidations in anon-retirement account.

●   Shares exchanged into Class A shares from another share class so long as the exchange is into the same fund and was initiated at the discretion of Edward Jones. Edward Jones is responsible for any remaining CDSC due to the fund company, if applicable. Any future purchases are subject to the applicable sales charge as disclosed in the prospectus.

●   Exchanges from Class C shares to Class A shares of the same fund, generally, in the 84th month following the anniversary of the purchase date or earlier at the discretion of Edward Jones.

If the shareholder purchases shares that are subject to a CDSC and those shares are redeemed before the CDSC is expired, the shareholder is
responsible to pay the CDSC except in the following conditions available at Edward Jones:

●   The death or disability of the shareholder.

●   Systematic withdrawals with up to 10% per year of the account value.

●   Return of excess contributions from an Individual Retirement Account (IRA).

●   Shares sold as part of a required minimum distribution for IRA and retirement accounts if the redemption is taken in or after the year the shareholder reaches qualified age based on applicable IRS regulation.

●   Shares sold to pay Edward Jones fees or costs in such cases where the transaction is initiated by Edward Jones.

●   Shares exchanged in an Edward Jones fee-based program.

●   Shares acquired through NAV reinstatement.

Target Date Retirement Funds  |  131

Appendix III (unaudited)

Other Important Information for accounts at Edward Jones:

Minimum Purchase Amounts

●   $250 initial purchase minimum

●   $50 subsequent purchase minimum

Minimum Balances

Edward Jones has the right to redeem at its discretion fund holdings with a balance of $250 or less. The following are examples of accounts that are not included in this policy:

●   A fee-based account held on an Edward Jones platform

●   A 529 account held on an Edward Jones platform

●   An account with an active systematic investment plan or letter of intent (LOI)

Changing Share Classes

At any time it deems necessary, Edward Jones has the authority to exchange at NAV a shareholder’s holdings in a fund to Class A shares.

132  |  Target Date Retirement Funds

For more information

More information about Wells Fargo Funds is available free upon request. To obtain literature, please write, visit the Funds’ website, or call:

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: wfam.com

Individual investors: 1-800-222-8222

Retail investment professionals: 1-888-877-9275

Institutional investment professionals: 1-866-765-0778

This report and the financial statements contained herein are submitted for the general information of the shareholders of Wells Fargo Funds. If this report is used for promotional purposes, distribution of the report must be accompanied or preceded by a current prospectus. Before investing, please consider the investment objectives, risks, charges, and expenses of the investment. For a current prospectus and, if available, a summary prospectus, containing this information, call 1-800-222-8222 or visit the Funds’ website at wfam.com. Read the prospectus carefully before you invest or send money.

Wells Fargo Asset Management (WFAM) is the trade name for certain investment advisory/management firms owned by Wells Fargo & Company. These firms include but are not limited to Wells Capital Management Incorporated and Wells Fargo Funds Management, LLC. Certain products managed by WFAM entities are distributed by Wells Fargo Funds Distributor, LLC (a broker-dealer and Member FINRA).

This material is for general informational and educational purposes only and is NOT intended to provide investment advice or a recommendation of any kind—including a recommendation for any specific investment, strategy, or plan.

INVESTMENT PRODUCTS: NOT FDIC INSURED  ◾  NO BANK GUARANTEE  ◾   MAY LOSE VALUE

© 2020 Wells Fargo & Company. All rights reserved

PAR-0220-04676 04-20

ADTD/AR104 02-20

Annual Report

February 29, 2020

∎ Wells Fargo Emerging Markets Bond Fund

∎ Wells Fargo High Yield Corporate Bond Fund

∎ Wells Fargo International Government Bond Fund

∎ Wells Fargo U.S. Core Bond Fund

Beginning on January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, paper copies of the Wells Fargo Funds’ annual and semi-annual shareholder reports issued after this date will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, by calling 1-800-222-8222 or by enrolling at wellsfargo.com/advantagedelivery.

You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call 1-800-222-8222. Your election to receive reports in paper will apply to all Wells Fargo Funds held in your account with your financial intermediary or, if you are a direct investor, to all Wells Fargo Funds that you hold.

Contents

Performance highlights
Wells Fargo Emerging Markets Bond Fund	2
Wells Fargo High Yield Corporate Bond Fund	6
Wells Fargo International Government Bond Fund	10
Wells Fargo U.S. Core Bond Fund	14
Fund expenses	18
Portfolio of investments
Wells Fargo Emerging Markets Bond Fund	19
Wells Fargo High Yield Corporate Bond Fund	20
Wells Fargo International Government Bond Fund	21
Wells Fargo U.S. Core Bond Fund	22
Financial statements
Statements of assets and liabilities	23
Statements of operations	24
Statements of changes in net assets	25
Financial highlights	30
Notes to financial statements	32
Report of independent registered public accounting firm	37

Master portfolios
Portfolio of investments
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	38
Wells Fargo Emerging Markets Bond Portfolio	51
Wells Fargo Factor Enhanced Emerging Markets Portfolio	56
Wells Fargo Factor Enhanced International Portfolio	87
Wells Fargo Factor Enhanced Large Cap Portfolio	109
Wells Fargo Factor Enhanced Small Cap Portfolio	129
Wells Fargo High Yield Corporate Bond Portfolio	164
Wells Fargo International Government Bond Portfolio	174
Wells Fargo Investment Grade Corporate Bond Portfolio	177
Wells Fargo Strategic Retirement Bond Portfolio	199
Wells Fargo U.S. REIT Portfolio	203
Financial statements
Statements of assets and liabilities	206
Statements of operations	210
Statements of changes in net assets	213
Financial highlights	224
Notes to financial statements	225
Report of independent registered public accounting firm	238
Other information	239

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The views expressed and any forward-looking statements are as of February 29, 2020, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Asset Management. Discussions of individual securities, or the markets generally, or any Wells Fargo Fund are not intended as individual recommendations. Future events or results may vary significantly from those expressed in any forward-looking statements. The views expressed are subject to change at any time in response to changing circumstances in the market. Wells Fargo Asset Management and the Fund disclaim any obligation to publicly update or revise any views expressed or forward-looking statements.

INVESTMENT PRODUCTS: NOT FDIC INSURED  ◾  NO BANK GUARANTEE  ◾  MAY LOSE VALUE

Wells Fargo Funds  |  1

Performance highlights (unaudited)

Wells Fargo Emerging Markets Bond Fund¹

Investment objective

The Fund seeks to replicate the total return of the JP Morgan EMBI Global Diversified Index, before fees and expenses.

Manager

Wells Fargo Funds Management, LLC

Subadviser for the affiliated master portfolio

Wells Fargo Asset Management (International) Limited

Portfolio managers

Michael Lee

Alex Perrin

Average annual total returns (%) as of February 29, 2020

				Since			Expense ratios2 (%)
	Inception date	1 year		inception			Gross		Net3
Wells Fargo Emerging Markets Bond Fund (WBEMX)	8-3-2017		9.10		4.81			11.56		0.00
JP Morgan EMBI Global Diversified Index4	–		9.68		5.00	*		–		–
JP Morgan EMBI Global Index5	–		9.89		4.50	*		–		–

* Based on the inception date of the Fund.

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted, which assumes the reinvestment of dividends and capital gains.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

Shares are sold without a front-end sales charge or contingent deferred sales charge.

Bond values fluctuate in response to the financial condition of individual issuers, general market and economic conditions, and changes in interest rates. Changes in market conditions and government policies may lead to periods of heightened volatility in the bond market and reduced liquidity for certain bonds held by the Fund. In general, when interest rates rise, bond values fall and investors may lose principal value. Interest rate changes and their impact on the Fund and its share price can be sudden and unpredictable. The use of derivatives may reduce returns and/or increase volatility. Certain investment strategies tend to increase the total risk of an investment (relative to the broader market). High-yield securities have a greater risk of default and tend to be more volatile than higher-rated debt securities. The Fund is exposed to foreign investment risk and focused portfolio risk. Consult the Fund’s prospectus for additional information on these and other risks.

Please see footnotes on page 3.

2  |  Wells Fargo Funds

Performance highlights (unaudited)

Wells Fargo Emerging Markets Bond Fund (continued)

Growth of $10,000 investment as of February 29, 2020⁶

¹  The Fund is a feeder fund that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with an identical investment objective. References to the investment activities of the Fund are intended to refer to the investment activities of the affiliated master portfolio in which it invests.

²  Reflects the expense ratios as stated in the most recent prospectus. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

³  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.00%. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses from unaffiliated funds in which the affiliated master portfolio invests and extraordinary expenses are excluded from the expense cap. All other acquired fund fees and expenses from the affiliated master portfolio are included in the expense cap. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Without this cap, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectus.

⁴  The JP Morgan Emerging Markets Bond Index (EMBI) Global Diversified Index is a composite index representing an unleveraged investment in emerging market bonds that is broadly based across the spectrum of emerging market bonds and includes reinvestment of income (to represent real assets). You cannot invest directly in an index.

⁵  The JP Morgan EMBI Global Index tracks total returns for traded external debt instruments in the emerging markets. The index includes US dollar denominated Brady bonds, loans, and Eurobonds with an outstanding face value of at least $500 million. You cannot invest directly in an index.

⁶  The chart compares the performance of the Fund since inception with the JP Morgan EMBI Global Diversified Index and the JP Morgan EMBI Global Index. The chart assumes a hypothetical investment of $10,000 in the Fund and reflects all operating expenses of the Fund.

⁷  The ten largest holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the securities of the affiliated master portfolio allocable to the Fund divided by the total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁸  Amounts represent the portfolio allocation of the affiliated master portfolio and are calculated based on the total long-term investments of the affiliated master portfolio. These amounts are subject to change and may have changed since the date specified.

Wells Fargo Funds  |  3

Performance highlights (unaudited)

Wells Fargo Emerging Markets Bond Fund (continued)

MANAGER’S DISCUSSION

Fund highlights

∎ The Fund underperformed its benchmark, the JP Morgan EMBI Global Diversified Index, for the 12-month period that ended February 29, 2020. The Fund also underperformed the JP Morgan EMBI Global Index for the same period.

∎ At the country level, Ukraine, Uruguay, and Mozambique performed particularly well over the reporting period. The worst country returns were seen in Lebanon, Venezuela, and Argentina.

∎ The strong absolute performance of the asset class over the reporting period was supported by increased accommodation from core market central banks that kept risk appetite engaged.

∎ Investment-grade bond issuers tended to outperform their lower-rated peers, while regionally Asia and Europe outperformed and the Middle East lagged.

Market commentary

Absolute returns for the Fund and its benchmark were robustly positive over the reporting period, with particularly strong performance in the second and fourth quarters of 2019. Global growth trended lower gently but consistently, with weakness in manufacturing driven by trade disagreements between China and the United States. A series of U.S. interest rate cuts, along with increased support from several other major central banks, was supportive for the asset class. Some index constituents, such as Lebanon, faced fierce domestic upheaval and questions around debt sustainability but there was limited spillover into other emerging markets. The U.S. dollar traded largely sideways versus other developed market currencies over the reporting period.

Volatility picked up into the latter months of the reporting period. The emergence of the coronavirus (COVID-19) in China—and its rapid spread—is raising serious questions about the prospects for the global economy. Risk assets thus ended the reporting period under pressure and equity markets and higher-yielding currencies continue to look vulnerable. Bond markets are performing well, with sharp falls in yields across both emerging and developed markets, as investors rush to price more central bank support into the market. In the short term, it appears that volatility is set to remain elevated. Longer-term dynamics depend on how quickly the novel COVID-19 peaks and dissipates. The disease will undoubtedly take a material toll on 2020 growth numbers, but there are still hopes of a rapid rebound once the disease is contained. Current dynamics suggest that central banks will remain accommodative for the foreseeable future. This could be supportive for sovereign fixed income although the size and speed of recent falls in bond yields suggest much of this central bank action could already be priced in.

Investment approach

The investment objective of the Fund seeks to replicate, rather than precisely duplicate, the total return of the JP Morgan EMBI Global Diversified Index before fees and expenses through a sample replication process. The index is a composite index representing an unleveraged investment in emerging market bonds that is broadly based across the spectrum of emerging market bonds and includes reinvestment of income. One cannot invest directly in the index, and timing of cash flows and other practical issues may alter the Fund’s tracking error, which is a measure of how closely a portfolio tracks the index to which it is benchmarked.

Rather than purchase every security in the index, the underlying portfolio uses an optimization process that seeks to balance the replication of index performance with the minimization of security transaction costs. Using a stratified sampling technique, securities are selected and purchased in an effort to construct a portfolio that exhibits risk factors and other characteristics and performance of the index without incurring the level of transaction costs that would be associated with purchasing every security in the index.

Under normal circumstances, the Fund is expected to concentrate its investments in quality-rating segments and countries to approximately the same extent that the index is concentrated in such quality-rating segments or countries. The components of the index may change over time, and the index may or may not be concentrated in certain quality-rating segments or countries at any particular time. We continually monitor the performance and composition of the index and adjust the Fund’s portfolio as necessary to reflect changes to the index.

4  |  Wells Fargo Funds

Performance highlights (unaudited)

Wells Fargo Emerging Markets Bond Fund (continued)

Ten largest holdings (%) as of February 29, 20207
Dominican Republic, 5.95%, 1-25-2027	2.04
Federative Republic of Brazil, 4.63%, 1-13-2028	1.55
Republic of Panama, 4.00%, 9-22-2024	1.42
Republic of South Africa, 4.85%, 9-30-2029	1.41
Republic of Colombia, 3.88%, 4-25-2027	1.36
Oriental Republic of Uruguay, 5.10%, 6-18-2050	1.32
Republic of Turkey, 6.63%, 2-17-2025	1.32
Qatar Government, 4.63%, 6-2-2046	1.31
Perusahaan Penerbit SBSN Indonesia III, 4.55%, 3-29-2026	1.30
Republic of Peru, 6.55%, 3-14-2037	1.30

Portfolio allocation as of February 29, 2020⁸

Please see footnotes on page 3.

Wells Fargo Funds  |  5

Performance highlights (unaudited)

Wells Fargo High Yield Corporate Bond Fund¹

Investment objective

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

Manager

Wells Fargo Funds Management, LLC

Subadviser for the affiliated master portfolio

Wells Capital Management Incorporated

Portfolio managers

Janet S. Rilling, CFA^®‡, CPA

Michael J. Schueller, CFA^®‡

Average annual total returns (%) as of February 29, 2020

				Since			Expense ratios2 (%)
	Inception date	1 year		inception			Gross		Net3
Wells Fargo High Yield Corporate Bond Fund (WYCBX)	8-3-2017		4.29		3.38			11.68		0.00
Wells Fargo U.S. High Yield Bond Index4	–		5.02		3.92	*		–		–
Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index5	–		6.10		4.43	*		–		–

* Based on the inception date of the Fund.

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted, which assumes the reinvestment of dividends and capital gains.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

Shares are sold without a front-end sales charge or contingent deferred sales charge.

Bond values fluctuate in response to the financial condition of individual issuers, general market and economic conditions, and changes in interest rates. Changes in market conditions and government policies may lead to periods of heightened volatility in the bond market and reduced liquidity for certain bonds held by the Fund. In general, when interest rates rise, bond values fall and investors may lose principal value. Interest rate changes and their impact on the Fund and its share price can be sudden and unpredictable. The use of derivatives may reduce returns and/or increase volatility. High-yield securities have a greater risk of default and tend to be more volatile than higher-rated debt securities. The Fund is exposed to focus portfolio risk, index tracking risk, and foreign investment risk. Consult the Fund’s prospectus for additional information on these and other risks.

Please see footnotes on page 7.

6  |  Wells Fargo Funds

Performance highlights (unaudited)

Wells Fargo High Yield Corporate Bond Fund (continued)

Growth of $10,000 investment as of February 29, 2020⁶

^‡ CFA^® and Chartered Financial Analyst^® are trademarks owned by CFA Institute.

¹  The Fund is a feeder fund that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with an identical investment objective. References to the investment activities of the Fund are intended to refer to the investment activities of the affiliated master portfolio in which it invests.

²  Reflects the expense ratios as stated in the most recent prospectus. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

³  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.00%. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses from unaffiliated funds in which the affiliated master portfolio invests and extraordinary expenses are excluded from the expense cap. All other acquired fund fees and expenses from the affiliated master portfolio are included in the expense cap. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Without this cap, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectus.

⁴  The Wells Fargo U.S. High Yield Bond Index is a rules-based index designed to measure the performance of U.S. dollar denominated below investment-grade corporate debt issued by U.S. or foreign issuers that have a remaining maturity of at least one year, regardless of optionality; it is constructed to provide increased diversification and liquidity versus traditional passive high yield bond indices. You cannot invest directly in an index.

⁵  The Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index is an unmanaged, U.S. dollar-denominated, nonconvertible, noninvestment-grade debt index and limits the exposure of each issuer to 2% of the total market value. The index consists of domestic corporate bonds rated Ba and below with a minimum outstanding amount of $150 million. You cannot invest directly in an index.

⁶  The chart compares the performance of the Fund since inception with the Wells Fargo U.S. High Yield Bond Index and the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index. The chart assumes a hypothetical investment of $10,000 in the Fund and reflects all operating expenses of the Fund.

⁷  The ten largest holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the securities of the affiliated master portfolio allocable to the Fund divided by the total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁸  The credit quality distribution of portfolio holdings reflected in the chart is based on ratings from Standard & Poor’s, Moody’s Investors Service, and/or Fitch Ratings Ltd. Credit quality ratings apply to the underlying holdings of the affiliated master portfolio and not to the Fund itself. The percentages of the Fund’s portfolio with the ratings depicted in the chart are calculated based on the total market value of fixed income securities held by the affiliated master portfolio. If a security was rated by all three rating agencies, the middle rating was utilized. If rated by two of three rating agencies, the lower rating was utilized, and if rated by one of the rating agencies, that rating was utilized. Standard & Poor’s rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Ratings from A to CCC may be modified by the addition of a plus (+) or minus (-) sign to show relative standing within the rating categories. Standard & Poor’s rates the creditworthiness of short-term notes from SP-1 (highest) to SP-3 (lowest). Moody’s rates the creditworthiness of bonds, ranging from Aaa (highest) to C (lowest). Ratings Aa to B may be modified by the addition of a number 1 (highest) to 3 (lowest) to show relative standing within the ratings categories. Moody’s rates the creditworthiness of short-term U.S. tax-exempt municipal securities from MIG 1/VMIG 1 (highest) to SG (lowest). Fitch rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Credit quality distribution is subject to change and may have changed since the date specified.

Wells Fargo Funds  |  7

Performance highlights (unaudited)

Wells Fargo High Yield Corporate Bond Fund (continued)

MANAGER’S DISCUSSION

Fund highlights

∎ The Fund underperformed its benchmark, the Wells Fargo U.S. High Yield Bond Index, along with the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index for the 12-month period that ended February 29, 2020.

∎ CCC-rated bonds underperformed relative to other quality-rating sectors. BB-rated bonds were the best-performing rating category, followed closely by B-rated bonds. BB-rated bonds were helped by crossover buyers from the investment-grade universe, where yields hit all-time lows during the period, in addition to being longer duration and benefiting more from lower rates across the curve.

∎ From a sector perspective, certain smaller financial sectors led performance, including banking and insurance. These were followed closely by certain industrial sectors, such as consumer cyclicals, transportation, and communications. Energy-related sectors underperformed the index meaningfully, posting negative returns.

Market commentary

Market participants were fixated on trade wars between the U.S. and other countries, particularly China, which drove sentiment throughout the period. Broad-based U.S. equity markets hit all-time highs during the period, while interest rates were materially lower across the curve. The first half of the period was characterized by volatile markets and falling rates, leading to an inverted yield curve, which sparked concerns from market participants. During the second half of the period, the U.S. Federal Open Market Committee (FOMC) lowered the federal funds target rate three times, with the range ending the period at 1.50% to 1.75%. Overnight funding issues in September also led the FOMC to put in additional liquidity measures by purchasing Treasury bills and easing liquidity for market participants.

Lastly, as the period ended, the world began to interpret how the spreading of the novel coronavirus (COVID-19) would affect economies around the globe. While the U.S. administration said it was working closely with the Chinese government to assist and understand the impacts, Federal Reserve Chairman Jerome Powell said it would take time to assess the impact of the COVID-19 outbreak on the U.S. economy.

While the U.S. Treasury curve steepened, the decline in rates dominated news. Yields on 30-year U.S. Treasuries moved from 3.09% to 1.65% during the period. Similarly, the 10-year U.S. Treasury yield fell 1.60%, ending at 1.13%, while the short end was also lower. The difference between the 2-year and 30-year U.S. Treasury yield ended the period at 79 basis points (bps; 100 bps equal 1.00%) from 57 bps to start the period, while the difference between the 10-year and 30-year U.S. Treasury yield ended the fiscal year at 52 bps from 36 bps at the outset of the period. Lower rates across the curve resulted in higher absolute returns in the long end of the curve, where duration impacts dominated price movements.

Higher-quality components within high yield meaningfully outperformed, with BB-rated debt posting the highest absolute total returns, followed by B-rated and then CCC-rated debt, which broadly posted negative returns for the period. Almost all sectors reported positive absolute returns, with certain financial subsectors posting the best returns. Energy was the worst-performing sector, posting negative returns for the period. Financials were followed closely in returns by certain industrial sectors, including transportation, capital goods, communications, and consumer cyclicals. Higher-quality BB-rated debt outperformance can also be attributed to cross-over buyers from the investment-grade space as yields there hit near record lows, as well as BB-rated debt tending to be longer duration, supported by lower rates across the Treasury curve.

Investment approach

The investment objective of the Fund seeks to replicate rather than precisely duplicate the total return of the Wells Fargo U.S. High Yield Bond Index, before fees and expenses. The index is a rules-based index designed to measure the performance of U.S.-dollar-denominated below-investment-grade corporate debt issued by U.S. or foreign issuers that have a remaining maturity of at least one year, regardless of optionality. It is constructed to provide increased diversification and liquidity versus traditional passive high-yield bond indices. One cannot invest directly in the index. The timing of cash flows and other practical issues may alter the Fund’s tracking error, which is a measure of how closely a portfolio tracks the index to which it is benchmarked.

8  |  Wells Fargo Funds

Performance highlights (unaudited)

Wells Fargo High Yield Corporate Bond Fund (continued)

Rather than purchase every security in the index, the underlying portfolio uses an optimization process that seeks to balance the replication of index performance with the minimization of security transaction costs. Using a stratified sampling technique, securities are selected and purchased in an effort to construct a portfolio that exhibits risk factors and other characteristics and performance of the index without incurring the level of transaction costs that would be associated with purchasing every security in the index.

Ten largest holdings (%) as of February 29, 20207
Springleaf Finance Corporation, 7.13%, 3-15-2026	0.76
DISH DBS Corporation, 5.88%, 11-15-2024	0.76
iHeartCommunications Incorporated, 6.38%, 5-1-2026	0.68
CenturyLink Incorporated Series W, 6.75%, 12-1-2023	0.67
Diamond Sports Group LLC, 5.38%, 8-15-2026	0.65
Altice Finco SA, 7.63%, 2-15-2025	0.62
Refinitiv U.S. Holdings Company, 8.25%, 11-15-2026	0.61
Bausch Health Companies Incorporated, 8.50%, 1-31-2027	0.61
Lennar Corporation, 4.50%, 4-30-2024	0.59
Hughes Satellite Systems Company, 7.63%, 6-15-2021	0.58

Credit quality as of February 29, 2020⁸

Please see footnotes on page 7.

Wells Fargo Funds  |  9

Performance highlights (unaudited)

Wells Fargo International Government Bond Fund¹

Investment objective

The Fund seeks to replicate the total return of the Wells Fargo International Government Bond Index, before fees and expenses.

Manager

Wells Fargo Funds Management, LLC

Subadviser for the affiliated master portfolio

Wells Fargo Asset Management (International), Limited

Portfolio managers

Michael Lee

Alex Perrin

Average annual total returns (%) as of February 29, 2020

					Since			Expense ratios2 (%)
	Inception date	1 year			inception			Gross		Net3
Wells Fargo International Government Bond Fund (WIGBX)	10-31-2017		6.33	*		3.01			11.96		0.00
Wells Fargo International Government Bond Index4	–		6.18			3.04	**		–		–
Bloomberg Barclays Global Treasury ex-US Total Return Index5	–		5.45			3.01	**		–		–

* Total return differs from the return in the Financial Highlights in this report. The total return presented is calculated based on the NAV at which the shareholder transactions were processed. The NAV and total return presented in the Financial Highlights reflects certain adjustments made to the net assets of the Fund that are necessary under U.S. generally accepted accounting principles.

** Based on the inception date of the Fund.

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted, which assumes the reinvestment of dividends and capital gains.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

Shares are sold without a front-end sales charge or contingent deferred sales charge.

Bond values fluctuate in response to the financial condition of individual issuers, general market and economic conditions, and changes in interest rates. Changes in market conditions and government policies may lead to periods of heightened volatility in the bond market and reduced liquidity for certain bonds held by the Fund. In general, when interest rates rise, bond values fall and investors may lose principal value. Interest rate changes and their impact on the Fund and its share price can be sudden and unpredictable. The use of derivatives may reduce returns and/or increase volatility. Certain investment strategies tend to increase the total risk of an investment (relative to the broader market). High-yield securities have a greater risk of default and tend to be more volatile than higher-rated debt securities. The Fund is exposed to foreign investment risk and focused portfolio risk. Consult the Fund’s prospectus for additional information on these and other risks.

Please see footnotes on page 11.

10  |  Wells Fargo Funds

Performance highlights (unaudited)

Wells Fargo International Government Bond Fund (continued)

Growth of $10,000 investment as of February 29, 2020⁶

¹  The Fund is a feeder fund that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with an identical investment objective. References to the investment activities of the Fund are intended to refer to the investment activities of the affiliated master portfolio in which it invests.

²  Reflects the expense ratios as stated in the most recent prospectus. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

³  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.00%. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses from unaffiliated funds in which the affiliated master portfolio invests and extraordinary expenses are excluded from the expense cap. All other acquired fund fees and expenses from the affiliated master portfolio are included in the expense cap. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Without this cap, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectus.

⁴  The Wells Fargo International Government Bond Index is a rules-based index designed to track the performance of local currency government debt of both developed and emerging market countries excluding the United States. The index is composed of fixed rate government bonds, issued by countries other than the U.S., having an investment grade rating or classified as investment grade by Bloomberg Index Services Limited. You cannot invest directly in an index.

⁵  The Bloomberg Barclays Global Treasury ex-US Total Return Index is a subset of the flagship Global Treasury Index that does not have any exposure to U.S. debt. This multi-currency benchmark includes investment grade, fixed-rate bonds issued by governments in their native currencies. You cannot invest directly in an index.

⁶  The chart compares the performance of the Fund since inception with the Wells Fargo International Government Bond Index and the Bloomberg Barclays Global Treasury ex-US Total Return Index. The chart assumes a hypothetical investment of $10,000 in the Fund and reflects all operating expenses of the Fund.

⁷  The ten largest holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the securities of the affiliated master portfolio allocable to the Fund divided by the total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁸  Amounts represent the composition of the affiliated master portfolio and are calculated based on the total long-term investments of the affiliated master portfolio. These amounts are subject to change and may have changed since the date specified.

Wells Fargo Funds  |  11

Performance highlights (unaudited)

Wells Fargo International Government Bond Fund (continued)

MANAGER’S DISCUSSION

Fund highlights

∎ The Fund outperformed its benchmark, the Wells Fargo International Government Bond Index, as well as the Bloomberg Barclays Global Treasury ex-U.S. Total Return Index for the 12-month period that ended February 29, 2020.

∎ Absolute returns for both the Fund and the index were positive over the reporting period, as increased accommodation from central banks drove bond yields lower.

∎ The bond markets of Italy, Australia, and the United States led the way over the reporting period. At the other end of the spectrum were the bond markets of Norway, Japan, and Chile.

∎ The Swiss franc and the Japanese yen were the top-performing currencies, followed by the U.S. dollar. The weakest currencies were the Norwegian krone, New Zealand dollar, and Australian dollar.

Market commentary

Absolute returns for the Fund and its benchmark were positive over the reporting period, with particularly strong performance in the second and fourth quarters of 2019. Global growth trended lower gently but consistently, with weakness in manufacturing driven by trade disagreements between China and the United States. A series of U.S. interest rate cuts, along with increased support from several other major central banks, was supportive for the asset class. Some index constituents, such as Lebanon, faced fierce domestic upheaval and questions around debt sustainability but there was limited spillover into other emerging markets. The U.S. dollar traded largely sideways versus other developed market currencies over the reporting period.

Volatility picked up into the latter months of the reporting period. The emergence of the coronavirus in China—and its rapid spread—is raising serious questions about the prospects for the global economy. Risk assets thus ended the reporting period under pressure and equity markets and higher-yielding currencies continue to look vulnerable. Bond markets are performing well, with sharp falls in yields across both emerging and developed markets, as investors rush to price more central bank support into the market. In the short term, it appears that volatility is set to remain elevated. Longer-term dynamics depend on how quickly the novel coronavirus (COVID-19) peaks and dissipates. The disease will undoubtedly take a material toll on 2020 growth numbers, but there are still hopes of a rapid rebound once the disease is contained. Current dynamics suggest that central banks will remain accommodative for the foreseeable future. This could be supportive for sovereign fixed income although the size and speed of recent falls in bond yields suggest much of this central bank action could already be priced in.

Investment approach

The investment objective of the Fund seeks to replicate rather than precisely duplicate the total return performance of the Wells Fargo International Government Bond Index before fees and expenses. The index is designed to track the performance of local currency government debt of both developed and emerging market countries excluding the U.S. and is composed of fixed-rate, non-U.S.-dollar-denominated bonds having a remaining maturity of at least one year, regardless of optionality, and an investment-grade rating or classification as investment grade by Bloomberg Index Services Limited.

The index selects and weights securities by evaluating them on a country, currency, and individual basis. The evaluation is intended to create a subset of the Wells Fargo International Government Bond Index by screening securities based on current and consensus expected trends in market conditions, valuations, and currencies to arrive at projections for yield curves (and hence bond returns) and currency returns. The screening process combined with return, volatility, correlation, and constraint analysis determines the final index constituency based on projected value, to be replicated via a sampling process.

Rather than purchase every security in the index, the underlying portfolio uses an optimization process that seeks to balance the replication of index performance with the minimization of security transaction costs. Using a stratified sampling technique, securities are selected and purchased in an effort to construct a portfolio that exhibits risk factors and other characteristics of the index and seeks to match the performance of the index without incurring the level of transaction costs that would be associated with purchasing every security in the index. One cannot invest directly in the index, and the timing of cash flows and other practical issues may alter the Fund’s tracking error, which is a measure of how closely a portfolio tracks the index to which it is benchmarked.

12  |  Wells Fargo Funds

Performance highlights (unaudited)

Wells Fargo International Government Bond Fund (continued)

Under normal circumstances, the Fund is expected to invest approximately the same percentage in quality-rating segments and countries as the index. The components of the index may change over time, and the index may or may not be concentrated in certain quality-rating segments or countries at any particular time. We continually monitor the performance and composition of the index and adjust the Fund’s portfolio as necessary to reflect changes to the index.

Ten largest holdings (%) as of February 29, 20207
Japan, 0.10%, 6-20-2021	16.02
United Kingdom Gilt, 0.75%, 7-22-2023	7.77
Italy Buoni Poliennali del Tesoro, 3.85%, 9-1-2049	4.38
France Government Bond, 1.25%, 5-25-2036	4.29
Republic of Austria, 0.50%, 2-20-2029	4.08
Japan Government 5 Year Bond Series 136, 0.10%, 6-20-2023	4.04
Spain Government Bond, 1.40%, 7-30-2028	3.95
Belgium Government Bond Series 71, 3.75%, 6-22-2045	3.90
Finland Government Bond, 0.01%, 9-15-2023	3.87
Netherlands Government Bond, 0.25%, 7-15-2029	3.84

Country allocation as of February 29, 2020⁸

Please see footnotes on page 11.

Wells Fargo Funds  |  13

Performance highlights (unaudited)

Wells Fargo U.S. Core Bond Fund¹

Investment objective

The Fund seeks to replicate the total return of the Wells Fargo U.S. Core Bond Index, before fees and expenses.

Manager

Wells Fargo Funds Management, LLC

Subadviser

Wells Capital Management Incorporated

Portfolio managers

Mark Clegg, CFA^®‡

Christopher Y. Kauffman, CFA^®‡

Janet S. Rilling, CFA^®‡, CPA

Michael J. Schueller, CFA^®‡

Michael Stanczyk

Noah M. Wise, CFA^®‡

Average annual total returns (%) as of February 29, 2020

				Since			Expense ratios2 (%)
	Inception date	1 year		inception			Gross		Net3
Wells Fargo U.S. Core Bond Fund (WUSBX)	8-3-2017		11.80		4.94			11.25		0.00
Wells Fargo U.S. Core Bond Index4	–		11.65		4.94	*		–		–
Bloomberg Barclays U.S. Aggregate Bond Index5	–		11.68		4.98	*		–		–

* Based on the inception date of the Fund.

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on an investment in a fund. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted, which assumes the reinvestment of dividends and capital gains.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

Shares are sold without a front-end sales charge or contingent deferred sales charge.

Bond values fluctuate in response to the financial condition of individual issuers, general market and economic conditions, and changes in interest rates. Changes in market conditions and government policies may lead to periods of heightened volatility in the bond market and reduced liquidity for certain bonds held by the Fund. In general, when interest rates rise, bond values fall and investors may lose principal value. Interest rate changes and their impact on the Fund and its share price can be sudden and unpredictable. The use of derivatives may reduce returns and/or increase volatility. The Fund is exposed to focused portfolio risk, index tracking risk, and mortgage- and asset-backed securities risk. Consult the Fund’s prospectus for additional information on these and other risks.

Please see footnotes on page 15.

14  |  Wells Fargo Funds

Performance highlights (unaudited)

Wells Fargo U.S. Core Bond Fund (continued)

Growth of $10,000 investment as of February 29, 2020⁶

^‡ CFA^® and Chartered Financial Analyst^® are trademarks owned by CFA Institute.

¹  The Fund is a fund-of-funds that invests substantially all of its assets in two affiliated master portfolios of the Wells Fargo Master Trust in varying proportions. References to the investment activities of the Fund are intended to refer to the investment activities of the affiliated master portfolios in which it invests.

²  Reflects the expense ratios as stated in the most recent prospectus, which include the impact of 0.09% of acquired fund fees and expenses representing the net expenses from affiliated master portfolios. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

³  The manager has contractually committed through June 30, 2020, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.00%. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses from unaffiliated funds in which the affiliated master portfolios invest and extraordinary expenses are excluded from the expense cap. All other acquired fund fees and expenses from the affiliated master portfolios are included in the expense cap. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Without this cap, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectus.

⁴  The Wells Fargo U.S. Core Bond Index is a rules-based index designed to track the performance of fixed-rate, taxable, U.S. dollar denominated bonds, with an investment grade rating or classified as investment grade. The corporate bond component of the index is constructed to provide increased diversification and liquidity versus traditional passive corporate credit indexes. You cannot invest directly in an index.

⁵  The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S.-dollar denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index.

⁶  The chart compares the performance of the Fund since inception with the Wells Fargo U.S. Core Bond Index and the Bloomberg Barclays U.S. Aggregate Bond Index. The chart assumes a hypothetical investment of $10,000 in the Fund and reflects all operating expenses of the Fund.

⁷  The holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁸  The credit quality distribution of portfolio holdings reflected in the chart is based on ratings from Standard & Poor’s, Moody’s Investors Service, and/or Fitch Ratings Ltd. Credit quality ratings apply to the underlying holdings of the affiliated master portfolios and not to the Fund itself. The percentages of the Fund’s portfolio with the ratings depicted in the chart are calculated based on the total market value of fixed income securities held by the affiliated master portfolios. If a security was rated by all three rating agencies, the middle rating was utilized. If rated by two of three rating agencies, the lower rating was utilized, and if rated by one of the rating agencies, that rating was utilized. Standard & Poor’s rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Ratings from A to CCC may be modified by the addition of a plus (+) or minus (-) sign to show relative standing within the rating categories. Standard & Poor’s rates the creditworthiness of short-term notes from SP-1 (highest) to SP-3 (lowest). Moody’s rates the creditworthiness of bonds, ranging from Aaa (highest) to C (lowest). Ratings Aa to B may be modified by the addition of a number 1 (highest) to 3 (lowest) to show relative standing within the ratings categories. Moody’s rates the creditworthiness of short-term U.S. tax-exempt municipal securities from MIG 1/VMIG 1 (highest) to SG (lowest). Fitch rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Credit quality distribution is subject to change and may have changed since the date specified.

Wells Fargo Funds  |  15

Performance highlights (unaudited)

Wells Fargo U.S. Core Bond Fund (continued)

MANAGER’S DISCUSSION

Fund highlights

∎ The Fund outperformed its benchmark, the Wells Fargo U.S. Core Bond Index, as well as the Bloomberg Barclays U.S. Aggregate Bond Index for the 12-month period that ended February 29, 2020.

∎ Absolute returns were positive for the period for the Fund and the index, with corporate bonds outperforming the non-corporate sectors.

∎ The long end of the yield curve performed best as rates fell across the curve during the period.

∎ Within the corporate sector, utilities outperformed financials and industrials, and lower-quality bonds outperformed. Within the securitized sector, commercial mortgage-backed securities (CMBS) outperformed mortgage pass-throughs and asset-backed securities (ABS).

Market commentary

Market participants were fixated on trade wars between the U.S. and other countries, particularly China, which drove sentiment throughout the period. Broad-based U.S. equity markets hit all-time highs during the period, while interest rates were materially lower across the curve. The first half of the period was characterized by volatile markets and falling rates, leading to an inverted yield curve, which sparked concerns from market participants. During the second half of the period, the U.S. Federal Open Market Committee (FOMC) lowered the federal funds target rate three times, with the range ending the period at 1.50% to 1.75%. Overnight funding issues in September also led the FOMC to put in additional liquidity measures by purchasing Treasury bills and easing liquidity for market participants.

Lastly, as the period ended, the world began to interpret how the spreading of the novel coronavirus (COVID-19) would affect economies around the globe. While the U.S. administration said it was working closely with the Chinese government to assist and understand the impacts, Federal Reserve Chairman Jerome Powell said it would take time to assess the impact of the COVID-19 outbreak on the U.S. economy.

While the U.S. Treasury curve steepened, the decline in rates dominated news. Yields on 30-year U.S. Treasuries moved from 3.09% to 1.65% during the period. Similarly, the 10-year U.S. Treasury yield fell 1.60%, ending at 1.13%, while the short end was also lower. The difference between the 2-year and 30-year U.S. Treasury yield ended the period at 79 basis points (bps; 100 bps equal 1.00%) from 57 bps to start the period, while the difference between the 10-year and 30-year U.S. Treasury yield ended the fiscal year at 52 bps from 36 bps at the outset of the period. Lower rates across the curve resulted in higher absolute returns in the long end of the curve, where duration impacts dominated price movements.

U.S. Treasuries and government-related local authorities outperformed other government-related sectors. Within corporates, BBB-rated issues tended to outperform. Utilities outperformed financials and industrials, and lower quality outperformed. Within the securitized sector, CMBS outpaced mortgage pass-throughs and ABS.

Investment approach

The investment objective of the Fund seeks to replicate but not precisely duplicate the total return of the Wells Fargo U.S. Core Bond Index before fees and expenses through a sample replication process. The index is a rules-based index designed to track the performance of fixed-rate, taxable, U.S.-dollar-denominated bonds with an investment-grade rating or classified as investment grade. The corporate bond component of the index is constructed to provide increased diversification and liquidity versus traditional passive corporate credit indices.

One cannot invest directly in the index, and the timing of cash flows and other practical issues may alter the Fund’s tracking error, which is a measure of how closely a portfolio tracks the index to which it is benchmarked.

The Fund invests substantially all of its assets in two underlying portfolios: the Wells Fargo Bloomberg Barclays U.S. Aggregate ex-Corporate Portfolio and the Wells Fargo Investment Grade Corporate Bond Portfolio. The Fund’s allocation to the two underlying portfolios will mirror the percentage weighting of the noncorporate and corporate sectors of the index and, in combination, the Fund will attempt to track the performance, liquidity, and diversification characteristics of the index.

16  |  Wells Fargo Funds

Performance highlights (unaudited)

Wells Fargo U.S. Core Bond Fund (continued)

Rather than purchase every security in the indices that they seek to track, the underlying portfolios use an optimization process that seeks to balance the replication of the indices’ performance with the minimization of security transaction costs. Using a stratified sampling technique, securities are selected and purchased in an effort to construct a portfolio that exhibits risk factors and other characteristics of the indices and seeks to match the performance of the indices without incurring the level of transaction costs that would be associated with purchasing every security in the indices.

Under normal circumstances, the Fund is expected to invest approximately the same percentage in each industry as the indices do. The components of an index may change over time, and the index may or may not be concentrated in an industry at any particular time. We continually monitor the performance and composition of the indices and adjust the Fund’s portfolio as necessary to reflect any changes to the indices.

Holdings (%) as of February 29, 20207
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	75.05
Wells Fargo Investment Grade Corporate Bond Portfolio	24.95

Credit quality as of February 29, 2020⁸

Please see footnotes on page 15.

Wells Fargo Funds  |  17

Fund expenses (unaudited)

As a shareholder of the Fund, you incur ongoing costs, including other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the six-month period and held for the entire period from September 1, 2019 to February 29, 2020.

Actual expenses

The “Actual” line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the “Actual” line under the heading entitled “Expenses paid during period” for your applicable class of shares to estimate the expenses you paid on your account during this period.

Hypothetical example for comparison purposes

The “Hypothetical” line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only. Therefore, the “Hypothetical” line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds.

	Beginning account  value 9-1-2019		Ending account value 2-29-2020		Expenses paid during the period¹		Annualized net expense ratio2
Emerging Markets Bond Fund
Actual	$	1,000.00	$	1,019.38	$	0.00		0.00	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,024.86	$	0.00		0.00	%
High Yield Corporate Bond Fund
Actual	$	1,000.00	$	1,002.51	$	0.00		0.00	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,024.86	$	0.00		0.00	%
International Government Bond Fund
Actual	$	1,000.00	$	990.53	$	0.00		0.00	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,024.86	$	0.00		0.00	%
U.S. Core Bond Fund
Actual	$	1,000.00	$	1,033.70	$	0.00		0.00	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,024.86	$	0.00		0.00	%

¹ Expenses paid is equal to the annualized net expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one-half-year period).

²  Amounts reflect net expenses allocated from the affiliated Master Portfolio(s) in which the Fund invests.

18  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

EMERGING MARKETS BOND FUND

	Value
Investment Companies: 99.35%
Affiliated Master Portfolio: 99.35%
Wells Fargo Emerging Markets Bond Portfolio	$	1,020,427
Total Investment Companies (Cost $1,024,257)		1,020,427

Total investments in securities (Cost $1,024,257)	99.35	%		1,020,427
Other assets and liabilities, net	0.65			6,655
Total net assets	100.00	%	$	1,027,082

Transactions with the affiliated Master Portfolio were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolio		Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio			Interest allocated from affiliated Master Portfolio		Affiliated income allocated from affiliated Master Portfolio		Value, end of period		% of net assets
Affiliated Master Portfolio
Wells Fargo Emerging Markets Bond Portfolio		2.37	%		2.40	%	$	66,045	$	(32,119	)	$	57,183	$	183	$	1,020,427		99.35	%

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  19

Portfolio of investments—February 29, 2020

HIGH YIELD CORPORATE BOND FUND

	Value
Investment Companies: 99.92%
Affiliated Master Portfolio: 99.92%
Wells Fargo High Yield Corporate Bond Portfolio	$	984,733
Total Investment Companies (Cost $1,013,311)		984,733

Total investments in securities (Cost $1,013,311)	99.92	%		984,733
Other assets and liabilities, net	0.08			825
Total net assets	100.00	%	$	985,558

Transactions with the affiliated Master Portfolio were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolio		Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio			Interest allocated from affiliated Master Portfolio		Income from affiliated securities allocated from affiliated Master Portfolio		Value, end of period		% of net assets
Affiliated Master Portfolio
Wells Fargo High Yield Corporate Bond Portfolio		1.15	%		1.82	%	$	8,279	$	(21,009	)	$	54,136	$	272	$	984,733		99.92	%

The accompanying notes are an integral part of these financial statements.

20  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

INTERNATIONAL GOVERNMENT BOND FUND

	Value
Investment Companies: 98.47%
Affiliated Master Portfolio: 98.47%
Wells Fargo International Government Bond Portfolio	$	1,013,582
Total Investment Companies (Cost $991,627)		1,013,582

Total investments in securities (Cost $991,627)	98.47	%		1,013,582
Other assets and liabilities, net	1.53			15,783
Total net assets	100.00	%	$	1,029,365

Transactions with the affiliated Master Portfolio were as follows:    

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolio		Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio			Interest allocated from affiliated Master Portfolio		Income from affiliated securities allocated from affiliated Master Portfolio		Value, end of period		% of net assets
Affiliated Master Portfolio
Wells Fargo International Government Bond Portfolio		9.43	%		9.04	%	$	59,409	$	(7,629	)	$	11,325	$	198	$	1,013,582		98.47	%

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  21

Portfolio of investments—February 29, 2020

U.S. CORE BOND FUND

	Value
Investment Companies: 100.02%
Affiliated Master Portfolios: 100.02%
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio	$	818,034
Wells Fargo Investment Grade Corporate Bond Portfolio		272,214
Total Investment Companies (Cost $1,012,884)		1,090,248

Total investments in securities (Cost $1,012,884)	100.02	%		1,090,248
Other assets and liabilities, net	(0.02	)		(208	)
Total net assets	100.00	%	$	1,090,040

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios		Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios		Interest allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		0.12	%		0.12	%	$	5,026	$	54,580	$	18,747	$	231	$	818,034
Wells Fargo Investment Grade Corporate Bond Portfolio		0.10	%		0.10	%		4,689		24,276		9,629		28		272,214
							$	9,715	$	78,856	$	28,376	$	259	$	1,090,248		100.02	%

The accompanying notes are an integral part of these financial statements.

22  |  Wells Fargo Funds

Statements of assets and liabilities—February 29, 2020

	Emerging Markets Bond Fund		High Yield Corporate Bond Fund			International Government Bond Fund		U.S. Core Bond Fund
Assets
Investments in affiliated Master Portfolio(s), at value (see cost below)	$	1,020,427	$	984,733		$	1,013,582	$	1,090,248
Cash		1,155		0			9,887		0
Receivable from manager		13,136		13,085			14,513		13,796
Prepaid expenses and other assets		1,577		1,578			5,191		2,055
Total assets		1,036,295		999,396			1,043,173		1,106,099
Liabilities
Overdraft due to custodian bank		0		205			0		4,674
Dividends payable		0		4,618			0		2,171
Professional fees payable		6,183		5,983			10,506		6,183
Trustees’ fees and expenses payable		2,761		2,761			3,034		2,761
Accrued expenses and other liabilities		269		271			268		270
Total liabilities		9,213		13,838			13,808		16,059
Total net assets	$	1,027,082	$	985,558		$	1,029,365	$	1,090,040
Net assets consist of
Paid-in capital	$	1,009,999	$	1,009,986		$	991,116	$	1,010,256
Total distributable earnings (loss)		17,083		(24,428	)		38,249		79,784
Total net assets	$	1,027,082	$	985,558		$	1,029,365	$	1,090,040
Computation of net asset value
Net assets	$	1,027,082	$	985,558		$	1,029,365	$	1,090,040
Shares outstanding1		107,610		106,042			102,112		105,058
Net asset value per share		$9.54		$9.29			$10.08		$10.38
Investments in affiliated Master Portfolio(s), at cost	$	1,024,257	$	1,013,311		$	991,627	$	1,012,884

¹  Each Fund has an unlimited number of authorized shares.

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  23

Statements of operations—year ended February 29, 2020

	Emerging Markets Bond Fund			High Yield Corporate Bond Fund			International Government Bond Fund			U.S. Core Bond Fund
Investment income
Interest allocated from affiliated Master Portfolio(s)*	$	57,183		$	54,136		$	11,325		$	28,376
Affiliated income allocated from affiliated Master Portfolio(s)		183			272			198			259
Expenses allocated from affiliated Master Portfolio(s)		(5,556	)		(4,315	)		(11,286	)		(860	)
Waivers allocated from affiliated Master Portfolio(s)		1,759			1,343			0			178
Total investment income		53,569			51,436			237			27,953
Expenses
Custody and accounting fees		1,532			1,532			1,774			1,532
Professional fees		29,255			29,255			29,255			29,255
Registration fees		146			146			146			146
Shareholder report expenses		11,734			11,734			11,926			12,635
Trustees’ fees and expenses		20,625			20,625			20,625			20,625
Other fees and expenses		6,333			6,333			6,333			6,333
Total expenses		69,625			69,625			70,059			70,526
Less: Fee waivers and/or expense reimbursements		(75,181	)		(73,940	)		(81,345	)		(71,386	)
Net expenses		(5,556	)		(4,315	)		(11,286	)		(860	)
Net investment income		59,125			55,751			11,523			28,813
Realized and unrealized gains (losses) on investments
Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolio(s)		66,045			8,279			59,409			9,715
Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio(s)		(32,119	)		(21,009	)		(7,629	)		78,856
Net realized and unrealized gains (losses) on investments		33,926			(12,730	)		51,780			88,571
Net increase in net assets resulting from operations	$	93,051		$	43,021		$	63,303		$	117,384
* Net of foreign interest withholding taxes allocated from affiliated Master Portfolio(s) in the amount of		$0			$6			$481			$0

The accompanying notes are an integral part of these financial statements.

24  |  Wells Fargo Funds

Statements of changes in net assets

	Emerging Markets Bond Fund
	Year ended February 29, 2020					Year ended February 28, 2019
Operations
Net investment income			$	59,125				$	28,281
Net realized gains (losses) on investments				66,045					(1,056	)
Net change in unrealized gains (losses) on investments				(32,119	)				28,494
Net increase in net assets resulting from operations				93,051					55,719
Distributions to shareholders from net investment income and net realized gains				(112,453	)				(19,031	)
Capital share transactions		Shares					Shares
Proceeds from shares sold		0		0			106,610		1,000,000
Net increase in net assets resulting from capital share transactions				0					1,000,000
Total increase (decrease) in net assets				(19,402	)				1,036,688
Net assets
Beginning of period				1,046,484					9,796
End of period			$	1,027,082				$	1,046,484

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  25

Statements of changes in net assets

	High Yield Corporate Bond Fund
	Year ended February 29, 2020					Year ended February 28, 2019
Operations
Net investment income			$	55,751				$	35,224
Net realized gains (losses) on investments				8,279					(7,401	)
Net change in unrealized gains (losses) on investments				(21,009	)				(7,366	)
Net increase in net assets resulting from operations				43,021					20,457
Distributions to shareholders from net investment income and net realized gains				(59,897	)				(27,681	)
Capital share transactions		Shares					Shares
Proceeds from shares sold		0		0			105,042		1,000,000
Net increase in net assets resulting from capital share transactions				0					1,000,000
Total increase (decrease) in net assets				(16,876	)				992,776
Net assets
Beginning of period				1,002,434					9,658
End of period			$	985,558				$	1,002,434

The accompanying notes are an integral part of these financial statements.

26  |  Wells Fargo Funds

Statements of changes in net assets

	International Government Bond Fund
	Year ended February 29, 2020					Year ended February 28, 2019
Operations
Net investment income			$	11,523				$	7,498
Net realized gains (losses) on investments				59,409					(32,227	)
Net change in unrealized gains (losses) on investments				(7,629	)				29,170
Net increase in net assets resulting from operations				63,303					4,441
Distributions to shareholders from
Net investment income and net realized gains				(48,682	)				(8	)
Tax basis return of capital				0					(95	)
Total distributions to shareholders				(48,682	)				(103	)
Capital share transactions		Shares					Shares
Proceeds from shares sold		0		0			101,112		1,000,000
Net increase in net assets resulting from capital share transactions				0					1,000,000
Total increase in net assets				14,621					1,004,338
Net assets
Beginning of period				1,014,744					10,406
End of period			$	1,029,365				$	1,014,744

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  27

Statements of changes in net assets

	U.S. Core Bond Fund
	Year ended February 29, 2020					Year ended February 28, 2019
Operations
Net investment income			$	28,813				$	14,748
Net realized gains on investments				9,715					6,265
Net change in unrealized gains (losses) on investments				78,856					(1,205	)
Net increase in net assets resulting from operations				117,384					19,808
Distributions to shareholders from net investment income and net realized gains				(42,182	)				(14,606	)
Capital share transactions		Shares					Shares
Proceeds from shares sold		0		0			104,058		1,000,000
Net increase in net assets resulting from capital share transactions				0					1,000,000
Total increase in net assets				75,202					1,005,202
Net assets
Beginning of period				1,014,838					9,636
End of period			$	1,090,040				$	1,014,838

The accompanying notes are an integral part of these financial statements.

28  |  Wells Fargo Funds

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Financial highlights

	Beginning net asset value per share		Net investment income		Net realized and unrealized gains (losses) on investments			Distributions from net investment income
											Distributions from net realized gains			Tax basis return of capital
Emerging Markets Bond Fund
Year ended February 29, 2020	$	9.72		0.54		0.32			(0.54	)		(0.50	)		0.00
Year ended February 28, 2019	$	9.80		0.39		(0.11	)		(0.36	)		0.00			0.00
Year ended February 28, 20185	$	10.00		0.26		(0.23	)		(0.23	)		0.00			0.00
High Yield Corporate Bond Fund
Year ended February 29, 2020	$	9.45		0.52		(0.12	)		(0.56	)		(0.00	)6		0.00
Year ended February 28, 2019	$	9.66		0.54		(0.18	)		(0.57	)		0.00			0.00
Year ended February 28, 20185	$	10.00		0.33		(0.28	)		(0.38	)		0.00			(0.01	)
International Government Bond Fund
Year ended February 29, 2020	$	9.94		0.12		0.50			(0.13	)		(0.35	)		0.00
Year ended February 28, 2019	$	10.41		0.18		(0.55	)		(0.09	)		0.00			(0.01	)
Year ended February 28, 20187	$	10.00		0.05		0.40			(0.04	)		0.00			0.00
U.S. Core Bond Fund
Year ended February 29, 2020	$	9.66		0.28		0.84			(0.27	)		(0.13	)		0.00
Year ended February 28, 2019	$	9.64		0.27		0.02			(0.27	)		0.00			0.00
Year ended February 28, 20185	$	10.00		0.14		(0.31	)		(0.17	)		0.00			(0.02	)

¹  Ratios include net expenses allocated from the affiliated Master Portfolio(s), which were waived by the manager. These amounts were as follows:

	Year ended February 29, 2020			Year ended February 28
				2019			2018
Emerging Markets Bond Fund		0.52	%		0.49	%		0.39	%5
High Yield Corporate Bond Fund		0.43			0.36			0.33	5
International Government Bond Fund		1.07			0.70			1.76	7
U.S. Core Bond Fund		0.08			0.09			0.06	5

²  The Funds incurred expenses typical of funds with similar structures and strategies. Since the Funds were not open to public investment during the period since each Fund’s commencement of operations and the only investment has been the initial seed capital investment, the gross expenses are higher than the typical operation of the Funds. These expenses were waived by the manager.

³  Returns for periods of less than one year are not annualized.

⁴  Portfolio turnover rate is calculated by aggregating the results of multiplying the Fund’s investment percentage in the respective affiliated Master Portfolio(s) by the corresponding affiliated Master Portfolio’s portfolio turnover rate.

⁵  For the period from August 3, 2017 (commencement of operations) to February 28, 2018

⁶  Amount is less than $0.005.

⁷ For the period from October 31, 2017 (commencement of operations) to February 28, 2018

The accompanying notes are an integral part of these financial statements.

30  |  Wells Fargo Funds

Financial highlights

Ending net asset value per share		Ratio to average net assets (annualized)									Total Return3			Portfolio turnover rate4			Net assets at end of period (000s omitted)
		Net investment income1			Gross expenses1,2			Net expenses1
$	9.54		5.52	%		7.02	%		0.00	%		9.10	%		36	%	$	1,027
$	9.72		5.46	%		11.56	%		0.00	%		3.13	%		38	%	$	1,046
$	9.80		4.55	%		752.83	%		0.00	%		0.29	%		18	%	$	10
$	9.29		5.50	%		7.29	%		0.00	%		4.29	%		52	%	$	986
$	9.45		7.11	%		11.68	%		0.00	%		3.92	%		47	%	$	1,002
$	9.66		5.73	%		761.12	%		0.00	%		0.52	%		51	%	$	10
$	10.08		1.09	%		7.73	%		0.00	%		6.22	%		291	%	$	1,029
$	9.94		1.49	%		11.96	%		0.00	%		(3.53	%)		276	%	$	1,015
$	10.41		1.62	%		1,007.15	%		0.00	%		4.46	%		127	%	$	10
$	10.38		2.72	%		6.74	%		0.00	%		11.80	%		39	%	$	1,090
$	9.66		2.92	%		11.25	%		0.00	%		3.06	%		60	%	$	1,015
$	9.64		2.43	%		762.71	%		0.00	%		(1.74	)%		62	%	$	10

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  31

Notes to financial statements

1. ORGANIZATION

Wells Fargo Funds Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As an investment company, the Trust follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statements report on the following funds: Wells Fargo Emerging Markets Bond Fund (“Emerging Markets Bond Fund”), Wells Fargo High Yield Corporate Bond Fund (“High Yield Corporate Bond Fund”), Wells Fargo International Government Bond Fund (“International Government Bond Fund”) and Wells Fargo U.S. Core Bond Fund (“U.S. Core Bond Fund”) (each, a “Fund”, collectively, the “Funds”). Each Fund, except for International Government Bond Fund, is a diversified series of the Trust. International Government Bond Fund is a non-diversified series of the Trust.

Each Fund seeks to achieve its investment objective by investing all investable assets in separate diversified portfolios (collectively, the “affiliated Master Portfolios”) of Wells Fargo Master Trust, a registered open-end management investment company. Each Fund, except U.S. Core Bond Fund, is a feeder fund in a master-feeder structure that invests substantially all of its assets in a single affiliated master portfolio with a substantially identical investment objective and substantially similar investment strategies. U. S. Core Bond Fund is a fund-of-funds that invests substantially all of its assets in two affiliated Master Portfolios. Each affiliated Master Portfolio directly acquires portfolio securities, and a Fund investing in an affiliated Master Portfolio acquires an indirect interest in those securities. Each Fund accounts for its investment in the affiliated Master Portfolios as a partnership investment and records on a daily basis its share of each affiliated Master Portfolio’s income, expense and realized and unrealized gains and losses. The financial statements of the affiliated Master Portfolios for the year ended February 29, 2020 are included in this report and should be read in conjunction with each Fund’s financial statements. As of February 29, 2020, each Fund in a master-feeder structure owns the following percentages of the respective affiliated Master Portfolio:

	Emerging Markets Bond Fund			High Yield Corporate Bond Fund			International Government Bond Fund
Wells Fargo Emerging Markets Bond Portfolio		2.40	%		N/A			N/A
Wells Fargo High Yield Corporate Bond Portfolio		N/A			1.82	%		N/A
Wells Fargo International Government Bond Portfolio		N/A			N/A			9.04	%

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of each Fund, are in conformity with U.S. generally accepted accounting principles which require management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

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 Funds may deviate from this calculation time under unusual or unexpected circumstances.

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

Investment transactions, income and expenses

Investments in affiliated Master Portfolios are recorded on a trade date basis.

Each Fund records daily its proportionate share of each affiliated Master Portfolio’s income, expenses and realized and unrealized gains or losses. Each Fund also accrues its own expenses.

Distributions to shareholders

Distributions to shareholders from net investment income and any net realized gains are recorded on the ex-dividend date for each Fund as follows:

	Net investment income	Net realized gains
Emerging Markets Bond Fund	Semi-annually	Annually
High Yield Corporate Bond Fund	Monthly	Annually
International Government Bond Fund	Semi-annually	Annually
U.S. Core Bond Fund	Monthly	Annually

32  |  Wells Fargo Funds

Notes to financial statements

Federal and other taxes

Each Fund is treated as a separate entity for federal income tax purposes. Each Fund intends to continue to qualify as a regulated investment company by distributing substantially all of its investment company taxable income and any net realized capital gains (after reduction for capital loss carryforwards) sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provision for federal income taxes was required.

Each Fund’s income and federal excise tax returns and all financial records supporting those returns for the prior three fiscal years are subject to examination by the federal and Delaware revenue authorities. Management has analyzed each Fund’s tax positions taken on federal, state, and foreign tax returns for all open tax years and does not believe that there are any uncertain tax positions that require recognition of a tax liability.

As of February 29, 2020, the aggregate cost of all investments for federal income tax purposes and the unrealized gains (losses) were as follows:

	Tax cost		Gross unrealized gains		Gross unrealized losses			Net unrealized gains (losses)
Emerging Markets Bond Fund	$	1,024,190	$	0	$	(3,763	)	$	(3,763	)
High Yield Corporate Bond Fund		1,008,905		0		(24,172	)		(24,172	)
International Government Bond Fund		991,712		21,870		0			21,870
U.S. Core Bond Fund		1,012,802		77,446		0			77,446

Reclassifications are made to each Fund’s capital accounts for permanent tax differences to reflect income and gains available for distribution (or available capital loss carryforwards) under federal income tax regulations. U.S. generally accepted accounting principles require that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. At February 29, 2020, as a result of permanent book-to-tax differences, the following reclassification adjustments were made on the Statements of Assets and Liabilities:

	Paid-in capital		Total distributable earnings (loss)
International Government Bond Fund	$	1,050	$	(1,050	)
U.S. Core Bond Fund		176		(176	)

As of February 29, 2020, the High Yield Corporate Bond Fund had current year net deferred post-October capital losses consisting of $256 in long-term losses which will be recognized on the first day of the following fiscal year.

At February 29, 2020, the International Government Bond Fund had a qualified late-year ordinary loss of $6,095 which will be recognized on the first day of the following fiscal year.

3. FAIR VALUATION MEASUREMENTS

At February 29, 2020, 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 aggregate fair value of affiliated Master Portfolios held in each Fund was as follows:

	Aggregate fair value of affiliated Master  Portfolio(s)
Emerging Markets Bond Fund	$	1,020,427
High Yield Corporate Bond Fund		984,733
International Government Bond Fund		1,013,582
U.S. Core Bond Fund		1,090,248

Wells Fargo Funds  |  33

Notes to financial statements

Each Fund’s ownership in each affiliated Master Portfolio is disclosed in the table following the Portfolio of Investments. The leveling of inputs for fair value measurements of each affiliated Master Portfolio are disclosed in the financial statements of the affiliated Master Portfolios.

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 Dividend 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 International Government Bond Portfolio	Seeks to replicate the total return of the Wells Fargo International Government 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

Each affiliated Master Portfolio does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.

4. TRANSACTIONS WITH AFFILIATES

Management fee

Wells Fargo Funds Management, LLC (“Funds Management”), an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”), is the manager of each Fund and provides advisory and administrative services under an investment management agreement. Under the investment management agreement, Funds Management is responsible for, among other services, implementing the investment objectives and strategies of each Fund, supervising the subadviser (for U.S. Core Bond Fund) and providing administrative services in connection with each Fund’s operations. Funds Management does not receive an investment management or administration fee from each Fund. However, Funds Management also serves as the adviser to each affiliated Master Portfolio and is entitled to receive a fee from each affiliated Master Portfolio for those services.

Funds Management has retained the services of a subadviser to provide daily portfolio management to U.S. Core Bond Fund. Funds Management has engaged Wells Capital Management Incorporated (“WellsCap”), an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo, as subadviser. WellsCap does not receive an annual fee for its services.

Waivers and/or expense reimbursements

Funds Management has committed through June 30, 2020 to waive fees and/or reimburse expenses to the extent necessary to cap each Fund’s expenses at 0.00%. Net expenses from affiliated Master Portfolios are included in the expense caps. Prior to or after the commitment expiration date, each expense cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees.

5. INVESTMENT PORTFOLIO TRANSACTIONS

The Funds seek to achieve their investment objectives by investing substantially all of their investable assets in affiliated Master Portfolio(s). Purchases and sales related to these investments have been calculated by aggregating the results of multiplying each Fund’s ownership percentage in the respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales.

34  |  Wells Fargo Funds

Notes to financial statements

Purchases and sales of investments, excluding short-term securities, for the year ended February 29, 2020 were as follows:

	Purchases at cost				Sales proceeds
	U.S. government		Non-U.S. government		U.S. government		Non-U.S. government
Emerging Markets Bond Fund	$	0	$	364,766	$	0	$	427,146
High Yield Corporate Bond Fund		0		577,897		0		1,147,422
International Government Bond Fund		0		2,887,396		0		2,893,086
U.S. Core Bond Fund		379,098		82,987		315,504		112,780

6. BANK BORROWINGS

The Trust (excluding the money market funds), Wells Fargo Master Trust and Wells Fargo Variable Trust are parties to a $280,000,000 revolving credit agreement whereby the Fund is permitted to use bank borrowings for temporary or emergency purposes, such as to fund shareholder redemption requests. Interest under the credit agreement is charged to the Fund based on a borrowing rate equal to the higher of the Federal Funds rate in effect on that day plus 1.25% or the overnight LIBOR rate in effect on that day plus 1.25%. In addition, an annual commitment fee equal to 0.25% of the unused balance is allocated to each participating fund.

For the year ended February 29, 2020, there were no borrowings by the Funds under the agreement.

7. DISTRIBUTIONS TO SHAREHOLDERS

The tax character of distributions paid during the years ended February 29, 2020, and February 28, 2019, were as follows:

	Ordinary income				Long-term capital gain				Tax basis return of capital
	2020		2019		2020		2019		2020		2019
Emerging Markets Bond Fund	$	112,453	$	19,031	$	0	$	0	$	0	$	0
High Yield Corporate Bond Fund		59,897		27,681		0		0		0		0
International Government Bond Fund		48,682		8		0		0		0		95
U.S. Core Bond Fund		38,396		14,606		3,786		0		0		0

As of February 29, 2020, the components of distributable earnings on a tax basis were as follows:

	Undistributed ordinary income		Undistributed long-term gain		Unrealized gains (losses)			Late-year ordinary losses deferred			Post-October capital  losses deferred
Emerging Markets Bond Fund	$	20,846	$	0	$	(3,763	)	$	0		$	0
High Yield Corporate Bond Fund		0		0		(24,172	)		0			(256	)
International Government Bond Fund		22,474		0		21,870			(6,095	)		0
U.S. Core Bond Fund		553		1,785		77,446			0			0

8. CONCENTRATION OF OWNERSHIP

At February 29, 2020, Wells Fargo owned 100% of each Fund. Investment and/or voting activities of Wells Fargo with respect to their holdings in each Fund could have a material impact on each Fund.

9. INDEMNIFICATION

Under the Trust’s organizational documents, the officers and Trustees have been granted certain indemnification rights against certain liabilities that may arise out of performance of their duties to the Trust. Additionally, in the normal course of business, the Trust may enter into contracts with service providers that contain a variety of indemnification clauses. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be estimated.

Wells Fargo Funds  |  35

Notes to financial statements

10. NEW ACCOUNTING PRONOUNCEMENT

In August 2018, FASB issued Accounting Standards Update (“ASU”) No. 2018-13, Fair Value Measurement (Topic 820) Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement. ASU 2018-13 updates the disclosure requirements for fair value measurements by modifying or removing certain disclosures and adding certain new disclosures. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Early adoption is permitted. Management has adopted the removal and modification of disclosures early, as permitted, and will adopt the additional new disclosures at the effective date.

11. SUBSEQUENT EVENT

On March 11, 2020, the World Health Organization announced that it had made the assessment that coronavirus disease 2019 (“COVID-19”) is a pandemic. The impacts of COVID-19 is adversely affecting the entire global economy, individual companies and investment products, and the market in general. There is significant uncertainty around the extent and duration of business disruptions related to COVID-19 and the impact may be short term or may last for an extended period of time. The risk of further spreading of COVID-19 has led to significant uncertainty and volatility in the financial markets and the value of the Funds and the securities in which the Funds invest have generally been adversely affected by impacts caused by COVID-19.

36  |  Wells Fargo Funds

Report of independent registered public accounting firm

To the Shareholders of the Funds and Board of Trustees

Wells Fargo Funds Trust:

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of Wells Fargo Emerging Markets Bond Fund, Wells Fargo High Yield Corporate Bond Fund, Wells Fargo International Government Bond Fund, and Wells Fargo U.S. Core Bond Fund (collectively, the Funds), four of the funds constituting Wells Fargo Funds Trust, including the portfolios of investments, as of February 29, 2020, the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years or periods in the period from August 3, 2017 (commencement of operations) to February 29, 2020, except for Wells Fargo International Government Bond Fund, which is for each of the years or periods in the period from October 31, 2017 (commencement of operations) to February 29, 2020. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of February 29, 2020, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the period from the commencement of operations to February 29, 2020, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of February 29, 2020, by correspondence with the transfer agent. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

We have not been able to determine the specific year that we began serving as the auditor of one or more Wells Fargo Funds investment companies; however we are aware that we have served as the auditor of one or more Wells Fargo Funds investment companies since at least 1955.

Boston, Massachusetts

April 28, 2020

Wells Fargo Funds  |  37

Portfolio of investments—February 29, 2020

BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Agency Securities: 37.85%
FFCB		1.61	%		5-5-2022	$	960,000	$	960,246
FFCB		1.84			9-9-2022		10,000		10,034
FFCB		1.85			3-3-2022		70,000		70,173
FFCB		1.90			6-24-2021		70,000		70,773
FFCB		2.54			4-5-2021		350,000		355,967
FHLB		1.13			7-14-2021		120,000		120,204
FHLB		1.75			3-12-2021		90,000		90,573
FHLB		2.13			6-9-2023		520,000		539,583
FHLB		2.13			9-14-2029		80,000		84,643
FHLB		2.38			9-8-2023		30,000		31,436
FHLB		2.50			3-11-2022		770,000		793,643
FHLB		2.75			12-13-2024		180,000		194,443
FHLB		3.00			10-12-2021		70,000		72,279
FHLB		3.00			3-10-2028		560,000		629,489
FHLB		3.38			9-8-2023		30,000		32,454
FHLB		3.38			12-8-2023		280,000		304,463
FHLB		5.63			6-11-2021		10,000		10,575
FHLB		5.63			3-14-2036		60,000		90,778
FHLMC		2.00			5-28-2024		1,110,000		1,112,070
FHLMC		2.38			1-13-2022		20,000		20,509
FHLMC		2.50			3-1-2032		5,387,955		5,556,441
FHLMC		2.50			2-1-2035		1,737,364		1,783,773
FHLMC		2.75			6-19-2023		1,020,000		1,079,522
FHLMC		3.00			2-1-2047		15,790,249		16,491,579
FHLMC		3.00			3-1-2048		172,118		178,850
FHLMC		3.50			2-1-2044		12,633,931		13,446,266
FHLMC		3.50			4-1-2045		518,569		553,932
FHLMC		3.50			8-1-2047		8,090,377		8,526,421
FHLMC		6.00			7-1-2040		2,237,907		2,625,582
FHLMC Series K015 Class A2		3.23			7-25-2021		57,296		58,385
FHLMC Series K028 Class A1		2.18			11-25-2022		101,207		102,058
FHLMC Series K029 Class A2		3.32			2-25-2023		545,000		573,375
FHLMC Series K030 Class A2 ±±		3.25			4-25-2023		305,000		320,892
FHLMC Series K032 Class A2 ±±		3.31			5-25-2023		50,000		53,023
FHLMC Series K034 Class A2 ±±		3.53			7-25-2023		60,000		64,184
FHLMC Series K035 Class A2 ±±		3.46			8-25-2023		55,000		58,706
FHLMC Series K048 Class A2 ±±		3.28			6-25-2025		215,000		234,426
FHLMC Series K062 Class A2		3.41			12-25-2026		750,000		836,376
FHLMC Series K063 Class A2 ±±		3.43			1-25-2027		45,000		50,190
FHLMC Series K070 Class A2 ±±		3.30			11-25-2027		425,000		472,764
FHLMC Series K152 Class A1		2.83			5-25-2030		318,707		344,395
FHLMC Series K152 Class A2		3.08			1-25-2031		125,000		139,676
FHLMC Series K153 Class A3 ±±		3.12			10-25-2031		70,000		78,907
FHLMC Series K155 Class A3		3.75			4-25-2033		40,000		47,654
FHLMC Series K717 Class A2		2.99			9-25-2021		661,932		674,032
FNMA		1.38			2-26-2021		120,000		120,247
FNMA		2.13			4-24-2026		910,000		962,588
FNMA		2.50			12-1-2027		665,467		685,950
FNMA		2.50			9-1-2031		2,283,779		2,356,384
FNMA		3.00			12-1-2026		2,832,693		2,938,358
FNMA		3.00			12-1-2030		477,193		499,296
FNMA		3.00			7-1-2032		3,534,284		3,674,399
FNMA		3.00			1-1-2034		558,895		579,043
FNMA		3.00			8-1-2036		223,421		232,857

The accompanying notes are an integral part of these financial statements.

38  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Agency Securities (continued)
FNMA		3.00	%		2-1-2037	$	3,985,564	$	4,154,191
FNMA		3.00			8-1-2043		2,647,584		2,769,689
FNMA		3.00			11-1-2046		2,688,293		2,811,779
FNMA		3.00			12-1-2047		2,086,774		2,163,723
FNMA		3.00			12-1-2049		6,123,266		6,310,629
FNMA		3.00			2-1-2050		4,651,115		4,796,615
FNMA %%		3.00			3-12-2050		4,040,000		4,160,727
FNMA		3.50			4-1-2034		4,030,256		4,221,772
FNMA		3.50			1-1-2035		177,847		187,830
FNMA		3.50			3-1-2036		2,306,040		2,421,793
FNMA		3.50			4-1-2037		1,131,182		1,191,274
FNMA		3.50			6-1-2042		511,329		544,040
FNMA		3.50			7-1-2042		1,009,834		1,075,535
FNMA		3.50			10-1-2042		4,431,374		4,713,359
FNMA		3.50			9-1-2043		1,990,345		2,116,020
FNMA		3.50			3-1-2048		978,292		1,027,470
FNMA		3.50			8-1-2049		5,089,263		5,283,263
FNMA		3.50			10-1-2049		5,685,878		5,910,608
FNMA		4.00			6-1-2042		907,749		983,128
FNMA		4.00			6-1-2042		9,501,462		10,291,134
FNMA		4.00			8-1-2043		6,235,190		6,759,969
FNMA		4.00			12-1-2047		4,188,879		4,468,114
FNMA		4.00			2-1-2048		6,206,001		6,897,573
FNMA		4.00			6-1-2048		1,411,411		1,497,689
FNMA		4.00			8-1-2048		925,495		979,197
FNMA %%		4.00			3-12-2050		2,055,000		2,164,726
FNMA		4.50			5-1-2040		389,332		429,399
FNMA		4.50			9-1-2040		9,162,283		10,079,232
FNMA		4.50			2-1-2047		2,844,116		3,100,769
FNMA		4.50			4-1-2048		2,247,517		2,436,010
FNMA		4.50			8-1-2048		91,798		98,371
FNMA		4.50			11-1-2048		4,368,502		4,673,903
FNMA		5.00			1-1-2042		322,351		362,191
FNMA		5.00			6-1-2045		1,245,962		1,399,994
FNMA		5.00			7-1-2045		4,188,506		4,706,461
FNMA		5.50			9-1-2040		2,368,708		2,726,762
FNMA		6.00			5-1-2041		125,485		146,841
FNMA		6.21			8-6-2038		60,000		101,144
FNMA		6.25			5-15-2029		100,000		142,490
FNMA		7.13			1-15-2030		810,000		1,237,759
FNMA		7.25			5-15-2030		80,000		124,282
FNMA Series 2012-M14 Class AI ±±		2.89			9-25-2027		165,625		178,796
FNMA Series 2016-M5 Class A2		2.47			4-25-2026		220,000		229,840
FNMA Series 2016-M7 Class A2		2.50			9-25-2026		175,000		184,116
FNMA Series 2017-M1 Class A2 ±±		2.42			10-25-2026		275,000		290,733
FNMA Series 2017-M11 Class A2		2.98			8-25-2029		1,370,000		1,519,165
FNMA Series 2017-M3 Class A2 ±±		2.48			12-25-2026		995,000		1,059,078
FNMA Series 2017-M5 Class A2 ±±		3.18			4-25-2029		70,000		78,243
FNMA Series 2018-M13 Class A2 ±±		3.70			9-25-2030		90,000		105,572
FNMA Series 2019-M7 Class A2		3.14			4-25-2029		225,000		251,872
GNMA		3.00			4-20-2045		7,001,167		7,321,074
GNMA		3.00			11-20-2045		521,879		544,661
GNMA		3.00			3-20-2046		4,900,423		5,113,200
GNMA		3.00			12-20-2049		2,687,924		2,779,001

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  39

Portfolio of investments—February 29, 2020

BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Agency Securities (continued)
GNMA		3.50	%		2-20-2045	$	13,293,937	$	14,003,543
GNMA		3.50			6-20-2045		2,138,119		2,252,630
GNMA		3.50			11-20-2045		2,491,327		2,624,762
GNMA		3.50			7-20-2047		685,621		718,755
GNMA		3.50			5-20-2048		201,149		209,792
GNMA		3.50			9-20-2049		3,442,817		3,571,068
GNMA		4.00			7-20-2044		2,375,488		2,546,431
GNMA		4.00			8-20-2044		1,170,755		1,255,091
GNMA		4.00			9-20-2044		2,378,878		2,550,280
GNMA		4.00			12-20-2047		4,281,752		4,530,734
GNMA		4.00			9-20-2049		3,281,661		3,426,451
TVA		2.88			2-1-2027		35,000		38,836
TVA		3.88			2-15-2021		360,000		369,243
TVA		4.63			9-15-2060		35,000		56,078
TVA		5.38			4-1-2056		10,000		17,632
TVA		5.50			6-15-2038		140,000		212,697
TVA		6.75			11-1-2025		120,000		157,014
Total Agency Securities (Cost $245,478,865)									251,858,709
Asset-Backed Securities: 0.60%
Bank of America Credit Card Trust Series 2018-A1 Class A1		2.70			7-17-2023		40,000		40,531
Capital One Multi Asset Execution Trust Series 2017-A3 Class A3		2.43			1-15-2025		110,000		112,712
CarMax Auto Owner Trust Series 2016-3 Class A4		1.60			1-18-2022		17,000		16,999
CarMax Auto Owner Trust Series 2017-2 Class A4		2.25			9-15-2022		195,000		196,654
CarMax Auto Owner Trust Series 2017-3 Class A4		2.22			11-15-2022		89,000		89,960
CarMax Auto Owner Trust Series 2018-3 Class D		3.91			1-15-2025		80,000		83,845
Chase Issuance Trust Series 2012-A7 Class A7		2.16			9-15-2024		205,000		209,971
Citibank Credit Card Issuance Trust Series 2014-A5 Class A5		2.68			6-7-2023		110,000		112,010
Citibank Credit Card Issuance Trust Series 2018-A3 Class A3		3.29			5-23-2025		180,000		192,068
Citibank Credit Card Issuance Trust Series 2018-A7 Class A7		3.96			10-13-2030		130,000		151,708
Discover Card Execution Note Trust Series 2017-A2 Class A2		2.39			7-15-2024		335,000		342,001
Ford Credit Floorplan Master Owner Trust Series 2017-3 Class A		2.48			9-15-2024		50,000		51,525
Ford Credit Floorplan Master Owner Trust Series 2018-2 Class A		3.17			3-15-2025		100,000		105,014
Ford Credit Floorplan Master Owner Trust Series 2018-3 Class A1		3.52			10-15-2023		105,000		108,950
Ford Credit Floorplan Master Owner Trust Series 2019-2 Class A		3.06			4-15-2026		65,000		68,773
Nissan Auto Receivables Owner Trust Series 2017-A Class A4		2.11			5-15-2023		15,000		15,094
Nissan Auto Receivables Owner Trust Series 2017-C Class A4		2.28			2-15-2024		95,000		96,117
Nissan Auto Receivables Owner Trust Series 2018-B Class A4		3.16			12-16-2024		195,000		202,958
Nissan Auto Receivables Owner Trust Series 2018-C Class A4		3.27			6-16-2025		155,000		162,640
Santander Drive Auto Receivables Trust Series 2019-1 Class C		3.42			4-15-2025		140,000		142,722
Synchrony Credit Card Master Note Trust Series 2016-2 Class A		2.21			5-15-2024		175,000		176,733
Synchrony Credit Card Master Note Trust Series 2018-2 Class A		3.47			5-15-2026		105,000		111,969
Toyota Auto Receivables Owner Trust Series 2017-D Class A4		2.12			2-15-2023		155,000		156,676
World Financial Network Credit Card Master Trust Series 2016-A Class A		2.03			4-15-2025		237,000		238,727
World Omni Auto Receivables Trust Series 2016-B Class A4		1.48			11-15-2022		192,000		192,140
World Omni Auto Receivables Trust Series 2017-A Class A4		2.24			6-15-2023		210,000		212,166
World Omni Auto Receivables Trust Series 2017-B Class A4		2.25			10-16-2023		205,000		208,638
World Omni Auto Receivables Trust Series 2018-D Class A4		3.44			12-16-2024		28,000		29,574
World Omni Auto Receivables Trust Series 2019-A Class A3		2.94			5-16-2022		185,000		188,804
Total Asset-Backed Securities (Cost $3,936,372)									4,017,679

The accompanying notes are an integral part of these financial statements.

40  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Municipal Obligations: 0.88%
California: 0.31%
Education Revenue: 0.07%
California Series B		3.90	%		11-1-2047	$	15,000	$	18,790
University of California Series AD		4.86			5-15-2112		70,000		107,083
University of California Series BD		3.35			7-1-2029		310,000		352,631
									478,504
GO Revenue: 0.12%
California Build America Bonds		5.70			11-1-2021		90,000		95,936
California Build America Bonds		7.55			4-1-2039		110,000		188,899
California Build America Bonds		7.60			11-1-2040		15,000		26,511
California Build America Bonds Taxable Various Purpose		7.50			4-1-2034		100,000		165,759
Los Angeles CA Community College District Build America Bonds		6.75			8-1-2049		5,000		9,072
Los Angeles CA Unified School District Build America Bonds		5.75			7-1-2034		15,000		20,534
Los Angeles CA Unified School District Build America Bonds		5.76			7-1-2029		60,000		77,194
Los Angeles CA Unified School District Build America Bonds		6.76			7-1-2034		160,000		235,294
									819,199
Transportation Revenue: 0.07%
Bay Area CA Toll Authority Series 1		6.26			4-1-2049		100,000		172,003
Bay Area CA Toll Authority Series 1		6.92			4-1-2040		15,000		23,741
Bay Area CA Toll Authority Series 1		7.04			4-1-2050		140,000		258,320
									454,064
Utilities Revenue: 0.05%
California Department of Water Resources Series P		2.00			5-1-2022		55,000		55,963
Los Angeles CA Department of Water & Power Build America Bonds Series A		5.72			7-1-2039		100,000		147,396
Los Angeles CA Department of Water & Power Build America Bonds Series D		6.57			7-1-2045		55,000		94,802
									298,161
									2,049,928
Florida: 0.02%
Miscellaneous Revenue: 0.02%
Florida Board of Administrative Finance Series A		2.64			7-1-2021		150,000		152,781
Georgia: 0.00%
Utilities Revenue: 0.00%
Municipal Electric Authority of Georgia Build America Bonds		7.06			4-1-2057		10,000		15,147
Illinois: 0.11%
GO Revenue: 0.05%
Chicago IL Series B		6.31			1-1-2044		50,000		65,737
Illinois Taxable Pension		5.10			6-1-2033		230,000		269,100
									334,837
Miscellaneous Revenue: 0.01%
Illinois Build America Bonds Series 3		6.73			4-1-2035		45,000		56,404

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  41

Portfolio of investments—February 29, 2020

BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Tax Revenue: 0.05%
Chicago IL Transit Authority Series B		6.90	%		12-1-2040	$	210,000	$	307,127
									698,368
Kansas: 0.00%
Miscellaneous Revenue: 0.00%
Kansas Development Finance Authority Series H		4.93			4-15-2045		5,000		6,970
Massachusetts: 0.03%
GO Revenue: 0.03%
Massachusetts Build America Bonds Series A		4.91			5-1-2029		130,000		163,755
Massachusetts Build America Bonds Series D		4.50			8-1-2031		5,000		6,287
									170,042
New Jersey: 0.04%
Miscellaneous Revenue: 0.02%
New Jersey EDA Series A (National Insured)		7.43			2-15-2029		95,000		124,043
Transportation Revenue: 0.02%
New Jersey Turnpike Authority Build America Bonds Series A		7.10			1-1-2041		70,000		118,231
									242,274
New York: 0.19%
Airport Revenue: 0.07%
Port Authority of New York & New Jersey Consolidated Bonds Series 174		4.46			10-1-2062		190,000		259,654
Port Authority of New York & New Jersey Consolidated Bonds Series 201		4.23			10-15-2057		100,000		137,940
Port Authority of New York & New Jersey Consolidated Bonds Series 210		4.03			9-1-2048		50,000		66,611
									464,205
Tax Revenue: 0.07%
New York Metropolitan Transportation Authority Dedicated Tax Fund Build America Bonds		7.34			11-15-2039		220,000		376,352
New York NY Transitional Finance Authority Build America Bonds Subseries C-2		5.77			8-1-2036		100,000		132,551
									508,903
Water & Sewer Revenue: 0.05%
New York NY Municipal Water Finance Authority Series AA		5.44			6-15-2043		10,000		15,614
New York NY Municipal Water Finance Authority Series CC		5.88			6-15-2044		190,000		296,981
									312,595
									1,285,703
Ohio: 0.04%
Education Revenue: 0.00%
Ohio State University Build America Bonds		4.91			6-1-2040		5,000		7,029
Utilities Revenue: 0.04%
American Municipal Power Ohio Incorporated Build America Bonds		5.94			2-15-2047		150,000		235,433
American Municipal Power Ohio Incorporated Build America Bonds Series E		6.27			2-15-2050		10,000		14,788
									250,221
									257,250

The accompanying notes are an integral part of these financial statements.

42  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Oregon: 0.03%
Tax Revenue: 0.03%
Oregon		5.76	%		6-1-2023	$	135,237	$	146,151
Oregon Department of Transportation Build America Bonds Series A		5.83			11-15-2034		50,000		72,163
									218,314
Pennsylvania: 0.00%
Transportation Revenue: 0.00%
Pennsylvania Turnpike Comission Series B		5.51			12-1-2045		5,000		7,720
Texas: 0.10%
Miscellaneous Revenue: 0.06%
Texas Build America Bonds		5.52			4-1-2039		290,000		437,169
Transportation Revenue: 0.01%
Texas Private Activity Bond North Tarrant Express Managed Lanes Project Series B		3.92			12-31-2049		50,000		57,781
Utilities Revenue: 0.03%
San Antonio TX		4.43			2-1-2042		140,000		177,939
									672,889
Wisconsin: 0.01%
Tax Revenue: 0.01%
Wisconsin General Fund Annual Appropriations Series C		3.15			5-1-2027		80,000		87,824
Total Municipal Obligations (Cost $5,112,061)									5,865,210
Non-Agency Mortgage-Backed Securities: 1.53%
Benchmark Mortgage Trust Series 2018-B1 Class A2		3.57			1-15-2051		480,000		504,196
Benchmark Mortgage Trust Series 2018-B1 Class A4		3.40			1-15-2051		25,000		27,641
Benchmark Mortgage Trust Series 2018-B6 Class A4		4.26			10-10-2051		135,000		158,394
CenterPoint Energy Transition Restoration Bond Company LLC		4.24			8-15-2023		75,620		78,323
CFCRE Commercial Mortgage Trust Series 2016-C7 Class A3		3.84			12-10-2054		20,000		22,361
Citigroup Commercial Mortgage Trust Series 2015-GC27 Class A5		3.14			2-10-2048		55,000		58,614
Citigroup Commercial Mortgage Trust Series 2016 GC37 Class B		4.23			4-10-2049		535,000		588,563
Citigroup Commercial Mortgage Trust Series 2016-GC36 Class A5		3.62			2-10-2049		680,000		750,062
Citigroup Commercial Mortgage Trust Series 2016-GC36 Class B ±±		4.76			2-10-2049		40,000		44,952
Citigroup Commercial Mortgage Trust Series 2016-GC36 Class C ±±		4.76			2-10-2049		95,000		103,913
Citigroup Commercial Mortgage Trust Series 2016-P4 Class A4		2.90			7-10-2049		135,000		143,999
Citigroup Commercial Mortgage Trust Series 2016-P5 Class A2		2.40			10-10-2049		141,000		142,648
Citigroup Commercial Mortgage Trust Series 2018-C6 Class A4		4.41			11-10-2051		520,000		618,716
Commercial Mortgage Trust Pass-Through Certificate Series 2012-CR3 Class A3		2.82			10-15-2045		53,783		55,237
Commercial Mortgage Trust Pass-Through Certificate Series 2012-CR2 Class ASB		2.75			8-15-2045		29,103		29,257
Commercial Mortgage Trust Series 2012-LC4 Class A4		3.29			12-10-2044		161,382		165,590
Commercial Mortgage Trust Series 2013-CR6 Class A4		3.10			3-10-2046		60,000		62,570
Commercial Mortgage Trust Series 2014 UBS5 Class C ±±		4.61			9-10-2047		195,000		207,174
Commercial Mortgage Trust Series 2014-UBS6 Class C ±±		4.45			12-10-2047		60,000		63,051
Commercial Mortgage Trust Series 2015-CR23 Class A3		3.23			5-10-2048		60,000		64,433
Commercial Mortgage Trust Series 2016-COR1 Class C ±±		4.38			10-10-2049		65,000		70,092
Commercial Mortgage Trust Series 2016-CR28 Class A4		3.76			2-10-2049		215,000		238,043
Goldman Sachs Mortgage Securities Trust Series 2012-GC6 Class A3		3.48			1-10-2045		722,272		739,818

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  43

Portfolio of investments—February 29, 2020

BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Non-Agency Mortgage-Backed Securities (continued)
Goldman Sachs Mortgage Securities Trust Series 2012-GCJ9 Class AS		3.12	%		11-10-2045	$	40,000	$	41,433
Goldman Sachs Mortgage Securities Trust Series 2013-GC14 Class A5		4.24			8-10-2046		265,000		287,115
Goldman Sachs Mortgage Securities Trust Series 2014-GC18 Class B ±±		4.89			1-10-2047		80,000		84,250
Goldman Sachs Mortgage Securities Trust Series 2017-GS5 Class A3		3.41			3-10-2050		600,000		660,376
Goldman Sachs Mortgage Securities Trust Series 2018-GS10 Class AAB ±±		4.11			7-10-2051		180,000		202,583
Goldman Sachs Mortgage Securities Trust Series 2018-GS9 Class A4 ±±		3.99			3-10-2051		140,000		160,035
JPMorgan Chase Commercial Mortgage Securities Corporation Series 2013-C15 Class A4		4.10			11-15-2045		16,442		17,627
JPMorgan Chase Commercial Mortgage Securities Corporation Series 2015-C29 Class A4		3.61			5-15-2048		200,000		218,386
JPMorgan Chase Commercial Mortgage Securities Corporation Series 2015-C30 Class A5		3.82			7-15-2048		1,450,000		1,602,978
JPMorgan Chase Commercial Mortgage Securities Corporation Series 2015-C31 Class A3		3.80			8-15-2048		195,000		215,476
JPMorgan Chase Commercial Mortgage Securities Trust Series 2015-C28 Class A2		2.77			10-15-2048		7,681		7,679
Morgan Stanley Bank of America Merrill Lynch Trust Series 2012-C5 Class A4		3.18			8-15-2045		60,000		62,020
Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C11 Class AS ±±		4.35			8-15-2046		360,000		389,227
Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C8 Class A4		3.13			12-15-2048		50,000		52,051
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22 Class A4		3.31			4-15-2048		60,000		64,677
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22 Class B ±±		3.88			4-15-2048		285,000		305,443
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C24 Class A4		3.73			5-15-2048		400,000		439,631
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30 Class B ±±		3.31			9-15-2049		425,000		445,899
Total Non-Agency Mortgage-Backed Securities (Cost $9,661,012)									10,194,533
U.S. Treasury Securities: 52.93%
U.S. Treasury Bond		1.50			1-31-2027		1,350,000		1,390,816
U.S. Treasury Bond		2.00			2-15-2050		695,000		751,116
U.S. Treasury Bond		2.13			9-30-2024		3,270,000		3,445,379
U.S. Treasury Bond		2.13			11-30-2024		2,565,000		2,707,077
U.S. Treasury Bond		2.25			8-15-2049		370,000		420,571
U.S. Treasury Bond		2.38			11-15-2049		1,660,000		1,937,726
U.S. Treasury Bond		2.50			2-15-2046		100,000		117,273
U.S. Treasury Bond		2.50			5-15-2046		1,415,000		1,661,685
U.S. Treasury Bond		2.75			8-15-2042		6,035,000		7,331,346
U.S. Treasury Bond		2.75			11-15-2042		2,090,000		2,539,268
U.S. Treasury Bond		2.75			8-15-2047		2,990,000		3,699,658
U.S. Treasury Bond		2.75			11-15-2047		1,110,000		1,375,446
U.S. Treasury Bond		2.88			5-15-2028		2,295,000		2,617,017
U.S. Treasury Bond		2.88			5-15-2043		4,640,000		5,754,325
U.S. Treasury Bond		3.00			5-15-2042		2,265,000		2,860,890
U.S. Treasury Bond		3.00			11-15-2044		585,000		743,087
U.S. Treasury Bond		3.00			5-15-2045		105,000		133,731
U.S. Treasury Bond		3.00			11-15-2045		35,000		44,706
U.S. Treasury Bond		3.00			2-15-2047		70,000		90,322
U.S. Treasury Bond		3.00			5-15-2047		20,761,000		26,803,580
U.S. Treasury Bond		3.00			2-15-2048		435,000		564,379
U.S. Treasury Bond		3.00			8-15-2048		1,645,000		2,142,998
U.S. Treasury Bond		3.13			11-15-2041		1,105,000		1,420,270
U.S. Treasury Bond		3.13			2-15-2042		370,000		476,245
U.S. Treasury Bond		3.13			2-15-2043		2,010,000		2,588,739
U.S. Treasury Bond		3.13			5-15-2048		1,475,000		1,959,388
U.S. Treasury Bond		3.38			5-15-2044		20,000		26,888

The accompanying notes are an integral part of these financial statements.

44  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE PORTFOLIO

	Interest rate			Maturity date		Principal		Value
U.S. Treasury Securities (continued)
U.S. Treasury Bond		3.50	%		2-15-2039	$	15,000	$	20,133
U.S. Treasury Bond		3.63			8-15-2043		110,000		152,909
U.S. Treasury Bond		3.63			2-15-2044		35,000		48,781
U.S. Treasury Bond		3.75			8-15-2041		780,000		1,091,330
U.S. Treasury Bond		3.75			11-15-2043		350,000		496,016
U.S. Treasury Bond		4.25			11-15-2040		480,000		712,819
U.S. Treasury Bond		4.75			2-15-2041		120,000		189,605
U.S. Treasury Bond		5.00			5-15-2037		1,574,000		2,455,071
U.S. Treasury Bond		5.25			11-15-2028		2,440,000		3,281,800
U.S. Treasury Bond		5.25			2-15-2029		760,000		1,028,494
U.S. Treasury Bond		5.38			2-15-2031		2,472,000		3,541,237
U.S. Treasury Bond		5.50			8-15-2028		430,000		583,507
U.S. Treasury Bond		6.13			11-15-2027		1,070,000		1,473,967
U.S. Treasury Bond		6.13			8-15-2029		1,280,000		1,855,550
U.S. Treasury Bond		6.25			5-15-2030		905,000		1,350,571
U.S. Treasury Bond		6.38			8-15-2027		130,000		179,948
U.S. Treasury Bond		6.88			8-15-2025		335,000		440,590
U.S. Treasury Note		1.13			6-30-2021		2,555,000		2,558,693
U.S. Treasury Note		1.13			8-31-2021		3,585,000		3,592,142
U.S. Treasury Note		1.13			9-30-2021		1,610,000		1,613,836
U.S. Treasury Note %%		1.13			2-28-2022		2,515,000		2,526,887
U.S. Treasury Note		1.25			3-31-2021		885,000		886,763
U.S. Treasury Note		1.25			10-31-2021		2,820,000		2,833,659
U.S. Treasury Note		1.25			7-31-2023		3,255,000		3,293,907
U.S. Treasury Note		1.25			8-31-2024		2,690,000		2,729,194
U.S. Treasury Note %%		1.25			2-28-2025		1,855,000		1,873,985
U.S. Treasury Note		1.38			4-30-2021		1,560,000		1,565,363
U.S. Treasury Note		1.38			5-31-2021		3,425,000		3,440,252
U.S. Treasury Note		1.38			6-30-2023		4,245,000		4,311,494
U.S. Treasury Note		1.38			8-31-2023		435,000		442,120
U.S. Treasury Note		1.38			9-30-2023		6,135,000		6,237,330
U.S. Treasury Note		1.38			8-31-2026		3,520,000		3,596,450
U.S. Treasury Note		1.50			1-31-2022		3,290,000		3,325,856
U.S. Treasury Note		1.50			8-15-2022		2,480,000		2,517,103
U.S. Treasury Note		1.50			2-28-2023		3,560,000		3,624,386
U.S. Treasury Note		1.50			3-31-2023		6,085,000		6,198,856
U.S. Treasury Note		1.50			9-30-2024		3,215,000		3,298,263
U.S. Treasury Note		1.50			10-31-2024		3,475,000		3,566,354
U.S. Treasury Note		1.50			8-15-2026		3,560,000		3,664,436
U.S. Treasury Note		1.63			8-15-2022		175,000		178,165
U.S. Treasury Note		1.63			11-15-2022		5,455,000		5,561,969
U.S. Treasury Note		1.63			4-30-2023		280,000		286,409
U.S. Treasury Note		1.63			5-31-2023		3,090,000		3,161,939
U.S. Treasury Note		1.63			10-31-2023		6,080,000		6,238,650
U.S. Treasury Note		1.63			2-15-2026		6,240,000		6,464,250
U.S. Treasury Note		1.63			5-15-2026		625,000		647,827
U.S. Treasury Note		1.63			10-31-2026		915,000		949,527
U.S. Treasury Note		1.63			8-15-2029		2,600,000		2,714,461
U.S. Treasury Note		1.75			11-30-2021		1,975,000		2,002,696
U.S. Treasury Note		1.75			2-28-2022		1,030,000		1,047,059
U.S. Treasury Note		1.75			3-31-2022		2,585,000		2,629,935
U.S. Treasury Note		1.75			4-30-2022		2,465,000		2,509,389
U.S. Treasury Note		1.75			5-15-2022		3,030,000		3,086,694
U.S. Treasury Note		1.75			5-31-2022		3,425,000		3,489,620

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  45

Portfolio of investments—February 29, 2020

BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE PORTFOLIO

	Interest rate			Maturity date		Principal		Value
U.S. Treasury Securities (continued)
U.S. Treasury Note		1.75	%		6-15-2022	$	3,520,000	$	3,588,750
U.S. Treasury Note		1.75			6-30-2022		12,505,000		12,752,169
U.S. Treasury Note		1.75			9-30-2022		10,000		10,221
U.S. Treasury Note		1.75			5-15-2023		410,000		421,099
U.S. Treasury Note		1.75			6-30-2024		3,510,000		3,633,398
U.S. Treasury Note		1.75			12-31-2026		2,720,000		2,846,756
U.S. Treasury Note		1.75			11-15-2029		830,000		876,363
U.S. Treasury Note		1.88			11-30-2021		3,550,000		3,607,826
U.S. Treasury Note		1.88			1-31-2022		2,805,000		2,855,622
U.S. Treasury Note		1.88			2-28-2022		345,000		351,496
U.S. Treasury Note		1.88			7-31-2022		1,865,000		1,908,565
U.S. Treasury Note		1.88			8-31-2024		3,290,000		3,427,640
U.S. Treasury Note		2.00			5-31-2021		5,890,000		5,959,484
U.S. Treasury Note		2.00			8-31-2021		425,000		431,425
U.S. Treasury Note		2.00			10-31-2021		1,160,000		1,179,938
U.S. Treasury Note		2.00			10-31-2022		1,990,000		2,048,223
U.S. Treasury Note		2.00			2-15-2023		30,000		30,977
U.S. Treasury Note		2.00			6-30-2024		9,501,000		9,936,339
U.S. Treasury Note		2.00			2-15-2025		340,000		357,518
U.S. Treasury Note		2.00			8-15-2025		1,200,000		1,265,625
U.S. Treasury Note		2.13			9-30-2021		3,355,000		3,415,678
U.S. Treasury Note		2.13			12-31-2022		1,700,000		1,758,836
U.S. Treasury Note		2.13			11-30-2023		750,000		783,633
U.S. Treasury Note		2.13			7-31-2024		10,000		10,520
U.S. Treasury Note		2.13			5-15-2025		3,205,000		3,396,048
U.S. Treasury Note		2.25			4-30-2021		3,060,000		3,102,075
U.S. Treasury Note		2.25			7-31-2021		5,580,000		5,678,522
U.S. Treasury Note		2.25			12-31-2023		3,340,000		3,508,957
U.S. Treasury Note		2.25			10-31-2024		2,035,000		2,157,497
U.S. Treasury Note		2.25			11-15-2024		4,275,000		4,534,172
U.S. Treasury Note		2.25			12-31-2024		1,485,000		1,577,232
U.S. Treasury Note		2.25			11-15-2025		1,805,000		1,931,562
U.S. Treasury Note		2.25			3-31-2026		3,200,000		3,435,000
U.S. Treasury Note		2.25			2-15-2027		400,000		432,344
U.S. Treasury Note		2.25			11-15-2027		20,000		21,749
U.S. Treasury Note		2.38			4-15-2021		30,000		30,436
U.S. Treasury Note		2.38			8-15-2024		490,000		521,008
U.S. Treasury Note		2.38			5-15-2027		7,413,000		8,093,780
U.S. Treasury Note		2.38			5-15-2029		690,000		765,280
U.S. Treasury Note		2.50			1-15-2022		3,175,000		3,267,149
U.S. Treasury Note		2.50			8-15-2023		5,540,000		5,841,887
U.S. Treasury Note		2.50			1-31-2025		1,670,000		1,795,968
U.S. Treasury Note		2.50			2-28-2026		800,000		869,719
U.S. Treasury Note		2.63			6-15-2021		1,220,000		1,244,734
U.S. Treasury Note		2.63			1-31-2026		2,230,000		2,438,714
U.S. Treasury Note		2.63			2-15-2029		3,060,000		3,452,899
U.S. Treasury Note		2.75			11-15-2023		2,040,000		2,176,823
U.S. Treasury Note		2.75			2-28-2025		1,410,000		1,534,752
U.S. Treasury Note		2.75			6-30-2025		1,270,000		1,388,219
U.S. Treasury Note		2.75			2-15-2028		2,685,000		3,028,072
U.S. Treasury Note		2.88			11-30-2025		3,225,000		3,565,263
U.S. Treasury Note		2.88			8-15-2028		3,080,000		3,521,788
U.S. Treasury Note		3.13			5-15-2021		2,430,000		2,490,180
U.S. Treasury Note		3.13			11-15-2028		1,855,000		2,165,640

The accompanying notes are an integral part of these financial statements.

46  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE PORTFOLIO

	Interest rate			Maturity date		Principal		Value
U.S. Treasury Securities (continued)
U.S. Treasury Note		6.00	%		2-15-2026	$	450,000	$	581,063
U.S. Treasury Note		6.50			11-15-2026		1,995,000		2,706,498
U.S. Treasury Note		7.25			8-15-2022		1,740,000		2,007,457
U.S. Treasury Note		7.50			11-15-2024		695,000		904,722
U.S. Treasury Note		8.00			11-15-2021		760,000		850,013
U.S. Treasury Note		8.13			5-15-2021		530,000		574,677
Total U.S. Treasury Securities (Cost $327,577,390)									352,222,173
Yankee Corporate Bonds and Notes: 3.07%
Energy: 0.50%
Oil, Gas & Consumable Fuels: 0.50%
CNOOC Petroleum North America ULC		7.50			7-30-2039		60,000		100,713
Ecopetrol SA		5.88			9-18-2023		430,000		476,483
Equinor ASA		3.95			5-15-2043		100,000		116,006
Equinor ASA		4.80			11-8-2043		200,000		263,117
Petroleos Mexicanos Company		4.50			1-23-2026		140,000		137,690
Petroleos Mexicanos Company		5.50			6-27-2044		1,070,000		940,958
Petroleos Mexicanos Company		6.38			2-4-2021		430,000		442,470
Petroleos Mexicanos Company		6.50			3-13-2027		250,000		261,563
Petroleos Mexicanos Company		6.50			1-23-2029		90,000		92,565
Petroleos Mexicanos Company		6.50			6-2-2041		110,000		106,425
Petroleos Mexicanos Company		6.63			6-15-2038		120,000		117,240
Petroleos Mexicanos Company 144A		7.69			1-23-2050		250,000		260,250
									3,315,480
Financials: 2.57%
Banks: 2.57%
African Development Bank		2.63			3-22-2021		380,000		385,658
Asian Development Bank		1.75			9-19-2029		160,000		167,349
Asian Development Bank		1.88			1-24-2030		110,000		116,386
Asian Development Bank		2.00			2-16-2022		760,000		774,745
Asian Development Bank		2.00			4-24-2026		60,000		63,145
Asian Development Bank		2.63			1-12-2027		630,000		692,647
Asian Development Bank		5.82			6-16-2028		10,000		13,415
Asian Development Bank		6.22			8-15-2027		80,000		105,525
Corporación Andina de Fomento		2.13			9-27-2021		10,000		10,074
Corporación Andina de Fomento		3.75			11-23-2023		130,000		139,250
Corporación Andina de Fomento		4.38			6-15-2022		120,000		127,494
European Bank for Reconstruction & Development		2.13			3-7-2022		370,000		378,050
European Investment Bank		1.88			2-10-2025		110,000		114,508
European Investment Bank		2.00			3-15-2021		220,000		221,963
European Investment Bank		2.00			12-15-2022		390,000		400,810
European Investment Bank		2.13			10-15-2021		420,000		427,412
European Investment Bank		2.25			6-24-2024		640,000		673,714
European Investment Bank		2.50			3-15-2023		200,000		208,967
European Investment Bank		2.88			8-15-2023		660,000		702,658
European Investment Bank		3.25			1-29-2024		270,000		293,397
FMS Wertmanagement		2.00			8-1-2022		260,000		266,125
Inter-American Development Bank		1.75			4-14-2022		580,000		589,519
Inter-American Development Bank		1.75			9-14-2022		250,000		255,037
Inter-American Development Bank		1.88			7-23-2021		300,000		303,503
Inter-American Development Bank		2.00			6-2-2026		260,000		273,994

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  47

Portfolio of investments—February 29, 2020

BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Banks (continued)
Inter-American Development Bank		2.13	%		1-18-2022	$	60,000	$	61,259
Inter-American Development Bank		2.13			1-15-2025		150,000		157,725
Inter-American Development Bank		2.25			6-18-2029		110,000		119,767
Inter-American Development Bank		2.38			7-7-2027		220,000		239,108
International Bank for Reconstruction & Development		1.38			5-24-2021		890,000		893,302
International Bank for Reconstruction & Development		1.50			8-28-2024		400,000		408,923
International Bank for Reconstruction & Development		1.88			10-7-2022		540,000		552,323
International Bank for Reconstruction & Development		1.88			6-19-2023		470,000		483,869
International Bank for Reconstruction & Development		2.00			1-26-2022		240,000		244,502
International Bank for Reconstruction & Development		2.50			3-19-2024		480,000		509,333
International Bank for Reconstruction & Development		2.50			7-29-2025		20,000		21,516
International Finance Corporation		1.38			10-16-2024		350,000		355,203
International Finance Corporation		2.13			4-7-2026		100,000		106,156
KfW ¤		0.00			4-18-2036		340,000		262,428
KfW ¤		0.00			6-29-2037		50,000		37,386
KfW		1.50			6-15-2021		390,000		392,230
KfW		2.00			11-30-2021		250,000		254,303
KfW		2.00			5-2-2025		40,000		41,895
KfW		2.13			3-7-2022		980,000		1,003,011
KfW		2.13			6-15-2022		110,000		112,761
KfW		2.13			1-17-2023		870,000		897,373
KfW		2.38			3-24-2021		170,000		172,249
KfW		2.88			4-3-2028		180,000		203,844
Landwirtschaftliche Rentenbank		1.75			7-27-2026		10,000		10,393
Landwirtschaftliche Rentenbank		2.25			10-1-2021		520,000		530,014
Nordic Investment Bank		1.25			8-2-2021		400,000		401,113
Oesterreichische Kontrollbank AG		2.88			3-13-2023		260,000		274,077
Swedish Export Credit ¤		0.00			5-11-2037		65,000		41,797
Swedish Export Credit		1.63			9-12-2021		320,000		322,639
Swedish Export Credit		3.13			11-8-2021		260,000		268,740
									17,084,584
Total Yankee Corporate Bonds and Notes (Cost $19,795,717)									20,400,064
Yankee Government Bonds: 2.18%
Canada Government		2.00			11-15-2022		60,000		61,719
Export Development Canada		2.63			2-21-2024		430,000		456,726
Export-Import Bank of Korea		2.88			1-21-2025		400,000		425,826
Hydro-Quebec		9.40			2-1-2021		535,000		574,374
Japan Bank for International Cooperation		1.88			4-20-2021		910,000		917,265
Japan Bank for International Cooperation		2.75			11-16-2027		360,000		396,121
Japan Bank for International Cooperation		3.38			10-31-2023		270,000		291,149
Korea Development Bank		3.38			9-16-2025		460,000		506,180
Oriental Republic of Uruguay		4.98			4-20-2055		100,000		123,751
Oriental Republic of Uruguay		5.10			6-18-2050		385,000		483,660
Province of Alberta		2.20			7-26-2022		250,000		256,478
Province of British Columbia		2.00			10-23-2022		15,000		15,395
Province of British Columbia		7.25			9-1-2036		100,000		172,169
Province of Manitoba		2.10			9-6-2022		120,000		122,818
Province of Ontario		2.00			10-2-2029		90,000		94,728
Province of Ontario		2.20			10-3-2022		120,000		123,502
Province of Ontario		2.30			6-15-2026		70,000		74,365
Province of Ontario		2.50			4-27-2026		150,000		161,196

The accompanying notes are an integral part of these financial statements.

48  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Yankee Government Bonds (continued)
Province of Ontario		3.20	%		5-16-2024	$	5,000	$	5,421
Province of Ontario		3.40			10-17-2023		380,000		411,265
Province of Quebec		2.50			4-20-2026		75,000		80,427
Province of Quebec		2.63			2-13-2023		60,000		62,770
Province of Quebec		7.13			2-9-2024		110,000		134,581
Province of Quebec		7.50			7-15-2023		80,000		96,608
Republic of Chile		3.50			1-25-2050		305,000		334,585
Republic of Colombia		3.88			4-25-2027		460,000		494,960
Republic of Colombia		6.13			1-18-2041		225,000		304,002
Republic of Colombia		7.38			9-18-2037		140,000		206,850
Republic of Colombia		8.13			5-21-2024		80,000		98,789
Republic of Hungary		5.38			3-25-2024		215,000		243,703
Republic of Hungary		6.38			3-29-2021		30,000		31,410
Republic of Hungary		7.63			3-29-2041		112,000		191,510
Republic of Indonesia		2.95			1-11-2023		200,000		204,951
Republic of Indonesia		4.35			1-11-2048		205,000		231,005
Republic of Italy		2.88			10-17-2029		215,000		214,595
Republic of Italy		5.38			6-15-2033		145,000		179,839
Republic of Italy		6.88			9-27-2023		100,000		116,639
Republic of Korea		3.88			9-11-2023		210,000		228,355
Republic of Panama		8.88			9-30-2027		135,000		194,570
Republic of Panama		9.38			4-1-2029		360,000		554,854
Republic of Peru		5.63			11-18-2050		365,000		563,925
Republic of Philippines		5.50			3-30-2026		705,000		841,809
Republic of Philippines		6.38			10-23-2034		185,000		273,097
Republic of Poland		3.00			3-17-2023		215,000		223,600
Republic of Poland		3.25			4-6-2026		10,000		10,809
Republic of Poland		5.13			4-21-2021		10,000		10,385
State of Israel		4.00			6-30-2022		365,000		383,184
State of Israel		5.50			12-4-2023		240,000		279,452
State of Israel		5.50			9-18-2033		6,000		8,838
United Mexican States		4.00			10-2-2023		10,000		10,650
United Mexican States		4.13			1-21-2026		150,000		164,064
United Mexican States		4.15			3-28-2027		205,000		225,246
United Mexican States		4.35			1-15-2047		225,000		247,725
United Mexican States		4.75			3-8-2044		184,000		212,888
United Mexican States		5.55			1-21-2045		180,000		231,302
United Mexican States		5.75			10-12-2099		21,000		26,434
United Mexican States		6.05			1-11-2040		40,000		53,650
United Mexican States		7.50			4-8-2033		510,000		754,168
United Mexican States		8.30			8-15-2031		60,000		93,840
Total Yankee Government Bonds (Cost $13,475,965)									14,494,177
	Yield					Shares
Short-Term Investments: 1.71%
Investment Companies: 1.71%
Wells Fargo Government Money Market Fund Select Class (l)(u)##		1.52					11,379,432		11,379,432
Total Short-Term Investments (Cost $11,379,432)									11,379,432

Total investments in securities (Cost $636,416,814)	100.75	%		670,431,977
Other assets and liabilities, net	(0.75	)		(4,996,641	)
Total net assets	100.00	%	$	665,435,336

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  49

Portfolio of investments—February 29, 2020

BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE PORTFOLIO

±± The coupon of the security is adjusted based on the principal and interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages.

%% The security is purchased on a when-issued basis.

144A The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933.

¤ The security is issued in zero coupon form with no periodic interest payments.

(l) The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

(u) The rate represents the 7-day annualized yield at period end.

## All or a portion of this security is segregated for when-issued securities.

Abbreviations:

EDA Economic Development Authority

FFCB Federal Farm Credit Banks

FHLB Federal Home Loan Bank

FHLMC Federal Home Loan Mortgage Corporation

FNMA Federal National Mortgage Association

GNMA Government National Mortgage Association

GO General obligation

National National Public Finance Guarantee Corporation

TVA Tennessee Valley Authority

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Shares, beginning of period		Shares purchased		Shares sold			Shares, end of period		Net realized gains (losses)		Net change in unrealized gains (losses)		Income from affiliated securities		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		6,855,231		212,862,313		(208,338,112	)		11,379,432	$	0	$	0	$	185,121	$	11,379,432		1.71	%

The accompanying notes are an integral part of these financial statements.

50  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

EMERGING MARKETS BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Yankee Corporate Bonds and Notes: 13.93%
Azerbaijan: 0.50%
State Oil Company of the Azerbaijan Republic (Energy, Oil, Gas & Consumable Fuels)		4.75	%		3-13-2023	$	200,000	$	210,074
Bahrain: 1.04%
CBB International Sukuk Company 6 SPC (Financials, Diversified Financial Services)		5.25			3-20-2025		200,000		214,134
Oil & Gas Holding Company (Energy, Oil, Gas & Consumable Fuels)		7.63			11-7-2024		200,000		229,666
									443,800
Chile: 1.83%
Codelco Incorporated (Materials, Metals & Mining)		4.25			7-17-2042		250,000		272,863
Codelco Incorporated (Materials, Metals & Mining)		4.88			11-4-2044		250,000		298,688
Empresa Nacional del Petroleo (Energy, Oil, Gas & Consumable Fuels)		3.75			8-5-2026		200,000		207,907
									779,458
China: 1.48%
Sinopec Group Overseas Development (2015) Limited (Energy, Oil, Gas & Consumable Fuels)		3.00			4-12-2022		200,000		205,234
Sinopec Group Overseas Development (2015) Limited (Energy, Oil, Gas & Consumable Fuels)		3.25			4-28-2025		200,000		213,264
State Grid Overseas Investment (2016) Limited (Utilities, Electric Utilities)		2.88			5-18-2026		200,000		210,933
									629,431
Hong Kong: 0.50%
CNAC Hong Kong Finbridge Company Limited (Materials, Chemicals)		4.63			3-14-2023		200,000		213,482
Indonesia: 0.57%
PT Pertamina Persero Tbk (Energy, Oil, Gas & Consumable Fuels)		5.63			5-20-2043		200,000		241,294
Kazakhstan: 1.08%
KazMunayGas National Company JSC (Energy, Oil, Gas & Consumable Fuels)		5.75			4-19-2047		200,000		245,000
KaztransGas Company JSC (Energy, Oil, Gas & Consumable Fuels)		4.38			9-26-2027		200,000		213,323
									458,323
Malaysia: 0.92%
Petronas Capital Limited (Energy, Oil, Gas & Consumable Fuels)		4.50			3-18-2045		300,000		392,891
Mexico: 2.59%
Comision Federal de Electricidad (Utilities, Electric Utilities)		5.75			2-14-2042		200,000		234,502
Petroleos Mexicanos Company (Energy, Oil, Gas & Consumable Fuels)		5.63			1-23-2046		250,000		219,000
Petroleos Mexicanos Company (Energy, Oil, Gas & Consumable Fuels) 144A		5.95			1-28-2031		470,000		458,250
Petroleos Mexicanos Company (Energy, Oil, Gas & Consumable Fuels)		6.75			9-21-2047		200,000		190,856
									1,102,608
Netherlands: 0.65%
MDC-GMTN BV (Financials, Diversified Financial Services)		3.75			4-19-2029		250,000		275,879
Peru: 0.52%
Corporacion Financiera de Desarollo SA (Financials, Diversified Financial Services)		4.75			7-15-2025		200,000		219,502
Saudi Arabia: 0.96%
KSA Sukuk Limited (Financials, Diversified Financial Services)		2.89			4-20-2022		200,000		204,086
KSA Sukuk Limited (Financials, Diversified Financial Services)		2.97			10-29-2029		200,000		204,538
									408,624

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  51

Portfolio of investments—February 29, 2020

EMERGING MARKETS BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
South Africa: 0.47%
Eskom Holdings SOC Limited (Utilities, Electric Utilities)		6.75	%		8-6-2023	$	200,000	$	199,700
United Arab Emirates: 0.55%
Abu Dhabi Crude Oil Pipeline LLC (Energy, Oil, Gas & Consumable Fuels)		4.60			11-2-2047		200,000		235,020
Venezuela: 0.27%
Petroleos de Venezuela SA (Energy, Oil, Gas & Consumable Fuels) †		5.38			4-12-2027		200,000		20,000
Petroleos de Venezuela SA (Energy, Oil, Gas & Consumable Fuels) †		5.38			4-12-2027		350,000		35,000
Petroleos de Venezuela SA (Energy, Oil, Gas & Consumable Fuels) †		5.50			4-12-2037		200,000		20,000
Petroleos de Venezuela SA (Energy, Oil, Gas & Consumable Fuels) †		9.00			11-17-2021		400,000		40,000
									115,000
Total Yankee Corporate Bonds and Notes (Cost $5,907,958)									5,925,086
Yankee Government Bonds: 83.87%
Abu Dhabi Government		2.50			10-11-2022		400,000		406,857
Abu Dhabi Government		3.13			10-11-2027		200,000		214,186
Abu Dhabi Government		3.13			9-30-2049		200,000		203,200
Arab Republic of Egypt		5.58			2-21-2023		200,000		206,960
Arab Republic of Egypt		6.13			1-31-2022		200,000		206,601
Arab Republic of Egypt		8.50			1-31-2047		250,000		267,530
Arab Republic of Egypt		8.70			3-1-2049		200,000		215,215
Bolivia Government		4.88			10-29-2022		200,000		207,002
China Development Bank		4.00			1-24-2037		350,000		417,467
Dominican Republic		5.95			1-25-2027		800,000		875,008
Dominican Republic		6.00			7-19-2028		200,000		221,002
Export Credit Bank of Turkey		5.00			9-23-2021		200,000		200,757
Export-Import Bank of China		2.00			4-26-2021		450,000		451,994
Export-Import Bank of India		3.25			1-15-2030		200,000		202,101
Export-Import Bank of India		4.00			1-14-2023		250,000		262,806
Federation of Malaysia		3.18			4-27-2026		400,000		435,804
Federative Republic of Brazil		4.63			1-13-2028		600,000		662,396
Federative Republic of Brazil		5.63			1-7-2041		450,000		529,317
Government of Jamaica		7.88			7-28-2045		300,000		406,503
Islamic Republic of Pakistan		8.25			4-15-2024		350,000		393,160
Kingdom of Bahrain		6.75			9-20-2029		200,000		227,294
Kingdom of Bahrain		7.00			10-12-2028		400,000		462,520
Kingdom of Jordan		5.75			1-31-2027		300,000		316,563
Kingdom of Morocco		4.25			12-11-2022		200,000		209,964
Kuwait Government		3.50			3-20-2027		200,000		218,562
Lebanese Republic		6.60			11-27-2026		300,000		76,125
Lebanese Republic		7.05			11-2-2035		200,000		50,000
Lebanese Republic		8.25			4-12-2021		350,000		95,928
Mongolia Government		5.63			5-1-2023		250,000		251,067
Oman Government		3.88			3-8-2022		300,000		301,152
Oman Government		4.40			6-1-2024		250,000		253,675
Oman Government		6.50			3-8-2047		400,000		373,808
Oriental Republic of Uruguay		4.50			8-14-2024		250,000		272,503
Oriental Republic of Uruguay		5.10			6-18-2050		450,000		565,317
Oriental Republic of Uruguay		7.88			1-15-2033		125,000		191,720
Perusahaan Penerbit SBSN Indonesia III		4.55			3-29-2026		500,000		557,580
Qatar Government		3.25			6-2-2026		200,000		212,500
Qatar Government		4.00			3-14-2029		400,000		452,149
Qatar Government		4.63			6-2-2046		450,000		560,374
Republic of Angola		8.25			5-9-2028		400,000		410,411

The accompanying notes are an integral part of these financial statements.

52  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

EMERGING MARKETS BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Yankee Government Bonds (continued)
Republic of Angola		9.50	%		11-12-2025	$	200,000	$	222,786
Republic of Argentina		4.63			1-11-2023		100,000		43,001
Republic of Argentina		5.63			1-26-2022		350,000		162,750
Republic of Argentina		7.50			4-22-2026		600,000		259,506
Republic of Argentina		7.63			4-22-2046		250,000		100,378
Republic of Azerbaijan		3.50			9-1-2032		200,000		199,750
Republic of Belarus		7.63			6-29-2027		200,000		228,417
Republic of Chile		3.24			2-6-2028		200,000		215,002
Republic of Chile		3.86			6-21-2047		150,000		173,423
Republic of Colombia		3.88			4-25-2027		543,000		584,268
Republic of Colombia		5.00			6-15-2045		286,000		345,345
Republic of Colombia		7.38			9-18-2037		250,000		369,375
Republic of Costa Rica		7.00			4-4-2044		350,000		357,879
Republic of Cote d’Ivoire		6.13			6-15-2033		200,000		204,388
Republic of Croatia		6.00			1-26-2024		200,000		228,470
Republic of Ecuador		7.95			6-20-2024		350,000		259,441
Republic of Ecuador		7.95			6-20-2024		200,000		148,252
Republic of Ecuador		9.63			6-2-2027		300,000		222,378
Republic of El Salvador		7.65			6-15-2035		347,000		386,041
Republic of Gabon		6.38			12-12-2024		150,000		156,470
Republic of Ghana		7.63			5-16-2029		300,000		303,000
Republic of Ghana		8.63			6-16-2049		200,000		198,000
Republic of Guatemala		4.38			6-5-2027		200,000		209,750
Republic of Honduras		6.25			1-19-2027		150,000		167,064
Republic of Hungary		5.38			2-21-2023		270,000		296,054
Republic of Hungary		5.38			3-25-2024		200,000		226,700
Republic of Indonesia		4.10			4-24-2028		300,000		328,871
Republic of Indonesia		4.63			4-15-2043		200,000		233,757
Republic of Indonesia		4.88			5-5-2021		200,000		206,700
Republic of Indonesia		5.13			1-15-2045		200,000		248,405
Republic of Indonesia		7.75			1-17-2038		25,000		38,717
Republic of Iraq		5.80			1-15-2028		250,000		236,740
Republic of Kazakhstan		4.88			10-14-2044		300,000		385,099
Republic of Kazakhstan		5.13			7-21-2025		200,000		229,250
Republic of Kenya		6.88			6-24-2024		200,000		213,497
Republic of Kenya		8.25			2-28-2048		200,000		213,630
Republic of Nigeria		7.63			11-21-2025		200,000		218,733
Republic of Nigeria		7.63			11-28-2047		200,000		186,224
Republic of Nigeria		7.88			2-16-2032		300,000		301,423
Republic of Panama		4.00			9-22-2024		563,000		608,609
Republic of Panama		4.50			5-15-2047		350,000		436,191
Republic of Paraguay		5.00			4-15-2026		250,000		280,003
Republic of Peru		4.13			8-25-2027		100,000		114,251
Republic of Peru		6.55			3-14-2037		365,000		554,800
Republic of Peru		7.35			7-21-2025		100,000		127,500
Republic of Peru		8.75			11-21-2033		25,000		42,344
Republic of Philippines		3.70			2-2-2042		200,000		237,790
Republic of Philippines		4.20			1-21-2024		200,000		216,586
Republic of Philippines		5.50			3-30-2026		379,000		452,547
Republic of Philippines		6.38			1-15-2032		300,000		420,595
Republic of Poland		3.25			4-6-2026		400,000		432,348
Republic of Poland		5.13			4-21-2021		225,000		233,667
Republic of Senegal		6.25			5-23-2033		250,000		262,100
Republic of Serbia		7.25			9-28-2021		200,000		216,240
Republic of Slovak		4.38			5-21-2022		200,000		211,132

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  53

Portfolio of investments—February 29, 2020

EMERGING MARKETS BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Yankee Government Bonds (continued)
Republic of South Africa		4.85	%		9-30-2029	$	600,000	$	602,026
Republic of South Africa		6.25			3-8-2041		200,000		214,000
Republic of Sri Lanka		5.75			1-18-2022		250,000		251,266
Republic of Sri Lanka		6.35			6-28-2024		400,000		396,030
Republic of Sri Lanka		6.75			4-18-2028		300,000		273,825
Republic of Turkey		5.60			11-14-2024		200,000		199,250
Republic of Turkey		6.63			2-17-2045		600,000		563,538
Republic of Turkey		7.63			4-26-2029		200,000		213,728
Republic of Turkey		8.00			2-14-2034		200,000		220,440
Republic of Uzbekistan		4.75			2-20-2024		200,000		210,491
Republic of Venezuela †		6.00			12-9-2020		225,000		33,750
Republic of Venezuela †		7.00			3-31-2038		200,000		30,000
Republic of Venezuela †		9.00			5-7-2023		1,010,000		151,500
Republic of Zambia		8.50			4-14-2024		200,000		131,035
Romania Government		4.38			8-22-2023		200,000		214,000
Romania Government		4.88			1-22-2024		250,000		274,438
Russian Federation		4.50			4-4-2022		200,000		210,000
Russian Federation		4.88			9-16-2023		200,000		218,682
Russian Federation		5.10			3-28-2035		200,000		240,498
Russian Federation		5.25			6-23-2047		200,000		258,550
Russian Federation		12.75			6-24-2028		250,000		430,000
Saudi Government		2.88			3-4-2023		200,000		205,000
Saudi Government		3.63			3-4-2028		200,000		214,302
Saudi Government		4.50			4-17-2030		200,000		231,803
Saudi Government		4.50			10-26-2046		200,000		229,212
Saudi Government		4.63			10-4-2047		200,000		233,440
Trinidad & Tobago Government		4.50			8-4-2026		200,000		209,002
Ukraine Government		7.38			9-25-2032		200,000		214,130
Ukraine Government		7.75			9-1-2023		200,000		216,500
Ukraine Government		7.75			9-1-2025		400,000		435,408
Ukraine Government		7.75			9-1-2027		100,000		109,226
United Mexican States		4.00			10-2-2023		200,000		213,002
United Mexican States		4.60			2-10-2048		200,000		228,252
United Mexican States		5.55			1-21-2045		150,000		192,752
United Mexican States		6.75			9-27-2034		150,000		217,127
Total Yankee Government Bonds (Cost $35,937,967)									35,686,918
	Yield					Shares
Short-Term Investments: 2.17%
Investment Companies: 2.17%
Wells Fargo Government Money Market Fund Select Class (l)(u)		1.52					922,295		922,295
Total Short-Term Investments (Cost $922,295)									922,295

Total investments in securities (Cost $42,768,220)	99.97	%		42,534,299
Other assets and liabilities, net	0.03			13,389
Total net assets	100.00	%	$	42,547,688

144A The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933.

† Non-income-earning security

(l) The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

(u) The rate represents the 7-day annualized yield at period end.

The accompanying notes are an integral part of these financial statements.

54  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

EMERGING MARKETS BOND PORTFOLIO

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Shares, beginning of period		Shares purchased		Shares sold			Shares, end of period		Net realized gains (losses)		Net change in unrealized gains (losses)		Income from affiliated securities		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		2,749,145		8,756,029		(10,582,879	)		922,295	$	0	$	0	$	7,448	$	922,295		2.17	%

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  55

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
Common Stocks: 92.40%
Belgium: 0.01%
Titan Cement International SA (Materials, Construction Materials) †		1,923	$	27,131
Brazil: 5.47%
Aliansce Sonae Shopping Centers SA (Real Estate, Real Estate Management & Development)		7,000		71,489
Ambev SA (Consumer Staples, Beverages)		230,400		749,126
Arezzo Industria e Comercio SA (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		2,800		37,631
Atacadao Distribuicao Comercio e Industria Limitada (Consumer Staples, Food & Staples Retailing)		20,300		93,921
B2W Companhia Digital (Consumer Discretionary, Internet & Direct Marketing Retail) †		10,535		146,414
B3 Brasil Bolsa Balcao SA (Financials, Capital Markets)		103,700		1,113,084
Banco BTG Pactual SA (Financials, Capital Markets)		1,600		11,982
Banco de Brasil SA (Financials, Banks)		76,200		798,482
BB Seguridade Participacoes SA (Financials, Insurance)		33,800		240,732
BK Brasil Operacao e Assessoria a Restaurantes SA (Consumer Discretionary, Hotels, Restaurants & Leisure)		8,900		29,157
BR Malls Participacoes SA (Real Estate, Real Estate Management & Development)		47,200		172,465
BRF SA (Consumer Staples, Food Products) †		32,300		195,307
CCR SA (Industrials, Transportation Infrastructure)		69,182		252,631
Centrais Electricas Brasileiras SA (Utilities, Electric Utilities)		18,900		145,937
Cia de Locacao das Americas (Industrials, Road & Rail)		14,300		67,664
Cia Siderurgica Nacional SA (Materials, Metals & Mining)		38,200		95,502
Cielo SA (Information Technology, IT Services)		70,500		107,991
Cogna Educacao (Consumer Discretionary, Diversified Consumer Services)		80,569		181,789
Companhia de Saneamento Basico do Estado de Sao Paulo SA (Utilities, Water Utilities)		19,041		250,153
Companhia de Saneamento de Minas Gerais SA (Utilities, Water Utilities)		3,059		41,255
Companhia Hering SA (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		8,410		42,389
Cosan SA Industria e Comercio (Energy, Oil, Gas & Consumable Fuels)		8,400		137,442
CPFL Energia SA (Utilities, Electric Utilities)		8,600		68,328
CPFL Energias Renovaveis SA (Utilities, Independent Power & Renewable Electricity Producers) †		3,347		12,806
CVC Brasil Operadora e Agencia de Viagens SA (Consumer Discretionary, Hotels, Restaurants & Leisure)		7,164		41,220
Cyrela Brazil Realty SA Empreendimentos e Participacoes (Consumer Discretionary, Household Durables)		15,600		104,060
Duratex SA (Materials, Paper & Forest Products)		17,000		66,108
Ecorodovias Infraestrutura Logistica SA (Industrials, Transportation Infrastructure) †		9,600		33,876
EDP Energias do Brasil SA (Utilities, Electric Utilities)		13,747		62,804
Embraer SA (Industrials, Aerospace & Defense) †		36,530		138,543
Eneva SA (Utilities, Independent Power & Renewable Electricity Producers) †		8,100		77,434
Engie Brasil Energia SA (Utilities, Independent Power & Renewable Electricity Producers)		8,500		90,343
Equatorial Energia SA (Utilities, Electric Utilities)		49,870		275,005
EZTEC Empreendimentos e Participacoes SA (Consumer Discretionary, Household Durables)		1		10
Fleury SA (Health Care, Health Care Providers & Services)		13,205		87,878
Grendene SA (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		16,620		36,050
Guararapes Confeccoes SA (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		4,700		28,903
Hapvida Participacoes e Investimentos SA (Health Care, Health Care Providers & Services) 144A		12,000		148,125
Hypermarcas SA (Health Care, Pharmaceuticals)		21,036		161,349
Iguatemi Empresa de Shopping Centers SA (Real Estate, Real Estate Management & Development)		5,280		58,835
Iochpe Maxion SA (Industrials, Machinery)		6,800		29,561
IRB-Brasil Resseguros SA (Financials, Insurance)		42,800		318,232
JBS SA (Consumer Staples, Food Products)		57,829		293,548
Light SA (Utilities, Electric Utilities)		10,200		49,473
Linx SA (Information Technology, Software)		8,900		62,453
Localiza Rent A Car SA (Industrials, Road & Rail)		30,977		343,165
Lojas Renner SA (Consumer Discretionary, Multiline Retail)		42,256		503,644
M. Dias Branco SA (Consumer Staples, Food Products)		6,955		63,766

The accompanying notes are an integral part of these financial statements.

56  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
Brazil (continued)
Magazine Luiza SA (Consumer Discretionary, Multiline Retail)		35,400	$	399,921
Marfrig Global Foods SA (Consumer Staples, Food Products) †		9,600		25,911
MRV Engenharia e Participacoes SA (Consumer Discretionary, Household Durables)		16,800		73,220
Multiplan Empreendimentos Imobiliarios SA (Real Estate, Real Estate Management & Development)		17,700		120,800
Natura & Company Holding SA (Consumer Staples, Personal Products)		17,952		182,695
Notre Dame Intermedica Participacoes SA (Health Care, Health Care Providers & Services)		21,300		301,169
Odontoprev SA (Health Care, Health Care Providers & Services)		13,562		50,009
Oi SA ADR (Communication Services, Diversified Telecommunication Services) †		280,500		62,725
Petrobras Distribuidora SA (Consumer Discretionary, Specialty Retail)		42,200		246,298
Porto Seguro SA (Financials, Insurance)		4,868		66,381
Qualicorp SA (Health Care, Health Care Providers & Services)		11,301		86,554
Raia Drogasil SA (Consumer Staples, Food & Staples Retailing)		11,033		295,815
Rumo SA (Industrials, Road & Rail) †		61,100		288,565
Sao Martinho SA (Consumer Staples, Food Products)		8,911		52,786
Smiles Fidelidade SA (Communication Services, Media)		3,200		23,457
Suzano Papel e Celulose SA (Materials, Paper & Forest Products)		28,756		245,255
Tim Participacoes SA (Communication Services, Wireless Telecommunication Services)		42,200		152,214
Totvs SA (Information Technology, Software)		8,300		131,797
Ultrapar Participacoes SA (Energy, Oil, Gas & Consumable Fuels)		44,396		189,422
Via Varejo SA (Consumer Discretionary, Specialty Retail) †		47,600		146,997
WEG SA (Industrials, Electrical Equipment)		42,033		405,582
YDUQS Part (Consumer Discretionary, Diversified Consumer Services)		16,533		191,842
				11,877,477
Chile: 1.07%
Aguas Andinas SA Class A (Utilities, Water Utilities)		117,904		40,365
Antarchile SA (Industrials, Industrial Conglomerates)		6,822		55,813
Banco de Chile (Financials, Banks)		1,707,043		150,376
Banco de Credito e Inversiones (Financials, Banks)		3,083		114,967
Banco Santander Chile SA (Financials, Banks)		1,839,876		82,085
CAP SA (Materials, Metals & Mining)		4,141		23,631
Cencosud SA (Consumer Staples, Food & Staples Retailing)		71,798		84,863
Cencosud Shopping SA (Real Estate, Real Estate Management & Development) †		74,801		141,728
Colbun SA (Utilities, Independent Power & Renewable Electricity Producers)		308,126		38,690
Compania Cervecerias Unidas SA (Consumer Staples, Beverages)		8,014		60,201
Empresa Nacional de Telecomunicaciones SA (Communication Services, Wireless Telecommunication Services) †		6,409		34,158
Empresas CMPC SA (Materials, Paper & Forest Products)		65,164		132,948
Empresas Copec SA (Energy, Oil, Gas & Consumable Fuels)		25,942		202,742
Enel Americas SA (Utilities, Electric Utilities)		1,058,686		178,894
Enel Chile SA (Utilities, Electric Utilities)		1,165,717		104,701
Engie Energia Chile SA (Utilities, Electric Utilities)		17,318		22,559
Gener SA (Utilities, Independent Power & Renewable Electricity Producers)		97,049		14,291
Grupo Security SA (Financials, Banks)		157,467		31,376
Hortifrut SA (Consumer Staples, Food Products)		17,052		22,931
Inversiones Aguas Metropolitanas SA (Utilities, Water Utilities)		10,015		8,752
Inversiones La Construccion SA (Financials, Diversified Financial Services)		2,201		16,550
Itau CorpBanca SA (Financials, Banks)		9,840,605		36,107
LATAM Airlines Group SA (Industrials, Airlines)		25,300		169,857
Parque Arauco SA (Real Estate, Real Estate Management & Development)		37,061		76,125
Plaza SA (Real Estate, Real Estate Management & Development)		20,268		33,949
Quinenco SA (Industrials, Industrial Conglomerates)		22,566		39,368
Ripley Corporation SA (Consumer Discretionary, Multiline Retail)		61,988		24,485
SACI Falabella (Consumer Discretionary, Multiline Retail)		65,173		218,203
Sigdo Koppers SA (Industrials, Industrial Conglomerates)		25,842		27,804

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  57

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
Chile (continued)
SMU SA (Consumer Staples, Food & Staples Retailing)		182,790	$	27,712
Sociedad Matriz SAAM SA (Industrials, Transportation Infrastructure)		241,915		16,563
Sonda SA (Information Technology, IT Services)		33,009		23,868
Vina Concha y Toro SA (Consumer Staples, Beverages)		36,794		61,208
				2,317,870
China: 17.30%
3SBio Incorporated (Health Care, Biotechnology) 144A†		63,500		67,487
58.com Incorporated ADR (Communication Services, Interactive Media & Services) †		6,063		334,496
A Living Services Company Limited H Shares (Industrials, Commercial Services & Supplies) 144A		15,750		72,286
Agile Property Holdings Limited (Real Estate, Real Estate Management & Development)		74,000		105,802
Agricultural Bank of China Limited H Shares (Financials, Banks)		1,511,000		613,144
Air China Limited H Shares (Industrials, Airlines)		110,000		90,882
Aluminum Corporation of China Limited H Shares (Materials, Metals & Mining) †		200,000		54,223
Anhui Conch Cement Company Limited H Shares (Materials, Construction Materials)		57,000		426,884
Anhui Gujing Distillery Company Class B (Consumer Staples, Beverages)		4,900		45,617
ANTA Sports Products Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		49,000		399,873
BAIC Motor Corporation Limited H Shares (Consumer Discretionary, Automobiles) 144A		81,500		40,542
Baidu Incorporated ADR (Communication Services, Interactive Media & Services) †		12,650		1,517,747
Bank of China Limited H Shares (Financials, Banks)		4,017,000		1,605,353
Bank of Communications Limited H Shares (Financials, Banks)		390,000		253,770
Baozun Incorporated ADR (Consumer Discretionary, Internet & Direct Marketing Retail) †		2,989		94,811
BBMG Corporation H Shares (Materials, Construction Materials)		111,000		31,766
Beijing Capital International Airport Company Limited H Shares (Industrials, Transportation Infrastructure)		98,000		77,168
Beijing Enterprises Water Group Limited (Utilities, Water Utilities)		280,000		131,874
Bosideng International Holdings Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		160,000		47,223
BYD Company Limited H Shares (Consumer Discretionary, Automobiles)		34,500		214,786
CGN Power Company Limited H Shares (Utilities, Independent Power & Renewable Electricity Producers) 144A		426,000		104,781
China Aoyuan Group Limited (Real Estate, Real Estate Management & Development)		65,000		96,027
China Cinda Asset Management Company Limited H Shares (Financials, Capital Markets)		416,000		88,215
China CITIC Bank H Shares (Financials, Banks)		498,351		261,094
China Coal Energy Company Limited H Shares (Energy, Oil, Gas & Consumable Fuels)		160,000		52,123
China Communications Construction Company Limited H Shares (Industrials, Construction & Engineering)		230,000		173,688
China Communications Services Corporation Limited H Shares (Industrials, Construction & Engineering)		120,000		94,288
China Conch Venture Holdings Limited (Industrials, Machinery)		80,500		393,836
China Eastern Airlines Company H Shares (Industrials, Airlines) †		102,000		44,946
China Energy Engineering Corporation Limited H Shares (Industrials, Construction & Engineering)		348,000		38,840
China Everbright Bank Company Limited H Shares (Financials, Banks)		178,000		71,921
China Galaxy Securities Company Limited H Shares (Financials, Capital Markets)		180,500		102,134
China Huarong Asset Management Company Limited H Shares (Financials, Capital Markets) 144A		465,000		64,230
China Life Insurance Company H Shares (Financials, Insurance)		369,000		891,655
China Longyuan Power Group Corporation H Shares (Utilities, Independent Power & Renewable Electricity Producers)		150,000		78,817
China Medical System Holding Limited (Health Care, Pharmaceuticals)		74,000		93,574
China Mengniu Dairy Company Limited (Consumer Staples, Food Products)		137,000		500,692
China Merchants Bank Company Limited H Shares (Financials, Banks)		193,500		930,909
China Merchants Securities H Shares (Financials, Capital Markets)		22,800		27,875
China Minsheng Banking Corporation Limited H Shares (Financials, Banks)		355,200		243,082
China Molybdenum Company Limited H Shares (Materials, Metals & Mining)		153,000		58,469
China National Building Material Company Limited H Shares (Materials, Construction Materials)		178,000		211,558
China Oilfield Services Limited H Shares (Energy, Energy Equipment & Services)		76,000		99,329

The accompanying notes are an integral part of these financial statements.

58  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
China (continued)
China Overseas Property Holding Limited (Real Estate, Real Estate Management & Development)		65,000	$	53,512
China Pacific Insurance H Shares (Financials, Insurance)		123,000		412,621
China Petroleum & Chemical Corporation H Shares (Energy, Oil, Gas & Consumable Fuels)		1,240,000		641,770
China Railway Construction Corporation Limited H Shares (Industrials, Construction & Engineering)		89,500		103,546
China Railway Group Limited H Shares (Industrials, Construction & Engineering)		198,000		113,747
China Railway Signal & Communication Corporation Limited H Shares (Information Technology, Electronic Equipment, Instruments & Components) 144A		77,000		40,187
China Reinsurance Group Corporation H Shares (Financials, Insurance)		316,000		43,429
China Resources Cement Holdings Limited (Materials, Construction Materials)		106,000		136,192
China Resources Gas Group Limited (Utilities, Gas Utilities)		40,000		201,598
China Resources Phoenix Healthcare Holdings Company Limited (Health Care, Health Care Providers & Services)		45,500		23,850
China Shenhua Energy Company Limited H Shares (Energy, Oil, Gas & Consumable Fuels)		180,500		317,371
China Southern Airlines Company H Shares (Industrials, Airlines)		94,000		50,590
China State Construction International Holdings (Industrials, Construction & Engineering)		78,000		64,127
China Telecom Corporation Limited H Shares (Communication Services, Diversified Telecommunication Services)		694,000		262,337
China Tower Corporation Limited H Shares (Communication Services, Diversified Telecommunication Services) 144A		2,264,000		559,166
China Vanke Company Limited H Shares (Real Estate, Real Estate Management & Development)		71,000		278,043
Chongqing Rural Commercial Bank H Shares (Financials, Banks)		151,000		68,996
CIFI Holdings Group Company Limited (Real Estate, Real Estate Management & Development)		190,000		149,380
Cimc Enric Holdings Limited (Industrials, Machinery)		38,000		20,081
CITIC Securities Company Limited H Shares (Financials, Capital Markets)		110,500		243,060
Cofco Meat Holdings Limited (Consumer Staples, Food Products) †		83,000		21,059
COSCO Shipping Development Company Limited H Shares (Industrials, Marine)		182,000		22,893
COSCO Shipping Holdings Company Limited H Shares (Industrials, Marine) †		123,000		41,667
COSCO Shipping Ports Limited (Industrials, Transportation Infrastructure)		92,000		61,817
Country Garden Holdings Company Limited (Real Estate, Real Estate Management & Development)		368,000		499,949
CRRC Corporation Limited H Shares (Industrials, Machinery)		224,000		145,885
CSC Financial Company Limited H Shares (Financials, Capital Markets)		45,000		40,771
Dali Foods Group Company Limited (Consumer Staples, Food Products) 144A		117,000		77,799
Datang International Power Generation Company Limited H Shares (Utilities, Independent Power & Renewable Electricity Producers)		74,000		11,730
Dongfeng Motor Group Company Limited H Shares (Consumer Discretionary, Automobiles)		136,000		109,145
ENN Energy Holdings Limited (Utilities, Gas Utilities)		37,500		423,015
Fuyao Glass Industry Group Company Limited H Shares (Consumer Discretionary, Auto Components)		25,200		73,032
GF Securities Company Limited H Shares (Financials, Capital Markets)		65,600		79,989
Great Wall Motor Company Limited H Shares (Consumer Discretionary, Automobiles)		161,500		119,484
Greentown Service Group Company Limited (Industrials, Commercial Services & Supplies)		56,000		71,084
Guangzhou Automobile Group Company Limited H Shares (Consumer Discretionary, Automobiles)		140,400		159,303
Guangzhou R&F Properties Company Limited H Shares (Real Estate, Real Estate Management & Development)		50,400		79,464
Guotai Junan Securities Company Limited H Shares (Financials, Capital Markets)		39,200		66,684
Haidilao International Holding Limited (Consumer Discretionary, Hotels, Restaurants & Leisure) 144A		37,455		155,740
Haitian International Holdings Limited (Industrials, Machinery)		32,000		63,797
Haitong Securities Company Limited H Shares (Financials, Capital Markets)		140,800		155,219
Hengan International Group Company Limited (Consumer Staples, Personal Products)		32,000		241,203
Huaneng Power International Incorporated H Shares (Utilities, Independent Power & Renewable Electricity Producers)		192,000		78,170
Huatai Securities Company Limited H Shares (Financials, Capital Markets) 144A		81,200		143,612
Huaxin Cement Company Limited Class B (Materials, Construction Materials)		17,600		30,397
Industrial & Commercial Bank of China Limited H Shares (Financials, Banks)		3,663,000		2,523,438
Inner Mongolia Yitai Coal Company Limited Class B (Energy, Oil, Gas & Consumable Fuels)		72,900		50,167
JD.com Incorporated ADR (Consumer Discretionary, Internet & Direct Marketing Retail) †		53,877		2,074,803
Jiangsu Express Company Limited H Shares (Industrials, Transportation Infrastructure)		66,000		76,872

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  59

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
China (continued)
Jiangxi Copper Company Limited H Shares (Materials, Metals & Mining)		60,000	$	71,561
Joy City Property Limited (Real Estate, Real Estate Management & Development)		240,000		23,172
JOYY Incorporated ADR (Communication Services, Interactive Media & Services) †		2,305		124,401
Kingboard Chemicals Holdings Limited (Information Technology, Electronic Equipment, Instruments & Components)		35,500		95,140
Kunlun Energy Company Limited (Utilities, Gas Utilities)		194,000		137,242
KWG Property Holding Limited (Real Estate, Real Estate Management & Development)		68,500		102,855
Lao Feng Xiang Company Limited Class B (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		15,512		48,459
Legend Holdings Corporation H Shares (Information Technology, Technology Hardware, Storage & Peripherals) 144A		31,400		54,382
Lenovo Group Limited (Information Technology, Technology Hardware, Storage & Peripherals)		342,000		215,231
Li Ning Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		98,000		263,995
Logan Property Holdings Company Limited (Real Estate, Real Estate Management & Development)		66,000		115,285
Longfor Properties Company Limited (Real Estate, Real Estate Management & Development)		78,000		368,917
Luye Pharma Group Limited (Health Care, Pharmaceuticals) 144A		94,500		58,721
Metallurgical Corporation of China Limited H Shares (Industrials, Construction & Engineering)		190,000		37,210
Midea Group Company Limited Class A (Consumer Discretionary, Household Durables)		7,101		54,986
Momo Incorporated ADR (Communication Services, Interactive Media & Services)		7,708		216,749
NetEase Incorporated ADR (Communication Services, Entertainment)		5,751		1,832,901
New China Life Insurance Company Limited H Shares (Financials, Insurance)		48,500		189,593
New Oriental Education & Technology Group Incorporated ADR (Consumer Discretionary, Diversified Consumer Services) †		7,236		925,412
Nexteer Automotive Group Limited (Consumer Discretionary, Auto Components)		45,000		33,611
Orient Securities Company Limited of China H Shares (Financials, Diversified Financial Services)		46,400		27,379
People’s Insurance Company Group of China Limited H Shares (Financials, Insurance)		418,000		150,310
PetroChina Company Limited H Shares (Energy, Oil, Gas & Consumable Fuels)		1,078,692		421,383
PICC Property & Casualty Company Limited H Shares (Financials, Insurance)		348,000		368,002
Ping An Insurance Group Company H Shares (Financials, Insurance)		284,000		3,235,423
Postal Savings Bank of China Company Limited H Shares (Financials, Banks)		609,000		388,535
Seazen Group Limited (Real Estate, Real Estate Management & Development)		86,000		90,389
Semiconductor Manufacturing International Corporation (Information Technology, Semiconductors & Semiconductor Equipment) †		145,500		287,560
Shandong Weigao Group Medical Polymer Company Limited H Shares (Health Care, Health Care Equipment & Supplies)		120,000		156,585
Shanghai Baosight Software Company Limited Class B (Information Technology, Software)		20,600		46,099
Shanghai Electric Group Company Limited H Shares (Industrials, Electrical Equipment)		170,000		48,469
Shanghai Fosun Pharmaceutical Company Limited H Shares (Health Care, Pharmaceuticals)		30,500		87,462
Shanghai Lujiazui Finance & Trade Zone Development Company Limited (Real Estate, Real Estate Management & Development)		74,440		59,417
Shanghai Pharmaceuticals Holding Company Limited H Shares (Health Care, Health Care Providers & Services)		44,800		82,748
Shenzhen International Holdings Limited H Shares (Industrials, Transportation Infrastructure)		54,500		105,398
Shimao Property Holding Limited (Real Estate, Real Estate Management & Development)		50,500		185,098
Silergy Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		4,000		132,812
Sino Biopharmaceutical Limited Sino Biopharmaceutical(Health Care, Pharmaceuticals)		356,000		527,639
Sinopec Engineering Group H Shares (Industrials, Construction & Engineering)		83,000		41,319
Sinopec Shanghai Petrochemical Company Limited H Shares (Materials, Chemicals)		164,000		42,519
Sinopharm Group Company Limited H Shares (Health Care, Health Care Providers & Services)		61,200		192,264
Sinotrans Limited H Shares (Industrials, Air Freight & Logistics)		104,000		29,896
Tal Education Group ADR (Consumer Discretionary, Diversified Consumer Services) †		15,936		866,759
Tencent Music Entertainment ADR (Communication Services, Entertainment) †		9,467		114,835
Tingyi Holding Corporation (Consumer Staples, Food Products)		88,000		161,578
Tong Ren Tang Technologies Company Limited H Shares (Health Care, Pharmaceuticals)		38,000		35,099
Travelsky Technology Limited H Shares (Information Technology, IT Services)		51,000		100,970
Tsingtao Brewery Company Limited H Shares (Consumer Staples, Beverages)		34,000		179,598
Uni-President China Holdings Limited (Consumer Staples, Food Products)		70,000		72,707

The accompanying notes are an integral part of these financial statements.

60  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
China (continued)
Vipshop Holdings Limited ADR (Consumer Discretionary, Internet & Direct Marketing Retail) †		28,156	$	361,241
Want Want China Holdings Limited (Consumer Staples, Food Products)		334,000		262,164
Weibo Corporation ADR (Communication Services, Interactive Media & Services) †		5,606		236,237
Weichai Power Company Limited H Shares (Industrials, Machinery)		101,000		202,643
WuXi AppTec Company Limited (Health Care, Life Sciences Tools & Services) 144A		7,400		111,010
Yantai Changyu Pioneer Wine Company Limited Class B (Consumer Staples, Beverages)		21,800		38,959
Yanzhou Coal Mining Company Limited H Shares (Energy, Oil, Gas & Consumable Fuels)		84,000		64,550
Yuexiu Transport Infrastructure Limited (Industrials, Transportation Infrastructure)		54,000		42,103
Zhaojin Mining Industry Company Limited H Shares (Materials, Metals & Mining)		48,000		56,944
Zhejiang Expressway Company Limited H Shares (Industrials, Transportation Infrastructure)		76,000		57,907
Zhongsheng Group Holdings Limited (Consumer Discretionary, Specialty Retail)		27,000		103,967
Zhuzhou CSR Times Electric Company Limited H Shares (Industrials, Electrical Equipment)		28,700		101,933
Zijin Mining Group Company Limited H Shares (Materials, Metals & Mining)		262,000		118,237
ZTE Corporation H Shares (Information Technology, Communications Equipment) †		33,600		142,901
				37,538,479
Colombia: 0.32%
Almacenes Exito SA (Consumer Staples, Food & Staples Retailing)		6,432		28,804
Banco de Bogota SA (Financials, Banks)		2,561		62,613
Cementos Argos SA (Materials, Construction Materials)		28,691		43,209
Corporacion Financiera Colombiana SA (Financials, Diversified Financial Services)		6,649		60,837
Grupo Argos SA (Materials, Construction Materials)		17,276		73,636
Grupo de Inversiones Suramericana SA (Financials, Diversified Financial Services)		14,394		124,749
Grupo Energia Bogota SA (Utilities, Gas Utilities)		140,775		96,405
Grupo Nutresa SA (Consumer Staples, Food Products)		14,923		99,311
Interconexion Electrica SA (Utilities, Electric Utilities)		19,668		103,951
				693,515
Czech Republic: 0.28%
Central European Media Enterprises Limited Class A (Communication Services, Media) †		9,285		40,742
CEZ AS (Utilities, Electric Utilities)		9,931		190,209
Komercni Banka AS (Financials, Banks)		5,758		178,444
Moneta Money Bank (Financials, Banks) 144A		39,294		131,034
O2 Czech Republic AS (Communication Services, Diversified Telecommunication Services)		6,461		59,435
				599,864
Egypt: 0.23%
Commercial International Bank ADR (Financials, Banks)		100,744		505,936
Greece: 0.41%
Alpha Bank AE (Financials, Banks) †		77,060		112,503
Eurobank Ergasias SA (Financials, Banks) †		195,646		124,663
FF Group (Consumer Discretionary, Specialty Retail) †(a)		3,820		0
GEK Terna Holding Real Estate Construction SA (Industrials, Construction & Engineering) †		2,960		19,737
Hellenic Petroleum SA (Energy, Oil, Gas & Consumable Fuels)		4,667		32,665
Hellenic Telecommunications Organization SA (Communication Services, Diversified Telecommunication Services)		13,080		186,097
Jumbo SA (Consumer Discretionary, Specialty Retail)		5,706		90,142
LAMDA Development SA (Real Estate, Real Estate Management & Development) †		3,914		30,548
Motor Oil (Hellas) Corinth Refineries SA (Energy, Oil, Gas & Consumable Fuels)		3,332		54,440
Mytilineos Holdings SA (Industrials, Industrial Conglomerates)		5,030		38,286
National Bank of Greece SA (Financials, Banks) †		31,541		71,709
OPAP SA (Consumer Discretionary, Hotels, Restaurants & Leisure)		7,804		85,119
Piraeus Bank SA (Financials, Banks) †		16,418		36,993
				882,902

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  61

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
Hong Kong: 1.61%
Beijing Enterprises Holdings Limited (Utilities, Gas Utilities)		23,000	$	97,906
China Agri-Industries Holdings Limited (Consumer Staples, Food Products)		119,000		65,471
China Everbright International Limited (Industrials, Commercial Services & Supplies)		166,000		112,375
China Jinmao Holdings Group Limited (Real Estate, Real Estate Management & Development)		288,000		214,823
China Merchants Port Holdings Company Limited (Industrials, Transportation Infrastructure)		68,000		101,055
China Overseas Grand Oceans Group Limited (Real Estate, Real Estate Management & Development)		90,000		62,914
China Power International Development Limited (Utilities, Independent Power & Renewable Electricity Producers)		181,000		33,995
China Resources Beer Holdings Company Limited (Consumer Staples, Beverages)		82,000		386,969
China Resources Pharmaceutical Group Limited (Health Care, Pharmaceuticals)		97,000		85,559
China Resources Power Holdings Company (Utilities, Independent Power & Renewable Electricity Producers)		88,000		105,738
China Traditional Chinese Medicine Holdings Company Limited (Health Care, Pharmaceuticals)		126,000		67,154
China Travel International Investment Hong Kong Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		126,000		20,131
China Unicom Hong Kong Limited (Communication Services, Diversified Telecommunication Services)		316,000		253,927
CSPC Pharmaceutical Group Limited (Health Care, Pharmaceuticals)		230,000		536,143
Far East Horizon Limited (Financials, Diversified Financial Services)		107,000		94,889
Guangdong Investment Limited (Utilities, Water Utilities)		146,000		277,264
Haier Electronics Group Company (Consumer Discretionary, Household Durables)		62,000		180,793
Nine Dragons Paper Holdings Limited (Materials, Paper & Forest Products)		93,000		111,719
Poly Property Group Company Limited (Real Estate, Real Estate Management & Development)		113,000		42,997
Shanghai Industrial Holdings Limited (Industrials, Industrial Conglomerates)		25,000		44,500
Shenzhen Investment Limited (Real Estate, Real Estate Management & Development)		162,000		54,755
Shougang Fushan Resources Group Limited (Materials, Metals & Mining)		140,000		27,219
Sinotruk Hong Kong Limited (Industrials, Machinery)		35,000		68,039
Sun Art Retail Group Limited (Consumer Staples, Food & Staples Retailing)		111,000		143,461
Universal Medical Financial & Technical Advisory Services Company Limited (Health Care, Health Care Providers & Services) 144A		50,000		35,040
Wharf Holdings Limited (Real Estate, Real Estate Management & Development)		54,000		115,575
Yuexiu Property Company Limited (Real Estate, Real Estate Management & Development)		368,000		76,206
Yuexiu Real Estate Investment Trust (Real Estate, Equity REITs)		133,505		85,952
				3,502,569
Hungary: 0.46%
Magyar Telekom Telecommunications plc (Communication Services, Diversified Telecommunication Services)		34,879		45,319
MOL Hungarian Oil & Gas plc (Energy, Oil, Gas & Consumable Fuels)		30,098		232,284
OTP Bank plc (Financials, Banks)		12,942		568,065
Richter Gedeon (Health Care, Pharmaceuticals)		7,936		161,019
				1,006,687
India: 17.12%
3M India Limited (Industrials, Industrial Conglomerates) †		200		57,271
Aarti Industries Limited (Materials, Chemicals)		11,446		154,805
Aavas Financiers Limited (Financials, Thrifts & Mortgage Finance) †		1,392		36,240
ABB Limited India (Industrials, Electrical Equipment)		3,591		59,331
ABB Power Products & Systems India Limited (Industrials, Commercial Services & Supplies) †(a)‡		718		7,313
ACC Limited (Materials, Construction Materials)		4,508		83,122
Adani Enterprises Limited (Industrials, Trading Companies & Distributors)		24,465		75,038
Adani Gas Limited (Utilities, Gas Utilities)		22,600		42,475
Adani Green Energy Limited (Utilities, Independent Power & Renewable Electricity Producers) †		14,554		31,661
Adani Ports & Special Economic Zone Limited (Industrials, Transportation Infrastructure)		44,394		212,312
Adani Power Limited (Utilities, Independent Power & Renewable Electricity Producers) †		62,441		41,268

The accompanying notes are an integral part of these financial statements.

62  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
India (continued)
Adani Transmissions Limited (Utilities, Electric Utilities) †		20,824	$	73,122
Aditya Birla Capital Limited (Financials, Diversified Financial Services) †		49,296		53,606
Aditya Birla Fashion & Retail Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods) †		29,106		102,092
Aia Engineering Limited (Industrials, Machinery)		2,142		53,089
Ajanta Pharma Limited (Health Care, Pharmaceuticals)		2,475		47,775
Alembic Pharmaceuticals Limited (Health Care, Pharmaceuticals)		4,501		39,289
Alkem Laboratories Limited (Health Care, Pharmaceuticals)		4,331		158,797
Amara Raja Batteries Limited (Industrials, Electrical Equipment)		4,742		42,082
Ambuja Cements Limited (Materials, Construction Materials)		37,464		107,149
Apollo Hospitals Enterprise Limited (Health Care, Health Care Providers & Services)		5,436		131,128
Apollo Tyres Limited (Consumer Discretionary, Auto Components)		26,148		52,117
Arti Surfactants Limited (Materials, Chemicals) †(a)		541		0
Asahi India Glass Limited (Consumer Discretionary, Auto Components)		10,910		37,673
Ashok Leyland Limited (Industrials, Machinery)		94,359		92,614
Asian Paints Limited (Materials, Chemicals)		40,457		1,012,064
Astral Poly Technik Limited (Industrials, Building Products)		3,857		61,163
Atul Limited (Materials, Chemicals)		1,021		72,771
AU Small Finance Bank Limited (Financials, Banks) 144A		10,106		163,385
Aurobindo Pharma Limited (Health Care, Pharmaceuticals)		20,494		143,551
Axis Bank Limited (Financials, Banks)		129,631		1,262,786
Bajaj Auto Limited (Consumer Discretionary, Automobiles)		6,772		272,629
Bajaj Finance Limited (Financials, Consumer Finance)		12,219		763,932
Bajaj Finserv Limited (Financials, Insurance)		3,625		459,259
Bajaj Holdings & Investment Limited (Financials, Diversified Financial Services)		2,688		126,826
Balkrishna Industries Limited (Consumer Discretionary, Auto Components)		4,558		69,768
Bank of Baroda (Financials, Banks) †		68,251		73,408
Bata India Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		3,325		76,463
Bayer CropScience Limited (Materials, Chemicals)		779		47,301
Berger Paints India Limited (Materials, Chemicals)		18,170		143,208
Bharat Electronics Limited (Industrials, Aerospace & Defense)		61,010		62,939
Bharat Forge Limited (Consumer Discretionary, Auto Components)		14,283		86,839
Bharat Heavy Electricals Limited (Industrials, Electrical Equipment)		57,745		24,765
Bharat Petroleum Corporation Limited (Energy, Oil, Gas & Consumable Fuels)		48,207		285,868
Bharti Airtel Limited (Communication Services, Wireless Telecommunication Services) †		97,154		704,751
Bharti Infratel Limited (Communication Services, Diversified Telecommunication Services)		54,422		162,650
Biocon Limited (Health Care, Biotechnology)		24,225		97,113
Blue Star Limited (Industrials, Building Products)		4,533		50,733
Britannia Industries Limited (Consumer Staples, Food Products)		6,468		267,430
Cadila Healthcare Limited (Health Care, Pharmaceuticals)		17,118		61,991
Canara Bank (Financials, Banks) †		9,011		18,181
Carborundum Universal Limited (Industrials, Machinery)		8,485		38,241
Castrol India Limited (Materials, Chemicals)		25,364		51,866
Century Textiles & Industries Limited (Materials, Paper & Forest Products)		3,727		26,401
CESC Limited (Utilities, Electric Utilities)		3,786		34,117
Chambal Fertilisers and Chemicals Limited (Materials, Chemicals)		15,076		29,608
Cholamandalam Financial Holdings Limited (Financials, Consumer Finance)		6,996		49,731
Cholamandalam Investment & Finance Company Limited (Financials, Consumer Finance)		34,685		148,142
Cipla Limited India (Health Care, Pharmaceuticals)		31,287		175,326
City Union Bank Limited (Financials, Banks)		43,807		131,348
Colgate-Palmolive Company India Limited (Consumer Staples, Personal Products)		6,691		119,630
Container Corporation of India Limited (Industrials, Transportation Infrastructure)		14,091		100,104
Coromandel International Limited (Materials, Chemicals)		5,620		48,118
CRISIL Limited (Financials, Capital Markets)		1,275		26,924
Crompton Greaves Consumer Electricals Limited (Consumer Discretionary, Household Durables)		27,424		106,772
Cummins India Limited (Industrials, Machinery)		8,510		60,251
Cyient Limited (Information Technology, Software)		5,754		34,023

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  63

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
India (continued)
Dabur India Limited (Consumer Staples, Personal Products)		33,825	$	233,533
Dalmia Bharat Limited (Materials, Construction Materials)		5,886		63,788
DCB Bank Limited (Financials, Banks)		17,024		38,570
Delta Corp Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		11,984		22,327
Divi’s Laboratories Limited (Health Care, Life Sciences Tools & Services)		7,281		213,300
Dr. Lal Pathlabs Limited (Health Care, Health Care Providers & Services) 144A		2,028		45,981
Dr. Reddy’s Laboratories Limited (Health Care, Pharmaceuticals)		2,623		106,636
Dr. Reddy’s Laboratories Limited ADR (Health Care, Pharmaceuticals)		3,833		153,933
Edelweiss Financial Services Limited (Financials, Capital Markets)		41,713		51,699
EIH Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		13,482		24,715
Emami Limited (Consumer Staples, Personal Products)		12,816		45,560
Endurance Technologies Limited (Consumer Discretionary, Auto Components) 144A		6,416		87,260
Engineers India Limited (Industrials, Construction & Engineering)		19,319		18,910
Equitas Holdings Limited (Financials, Consumer Finance) †		19,383		29,351
Escorts Limited (Industrials, Machinery)		3,979		43,427
Exide Industries Limited (Consumer Discretionary, Auto Components)		29,362		67,151
Federal Bank Limited (Financials, Banks)		102,208		122,445
Finolex Cables Limited (Industrials, Electrical Equipment)		6,867		30,906
Finolex Industries Limited (Materials, Chemicals)		4,167		31,537
Fortis Healthcare Limited (Health Care, Health Care Providers & Services) †		33,187		71,249
Future Consumer Limited (Consumer Staples, Food Products) †		55,810		9,565
Future Retail Limited (Consumer Discretionary, Multiline Retail) †		13,294		56,385
Futures Lifestyle Fashions Limited (Consumer Discretionary, Specialty Retail)		5,682		27,544
Gail India Limited (Utilities, Gas Utilities)		92,612		134,360
Gillette India Limited (Consumer Staples, Personal Products)		590		47,554
GlaxoSmithKline Consumer Healthcare Limited (Consumer Staples, Food Products)		794		104,105
GlaxoSmithKline Pharmaceuticals Limited (Health Care, Pharmaceuticals)		2,768		50,200
Glenmark Pharmaceuticals Limited (Health Care, Pharmaceuticals)		10,509		40,535
GMR Infrastructure Limited (Industrials, Transportation Infrastructure) †		106,049		29,730
Godrej Consumer Products Limited (Consumer Staples, Personal Products)		20,905		163,302
Godrej Industries Limited (Industrials, Industrial Conglomerates)		15,852		86,670
Godrej Properties Limited (Real Estate, Real Estate Management & Development) †		5,201		72,548
Grasim Industries Limited (Materials, Construction Materials)		18,362		176,616
Gujarat Gas Limited (Utilities, Gas Utilities)		14,101		54,298
Gujarat State Petronet Limited (Utilities, Gas Utilities)		18,155		56,582
Hatsun Agro Products Limited (Consumer Staples, Food Products)		3,866		36,966
Havells India Limited (Industrials, Electrical Equipment)		13,476		114,962
HCL Technologies Limited (Information Technology, IT Services)		55,575		413,329
HDFC Asset Management Company Limited (Financials, Capital Markets) 144A		1,829		80,434
HDFC Life Insurance Company Limited (Financials, Insurance)		48,997		371,837
Hemisphere Properties India Limited (Real Estate, Real Estate Management & Development) †(a)‡		5,373		12,419
Hero Honda Motors Limited (Consumer Discretionary, Automobiles)		6,567		187,929
Hexaware Technologies Limited (Information Technology, IT Services)		7,103		35,526
Hindustan Petroleum Corporation Limited (Energy, Oil, Gas & Consumable Fuels)		38,135		104,866
Hindustan Unilever Limited (Consumer Staples, Household Products)		35,630		1,076,545
Honeywell Automation India Limited (Information Technology, Electronic Equipment, Instruments & Components)		155		71,294
Housing Development Finance Corporation Limited (Financials, Thrifts & Mortgage Finance)		86,541		2,625,849
ICICI Bank Limited (Financials, Banks)		299,587		2,080,094
ICICI Lombard General Insurance Company Limited (Financials, Insurance) 144A		8,117		139,092
ICICI Prudential Life Insurance Company Limited (Financials, Insurance) 144A		18,221		119,527
IDFC Bank Limited (Financials, Banks) †		111,253		57,307
IDFC Limited (Financials, Diversified Financial Services)		69,070		30,862
Indiabulls Housing Finance Limited (Financials, Thrifts & Mortgage Finance)		17,813		70,476
Indiabulls Ventures Limited (Financials, Capital Markets)		14,696		34,608
Indian Energy Exchange Limited (Financials, Capital Markets) 144A†		9,333		23,016

The accompanying notes are an integral part of these financial statements.

64  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
India (continued)
Indian Hotels Company Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		39,027	$	73,288
Indian Oil Corporation Limited (Energy, Oil, Gas & Consumable Fuels)		106,675		157,148
Indraprastha Gas Limited (Utilities, Gas Utilities)		13,757		84,721
Info Edge India Limited (Communication Services, Interactive Media & Services)		3,881		139,464
Infosys Limited (Information Technology, IT Services)		107,119		1,086,766
Infosys Limited ADR (Information Technology, IT Services)		95,625		962,944
Interglobe Aviation Limited (Industrials, Airlines)		5,026		91,376
Ipca Laboratories Limited (Health Care, Pharmaceuticals)		5,512		104,626
ITC Limited (Consumer Staples, Tobacco)		379,081		1,042,671
Jindal Steel & Power Limited (Materials, Metals & Mining) †		26,552		57,947
JK Cement Limited (Materials, Construction Materials)		2,403		46,382
JM Financial Limited (Financials, Capital Markets)		16,114		23,817
JSW Energy Limited (Utilities, Independent Power & Renewable Electricity Producers)		23,627		18,916
JSW Steel Limited (Materials, Metals & Mining)		66,284		219,852
Jubilant Foodworks Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		3,787		93,004
Jubilant Organosys Limited (Health Care, Pharmaceuticals)		6,482		45,475
Jyothy Laboratories Limited (Consumer Staples, Household Products)		12,520		21,541
Kajaria Ceramics Limited (Industrials, Building Products)		6,128		44,743
Kalpataru Power Transmission Limited (Industrials, Construction & Engineering)		4,121		19,135
Kansai Nerolac Paints Limited (Materials, Chemicals)		8,602		59,776
Karur Vysya Bank Limited (Financials, Banks)		54,171		31,537
KEC International Limited (Industrials, Construction & Engineering)		8,581		37,050
Kotak Mahindra Bank Limited (Financials, Banks)		63,287		1,432,249
KPR Mill Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		1,659		13,598
L&T Finance Holdings Limited (Financials, Diversified Financial Services)		38,621		54,100
L&T Technology Services Limited (Industrials, Professional Services) 144A		1,466		33,105
Larsen & Toubro Infotech Limited (Information Technology, IT Services) 144A		2,288		60,559
LIC Housing Finance Limited (Financials, Thrifts & Mortgage Finance)		15,373		68,876
Lupin Limited (Health Care, Pharmaceuticals)		13,074		116,421
Mahanagar Gas Limited (Utilities, Gas Utilities)		3,064		42,943
Mahindra & Mahindra Financial Services Limited (Financials, Consumer Finance)		14,571		70,092
Mahindra & Mahindra Limited (Consumer Discretionary, Automobiles)		47,609		303,812
Manappuram Finance Limited (Financials, Consumer Finance)		22,556		51,553
Marico Limited (Consumer Staples, Personal Products)		34,314		142,438
Max Financial Services Limited (Financials, Insurance) †		9,512		76,527
Minda Industries Limited (Consumer Discretionary, Auto Components)		5,964		30,833
Mindtree Limited (Information Technology, IT Services)		3,118		41,006
Motherson Sumi Systems Limited (Consumer Discretionary, Auto Components)		64,592		94,103
Motilal Oswal Financial Services Limited (Financials, Capital Markets)		2,693		28,042
Mphasis Limited (Information Technology, IT Services)		5,832		70,677
MRF Limited (Consumer Discretionary, Auto Components)		167		154,217
Multi Commodity Exchange of India Limited (Financials, Capital Markets)		2,750		49,027
Muthoot Finance Limited (Financials, Consumer Finance)		8,611		106,114
Nagarjuna Construction Company Limited (Industrials, Construction & Engineering)		34,248		17,050
Natco Pharma Limited (Health Care, Pharmaceuticals)		5,631		47,193
National Aluminum Company Limited (Materials, Metals & Mining)		60,663		28,374
Navin Fluorine International Limited (Materials, Chemicals)		1,924		38,346
Nestle India Limited (Consumer Staples, Food Products)		1,851		404,706
NHPC Limited (Utilities, Independent Power & Renewable Electricity Producers)		98,340		28,071
NIIT Technologies Limited (Information Technology, IT Services)		1,396		32,686
NMDC Limited (Materials, Metals & Mining)		26,161		33,471
NTPC Limited (Utilities, Independent Power & Renewable Electricity Producers)		217,872		322,382
Oberoi Realty Limited (Real Estate, Real Estate Management & Development)		7,774		55,211
Oil & Natural Gas Corporation Limited (Energy, Oil, Gas & Consumable Fuels)		127,245		163,148
Oil India Limited (Energy, Oil, Gas & Consumable Fuels)		32,454		48,900
Oracle Financials Services Limited (Information Technology, Software) †		1,371		50,499

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  65

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
India (continued)
Page Industries Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		252	$	78,015
Persistent Systems Limited (Information Technology, IT Services)		3,263		31,671
Petronet LNG Limited (Energy, Oil, Gas & Consumable Fuels)		45,640		156,174
Pfizer Limited (Health Care, Pharmaceuticals)		1,216		70,916
Phoenix Mills Limited (Real Estate, Real Estate Management & Development)		4,281		50,805
PI Industries Limited (Materials, Chemicals)		4,075		86,463
Pidilite Industries Limited (Materials, Chemicals)		14,384		302,703
Piramal Enterprises Limited (Health Care, Pharmaceuticals)		5,621		102,654
Polycab India Limited (Industrials, Electrical Equipment)		2,097		30,879
Power Finance Corporation Limited (Financials, Diversified Financial Services)		56,063		85,506
Power Grid Corporation of India Limited (Utilities, Electric Utilities)		110,561		278,059
Prestige Estates Projects Limited (Real Estate, Real Estate Management & Development)		9,170		37,154
Procter & Gamble Health Limited (Health Care, Pharmaceuticals)		499		28,913
Procter & Gamble Hygiene & Healthcare Limited (Consumer Staples, Personal Products)		517		79,990
Punjab National Bank (Financials, Banks) †		49,649		31,510
PVR Limited (Communication Services, Entertainment)		1,686		44,938
Rajesh Exports Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		6,704		61,143
RBL Bank Limited (Financials, Banks) 144A		24,190		98,566
REC Limited (Financials, Diversified Financial Services)		44,650		73,549
Relaxo Footwears Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		7,594		73,740
Reliance Nippon Life Asset Management Limited (Financials, Diversified Financial Services)		9,134		49,819
Sanofi India Limited (Health Care, Pharmaceuticals)		686		69,326
SBI Life Insurance Company Limited (Financials, Insurance) 144A		14,413		179,145
Schaeffler India Limited (Industrials, Machinery)		651		39,382
Shree Cement Limited (Materials, Construction Materials)		726		229,416
Shriram City Union Finance Limited (Financials, Consumer Finance)		1,653		32,966
Shriram Transport Finance Company Limited (Financials, Consumer Finance)		8,933		149,443
Siemens India Limited (Industrials, Industrial Conglomerates)		4,609		83,796
SKF India Limited (Industrials, Machinery)		1,846		48,057
Solar Industries India Limited (Materials, Chemicals)		1,850		29,685
Spicejet Limited (Industrials, Airlines) †		16,524		19,360
SRF Limited (Materials, Chemicals)		1,543		83,253
State Bank of India (Financials, Banks) †		156,387		666,601
Strides Shasun Limited (Health Care, Pharmaceuticals)		5,620		36,866
Sun Pharmaceutical Industries Limited (Health Care, Pharmaceuticals)		54,005		280,389
Sun TV Network Limited (Communication Services, Media)		7,632		44,244
Sundaram Finance Limited (Financials, Consumer Finance)		3,594		78,628
Sundram Fasteners Limited (Consumer Discretionary, Auto Components)		5,933		34,138
Sunteck Realty Limited (Real Estate, Real Estate Management & Development)		4,671		22,715
Supreme Industries Limited (Materials, Chemicals)		3,237		59,520
Tata Chemicals Limited (Materials, Chemicals)		7,840		78,122
Tata Communications Limited (Communication Services, Diversified Telecommunication Services)		5,373		27,135
Tata Consultancy Services Limited (Information Technology, IT Services)		51,038		1,414,538
Tata Motors Limited (Consumer Discretionary, Automobiles) †		83,937		152,709
Tata Power Company Limited (Utilities, Electric Utilities)		84,043		54,896
Tata Steel Limited (Materials, Metals & Mining)		33,619		181,192
Tata Tea Limited (Consumer Staples, Food Products)		21,059		101,404
TeamLease Services Limited (Industrials, Professional Services) †		771		24,972
Tech Mahindra Limited (Information Technology, IT Services)		36,160		374,076
The Great Eastern Shipping Company Limited (Energy, Oil, Gas & Consumable Fuels)		6,253		21,051
The Ramco Cements Limited (Materials, Construction Materials)		9,038		96,828
Thermax India Limited (Industrials, Machinery)		2,489		31,989
Titan Industries Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		18,641		326,277
Torrent Pharmaceuticals Limited (Health Care, Pharmaceuticals)		3,241		96,971
Torrent Power Limited (Utilities, Electric Utilities)		8,145		34,192
Trent Limited (Consumer Discretionary, Multiline Retail)		9,580		98,293

The accompanying notes are an integral part of these financial statements.

66  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
India (continued)
TTK Prestige Limited (Consumer Discretionary, Household Durables)		430	$	33,943
Tube Investments of India Limited (Consumer Discretionary, Auto Components)		7,853		57,455
Ujjivan Financial Services Limited (Financials, Consumer Finance)		5,669		26,744
United Breweries Limited (Consumer Staples, Beverages)		4,893		84,330
UPL Limited (Materials, Chemicals)		24,092		174,221
V-Guard Industries Limited (Industrials, Electrical Equipment)		11,366		32,166
Varun Beverages Limited (Consumer Staples, Beverages)		11,327		128,423
Vinati Organics Limited (Materials, Chemicals)		1,776		23,254
VIP Industries Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		7,488		42,871
Voltas Limited (Industrials, Construction & Engineering)		11,225		106,337
Wabco India Limited (Consumer Discretionary, Auto Components)		410		38,469
Whirlpool of India Limited (Consumer Discretionary, Household Durables)		2,139		64,944
Wipro Limited (Information Technology, IT Services)		113,766		350,852
Yes Bank Limited (Financials, Banks)		132,139		63,353
Zee Entertainment Enterprises Limited (Communication Services, Media)		47,367		158,138
				37,155,705
Indonesia: 2.02%
PT Ace Hardware Incorporated Indonesia Tbk (Consumer Discretionary, Specialty Retail)		342,600		36,337
PT Adaro Energy Tbk (Energy, Oil, Gas & Consumable Fuels)		786,000		64,413
PT AKR Corporindo Tbk (Industrials, Trading Companies & Distributors)		97,100		18,185
PT Aneka Tambang Tbk (Materials, Metals & Mining)		316,100		12,900
PT Bank Central Asia Tbk (Financials, Banks)		546,100		1,206,285
PT Bank Negara Indonesia Persero Tbk (Financials, Banks)		372,700		186,690
PT Bank Pembangunan Daerah Jawa Barat dan Banten Tbk (Financials, Banks)		292,500		18,184
PT Bank Rakyat Indonesia Tbk (Financials, Banks)		2,654,200		793,146
PT Bank Tabungan Negara Persero Tbk (Financials, Banks)		239,300		28,938
PT Bank Tabungan Pensiunan Nasional Syariah Tbk (Financials, Banks) †		134,100		35,482
PT Bank Tabungan Pensiunan Nasional Tbk (Financials, Banks) †		497,277		93,927
PT Bayan Resources Group Tbk (Energy, Oil, Gas & Consumable Fuels)		10,952		11,603
PT Bumi Serpong Damai Tbk (Real Estate, Real Estate Management & Development) †		429,300		30,568
PT Charoen Pokphand Indonesia Tbk (Consumer Staples, Food Products)		338,300		136,810
PT Ciputra Development Tbk (Real Estate, Real Estate Management & Development)		551,800		37,221
PT Gudang Garam Tbk (Consumer Staples, Tobacco)		23,100		82,778
PT Hanjaya Mandala Sampoerna Tbk (Consumer Staples, Tobacco)		421,200		50,896
PT Hanson International Tbk (Real Estate, Real Estate Management & Development) †(a)		10,045,000		35,006
PT Indofood CBP Sukses Makmur Tbk (Consumer Staples, Food Products)		116,100		83,411
PT Indofood Sukses Makmur Tbk (Consumer Staples, Food Products)		215,400		99,344
PT Jasa Marga (Persero) Tbk (Industrials, Transportation Infrastructure)		90,800		30,107
PT Kalbe Farma Tbk (Health Care, Pharmaceuticals)		1,026,100		88,714
PT Mayora Indah Tbk (Consumer Staples, Food Products)		184,987		23,343
PT Media Nusantara Citra Tbk (Communication Services, Media)		294,100		26,655
PT Merdeka Copper Gold Tbk (Materials, Metals & Mining) †		273,900		24,913
PT Mitra Adiperkasa Tbk (Consumer Discretionary, Multiline Retail)		377,300		21,203
PT Mitra Keluarga Karyasehat Tbk (Health Care, Health Care Providers & Services)		254,400		44,317
PT Perusahaan Gas Negara Persero Tbk (Utilities, Gas Utilities)		463,300		42,182
PT Samudra Tbk (Energy, Energy Equipment & Services) †		1,288,600		8,532
PT Sumber Alfaria Trijaya Tbk (Consumer Staples, Food & Staples Retailing)		1,194,600		64,528
PT Summarecon Agung Tbk (Real Estate, Real Estate Management & Development)		442,200		26,236
PT Surya Citra Media Tbk (Communication Services, Media)		279,800		22,287
PT Telekomunikasi Indonesia Persero Tbk (Communication Services, Diversified Telecommunication Services)		2,329,000		567,868
PT Tower Bersama Infrastructure Tbk (Communication Services, Diversified Telecommunication Services)		482,000		37,360
PT Unilever Indonesia Tbk (Consumer Staples, Household Products)		269,300		129,366
PT United Tractors Tbk (Energy, Oil, Gas & Consumable Fuels)		77,100		90,492

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  67

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
Indonesia (continued)
PT Waskita Karya Persero Tbk (Industrials, Construction & Engineering)		241,900	$	16,868
PT Wijaya Karya Persero Tbk (Industrials, Construction & Engineering)		179,400		24,155
PT XL Axiata Tbk (Communication Services, Wireless Telecommunication Services) †		167,900		30,881
				4,382,131
Malaysia: 2.38%
AFFIN Bank Bhd (Financials, Banks) †		96,000		40,541
AirAsia Bhd (Industrials, Airlines)		109,700		26,276
Alliance Financial Group Bhd (Financials, Banks)		67,500		37,259
AMMB Holdings Bhd (Financials, Banks)		79,700		70,272
Asiatic Development Bhd (Consumer Staples, Food Products)		26,900		65,580
Astro Malaysia Holdings Bhd (Communication Services, Media)		105,400		29,919
Axiata Group Bhd (Communication Services, Wireless Telecommunication Services)		136,300		136,333
Batu Kawan Bhd (Materials, Chemicals)		12,900		47,499
Berjaya Sports Toto Bhd (Consumer Discretionary, Hotels, Restaurants & Leisure)		33,400		19,911
Boustead Holdings Bhd (Industrials, Industrial Conglomerates) †		124,000		23,976
British American Tobacco Malaysia Bhd (Consumer Staples, Tobacco)		9,000		26,686
Bursa Malaysia Bhd (Financials, Capital Markets)		39,200		51,471
Carlsberg Brewery Malaysia Bhd (Consumer Staples, Beverages)		9,700		73,709
CIMB Group Holdings Bhd (Financials, Banks)		273,500		313,972
Dialog Group Bhd (Energy, Energy Equipment & Services)		218,500		175,216
Digi.com Bhd (Communication Services, Wireless Telecommunication Services)		108,700		108,383
Felda Global Ventures Holdings Bhd (Consumer Staples, Food Products) †		90,100		24,603
Fraser & Neave Holdings Bhd (Consumer Staples, Beverages)		8,200		60,544
Gamuda Bhd (Industrials, Construction & Engineering)		90,200		71,310
Genting Bhd (Consumer Discretionary, Hotels, Restaurants & Leisure)		113,400		133,692
Genting Malaysia Bhd (Consumer Discretionary, Hotels, Restaurants & Leisure)		156,900		108,156
HAP Seng Consolidated Bhd (Industrials, Industrial Conglomerates)		36,200		76,952
Hartalega Holdings Bhd (Health Care, Health Care Equipment & Supplies)		83,000		122,088
Heineken Malaysia Bhd (Consumer Staples, Beverages)		9,800		59,288
Hong Leong Financial Group Bhd (Financials, Banks)		19,500		70,783
IGB REIT Bhd (Real Estate, Equity REITs)		114,400		53,197
IHH Healthcare Bhd (Health Care, Health Care Providers & Services)		129,500		177,700
IJM Corporation Bhd (Industrials, Construction & Engineering)		117,000		54,569
Inari Amertron Bhd (Information Technology, Electronic Equipment, Instruments & Components)		130,400		44,633
IOI Corporation Bhd (Consumer Staples, Food Products)		117,400		116,943
IOI Properties Group Bhd (Real Estate, Real Estate Management & Development)		93,500		22,595
Kossan Rubber Industries Bhd (Health Care, Health Care Equipment & Supplies)		31,900		36,479
Kuala Lumpur Kepong Bhd (Consumer Staples, Food Products)		21,000		109,969
LPI Capital Bhd (Financials, Insurance)		14,100		48,523
Magnum Bhd (Consumer Discretionary, Hotels, Restaurants & Leisure)		53,000		30,304
Malaysia Airports Holdings Bhd (Industrials, Transportation Infrastructure)		52,100		81,963
Malaysia Building Society Bhd (Financials, Thrifts & Mortgage Finance)		172,700		31,620
Malaysian Resources Corporation Bhd (Industrials, Construction & Engineering)		114,800		15,629
Maxis Bhd (Communication Services, Wireless Telecommunication Services)		58,900		76,772
MISC Bhd (Industrials, Marine)		56,200		102,321
MyEG Services Bhd (Information Technology, IT Services)		141,600		38,011
Nestle Malaysia Bhd (Consumer Staples, Food Products)		3,600		123,011
Oriental Holdings Bhd (Consumer Discretionary, Automobiles)		29,100		43,469
Petronas Chemicals Group Bhd (Materials, Chemicals)		115,600		149,150
Petronas Dagangan Bhd (Energy, Oil, Gas & Consumable Fuels)		14,200		77,278
PPB Group Bhd (Consumer Staples, Food Products)		33,700		146,611
Press Metal Bhd (Materials, Metals & Mining)		113,200		126,939
Ql Resources Bhd (Consumer Staples, Food Products)		45,560		88,202
RHB Capital Bhd (Financials, Banks)		89,400		117,715

The accompanying notes are an integral part of these financial statements.

68  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
Malaysia (continued)
Sapurakencana Petroleum Bhd (Energy, Energy Equipment & Services)		370,900	$	16,635
Scientex Bhd (Materials, Chemicals)		21,000		44,840
Serba Dinamik Holdings Bhd (Energy, Energy Equipment & Services)		37,650		19,865
Sime Darby Bhd (Industrials, Industrial Conglomerates)		169,600		81,097
Sime Darby Plantation Bhd (Consumer Staples, Food Products)		113,600		134,850
Sime Darby Property Bhd (Real Estate, Real Estate Management & Development)		167,100		31,015
SP Setia Bhd (Real Estate, Real Estate Management & Development)		85,500		25,937
Sunway Bhd (Real Estate, Real Estate Management & Development)		138,650		58,390
Sunway REIT Bhd (Real Estate, Equity REITs)		88,800		40,116
Telecom Malaysia Bhd (Communication Services, Diversified Telecommunication Services)		67,600		59,697
Tenaga Nasional Bhd (Utilities, Electric Utilities)		120,100		346,877
TIME dotCom Bhd (Communication Services, Diversified Telecommunication Services)		21,100		46,779
Top Glove Corporation Bhd (Health Care, Health Care Equipment & Supplies)		77,900		104,518
UMW Holdings Bhd (Consumer Discretionary, Automobiles)		25,000		19,014
United Plantations Bhd (Consumer Staples, Food Products)		8,400		52,293
VS Industry Bhd (Information Technology, Electronic Equipment, Instruments & Components)		78,275		24,193
Westports Holdings Bhd (Industrials, Transportation Infrastructure)		48,900		40,358
Yinson Holdings Bhd (Energy, Energy Equipment & Services)		34,300		58,082
YTL Corporation Bhd (Utilities, Multi-Utilities)		244,462		49,111
YTL Power International Bhd (Utilities, Multi-Utilities)		143,200		23,192
				5,164,881
Mexico: 3.38%
Alpek SAB de CV (Materials, Chemicals)		14,000		9,503
Alsea SAB de CV (Consumer Discretionary, Hotels, Restaurants & Leisure) †		25,774		52,417
America Movil SAB de CV Series L (Communication Services, Wireless Telecommunication Services)		1,302,223		1,030,108
Arca Continental SAB de CV (Consumer Staples, Beverages)		24,267		133,769
Banco del Bajio SA (Financials, Banks) 144A		49,200		77,038
Banco Santander Mexico SA (Financials, Banks)		82,778		106,232
Becle SAB de CV ADR (Consumer Staples, Beverages)		29,500		44,648
Cemex SAB de CV ADR (Materials, Construction Materials)		76,722		251,648
CFE Capital S de RL de CV (Utilities, Electric Utilities)		39,547		50,330
Coca-Cola Femsa SAB de CV (Consumer Staples, Beverages)		27,528		154,066
Controladora Vuela Compania de Aviacion SAB de CV Class A (Industrials, Airlines) †		41,700		42,901
Corporacion Inmobiliaria Vesta SAB de CV (Real Estate, Real Estate Management & Development)		31,200		49,599
El Puerto de Liverpool SAB de CV (Consumer Discretionary, Multiline Retail)		10,533		49,767
Fibra Uno Administracion SAB de CV (Real Estate, Equity REITs)		196,953		298,286
Fomento Economico Mexicano SAB de CV (Consumer Staples, Beverages)		107,428		875,994
Genomma Lab Internacional SAB de CV Class B (Health Care, Pharmaceuticals) †		58,493		60,029
Gentera SAB de CV (Financials, Consumer Finance)		56,248		54,125
GMexico Transportes SAB de CV (Industrials, Road & Rail) 144A		27,600		37,776
Gruma SAB de CV Class B (Consumer Staples, Food Products)		11,295		109,013
Grupo Aeroportuario del Centro Norte SAB de CV (Industrials, Transportation Infrastructure)		17,510		114,625
Grupo Aeroportuario del Pacifico SAB de CV Class B (Industrials, Transportation Infrastructure)		19,615		212,264
Grupo Aeroportuario del Sureste SAB de CV Class B (Industrials, Transportation Infrastructure)		8,665		144,285
Grupo Carso SAB de CV (Industrials, Industrial Conglomerates)		21,701		60,485
Grupo Cementos de Chihuahua SAB de CV (Materials, Construction Materials)		8,800		43,667
Grupo Comercial Chedraui SAB de CV (Consumer Staples, Food & Staples Retailing)		15,044		20,636
Grupo Elektra SAB de CV (Financials, Banks)		3,199		216,160
Grupo Financiero Banorte SAB de CV (Financials, Banks)		140,400		767,660
Grupo Financiero Inbursa SAB de CV (Financials, Banks)		103,300		112,049
Grupo Lala SAB de CV (Consumer Staples, Food Products)		31,267		23,224
Grupo Mexico SAB de CV Series B (Materials, Metals & Mining)		152,500		360,350
Grupo Televisa SAB ADR (Communication Services, Media)		26,679		250,783
Industrias Bachoco SAB de CV Series B (Consumer Staples, Food Products)		9,555		34,501

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  69

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
Mexico (continued)
Industrias CH SAB de CV Series B (Materials, Metals & Mining) †		7,200	$	30,734
Industrias Penoles SAB de CV (Materials, Metals & Mining)		5,493		49,407
Infraestructura Energetica Nova SAB de CV (Utilities, Gas Utilities)		24,500		107,545
Macquarie Mexico Real Estate Management SA de CV (Real Estate, Equity REITs) 144A		39,805		52,256
Nemak SAB de CV (Consumer Discretionary, Auto Components)		151,800		50,130
Orbia Advance Corporation SAB de CV (Materials, Chemicals)		46,524		91,592
PLA Administradora Industrial S de RL de CV (Real Estate, Equity REITs)		40,504		61,714
Prologis Property Mexico SA de CV (Real Estate, Equity REITs)		19,094		40,278
Promotora y Operadora de Infraestructura SAB de CV (Industrials, Transportation Infrastructure)		10,884		106,634
Regional SAB de CV (Financials, Banks)		11,900		66,202
Telesites SAB de CV (Communication Services, Diversified Telecommunication Services) †		168,200		127,925
Walmart de Mexico SAB de CV (Consumer Staples, Food & Staples Retailing)		248,939		700,793
				7,333,148
Netherlands: 0.08%
X5 Retail Group NV GDR (Consumer Staples, Food & Staples Retailing)		5,665		177,437
Philippines: 1.93%
Aboitiz Equity Ventures Incorporated (Industrials, Industrial Conglomerates)		126,400		106,325
Aboitiz Power Corporation (Utilities, Independent Power & Renewable Electricity Producers)		77,000		41,540
Alliance Global Group Incorporated (Industrials, Industrial Conglomerates) †		308,400		60,742
Altus San Nicolas Corporation (Consumer Discretionary, Hotels, Restaurants & Leisure) (a)†‡		1,637		167
Ayala Corporation (Industrials, Industrial Conglomerates)		15,220		198,413
Ayala Land Incorporated (Real Estate, Real Estate Management & Development)		415,910		320,309
Bank of the Philippine Islands (Financials, Banks)		100,950		146,746
BDO Unibank Incorporated (Financials, Banks)		118,830		324,938
Bloomberry Resorts Corporation (Consumer Discretionary, Hotels, Restaurants & Leisure)		210,100		33,662
China Banking Corporation (Financials, Banks)		149,603		72,826
Cosco Capital Incorporated (Consumer Staples, Food & Staples Retailing)		261,087		31,960
D&L Industries Incorporated (Materials, Chemicals)		149,400		21,161
DMCI Holdings Incorporated (Industrials, Industrial Conglomerates)		219,300		22,801
Energy Development Corporation (Utilities, Independent Power & Renewable Electricity Producers) †(a)‡		231,800		31,240
First Gen Corporation (Utilities, Independent Power & Renewable Electricity Producers)		60,100		21,717
Globe Telecom Incorporated (Communication Services, Wireless Telecommunication Services)		1,475		51,477
Golden Bria Holdings Incorporated (Consumer Discretionary, Diversified Consumer Services) †		4,490		36,114
GT Capital Holdings Incorporated (Industrials, Industrial Conglomerates)		4,993		69,885
International Container Term Services Incorporated (Industrials, Transportation Infrastructure)		87,300		183,500
JG Summit Holdings (Industrials, Industrial Conglomerates)		255,660		339,874
Jollibee Foods Corporation (Consumer Discretionary, Hotels, Restaurants & Leisure)		37,080		123,989
MacroAsia Corporation (Industrials, Transportation Infrastructure)		96,200		15,979
Manila Electric Company (Utilities, Electric Utilities)		15,390		81,456
Manila Water Company (Utilities, Water Utilities)		66,600		15,365
Megaworld Corporation (Real Estate, Real Estate Management & Development)		725,400		48,578
Metro Pacific Investments Corporation (Financials, Diversified Financial Services)		668,100		40,237
Metropolitan Bank & Trust Company (Financials, Banks)		134,177		147,977
Philippine National Bank (Financials, Banks) †		81,720		46,892
Philippine Seven Corporation (Consumer Staples, Food & Staples Retailing)		17,993		53,653
Pilipinas Shell Petroleum Corporation (Energy, Oil, Gas & Consumable Fuels)		3,130		1,600
PLDT Incorporated (Communication Services, Wireless Telecommunication Services)		5,750		111,802
Puregold Price Club Incorporated (Consumer Staples, Food & Staples Retailing)		63,510		46,132
Rizal Commercial Banking (Financials, Banks)		82,600		32,031
Robinsons Land Company (Real Estate, Real Estate Management & Development)		109,400		45,713
Robinsons Retail Holdings Incorporated (Consumer Staples, Food & Staples Retailing)		33,000		43,357
San Miguel Corporation (Industrials, Industrial Conglomerates)		23,750		58,729

The accompanying notes are an integral part of these financial statements.

70  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
Philippines (continued)
San Miguel Food & Beverage Incorporated (Consumer Staples, Food Products)		111,620	$	159,848
Security Bank Corporation (Financials, Banks)		31,550		95,910
Semirara Mining & Power Corporation (Energy, Oil, Gas & Consumable Fuels)		86,500		32,917
SM Investments Corporation (Industrials, Industrial Conglomerates)		34,075		652,936
Universal Robina Corporation (Consumer Staples, Food Products)		53,590		148,549
Vista Land & Lifescapes Incorporated (Real Estate, Real Estate Management & Development)		326,200		40,347
Wilcon Depot Incorporated (Consumer Discretionary, Specialty Retail)		102,200		36,289
				4,195,683
Romania: 0.06%
NEPI Rockcastle plc (Real Estate, Real Estate Management & Development)		17,760		131,464
Russia: 6.45%
Aeroflot PJSC (Industrials, Airlines)		27,218		38,635
Alrosa PJSC (Materials, Metals & Mining)		155,200		165,513
Credit Bank of Moscow PJSC (Financials, Banks)		575,700		47,935
Federal Grid Company Unified Energy System PJSC (Utilities, Electric Utilities)		15,060,000		45,454
Gazprom Neft PJSC (Energy, Oil, Gas & Consumable Fuels)		20,435		123,699
Gazprom PJSC (Energy, Oil, Gas & Consumable Fuels)		628,070		1,917,214
Inter Rao Ues PJSC (Utilities, Electric Utilities)		1,703,002		134,273
LSR Group PJSC (Real Estate, Real Estate Management & Development)		844		10,539
Lukoil PJSC (Energy, Oil, Gas & Consumable Fuels)		31,117		2,667,768
Magnit PJSC (Consumer Staples, Food & Staples Retailing)		5,117		245,607
Magnitogorsk Iron & Steel Works PJSC (Materials, Metals & Mining)		105,900		64,473
MMC Norilsk Nickel PJSC (Materials, Metals & Mining)		3,217		983,886
Mobile TeleSystems PJSC (Communication Services, Wireless Telecommunication Services)		46,104		224,731
Moscow Exchange MICEX-RTS PJSC (Financials, Capital Markets)		84,290		126,792
Nizhnekamskneftekhim PJSC (Materials, Chemicals)		43,582		63,390
Novatek PJSC (Energy, Oil, Gas & Consumable Fuels)		91,416		1,339,109
Novolipetsk Steel PJSC (Materials, Metals & Mining)		66,600		124,867
Novorossiysk Commercial Sea Port PJSC (Industrials, Transportation Infrastructure)		219,900		28,697
PhosAgro PJSC (Materials, Chemicals)		2,733		93,705
PIK Group PJSC (Real Estate, Real Estate Management & Development)		15,859		93,142
Polyus PJSC (Materials, Metals & Mining)		1,337		166,385
Rosgosstrakh PJSC (Financials, Insurance) †		11,193,000		29,459
Rosneft Oil Company PJSC (Energy, Oil, Gas & Consumable Fuels)		171,760		1,048,455
Rostelecom PJSC (Communication Services, Diversified Telecommunication Services)		43,760		57,414
Rushydro PJSC (Utilities, Electric Utilities)		8,440,000		81,771
RussNeft PJSC (Energy, Oil, Gas & Consumable Fuels) †		6,600		52,191
Safmar Financial Investment PJSC (Financials, Consumer Finance)		3,840		29,608
Sberbank of Russia PJSC (Financials, Banks)		516,830		1,825,641
Severstal PJSC (Materials, Metals & Mining)		11,369		140,907
Sistema PJSFC (Communication Services, Wireless Telecommunication Services)		206,100		50,264
Surgutneftegas PJSC (Energy, Oil, Gas & Consumable Fuels)		1,725,000		1,001,498
Tatneft PJSC (Energy, Oil, Gas & Consumable Fuels)		77,597		784,051
United Wagon PJSC (Industrials, Road & Rail) †		4,134		17,946
VTB Bank PJSC (Financials, Banks)		254,050,000		164,910
				13,989,929
South Africa: 3.20%
Absa Group Limited (Financials, Banks)		35,606		306,412
ADvTECH Limited (Consumer Discretionary, Diversified Consumer Services)		18,783		11,149
AECI Limited (Materials, Chemicals)		4,756		31,771
African Rainbow Minerals Limited (Materials, Metals & Mining)		4,566		41,145
Anglo American Platinum Limited (Materials, Metals & Mining)		2,995		201,076

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  71

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
South Africa (continued)
Anglogold Ashanti Limited (Materials, Metals & Mining)		19,844	$	353,387
Aspen Pharmacare Holdings Limited (Health Care, Pharmaceuticals) †		18,195		117,076
Assore Limited (Materials, Metals & Mining)		1,572		17,854
Astral Foods Limited (Consumer Staples, Food Products)		1,994		23,992
Attacq Limited (Real Estate, Equity REITs)		37,062		21,976
Avi Limited (Consumer Staples, Food Products)		14,840		69,444
Barloworld Limited (Industrials, Trading Companies & Distributors)		10,049		52,274
Bid Corporation Limited (Consumer Staples, Food & Staples Retailing)		14,751		266,913
Capitec Bank Holdings Limited (Financials, Banks)		3,863		326,983
Clicks Group Limited (Consumer Staples, Food & Staples Retailing)		11,760		177,829
Coronation Fund Managers Limited (Financials, Capital Markets)		9,213		23,597
Dis-Chem Pharmacies Limited (Consumer Staples, Food & Staples Retailing)		16,643		23,065
Distell Group Holdings Limited (Consumer Staples, Beverages)		8,686		55,401
Equites Property Fund Limited (Real Estate, Equity REITs)		27,894		30,880
Exxaro Resources Limited (Energy, Oil, Gas & Consumable Fuels)		11,423		82,755
Fortress REIT Limited (Real Estate, Equity REITs)		61,659		63,833
Foschini Limited (Consumer Discretionary, Specialty Retail)		10,673		85,336
Gold Fields Limited (Materials, Metals & Mining)		39,642		241,094
Growthpoint Properties Limited (Real Estate, Equity REITs)		136,725		156,653
Harmony Gold Mining Company Limited (Materials, Metals & Mining) †		21,327		75,088
Hyprop Investments Limited (Real Estate, Equity REITs)		11,646		33,781
Impala Platinum Holdings Limited (Materials, Metals & Mining) †		33,384		271,351
Imperial Holdings Limited (Consumer Discretionary, Distributors)		8,006		23,751
Investec Limited (Financials, Capital Markets)		13,328		69,523
Italtile Limited (Consumer Discretionary, Specialty Retail)		34,836		26,417
JSE Limited (Financials, Capital Markets)		4,004		25,667
KAP Industrial Holdings Limited (Industrials, Industrial Conglomerates)		117,965		22,081
Kumba Iron Ore Limited (Materials, Metals & Mining)		2,823		52,023
Liberty Holdings Limited (Financials, Insurance)		5,465		32,829
Life Healthcare Group Holdings Limited (Health Care, Health Care Providers & Services)		61,169		87,440
Momentum Metropolitan Holdings Limited (Financials, Insurance)		40,844		46,604
Motus Holdings Limited (Consumer Discretionary, Specialty Retail)		8,494		39,796
Mr Price Group Limited (Consumer Discretionary, Specialty Retail)		11,791		115,809
MTN Group Limited (Communication Services, Wireless Telecommunication Services)		64,301		306,554
MultiChoice Group Limited (Communication Services, Media) †		20,596		119,378
Nedbank Group Limited (Financials, Banks)		17,498		200,041
Netcare Limited (Health Care, Health Care Providers & Services)		58,519		68,647
Northam Platinum Limited (Materials, Metals & Mining) †		21,552		153,641
Pick’n Pay Stores Limited (Consumer Staples, Food & Staples Retailing)		16,137		58,347
Pioneer Foods Group Limited (Consumer Staples, Food Products)		7,421		51,838
PSG Group Limited (Financials, Diversified Financial Services)		8,772		106,543
Redefine Properties Limited (Real Estate, Equity REITs)		264,246		91,978
Remgro Limited (Financials, Diversified Financial Services)		23,996		249,596
Resilient REIT Limited (Real Estate, Equity REITs)		15,911		59,821
Reunert Limited (Industrials, Industrial Conglomerates)		7,828		28,461
RMB Holdings Limited (Financials, Diversified Financial Services)		34,674		158,733
SA Corporate Real Estate Limited REIT (Real Estate, Equity REITs)		106,842		14,246
Santam Limited (Financials, Insurance)		1,864		30,480
Sappi Limited (Materials, Paper & Forest Products) †		25,770		48,203
Shoprite Holdings Limited (Consumer Staples, Food & Staples Retailing)		25,029		182,309
SPAR Group Limited (Consumer Staples, Food & Staples Retailing)		8,091		86,911
Standard Bank Group Limited (Financials, Banks)		58,663		563,883
Super Group Limited (Consumer Staples, Food & Staples Retailing) †		18,694		25,536
Telkom SA SOC Limited (Communication Services, Diversified Telecommunication Services)		14,851		25,264
The Bidvest Group Limited (Industrials, Industrial Conglomerates)		14,326		166,991

The accompanying notes are an integral part of these financial statements.

72  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
South Africa (continued)
Tiger Brands Limited (Consumer Staples, Food Products)		8,859	$	85,983
Tsogo Sun Gaming Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		19,872		12,125
Vodacom Group Limited (Communication Services, Wireless Telecommunication Services)		23,792		170,119
Vukile Property Fund Limited REIT (Real Estate, Equity REITs)		46,355		43,562
Wilson Bayly Holmes Ovcon Limited (Industrials, Construction & Engineering)		2,739		17,343
Woolworths Holdings Limited (Consumer Discretionary, Multiline Retail)		48,352		113,838
				6,944,426
South Korea: 11.23%
AfreecaTV Company Limited (Communication Services, Interactive Media & Services)		510		23,230
Alteogen Incorporated (Health Care, Biotechnology) †		554		40,126
Amorepacific Corporation (Consumer Staples, Personal Products)		1,515		200,677
Amorepacific Group (Consumer Staples, Personal Products)		1,958		100,250
Ananti Incorporated (Consumer Discretionary, Hotels, Restaurants & Leisure) †		2,914		16,632
Asiana Airlines (Industrials, Airlines) †		6,615		22,806
BGF Retail Company Limited (Consumer Staples, Food & Staples Retailing)		504		62,870
BH Company Limited (Information Technology, Electronic Equipment, Instruments & Components) †		1,133		16,929
BNK Financial Group Incorporated (Financials, Banks)		16,042		81,359
Bukwang Pharmaceutical Company (Health Care, Pharmaceuticals)		2,857		29,931
Celltrion Incorporated (Health Care, Pharmaceuticals) †		4,931		703,461
Chabiotech Company Limited (Health Care, Health Care Providers & Services) †		2,572		26,463
Cheil Worldwide Incorporated (Communication Services, Media)		4,765		75,821
Chong Kun Dang Pharmaceutical Corporation (Health Care, Pharmaceuticals)		469		33,522
CJ CGV Company Limited (Communication Services, Entertainment)		768		15,217
CJ Cheiljedang Corporation (Consumer Staples, Food Products)		483		97,039
CJ Corporation (Industrials, Industrial Conglomerates)		922		61,410
CJ ENM Company Limited (Consumer Discretionary, Internet & Direct Marketing Retail)		689		72,021
CJ Korea Express Corporation (Industrials, Road & Rail) †		768		85,080
Com2us Corporation (Communication Services, Entertainment)		540		43,976
Cosmax Incorporated (Consumer Staples, Personal Products)		375		23,273
Coway Company Limited (Consumer Discretionary, Household Durables)		2,549		145,292
CrystalGenomics Incorporated (Health Care, Biotechnology) †		2,307		20,761
Daeduck Electronics Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		3,363		26,251
Daelim Industrial Company Limited (Industrials, Construction & Engineering)		1,562		94,080
Daesang Corporation (Consumer Staples, Food Products)		1,399		22,808
Daewoo Engineering & Construction Company Limited (Industrials, Construction & Engineering) †		10,976		37,137
Daewoo Shipbuilding & Marine Engineering Company Limited (Industrials, Machinery) †		1,877		34,658
Daewoong Company Limited (Health Care, Pharmaceuticals)		2,387		20,101
Daewoong Pharmaceutical Company (Health Care, Pharmaceuticals)		323		28,133
Daishin Securities Company Limited (Financials, Capital Markets)		2,094		16,389
Daou Technology Incorporated (Financials, Capital Markets)		1,774		23,571
DB HiTek Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		1,984		40,185
Dentium Company Limited (Health Care, Health Care Equipment & Supplies)		578		20,282
DGB Financial Group Incorporated (Financials, Banks)		8,636		40,117
Dong-A ST Company Limited (Health Care, Pharmaceuticals)		363		26,594
Dongbu Insurance Company Limited (Financials, Insurance)		3,144		112,257
Dongsuh Company Incorporated (Consumer Staples, Food & Staples Retailing)		2,507		32,189
Doosan Bobcat Incorporated (Industrials, Machinery)		2,763		64,701
Doosan Corporation (Industrials, Industrial Conglomerates)		1		46
Doosan Heavy Industries & Construction Company Limited (Industrials, Electrical Equipment) †		5,565		23,240
Doosan Infracore Company Limited (Industrials, Machinery) †		6,830		23,875
DoubleUGames Company Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		499		16,953
Douzone Bizon Company Limited (Information Technology, Software)		884		63,646
E-MART Incorporated (Consumer Staples, Food & Staples Retailing)		993		86,728

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  73

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
South Korea (continued)
EO Technics Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		447	$	33,087
F&F Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		425		33,174
Fila Korea Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		2,701		85,922
G-treeBNT Company Limited (Health Care, Biotechnology) †		1,174		23,363
Grand Korea Leisure Company Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		1,340		18,520
Green Cross Corporation (Health Care, Biotechnology)		387		36,036
Green Cross Holdings Corporation (Health Care, Biotechnology)		2,316		33,532
GS Engineering & Construction Corporation (Industrials, Construction & Engineering)		4,119		90,085
GS Holdings Corporation (Energy, Oil, Gas & Consumable Fuels)		5,287		181,406
GS Home Shopping Incorporated (Consumer Discretionary, Internet & Direct Marketing Retail)		310		31,825
GS Retail Company Limited (Consumer Staples, Food & Staples Retailing)		1,383		40,201
Hana Financial Group Incorporated (Financials, Banks)		16,458		426,206
Hana Tour Service Incorporated (Consumer Discretionary, Hotels, Restaurants & Leisure)		532		18,223
Handsome Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		1,011		20,609
Hankook Tire Company Limited (Consumer Discretionary, Auto Components)		4,564		96,050
Hanon Systems (Consumer Discretionary, Auto Components)		8,352		72,634
Hansol Chemical Company Limited (Materials, Chemicals)		475		36,743
Hanssem Company Limited (Consumer Discretionary, Household Durables)		826		43,364
Hanwha Chem Corporation (Materials, Chemicals)		5,235		78,279
Hanwha Corporation (Industrials, Industrial Conglomerates)		3,194		53,306
Hanwha Life Insurance Company Limited (Financials, Insurance)		18,931		25,890
Hanwha Techwin Company Limited (Industrials, Aerospace & Defense) †		1,848		42,095
Harim Holdings Company Limited (Consumer Staples, Food Products)		3,162		18,498
HDC Holdings Company Limited (Industrials, Construction & Engineering)		2,595		19,680
HDC Hyundai Development Co-Engineering & Construction (Industrials, Construction & Engineering)		1,942		29,028
Hite Jinro Company Limited (Consumer Staples, Beverages)		1,843		40,562
Hotel Shilla Company Limited (Consumer Discretionary, Specialty Retail)		1,697		111,536
Hugel Incorporated (Health Care, Biotechnology) †		175		54,780
Hyosung Corporation (Materials, Chemicals)		607		35,351
Hyundai Department Store Company Limited (Consumer Discretionary, Multiline Retail)		927		53,663
Hyundai Elevator Company (Industrials, Machinery)		879		39,414
Hyundai Engineering & Construction Company Limited (Industrials, Construction & Engineering)		4,143		119,791
Hyundai Glovis Company Limited (Industrials, Air Freight & Logistics)		1,205		122,922
Hyundai Greenfood Company Limited (Consumer Staples, Food & Staples Retailing)		3,882		27,718
Hyundai Heavy Industries Company Limited (Industrials, Machinery)		578		128,882
Hyundai Home Shopping Network Corporation (Consumer Discretionary, Internet & Direct Marketing Retail)		553		33,689
Hyundai Marine & Fire Insurance Company Limited (Financials, Insurance)		3,895		72,614
Hyundai Merchant Marine Company Limited (Industrials, Marine) †		12,150		32,779
Hyundai Mipo Dockyard Company Limited (Industrials, Machinery)		1,224		37,189
Hyundai Mobis Company (Consumer Discretionary, Auto Components)		3,645		637,105
Hyundai Motor Company (Consumer Discretionary, Automobiles)		8,760		836,801
Hyundai Steel Company (Materials, Metals & Mining)		4,706		93,496
Hyundai Wia Corporation (Consumer Discretionary, Auto Components)		833		26,509
Industrial Bank of Korea (Financials, Banks)		14,863		117,215
Innocean Worldwide Incorporated (Communication Services, Media)		577		31,956
JB Financial Group Company Limited (Financials, Banks)		7,984		33,071
JYP Entertainment Corporation (Communication Services, Entertainment)		1,808		31,459
Kakao Corporation (Communication Services, Interactive Media & Services)		2,727		391,165
Kangwon Land Incorporated (Consumer Discretionary, Hotels, Restaurants & Leisure)		5,703		107,558
KB Financial Group Incorporated (Financials, Banks)		22,813		721,193
KCC Corporation (Materials, Chemicals)		338		46,174
KEPCO Plant Service & Engineering Company Limited (Industrials, Commercial Services & Supplies)		981		26,950
Kia Motors Corporation (Consumer Discretionary, Automobiles)		15,152		457,209

The accompanying notes are an integral part of these financial statements.

74  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
South Korea (continued)
Kiwoom Securities Company (Financials, Capital Markets)		558	$	30,603
KMW Company Limited (Information Technology, Communications Equipment) †		1,342		55,820
Koh Young Technology Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		563		44,841
Kolmar Korea Company Limited (Consumer Staples, Personal Products)		636		21,383
Kolon Industries Incorporated (Materials, Chemicals)		900		25,069
Korea Aerospace Industries Limited (Industrials, Aerospace & Defense)		5,051		107,999
Korea Electric Power Corporation (Utilities, Electric Utilities) †		16,434		287,570
Korea Gas Corporation (Utilities, Gas Utilities)		2,107		48,812
Korea Investment Holdings Company Limited (Financials, Capital Markets)		2,236		116,611
Korea Petrochemical Industrial Company Limited (Materials, Chemicals)		244		17,367
Korea Reinsurance Company (Financials, Insurance)		5,574		37,627
Korea Shipbuilding & Offshore Engineering Company Limited (Industrials, Machinery) †		2,285		196,447
Korea Zinc Company Limited (Materials, Metals & Mining)		662		226,494
Korean Air Lines Company Limited (Industrials, Airlines)		3,940		71,215
KT Corporation (Communication Services, Diversified Telecommunication Services)		13,191		259,844
KT&G Corporation (Consumer Staples, Tobacco)		7,239		503,656
Kuk-il Paper Manufacturing Company Limited (Materials, Paper & Forest Products) †		4,010		16,548
Kumho Petrochemical Company Limited (Materials, Chemicals)		1,158		57,280
Kumho Tire Company Incorporated (Consumer Discretionary, Auto Components) †		9,038		27,472
L&F Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		1,191		21,668
LEENO Industrial Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		489		32,915
LG Chem Limited (Materials, Chemicals)		2,445		740,764
LG Corporation (Industrials, Industrial Conglomerates)		7,120		395,761
LG Display Company Limited (Information Technology, Electronic Equipment, Instruments & Components) †		11,914		135,469
LG Electronics Incorporated (Consumer Discretionary, Household Durables)		6,050		304,315
LG Household & Health Care Limited (Consumer Staples, Personal Products)		497		501,722
LG Innotek Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		711		76,924
LG International Corporation (Industrials, Trading Companies & Distributors)		1,745		16,307
LG Uplus Corporation (Communication Services, Diversified Telecommunication Services)		14,190		154,291
Lotte Chemical Corporation (Materials, Chemicals)		895		139,956
Lotte Corporation (Industrials, Industrial Conglomerates)		2,456		59,210
LOTTE Fine Chemical Company Limited (Materials, Chemicals)		839		23,149
Lotte Shopping Company Limited (Consumer Discretionary, Multiline Retail)		592		46,891
LS Corporation (Industrials, Electrical Equipment)		1,835		54,781
LS Industrial Systems Company Limited (Industrials, Electrical Equipment)		980		35,373
Mando Corporation (Consumer Discretionary, Auto Components)		1,862		46,239
Medy-Tox Incorporated (Health Care, Biotechnology)		225		55,856
Meritz Financial Group Incorporated (Financials, Diversified Financial Services)		2,067		17,370
Meritz Fire & Marine Insurance Company Limited (Financials, Insurance)		2,602		31,810
Meritz Securities Company Limited (Financials, Capital Markets)		18,762		54,182
Mirae Asset Daewoo Company Limited (Financials, Capital Markets)		24,745		130,565
Mirae Asset Life Insurance Company Limited (Financials, Insurance)		5,673		18,716
Naver Corporation (Communication Services, Interactive Media & Services)		8,343		1,197,561
NCsoft Corporation (Communication Services, Entertainment)		821		438,865
NEPES Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		1,101		26,852
NH Investment & Securities Company Limited (Financials, Capital Markets)		7,583		63,138
NHN Entertainment Corporation (Communication Services, Entertainment) †		711		40,806
NongShim Company Limited (Consumer Staples, Food Products)		240		51,775
OIC Company Limited (Materials, Chemicals)		1,114		45,722
Orion Corporation of Republic of Korea (Consumer Staples, Food Products)		1,322		104,400
Osstem Implant Company Limited (Health Care, Health Care Equipment & Supplies) †		582		15,941

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  75

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
South Korea (continued)
Ottogi Corporation (Consumer Staples, Food Products)		146	$	60,076
Pan Ocean Company Limited (Industrials, Marine) †		12,317		38,295
Paradise Company Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		2,484		34,036
Partron Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		2,555		19,168
Pearl Abyss Corporation (Communication Services, Entertainment) †		385		56,907
Pharmicell Company Limited (Health Care, Biotechnology) †		2,881		18,525
POSCO (Materials, Metals & Mining)		4,520		726,007
POSCO Chemtech Company Limited (Materials, Construction Materials)		1,158		53,078
Posco International Corporation (Industrials, Trading Companies & Distributors)		2,533		31,421
S1 Corporation Incorporated (Industrials, Commercial Services & Supplies)		1,115		75,466
Sam Chun Dang Pharmaceutical Company Limited (Health Care, Pharmaceuticals)		953		31,820
Samsung C&T Corporation (Industrials, Industrial Conglomerates)		6,181		541,849
Samsung Card Company Limited (Financials, Consumer Finance)		1,504		41,733
Samsung Electro-Mechanics Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		2,781		293,781
Samsung Engineering Company Limited (Industrials, Construction & Engineering) †		8,303		96,780
Samsung Fire & Marine Insurance (Financials, Insurance)		2,142		348,894
Samsung Life Insurance Company Limited (Financials, Insurance)		5,659		271,824
Samsung SDS Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		2,124		293,906
Samsung Securities Company Limited (Financials, Capital Markets)		3,425		93,756
Samyang Holdings Corporation (Consumer Staples, Food Products)		582		23,549
Seegene Incorporated (Health Care, Biotechnology) †		1,137		34,852
Seoul Semiconductor Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		2,537		31,736
SFA Engineering Corporation (Information Technology, Electronic Equipment, Instruments & Components)		930		28,764
Shinhan Financial Group Company Limited (Financials, Banks)		25,725		688,003
Shinsegae Company Limited (Consumer Discretionary, Multiline Retail)		346		66,318
Shinsegae International Company Limited (Consumer Discretionary, Specialty Retail)		150		22,662
SK Chemicals Company Limited (Materials, Chemicals)		359		16,935
SK Company Limited (Industrials, Industrial Conglomerates)		2,926		464,721
SK Hynix Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		28,692		2,120,068
SK Innovation Company Limited (Energy, Oil, Gas & Consumable Fuels)		3,467		328,258
SK Materials Company Limited (Materials, Chemicals)		261		32,182
SK Networks Company Limited (Industrials, Trading Companies & Distributors)		7,633		27,388
SK Telecom Company Limited (Communication Services, Wireless Telecommunication Services)		3,141		549,935
SKC Company Limited (Materials, Chemicals)		1,175		49,885
SM Entertainment Company (Communication Services, Entertainment) †		1,235		29,174
Soulbrain Company Limited (Materials, Chemicals)		603		44,167
Ssangyong Cement Industrial Company Limited (Materials, Construction Materials)		5,271		21,435
Studio Dragon Corporation (Communication Services, Entertainment) †		459		28,134
Taekwang Industrial Company Limited (Materials, Chemicals)		35		23,245
Taeyoung Engineering & Construction Company Limited (Industrials, Construction & Engineering)		2,857		30,896
Wonik IPS Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		1,713		45,577
Woori Financial Group Incorporated (Financials, Banks)		29,010		230,449
Young Poong Corporation (Materials, Metals & Mining)		43		21,031
Youngone Corporation (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		1,286		33,754
Yuhan Corporation (Health Care, Pharmaceuticals)		566		100,170
Yungjin Pharmaceutical Company (Health Care, Pharmaceuticals) †		4,865		20,259
				24,381,415

The accompanying notes are an integral part of these financial statements.

76  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
Taiwan: 11.93%
Accton Technology Corporation (Information Technology, Communications Equipment)		25,000	$	131,890
Acer Incorporated (Information Technology, Technology Hardware, Storage & Peripherals)		153,000		80,936
Advantech Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		21,000		200,923
Aerospace industrial Development Corporation (Industrials, Aerospace & Defense)		38,000		39,136
Airtac International Group (Industrials, Machinery)		7,000		108,668
Arcadyan Technology Corporation (Information Technology, Communications Equipment)		9,000		22,907
ASE Technology Holding Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		185,000		428,998
Asia Cement Corporation (Materials, Construction Materials)		121,000		176,040
Asia Optical Company Incorporated (Information Technology, Electronic Equipment, Instruments & Components)		14,000		37,796
ASMedia Technology Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		2,000		49,311
Asustek Computer Incorporated (Information Technology, Technology Hardware, Storage & Peripherals)		37,000		247,524
AU Optronics Corporation (Information Technology, Electronic Equipment, Instruments & Components)		438,000		135,546
BizLink Holding Incorporated (Industrials, Electrical Equipment)		6,000		36,666
Capital Securities Corporation (Financials, Capital Markets)		157,700		51,066
Career Technology Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		18,840		19,377
Cathay No.1 REIT (Real Estate, Equity REITs)		104,500		61,293
Cathay Real Estate Development Company Limited (Real Estate, Real Estate Management & Development)		30,000		20,703
Chailease Holding Company Limited (Financials, Diversified Financial Services)		70,211		261,275
Chang Hwa Commercial Bank (Financials, Banks)		345,105		263,693
Cheng Loong Corporation (Materials, Containers & Packaging)		48,000		37,199
Cheng Shin Rubber Industry Company Limited (Consumer Discretionary, Auto Components)		120,000		154,913
Cheng Uei Precision Industry Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		16,000		18,990
Chicony Electronics Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		31,335		84,906
Chilisin Electronics Corporation (Information Technology, Electronic Equipment, Instruments & Components)		10,225		35,016
Chin Poon Industrial Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		24,000		23,296
China Airlines (Industrials, Airlines)		238,000		63,743
China Bills Finance Corporation (Financials, Capital Markets)		102,535		51,401
China Development Financial Holding Corporation (Financials, Insurance)		762,000		228,843
China Life Insurance Company - Taiwan Exchange (Financials, Insurance) †		156,000		122,445
China Petrochemical Development Corporation (Materials, Chemicals)		169,350		44,791
China Steel Chemical Corporation (Materials, Chemicals)		8,000		30,869
China Steel Corporation (Materials, Metals & Mining)		625,000		473,865
ChipMOS Technologies Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		25,000		23,873
Chong Hong Construction Company Limited (Real Estate, Real Estate Management & Development)		16,000		43,014
Chroma ATE Incorporated (Information Technology, Electronic Equipment, Instruments & Components)		21,000		96,834
Chunghwa Telecom Company Limited (Communication Services, Diversified Telecommunication Services)		226,000		800,961
Cleanaway Company Limited (Industrials, Commercial Services & Supplies)		4,000		20,942
Clevo Company (Information Technology, Technology Hardware, Storage & Peripherals)		35,000		35,146
Compal Electronic Incorporated (Information Technology, Technology Hardware, Storage & Peripherals)		213,000		128,417
Compeq Manufacturing Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		62,000		77,862

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  77

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
Taiwan (continued)
CTBC Financial Holding Company Limited (Financials, Banks)		999,000	$	741,422
CTCI Corporation (Industrials, Construction & Engineering)		43,000		52,177
Cub Elecparts Incorporated (Consumer Discretionary, Auto Components)		3,011		19,679
Delta Electronics Incorporated (Information Technology, Electronic Equipment, Instruments & Components)		109,000		494,159
E.SUN Financial Holding Company Limited (Financials, Banks)		605,764		577,564
Eclat Textile Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		13,000		151,476
Elan Microelectronics Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		18,100		48,544
Elite Material Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		14,000		54,721
Ennoconn Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		3,000		21,079
Epistar Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		54,000		49,828
Eternal Chemical Company Limited (Materials, Chemicals)		45,453		40,311
Eva Airways Corporation (Industrials, Airlines)		190,869		75,173
Evergreen Marine Corporation (Taiwan) Limited (Industrials, Marine) †		177,850		66,711
Everlight Electronics Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		25,000		25,750
Far Eastern Department Stores Company Limited (Consumer Discretionary, Multiline Retail)		56,000		44,509
Far Eastern International Bank (Financials, Banks)		222,259		85,795
Far Eastern New Century Corporation (Industrials, Industrial Conglomerates)		203,000		187,118
Far EasTone Telecommunications Company Limited (Communication Services, Wireless Telecommunication Services)		94,000		203,964
Feng Hsin Iron & Steel Company (Materials, Metals & Mining)		32,506		58,184
Feng Tay Enterprise Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		28,400		156,341
First Financial Holding Company Limited (Financials, Banks)		524,503		408,183
Flexium Interconnect Incorporated (Information Technology, Electronic Equipment, Instruments & Components)		15,000		54,632
Formosa Chemicals & Fibre Corporation (Materials, Chemicals)		221,000		593,371
Formosa Plastics Corporation (Materials, Chemicals)		243,000		725,412
Formosa Taffeta Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		58,000		63,225
Foxconn Technology Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		48,000		93,181
Fulgent Sun International Holding Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		7,000		24,436
Fusheng Precision Company Limited (Consumer Discretionary, Leisure Products)		8,000		49,974
General Interface Solution Holding Limited (Information Technology, Electronic Equipment, Instruments & Components)		11,000		34,910
Getac Technology Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		19,000		30,250
Giant Manufacturing Company Limited (Consumer Discretionary, Leisure Products)		20,000		107,171
Gigabyte Technology Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		29,000		48,870
Global Unichip Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		4,000		28,714
Goldsun Development & Construction Company Limited (Materials, Construction Materials)		61,000		25,850
Gourmet Master Company Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		5,936		18,186
Grand Pacific Petrochemical Corporation (Materials, Chemicals) †		53,000		28,428
Grape King Bio Limited (Consumer Staples, Personal Products)		7,000		50,057
Great Wall Enterprises Company Limited (Consumer Staples, Food Products)		45,377		59,853
Greatek Electronic Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		23,000		35,439
Hannstar Board Corporation (Information Technology, Electronic Equipment, Instruments & Components)		15,000		17,365
Hannstar Display Corporation (Information Technology, Electronic Equipment, Instruments & Components)		154,000		33,142
Highwealth Construction Corporation (Real Estate, Real Estate Management & Development)		52,000		76,648

The accompanying notes are an integral part of these financial statements.

78  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
Taiwan (continued)
Hiwin Technologies Corporation (Industrials, Machinery)		15,376	$	149,241
Holtek Semiconductor Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		16,000		34,083
Holy Stone Enterprise Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		10,000		32,141
Hon Hai Precision Industry Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		645,400		1,684,145
Hota Industrial Manufacturing Company Limited (Consumer Discretionary, Auto Components)		12,000		44,667
Hotai Motor Company Limited (Consumer Discretionary, Specialty Retail)		20,000		405,178
Hua Nan Financial Holdings Company Limited Class C (Financials, Banks)		502,574		355,610
Huaku Development Company Limited (Real Estate, Real Estate Management & Development)		16,000		45,374
Hung Sheng Construction Company Limited (Real Estate, Real Estate Management & Development)		32,960		22,276
IBF Financial Holdings Company Limited (Financials, Capital Markets)		155,762		58,214
Innolux Display Corporation (Information Technology, Electronic Equipment, Instruments & Components)		454,000		117,043
International CSRC Investment Holdings Company Limited (Materials, Chemicals)		40,206		35,397
Inventec Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		163,000		122,133
ITEQ Corporation (Information Technology, Electronic Equipment, Instruments & Components)		10,000		46,263
Kenda Rubber Industrial Company Limited (Consumer Discretionary, Auto Components)		51,875		47,952
King Slide Works Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		4,000		45,547
King Yuan Electronics Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		59,000		62,380
King’s Town Bank Company Limited (Financials, Banks)		54,000		65,058
Kinpo Electronics Incorporated (Consumer Discretionary, Household Durables)		72,000		31,469
Kinsus Interconnect Technology Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		15,000		25,203
Lien Hwa Industrial Corporation (Consumer Staples, Food Products)		55,100		68,492
Lite-On Technology Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		116,000		165,148
LOTES Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		4,000		38,198
Machvision Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		2,000		23,356
Macronix International Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		99,536		104,640
Makalot Industrial Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		12,800		62,376
Mediatek Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		78,000		906,776
Mega Financial Holding Company Limited (Financials, Banks)		594,000		628,984
Mercuries Life Insurance Company (Financials, Insurance) †		60,302		23,145
Merida Industry Company Limited (Consumer Discretionary, Leisure Products)		13,000		62,470
Merry Electronics Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		10,000		45,334
Micro-Star International Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		39,000		114,157
Mitac Holdings Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		52,754		58,228
Nan Kang Rubber Tire Company Limited (Consumer Discretionary, Auto Components)		28,000		39,362
Nan Ya Plastics Corporation (Materials, Chemicals)		293,000		654,611
Nanya Technology Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		58,000		144,372
Nien Made Enterprise Company Limited (Consumer Discretionary, Household Durables)		8,000		63,110
Novatek Microelectronics Corporation Limited (Information Technology, Semiconductors & Semiconductor Equipment)		32,000		201,387
Oriental Union Chemical Corporation (Materials, Chemicals)		30,000		19,434
Pegatron Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		113,000		229,920
Pharmally International Holding Company Limited (Health Care, Pharmaceuticals)		5,128		34,720
Pou Chen Corporation (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		135,000		149,887

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  79

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
Taiwan (continued)
Powertech Technology Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		41,000	$	134,111
President Chain Store Corporation (Consumer Staples, Food & Staples Retailing)		28,000		273,332
President Securities Corporation (Financials, Capital Markets)		68,000		30,675
Primax Electronics Limited (Information Technology, Technology Hardware, Storage & Peripherals)		22,000		34,631
Prince Housing & Development Corporation (Real Estate, Real Estate Management & Development)		103,800		36,600
Qisda Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		80,000		48,922
Quanta Computer Incorporated (Information Technology, Technology Hardware, Storage & Peripherals)		144,000		290,463
Radiant Opto-Electronics Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		25,000		79,194
Realtek Semiconductor Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		26,000		188,135
Ruentex Development Company Limited (Real Estate, Real Estate Management & Development)		43,880		59,090
Sanyang Industry Company Limited (Consumer Discretionary, Automobiles)		53,000		35,845
Sercomm Corporation (Information Technology, Communications Equipment)		14,000		33,581
Shihlin Electric & Engineering Corporation (Industrials, Electrical Equipment)		23,700		34,256
Shin Kong Financial Holding Company Limited (Financials, Insurance)		632,000		188,434
Shin Kong No.1 REIT (Real Estate, Equity REITs)		91,000		55,749
Shin Zu Shing Company Limited (Industrials, Machinery)		9,000		40,103
Shinkong Synthetic Fibers Corporation (Materials, Chemicals)		70,000		27,791
Sinbon Electronics Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		12,000		50,932
Sinopac Financial Holdings Company Limited (Financials, Banks)		593,400		251,111
Sitronix Technology Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		7,000		32,444
Standard Foods Corporation (Consumer Staples, Food Products)		29,000		64,732
Synnex Technology International Corporation (Information Technology, Electronic Equipment, Instruments & Components)		71,000		87,322
Systex Corporation (Information Technology, IT Services)		17,000		44,167
Ta Chen Stainless Pipe Company (Materials, Metals & Mining)		40,840		41,316
Taichung Commercial Bank (Financials, Banks)		168,685		68,142
Tainan Spinning Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		152,000		50,056
Taishin Financial Holdings Company Limited (Financials, Banks)		535,481		248,752
Taiwan Business Bank (Financials, Banks)		277,171		108,534
Taiwan Cement Corporation (Materials, Construction Materials)		276,896		382,399
Taiwan Cooperative Financial Holdings Company Limited (Financials, Banks)		510,315		350,604
Taiwan Fertilizer Company Limited (Materials, Chemicals)		37,000		58,267
Taiwan Glass Industrial Corporation (Industrials, Building Products)		92,000		30,425
Taiwan High Speed Rail Corporation (Industrials, Transportation Infrastructure)		158,000		178,219
Taiwan Hon Chuan Enterprise Company Limited (Materials, Containers & Packaging)		17,000		32,946
Taiwan Mobile Company Limited (Communication Services, Wireless Telecommunication Services)		120,000		413,913
Taiwan Paiho Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		17,000		38,300
Taiwan Secom Company Limited (Industrials, Commercial Services & Supplies)		13,000		37,910
Taiwan Surface Mounting Technology Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		14,000		41,777
TECO Electric & Machinery Company Limited (Industrials, Electrical Equipment)		105,000		91,750
The Shanghai Commercial & Savings Bank Limited (Financials, Banks)		202,000		332,589
Tong Hsing Electronic Industries Limited (Information Technology, Electronic Equipment, Instruments & Components)		5,000		24,386
Tong Yang Industry Company Limited (Consumer Discretionary, Auto Components)		24,000		30,553
Topco Scientific Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		12,000		40,659
TPK Holding Company Limited (Information Technology, Electronic Equipment, Instruments & Components) †		19,000		27,605
Transcend Information Incorporated (Information Technology, Technology Hardware, Storage & Peripherals)		13,000		33,250

The accompanying notes are an integral part of these financial statements.

80  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
Taiwan (continued)
Tripod Technology Corporation (Information Technology, Electronic Equipment, Instruments & Components)		23,000	$	82,556
TSRC Corporation (Materials, Chemicals)		34,000		23,890
Tung Ho Steel Enterprise Corporation (Materials, Metals & Mining)		44,000		32,451
U-Ming Marine Transport Corporation (Industrials, Marine)		33,000		31,483
Uni-President Enterprises Corporation (Consumer Staples, Food Products)		289,000		691,697
Unimicron Technology Corporation (Information Technology, Electronic Equipment, Instruments & Components)		65,000		83,268
Union Bank of Taiwan (Financials, Banks) †		178,382		64,407
Unitech Printed Circuit Board Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		31,000		27,382
United Integrated Services Company Limited (Industrials, Construction & Engineering)		10,000		59,464
United Microelectronics Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		558,000		278,408
United Renewable Energy Company Limited (Information Technology, Semiconductors & Semiconductor Equipment) †		142,000		32,209
Visual Photonics Epitaxy Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		9,000		28,463
Voltronic Power Technology Corporation (Industrials, Electrical Equipment)		3,200		73,381
Walsin Lihwa Corporation (Industrials, Electrical Equipment)		150,000		68,154
Walsin Technology Corporation (Information Technology, Electronic Equipment, Instruments & Components)		19,000		130,012
Wan Hai Lines Limited (Industrials, Marine)		87,000		49,393
Windbond Electronics Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		160,000		81,593
Wistron Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		137,607		120,744
Wistron Neweb Corporation (Information Technology, Communications Equipment)		17,599		39,698
Wiwynn Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		5,000		116,769
WPG Holdings Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		71,440		90,750
WT Microelectronics Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		32,000		40,567
Yageo Corporation (Information Technology, Electronic Equipment, Instruments & Components)		16,566		213,950
YFY Incorporated (Materials, Paper & Forest Products)		77,000		35,041
Yieh Phui Enterprise Company Limited (Materials, Metals & Mining)		78,013		23,214
Yuanta Financial Holding Company Limited (Financials, Diversified Financial Services)		582,000		363,854
Yulon Finance Corporation (Financials, Consumer Finance)		8,100		27,921
Yulon Motor Company Limited (Consumer Discretionary, Automobiles)		52,000		34,609
Yungtay Engineering Company Limited (Industrials, Machinery)		18,000		35,165
Zhen Ding Technology Holding (Information Technology, Electronic Equipment, Instruments & Components)		31,000		116,619
				25,881,441
Thailand: 4.57%
Advanced Info Service PCL (Communication Services, Wireless Telecommunication Services)		55,500		356,180
Aeon Thana Sinsap PCL (Financials, Consumer Finance)		4,300		19,170
Airports of Thailand PCL (Industrials, Transportation Infrastructure)		228,100		439,168
Amata Corporation PCL (Real Estate, Real Estate Management & Development)		63,200		29,558
AP Thailand PCL (Real Estate, Real Estate Management & Development)		149,100		29,226
B.Grimm PCL (Utilities, Independent Power & Renewable Electricity Producers)		40,900		59,439
Bangchak Corporation PCL (Energy, Oil, Gas & Consumable Fuels)		65,100		50,350
Bangkok Bank PCL (Financials, Banks)		71,100		298,194
Bangkok Chain Hospital PCL (Health Care, Health Care Providers & Services)		79,000		33,190
Bangkok Dusit Medical Services PCL (Health Care, Health Care Providers & Services)		603,600		429,366
Bangkok Expressway and Metro PCL (Industrials, Transportation Infrastructure)		428,500		127,383
Bangkok Insurance PCL (Financials, Insurance)		6,900		54,010

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  81

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
Thailand (continued)
Bangkok Life Assurance PCL (Financials, Insurance)		76,800	$	38,097
Bangkokland PCL (Real Estate, Real Estate Management & Development)		967,600		31,834
Bank of Ayudhya PCL (Financials, Banks)		103,700		81,104
Banpu PCL (Energy, Oil, Gas & Consumable Fuels)		275,500		63,159
Berli Jucker PCL (Consumer Staples, Food & Staples Retailing)		67,800		79,400
BTS Group Holdings PCL (Industrials, Road & Rail)		485,200		170,431
Bumrungrad Hospital PCL (Health Care, Health Care Providers & Services)		23,800		98,559
Carabao Group PCL (Consumer Staples, Beverages)		26,400		60,633
Central Plaza Hotel PCL (Consumer Discretionary, Hotels, Restaurants & Leisure)		65,300		37,958
Central Retail Corporation PCL (Consumer Discretionary, Multiline Retail) †		49,083		48,997
CH Karnchang PCL (Industrials, Construction & Engineering)		68,600		41,446
Charoen Pokphand Foods PCL (Consumer Staples, Food Products)		279,600		240,566
Chularat Hospital PCL (Health Care, Health Care Providers & Services)		327,800		26,352
Cimb Thai Bank PCL (Financials, Banks) †		2,548,000		39,971
Com7 PCL (Consumer Discretionary, Specialty Retail)		40,100		28,708
CP All PCL (Consumer Staples, Food & Staples Retailing)		311,600		656,683
Delta Electronics Thailand PCL (Information Technology, Electronic Equipment, Instruments & Components)		34,500		55,189
Electricity Genera PCL (Utilities, Independent Power & Renewable Electricity Producers)		13,200		115,172
GFPT PCL (Consumer Staples, Food Products)		75,000		25,611
Global Power Synergy PCL (Utilities, Independent Power & Renewable Electricity Producers)		86,500		175,189
Gulf Energy Development PCL (Utilities, Independent Power & Renewable Electricity Producers)		47,700		255,045
Gunkul Engineering PCL (Industrials, Electrical Equipment)		296,300		23,339
Hana Microelectronics PCL (Information Technology, Electronic Equipment, Instruments & Components)		27,700		29,979
Home Product Center PCL (Consumer Discretionary, Specialty Retail)		356,400		145,818
Impact Growth REIT (Real Estate, Equity REITs)		37,700		24,134
Indorama Ventures PCL (Materials, Chemicals)		117,400		99,702
Intouch Holdings PCL (Communication Services, Wireless Telecommunication Services)		114,800		198,900
Jasmine International PCL (Communication Services, Diversified Telecommunication Services)		168,800		26,129
Kasikornbank PCL - Non-voting (Financials, Banks)		106,500		405,769
KCE Electronics PCL (Information Technology, Electronic Equipment, Instruments & Components)		45,800		32,803
Kiatnakin Bank PCL (Financials, Banks)		49,600		98,580
Krung Thai Bank PCL (Financials, Banks)		765,900		342,644
Krungthai Card PCL (Financials, Consumer Finance)		50,600		63,196
Land & Houses PCL (Real Estate, Real Estate Management & Development)		442,100		119,319
Major Cineplex Group PCL (Communication Services, Entertainment)		40,800		24,653
MBK PCL (Real Estate, Real Estate Management & Development)		69,600		39,807
Minor International PCL (Consumer Discretionary, Hotels, Restaurants & Leisure)		181,800		160,699
MK Restaurants Group PCL (Consumer Discretionary, Hotels, Restaurants & Leisure)		13,800		26,445
Muangthai Leasing PCL (Financials, Consumer Finance)		37,700		69,956
Osotspa PCL (Consumer Staples, Beverages)		89,200		119,879
Plan B Media PCL (Communication Services, Media)		128,800		21,253
Pruksa Holding PCL (Real Estate, Real Estate Management & Development)		54,500		24,900
PTG Energy PCL (Consumer Discretionary, Specialty Retail)		53,300		24,218
PTT Global Chemical PCL (Materials, Chemicals)		116,500		155,004
PTT PCL (Energy, Oil, Gas & Consumable Fuels)		693,300		869,156
Quality Houses PCL (Real Estate, Real Estate Management & Development)		554,900		40,034
Ramkamhaeng Hospital PCL (Health Care, Health Care Providers & Services)		7,100		31,852
Ratchaburi Electricity Generating Holding PCL (Utilities, Independent Power & Renewable Electricity Producers)		37,700		71,073
Sansiri PCL (Real Estate, Real Estate Management & Development)		989,300		22,531
Siam City Cement PCL (Materials, Construction Materials)		5,100		25,417
Siam Commercial Bank PCL (Financials, Banks)		146,600		411,537
Siam Global House PCL (Consumer Discretionary, Specialty Retail)		127,900		57,001

The accompanying notes are an integral part of these financial statements.

82  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Shares		Value
Thailand (continued)
Sino Thai Engineering & Construction PCL (Industrials, Construction & Engineering)		68,100	$	32,695
Sri Trang Agro-Industry PCL (Consumer Discretionary, Auto Components)		52,000		19,718
Srisawad Power 1979 PCL (Financials, Diversified Financial Services)		48,140		104,609
Star Petroleum Refining PCL (Energy, Oil, Gas & Consumable Fuels)		113,300		29,011
STARK Corporation PCL (Communication Services, Media) †		373,300		23,897
Supalai PCL (Real Estate, Real Estate Management & Development)		81,600		42,453
Thai Oil PCL (Energy, Oil, Gas & Consumable Fuels)		62,800		88,397
Thai President Foods PCL (Consumer Staples, Food Products)		7,900		45,813
Thai Union Group PCL (Consumer Staples, Food Products)		242,600		119,352
Thai Vegetable Oil PCL (Consumer Staples, Food Products)		48,500		42,575
Thaifoods Group PCL (Consumer Staples, Food Products)		132,200		14,312
Thanachart Capital PCL (Financials, Banks)		56,600		95,701
The Siam Cement PCL (Materials, Construction Materials)		43,800		436,249
Thonburi Healthcare Group PCL (Health Care, Health Care Providers & Services)		33,200		23,868
Tipco Asphalt PCL (Materials, Construction Materials)		70,300		42,427
Tisco Financial Group PCL (Financials, Banks)		38,200		120,217
TMB Bank PCL (Financials, Banks)		2,895,900		101,147
TOA Paint Thailand PCL (Materials, Chemicals)		36,100		36,011
Total Access Communication PCL (Communication Services, Wireless Telecommunication Services)		35,200		41,332
TPI Polene PCL (Materials, Construction Materials)		488,900		19,515
TPI Polene Power PCL (Utilities, Independent Power & Renewable Electricity Producers)		105,600		13,371
True Corporation PCL (Communication Services, Diversified Telecommunication Services)		1,220,500		131,617
TTW PCL (Utilities, Water Utilities)		62,000		27,366
VGI Global Media PCL (Communication Services, Media)		178,700		38,252
Vibhavadi Medical Center PCL (Health Care, Health Care Providers & Services)		400,200		18,770
WHA Corporation PCL (Real Estate, Real Estate Management & Development)		560,200		49,406
WHA Premium Growth Freehold & Leasehold REIT (Real Estate, Equity REITs)		94,600		48,866
				9,908,012
Turkey: 0.89%
Akbank TAS (Financials, Banks) †		154,949		167,992
Anadolu Efes Biracilik ve Malt Sanayii AS (Consumer Staples, Beverages)		12,023		42,811
Arcelik AS (Consumer Discretionary, Household Durables) †		14,706		44,058
Aselsan Elektronik Sanayi ve Ticaret AS (Industrials, Aerospace & Defense)		15,497		68,628
Bim Birlesik Magazalar AS (Consumer Staples, Food & Staples Retailing)		22,592		174,638
Coca-Cola Icecek Uretim AS (Consumer Staples, Beverages)		4,724		34,076
Emlak Konut Gayrimenkul Yati AS (Real Estate, Equity REITs)		130,953		29,342
Enka Insaat ve Sanayi AS (Industrials, Industrial Conglomerates)		75,303		77,711
Eregli Demir ve Celik Fabrikalari TAS (Materials, Metals & Mining)		63,750		85,056
Ford Otomotiv Sanayi AS (Consumer Discretionary, Automobiles)		4,283		54,059
Haci Omer Sabanci Holding AS (Financials, Diversified Financial Services)		63,131		86,923
Koc Holding AS (Industrials, Industrial Conglomerates)		48,775		135,920
Koza Altin Isletmeleri AS (Materials, Metals & Mining) †		2,215		25,969
Pegasus Hava Tasimaciligi AS (Industrials, Airlines) †		2,587		22,463
Petkim Petrokimya Holding AS (Materials, Chemicals) †		48,167		28,145
Soda Sanayii AS (Materials, Chemicals)		25,951		24,060
Sok Marketler Ticaret AS (Consumer Staples, Food & Staples Retailing) †		16,275		22,200
TAV Havalimanlari Holding AS (Industrials, Transportation Infrastructure)		8,914		29,201
Tekfen Holding AS (Industrials, Construction & Engineering)		13,290		31,768
Tofas Turk Otomobil Fabrikasi AS (Consumer Discretionary, Automobiles)		6,678		28,479
Tupras Turkiye Petrol Rafinerileri AS (Energy, Oil, Gas & Consumable Fuels)		6,802		110,972
Turk Hava Yollari Anonim Ortakligi AS (Industrials, Airlines) †		39,884		75,389
Turk Sise ve Cam Fabrikalari AS (Industrials, Industrial Conglomerates)		36,061		28,118
Turk Telekomunikasyon AS (Communication Services, Diversified Telecommunication Services) †		25,733		31,140
Turkcell Iletisim Hizmetleri AS (Communication Services, Wireless Telecommunication Services)		51,974		115,638

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  83

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

						Shares		Value
Turkey (continued)
Turkiye Garanti Bankasi AS (Financials, Banks) †							106,509	$	163,053
Turkiye Halk Bankasi AS (Financials, Banks) †							33,253		31,861
Turkiye Is Bankasi Class C AS (Financials, Banks) †							76,705		70,635
Turkiye Vakiflar Bankasi TAO AS (Financials, Banks) †							48,459		41,225
Ulker Biskuvi Sanayi AS (Consumer Staples, Food Products) †							8,792		29,147
Yapi Ve Kredi Bankasi AS (Financials, Banks) †							74,075		27,248
									1,937,925
Total Common Stocks (Cost $209,342,854)									200,536,027
	Interest rate			Maturity date		Principal
Foreign Corporate Bonds and Notes: 0.00%
India: 0.00%
Britannia Industries Limited (Consumer Staples, Food Products)		8.00	%		8-28-2022	INR	229,650		3,269
Total Foreign Corporate Bonds and Notes (Cost $3,268)									3,269
	Dividend yield					Shares
Preferred Stocks: 3.10%
Brazil: 2.82%
Alpargatas SA (Consumer Staples, Personal Products)		0.18					10,040		70,811
Azul SA (Industrials, Transportation Infrastructure) †		0.00					16,300		161,983
Banco Bradesco SA (Financials, Banks)		6.92					210,233		1,435,277
Banco do Estado do Rio Grande do Sul SA Class B (Financials, Banks)		6.62					11,400		46,269
Banco Inter SA (Financials, Banks)		0.49					11,600		39,714
Banco Santander Brasil SA (Financials, Banks)		8.15					22,600		98,751
Bradespar SA (Materials, Metals & Mining)		4.04					11,800		88,106
Braskem SA Class A (Materials, Chemicals)		3.43					6,210		37,341
Companhia Brasileira de Distribuicao (Consumer Staples, Food & Staples Retailing)		1.21					8,273		133,403
Companhia de Saneamento do Parana (Utilities, Water Utilities)		4.45					18,240		80,760
Companhia de Transmissao de Energia Electrica Paulista (Utilities, Electric Utilities)		6.74					8,720		42,977
Companhia Energetica de Minas Gerais SA (Utilities, Electric Utilities)		5.46					44,669		139,444
Companhia Energetica de Sao Paulo Class B (Utilities, Independent Power & Renewable Electricity Producers)		3.09					8,900		64,881
Companhia Paranaense de Energia-Copel Class B (Utilities, Electric Utilities)		3.82					4,700		75,368
Energisa SA (Utilities, Electric Utilities)		1.59					8,270		18,678
Gerdau SA (Materials, Metals & Mining)		1.84					56,000		212,008
Gol Linhas Aereas Inteligentes SA (Industrials, Airlines) †		0.00					7,200		41,217
Itau Unibanco Holding SA (Financials, Banks)		6.45					258,070		1,846,696
Itaúsa Investimentos Itaú SA (Financials, Banks)		7.45					243,061		652,779
Klabin SA (Materials, Containers & Packaging)		4.67					143,800		125,410
Lojas Americanas SA (Consumer Discretionary, Multiline Retail)		0.63					44,400		264,103
Marcopolo SA (Industrials, Machinery)		1.25					37,300		40,871
Metalurgica Gerdau SA (Materials, Metals & Mining)		2.10					35,300		62,755
Telefonica Brasil SA (Communication Services, Diversified Telecommunication Services)		6.61					24,509		292,558
Usinas Siderurgicas de Minas Gerais SA Class A (Materials, Metals & Mining)		1.08					24,200		44,213
									6,116,373
Chile: 0.08%
Coca-Cola Embonor SA Class B (Consumer Staples, Food Products)		8.97					17,918		24,693
Embotelladora Andina SA Class B (Consumer Staples, Food & Staples Retailing)		5.45					21,170		51,120
Sociedad Quimica y Minera de Chile SA Class B (Materials, Chemicals)		4.59					3,621		95,893
									171,706

The accompanying notes are an integral part of these financial statements.

84  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

	Dividend yield					Shares		Value
Colombia: 0.11%
Banco Davivienda SA (Financials, Banks)		2.15	%				5,681	$	67,800
Bancolombia SA (Financials, Banks)		2.79					14,271		170,642
									238,442
Russia: 0.09%
Bashneft PAO (Energy, Oil, Gas & Consumable Fuels)		10.01					1,104		27,701
Transneft PJSC (Energy, Oil, Gas & Consumable Fuels)		7.74					78		171,400
									199,101
Total Preferred Stocks (Cost $7,102,946)									6,725,622
				Expiration date
Rights: 0.00%
Hong Kong: 0.00%
Legend Holdings Corporation H Shares (Financials, Diversified Financial Services) †(a)					5-9-2029		3,061		0
South Korea: 0.00%
HDC Hyundai Development Co-Engineering & Construction (Industrials, Construction & Engineering) †(a)					3-6-2020		892		241
Total Rights (Cost $0)									241
Warrants: 0.01%
Malaysia: 0.01%
Serba Dinamik Holdings Bhd (Energy, Energy Equipment & Services) †							15,300		1,234
Sunway Bhd (Real Estate, Real Estate Management & Development) †							122,430		10,311
									11,545
Thailand: 0.00%
BTS Group Holdings PCL (Industrials, Road & Rail) †							51,660		1,408
Minor International PCL (Consumer Discretionary, Hotels, Restaurants & Leisure) †							12,585		689
									2,097
Total Warrants (Cost $0)									13,642
	Yield
Short-Term Investments: 3.10%
Investment Companies: 3.10%
Wells Fargo Government Money Market Fund Select Class (l)(u)		1.52					6,720,374		6,720,374
Total Short-Term Investments (Cost $6,720,374)									6,720,374

Total investments in securities (Cost $223,169,442)	98.61	%		213,999,175
Other assets and liabilities, net	1.39			3,022,184
Total net assets	100.00	%	$	217,021,359

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  85

Portfolio of investments—February 29, 2020

FACTOR ENHANCED EMERGING MARKETS PORTFOLIO

† Non-income-earning security

144A The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933.

(a) The security is fair valued in accordance with procedures approved by the Board of Trustees.

‡ Security is valued using significant unobservable inputs.

(l) The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

(u) The rate represents the 7-day annualized yield at period end.

Abbreviations:

ADR American depositary receipt

GDR Global depositary receipt

INR Indian Rupee

REIT Real estate investment trust

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost		Notional value		Unrealized gains		Unrealized losses
Long
MSCI Emerging Markets Index		192		3-20-2020	$	10,167,740	$	9,684,480	$	0	$	(483,260	)

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Shares, beginning of period		Shares purchased		Shares sold			Shares, end of period		Net realized gains (losses)		Net change in unrealized gains (losses)		Income from affiliated securities		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		7,871,946		69,105,943		(70,257,515	)		6,720,374	$	0	$	0	$	136,960	$	6,720,374		3.10	%

The accompanying notes are an integral part of these financial statements.

86  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED INTERNATIONAL PORTFOLIO

	Shares		Value
Common Stocks: 94.59%
Australia: 8.62%
Afterpay Touch Group Limited (Information Technology, IT Services) †		10,672	$	237,310
AGL Energy Limited (Utilities, Multi-Utilities)		34,653		433,949
ALS Limited (Industrials, Professional Services)		24,980		138,122
Altium Limited (Information Technology, Software)		6,209		127,375
Alumina Limited (Materials, Metals & Mining)		139,520		178,599
Ansell Limited (Health Care, Health Care Equipment & Supplies)		6,626		129,622
APA Group (Utilities, Gas Utilities)		49,430		348,364
Aristocrat Leisure Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		32,571		714,411
ASX Limited (Financials, Capital Markets)		9,670		472,394
Atlas Arteria Stapled Securities (Industrials, Transportation Infrastructure)		44,427		234,133
Aurizon Holdings Limited (Industrials, Road & Rail)		97,201		309,446
AusNet Services (Utilities, Electric Utilities)		94,217		104,464
Australia & New Zealand Banking Group Limited (Financials, Banks)		147,702		2,381,980
Bank of Queensland Limited (Financials, Banks)		21,836		107,401
Beach Petroleum Limited (Energy, Oil, Gas & Consumable Fuels)		83,120		98,254
Bendigo Bank Limited (Financials, Banks)		25,741		155,426
BHP Billiton Limited (Materials, Metals & Mining)		153,931		3,345,754
BlueScope Steel Limited (Materials, Metals & Mining)		25,105		196,330
Boral Limited (Materials, Construction Materials)		65,662		196,007
Brambles Limited (Industrials, Commercial Services & Supplies)		79,311		624,234
Caltex Australia Limited (Energy, Oil, Gas & Consumable Fuels)		12,886		277,121
Carsales.com Limited (Communication Services, Interactive Media & Services)		12,108		129,510
Challenger Financial Services Group Limited (Financials, Diversified Financial Services)		21,924		131,945
Charter Hall Group (Real Estate, Equity REITs)		22,997		188,185
CIMIC Group Limited (Industrials, Construction & Engineering)		4,852		76,402
Cleanaway Waste Management Limited (Industrials, Commercial Services & Supplies)		100,904		150,939
Coca-Cola Amatil Limited (Consumer Staples, Beverages)		25,232		190,025
Cochlear Limited (Health Care, Health Care Equipment & Supplies)		2,925		400,643
Coles Group Liimited (Consumer Staples, Food & Staples Retailing)		56,192		526,543
Commonwealth Bank of Australia (Financials, Banks)		90,626		4,865,089
Computershare Limited (Information Technology, IT Services)		26,278		266,326
Crown Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		15,045		100,403
CSL Limited (Health Care, Biotechnology)		22,316		4,558,526
Dexus Property Group (Real Estate, Equity REITs)		55,745		444,076
Domino’s Pizza Enterprises Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		3,012		110,245
Downer EDI Limited (Industrials, Commercial Services & Supplies)		28,828		108,883
Evolution Mining Limited (Materials, Metals & Mining)		74,159		193,866
Fortescue Metals Group Limited (Materials, Metals & Mining)		88,773		592,948
Goodman Group (Real Estate, Equity REITs)		83,670		821,494
Harvey Norman Holdings Limited (Consumer Discretionary, Multiline Retail)		31,679		77,424
Iluka Resources Limited (Materials, Metals & Mining)		22,622		124,381
Incitec Pivot Limited (Materials, Chemicals)		82,361		148,328
Insurance Australia Group Limited (Financials, Insurance)		124,790		525,146
JB Hi-Fi Limited (Consumer Discretionary, Specialty Retail)		4,972		120,234
Lendlease Corporation Limited (Real Estate, Real Estate Management & Development)		29,493		343,079
Link Administration Holdings Limited (Information Technology, IT Services)		26,880		83,354
Macquarie Group Limited (Financials, Capital Markets)		18,450		1,640,453
Magellan Financial Group Limited (Financials, Capital Markets)		6,774		250,601
Medibank Private Limited (Financials, Insurance)		139,173		259,985
Metcash Limited (Consumer Staples, Food & Staples Retailing)		47,559		77,369
Mirvac Group (Real Estate, Equity REITs)		206,335		410,428
National Australia Bank Limited (Financials, Banks)		150,569		2,477,775
Newcrest Mining Limited (Materials, Metals & Mining)		38,037		623,958

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  87

Portfolio of investments—February 29, 2020

FACTOR ENHANCED INTERNATIONAL PORTFOLIO

	Shares		Value
Australia (continued)
NIB Holdings Limited (Financials, Insurance)		22,684	$	69,310
Northern Star Resources Limited (Materials, Metals & Mining)		31,064		271,317
Orica Limited (Materials, Chemicals)		19,439		254,103
Origin Energy Limited (Energy, Oil, Gas & Consumable Fuels)		92,474		427,623
Orora Limited (Materials, Containers & Packaging)		62,037		111,477
OZ Minerals Limited (Materials, Metals & Mining)		16,691		98,940
Qantas Airways Limited (Industrials, Airlines)		89,211		326,290
QBE Insurance Group Limited (Financials, Insurance)		67,743		602,116
Qube Holdings Limited (Industrials, Transportation Infrastructure)		73,957		142,184
Ramsay Health Care Limited (Health Care, Health Care Providers & Services)		7,974		356,736
REA Group Limited (Communication Services, Interactive Media & Services)		2,471		160,406
Reece Limited (Industrials, Trading Companies & Distributors)		17,236		129,127
Reliance Worldwide Corporation Limited (Industrials, Building Products)		39,000		87,247
Rio Tinto Limited (Materials, Metals & Mining)		19,185		1,102,462
Santos Limited (Energy, Oil, Gas & Consumable Fuels)		90,908		414,735
Scentre Group (Real Estate, Equity REITs)		273,856		620,504
SEEK Limited (Industrials, Professional Services)		17,623		241,379
Sonic Healthcare Limited (Health Care, Health Care Providers & Services)		23,402		444,222
Spark Infrastructure Group (Utilities, Electric Utilities)		86,977		120,178
Stockland Corporation Limited (Real Estate, Equity REITs)		122,254		377,919
Suncorp Group Limited (Financials, Insurance)		66,461		496,517
Sydney Airport Holdings Limited (Industrials, Transportation Infrastructure)		118,348		604,808
Tabcorp Holdings Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		103,589		258,055
Telstra Corporation Limited (Communication Services, Diversified Telecommunication Services)		579,370		1,306,643
The GPT Group (Real Estate, Equity REITs)		86,333		326,298
The Star Entertainment Group Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		48,822		117,511
TPG Telecom Limited (Communication Services, Diversified Telecommunication Services)		18,755		92,758
Transurban Group (Industrials, Transportation Infrastructure)		138,329		1,348,860
Treasury Wine Estates Limited (Consumer Staples, Beverages)		37,345		272,625
Vicinity Centres (Real Estate, Equity REITs)		167,555		237,305
Washington H. Soul Pattinson & Company Limited (Energy, Oil, Gas & Consumable Fuels)		7,427		95,418
Wesfarmers Limited (Consumer Discretionary, Multiline Retail)		55,924		1,496,799
Westpac Banking Corporation (Financials, Banks)		186,434		2,854,722
Whitehaven Coal Limited (Energy, Oil, Gas & Consumable Fuels)		48,757		64,269
Wisetech Global Limited (Information Technology, Software)		7,875		79,402
Woodside Petroleum Limited (Energy, Oil, Gas & Consumable Fuels)		48,489		902,804
Woolworths Group Limited (Consumer Staples, Food & Staples Retailing)		63,153		1,615,373
WorleyParsons Limited (Energy, Energy Equipment & Services)		15,969		134,199
				50,491,900
Austria: 0.26%
Andritz AG (Industrials, Machinery)		3,774		133,553
Erste Bank Der Oesterreichischen Sparkassen AG (Financials, Banks)		15,067		515,795
Immofinanz AG (Real Estate, Real Estate Management & Development)		5,113		131,709
OMV AG (Energy, Oil, Gas & Consumable Fuels)		7,292		305,404
Verbund AG (Utilities, Electric Utilities)		3,404		162,139
Voestalpine AG (Materials, Metals & Mining)		6,098		132,782
Wienerberger AG (Materials, Construction Materials)		5,912		151,352
				1,532,734
Belgium: 0.64%
Ackermans & Van Haaren NV (Financials, Diversified Financial Services)		1,094		156,999
Aedifica SA (Real Estate, Equity REITs)		1,319		170,947
Ageas NV (Financials, Insurance)		9,871		459,286

The accompanying notes are an integral part of these financial statements.

88  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED INTERNATIONAL PORTFOLIO

	Shares		Value
Belgium (continued)
Cofinimmo SA (Real Estate, Equity REITs)		1,351	$	215,065
Colruyt SA (Consumer Staples, Food & Staples Retailing)		3,087		143,187
Elia System Operator NV (Utilities, Electric Utilities)		1,698		168,893
Groupe Bruxelles Lambert SA (Financials, Diversified Financial Services)		4,233		384,800
Proximus SA (Communication Services, Diversified Telecommunication Services)		8,041		199,698
Sofina SA (Financials, Diversified Financial Services)		767		165,806
Solvay SA (Materials, Chemicals)		3,874		353,535
Telenet Group Holding NV (Communication Services, Media)		2,462		94,698
UCB SA (Health Care, Pharmaceuticals)		6,073		562,274
Umicore SA (Materials, Chemicals)		11,653		490,715
Warehouses De Pauw SCA (Real Estate, Equity REITs)		6,809		182,464
				3,748,367
Canada: 10.40%
Agnico-Eagle Mines Limited-U.S. Exchange Traded Shares (Materials, Metals & Mining)		12,995		616,615
Air Canada (Industrials, Airlines) †		14,100		359,788
Alimentation Couche-Tard Incorporated Class B (Consumer Staples, Food & Staples Retailing)		41,970		1,274,500
Bank of Montreal (Financials, Banks)		32,391		2,201,068
Barrick Gold Corporation (Materials, Metals & Mining)		96,171		1,834,217
BCE Incorporated (Communication Services, Diversified Telecommunication Services)		46,015		2,020,923
Brookfield Asset Management Incorporated Class A (Financials, Capital Markets)		53,319		3,188,613
Canadian Imperial Bank of Commerce (Financials, Banks)		22,874		1,740,963
Canadian National Railway Company (Industrials, Road & Rail)		36,637		3,105,922
Canadian Natural Resources Limited (Energy, Oil, Gas & Consumable Fuels)		61,200		1,575,310
Canadian Pacific Railway Limited (Industrials, Road & Rail)		6,982		1,730,454
CGI Incorporated (Information Technology, IT Services) †		11,965		840,692
Constellation Software Incorporated (Information Technology, Software)		1,028		1,047,285
Dollarama Incorporated (Consumer Discretionary, Multiline Retail)		15,832		465,435
Emera Incorporated (Utilities, Electric Utilities)		12,100		509,872
Enbridge Incorporated (Energy, Oil, Gas & Consumable Fuels)		102,200		3,803,995
Fairfax Financial Holdings Limited (Financials, Insurance)		1,300		560,010
Fortis Incorporated (Utilities, Electric Utilities)		22,144		896,154
Franco-Nevada Corporation (Materials, Metals & Mining)		9,808		1,052,958
Intact Financial Corporation (Financials, Insurance)		6,875		745,199
Kirkland Lake Gold Limited (Materials, Metals & Mining)		10,300		332,194
Loblaw Companies Limited (Consumer Staples, Food & Staples Retailing)		9,154		453,523
Magna International Incorporated (Consumer Discretionary, Auto Components)		16,227		738,542
Manulife Financial Corporation (Financials, Insurance)		96,600		1,623,614
Metro Incorporated (Consumer Staples, Food & Staples Retailing)		12,730		495,827
National Bank of Canada (Financials, Banks)		17,108		889,272
Open Text Corporation (Information Technology, Software)		13,335		559,003
Pembina Pipeline Corporation (Energy, Oil, Gas & Consumable Fuels)		24,952		898,811
Power Corporation of Canada (Financials, Insurance)		16,896		373,481
Restaurant Brands International Incorporated (Consumer Discretionary, Hotels, Restaurants & Leisure)		15,203		896,040
Rogers Communications Incorporated Class B (Communication Services, Wireless Telecommunication Services)		18,322		839,625
Royal Bank of Canada (Financials, Banks)		72,331		5,379,088
Shaw Communications Incorporated Class B (Communication Services, Media)		24,926		431,388
Sun Life Financial Incorporated (Financials, Insurance)		28,158		1,216,526
Suncor Energy Incorporated (Energy, Oil, Gas & Consumable Fuels)		76,962		2,120,935
TC Energy Corporation (Energy, Oil, Gas & Consumable Fuels)		47,600		2,480,980
Telus Corporation (Communication Services, Diversified Telecommunication Services)		28,894		1,042,746
The Bank of Nova Scotia (Financials, Banks)		62,808		3,285,809
The Toronto-Dominion Bank (Financials, Banks)		92,028		4,733,554
Thomson Reuters Corporation (Industrials, Professional Services)		8,353		620,509

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  89

Portfolio of investments—February 29, 2020

FACTOR ENHANCED INTERNATIONAL PORTFOLIO

	Shares		Value
Canada (continued)
Waste Connections Incorporated - Toronto Exchange (Industrials, Commercial Services & Supplies)		13,000	$	1,251,719
Wheaton Precious Metals Corporation (Materials, Metals & Mining)		24,676		701,719
				60,934,878
China: 0.30%
AAC Technologies Holdings Incorporated (Information Technology, Electronic Equipment, Instruments & Components)		33,000		220,344
Beigene Limited (Health Care, Biotechnology) †		40,167		482,708
Sands China Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		120,800		579,052
Shenzhou International Group Holdings Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		38,900		492,310
				1,774,414
Denmark: 2.29%
Ambu AS Class B (Health Care, Health Care Equipment & Supplies)		9,197		209,455
Carlsberg AS Class B (Consumer Staples, Beverages)		5,397		713,795
Christian Hansen Holding AS (Materials, Chemicals)		5,339		384,908
Coloplast AS Class B (Health Care, Health Care Equipment & Supplies)		6,068		814,601
DSV AS (Industrials, Air Freight & Logistics)		11,044		1,112,337
Genmab AS (Health Care, Biotechnology) †		3,251		735,160
GN Store Nord AS (Health Care, Health Care Equipment & Supplies)		6,527		364,220
H. Lundbeck AS (Health Care, Pharmaceuticals)		3,254		113,445
ISS AS (Industrials, Commercial Services & Supplies)		7,771		138,904
Novo Nordisk AS Class B (Health Care, Pharmaceuticals)		89,510		5,244,296
Novozymes AS Class B (Materials, Chemicals)		11,432		586,068
Orsted AS (Utilities, Electric Utilities) 144A		9,162		945,874
Pandora AS (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		4,143		186,694
Royal Unibrew AS (Consumer Staples, Beverages)		2,189		189,383
SimCorp AS (Information Technology, Software)		2,071		199,989
Topdanmark AS (Financials, Insurance)		2,415		105,484
Tryg AS (Financials, Insurance)		6,128		171,942
Vestas Wind Systems AS (Industrials, Electrical Equipment)		10,806		1,042,566
William Demant Holding (Health Care, Health Care Equipment & Supplies) †		4,707		143,588
				13,402,709
Finland: 1.14%
Elisa Oyj (Communication Services, Diversified Telecommunication Services)		7,593		437,367
Fortum Oyj (Utilities, Electric Utilities)		22,928		489,648
Huhtamaki Oyj (Materials, Containers & Packaging)		4,840		198,740
Kesko Oyj Class B (Consumer Staples, Food & Staples Retailing)		3,410		232,376
Kojamo Oyj (Real Estate, REITs)		8,971		167,964
Kone Oyj Class B (Industrials, Machinery)		20,812		1,178,840
Metso Oyj (Industrials, Machinery)		7,262		236,321
Neste Oil Oyj (Energy, Oil, Gas & Consumable Fuels)		20,440		816,908
Nokian Renkaat Oyj (Consumer Discretionary, Auto Components)		6,982		181,749
Orion Oyj Class B (Health Care, Pharmaceuticals)		5,461		217,951
Sampo Oyj Class A (Financials, Insurance)		25,902		1,058,406
Stora Enso Oyj (Materials, Paper & Forest Products)		34,584		409,853
UPM-Kymmene Oyj (Materials, Paper & Forest Products)		29,308		901,872
Valmet Oyj Corporation (Industrials, Machinery)		7,149		170,692
				6,698,687

The accompanying notes are an integral part of these financial statements.

90  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED INTERNATIONAL PORTFOLIO

	Shares		Value
France: 5.53%
Aeroports de Paris SA (Industrials, Transportation Infrastructure)		1,512	$	224,760
Air France-KLM SA (Industrials, Airlines) †		14,044		107,101
Air Liquide SA (Materials, Chemicals)		24,671		3,360,515
Alstom SA (Industrials, Machinery)		9,785		483,097
Alten SA (Information Technology, IT Services)		1,555		174,150
Altran Technologies SA (Information Technology, IT Services)		11,772		189,518
Amundi SA (Financials, Capital Markets) 144A		3,279		235,617
Arkema SA (Materials, Chemicals)		4,072		385,209
Atos Origin SA (Information Technology, IT Services)		4,877		366,933
bioMerieux (Health Care, Health Care Equipment & Supplies)		2,067		191,715
Bouygues SA (Industrials, Construction & Engineering)		15,151		599,351
Bureau Veritas SA (Industrials, Professional Services)		15,213		374,455
Christian Dior SA (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		273		116,625
CNP Assurances SA (Financials, Insurance)		9,111		143,191
Compagnie Generale des Etablissements Michelin SCA (Consumer Discretionary, Auto Components)		9,202		986,148
Covivio (Real Estate, Equity REITs)		3,154		335,677
Dassault Aviation SA (Industrials, Aerospace & Defense)		129		135,100
Dassault Systemes SA (Information Technology, Software)		7,188		1,140,472
Danone SA (Consumer Staples, Food Products)		34,280		2,419,431
Eiffage SA (Industrials, Construction & Engineering)		5,061		541,374
Elis SA (Industrials, Commercial Services & Supplies)		11,424		199,494
Engie SA (Utilities, Multi-Utilities)		94,562		1,579,092
Eurazeo SA (Financials, Diversified Financial Services)		2,773		186,406
Eutelsat Communications SA (Communication Services, Media)		9,011		121,760
Gecina SA (Real Estate, Equity REITs)		2,568		455,576
Groupe Eurotunnel SE (Industrials, Transportation Infrastructure)		23,707		383,852
Hermes International SA (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		1,775		1,252,079
ICADE (Real Estate, Equity REITs)		1,759		175,252
Ingenico SA (Information Technology, Electronic Equipment, Instruments & Components)		3,043		433,717
Ipsen SA (Health Care, Pharmaceuticals)		1,911		124,922
JCDecaux SA (Communication Services, Media)		4,377		101,148
Klepierre SA (Real Estate, Equity REITs)		13,861		416,249
Lagardere SCA (Communication Services, Media)		6,086		105,921
Legrand SA (Industrials, Electrical Equipment)		13,868		1,064,396
Orange SA (Communication Services, Diversified Telecommunication Services)		106,226		1,429,627
Orpea SA (Health Care, Health Care Providers & Services)		2,445		317,248
Pernod-Ricard SA (Consumer Staples, Beverages)		10,507		1,713,418
Publicis Groupe SA (Communication Services, Media)		11,206		435,793
Remy Cointreau SA (Consumer Staples, Beverages)		1,187		120,918
Rubis SCA (Utilities, Gas Utilities)		5,073		275,107
Safran SA (Industrials, Aerospace & Defense)		18,048		2,498,354
Sartorius Stedim Biotech SA (Health Care, Life Sciences Tools & Services)		1,209		231,589
SEB SA (Consumer Discretionary, Household Durables)		1,257		166,842
Sodexho Alliance SA (Consumer Discretionary, Hotels, Restaurants & Leisure)		4,682		452,515
Sopra Steria Group (Information Technology, IT Services)		896		145,073
Spie SA (Industrials, Commercial Services & Supplies)		7,135		137,743
Suez Environnement Company SA (Utilities, Multi-Utilities)		21,022		333,804
Teleperformance SE (Industrials, Professional Services)		2,967		723,803
Thales SA (Industrials, Aerospace & Defense)		5,229		528,143
Veolia Environnement SA (Utilities, Multi-Utilities)		29,763		857,500
Vinci SA (Industrials, Construction & Engineering)		28,898		2,920,078
				32,397,858

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  91

Portfolio of investments—February 29, 2020

FACTOR ENHANCED INTERNATIONAL PORTFOLIO

	Shares		Value
Germany: 4.55%
Adidas AG (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		8,857	$	2,493,673
Allianz AG (Financials, Insurance)		21,191		4,616,456
Alstria Office REIT AG (Real Estate, Equity REITs)		8,654		163,844
Bechtle AG (Information Technology, IT Services)		1,333		177,404
Beiersdorf AG (Consumer Staples, Personal Products)		5,035		531,686
Brenntag AG (Industrials, Trading Companies & Distributors)		7,821		354,862
Carl Zeiss Meditec AG (Health Care, Health Care Equipment & Supplies)		1,810		192,555
Covestro AG (Materials, Chemicals) 144A		8,383		324,821
CTS Eventim AG & Company KGaA (Communication Services, Entertainment)		2,563		137,351
Deutsche Boerse AG (Financials, Capital Markets)		9,429		1,483,688
Deutsche Lufthansa AG (Industrials, Airlines)		14,281		188,865
Deutsche Post AG (Industrials, Air Freight & Logistics)		50,061		1,506,732
Deutsche Wohnen AG (Real Estate, Real Estate Management & Development)		17,576		717,500
E.ON SE (Utilities, Multi-Utilities)		117,260		1,362,123
Evonik Industries AG (Materials, Chemicals)		9,046		226,417
Evotec AG (Health Care, Life Sciences Tools & Services) †		6,129		149,222
Fraport AG (Industrials, Transportation Infrastructure)		2,029		129,644
Freenet AG (Communication Services, Wireless Telecommunication Services)		6,465		127,261
Fresenius Medical Care AG & Company KGaA (Health Care, Health Care Providers & Services)		10,820		834,512
Fresenius SE & Company KGaA (Health Care, Health Care Providers & Services)		21,227		1,006,692
Grenke AG (Financials, Diversified Financial Services)		1,389		130,087
Hannover Rueck SE (Financials, Insurance)		2,993		541,935
HELLA GmbH & Company KGaA (Consumer Discretionary, Auto Components)		2,343		98,381
Hellofresh SE (Consumer Discretionary, Internet & Direct Marketing Retail) †		6,613		161,252
Hochtief AG (Industrials, Construction & Engineering)		1,139		113,640
Hugo Boss AG (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		3,334		148,608
Kion Group AG (Industrials, Machinery)		3,389		183,289
Knorr Bremse AG (Industrials, Machinery)		2,461		249,920
LANXESS AG (Materials, Chemicals)		4,226		224,990
LEG Immobilien AG (Real Estate, Real Estate Management & Development)		3,432		412,130
Merck KGaA (Health Care, Pharmaceuticals)		6,254		761,013
Metro AG (Consumer Staples, Food & Staples Retailing)		9,408		109,893
MTU Aero Engines AG (Industrials, Aerospace & Defense)		2,487		615,340
Muenchener Rueckversicherungs Gesellschaft AG (Financials, Insurance)		7,211		1,868,497
Nemetschek SE (Information Technology, Software)		2,665		169,628
ProSiebenSat.1 Media AG (Communication Services, Media)		11,484		139,075
Puma AG Rudolf Dassler Sport (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		4,088		316,952
Rheinmetall AG (Industrials, Industrial Conglomerates)		2,248		208,697
Scout24 AG (Communication Services, Interactive Media & Services) 144A		5,387		352,061
Siemens Healthineers AG (Health Care, Health Care Equipment & Supplies) 144A		7,629		308,710
Symrise AG (Materials, Chemicals)		6,624		649,099
TAG Immobilien AG (Real Estate, Real Estate Management & Development)		7,632		187,542
Uniper SE (Utilities, Independent Power & Renewable Electricity Producers)		8,006		237,973
Vonovia SE (Real Estate, Real Estate Management & Development)		25,496		1,379,538
Zalando SE (Consumer Discretionary, Internet & Direct Marketing Retail) 144A†		8,028		358,746
				26,652,304
Hong Kong: 2.68%
ASM Pacific Technology (Information Technology, Semiconductors & Semiconductor Equipment)		15,144		183,142
CK Asset Holdings Limited (Real Estate, Real Estate Management & Development)		136,690		872,488
CK Hutchison Holdings Limited (Industrials, Industrial Conglomerates)		141,570		1,251,488
CK Infrastructure Holdings Limited (Utilities, Electric Utilities)		36,500		251,157
Fosun International (Industrials, Industrial Conglomerates)		121,500		158,182
Hang Lung Group Limited (Real Estate, Real Estate Management & Development)		44,705		113,550
Hang Lung Properties Limited (Real Estate, Real Estate Management & Development)		91,332		202,732

The accompanying notes are an integral part of these financial statements.

92  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED INTERNATIONAL PORTFOLIO

	Shares		Value
Hong Kong (continued)
Hang Seng Bank Limited (Financials, Banks)		35,055	$	739,328
Henderson Land Development Company Limited (Real Estate, Real Estate Management & Development)		69,198		323,025
HK Electric Investments Limited (Utilities, Electric Utilities) 144A		100,500		101,080
Hong Kong & China Gas Company Limited (Utilities, Gas Utilities)		492,595		956,084
Hong Kong Exchanges & Clearing Limited (Financials, Capital Markets)		55,600		1,860,154
Hong Kong Land Holdings Limited (Real Estate, Real Estate Management & Development)		61,525		305,093
Hong Kong Telecommunications Trust & Hong Kong Trust Limited (Communication Services, Diversified Telecommunication Services)		171,574		258,329
Hysan Development Company Limited (Real Estate, Real Estate Management & Development)		34,574		126,377
Jardine Matheson Holdings Limited (Industrials, Industrial Conglomerates)		13,328		729,209
Jardine Strategic Holdings Limited (Industrials, Industrial Conglomerates)		8,317		241,248
Kerry Properties Limited (Real Estate, Real Estate Management & Development)		35,000		100,817
Link REIT (Real Estate, Equity REITs)		110,007		1,026,914
MTR Corporation Limited (Industrials, Road & Rail)		74,569		426,037
NagaCorp Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		78,000		108,392
New World Development Limited (Real Estate, Real Estate Management & Development)		293,961		385,141
NWS Holdings Limited (Industrials, Industrial Conglomerates)		73,429		90,748
PCCW Limited (Communication Services, Diversified Telecommunication Services)		182,000		109,983
Power Assets Holdings Limited (Utilities, Electric Utilities)		67,000		480,618
Sino Land Company (Real Estate, Real Estate Management & Development)		163,899		226,116
SJM Holdings Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		99,000		114,628
Sun Hung Kai Properties Limited (Real Estate, Real Estate Management & Development)		80,500		1,163,498
Swire Pacific Limited Class A (Real Estate, Real Estate Management & Development)		25,978		236,861
Swire Properties Limited (Real Estate, Real Estate Management & Development)		55,553		167,201
Techtronic Industries Company Limited (Industrials, Machinery)		77,743		644,998
Vitasoy International Holdings Limited (Consumer Staples, Food Products)		43,005		155,978
WH Group Limited (Consumer Staples, Food Products) 144A		475,500		498,995
Wharf Real Estate Investment Company Limited (Real Estate, Real Estate Management & Development)		61,000		280,993
Wheelock & Company Limited (Real Estate, Real Estate Management & Development)		38,945		299,239
Wynn Macau Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		73,134		151,891
Xinyi Glass Holdings Limited (Consumer Discretionary, Auto Components)		108,000		135,221
Yihai International Holding (Consumer Staples, Food Products)		20,000		135,457
Yue Yuen Industrial Holdings Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		38,222		92,753
				15,705,145
Ireland: 1.43%
AIB Group plc (Financials, Banks)		50,732		118,378
DCC plc (Industrials, Industrial Conglomerates)		5,201		372,511
Glanbia plc (Consumer Staples, Food Products)		12,333		143,638
Kerry Group plc Class A (Consumer Staples, Food Products)		8,518		1,081,396
Kingspan Group plc (Industrials, Building Products)		8,684		546,921
Linde plc (Materials, Chemicals)		28,763		5,543,346
Flutter Entertainment plc (Consumer Discretionary, Hotels, Restaurants & Leisure)		4,327		460,135
UDG Healthcare plc (Health Care, Health Care Providers & Services)		13,129		119,778
				8,386,103
Italy: 1.46%
A2A SpA (Utilities, Multi-Utilities)		80,248		139,914
Amplifon SpA (Health Care, Health Care Providers & Services)		6,158		176,664
Assicurazioni Generali SpA (Financials, Insurance)		66,041		1,192,129
Atlantia SpA (Industrials, Transportation Infrastructure)		23,393		505,962
Banco BPM SpA (Financials, Banks) †		74,490		164,163

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  93

Portfolio of investments—February 29, 2020

FACTOR ENHANCED INTERNATIONAL PORTFOLIO

	Shares		Value
Italy (continued)
Davide Campari-Milano SpA (Consumer Staples, Beverages)		24,184	$	202,197
DiaSorin SpA (Health Care, Health Care Equipment & Supplies)		1,286		147,343
Enel SpA (Utilities, Electric Utilities)		384,902		3,230,553
Hera SpA (Utilities, Multi-Utilities)		39,392		169,078
Interpump Group SpA (Industrials, Machinery)		4,356		131,877
Italgas SpA (Utilities, Gas Utilities)		24,233		148,090
Leonardo SpA (Industrials, Aerospace & Defense)		18,526		189,994
Mediobanca SpA (Financials, Banks)		31,559		286,979
Moncler SpA (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		10,225		402,364
Poste Italiane SpA (Financials, Insurance)		23,592		252,731
Recordati SpA (Health Care, Pharmaceuticals)		5,046		215,805
Snam SpA (Utilities, Gas Utilities)		107,272		531,895
Terna SpA (Utilities, Electric Utilities)		72,492		479,225
				8,566,963
Japan: 20.93%
Acom Company Limited (Financials, Consumer Finance)		24,700		101,534
Activia Properties Incorporated (Real Estate, Equity REITs)		37		176,127
Advance Residence Investment Corporation (Real Estate, Equity REITs)		71		211,474
Advantest Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		10,300		473,907
Aeon Financial Service Company Limited (Financials, Consumer Finance)		6,000		87,029
Aica Kogyo Company Limited (Industrials, Building Products)		3,300		96,970
Air Water Incorporated (Materials, Chemicals)		9,700		128,681
Aisin Seiki Company Limited (Consumer Discretionary, Auto Components)		9,900		318,431
Alfresa Holdings Corporation (Health Care, Health Care Providers & Services)		11,300		197,040
All Nippon Airways Company Limited (Industrials, Airlines)		20,600		554,626
Amada Holdings Company Limited (Industrials, Machinery)		20,400		190,207
Anritsu Corporation (Information Technology, Electronic Equipment, Instruments & Components)		7,000		115,702
Aozora Bank Limited (Financials, Banks)		6,000		148,900
Asahi Breweries Limited (Consumer Staples, Beverages)		23,000		880,386
Asahi Glass Company Limited (Industrials, Building Products)		12,400		354,623
Asahi Intecc Company Limited (Health Care, Health Care Equipment & Supplies)		13,100		316,662
Asahi Kasei Corporation (Materials, Chemicals)		82,300		674,034
Astellas Pharma Incorporated (Health Care, Pharmaceuticals)		96,300		1,509,330
Azbil Corporation (Information Technology, Electronic Equipment, Instruments & Components)		7,300		180,529
Bandai Namco Holdings Incorporated (Consumer Discretionary, Leisure Products)		12,900		646,042
Benesse Corporation (Consumer Discretionary, Diversified Consumer Services)		3,900		100,173
Bridgestone Corporation (Consumer Discretionary, Auto Components)		32,500		1,077,071
Brother Industries Limited (Information Technology, Technology Hardware, Storage & Peripherals)		13,700		242,669
Calbee Incorporated (Consumer Staples, Food Products)		4,300		109,571
Canon Incorporated (Information Technology, Technology Hardware, Storage & Peripherals)		53,600		1,348,966
Capcom Company Limited (Communication Services, Entertainment)		4,900		133,239
Casio Computer Company Limited (Consumer Discretionary, Household Durables)		12,200		207,839
Chiba Bank Limited (Financials, Banks)		38,900		188,472
Chubu Electric Power Company Incorporated (Utilities, Electric Utilities)		37,800		492,437
Chugai Pharmaceutical Company Limited (Health Care, Pharmaceuticals)		10,700		1,150,999
Comsys Holdings Corporation (Industrials, Construction & Engineering)		6,500		159,923
Cosmos Pharmaceutical Corporation (Consumer Staples, Food & Staples Retailing)		600		130,793
Credit Saison Company Limited (Financials, Consumer Finance)		8,100		116,801
Dai-ichi Life Holdings Incorporated (Financials, Insurance)		62,600		849,002
Daicel Corporation (Materials, Chemicals)		17,900		153,761
Daifuku Company Limited (Industrials, Machinery)		5,900		346,815
Daiichi Sankyo Company Limited (Health Care, Pharmaceuticals)		31,700		1,929,767
Daiichikosho Company Limited (Communication Services, Entertainment)		2,300		94,030
Daikin Industries Limited (Industrials, Building Products)		15,000		2,020,861

The accompanying notes are an integral part of these financial statements.

94  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED INTERNATIONAL PORTFOLIO

	Shares		Value
Japan (continued)
Daito Trust Construction Company Limited (Real Estate, Real Estate Management & Development)		3,600	$	366,149
Daiwa House Industry Company Limited (Real Estate, Real Estate Management & Development)		34,500		952,077
Daiwa House Residential Investment Corporation (Real Estate, Equity REITs)		100		250,069
Daiwa Office Investment Corporation (Real Estate, Equity REITs)		16		123,350
DeNA Company Limited (Communication Services, Entertainment)		6,000		77,465
Denka Company Limited (Materials, Chemicals)		4,700		117,308
DIC Incorporated (Materials, Chemicals)		4,300		101,599
East Japan Railway Company (Industrials, Road & Rail)		19,600		1,497,104
Ebara Corporation (Industrials, Machinery)		4,900		115,384
Electric Power Development Company Limited (Utilities, Independent Power & Renewable Electricity Producers)		9,700		208,011
Ezaki Glico Company Limited (Consumer Staples, Food Products)		3,100		127,348
FANCL Corporation (Consumer Staples, Personal Products)		4,600		114,735
Fuji Electric Holdings Company Limited (Industrials, Electrical Equipment)		7,700		211,184
Fuji Television Network Incorporated (Communication Services, Media)		11,000		129,243
FUJIFILM Holdings Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		19,800		961,534
Fujitsu Limited (Information Technology, IT Services)		9,800		1,021,907
Fukuoka Financial Group Incorporated (Financials, Banks)		10,200		152,645
GLP J REIT (Real Estate, Equity REITs)		197		249,328
GMO Payment Gateway Incorporated (Information Technology, IT Services)		2,200		136,505
Goldwin Incorporated (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		1,700		103,405
Hakuhodo DY Holdings Incorporated (Communication Services, Media)		16,200		187,215
Hamamatsu Photonics (Information Technology, Electronic Equipment, Instruments & Components)		7,200		280,857
Hankyu Hanshin Holdings Incorporated (Industrials, Road & Rail)		13,100		430,677
Haseko Corporation (Consumer Discretionary, Household Durables)		14,800		190,741
Hikari Tsushin Incorporated (Consumer Discretionary, Specialty Retail)		1,200		228,042
Hino Motors Limited (Industrials, Machinery)		14,600		119,461
Hirose Electric Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		1,700		180,088
Hitachi Chemical Company Limited (Materials, Chemicals)		5,100		215,977
Hitachi Construction Machinery Company Limited (Industrials, Machinery)		5,600		136,388
Hitachi High-Technologies Corporation (Information Technology, Electronic Equipment, Instruments & Components)		3,300		245,108
Hitachi Limited (Information Technology, Electronic Equipment, Instruments & Components)		48,700		1,626,383
Hitachi Metals Limited (Materials, Metals & Mining)		10,200		146,925
Horiba Limited (Information Technology, Electronic Equipment, Instruments & Components)		2,200		120,272
Hoshizaki Electric Company Limited (Industrials, Machinery)		3,000		254,213
House Foods Group Incorporated (Consumer Staples, Food Products)		4,000		117,695
Hoya Corporation (Health Care, Health Care Equipment & Supplies)		19,500		1,729,038
Hulic Company Limited (Real Estate, Real Estate Management & Development)		27,700		308,549
Ibiden Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		6,700		147,682
Idemitsu Kosan Company Limited (Energy, Oil, Gas & Consumable Fuels)		14,317		358,280
IHI Corporation (Industrials, Machinery)		7,300		151,780
Iida Group Holdings Company Limited (Consumer Discretionary, Household Durables)		9,900		133,789
Industrial & Infrastructure Fund Investment Corporation (Real Estate, Equity REITs)		95		148,362
Invincible Investment Corporation (Real Estate, Equity REITs)		335		135,563
ITO EN Limited (Consumer Staples, Beverages)		3,200		140,808
Itochu Corporation (Industrials, Trading Companies & Distributors)		75,000		1,699,604
Itochu Techno-Solutions Corporation (Information Technology, IT Services)		4,900		137,246
Izumi Company Limited (Consumer Discretionary, Multiline Retail)		2,200		60,690
J.Front Retailing Company Limited (Consumer Discretionary, Multiline Retail)		13,400		142,382
Japan Airlines Company Limited (Industrials, Airlines)		20,300		499,582
Japan Airport Terminal Company Limited (Industrials, Transportation Infrastructure)		4,100		159,379
Japan Hotel REIT Investment Corporation (Real Estate, Equity REITs)		251		140,193

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  95

Portfolio of investments—February 29, 2020

FACTOR ENHANCED INTERNATIONAL PORTFOLIO

	Shares		Value
Japan (continued)
Japan Logistics Fund Incorporated (Real Estate, Equity REITs)		47	$	116,652
Japan Post Hoding Company Limited (Financials, Insurance)		10,000		152,576
Japan Prime Realty Investment Corporation (Real Estate, Equity REITs)		49		216,091
Japan Real Estate Investment Corporation (Real Estate, Equity REITs)		71		485,508
Japan Retail Fund Investment Corporation (Real Estate, Equity REITs)		139		263,504
Japan Tobacco Incorporated (Consumer Staples, Tobacco)		57,800		1,142,708
JFE Holdings Incorporated (Materials, Metals & Mining)		29,800		273,026
JSR Corporation (Materials, Chemicals)		9,800		170,374
JXTG Holdings Incorporated (Energy, Oil, Gas & Consumable Fuels)		168,500		682,616
K’s Holdings Corporation (Consumer Discretionary, Specialty Retail)		11,300		123,432
Kagome Company Limited (Consumer Staples, Food Products)		4,400		94,757
Kajima Corporation (Industrials, Construction & Engineering)		28,100		301,161
Kakaku.com Incorporated (Communication Services, Interactive Media & Services)		6,200		132,402
Kaken Pharmaceutical Company Limited (Health Care, Pharmaceuticals)		1,800		86,848
Kamigumi Company Limited (Industrials, Transportation Infrastructure)		5,900		113,849
Kaneka Corporation (Materials, Chemicals)		3,600		96,463
Kansai Paint Company Limited (Materials, Chemicals)		13,100		284,246
Kawasaki Heavy Industries Limited (Industrials, Machinery)		8,900		159,506
KDDI Corporation (Communication Services, Wireless Telecommunication Services)		85,300		2,410,028
Keihan Electric Railway Company Limited (Industrials, Industrial Conglomerates)		5,300		214,420
Keikyu Corporation (Industrials, Road & Rail)		14,200		214,218
Keio Corporation (Industrials, Road & Rail)		6,300		302,106
Keisei Electric Railway Company Limited (Industrials, Road & Rail)		8,700		276,307
Kenedix Realty Investment Corporation (Real Estate, Equity REITs)		23		171,632
Kewpie Corporation (Consumer Staples, Food Products)		6,000		109,912
Kintetsu Group Holdings Company Limited (Industrials, Road & Rail)		9,800		422,705
Kobe Bussan Company Limited (Consumer Staples, Food & Staples Retailing)		3,500		128,315
Kobe Steel Limited (Materials, Metals & Mining)		19,600		72,138
Komatsu Limited (Industrials, Machinery)		52,300		1,044,994
Konami Holdings Corporation (Communication Services, Entertainment)		5,200		187,322
Konica Minolta Holdings Incorporated (Information Technology, Technology Hardware, Storage & Peripherals)		26,200		143,368
Kuraray Company Limited (Materials, Chemicals)		18,700		194,447
Kurita Water Industries Limited (Industrials, Machinery)		5,600		144,433
Kyowa Exeo Corporation (Industrials, Construction & Engineering)		5,500		120,397
Kyushu Electric Power Company Incorporated (Utilities, Electric Utilities)		25,700		186,049
Kyushu Financial Group Incorporated (Financials, Banks)		24,500		82,614
Kyushu Railway Company (Industrials, Road & Rail)		8,100		245,082
Lasertec Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		4,600		211,081
Lawson Incorporated (Consumer Staples, Food & Staples Retailing)		2,500		133,535
Lion Corporation (Consumer Staples, Household Products)		15,600		259,982
M3 Incorporated (Health Care, Health Care Technology)		22,500		580,863
Mabuchi Motor Company Limited (Industrials, Electrical Equipment)		3,100		106,907
Marubeni Corporation (Industrials, Trading Companies & Distributors)		89,600		593,429
Marui Group Company Limited (Consumer Discretionary, Multiline Retail)		11,700		228,327
Maruichi Steel Tube Limited (Materials, Metals & Mining)		4,000		96,610
Matsumotokiyoshi Holdings Company Limited (Consumer Staples, Food & Staples Retailing)		5,000		164,165
Mebuki Financial Group Incorporated (Financials, Banks)		59,400		114,497
MediPal Holdings Corporation (Health Care, Health Care Providers & Services)		10,600		192,849
Minebea Company Limited (Industrials, Machinery)		22,200		388,561
Misumi Group Incorporated (Industrials, Machinery)		14,100		296,988
Mitsubishi Chemical Holdings Corporation (Materials, Chemicals)		74,500		498,060
Mitsubishi Electric Corporation (Industrials, Electrical Equipment)		110,100		1,384,204
Mitsubishi Gas Chemical Company Incorporated (Materials, Chemicals)		11,300		169,074
Mitsubishi Heavy Industries Limited (Industrials, Machinery)		17,500		552,956

The accompanying notes are an integral part of these financial statements.

96  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED INTERNATIONAL PORTFOLIO

	Shares		Value
Japan (continued)
Mitsubishi Logistics Corporation (Industrials, Transportation Infrastructure)		4,200	$	96,006
Mitsubishi Materials Corporation (Materials, Metals & Mining)		6,800		154,265
Mitsubishi Motors Corporation (Consumer Discretionary, Automobiles)		36,100		118,620
Mitsubishi UFJ Lease & Finance Company Limited (Financials, Diversified Financial Services)		28,100		160,718
Mitsui & Company Limited (Industrials, Trading Companies & Distributors)		88,700		1,465,027
Mitsui Chemicals Incorporated (Materials, Chemicals)		11,300		243,261
Mitsui OSK Lines Limited (Industrials, Marine)		6,800		140,069
Miura Company Limited (Industrials, Machinery)		5,600		182,082
Mori Hills REIT Corporation (Real Estate, Equity REITs)		86		135,345
Morinaga & Company Limited (Consumer Staples, Food Products)		2,200		87,332
MS&AD Insurance Group Holdings Incorporated (Financials, Insurance)		25,300		815,525
Nabtesco Corporation (Industrials, Machinery)		5,900		156,674
Nagase & Company Limited (Industrials, Trading Companies & Distributors)		6,600		78,833
Nagoya Railroad Company Limited (Industrials, Road & Rail)		10,200		266,321
Nankai Electric Railway Company Limited (Industrials, Road & Rail)		5,700		125,551
NEC Corporation (Information Technology, Technology Hardware, IT Services)		12,000		450,512
Net One Systems Company Limited (Information Technology, IT Services)		4,200		87,807
Nexon Company Limited (Communication Services, Entertainment)		22,700		358,976
NGK Insulators Limited (Industrials, Machinery)		16,300		255,981
NGK Spark Plug Company Limited (Consumer Discretionary, Auto Components)		10,800		175,351
NH Foods Limited (Consumer Staples, Food Products)		5,100		192,143
Nichirei Corporation (Consumer Staples, Food Products)		6,800		171,705
Nifco Incorporated (Consumer Discretionary, Auto Components)		4,700		113,213
Nihon Kohden Corporation (Health Care, Health Care Equipment & Supplies)		4,300		128,025
Nihon M&A Center Incorporated (Industrials, Professional Services)		7,100		218,719
Nihon Unisys Limited (Information Technology, IT Services)		3,900		118,555
Nikon Corporation (Consumer Discretionary, Household Durables)		21,700		221,660
Nintendo Company Limited (Communication Services, Entertainment)		6,200		2,078,452
Nippon Accommodations Fund Incorporated (Real Estate, Equity REITs)		25		153,208
Nippon Building Fund Incorporated (Real Estate, Equity REITs)		72		538,291
Nippon Electric Glass Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		5,100		85,296
Nippon Express Company Limited (Industrials, Road & Rail)		5,100		244,594
Nippon Kayaku Company Limited (Materials, Chemicals)		8,900		97,790
Nippon Paper Industries Company Limited (Materials, Paper & Forest Products)		6,200		89,654
Nippon Prologis REIT Incorporated (Real Estate, Equity REITs)		102		276,245
Nippon Shinyaku Company Limited (Health Care, Pharmaceuticals)		3,100		232,249
Nippon Shokubai Company Limited (Materials, Chemicals)		1,900		96,199
Nippon Steel Corporation (Materials, Metals & Mining)		49,200		550,727
Nippon Suisan Kaisha Limited (Consumer Staples, Food Products)		16,200		76,619
Nippon Telegraph & Telephone Corporation (Communication Services, Diversified Telecommunication Services)		119,200		2,780,909
Nippon Television Network Corporation (Communication Services, Media)		9,400		112,997
Nippon Yusen Kabushiki Kaisha (Industrials, Marine)		9,400		133,699
Nishi-Nippon Railroad Company Limited (Industrials, Road & Rail)		3,900		85,401
Nissin Food Products Company Limited (Consumer Staples, Food Products)		4,200		330,594
Nitori Holdings Company Limited (Consumer Discretionary, Specialty Retail)		4,700		652,995
NOF Corporation (Materials, Chemicals)		4,100		130,364
Nomura Real Estate Holding Incorporated (Real Estate, Real Estate Management & Development)		6,300		135,927
Nomura Real Estate Master Fund Incorporated (Real Estate, Equity REITs)		237		376,041
Nomura Research Institute Limited (Information Technology, IT Services)		21,500		472,019
NSK Limited (Industrials, Machinery)		27,900		211,119
NTT Data Corporation (Information Technology, IT Services)		31,000		369,716
NTT DOCOMO Incorporated (Communication Services, Wireless Telecommunication Services)		60,000		1,624,132
Obayashi Corporation (Industrials, Construction & Engineering)		36,500		368,214

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  97

Portfolio of investments—February 29, 2020

FACTOR ENHANCED INTERNATIONAL PORTFOLIO

	Shares		Value
Japan (continued)
OBIC Company Limited (Information Technology, IT Services)		3,500	$	432,131
Odakyu Electric Railway Company Limited (Industrials, Road & Rail)		17,900		344,002
Oji Holdings Corporation (Materials, Paper & Forest Products)		51,500		243,919
Omron Corporation (Information Technology, Electronic Equipment, Instruments & Components)		11,100		594,330
Ono Pharmaceutical Company Limited (Health Care, Pharmaceuticals)		25,400		514,825
Oracle Corporation (Japan) (Information Technology, Software)		1,600		124,715
Oriental Land Company Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		11,000		1,252,404
ORIX Corporation (Financials, Diversified Financial Services)		66,700		1,081,080
ORIX JREIT Incorporated (Real Estate, Equity REITs)		144		272,429
Osaka Gas Company Limited (Utilities, Gas Utilities)		21,600		345,761
OSG Corporation (Industrials, Machinery)		4,800		71,952
Otsuka Corporation (Information Technology, IT Services)		6,700		289,399
Pan Pacific International Holdings (Consumer Discretionary, Multiline Retail)		28,400		469,521
Park24 Company Limited (Industrials, Commercial Services & Supplies)		6,500		128,070
Persol Holdings Company Limited (Industrials, Professional Services)		9,600		129,151
Pigeon Corporation (Consumer Staples, Household Products)		6,000		202,739
Rakuten Incorporated (Consumer Discretionary, Internet & Direct Marketing Retail)		42,300		356,415
Recruit Holdings Company Limited (Industrials, Professional Services)		84,700		2,962,194
Relo Holdings Incorporated (Real Estate, Real Estate Management & Development)		6,500		140,340
Rengo Company Limited (Materials, Containers & Packaging)		12,800		87,356
Resona Holdings Incorporated (Financials, Banks)		120,700		449,304
Ricoh Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		38,600		360,466
Rinnai Corporation (Consumer Discretionary, Household Durables)		2,100		142,881
Rohto Pharmaceutical Company Limited (Consumer Staples, Personal Products)		6,100		173,732
Ryohin Keikaku Company Limited (Consumer Discretionary, Multiline Retail)		13,100		177,451
Sankyu Incorporated (Industrials, Road & Rail)		3,000		127,070
Santen Pharmaceutical Company Limited (Health Care, Pharmaceuticals)		20,200		323,786
Sanwa Holdings Corporation (Industrials, Building Products)		11,200		102,619
Sawai Pharmaceutical Company Limited (Health Care, Pharmaceuticals)		2,200		125,029
SBI Holdings Incorporated (Financials, Capital Markets)		11,700		236,004
SCREEN Holdings Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		2,400		122,701
SCSK Corporation (Information Technology, IT Services)		2,400		124,840
Secom Company Limited (Industrials, Commercial Services & Supplies)		11,000		872,364
Seibu Holdings Incorporated (Industrials, Road & Rail)		12,700		180,109
Seiko Epson Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		17,500		245,344
SEINO Holdings Company Limited (Industrials, Road & Rail)		9,500		102,959
Sekisui Chemical Company Limited (Consumer Discretionary, Household Durables)		24,100		360,462
Sekisui House Limited (Consumer Discretionary, Household Durables)		32,600		639,463
Sekisui House REIT Incorporated (Real Estate, Equity REITs)		229		180,206
Seven Bank Limited (Financials, Banks)		36,700		96,523
SG Holdings Company Limited (Industrials, Air Freight & Logistics)		13,000		256,657
Sharp Corporation (Consumer Discretionary, Household Durables)		10,600		122,831
Shikoku Electric Power Company Incorporated (Utilities, Electric Utilities)		11,000		83,352
Shimadzu Corporation (Information Technology, Electronic Equipment, Instruments & Components)		15,100		365,328
Shimamura Company Limited (Consumer Discretionary, Specialty Retail)		1,200		79,582
Shimano Incorporated (Consumer Discretionary, Leisure Products)		4,400		611,288
Shimizu Corporation (Industrials, Construction & Engineering)		36,000		327,325
Shin-Etsu Chemical Company Limited (Materials, Chemicals)		20,700		2,290,390
Shinsei Bank Limited (Financials, Banks)		10,100		132,298
Shionogi & Company Limited (Health Care, Pharmaceuticals)		14,800		796,684
Shizuoka Bank Limited (Financials, Banks)		29,500		183,056
Showa Denko KK (Materials, Chemicals)		8,100		174,087
Skylark Holdings Company Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		9,900		148,139
Softbank Corporation (Communication Services, Wireless Telecommunication Services)		81,500		1,070,709

The accompanying notes are an integral part of these financial statements.

98  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED INTERNATIONAL PORTFOLIO

	Shares		Value
Japan (continued)
SoftBank Group Corporation (Communication Services, Wireless Telecommunication Services)		75,300	$	3,498,308
Sohgo Security Services Company Limited (Industrials, Commercial Services & Supplies)		4,400		205,296
Sojitz Corporation (Industrials, Trading Companies & Distributors)		65,700		190,416
Sompo Holdings Incorporated NKSJ Holdings Inc(Financials, Insurance)		19,400		716,996
Sony Financial Holdings Incorporated (Financials, Insurance)		7,600		151,597
Sotetsu Holdings Incorporated (Industrials, Road & Rail)		4,400		99,654
Square Enix Company Limited (Communication Services, Entertainment)		4,600		186,239
Stanley Electric Company Limited (Consumer Discretionary, Auto Components)		8,000		192,713
Sugi Pharmacy Company Limited (Consumer Staples, Food & Staples Retailing)		2,100		98,986
Sumitomo Chemical Company Limited (Materials, Chemicals)		88,500		322,493
Sumitomo Corporation (Industrials, Trading Companies & Distributors)		64,000		918,889
Sumitomo Electric Industries Limited (Industrials, Electrical Equipment)		42,300		499,295
Sumitomo Foresting Company Limited (Consumer Discretionary, Household Durables)		8,900		131,997
Sumitomo Heavy Industries Limited (Industrials, Machinery)		6,400		138,080
Sumitomo Mitsui Financial Group Incorporated (Financials, Banks)		71,900		2,281,372
Sumitomo Rubber Industries Limited (Consumer Discretionary, Auto Components)		10,200		105,851
Sundrug Company Limited (Consumer Staples, Food & Staples Retailing)		3,700		115,365
Suntory Beverage & Food Limited (Consumer Staples, Beverages)		6,400		244,328
Suzuken Company Limited (Health Care, Health Care Providers & Services)		4,700		155,158
Sysmex Corporation (Health Care, Health Care Equipment & Supplies)		9,200		588,324
Taiheiyo Cement Corporation (Materials, Construction Materials)		6,600		162,868
Taisei Corporation (Industrials, Construction & Engineering)		11,200		379,751
Taiyo Nippon Sanso Corporation (Materials, Chemicals)		10,800		192,668
Taiyo Yuden Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		6,600		185,601
Takara Holdings Incorporated (Consumer Staples, Beverages)		9,700		74,516
Takashimaya Company Limited (Consumer Discretionary, Multiline Retail)		8,400		78,226
TechnoPro Holdings Incorporated (Industrials, Professional Services)		1,800		107,186
Teijin Limited (Materials, Chemicals)		10,400		170,536
Terumo Corporation (Health Care, Health Care Equipment & Supplies)		37,800		1,213,712
The Chugoku Electric Power Company Incorporated (Utilities, Electric Utilities)		16,100		213,733
The Hachijuni Bank Limited (Financials, Banks)		28,500		95,787
The Yokohama Rubber Company Limited (Consumer Discretionary, Auto Components)		7,700		125,164
THK Company Limited (Industrials, Machinery)		6,600		149,281
TIS Incorporated (Information Technology, IT Services)		4,100		244,991
Tobu Railway Company Limited (Industrials, Road & Rail)		10,900		324,920
Toho Company Limited Tokyo (Communication Services, Entertainment)		6,800		209,909
Toho Gas Company Limited (Utilities, Gas Utilities)		5,500		186,879
Tohoku Electric Power Company Incorporated (Utilities, Electric Utilities)		26,800		235,223
Tokai Carbon Company Limited (Materials, Chemicals)		11,400		102,426
Tokio Marine Holdings Incorporated (Financials, Insurance)		36,700		1,961,174
Tokyo Broadcasting System Incorporated (Communication Services, Media)		7,900		122,925
Tokyo Century Corporation (Financials, Diversified Financial Services)		2,800		115,621
Tokyo Electric Power Company Holdings Incorporated (Utilities, Electric Utilities) †		87,600		332,408
Tokyo Electron Limited (Information Technology, Semiconductors & Semiconductor Equipment)		8,300		1,733,966
Tokyo Gas Company Limited (Utilities, Gas Utilities)		19,500		391,324
Tokyo Tatemono Company Limited (Real Estate, Real Estate Management & Development)		11,400		154,936
Tokyu Corporation (Industrials, Road & Rail)		30,900		473,511
Tokyu Fudosan Holdings Corporation (Real Estate, Real Estate Management & Development)		33,100		209,107
Toppan Printing Company Limited (Industrials, Commercial Services & Supplies)		18,300		320,011
Toray Industries Incorporated (Materials, Chemicals)		85,000		488,324
Toshiba Corporation (Industrials, Industrial Conglomerates)		21,900		592,740
Tosoh Corporation (Materials, Chemicals)		17,400		235,477
TOTO Limited (Industrials, Building Products)		8,400		315,015
Toyo Seikan Kaisha Limited (Materials, Containers & Packaging)		8,800		140,326

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  99

Portfolio of investments—February 29, 2020

FACTOR ENHANCED INTERNATIONAL PORTFOLIO

	Shares		Value
Japan (continued)
Toyo Suisan Kaisha Limited (Consumer Staples, Food Products)		5,100	$	202,761
Toyota Tsusho Corporation (Industrials, Trading Companies & Distributors)		12,400		372,622
Trend Micro Incorporated (Information Technology, Software)		6,400		317,614
Tsumura & Company (Health Care, Pharmaceuticals)		4,000		92,033
Tsuruha Holdings Incorporated (Consumer Staples, Food & Staples Retailing)		2,200		255,437
UBE Industries Limited (Materials, Chemicals)		5,700		103,725
Unicharm Corporation (Consumer Staples, Household Products)		22,800		738,587
United Urban Investment Corporation (Real Estate, Equity REITs)		160		256,117
USS Company Limited (Consumer Discretionary, Specialty Retail)		12,200		193,320
Welcia Holdings Company Limiited (Consumer Staples, Food & Staples Retailing)		2,600		155,239
West Japan Railway Company (Industrials, Road & Rail)		9,900		699,317
Yahoo! Japan Corporation (Communication Services, Interactive Media & Services)		133,800		485,733
Yamada Denki Company Limited (Consumer Discretionary, Specialty Retail)		36,400		175,080
Yamaguchi Financial Group (Financials, Banks)		14,500		75,605
Yamaha Corporation (Consumer Discretionary, Leisure Products)		8,500		416,086
Yamaha Motor Company Limited (Consumer Discretionary, Automobiles)		17,000		268,351
Yamazaki Baking Company Limited (Consumer Staples, Food Products)		9,000		152,387
Yokogawa Electric Corporation (Information Technology, Electronic Equipment, Instruments & Components)		13,100		212,764
Zenkoku Hosho Company Limited (Financials, Diversified Financial Services)		2,500		93,281
Zensho Holdings Company Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		4,800		87,803
Zeon Corporation (Materials, Chemicals)		10,200		97,026
ZOZO Incorporated (Consumer Discretionary, Internet & Direct Marketing Retail)		5,400		76,068
				122,601,090
Luxembourg: 0.27%
Aroundtown SA (Real Estate, Real Estate Management & Development)		46,820		406,769
B&M European Value Retail SA (Consumer Discretionary, Multiline Retail)		43,811		189,780
Eurofins Scientific SE (Health Care, Life Sciences Tools & Services)		602		302,250
Grand City Properties SA (Real Estate, Real Estate Management & Development)		5,538		130,655
SES SA (Communication Services, Media)		21,246		243,615
Subsea 7 SA (Energy, Energy Equipment & Services)		11,846		107,640
Tenaris SA (Energy, Energy Equipment & Services)		23,484		214,497
				1,595,206
Netherlands: 3.12%
Aalberts Industries NV (Industrials, Machinery)		4,966		185,211
Akzo Nobel NV (Materials, Chemicals)		10,518		841,550
Altice NV Class A (Communication Services, Media) †		28,464		151,169
ASM International NV (Information Technology, Semiconductors & Semiconductor Equipment)		2,385		274,079
ASR Nederland NV (Financials, Insurance)		6,922		232,940
CNH Industrial NV (Industrials, Machinery)		53,791		501,116
Euronext NV (Financials, Capital Markets) 144A		2,680		222,634
Heineken Holding NV (Consumer Staples, Beverages)		5,043		447,806
Heineken NV (Consumer Staples, Beverages)		11,985		1,194,089
IMCD Group NV (Industrials, Trading Companies & Distributors)		2,718		221,890
Koninklijke Ahold Delhaize NV (Consumer Staples, Food & Staples Retailing)		57,203		1,336,391
Koninklijke DSM NV (Materials, Chemicals)		9,502		1,071,752
Koninklijke KPN NV (Communication Services, Diversified Telecommunication Services)		178,594		433,156
Koninklijke Philips NV (Health Care, Health Care Equipment & Supplies)		45,472		1,947,302
Koninklijke Vopak NV (Energy, Oil, Gas & Consumable Fuels)		3,274		155,858
NN Group NV (Financials, Insurance)		17,107		584,686
Philips Lighting NV (Industrials, Electrical Equipment) 144A		6,518		194,213
Prosus NV (Consumer Discretionary, Internet & Direct Marketing Retail) †		20,973		1,466,640

The accompanying notes are an integral part of these financial statements.

100  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED INTERNATIONAL PORTFOLIO

	Shares		Value
Netherlands (continued)
Qiagen NV (Health Care, Life Sciences Tools & Services) †		11,756	$	430,871
Randstad Holdings NV (Industrials, Professional Services)		6,440		331,807
SBM Offshore NV (Energy, Energy Equipment & Services)		8,955		141,752
STMicroelectronics NV (Information Technology, Semiconductors & Semiconductor Equipment)		32,618		896,067
Unilever NV (Consumer Staples, Personal Products)		76,283		4,027,536
Wolters Kluwer NV (Communication Services, Media)		13,703		1,003,251
				18,293,766
New Zealand: 0.44%
A2 Milk Company Limited (Consumer Staples, Food Products) †		36,745		378,734
Auckland International Airport Limited (Industrials, Transportation Infrastructure)		47,823		236,276
Contact Energy Limited (Utilities, Electric Utilities)		37,696		158,559
Fisher & Paykel Healthcare Corporation (Health Care, Health Care Equipment & Supplies)		30,912		500,507
Fletcher Building Limited (Materials, Construction Materials)		43,555		142,180
Mainfreight Limited (Industrials, Air Freight & Logistics)		4,218		99,209
Mercury LTD (Utilities, Electric Utilities)		32,876		98,696
Meridian Energy Limited (Utilities, Independent Power & Renewable Electricity Producers)		66,402		192,636
Ryman Healthcare Limited (Health Care, Health Care Providers & Services)		21,662		207,358
Spark New Zealand Limited (Communication Services, Diversified Telecommunication Services)		90,189		256,570
Xero Limited (Information Technology, Software) †		6,036		294,878
				2,565,603
Norway: 0.73%
Den Norske Bank ASA (Financials, Banks)		45,976		770,066
Equinor ASA (Energy, Oil, Gas & Consumable Fuels)		56,940		877,006
Gjensidige Forsikring ASA (Financials, Insurance)		9,591		194,923
Mowi ASA (Consumer Staples, Food Products)		23,894		506,193
Orkla ASA (Consumer Staples, Food Products)		43,161		367,104
Salmar ASA (Consumer Staples, Food Products)		2,797		126,404
Schibsted ASA Class A (Communication Services, Media)		3,818		97,306
Storebrand ASA (Financials, Insurance)		23,970		153,738
Telenor ASA (Communication Services, Diversified Telecommunication Services)		33,996		550,784
TGS Nopec Geophysical Company ASA (Energy, Energy Equipment & Services)		6,523		152,207
Tomra Systems ASA (Industrials, Commercial Services & Supplies)		5,670		182,433
Yara International ASA (Materials, Chemicals)		8,687		318,938
				4,297,102
Pagua New Guinea: 0.04%
Oil Search Limited (Energy, Oil, Gas & Consumable Fuels)		64,500		235,896
Poland: 0.29%
Bank Pekao SA (Financials, Banks)		8,076		182,751
Bank Zachodni WBK SA (Financials, Banks)		1,747		112,893
CD Projekt SA (Communication Services, Entertainment)		3,399		243,881
KGHM Polska Miedz SA (Materials, Metals & Mining) †		7,337		134,554
LPP SA (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		67		117,878
PKO Bank Polski SA (Financials, Banks)		45,901		367,518
Polski Koncern Naftowy Orlen SA (Energy, Oil, Gas & Consumable Fuels)		16,070		242,755
Powszechny Zaklad Ubezpieczen SA (Financials, Insurance)		29,437		262,496
				1,664,726
Portugal: 0.20%
Energias de Portugal SA (Utilities, Electric Utilities)		132,525		618,719
Galp Energia SGPS SA (Energy, Oil, Gas & Consumable Fuels)		24,504		338,013
Jeronimo Martins SA (Consumer Staples, Food & Staples Retailing)		12,328		217,928
				1,174,660

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  101

Portfolio of investments—February 29, 2020

FACTOR ENHANCED INTERNATIONAL PORTFOLIO

	Shares		Value
Singapore: 1.66%
Ascendas REIT (Real Estate, Equity REITs)		147,900	$	326,929
CapitaLand Commercial Trust Limited (Real Estate, Equity REITs)		137,400		184,210
CapitaLand Limited (Real Estate, Real Estate Management & Development)		134,863		345,502
CapitaLand Mall Trust (Real Estate, Equity REITs)		134,500		220,642
City Developments Limited (Real Estate, Real Estate Management & Development)		24,775		177,078
ComfortDelGro Corporation Limited (Industrials, Road & Rail)		115,537		163,812
DBS Group Holdings Limited (Financials, Banks)		93,013		1,626,259
Genting Singapore Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		285,324		168,191
Jardine Cycle & Carriage Limited (Consumer Discretionary, Distributors)		4,677		91,892
Keppel Corporation Limited (Industrials, Industrial Conglomerates)		69,400		320,291
Mapletree Commercial Trust (Real Estate, Equity REITs)		123,000		186,431
Mapletree Industrial Trust (Real Estate, Equity REITs)		77,800		150,137
Mapletree Logistics Trust (Real Estate, Equity REITs)		140,900		187,812
Oversea-Chinese Banking Corporation Limited (Financials, Banks)		204,496		1,574,212
Singapore Airlines Limited (Industrials, Airlines)		38,600		223,356
Singapore Airport Terminal Services Limited (Industrials, Transportation Infrastructure)		32,500		94,886
Singapore Exchange Limited (Financials, Capital Markets)		39,974		246,842
Singapore Press Holdings Limited (Communication Services, Media)		82,700		113,800
Singapore Technologies Engineering Limited (Industrials, Aerospace & Defense)		68,669		208,013
Singapore Telecommunications Limited (Communication Services, Diversified Telecommunication Services)		381,415		826,494
Suntec REIT (Real Estate, Equity REITs)		102,700		125,932
United Overseas Bank Limited (Financials, Banks)		79,086		1,411,569
UOL Group Limited (Real Estate, Real Estate Management & Development)		25,873		138,751
Venture Corporation Limited (Information Technology, Electronic Equipment, Instruments & Components)		13,400		161,501
Wilmar International Limited (Consumer Staples, Food Products)		127,785		368,840
Yangzijiang Shipbuilding Holdings Limited (Industrials, Machinery)		144,600		100,328
				9,743,710
Spain: 2.02%
Actividades de Construccion y Servicios SA (Industrials, Construction & Engineering)		14,590		435,051
Aena SA (Industrials, Transportation Infrastructure) 144A		3,830		616,888
Amadeus IT Holding SA Class A (Information Technology, IT Services)		22,125		1,568,465
Bankinter SA (Financials, Banks)		34,042		201,150
Bolsas y Mercados Espanoles (Financials, Capital Markets)		3,600		137,031
Cellnex Telecom SA (Communication Services, Diversified Telecommunication Services) 144A		12,144		592,072
Enagás SA (Utilities, Gas Utilities)		11,515		298,787
Endesa SA (Utilities, Electric Utilities)		16,686		429,364
Gas Natural SDG SA (Utilities, Gas Utilities)		17,792		414,490
Grifols SA (Health Care, Biotechnology)		14,415		464,608
Iberdrola SA (Utilities, Electric Utilities)		313,863		3,593,163
Industria de Diseno Textil SA (Consumer Discretionary, Specialty Retail)		56,284		1,756,002
Inmobiliaria Colonial Socimi SA (Real Estate, Equity REITs)		14,028		179,180
International Consolidated Airlines Group SA (Industrials, Airlines)		54,086		331,279
Mapfre SA (Financials, Insurance)		49,675		111,735
Merlin Properties Socimi SA (Real Estate, Equity REITs)		19,796		255,490
Red Eléctrica de Espana SA (Utilities, Electric Utilities)		22,710		434,062
				11,818,817
Sweden: 3.06%
AAK AB (Consumer Staples, Food Products)		8,453		145,951
Alfa Laval AB (Industrials, Machinery)		15,381		345,896
Assa Abloy AB Class B (Industrials, Building Products)		48,997		1,101,900

The accompanying notes are an integral part of these financial statements.

102  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED INTERNATIONAL PORTFOLIO

	Shares		Value
Sweden (continued)
Atlas Copco AB Class A (Industrials, Machinery)		32,575	$	1,161,459
Boliden AB (Materials, Metals & Mining)		14,769		310,167
Castellum AB (Real Estate, Real Estate Management & Development)		12,424		286,492
Dometic Group AB (Consumer Discretionary, Auto Components) 144A		15,586		133,095
Electrolux AB Class B (Consumer Discretionary, Household Durables)		11,665		236,047
Elekta AB Class B (Health Care, Health Care Equipment & Supplies)		20,097		213,309
Epiroc AB Class A (Industrials, Machinery)		31,977		369,370
EQT AB (Financials, Capital Markets) †		34,438		503,632
Ericsson LM Class B (Information Technology, Communications Equipment)		144,925		1,162,404
Essity Aktiebolag AB (Consumer Staples, Household Products)		32,500		979,807
Evolution Gaming Group (Consumer Discretionary, Hotels, Restaurants & Leisure) 144A		6,078		221,494
Fabege AB (Real Estate, Real Estate Management & Development)		13,980		229,616
Fastighets AB Balder B Shares (Real Estate, Real Estate Management & Development) †		4,926		233,140
Getinge AB Class B (Health Care, Health Care Equipment & Supplies)		11,072		185,679
Hennes & Mauritz AB Class B (Consumer Discretionary, Specialty Retail)		40,627		737,303
Hexpol AB (Materials, Chemicals)		13,413		100,869
Holmen AB Class B (Materials, Paper & Forest Products)		5,266		148,333
Husqvarna AB Class B (Consumer Discretionary, Household Durables)		21,658		145,783
ICA Gruppen AB (Consumer Staples, Food & Staples Retailing)		4,777		178,864
Industrivarden AB Class A (Financials, Diversified Financial Services)		8,920		207,577
Indutrade AB (Industrials, Trading Companies & Distributors)		4,235		138,265
Investor AB Class B (Financials, Diversified Financial Services)		23,186		1,161,375
Loomis AB Class B (Industrials, Commercial Services & Supplies)		3,964		138,431
Lundbergforetagen AB Class B (Financials, Diversified Financial Services)		3,648		151,324
Nibe Industrier AB Class B (Industrials, Building Products)		16,588		270,080
Saab AB Class B (Industrials, Aerospace & Defense)		4,252		116,637
Securitas AB Class B (Industrials, Commercial Services & Supplies)		16,515		224,278
Skandinaviska Enskilda Banken AB Class A (Financials, Banks)		80,194		768,656
Skanska AB Class B (Industrials, Construction & Engineering)		18,846		414,997
SKF AB Class B (Industrials, Machinery)		20,462		361,790
Svenska Cellulosa AB Class B (Materials, Paper & Forest Products)		30,495		292,611
Svenska Handelsbanken AB Class A (Financials, Banks)		77,497		783,624
Swedbank AB Class A (Financials, Banks)		48,690		739,513
Swedish Match AB (Consumer Staples, Tobacco)		7,925		464,995
Swedish Orphan Biovitrum AB (Health Care, Biotechnology) †		10,024		172,580
Tele2 AB Class B (Communication Services, Wireless Telecommunication Services)		24,100		350,852
Telia Company AB (Communication Services, Diversified Telecommunication Services)		133,340		528,046
Trelleborg AB Class B (Industrials, Machinery)		12,745		199,114
Volvo AB Class B (Industrials, Machinery)		84,984		1,333,964
				17,949,319
Switzerland: 8.37%
Adecco SA (Industrials, Professional Services)		8,472		453,734
Allreal Holding AG (Real Estate, Real Estate Management & Development)		790		169,207
Baloise Holding AG (Financials, Insurance)		2,449		396,005
Barry Callebaut AG (Consumer Staples, Food Products)		145		299,109
BB Biotech AG (Health Care, Biotechnology)		48,398		2,987,793
Belimo Holding AG (Industrials, Building Products)		26		169,776
Cembra Money Bank AG (Financials, Consumer Finance)		1,397		157,239
Chocoladefabriken Lindt & Sprungli AG (Consumer Staples, Food Products)		5		433,769
Coca-Cola HBC AG (Consumer Staples, Beverages)		9,980		318,266
EMS-Chemie Holdings AG (Materials, Chemicals)		434		254,766
Flughafen Zuerich AG (Industrials, Transportation Infrastructure)		1,032		156,521
Galenica AG (Health Care, Pharmaceuticals)		2,462		166,475
Geberit AG (Industrials, Building Products)		1,878		937,124

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  103

Portfolio of investments—February 29, 2020

FACTOR ENHANCED INTERNATIONAL PORTFOLIO

	Shares		Value
Switzerland (continued)
Georg Fischer AG (Industrials, Machinery)		210	$	180,486
Givaudan SA (Materials, Chemicals)		407		1,267,978
Helvetia Holding AG (Financials, Insurance)		1,602		213,422
Kuehne & Nagel International AG (Industrials, Marine)		2,860		418,651
Logitech International SA (Information Technology, Technology Hardware, Storage & Peripherals)		8,761		339,799
Lonza Group AG (Health Care, Life Sciences Tools & Services)		3,834		1,529,910
Nestle SA (Consumer Staples, Food Products)		153,972		15,844,602
Pargesa Holding SA (Financials, Diversified Financial Services)		2,073		152,813
Partners Group Holding AG (Financials, Capital Markets)		914		793,189
PSP Swiss Property AG (Real Estate, Real Estate Management & Development)		1,865		275,652
Roche Holding AG (Health Care, Pharmaceuticals)		35,143		11,299,657
Schindler Holding AG - Participation Certificate (Industrials, Machinery)		2,095		469,790
SGS SA (Industrials, Professional Services)		263		656,868
Sig Combibloc Group AG (Materials, Containers & Packaging)		11,123		165,677
Sika AG (Materials, Chemicals)		6,788		1,215,076
Sonova Holding AG (Health Care, Health Care Equipment & Supplies)		2,710		647,267
Straumann Holding AG (Health Care, Health Care Equipment & Supplies)		541		508,267
Sunrise Communications Group AG (Communication Services, Diversified Telecommunication Services) 144A		1,615		131,361
Swiss Life Holding AG (Financials, Insurance)		1,707		783,714
Swiss Prime Site AG (Real Estate, Real Estate Management & Development)		3,944		475,868
Swisscom AG (Communication Services, Diversified Telecommunication Services)		1,247		665,622
Tecan Group AG (Health Care, Life Sciences Tools & Services)		491		137,487
Temenos Group AG (Information Technology, Software)		3,275		468,250
VAT Group AG (Industrials, Machinery) 144A		1,439		195,609
Vifor Pharma AG (Health Care, Pharmaceuticals)		2,160		362,847
Zurich Insurance Group AG (Financials, Insurance)		7,563		2,928,634
				49,028,280
Thailand: 0.05%
Thai Beverage plc (Consumer Staples, Beverages)		475,800		268,370
United Kingdom: 14.08%
3i Group plc (Financials, Capital Markets)		49,784		655,316
Admiral Group plc (Financials, Insurance)		11,802		323,919
Aggreko plc (Industrials, Commercial Services & Supplies)		12,584		109,944
Amcor Limited (Materials, Containers & Packaging)		58,108		552,432
Ashmore Group plc (Financials, Capital Markets)		22,880		138,210
Ashtead Group plc (Industrials, Trading Companies & Distributors)		22,974		720,270
Associated British Foods plc (Consumer Staples, Food Products)		18,021		526,196
AstraZeneca plc (Health Care, Pharmaceuticals)		67,153		5,893,673
Auto Trader Group plc (Communication Services, Interactive Media & Services) 144A		50,965		343,175
Avast plc (Information Technology, Software) 144A		29,655		151,177
AVEVA Group plc (Information Technology, Software)		3,139		178,567
Aviva plc (Financials, Insurance)		202,555		927,805
BAE Systems plc (Industrials, Aerospace & Defense)		142,912		1,130,445
Barratt Developments plc (Consumer Discretionary, Household Durables)		51,816		511,506
Beazley plc (Financials, Insurance)		25,837		179,105
Bellway plc (Consumer Discretionary, Household Durables)		6,180		299,090
British American Tobacco plc (Consumer Staples, Tobacco)		111,223		4,397,674
Britvic plc (Consumer Staples, Beverages)		13,693		151,633
BT Group plc (Communication Services, Diversified Telecommunication Services)		455,631		835,863
Bunzl plc (Industrials, Trading Companies & Distributors)		17,392		417,620
Burberry Group plc (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		20,985		452,222
Capita plc (Industrials, Professional Services) †		86,555		143,614

The accompanying notes are an integral part of these financial statements.

104  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED INTERNATIONAL PORTFOLIO

	Shares		Value
United Kingdom (continued)
Carnival plc (Consumer Discretionary, Hotels, Restaurants & Leisure)		8,647	$	273,512
Cineworld Group plc (Communication Services, Entertainment)		56,259		114,260
Close Brothers Group plc (Financials, Capital Markets)		7,534		125,392
Compass Group plc (Consumer Discretionary, Hotels, Restaurants & Leisure)		80,825		1,780,771
ConvaTec Limited (Health Care, Health Care Equipment & Supplies) 144A		69,575		185,409
Croda International plc (Materials, Chemicals)		6,741		398,456
Dechra Pharmaceuticals plc (Health Care, Pharmaceuticals)		4,782		164,201
Derwent Valley Holdings plc (Real Estate, Equity REITs)		5,595		281,206
Diageo plc (Consumer Staples, Beverages)		120,066		4,283,904
Dialog Semiconductor plc (Information Technology, Semiconductors & Semiconductor Equipment) †		3,428		118,259
Direct Line Insurance Group plc (Financials, Insurance)		68,786		274,194
DS Smith plc (Materials, Containers & Packaging)		69,234		282,933
easyJet plc (Industrials, Airlines)		10,877		157,013
Electrocomponents plc (Information Technology, Electronic Equipment, Instruments & Components)		22,979		180,331
EVRAZ plc (Materials, Metals & Mining)		31,846		135,994
Experian Group Limited plc (Industrials, Professional Services)		46,010		1,531,392
Ferguson plc (Industrials, Trading Companies & Distributors)		11,201		975,939
G4S plc (Industrials, Commercial Services & Supplies)		86,384		191,271
GlaxoSmithKline plc (Health Care, Pharmaceuticals)		253,520		5,115,873
Great Portland Estates plc (Real Estate, Equity REITs)		11,916		128,626
Greggs plc (Consumer Discretionary, Hotels, Restaurants & Leisure)		4,825		129,295
GVC Holdings plc (Consumer Discretionary, Hotels, Restaurants & Leisure)		28,592		293,959
Halma plc (Information Technology, Electronic Equipment, Instruments & Components)		19,577		491,987
Hays plc (Industrials, Professional Services)		80,526		143,798
Hikma Pharmaceuticals plc (Health Care, Pharmaceuticals)		7,579		176,440
HomeServe plc (Industrials, Commercial Services & Supplies)		13,965		212,743
Howden Joinery Group plc (Industrials, Trading Companies & Distributors)		30,738		254,224
IG Group Holdings plc (Financials, Capital Markets)		18,729		163,390
IMI plc (Industrials, Machinery)		14,866		192,441
Imperial Tobacco Group plc (Consumer Staples, Tobacco)		42,996		868,605
Inchcape plc (Consumer Discretionary, Distributors)		20,115		150,358
Informa plc (Communication Services, Media)		66,578		589,244
Intercontinental Hotels Group plc (Consumer Discretionary, Hotels, Restaurants & Leisure)		10,160		562,941
Intermediate Capital Group (Financials, Capital Markets)		14,607		302,089
Intertek Group plc (Industrials, Professional Services)		8,438		575,899
Investec plc (Financials, Capital Markets)		33,511		171,678
ITV plc (Communication Services, Media)		215,300		327,184
IWG plc (Real Estate, Real Estate Management & Development)		34,064		154,550
J Sainsbury plc (Consumer Staples, Food & Staples Retailing)		92,548		234,465
JD Sports Fashion plc (Consumer Discretionary, Specialty Retail)		21,649		207,098
John Wood Group plc (Energy, Energy Equipment & Services)		37,662		180,599
Johnson Matthey plc (Materials, Chemicals)		10,563		346,223
Jupiter Fund Management plc (Financials, Capital Markets)		23,065		90,207
Just Eat plc (Consumer Discretionary, Internet & Direct Marketing Retail) †(a)		30,708		323,835
Kingfisher plc (Consumer Discretionary, Specialty Retail)		108,224		265,517
Legal & General Group plc (Financials, Insurance)		302,828		1,025,943
Lloyds Banking Group plc (Financials, Banks)		3,640,426		2,362,986
London Stock Exchange Group plc (Financials, Capital Markets)		16,024		1,573,941
M&G plc (Financials, Diversified Financial Services) †		129,108		337,140
Man Group plc (Financials, Capital Markets)		78,293		148,672
Marks & Spencer Group plc (Consumer Discretionary, Multiline Retail)		110,787		228,309
Meggitt plc (Industrials, Aerospace & Defense)		37,945		267,212
Micro Focus International plc (Information Technology, Software)		16,676		158,817
Mondi plc (Materials, Paper & Forest Products)		23,969		486,801

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  105

Portfolio of investments—February 29, 2020

FACTOR ENHANCED INTERNATIONAL PORTFOLIO

	Shares		Value
United Kingdom (continued)
Moneysupermarket.com Group plc (Consumer Discretionary, Internet & Direct Marketing Retail)		25,558	$	102,816
National Grid plc (Utilities, Multi-Utilities)		180,880		2,280,125
Network International Holding (Financials, Diversified Financial Services) †		21,633		148,946
Next plc (Consumer Discretionary, Multiline Retail)		7,042		555,023
NMC Health plc (Health Care, Health Care Providers & Services)		7,509		90,346
Pearson plc (Communication Services, Media)		40,627		294,717
Pennon Group plc (Utilities, Water Utilities)		21,891		306,178
Persimmon plc (Consumer Discretionary, Household Durables)		16,201		598,981
Phoenix Group Holdings plc (Financials, Insurance)		37,429		336,095
Polymetal International plc (Materials, Metals & Mining)		13,746		211,281
Quilter plc (Financials, Capital Markets)		83,208		158,149
Reckitt Benckiser Group plc (Consumer Staples, Household Products)		38,065		2,812,731
RELX plc (Industrials, Professional Services)		102,220		2,473,195
Rentokil Initial plc (Industrials, Commercial Services & Supplies)		94,335		590,240
Rightmove plc (Communication Services, Interactive Media & Services)		44,326		355,443
Rio Tinto plc (Materials, Metals & Mining)		57,352		2,700,109
Rotork plc (Industrials, Machinery)		47,139		172,366
Royal Dutch Shell plc Class A (Energy, Oil, Gas & Consumable Fuels)		212,178		4,624,016
Royal Mail plc (Industrials, Air Freight & Logistics)		53,448		112,088
RSA Insurance Group plc (Financials, Insurance)		51,700		345,799
Segro plc (Real Estate, Equity REITs)		58,821		623,591
Severn Trent plc (Utilities, Water Utilities)		12,531		397,780
Signature Aviation PLC (Industrials, Transportation Infrastructure)		36,683		132,714
Smith & Nephew plc (Health Care, Health Care Equipment & Supplies)		45,340		1,017,223
Smiths Group plc (Industrials, Industrial Conglomerates)		19,448		387,542
Spirax-Sarco Engineering plc (Industrials, Machinery)		3,755		411,411
SSE plc (Utilities, Electric Utilities)		54,273		1,067,025
SSP Group plc (Consumer Discretionary, Hotels, Restaurants & Leisure)		22,262		147,222
Tate & Lyle plc (Consumer Staples, Food Products)		22,642		206,461
Taylor Wimpey plc (Consumer Discretionary, Household Durables)		166,520		439,709
TechnipFMC plc - BATS Exchange (Energy, Energy Equipment & Services)		24,193		369,052
Tesco plc (Consumer Staples, Food & Staples Retailing)		505,118		1,505,015
The Berkeley Group Holdings plc (Consumer Discretionary, Household Durables)		6,525		402,403
The Sage Group plc (Information Technology, Software)		57,431		508,791
The Unite Group plc (Real Estate, Equity REITs)		18,914		275,155
TP Icap plc (Financials, Capital Markets)		28,255		133,311
Tritax Big Box REIT plc (Real Estate, Equity REITs)		94,892		159,148
Tullow Oil plc (Energy, Oil, Gas & Consumable Fuels)		91,723		40,186
Unilever plc (Consumer Staples, Personal Products)		60,876		3,272,686
United Utilities Group plc (Utilities, Water Utilities)		35,125		425,225
Victrex plc (Materials, Chemicals)		4,397		119,898
WH Smith plc (Consumer Discretionary, Specialty Retail)		5,888		147,520
Whitbread plc (Consumer Discretionary, Hotels, Restaurants & Leisure)		6,964		351,229
William Morrison Supermarkets plc (Consumer Staples, Food & Staples Retailing)		127,504		285,377
WPP plc (Communication Services, Media)		65,566		629,962
				82,461,262
United States: 0.03%
Ovintiv Incorporated (Energy, Oil, Gas & Consumable Fuels)		13,980		161,542
Total Common Stocks (Cost $539,744,943)				554,151,411

The accompanying notes are an integral part of these financial statements.

106  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED INTERNATIONAL PORTFOLIO

	Dividend yield					Shares		Value
Preferred Stocks: 0.24%
Germany: 0.24%
Fuchs Petrolub SE (Materials, Chemicals)		2.99	%				3,549	$	135,857
Henkel AG & Company KGaA (Consumer Staples, Household Products)		2.45					9,287		865,242
Sartorius AG Vorzug (Health Care, Health Care Equipment & Supplies)		0.31					1,710		399,747
Total Preferred Stocks (Cost $1,570,563)									1,400,846
				Expiration date
Rights: 0.00%
Spain: 0.00%
Acs Actividades De Construccio (Industrials, Construction & Engineering) †					4-3-2020		14,590		6,415
Total Rights (Cost $7,097)									6,415
	Yield
Short-Term Investments: 4.15%
Investment Companies: 4.15%
Wells Fargo Government Money Market Fund Select Class (l)(u)		1.52					24,301,039		24,301,039
Total Short-Term Investments (Cost $24,301,039)									24,301,039

Total investments in securities (Cost $565,623,642)	98.98	%		579,859,711
Other assets and liabilities, net	1.02			5,985,575
Total net assets	100.00	%	$	585,845,286

† Non-income-earning security

144A The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933.

(a) The security is fair valued in accordance with procedures approved by the Board of Trustees.

(l) The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

(u) The rate represents the 7-day annualized yield at period end.

Abbreviations:

REIT Real estate investment trust

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost		Notional value		Unrealized gains		Unrealized losses
Long
MSCI EAFE Index		320		3-20-2020	$	32,002,274	$	29,056,000	$	0	$	(2,946,274	)

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  107

Portfolio of investments—February 29, 2020

FACTOR ENHANCED INTERNATIONAL PORTFOLIO

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Shares, beginning of period		Shares purchased		Shares sold			Shares, end of period		Net realized gains (losses)		Net change in unrealized gains (losses)		Income from affiliated securities		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		25,160,866		163,227,225		(164,087,052	)		24,301,039	$	0	$	0	$	355,656	$	24,301,039		4.15	%

The accompanying notes are an integral part of these financial statements.

108  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED LARGE CAP PORTFOLIO

	Shares		Value
Common Stocks: 95.24%
Communication Services: 8.69%
Diversified Telecommunication Services: 2.67%
AT&T Incorporated		373,891	$	13,168,441
GCI Liberty Incorporated Class A †		4,653		321,569
Verizon Communications Incorporated		216,381		11,719,195
Zayo Group Holdings Incorporated †		11,803		412,987
				25,622,192
Entertainment: 1.73%
Activision Blizzard Incorporated		37,037		2,152,961
Cinemark Holdings Incorporated		4,757		123,492
Electronic Arts Incorporated †		14,709		1,491,051
Live Nation Entertainment Incorporated †		7,113		432,257
Take-Two Interactive Software Incorporated †		5,677		610,164
The Madison Square Garden Company Class A †		867		232,200
The Walt Disney Company		95,194		11,199,574
World Wrestling Entertainment Incorporated Class A		2,311		108,085
Zynga Incorporated Class A †		42,682		286,396
				16,636,180
Interactive Media & Services: 2.22%
Alphabet Incorporated Class A †		14,981		20,063,296
IAC Corporation †		4,118		839,825
Match Group Incorporated †		2,998		194,870
Pinterest Incorporated Class A †		8,910		173,745
TripAdvisor Incorporated		4,466		104,728
				21,376,464
Media: 1.91%
Altice USA Incorporated †		17,687		457,386
Cable One Incorporated		251		394,828
Charter Communications Incorporated Class A †		8,392		4,138,683
Comcast Corporation Class A		243,544		9,846,484
Discovery Communications Incorporated Class A †		7,943		204,135
DISH Network Corporation Class A †		13,129		440,084
Fox Corporation Class A		18,173		558,638
Interpublic Group of Companies Incorporated		18,292		390,717
News Corporation Class A		16,937		204,514
Nexstar Media Group Incorporated Class A		2,024		232,720
Omnicom Group Incorporated		10,702		741,435
Sirius XM Holdings Incorporated		62,825		398,311
Tegna Incorporated		9,179		131,443
The New York Times Company Class A		6,756		253,080
				18,392,458
Wireless Telecommunication Services: 0.16%
T-Mobile US Incorporated †		16,768		1,511,803
Consumer Discretionary: 8.97%
Auto Components: 0.11%
BorgWarner Incorporated		9,225		291,510
Gentex Corporation		12,003		320,480

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  109

Portfolio of investments—February 29, 2020

FACTOR ENHANCED LARGE CAP PORTFOLIO

	Shares		Value
Auto Components (continued)
Lear Corporation		2,697	$	299,906
The Goodyear Tire & Rubber Company		12,283		118,961
				1,030,857
Automobiles: 0.40%
Ford Motor Company		203,633		1,417,286
General Motors Company		65,743		2,005,162
Harley-Davidson Incorporated		8,191		249,580
Thor Industries Incorporated		2,294		172,991
				3,845,019
Distributors: 0.15%
Genuine Parts Company		6,887		600,822
LKQ Corporation †		13,482		398,798
Pool Corporation		1,955		412,427
				1,412,047
Diversified Consumer Services: 0.18%
Bright Horizons Family Solutions Incorporated †		2,865		450,235
Frontdoor Incorporated †		4,342		184,101
Grand Canyon Education Incorporated †		2,119		170,961
H&R Block Incorporated		10,198		210,793
Service Corporation International		8,638		412,810
ServiceMaster Global Holdings Incorporated †		7,637		273,175
				1,702,075
Hotels, Restaurants & Leisure: 2.45%
Aramark		12,648		439,392
Caesars Entertainment Corporation †		30,910		392,866
Carnival Corporation		19,966		668,062
Chipotle Mexican Grill Incorporated †		1,400		1,083,012
Churchill Downs Incorporated		1,672		210,070
Cracker Barrel Old Country Store Incorporated		845		121,114
Darden Restaurants Incorporated		6,384		622,440
Domino’s Pizza Incorporated		2,138		725,765
Dunkin Brands Group Incorporated		4,050		269,406
Hilton Worldwide Holdings Incorporated		14,594		1,418,537
Marriott International Incorporated Class A		13,293		1,648,332
Marriott Vacations Worldwide Corporation		1,366		132,201
McDonald’s Corporation		40,359		7,836,507
Norwegian Cruise Line Holdings Limited †		10,515		391,789
Planet Fitness Incorporated Class A †		4,498		303,570
Six Flags Entertainment Corporation		3,954		99,957
Starbucks Corporation		57,963		4,546,038
Texas Roadhouse Incorporated		2,678		150,557
The Wendy’s Company		9,794		184,911
Vail Resorts Incorporated		2,079		442,016
Wyndham Hotels & Resorts Incorporated		4,290		218,576
Wyndham Worldwide Corporation		3,684		146,992
Yum! Brands Incorporated		16,421		1,465,574
				23,517,684
Household Durables: 0.56%
D.R. Horton Incorporated		18,558		988,585
Helen of Troy Limited †		1,072		176,451

The accompanying notes are an integral part of these financial statements.

110  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED LARGE CAP PORTFOLIO

	Shares		Value
Household Durables (continued)
Leggett & Platt Incorporated		5,838	$	231,535
Lennar Corporation Class A		15,916		960,371
Mohawk Industries Incorporated †		3,004		363,935
NVR Incorporated †		184		674,761
Pulte Group Incorporated		13,379		537,836
Roku Incorporated †		4,821		548,003
Tempur-Pedic International Incorporated †		2,067		154,508
Toll Brothers Incorporated		6,860		254,026
TopBuild Corporation †		1,742		175,942
Whirlpool Corporation		2,759		352,766
				5,418,719
Internet & Direct Marketing Retail: 0.26%
eBay Incorporated		42,771		1,481,587
Expedia Group Incorporated		6,490		640,044
Qurate Retail Incorporated †		21,837		148,928
Wayfair Incorporated Class A †		3,052		192,917
				2,463,476
Leisure Products: 0.12%
Hasbro Incorporated		6,291		485,980
Mattel Incorporated †		17,030		200,784
Polaris Industries Incorporated		2,791		230,341
The Brunswick Corporation		3,987		212,108
				1,129,213
Multiline Retail: 0.66%
Dollar General Corporation		13,532		2,033,860
Dollar Tree Incorporated †		12,199		1,012,883
Kohl’s Corporation		7,386		289,162
Macy’s Incorporated		13,946		184,506
Nordstrom Incorporated		4,768		165,450
Target Corporation		26,318		2,710,754
				6,396,615
Specialty Retail: 3.18%
Aaron’s Incorporated		3,078		121,058
Advance Auto Parts Incorporated		3,567		474,340
AutoNation Incorporated †		3,192		136,394
AutoZone Incorporated †		1,199		1,237,979
Best Buy Company Incorporated		10,625		803,781
Burlington Stores Incorporated †		3,411		737,663
CarMax Incorporated †		8,044		702,322
Five Below Incorporated †		2,644		256,336
Foot Locker Incorporated		5,255		190,494
L Brands Incorporated		11,543		250,021
Lithia Motors Incorporated Class A		950		113,202
Lowe’s Companies Incorporated		39,557		4,215,589
O’Reilly Automotive Incorporated †		3,915		1,443,539
Ross Stores Incorporated		18,037		1,962,065
The Gap Incorporated		11,430		163,792
The Home Depot Incorporated		59,517		12,965,183
The TJX Companies Incorporated		57,988		3,467,682
Tractor Supply Company		5,601		495,745

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  111

Portfolio of investments—February 29, 2020

FACTOR ENHANCED LARGE CAP PORTFOLIO

	Shares		Value
Specialty Retail (continued)
Ulta Beauty Incorporated †		2,571	$	660,978
Williams-Sonoma Incorporated		3,572		222,857
				30,621,020
Textiles, Apparel & Luxury Goods: 0.90%
Capri Holdings Limited †		2,910		75,136
Carter’s Incorporated		2,200		201,234
Deckers Outdoor Corporation †		1,497		260,179
HanesBrands Incorporated		18,899		250,223
Nike Incorporated Class B		62,542		5,590,004
PVH Corporation		2,936		217,587
Ralph Lauren Corporation		2,250		237,398
Skechers USA Incorporated Class A †		6,505		215,185
Tapestry Incorporated		10,874		254,995
Under Armour Incorporated Class A †		9,706		137,728
VF Corporation		17,024		1,225,728
				8,665,397
Consumer Staples: 9.69%
Beverages: 2.60%
Brown-Forman Corporation Class B		16,364		1,004,913
Constellation Brands Incorporated Class A		8,370		1,442,821
Keurig Dr. Pepper Incorporated		14,884		414,966
Molson Coors Brewing Company Class B		9,212		457,007
Monster Beverage Corporation †		19,335		1,206,697
PepsiCo Incorporated		73,451		9,697,736
The Coca-Cola Company		201,860		10,797,491
				25,021,631
Food & Staples Retailing: 1.91%
BJ’s Wholesale Club Holdings Incorporated †		6,535		125,864
Casey’s General Stores Incorporated		1,993		324,899
Costco Wholesale Corporation		22,894		6,436,419
Performance Food Group Company †		4,654		197,330
Sysco Corporation		25,309		1,686,845
The Kroger Company		40,663		1,143,850
US Foods Holding Corporation †		10,403		349,957
Walmart Incorporated		75,305		8,108,842
				18,374,006
Food Products: 1.58%
Archer Daniels Midland Company		28,581		1,076,075
Bunge Limited		6,954		326,490
Campbell Soup Company		10,226		461,397
Conagra Foods Incorporated		27,241		727,062
Darling Ingredients Incorporated †		7,170		184,269
Flowers Foods Incorporated		6,115		131,656
General Mills Incorporated		34,126		1,672,174
Hormel Foods Corporation		13,518		562,349
Ingredion Incorporated		2,832		235,906
Kellogg Company		13,186		797,357
Lamb Weston Holdings Incorporated		7,586		659,148
McCormick & Company Incorporated		6,713		981,373

The accompanying notes are an integral part of these financial statements.

112  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED LARGE CAP PORTFOLIO

	Shares		Value
Food Products (continued)
Mondelez International Incorporated Class A		76,989	$	4,065,019
Post Holdings Incorporated †		3,561		360,587
The Hershey Company		7,957		1,145,728
The J.M. Smucker Company		5,826		600,020
TreeHouse Foods Incorporated †		2,896		110,367
Tyson Foods Incorporated Class A		16,197		1,098,643
				15,195,620
Household Products: 2.27%
Church & Dwight Company Incorporated		12,491		868,374
Colgate-Palmolive Company		46,526		3,143,762
Kimberly-Clark Corporation		18,131		2,378,606
The Clorox Company		6,253		996,853
The Procter & Gamble Company		127,009		14,381,229
				21,768,824
Personal Products: 0.24%
Coty Incorporated Class A		14,759		136,226
Herbalife Nutrition Limited †		4,769		154,325
The Estee Lauder Companies Incorporated Class A		11,135		2,044,386
				2,334,937
Tobacco: 1.09%
Altria Group Incorporated		98,641		3,982,137
Philip Morris International Incorporated		79,705		6,525,448
				10,507,585
Energy: 3.25%
Energy Equipment & Services: 0.35%
Baker Hughes Incorporated		30,921		497,519
Halliburton Company		34,993		593,481
Helmerich & Payne Incorporated		3,782		139,518
National Oilwell Varco Incorporated		17,953		335,901
Schlumberger Limited		64,513		1,747,657
				3,314,076
Oil, Gas & Consumable Fuels: 2.90%
Cabot Oil & Gas Corporation		19,673		274,045
Chevron Corporation		97,517		9,102,237
Equitrans Midstream Corporation		9,920		70,035
Exxon Mobil Corporation		214,289		11,023,026
HollyFrontier Corporation		7,486		252,128
Marathon Petroleum Corporation		35,257		1,671,887
ONEOK Incorporated		21,707		1,448,291
PBF Energy Incorporated Class A		5,017		112,331
Phillips 66		23,886		1,788,106
Plains GP Holdings LP Class A		9,324		128,391
Tallgrass Energy GP LP		7,639		168,593
Targa Resources Corporation		12,110		392,364
Valero Energy Corporation		22,264		1,474,990
				27,906,424

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  113

Portfolio of investments—February 29, 2020

FACTOR ENHANCED LARGE CAP PORTFOLIO

	Shares		Value
Financials: 11.66%
Banks: 2.43%
Associated Banc Corporation		21,353	$	361,506
Bank of Hawaii Corporation		4,839		360,118
Bank OZK		8,967		227,672
BankUnited Incorporated		12,382		367,745
CIT Group Incorporated		7,786		309,182
Citizens Financial Group Incorporated		29,252		926,996
Comerica Incorporated		9,417		495,711
Commerce Bancshares Incorporated		9,083		554,426
Community Bank System Incorporated		5,573		338,894
Fifth Third Bancorp		43,618		1,064,279
First Financial Bankshares Incorporated		11,222		322,520
First Hawaiian Incorporated		14,935		357,693
First Horizon National Corporation		24,434		325,705
FNB Corporation		36,027		363,512
Glacier Bancorp Incorporated		9,022		336,430
Hancock Holding Company		7,923		265,421
Home Bancshares Incorporated		16,144		270,573
Huntington Bancshares Incorporated		66,749		819,010
IBERIABANK Corporation		4,862		292,644
KeyCorp		54,524		891,467
M&T Bank Corporation		7,966		1,118,267
PacWest Bancorp		10,509		332,505
People’s United Financial Incorporated		42,020		587,860
Pinnacle Financial Partners Incorporated		6,997		368,322
PNC Financial Services Group Incorporated		23,851		3,014,766
Regions Financial Corporation		66,868		904,055
Signature Bank		3,277		409,953
Sterling Bancorp		17,589		291,626
Synovus Financial Corporation		9,093		263,879
TCF Financial Corporation		10,467		381,417
Texas Capital Bancshares Incorporated †		4,660		219,393
UMB Financial Corporation		4,536		263,768
Umpqua Holdings Corporation		21,136		325,283
United Bankshares Incorporated		12,567		362,935
US Bancorp		78,529		3,646,887
Valley National Bancorp		37,225		346,193
Webster Financial Corporation		4,872		184,990
Western Alliance Bancorp		6,828		314,361
Wintrust Financial Corporation		4,371		233,455
Zions Bancorporation		13,744		549,073
				23,370,492
Capital Markets: 2.98%
Affiliated Managers Group Incorporated		1,857		139,684
Ameriprise Financial Incorporated		5,531		781,530
Apollo Global Management Incorporated		9,743		405,893
Bank of New York Mellon Corporation		42,690		1,703,331
Cboe Holdings Incorporated		6,025		686,850
CME Group Incorporated		19,153		3,807,999
Eaton Vance Corporation		4,172		172,137
FactSet Research Systems Incorporated		1,845		490,752
Franklin Resources Incorporated		13,323		289,908
Interactive Brokers Group Incorporated Class A		3,978		203,276

The accompanying notes are an integral part of these financial statements.

114  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED LARGE CAP PORTFOLIO

	Shares		Value
Capital Markets (continued)
Intercontinental Exchange Incorporated		31,536	$	2,813,642
Invesco Limited		22,132		318,701
KKR & Company Incorporated Class A		27,496		786,386
Lazard Limited Class A		5,821		208,508
LPL Financial Holdings Incorporated		3,429		272,537
MarketAxess Holdings Incorporated		2,107		683,363
Moody’s Corporation		8,218		1,972,567
Morningstar Incorporated		815		119,724
MSCI Incorporated		4,189		1,237,598
Raymond James Financial Incorporated		5,791		484,301
S&P Global Incorporated		12,571		3,342,755
SEI Investments Company		5,672		310,315
Stifel Financial Corporation		1,903		103,599
T. Rowe Price Group Incorporated		11,546		1,362,543
The Blackstone Group Incorporated Class A		33,909		1,825,661
The Goldman Sachs Group Incorporated		17,207		3,454,649
The NASDAQ OMX Group Incorporated		6,120		627,606
				28,605,815
Consumer Finance: 0.91%
Ally Financial Incorporated		23,357		585,560
American Express Company		31,984		3,516,001
Capital One Financial Corporation		23,228		2,050,103
Credit Acceptance Corporation †		497		200,390
Discover Financial Services		15,547		1,019,572
FirstCash Financial Services Incorporated		1,774		136,456
Navient Corporation		11,023		123,788
SLM Corporation		20,410		211,652
Synchrony Financial		32,492		945,517
				8,789,039
Diversified Financial Services: 1.56%
Berkshire Hathaway Incorporated Class B †		70,062		14,456,593
Jefferies Financial Group Incorporated		11,293		222,585
Voya Financial Incorporated		6,390		336,370
				15,015,548
Insurance: 3.36%
AFLAC Incorporated		38,950		1,669,008
Alleghany Corporation		706		474,609
American Financial Group Incorporated		2,903		268,295
American International Group Incorporated		47,797		2,015,122
Aon plc		12,426		2,584,608
Arch Capital Group Limited †		20,006		808,843
Arthur J. Gallagher & Company		10,160		990,498
Assurant Incorporated		3,198		385,647
Assured Guaranty Limited		4,006		163,485
Athene Holding Limited Class A †		6,358		262,268
Axis Capital Holdings Limited		3,679		206,465
Brown & Brown Incorporated		12,064		518,873
Chubb Limited		21,346		3,095,810
Cincinnati Financial Corporation		8,516		794,032
Erie Indemnity Company Class A		1,163		166,216
Everest Reinsurance Group Limited		2,025		501,957

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  115

Portfolio of investments—February 29, 2020

FACTOR ENHANCED LARGE CAP PORTFOLIO

	Shares		Value
Insurance (continued)
Fidelity National Financial Incorporated		13,293	$	515,237
First American Financial Corporation		5,343		305,085
Globe Life Incorporated		4,533		420,028
Kemper Corporation		2,732		188,071
Loews Corporation		14,744		672,769
Markel Corporation †		711		840,118
Marsh & McLennan Companies Incorporated		26,602		2,781,505
MetLife Incorporated		37,977		1,622,377
Old Republic International Corporation		12,677		249,990
Reinsurance Group of America Incorporated		3,171		386,957
RLI Corporation		1,843		148,140
Selective Insurance Group Incorporated		1,985		110,723
The Allstate Corporation		17,536		1,845,664
The Hanover Insurance Group Incorporated		1,600		189,664
The Hartford Financial Services Group Incorporated		20,000		999,000
The Progressive Corporation		31,847		2,329,927
The Travelers Companies Incorporated		14,286		1,711,606
Unum Group		5,391		125,664
W.R. Berkley Corporation		8,111		544,573
White Mountains Insurance Group Limited		75		74,258
Willis Towers Watson plc		6,863		1,298,823
				32,265,915
Mortgage REITs: 0.29%
AGNC Investment Corporation		27,033		460,642
Annaly Capital Management Incorporated		84,849		751,762
Blackstone Mortgage Trust Incorporated Class A		9,995		360,420
Chimera Investment Corporation		12,545		246,509
MFA Financial Incorporated		11,450		82,784
New Residential Investment Corporation		20,883		324,939
Starwood Property Trust Incorporated		17,017		377,437
Two Harbors Investment Corporation		13,684		185,418
				2,789,911
Thrifts & Mortgage Finance: 0.13%
Essent Group Limited		6,483		282,918
MGIC Investment Corporation		23,893		287,433
New York Community Bancorp Incorporated		34,849		376,718
Radian Group Incorporated		14,022		297,827
				1,244,896
Health Care: 17.56%
Biotechnology: 2.43%
AbbVie Incorporated		75,253		6,449,935
Alkermes plc †		7,259		151,278
Amgen Incorporated		30,888		6,169,260
Biogen Incorporated †		9,711		2,994,775
Exelixis Incorporated †		13,134		244,161
Gilead Sciences Incorporated		66,103		4,584,904
Incyte Corporation †		9,248		697,392
Regeneron Pharmaceuticals Incorporated †		4,220		1,876,085
United Therapeutics Corporation †		1,718		176,885
				23,344,675

The accompanying notes are an integral part of these financial statements.

116  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED LARGE CAP PORTFOLIO

	Shares		Value
Health Care Equipment & Supplies: 4.54%
Abbott Laboratories		91,168	$	7,022,671
Baxter International Incorporated		25,806		2,154,027
Becton Dickinson & Company		13,932		3,313,308
Boston Scientific Corporation †		69,348		2,592,922
Danaher Corporation		32,444		4,690,754
Dentsply Sirona Incorporated		11,372		559,957
Edwards Lifesciences Corporation †		11,175		2,289,087
Globus Medical Incorporated Class A †		3,283		148,490
Haemonetics Corporation †		2,497		270,500
Hill-Rom Holdings Incorporated		2,967		284,980
Hologic Incorporated †		13,249		624,293
ICU Medical Incorporated †		801		156,844
IDEXX Laboratories Incorporated †		4,410		1,122,389
Insulet Corporation †		3,310		628,801
Integra LifeSciences Holdings Corporation †		3,117		162,396
LivaNova plc †		2,416		168,444
Masimo Corporation †		2,125		347,076
Medtronic plc		69,505		6,997,068
Neogen Corporation †		2,104		127,818
NuVasive Incorporated †		2,462		162,024
Penumbra Incorporated †		1,825		302,695
ResMed Incorporated		7,155		1,137,359
Steris plc		4,209		667,632
Stryker Corporation		17,548		3,344,473
Tandem Diabetes Care Incorporated †		3,456		258,025
Teleflex Incorporated		2,318		776,576
The Cooper Companies Incorporated		2,499		811,100
Varian Medical Systems Incorporated †		4,355		535,534
West Pharmaceutical Services Incorporated		3,674		553,157
Zimmer Biomet Holdings Incorporated		10,602		1,443,462
				43,653,862
Health Care Providers & Services: 3.36%
Amedisys Incorporated †		1,453		252,837
AmerisourceBergen Corporation		7,758		654,155
Anthem Incorporated		13,429		3,452,462
Cardinal Health Incorporated		15,360		800,563
Centene Corporation †		30,056		1,593,569
Chemed Corporation		638		266,442
CVS Health Corporation		68,935		4,079,573
DaVita HealthCare Partners Incorporated †		4,798		372,421
Encompass Health Corporation		4,653		348,231
HCA Healthcare Incorporated		13,363		1,697,235
Henry Schein Incorporated		7,432		452,906
Humana Incorporated		6,701		2,142,176
Laboratory Corporation of America Holdings †		5,144		903,749
McKesson Corporation		9,629		1,346,712
Molina Healthcare Incorporated †		3,097		379,537
Quest Diagnostics Incorporated		7,141		757,374
UnitedHealth Group Incorporated		48,260		12,304,370
Universal Health Services Incorporated Class B		3,800		470,212
				32,274,524
Health Care Technology: 0.12%
Cerner Corporation		16,082		1,114,000

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  117

Portfolio of investments—February 29, 2020

FACTOR ENHANCED LARGE CAP PORTFOLIO

	Shares		Value
Life Sciences Tools & Services: 1.26%
Agilent Technologies Incorporated		15,077	$	1,161,984
Avantor Incorporated †		11,504		181,188
Bio-Rad Laboratories Incorporated Class A †		1,024		360,468
Bio-Techne Corporation		1,769		334,146
Bruker Corporation		4,677		203,730
Charles River Laboratories International Incorporated †		2,232		347,232
IQVIA Holdings Incorporated †		9,021		1,258,339
Mettler-Toledo International Incorporated †		1,112		780,290
PerkinElmer Incorporated		5,044		436,003
PRA Health Sciences Incorporated †		3,162		297,860
Syneos Health Incorporated †		3,785		239,780
Thermo Fisher Scientific Incorporated		20,386		5,928,249
Waters Corporation †		3,201		623,843
				12,153,112
Pharmaceuticals: 5.85%
Allergan plc		16,285		3,105,061
Bristol-Myers Squibb Company		76,036		4,490,686
Catalent Incorporated †		6,757		348,188
Elanco Animal Health Incorporated †		19,240		527,176
Eli Lilly & Company		42,763		5,393,697
Horizon Therapeutics plc †		8,569		293,231
Jazz Pharmaceuticals plc †		2,462		282,096
Johnson & Johnson		135,008		18,155,876
Merck & Company Incorporated		131,750		10,086,780
Mylan NV †		23,014		395,611
Perrigo Company plc		6,213		314,937
Pfizer Incorporated		290,397		9,705,068
Zoetis Incorporated		23,827		3,174,471
				56,272,878
Industrials: 11.52%
Aerospace & Defense: 2.64%
Arconic Incorporated		19,305		566,602
BWX Technologies Incorporated		3,733		204,718
Curtiss-Wright Corporation		1,454		174,393
General Dynamics Corporation		13,426		2,143,998
HEICO Corporation		2,119		228,534
Hexcel Corporation		3,920		253,350
Huntington Ingalls Industries Incorporated		1,860		382,286
L3Harris Technologies		12,084		2,389,369
Lockheed Martin Corporation		12,839		4,748,761
Mercury Computer Systems Incorporated †		2,633		193,420
Northrop Grumman Corporation		8,203		2,697,475
Raytheon Company		14,444		2,723,561
Spirit AeroSystems Holdings Incorporated Class A		5,473		289,193
Teledyne Technologies Incorporated †		1,814		611,898
Textron Incorporated		11,714		475,588
TransDigm Group Incorporated		2,570		1,433,572
United Technologies Corporation		44,971		5,872,763
				25,389,481
Air Freight & Logistics: 0.66%
C.H. Robinson Worldwide Incorporated		6,541		450,675
Expeditors International of Washington Incorporated		7,294		513,643

The accompanying notes are an integral part of these financial statements.

118  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED LARGE CAP PORTFOLIO

	Shares		Value
Air Freight & Logistics (continued)
FedEx Corporation		11,722	$	1,654,795
United Parcel Service Incorporated Class B		37,568		3,399,528
XPO Logistics Incorporated †		4,067		300,836
				6,319,477
Airlines: 0.45%
Alaska Air Group Incorporated		6,196		312,650
American Airlines Group Incorporated		16,099		306,686
Delta Air Lines Incorporated		31,736		1,463,982
JetBlue Airways Corporation †		14,451		228,037
Southwest Airlines Company		27,285		1,260,294
United Airlines Holdings Incorporated †		12,312		758,296
				4,329,945
Building Products: 0.48%
A.O. Smith Corporation		6,953		274,991
Allegion plc		4,706		541,143
Armstrong World Industries Incorporated		2,332		233,550
Fortune Brands Home & Security Incorporated		6,679		412,428
Johnson Controls International plc		43,332		1,584,651
Lennox International Incorporated		1,962		447,591
Masco Corporation		14,544		600,958
Owens Corning Incorporated		5,158		291,375
Trex Company Incorporated †		2,796		267,437
				4,654,124
Commercial Services & Supplies: 0.78%
Cintas Corporation		4,552		1,214,200
Clean Harbors Incorporated †		2,536		176,303
Copart Incorporated †		10,403		878,845
IAA Incorporated †		6,645		283,874
KAR Auction Services Incorporated		6,909		132,998
MSA Safety Incorporated		1,261		153,426
Republic Services Incorporated		11,865		1,070,935
Rollins Incorporated		7,439		278,516
Stericycle Incorporated †		4,497		258,263
Tetra Tech Incorporated		2,430		196,514
The Brink’s Company		2,410		188,679
Waste Management Incorporated		24,009		2,660,437
				7,492,990
Construction & Engineering: 0.17%
AECOM Technology Corporation †		7,950		357,273
EMCOR Group Incorporated		1,923		147,917
Jacobs Engineering Group Incorporated		7,024		648,596
MasTec Incorporated †		3,616		177,473
Quanta Services Incorporated		7,437		283,573
				1,614,832
Electrical Equipment: 0.79%
Acuity Brands Incorporated		1,843		189,571
AMETEK Incorporated		12,240		1,052,640
Eaton Corporation plc		21,698		1,968,443

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  119

Portfolio of investments—February 29, 2020

FACTOR ENHANCED LARGE CAP PORTFOLIO

	Shares		Value
Electrical Equipment (continued)
Emerson Electric Company		31,104	$	1,994,077
Generac Holdings Incorporated †		3,046		313,708
Hubbell Incorporated		2,651		353,219
nVent Electric plc		6,846		164,372
Regal-Beloit Corporation		1,393		108,153
Rockwell Automation Incorporated		5,977		1,096,780
Sensata Technologies Holding plc †		7,954		324,523
				7,565,486
Industrial Conglomerates: 1.65%
3M Company		30,595		4,565,998
Carlisle Companies Incorporated		2,648		384,728
General Electric Company		443,203		4,822,049
Honeywell International Incorporated		37,847		6,137,648
				15,910,423
Machinery: 1.82%
AGCO Corporation		2,726		164,732
Allison Transmission Holdings Incorporated		5,686		230,852
Crane Company		1,707		115,991
Cummins Incorporated		8,014		1,212,438
Deere & Company		16,319		2,553,597
Donaldson Company Incorporated		5,528		249,202
Dover Corporation		7,331		753,187
Flowserve Corporation		4,116		165,422
Gardner Denver Holdings Incorporated †		6,741		221,037
Graco Incorporated		7,183		354,266
IDEX Corporation		3,917		579,716
Illinois Tool Works Incorporated		14,828		2,487,842
ITT Incorporated		2,922		175,758
John Bean Technologies Corporation		1,065		103,156
Lincoln Electric Holdings Incorporated		2,382		195,062
Nordson Corporation		2,666		387,370
Oshkosh Corporation		3,038		219,192
PACCAR Incorporated		17,552		1,174,229
Parker-Hannifin Corporation		5,415		1,000,530
RBC Bearings Incorporated †		985		168,622
Snap-on Incorporated		2,541		367,810
Stanley Black & Decker Incorporated		6,624		951,869
The Middleby Corporation †		2,997		335,095
The Toro Company		4,981		355,793
Trane Technologies plc		12,402		1,600,354
WABCO Holdings Incorporated †		2,545		343,830
Woodward Governor Company		2,429		250,673
Xylem Incorporated		9,514		735,813
				17,453,438
Marine: 0.01%
Kirby Corporation †		2,184		139,230
Professional Services: 0.60%
ASGN Incorporated †		1,940		98,377
Equifax Incorporated		6,308		895,988
Exponent Incorporated		1,781		131,171

The accompanying notes are an integral part of these financial statements.

120  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED LARGE CAP PORTFOLIO

	Shares		Value
Professional Services (continued)
FTI Consulting Incorporated †		1,752	$	197,258
IHS Markit Limited		19,138		1,363,391
Insperity Incorporated		1,567		105,412
Manpower Incorporated		2,357		178,991
Nielsen Holdings plc		19,266		350,834
Robert Half International Incorporated		4,509		227,299
TransUnion		9,866		877,285
Verisk Analytics Incorporated		8,723		1,353,025
				5,779,031
Road & Rail: 1.21%
AMERCO		363		117,071
J.B. Hunt Transport Services Incorporated		4,275		412,281
Kansas City Southern		5,108		769,673
Knight-Swift Transportation Holdings Incorporated		5,655		180,621
Landstar System Incorporated		962		97,133
Lyft Incorporated Class A †		10,801		411,734
Norfolk Southern Corporation		14,152		2,580,617
Old Dominion Freight Line Incorporated		3,674		712,021
Ryder System Incorporated		2,128		80,949
Uber Technologies Incorporated †		11,465		388,320
Union Pacific Corporation		36,697		5,864,548
				11,614,968
Trading Companies & Distributors: 0.25%
Fastenal Company		28,113		962,027
HD Supply Holdings Incorporated †		8,493		322,904
MSC Industrial Direct Company Class A		1,684		104,105
Univar Incorporated †		7,509		127,578
W.W. Grainger Incorporated		2,297		637,509
Watsco Incorporated		1,556		244,261
				2,398,384
Transportation Infrastructure: 0.01%
Macquarie Infrastructure Company LLC		3,616		141,928
Information Technology: 10.45%
Communications Equipment: 0.32%
Ciena Corporation †		6,978		268,304
F5 Networks Incorporated †		2,856		342,577
Juniper Networks Incorporated		17,647		374,469
Lumentum Holdings Incorporated †		2,962		230,503
Motorola Solutions Incorporated		9,477		1,570,149
Viasat Incorporated †		2,997		172,328
Viavi Solutions Incorporated †		10,299		135,844
				3,094,174
Electronic Equipment, Instruments & Components: 0.69%
Amphenol Corporation Class A		15,618		1,431,858
Arrow Electronics Incorporated †		3,879		260,126
Avnet Incorporated		4,685		143,736
CDW Corporation of Delaware		7,861		897,883
Coherent Incorporated †		342		44,019

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  121

Portfolio of investments—February 29, 2020

FACTOR ENHANCED LARGE CAP PORTFOLIO

	Shares		Value
Electronic Equipment, Instruments & Components (continued)
Dolby Laboratories Incorporated Class A		2,748	$	180,544
FLIR Systems Incorporated		6,078		258,133
Jabil Circuit Incorporated		6,767		216,882
Keysight Technologies Incorporated †		8,952		848,292
Littelfuse Incorporated		1,042		166,387
National Instruments Corporation		5,303		213,605
SYNNEX Corporation		1,884		235,557
TE Connectivity Limited		17,585		1,457,269
Tech Data Corporation †		1,842		262,282
				6,616,573
IT Services: 3.85%
Accenture plc Class A		32,741		5,912,697
Akamai Technologies Incorporated †		8,327		720,369
Alliance Data Systems Corporation		2,370		203,536
Amdocs Limited		5,853		373,129
Automatic Data Processing Incorporated		21,794		3,372,404
Black Knight Incorporated †		7,381		492,387
Booz Allen Hamilton Holding Corporation		7,241		516,283
Broadridge Financial Solutions Incorporated		5,987		624,803
CACI International Incorporated Class A †		1,010		247,470
Cognizant Technology Solutions Corporation Class A		29,906		1,822,173
CoreLogic Incorporated		3,554		161,245
DXC Technology Company		10,199		245,898
EPAM Systems Incorporated †		2,485		554,652
Euronet Worldwide Incorporated †		2,574		319,279
Fidelity National Information Services Incorporated		32,342		4,518,824
Fiserv Incorporated †		29,547		3,231,260
FleetCor Technologies Incorporated †		4,497		1,195,258
Gartner Incorporated †		4,564		590,536
Genpact Limited		7,625		293,258
GoDaddy Incorporated Class A †		9,241		646,685
International Business Machines Corporation		46,414		6,040,782
Jack Henry & Associates Incorporated		3,739		567,356
KBR Incorporated		5,831		151,373
Leidos Holdings Incorporated		7,375		757,044
MAXIMUS Incorporated		2,095		132,027
Paychex Incorporated		16,438		1,273,616
Perspecta Incorporated		7,171		179,060
Sabre Corporation		14,209		193,456
Science Applications International Corporation		2,724		218,274
The Western Union Company		19,943		446,524
VeriSign Incorporated †		5,335		1,012,316
				37,013,974
Semiconductors & Semiconductor Equipment: 2.88%
Applied Materials Incorporated		45,484		2,643,530
Cabot Microelectronics Corporation		1,248		173,821
Cree Incorporated †		4,797		214,570
Cypress Semiconductor Corporation		18,901		436,424
Entegris Incorporated		6,094		324,932
First Solar Incorporated †		3,698		169,257
Intel Corporation		231,919		12,876,143
KLA-Tencor Corporation		7,850		1,206,624
Lam Research Corporation		6,743		1,978,598

The accompanying notes are an integral part of these financial statements.

122  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED LARGE CAP PORTFOLIO

	Shares		Value
Semiconductors & Semiconductor Equipment (continued)
Marvell Technology Group Limited		30,966	$	659,576
Maxim Integrated Products Incorporated		12,867		715,663
MKS Instruments Incorporated		1,670		167,317
ON Semiconductor Corporation †		14,865		277,381
Semtech Corporation †		1,143		45,137
Silicon Laboratories Incorporated †		27		2,394
Teradyne Incorporated		7,755		455,684
Texas Instruments Incorporated		46,865		5,349,171
				27,696,222
Software: 2.27%
ACI Worldwide Incorporated †		5,349		149,077
ANSYS Incorporated †		4,311		1,044,081
Aspen Technology Incorporated †		3,470		369,590
Avalara Incorporated †		3,403		288,404
Blackbaud Incorporated		2,387		161,839
Cadence Design Systems Incorporated †		14,312		946,596
CDK Global Incorporated		6,123		281,780
Ceridian HCM Holding Incorporated †		4,494		317,861
Citrix Systems Incorporated		6,788		701,811
Dropbox Incorporated Class A †		11,887		232,510
Fair Isaac Corporation †		1,520		571,566
Fortinet Incorporated †		7,572		772,798
Intuit Incorporated		13,629		3,623,270
J2 Global Incorporated		1,983		173,175
Manhattan Associates Incorporated †		3,198		215,417
NortonLifeLock Incorporated		28,298		538,511
Nuance Communications Incorporated		14,167		306,291
Oracle Corporation		112,800		5,579,088
Palo Alto Networks Incorporated †		5,083		938,423
RealPage Incorporated †		3,648		233,837
RingCentral Incorporated Class A †		3,947		930,505
Slack Technologies Incorporated Class A †		13,454		363,527
SS&C Technologies Holdings Incorporated		11,384		631,812
Synopsys Incorporated †		7,823		1,079,026
Teradata Corporation †		4,963		98,962
Tyler Technologies Incorporated †		2,015		631,400
Verint Systems Incorporated †		2,832		155,420
VMware Incorporated Class A †		4,186		504,497
				21,841,074
Technology Hardware, Storage & Peripherals: 0.44%
Dell Technologies Incorporated †		11,453		463,388
Hewlett Packard Enterprise Company		64,874		829,738
HP Incorporated		78,170		1,625,154
NCR Corporation †		5,785		145,782
Pure Storage Incorporated Class A †		11,748		179,274
Seagate Technology plc		12,782		612,897
Xerox Holdings Corporation		10,625		342,125
				4,198,358
Materials: 2.77%
Chemicals: 1.70%
Air Products & Chemicals Incorporated		12,106		2,658,599
Ashland Global Holdings Incorporated		2,567		183,643

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  123

Portfolio of investments—February 29, 2020

FACTOR ENHANCED LARGE CAP PORTFOLIO

	Shares		Value
Chemicals (continued)
Axalta Coating Systems Limited †		10,537	$	262,582
Celanese Corporation Series A		5,427		508,727
CF Industries Holdings Incorporated		11,830		436,054
Corteva Incorporated		37,035		1,007,352
Dow Incorporated		37,915		1,532,145
Eastman Chemical Company		6,447		396,555
Ecolab Incorporated		13,646		2,462,421
FMC Corporation		6,486		603,847
Huntsman Corporation		1,214		22,993
Ingevity Corporation †		1,918		86,387
International Flavors & Fragrances Incorporated		5,796		694,245
LyondellBasell Industries NV Class A		12,296		878,672
NewMarket Corporation		400		155,436
Olin Corporation		6,939		112,342
PPG Industries Incorporated		11,779		1,230,317
RPM International Incorporated		5,698		365,299
Scotts Miracle-Gro Company Class A		1,933		204,879
The Sherwin-Williams Company		4,335		2,240,111
Valvoline Incorporated		8,894		173,433
W.R. Grace & Company		3,205		181,275
				16,397,314
Construction Materials: 0.18%
Eagle Materials Incorporated		1,898		149,809
Martin Marietta Materials Incorporated		3,222		733,102
Vulcan Materials Company		7,323		880,664
				1,763,575
Containers & Packaging: 0.51%
AptarGroup Incorporated		2,990		302,199
Avery Dennison Corporation		4,358		498,947
Ball Corporation		18,879		1,330,214
Berry Global Group Incorporated †		7,138		270,958
Crown Holdings Incorporated †		7,846		553,143
Graphic Packaging Holding Company		15,792		213,508
International Paper Company		21,896		809,276
Packaging Corporation of America		5,021		455,003
Sealed Air Corporation		8,148		246,966
Sonoco Products Company		4,081		196,745
				4,876,959
Metals & Mining: 0.36%
Alcoa Corporation †		8,524		118,228
Newmont Goldcorp Corporation		41,575		1,855,492
Nucor Corporation		15,325		633,689
Reliance Steel & Aluminum Company		2,893		295,925
Royal Gold Incorporated		3,139		302,819
Steel Dynamics Incorporated		10,148		270,241
				3,476,394
Paper & Forest Products: 0.02%
Louisiana-Pacific Corporation		5,777		164,356

The accompanying notes are an integral part of these financial statements.

124  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED LARGE CAP PORTFOLIO

	Shares		Value
Real Estate: 6.14%
Equity REITs: 6.01%
Alexandria Real Estate Equities Incorporated		6,888	$	1,046,149
American Campus Communities Incorporated		7,114		309,032
American Homes 4 Rent Class A		13,889		359,586
American Tower Corporation		25,285		5,734,638
Americold Realty Trust		11,391		349,362
Apartment Investment & Management Company Class A		9,062		433,526
Apple Hospitality REIT Incorporated		6,857		89,621
AvalonBay Communities Incorporated		8,222		1,649,251
Boston Properties Incorporated		9,248		1,192,437
Brixmor Property Group Incorporated		18,829		342,876
Camden Property Trust		4,841		513,049
CoreSite Realty Corporation		1,941		201,340
Corporate Office Properties Trust		5,296		134,201
Cousins Properties Incorporated		7,298		260,466
Crown Castle International Corporation		23,420		3,355,852
CubeSmart		8,893		269,191
CyrusOne Incorporated		6,341		384,138
Digital Realty Trust Incorporated		12,387		1,487,803
Douglas Emmett Incorporated		9,446		360,648
Duke Realty Corporation		19,706		639,854
EastGroup Properties Incorporated		1,461		183,692
EPR Properties		3,985		236,071
Equinix Incorporated		4,757		2,724,810
Equity Commonwealth		634		19,946
Equity Lifestyle Properties Incorporated		9,287		634,581
Equity Residential		22,030		1,654,453
Essex Property Trust Incorporated		3,843		1,088,952
Extra Space Storage Incorporated		6,998		702,319
Federal Realty Investment Trust		3,959		460,590
First Industrial Realty Trust Incorporated		5,113		196,851
Gaming and Leisure Properties Incorporated		11,565		516,609
Healthcare Realty Trust Incorporated		5,021		172,220
Healthcare Trust of America Incorporated Class A		10,503		327,063
Healthpeak Properties Incorporated		29,305		927,210
Highwoods Properties Incorporated		5,234		234,902
Host Hotels & Resorts Incorporated		38,151		552,426
Hudson Pacific Properties Incorporated		7,983		257,691
Invitation Homes Incorporated		31,490		903,448
Iron Mountain Incorporated		16,312		496,048
JBG Smith Properties		5,977		219,236
Kimco Realty Corporation		24,692		428,406
Lamar Advertising Company Class A		4,223		353,634
Life Storage Incorporated		1,949		210,317
Medical Properties Trust Incorporated		25,536		539,576
Mid-America Apartment Communities Incorporated		6,552		846,912
National Health Investors Incorporated		851		69,552
National Retail Properties Incorporated		8,736		444,226
Omega Healthcare Investors Incorporated		12,678		502,049
Outfront Media Incorporated		7,125		187,673
Park Hotels & Resorts Incorporated		12,092		220,800
Pebblebrook Hotel Trust		7,514		151,858
Physicians Realty Trust		8,418		158,763
Prologis Incorporated		41,531		3,500,233
PS Business Parks Incorporated		528		78,434

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  125

Portfolio of investments—February 29, 2020

FACTOR ENHANCED LARGE CAP PORTFOLIO

	Shares		Value
Equity REITs (continued)
Public Storage Incorporated		8,350	$	1,746,152
Rayonier Incorporated		5,484		145,491
Realty Income Corporation		18,715		1,354,779
Regency Centers Corporation		9,417		540,912
Rexford Industrial Realty Incorporated		4,856		227,115
RLJ Lodging Trust		8,559		113,064
Ryman Hospitality Properties Incorporated		2,413		167,728
Sabra Health Care REIT Incorporated		11,628		227,327
SBA Communications Corporation		6,573		1,742,437
Service Properties Trust		9,212		166,553
Simon Property Group Incorporated		17,970		2,211,748
SL Green Realty Corporation		4,931		386,788
Spirit Realty Capital Incorporated REIT		4,494		204,477
STAG Industrial Incorporated		5,975		167,181
STORE Capital Corporation		11,536		379,073
Sun Communities Incorporated		5,148		787,026
Sunstone Hotel Investors Incorporated		9,398		102,908
Terreno Realty Corporation		1,953		107,161
The Macerich Company		9,893		202,015
UDR Incorporated		16,390		737,222
Ventas Incorporated		21,923		1,178,800
VEREIT Incorporated		65,748		569,378
VICI Properties Incorporated		24,975		625,874
Vornado Realty Trust		10,291		551,392
Weingarten Realty Investors		5,421		145,988
Welltower Incorporated		24,551		1,836,906
Weyerhaeuser Company		40,364		1,048,657
WP Carey Incorporated		9,715		752,038
				57,740,761
Real Estate Management & Development: 0.13%
CBRE Group Incorporated Class A †		16,063		901,777
Jones Lang LaSalle Incorporated		2,408		355,830
				1,257,607
Utilities: 4.54%
Electric Utilities: 2.45%
ALLETE Incorporated		571		39,393
Alliant Energy Corporation		10,658		555,495
American Electric Power Company Incorporated		27,331		2,439,565
Duke Energy Corporation		41,462		3,802,065
Edison International		18,459		1,240,260
Entergy Corporation		11,065		1,293,609
Evergy Incorporated		11,919		778,907
Eversource Energy		18,244		1,577,376
Exelon Corporation		54,418		2,345,960
FirstEnergy Corporation		30,452		1,356,028
Hawaiian Electric Industries Incorporated		3,150		134,946
IDACORP Incorporated		1,024		98,959
OGE Energy Corporation		7,567		288,303
PG&E Corporation †		16,866		261,423
Pinnacle West Capital Corporation		5,113		457,562
PNM Resources Incorporated		2,663		125,374
Portland General Electric Company		1,310		71,277

The accompanying notes are an integral part of these financial statements.

126  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED LARGE CAP PORTFOLIO

			Shares		Value
Electric Utilities (continued)
PPL Corporation				41,176	$	1,235,692
The Southern Company				60,700		3,663,852
Xcel Energy Incorporated				28,678		1,787,213
						23,553,259
Gas Utilities: 0.19%
Atmos Energy Corporation				6,392		659,974
National Fuel Gas Company				3,349		122,607
New Jersey Resources Corporation				3,736		131,918
ONE Gas Incorporated				1,731		142,184
Southwest Gas Holdings Incorporated				2,343		151,545
Spire Incorporated				2,275		170,739
UGI Corporation				11,538		415,830
						1,794,797
Independent Power & Renewable Electricity Producers: 0.16%
AES Corporation				38,075		636,995
NRG Energy Incorporated				12,747		423,328
Vistra Energy Corporation				23,706		455,866
						1,516,189
Multi-Utilities: 1.57%
Ameren Corporation				13,075		1,032,925
Black Hills Corporation				2,678		193,352
CenterPoint Energy Incorporated				27,647		636,434
CMS Energy Corporation				15,836		956,811
Consolidated Edison Incorporated				18,709		1,474,643
Dominion Energy Incorporated				45,717		3,574,155
DTE Energy Company				10,255		1,145,176
MDU Resources Group Incorporated				8,460		234,596
NiSource Incorporated				21,371		577,444
Northwestern Corporation				1,187		83,494
Public Service Enterprise Group Incorporated				28,208		1,447,352
Sempra Energy				15,606		2,181,407
WEC Energy Group Incorporated				17,062		1,575,334
						15,113,123
Water Utilities: 0.17%
American States Water Company				630		48,252
American Water Works Company Incorporated				9,653		1,193,690
Essential Utilities Incorporated				9,693		416,896
						1,658,838
Total Common Stocks (Cost $774,998,578)						915,636,273
	Expiration date
Rights: 0.01%
Health Care: 0.01%
Pharmaceuticals: 0.01%
Bristol-Myers Squibb Company †		12-31-2020		42,184		141,316
Total Rights (Cost $89,852)						141,316

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  127

Portfolio of investments—February 29, 2020

FACTOR ENHANCED LARGE CAP PORTFOLIO

	Yield			Shares		Value
Short-Term Investments: 3.91%
Investment Companies: 3.91%
Wells Fargo Government Money Market Fund Select Class (l)(u)		1.52	%		37,548,710	$	37,548,710
Total Short-Term Investments (Cost $37,548,710)							37,548,710

Total investments in securities (Cost $812,637,140)	99.16	%		953,326,299
Other assets and liabilities, net	0.84			8,103,310
Total net assets	100.00	%	$	961,429,609

† Non-income-earning security

(l) The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

(u) The rate represents the 7-day annualized yield at period end.

Abbreviations:

REIT Real estate investment trust

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost		Notional value		Unrealized gains		Unrealized losses
Long
S&P 500 E-Mini Index		291		3-20-2020	$	48,745,908	$	42,938,505	$	0	$	(5,807,403	)

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:    

	Shares, beginning of period		Shares purchased		Shares sold			Shares, end of period		Net realized gains (losses)		Net change in unrealized gains (losses)		Income from affiliated securities		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		42,045,039		233,855,290		(238,351,619	)		37,548,710	$	0	$	0	$	609,610	$	37,548,710		3.91	%

The accompanying notes are an integral part of these financial statements.

128  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Common Stocks: 96.18%
Communication Services: 2.99%
Diversified Telecommunication Services: 0.71%
ATN International Incorporated		1,851	$	99,769
Bandwidth Incorporated Class A †		2,911		183,073
Cincinnati Bell Incorporated †		7,525		98,201
Cogent Communications Group Incorporated		7,514		548,597
Consolidated Communications Holdings Incorporated		12,653		78,702
Frontier Communications Corporation †		17,990		9,733
Globalstar Incorporated †		105,139		42,939
IDT Corporation Class B †		3,187		24,540
Intelsat SA †		13,468		51,986
Ooma Incorporated †		3,526		45,239
ORBCOMM Incorporated †		13,163		43,570
Vonage Holdings Corporation †		45,311		405,987
				1,632,336
Entertainment: 0.17%
Akazoo SA Common Stock †		4,028		18,489
AMC Entertainment Holdings Class A		9,017		56,446
Gaia Incorporated †		2,098		17,686
Glu Mobile Incorporated †		20,489		145,882
Marcus Corporation		3,787		101,189
Reading International Incorporated Class A †		2,878		23,974
SciPlay Corporation Class A †		3,703		33,475
				397,141
Interactive Media & Services: 0.54%
Actua Corporation †(a)‡		9,483		474
Angi Homeservices Incorporated Class A †		13,160		93,831
CarGurus Incorporated †		14,765		376,360
Cars.com Incorporated †		12,388		112,483
DHI Group Incorporated †		8,810		20,087
EverQuote Incorporated Class A †		798		32,415
Liberty TripAdvisor Holdings Incorporated Class A †		11,952		52,051
QuinStreet Incorporated †		8,279		106,634
The Meet Group Incorporated †		12,041		61,409
Yelp Incorporated †		12,396		387,623
				1,243,367
Media: 1.14%
AMC Networks Incorporated Class A †		7,383		228,873
Cardlytics Incorporated †		3,269		259,526
Cumulus Media Incorporated Class A †		2,453		29,559
Daily Journal Corporation †		180		45,000
Emerald Holding Incorporated		4,257		29,203
Entravision Communications Corporation Class A		11,354		22,822
Fluent Incorporated †		4,867		11,340
Gannett Company Incorporated		21,444		90,065
Gray Television Incorporated †		15,008		283,951
Hemisphere Media Group Incorporated †		3,008		37,991
iHeartMedia Incorporated Class A †		10,278		155,301
John Wiley & Sons Incorporated Class A		7,886		293,280
Lee Enterprises Incorporated †		10,292		15,438

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  129

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Media (continued)
Marchex Incorporated Class B †		6,726	$	17,420
Meredith Corporation		6,666		175,649
MSG Networks Incorporated Class A †		7,719		97,568
National CineMedia Incorporated		13,004		100,001
Saga Communications Incorporated Class A		864		24,866
Scholastic Corporation		3,602		115,588
Sinclair Broadcast Group Incorporated Class A		12,573		291,819
Techtarget †		4,273		98,834
The E.W. Scripps Company Class A		9,438		112,312
Tribune Publishing Company		2,630		30,166
WideOpenWest Incorporated †		8,222		51,716
				2,618,288
Wireless Telecommunication Services: 0.43%
Boingo Wireless Incorporated †		7,264		92,035
Gogo Incorporated †		9,230		33,320
NII Holdings Incorporated †(a)‡		14,979		32,504
Shenandoah Telecommunications Company		8,132		361,305
Spok Holdings Incorporated		2,712		27,012
Telephone & Data Systems Incorporated		17,265		347,717
United States Cellular Corporation †		2,612		82,043
				975,936
Consumer Discretionary: 11.60%
Auto Components: 1.14%
American Axle & Manufacturing Holdings Incorporated †		17,103		108,262
Cooper Tire & Rubber Company		8,579		218,679
Cooper-Standard Holdings Incorporated †		2,834		48,972
Dana Incorporated		22,783		327,620
Dorman Products Incorporated †		4,689		284,341
Fox Factory Holding Corporation †		6,362		403,351
LCI Industries		4,354		420,379
Modine Manufacturing Company †		8,563		63,880
Motorcar Parts of America Incorporated †		2,965		49,634
Shiloh Industries Incorporated †		2,544		8,802
Standard Motor Products Incorporated		3,305		145,420
Stoneridge Incorporated †		4,458		98,522
Strattec Security Corporation		636		13,299
Superior Industries International Incorporated		3,460		8,996
Tenneco Incorporated		7,603		69,720
Visteon Corporation †		4,927		320,452
Xpel Incorporated †		1,540		19,881
				2,610,210
Automobiles: 0.12%
Winnebago Industries Incorporated		5,269		273,408
Distributors: 0.09%
Core Mark Holding Company Incorporated		8,466		194,803
Weyco Group Incorporated		893		19,592
				214,395

The accompanying notes are an integral part of these financial statements.

130  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Diversified Consumer Services: 0.85%
Adtalem Global Education Incorporated †		9,085	$	280,454
American Public Education Incorporated †		2,488		55,383
Aspen Group Incorporated †		2,455		21,555
Carriage Services Incorporated		2,487		52,600
Collectors Universe Incorporated		1,533		35,267
Graham Holdings Company Class B		730		367,102
Houghton Mifflin Harcourt Company †		18,798		102,825
K12 Incorporated †		6,778		134,747
Laureate Education Incorporated Class A †		18,906		353,542
Perdoceo Education Corporation †		11,486		171,486
Regis Corporation †		3,778		48,207
Select Interior Concepts Class A †		3,334		24,905
Universal Technical Institute Incorporated †		3,183		23,554
WW International Incorporated †		8,984		269,520
				1,941,147
Hotels, Restaurants & Leisure: 2.90%
BBX Capital Corporation		10,641		37,031
Biglari Holdings Incorporated Class B †		169		17,823
BJ’s Restaurants Incorporated		4,027		132,690
Bloomin’ Brands Incorporated		16,826		302,700
Bluegreen Vacations Corporation		1,251		9,708
Brinker International Incorporated		6,863		235,744
Carrols Restaurant Group Incorporated †		5,483		22,617
Century Casinos Incorporated †		4,601		32,115
Choice Hotels International Incorporated		6,018		549,323
Chuy’s Holding Incorporated †		3,220		69,037
Dave & Buster’s Entertainment Incorporated		5,311		175,316
Del Taco Restaurants Incorporated †		4,844		31,002
Denny’s Corporation †		9,755		169,835
Dine Brands Global Incorporated		2,830		231,636
Drive Shack Incorporated †		10,279		29,398
El Pollo Loco Holdings Incorporated †		3,696		47,678
Everi Holdings Incorporated †		12,248		127,379
Fiesta Restaurant Group Incorporated †		4,081		39,422
Golden Entertainment Incorporated †		3,054		49,719
Hilton Grand Vacations Incorporated †		15,021		400,460
Hyatt Hotels Corporation Class A		6,414		491,312
Inspired Entertainment Incorporated †		2,472		12,854
International Game Technology		17,441		185,572
J. Alexander’s Holdings Incorporated †		2,300		18,883
Jack in the Box Incorporated		4,586		315,792
Lindblad Expeditions Holding †		5,367		63,867
Monarch Casino & Resort Incorporated †		2,072		97,964
Nathan S Famous Incorporated		529		31,476
Noodles & Company †		6,563		53,292
Papa John’s International Incorporated		3,994		230,094
Penn National Gaming Incorporated †		17,764		525,281
Playa Hotels & Resorts NV †		13,229		70,114
Playags Incorporated †		4,465		43,266
Potbelly Corporation †		4,644		23,220
RCI Hospitality Holdings Incorporated		1,555		31,333
Red Lion Hotels Corporation †		3,600		9,252
Red Robin Gourmet Burgers Incorporated †		2,199		60,473
Red Rock Resorts Incorporated Class A		11,857		244,373

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  131

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Hotels, Restaurants & Leisure (continued)
Ruth’s Chris Steak House Incorporated		5,123	$	98,003
SeaWorld Entertainment Incorporated †		7,964		216,700
Shake Shack Incorporated Class A †		4,676		277,941
Target Hospitality Corporation †		6,470		30,280
The Cheesecake Factory Incorporated		7,925		282,368
The Habit Restaurants Incorporated Class A †		3,463		48,343
Twin River Worldwide Holdings Incorporated		3,196		83,096
Wingstop Incorporated		4,646		392,355
				6,648,137
Household Durables: 1.65%
Bassett Furniture Industries Incorporated		1,686		16,641
Century Communities Incorporated †		4,688		156,251
Ethan Allen Interiors Incorporated		4,334		57,209
Green Brick Partners Incorporated †		4,214		46,101
Hamilton Beach Brand Class A		1,425		16,530
Hooker Furniture Corporation		1,978		37,206
Hovnanian Enterprises Incorporated Class A †		579		14,330
Installed Building Products †		3,961		261,624
KB Home Incorporated		14,968		487,807
La-Z-Boy Incorporated		8,194		234,758
Legacy Housing Corporation †		987		14,183
LGI Homes Incorporated †		3,289		247,826
Lifetime Brands Incorporated		2,136		13,585
M/I Homes Incorporated †		4,734		176,247
MDC Holdings Incorporated		8,728		343,360
Meritage Corporation †		6,682		424,040
Sonos Incorporated †		10,889		125,659
Taylor Morrison Home Corporation Class A †		23,528		529,851
The Lovesac Company †		2,128		18,492
TRI Pointe Homes Incorporated †		24,690		378,498
Tupperware Brands Corporation		9,407		26,810
Turtle Beach Corporation †		2,060		13,617
Universal Electronics Incorporated †		2,388		100,821
Voxx International Corporation †		3,538		13,126
Zagg Incorporated †		5,027		33,781
				3,788,353
Internet & Direct Marketing Retail: 0.64%
1-800-Flowers.com Incorporated Class A †		4,360		78,654
Chewy Incorporated Class A †		6,864		203,174
Duluth Holdings Incorporated Class B †		3,011		20,655
Groupon Incorporated †		88,666		118,812
Lands End Incorporated †		1,353		14,261
Leaf Group Limited †		3,594		9,452
Liquidity Services Incorporated †		5,658		22,179
Overstock.com Incorporated †		6,162		39,807
PetMed Express Incorporated		3,351		88,466
Revolve Group Incorporated †		2,259		36,822
Shutterstock Incorporated		3,244		125,024
Stamps.com Incorporated †		3,015		425,447
Stitch Fix Incorporated Class A †		8,397		201,780
The Rubicon Project Incorporated †		8,479		96,237
				1,480,770

The accompanying notes are an integral part of these financial statements.

132  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Leisure Products: 0.58%
Acushnet Holdings Corporation		5,762	$	146,643
American Outdoor Brands Corporation †		8,899		88,634
Callaway Golf Company		16,144		274,125
Clarus Corporation		3,872		44,760
Escalade Incorporated		1,563		13,270
Johnson Outdoors Incorporated Class A		723		45,122
Malibu Boats Incorporated Class A †		3,580		157,305
Marine Products Corporation		1,273		16,014
Mastercraft Boat Holdings Incorporated †		3,472		56,142
Peloton Interactive Incorporated Class A †		7,864		209,890
Sturm, Ruger & Company Incorporated		2,921		140,325
Yeti Holdings Incorporated †		4,457		134,824
				1,327,054
Multiline Retail: 0.09%
Big Lots Stores Incorporated		5,064		80,062
Dillard’s Incorporated Class A		1,659		93,385
JCPenny Company Incorporated †		48,542		33,494
				206,941
Specialty Retail: 2.44%
Abercrombie & Fitch Company Class A		10,011		131,444
America’s Car-Mart Incorporated †		1,133		116,438
American Eagle Outfitters Incorporated		27,941		359,880
Asbury Automotive Group Incorporated †		3,150		279,216
At Home Group Incorporated †		12,737		63,685
Barnes & Noble Education Incorporated †		7,391		24,464
Bed Bath & Beyond Incorporated		19,781		213,833
Boot Barn Holdings Incorporated †		4,649		142,585
Caleres Incorporated		6,671		76,917
Camping World Holdings Incorporated Class A		4,993		68,304
Chico’s FAS Incorporated		23,894		95,815
Children’s Place Retail Stores Incorporated		3,210		184,896
Citi Trends Incorporated		1,851		36,594
Conn’s Incorporated †		4,496		36,642
Container Store Group Incorporated †		3,035		11,472
Designer Brands Incorporated		11,866		160,310
Dick’s Sporting Goods Incorporated		10,584		385,363
Express Incorporated †		7,636		28,253
Genesco Incorporated †		1,909		65,689
GNC Holdings Incorporated Class A †		14,708		24,709
Group 1 Automotive Incorporated		2,928		249,553
Haverty Furniture Companies Incorporated		2,910		48,946
Hibbett Sports Incorporated †		3,252		63,479
Hudson Limited Class A †		6,951		64,714
Lumber Liquidators Holdings Incorporated †		3,928		38,494
MarineMax Incorporated †		4,702		79,605
Murphy USA Incorporated †		5,212		508,170
Office Depot Incorporated		87,628		205,926
Party City Holdco Incorporated †		9,364		18,634
Penske Auto Group Incorporated		5,602		257,804
Rent-A-Center Incorporated		8,040		171,172
Sally Beauty Holdings Incorporated †		21,332		265,370
Shoe Carnival Incorporated		1,531		45,792
Sleep Number Corporation †		4,771		210,163

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  133

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Specialty Retail (continued)
Sonic Automotive Incorporated Class A		3,694	$	103,432
Sportsman’s Warehouse Holdings Incorporated †		6,454		38,724
Tailored Brands Incorporated		10,508		34,361
The Buckle Incorporated		5,333		120,686
The Cato Corporation Class A		3,973		64,243
The Michaels Companies Incorporated †		16,920		72,587
Tilly’s Incorporated Class A		3,149		20,469
TravelCenters of America Incorporated †		1,407		17,011
Urban Outfitters Incorporated †		9,679		227,553
Winmark Corporation		458		91,600
Zumiez Incorporated †		3,263		86,567
				5,611,564
Textiles, Apparel & Luxury Goods: 1.10%
Columbia Sportswear Company		4,963		403,492
Crocs Incorporated †		10,390		271,906
Culp Incorporated		2,123		19,362
Delta Apparel Incorporated †		922		18,219
Fossil Group Incorporated †		7,801		35,807
G-III Apparel Group Limited †		6,982		156,118
Kontoor Brands Incorporated		9,055		305,516
Lakeland Industries Incorporated †		1,325		27,971
Levi Strauss & Company Class A		7,100		120,629
Movado Group Incorporated		2,623		38,558
Oxford Industries Incorporated		2,934		177,184
Rocky Brands Incorporated		1,142		27,808
Steven Madden Limited		13,720		448,644
Superior Uniform Group Incorporated		1,599		19,220
Unifi Incorporated †		2,324		49,664
Vera Bradley Incorporated †		4,048		33,436
Wolverine World Wide Incorporated		14,270		375,158
				2,528,692
Consumer Staples: 4.16%
Beverages: 0.44%
Boston Beer Company Incorporated Class A †		1,515		561,747
Celsius Holdings Incorporated †		4,957		29,296
Coca Cola Bottling Corporation		825		162,014
MGP Ingredients Incorporated		2,273		65,371
National Beverage Corporation †		1,958		82,804
New Age Beverages Corporation †		13,607		27,486
Primo Water Corporation †		6,231		87,234
				1,015,952
Food & Staples Retailing: 0.60%
HF Foods Group Incorporated †		1,954		34,996
Ingles Markets Incorporated Class A		2,366		84,632
Natural Grocers By Vitamin C		2,173		14,994
Pricesmart Incorporated		3,593		200,094
Rite Aid Corporation †		11,659		158,796
SpartanNash Company		6,799		84,512
Sprouts Farmers Market Incorporated †		20,913		334,190
The Andersons Incorporated		5,027		92,346
The Chef’s Warehouse Incorporated †		4,500		137,790

The accompanying notes are an integral part of these financial statements.

134  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Food & Staples Retailing (continued)
United Natural Foods Incorporated †		12,291	$	79,523
Village Super Market Class A		1,806		37,113
Weis Markets Incorporated		2,907		108,286
				1,367,272
Food Products: 1.71%
Alico Incorporated		633		20,617
B&G Foods Incorporated		11,308		167,358
Cal-Maine Foods Incorporated		4,126		143,956
Calavo Growers Incorporated		2,940		213,003
Dean Foods Company †		19,866		2,702
Farmer Bros Corporation †		2,208		27,269
Fresh Del Monte Produce Incorporated		5,149		141,186
Freshpet Incorporated †		5,196		345,326
Hain Celestial Group Incorporated †		13,817		327,877
Hostess Brands Incorporated †		19,496		247,794
J & J Snack Foods Corporation		2,638		424,243
John B. Sanfilippo & Son Incorporated		1,548		108,654
Lancaster Colony Corporation		3,379		488,097
Landec Corporation †		4,484		46,006
Pilgrim’s Pride Corporation †		9,172		194,080
Sanderson Farms Incorporated		3,464		428,012
Seaboard Corporation		44		150,260
Seneca Foods Corporation Class A †		1,186		41,178
Simply Good Foods Company †		14,559		321,172
Tootsie Roll Industries Incorporated		2,924		93,802
				3,932,592
Household Products: 0.67%
Central Garden & Pet Company Class A †		6,785		171,728
Energizer Holdings Incorporated		10,836		465,840
Oil-Dri Corporation of America		890		27,083
Spectrum Brands Holdings Incorporated		8,409		453,161
WD-40 Company		2,399		413,804
				1,531,616
Personal Products: 0.52%
Edgewell Personal Care Company †		9,507		288,633
Elf Beauty Incorporated †		7,009		111,864
Inter Parfums Incorporated		3,046		182,943
Lifevantage Corporation †		2,161		25,738
Medifast Incorporated		1,905		158,325
NU Skin Enterprises Incorporated Class A		9,486		232,597
Revlon Incorporated Class A †		1,264		21,880
USANA Health Sciences Incorporated †		2,125		140,463
Veru Incorporated †		7,552		31,190
				1,193,633
Tobacco: 0.22%
Pyxus International Incorporated †		1,839		7,080
Turning Point Brands Incorporated		1,507		39,408
Universal Corporation		4,126		203,618
Vector Group Limited		21,711		252,282
				502,388

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  135

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Energy: 2.13%
Energy Equipment & Services: 0.75%
Apergy Corporation †		12,227	$	227,422
Archrock Incorporated		24,349		171,660
Aspen Aerogels Incorporated †		2,851		22,665
Cactus Incorporated Class A		7,858		214,602
DMC Global Incorporated		2,242		80,847
Era Group Incorporated †		3,582		35,104
Exterran Corporation †		4,306		21,961
Geospace Technologies Corporation †		2,035		25,092
Gulf Island Fabrication Incorporated †		2,407		10,711
Hi-Crush Partners LP †		16,717		10,030
Ion Geophysical Corporation †		1,806		6,357
KLX Energy Services †		3,338		8,078
Liberty Oilfield Services Class A		8,122		54,336
Matrix Service Company †		4,638		56,027
McDermott International Incorporated †		35,100		1,334
National Energy Services Reunited Corporation †		4,501		37,403
Natural Gas Services Group Incoporated †		1,989		19,651
Newpark Resources Incorporated †		16,056		56,357
Nextier Oilfield Solutions Incorporated †		7,328		34,148
Nine Energy Service Incorporated †		2,424		9,841
Oceaneering International Incorporated †		16,280		171,591
Parker Drilling Company †		1,656		20,733
ProPetro Holding Corporation †		13,258		116,140
RPC Incorporated		9,016		31,015
Seacor Holdings Incorporated †		3,420		127,566
Seacor Marine Holdings Incorporated †		3,158		25,106
Select Energy Services Incorporated Class A †		8,199		53,294
Solaris Oilfield Infrastructure Incorporated Class A		4,506		47,764
Tetra Technologies Incorporated †		20,772		26,173
				1,723,008
Oil, Gas & Consumable Fuels: 1.38%
Adams Resources & Energy Incorporated		329		9,984
Altus Midstream Company Class A †		7,651		11,170
Amplify Energy Corporation		4,215		17,619
Antero Resources Corporation †		32,946		52,714
Arch Coal Incorporated Class A		2,393		120,488
Berry Petroleum Corporation		10,508		66,936
Bonanza Creek Energy Incorporated †		2,994		48,772
Brigham Minerals Incorporated Class A		3,097		49,397
Centennial Resource Development Class A †		26,047		61,731
Chesapeake Energy Corporation †		174,408		47,962
Consol Energy Incorporated †		3,692		21,007
Contura Energy Incorporated †		3,304		18,800
Core Laboratories NV		7,457		200,146
CVR Energy Incorporated		5,343		151,848
Delek US Holdings Incorporated		13,082		279,693
DHT Holdings Incorporated		16,121		89,472
Earthstone Energy Incorporated Class A †		2,475		9,529
Evolution Petroleum Corporation		4,579		21,567
Extraction Oil & Gas Incorporated †		10,152		6,990
Falcon Minerals Corporation		6,678		26,679
Goodrich Petroleum Corporation †		1,958		10,436

The accompanying notes are an integral part of these financial statements.

136  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Oil, Gas & Consumable Fuels (continued)
Green Plains Renewable Energy Incorporated		6,597	$	79,098
Gulfport Energy Corporation †		21,274		17,436
Hallador Energy Corporation		3,973		5,125
International Seaways Incorporated †		4,232		84,174
Laredo Petroleum Incorporated †		25,156		27,168
Magnolia Oil & Gas Corporation †		19,017		142,818
Montage Resources Corporation †		2,818		9,835
Northern Oil & Gas Incorporated †		48,982		71,024
Overseas Shipholding Group Class A †		12,926		22,233
Panhandle Oil And Gas Incorporated Class A		2,585		17,190
Par Pacific Holdings Incorporated †		6,843		113,525
PDC Energy Incorporated †		17,247		328,210
Peabody Energy Corporation		13,023		76,054
Penn Virginia Corporation †		2,377		37,794
Renewable Energy Group Incorporated †		6,736		178,167
Rex American Resources Corporation †		1,131		79,181
Ring Energy Incorporated †		8,920		12,577
Sandridge Energy Incorporated †		5,199		10,710
SilverBow Resources Incorporated †		1,081		3,038
Southwestern Energy Company †		82,647		117,359
Talos Energy Incorporated †		2,913		41,365
Vaalco Energy Incorporated †		8,346		16,692
W&T Offshore Incorporated †		15,270		39,702
World Fuel Services Corporation		11,179		316,142
				3,169,557
Financials: 19.77%
Banks: 10.52%
1st Constitution Bancorp		1,253		22,955
1st Source Corporation		1,360		57,188
ACNB Corporation		1,175		35,814
Allegiance Bancshares Incorporated		3,320		110,124
Amalgamated Bank of New York Class A		2,570		41,146
Amerant Bancorp Incorporated Class A †		3,747		69,170
American National Bankshares Incorporated		1,850		57,147
Ameris Bancorp		11,465		391,874
AMES National Corporation		1,567		40,538
Arrow Financial Corporation		2,486		78,732
Atlantic Capital Bancshares †		3,925		71,160
Atlantic Union Bankshares Corporation		14,167		421,327
Auburn National Bancorporation Incorporation		377		21,018
Banc of California Incorporated		7,494		114,883
BancFirst Corporation		3,227		165,545
Bancorpsouth Bank		16,301		398,885
Bank First Corporation		1,180		69,856
Bank of Commerce Holdings		3,021		31,585
Bank of Marin Bancorp		2,264		86,326
BankFinancial Corporation		2,354		26,694
Bankwell Financial Group Incorporated		1,089		31,004
Banner Corporation		5,741		262,019
Bar Harbor Bankshares		2,628		53,664
Baycom Corporation †		1,990		42,407
BCB Bancorp Incorporated		2,430		27,556
Berkshire Hills Bancorp Incorporated		8,023		195,841

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  137

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Banks (continued)
BOK Financial Corporation		4,945	$	358,018
Boston Private Financial Holdings Incorporated		14,515		141,594
Bridge Bancorp Incorporated		3,207		88,257
Brookline Bancorp Incorporated		13,604		188,687
Bryn Mawr Bank Corporation		3,461		115,044
Business First Bancshares Incorporated		2,230		53,676
Byline Bancorp Incorporated		4,038		70,665
C&F Financial Corporation		564		25,662
Cadence Bancorp		21,524		303,919
Cambridge Bancorp		821		56,214
Camden National Corporation		2,573		105,519
Capital Bancorp Incorporated †		1,114		15,418
Capital City Bank Group Incorporated		1,954		52,074
Capstar Financial Holdings Class I		2,050		27,552
Carolina Financial Corporation		4,067		131,771
Carter Bank & Trust		4,115		69,544
Cathay General Bancorp		13,066		402,171
CB Financial Services Incorporated		881		25,822
CBTX Incorporated		3,221		80,364
CenterState Bank Incorporated		21,988		444,817
Central Pacific Financial Company		4,710		112,663
Central Valley Community Bancorp		2,011		34,589
Century Bancorp Incorporated Class A		490		35,427
Chemung Financial Corporation		613		22,007
Citizens & Northern Corporation		2,299		52,164
Citizens Community Bancorp Incorporated		1,889		21,950
City Holding Company		2,759		192,909
Civista Bancshares Incorporated		2,524		48,309
CNB Financial Corporation		2,523		63,252
Coastal Financial Corporation †		1,375		22,536
Codorus Valley Bancorp Incorporated		1,743		35,906
Colony Bankcorp Incorporated		1,292		19,212
Columbia Banking System Incorporated		12,543		416,428
Community Bankers Trust Corporation		3,866		31,585
Community Financial Corporation		859		27,265
Community Trust Bancorp		2,647		102,386
ConnectOne Bancorp Incorporated		5,401		113,475
County Bancorp Incorporated		914		22,521
CrossFirst Bankshares Incorporated †		1,386		18,365
Customers Bancorp Incorporated †		5,072		102,911
Dime Community Bancshares		5,419		90,931
Eagle Bancorp Incorporated		5,275		197,391
Eagle Bancorp Montana Incorporated		1,025		19,885
Enterprise Bancorp Incorporated		1,514		41,590
Enterprise Financial Service		4,119		157,634
Equity Bancshares Incorporated Class A †		2,545		66,628
Esquire Financial Holdings Class I †		1,037		23,758
Evans Bancorp Incorporated		832		32,673
Farmers & Merchants Banco		1,928		51,285
Farmers National Banc Corporation		4,350		65,381
FB Financial Corporation		2,872		93,541
Fidelity D&D Bancorp Incorporated		466		22,974
Financial Institutions Incorporated		2,698		72,603
First Bancorp Incorporated		1,769		45,110
First Bancorp of North Carolina		4,990		160,179

The accompanying notes are an integral part of these financial statements.

138  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Banks (continued)
First Bancshares Incorporated		2,891	$	86,267
First Bank		3,334		32,507
First Busey Corporation		8,708		192,186
First Business Financial Service		1,385		33,240
First Capital Incorporated		615		37,823
First Choice Bancorp		1,633		36,987
First Citizens BancShares Corporation Class A		763		345,876
First Commonwealth Financial Corporation		16,895		199,361
First Community Bancshares		2,418		63,255
First Community Corporation		1,201		23,420
First Financial Bancorp		16,807		346,224
First Financial Corporation		2,008		80,220
First Financial Northwest		1,398		19,502
First Foundation Incorporated		6,674		96,606
First Guaranty Bancshares Incorporated		900		15,372
First Internet Bancorp		1,585		38,500
First Interstate BancSystem Class A		7,467		254,326
First Merchants Corporation		8,552		299,149
First Mid-Illinois Bancshares		2,255		63,523
First Midwest Bancorp Incorporated		18,374		333,488
First National Community Bancorp Incorporated		3,044		20,121
First Northwest Bancorp		1,545		24,596
First of Long Island Corporation		4,171		86,381
First Savings Financial Group Incorporated		291		18,173
First United Corporation		1,139		24,637
First Western Financial Incorporated †		915		17,065
Flushing Financial Corporation		4,805		87,235
Franklin Financial Network		2,341		78,400
Franklin Financial Services Corporation		733		22,738
Fulton Financial Corporation		28,522		412,143
FVCBankcorp Incorporated †		1,984		30,613
German American Bancorp		4,224		126,086
Great Southern Bancorp Incorporated		2,074		106,417
Great Western Bancorp Incorporated		9,900		266,013
Guaranty Bancshares Incorporated		1,350		37,274
Hanmi Financial Corporation		5,326		83,086
HarborOne Bancorp Incorporated †		2,939		29,375
Hawthorn Bancshares Incorporated		1,011		21,979
Heartland Financial USA Incorporated		5,953		255,086
Heritage Commerce Corporation		10,003		102,631
Heritage Financial Corporation		6,493		150,573
Hilltop Holdings Incorporated		12,130		252,668
Hometrust Bancshares Incorporated		2,766		65,720
Hope Bancorp Incorporated		20,600		251,526
Horizon Bancorp Indiana		6,692		100,514
Howard Bancorp Incorporated †		2,334		36,761
Independent Bank Corporation		5,991		404,572
Independent Bank Corporation		3,872		75,775
Independent Bank Group Incorporated		6,030		279,129
International Bancshares Corporation		10,063		343,148
Investar Holding Corporation		1,610		34,390
Investors Bancorp Incorporated		40,297		424,730
Lakeland Bancorp Incorporated		8,415		121,218
Lakeland Financial Corporation		4,232		172,962
LCNB Corporation		2,019		31,961

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  139

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Banks (continued)
Level One Bancorp Incorporated		884	$	21,437
Live Oak Bancshares Incorporated		4,291		65,953
Macatawa Bank Corporation		4,553		43,891
Mackinac Financial Corporation		1,625		22,734
Mainstreet Bancshares Incorporated †		1,242		25,188
Malvern Bancorp Incorporated †		1,320		25,238
Mercantile Bank Corporation		2,729		78,295
Metropolitan Bank Holding Corporation †		895		38,261
Mid Penn Bancorp Incorporated		1,220		25,949
Middlefield Banc Corporation		1,054		25,096
Midland States Bancorp Incorporated		3,813		90,826
Midwestone Financial Group Class I		2,511		72,141
Mutualfirst Financial Incorporated		1,163		38,961
MVB Financial Corporation		1,720		30,341
National Bank Holdings Corporation Class A		4,675		143,008
National Bankshares Incorporated		1,072		37,466
NBT Bancorp Incorporated		7,471		251,698
Nicolet Bankshares Incorporated †		1,379		91,635
Northeast Bank		1,459		25,970
Northrim BanCorp Incorporated		1,117		39,039
Norwood Financial Corporation		1,012		31,251
Oak Valley Bancorp		1,200		20,028
Ohio Valley Banc Corporation		643		17,875
Old National Bancorp		29,320		462,083
Old Point Financial Corporation		276		7,314
Old Second Bancorp Incorporated		4,872		51,838
Opus Bank		4,744		112,290
Origin Bancorp Incorporated		3,312		100,155
Orrstown Financial Services Incorporated		1,744		31,043
Pacific Mercantile Bancorp †		3,400		22,202
Pacific Premier Bancorp Incorporated		9,774		252,462
Park National Corporation		2,158		188,437
Parke Bancorp Incorporated		1,729		31,990
PCB Bancorp		2,088		27,917
Peapack-Gladstone Financial Corporation		3,251		89,240
Penns Woods Bancorp Incorporated		1,156		34,865
People’s Utah Bancorp		2,872		68,842
Peoples Bancorp Incorporated		3,285		93,787
Peoples Bancorp of North Carolina Incorporated		767		19,505
Peoples Financial Services		1,184		52,001
Preferred Bank (Los Angeles)		2,416		123,530
Premier Financial Bancorp		2,087		34,749
QCR Holdings Incorporated		2,590		98,575
RBB Bancorp		2,536		42,782
Reliant Bancorp Incorporated		1,713		34,003
Renasant Corporation		9,638		273,045
Republic Bancorp Incorporated Class A		2,075		74,161
Richmond Mutual Bancorporation Incorporated †		2,286		30,747
Riverview Financial Corporation		1,544		17,880
S&T Bancorp Incorporated		5,831		191,665
Sandy Spring Bancorp Incorporated		6,062		186,467
SB Financial Group Incorporated		1,022		19,152
SB One Bancorp		1,429		31,324
Seacoast Banking Corporation †		8,834		219,967
Select Bancorp Incorporated †		2,798		29,379

The accompanying notes are an integral part of these financial statements.

140  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Banks (continued)
ServisFirst Bancshares Incorporated		8,000	$	276,400
Shore Bancshares Incorporated		2,223		34,590
Sierra Bancorp		2,325		55,382
Simmons First National Corporation Class A		16,278		348,024
Smartfinancial Incorporated		2,157		40,961
South State Corporation		5,844		398,093
Southern First Bancshares †		1,199		45,706
Southern National Bancorp of Virginia		3,951		56,065
Southside Bancshares Incorporated		5,439		175,245
Spirit of Texas Bancshares Incorporated †		2,495		46,008
Stock Yards Bancorp Incorporated		3,574		124,876
Summit Financial Group Incorporated		1,898		41,604
The Bancorp Incorporated †		8,057		98,054
The Bank of Princeton		954		26,006
Tompkins Trust Company Incorporated		2,224		176,764
Towne Bank		11,162		257,396
TriCo Bancshares		4,094		138,459
TriState Capital Holdings Incorporated †		4,093		81,328
Triumph Bancorp Incorporated †		3,861		130,772
Trustmark Corporation		10,333		277,958
Union Bankshares Incorporated		567		16,999
United Community Bank		13,947		345,467
United Security Bancshare		2,535		21,953
Unity Bancorp Incorporated		1,344		23,023
Univest Corporation of Pennsylvania		4,862		113,771
Veritex Holdings Incorporated		8,639		207,941
Washington Trust Bancorp		2,621		112,493
WesBanco Incorporated		11,337		347,026
West Bancorporation		2,564		52,434
Westamerica Bancorporation		4,501		260,248
				24,158,921
Capital Markets: 2.09%
Ares Management Corporation Class A		13,446		465,097
Artisan Partners Asset Management Incorporated Class A		8,875		253,648
Ashford Incorporated †		62		1,293
B. Riley Financial Incorporated		3,282		77,652
BGC Partners Incorporated Class A		51,961		242,138
Blucora Incorporated †		8,057		140,192
BrightSphere Investment Group Incorporated		10,994		102,794
Cohen & Steers Incorporated		4,086		255,988
Cowen Incorporated Class A		4,534		67,874
Diamond Hill Investment Group		547		69,321
Donnelley Financial Solutions †		5,126		44,596
Evercore Partners Incorporated Class A		6,214		413,977
Federated Investors Incorporated Class B		16,315		470,688
Gain Capital Holdings Incorporated		4,164		24,568
Gamco Investors Incorporated Class A		931		14,486
Great Elm Capital Group Incorporated †		3,471		10,934
Hamilton Lane Incorporated Class A		4,190		260,367
Houlihan Lokey Incorporated		7,255		371,601
INTL FC Stone Incorporated †		2,648		120,616
Moelis Company Class A		8,886		283,997
Oppenheimer Holdings Class A		1,578		37,446
Piper Jaffray Companies Incorporated		2,351		164,758

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  141

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Capital Markets (continued)
PJT Partners Incorporated Class A		3,493	$	157,010
Pzena Investment Managm Class A		3,162		20,648
Safeguard Scientifics Incorporated		3,230		28,521
Sculptor Capital Management Incorporated		2,597		58,900
Siebert Financial Corporation †		408		3,346
Silvercrest Asset Management Group Incorporated Class A		1,386		16,022
Victory Capital Holding Class A		2,596		51,323
VIRTU Financial Incorporated Class A		13,429		252,599
Virtus Investment Partners Incorporated		1,121		123,758
Waddell & Reed Financial Incorporated Class A		11,963		164,611
Westwood Holdings Group Incorporated		1,454		36,903
				4,807,672
Consumer Finance: 0.51%
Atlanticus Holdings Corporation †		828		10,764
Curo Group Holdings Corporation		3,210		29,628
Elevate Credit Incorporated †		4,697		15,500
Encore Capital Group Incorporated †		5,321		197,728
Enova International Incorporated †		5,771		110,919
Ezcorp Incorporated †		6,816		32,717
Medallion Financial Corporation †		3,233		19,107
Nelnet Incorporated Class A		3,428		182,027
Regional Management Corporation †		1,670		42,836
Santander Consumer USA Holdings Incorporated		17,609		429,660
World Acceptance Corporation †		1,243		97,078
				1,167,964
Diversified Financial Services: 0.38%
Alerus Financial Corporation		1,165		23,836
Cannae Holdings Incorporated †		12,214		455,460
FGL Holdings		28,017		320,514
Marlin Business Services Incorporated		1,370		26,934
On Deck Capital Incorporated †		11,514		40,184
				866,928
Insurance: 2.34%
Ambac Financial Group Incorporated †		7,992		153,606
American National Insurance Company		1,637		161,015
Amerisafe Incorporated		3,424		223,142
Argo Group International Holdings Limited		5,777		325,014
Citizens Incorporated †		8,073		47,146
CNA Financial Corporation		5,038		209,480
Crawford & Company Class A		2,987		22,223
Donegal Group Incorporated Class A		2,095		29,896
eHealth Incorporated †		3,742		439,124
Employers Holdings Incorporated		5,508		212,278
FBL Financial Group Incorporated		1,653		78,947
FedNat Holding Company		1,891		24,659
Genworth Financial Incorporated Class A †		79,229		308,993
Goosehead Insurance Incorporated Class A		2,345		127,193
Greenlight Capital Limited †		5,160		43,550
Hallmark Financial Services Incorporated †		2,419		34,301
HCI Group Incorporated		1,119		47,580
Health Insurance Innovations Incorporated Class A †		1,727		50,791

The accompanying notes are an integral part of these financial statements.

142  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Insurance (continued)
Heritage Insurance Holdings Incorporated		4,676	$	52,184
Horace Mann Educators Corporation		7,083		275,741
Independence Holding Company		857		31,803
Investors Title Company		227		37,219
James River Group Holdings Limited		4,899		197,969
Kingstone Company Incorporated		1,604		11,268
Kinsale Capital Group Incorporated		3,783		459,521
Mercury General Corporation		4,894		211,959
National General Holdings Corporation		11,410		222,153
National Western Life Group Class A		405		96,767
NI Holdings Incorporated †		1,644		23,213
ProAssurance Corporation		9,454		256,676
ProSight Global Incorporated †		1,408		18,867
Protective Insurance Corporation Class B		1,296		18,481
Safety Insurance Group Incorporated		2,653		208,897
State Auto Financial Corporation		3,131		78,212
Stewart Information Services Corporation		4,268		154,416
Tiptree Incorporated		4,022		26,465
Trupanion Incorporated †		4,979		153,054
United Fire Group Incorporated		3,808		145,999
United Insurance Holdings Company		3,892		36,585
Universal Insurance Holdings Company		5,760		119,174
				5,375,561
Mortgage REITs: 1.60%
AG Mortgage Investment Trust Incorporated		5,610		83,982
Anworth Mortgage Asset Corporation		16,546		54,105
Apollo Commercial Real Estate Finance Incorporated		26,825		434,565
Arbor Realty Trust Incorporated		15,820		192,055
Ares Commercial Real Estate		4,557		69,540
Capstead Mortgage Corporation		15,694		111,427
Colony Credit Real Estate Incorporated REIT		14,458		184,050
Dynex Capital Incorporated REIT		4,222		72,196
Ellington Financial Incorporated		5,248		86,749
Ellington Residential Mortgage REIT		1,689		18,393
Exantas Capital Corporation REIT		5,364		61,471
Granite Point Mortgage Trust Incorporated		9,443		155,054
Great Ajax Corporation REIT		3,217		45,456
Invesco Mortgage Capital Incorporated		25,026		402,418
KKR Real Estate Finance Trust		4,205		82,586
Ladder Capital Corporation		17,467		266,372
New York Mortgage Trust Incorporated		45,160		257,412
Orchid Island Capital Incorporated REIT		11,064		63,397
PennyMac Mortgage Investment Trust		15,875		328,613
Ready Capital Corporation		5,653		81,969
Redwood Trust Incorporated		18,747		320,199
Sachem Capital Corporation REIT		3,302		12,614
TPG Real Estate Finance Trust Incorporated		10,019		192,565
Western Asset Mortgage Capital REIT		9,059		90,771
				3,667,959
Thrifts & Mortgage Finance: 2.33%
Axos Financial Incorporated †		9,650		240,382
Bridgewater Bancshares Incorporated †		3,837		47,963
Capitol Federal Financial Incorporated		23,251		283,778

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  143

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Thrifts & Mortgage Finance (continued)
Columbia Financial Incorporated †		8,438	$	130,958
Essa Bancorp Incorporated		1,626		26,894
Federal Agricultural Mortgage Corporation Class C		1,591		119,420
First Defiance Financial Corporation		6,405		153,176
Flagstar Bancorp Incorporated		4,944		157,615
FS Bancorp Incorporated		662		31,637
Hingham Institution For Savings Corporation		270		49,399
Home Bancorp Incorporated		1,313		43,421
Homestreet Incorporated		4,036		109,335
Impac Mortgage Holdings Incorporated †		1,563		10,081
Kearny Financial Corporation		14,083		153,646
Luther Burbank Corporation		2,555		26,649
Merchants Bancorp Incorporated		2,815		50,726
Meridian Bancorp Incorporated		8,408		138,816
Meta Financial Group Incorporated		6,316		207,481
MMA Capital Management LLC †		809		24,424
Mr. Cooper Group Incorporated †		13,336		171,101
NMI Holdings Incorporated Class A †		11,858		276,766
Northfield Bancorp Incorporated		7,673		108,419
Northwest Bancshares Incorporated		17,739		246,395
OceanFirst Financial Corporation		9,464		193,444
Ocwen Financial Corporation †		16,889		21,111
OP Bancorp		2,166		19,169
PB Bancorp Incorporated		1,039		15,782
PCSB Financial Corporation		2,763		50,729
PDL Community Bancorp †		1,344		18,883
PennyMac Financial Services Incorporated		7,732		272,630
Pioneer Bancorp Incorporated †		1,923		26,191
Provident Bancorp Incorporated †		1,362		14,968
Provident Financial Holdings		991		19,572
Provident Financial Services Incorporated		10,502		209,830
Prudential Bancorp Incorporated		1,221		20,061
Riverview Bancorp Incorporated		3,512		22,652
Severn Bancorp Incorporated		196		1,572
Southern Missouri Bancorp		1,063		34,888
Standard AVB Financial Corporation		784		22,266
Sterling Bancorp Incorporated		3,569		24,983
Territorial Bancorp Incorporated		1,402		35,639
TFS Financial Corporation		9,423		192,606
Timberland Bancorp Incorporated		1,232		28,644
Trustco Bank Corporation		17,123		117,464
Walker & Dunlop Incorporated		4,889		317,052
Washington Federal Incorporated		13,807		414,072
Waterstone Financial Incorporated		4,099		68,166
Western New England Bancorp		4,175		36,907
WSFS Financial Corporation		9,734		335,434
				5,343,197
Health Care: 12.61%
Biotechnology: 3.74%
Acorda Therapeutics Incorporated †		7,364		10,604
Adamas Pharmaceuticals Incorporated †		3,497		15,946
ADMA Biologics Incorporated †		9,434		27,500
Aeglea BioTherapeutics Incorporated †		4,475		30,564

The accompanying notes are an integral part of these financial statements.

144  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Biotechnology (continued)
Agenus Incorporated †		20,807	$	52,642
Akcea Therapeutics Incorporated †		2,651		45,014
Akebia Therapeutics Incorporated †		19,556		173,462
Alector Incorporated †		4,896		134,542
AMAG Pharmaceuticals Incorporated †		4,927		38,184
Anavex Life Sciences Corporation †		9,011		34,332
Anika Therapeutics Incorporated †		2,559		106,864
Arcturus Therapeutics Holdings Incorporated †		2,060		28,531
Arena Pharmaceuticals Incorporated †		8,817		393,238
Athenex Incorporated †		9,324		113,939
Athersys Incorporated †		23,982		28,778
Atreca Incorporated Class A †		1,277		30,188
Aveo Pharmaceuticals Incorporated †		3,017		13,275
Avid Bioservices Incorporated †		7,057		44,459
BeyondSpring Incorporated †		2,963		47,052
Biospecifics Technologies †		950		52,431
CareDx Incorporated †		6,649		154,988
Catalyst Pharmaceuticals Incorporated †		17,615		74,159
Cel-Sci Corporation †		5,960		65,381
Celcuity Incorporated †		1,029		8,736
Coherus Biosciences Incorporated †		10,304		199,382
Corbus Pharmaceuticals Holdings †		9,634		45,665
Cortexyme Incorporated †		717		36,029
Cue Biopharma Incorporated †		2,909		50,878
Cyclerion Therapeutics Incorporated †		4,308		18,438
Cytokinetics Incorporated †		10,407		145,074
Deciphera Pharmaceuticals Incorporated †		4,507		239,953
Denali Therapeutics Incorporated †		10,312		203,868
Dyadic International Incorporated †		3,315		19,525
Eagle Pharmaceuticals Incorporated †		1,995		91,571
Eidos Therapeutics Incorporated †		787		39,806
Emergent BioSolutions Incorporated †		7,783		456,706
Enanta Pharmaceuticals Incorporated †		2,989		152,080
Enochian Biosciences Incorporated †		2,190		7,139
Harpoon Therapeutics Incorporated †		1,752		26,876
IGM Biosciences Incorporated †		1,300		66,833
Immunic Incorporated †		1,425		11,058
Invitae Corporation †		18,550		378,049
Ironwood Pharmaceuticals Incorporated		26,205		315,508
Jounce Therapeutics Incorporated †		1,665		7,526
KalVista Pharmaceuticals Incorporated †		1,430		19,234
Kodiak Sciences Incorporated †		1,532		98,002
Krystal Biotech Incorporated †		1,793		95,836
La Jolla Pharmaceutical Company †		2,746		18,673
Lexicon Pharmaceuticals Incorporated †		4,924		13,664
Ligand Pharmaceuticals Incorporated †		3,496		327,226
Lineage Cell Therapeutics Incorporated †		24,644		24,890
Mannkind Corporation †		28,549		36,257
Matinas Biopharma Holdings Class I †		22,326		22,326
Mei Pharma Incorporated †		13,315		25,698
MeiraGTx Holdings plc †		2,493		40,387
Mersana Therapeutics Incorporated †		6,540		56,636
Molecular Templates Incorporated †		4,084		65,712
Momenta Pharmaceuticals Incorporated †		17,076		483,080
Myriad Genetics Incorporated †		12,985		228,796

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  145

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Biotechnology (continued)
Natera Incorporated †		11,468	$	434,695
NextCure Incorporated †		742		30,986
Oncocyte Corporation †		5,331		11,462
OPKO Health Incorporated †		66,399		99,599
Palatin Technologies Incorporated †		38,777		19,803
PDL BioPharma Incorporated †		17,870		60,758
Pfenex Incorporated †		5,118		59,369
Pieris Pharmaceuticals Incorporated †		10,106		31,430
Precision BioSciences Incorporated †		11,893		95,263
Prevail Therapeutics Incorporated †		1,116		14,262
Principia Biopharma Incorporated †		2,842		183,480
Protagonist Therapeutics Incorporated †		4,021		31,364
Puma Biotechnology Incorporated †		6,132		65,950
RA Pharmaceuticals Incorporated †		5,911		276,398
Radius Health Incorporated †		8,149		171,618
Rigel Pharmaceuticals Incorporated †		29,151		61,800
Seres Therapeutics Incorporated †		6,646		20,868
Spero Therapeutics Incorporated †		2,169		20,692
Stoke Therapeutics Incorporated †		1,411		34,922
Sutro Biopharma Incorporated †		1,607		15,636
T2 Biosystems Incorporated †		6,779		4,673
TCR2 Therapeutics Incorporated †		1,524		18,105
Trevena Incorporated †		12,840		9,178
Twist Bioscience Corporation †		3,319		101,628
Vanda Pharmaceuticals Incorporated †		9,046		99,777
Veracyte Incorporated †		8,161		201,495
Vericel Corporation †		8,205		126,685
Viela Bio Incorporated †		1,520		66,333
Voyager Therapeutics Incorporated †		5,204		56,724
X4 Pharmaceuticals Incorporated †		2,043		21,819
Xencor Incorporated †		9,456		307,225
XOMA Corporation †		1,169		28,407
				8,575,594
Health Care Equipment & Supplies: 3.08%
Accuray Incorporated †		17,017		50,455
Alphatec Holdings Incorporated †		7,065		41,330
AngioDynamics Incorporated †		6,717		77,178
Antares Pharma Incorporated †		26,827		83,164
Apyx Medical Corporation †		5,223		31,599
Atricure Incorporated †		6,513		250,229
Atrion Corporation		257		158,392
Avanos Medical Incorporated †		9,058		293,570
BioLife Solutions Incorporated †		2,847		40,285
BioSig Technologies Incorporated †		2,895		10,480
Cantel Medical Corporation		6,669		420,814
Cardiovascular Systems Incorporated †		6,177		232,379
Chembio Diagnostics Incorporated †		2,429		10,809
ConforMIS Incorporated †		12,843		10,007
CONMED Corporation		5,095		482,191
CryoLife Incorporated †		6,036		154,703
Cryoport Incorporated †		6,727		112,341
Cutera Incorporated †		2,438		60,414
Endologix Incorporated †		3,031		3,789
Envista Holdings Corporation †		5,335		135,402

The accompanying notes are an integral part of these financial statements.

146  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Health Care Equipment & Supplies (continued)
Fonar Corporation †		1,114	$	22,258
Genmark Diagnostics Incorporated †		9,296		32,443
Heska Corporation †		1,310		125,066
Inogen Incorporated †		3,926		179,732
Integer Holdings Corporation †		5,401		487,008
Intricon Corporation †		1,438		21,397
Invacare Corporation		5,216		39,537
IRadimed Corporation †		833		19,775
Lantheus Holdings Incorporated †		6,789		105,569
LeMaitre Vascular Incorporated		2,888		82,308
Meridian Bioscience Incorporated †		6,958		55,594
Merit Medical Systems Incorporated †		8,925		321,389
Mesa Laboratories Incorporated		664		158,889
Misonix Incorporated †		2,811		38,932
Natus Medical Incorporated †		5,901		158,619
Neuronetics Incorporated †		2,088		6,045
Nevro Corporation †		5,419		705,283
Nuvectra Corporation †		3,897		351
OraSure Technologies Incorporated †		10,821		65,251
Orthofix Medical Incorporated †		3,277		115,809
Orthopediatrics Corporation †		1,420		65,916
Oxford Immunotec Global plc †		4,547		59,929
Quidel Corporation †		6,197		478,656
Repro Med Systems Incorporated †		3,460		28,026
Rockwell Medical Incorporated †		10,373		29,148
RTI Biologics Incorporated †		9,649		35,701
Seaspine Holdings Corporation †		3,269		46,191
SI-BONE Incorporated †		2,585		49,916
SmileDirectClub Incorporated †		13,063		97,711
STAAR Surgical Company †		7,535		236,448
Stereotaxis Incorporated †		6,176		22,542
Surmodics Incorporated †		2,376		82,946
Tactile Systems Technology Class I †		3,060		154,255
TransMedics Group Incorporated †		1,429		22,435
Utah Medical Products Incorporated		616		53,838
Vapotherm Incorporated †		2,422		20,975
Varex Imaging Corporation †		6,422		149,119
Zynex Incorporated †		3,313		43,135
				7,077,673
Health Care Providers & Services: 2.70%
Addus Homecare Corporation †		2,402		183,201
American Renal Associates Holdings †		2,133		17,171
AMN Healthcare Services Incorporated †		8,086		595,130
Apollo Medical Holdings Incorporated †		1,891		33,036
Brookdale Senior Living Incorporated †		33,536		220,332
Capital Senior Living Corporation †		4,203		10,760
Catasys Incorporated †		1,134		17,146
Community Health Systems Incorporated †		18,561		91,506
CorVel Corporation †		1,678		115,681
Covetrus Incorporated †		17,584		195,358
Cross Country Healthcare Incorporated †		6,707		63,582
Ensign Group Incorporated		8,960		398,720
Enzo Biochem Incorporated †		7,642		16,277
Five Star Senior Living Incorporated †		2,776		13,158

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  147

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Health Care Providers & Services (continued)
Fulgent Genetics Incorporated †		1,217	$	18,060
Genesis Healthcare Incorporated †		11,286		18,622
Hanger Incorporated †		6,149		141,857
InfuSystem Holdings Incorporated †		2,461		26,087
LHC Group Incorporated †		5,144		624,790
Magellan Health Services Incorporated †		3,861		231,699
MEDNAX Incorporated †		13,354		228,220
National Healthcare Corporation		2,090		155,099
National Research Corporation Class A		2,313		127,192
Option Care Health Incorporated †		5,156		76,051
Owens & Minor Incorporated		11,160		76,223
Patterson Companies Incorporated		12,524		297,946
PetIQ Incorporated †		3,193		99,302
Premier Incorporated Class A †		10,126		298,008
Providence Service Corporation †		2,054		126,896
R1 RCM Incorporated †		16,626		204,167
RadNet Incorporated †		7,192		146,933
Select Medical Holdings Corporation †		18,488		442,603
Tenet Healthcare Corporation †		15,877		417,248
The Joint Corporation †		2,652		39,329
The Pennant Group Incorporated †		3,196		86,835
Tivity Health Incorporated †		8,765		111,053
U.S. Physical Therapy Incorporated		2,211		230,430
				6,195,708
Health Care Technology: 0.98%
Allscripts Healthcare Solutions Incorporated †		31,986		241,174
Castlight Health Incorporated Class B †		18,564		16,825
Computer Programs & Systems Incorporated		2,092		56,024
Health Catalyst Incorporated †		1,705		51,798
HealthStream Incorporated †		4,812		117,028
HMS Holdings Corporation †		15,745		361,663
iCAD Incorporated †		2,952		39,321
Inovalon Holdings Incorporated Class A †		11,852		230,877
Inspire Medical Systems Incorporated †		3,183		273,324
NextGen Healthcare Incorporated †		9,684		126,667
Omnicell Incorporated †		7,228		588,865
OptimizeRx Corporation †		2,279		19,030
Phreesia Incorporated †		1,619		50,254
Simulations Plus Incorporated		2,171		70,688
				2,243,538
Life Sciences Tools & Services: 0.71%
10x Genomics Incorporated Class A †		2,114		168,486
Chromadex Corporation †		6,510		24,022
Fluidigm Corporation †		9,890		32,835
Harvard Bioscience Incorporated †		5,580		18,079
Luminex Corporation		7,134		176,638
Medpace Holdings Incorporated †		4,556		409,767
Nanostring Technologies Incorporated †		6,352		226,512
Neogenomics Incorporated †		16,831		476,822
Personalis Incorporated †		1,411		12,318
Quanterix Corporation †		3,337		76,117
				1,621,596

The accompanying notes are an integral part of these financial statements.

148  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Pharmaceuticals: 1.40%
Akorn Incorporated †		16,400	$	19,024
Amneal Pharmaceuticals Incorporated †		15,749		60,634
Amphastar Pharmaceuticals Incorporated †		6,297		96,911
ANI Pharmaceuticals Incorporated †		1,657		79,553
Arvinas Incorporated †		2,108		99,350
Assembly Biosciences Incorporated †		2,629		47,637
Assertio Therapeutics Incorporated †		8,194		8,850
Axsome Therapeutics Incorporated †		3,789		295,542
Baudax Bio Incorporated †		1,080		7,538
BioDelivery Sciences International Incorporated †		15,897		77,259
Collegium Pharmaceutical Incorporated †		5,917		140,529
Corcept Therapeutics Incorporated †		17,350		218,957
Dova Pharmaceuticals Incorporated †(a)		2,458		0
Durect Corporation †		37,389		66,179
Endo International plc †		37,907		209,247
Eyepoint Pharmaceuticals Incorporated †		11,348		14,639
Harrow Health Incorporated †		4,041		22,306
Innoviva Incorporated †		10,882		146,581
Intersect ENT Incorporated †		5,519		131,683
Lannett Company Incorporated †		6,192		53,870
Mallinckrodt plc †		15,127		64,744
Menlo Therapeutics Incorporated †		2,192		6,466
Nabriva Therapeutics plc †		13,361		18,037
Neos Therapeutics Incorporated †		9,878		15,212
NGM Biopharmaceuticals Incorporated †		2,740		49,430
Omeros Corporation †		9,013		107,345
Optinose Incorporated †		3,485		21,084
Pacira Pharmaceuticals Incorporated †		7,425		322,097
Phibro Animal Health Corporation Class A		3,556		89,789
Prestige Consumer Healthcare Incorporated †		8,629		322,379
Provention Bio Incorporated †		4,797		57,468
Recro Pharma Incorporated		3,128		44,856
Relmada Therapeutics Incorporated †		1,402		68,390
Siga Technologies Incorporated †		10,036		50,130
Strongbridge Biopharma plc †		7,079		19,609
Supernus Pharmaceuticals Incorporated †		9,352		168,242
				3,221,567
Industrials: 14.22%
Aerospace & Defense: 0.91%
AAR Corporation		5,856		202,325
Aerojet Rocketdyne Holdings †		11,978		590,276
Astronics Corporation †		4,291		86,979
Cubic Corporation		5,005		272,472
Ducommun Incorporated †		1,889		84,344
Maxar Technologies Incorporated		9,325		141,833
Moog Incorporated Class A		5,485		423,003
Park Aerospace Corporation		3,289		45,750
Parsons Corporation †		3,536		138,222
Vectrus Incorporated †		2,034		105,951
				2,091,155

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  149

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Air Freight & Logistics: 0.43%
Air Transport Services Group †		10,984	$	196,614
Atlas Air Worldwide Holdings Incorporated †		4,237		113,213
Echo Global Logistics Incorporated †		4,748		87,601
Forward Air Corporation		4,964		292,926
Hub Group Incorporated Class A †		5,770		266,747
Radiant Logistics Incorporated †		5,843		25,709
				982,810
Airlines: 0.39%
Allegiant Travel Company		2,295		311,064
Hawaiian Holdings Incorporated		8,126		169,671
Mesa Air Group Incorporated †		4,002		23,092
SkyWest Incorporated		8,685		394,299
				898,126
Building Products: 1.47%
American Woodmark Corporation †		2,668		223,498
Apogee Enterprises Incorporated		4,344		131,145
Armstrong Flooring Incorporated †		3,474		9,171
Builders FirstSource Incorporated †		19,913		452,224
Cornerstone Building Brands Incorporated †		8,611		63,291
CSW Industrials Incorporated		2,523		166,114
Gibraltar Industries Incorporated †		5,533		280,357
Griffon Corporation		7,556		131,474
JELD-WEN Holding Incorporated †		11,272		211,914
Patrick Industries Incorporated		3,645		192,565
PGT Incorporated †		9,692		147,028
Quanex Building Products Corporation		5,817		97,726
Resideo Technologies Incorporated †		17,867		192,070
Simpson Manufacturing Company Incorporated		7,260		576,662
Universal Forest Products Incorporated		10,526		493,248
				3,368,487
Commercial Services & Supplies: 2.45%
ABM Industries Incorporated		11,801		388,489
ACCO Brands Corporation		16,671		133,535
Advanced Disposal Services Incorporated †		12,285		406,142
Brady Corporation Class A		8,448		399,928
BrightView Holdings Incorporated †		5,361		75,054
Casella Waste Systems Incorporated Class A †		7,863		380,962
Ceco Environmental Corporation †		4,871		32,879
Covanta Holding Corporation		20,503		273,920
Deluxe Corporation		7,659		255,045
Ennis Incorporated		4,409		88,621
Healthcare Services Group Incorporated		12,931		356,120
Heritage Crystal Clean Incorporated †		2,833		74,593
Herman Miller Incorporated		10,577		362,156
HNI Corporation		7,297		239,561
Interface Incorporated		9,772		142,573
Kimball International Incorporated Class B		6,435		104,118
Knoll Incorporated		8,654		152,657
Matthews International Corporation Class A		5,568		164,590
McGrath RentCorp		4,198		291,551
Pitney Bowes Incorporated		33,891		115,907

The accompanying notes are an integral part of these financial statements.

150  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Commercial Services & Supplies (continued)
Quad Graphics Incorporated		5,386	$	25,853
RR Donnelley & Sons Company		12,705		24,140
SP Plus Corporation †		3,990		145,675
Steelcase Incorporated Class A		14,327		232,384
TEAM Incorporated †		5,296		67,418
UniFirst Corporation		2,621		487,008
Viad Corporation		3,290		165,158
VSE Corporation		1,629		47,974
				5,634,011
Construction & Engineering: 0.90%
Aegion Corporation †		5,299		95,435
Ameresco Incorporated Class A †		3,310		74,607
Arcosa Incorporated		8,264		355,021
Comfort Systems Incorporated		6,580		277,808
Construction Partners Incorporated Class A †		3,752		63,822
Great Lakes Dredge & Dock Company †		10,201		98,950
HC2 Holdings Incorporated †		6,806		25,999
IES Holdings Incorporated †		1,254		29,231
MYR Group Incorporated †		2,950		75,255
Northwest Pipe Company †		1,685		53,162
Nv5 Global Incorporated †		1,703		91,162
Orion Marine Group Incorporated †		4,957		19,481
Primoris Services Corporation		7,705		146,241
Sterling Construction Company Incorporated †		4,796		65,513
Valmont Industries Incorporated		3,659		425,249
WillScot Corporation †		10,338		181,329
				2,078,265
Construction Materials: 0.01%
Alta Equipment Group Incorporated †		2,594		22,853
Electrical Equipment: 0.80%
Allied Motion Technologies		1,308		50,410
American Superconductor Corporation †		3,597		24,639
Atkore International Incorporated †		8,037		296,646
AZZ Incorporated		3,914		144,387
Babcock & Wilcox Enterprises Incorporated †		4,450		18,468
Encore Wire Corporation		3,573		174,970
Enphase Energy Incorporated †		15,983		782,688
LSI Industries Incorporated		3,913		25,982
Powell Industries Incorporated		1,309		43,760
Preformed Line Products Company		401		19,569
Thermon Group Holdings Incorporated †		5,629		98,902
TPI Composites Incorporated †		6,291		149,348
Ultralife Batteries Incorporated †		1,615		11,434
				1,841,203
Industrial Conglomerates: 0.08%
Raven Industries Incorporated		6,206		178,174
Machinery: 3.60%
Alamo Group Incorporated		2,006		222,205
Albany International Corporation Class A		5,497		352,193
Altra Industrial Motion Corporation		10,543		317,555

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  151

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Machinery (continued)
Astec Industries Incorporated		3,600	$	135,180
Blue Bird Corporation †		2,637		47,150
Briggs & Stratton Corporation		7,295		23,125
Columbus McKinnon Corporation		4,135		128,557
Commercial Vehicle Group Incorporated †		5,087		22,179
Douglas Dynamics Incorporated		3,935		171,291
Eastern Company		950		24,197
EnPro Industries Incorporated		3,622		195,407
ESCO Technologies Incorporated		4,367		397,048
Evoqua Water Technologies Company †		12,025		252,164
Federal Signal Corporation		10,579		306,791
Foster Company Class A †		1,478		23,293
Franklin Electric Company Incorporated		6,871		355,162
Gates Industrial Corporation plc †		7,110		74,371
Gencor Industries Incorporated †		1,575		15,829
Gorman Rupp Company		3,025		96,770
Graham Corporation		1,622		26,893
Hillenbrand Incorporated		11,216		262,454
Hurco Companies Incorporated		1,060		29,871
Hyster Yale Materials Handeling Incorporated		1,649		79,383
Kadant Incorporated		1,771		160,842
Lindsay Manufacturing Company		1,829		181,126
Lydall Incorporated †		2,650		31,562
Manitex International Incorporated †		2,527		14,000
Meritor Incorporated †		14,545		330,026
Miller Industries Incorporated		1,936		57,519
Mueller Industries Incorporated		9,471		264,999
Mueller Water Products Incorporated Class A		26,245		287,383
Navistar International Corporation †		8,698		315,824
Omega Flex Incorporated		501		39,228
Park Ohio Holdings Corporation		1,375		33,715
REV Group Incorporated		4,491		35,165
Spartan Motors Incorporated		5,548		81,833
SPX Corporation †		7,118		298,458
SPX FLOW Incorporated †		7,193		264,559
Standex International Corporation		2,081		131,998
Tennant Company		2,826		202,172
Terex Corporation		11,115		244,641
The ExOne Company †		2,035		12,414
The Greenbrier Companies Incorporated		5,257		127,377
The Timken Company		11,132		499,159
Titan International Incorporated		7,786		17,285
Trimas Corporation †		7,794		197,578
Twin Disc Incorporated †		2,106		16,974
Wabash National Corporation		9,280		101,894
Watts Water Technologies Incorporated		4,752		446,260
Welbilt Incorporated †		23,734		313,763
				8,266,822
Marine: 0.13%
Eagle Bulk Shipping Incorporated †		9,117		30,268
Genco Shipping & Trading Limited		2,799		21,496
Matson Incorporated		7,578		251,665
				303,429

The accompanying notes are an integral part of these financial statements.

152  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Professional Services: 0.87%
Barrett Business Services Incorporated		1,244	$	74,516
BG Staffing Incorporated		1,698		26,183
CBIZ Incorporated †		9,260		241,130
CRA International Incorporated		1,247		57,998
Forrester Research Incorporated †		1,776		64,043
Franklin Covey Company †		1,745		54,880
GP Strategies Corporation †		2,123		23,608
Heidrick & Struggles International Incorporated		3,254		72,564
Hill International Incorporated †		7,067		22,261
Huron Consulting Group Incorporated †		3,838		227,747
ICF International Incorporated		3,175		241,237
InnerWorkings Incorporated †		7,298		22,916
Kelly Services Incorporated Class A		5,867		97,451
Kforce Incorporated		3,936		119,891
Mistras Group Incorporated †		2,947		23,134
Resources Connection Incorporated		5,236		65,607
TriNet Group Incorporated †		7,574		400,362
TrueBlue Incorporated †		6,826		101,571
Willdan Group Incorporated †		1,793		55,135
				1,992,234
Road & Rail: 0.58%
Arcbest Corporation		4,397		87,105
Covenant Transport Incorporated Class A †		2,169		26,245
Daseke Incorporated †		7,014		23,146
Heartland Express Incorporated		8,177		146,450
Marten Transport Limited		6,816		133,185
P.A.M. Transportation Services Incorporated †		263		10,417
Saia Incorporated †		4,495		392,458
Schneider National Incorporated Class B		10,163		182,019
Universal Truckload Services		2,121		32,685
US Xpress Enterprises Incorporated Class A †		3,629		15,641
USA Truck Incorporated †		1,353		6,785
Werner Enterprises Incorporated		7,617		255,931
YRC Worldwide Incorporated †		7,494		15,887
				1,327,954
Trading Companies & Distributors: 1.60%
Aircastle Limited		9,125		290,631
Applied Industrial Technologies Incorporated		6,484		382,491
Beacon Roofing Supply Incorporated †		11,045		328,037
Bluelinx Holdings Incorporated †		1,419		16,673
BMC Stock Holdings Incorporated †		11,651		285,799
CAI International Incorporated †		2,660		65,808
DXP Enterprises Incorporated †		2,768		78,584
EVI Industries Incorporated †		654		14,434
Foundation Building Material †		3,844		59,966
General Finance Corporation †		2,531		19,716
GMS Incorporated †		8,063		184,240
H&E Equipment Services Incorporated		5,605		133,175
Houston Wire & Cable Company †		2,722		8,738
Kaman Corporation		4,582		254,118
Lawson Products Incorporated †		754		30,160
NOW Incorporated †		18,434		162,772
Rush Enterprises Incorporated		4,561		191,197

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  153

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Trading Companies & Distributors (continued)
SiteOne Landscape Supply Incorporated †		7,215	$	716,089
Systemax Incorporated		2,331		48,625
Titan Machinery Incorporated †		3,206		32,413
Transcat Incorporated †		1,205		34,812
Veritiv Corporation †		2,442		29,402
WESCO International Incorporated †		6,771		274,699
Willis Lease Finance Corporation †		450		25,515
				3,668,094
Information Technology: 12.44%
Communications Equipment: 1.28%
Acacia Communications Incorporated †		6,374		436,683
ADTRAN Incorporated		8,281		66,621
Calamp Corporation †		5,386		51,813
Calix Networks Incorporated †		7,999		71,991
Casa Systems Incorporated †		4,784		15,692
Clearfield Incorporated †		1,960		21,011
CommScope Holdings Incorporated †		33,355		367,239
Comtech Telecommunications Corporation		4,508		126,314
Dasan Zhone Solutions Incorporated †		2,084		15,901
Digi International Incorporated †		4,998		66,174
Echostar Corporation		8,931		311,871
Emcore Corporation †		4,685		13,914
Extreme Networks Incorporated †		21,641		108,854
Genasys Incorporated †		5,739		17,217
Harmonic Incorporated †		14,018		86,071
Infinera Corporation †		30,646		208,393
Inseego Corporation †		6,642		46,095
KVH Industries Incorporated †		2,722		28,363
NETGEAR Incorporated †		5,326		100,502
NetScout Systems Incorporated †		13,380		343,866
PCTEL Incorporated		3,078		21,608
Plantronics Incorporated		5,878		80,705
Ribbon Communications Incorporated †		10,206		32,965
Tessco Technologies Incorporated		1,118		6,697
Ubiquiti Incorporated		2,179		295,603
				2,942,163
Electronic Equipment, Instruments & Components: 2.01%
Airgain Incorporated †		1,435		11,322
Anixter International Incorporated †		4,960		483,650
Badger Meter Incorporated		4,944		297,678
Bel Fuse Incorporated Class B		1,425		16,302
Benchmark Electronics Incorporated		6,348		172,539
CTS Corporation		5,372		140,048
Daktronics Incorporated		6,516		32,059
ePlus Incorporated †		2,322		175,915
Insight Enterprises Incorporated †		6,003		330,705
Iteris Incorporated †		6,588		31,820
Itron Incorporated †		6,161		467,250
Kemet Corporation		9,479		247,212
Kimball Electronics Incorporated †		4,268		57,831
Luna Innovations Incorporated †		4,002		26,813
Methode Electronics Incorporated		5,766		176,786

The accompanying notes are an integral part of these financial statements.

154  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Electronic Equipment, Instruments & Components (continued)
MTS Systems Corporation		3,206	$	128,689
Napco Security Technologies Incorporated †		2,110		42,917
OSI Systems Incorporated †		3,002		243,973
Par Technology Corporation †		2,083		55,179
PC Connection Incorporated		1,780		72,393
Plexus Corporation †		4,871		323,191
Sanmina Corporation †		11,407		299,890
ScanSource Incorporated †		4,109		116,819
TTM Technologies Incorporated †		16,682		216,699
Vishay Intertechnology Incorporated		21,689		405,584
Vishay Precision Group †		1,832		50,325
				4,623,589
IT Services: 1.58%
Brightcove Incorporated †		6,724		52,313
Cardtronics Incorporated Class A †		6,815		247,180
Cass Information Systems Incorporated		2,359		110,755
CSG Systems International Incorporated		5,994		265,235
EVO Payments Incorporated Class A †		6,837		172,839
ExlService Holdings Incorporated †		5,842		436,105
GreenSky Incorporated Class A †		9,713		77,510
Hackett Group Incorporated		4,286		66,004
I3 Verticals Incorporated Class A †		1,778		51,526
Information Services Group Incorporated †		6,871		21,781
International Money Express †		3,823		36,013
ManTech International Corporation Class A		4,741		355,101
Moneygram International Incorporated †		6,762		14,606
NIC Incorporated		11,779		215,438
PaySign Incorporated †		3,782		30,369
Perficient Incorporated †		5,378		220,337
PRGX Global Incorporated †		3,511		12,675
ServiceSource International Incorporated †		14,120		19,909
StarTek Incorporated †		2,144		13,357
Switch Incorporated Class A		12,755		182,907
Sykes Enterprises Incorporated †		6,711		212,604
TTEC Holdings Incorporated		3,104		116,183
Unisys Corporation †		10,478		162,723
Verra Mobility Corporation †		20,553		311,275
Virtusa Corporation †		4,840		213,492
				3,618,237
Semiconductors & Semiconductor Equipment: 1.92%
Acm Research Incorporated Class A †		1,463		51,132
Adesto Technologies Corporation †		4,347		53,294
Advanced Energy Industries Incorporated †		6,051		359,883
Alpha & Omega Semiconductor †		3,118		33,799
Amkor Technology Incorporated †		10,138		105,790
Axcelis Technologies Incorporated †		4,971		119,254
AXT Incorporated †		5,645		19,645
Cirrus Logic Incorporated †		9,463		649,540
Cyberoptics Corporation †		1,150		24,426
Diodes Incorporated †		6,399		281,620
DSP Group Incorporated †		3,221		43,838
Everspin Technologies Incorporated †		2,261		8,366
FormFactor Incorporated †		11,956		267,456

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  155

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Semiconductors & Semiconductor Equipment (continued)
GSI Technology Incorporated †		2,920	$	19,447
Ichor Holdings Limited †		3,670		106,136
Lattice Semiconductor Corporation †		21,239		381,240
NVE Corporation		796		50,363
Onto Innovation Incorporated †		8,261		252,539
PDF Solutions Incorporated †		4,659		68,208
Photronics Incorporated †		8,327		103,671
Pixelworks Incorporated †		6,056		25,799
Power Integrations Incorporated		4,789		416,882
Rambus Incorporated †		18,717		261,664
Smart Global Holdings Incorporated †		2,195		58,914
Synaptics Incorporated †		5,517		364,398
Ultra Clean Holdings Incorporated †		6,108		127,718
Xperi Corporation		8,414		144,637
				4,399,659
Software: 5.58%
A10 Networks Incorporated †		8,911		59,793
Agilysys Incorporated †		3,683		118,335
Alarm.com Holdings Incorporated †		6,566		316,810
Altair Engineering Incorporated Class A †		6,167		214,612
American Software Incorporated Class A		5,253		86,412
AppFolio Incorporated Class A †		2,913		358,212
Appian Corporation †		6,036		266,489
Asure Software Incorporated †		2,236		18,849
Avaya Holdings Corporation †		22,118		286,649
Cerence Incorporated †		6,696		145,370
ChannelAdvisor Corporation †		4,657		44,335
Cloudflare Incorporated Class A †		13,533		288,253
CommVault Systems Incorporated †		8,090		337,353
Crowdstrike Holdings Incorporated Class A †		4,472		266,710
Datadog Incorporated Class A †		5,230		236,135
Digimarc Corporation †		1,894		37,880
Digital Turbine Incorporated †		13,859		84,956
Domo Incorporated Class B †		3,280		69,175
Ebix Incorporated		4,322		114,274
Egain Corporation †		3,402		27,488
Envestnet Incorporated †		8,782		662,865
Five9 Incorporated †		10,900		796,027
GlobalSCAPE Incorporated		2,063		18,093
GTY Technology Holdings Incorporated †		6,056		32,581
Instructure Incorporated †		6,624		322,986
Intelligent Systems Corporation †		579		21,232
LivePerson Incorporated †		11,438		302,649
MicroStrategy Incorporated Class A †		1,474		199,226
Mitek Systems Incorporated †		6,607		57,547
MobileIron Incorporated †		17,249		69,858
Model N Incorporated †		4,645		134,705
OneSpan Incorporated †		6,207		102,478
Park City Group Incorporated †		2,196		11,287
Paylocity Holding Corporation †		6,243		808,593
Pegasystems Incorporated		6,996		633,138
Ping Identity Holding Corporation †		2,698		62,432
Progress Software Corporation		7,906		294,815
PROS Holdings Incorporated †		6,688		306,244

The accompanying notes are an integral part of these financial statements.

156  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Software (continued)
Q2 Holdings Incorporated †		8,331	$	627,907
Qad Incorporated Class A		2,131		104,526
Qualys Incorporated †		5,998		480,920
Rosetta Stone Incorporated †		3,488		60,238
Seachange International Incorporated †		4,041		14,790
Secureworks Corporation Class A †		1,043		14,487
SharpSpring Incorporated †		2,026		23,096
Shotspotter Incorporated †		1,187		42,257
Smith Micro Software Incorporated †		5,022		26,918
SPS Commerce Incorporated †		6,176		324,858
SVMK Incorporated †		17,935		326,955
Synchronoss Technologies Incorporated †		7,422		36,516
Telaria Incorporated †		7,043		86,065
TeleNav Incorporated †		6,746		40,240
Tivo Corporation		19,875		150,454
Upland Software Incorporated †		3,992		155,329
Varonis Systems Incorporated †		5,361		430,059
Workiva Incorporated †		5,843		249,730
Yext Incorporated †		18,988		287,858
Zix Corporation †		10,666		84,048
Zoom Video Communications Incorporated †		9,846		1,033,799
				12,815,896
Technology Hardware, Storage & Peripherals: 0.07%
Astronova Incorporated		1,288		13,988
Avid Technology Incorporated †		6,252		46,202
Diebold Nixdorf Incorporated †		10,208		71,660
Intevac Incorporated †		3,586		20,082
Transact Technologies Incorporated		1,135		11,327
				163,259
Materials: 3.91%
Chemicals: 1.99%
Advanced Emissions Solutions		2,812		24,999
Advansix Incorporated †		4,866		70,703
Agrofresh Solutions Incorporated †		4,955		10,851
American Vanguard Corporation		4,426		67,497
Balchem Corporation		5,491		518,680
Cabot Corporation		8,849		330,776
Chase Corporation		1,174		104,239
Flotek Industries Incorporated †		8,833		13,956
Futurefuel Corporation		4,414		44,890
GCP Applied Technologies Incorporated †		10,429		203,053
Hawkins Incorporated		1,547		55,305
HB Fuller Company		8,614		337,927
Innospec Incorporated		4,177		361,478
Intrepid Potash Incorporated Intrepid Potash Inc †		16,558		29,308
Kooper Holdings Incorporated †		3,320		72,575
Kraton Performance Polymers Incorporated †		4,999		50,590
Kronos Worldwide Incorporated		3,987		39,830
Minerals Technologies Incorporated		5,871		263,432
Northern Technologies International		1,197		13,718
Omnova Solutions Incorporated †		7,715		77,999
PolyOne Corporation		13,393		331,611

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  157

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Chemicals (continued)
PQ Group Holdings Incorporated †		6,726	$	89,254
Rayonier Advanced Materials		11,051		27,075
Sensient Technologies Corporation		7,398		363,834
Stepan Company		3,476		305,297
The Chemours Company		25,808		383,507
Trecora Resources †		3,718		21,007
Tredegar Corporation		4,918		83,901
Trinseo SA		6,856		150,009
Tronox Holdings plc Class A		15,295		112,265
				4,559,566
Construction Materials: 0.07%
Forterra Incorporated †		3,423		46,347
United States Lime & Mineral		417		33,589
US Concrete Incorporated †		2,881		77,326
				157,262
Containers & Packaging: 0.43%
Ardagh Group SA		3,083		54,045
Greif Incorporated Class A		4,312		152,386
Myers Industries Incorporated		4,827		65,502
O-I Glass Incorporated		22,987		248,260
Ranpak Holdings Corporation †		2,666		22,154
Silgan Holdings Incorporated		13,781		394,550
UFP Technologies Incorporated †		1,172		57,815
				994,712
Metals & Mining: 0.95%
AK Steel Holding Corporation †		42,169		97,410
Coeur D’alene Mines Corporation †		36,536		151,990
Commercial Metals Company		18,965		346,301
Compass Minerals International Incorporated		5,639		307,607
Gold Resource Corporation		9,471		38,073
Haynes International Incorporated		2,078		52,594
Kaiser Aluminum Corporation		2,627		248,383
Materion Corporation		3,426		155,335
Mayville Engineering Company Incorporated †		1,085		7,910
Olympic Steel Incorporated		1,479		17,822
Ryerson Holding Corporation †		2,451		20,417
Schnitzer Steel Industries Incorporated Class A		4,268		70,337
Suncoke Energy Incorporated		13,788		63,563
Synalloy Corporation †		1,514		17,335
United States Steel Corporation		26,886		215,626
Universal Stainless & Alloy †		1,510		17,290
Warrior Met Coal Incorporated		8,925		158,151
Worthington Industries Incorporated		6,075		193,185
				2,179,329
Paper & Forest Products: 0.47%
Boise Cascade Company		6,770		240,200
Domtar Corporation		10,486		301,682
Neenah Incorporated		2,941		169,902
PH Glatfelter Company		7,334		104,583

The accompanying notes are an integral part of these financial statements.

158  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Paper & Forest Products (continued)
Schweitzer-Mauduit International Incorporated		5,264	$	177,502
Verso Corporation Class A †		5,741		93,636
				1,087,505
Real Estate: 9.34%
Equity REITs: 8.41%
Acadia Realty Trust		15,963		364,595
Agree Realty Corporation		7,819		561,561
Alexander & Baldwin Incorporated		12,431		233,703
Alexander’s Incorporated		390		121,290
American Assets Trust Incorporated		8,461		350,708
American Finance Trust Incorporated		20,253		210,631
Armada Hoffler Properties Incorporated		9,007		150,957
Ashford Hospitality Trust Incorporated		17,915		38,696
Bluerock Residential Growth REIT Incorporated		4,085		42,443
Braemar Hotels & Resorts Incorporated REIT		5,870		43,203
Brandywine Realty Trust		32,934		447,244
Brookfield Property REIT Class A		12,958		211,345
BRT Apartments Corporation REIT		1,750		27,300
CareTrust REIT Incorporated		17,341		361,907
CBL & Associates Properties Incorporated		43,633		23,160
Cedar Shopping Centers Incorporated		15,577		40,344
Chatham Lodging Trust		8,276		115,367
CIM Commercial Trust Corporation REIT		2,014		28,277
Clipper Realty Incorporated		2,265		25,527
Colony Capital Incorporated		90,444		358,158
Columbia Property Trust Incorporated		21,536		406,169
Community Healthcare Trust Incorporated		3,441		163,895
CoreCivic Incorporated		20,653		305,871
CorEnergy Infrastructure Trust Incorporated		2,293		80,026
CorePoint Lodging Incorporated		6,830		54,367
DiamondRock Hospitality		34,456		314,239
Diversified Healthcare Trust		41,205		259,179
Easterly Government Properties Incorporated		13,098		311,339
Empire State Realty Trust Incorporated Class A		32,480		380,016
Essential Properties Realty		14,429		330,568
Farmland Partners REIT Incorporated		4,918		29,065
Four Corners Property Trust Incorporated		12,765		366,228
Franklin Street Properties Corporation		19,624		139,919
Front Yard Residential Corporation REIT		7,781		98,663
Getty Realty Corporation		6,175		175,000
Gladstone Commercial Corporation		5,509		103,955
Gladstone Land REIT Corporation		3,196		42,922
Global Medical REIT Incorporated		6,077		84,896
Global Net Lease Incorporated		15,372		283,613
Hannon Armstrong Sustainable		10,816		367,203
Hersha Hospitality Trust		6,786		78,243
Independence Realty Trust Incorporated		17,186		227,886
Industrial Logistics Properties Trust		12,214		252,341
Innovative Industrial Properties Incorporated		2,036		187,190
Investors Real Estate Trust REIT		2,187		154,074
iStar Financial Incorporated		9,844		148,940
Jernigan Capital Incorporated		3,647		65,354
Kite Realty Group Trust		16,235		262,195

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  159

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Equity REITs (continued)
Lexington Corporate Properties Trust		45,488	$	471,711
LTC Properties Incorporated		7,328		328,514
Mack-Cali Realty Corporation		15,506		294,304
MGM Growth Properties LLC Class A		17,561		504,001
Monmouth Real Estate Investment Corporation		16,526		234,669
National Storage Affiliates Trust		10,774		363,515
New Senior Investment Group Incorporated		15,070		91,475
New York REIT Liquidating LLC †(a)‡		4,209		61,417
NexPoint Residential Trust Incorporated		2,621		116,635
Office Properties Income Trust		8,519		248,158
One Liberty Properties Incorporated		2,717		65,480
Paramount Group Incorporated		37,346		453,754
Piedmont Office Realty Trust Incorporated Class A		22,774		491,691
Plymouth Industrial Incorporated		2,337		43,865
PotlatchDeltic Corporation		11,650		428,021
Preferred Apartment Communities Incorporated Class A		8,129		77,551
QTS Realty Trust Incorporated Class A		10,029		563,329
Retail Opportunity Investment Corporation		21,067		316,005
Retail Properties of America Incorporated Class A		40,854		427,741
Retail Value Incorporated		2,834		78,757
RPT Realty		14,090		182,606
Safehold Incorporated REIT		2,066		112,845
Saul Centers Incorporated		2,431		104,557
Seritage Growth Property Class A		6,469		222,404
SITE Centers Corporation		30,131		346,808
Sotherly Hotels Incorporated REIT		2,175		11,158
Spirit MTA REIT (a)		6,981		0
Summit Hotel Properties Incorporated		18,467		171,189
Tanger Factory Outlet Centers Incorporated		16,242		194,579
Taubman Centers Incorporated		11,211		583,645
The Geo Group Incorporated		20,522		300,442
UMH Properties Incorporated		6,217		90,209
Uniti Group Incorporated		29,140		284,406
Universal Health Realty Income Trust		2,346		252,711
Urban Edge Properties		22,253		360,499
Urstadt Biddle Properties Incorporated		5,371		110,696
Washington Prime Group Incorporated		37,498		103,120
Washington REIT		14,726		395,393
Whitestone REIT		7,097		87,222
Xenia Hotels & Resorts Incorporated		20,111		300,861
				19,305,715
Real Estate Management & Development: 0.93%
Altisource Portfolio Solutions SA †		844		13,411
Consolidated-Tomoka Land Company		841		48,366
Cushman & Wakefield plc †		14,318		260,444
eXp World Holdings Incorporated †		3,734		35,697
Forestar Group Incorporated †		3,056		54,672
FRP Holdings Incorporated †		1,068		48,306
Kennedy Wilson Holdings Incorporated		22,198		448,622
Marcus & Millichap Incorporated †		4,079		130,365
Newmark Group Incorporated Class A		25,350		242,093
RE/MAX Holdings Incorporated Class A		2,918		85,060
Realogy Holdings Corporation		19,377		179,625
Redfin Corporation †		12,314		333,217

The accompanying notes are an integral part of these financial statements.

160  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

	Shares		Value
Real Estate Management & Development (continued)
Stratus Properties Incorporated †		1,079	$	30,924
The RMR Group Incorporated Class A		2,813		104,812
The St. Joe Company †		6,147		120,911
				2,136,525
Utilities: 3.01%
Electric Utilities: 0.78%
Avangrid Incorporated		9,797		486,813
El Paso Electric Company		7,177		487,103
Genie Energy Limited Class B		2,672		18,490
MGE Energy Incorporated		6,171		440,239
Otter Tail Corporation		6,882		334,534
Spark Energy Incorporated Class A		2,212		18,935
				1,786,114
Gas Utilities: 0.49%
Chesapeake Utilities Corporation		2,711		231,791
Northwest Natural Holding Company		5,310		349,239
RGC Resources Incorporated		1,316		36,124
South Jersey Industries Incorporated		16,440		444,702
Star Group LP		7,747		69,568
				1,131,424
Independent Power & Renewable Electricity Producers: 0.92%
Clearway Energy Incorporated Class C		13,181		277,328
Nextera Energy Partners LP		9,812		565,858
Ormat Technologies Incorporated		7,190		500,999
Pattern Energy Group Incorporated		17,274		467,262
Terraform Power Incorporated Class A		15,841		297,652
				2,109,099
Multi-Utilities: 0.30%
Avista Corporation		11,561		545,101
Unitil Corporation		2,567		144,625
				689,726
Water Utilities: 0.52%
Aquaventure Holdings Limited †		3,322		89,827
Artesian Resources Corporation Class A		1,414		48,543
California Water Service Group		8,674		416,005
Global Water Resources Incorporated		1,707		20,399
Middlesex Water Company		2,824		167,943
Pure Cycle Corporation †		3,501		43,307
SJW Corporation		5,051		309,020
York Water Company		2,233		94,434
				1,189,478
Total Common Stocks (Cost $224,512,698)				220,800,510

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  161

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

				Expiration date		Shares		Value
Rights: 0.00%
Financials: 0.00%
Diversified Financial Services: 0.00%
Schulman Incorporated Class A †(a)‡					8-22-2028		6,818	$	0
Thrifts & Mortgage Finance: 0.00%
NewStar Financial Incorporated †(a)					12-26-2027		9,129		0
Health Care: 0.00%
Pharmaceuticals: 0.00%
Corium International Incorporated †(a)‡					3-31-2020		6,709		1,208
Elanco Animal Health Incorporated †(a)					12-31-2021		8,956		0
Spero Therapeutics Incorporated †(a)					12-31-2099		329		178
Total Rights (Cost $6,589)									1,386
Warrants: 0.00%
Energy: 0.00%
Energy Equipment & Services: 0.00%
Parker Drilling Company †(a)					9-16-2024		373		0
Oil, Gas & Consumable Fuels: 0.00%
Battalion Oil Corporation †(a)					10-8-2022		300		0
Battalion Oil Corporation †(a)					10-8-2022		482		0
Battalion Oil Corporation †(a)					10-8-2022		375		0
Total Warrants (Cost $0)									0
	Yield
Short-Term Investments: 2.99%
Investment Companies: 2.99%
Wells Fargo Government Money Market Fund Select Class (l)(u)		1.52	%				6,867,519		6,867,519
Total Short-Term Investments (Cost $6,867,519)									6,867,519

Total investments in securities (Cost $231,386,806)	99.17	%		227,669,415
Other assets and liabilities, net	0.83			1,897,830
Total net assets	100.00	%	$	229,567,245

† Non-income-earning security

(a) The security is fair valued in accordance with procedures approved by the Board of Trustees.

‡ Security is valued using significant unobservable inputs.

(l) The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

(u) The rate represents the 7-day annualized yield at period end.

Abbreviations:

REIT Real estate investment trust

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost		Notional value		Unrealized gains		Unrealized losses
Long
E-Mini Russell 2000 Index		119		3-20-2020	$	9,805,906	$	8,775,655	$	0	$	(1,030,251	)

The accompanying notes are an integral part of these financial statements.

162  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

FACTOR ENHANCED SMALL CAP PORTFOLIO

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Shares, beginning of period		Shares purchased		Shares sold			Shares, end of period		Net realized gains (losses)		Net change in unrealized gains (losses)		Income from affiliated securities		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		10,752,908		62,327,762		(66,213,151	)		6,867,519	$	0	$	0	$	185,648	$	6,867,519		2.99	%

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  163

Portfolio of investments—February 29, 2020

HIGH YIELD CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Corporate Bonds and Notes: 79.87%
Communication Services: 13.57%
Diversified Telecommunication Services: 2.85%
CenturyLink Incorporated		5.80	%		3-15-2022	$	240,000	$	251,700
CenturyLink Incorporated		6.75			12-1-2023		330,000		362,904
Frontier Communications Corporation 144A		8.50			4-1-2026		200,000		202,500
Hughes Satellite Systems Company		7.63			6-15-2021		300,000		315,918
Level 3 Financing Incorporated		5.38			1-15-2024		200,000		199,504
Zayo Group LLC		6.00			4-1-2023		200,000		204,250
									1,536,776
Entertainment: 0.87%
AMC Entertainment Holdings Incorporated		5.88			11-15-2026		300,000		240,000
Netflix Incorporated		4.88			4-15-2028		220,000		231,596
									471,596
Interactive Media & Services: 0.35%
Rackspace Hosting Company 144A		8.63			11-15-2024		200,000		191,500
Media: 8.17%
AMC Networks Incorporated		4.75			8-1-2025		300,000		299,010
CCO Holdings LLC 144A		5.13			5-1-2027		230,000		239,131
CCO Holdings LLC 144A		5.88			5-1-2027		300,000		313,232
Clear Channel Worldwide Holdings Incorporated 144A		9.25			2-15-2024		255,000		270,938
CSC Holdings LLC 144A		5.50			4-15-2027		200,000		210,500
Diamond Sports Group LLC 144A		5.38			8-15-2026		380,000		350,368
DISH DBS Corporation		5.88			7-15-2022		200,000		208,690
DISH DBS Corporation		5.88			11-15-2024		400,000		410,292
Gray Television Incorporated 144A		5.88			7-15-2026		200,000		205,690
iHeartCommunications Incorporated		6.38			5-1-2026		340,000		365,398
Lamar Media Corporation		5.00			5-1-2023		200,000		201,500
Meredith Corporation		6.88			2-1-2026		200,000		200,540
Neptune Finco Corporation 144A		10.88			10-15-2025		200,000		219,440
Nexstar Broadcasting Incorporated 144A		5.63			7-15-2027		200,000		207,010
Outfront Media Capital Corporation 144A		4.63			3-15-2030		200,000		200,558
Sirius XM Radio Incorporated 144A		5.00			8-1-2027		300,000		313,875
Univision Communications Incorporated 144A		5.13			5-15-2023		200,000		193,500
									4,409,672
Wireless Telecommunication Services: 1.33%
Connect U.S. Finco LLC 144A		6.75			10-1-2026		200,000		203,500
Sprint Corporation		7.25			9-15-2021		200,000		212,270
T-Mobile USA Incorporated		4.50			2-1-2026		300,000		304,035
									719,805
Consumer Discretionary: 11.90%
Auto Components: 1.20%
American Axle & Manufacturing Incorporated		6.25			3-15-2026		210,000		202,020
Goodyear Tire & Rubber Company		5.13			11-15-2023		200,000		198,440
Panther BF Aggregator 2 LP 144A		6.25			5-15-2026		240,000		246,528
									646,988

The accompanying notes are an integral part of these financial statements.

164  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

HIGH YIELD CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Automobiles: 0.37%
Tesla Incorporated 144A		5.30	%		8-15-2025	$	200,000	$	200,000
Diversified Consumer Services: 0.89%
Prime Security Services Borrower LLC 144A		5.25			4-15-2024		260,000		269,100
Service Corporation International		4.63			12-15-2027		200,000		209,500
									478,600
Hotels, Restaurants & Leisure: 3.70%
Caesars Resort Collection LLC 144A		5.25			10-15-2025		200,000		196,404
Eldorado Resorts Incorporated		6.00			4-1-2025		200,000		209,000
Golden Nugget Incorporated 144A		6.75			10-15-2024		300,000		294,660
Hilton Worldwide Finance LLC		4.63			4-1-2025		200,000		200,750
KFC Holding Company 144A		5.00			6-1-2024		300,000		302,364
MGM Resorts International		4.63			9-1-2026		200,000		208,000
Scientific Games International Incorporated 144A		7.25			11-15-2029		200,000		194,760
Six Flags Entertainment Company 144A		4.88			7-31-2024		200,000		197,400
Wynn Las Vegas LLC 144A		5.50			3-1-2025		200,000		196,250
									1,999,588
Household Durables: 2.26%
Hovnanian Enterprises Incorporated 144A		10.00			7-15-2022		200,000		174,000
Lennar Corporation		4.50			4-30-2024		300,000		318,624
Newell Brands Incorporated		3.85			4-1-2023		290,000		301,500
PulteGroup Incorporated		5.50			3-1-2026		200,000		220,400
Toll Brothers Finance Corporation		4.38			4-15-2023		200,000		208,000
									1,222,524
Leisure Products: 0.39%
Mattel Incorporated 144A		6.75			12-31-2025		200,000		210,190
Multiline Retail: 0.47%
J.C. Penney Corporation Incorporated 144A		5.88			7-1-2023		300,000		251,256
Specialty Retail: 1.87%
ABC Supply Company Incorporated 144A		4.00			1-15-2028		200,000		195,250
L Brands Incorporated		5.63			2-15-2022		200,000		209,520
L Brands Incorporated		6.75			7-1-2036		200,000		202,500
PetSmart Incorporated 144A		7.13			3-15-2023		200,000		195,500
Staples Incorporated 144A		7.50			4-15-2026		210,000		208,625
									1,011,395
Textiles, Apparel & Luxury Goods: 0.75%
HanesBrands Incorporated 144A		4.63			5-15-2024		200,000		209,000
Wolverine Escrow LLC 144A		8.50			11-15-2024		200,000		195,040
									404,040
Consumer Staples: 4.24%
Food & Staples Retailing: 1.72%
Albertsons Companies LLC 144A		7.50			3-15-2026		200,000		222,250
Aramark Services Incorporated		4.75			6-1-2026		300,000		310,500
Performance Food Group Company 144A		5.50			10-15-2027		200,000		210,750
Rite Aid Corporation 144A		6.13			4-1-2023		200,000		183,250
									926,750

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  165

Portfolio of investments—February 29, 2020

HIGH YIELD CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Food Products: 2.14%
B&G Foods Incorporated		5.25	%		9-15-2027	$	200,000	$	198,000
JBS USA Finance Incorporated 144A		5.75			6-15-2025		300,000		307,125
Lamb Weston Holdings Incorporated 144A		4.88			11-1-2026		200,000		207,510
Pilgrim’s Pride Corporation 144A		5.88			9-30-2027		200,000		207,260
Post Holdings Incorporated 144A		5.50			12-15-2029		230,000		238,625
									1,158,520
Household Products: 0.38%
Energizer Holdings Incorporated 144A		5.50			6-15-2025		200,000		202,960
Energy: 10.65%
Energy Equipment & Services: 1.20%
Diamond Offshore Drilling Incorporated		5.70			10-15-2039		300,000		129,939
Hilcorp Energy Company 144A		5.75			10-1-2025		200,000		160,000
SESI LLC		7.13			12-15-2021		200,000		162,600
USA Compression Partners LP		6.88			4-1-2026		200,000		193,520
									646,059
Oil, Gas & Consumable Fuels: 9.45%
Antero Midstream Partners LP 144A		5.75			1-15-2028		200,000		137,290
Antero Resources Corporation		5.13			12-1-2022		200,000		124,500
Ascent Resources Utica Holdings LLC 144A		10.00			4-1-2022		195,000		166,183
Buckeye Partners LP		5.85			11-15-2043		200,000		184,000
California Resources Corporation 144A		8.00			12-15-2022		200,000		46,000
Cheniere Energy Partners LP		5.25			10-1-2025		200,000		200,504
Chesapeake Energy Corporation		7.00			10-1-2024		300,000		105,000
Crestwood Midstream Partners LP		6.25			4-1-2023		200,000		190,040
CrownRock LP 144A		5.63			10-15-2025		200,000		192,500
DCP Midstream Operating LP		3.88			3-15-2023		200,000		199,100
DCP Midstream Operating LP (3 Month LIBOR +3.85%) 144A±		5.85			5-21-2043		200,000		180,000
Denbury Resources Incorporated 144A		9.00			5-15-2021		200,000		175,000
EnLink Midstream Partners LP		5.45			6-1-2047		350,000		253,645
EQT Corporation		7.00			2-1-2030		250,000		186,250
Extraction Oil & Gas Incorporated 144A		5.63			2-1-2026		200,000		70,000
Murphy Oil Corporation		6.88			8-15-2024		200,000		199,480
Nabors Industries Incorporated		5.75			2-1-2025		200,000		143,500
NGL Enrgy Partners LP		7.50			11-1-2023		200,000		185,040
Oasis Petroleum Incorporated		6.88			3-15-2022		190,000		149,150
Peabody Energy Corporation 144A		6.38			3-31-2025		200,000		137,500
QEP Resources Incorporated		5.25			5-1-2023		200,000		177,040
Range Resources Corporation		4.88			5-15-2025		200,000		126,440
SM Energy Company		6.75			9-15-2026		200,000		158,000
Southwestern Energy Company		7.75			10-1-2027		200,000		151,500
Sunoco LP		4.88			1-15-2023		210,000		209,374
Tallgrass Energy Partners LP 144A		5.50			1-15-2028		200,000		178,040
Targa Resources Partners LP		4.25			11-15-2023		200,000		198,100
Targa Resources Partners LP		5.13			2-1-2025		200,000		200,754
Transocean Incorporated		6.80			3-15-2038		300,000		163,500
Whiting Petroleum Corporation		5.75			3-15-2021		200,000		115,000
WPX Energy Incorporated		5.25			9-15-2024		200,000		201,000
									5,103,430
Financials: 7.20%
Banks: 0.39%
CIT Group Incorporated		5.00			8-1-2023		200,000		213,500

The accompanying notes are an integral part of these financial statements.

166  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

HIGH YIELD CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Capital Markets: 0.50%
MSCI Incorporated 144A		4.75	%		8-1-2026	$	260,000	$	270,000
Consumer Finance: 2.69%
Navient Corporation		5.88			10-25-2024		200,000		205,004
Navient Corporation		6.63			7-26-2021		200,000		205,904
Navient Corporation		6.75			6-25-2025		200,000		211,000
Quicken Loans Incorporated 144A		5.25			1-15-2028		200,000		206,940
Springleaf Finance Corporation		6.13			5-15-2022		200,000		210,824
Springleaf Finance Corporation		7.13			3-15-2026		370,000		410,697
									1,450,369
Diversified Financial Services: 1.35%
Harland Clarke Holdings 144A		9.25			3-1-2021		200,000		200,000
Hilton Domestic Operating Company		4.25			9-1-2024		200,000		200,666
Refinitiv U.S. Holdings Company 144A		8.25			11-15-2026		300,000		330,300
									730,966
Insurance: 1.12%
Acrisure LLC 144A		7.00			11-15-2025		200,000		195,440
Genworth Holdings Incorporated		7.63			9-24-2021		200,000		205,364
HUB International Limited 144A		7.00			5-1-2026		200,000		201,990
									602,794
Mortgage REITs: 0.75%
Realogy Group LLC 144A		9.38			4-1-2027		200,000		205,000
Starwood Property Trust Incorporated		5.00			12-15-2021		200,000		197,754
									402,754
Thrifts & Mortgage Finance: 0.40%
Nationstar Mortgage Holdings Incorporated 144A		9.13			7-15-2026		200,000		216,604
Health Care: 6.52%
Health Care Equipment & Supplies: 0.38%
Hologic Incorporated 144A		4.38			10-15-2025		200,000		203,690
Health Care Providers & Services: 5.27%
Centene Corporation		4.75			1-15-2025		250,000		256,338
Centene Corporation 144A		5.25			4-1-2025		200,000		205,750
Davita Incorporated		5.13			7-15-2024		300,000		303,999
Encompass Health Corporation		5.75			11-1-2024		116,000		117,024
Envision Healthcare Corporation 144A		8.75			10-15-2026		200,000		105,861
HCA Incorporated		5.88			5-1-2023		220,000		240,350
Jaguar Holding Company II 144A		6.38			8-1-2023		200,000		206,376
MEDNAX Incorporated 144A		6.25			1-15-2027		200,000		191,990
MPH Acquisition Holdings LLC 144A		7.13			6-1-2024		300,000		279,066
MPT Operating Partnership LP		5.00			10-15-2027		200,000		208,702
Polaris Intermediate Corporation 144A		8.50			12-1-2022		230,000		195,523
Tenet Healthcare Corporation		5.13			5-1-2025		300,000		302,250
Tenet Healthcare Corporation 144A		6.25			2-1-2027		220,000		230,450
									2,843,679
Life Sciences Tools & Services: 0.58%
Avantor Incorporated 144A		6.00			10-1-2024		300,000		314,874

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  167

Portfolio of investments—February 29, 2020

HIGH YIELD CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Pharmaceuticals: 0.29%
Endo Finance LLC 144A		6.00	%		7-15-2023	$	200,000	$	157,004
Industrials: 6.65%
Aerospace & Defense: 1.30%
Alcoa Incorporated		5.87			2-23-2022		280,000		294,700
TransDigm Group Incorporated		6.38			6-15-2026		200,000		205,510
TransDigm Group Incorporated		6.50			7-15-2024		200,000		204,500
									704,710
Air Freight & Logistics: 0.38%
XPO Logistics Incorporated 144A		6.13			9-1-2023		200,000		204,126
Commercial Services & Supplies: 1.28%
ADT Corporation		6.25			10-15-2021		240,000		250,253
APTIM Corporation 144A		7.75			6-15-2025		200,000		113,834
Pitney Bowes Incorporated		4.63			3-15-2024		200,000		190,600
West Corp Company 144A		8.50			10-15-2025		200,000		134,500
									689,187
Construction & Engineering: 1.38%
AECOM		5.88			10-15-2024		200,000		219,500
Taylor Morrison Communities Incorporated 144A		5.88			4-15-2023		200,000		214,000
United Rentals North America Incorporated		5.50			5-15-2027		300,000		313,500
									747,000
Electrical Equipment: 0.40%
Vertiv Group Corporation 144A		9.25			10-15-2024		200,000		213,876
Professional Services: 0.41%
The Dun & Bradstreet Corporation 144A		10.25			2-15-2027		200,000		224,500
Road & Rail: 0.41%
The Hertz Corporation 144A		5.50			10-15-2024		230,000		220,186
Trading Companies & Distributors: 1.09%
Beacon Escrow Corporation 144A		4.88			11-1-2025		200,000		192,940
FXI Holdings Incorporated 144A		7.88			11-1-2024		200,000		188,000
Herc Holdings Incorporated 144A		5.50			7-15-2027		200,000		207,480
									588,420
Information Technology: 5.51%
Communications Equipment: 1.17%
CommScope Incorporated 144A		5.50			6-15-2024		260,000		247,026
CommScope Technologies Finance LLC 144A		5.00			3-15-2027		200,000		180,980
Viasat Incorporated 144A		5.63			4-15-2027		200,000		202,625
									630,631
Electronic Equipment, Instruments & Components: 0.41%
CDW LLC		5.50			12-1-2024		200,000		220,000
IT Services: 0.40%
VeriSign Incorporated		5.25			4-1-2025		200,000		216,800

The accompanying notes are an integral part of these financial statements.

168  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

HIGH YIELD CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Semiconductors & Semiconductor Equipment: 0.38%
Broadcom Incorporated 144A		5.00	%		4-15-2025	$	200,000	$	203,032
Software: 1.87%
CDK Global Incorporated 144A		5.25			5-15-2029		200,000		213,250
IQVIA Incorporated 144A		5.00			5-15-2027		200,000		206,750
Solera Finance Incorporated 144A		10.50			3-1-2024		200,000		211,252
SS&C Technologies Incorporated 144A		5.50			9-30-2027		200,000		210,500
Veritas US Incorporated 144A		10.50			2-1-2024		200,000		171,000
									1,012,752
Technology Hardware, Storage & Peripherals: 1.28%
Dell Incorporated		4.63			4-1-2021		270,000		272,768
NCR Corporation 144A		5.75			9-1-2027		200,000		210,500
Western Digital Corporation		4.75			2-15-2026		200,000		206,500
									689,768
Materials: 7.03%
Chemicals: 1.46%
CF Industries Incorporated		4.95			6-1-2043		200,000		212,160
Chemours Company		6.63			5-15-2023		200,000		192,666
Olin Corporation		5.00			2-1-2030		200,000		192,760
Tronox Incorporated 144A		6.50			4-15-2026		200,000		191,990
									789,576
Construction Materials: 0.57%
Standard Industries Incorporated 144A		5.00			2-15-2027		300,000		307,982
Containers & Packaging: 3.07%
Ardagh Holdings USA Incorporated 144A		5.25			8-15-2027		200,000		203,260
Ball Corporation		5.25			7-1-2025		200,000		221,166
Berry Global Incorporated 144A		5.63			7-15-2027		200,000		207,990
BWAY Holding Company 144A		5.50			4-15-2024		210,000		207,904
Crown Americas Capital Corporation IV		4.50			1-15-2023		200,000		202,800
Flex Acquisition Company Incorporated 144A		6.88			1-15-2025		200,000		194,504
Reynolds Group Issuer Incorporated 144A		5.13			7-15-2023		200,000		202,000
Sealed Air Corporation 144A		5.50			9-15-2025		200,000		219,000
									1,658,624
Metals & Mining: 1.93%
Cleveland-Cliffs Incorporated		5.75			3-1-2025		200,000		182,000
Freeport-McMoRan Incorporated		5.25			9-1-2029		290,000		293,045
Freeport-McMoRan Incorporated		5.40			11-14-2034		200,000		195,071
Novelis Corporation 144A		4.75			1-30-2030		200,000		196,560
United States Steel Corporation		6.88			8-15-2025		200,000		173,166
									1,039,842
Real Estate: 3.11%
Equity REITs: 2.55%
ESH Hospitality Incorporated 144A		5.25			5-1-2025		200,000		201,166
Iron Mountain Incorporated 144A		5.25			3-15-2028		260,000		269,178
iStar Incorporated		4.25			8-1-2025		200,000		198,500

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  169

Portfolio of investments—February 29, 2020

HIGH YIELD CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Equity REITs (continued)
MGM Growth Properties Operating Partnership LP		4.50	%		9-1-2026	$	300,000	$	310,500
Uniti Group Incorporated 144A		6.00			4-15-2023		200,000		195,500
VICI Properties Incorporated 144A		4.25			12-1-2026		200,000		202,020
									1,376,864
Real Estate Management & Development: 0.56%
Icahn Enterprises Company		6.25			2-1-2022		300,000		305,136
Utilities: 3.49%
Electric Utilities: 0.67%
NextEra Energy Operating Partners LP 144A		4.50			9-15-2027		210,000		219,033
Talen Energy Supply LLC		6.50			6-1-2025		200,000		143,500
									362,533
Gas Utilities: 0.85%
AmeriGas Partners LP		5.63			5-20-2024		200,000		207,940
Ferrellgas LP		6.75			6-15-2023		300,000		250,626
									458,566
Independent Power & Renewable Electricity Producers: 1.97%
Calpine Corporation 144A		5.13			3-15-2028		230,000		216,200
NRG Energy Incorporated		5.75			1-15-2028		200,000		207,760
TerraForm Power Operating LLC 144A		4.75			1-15-2030		220,000		228,525
The AES Corporation		5.50			4-15-2025		200,000		204,584
Vistra Operations Company LLC 144A		5.63			2-15-2027		200,000		205,000
									1,062,069
Total Corporate Bonds and Notes (Cost $44,596,079)									43,124,063
Yankee Corporate Bonds and Notes: 16.06%
Communication Services: 4.76%
Diversified Telecommunication Services: 1.37%
SFR Group SA 144A		7.38			5-1-2026		300,000		314,610
Telecom Italia Capital SpA		6.00			9-30-2034		200,000		222,500
Virgin Media Finance plc 144A		6.00			10-15-2024		200,000		204,394
									741,504
Media: 2.17%
Altice Finco SA 144A		7.63			2-15-2025		320,000		333,200
Nielsen Holding and Finance BV 144A		5.00			2-1-2025		220,000		217,250
UPC Holding BV 144A		5.50			1-15-2028		200,000		202,820
Videotron Limited 144A		5.13			4-15-2027		200,000		209,741
Ziggo BV 144A		4.88			1-15-2030		200,000		206,571
									1,169,582
Wireless Telecommunication Services: 1.22%
C&W Senior Financing Designated Activity 144A		6.88			9-15-2027		200,000		211,000
VEON Holdings BV 144A		4.00			4-9-2025		210,000		215,513
Vodafone Group plc (5 Year USD Swap +4.87%) ±		7.00			4-4-2079		200,000		231,015
									657,528

The accompanying notes are an integral part of these financial statements.

170  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

HIGH YIELD CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Consumer Discretionary: 3.00%
Auto Components: 0.32%
Adient Global Holdings Limited 144A		4.88	%		8-15-2026	$	200,000	$	172,500
Automobiles: 1.17%
Fiat Chrysler Automobiles NV		5.25			4-15-2023		200,000		209,002
IHO Verwaltungs GmbH (PIK at 7.13%) 144A¥		6.38			5-15-2029		240,000		253,200
Jaguar Land Rover Automotive plc 144A		4.50			10-1-2027		200,000		168,750
									630,952
Hotels, Restaurants & Leisure: 1.18%
International Game Technology plc 144A		6.50			2-15-2025		200,000		216,500
MGM China Holdings Limited 144A		5.88			5-15-2026		220,000		222,750
Wynn Macau Limited 144A		5.13			12-15-2029		200,000		196,000
									635,250
Leisure Products: 0.33%
VOC Escrow Limited 144A		5.00			2-15-2028		200,000		178,500
Energy: 2.02%
Energy Equipment & Services: 0.90%
Alcoa Nederland Holding Company BV 144A		6.75			9-30-2024		200,000		205,004
Noble Holding International Limited		8.95			4-1-2045		200,000		70,000
Valaris plc		4.88			6-1-2022		200,000		130,000
Valaris plc		7.75			2-1-2026		200,000		78,990
									483,994
Oil, Gas & Consumable Fuels: 1.12%
KCA Deutag UK Finance plc 144A		9.63			4-1-2023		200,000		117,500
MEG Energy Corporation 144A		6.50			1-15-2025		300,000		295,500
Weatherford International Limited 144A		11.00			12-1-2024		200,000		193,500
									606,500
Financials: 3.01%
Banks: 1.50%
Barclays plc		4.38			9-11-2024		200,000		213,315
Deutsche Bank AG (USD ICE Swap Rate 11:00am NY 5 Year +2.55%) ±		4.88			12-1-2032		330,000		314,150
Intesa Sanpaolo SpA 144A		5.71			1-15-2026		260,000		282,803
									810,268
Diversified Financial Services: 1.51%
Global Aircraft Leasing Company Limited 144A		6.50			9-15-2024		200,000		196,375
Intelsat Jackson Holdings SA 144A		8.00			2-15-2024		200,000		205,000
New Red Finance Incorporated 144A		5.00			10-15-2025		200,000		200,916
Trivium Packaging Finance BV 144A		8.50			8-15-2027		200,000		210,260
									812,551
Health Care: 1.06%
Pharmaceuticals: 1.06%
Bausch Health Companies Incorporated 144A		7.25			5-30-2029		220,000		242,000
Bausch Health Companies Incorporated 144A		8.50			1-31-2027		300,000		329,184
									571,184

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  171

Portfolio of investments—February 29, 2020

HIGH YIELD CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Industrials: 1.31%
Aerospace & Defense: 0.54%
Bombardier Incorporated 144A		6.00	%		10-15-2022	$	300,000	$	293,813
Electrical Equipment: 0.39%
Sensata Technologies BV 144A		5.00			10-1-2025		200,000		210,520
Professional Services: 0.38%
GFL Environmental Incorporated 144A		5.38			3-1-2023		200,000		204,000
Information Technology: 0.37%
Software: 0.37%
Open Text Corporation 144A		5.63			1-15-2023		200,000		202,380
Materials: 0.53%
Metals & Mining: 0.53%
FMG Resources Proprietary Limited 144A		5.13			3-15-2023		280,000		287,756
Total Yankee Corporate Bonds and Notes (Cost $8,870,986)									8,668,782
	Yield					Shares
Short-Term Investments: 2.48%
Investment Companies: 2.48%
Wells Fargo Government Money Market Fund Select Class (l)(u)		1.52					1,339,300		1,339,300
Total Short-Term Investments (Cost $1,339,300)									1,339,300

Total investments in securities (Cost $54,806,365)	98.41	%		53,132,145
Other assets and liabilities, net	1.59			856,887
Total net assets	100.00	%	$	53,989,032

144A The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933.

± Variable rate investment. The rate shown is the rate in effect at period end.

¥ A payment-in-kind (PIK) security is a security in which the issuer may make interest or dividend payments in cash or additional securities or a combination of both. The rate shown is the rate in effect at period end.

(l) The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

(u) The rate represents the 7-day annualized yield at period end.

Abbreviations:

LIBOR London Interbank Offered Rate

REIT Real estate investment trust

The accompanying notes are an integral part of these financial statements.

172  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

HIGH YIELD CORPORATE BOND PORTFOLIO

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Shares, beginning of period		Shares purchased		Shares sold			Shares, end of period		Net realized gains (losses)		Net change in unrealized gains (losses)		Income from affiliated securities		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		486,162		17,422,603		(16,569,465	)		1,339,300	$	0	$	0	$	16,925	$	1,339,300		2.48	%

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  173

Portfolio of investments—February 29, 2020

INTERNATIONAL GOVERNMENT BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Foreign Government Bonds: 99.15%
Australian Government Bond Series 145		2.75	%		6-21-2035	AUD	350,000	$	283,484
Australian Government Bond Series 150		3.00			3-21-2047	AUD	190,000		168,003
Belgium Government Bond Series 71		3.75			6-22-2045	EUR	220,000		444,664
Bundesrepublik Deutschland		0.01			2-15-2030	EUR	100,000		117,337
Bundesrepublik Deutschland		0.25			8-15-2028	EUR	100,000		119,435
Canada Government		2.75			12-1-2048	CAD	300,000		300,644
Canada Government		5.00			6-1-2037	CAD	100,000		117,387
Czech Republic		3.85			9-29-2021	CZK	2,380,000		106,732
Finland Government Bond 144A		0.01			9-15-2023	EUR	390,000		441,008
France Government Bond 144A		1.25			5-25-2036	EUR	370,000		489,092
France Government Bond 144A		1.50			5-25-2050	EUR	280,000		402,928
Ireland Government Bond Series 2023		3.90			3-20-2023	EUR	160,000		200,734
Italy Buoni Poliennali del Tesoro 144A		3.35			3-1-2035	EUR	280,000		382,717
Italy Buoni Poliennali del Tesoro 144A		3.85			9-1-2049	EUR	327,000		499,085
Japan Government 5 Year Bond		0.10			6-20-2021	JPY	196,000,000		1,824,968
Japan Government 5 Year Bond Series 136		0.10			6-20-2023	JPY	49,000,000		459,885
Korea Treasury Bond		3.75			12-10-2033	KRW	105,000,000		112,266
Korea Treasury Bond		4.00			12-10-2031	KRW	315,000,000		333,660
Malaysia Government Bond		4.23			6-30-2031	MYR	1,240,000		327,867
Mexico		8.00			12-7-2023	MXN	7,780,000		413,317
Netherlands Government Bond 144A		0.25			7-15-2029	EUR	370,000		437,167
New Zealand Government Bond		2.75			4-15-2037	NZD	150,000		112,572
Norway Government Bond Series 480 144A		2.00			4-26-2028	NOK	980,000		111,427
Poland Series 0428		2.75			4-25-2028	PLN	1,260,000		345,401
Republic of Austria 144A		0.50			2-20-2029	EUR	390,000		465,224
Russia Government Bond		7.70			3-16-2039	RUB	11,790,000		197,463
Singapore Government Bond		2.88			7-1-2029	SGD	280,000		227,435
Spain Government Bond 144A		1.40			7-30-2028	EUR	370,000		450,419
Switzerland Bond		4.00			2-11-2023	CHF	100,000		118,677
Thailand Government Bond		2.40			12-17-2023	THB	6,650,000		222,457
United Kingdom Gilt		0.75			7-22-2023	GBP	680,000		884,725
Total Foreign Government Bonds (Cost $11,135,469)									11,118,180
	Yield					Shares
Short-Term Investments: 0.46%
Investment Companies: 0.46%
Wells Fargo Government Money Market Fund Select Class (l)(u)		1.52					51,894		51,894
Total Short-Term Investments (Cost $51,894)									51,894

Total investments in securities (Cost $11,187,363)	99.61	%		11,170,074
Other assets and liabilities, net	0.39			44,201
Total net assets	100.00	%	$	11,214,275

144A The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933.

(l) The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

(u) The rate represents the 7-day annualized yield at period end.

The accompanying notes are an integral part of these financial statements.

174  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

INTERNATIONAL GOVERNMENT BOND PORTFOLIO

Abbreviations:

AUD Australian dollar

CAD Canadian dollar

CHF Swiss franc

CZK Czech koruna

EUR Euro

GBP Great British pound

JPY Japanese yen

KRW Republic of Korea won

MXN Mexican peso

MYR Malaysian ringgit

NOK Norwegian krone

NZD New Zealand dollar

PLN Polish zloty

RUB Russian ruble

SGD Singapore dollar

THB Thai baht

Forward Foreign Currency Contracts

Currency to be received	Currency to be delivered	Counterparty	Settlement date	Unrealized gains		Unrealized losses
512,887 USD	55,800,000 JPY	State Street Bank	3/6/2020	$	0	$	(4,535	)
491,812 USD	380,000 GBP	State Street Bank	3/6/2020		4,553		0
113,337 USD	155,000 SGD	State Street Bank	3/6/2020		2,056		0
108,945 USD	3,300,000 THB	State Street Bank	3/6/2020		4,361		0
106,443 USD	2,110,000 MXN	State Street Bank	3/6/2020		0		(707	)
122,943 USD	480,000 PLN	State Street Bank	3/6/2020		552		0
154,919 USD	240,000 AUD	State Street Bank	3/6/2020		0		(1,443	)
22,614 USD	220,000 SEK	State Street Bank	3/6/2020		0		(284	)
460,000 SEK	48,359 USD	State Street Bank	3/6/2020		0		(481	)
830,000 SEK	87,190 USD	State Street Bank	3/6/2020		0		(803	)
240,000 CAD	180,708 USD	State Street Bank	3/6/2020		0		(1,903	)
475,000 AUD	322,069 USD	State Street Bank	3/6/2020		0		(12,603	)
22,042 USD	150,000 DKK	State Street Bank	3/6/2020		0		(121	)
587,000 EUR	650,773 USD	State Street Bank	3/6/2020		0		(2,628	)
300,000 CZK	12,947 USD	State Street Bank	3/6/2020		70		0
1,450,000 DKK	215,286 USD	State Street Bank	3/6/2020		0		(1,041	)
153,000 CAD	115,199 USD	State Street Bank	3/6/2020		0		(1,211	)
150,000 NOK	16,311 USD	State Street Bank	3/6/2020		0		(368	)
10,000 AUD	6,801 USD	State Street Bank	3/6/2020		0		(286	)
206,621 USD	13,400,000 RUB	State Street Bank	3/12/2020		6,572		0
209,130 USD	875,000 MYR	State Street Bank	3/12/2020		1,590		0
385,000,000 KRW	324,771 USD	State Street Bank	3/12/2020		0		(7,729	)
265,000 EUR	292,631 USD	State Street Bank	6/8/2020		1,521		0
108,614 USD	175,000 NZD	State Street Bank	6/8/2020		0		(865	)
				$	21,275	$	(37,008	)

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  175

Portfolio of investments—February 29, 2020

INTERNATIONAL GOVERNMENT BOND PORTFOLIO

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Shares, beginning of period		Shares purchased		Shares sold			Shares, end of period		Net realized gains (losses)		Net change in unrealized gains (losses)		Income from affiliated securities		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		13,185		1,083,316		(1,044,607	)		51,894	$	0	$	0	$	1,549	$	51,894		0.46	%

The following table shows the percent of total long-term investments by country allocation as of February 29, 2020:

Japan	20.54	%
France	8.02
United Kingdom	7.96
Italy	7.93
Austria	4.18
Australia	4.06
Spain	4.05
South Korea	4.01
Belgium	4.00
Finland	3.97
Netherlands	3.93
Canada	3.76
Mexico	3.72
Poland	3.11
Malaysia	2.95
Germany	2.13
Singapore	2.05
Thailand	2.00
Ireland	1.81
Russia	1.78
Switzerland	1.07
New Zealand	1.01
Norway	1.00
Czech Republic	0.96
	100.00	%

The accompanying notes are an integral part of these financial statements.

176  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

INVESTMENT GRADE CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Corporate Bonds and Notes: 80.01%
Communication Services: 3.99%
Diversified Telecommunication Services: 0.99%
AT&T Incorporated		3.00	%		2-15-2022	$	200,000	$	205,400
AT&T Incorporated		3.40			6-15-2022		70,000		72,864
AT&T Incorporated		4.00			1-15-2022		210,000		219,792
AT&T Incorporated		4.30			12-15-2042		350,000		387,937
AT&T Incorporated		4.50			5-15-2035		230,000		264,619
AT&T Incorporated		4.90			6-15-2042		36,000		42,458
Verizon Communications Incorporated		3.85			11-1-2042		260,000		294,558
Verizon Communications Incorporated		4.13			3-16-2027		200,000		228,157
Verizon Communications Incorporated		4.67			3-15-2055		655,000		869,979
									2,585,764
Entertainment: 0.27%
Viacom Incorporated		6.88			4-30-2036		238,000		327,258
Walt Disney Company		2.55			2-15-2022		175,000		179,492
Walt Disney Company		4.13			12-1-2041		175,000		214,337
									721,087
Interactive Media & Services: 0.17%
Alphabet Incorporated		3.38			2-25-2024		87,000		94,048
Alphabet Incorporated		3.63			5-19-2021		350,000		359,744
									453,792
Media: 2.56%
CBS Corporation		3.70			8-15-2024		350,000		375,666
CBS Corporation		4.85			7-1-2042		140,000		158,757
CBS Corporation		4.90			8-15-2044		350,000		397,668
Charter Communications Operating LLC		4.46			7-23-2022		400,000		424,478
Charter Communications Operating LLC		4.91			7-23-2025		400,000		448,182
Comcast Corporation		2.35			1-15-2027		210,000		217,053
Comcast Corporation		3.13			7-15-2022		350,000		364,964
Comcast Corporation		4.00			11-1-2049		200,000		237,233
Comcast Corporation		4.40			8-15-2035		210,000		259,648
Comcast Corporation		4.75			3-1-2044		262,000		338,822
Discovery Communications LLC		3.30			5-15-2022		175,000		180,905
Discovery Communications LLC		3.95			3-20-2028		400,000		434,776
Discovery Communications LLC		4.38			6-15-2021		210,000		217,237
Discovery Communications LLC		6.35			6-1-2040		175,000		232,569
Fox Corporation 144A		5.48			1-25-2039		700,000		897,632
Omnicom Group Incorporated		3.63			5-1-2022		175,000		182,946
Time Warner Cable Incorporated		5.50			9-1-2041		210,000		245,616
Time Warner Cable Incorporated		6.55			5-1-2037		300,000		390,818
Time Warner Cable Incorporated		8.38			3-15-2023		175,000		208,320
Time Warner Entertainment Company LP		8.38			7-15-2033		210,000		305,301
Viacom Incorporated		5.50			5-15-2033		140,000		176,403
									6,694,994
Consumer Discretionary: 5.07%
Auto Components: 0.12%
Lear Corporation		5.25			1-15-2025		297,000		305,176

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  177

Portfolio of investments—February 29, 2020

INVESTMENT GRADE CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Automobiles: 0.54%
Ford Motor Company		7.45	%		7-16-2031	$	700,000	$	793,967
General Motors Company		6.25			10-2-2043		175,000		198,846
General Motors Company		6.60			4-1-2036		350,000		420,796
									1,413,609
Hotels, Restaurants & Leisure: 1.18%
GLP Capital LP		5.30			1-15-2029		400,000		462,240
McDonald’s Corporation		2.63			1-15-2022		250,000		255,624
McDonald’s Corporation		3.38			5-26-2025		245,000		264,221
McDonald’s Corporation		3.63			5-20-2021		70,000		71,731
McDonald’s Corporation		4.60			5-26-2045		175,000		218,347
McDonald’s Corporation		6.30			10-15-2037		210,000		298,370
Starbucks Corporation		4.00			11-15-2028		500,000		574,754
Starbucks Corporation		4.50			11-15-2048		800,000		953,011
									3,098,298
Household Durables: 0.12%
Whirlpool Corporation		4.00			3-1-2024		87,000		94,260
Whirlpool Corporation		4.70			6-1-2022		140,000		149,346
Whirlpool Corporation		4.85			6-15-2021		70,000		73,053
									316,659
Internet & Direct Marketing Retail: 0.79%
Amazon.com Incorporated		4.05			8-22-2047		400,000		512,074
Amazon.com Incorporated		4.25			8-22-2057		400,000		536,144
Amazon.com Incorporated		4.95			12-5-2044		300,000		411,467
eBay Incorporated		4.00			7-15-2042		175,000		177,374
Expedia Incorporated		4.50			8-15-2024		70,000		76,340
QVC Incorporated		4.38			3-15-2023		210,000		218,726
QVC Incorporated		5.13			7-2-2022		140,000		148,603
									2,080,728
Leisure Products: 0.05%
Hasbro Incorporated		6.35			3-15-2040		108,000		135,693
Multiline Retail: 0.73%
Dollar General Corporation		3.25			4-15-2023		245,000		257,191
Kohl’s Corporation		3.25			2-1-2023		105,000		108,227
Macy’s Retail Holdings Incorporated		3.88			1-15-2022		140,000		143,174
Nordstrom Incorporated		4.00			10-15-2021		175,000		179,673
Nordstrom Incorporated		5.00			1-15-2044		70,000		68,176
Target Corporation		2.90			1-15-2022		175,000		180,301
Target Corporation		3.63			4-15-2046		210,000		242,943
Target Corporation		3.90			11-15-2047		600,000		723,863
									1,903,548
Specialty Retail: 1.48%
AutoZone Incorporated		2.88			1-15-2023		175,000		181,722
AutoZone Incorporated		3.13			7-15-2023		105,000		110,249
Home Depot Incorporated		3.50			9-15-2056		260,000		294,416
Home Depot Incorporated		3.75			2-15-2024		350,000		381,748
Home Depot Incorporated		4.40			4-1-2021		350,000		358,914
Lowe’s Companies Incorporated		2.50			4-15-2026		350,000		361,568

The accompanying notes are an integral part of these financial statements.

178  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

INVESTMENT GRADE CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Specialty Retail (continued)
Lowe’s Companies Incorporated		3.12	%		4-15-2022	$	140,000	$	144,064
Lowe’s Companies Incorporated		3.75			4-15-2021		105,000		106,993
Lowe’s Companies Incorporated		3.88			9-15-2023		175,000		188,754
Lowe’s Companies Incorporated		4.25			9-15-2044		175,000		199,492
Lowe’s Companies Incorporated		4.38			9-15-2045		200,000		234,854
O’Reilly Automotive Incorporated		3.80			9-1-2022		105,000		110,270
O’Reilly Automotive Incorporated		4.63			9-15-2021		105,000		109,180
Unilever Capital Corporation		2.00			7-28-2026		500,000		521,369
Unilever Capital Corporation		5.90			11-15-2032		410,000		578,045
									3,881,638
Textiles, Apparel & Luxury Goods: 0.06%
Nike Incorporated		2.25			5-1-2023		70,000		72,188
Nike Incorporated		3.63			5-1-2043		70,000		79,831
									152,019
Consumer Staples: 6.74%
Beverages: 2.06%
Anheuser-Busch InBev Finance Company		4.00			1-17-2043		210,000		226,379
Anheuser-Busch InBev Finance Company		4.63			2-1-2044		245,000		293,463
Anheuser-Busch InBev Worldwide Incorporated		3.75			7-15-2042		252,000		269,946
Anheuser-Busch InBev Worldwide Incorporated		4.75			4-15-2058		400,000		483,536
Constellation Brands Incorporated		3.15			8-1-2029		300,000		315,703
Constellation Brands Incorporated		3.75			5-1-2021		98,000		100,714
Constellation Brands Incorporated		4.25			5-1-2023		360,000		385,381
Keurig Dr Pepper Incorporated		4.60			5-25-2028		700,000		806,811
Molson Coors Brewing Company		2.10			7-15-2021		260,000		261,991
PepsiCo Incorporated		2.75			3-5-2022		259,000		265,600
PepsiCo Incorporated		3.00			8-25-2021		175,000		179,028
PepsiCo Incorporated		3.60			8-13-2042		285,000		331,698
PepsiCo Incorporated		4.00			3-5-2042		175,000		209,184
PepsiCo Incorporated		4.25			10-22-2044		140,000		175,363
The Coca-Cola Company		2.55			6-1-2026		500,000		534,299
The Coca-Cola Company		2.88			10-27-2025		200,000		215,988
The Coca-Cola Company		3.20			11-1-2023		280,000		299,013
The Coca-Cola Company		3.30			9-1-2021		49,000		50,576
									5,404,673
Food & Staples Retailing: 1.22%
Sysco Corporation		3.30			7-15-2026		200,000		217,079
Sysco Corporation		5.38			9-21-2035		200,000		273,070
The Kroger Company		3.40			4-15-2022		175,000		181,261
The Kroger Company		3.85			8-1-2023		175,000		188,063
The Kroger Company		5.00			4-15-2042		175,000		209,817
The Kroger Company		5.15			8-1-2043		105,000		131,625
The Kroger Company		6.90			4-15-2038		210,000		298,304
Wal-Mart Stores Incorporated		4.25			4-15-2021		350,000		361,508
Wal-Mart Stores Incorporated		4.88			7-8-2040		175,000		239,336
Wal-Mart Stores Incorporated		5.63			4-1-2040		180,000		266,322
Wal-Mart Stores Incorporated		5.88			4-5-2027		70,000		88,968
Walgreens Boots Alliance Incorporated		3.45			6-1-2026		200,000		210,290
Walgreens Boots Alliance Incorporated		3.80			11-18-2024		200,000		213,712
Walgreens Boots Alliance Incorporated		4.80			11-18-2044		300,000		313,106
									3,192,461

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  179

Portfolio of investments—February 29, 2020

INVESTMENT GRADE CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Food Products: 1.42%
Archer-Daniels-Midland Company		4.54	%		3-26-2042	$	175,000	$	221,344
Campbell Soup Company		2.50			8-2-2022		85,000		86,624
Conagra Brands Incorporated		4.60			11-1-2025		200,000		223,738
Conagra Brands Incorporated		4.85			11-1-2028		600,000		697,153
Conagra Foods Incorporated		8.25			9-15-2030		84,000		121,345
General Mills Incorporated		3.65			2-15-2024		175,000		187,627
General Mills Incorporated		4.20			4-17-2028		800,000		921,790
J.M. Smucker Company		3.50			10-15-2021		210,000		216,678
Mead Johnson Nutrition Company		5.90			11-1-2039		70,000		102,412
Tyson Foods Incorporated		4.35			3-1-2029		300,000		352,245
Tyson Foods Incorporated		4.50			6-15-2022		350,000		371,005
Tyson Foods Incorporated		4.88			8-15-2034		175,000		217,037
									3,718,998
Household Products: 0.73%
Clorox Company		3.05			9-15-2022		113,000		117,139
Clorox Company		3.50			12-15-2024		140,000		152,734
Colgate-Palmolive Company		2.30			5-3-2022		350,000		358,414
Kimberly-Clark Corporation		2.40			6-1-2023		105,000		108,699
Kimberly-Clark Corporation		6.63			8-1-2037		140,000		215,359
Procter & Gamble Company		2.45			11-3-2026		900,000		971,895
									1,924,240
Personal Products: 0.08%
Estee Lauder Companies Incorporated		6.00			5-15-2037		140,000		203,650
Tobacco: 1.23%
Altria Group Incorporated		4.00			1-31-2024		62,000		67,051
Altria Group Incorporated		4.25			8-9-2042		350,000		356,358
Altria Group Incorporated		4.50			5-2-2043		175,000		182,161
Altria Group Incorporated		4.75			5-5-2021		200,000		207,339
Philip Morris International Incorporated		2.50			8-22-2022		175,000		179,735
Philip Morris International Incorporated		2.63			3-6-2023		122,000		126,149
Philip Morris International Incorporated		3.25			11-10-2024		210,000		223,425
Philip Morris International Incorporated		4.13			3-4-2043		210,000		237,445
Philip Morris International Incorporated		4.25			11-10-2044		210,000		243,176
Philip Morris International Incorporated		4.50			3-20-2042		140,000		164,340
Reynolds American Incorporated		4.00			6-12-2022		280,000		294,073
Reynolds American Incorporated		4.45			6-12-2025		350,000		386,435
Reynolds American Incorporated		5.70			8-15-2035		210,000		250,781
Reynolds American Incorporated		6.15			9-15-2043		87,000		104,952
Reynolds American Incorporated		7.25			6-15-2037		140,000		185,553
									3,208,973
Energy: 7.72%
Energy Equipment & Services: 0.43%
Halliburton Company		3.50			8-1-2023		350,000		368,517
Halliburton Company		3.80			11-15-2025		350,000		383,872
Halliburton Company		4.50			11-15-2041		175,000		186,145
Halliburton Company		4.75			8-1-2043		175,000		188,853
									1,127,387

The accompanying notes are an integral part of these financial statements.

180  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

INVESTMENT GRADE CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Oil, Gas & Consumable Fuels: 7.29%
Apache Corporation		3.25	%		4-15-2022	$	253,000	$	258,042
Apache Corporation		5.25			2-1-2042		70,000		70,469
Boardwalk Pipelines LP		3.38			2-1-2023		70,000		72,275
BP Capital Markets America Incorporated		3.94			9-21-2028		200,000		226,371
Cheniere Corpus Christi Holdings LLC		5.13			6-30-2027		1,500,000		1,629,197
Chevron Corporation		2.10			5-16-2021		260,000		262,391
Chevron Corporation		2.36			12-5-2022		525,000		538,018
Columbia Pipeline Group Incorporated		5.80			6-1-2045		140,000		189,322
ConocoPhillips Company		4.30			11-15-2044		210,000		251,599
ConocoPhillips Company		5.90			10-15-2032		175,000		234,909
ConocoPhillips Company		6.95			4-15-2029		210,000		286,383
Devon Energy Corporation		7.95			4-15-2032		150,000		209,356
Enbridge Energy Partners LP		5.50			9-15-2040		140,000		180,780
Energy Transfer Partners LP		4.75			1-15-2026		280,000		308,506
Energy Transfer Partners LP		4.90			2-1-2024		210,000		228,806
Energy Transfer Partners LP		5.95			10-1-2043		140,000		155,530
Energy Transfer Partners LP		7.50			7-1-2038		70,000		90,232
Enterprise Products Operating LLC		4.45			2-15-2043		355,000		392,511
Enterprise Products Operating LLC		4.85			3-15-2044		280,000		329,312
Enterprise Products Operating LLC		5.70			2-15-2042		140,000		174,371
Enterprise Products Operating LLC		5.95			2-1-2041		70,000		90,741
Enterprise Products Operating LLC		7.55			4-15-2038		70,000		104,629
EQT Corporation		4.88			11-15-2021		210,000		207,375
Exxon Mobil Corporation		2.71			3-6-2025		350,000		367,571
Exxon Mobil Corporation		3.04			3-1-2026		500,000		538,501
Hess Corporation		7.30			8-15-2031		269,000		344,156
Kinder Morgan Energy Partners LP		3.45			2-15-2023		175,000		182,737
Kinder Morgan Energy Partners LP		5.00			8-15-2042		175,000		194,354
Kinder Morgan Energy Partners LP		5.00			3-1-2043		157,000		171,433
Kinder Morgan Energy Partners LP		5.50			3-1-2044		210,000		251,014
Kinder Morgan Energy Partners LP		5.80			3-15-2035		70,000		84,621
Magellan Midstream Partners LP		5.15			10-15-2043		140,000		171,549
Marathon Oil Corporation		3.85			6-1-2025		245,000		258,873
Marathon Oil Corporation		5.20			6-1-2045		140,000		156,564
Marathon Petroleum Corporation		3.63			9-15-2024		350,000		373,819
Marathon Petroleum Corporation		3.80			4-1-2028		385,000		408,229
Marathon Petroleum Corporation		5.13			3-1-2021		24,000		24,682
MPLX LP		4.13			3-1-2027		200,000		214,443
MPLX LP		4.88			6-1-2025		200,000		222,194
MPLX LP		4.90			4-15-2058		1,100,000		1,099,904
MPLX LP		5.20			3-1-2047		220,000		231,883
NextEra Energy Capital		4.50			6-1-2021		140,000		144,330
Noble Energy Incorporated		3.90			11-15-2024		210,000		223,867
Occidental Petroleum Corporation		3.00			2-15-2027		200,000		199,534
Occidental Petroleum Corporation		3.50			6-15-2025		200,000		206,547
Occidental Petroleum Corporation		4.40			4-15-2046		200,000		181,221
ONEOK Incorporated		4.00			7-13-2027		200,000		217,590
ONEOK Incorporated		4.55			7-15-2028		500,000		560,056
ONEOK Partners LP		3.38			10-1-2022		350,000		362,065
Phillips 66		4.65			11-15-2034		140,000		165,915
Plains All American Pipeline LP		3.60			11-1-2024		210,000		217,616
Plains All American Pipeline LP		3.85			10-15-2023		350,000		364,475
Plains All American Pipeline LP		4.90			2-15-2045		175,000		166,033
Plains All American Pipeline LP		6.65			1-15-2037		140,000		165,590

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  181

Portfolio of investments—February 29, 2020

INVESTMENT GRADE CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Oil, Gas & Consumable Fuels (continued)
Sabine Pass Liquefaction LLC		5.00	%		3-15-2027	$	400,000	$	441,463
Sabine Pass Liquefaction LLC		5.63			3-1-2025		200,000		226,458
Sabine Pass Liquefaction LLC		5.88			6-30-2026		200,000		230,341
Spectra Energy Partners LP		3.38			10-15-2026		300,000		322,293
Spectra Energy Partners LP		4.75			3-15-2024		245,000		269,529
Sunoco Logistics Partner LP		3.45			1-15-2023		140,000		144,487
Sunoco Logistics Partner LP		4.95			1-15-2043		105,000		103,935
Sunoco Logistics Partner LP		5.35			5-15-2045		140,000		144,538
TC Pipelines LP		4.65			6-15-2021		210,000		215,809
Tennessee Gas Pipeline Company		7.00			10-15-2028		175,000		228,698
Valero Energy Corporation		7.50			4-15-2032		710,000		984,506
Western Gas Partners LP		4.00			7-1-2022		280,000		286,756
Williams Partners LP		3.35			8-15-2022		175,000		181,646
Williams Partners LP		6.30			4-15-2040		273,000		336,809
									19,079,759
Financials: 17.89%
Banks: 6.55%
ABB Finance (USA) Incorporated		4.38			5-8-2042		26,000		33,241
Australia & New Zealand Banking Group Limited		2.55			11-23-2021		250,000		254,373
Australia & New Zealand Banking Group Limited		2.63			5-19-2022		300,000		309,155
Australia & New Zealand Banking Group Limited		2.63			11-9-2022		500,000		516,343
Bank of America Corporation		3.25			10-21-2027		525,000		563,986
Bank of America Corporation (3 Month LIBOR +1.19%) ±		3.95			1-23-2049		200,000		241,850
Bank of America Corporation		4.18			11-25-2027		560,000		621,991
Bank of America Corporation		4.25			10-22-2026		280,000		312,600
Bank One Corporation		7.63			10-15-2026		168,000		222,522
Capital One Bank Corporation		2.28			1-28-2026		1,350,000		1,373,439
Citigroup Incorporated		2.75			4-25-2022		200,000		204,572
Citigroup Incorporated		4.60			3-9-2026		200,000		226,337
Citigroup Incorporated		4.65			7-30-2045		300,000		392,266
Citigroup Incorporated		4.75			5-18-2046		300,000		378,463
Citizens Financial Group Incorporated		4.30			12-3-2025		200,000		223,252
Compass Bank		3.88			4-10-2025		250,000		269,517
Deutsche Bank		3.95			2-27-2023		300,000		311,432
Discover Bank		4.20			8-8-2023		310,000		333,265
Discover Bank		4.25			3-13-2026		250,000		280,717
Discover Bank		4.65			9-13-2028		250,000		291,579
Fifth Third Bank		3.95			3-14-2028		400,000		457,402
Fifth Third Bank		2.25			6-14-2021		200,000		202,168
Fifth Third Bank		2.88			10-1-2021		300,000		307,031
Huntington Bancshares Incorporated		2.30			1-14-2022		300,000		302,879
JPMorgan Chase & Company		2.95			10-1-2026		325,000		344,542
JPMorgan Chase & Company		3.20			1-25-2023		200,000		209,675
JPMorgan Chase & Company		4.13			12-15-2026		500,000		562,583
JPMorgan Chase & Company (3 Month LIBOR +1.58%) ±		4.26			2-22-2048		240,000		300,201
Key Bank NA		3.18			10-15-2027		250,000		258,428
Key Bank NA		3.30			6-1-2025		250,000		270,510
KeyCorp Incorporated		4.10			4-30-2028		400,000		455,377
KeyCorp Incorporated		5.10			3-24-2021		300,000		310,831
Truist Financial Corporation		2.05			5-10-2021		210,000		211,398
Truist Financial Corporation		2.85			10-26-2024		500,000		526,295
Truist Financial Corporation		3.30			5-15-2026		200,000		216,128
Truist Financial Corporation		3.80			10-30-2026		400,000		449,186

The accompanying notes are an integral part of these financial statements.

182  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

INVESTMENT GRADE CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Banks (continued)
People’s United Financial Incorporated		3.65	%		12-6-2022	$	105,000	$	109,719
PNC Bank NA		2.15			4-29-2021		250,000		252,223
PNC Bank NA		2.95			1-30-2023		300,000		311,062
PNC Bank NA		3.30			10-30-2024		500,000		537,921
PNC Bank NA		4.20			11-1-2025		250,000		282,175
Santander Holdings USA Incorporated		4.50			7-17-2025		350,000		384,607
Santander UK Group Holdings plc (3 Month LIBOR +1.40%) ±		3.82			11-3-2028		1,000,000		1,086,816
UnionBanCal Corporation		3.50			6-18-2022		140,000		145,977
US Bancorp		2.38			7-22-2026		190,000		198,844
US Bancorp		3.00			3-15-2022		350,000		361,270
US Bancorp		3.60			9-11-2024		350,000		380,071
US Bancorp		4.13			5-24-2021		350,000		360,851
									17,157,070
Capital Markets: 3.58%
AGL Capital Corporation		4.40			6-1-2043		140,000		164,187
Bank of New York Mellon Corporation		2.50			4-15-2021		350,000		353,870
Bank of New York Mellon Corporation		2.95			1-29-2023		300,000		311,574
Bank of New York Mellon Corporation		3.40			1-29-2028		300,000		330,278
Bank of New York Mellon Corporation		3.55			9-23-2021		420,000		432,885
BlackRock Incorporated		3.50			3-18-2024		1,000,000		1,079,227
CME Group Incorporated		4.15			6-15-2048		200,000		260,124
Goldman Sachs Group Incorporated (3 Month LIBOR +1.51%) ±		3.69			6-5-2028		700,000		765,266
Goldman Sachs Group Incorporated		3.75			5-22-2025		350,000		378,800
Goldman Sachs Group Incorporated		6.13			2-15-2033		200,000		277,667
Jefferies Group Incorporated		5.13			1-20-2023		175,000		191,092
Jefferies Group Incorporated		6.45			6-8-2027		105,000		126,583
Jefferies Group Incorporated		6.88			4-15-2021		105,000		110,841
Legg Mason Incorporated		4.75			3-15-2026		190,000		221,068
Moody’s Corporation		4.50			9-1-2022		175,000		186,078
Moody’s Corporation		5.25			7-15-2044		210,000		287,283
Morgan Stanley		4.30			1-27-2045		350,000		430,053
Morgan Stanley		5.00			11-24-2025		200,000		230,785
Morgan Stanley		6.25			8-9-2026		300,000		374,226
Morgan Stanley		7.25			4-1-2032		329,000		487,338
Northern Trust Corporation		3.95			10-30-2025		175,000		196,846
PPL Capital Funding Incorporated		3.10			5-15-2026		100,000		106,020
PPL Capital Funding Incorporated		3.40			6-1-2023		500,000		525,093
PPL Capital Funding Incorporated		4.70			6-1-2043		87,000		104,821
S&P Global Incorporated		4.00			6-15-2025		227,000		255,225
State Street Corporation		1.95			5-19-2021		600,000		604,368
State Street Corporation		2.65			5-19-2026		400,000		421,197
TD Ameritrade Holding Corporation		3.63			4-1-2025		140,000		152,978
									9,365,773
Consumer Finance: 2.64%
American Express Company		2.50			8-1-2022		400,000		407,826
American Express Company		2.65			12-2-2022		402,000		414,140
American Express Company		4.20			11-6-2025		200,000		226,222
American Express Credit Corporation		2.25			5-5-2021		200,000		201,707
American Honda Finance Corporation		1.65			7-12-2021		500,000		502,117
American Honda Finance Corporation		2.90			2-16-2024		200,000		210,176
American Honda Finance Corporation		3.45			7-14-2023		200,000		213,534

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  183

Portfolio of investments—February 29, 2020

INVESTMENT GRADE CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Consumer Finance (continued)
Capital One Financial Corporation		3.75	%		7-28-2026	$	525,000	$	562,492
Capital One Financial Corporation		4.75			7-15-2021		315,000		328,414
Caterpillar Financial Services Corporation		2.63			3-1-2023		260,000		268,433
Caterpillar Financial Services Corporation		3.25			12-1-2024		200,000		214,980
Caterpillar Financial Services Corporation		3.75			11-24-2023		175,000		189,939
Discover Financial Services		3.95			11-6-2024		200,000		216,718
Ford Motor Credit Company LLC		3.10			5-4-2023		200,000		200,777
General Motors Financial Company Incorporated		3.70			5-9-2023		380,000		394,719
John Deere Capital Corporation		3.90			7-12-2021		210,000		217,731
Synchrony Financial		3.70			8-4-2026		200,000		210,368
Synchrony Financial		5.15			3-19-2029		900,000		1,049,374
Toyota Motor Credit Corporation		2.60			1-11-2022		300,000		307,135
Toyota Motor Credit Corporation		2.63			1-10-2023		310,000		322,110
Toyota Motor Credit Corporation		3.40			9-15-2021		245,000		252,843
									6,911,755
Diversified Financial Services: 0.19%
National Rural Utilities Cooperative Finance Corporation		3.40			2-7-2028		300,000		336,665
National Rural Utilities Cooperative Finance Corporation		4.02			11-1-2032		140,000		172,325
									508,990
Insurance: 4.34%
ACE INA Holdings Incorporated		2.70			3-13-2023		280,000		290,995
ACE INA Holdings Incorporated		3.15			3-15-2025		200,000		216,030
ACE INA Holdings Incorporated		3.35			5-15-2024		350,000		377,160
Allstate Corporation (3 Month LIBOR +2.12%) ±		6.50			5-15-2067		140,000		177,800
American International Group Incorporated		4.50			7-16-2044		300,000		367,937
American International Group Incorporated		4.88			6-1-2022		600,000		639,347
American International Group Incorporated (3 Month LIBOR +2.87%) ±		5.75			4-1-2048		200,000		221,250
Aon Corporation		6.25			9-30-2040		70,000		104,192
Arch Capital Group Limited		5.14			11-1-2043		147,000		204,455
Berkshire Hathaway Finance Corporation		4.40			5-15-2042		180,000		224,567
Berkshire Hathaway Finance Corporation		5.75			1-15-2040		175,000		253,430
Berkshire Hathaway Incorporated		3.00			2-11-2023		75,000		78,639
Berkshire Hathaway Incorporated		3.13			3-15-2026		525,000		569,063
Berkshire Hathaway Incorporated		3.40			1-31-2022		175,000		181,703
Berkshire Hathaway Incorporated		4.50			2-11-2043		275,000		351,834
Chubb Corporation		6.00			5-11-2037		196,000		296,490
Hartford Financial Services Group Incorporated		4.30			4-15-2043		30,000		36,719
Lincoln National Corporation		4.00			9-1-2023		175,000		189,092
Loews Corporation		2.63			5-15-2023		105,000		109,006
Loews Corporation		4.13			5-15-2043		140,000		173,409
Marsh & McLennan Companies Incorporated		4.38			3-15-2029		1,100,000		1,281,928
Marsh & McLennan Companies Incorporated		4.80			7-15-2021		210,000		218,002
MetLife Incorporated		3.05			12-15-2022		190,000		198,110
MetLife Incorporated		4.13			8-13-2042		210,000		251,168
MetLife Incorporated		4.37			9-15-2023		400,000		442,125
MetLife Incorporated		4.72			12-15-2044		175,000		226,100
MetLife Incorporated		6.38			6-15-2034		196,000		291,790
MetLife Incorporated		6.40			12-15-2066		200,000		247,040
MetLife Incorporated		6.50			12-15-2032		140,000		206,834
Principal Financial Group Incorporated		3.30			9-15-2022		175,000		183,217
Principal Financial Group Incorporated		3.40			5-15-2025		140,000		151,759
Progressive Corporation		6.25			12-1-2032		252,000		366,915

The accompanying notes are an integral part of these financial statements.

184  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

INVESTMENT GRADE CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Insurance (continued)
Prudential Financial Incorporated		3.91	%		12-7-2047	$	155,000	$	175,463
Prudential Financial Incorporated		3.94			12-7-2049		200,000		220,530
Prudential Financial Incorporated		4.50			11-16-2021		175,000		183,694
Prudential Financial Incorporated		4.60			5-15-2044		350,000		427,011
Prudential Financial Incorporated (3 Month LIBOR +3.04%) ±		5.20			3-15-2044		175,000		186,792
Prudential Financial Incorporated		5.75			7-15-2033		350,000		478,503
Prudential Financial Incorporated		6.63			12-1-2037		45,000		67,755
Reinsurance Group of America Incorporated		5.00			6-1-2021		42,000		43,832
Transatlantic Holdings Incorporated		8.00			11-30-2039		70,000		116,593
Travelers Companies Incorporated		5.35			11-1-2040		245,000		343,032
									11,371,311
Mortgage REITs: 0.59%
CC Holdings GS V LLC		3.85			4-15-2023		350,000		371,627
ERP Operating LP		4.00			8-1-2047		400,000		474,314
Ventas Realty LP		4.40			1-15-2029		600,000		689,450
									1,535,391
Health Care: 9.44%
Biotechnology: 1.38%
AbbVie Incorporated		2.30			5-14-2021		350,000		351,723
AbbVie Incorporated		3.20			5-14-2026		420,000		447,166
AbbVie Incorporated		4.45			5-14-2046		200,000		230,509
Amgen Incorporated		3.63			5-15-2022		200,000		207,311
Amgen Incorporated		3.63			5-22-2024		350,000		378,000
Amgen Incorporated		3.88			11-15-2021		200,000		207,233
Amgen Incorporated		5.75			3-15-2040		56,000		75,028
Amgen Incorporated		6.40			2-1-2039		175,000		251,222
Baxalta Incorporated		5.25			6-23-2045		280,000		393,181
Gilead Sciences Incorporated		3.65			3-1-2026		350,000		385,252
Gilead Sciences Incorporated		4.50			2-1-2045		200,000		244,838
Gilead Sciences Incorporated		4.75			3-1-2046		350,000		449,210
									3,620,673
Health Care Equipment & Supplies: 1.21%
Abbott Laboratories		6.00			4-1-2039		105,000		157,328
Abbott Laboratories		6.15			11-30-2037		166,000		247,271
Becton Dickinson & Company		2.89			6-6-2022		500,000		513,375
Becton Dickinson & Company		3.13			11-8-2021		210,000		215,405
Boston Scientific Corporation		3.85			5-15-2025		200,000		220,322
Boston Scientific Corporation		4.70			3-1-2049		600,000		782,957
Medtronic Incorporated		3.15			3-15-2022		350,000		362,640
Medtronic Incorporated		3.50			3-15-2025		200,000		218,952
Stryker Corporation		4.63			3-15-2046		350,000		447,685
									3,165,935
Health Care Providers & Services: 2.98%
Aetna Incorporated		4.13			11-15-2042		175,000		187,955
Aetna Incorporated		4.50			5-15-2042		200,000		225,666
AmerisourceBergen Corporation		3.50			11-15-2021		210,000		215,964
AmerisourceBergen Corporation		4.25			3-1-2045		175,000		189,813
Anthem Incorporated		4.38			12-1-2047		200,000		226,869

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  185

Portfolio of investments—February 29, 2020

INVESTMENT GRADE CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Health Care Providers & Services (continued)
Cardinal Health Incorporated		2.62	%		6-15-2022	$	400,000	$	409,612
Catholic Health Initiatives		4.35			11-1-2042		175,000		197,619
Cigna Corporation 144A		3.00			7-15-2023		300,000		311,499
Cigna Corporation 144A		4.00			2-15-2022		175,000		181,540
Cigna Corporation 144A		4.80			7-15-2046		210,000		252,741
Cigna Corporation 144A		6.13			11-15-2041		175,000		238,994
CVS Caremark Corporation		2.75			12-1-2022		350,000		360,408
CVS Caremark Corporation		5.30			12-5-2043		210,000		259,879
CVS Health Corporation		2.13			6-1-2021		260,000		261,507
HCA Incorporated		5.50			6-15-2047		500,000		593,871
Humana Incorporated		3.15			12-1-2022		210,000		218,100
Kaiser Foundation Hospitals		4.88			4-1-2042		175,000		238,403
Laboratory Corporation of America Holdings		3.75			8-23-2022		39,000		40,740
Laboratory Corporation of America Holdings		4.00			11-1-2023		105,000		112,688
McKesson Corporation		2.85			3-15-2023		140,000		144,497
Quest Diagnostics Incorporated		4.70			4-1-2021		112,000		115,600
UnitedHealth Group Incorporated		4.20			1-15-2047		200,000		239,570
UnitedHealth Group Incorporated		4.25			3-15-2043		175,000		208,835
UnitedHealth Group Incorporated		4.25			4-15-2047		300,000		363,056
UnitedHealth Group Incorporated		4.25			6-15-2048		300,000		363,980
UnitedHealth Group Incorporated		5.80			3-15-2036		175,000		240,012
UnitedHealth Group Incorporated		6.63			11-15-2037		105,000		156,318
WellPoint Incorporated		3.13			5-15-2022		350,000		361,359
WellPoint Incorporated		3.30			1-15-2023		200,000		209,046
WellPoint Incorporated		4.65			1-15-2043		315,000		369,506
WellPoint Incorporated		4.65			8-15-2044		50,000		58,319
WellPoint Incorporated		5.85			1-15-2036		200,000		259,278
									7,813,244
Life Sciences Tools & Services: 0.31%
Agilent Technologies Incorporated		3.88			7-15-2023		105,000		111,711
Thermo Fisher Scientific Incorporated		3.00			4-15-2023		200,000		208,719
Thermo Fisher Scientific Incorporated		4.15			2-1-2024		280,000		305,358
Thermo Fisher Scientific Incorporated		5.30			2-1-2044		140,000		189,498
									815,286
Pharmaceuticals: 3.56%
Bristol-Myers Squibb Company 144A		3.25			8-15-2022		350,000		365,859
Bristol-Myers Squibb Company		3.25			11-1-2023		109,000		116,011
Bristol-Myers Squibb Company		3.25			8-1-2042		175,000		194,523
Bristol-Myers Squibb Company 144A		3.88			8-15-2025		175,000		193,837
Bristol-Myers Squibb Company 144A		4.25			10-26-2049		400,000		514,547
Bristol-Myers Squibb Company		4.50			3-1-2044		200,000		263,050
Bristol-Myers Squibb Company 144A		4.63			5-15-2044		240,000		312,250
Eli Lilly & Company		2.75			6-1-2025		70,000		74,975
Eli Lilly & Company		3.95			3-15-2049		600,000		733,302
GlaxoSmithKline Capital Incorporated		2.80			3-18-2023		140,000		145,492
GlaxoSmithKline Capital Incorporated		2.85			5-8-2022		700,000		721,284
GlaxoSmithKline Capital Incorporated		5.38			4-15-2034		210,000		293,164
Johnson & Johnson		3.38			12-5-2023		300,000		323,664
Johnson & Johnson		3.70			3-1-2046		175,000		212,759
Johnson & Johnson		4.38			12-5-2033		200,000		250,890
Johnson & Johnson		4.85			5-15-2041		140,000		188,659
Johnson & Johnson		4.95			5-15-2033		126,000		165,952

The accompanying notes are an integral part of these financial statements.

186  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

INVESTMENT GRADE CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Pharmaceuticals (continued)
Merck & Company Incorporated		2.35	%		2-10-2022	$	250,000	$	254,450
Merck & Company Incorporated		2.75			2-10-2025		270,000		286,047
Merck & Company Incorporated		3.70			2-10-2045		200,000		237,340
Mylan Incorporated		4.20			11-29-2023		200,000		215,394
Novartis Capital Corporation		2.40			9-21-2022		350,000		360,198
Novartis Capital Corporation		3.40			5-6-2024		700,000		756,296
Novartis Capital Corporation		3.70			9-21-2042		175,000		209,710
Pfizer Incorporated		3.00			12-15-2026		400,000		433,651
Pfizer Incorporated		4.13			12-15-2046		420,000		519,554
Pfizer Incorporated		4.30			6-15-2043		210,000		270,422
Schering-Plough Corporation		6.50			12-1-2033		175,000		255,370
Zoetis Incorporated		4.70			2-1-2043		350,000		451,932
									9,320,582
Industrials: 8.58%
Aerospace & Defense: 2.41%
General Dynamics Corporation		2.25			11-15-2022		350,000		358,017
General Dynamics Corporation		3.75			5-15-2028		600,000		680,948
General Dynamics Corporation		3.88			7-15-2021		140,000		144,038
Lockheed Martin Corporation		3.35			9-15-2021		175,000		180,320
Lockheed Martin Corporation		4.07			12-15-2042		229,000		280,633
Lockheed Martin Corporation		4.70			5-15-2046		350,000		468,001
Lockheed Martin Corporation		6.15			9-1-2036		122,000		176,590
Northrop Grumman Corporation		3.50			3-15-2021		210,000		214,041
Northrop Grumman Corporation		4.03			10-15-2047		400,000		476,871
Northrop Grumman Corporation		5.05			11-15-2040		70,000		91,461
Northrop Grumman Corporation		7.75			2-15-2031		210,000		313,338
Precision Castparts Corporation		2.50			1-15-2023		175,000		181,056
Precision Castparts Corporation		3.90			1-15-2043		140,000		167,896
Raytheon Company		2.50			12-15-2022		245,000		252,249
Raytheon Company		7.20			8-15-2027		84,000		112,965
Rockwell Collins Incorporated		3.70			12-15-2023		245,000		262,659
Rockwell Collins Incorporated		4.80			12-15-2043		175,000		229,844
Textron Incorporated		4.30			3-1-2024		140,000		152,783
The Boeing Company		2.60			10-30-2025		300,000		306,764
The Boeing Company		2.80			3-1-2023		200,000		205,892
The Boeing Company		3.20			3-1-2029		200,000		213,852
The Boeing Company		5.88			2-15-2040		21,000		28,204
United Technologies Corporation		3.75			11-1-2046		200,000		230,010
United Technologies Corporation		7.50			9-15-2029		400,000		583,064
									6,311,496
Air Freight & Logistics: 0.80%
FedEx Corporation		3.88			8-1-2042		140,000		138,258
FedEx Corporation		4.00			1-15-2024		203,000		220,735
FedEx Corporation		4.55			4-1-2046		350,000		384,247
FedEx Corporation		4.90			1-15-2034		175,000		205,122
FedEx Corporation		5.10			1-15-2044		210,000		243,877
United Parcel Service Incorporated		2.35			5-16-2022		300,000		305,699
United Parcel Service Incorporated		2.45			10-1-2022		280,000		287,071
United Parcel Service Incorporated		6.20			1-15-2038		206,000		303,309
									2,088,318

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  187

Portfolio of investments—February 29, 2020

INVESTMENT GRADE CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Airlines: 0.18%
American Airlines Incorporated		3.20	%		12-15-2029	$	52,979	$	56,924
American Airlines Incorporated		3.38			11-1-2028		24,880		26,686
American Airlines Incorporated		4.95			7-15-2024		102,384		107,735
Delta Air Lines Incorporated		6.82			2-10-2024		31,717		34,752
United Airlines Incorporated		4.30			2-15-2027		167,377		183,386
US Airways Group Incorporated		3.95			5-15-2027		68,498		73,978
									483,461
Building Products: 0.08%
Masco Corporation		4.38			4-1-2026		190,000		214,750
Commercial Services & Supplies: 0.51%
Cintas Corporation No. 2		3.25			6-1-2022		70,000		72,275
Republic Services Incorporated		2.90			7-1-2026		260,000		276,306
Republic Services Incorporated		5.25			11-15-2021		35,000		37,272
Waste Management Incorporated		4.10			3-1-2045		650,000		797,920
Waste Management Incorporated		4.60			3-1-2021		140,000		142,932
									1,326,705
Industrial Conglomerates: 1.27%
3M Company		4.00			9-14-2048		800,000		943,926
3M Company		5.70			3-15-2037		227,000		326,204
General Electric Company		3.10			1-9-2023		300,000		311,404
General Electric Company		4.13			10-9-2042		400,000		427,403
General Electric Company		4.50			3-11-2044		200,000		231,886
General Electric Company		5.88			1-14-2038		200,000		256,494
Honeywell International Incorporated		3.35			12-1-2023		140,000		150,750
Honeywell International Incorporated		3.81			11-21-2047		500,000		634,796
Honeywell International Incorporated		4.25			3-1-2021		35,000		35,980
									3,318,843
Machinery: 0.80%
Caterpillar Incorporated		3.80			8-15-2042		105,000		125,197
Caterpillar Incorporated		4.75			5-15-2064		300,000		410,461
Deere & Company		2.60			6-8-2022		350,000		357,327
Deere & Company		5.38			10-16-2029		210,000		274,444
Dover Corporation		5.38			10-15-2035		140,000		185,682
Illinois Tool Works Incorporated		3.38			9-15-2021		84,000		86,301
Illinois Tool Works Incorporated		3.90			9-1-2042		214,000		270,324
Parker Hannifin Corporation		3.50			9-15-2022		70,000		73,489
Parker Hannifin Corporation		6.25			5-15-2038		42,000		60,325
Stanley Black & Decker Incorporated		2.90			11-1-2022		245,000		254,600
									2,098,150
Professional Services: 0.07%
Verisk Analytics Incorporated		4.13			9-12-2022		175,000		185,951
Road & Rail: 1.86%
Burlington Northern Santa Fe LLC		3.00			3-15-2023		210,000		218,771
Burlington Northern Santa Fe LLC		3.40			9-1-2024		210,000		226,789
Burlington Northern Santa Fe LLC		4.55			9-1-2044		210,000		259,910
Burlington Northern Santa Fe LLC		4.95			9-15-2041		140,000		181,888
Burlington Northern Santa Fe LLC		5.15			9-1-2043		210,000		283,092
CSX Corporation		3.40			8-1-2024		278,000		297,427

The accompanying notes are an integral part of these financial statements.

188  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

INVESTMENT GRADE CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Road & Rail (continued)
CSX Corporation		4.50	%		8-1-2054	$	350,000	$	434,036
CSX Corporation		4.75			5-30-2042		161,000		201,744
CSX Corporation		6.22			4-30-2040		140,000		204,579
Kansas City Southern		3.00			5-15-2023		51,000		53,164
Kansas City Southern		4.30			5-15-2043		140,000		169,796
Norfolk Southern Corporation		2.90			6-15-2026		250,000		267,031
Norfolk Southern Corporation		2.90			2-15-2023		400,000		415,985
Norfolk Southern Corporation		3.15			6-1-2027		300,000		324,510
Norfolk Southern Corporation		3.85			1-15-2024		140,000		151,891
Union Pacific Corporation		2.75			4-15-2023		200,000		206,495
Union Pacific Corporation		3.25			1-15-2025		175,000		187,482
Union Pacific Corporation		3.75			3-15-2024		140,000		151,056
Union Pacific Corporation		3.80			10-1-2051		200,000		222,536
Union Pacific Corporation		4.15			1-15-2045		175,000		202,827
Union Pacific Corporation		4.30			6-15-2042		175,000		207,593
									4,868,602
Trading Companies & Distributors: 0.60%
Air Lease Corporation		3.25			3-1-2025		200,000		209,101
Air Lease Corporation		3.63			12-1-2027		900,000		949,949
GATX Corporation		4.85			6-1-2021		70,000		72,768
W.W. Grainger Incorporated		4.60			6-15-2045		280,000		352,972
									1,584,790
Information Technology: 6.76%
Communications Equipment: 0.39%
Cisco Systems Incorporated		2.20			9-20-2023		300,000		308,373
Cisco Systems Incorporated		2.95			2-28-2026		340,000		366,543
Cisco Systems Incorporated		3.00			6-15-2022		340,000		354,374
									1,029,290
Electronic Equipment, Instruments & Components: 0.13%
Corning Incorporated		5.75			8-15-2040		105,000		134,770
Keysight Technologies Incorporated		4.55			10-30-2024		175,000		195,564
									330,334
IT Services: 1.78%
Fidelity National Information Services Incorporated		3.00			8-15-2026		400,000		427,277
Fidelity National Information Services Incorporated		3.50			4-15-2023		49,000		51,576
Fiserv Incorporated		3.50			7-1-2029		1,000,000		1,093,000
Fiserv Incorporated		3.85			6-1-2025		210,000		229,605
IBM Corporation		1.88			8-1-2022		280,000		283,380
IBM Corporation		3.38			8-1-2023		210,000		223,632
IBM Corporation		5.88			11-29-2032		175,000		242,291
IBM Corporation		7.00			10-30-2025		210,000		267,735
Mastercard Incorporated		3.50			2-26-2028		400,000		445,653
Total System Services Incorporated		3.75			6-1-2023		105,000		111,278
Visa Incorporated		2.75			9-15-2027		300,000		319,690
Visa Incorporated		2.80			12-14-2022		800,000		830,643
Western Union Company		6.20			11-17-2036		122,000		149,875
									4,675,635

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  189

Portfolio of investments—February 29, 2020

INVESTMENT GRADE CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Semiconductors & Semiconductor Equipment: 1.84%
Analog Devices Incorporated		2.88	%		6-1-2023	$	105,000	$	109,203
Applied Materials Incorporated		4.30			6-15-2021		210,000		218,107
Applied Materials Incorporated		5.85			6-15-2041		140,000		208,788
Broadcom Corporation		3.50			1-15-2028		900,000		929,396
Broadcom Corporation		3.88			1-15-2027		300,000		314,612
Intel Corporation		2.60			5-19-2026		220,000		230,792
Intel Corporation		4.10			5-19-2046		300,000		369,263
Intel Corporation		4.25			12-15-2042		175,000		218,433
Intel Corporation		4.90			7-29-2045		230,000		309,654
Micron Technology Incorporated		5.33			2-6-2029		500,000		573,917
Qualcomm Incorporated		3.25			5-20-2027		200,000		215,798
Qualcomm Incorporated		3.45			5-20-2025		700,000		760,909
Texas Instruments Incorporated		2.25			5-1-2023		175,000		178,996
Xilinx Incorporated		3.00			3-15-2021		175,000		177,810
									4,815,678
Software: 1.04%
Autodesk Incorporated		3.60			12-15-2022		175,000		183,656
Microsoft Corporation		3.75			5-1-2043		33,000		39,614
Microsoft Corporation		4.50			2-6-2057		750,000		1,053,849
Microsoft Corporation		5.20			6-1-2039		77,000		109,779
Oracle Corporation		3.40			7-8-2024		200,000		214,542
Oracle Corporation		4.00			7-15-2046		350,000		417,790
Oracle Corporation		4.30			7-8-2034		175,000		215,154
Oracle Corporation		4.38			5-15-2055		200,000		255,169
Salesforce.com Incorporated		3.70			4-11-2028		200,000		226,034
									2,715,587
Technology Hardware, Storage & Peripherals: 1.58%
Apple Incorporated		3.35			2-9-2027		200,000		219,978
Apple Incorporated		3.75			11-13-2047		400,000		478,168
Apple Incorporated		4.38			5-13-2045		350,000		447,371
Apple Incorporated		4.65			2-23-2046		200,000		266,022
Dell International LLC 144A		8.10			7-15-2036		400,000		549,211
Diamond 1 Finance Corporation 144A		4.42			6-15-2021		400,000		412,023
Hewlett-Packard Enterprise Company		4.90			10-15-2025		900,000		1,019,452
Hewlett-Packard Enterprise Company		6.00			9-15-2041		332,000		380,904
Seagate HDD		4.75			1-1-2025		350,000		370,008
									4,143,137
Materials: 2.82%
Chemicals: 1.69%
Air Products & Chemicals Incorporated		3.00			11-3-2021		175,000		180,249
Dow Chemical Company		3.50			10-1-2024		200,000		214,471
Dow Chemical Company		4.25			10-1-2034		175,000		195,047
Dow Chemical Company		5.25			11-15-2041		175,000		212,662
DuPont de Nemours Incorporated		4.73			11-15-2028		900,000		1,040,814
Eastman Chemical Company		4.80			9-1-2042		140,000		159,384
Ecolab Incorporated		4.35			12-8-2021		286,000		301,016
Mosaic Company		3.75			11-15-2021		80,000		82,479
Mosaic Company		5.63			11-15-2043		175,000		207,124
Praxair Incorporated		2.45			2-15-2022		140,000		142,351
Praxair Incorporated		2.70			2-21-2023		105,000		108,443

The accompanying notes are an integral part of these financial statements.

190  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

INVESTMENT GRADE CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Chemicals (continued)
Praxair Incorporated		4.05	%		3-15-2021	$	140,000	$	143,914
The Sherwin-Williams Company		4.50			6-1-2047		1,200,000		1,440,369
									4,428,323
Containers & Packaging: 0.50%
International Paper Company		3.00			2-15-2027		200,000		212,106
International Paper Company		3.65			6-15-2024		350,000		375,353
International Paper Company		7.30			11-15-2039		175,000		261,970
International Paper Company		7.50			8-15-2021		214,000		232,454
MeadWestvaco Corporation		7.95			2-15-2031		35,000		50,150
Packaging Corporation of America		3.65			9-15-2024		175,000		189,763
									1,321,796
Metals & Mining: 0.56%
Barrick Gold Finance Company LLC		5.70			5-30-2041		210,000		285,293
Newmont Goldcorp Corporation		3.70			3-15-2023		210,000		223,098
Nucor Corporation		4.00			8-1-2023		132,000		142,080
Nucor Corporation		5.20			8-1-2043		140,000		186,601
Nucor Corporation		6.40			12-1-2037		140,000		204,846
Southern Copper Corporation		6.75			4-16-2040		308,000		420,483
									1,462,401
Paper & Forest Products: 0.07%
Georgia-Pacific LLC		8.00			1-15-2024		140,000		173,983
Real Estate: 3.74%
Equity REITs: 3.74%
Alexandria Real Estate Equities Incorporated		4.70			7-1-2030		400,000		483,123
American Campus Communities Incorporated		3.75			4-15-2023		70,000		74,501
American Tower Corporation		3.50			1-31-2023		295,000		310,597
American Tower Corporation		4.00			6-1-2025		350,000		385,429
American Tower Corporation		5.00			2-15-2024		245,000		274,770
AvalonBay Communities Incorporated		3.45			6-1-2025		140,000		153,034
AvalonBay Communities Incorporated		4.20			12-15-2023		175,000		192,539
Boston Properties LP		2.75			10-1-2026		500,000		529,019
Boston Properties LP		3.13			9-1-2023		105,000		110,412
Boston Properties LP		3.80			2-1-2024		300,000		323,737
Boston Properties LP		3.85			2-1-2023		200,000		212,484
Boston Properties LP		4.13			5-15-2021		210,000		215,349
Corporate Office Properties LP		3.60			5-15-2023		70,000		73,389
Crown Castle International Corporation		3.70			6-15-2026		350,000		380,392
Crown Castle International Corporation		4.88			4-15-2022		50,000		53,079
Crown Castle International Corporation		5.25			1-15-2023		350,000		384,050
Digital Realty Trust LP		3.63			10-1-2022		140,000		146,329
Digital Realty Trust LP		3.95			7-1-2022		140,000		146,860
Equity One Incorporated		3.75			11-15-2022		175,000		184,413
Essex Portfolio LP		3.25			5-1-2023		70,000		73,522
Federal Realty Investment Trust		4.50			12-1-2044		175,000		219,662
HCP Incorporated		3.15			8-1-2022		70,000		72,377
HCP Incorporated		6.75			2-1-2041		95,000		146,026
Health Care REIT Incorporated		4.00			6-1-2025		210,000		231,483
Health Care REIT Incorporated		4.50			1-15-2024		140,000		153,684
Hospitality Properties Trust		4.65			3-15-2024		350,000		369,672

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  191

Portfolio of investments—February 29, 2020

INVESTMENT GRADE CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Equity REITs (continued)
Host Hotels & Resorts Company		3.75	%		10-15-2023	$	70,000	$	74,408
Host Hotels & Resorts Company		4.75			3-1-2023		175,000		189,529
Kilroy Realty Corporation		3.80			1-15-2023		175,000		184,853
Kimco Realty Corporation		2.80			10-1-2026		350,000		367,245
Liberty Property LP		4.40			2-15-2024		109,000		121,320
Mid-America Apartments LP		4.30			10-15-2023		35,000		38,141
National Retail Properties Incorporated		3.30			4-15-2023		70,000		73,259
National Retail Properties Incorporated		3.80			10-15-2022		70,000		74,171
Plum Creek Timberlands LP		3.25			3-15-2023		192,000		200,176
Realty Income Corporation		4.65			8-1-2023		210,000		231,096
Simon Property Group LP		3.30			1-15-2026		410,000		444,899
Simon Property Group LP		3.75			2-1-2024		175,000		188,262
Simon Property Group LP		4.75			3-15-2042		175,000		219,948
Ventas Realty LP		3.50			2-1-2025		400,000		428,591
VEREIT Operating Partnership LP		4.60			2-6-2024		98,000		107,812
VEREIT Operating Partnership LP		4.88			6-1-2026		119,000		135,841
Welltower Incorporated		4.95			9-1-2048		400,000		519,193
Weyerhaeuser Company		7.38			3-15-2032		200,000		283,688
									9,782,364
Utilities: 7.26%
Electric Utilities: 5.43%
Alabama Power Company		3.55			12-1-2023		175,000		187,850
Alabama Power Company		3.85			12-1-2042		140,000		161,113
Alabama Power Company		4.15			8-15-2044		105,000		124,855
American Electric Power Company Incorporated		2.95			12-15-2022		300,000		311,077
Appalachian Power Company		3.40			6-1-2025		175,000		188,232
Appalachian Power Company		4.45			6-1-2045		175,000		213,629
Appalachian Power Company		7.00			4-1-2038		70,000		107,234
Arizona Public Service Company		3.15			5-15-2025		105,000		112,365
Arizona Public Service Company		4.50			4-1-2042		70,000		88,726
Baltimore Gas & Electric Company		3.50			8-15-2046		50,000		54,761
Carolina Power & Light Company		2.80			5-15-2022		175,000		179,345
CenterPoint Energy Houston		3.55			8-1-2042		175,000		199,189
CenterPoint Energy Houston		4.50			4-1-2044		175,000		226,826
Commonwealth Edison Company		3.80			10-1-2042		70,000		81,035
Commonwealth Edison Company		5.90			3-15-2036		175,000		245,824
Connecticut Light & Power Company		4.15			6-1-2045		87,000		109,069
Consolidated Edison Company of New York Incorporated Series 07-A		6.30			8-15-2037		175,000		253,568
Consolidated Edison Company of New York Incorporated Series 14-C		4.63			12-1-2054		300,000		386,630
Consolidated Edison Company of New York Incorporated Series 16-C		4.30			12-1-2056		245,000		296,930
DTE Electric Company		3.65			3-15-2024		105,000		113,640
Duke Energy Corporation		3.05			8-15-2022		70,000		72,086
Duke Energy Corporation		3.95			10-15-2023		140,000		150,272
Duke Energy Florida Incorporated		3.85			11-15-2042		70,000		79,946
Duke Energy Indiana Incorporated		4.90			7-15-2043		105,000		138,793
Duke Energy Indiana Incorporated		6.45			4-1-2039		45,000		70,193
Duke Energy Progress Incorporated		4.10			3-15-2043		105,000		123,378
Emera US Finance LP		3.55			6-15-2026		200,000		217,159
Entergy Arkansas Incorporated		3.70			6-1-2024		175,000		189,723
Entergy Gulf States Louisiana LLC		5.59			10-1-2024		84,000		98,646
Eversource Energy		2.80			5-1-2023		122,000		126,778
Exelon Corporation		4.95			6-15-2035		140,000		171,437

The accompanying notes are an integral part of these financial statements.

192  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

INVESTMENT GRADE CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Electric Utilities (continued)
Exelon Generation Company LLC		4.25	%		6-15-2022	$	157,000	$	165,303
FirstEnergy Corporation		4.25			3-15-2023		168,000		179,803
Florida Power & Light Company		4.05			6-1-2042		175,000		216,699
Florida Power & Light Company		5.95			2-1-2038		224,000		335,054
Florida Power & Light Company		5.96			4-1-2039		175,000		266,350
Florida Power Corporation		5.65			4-1-2040		87,000		124,951
Georgia Power Company		4.30			3-15-2042		175,000		203,055
Interstate Power & Light Company		6.25			7-15-2039		21,000		29,115
Kansas City Power & Light Company		3.15			3-15-2023		140,000		146,702
MidAmerican Energy Holdings Company		5.95			5-15-2037		210,000		304,266
MidAmerican Energy Holdings Company		6.13			4-1-2036		140,000		200,092
MidAmerican Energy Holdings Company		6.75			12-30-2031		105,000		156,243
Northern States Power Company of Minnesota		2.15			8-15-2022		175,000		178,920
Northern States Power Company of Minnesota		2.60			5-15-2023		105,000		108,619
Northern States Power Company of Minnesota		3.40			8-15-2042		175,000		199,780
Northern States Power Company of Minnesota		5.35			11-1-2039		28,000		39,639
NSTAR Electric Company		2.38			10-15-2022		140,000		143,760
NSTAR Electric Company		5.50			3-15-2040		70,000		98,053
Oglethorpe Power Corporation		5.95			11-1-2039		105,000		133,975
Ohio Edison Company		6.88			7-15-2036		175,000		271,539
Ohio Power Company		5.38			10-1-2021		45,000		47,924
Oncor Electric Delivery Company LLC		4.55			12-1-2041		140,000		183,724
Oncor Electric Delivery Company LLC		7.00			5-1-2032		122,000		183,428
PacifiCorp		3.60			4-1-2024		175,000		189,772
PacifiCorp		4.10			2-1-2042		70,000		85,267
PacifiCorp		5.75			4-1-2037		175,000		247,879
Potomac Electric Power Company		3.60			3-15-2024		175,000		187,661
Potomac Electric Power Company		6.50			11-15-2037		140,000		208,614
PPL Capital Funding Incorporated		4.20			6-15-2022		140,000		147,240
PPL Electric Utilities		4.75			7-15-2043		105,000		135,722
PPL Electric Utilities		6.25			5-15-2039		31,000		45,859
PSEG Power LLC		8.63			4-15-2031		75,000		107,016
Public Service Company of Colorado		2.25			9-15-2022		70,000		71,320
Public Service Electric & Gas Company		2.38			5-15-2023		140,000		144,036
Public Service Electric & Gas Company		3.65			9-1-2042		175,000		203,797
Public Service Electric & Gas Company		3.80			1-1-2043		140,000		165,775
Public Service Electric & Gas Company		3.95			5-1-2042		70,000		84,416
Public Service Electric & Gas Company		5.80			5-1-2037		70,000		99,261
South Carolina Electric & Gas Company		5.10			6-1-2065		100,000		144,109
Southern California Edison Company		3.88			6-1-2021		449,000		457,297
Southern California Edison Company		3.90			3-15-2043		105,000		114,940
Southern California Edison Company		5.35			7-15-2035		126,000		167,255
Southern California Edison Company		5.50			3-15-2040		140,000		188,888
Southern California Edison Company		6.00			1-15-2034		70,000		97,218
Southern Company		2.95			7-1-2023		200,000		207,859
Southwestern Electric Power Company		6.20			3-15-2040		35,000		50,134
TXU Electric Delivery Company		7.25			1-15-2033		52,000		80,347
Union Electric Company		3.90			9-15-2042		175,000		212,709
Union Electric Company		8.45			3-15-2039		56,000		99,130
Virginia Electric & Power Company		3.10			5-15-2025		70,000		74,561
Virginia Electric & Power Company		3.45			2-15-2024		105,000		111,921
Virginia Electric & Power Company		4.20			5-15-2045		105,000		126,821
Virginia Electric & Power Company		4.45			2-15-2044		105,000		129,963
Virginia Electric & Power Company		6.00			1-15-2036		70,000		99,531

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  193

Portfolio of investments—February 29, 2020

INVESTMENT GRADE CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Electric Utilities (continued)
Westar Energy Incorporated		4.10	%		4-1-2043	$	210,000	$	258,700
Wisconsin Electric Power Company		5.63			5-15-2033		70,000		95,530
Wisconsin Electric Power Company		5.70			12-1-2036		105,000		145,317
Wisconsin Power & Light Company		6.38			8-15-2037		175,000		252,289
									14,235,457
Gas Utilities: 0.36%
Atmos Energy Corporation		4.13			10-15-2044		245,000		291,631
Atmos Energy Corporation		5.50			6-15-2041		42,000		57,114
CenterPoint Energy Resources Corporation		5.85			1-15-2041		77,000		106,787
National Fuel Gas Company		3.75			3-1-2023		218,000		228,266
One Gas Incorporated		3.61			2-1-2024		70,000		74,647
One Gas Incorporated		4.66			2-1-2044		35,000		44,094
Piedmont Natural Gas Company		4.65			8-1-2043		35,000		42,848
Southern California Gas Company		5.13			11-15-2040		70,000		90,165
									935,552
Multi-Utilities: 1.38%
Black Hills Corporation		4.25			11-30-2023		210,000		228,141
CMS Energy Corporation		5.05			3-15-2022		245,000		260,530
Consumers Energy Company		3.95			5-15-2043		140,000		169,463
Dominion Resources Incorporated		2.75			9-15-2022		210,000		214,776
Dominion Resources Incorporated		4.90			8-1-2041		42,000		52,145
Dominion Resources Incorporated		5.95			6-15-2035		157,000		212,119
DTE Energy Company		3.30			6-15-2022		70,000		72,728
DTE Energy Company		3.85			12-1-2023		170,000		182,109
Entergy Louisiana LLC		4.20			4-1-2050		500,000		623,707
NiSource Finance Corporation		5.65			2-1-2045		140,000		191,153
Puget Energy Incorporated		3.65			5-15-2025		140,000		150,348
Puget Energy Incorporated		6.00			9-1-2021		175,000		186,793
Sempra Energy		2.88			10-1-2022		140,000		144,269
Sempra Energy		3.25			6-15-2027		300,000		321,480
Sempra Energy		4.00			2-1-2048		400,000		442,719
WEC Energy Group Incorporated		3.55			6-15-2025		140,000		152,439
									3,604,919
Water Utilities: 0.09%
American Water Capital Corporation		3.40			3-1-2025		210,000		228,476
Total Corporate Bonds and Notes (Cost $187,618,909)									209,553,154
Yankee Corporate Bonds and Notes: 18.56%
Communication Services: 1.78%
Diversified Telecommunication Services: 0.43%
British Telecommunications plc		9.63			12-15-2030		200,000		316,721
Telefonica Emisiones SA		4.90			3-6-2048		300,000		365,227
Telefonica Europe BV		8.25			9-15-2030		294,000		433,443
									1,115,391
Wireless Telecommunication Services: 1.35%
America Movil SAB de CV		4.38			4-22-2049		500,000		619,515
America Movil SAB de CV		6.38			3-1-2035		395,000		568,524

The accompanying notes are an integral part of these financial statements.

194  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

INVESTMENT GRADE CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Wireless Telecommunication Services (continued)
Rogers Communications Incorporated		4.35	%		5-1-2049	$	300,000	$	357,908
Rogers Communications Incorporated		4.50			3-15-2043		740,000		878,338
Vodafone Group plc		2.95			2-19-2023		190,000		197,736
Vodafone Group plc		4.38			2-19-2043		350,000		394,481
Vodafone Group plc		6.25			11-30-2032		210,000		282,109
Vodafone Group plc		7.88			2-15-2030		175,000		250,572
									3,549,183
Consumer Discretionary: 0.42%
Auto Components: 0.08%
Magna International Incorporated		4.15			10-1-2025		175,000		196,280
Internet & Direct Marketing Retail: 0.34%
Alibaba Group Holding Limited		3.13			11-28-2021		250,000		256,314
Alibaba Group Holding Limited		3.40			12-6-2027		400,000		430,613
Alibaba Group Holding Limited		3.60			11-28-2024		200,000		214,925
									901,852
Consumer Staples: 0.15%
Beverages: 0.15%
Diageo Capital plc		2.63			4-29-2023		210,000		217,795
Diageo Capital plc		5.88			9-30-2036		122,000		177,888
									395,683
Energy: 1.88%
Oil, Gas & Consumable Fuels: 1.88%
BP Capital Markets plc		3.81			2-10-2024		350,000		378,189
Canadian Natural Resources Limited		3.85			6-1-2027		200,000		213,822
Canadian Natural Resources Limited		3.90			2-1-2025		210,000		228,187
Canadian Natural Resources Limited		4.95			6-1-2047		200,000		237,994
Canadian Natural Resources Limited		6.75			2-1-2039		110,000		152,375
Cenovus Energy Incorporated		3.00			8-15-2022		145,000		149,365
Cenovus Energy Incorporated		6.75			11-15-2039		240,000		295,616
Encana Corporation		6.50			8-15-2034		200,000		214,458
Husky Energy Incorporated		6.80			9-15-2037		70,000		92,356
Petro-Canada		5.95			5-15-2035		140,000		193,078
Suncor Energy Incorporated		5.95			12-1-2034		52,000		71,848
Total Capital Canada Limited		2.75			7-15-2023		245,000		255,081
Total Capital International SA		2.70			1-25-2023		385,000		398,117
Total Capital International SA		2.88			2-17-2022		175,000		180,125
Total Capital International SA		3.75			4-10-2024		350,000		380,749
TransCanada PipeLines Limited		3.75			10-16-2023		175,000		186,586
TransCanada PipeLines Limited		4.63			3-1-2034		850,000		993,573
TransCanada PipeLines Limited		6.10			6-1-2040		210,000		293,828
									4,915,347
Financials: 11.55%
Banks: 9.46%
Banco Santander SA		4.38			4-12-2028		800,000		901,842
Bank of Montreal		1.90			8-27-2021		470,000		473,409
Bank of Montreal		2.35			9-11-2022		200,000		204,376

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  195

Portfolio of investments—February 29, 2020

INVESTMENT GRADE CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Banks (continued)
Bank of Montreal (5 Year USD Swap +1.43%) ±		3.80	%		12-15-2032	$	600,000	$	646,680
Bank of Nova Scotia		2.45			9-19-2022		300,000		307,859
Bank of Nova Scotia		4.50			12-16-2025		500,000		564,884
Barclays plc		4.38			1-12-2026		200,000		220,690
Barclays plc		5.25			8-17-2045		400,000		508,144
BNP Paribas		4.25			10-15-2024		400,000		436,177
BPCE SA		2.75			12-2-2021		330,000		337,101
Cooperatieve Rabobank UA		3.75			7-21-2026		780,000		846,017
Credit Suisse Group Funding Limited		3.45			4-16-2021		550,000		560,938
Credit Suisse Group Funding Limited		4.55			4-17-2026		750,000		845,981
HSBC Holdings plc		4.00			3-30-2022		200,000		209,122
HSBC Holdings plc (3 Month LIBOR +1.55%) ±		4.04			3-13-2028		1,500,000		1,643,345
HSBC Holdings plc (3 Month LIBOR +1.53%) ±		4.58			6-19-2029		400,000		454,348
HSBC Holdings plc		4.88			1-14-2022		175,000		185,289
ING Banking Group plc		4.55			10-2-2028		900,000		1,063,198
Lloyds Banking Group plc (3 Month LIBOR +1.21%) ±		3.57			11-7-2028		800,000		848,081
Lloyds Banking Group plc		4.58			12-10-2025		250,000		273,227
Lloyds Banking Group plc		5.30			12-1-2045		300,000		387,543
Mitsubishi UFJ Financial Group Incorporated		2.19			9-13-2021		600,000		607,123
Mitsubishi UFJ Financial Group Incorporated		2.76			9-13-2026		700,000		736,879
Mitsubishi UFJ Financial Group Incorporated		3.68			2-22-2027		200,000		220,749
Mizuho Financial Group		2.95			2-28-2022		750,000		770,473
Mizuho Financial Group		3.17			9-11-2027		600,000		646,459
National Australia Bank Limited		2.50			7-12-2026		800,000		833,200
Rabobank Nederland NV		3.88			2-8-2022		250,000		261,743
Royal Bank of Canada		4.65			1-27-2026		700,000		809,439
Royal Bank of Scotland Group plc		3.88			9-12-2023		300,000		319,069
Royal Bank of Scotland Group plc		4.80			4-5-2026		400,000		457,276
Royal Bank of Scotland Group plc (3 Month LIBOR +1.91%) ±		5.08			1-27-2030		600,000		710,116
Santander UK plc		4.00			3-13-2024		200,000		216,639
Sumitomo Mitsui Banking Corporation		3.95			7-19-2023		250,000		269,419
Sumitomo Mitsui Financial Group		2.35			1-15-2025		2,000,000		2,038,837
Sumitomo Mitsui Financial Group		3.01			10-19-2026		655,000		692,046
Svenska Handelsbanken AB		3.35			5-24-2021		850,000		870,851
Toronto Dominion Bank		1.80			7-13-2021		200,000		201,043
Toronto Dominion Bank		3.50			7-19-2023		300,000		320,841
Toronto Dominion Bank (5 Year USD Swap +2.21%) ±		3.63			9-15-2031		525,000		571,631
Westpac Banking Corporation		2.10			5-13-2021		350,000		352,232
Westpac Banking Corporation		2.50			6-28-2022		200,000		205,782
Westpac Banking Corporation		2.85			5-13-2026		700,000		738,013
									24,768,111
Capital Markets: 0.07%
Invesco Finance plc		4.00			1-30-2024		175,000		191,398
Diversified Financial Services: 1.82%
Barrick Australian Finance Proprietary Limited		5.95			10-15-2039		135,000		184,879
BHP Billiton Finance USA Limited		3.85			9-30-2023		200,000		218,436
Brookfield Finance Incorporated		4.25			6-2-2026		200,000		226,867
ConocoPhillips Canada Funding Company		5.95			10-15-2036		210,000		295,443
DH Europe Finance II		2.60			11-15-2029		1,300,000		1,348,934
GE Capital International Funding Company		3.37			11-15-2025		550,000		586,336
Medtronic Global Holdings Company		3.35			4-1-2027		300,000		331,575
Shell International Finance BV		2.25			1-6-2023		175,000		179,313

The accompanying notes are an integral part of these financial statements.

196  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

INVESTMENT GRADE CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Diversified Financial Services (continued)
Shell International Finance BV		2.38	%		8-21-2022	$	175,000	$	179,220
Shell International Finance BV		2.88			5-10-2026		230,000		244,817
Shell International Finance BV		3.25			5-11-2025		350,000		377,167
Shell International Finance BV		3.40			8-12-2023		175,000		186,410
Shell International Finance BV		3.63			8-21-2042		175,000		189,018
WPP Finance Limited 2010		3.75			9-19-2024		200,000		215,137
									4,763,552
Insurance: 0.20%
Aon plc		3.88			12-15-2025		200,000		222,214
Aon plc		4.00			11-27-2023		105,000		113,396
XLIT Limited		5.25			12-15-2043		140,000		203,633
									539,243
Health Care: 1.24%
Health Care Equipment & Supplies: 0.10%
Koninklijke Philips Electronics NV		6.88			3-11-2038		175,000		269,509
Pharmaceuticals: 1.14%
Actavis Funding SCS		3.85			6-15-2024		350,000		379,387
Actavis Funding SCS		4.85			6-15-2044		350,000		426,802
AstraZeneca plc		3.38			11-16-2025		500,000		547,683
AstraZeneca plc		4.38			11-16-2045		200,000		259,517
Mylan NV		3.95			6-15-2026		700,000		761,069
Shire plc ADR		3.20			9-23-2026		560,000		600,652
									2,975,110
Industrials: 0.77%
Aerospace & Defense: 0.12%
Embraer Netherlands Finance BV		5.05			6-15-2025		290,000		316,100
Machinery: 0.15%
Ingersoll-Rand Luxembourg Finance SA		4.50			3-21-2049		300,000		386,186
Professional Services: 0.13%
Thomson Reuters Corporation		4.30			11-23-2023		210,000		228,827
Thomson Reuters Corporation		5.85			4-15-2040		94,000		124,187
									353,014
Road & Rail: 0.16%
Canadian National Railway Company		6.20			6-1-2036		140,000		203,845
Canadian Pacific Railway Company		4.45			3-15-2023		140,000		150,958
Canadian Pacific Railway Company		5.95			5-15-2037		45,000		64,932
									419,735
Trading Companies & Distributors: 0.21%
AerCap Ireland Capital DAC		3.95			2-1-2022		520,000		537,224
Materials: 0.77%
Chemicals: 0.45%
LyondellBasell Industries NV		4.63			2-26-2055		350,000		391,487
Nutrien Limited		3.63			3-15-2024		200,000		213,662

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  197

Portfolio of investments—February 29, 2020

INVESTMENT GRADE CORPORATE BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Chemicals (continued)
Nutrien Limited		5.00	%		4-1-2049	$	200,000	$	248,919
Nutrien Limited		5.63			12-1-2040		140,000		179,752
Nutrien Limited		6.13			1-15-2041		115,000		153,272
									1,187,092
Metals & Mining: 0.32%
Rio Tinto Finance (USA) Limited		4.13			8-21-2042		175,000		209,815
Vale Overseas Limited		6.88			11-21-2036		382,000		503,205
Vale Overseas Limited		6.88			11-10-2039		91,000		120,632
									833,652
Total Yankee Corporate Bonds and Notes (Cost $44,394,608)									48,613,662
	Yield					Shares
Short-Term Investments: 0.11%
Investment Companies: 0.11%
Wells Fargo Government Money Market Fund Select Class (l)(u)		1.52					289,733		289,733
Total Short-Term Investments (Cost $289,733)									289,733

Total investments in securities (Cost $232,303,250)	98.68	%		258,456,549
Other assets and liabilities, net	1.32			3,459,308
Total net assets	100.00	%	$	261,915,857

144A The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933.

± Variable rate investment. The rate shown is the rate in effect at period end.

(l) The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

(u) The rate represents the 7-day annualized yield at period end.

Abbreviations:

ADR American depositary receipt

LIBOR London Interbank Offered Rate

REIT Real estate investment trust

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Shares, beginning of period		Shares purchased		Shares sold			Shares, end of period		Net realized gains (losses)		Net change in unrealized gains (losses)		Income from affiliated securities		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		854,059		45,498,682		(46,063,008	)		289,733	$	0	$	0	$	28,280	$	289,733		0.11	%

The accompanying notes are an integral part of these financial statements.

198  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

STRATEGIC RETIREMENT BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
Agency Securities: 1.25%
FHLB		2.00	%		9-9-2022	$	200,000	$	205,207
FHLB		2.13			6-9-2023		35,000		36,318
FHLB		2.38			9-10-2021		200,000		204,183
FHLB		2.75			12-13-2024		20,000		21,605
FHLB		3.25			6-9-2023		50,000		53,732
FNMA		1.38			10-7-2021		45,000		45,282
FNMA		1.88			9-24-2026		55,000		57,500
FNMA		2.13			4-24-2026		28,000		29,618
FNMA		2.63			9-6-2024		100,000		107,211
FNMA		2.88			9-12-2023		175,000		186,717
Total Agency Securities (Cost $913,630)									947,373
U.S. Treasury Securities: 98.36%
TIPS		0.13			4-15-2021		1,122,199		1,123,302
TIPS		0.13			1-15-2022		1,487,335		1,497,301
TIPS		0.13			4-15-2022		1,720,242		1,731,607
TIPS		0.13			7-15-2022		1,249,320		1,266,292
TIPS		0.13			1-15-2023		1,490,709		1,508,278
TIPS		0.13			7-15-2024		2,492,399		2,553,958
TIPS		0.13			10-15-2024		1,146,821		1,176,621
TIPS		0.13			7-15-2026		1,101,006		1,135,685
TIPS		0.25			1-15-2025		770,315		793,466
TIPS		0.25			7-15-2029		884,057		929,619
TIPS		0.38			7-15-2023		1,844,064		1,893,562
TIPS		0.38			7-15-2025		1,674,193		1,746,216
TIPS		0.38			1-15-2027		1,462,739		1,530,029
TIPS		0.38			7-15-2027		1,523,240		1,602,985
TIPS		0.50			4-15-2024		636,806		658,120
TIPS		0.50			1-15-2028		1,380,372		1,464,243
TIPS		0.63			7-15-2021		1,863,021		1,889,237
TIPS		0.63			4-15-2023		1,820,808		1,870,929
TIPS		0.63			1-15-2024		1,284,151		1,332,080
TIPS		0.63			1-15-2026		1,065,268		1,124,690
TIPS		0.75			7-15-2028		1,335,987		1,455,698
TIPS		0.88			1-15-2029		961,736		1,059,029
TIPS		1.75			1-15-2028		723,712		838,052
TIPS		2.00			1-15-2026		1,042,258		1,185,348
TIPS		2.38			1-15-2025		591,664		670,908
TIPS		2.38			1-15-2027		583,611		691,499
TIPS		2.50			1-15-2029		580,497		723,321
TIPS		3.63			4-15-2028		79,441		104,442
TIPS		3.88			4-15-2029		1,188,009		1,636,194
U.S. Treasury Bond		0.13			1-15-2030		589,292		612,808
U.S. Treasury Bond		2.88			5-15-2028		645,000		735,502
U.S. Treasury Bond		6.13			11-15-2027		215,000		296,171
U.S. Treasury Bond		6.13			8-15-2029		115,000		166,710
U.S. Treasury Bond		6.38			8-15-2027		125,000		173,027
U.S. Treasury Bond		6.88			8-15-2025		20,000		26,304
U.S. Treasury Note		1.13			7-31-2021		493,000		493,867
U.S. Treasury Note		1.13			9-30-2021		510,000		511,215
U.S. Treasury Note		1.25			10-31-2021		513,000		515,485
U.S. Treasury Note		1.25			7-31-2023		488,000		493,833
U.S. Treasury Note		1.38			4-30-2021		479,000		480,647
U.S. Treasury Note		1.38			6-30-2023		489,000		496,660

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  199

Portfolio of investments—February 29, 2020

STRATEGIC RETIREMENT BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
U.S. Treasury Securities (continued)
U.S. Treasury Note		1.38	%		8-31-2023	$	490,000	$	498,020
U.S. Treasury Note		1.38			9-30-2023		339,000		344,654
U.S. Treasury Note		1.38			8-31-2026		380,000		388,253
U.S. Treasury Note		1.50			3-31-2023		450,000		458,420
U.S. Treasury Note		1.50			8-15-2026		325,000		334,534
U.S. Treasury Note		1.63			8-15-2022		365,000		371,601
U.S. Treasury Note		1.63			11-15-2022		695,000		708,629
U.S. Treasury Note		1.63			4-30-2023		483,000		494,056
U.S. Treasury Note		1.63			5-31-2023		435,000		445,127
U.S. Treasury Note		1.63			10-31-2023		486,000		498,682
U.S. Treasury Note		1.63			2-15-2026		663,000		686,827
U.S. Treasury Note		1.63			5-15-2026		649,000		672,704
U.S. Treasury Note		1.75			2-28-2022		483,000		491,000
U.S. Treasury Note		1.75			3-31-2022		484,000		492,413
U.S. Treasury Note		1.75			5-31-2022		507,000		516,566
U.S. Treasury Note		1.75			6-30-2022		305,000		311,029
U.S. Treasury Note		1.75			9-30-2022		420,000		429,270
U.S. Treasury Note		1.75			1-31-2023		10,000		10,248
U.S. Treasury Note		1.75			5-15-2023		130,000		133,519
U.S. Treasury Note		1.88			2-28-2022		450,000		458,473
U.S. Treasury Note		1.88			4-30-2022		505,000		515,455
U.S. Treasury Note		1.88			8-31-2022		417,000		427,116
U.S. Treasury Note		1.88			8-31-2024		160,000		166,694
U.S. Treasury Note		1.88			7-31-2026		500,000		526,426
U.S. Treasury Note		2.00			5-31-2021		469,000		474,533
U.S. Treasury Note		2.00			10-31-2021		479,000		487,233
U.S. Treasury Note		2.00			2-15-2022		10,000		10,210
U.S. Treasury Note		2.00			7-31-2022		190,000		195,025
U.S. Treasury Note		2.00			11-30-2022		645,000		664,375
U.S. Treasury Note		2.00			2-15-2023		285,000		294,285
U.S. Treasury Note		2.00			4-30-2024		10,000		10,441
U.S. Treasury Note		2.00			5-31-2024		269,000		281,084
U.S. Treasury Note		2.00			6-30-2024		185,000		193,477
U.S. Treasury Note		2.00			2-15-2025		597,000		627,759
U.S. Treasury Note		2.00			8-15-2025		645,000		680,273
U.S. Treasury Note		2.00			11-15-2026		660,000		701,018
U.S. Treasury Note		2.13			12-31-2021		474,000		484,184
U.S. Treasury Note		2.13			12-31-2022		510,000		527,651
U.S. Treasury Note		2.13			2-29-2024		378,000		395,925
U.S. Treasury Note		2.13			3-31-2024		690,000		723,476
U.S. Treasury Note		2.13			5-15-2025		75,000		79,471
U.S. Treasury Note		2.25			3-31-2021		458,000		463,797
U.S. Treasury Note		2.25			4-30-2021		635,000		643,731
U.S. Treasury Note		2.25			7-31-2021		463,000		471,175
U.S. Treasury Note		2.25			12-31-2023		472,000		495,877
U.S. Treasury Note		2.25			1-31-2024		474,000		498,404
U.S. Treasury Note		2.25			10-31-2024		490,000		519,496
U.S. Treasury Note		2.25			11-15-2024		10,000		10,606
U.S. Treasury Note		2.25			2-15-2027		580,000		626,898
U.S. Treasury Note		2.25			8-15-2027		480,000		521,044
U.S. Treasury Note		2.25			11-15-2027		650,000		706,850
U.S. Treasury Note		2.38			5-15-2027		453,000		494,602
U.S. Treasury Note		2.50			1-15-2022		585,000		601,979
U.S. Treasury Note		2.50			8-15-2023		544,000		573,644

The accompanying notes are an integral part of these financial statements.

200  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

STRATEGIC RETIREMENT BOND PORTFOLIO

	Interest rate			Maturity date		Principal		Value
U.S. Treasury Securities (continued)
U.S. Treasury Note		2.63	%		12-31-2023	$	375,000	$	399,170
U.S. Treasury Note		2.63			3-31-2025		345,000		373,799
U.S. Treasury Note		2.63			1-31-2026		445,000		486,649
U.S. Treasury Note		2.75			9-15-2021		560,000		575,094
U.S. Treasury Note		2.75			8-31-2023		510,000		542,413
U.S. Treasury Note		2.75			11-15-2023		556,000		593,291
U.S. Treasury Note		2.75			2-15-2024		585,000		626,773
U.S. Treasury Note		2.75			8-31-2025		325,000		355,951
U.S. Treasury Note		2.75			2-15-2028		520,000		586,808
U.S. Treasury Note		2.88			4-30-2025		470,000		515,660
U.S. Treasury Note		2.88			5-31-2025		490,000		538,158
U.S. Treasury Note		2.88			11-30-2025		125,000		138,188
U.S. Treasury Note		2.88			8-15-2028		390,000		445,941
U.S. Treasury Note		3.13			11-15-2028		480,000		560,381
U.S. Treasury Note		6.00			2-15-2026		146,000		188,523
U.S. Treasury Note		6.50			11-15-2026		30,000		40,699
U.S. Treasury Note		6.63			2-15-2027		235,000		323,832
U.S. Treasury Note		6.75			8-15-2026		220,000		299,200
U.S. Treasury Note		8.00			11-15-2021		331,000		370,203
U.S. Treasury Note		8.13			5-15-2021		309,000		335,048
U.S. Treasury Note		8.13			8-15-2021		300,000		330,691
Total U.S. Treasury Securities (Cost $71,764,781)									74,659,651
	Yield					Shares
Short-Term Investments: 0.37%
Investment Companies: 0.37%
Wells Fargo Government Money Market Fund Select Class (l)(u)		1.52					281,311		281,311
Total Short-Term Investments (Cost $281,311)									281,311

Total investments in securities (Cost $72,959,722)	99.98	%		75,888,335
Other assets and liabilities, net	0.02			15,001
Total net assets	100.00	%	$	75,903,336

(l) The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

(u) The rate represents the 7-day annualized yield at period end.

Abbreviations:

FHLB Federal Home Loan Bank

FNMA Federal National Mortgage Association

TIPS Treasury inflation-protected securities

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  201

Portfolio of investments—February 29, 2020

STRATEGIC RETIREMENT BOND PORTFOLIO

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Shares, beginning of period		Shares purchased		Shares sold			Shares, end of period		Net realized gains (losses)		Net change in unrealized gains (losses)		Income from affiliated securities		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		140,309		16,409,799		(16,268,797	)		281,311	$	0	$	0	$	4,694	$	281,311		0.37	%

The accompanying notes are an integral part of these financial statements.

202  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

U.S. REIT PORTFOLIO

	Shares		Value
Common Stocks: 99.46%
Real Estate: 99.46%
Equity REITs: 99.46%
Acadia Realty Trust		2,862	$	65,370
Alexander & Baldwin Incorporated		2,189		41,153
Alexander’s Incorporated		69		21,459
Alexandria Real Estate Equities Incorporated		4,215		640,174
American Assets Trust Incorporated		1,627		67,439
American Campus Communities Incorporated		4,421		192,048
American Finance Trust Incorporated		3,465		36,036
American Homes 4 Rent Class A		8,424		218,097
Americold Realty Trust		6,273		192,393
Apartment Investment & Management Company Class A		4,873		233,124
Apple Hospitality REIT Incorporated		6,994		91,412
Armada Hoffler Properties Incorporated		1,791		30,017
AvalonBay Communities Incorporated		4,566		915,894
Boston Properties Incorporated		5,095		656,949
Brandywine Realty Trust		5,686		77,216
Brixmor Property Group Incorporated		9,938		180,971
Brookfield Property REIT Class A		2,080		33,925
Camden Property Trust		3,140		332,777
Colony Capital Incorporated		15,438		61,134
Columbia Property Trust Incorporated		3,810		71,857
Community Healthcare Trust Incorporated		612		29,150
CoreCivic Incorporated		3,902		57,789
Corporate Office Properties Trust		3,624		91,832
Cousins Properties Incorporated		4,770		170,241
CubeSmart		6,292		190,459
DiamondRock Hospitality		6,692		61,031
Digital Realty Trust Incorporated		6,734		808,821
Diversified Healthcare Trust		7,777		48,917
Douglas Emmett Incorporated		5,513		210,486
Duke Realty Corporation		11,986		389,185
Easterly Government Properties Incorporated		2,441		58,023
EastGroup Properties Incorporated		1,247		156,785
Empire State Realty Trust Incorporated Class A		5,917		69,229
Equity Commonwealth		3,861		121,467
Equity Lifestyle Properties Incorporated		5,610		383,331
Equity Residential		11,973		899,172
Essential Properties Realty		2,905		66,554
Essex Property Trust Incorporated		2,164		613,191
Extra Space Storage Incorporated		4,087		410,171
Federal Realty Investment Trust		2,518		292,944
First Industrial Realty Trust Incorporated		4,093		157,581
Gaming and Leisure Properties Incorporated		6,751		301,567
Global Medical REIT Incorporated		1,280		17,882
Healthcare Realty Trust Incorporated		4,263		146,221
Healthcare Trust of America Incorporated Class A		6,681		208,046
Healthpeak Properties Incorporated		16,575		524,433
Highwoods Properties Incorporated		3,322		149,091
Host Hotels & Resorts Incorporated		23,956		346,883
Hudson Pacific Properties Incorporated		5,069		163,627
Independence Realty Trust Incorporated		2,926		38,799
Industrial Logistics Properties Trust		2,119		43,779
Innovative Industrial Properties Incorporated		503		46,246

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  203

Portfolio of investments—February 29, 2020

U.S. REIT PORTFOLIO

	Shares		Value
Equity REITs (continued)
Invitation Homes Incorporated		17,688	$	507,469
Iron Mountain Incorporated		9,265		281,749
JBG Smith Properties		4,132		151,562
Jernigan Capital Incorporated		717		12,849
Kilroy Realty Corporation		3,409		247,800
Kimco Realty Corporation		13,620		236,307
Kite Realty Group Trust		2,797		45,172
Lamar Advertising Company Class A		2,843		238,073
Life Storage Incorporated		1,491		160,894
LTC Properties Incorporated		1,269		56,889
Mack-Cali Realty Corporation		2,789		52,935
Mid-America Apartment Communities Incorporated		3,700		478,262
National Health Investors Incorporated		1,384		113,114
National Storage Affiliates Trust		1,931		65,152
NexPoint Residential Trust Incorporated		638		28,391
Office Properties Income Trust		1,572		45,792
Outfront Media Incorporated		4,680		123,271
Paramount Group Incorporated		6,364		77,323
Park Hotels & Resorts Incorporated		7,920		144,619
Pebblebrook Hotel Trust		4,264		86,175
Pennsylvania REIT		2,126		5,017
Piedmont Office Realty Trust Incorporated Class A		4,069		87,850
Prologis Incorporated		24,314		2,049,184
PS Business Parks Incorporated		643		95,518
Public Storage Incorporated		4,844		1,012,977
Regency Centers Corporation		5,455		313,335
Retail Opportunity Investment Corporation		3,803		57,045
Rexford Industrial Realty Incorporated		3,569		166,922
RLJ Lodging Trust		5,533		73,091
RPT Realty		2,548		33,022
Ryman Hospitality Properties Incorporated		1,655		115,039
SBA Communications Corporation		3,625		960,951
Seritage Growth Property Class A		1,121		38,540
Service Properties Trust		5,379		97,252
Simon Property Group Incorporated		9,944		1,223,908
SITE Centers Corporation		5,085		58,528
SL Green Realty Corporation		2,634		206,611
STAG Industrial Incorporated		4,961		138,809
Summit Hotel Properties Incorporated		3,382		31,351
Sun Communities Incorporated		2,957		452,066
Sunstone Hotel Investors Incorporated		7,347		80,450
Tanger Factory Outlet Centers Incorporated		3,139		37,605
Taubman Centers Incorporated		2,099		109,274
Terreno Realty Corporation		2,102		115,337
The Geo Group Incorporated		3,880		56,803
The Macerich Company		4,896		99,976
UDR Incorporated		9,492		426,950
Uniti Group Incorporated		5,782		56,432
Universal Health Realty Income Trust		407		43,842
Urban Edge Properties		3,858		62,500
Ventas Incorporated		12,124		651,907
VICI Properties Incorporated		15,412		386,225
Vornado Realty Trust		5,776		309,478
Washington Prime Group Incorporated		6,268		17,237
Washington REIT		2,606		69,971

The accompanying notes are an integral part of these financial statements.

204  |  Wells Fargo Funds

Portfolio of investments—February 29, 2020

U.S. REIT PORTFOLIO

				Shares		Value
Equity REITs (continued)
Weingarten Realty Investors					3,988	$	107,397
Welltower Incorporated					13,131		982,461
Xenia Hotels & Resorts Incorporated					3,724		55,711
Total Common Stocks (Cost $23,335,680)							25,472,748
	Yield
Short-Term Investments: 0.94%
Investment Companies: 0.94%
Wells Fargo Government Money Market Fund Select Class (l)(u)		1.52	%		239,974		239,974
Total Short-Term Investments (Cost $239,974)							239,974

Total investments in securities (Cost $23,575,654)	100.40	%		25,712,722
Other assets and liabilities, net	(0.40	)		(102,101	)
Total net assets	100.00	%	$	25,610,621

(l) The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

(u) The rate represents the 7-day annualized yield at period end.

Abbreviations:

REIT Real estate investment trust

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Shares, beginning of period		Shares purchased		Shares sold			Shares, end of period		Net realized gains (losses)		Net change in unrealized gains (losses)		Income from affiliated securities		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		192,034		8,807,844		(8,759,904	)		239,974	$	0	$	0	$	2,481	$	239,974		0.94	%

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  205

Statements of assets and liabilities—February 29, 2020

	Bloomberg Barclays US Aggregate ex-Corporate Portfolio		Emerging Markets Bond Portfolio
Assets
Investments in unaffiliated securities, at value (see cost below)	$	659,052,545	$	41,612,004
Investments in affiliated securities, at value (see cost below)		11,379,432		922,295
Cash		0		0
Segregated cash for futures contracts		0		0
Foreign currency, at value (see cost below)		0		0
Receivable for investments sold		7,496,738		377,021
Receivable for dividends and interest		2,917,158		593,235
Unrealized gains on forward foreign currency contracts		0		0
Prepaid expenses and other assets		4,614		0
Total assets		680,850,487		43,504,555
Liabilities
Payable for investments purchased		15,164,962		874,528
Payable for daily variation margin on open futures contracts		0		0
Unrealized losses on forward foreign currency contracts		0		0
Advisory fee payable		68,947		3,078
Custody and accounting fees payable		85,477		0
Professional fees payable		75,627		46,701
Trustees’ fees and expenses payable		2,785		2,785
Accrued expenses and other liabilities		17,353		29,775
Total liabilities		15,415,151		956,867
Total net assets	$	665,435,336	$	42,547,688
Investments in unaffiliated securities, at cost	$	625,037,382	$	41,845,925
Investments in affiliated securities, at cost	$	11,379,432	$	922,295
Foreign currency, at cost	$	0	$	0

The accompanying notes are an integral part of these financial statements.

206  |  Wells Fargo Funds

Statements of assets and liabilities—February 29, 2020

Factor Enhanced Emerging Markets Portfolio		Factor Enhanced International Portfolio		Factor Enhanced Large Cap Portfolio		Factor Enhanced Small Cap Portfolio		High Yield Corporate Bond Portfolio		International Government Bond Portfolio		Investment Grade Corporate Bond Portfolio
$	207,278,801	$	555,558,672	$	915,777,589	$	220,801,896	$	51,792,845	$	11,118,180	$	258,166,816
	6,720,374		24,301,039		37,548,710		6,867,519		1,339,300		51,894		289,733
	0		0		0		1,360		500		0		209,472
	1,778,000		3,474,000		6,508,000		1,880,000		0		0		0
	1,293,558		446,374		0		0		0		32,293		0
	192,618		0		0		0		0		9,555,093		1,742,232
	659,152		2,591,624		2,140,985		238,612		908,035		89,390		2,574,719
	0		0		0		0		0		21,275		0
	1,103		500,171		1,835		1,006		1,156		2,012		4,614
	217,923,606		586,871,880		961,977,119		229,790,393		54,041,836		20,870,137		262,987,586
	0		0		0		0		0		9,575,481		906,360
	34,560		216,000		84,389		59,651		0		0		0
	0		0		0		0		0		37,008		0
	3,042		280,330		277,920		19,405		4,409		2,286		58,983
	799,277		473,246		132,515		92,196		0		0		42,039
	49,234		54,233		48,423		48,335		41,915		30,921		51,394
	2,785		2,785		2,785		2,785		2,785		2,805		2,875
	13,349		0		1,478		776		3,695		7,361		10,078
	902,247		1,026,594		547,510		223,148		52,804		9,655,862		1,071,729
$	217,021,359	$	585,845,286	$	961,429,609	$	229,567,245	$	53,989,032	$	11,214,275	$	261,915,857
$	216,449,068	$	541,322,603	$	775,088,430	$	224,519,287	$	53,467,065	$	11,135,469	$	232,013,517
$	6,720,374	$	24,301,039	$	37,548,710	$	6,867,519	$	1,339,300	$	51,894	$	289,733
$	1,312,403	$	448,769	$	0	$	0	$	0	$	33,245	$	0

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  207

Statements of assets and liabilities—February 29, 2020

	Strategic Retirement Bond Portfolio		U.S. REIT Portfolio
Assets
Investments in unaffiliated securities, at value (see cost below)	$	75,607,024	$	25,472,748
Investments in affiliated securities, at value (see cost below)		281,311		239,974
Cash		3,909		0
Receivable for investments sold		594,926		109,967
Receivable for dividends and interest		249,258		13,882
Receivable from adviser		946		4,744
Prepaid expenses and other assets		283		6,326
Total assets		76,737,657		25,847,641
Liabilities
Payable for investments purchased		755,586		201,444
Professional fees payable		60,918		32,791
Trustees’ fees and expenses payable		2,785		2,785
Accrued expenses and other liabilities		15,032		0
Total liabilities		834,321		237,020
Total net assets	$	75,903,336	$	25,610,621
Investments in unaffiliated securities, at cost	$	72,678,411	$	23,335,680
Investments in affiliated securities, at cost	$	281,311	$	239,974

The accompanying notes are an integral part of these financial statements.

208  |  Wells Fargo Funds

This page is intentionally left blank.

Statements of operations—year ended February 29, 2020

	Bloomberg Barclays US Aggregate ex-Corporate Portfolio			Emerging Markets Bond Portfolio
Investment income
Interest*	$	14,974,118		$	2,311,383
Income from affiliated securities		185,121			7,448
Dividends**		0			0
Total investment income		15,159,239			2,318,831
Expenses
Advisory fee		317,770			109,354
Custody and accounting fees		58,871			18,665
Professional fees		48,126			59,379
Shareholder report expenses		8,410			7,470
Trustees’ fees and expenses		20,459			20,459
Interest expense		0			0
Other fees and expenses		17,041			9,257
Total expenses		470,677			224,584
Less: Fee waivers and/or expense reimbursements		(63,442	)		(71,097	)
Net expenses		407,235			153,487
Net investment income (loss)		14,752,004			2,165,344
Realized and unrealized gains (losses) on investments
Net realized gains (losses) on
Unaffiliated securities		2,813,519			332,518
Futures contracts		0			0
Forward foreign currency contracts		0			0
Foreign currency and foreign currency translations		0			0
Net realized gain (losses) on investments		2,813,519			332,518
Net change in unrealized gains (losses) on
Unaffiliated securities		44,821,599			1,113,039
Futures contracts		0			0
Forward foreign currency contracts		0			0
Foreign currency and foreign currency translations		0			0
Net change in unrealized gains (losses) on investments		44,821,599			1,113,039
Net realized and unrealized gains (losses) on investments		47,635,118			1,445,557
Net increase (decrease) in net assets resulting from operations	$	62,387,122		$	3,610,901
*  Net of foreign interest withholding taxes in the amount of		$0			$0
**Net of foreign dividend withholding taxes in the amount of		$0			$0

The accompanying notes are an integral part of these financial statements.

210  |  Wells Fargo Funds

Statements of operations—year ended February 29, 2020

Factor Enhanced Emerging Markets Portfolio			Factor Enhanced International Portfolio			Factor Enhanced Large Cap Portfolio			Factor Enhanced Small Cap Portfolio			High Yield Corporate Bond Portfolio			International Government Bond Portfolio			Investment Grade Corporate Bond Portfolio
$	28,271		$	41,437		$	103,537		$	30,086		$	3,700,426		$	118,500		$	9,593,913
	136,960			355,656			609,610			185,648			16,925			1,549			28,280
	7,060,245			18,469,276			24,512,813			3,898,641			0			0			0
	7,225,476			18,866,369			25,225,960			4,114,375			3,717,351			120,049			9,622,193
	374,704			1,020,540			1,142,672			406,113			159,659			27,898			131,568
	820,658			512,621			152,491			127,324			13,297			9,267			50,723
	48,126			48,992			48,992			48,904			59,449			41,504			48,904
	6,473			6,561			6,561			6,547			6,602			6,781			6,914
	20,459			20,459			20,459			20,459			20,459			20,459			20,459
	0			444			446			0			0			0			0
	30,523			37,783			22,110			11,079			9,432			14,742			10,773
	1,300,943			1,647,400			1,393,731			620,426			268,898			120,651			269,341
	(338,496	)		(344,955	)		(134,569	)		(143,147	)		(80,318	)		0			(82,500	)
	962,447			1,302,445			1,259,162			477,279			188,580			120,651			186,841
	6,263,029			17,563,924			23,966,798			3,637,096			3,528,771			(602	)		9,435,352
	(7,793,947	)		(2,687,181	)		74,131,610			6,498,647			(1,300,689	)		734,219			3,167,122
	548,183			2,665,842			6,928,889			953,390			0			0			0
	0			0			0			0			0			(122,369	)		0
	(466,622	)		169,133			0			0			0			17,081			0
	(7,712,386	)		147,794			81,060,499			7,452,037			(1,300,689	)		628,931			3,167,122
	(11,376,521	)		(257,219	)		(40,169,298	)		(22,865,885	)		811,481			(100,964	)		25,957,585
	(319,709	)		(2,981,989	)		(5,672,190	)		(909,537	)		0			0			0
	0			0			0			0			0			21,072			0
	(17,996	)		(1,244	)		0			0			0			(2,952	)		0
	(11,714,226	)		(3,240,452	)		(45,841,488	)		(23,775,422	)		811,481			(82,844	)		25,957,585
	(19,426,612	)		(3,092,658	)		35,219,011			(16,323,385	)		(489,208	)		546,087			29,124,707
$	(13,163,583	)	$	14,471,266		$	59,185,809		$	(12,686,289	)	$	3,039,563		$	545,485		$	38,560,059
	$7			$0			$0			$0			$525			$5,188			$0
	$1,043,312			$3,155,001			$80,835			$985			$0			$0			$0

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  211

Statements of operations—year ended February 29, 2020

	Strategic Retirement Bond Portfolio			U.S. REIT Portfolio
Investment income
Interest	$	1,714,205		$	0
Income from affiliated securities		4,694			2,481
Dividends		0			968,157
Total investment income		1,718,899			970,638
Expenses
Advisory fee		36,167			33,182
Custody and accounting fees		11,246			34,760
Professional fees		48,904			40,698
Shareholder report expenses		7,321			5,378
Trustees’ fees and expenses		20,459			20,459
Other fees and expenses		8,203			8,193
Total expenses		132,300			142,670
Less: Fee waivers and/or expense reimbursements		(53,701	)		(80,516	)
Net expenses		78,599			62,154
Net investment income		1,640,300			908,484
Realized and unrealized gains (losses) on investments
Net realized gains on investments		168,387			3,095,201
Net change in unrealized gains (losses) on investments		3,638,073			(2,169,132	)
Net realized and unrealized gains (losses) on investments		3,806,460			926,069
Net increase in net assets resulting from operations	$	5,446,760		$	1,834,553

The accompanying notes are an integral part of these financial statements.

212  |  Wells Fargo Funds

Statements of changes in net assets

	Bloomberg Barclays US Aggregate ex-Corporate Portfolio
	Year ended February 29, 2020			Year ended February 28, 2019
Operations
Net investment income	$	14,752,004		$	19,677,785
Net realized gains (losses) on investments		2,813,519			(11,621,062	)
Net change in unrealized gains (losses) on investments		44,821,599			15,499,429
Net increase in net assets resulting from operations		62,387,122			23,556,152
Capital transactions
Transactions in investors’ beneficial interests
Contributions		135,893,333			133,856,823
Withdrawals		(144,584,522	)		(572,102,499	)
Net decrease in net assets resulting from capital transactions		(8,691,189	)		(438,245,676	)
Total increase (decrease) in net assets		53,695,933			(414,689,524	)
Net assets
Beginning of period		611,739,403			1,026,428,927
End of period	$	665,435,336		$	611,739,403

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  213

Statements of changes in net assets

	Emerging Markets Bond Portfolio
	Year ended February 29, 2020			Year ended February 28, 2019
Operations
Net investment income	$	2,165,344		$	2,825,982
Net realized gains (losses) on investments		332,518			(2,373,659	)
Net change in unrealized gains (losses) on investments		1,113,039			226,207
Net increase in net assets resulting from operations		3,610,901			678,530
Capital transactions
Transactions in investors’ beneficial interests
Contributions		5,447,656			15,122,153
Withdrawals		(10,607,041	)		(46,658,191	)
Net decrease in net assets resulting from capital transactions		(5,159,385	)		(31,536,038	)
Total decrease in net assets		(1,548,484	)		(30,857,508	)
Net assets
Beginning of period		44,096,172			74,953,680
End of period	$	42,547,688		$	44,096,172

The accompanying notes are an integral part of these financial statements.

214  |  Wells Fargo Funds

Statements of changes in net assets

	Factor Enhanced Emerging Markets Portfolio
	Year ended February 29, 2020			Year ended February 28, 2019
Operations
Net investment income	$	6,263,029		$	7,123,928
Net realized losses on investments		(7,712,386	)		(27,844,608	)
Net change in unrealized gains (losses) on investments		(11,714,226	)		(17,615,861	)
Net decrease in net assets resulting from operations		(13,163,583	)		(38,336,541	)
Capital transactions
Transactions in investors’ beneficial interests
Contributions		33,085,504			94,308,309
Withdrawals		(59,525,153	)		(162,925,681	)
Net decrease in net assets resulting from capital transactions		(26,439,649	)		(68,617,372	)
Total decrease in net assets		(39,603,232	)		(106,953,913	)
Net assets
Beginning of period		256,624,591			363,578,504
End of period	$	217,021,359		$	256,624,591

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  215

Statements of changes in net assets

	Factor Enhanced International Portfolio
	Year ended February 29, 2020			Year ended February 28, 2019
Operations
Net investment income	$	17,563,924		$	28,525,291
Net realized gains (losses) on investments		147,794			(28,540,454	)
Net change in unrealized gains (losses) on investments		(3,240,452	)		(33,623,117	)
Net increase (decrease) in net assets resulting from operations		14,471,266			(33,638,280	)
Capital transactions
Transactions in investors’ beneficial interests
Contributions		33,306,923			104,744,531
Withdrawals		(159,917,517	)		(510,735,440	)
Net decrease in net assets resulting from capital transactions		(126,610,594	)		(405,990,909	)
Total decrease in net assets		(112,139,328	)		(439,629,189	)
Net assets
Beginning of period		697,984,614			1,137,613,803
End of period	$	585,845,286		$	697,984,614

The accompanying notes are an integral part of these financial statements.

216  |  Wells Fargo Funds

Statements of changes in net assets

	Factor Enhanced Large Cap Portfolio
	Year ended February 29, 2020			Year ended February 28, 2019
Operations
Net investment income	$	23,966,798		$	33,328,397
Net realized gains on investments		81,060,499			121,046,659
Net change in unrealized gains (losses) on investments		(45,841,488	)		(51,351,040	)
Net increase in net assets resulting from operations		59,185,809			103,024,016
Capital transactions
Transactions in investors’ beneficial interests
Contributions		30,265,251			148,666,933
Withdrawals		(301,569,041	)		(987,981,319	)
Net decrease in net assets resulting from capital transactions		(271,303,790	)		(839,314,386	)
Total decrease in net assets		(212,117,981	)		(736,290,370	)
Net assets
Beginning of period		1,173,547,590			1,909,837,960
End of period	$	961,429,609		$	1,173,547,590

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  217

Statements of changes in net assets

	Factor Enhanced Small Cap Portfolio
	Year ended February 29, 2020			Year ended February 28, 2019
Operations
Net investment income	$	3,637,096		$	4,775,578
Net realized gains on investments		7,452,037			32,272,918
Net change in unrealized gains (losses) on investments		(23,775,422	)		(6,095,947	)
Net increase (decrease) in net assets resulting from operations		(12,686,289	)		30,952,549
Capital transactions
Transactions in investors’ beneficial interests
Contributions		31,716,956			64,244,206
Withdrawals		(67,498,202	)		(273,672,529	)
Net decrease in net assets resulting from capital transactions		(35,781,246	)		(209,428,323	)
Total decrease in net assets		(48,467,535	)		(178,475,774	)
Net assets
Beginning of period		278,034,780			456,510,554
End of period	$	229,567,245		$	278,034,780

The accompanying notes are an integral part of these financial statements.

218  |  Wells Fargo Funds

Statements of changes in net assets

	High Yield Corporate Bond Portfolio
	Year ended February 29, 2020			Year ended February 28, 2019
Operations
Net investment income	$	3,528,771		$	6,558,657
Net realized losses on investments		(1,300,689	)		(3,427,913	)
Net change in unrealized gains (losses) on investments		811,481			55,211
Net increase in net assets resulting from operations		3,039,563			3,185,955
Capital transactions
Transactions in investors’ beneficial interests
Contributions		8,823,305			14,575,719
Withdrawals		(45,182,920	)		(60,910,365	)
Net decrease in net assets resulting from capital transactions		(36,359,615	)		(46,334,646	)
Total decrease in net assets		(33,320,052	)		(43,148,691	)
Net assets
Beginning of period		87,309,084			130,457,775
End of period	$	53,989,032		$	87,309,084

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  219

Statements of changes in net assets

	International Government Bond Portfolio
	Year ended February 29, 2020			Year ended February 28, 2019
Operations
Net investment income (loss)	$	(602	)	$	29,137
Net realized gains (losses) on investments		628,931			(428,746	)
Net change in unrealized gains (losses) on investments		(82,844	)		(76,796	)
Net increase (decrease) in net assets resulting from operations		545,485			(476,405	)
Capital transactions
Transactions in investors’ beneficial interests
Contributions		443			1,004,217
Withdrawals		(50,294	)		(5,171	)
Net increase (decrease) in net assets resulting from capital transactions		(49,851	)		999,046
Total increase in net assets		495,634			522,641
Net assets
Beginning of period		10,718,641			10,196,000
End of period	$	11,214,275		$	10,718,641

The accompanying notes are an integral part of these financial statements.

220  |  Wells Fargo Funds

Statements of changes in net assets

	Investment Grade Corporate Bond Portfolio
	Year ended February 29, 2020			Year ended February 28, 2019
Operations
Net investment income	$	9,435,352		$	13,756,980
Net realized gains (losses) on investments		3,167,122			(4,249,388	)
Net change in unrealized gains (losses) on investments		25,957,585			(4,066,644	)
Net increase in net assets resulting from operations		38,560,059			5,440,948
Capital transactions
Transactions in investors’ beneficial interests
Contributions		29,912,651			66,284,750
Withdrawals		(70,686,869	)		(269,591,983	)
Net decrease in net assets resulting from capital transactions		(40,774,218	)		(203,307,233	)
Total decrease in net assets		(2,214,159	)		(197,866,285	)
Net assets
Beginning of period		264,130,016			461,996,301
End of period	$	261,915,857		$	264,130,016

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  221

Statements of changes in net assets

	Strategic Retirement Bond Portfolio
	Year ended February 29, 2020			Year ended February 28, 2019
Operations
Net investment income	$	1,640,300		$	2,226,980
Net realized gains (losses) on investments		168,387			(1,315,845	)
Net change in unrealized gains (losses) on investments		3,638,073			1,248,713
Net increase in net assets resulting from operations		5,446,760			2,159,848
Capital transactions
Transactions in investors’ beneficial interests
Contributions		11,312,659			19,159,799
Withdrawals		(13,995,099	)		(74,404,978	)
Net decrease in net assets resulting from capital transactions		(2,682,440	)		(55,245,179	)
Total increase (decrease) in net assets		2,764,320			(53,085,331	)
Net assets
Beginning of period		73,139,016			126,224,347
End of period	$	75,903,336		$	73,139,016

The accompanying notes are an integral part of these financial statements.

222  |  Wells Fargo Funds

Statements of changes in net assets

	U.S. REIT Portfolio
	Year ended February 29, 2020			Year ended February 28, 2019
Operations
Net investment income	$	908,484		$	1,656,997
Net realized gains on investments		3,095,201			1,717,011
Net change in unrealized gains (losses) on investments		(2,169,132	)		7,122,923
Net increase in net assets resulting from operations		1,834,553			10,496,931
Capital transactions
Transactions in investors’ beneficial interests
Contributions		5,390,330			9,516,600
Withdrawals		(25,181,044	)		(42,660,330	)
Net decrease in net assets resulting from capital transactions		(19,790,714	)		(33,143,730	)
Total decrease in net assets		(17,956,161	)		(22,646,799	)
Net assets
Beginning of period		43,566,782			66,213,581
End of period	$	25,610,621		$	43,566,782

The accompanying notes are an integral part of these financial statements.

Wells Fargo Funds  |  223

Financial highlights

	Ratio to average net assets (annualized)									Total return1			Portfolio turnover rate
	Net investment income			Gross expenses			Net expenses
Bloomberg Barclays US Aggregate ex-Corporate Portfolio
Year ended February 29, 2020		2.32	%		0.07	%		0.06	%		10.34	%		46	%
Year ended February 28, 2019		2.38	%		0.08	%		0.07	%		3.23	%		72	%
Year ended February 28, 20182		2.03	%		0.08	%		0.07	%		(1.39	)%		221	%
Emerging Markets Bond Portfolio
Year ended February 29, 2020		4.95	%		0.51	%		0.35	%		8.59	%		36	%
Year ended February 28, 2019		4.70	%		0.44	%		0.40	%		2.84	%		38	%
Year ended February 28, 20182		4.19	%		0.44	%		0.43	%		0.62	%		174	%
Factor Enhanced Emerging Markets Portfolio
Year ended February 29, 2020		2.51	%		0.52	%		0.39	%		(6.15	)%		59	%
Year ended February 28, 2019		2.33	%		0.58	%		0.45	%		(11.16	)%		81	%
Year ended February 28, 20182		1.56	%		0.49	%		0.49	%		13.43	%		136	%
Factor Enhanced International Portfolio
Year ended February 29, 2020		2.58	%		0.24	%		0.19	%		1.23	%		44	%
Year ended February 28, 2019		3.03	%		0.23	%		0.20	%		(2.91	)%		47	%
Year ended February 28, 20182		1.74	%		0.21	%		0.21	%		8.99	%		106	%
Factor Enhanced Large Cap Portfolio
Year ended February 29, 2020		2.10	%		0.12	%		0.11	%		4.00	%		25	%
Year ended February 28, 2019		2.09	%		0.12	%		0.11	%		7.60	%		23	%
Year ended February 28, 20182		1.94	%		0.12	%		0.12	%		11.92	%		75	%
Factor Enhanced Small Cap Portfolio
Year ended February 29, 2020		1.35	%		0.23	%		0.18	%		(5.94	)%		40	%
Year ended February 28, 2019		1.29	%		0.21	%		0.19	%		7.05	%		37	%
Year ended February 28, 20182		1.23	%		0.19	%		0.19	%		8.75	%		85	%
High Yield Corporate Bond Portfolio
Year ended February 29, 2020		5.54	%		0.42	%		0.30	%		3.97	%		52	%
Year ended February 28, 2019		6.06	%		0.34	%		0.32	%		3.70	%		47	%
Year ended February 28, 20182		5.36	%		0.37	%		0.37	%		0.49	%		122	%
International Government Bond Portfolio
Year ended February 29, 2020		(0.01	)%		1.08	%		1.08	%		5.07	%		291	%
Year ended February 28, 2019		0.28	%		1.10	%		1.10	%		(4.67	)%		276	%
Year ended February 28, 20183		(0.18	)%		1.69	%		1.69	%		1.95	%		224	%
Investment Grade Corporate Bond Portfolio
Year ended February 29, 2020		3.59	%		0.10	%		0.07	%		15.72	%		18	%
Year ended February 28, 2019		3.74	%		0.09	%		0.08	%		2.29	%		25	%
Year ended February 28, 20182		3.48	%		0.08	%		0.08	%		(0.12	)%		61	%
Strategic Retirement Bond Portfolio
Year ended February 29, 2020		2.27	%		0.18	%		0.11	%		7.75	%		41	%
Year ended February 28, 2019		2.23	%		0.16	%		0.14	%		2.47	%		23	%
Year ended February 28, 20182		1.45	%		0.17	%		0.17	%		(1.40	)%		193	%
U.S. REIT Portfolio
Year ended February 29, 2020		2.73	%		0.43	%		0.19	%		2.65	%		26	%
Year ended February 28, 2019		2.91	%		0.26	%		0.23	%		19.52	%		20	%
Year ended February 28, 20182		2.53	%		0.33	%		0.32	%		(8.74	)%		51	%

¹  Returns for periods of less than one year are not annualized.    

²  For the period from May 23, 2017 (commencement of operations) to February 28, 2018    

³  For the period from August 16, 2017 (commencement of operations) to February 28, 2018    

The accompanying notes are an integral part of these financial statements.

224  |  Wells Fargo Funds

Notes to financial statements

1. ORGANIZATION

Wells Fargo Master Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As an investment company, the Trust follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statements report on the following portfolios: Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio (“Bloomberg Barclays US Aggregate ex-Corporate Portfolio”), Wells Fargo Emerging Markets Bond Portfolio (“Emerging Markets Bond Portfolio”), Wells Fargo Factor Enhanced Emerging Markets Portfolio (“Factor Enhanced Emerging Markets Portfolio”), Wells Fargo Factor Enhanced International Portfolio (“Factor Enhanced International Portfolio”), Wells Fargo Factor Enhanced Large Cap Portfolio (“Factor Enhanced Large Cap Portfolio”), Wells Fargo Factor Enhanced Small Cap Portfolio (“Factor Enhanced Small Cap Portfolio”), Wells Fargo High Yield Corporate Bond Portfolio (“High Yield Corporate Bond Portfolio”), Wells Fargo International Government Bond Portfolio (“International Government Bond Portfolio”), Wells Fargo Investment Grade Corporate Bond Portfolio (“Investment Grade Corporate Bond Portfolio”), Wells Fargo Strategic Retirement Bond Portfolio (“Strategic Retirement Bond Portfolio”) and Wells Fargo U.S. REIT Portfolio (“U.S. REIT Portfolio”) (each, a “Portfolio”, collectively, the “Porfolios”). Each Portfolio is a diversified series of the Trust and is structured as a partnership for federal income tax purposes.

The Portfolios offer their shares only to other affiliated Wells Fargo Funds and not directly to the public.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of each Portfolio, are in conformity with U.S. generally accepted accounting principles which require management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

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 Portfolios may deviate from this calculation time under unusual or unexpected circumstances.

Debt securities are valued at the evaluated bid price provided by an independent pricing service (e.g. taking into account various factors, including yields, maturities, or credit ratings) or, if a reliable price is not available, the quoted bid price from an independent broker-dealer.

Equity securities and futures contracts that are listed on a foreign or domestic exchange or market are valued at the official closing price or, if none, the last sales price. If no sale occurs on the principal exchange or market that day, a fair value price will be determined in accordance with the Portfolios’ Valuation Procedures.

Forward foreign currency contracts are recorded at the forward rate provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC (“Funds Management”).

The values of securities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee.

Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore may not fully reflect trading or events that occur after the close of the principal exchange in which the foreign securities are traded, but before the close of the New York Stock Exchange. If such trading or events are expected to materially affect the value of such securities, then fair value pricing procedures approved by the Board of Trustees of the Portfolios are applied. These procedures take into account multiple factors including movements in U.S. securities markets after foreign exchanges close. Foreign securities that are fair valued under these procedures are categorized as Level 2 and the application of these procedures may result in transfers between Level 1 and Level 2. Depending on market activity, such fair valuations may be frequent. Such fair value pricing may result in net asset values that are higher or lower than net asset values based on the last reported sales price or latest quoted bid price. On February 29, 2020, such fair value pricing was used in pricing certain foreign securities in Factor Enhanced Emerging Markets Portfolio and Factor Enhanced International Portfolio.

Investments in registered open-end investment companies are valued at net asset value.

Investments which are not valued using the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has

Wells Fargo Funds  |  225

Notes to financial statements

delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee. The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.

Foreign currency translation

The accounting records of each Portfolio are maintained in U.S. dollars. The values of other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee. Purchases and sales of securities, and income and expenses are converted at the rate of exchange on the respective dates of such transactions. Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded and the U.S. dollar equivalent of the amounts actually paid or received. Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities other than investments in securities resulting from changes in exchange rates. The changes in net assets arising from changes in exchange rates of securities and the changes in net assets resulting from changes in market prices of securities are not separately presented. Such changes are included in net realized and unrealized gains or losses from investments.

Forward foreign currency contracts

A forward foreign currency contract is an agreement between two parties to purchase or sell a specific currency for an agreed upon price at a future date. The Portfolio enters into forward foreign currency contracts to facilitate transactions in foreign denominated securities and to attempt to minimize the risk to the Portfolio from adverse changes in the relationship between currencies. Forward foreign currency contracts are recorded at the forward rate and marked-to-market daily. When the contracts are closed, realized gains and losses arising from such transactions are recorded as realized gains or losses on forward foreign currency contracts. The Portfolio is subject to foreign currency risk and may be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts or if the value of the foreign currency changes unfavorably. The Portfolio’s maximum risk of loss from counterparty credit risk is the unrealized gains on the contracts. This risk may be mitigated if there is a master netting arrangement between the Portfolio and the counterparty.

When-issued transactions

Each Portfolio may purchase securities on a forward commitment or when-issued basis. A Portfolio records a when-issued transaction on the trade date and will segregate assets in an amount at least equal in value to the Portfolio’s commitment to purchase when-issued securities. Securities purchased on a when-issued basis are marked-to-market daily and the Portfolio begins earning interest on the settlement date. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract.

Futures contracts

Futures contracts are agreements between each Portfolio and a counterparty to buy or sell a specific amount of a commodity, financial instrument or currency at a specified price and on a specified date. A Portfolio may buy and sell futures contracts in order to gain exposure to, or protect against, changes in security values and foreign exchange rates and is subject to equity price risk and foreign currency risk. The primary risks associated with the use of futures contracts are the imperfect correlation between changes in market values of securities held by the Portfolio and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange. With futures contracts, there is minimal counterparty risk to the Portfolio since futures contracts are exchange traded and the exchange’s clearinghouse, as the counterparty to all exchange traded futures, guarantees the futures contracts against default.

Upon entering into a futures contracts, the Portfolio is required to deposit either cash or securities (initial margin) with the broker in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are paid to or from the broker each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains or losses and, if any, shown as variation margin receivable (payable) in the Statements of Assets and Liabilities. Should the Portfolio fail to make requested variation margin payments, the broker can gain access to the initial margin to satisfy the Portfolio’s payment obligations. When the contracts are closed, a realized gain or loss is recorded in the Statements of Operations.

Security transactions and income recognition

Securities transactions are recorded on a trade date basis. Realized gains or losses are recorded on the basis of identified cost.

226  |  Wells Fargo Funds

Notes to financial statements

Interest income is accrued daily and bond discounts are accreted and premiums are amortized daily. To the extent debt obligations are placed on non-accrual status, any related interest income may be reduced by writing off interest receivables when the collection of all or a portion of interest has been determined to be doubtful based on consistently applied procedures and the fair value has decreased. If the issuer subsequently resumes interest payments or when the collectability of interest is reasonably assured, the debt obligation is removed from non-accrual status.

Dividend income is recognized on the ex-dividend date, except for certain dividends from foreign securities which are recorded as soon as the custodian verifies the ex-dividend date.

Income from foreign securities is recorded net of foreign taxes withheld where recovery of such taxes is not assured.

Federal and other taxes

Each Portfolio is treated as a separate entity for federal income tax purposes. Each Portfolio is not required to pay federal income taxes on its net investment income and net capital gain as it is treated as a partnership for federal income tax purposes. All interest, dividends, gains and losses of the Portfolio are deemed to have been “passed through” to the interest holders in proportion to their holdings of the Portfolio regardless of whether such interest, dividends and gains have been distributed by the Portfolio.

Each Portfolio’s income and federal excise tax returns and all financial records supporting those returns for the fiscal years since commencement of operations are subject to examination by the federal and Delaware revenue authorities. Management has analyzed each Portfolio’s tax positions taken on federal, state, and foreign tax returns for all open tax years and does not believe that there are any uncertain tax positions that require recognition of a tax liability.

As of February 29, 2020, the aggregate cost of all investments for federal income tax purposes and the unrealized gains (losses) were as follows:

	Tax cost		Gross unrealized gains		Gross unrealized losses			Net unrealized gains (losses)
Bloomberg Barclays US Aggregate ex-Corporate Portfolio	$	636,140,690	$	34,297,165	$	(5,878	)	$	34,291,287
Emerging Markets Bond Portfolio		42,801,112		0		(266,813	)		(266,813	)
Factor Enhanced Emerging Markets Portfolio		233,370,365		0		(19,854,450	)		(19,854,450	)
Factor Enhanced International Portfolio		570,115,437		13,210,421		(6,412,421	)		6,798,000
Factor Enhanced Large Cap Portfolio		813,855,259		140,565,361		(6,901,724	)		133,663,637
Factor Enhanced Small Cap Portfolio		235,813,258		0		(9,174,094	)		(9,174,094	)
High Yield Corporate Bond Portfolio		54,863,675		0		(1,731,530	)		(1,731,530	)
International Government Bond Portfolio		11,200,368		0		(46,027	)		(46,027	)
Investment Grade Corporate Bond Portfolio		232,908,836		26,153,299		(605,586	)		25,547,713
Strategic Retirement Bond Portfolio		72,987,105		2,932,479		(31,249	)		2,901,230
U.S. REIT Portfolio		24,500,429		2,124,771		(912,478	)		1,212,293

3. FAIR VALUATION MEASUREMENTS

Fair value measurements of investments are determined within a framework that has established a fair value hierarchy based upon the various data inputs utilized in determining the value of each Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). Each Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

∎ Level 1 – quoted prices in active markets for identical securities

∎ Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

∎ Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

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Notes to financial statements

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing each Portfolio’s assets and liabilities as of February 29, 2020:

Bloomberg Barclays US Aggregate ex-Corporate Portfolio	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Agency securities	$	0	$	251,858,709	$	0	$	251,858,709
Asset-backed securities		0		4,017,679		0		4,017,679
Municipal obligations		0		5,865,210		0		5,865,210
Non-agency mortgage-backed securities		0		10,194,533		0		10,194,533
U.S. Treasury securities		352,222,173		0		0		352,222,173
Yankee corporate bonds and notes		0		20,400,064		0		20,400,064
Yankee government bonds		0		14,494,177		0		14,494,177
Short-term investments
Investment companies		11,379,432		0		0		11,379,432
Total assets	$	363,601,605	$	306,830,372	$	0	$	670,431,977

Emerging Markets Bond Portfolio	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Yankee corporate bonds and notes	$	0	$	5,925,086	$	0	$	5,925,086
Yankee government bonds		0		35,686,918		0		35,686,918
Short-term investments
Investment companies		922,295		0		0		922,295
Total assets	$	922,295	$	41,612,004	$	0	$	42,534,299

228  |  Wells Fargo Funds

Notes to financial statements

Factor Enhanced Emerging Markets Portfolio	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Common stocks
Belgium	$	27,131	$	0	$	0	$	27,131
Brazil		11,864,671		12,806		0		11,877,477
Chile		971,188		1,346,682		0		2,317,870
China		8,822,790		28,715,689		0		37,538,479
Columbia		693,515		0		0		693,515
Czech Republic		249,644		350,220		0		599,864
Egypt		505,936		0		0		505,936
Greece		104,725		778,177		0		882,902
Hong Kong		0		3,502,569		0		3,502,569
Hungary		438,622		568,065		0		1,006,687
India		6,404,032		30,731,941		19,732		37,155,705
Indonesia		226,906		4,155,225		0		4,382,131
Malaysia		803,702		4,361,179		0		5,164,881
Mexico		7,333,148		0		0		7,333,148
Netherlands		0		177,437		0		177,437
Philippines		1,042,143		3,122,133		31,407		4,195,683
Romania		0		131,464		0		131,464
Russia		406,152		13,583,777		0		13,989,929
South Africa		1,579,316		5,365,110		0		6,944,426
South Korea		201,100		24,180,315		0		24,381,415
Taiwan		154,952		25,726,489		0		25,881,441
Thailand		218,674		9,689,338		0		9,908,012
Turkey		77,711		1,860,214		0		1,937,925
Foreign corporate bonds and notes		0		3,269		0		3,269
Preferred stocks
Brazil		6,116,373		0		0		6,116,373
Chile		51,120		120,586		0		171,706
Columbia		238,442		0		0		238,442
Russia		171,400		27,701		0		199,101
Rights
South Korea		0		241		0		241
Warrants
Malaysia		0		11,545		0		11,545
Thailand		0		2,097		0		2,097
Short-term investments
Investment companies		6,720,374		0		0		6,720,374
Total assets	$	55,423,767	$	158,524,269	$	51,139	$	213,999,175
Liabilities
Futures contracts	$	483,260	$	0	$	0	$	483,260
Total liabilities	$	483,260	$	0	$	0	$	483,260

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Notes to financial statements

Factor Enhanced International Portfolio	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Common stocks
Australia	$	129,127	$	50,362,773	$	0	$	50,491,900
Austria		0		1,532,734		0		1,532,734
Belgium		554,905		3,193,462		0		3,748,367
Canada		59,892,132		1,042,746		0		60,934,878
China		0		1,774,414		0		1,774,414
Denmark		1,394,829		12,007,880		0		13,402,709
Finland		349,713		6,348,974		0		6,698,687
France		859,689		31,538,169		0		32,397,858
Germany		1,213,610		25,438,694		0		26,652,304
Hong Kong		101,080		15,604,065		0		15,705,145
Ireland		1,771,955		6,614,148		0		8,386,103
Italy		0		8,566,963		0		8,566,963
Japan		153,208		122,447,882		0		122,601,090
Luxembourg		302,250		1,292,956		0		1,595,206
Netherlands		1,878,646		16,415,120		0		18,293,766
New Zealand		0		2,565,603		0		2,565,603
Norway		0		4,297,102		0		4,297,102
Papua New Guinea		0		235,896		0		235,896
Poland		117,878		1,546,848		0		1,664,726
Portugal		0		1,174,660		0		1,174,660
Singapore		0		9,743,710		0		9,743,710
Spain		137,031		11,681,786		0		11,818,817
Sweden		760,807		17,188,512		0		17,949,319
Switzerland		879,197		48,149,083		0		49,028,280
Thailand		0		268,370		0		268,370
United Kingdom		1,075,018		81,386,244		0		82,461,262
United States		161,542		0		0		161,542
Preferred stocks
Germany		0		1,400,846		0		1,400,846
Rights
Spain		0		6,415		0		6,415
Short-term investments
Investment companies		24,301,039		0		0		24,301,039
Total assets	$	96,033,656	$	483,826,055	$	0	$	579,859,711
Liabilities
Futures contracts	$	2,946,274	$	0	$	0	$	2,946,274
Total liabilities	$	2,946,274	$	0	$	0	$	2,946,274

230  |  Wells Fargo Funds

Notes to financial statements

Factor Enhanced Large Cap Portfolio	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Common stocks
Communication services	$	83,539,097	$	0	$	0	$	83,539,097
Consumer discretionary		86,202,122		0		0		86,202,122
Consumer staples		93,202,603		0		0		93,202,603
Energy		31,220,500		0		0		31,220,500
Financials		112,081,616		0		0		112,081,616
Health care		168,813,051		0		0		168,813,051
Industrials		110,803,737		0		0		110,803,737
Information technology		100,460,375		0		0		100,460,375
Materials		26,678,598		0		0		26,678,598
Real estate		58,998,368		0		0		58,998,368
Utilities		43,636,206		0		0		43,636,206
Rights
Health care		0		141,316		0		141,316
Short-term investments
Investment companies		37,548,710		0		0		37,548,710
Total assets	$	953,184,983	$	141,316	$	0	$	953,326,299
Liabilities
Futures contracts	$	5,807,403	$	0	$	0	$	5,807,403
Total liabilities	$	5,807,403	$	0	$	0	$	5,807,403

Factor Enhanced Small Cap Portfolio	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Common stocks
Communication services	$	6,834,090	$	0	$	32,978	$	6,867,068
Consumer discretionary		26,630,671		0		0		26,630,671
Consumer staples		9,543,453		0		0		9,543,453
Energy		4,892,565		0		0		4,892,565
Financials		45,388,202		0		0		45,388,202
Health care		28,935,676		0		0		28,935,676
Industrials		32,653,617		0		0		32,653,617
Information technology		28,562,803		0		0		28,562,803
Materials		8,978,374		0		0		8,978,374
Real estate		21,380,823		0		61,417		21,442,240
Utilities		6,905,841		0		0		6,905,841
Rights
Financials		0		0		0		0
Health care		0		178		1,208		1,386
Warrants
Energy		0		0		0		0
Short-term investments
Investment companies		6,867,519		0		0		6,867,519
Total assets	$	227,573,634	$	178	$	95,603	$	227,669,415
Liabilities
Futures contracts	$	1,030,251	$	0	$	0	$	1,030,251
Total liabilities	$	1,030,251	$	0	$	0	$	1,030,251

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Notes to financial statements

High Yield Corporate Bond Portfolio	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Corporate bonds and notes	$	0	$	43,124,063	$	0	$	43,124,063
Yankee corporate bonds and notes		0		8,668,782		0		8,668,782
Short-term investments
Investment companies		1,339,300		0		0		1,339,300
Total assets	$	1,339,300	$	51,792,845	$	0	$	53,132,145

International Government Bond Portfolio	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Foreign government bonds	$	0	$	11,118,180	$	0	$	11,118,180
Short-term investments
Investment companies		51,894		0		0		51,894
		51,894		11,118,180		0		11,170,074
Forward foreign currency contracts		0		21,275		0		21,275
Total assets	$	51,894	$	11,139,455	$	0	$	11,191,349
Liabilities
Forward foreign currency contracts	$	0	$	37,008	$	0	$	37,008
Total liabilities	$	0	$	37,008	$	0	$	37,008

Investment Grade Corporate Bond Portfolio	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Corporate bonds and notes	$	0	$	209,553,154	$	0	$	209,553,154
Yankee corporate bonds and notes		0		48,613,662		0		48,613,662
Short-term investments
Investment companies		289,733		0		0		289,733
Total assets	$	289,733	$	258,166,816	$	0	$	258,456,549

Strategic Retirement Bond Portfolio	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Agency securities	$	0	$	947,373	$	0	$	947,373
U.S. Treasury securities		74,659,651		0		0		74,659,651
Short-term investments
Investment companies		281,311		0		0		281,311
Total assets	$	74,940,962	$	947,373	$	0	$	75,888,335

232  |  Wells Fargo Funds

Notes to financial statements

U.S. REIT Portfolio	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Common stocks
Real estate	$	25,472,748	$	0	$	0	$	25,472,748
Short-term investments
Investment companies		239,974		0		0		239,974
Total assets	$	25,712,722	$	0	$	0	$	25,712,722

Additional sector, industry or geographic detail for each Portfolio is included in the Portfolio of investments.

Futures contracts and forward foreign currency contracts are reported at their cumulative unrealized gains (losses) at measurement date as reported in the tables following each applicable Portfolio of Investments. For futures contracts, the current day’s variation margin is reported on the Statements of Assets and Liabilities. All other assets and liabilities are reported at their market value at measurement date.

For the year ended February 29, 2020, the Portfolios did not have any transfers into/out of Level 3.

4. TRANSACTIONS WITH AFFILIATES

Advisory fees

The Trust has entered into an advisory contract with Funds Management, an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”). The adviser is responsible for implementing investment policies and guidelines and for supervising the applicable subadvisers, who are responsible for day-to-day portfolio management of the Portfolios. Pursuant to the contract, Funds Management is entitled to receive an advisory fee at the following annual rate based on the average daily net assets of each Portfolio.

Bloomberg Barclays US Aggregate ex-Corporate Portfolio Investment Grade Corporate Bond Portfolio Strategic Retirement Bond Portfolio	Average daily net assets	Advisory fee
	First $5 billion		0.05	%
	Next $5 billion		0.04
	Over $10 billion		0.03

Emerging Markets Bond Portfolio High Yield Corporate Bond Portfolio International Government Bond Portfolio	Average daily net assets	Advisory fee
	First $5 billion		0.25	%
	Next $5 billion		0.23
	Over $10 billion		0.21

Factor Enhanced Emerging Markets Portfolio Factor Enhanced International Portfolio Factor Enhanced Small Cap Portfolio	Average daily net assets	Advisory fee
	First $5 billion		0.15	%
	Next $5 billion		0.13
	Over $10 billion		0.11

Factor Enhanced Large Cap Portfolio U.S. REIT Portfolio	Average daily net assets	Advisory fee
	First $5 billion		0.10	%
	Next $5 billion		0.08
	Over $10 billion		0.06

Wells Fargo Funds  |  233

Notes to financial statements

For the year ended February 29, 2020, the advisory fee was equivalent to an annual rate for each Portfolio as follows:

	Advisory fee
Bloomberg Barclays US Aggregate ex-Corporate Portfolio		0.05	%
Emerging Markets Bond Portfolio		0.25
Factor Enhanced Emerging Markets Portfolio		0.15
Factor Enhanced International Portfolio		0.15
Factor Enhanced Large Cap Portfolio		0.10
Factor Enhanced Small Cap Portfolio		0.15
High Yield Corporate Bond Portfolio		0.25
International Government Bond Portfolio		0.25
Investment Grade Corporate Bond Portfolio		0.05
Strategic Retirement Bond Portfolio		0.05
U.S. REIT Portfolio		0.10

Funds Management has retained the services of certain subadvisers to provide daily portfolio management to the Portfolios. Funds Management has engaged Wells Capital Management Incorporated (“WellsCap”) and Wells Fargo Asset Management (International) Limited (“WFAM (I) Limited”), each an affiliate of Funds Management and an indirect, wholly owned subsidiary of Wells Fargo, as subadvisers. Prior to August 1, 2019, Wells Fargo Asset Management (International), LLC (“WFAM (I) LLC”) was the subadviser for Emerging Markets Bond Portfolio and International Government Bond Portfolio. Effective August 1, 2019, WFAM (I) LLC merged with WFAM (I) Limited and WFAM (I) Limited became the subadviser to these Portfolios. This transaction did not result in any changes to the services provided to these Portfolios or to the strategies or fees and expenses. The fee for sub-advisory services is borne by Funds Management. The subadvisers are each entitled to receive from Funds Management an annual subadvisory fee which is calculated based on the average daily net assets of each Portfolio as follows:

		Subadvisory fee
	Subadviser	starting at			declining to
Bloomberg Barclays US Aggregate ex-Corporate Portfolio	WellsCap		0.04	%		0.03	%
Emerging Markets Bond Portfolio	WFAM (I) Limited		0.09			0.07
Factor Enhanced Emerging Markets Portfolio	WellsCap		0.08			0.05
Factor Enhanced International Portfolio	WellsCap		0.08			0.05
Factor Enhanced Large Cap Portfolio	WellsCap		0.06			0.04
Factor Enhanced Small Cap Portfolio	WellsCap		0.08			0.05
High Yield Corporate Bond Portfolio	WellsCap		0.09			0.07
International Government Bond Portfolio	WFAM (I) Limited		0.09			0.07
Investment Grade Corporate Bond Portfolio	WellsCap		0.04			0.03
Strategic Retirement Bond Portfolio	WellsCap		0.04			0.03
U.S. REIT Portfolio	WellsCap		0.06			0.04

Funds Management has voluntarily waived and/or reimbursed advisory fees to the extent necessary to maintain certain net operating expense ratios for the Portfolios.

Interfund transactions

The Portfolios may purchase or sell portfolio investment securities to certain other Wells Fargo affiliates pursuant to Rule 17a-7 under the 1940 Act and under procedures adopted by the Board of Trustees. The procedures have been designed to ensure that these interfund transactions, which do not incur broker commissions, are effected at current market prices.

234  |  Wells Fargo Funds

Notes to financial statements

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments, excluding short-term securities, for the year ended February 29, 2020 were as follows:

	Purchases at cost				Sales proceeds
	U.S. government		Non-U.S. government		U.S. government		Non-U.S. government
Bloomberg Barclays US Aggregate ex-Corporate Portfolio	$	307,916,397	$	28,879,069	$	256,175,659	$	29,995,789
Emerging Markets Bond Portfolio		0		15,209,255		0		17,810,261
Factor Enhanced Emerging Markets Portfolio		0		138,836,075		0		157,590,204
Factor Enhanced International Portfolio		0		280,483,534		0		382,891,851
Factor Enhanced Large Cap Portfolio		0		273,029,226		0		501,992,653
Factor Enhanced Small Cap Portfolio		0		101,910,738		0		121,467,164
High Yield Corporate Bond Portfolio		0		31,683,821		0		62,908,632
International Government Bond Portfolio		0		31,946,163		0		32,009,115
Investment Grade Corporate Bond Portfolio		0		46,237,098		0		73,593,548
Strategic Retirement Bond Portfolio		29,041,108		769,500		30,373,054		1,159,613
U.S. REIT Portfolio		0		8,457,891		0		26,958,065

6. DERIVATIVE TRANSACTIONS

During the year ended February 29, 2020, Factor Enhanced Emerging Markets Portfolio, Factor Enhanced International Portfolio, Factor Enhanced Large Cap Portfolio and Factor Enhanced Small Cap Portfolio entered into futures contracts to gain market exposure. International Government Bond Portfolio entered into forward foreign currency contracts for economic hedging purposes.

The table below discloses the volume of the following Portfolio’s derivative activity during the year ended February 29, 2020.

	Factor Enhanced Emerging Markets Portfolio		Factor Enhanced International Portfolio		Factor Enhanced Large Cap Portfolio		Factor Enhanced Small Cap Portfolio		International Government Bond Portfolio
Futures contracts
Average notional balance on long futures	$	10,346,239	$	24,802,004	$	39,145,394	$	11,207,809		N/A
Average notional balance on short futures		0		0		0		0		N/A
Forward foreign currency contracts
Average contract amounts to buy		N/A		N/A		N/A		N/A	$	2,277,079
Average contract amounts to sell		N/A		N/A		N/A		N/A		2,178,821

The fair value, realized gains or losses and change in unrealized gains or losses, if any, on derivative instruments are reflected in the corresponding financial statement captions.

For certain types of derivative transactions, the Portfolios have entered into International Swaps and Derivatives Association, Inc. master agreements (“ISDA Master Agreements”) or similar agreements with approved counterparties. The ISDA Master Agreements or similar agreements may have requirements to deliver/deposit securities or cash to/with an exchange or broker-dealer as collateral and allows the Portfolio to offset, with each counterparty, certain derivative financial instrument’s assets and/or liabilities with collateral held or pledged. Collateral requirements differ by type of derivative. Collateral or margin requirements are set by the broker or exchange clearinghouse for exchange traded derivatives while collateral terms are contract specific for over-the-counter traded derivatives. Cash collateral that has been pledged to cover obligations of the Portfolio under ISDA Master Agreements or similar agreements, if any, are reported separately in the Statements of Assets and Liabilities. Securities pledged as collateral, if any, are noted in the Portfolio of Investments. With respect to balance sheet offsetting, absent an event of default by the counterparty or a termination of the agreement, the reported amounts of financial assets and financial liabilities in the Statements of Assets and Liabilities are not offset across transactions between the

Wells Fargo Funds  |  235

Notes to financial statements

Portfolio and the applicable counterparty. A reconciliation of the gross amounts on the Statements of Assets and Liabilities to the net amounts by counterparty, including any collateral exposure, for OTC derivatives is as follows:

	Counterparty	Gross amounts of assets in the Statements of Assets and Liabilities	Amounts subject to netting agreements			Collateral received		Net amount of assets
International Government Bond Portfolio	State Street Bank	$21,275	$	(21,275	)	$	0	$	0

	Counterparty	Gross amounts of liabilities in the Statements of Assets and Liabilities	Amounts subject to netting agreements			Collateral pledged		Net amount of liabilities
International Government Bond Portfolio	State Street Bank	$37,008	$	(21,275	)	$	0	$	15,733

7. BANK BORROWINGS

The Trust, along with Wells Fargo Variable Trust and Wells Fargo Funds Trust (excluding the money market funds), are parties to a $280,000,000 revolving credit agreement whereby each Portfolio is permitted to use bank borrowings for temporary or emergency purposes, such as to fund shareholder redemption requests. Interest under the credit agreement is charged to each Portfolio based on a borrowing rate equal to the higher of the Federal Funds rate in effect on that day plus 1.25% or the overnight LIBOR rate in effect on that day plus 1.25%. In addition, an annual commitment fee equal to 0.25% of the unused balance is allocated to each participating fund.

During the year ended February 29, 2020, the Portfolios had the following borrowing activity:

	Average borrowings outstanding		Weighted average interest rate			Interest paid
Factor Enhanced International Portfolio	$	15,363		2.89	%	$	444
Factor Enhanced Large Cap Portfolio		15,540		2.87	%		446

8. INDEMNIFICATION

Under the Trust’s organizational documents, the officers and Trustees have been granted certain indemnification rights against certain liabilities that may arise out of performance of their duties to the Trust. Additionally, in the normal course of business, the Trust may enter into contracts with service providers that contain a variety of indemnification clauses. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the Portfolios and, therefore, cannot be estimated.

9. NEW ACCOUNTING PRONOUNCEMENTS

In August 2018, FASB issued Accounting Standards Update (“ASU”) No. 2018-13, Fair Value Measurement (Topic 820) Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement. ASU 2018-13 updates the disclosure requirements for fair value measurements by modifying or removing certain disclosures and adding certain new disclosures. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Early adoption is permitted. Management has adopted the removal and modification of disclosures early, as permitted, and will adopt the additional new disclosures at the effective date.

In March 2017, FASB issued ASU No. 2017-08, Premium Amortization on Purchased Callable Debt Securities. ASU 2017-08 shortens the amortization period for certain callable debt securities held at a premium and requires the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount and discounts will continue to be accreted to the maturity date of the security. ASU 2017-08 is effective for fiscal years beginning after December 15, 2018 and for interim periods within those fiscal years. During the current reporting period, management of each Portfolio adopted the change in accounting policy which did not have a material impact to each Portfolio’s financial statements.

236  |  Wells Fargo Funds

Notes to financial statements

10. SUBSEQUENT EVENT

On March 11, 2020, the World Health Organization announced that it had made the assessment that coronavirus disease 2019 (“COVID-19”) is a pandemic. The impacts of COVID-19 is adversely affecting the entire global economy, individual companies and investment products, and the market in general. There is significant uncertainty around the extent and duration of business disruptions related to COVID-19 and the impact may be short term or may last for an extended period of time. The risk of further spreading of COVID-19 has led to significant uncertainty and volatility in the financial markets and the value of the Portfolios and the securities in which the Portfolios invest have generally been adversely affected by impacts caused by COVID-19.

Wells Fargo Funds  |  237

Report of independent registered public accounting firm

To the Shareholders of the Portfolios and Board of Trustees

Wells Fargo Master Trust:

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio, Wells Fargo Emerging Markets Bond Portfolio, Wells Fargo Factor Enhanced Emerging Markets Portfolio, Wells Fargo Factor Enhanced International Portfolio, Wells Fargo Factor Enhanced Large Cap Portfolio, Wells Fargo Factor Enhanced Small Cap Portfolio, Wells Fargo High Yield Corporate Bond Portfolio, Wells Fargo International Government Bond Portfolio, Wells Fargo Investment Grade Corporate Bond Portfolio, Wells Fargo Strategic Retirement Bond Portfolio, and Wells Fargo U.S. REIT Portfolio (collectively, the Portfolios), eleven of the portfolios constituting Wells Fargo Master Trust, including the portfolios of investments, as of February 29, 2020, the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years or periods in the period from May 23, 2017 (commencement of operations) to February 29, 2020, except for Wells Fargo International Government Bond Portfolio, which is for each of the years or periods in the period from August 16, 2017 (commencement of operations) to February 29, 2020. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Portfolios as of February 29, 2020, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the period from the commencement of operations to February 29, 2020, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolios in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of February 29, 2020, by correspondence with the custodian, transfer agent, and brokers, or by other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

We have not been able to determine the specific year that we began serving as the auditor of one or more Wells Fargo Funds investment companies; however we are aware that we have served as the auditor of one or more Wells Fargo Funds investment companies since at least 1955.

Boston, Massachusetts

April 28, 2020

238  |  Wells Fargo Funds

Other information (unaudited)

TAX INFORMATION

Pursuant to Section 852 of the Internal Revenue Code, the following amounts were designated as a 20% rate gain distribution for the fiscal year ended February 29, 2020:

	20% rate gain distribution
U.S. Core Bond Fund	$	3,786

For the fiscal year ended February 29, 2020, the percentage of ordinary income distributed which was derived from interest on U.S. government securities was as follows:

	% of U.S. government income
U.S. Core Bond Fund		24.10	%

PROXY VOTING INFORMATION

A description of the policies and procedures used to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling 1-800-222-8222, visiting our website at wfam.com, or visiting the SEC website at sec.gov. Information regarding how the proxies related to portfolio securities were voted during the most recent 12-month period ended June 30 is available on the website at wfam.com or by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS INFORMATION

The Funds and Portfolios file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. Shareholders may view the filed Form N-PORT by visiting the SEC website at sec.gov.

Wells Fargo Funds  |  239

Other information (unaudited)

BOARD OF TRUSTEES AND OFFICERS

Each of the Trustees and Officers¹ listed in the table below acts in identical capacities for each fund in the Wells Fargo family of funds, which consists of 146 mutual funds comprising the Wells Fargo Funds Trust, Wells Fargo Variable Trust, Wells Fargo Master Trust and four closed-end funds (collectively the “Fund Complex”). This table should be read in conjunction with the Prospectus and the Statement of Additional Information². The mailing address of each Trustee and Officer is 525 Market Street, 12th Floor, San Francisco, CA 94105. Each Trustee and Officer serves an indefinite term, however, each Trustee serves such term until reaching the mandatory retirement age established by the Trustees.

Independent Trustees

Name and year of birth	Position held and length of service*	Principal occupations during past five years or longer	Current other public company or investment company directorships
William R. Ebsworth (Born 1957)	Trustee, since 2015	Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder.	N/A
Jane A. Freeman (Born 1953)	Trustee, since 2015; Chair Liaison, since 2018	Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is a Board Member of The Ruth Bancroft Garden (non-profit organization). She is also an inactive Chartered Financial Analyst.	N/A
Isaiah Harris, Jr. (Born 1952)	Trustee, since 2009; Audit Committee Chairman, since 2019	Retired. Chairman of the Board of CIGNA Corporation since 2009, and Director since 2005. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Child Evangelism Fellowship (non-profit). Mr. Harris is a certified public accountant (inactive status).	CIGNA Corporation
Judith M. Johnson (Born 1949)	Trustee, since 2008; Audit Committee Chairman, from 2009 to 2018	Retired. Prior thereto, Chief Executive Officer and Chief Investment Officer of Minneapolis Employees Retirement Fund from 1996 to 2008. Ms. Johnson is an attorney, certified public accountant and a certified managerial accountant.	N/A

240  |  Wells Fargo Funds

Other information (unaudited)

Name and year of birth	Position held and length of service*	Principal occupations during past five years or longer	Current other public company or investment company directorships
David F. Larcker (Born 1950)	Trustee, since 2009	James Irvin Miller Professor of Accounting at the Graduate School of Business, Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005.	N/A
Olivia S. Mitchell (Born 1953)	Trustee, since 2006; Nominating and Governance Committee Chair, since 2018	International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993.	N/A
Timothy J. Penny (Born 1951)	Trustee, since 1996; Chairman, since 2018	President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007.	N/A
James G. Polisson (Born 1959)	Trustee, since 2018	Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non-profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations.	N/A
Pamela Wheelock3 (Born 1959)	Trustee, since January 2020; previously Trustee from January 2018 to July 2019	Board member of the Destination Medical Center Economic Development Agency, Rochester, Minnesota since 2019. Acting Commissioner, Minnesota Department of Human Services, July 2019 through September 2019. Human Services Manager (part-time), Minnesota Department of Human Services, October 2019 through December 2019. Chief Operating Officer, Twin Cities Habitat for Humanity from 2017 to 2019. Vice President of University Services, University of Minnesota from 2012 to 2016. Prior thereto, on the Board of Directors, Governance Committee and Finance Committee for the Minnesota Philanthropy Partners (Saint Paul Foundation) from 2012 to 2018, Interim Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2011 to 2012, Chairman of the Board from 2009 to 2012 and Board Director from 2003 to 2015. Vice President, Leadership and Community Engagement, Bush Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011. Executive Vice President and Chief Financial Officer, Minnesota Sports and Entertainment from 2004 to 2009 and Senior Vice President from 2002 to 2004. Executive Vice President of the Minnesota Wild Foundation from 2004 to 2008. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently Board Chair of the Minnesota Wild Foundation since 2010.	N/A

* Length of service dates reflect the Trustee’s commencement of service with the Trust’s predecessor entities, where applicable.

Wells Fargo Funds  |  241

Other information (unaudited)

Officers

Name and year of birth	Position held and length of service	Principal occupations during past five years or longer
Andrew Owen (Born 1960)	President, since 2017	Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014.
Jeremy DePalma1 (Born 1974)	Treasurer, since 2012	Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010.
Michelle Rhee (Born 1966)	Chief Legal Officer, since 2019	Secretary of Wells Fargo Funds Management, LLC, Chief Legal Counsel of Wells Fargo Asset Management and Assistant General Counsel of Wells Fargo Bank, N.A. since 2018. Associate General Counsel and Managing Director of Bank of America Corporation from 2004 to 2018.
Catherine Kennedy (Born 1969)	Secretary, since 2019	Vice President of Wells Fargo Funds Management, LLC and Senior Counsel of the Wells Fargo Legal Department since 2010. Vice President and Senior Counsel of Evergreen Investment Management Company, LLC from 1998 to 2010.
Michael H. Whitaker (Born 1967)	Chief Compliance Officer, since 2016	Chief Compliance Officer of Wells Fargo Asset Management since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016.
David Berardi (Born 1975)	Assistant Treasurer, since 2009	Vice President of Wells Fargo Funds Management, LLC since 2009. Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010. Manager of Fund Reporting and Control for Evergreen Investment Management Company, LLC from 2004 to 2010.

¹  Jeremy DePalma acts as Treasurer of 82 funds and Assistant Treasurer of 64 funds in the Fund Complex.

² The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling 1-800-222-8222 or by visiting the website at wfam.com.

³  Pamela Wheelock was re-appointed to the Board effective January 1, 2020.

242  |  Wells Fargo Funds

For more information

More information about Wells Fargo Funds is available free upon request. To obtain literature, please write, visit the Funds’ website, or call:

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: wfam.com

Individual investors: 1-800-222-8222

Retail investment professionals: 1-888-877-9275

Institutional investment professionals: 1-866-765-0778

This report and the financial statements contained herein are submitted for the general information of the shareholders of Wells Fargo Funds. If this report is used for promotional purposes, distribution of the report must be accompanied or preceded by a current prospectus. Before investing, please consider the investment objectives, risks, charges, and expenses of the investment. For a current prospectus and, if available, a summary prospectus, containing this information, call 1-800-222-8222 or visit the Funds’ website at wfam.com. Read the prospectus carefully before you invest or send money.

Wells Fargo Asset Management (WFAM) is the trade name for certain investment advisory/management firms owned by Wells Fargo & Company. These firms include but are not limited to Wells Capital Management Incorporated and Wells Fargo Funds Management, LLC. Certain products managed by WFAM entities are distributed by Wells Fargo Funds Distributor, LLC (a broker-dealer and Member FINRA).

This material is for general informational and educational purposes only and is NOT intended to provide investment advice or a recommendation of any kind—including a recommendation for any specific investment, strategy, or plan.

INVESTMENT PRODUCTS: NOT FDIC INSURED  ◾  NO BANK GUARANTEE  ◾   MAY LOSE VALUE

© 2020 Wells Fargo & Company. All rights reserved

PAR-0220-04684 04-20

AII/AR160 02-20

ITEM 2. CODE OF ETHICS

(a) As of the end of the period covered by the report, Wells Fargo Funds Trust has adopted a code of ethics that applies to its President and Treasurer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.

(c) During the period covered by this report, there were no amendments to the provisions of the code of ethics adopted in Item 2(a) above.

(d) During the period covered by this report, there were no implicit or explicit waivers to the provisions of the code of ethics adopted in Item 2(a) above.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT

The Board of Trustees of Wells Fargo Funds Trust has determined that Judith Johnson is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mrs. Johnson is independent for purposes of Item 3 of Form N-CSR.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES

(a), (b), (c), (d) The following table presents aggregate fees billed in each of the last two fiscal years for services rendered

to the Registrant by the Registrant’s principal accountant. These fees were billed to the registrant and were approved by

the Registrant’s audit committee.

	Fiscal year ended February 29, 2020			Fiscal year ended February 28, 2019
Audit fees	$	496,090		$	569,750
Audit-related fees		—			—
Tax fees (1)		88,080			120,940
All other fees		—			—
	$	584,170	*	$	690,690

* Excludes amounts related to Funds that liquidated during the fiscal year.

⁽¹⁾  Tax fees consist of fees for tax compliance, tax advice, tax planning and excise tax.

If the Chairman approves of such service, he or she shall sign the statement prepared by Management. Such written statement shall be presented to the full Committees at their next regularly scheduled meetings.

(f) Not applicable

(g) Not applicable

(h) Not applicable

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS

Not applicable.

ITEM 6. INVESTMENTS

A Portfolio of Investments for each series of Wells Fargo Funds Trust is included as part of the report to shareholders filed under Item 1 of this Form.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES

Not applicable.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES

Not applicable.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees that have been implemented since the registrant’s last provided disclosure in response to the requirements of this Item.

ITEM 11. CONTROLS AND PROCEDURES

(a) The President and Treasurer have concluded that the Wells Fargo Funds Trust disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) provide reasonable assurances that material information relating to the registrant is made known to them by the appropriate persons based on their evaluation of these controls and procedures as of a date within 90 days of the filing of this report.

(b) There were no significant changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the most recent fiscal half-year of the period covered by this report that materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 12. DISCLOSURES OF SECURITIES LENDING ACTIVITES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES

Not applicable.

ITEM 13. EXHIBITS

(a)(1) Code of Ethics.

(a)(2) Certifications pursuant to Section  302 of the Sarbanes-Oxley Act of 2002.

(b) Certifications pursuant to Section  906 of the Sarbanes-Oxley Act of 2002.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Wells Fargo Funds Trust
By:	/s/ Andrew Owen
	Andrew Owen
	President
Date: April 28, 2020

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the date indicated.

Wells Fargo Funds Trust
By:	/s/ Andrew Owen
	Andrew Owen
	President
Date: April 28, 2020
By:	/s/Jeremy DePalma
	Jeremy DePalma
	Treasurer
Date: April 28, 2020

EX-99.CODE

Wells Fargo Funds Trust

Wells Fargo Master Trust

Wells Fargo Variable Trust

Wells Fargo Global Dividend Opportunity Fund

Wells Fargo Income Opportunities Fund

Wells Fargo Multi-Sector Income Fund

Wells Fargo Utilities and High Income Fund

Joint Code of Ethics for Principal Executive Officer and Senior Financial Officers

I. Covered Officers / Purpose of the Code

This Code of Ethics (“Code”) of Wells Fargo Funds Trust, Wells Fargo Master Trust and Wells Fargo Variable Trust, Wells Fargo Global Dividend Opportunity Fund, Wells Fargo Income Opportunities Fund, Wells Fargo Multi-Sector Income Fund and Wells Fargo Utilities and High Income Fund (collectively, the “Trusts” and each, “a Trust”) applies to each Trust’s Principal Executive Officer, Principal Financial Officer and any other Trust officer’s listed on Exhibit A (the “Covered Officers”) for the purpose of promoting:

• honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

• full, fair, accurate, timely and understandable financial disclosure in reports and documents that a Trust files with, or submits to, the Securities and Exchange Commission (“SEC”) and in other public communications made by the Trust;

• compliance with applicable laws and governmental rules and regulations;

• the prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and

• accountability for adherence to the Code.

Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.

II. Covered Officers Should Handle Ethically Both Actual and Apparent Conflicts of Interest

Overview. A “conflict of interest” occurs when a Covered Officer’s private interest interferes with the interests of, or his or her service to, a Trust. For example, a conflict of interest would arise if a Covered Officer, or a member of his or her family, receives improper personal benefits as a result of his or her position with the Trust.

Certain conflicts of interest arise out of the relationships between Covered Officers and the Trust and already are subject to conflict of interest provisions in the Investment Company Act of 1940 (“Investment Company Act”) and the Investment Advisers Act of 1940 (“Investment Advisers Act”). For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with the Trust because of their status as “affiliated persons” of the Trust. The compliance programs and procedures of the Trust and Wells Fargo Funds Management, LLC (the “Adviser”) are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code.

Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between the Trust and the Adviser, of which the Covered Officers are also officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Trust or for the Adviser, or for both), be involved in establishing policies and implementing decisions that will have different effects on the Adviser and the Trust. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Trust and the Adviser and is consistent with the performance by the Covered Officers of their duties as officers of the Trust. Each Covered Officer recognizes that, as an officer of a Trust, he or she has a duty to act in the best interests of the Trust and its shareholders. If a Covered Officer believes that his or her responsibilities as an officer or employee of the Adviser are likely to materially compromise his or her objectivity or his or her ability to perform the duties of his or her role as an officer of the Trust, he or she should consult with the Chief Legal Officer. Under appropriate circumstances, a Covered Officer should also consider whether to present the matter to the Board. In addition, it is recognized by the Trust’s Board of Trustees (“Board”) that the Covered Officers may also be officers or employees of one or more other investment companies covered by this or other codes.

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of the Trust.

*                *                 *                *

Each Covered Officer must:

• not use his or her personal influence or personal relationships improperly to influence investment decisions or financial reporting by a Trust whereby the Covered Officer would benefit personally to the detriment of the Trust;

2

• not cause the Trust to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of a Trust;

• not use material non-public knowledge of portfolio transactions made or contemplated for the Trust to trade personally or cause others to trade personally in contemplation of the market effect of such transactions;

• not retaliate against any other Covered Officer or any employee of a Trust or its affiliated persons for reports of potential violations that are made in good faith; and

• not engage in personal, business or professional relationships or dealings that would impair his or her independence of judgment or adversely affect the performance of his or her duties in the best interests of the Trust and their shareholders.

There are some conflict of interest situations that should always be approved in advance by the Chief Legal Officer of the Trust (the “Chief Legal Officer”) if material. Examples of these include:

• service as a director on the board of any public or private for-profit company (provided, however, that a Covered Officer who is employed by another company (e.g., Wells Fargo) may serve as a director of such company or any entity, controlling, controlled by, or under common control with, such company);

• acquiring a financial interest in any company that provides services to the Trust (provided, however, that a Covered Officer who is employed by another company (e.g., Wells Fargo) may have an ownership interest in his or her employer or the employer’s parent company);

• the receipt of any entertainment or gifts from any person or company with which the Trust has current or prospective business dealings unless such entertainment is business-related, reasonable in cost, appropriate as to time and place, and not so frequent as to raise any question of impropriety;

• any consulting or employment relationship with any of the Trust’s service providers, other than with the primary employer of the Covered Officer; and

• a direct or indirect financial interest in commissions, transaction charges or spreads paid by the Trust for effecting portfolio transactions or for selling or redeeming shares, other than an interest arising from the Covered Officer’s primary employment, such as compensation or equity ownership.

III. Disclosure and Compliance

Each Covered Officer should familiarize himself or herself with the disclosure requirements generally applicable to the Trust.

3

Each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about the Trust to others, whether within or outside the Trust, including to the Board and the Trust’s auditors, and to governmental regulators and self-regulatory organizations.

Each Covered Officer should, to the extent appropriate within his or her area of responsibility, consult with other officers and employees of the Trust and the Adviser with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Trust files with, or submits to, the SEC and in other public communications made by the Trust.

It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.

Each Covered Officer should, consistent with his or her responsibilities, exercise appropriate supervision over and assist relevant Trust service providers in developing financial information and other disclosure that complies with relevant law and presents information in a clear, comprehensible and complete manner.

Each Covered Officer is responsible for the accuracy of the records and reports that he or she is responsible for maintaining. The books and records of the Trust shall meet the highest standards and accurately reflect the true nature of the transactions they record. The Covered Officers must not create false or misleading documents or accounting, financial or electronic records for any purpose, and must not direct any other person to do so. If a Covered Officer becomes aware that information filed with the SEC or made available to the public contains any false or misleading information or omits to disclose necessary information, he shall promptly report it to Chief Legal Officer for a determination as to what, if any, corrective action is necessary or appropriate.

No undisclosed or unrecorded account or fund shall be established for any purpose. No false or misleading entries shall be made in a Trust’s books or records for any reason. No disbursement of a Trust’s assets shall be made without adequate supporting documentation or for any purpose other than as described in the Trust’s documents or contracts.

A Trust will maintain and preserve for a period of not less than six (6) years from the date such action is taken, the first two (2) years in an easily accessible place, a copy of the information or materials supplied to the Board: (i) that provided the basis for any amendment or waiver to this Code, and (ii) relating to any violation of the Code and sanctions imposed for such violation, together with a written record of the approval or action taken by the Board.

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IV. Reporting and Accountability

Each Covered Officer must:

• upon adoption of the Code (or thereafter upon becoming a Covered Officer), affirm in writing (in the form attached to this Code) to the Board that he or she has received, read, and understands the Code;

• annually thereafter affirm in writing (in the form attached to this Code) to the Board that he or she has complied with the requirements of the Code; and

• notify the Chief Legal Officer of the Trust promptly if he or she knows of any violation of this Code. Failure to do so is itself a violation of this Code.

The Chief Legal Officer is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation. While the Chief Legal Officer in authorized to interpret this Code, an approval of a situation that is expressly prohibited by this Code is deemed to be a “waiver” and can be approved only by the Board.

The Trust will follow these procedures in investigating and enforcing this Code:

• the Chief Legal Officer will take all appropriate action to investigate any potential violations reported to him or her;

• if, after such investigation, the Chief Legal Officer believes that no violation has occurred, the Chief Legal Officer is not required to take any further action;

• any matter that the Chief Legal Officer believes is a violation will be reported to the Board;

• if the Board concurs that a violation has occurred, it will consider appropriate action, which may include review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of the Adviser; or a recommendation to dismiss the Covered Officer;

• the Board will be responsible for granting waivers, as appropriate (a “waiver” is the approval of a situation that is expressly prohibited by this Code); and

• any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules.

V. Other Policies and Procedures

This Code shall be the sole code of ethics adopted by the Trusts for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered

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investment companies thereunder. Insofar as other policies or procedures of the Trusts or the Adviser govern or purport to govern the behavior or activities of the Covered Officers who are subject to this Code, they are superseded by this Code to the extent that they overlap or conflict with the provisions of this Code. The codes of ethics adopted by the Trusts and the Adviser under Rule 17j-1 under the Investment Company Act are separate requirements applying to the Covered Officers and others, and are not part of this Code.

VI. Amendments

Any amendments to this Code, other than amendments to Exhibit A, must be approved or ratified by a majority vote of the Board, including a majority of independent Trustees.

VII. Confidentiality

All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except upon request of the SEC or another regulatory agency, or as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than Board and its counsel.

VIII.  Internal Use

The Code is intended solely for the internal use by each Trust and does not constitute an admission, by or on behalf of any Trust, as to any fact, circumstance, or legal conclusion.

Adopted by the Boards: August 5, 2003

Amended: January 1, 2019

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Exhibit A

Persons Covered by the Code

Andrew Owen, President of each Trust

Nancy Wiser, Treasurer of:

Wells Fargo Funds Trust

Wells Fargo Master Trust

Wells Fargo Global Dividend Opportunity Fund

Wells Fargo Utilities and High Income Fund

Jeremy DePalma, Treasurer of:

Wells Fargo Funds Trust

Wells Fargo Master Trust

Wells Fargo Variable Trust

Wells Fargo Income Opportunities Fund

Wells Fargo Multi-Sector Income Fund

Exhibit A amended: January 1, 2019

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EX-99.CERT

CERTIFICATION

I, Andrew Owen, certify that:

1. I have reviewed this report on Form N-CSR of Wells Fargo Funds Trust on behalf of the following series: Wells Fargo Dynamic Target Today Fund, Wells Fargo Dynamic Target 2015 Fund, Wells Fargo Dynamic Target 2020 Fund, Wells Fargo Dynamic Target 2025 Fund, Wells Fargo Dynamic Target 2030 Fund, Wells Fargo Dynamic Target 2035 Fund, Wells Fargo Dynamic Target 2040 Fund, Wells Fargo Dynamic Target 2045 Fund, Wells Fargo Dynamic Target 2050 Fund, Wells Fargo Dynamic Target 2055 Fund, Wells Fargo Dynamic Target 2060 Fund, Wells Fargo Target Today Fund, Wells Fargo Target 2010 Fund, Wells Fargo Target 2015 Fund, Wells Fargo Target 2020 Fund, Wells Fargo Target 2025 Fund, Wells Fargo Target 2030 Fund, Wells Fargo Target 2035 Fund, Wells Fargo Target 2040 Fund, Wells Fargo Target 2045 Fund, Wells Fargo Target 2050 Fund, Wells Fargo Target 2055 Fund, Wells Fargo Target 2060 Fund, Wells Fargo Emerging Markets Bond Fund, Wells Fargo High Yield Corporate Bond Fund, Wells Fargo International Government Bond Fund, and Wells Fargo U.S. Core Bond Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have:

a) designed such disclosure controls and procedures or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing of this report based on such evaluation; and

d) disclosed in this report any change in the registrant’s internal controls over financial reporting that occurred during the most recent fiscal half-year of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officers and I have disclosed, based on our most recent evaluation, to the registrant’s auditors and the audit committee of the registrant’s Board of Trustees (or persons performing the equivalent functions):

a) all significant deficiencies in the design or operation of internal controls over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal controls over financial reporting.

Date: April 28, 2020

/s/ Andrew Owen

Andrew Owen

President

Wells Fargo Funds Trust

Exhibit 99.CERT

CERTIFICATION

I, Jeremy DePalma, certify that:

1. I have reviewed this report on Form N-CSR of Wells Fargo Funds Trust on behalf of the following series: Wells Fargo Dynamic Target Today Fund, Wells Fargo Dynamic Target 2015 Fund, Wells Fargo Dynamic Target 2020 Fund, Wells Fargo Dynamic Target 2025 Fund, Wells Fargo Dynamic Target 2030 Fund, Wells Fargo Dynamic Target 2035 Fund, Wells Fargo Dynamic Target 2040 Fund, Wells Fargo Dynamic Target 2045 Fund, Wells Fargo Dynamic Target 2050 Fund, Wells Fargo Dynamic Target 2055 Fund, Wells Fargo Dynamic Target 2060 Fund, Wells Fargo Target Today Fund, Wells Fargo Target 2010 Fund, Wells Fargo Target 2015 Fund, Wells Fargo Target 2020 Fund, Wells Fargo Target 2025 Fund, Wells Fargo Target 2030 Fund, Wells Fargo Target 2035 Fund, Wells Fargo Target 2040 Fund, Wells Fargo Target 2045 Fund, Wells Fargo Target 2050 Fund, Wells Fargo Target 2055 Fund, Wells Fargo Target 2060 Fund, Wells Fargo Emerging Markets Bond Fund, Wells Fargo High Yield Corporate Bond Fund, Wells Fargo International Government Bond Fund, and Wells Fargo U.S. Core Bond Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have:

a) designed such disclosure controls and procedures or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing of this report based on such evaluation; and

d) disclosed in this report any change in the registrant’s internal controls over financial reporting that occurred during the most recent fiscal half-year of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officers and I have disclosed, based on our most recent evaluation, to the registrant’s auditors and the audit committee of the registrant’s Board of Trustees (or persons performing the equivalent functions):

a) all significant deficiencies in the design or operation of internal controls over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal controls over financial reporting.

Date: April 28, 2020

/s/ Jeremy DePalma

Jeremy DePalma

Treasurer

Wells Fargo Funds Trust

Exhibit 99.CERT

EX-99.906CERT

SECTION 906 CERTIFICATION

Pursuant to 18 U.S.C. § 1350, the undersigned officer of Wells Fargo Funds Trust, hereby certifies, to the best of his knowledge, that the registrant’s report on Form N-CSR for the year ended February 29, 2020 (the “Report”) fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934 and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the registrant.

Date: April 28, 2020

By:	/s/ Andrew Owen
	Andrew Owen
	President
	Wells Fargo Funds Trust

This certification is being furnished to the Securities and Exchange Commission pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended, and 18 U.S.C. Section 1350 and is not being filed as part of the Form N-CSR with the Securities and Exchange Commission.

Exhibit 99.906CERT

SECTION 906 CERTIFICATION

Pursuant to 18 U.S.C. § 1350, the undersigned officer of Wells Fargo Funds Trust, hereby certifies, to the best of his knowledge, that the registrant’s report on Form N-CSR for the year ended February 29, 2020 (the “Report”) fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934 and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the registrant.

Date: April 28, 2020

By:	/s/ Jeremy DePalma
	Jeremy DePalma
	Treasurer
	Wells Fargo Funds Trust

This certification is being furnished to the Securities and Exchange Commission pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended, and 18 U.S.C. Section 1350 and is not being filed as part of the Form N-CSR with the Securities and Exchange Commission.

Exhibit 99.906CERT