N-CSRS 1 d661259dncsrs.htm N-CSRS N-CSRS
Table of Contents

LOGO

 

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSRS

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-09689

 

 

Wells Fargo Master Trust

(Exact name of registrant as specified in charter)

 

 

525 Market St., San Francisco, CA 94105

(Address of principal executive offices) (Zip code)

 

 

Alexander Kymn

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: May 31

Registrant is making a filing for 13 of its series:

Wells Fargo C&B Large Cap Value Portfolio, Wells Fargo Emerging Growth Portfolio, Wells Fargo Index Portfolio, Wells Fargo International Value Portfolio, Wells Fargo Small Company Growth Portfolio, Wells Fargo Small Company Value Portfolio, Wells Fargo Core Bond Portfolio, Wells Fargo Real Return Portfolio, Wells Fargo Diversified Large Cap Growth Portfolio, Wells Fargo Disciplined Large Cap Portfolio, Wells Fargo International Growth Portfolio, Wells Fargo Large Company Value Portfolio, and Wells Fargo Managed Fixed Income Portfolio.

Date of reporting period: November 30, 2018

 

 

 

Table of Contents

ITEM 1. REPORT TO STOCKHOLDERS

Table of Contents

Semi-Annual Report

November 30, 2018

 

LOGO

 

Diversified Large Cap Growth Portfolio

 

LOGO

 

LOGO

Table of Contents

Contents

 

 

 

Fund information

     2  

Portfolio of investments

     3  
Financial statements  

Statement of assets and liabilities

     10  

Statement of operations

     11  

Statement of changes in net assets

     12  

Financial highlights

     13  

Notes to financial statements

     14  

Other information

     18  

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


Table of Contents

 

2   Wells Fargo Diversified Large Cap Growth Portfolio   Fund information (unaudited)

Investment objective

The Portfolio seeks long-term capital appreciation.

Manager

Wells Fargo Funds Management, LLC

Subadviser

Wells Capital Management Incorporated

Portfolio managers

John R. Campbell, CFA®‡

Joseph M. Eberhardy, CFA®‡, CPA

Jeff C. Moser, CFA®‡

Thomas C. Ognar, CFA®‡

Ten largest holdings (%) as of November 30, 20181  

Amazon.com Incorporated

      5.09  

Microsoft Corporation

      4.62  

Alphabet Incorporated Class A

      3.39  

Visa Incorporated Class A

      2.66  

MasterCard Incorporated Class A

      2.38  

Microchip Technology Incorporated

      2.07  

Alphabet Incorporated Class C

      1.85  

PayPal Holdings Incorporated

      1.83  

Apple Incorporated

      1.83  

Texas Instruments Incorporated

      1.68  
Sector distribution as of November 30, 20182
LOGO
 

 

 

 

‡ 

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

 

1 

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

 

2 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Diversified Large Cap Growth Portfolio     3  

      

 

 

Security name                 Shares      Value  

Common Stocks: 98.27%

           

Communication Services: 8.11%

           
Entertainment: 1.90%           

Activision Blizzard Incorporated

           43,914      $ 2,190,430  

Electronic Arts Incorporated †

           9,533        801,439  

Live Nation Incorporated †

           19,230        1,070,726  

Netflix Incorporated †

           7,471        2,137,677  

Take-Two Interactive Software Incorporated †

           9,858        1,081,127  
             7,281,399  
          

 

 

  
Interactive Media & Services: 6.21%           

Alphabet Incorporated Class A †

           11,685        12,966,260  

Alphabet Incorporated Class C †

           6,483        7,095,190  

Facebook Incorporated Class A †

           20,841        2,930,453  

Match Group Incorporated «

           19,535        786,674  
             23,778,577  
          

 

 

  

Consumer Discretionary: 13.48%

           
Auto Components: 0.53%           

Lear Corporation

           14,832        2,020,860  
          

 

 

  
Hotels, Restaurants & Leisure: 2.38%           

Carnival Corporation

           15,470        932,686  

Domino’s Pizza Incorporated

           4,585        1,271,512  

Marriott International Incorporated Class A

           7,080        814,412  

Norwegian Cruise Line Holdings Limited †

           33,881        1,738,773  

Planet Fitness Incorporated Class A †

           17,040        940,949  

Royal Caribbean Cruises Limited

           22,354        2,527,567  

Vail Resorts Incorporated

           3,200        893,376  
             9,119,275  
          

 

 

  
Household Durables: 0.18%           

Roku Incorporated †«

           17,035        694,176  
          

 

 

  
Internet & Direct Marketing Retail: 5.35%           

Amazon.com Incorporated †

           11,526        19,480,901  

Farfetch Limited Class A †

           26,703        607,493  

MercadoLibre Incorporated

           1,054        370,976  
             20,459,370  
          

 

 

  
Multiline Retail: 1.43%           

Dollar Tree Incorporated †

           3,232        280,441  

Macy’s Incorporated

           75,534        2,584,773  

Target Corporation

           36,761        2,608,561  
             5,473,775  
          

 

 

  
Specialty Retail: 3.61%           

Burlington Stores Incorporated †

           25,125        4,164,720  

O’Reilly Automotive Incorporated †

           2,930        1,016,065  

 

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

Table of Contents

 

4   Wells Fargo Diversified Large Cap Growth Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  
Specialty Retail (continued)           

The Home Depot Incorporated

           28,396      $ 5,120,367  

The TJX Companies Incorporated

           45,766        2,235,669  

ULTA Beauty Incorporated †

           4,359        1,298,067  
             13,834,888  
          

 

 

  

Consumer Staples: 4.78%

           
Beverages: 1.64%           

Constellation Brands Incorporated Class A

           11,221        2,196,623  

The Coca-Cola Company

           80,887        4,076,705  
             6,273,328  
          

 

 

  
Food & Staples Retailing: 2.49%           

Costco Wholesale Corporation

           20,315        4,698,453  

Sysco Corporation

           34,960        2,356,304  

Wal-Mart Stores Incorporated

           25,426        2,482,849  
             9,537,606  
          

 

 

  
Personal Products: 0.65%           

The Estee Lauder Companies Incorporated Class A

           17,465        2,491,557  
          

 

 

  

Energy: 2.71%

           
Oil, Gas & Consumable Fuels: 2.71%           

Chevron Corporation

           16,739        1,990,937  

Concho Resources Incorporated †

           20,517        2,674,186  

Exxon Mobil Corporation

           21,188        1,684,446  

Marathon Petroleum Corporation

           30,617        1,995,004  

Valero Energy Corporation

           25,426        2,031,537  
             10,376,110  
          

 

 

  

Financials: 7.89%

           
Banks: 1.94%           

Bank of America Corporation

           85,068        2,415,931  

Citizens Financial Group Incorporated

           53,711        1,952,932  

JPMorgan Chase & Company

           27,544        3,062,617  
             7,431,480  
          

 

 

  
Capital Markets: 4.55%           

BlackRock Incorporated

           780        333,848  

CME Group Incorporated

           14,719        2,797,788  

E*TRADE Financial Corporation

           3,925        205,238  

Evercore Partners Incorporated Class A

           22,460        1,854,298  

MarketAxess Holdings Incorporated

           8,807        1,917,548  

Morgan Stanley

           9,260        411,051  

Northern Trust Corporation

           23,095        2,291,717  

Raymond James Financial Incorporated

           41,121        3,278,577  

The Charles Schwab Corporation

           96,398        4,318,630  
             17,408,695  
          

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Diversified Large Cap Growth Portfolio     5  

      

 

 

Security name                 Shares      Value  
Insurance: 1.40%           

Prudential Financial Incorporated

           19,387      $ 1,817,725  

The Progressive Corporation

           53,693        3,559,309  
             5,377,034  
          

 

 

  

Health Care: 14.22%

           
Biotechnology: 3.43%           

AbbVie Incorporated

           21,294        2,007,385  

Agios Pharmaceuticals Incorporated †

           951        62,576  

Alexion Pharmaceuticals Incorporated †

           5,721        704,541  

Amgen Incorporated

           10,701        2,228,483  

BioMarin Pharmaceutical Incorporated †

           6,114        587,127  

Ligand Pharmaceuticals Incorporated †

           3,150        496,976  

Neurocrine Biosciences Incorporated †

           10,134        894,528  

Sage Therapeutics Incorporated †

           4,033        464,965  

Sarepta Therapeutics Incorporated †

           5,595        724,385  

Vertex Pharmaceuticals Incorporated †

           27,383        4,950,573  
             13,121,539  
          

 

 

  
Health Care Equipment & Supplies: 4.03%           

Abbott Laboratories

           79,887        5,915,632  

Baxter International Incorporated

           49,339        3,382,189  

Boston Scientific Corporation †

           110,332        4,156,206  

Intuitive Surgical Incorporated †

           1,513        803,206  

Stryker Corporation

           6,743        1,183,127  
             15,440,360  
          

 

 

  
Health Care Providers & Services: 2.69%           

Centene Corporation †

           31,658        4,503,351  

Encompass Health Corporation

           33,371        2,509,833  

Humana Incorporated

           940        309,702  

UnitedHealth Group Incorporated

           10,595        2,981,009  
             10,303,895  
          

 

 

  
Health Care Technology: 0.26%           

Veeva Systems Incorporated Class A †

           10,307        991,121  
          

 

 

  
Life Sciences Tools & Services: 1.83%           

Agilent Technologies Incorporated

           76,922        5,565,306  

PRA Health Sciences Incorporated †

           12,276        1,433,100  
             6,998,406  
          

 

 

  
Pharmaceuticals: 1.98%           

Elanco Animal Health Incorporated †«

           14,117        471,649  

Johnson & Johnson

           16,209        2,381,102  

Zoetis Incorporated

           50,299        4,721,567  
             7,574,318  
          

 

 

  

 

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

Table of Contents

 

6   Wells Fargo Diversified Large Cap Growth Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  

Industrials: 12.41%

           
Aerospace & Defense: 2.03%           

HEICO Corporation

           11,815      $ 998,604  

Northrop Grumman Corporation

           7,311        1,899,983  

The Boeing Company

           13,989        4,850,826  
             7,749,413  
          

 

 

  
Air Freight & Logistics: 0.71%           

FedEx Corporation

           1,784        408,536  

XPO Logistics Incorporated †

           30,496        2,313,427  
             2,721,963  
          

 

 

  
Airlines: 0.51%           

Southwest Airlines Company

           35,860        1,958,315  
          

 

 

  
Commercial Services & Supplies: 1.96%           

KAR Auction Services Incorporated

           30,689        1,753,569  

Rollins Incorporated

           22,020        1,399,591  

Waste Connections Incorporated

           55,390        4,347,007  
             7,500,167  
          

 

 

  
Construction & Engineering: 0.53%           

EMCOR Group Incorporated

           27,862        2,030,025  
          

 

 

  
Industrial Conglomerates: 0.79%           

3M Company

           1,662        345,563  

Roper Industries Incorporated

           9,017        2,683,369  
             3,028,932  
          

 

 

  
Machinery: 1.73%           

Allison Transmission Holdings Incorporated

           50,957        2,400,584  

Cummins Incorporated

           13,349        2,016,500  

Fortive Corporation

           28,806        2,191,272  
             6,608,356  
          

 

 

  
Professional Services: 0.70%           

CoStar Group Incorporated †

           4,913        1,814,813  

TransUnion

           13,639        880,670  
             2,695,483  
          

 

 

  
Road & Rail: 2.86%           

CSX Corporation

           46,103        3,348,461  

Norfolk Southern Corporation

           21,081        3,599,370  

Union Pacific Corporation

           25,988        3,996,435  
             10,944,266  
          

 

 

  
Trading Companies & Distributors: 0.59%           

Applied Industrial Technologies Incorporated

           34,642        2,259,698  
          

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Diversified Large Cap Growth Portfolio     7  

      

 

 

Security name                 Shares      Value  

Information Technology: 30.64%

           
Communications Equipment: 0.67%           

Cisco Systems Incorporated

           53,817      $ 2,576,220  
          

 

 

  
Electronic Equipment, Instruments & Components: 1.34%           

Jabil Circuit Incorporated

           72,461        1,809,351  

Zebra Technologies Corporation Class A †

           18,328        3,295,374  
             5,104,725  
          

 

 

  
IT Services: 8.72%           

Euronet Worldwide Incorporated †

           987        116,081  

Global Payments Incorporated

           8,892        994,215  

MasterCard Incorporated Class A

           45,268        9,102,037  

PayPal Holdings Incorporated †

           81,838        7,022,519  

Shopify Incorporated Class A †

           11,692        1,784,901  

Square Incorporated Class A †

           35,998        2,514,100  

Visa Incorporated Class A

           71,812        10,176,479  

Worldpay Incorporated Class A †

           19,605        1,682,305  
             33,392,637  
          

 

 

  
Semiconductors & Semiconductor Equipment: 6.30%           

Intel Corporation

           46,295        2,282,806  

Microchip Technology Incorporated «

           105,892        7,941,900  

Monolithic Power Systems Incorporated

           5,900        779,213  

NVIDIA Corporation

           28,440        4,647,949  

ON Semiconductor Corporation †

           104,666        2,007,494  

Texas Instruments Incorporated

           64,515        6,441,823  
             24,101,185  
          

 

 

  
Software: 10.36%           

Adobe Systems Incorporated †

           16,135        4,048,110  

Dropbox Incorporated Class A †«

           46,680        1,091,845  

Microsoft Corporation

           159,622        17,700,484  

Pivotal Software Incorporated Class A †

           28,446        509,468  

Proofpoint Incorporated †

           11,822        1,146,852  

RealPage Incorporated †

           13,645        703,809  

Salesforce.com Incorporated †

           29,735        4,244,969  

ServiceNow Incorporated †

           14,760        2,734,585  

Splunk Incorporated †

           11,909        1,330,593  

The Ultimate Software Group Incorporated †

           8,287        2,187,105  

VMware Incorporated Class A †

           23,753        3,974,827  
             39,672,647  
          

 

 

  
Technology Hardware, Storage & Peripherals: 3.25%           

Apple Incorporated

           39,149        6,991,228  

HP Incorporated

           107,421        2,470,683  

NetApp Incorporated

           44,494        2,975,314  
             12,437,225  
          

 

 

  

 

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

Table of Contents

 

8   Wells Fargo Diversified Large Cap Growth Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                Shares      Value  

Materials: 2.00%

          
Chemicals: 1.38%          

Air Products & Chemicals Incorporated

          3,188      $ 512,854  

Huntsman Corporation

          77,864        1,574,410  

Linde plc

          20,077        3,193,247  
            5,280,511  
         

 

 

  
Containers & Packaging: 0.62%          

Avery Dennison Corporation

          24,790        2,389,756  
         

 

 

  

Real Estate: 1.51%

          
Equity REITs: 1.24%          

American Tower Corporation

          15,574        2,561,767  

Prologis Incorporated

          32,524        2,190,166  
            4,751,933  
         

 

 

  
Real Estate Management & Development: 0.27%          

CBRE Group Incorporated Class A †

          23,655        1,033,250  
         

 

 

  

Utilities: 0.52%

          
Multi-Utilities: 0.52%          

CenterPoint Energy Incorporated

          71,296        1,997,001  
         

 

 

  

Total Common Stocks (Cost $341,046,397)

             376,221,477  
         

 

 

  
    Yield                                         
Short-Term Investments: 4.00%          
Investment Companies: 4.00%          

Securities Lending Cash Investments LLC (l)(r)(u)

     2.38 %         9,710,512        9,711,483  

Wells Fargo Government Money Market Fund Select Class (l)(u)

     2.13          5,601,857        5,601,857  

Total Short-Term Investments (Cost $15,313,340)

             15,313,340        
         

 

 

  

 

Total investments in securities (Cost $356,359,737)     102.27 %         391,534,817  

Other assets and liabilities, net

     (2.27 )         (8,696,510 ) 
 

 

 

       

 

 

  
Total net assets     100.00 %       $ 382,838,307  
 

 

 

       

 

 

  

 

 

†

Non-income-earning security

 

«

All or a portion of this security is on loan.

 

(l)

The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

 

(r)

The investment is a non-registered investment company purchased with cash collateral received from securities on loan.

 

(u)

The rate represents the 7-day annualized yield at period end.

Abbreviations:

 

REIT

Real estate investment trust

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Diversified Large Cap Growth Portfolio     9  

      

 

 

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

                  

Securities Lending Cash Investments LLC

     2,198,826       45,016,007       37,504,321       9,710,512     $ (322 )    $ (10 )    $ 12,899     $ 9,711,483    

Wells Fargo Government Money Market Fund Select Class

     417,874       84,104,456       78,920,473       5,601,857       0       0       35,452       5,601,857    
         

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
          $ (322 )    $ (10 )    $ 48,351     $ 15,313,340       4.00 % 
         

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

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

Table of Contents

 

10   Wells Fargo Diversified Large Cap Growth Portfolio   Statement of assets and liabilities—November 30, 2018 (unaudited)
         

Assets

  

Investments in unaffiliated securities (including $9,511,777 of securities loaned), at value (cost $341,046,397)

   $ 376,221,477  

Investments in affiliated securities, at value (cost $15,313,340)

     15,313,340  

Receivable for investments sold

     982,817  

Receivable for dividends

     577,286  

Receivable for securities lending income

     3,063  
 

 

 

  

Total assets

     393,097,983  
 

 

 

  

Liabilities

  

Payable upon receipt of securities loaned

     9,711,727  

Payable for investments purchased

     241,557  

Advisory fee payable

     193,157  

Accrued expenses and other liabilities

     113,235  
 

 

 

  

Total liabilities

     10,259,676  
 

 

 

  

Total net assets

   $ 382,838,307  
 

 

 

  

 

 

 

 

 

 

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

Table of Contents

 

Statement of operations—six months ended November 30, 2018 (unaudited)   Wells Fargo Diversified Large Cap Growth Portfolio     11  
         

Investment income

  

Dividends (net of foreign withholding taxes of $2,695)

   $ 1,951,739  

Income from affiliated securities

     48,351  
 

 

 

  

Total investment income

     2,000,090  
 

 

 

  

Expenses

  

Advisory fee

     1,105,290  

Custody and accounting fees

     27,618  

Professional fees

     24,352  

Shareholder report expenses

     1,036  

Trustees’ fees and expenses

     11,014  

Other fees and expenses

     6,774  
 

 

 

  

Total expenses

     1,176,084  

Less: Fee waivers and/or expense reimbursements

     (118,237 ) 
 

 

 

  

Net expenses

     1,057,847  
 

 

 

  

Net investment income

     942,243  
 

 

 

  

REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS

  

Net realized gains (losses) on:

  

Unaffiliated securities

     944,196  

Affiliated securities

     (322 ) 
 

 

 

  

Net realized gains on investments

     943,874  
 

 

 

  

Net change in unrealized gains (losses) on:

  

Unaffiliated securities

     (214,619 ) 

Affiliated securities

     (10 ) 
 

 

 

  

Net change in unrealized gains (losses) on investments

     (214,629 ) 
 

 

 

  

Net realized and unrealized gains (losses) on investments

     729,245  
 

 

 

  

Net increase in net assets resulting from operations

   $ 1,671,488  
 

 

 

  

 

 

 

 

 

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

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12   Wells Fargo Diversified Large Cap Growth Portfolio   Statement of changes in net assets
    

Six months ended

November 30, 2018

(unaudited)

        Year ended
May 31, 2018		  

Operations

       

Net investment income

   $ 942,243        $ 504,456  

Net realized gains on investments

     943,874          19,836,626  

Net change in unrealized gains (losses) on investments

     (214,629 )         566,404  
 

 

 

  

Net increase in net assets resulting from operations

     1,671,488          20,907,486  
 

 

 

  

Capital transactions

       

Transactions in investors’ beneficial interests

       

Contributions

     363,610,503          831,948  

Withdrawals

     (68,562,517 )         (41,873,014 ) 
 

 

 

  

Net increase (decrease) in net assets resulting from capital transactions

     295,047,986          (41,041,066 ) 
 

 

 

  

Total increase (decrease) in net assets

     296,719,474          (20,133,580 ) 
 

 

 

  

Net assets

       

Beginning of period

     86,118,833          106,252,413  
 

 

 

  

End of period

   $ 382,838,307        $ 86,118,833  
 

 

 

  

 

 

 

 

 

 

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

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Financial highlights   Wells Fargo Diversified Large Cap Growth Portfolio     13  
   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
     2018     2017     2016     2015     2014  

Total return1

     (0.92 )%      24.12 %      15.36 %      (2.28 )%      13.11 %      21.70 % 

Ratios to average net assets (annualized)

            

Gross expenses

     0.69 %      0.80 %      0.78 %      0.74 %      0.72 %      0.72 % 

Net expenses

     0.62 %      0.62 %      0.62 %      0.62 %      0.62 %      0.62 % 

Net investment income

     0.55 %      0.53 %      0.51 %      0.29 %      0.28 %      0.15 % 

Supplemental data

            

Portfolio turnover rate

     33 %      37 %      98 %      59 %      46 %      54 % 

 

 

 

 

 

 

1 

Returns for periods of less than one year are not annualized.

 

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

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14   Wells Fargo Diversified Large Cap Growth Portfolio   Notes to financial statements (unaudited)

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 Wells Fargo Diversified Large Cap Growth Portfolio (the “Portfolio”) which is a diversified series of the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the 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 Portfolio may deviate from this calculation time under unusual or unexpected circumstances.

Equity securities that are listed on a foreign or domestic exchange or market are valued at the official closing price or, if none, the last sales price. If no sale occurs on the principal exchange or market that day, a fair value price will be determined in accordance with the Portfolio’s Valuation Procedures.

Investments in registered open-end investment companies are valued at net asset value. Interests in non-registered investment companies that are redeemable at net asset value are fair valued normally at net asset value.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Portfolio. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC (“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.

Foreign currency translation

The accounting records of the Portfolio are maintained in U.S. dollars. The values of other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee. Purchases and sales of securities, and income and expenses are converted at the rate of exchange on the respective dates of such transactions. Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded and the U.S. dollar equivalent of the amounts actually paid or received. Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities other than investments in securities resulting from changes in exchange rates. The changes in net assets arising from changes in exchange rates of securities and the changes in net assets resulting from changes in market prices of securities are not separately presented. Such changes are included in net realized and unrealized gains or losses from investments.

Securities lending

The Portfolio may lend its securities from time to time in order to earn additional income in the form of fees or interest on securities received as collateral or the investment of any cash received as collateral. The Portfolio continues to receive interest or dividends on the securities loaned. The Portfolio receives collateral in the form of cash or securities with a value at least equal to the value of the securities on loan. The value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Portfolio on the next business day. In a securities lending transaction, the net asset value of the Portfolio will be affected by an increase or decrease in the value

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Notes to financial statements (unaudited)   Wells Fargo Diversified Large Cap Growth Portfolio     15  

of the securities loaned and by an increase or decrease in the value of the instrument in which collateral is invested. The amount of securities lending activity undertaken by the Portfolio fluctuates from time to time. In the event of default or bankruptcy by the borrower, the Portfolio may be prevented from recovering the loaned securities or gaining access to the collateral or may experience delays or costs in doing so. In addition, the investment of any cash collateral received may lose all or part of its value. The Portfolio has the right under the lending agreement to recover the securities from the borrower on demand.

The Portfolio lends its securities through an unaffiliated securities lending agent. Cash collateral received in connection with its securities lending transactions is invested in Securities Lending Cash Investments, LLC (the “Securities Lending Portfolio”). The Securities Lending Portfolio is exempt from registration under Section 3(c)(7) of the 1940 Act and is managed by Portfolios Management and is subadvised by Wells Capital Management Incorporated (“WellsCap”), an affiliate of Portfolios Management and an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”). Portfolios Management receives an advisory fee starting at 0.05% and declining to 0.01% as the average daily net assets of the Securities Lending Portfolio increase. All of the fees received by Portfolios Management are paid to WellsCap for its services as subadviser. The Securities Lending Portfolio seeks to provide a positive return compared to the daily Fed Portfolios Open Rate by investing in high-quality, U.S. dollar-denominated short-term money market instruments. Securities Lending Portfolio investments are valued at the evaluated bid price provided by an independent pricing service. Income earned from investment in the Securities Lending Portfolio, if any, is included in income from affiliated securities on the Statement 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.

Dividend income is recognized on the ex-dividend date. Dividend income is recorded net of foreign taxes withheld where recovery of such taxes is not assured.

Federal and other taxes

The Portfolio is treated as a separate entity for federal income tax purposes. The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains 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.

The Portfolio’s income tax returns and all financial records supporting those returns for the prior three fiscal years are subject to examination by the federal revenue authority. Management has analyzed the 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 November 30, 2018, the aggregate cost of all investments for federal income tax purposes was $356,568,633 and the unrealized gains (losses) consisted of:

 

Gross unrealized gains

    $ 45,099,363  

Gross unrealized losses

      (10,133,179 ) 

Net unrealized gains

    $ 34,966,184  

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 the Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

 

∎  

Level 1 – quoted prices in active markets for identical securities

 

∎  

Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

 

∎  

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

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16   Wells Fargo Diversified Large Cap Growth Portfolio   Notes to financial statements (unaudited)

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 the Portfolio’s assets and liabilities as of November 30, 2018:

 

     Quoted prices
(Level 1)		      Other significant
observable inputs
(Level 2)		     

Significant
unobservable inputs

(Level 3)

      Total  

Assets

            

Investments in:

            

Common stocks

            

Communication services

    $ 31,059,976      $ 0      $ 0      $ 31,059,976  

Consumer discretionary

      51,602,344        0        0        51,602,344  

Consumer staples

      18,302,491        0        0        18,302,491  

Energy

      10,376,110        0        0        10,376,110  

Financials

      30,217,209        0        0        30,217,209  

Health care

      54,429,639        0        0        54,429,639  

Industrials

      47,496,618        0        0        47,496,618  

Information technology

      117,284,639        0        0        117,284,639  

Materials

      7,670,267        0        0        7,670,267  

Real estate

      5,785,183        0        0        5,785,183  

Utilities

      1,997,001        0        0        1,997,001  

Short-term investments

            

Investment companies

      5,601,857        9,711,483        0        15,313,340  

Total assets

    $ 381,823,334      $ 9,711,483      $ 0      $ 391,534,817  

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

At November 30, 2018, the Portfolio did not have any transfers into/out of Level 3.

4. TRANSACTIONS WITH AFFILIATES

Advisory fee

The Trust has entered into an advisory contract with Funds Management, an indirect wholly owned subsidiary of Wells Fargo. The adviser is responsible for implementing investment policies and guidelines and for supervising the subadviser, who is responsible for day-to-day portfolio management of the Portfolio. Pursuant to the contract, Funds Management is entitled to receive an annual advisory fee starting at 0.65% and declining to 0.475% as the average daily net assets of the Portfolio increase. For the six months ended November 30, 2018, the advisory fee was equivalent to an annual rate of 0.65% of the Portfolio’s average daily net assets.

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Portfolio. The fee for subadvisory services is borne by Funds Management. WellsCap is the subadviser to the Portfolio and is entitled to receive a fee from Funds Management at an annual rate starting at 0.30% and declining to 0.20% as the average daily net assets of the Portfolio increase.

Funds Management has voluntarily waived and/or reimbursed advisory fees to the extent necessary to maintain the net operating expense ratio of the Portfolio.

Interfund transactions

The Portfolio 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.

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments, excluding U.S. government obligations (if any) and short-term securities, for the six months ended November 30, 2018 were $400,710,700 and $110,695,655, respectively.

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Notes to financial statements (unaudited)   Wells Fargo Diversified Large Cap Growth Portfolio     17  

6. BANK BORROWINGS

Effective August 28, 2018, 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 the 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 the 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.

For the six months ended November 30, 2018, there were no borrowings by the Portfolio under the agreement.

7. CONCENTRATION RISK

Concentration risks result from exposure to a limited number of sectors. A portfolio that invests a substantial portion of its assets in any sector may be more affected by changes in that sector than would be a portfolio whose investments are not heavily weighted in any sector.

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 Portfolio 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.

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18   Wells Fargo Diversified Large Cap Growth Portfolio   Other information (unaudited)

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 wellsfargofunds.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 wellsfargofunds.com or by visiting the SEC website at sec.gov.

PORTFOLIO HOLDINGS INFORMATION

The Portfolio files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. In addition, the Portfolio’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and at regional offices in New York City, at 233 Broadway, and in Chicago, at 175 West Jackson Boulevard, Suite 900. Information about the Public Reference Room may be obtained by calling 1-800-SEC-0330.

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Other information (unaudited)   Wells Fargo Diversified Large Cap Growth Portfolio     19  

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 152 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. Board member of the Vincent Memorial Hospital Endowment (non-profit organization), where he serves on the Investment Committee and as a Chair of the Audit Committee. 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.3
(Born 1952)		   Trustee, since 2009   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. Johnson3
(Born 1949)		   Trustee, since 2008; Audit Committee Chairman, since 2009   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
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

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20   Wells Fargo Diversified Large Cap Growth Portfolio   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
Olivia S. Mitchell
(Born 1953)		   Trustee, since 2006; Nominating and Governance Committee Chairman, 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; Vice Chairman, from 2017 to 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; Advisory Board Member, from 2017 to 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

Michael S. Scofield4

(Born 1943)

   Trustee, since 2010   Served on the Investment Company Institute’s Board of Governors and Executive Committee from 2008-2011 as well the Governing Council of the Independent Directors Council from 2006-2011 and the Independent Directors Council Executive Committee from 2008-2011. Trustee of the Evergreen Fund complex (and its predecessors) from 1984 to 2010. Chairman of the Evergreen Funds from 2000-2010. Former Trustee of the Mentor Funds. Retired Attorney, Law Offices of Michael S. Scofield.   N/A
Pamela Wheelock
(Born 1959)		   Trustee, since 2018; Advisory Board Member, from 2017 to 2018   Chief Operating Officer, Twin Cities Habitat for Humanity, since January, 2017. Vice President of University Services, University of Minnesota from 2012 to 2017. 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 President and Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2010 to 2011, Chairman of the Board from 2009 to 2011 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. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently the 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)   Wells Fargo Diversified Large Cap Growth Portfolio     21  

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.    
Nancy Wiser1
(Born 1967)		   Treasurer, since 2012   Executive Vice President of Wells Fargo Funds Management, LLC since 2011. Chief Operating Officer and Chief Compliance Officer at LightBox Capital Management LLC, from 2008 to 2011.    
Alexander Kymn
(Born 1973)		   Secretary, since 2018; Chief Legal Officer, since 2018   Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.    
Michael H. Whitaker
(Born 1967)		   Chief Compliance Officer, since 2016   Senior Vice President and Chief Compliance Officer 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.    
Jeremy DePalma1
(Born 1974)		   Assistant Treasurer, since 2009   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.    

 

 

 

1

Nancy Wiser acts as Treasurer of 76 funds in the Fund Complex. Jeremy DePalma acts as Treasurer of 76 funds and Assistant Treasurer of 76 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 wellsfargofunds.com.

 

3 

Mr. Harris will replace Ms. Johnson as the Chairman of the Audit Committee effective January 1, 2019.

 

4 

Mr. Scofield is expected to retire on December 31, 2018.

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

© 2019 Wells Fargo Funds Management, LLC. All rights reserved.

 

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Semi-Annual Report

November 30, 2018

 

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Disciplined Large Cap Portfolio

 

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Contents

 

 

 

Performance highlights

    2  

Portfolio of investments

     3  
Financial statements  

Statement of assets and liabilities

     13  

Statement of operations

     14  

Statement of changes in net assets

     15  

Financial highlights

     16  

Notes to financial statements

     17  

Other information

     20  

 

The views expressed and any forward-looking statements are as of November 30, 2018, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Funds Management, LLC. 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 Funds Management, LLC 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


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2   Wells Fargo Disciplined Large Cap Portfolio   Performance highlights (unaudited)

Investment objective

The Portfolio seeks long-term capital appreciation.

Manager

Wells Fargo Funds Management, LLC

Subadviser

Wells Capital Management Incorporated

Portfolio managers

Justin P. Carr, CFA®‡

Greg W. Golden, CFA®‡

 

Ten largest holdings (%) as of November 30, 20181  

Apple Incorporated

      3.76  

Microsoft Corporation

      3.57  

Amazon.com Incorporated

      2.62  

Exxon Mobil Corporation

      1.67  

Berkshire Hathaway Incorporated Class B

      1.65  

Johnson & Johnson

      1.64  

Facebook Incorporated Class A

      1.51  

JPMorgan Chase & Company

      1.48  

Alphabet Incorporated Class A

      1.46  

Bank of America Corporation

      1.44  
Sector distribution as of November 30, 20182
LOGO
 

 

 

 

 

‡ 

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

 

1 

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

 

2 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Disciplined Large Cap Portfolio     3  

    

 

 

Security name                 Shares      Value  

Common Stocks: 99.25%

           

Communication Services: 10.00%

           
Diversified Telecommunication Services: 1.88%           

AT&T Incorporated

           134,067      $ 4,188,253  

Verizon Communications Incorporated

           52,940        3,192,282  
             7,380,535  
          

 

 

  
Entertainment: 1.91%           

Netflix Incorporated †

           3,294        942,512  

The Walt Disney Company

           30,209        3,488,837  

Twenty-First Century Fox Incorporated Class A

           28,121        1,391,146  

Twenty-First Century Fox Incorporated Class B

           9,165        449,360  

Viacom Incorporated Class B

           40,292        1,243,411  
             7,515,266  
          

 

 

  
Interactive Media & Services: 4.59%           

Alphabet Incorporated Class A †

           5,167        5,733,562  

Alphabet Incorporated Class C †

           5,182        5,671,336  

Facebook Incorporated Class A †

           42,259        5,942,038  

IAC Corporation †

           3,871        688,883  
             18,035,819  
          

 

 

  
Media: 1.54%           

Comcast Corporation Class A

           106,534        4,155,891  

John Wiley & Sons Incorporated Class A

           11,908        658,393  

Sirius XM Holdings Incorporated

           197,089        1,227,864  
             6,042,148  
          

 

 

  
Wireless Telecommunication Services: 0.08%           

Sprint Corporation †

           49,959        313,743  
          

 

 

  

Consumer Discretionary: 9.63%

           
Auto Components: 0.33%           

Gentex Corporation

           56,849        1,280,239  
          

 

 

  
Automobiles: 0.65%           

Ford Motor Company

           172,359        1,621,898  

General Motors Company

           24,187        917,897  
             2,539,795  
          

 

 

  
Diversified Consumer Services: 0.16%           

H&R Block Incorporated

           15,670        423,247  

Service Corporation International

           4,397        203,141  
             626,388  
          

 

 

  
Hotels, Restaurants & Leisure: 0.54%           

Carnival Corporation

           6,881        414,855  

Chipotle Mexican Grill Incorporated †

           800        378,568  

 

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

Table of Contents

 

4   Wells Fargo Disciplined Large Cap Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name                 Shares      Value  
Hotels, Restaurants & Leisure (continued)           

Domino’s Pizza Incorporated

           1,324      $ 367,172  

Las Vegas Sands Corporation

           8,218        451,497  

McDonald’s Corporation

           2,821        531,787  
             2,143,879  
          

 

 

  
Household Durables: 0.33%           

NVR Incorporated †

           182        445,900  

Pulte Group Incorporated

           32,848        871,129  
             1,317,029  
          

 

 

  
Internet & Direct Marketing Retail: 2.71%           

Amazon.com Incorporated †

           6,093        10,298,206  

GrubHub Incorporated †

           4,479        350,661  
             10,648,867  
          

 

 

  
Multiline Retail: 0.72%           

Kohl’s Corporation

           12,776        858,164  

Macy’s Incorporated

           38,369        1,312,987  

Target Corporation

           9,198        652,690  
             2,823,841  
          

 

 

  
Specialty Retail: 3.78%           

Best Buy Company Incorporated

           24,621        1,590,270  

Burlington Stores Incorporated †

           2,535        420,202  

Dick’s Sporting Goods Incorporated

           35,919        1,292,366  

Foot Locker Incorporated

           16,537        932,687  

Lowe’s Companies Incorporated

           22,655        2,137,952  

Penske Auto Group Incorporated

           4,434        193,322  

Ross Stores Incorporated

           12,317        1,078,969  

The Gap Incorporated

           31,037        847,000  

The Home Depot Incorporated

           24,642        4,443,445  

The TJX Companies Incorporated

           22,764        1,112,021  

Urban Outfitters Incorporated †

           20,704        788,615  
             14,836,849  
          

 

 

  
Textiles, Apparel & Luxury Goods: 0.41%           

Michael Kors Holdings Limited †

           4,021        175,919  

Nike Incorporated Class B

           10,614        797,324  

Ralph Lauren Corporation

           5,726        637,876  
             1,611,119  
          

 

 

  

Consumer Staples: 6.40%

           
Beverages: 1.22%           

Molson Coors Brewing Company Class B

           6,574        432,372  

PepsiCo Incorporated

           13,786        1,681,065  

The Coca-Cola Company

           53,550        2,698,920  
             4,812,357  
          

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Disciplined Large Cap Portfolio     5  

    

 

 

Security name                 Shares      Value  
Food & Staples Retailing: 2.36%           

Costco Wholesale Corporation

           8,575      $ 1,983,226  

Sysco Corporation

           2,900        195,460  

The Kroger Company

           54,478        1,615,817  

US Foods Holding Corporation †

           12,830        425,699  

Wal-Mart Stores Incorporated

           36,920        3,605,238  

Walgreens Boots Alliance Incorporated

           17,310        1,465,638  
             9,291,078  
          

 

 

  
Food Products: 1.02%           

Archer Daniels Midland Company

           12,257        564,067  

Ingredion Incorporated

           3,838        400,917  

Kellogg Company

           6,115        389,220  

Lamb Weston Holdings Incorporated

           5,144        394,545  

Pilgrim’s Pride Corporation †

           20,368        404,101  

Tyson Foods Incorporated Class A

           31,334        1,847,139  
             3,999,989  
          

 

 

  
Household Products: 0.99%           

Energizer Holdings Incorporated

           6,772        303,589  

Kimberly-Clark Corporation

           3,526        406,795  

Spectrum Brands Holdings Incorporated

           12,098        597,399  

The Procter & Gamble Company

           27,515        2,600,443  
             3,908,226  
          

 

 

  
Personal Products: 0.20%           

NU Skin Enterprises Incorporated Class A

           11,734        774,092  
          

 

 

  
Tobacco: 0.61%           

Altria Group Incorporated

           13,959        765,372  

Philip Morris International Incorporated

           18,619        1,611,102  
             2,376,474  
          

 

 

  

Energy: 5.59%

           
Energy Equipment & Services: 0.61%           

Schlumberger Limited

           53,247        2,401,440  
          

 

 

  
Oil, Gas & Consumable Fuels: 4.98%           

Chevron Corporation

           41,116        4,890,337  

ConocoPhillips

           16,150        1,068,807  

Exxon Mobil Corporation

           82,637        6,569,642  

Kinder Morgan Incorporated

           101,076        1,725,367  

Marathon Petroleum Corporation

           10,654        694,215  

Occidental Petroleum Corporation

           5,479        385,009  

ONEOK Incorporated

           30,511        1,874,291  

PBF Energy Incorporated Class A

           19,258        744,899  

Valero Energy Corporation

           20,377        1,628,122  
             19,580,689  
          

 

 

  

 

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

Table of Contents

 

6   Wells Fargo Disciplined Large Cap Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name                 Shares      Value  

Financials: 13.33%

           
Banks: 5.04%           

Bank of America Corporation

           199,769      $ 5,673,440  

BB&T Corporation

           15,002        766,602  

Citigroup Incorporated

           57,304        3,712,726  

Citizens Financial Group Incorporated

           17,999        654,444  

First Hawaiian Incorporated

           30,317        788,848  

JPMorgan Chase & Company

           52,383        5,824,466  

KeyCorp

           21,053        386,112  

Popular Incorporated

           18,028        1,016,779  

SunTrust Banks Incorporated

           9,158        574,115  

Umpqua Holdings Corporation

           22,089        424,992  
             19,822,524  
          

 

 

  
Capital Markets: 1.73%           

Affiliated Managers Group Incorporated

           6,067        674,165  

BGC Partners Incorporated Class A

           18,502        195,011  

CBOE Holdings Incorporated

           7,438        800,478  

Evercore Partners Incorporated Class A

           19,700        1,626,432  

Intercontinental Exchange Incorporated

           4,914        401,572  

Legg Mason Incorporated

           23,291        674,740  

LPL Financial Holdings Incorporated

           13,318        854,616  

MSCI Incorporated

           2,625        412,361  

S&P Global Incorporated

           4,311        788,309  

The Goldman Sachs Group Incorporated

           1,891        360,595  
             6,788,279  
          

 

 

  
Consumer Finance: 0.70%           

Capital One Financial Corporation

           15,529        1,392,641  

Synchrony Financial

           51,887        1,348,024  
             2,740,665  
          

 

 

  
Diversified Financial Services: 1.65%           

Berkshire Hathaway Incorporated Class B †

           29,665        6,474,090  
          

 

 

  
Insurance: 4.21%           

AFLAC Incorporated

           46,211        2,113,691  

American International Group Incorporated

           4,599        198,907  

Assured Guaranty Limited

           9,601        391,913  

Brown & Brown Incorporated

           15,015        435,735  

Everest Reinsurance Group Limited

           7,473        1,659,604  

Fidelity National Financial Incorporated

           21,518        723,005  

Mercury General Corporation

           6,540        370,491  

MetLife Incorporated

           45,979        2,052,043  

Old Republic International Corporation

           26,710        602,311  

Prudential Financial Incorporated

           12,095        1,134,027  

Reinsurance Group of America Incorporated

           7,838        1,170,840  

RenaissanceRe Holdings Limited

           3,210        425,678  

The Allstate Corporation

           11,725        1,045,753  

The Hartford Financial Services Group Incorporated

           17,687        781,589  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Disciplined Large Cap Portfolio     7  

    

 

 

Security name                 Shares      Value  
Insurance (continued)           

The Progressive Corporation

           5,581      $ 369,964  

The Travelers Companies Incorporated

           8,101        1,056,127  

Torchmark Corporation

           8,815        761,704  

Unum Group

           11,361        407,974  

W.R. Berkley Corporation

           10,653        839,243  
             16,540,599  
          

 

 

  

Health Care: 15.45%

           
Biotechnology: 2.76%           

AbbVie Incorporated

           39,120        3,687,842  

Amgen Incorporated

           13,435        2,797,839  

Exelixis Incorporated †

           43,567        884,846  

Gilead Sciences Incorporated

           37,897        2,726,310  

United Therapeutics Corporation †

           6,406        756,549  
             10,853,386  
          

 

 

  
Health Care Equipment & Supplies: 2.43%           

Abbott Laboratories

           37,288        2,761,176  

ABIOMED Incorporated †

           4,082        1,358,000  

Baxter International Incorporated

           24,379        1,671,180  

Danaher Corporation

           3,918        429,178  

ICU Medical Incorporated †

           5,087        1,223,373  

Medtronic plc

           21,714        2,117,766  
             9,560,673  
          

 

 

  
Health Care Providers & Services: 4.42%           

AmerisourceBergen Corporation

           9,255        822,770  

Anthem Incorporated

           7,693        2,231,509  

Cardinal Health Incorporated

           13,075        716,902  

Cigna Corporation

           2,548        569,172  

CVS Health Corporation

           37,345        2,995,092  

Express Scripts Holding Company †

           14,463        1,467,561  

Humana Incorporated

           6,607        2,176,808  

McKesson Corporation

           6,439        801,656  

UnitedHealth Group Incorporated

           19,864        5,588,935  
             17,370,405  
          

 

 

  
Health Care Technology: 0.19%           

Veeva Systems Incorporated Class A †

           7,657        736,297  
          

 

 

  
Life Sciences Tools & Services: 0.32%           

Agilent Technologies Incorporated

           6,445        466,296  

Bio-Rad Laboratories Incorporated Class A †

           2,803        769,311  
             1,235,607  
          

 

 

  
Pharmaceuticals: 5.33%           

Allergan plc

           7,604        1,190,786  

Bristol-Myers Squibb Company

           26,021        1,391,083  

 

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

Table of Contents

 

8   Wells Fargo Disciplined Large Cap Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name                 Shares      Value  
Pharmaceuticals (continued)           

Eli Lilly & Company

           20,358      $ 2,415,273  

Johnson & Johnson

           43,897        6,448,469  

Merck & Company Incorporated

           53,017        4,206,369  

Nektar Therapeutics †

           13,498        545,184  

Pfizer Incorporated

           102,653        4,745,648  
             20,942,812  
          

 

 

  

Industrials: 9.65%

           
Aerospace & Defense: 1.47%           

Arconic Incorporated

           19,284        414,220  

Raytheon Company

           7,923        1,389,219  

The Boeing Company

           5,988        2,076,399  

United Technologies Corporation

           15,542        1,893,637  
             5,773,475  
          

 

 

  
Air Freight & Logistics: 1.63%           

C.H. Robinson Worldwide Incorporated

           13,632        1,258,643  

Expeditors International of Washington Incorporated

           11,291        859,132  

FedEx Corporation

           6,503        1,489,187  

United Parcel Service Incorporated Class B

           18,433        2,125,141  

XPO Logistics Incorporated †

           8,834        670,147  
             6,402,250  
          

 

 

  
Airlines: 0.48%           

Delta Air Lines Incorporated

           24,050        1,460,076  

United Continental Holdings Incorporated †

           4,504        435,537  
             1,895,613  
          

 

 

  
Commercial Services & Supplies: 0.17%           

Waste Management Incorporated

           7,296        684,000  
          

 

 

  
Construction & Engineering: 0.42%           

Fluor Corporation

           20,044        820,401  

Quanta Services Incorporated †

           23,187        813,864  
             1,634,265  
          

 

 

  
Electrical Equipment: 0.74%           

Eaton Corporation plc

           24,670        1,898,110  

Emerson Electric Company

           5,411        365,351  

Regal-Beloit Corporation

           8,485        663,357  
             2,926,818  
          

 

 

  
Industrial Conglomerates: 0.67%           

3M Company

           1,895        394,008  

General Electric Company

           13,512        101,340  

Honeywell International Incorporated

           14,455        2,121,271  
             2,616,619  
          

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Disciplined Large Cap Portfolio     9  

    

 

 

Security name                 Shares      Value  
Machinery: 1.06%           

Allison Transmission Holdings Incorporated

           27,607      $ 1,300,566  

Caterpillar Incorporated

           3,119        423,155  

Cummins Incorporated

           4,654        703,033  

Oshkosh Corporation

           13,889        990,702  

The Timken Company

           18,488        742,293  
             4,159,749  
          

 

 

  
Professional Services: 0.79%           

Dun & Bradstreet Corporation

           2,766        397,032  

Manpower Incorporated

           19,327        1,568,966  

Robert Half International Incorporated

           18,449        1,140,702  
             3,106,700  
          

 

 

  
Road & Rail: 1.39%           

Landstar System Incorporated

           13,079        1,426,657  

Old Dominion Freight Line Incorporated

           8,256        1,128,843  

Ryder System Incorporated

           10,301        582,728  

Schneider National Incorporated Class B

           66,402        1,482,757  

Union Pacific Corporation

           5,582        858,400  
             5,479,385  
          

 

 

  
Trading Companies & Distributors: 0.83%           

HD Supply Holdings Incorporated †

           31,233        1,246,197  

W.W. Grainger Incorporated

           2,708        850,420  

WESCO International Incorporated †

           21,508        1,148,742  
             3,245,359  
          

 

 

  

Information Technology: 20.20%

           
Communications Equipment: 1.52%           

Arista Networks Incorporated †

           3,618        862,821  

Cisco Systems Incorporated

           107,016        5,122,856  
             5,985,677  
          

 

 

  
Electronic Equipment, Instruments & Components: 0.37%           

CDW Corporation of Delaware

           15,440        1,430,979  
          

 

 

  
IT Services: 3.99%           

Accenture plc Class A

           10,881        1,790,142  

Alliance Data Systems Corporation

           3,589        719,092  

FleetCor Technologies Incorporated †

           3,788        732,599  

International Business Machines Corporation

           14,980        1,861,565  

MasterCard Incorporated Class A

           17,410        3,500,629  

Paychex Incorporated

           7,159        506,571  

Total System Services Incorporated

           8,478        740,723  

Twilio Incorporated Class A †

           4,557        430,591  

Visa Incorporated Class A

           38,124        5,402,552  
             15,684,464  
          

 

 

  

 

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

Table of Contents

 

10   Wells Fargo Disciplined Large Cap Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name                 Shares      Value  
Semiconductors & Semiconductor Equipment: 3.81%           

Analog Devices Incorporated

           8,729      $ 802,370  

Broadcom Incorporated

           11,558        2,743,985  

Intel Corporation

           98,724        4,868,080  

Lam Research Corporation

           8,738        1,371,516  

Micron Technology Incorporated †

           53,939        2,079,888  

NVIDIA Corporation

           4,366        713,535  

Texas Instruments Incorporated

           23,823        2,378,727  
             14,958,101  
          

 

 

  
Software: 5.88%           

Adobe Systems Incorporated †

           1,782        447,086  

Cadence Design Systems Incorporated †

           18,377        827,700  

Citrix Systems Incorporated

           7,316        797,225  

Dell Technologies Incorporated Class V †

           4,262        449,556  

Intuit Incorporated

           8,192        1,757,430  

Microsoft Corporation

           126,483        14,025,700  

Oracle Corporation

           58,746        2,864,455  

Proofpoint Incorporated †

           7,016        680,622  

Synopsys Incorporated †

           4,487        412,535  

The Ultimate Software Group Incorporated †

           1,549        408,812  

VMware Incorporated Class A †

           2,577        431,235  
             23,102,356  
          

 

 

  
Technology Hardware, Storage & Peripherals: 4.63%           

Apple Incorporated

           82,839        14,793,386  

HP Incorporated

           79,585        1,830,455  

NetApp Incorporated

           10,985        734,567  

Western Digital Corporation

           18,564        842,620  
             18,201,028  
          

 

 

  

Materials: 2.74%

           
Chemicals: 1.21%           

DowDuPont Incorporated

           20,521        1,187,140  

Huntsman Corporation

           51,810        1,047,598  

LyondellBasell Industries NV Class A

           19,355        1,806,015  

The Chemours Company

           24,939        710,263  
             4,751,016  
          

 

 

  
Containers & Packaging: 0.58%           

Avery Dennison Corporation

           7,395        712,878  

Packaging Corporation of America

           8,510        832,448  

Sonoco Products Company

           12,951        745,201  
             2,290,527  
          

 

 

  
Metals & Mining: 0.95%           

Freeport-McMoRan Incorporated

           146,247        1,746,189  

Nucor Corporation

           6,745        407,465  

Reliance Steel & Aluminum Company

           6,384        513,593  

Steel Dynamics Incorporated

           29,754        1,047,341  
             3,714,588  
          

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Disciplined Large Cap Portfolio     11  

    

 

 

Security name                Shares      Value  

Real Estate: 3.81%

          
Equity REITs: 3.41%          

American Tower Corporation

          16,348      $ 2,689,083  

Crown Castle International Corporation

          17,416        2,001,098  

Digital Realty Trust Incorporated

          6,995        804,705  

Equinix Incorporated

          4,657        1,794,249  

Hospitality Properties Trust

          26,401        708,603  

Kimco Realty Corporation

          46,817        765,458  

Prologis Incorporated

          20,093        1,353,063  

SBA Communications Corporation †

          6,171        1,054,069  

Simon Property Group Incorporated

          5,955        1,105,784  

Weyerhaeuser Company

          43,346        1,144,768  
            13,420,880  
         

 

 

  
Real Estate Management & Development: 0.40%          

CBRE Group Incorporated Class A †

          36,019        1,573,310  
         

 

 

  

Utilities: 2.45%

          
Electric Utilities: 1.02%          

Exelon Corporation

          48,148        2,233,586  

The Southern Company

          37,931        1,795,274  
            4,028,860  
         

 

 

  
Gas Utilities: 0.43%          

UGI Corporation

          29,450        1,691,903  
         

 

 

  
Multi-Utilities: 1.00%          

Ameren Corporation

          6,277        430,728  

CenterPoint Energy Incorporated

          53,216        1,490,580  

Dominion Energy Incorporated

          5,239        390,306  

DTE Energy Company

          7,264        869,791  

MDU Resources Group Incorporated

          28,111        744,098  
            3,925,503  
         

 

 

  

Total Common Stocks (Cost $397,417,254)

             390,008,624  
         

 

 

  
    Yield                                         
Short-Term Investments: 0.55%          
Investment Companies: 0.55%          

Wells Fargo Government Money Market Fund Select Class (l)(u)

     2.13 %         2,154,144        2,154,144        
         

 

 

  

Total Short-Term Investments (Cost $2,154,144)

             2,154,144  
         

 

 

  

 

Total investments in securities (Cost $399,571,398)     99.80 %         392,162,768  

Other assets and liabilities, net

     0.20          776,815  
 

 

 

       

 

 

  
Total net assets     100.00 %       $ 392,939,583  
 

 

 

       

 

 

  

 

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

Table of Contents

 

12   Wells Fargo Disciplined Large Cap Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

†

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.

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

     0       340,374,293       338,220,149       2,154,144     $ 0     $ 0     $ 46,286     $ 2,154,144       0.55 % 

 

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

Table of Contents

 

Statement of assets and liabilities—November 30, 2018 (unaudited)   Wells Fargo Disciplined Large Cap Portfolio     13  
         

Assets

  

Investments in unaffiliated securities, at value (cost $397,417,254)

   $ 390,008,624  

Investments in affiliated securities, at value (cost $2,154,144)

     2,154,144  

Receivable for dividends

     886,623  

Prepaid expenses and other assets

     2,965  
 

 

 

  

Total assets

     393,052,356  
 

 

 

  

Liabilities

  

Advisory fee payable

     85,550  

Accrued expenses and other liabilities

     27,223  
 

 

 

  

Total liabilities

     112,773  
 

 

 

  

Total net assets

   $ 392,939,583  
 

 

 

  

 

 

 

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

Table of Contents

 

14   Wells Fargo Disciplined Large Cap Portfolio   Statement of operations—Period ended November 30, 20181 (unaudited)
         

Investment income

  

Dividends (net of foreign dividend withholding taxes of $15,810)

   $ 4,989,935  

Income from affiliated securities

     46,286  
 

 

 

  

Total investment income

     5,036,221  
 

 

 

  

Expenses

  

Advisory fee

     508,577  

Custody and accounting fees

     8,221  

Professional fees

     23,225  

Shareholder report expenses

     2,661  

Trustees’ fees and expenses

     11,743  

Other fees and expenses

     4,266  
 

 

 

  

Total expenses

     558,693  
 

 

 

  

Net investment income

     4,477,528  
 

 

 

  

REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS

  

Net realized losses on investments

     (2,335,836 ) 

Net change in unrealized gains (losses) on investments

     (7,408,630 ) 
 

 

 

  

Net realized and unrealized gains (losses) on investments

     (9,744,466 ) 
 

 

 

  

Net decrease in net assets resulting from operations

   $ (5,266,938 ) 
 

 

 

  

 

 

1 

For the period from June 12, 2018 (commencement of operations) to November 30, 2018.

 

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

Table of Contents

 

Statement of changes in net assets   Wells Fargo Disciplined Large Cap Portfolio     15  
     Period ended
November 30, 2018
(unaudited)1		  

Operations

  

Net investment income

   $ 4,477,528  

Net realized losses on investments

     (2,335,836 ) 

Net change in unrealized gains (losses) on investments

     (7,408,630 ) 
 

 

 

  

Net decrease in net assets resulting from operations

     (5,266,938 ) 
 

 

 

  

Capital transactions

  

Transactions in investors’ beneficial interests

  

Contributions

     454,169,423  

Withdrawals

     (55,962,902 ) 
 

 

 

  

Net increase in net assets resulting from capital transactions

     398,206,521  
 

 

 

  

Total increase in net assets

     392,939,583  
 

 

 

  

Net assets

  

Beginning of period

     0  
 

 

 

  

End of period

   $ 392,939,583  
 

 

 

  

 

 

1 

For the period from June 12, 2018 (commencement of operations) to November 30, 2018.

 

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

Table of Contents

 

16   Wells Fargo Disciplined Large Cap Portfolio   Financial highlights
     Period ended
November 30, 20181
(unaudited)		  

Total return2

     (1.45 )% 

Ratios to average net assets (annualized)

  

Gross expenses

     0.27 % 

Net expenses

     0.27 % 

Net investment income

     2.16 % 

Supplemental data

  

Portfolio turnover rate

     42 % 

 

 

 

1 

For the period from June 12, 2018 (commencement of operations) to November 30, 2018.

 

2 

Returns for periods of less than one year are not annualized.

 

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

Table of Contents

 

Notes to financial statements (unaudited)   Wells Fargo Disciplined Large Cap Portfolio     17  

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 Wells Fargo Disciplined Large Cap Portfolio (the “Portfolio”) which is a diversified series of the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the 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 Portfolio may deviate from this calculation time under unusual or unexpected circumstances.

Equity securities that are listed on a foreign or domestic exchange or market are valued at the official closing price or, if none, the last sales price. If no sale occurs on the principal exchange or market that day, a fair value price will be determined in accordance with the Portfolio’s Valuation Procedures.

Investments in registered open-end investment companies are valued at net asset value.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Portfolio. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC (“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.

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.

Dividend income is recognized on the ex-dividend date. Dividend income is recorded net of foreign taxes withheld where recovery of such taxes is not assured.

Federal and other taxes

The Portfolio is treated as a separate entity for federal income tax purposes. The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains 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.

The Portfolio’s income tax returns and all financial records supporting those returns for the fiscal year are subject to examination by the federal revenue authority. Management has analyzed the 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.

Table of Contents

 

18   Wells Fargo Disciplined Large Cap Portfolio   Notes to financial statements (unaudited)

As of November 30, 2018, the aggregate cost of all investments for federal income tax purposes was $399,571,398 and the unrealized gains (losses) consisted of:

 

Gross unrealized gains

    $ 17,564,467  

Gross unrealized losses

      (24,973,097 ) 

Net unrealized loss

    $ (7,408,630 ) 

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 the Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

 

∎  

Level 1 – quoted prices in active markets for identical securities

 

∎  

Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

 

∎  

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of November 30, 2018:

 

     Quoted prices
(Level 1)		      Other significant
observable inputs
(Level 2)		     

Significant
unobservable inputs

(Level 3)

      Total  

Assets

            

Investments in:

            

Common stocks

            

Communication services

    $ 39,287,511      $ 0      $ 0      $ 39,287,511  

Consumer discretionary

      37,828,006        0        0        37,828,006  

Consumer staples

      25,162,216        0        0        25,162,216  

Energy

      21,982,129        0        0        21,982,129  

Financials

      52,366,157        0        0        52,366,157  

Health care

      60,699,180        0        0        60,699,180  

Industrials

      37,924,233        0        0        37,924,233  

Information technology

      79,362,605        0        0        79,362,605  

Materials

      10,756,131        0        0        10,756,131  

Real estate

      14,994,190        0        0        14,994,190  

Utilities

      9,646,266        0        0        9,646,266  

Short-term investments

            

Investment companies

      2,154,144        0        0        2,154,144  

Total assets

    $ 392,162,768      $ 0      $ 0      $ 392,162,768  

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

At November 30, 2018, the Portfolio did not have any transfers into/out of Level 3.

Table of Contents

 

Notes to financial statements (unaudited)   Wells Fargo Disciplined Large Cap Portfolio     19  

4. TRANSACTIONS WITH AFFILIATES

Advisory fee

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 subadviser, who is responsible for day-to-day portfolio management of the Portfolio. Pursuant to the contract, Funds Management is entitled to receive an annual advisory fee starting at 0.25% and declining to 0.20% as the average daily net assets of the Portfolio increase. For the period ended November 30, 2018, the advisory fee was equivalent to an annual rate of 0.25% of the Portfolio’s average daily net assets.

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Portfolio. 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 the Portfolio and is entitled to receive a fee from Funds Management at an annual rate starting at 0.20% and declining to 0.15% as the average daily net assets of the Portfolio increase.

Interfund transactions

The Portfolio 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.

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments, excluding U.S. government obligations (if any) and short-term securities, for the period ended November 30, 2018 were $577,291,691 and $174,451,911, respectively.

6. BANK BORROWINGS

Effective August 28, 2018, 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 the 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 the 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.

For the period ended November 30, 2018, there were no borrowings by the Portfolio under the agreement.

7. 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 Portfolio and, therefore, cannot be estimated.

8. 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.

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20   Wells Fargo Disciplined Large Cap Portfolio   Other information (unaudited)

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 wellsfargofunds.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 wellsfargofunds.com or by visiting the SEC website at sec.gov.

PORTFOLIO HOLDINGS INFORMATION

The Portfolio files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. In addition, the Portfolio’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and at regional offices in New York City, at 233 Broadway, and in Chicago, at 175 West Jackson Boulevard, Suite 900. Information about the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Table of Contents

 

Other information (unaudited)   Wells Fargo Disciplined Large Cap Portfolio     21  

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 152 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. Board member of the Vincent Memorial Hospital Endowment (non-profit organization), where he serves on the Investment Committee and as a Chair of the Audit Committee. 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.3

(Born 1952)

   Trustee, since 2009   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. Johnson3

(Born 1949)

   Trustee, since 2008; Audit Committee Chairman, since 2009   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

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

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22   Wells Fargo Disciplined Large Cap Portfolio   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

Olivia S. Mitchell

(Born 1953)

   Trustee, since 2006; Nominating and Governance Committee Chairman, 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; Vice Chairman, from 2017 to 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; Advisory Board Member, from 2017 to 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

Michael S. Scofield4

(Born 1943)

   Trustee, since 2010   Served on the Investment Company Institute’s Board of Governors and Executive Committee from 2008-2011 as well the Governing Council of the Independent Directors Council from 2006-2011 and the Independent Directors Council Executive Committee from 2008-2011. Trustee of the Evergreen Fund complex (and its predecessors) from 1984 to 2010. Chairman of the Evergreen Funds from 2000-2010. Former Trustee of the Mentor Funds. Retired Attorney, Law Offices of Michael S. Scofield.   N/A

Pamela Wheelock

(Born 1959)

   Trustee, since 2018; Advisory Board Member, from 2017 to 2018   Chief Operating Officer, Twin Cities Habitat for Humanity, since January, 2017. Vice President of University Services, University of Minnesota from 2012 to 2017. 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 President and Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2010 to 2011, Chairman of the Board from 2009 to 2011 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. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently the 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.

Table of Contents

 

Other information (unaudited)   Wells Fargo Disciplined Large Cap Portfolio     23  

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.    

Alexander Kymn

(Born 1973)

   Secretary, since 2018; Chief Legal Officer, since 2018   Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.    

Michael H. Whitaker

(Born 1967)

   Chief Compliance Officer, since 2016   Senior Vice President and Chief Compliance Officer 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 76 funds and Assistant Treasurer of 76 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 wellsfargofunds.com.

 

3 

Mr. Harris will replace Ms. Johnson as the Chairman of the Audit Committee effective January 1, 2019.

 

4

Mr. Scofield is expected to retire on December 31, 2018.

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Table of Contents

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

© 2019 Wells Fargo Funds Management, LLC. All rights reserved.

 

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Table of Contents

Semi-Annual Report

November 30, 2018

 

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Wells Fargo International Growth Portfolio

 

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Table of Contents

Contents

 

 

 

Fund information

    2  

Portfolio of investments

     3  

Financial statements

  

Statement of assets and liabilities

     7  

Statement of operations

     8  

Statement of changes in net assets

     9  

Financial highlights

     10  

Notes to financial statements

     11  

Other information

     16  

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


Table of Contents

 

2   Wells Fargo International Growth Portfolio   Fund information (unaudited)

Investment objective

The Portfolio seeks long-term capital appreciation.

Manager

Wells Fargo Funds Management, LLC

Subadviser

Artisan Partners, Limited Partnership

Portfolio manager

Mark L. Yockey, CFA®‡

 

Ten largest holdings (%) as of November 30, 20181  

Linde plc

      6.24  

Deutsche Boerse AG

      6.01  

Wirecard AG

      4.53  

Medtronic plc

      4.22  

Nestle SA

      3.85  

Airbus SE

      3.71  

Deutsche Post AG

      3.46  

ING Groep NV

      3.15  

Aon plc

      3.05  

AIA Group Limited

      2.95  

 

Sector distribution as of November 30, 20182

 

LOGO

 

 

 

 

Country allocation as of November 30, 20182
LOGO

    

 

 

 

‡ 

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

 

1 

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

 

2 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo International Growth Portfolio     3  

      

 

 

Security name                 Shares      Value  

Common Stocks: 92.24%

           
Belgium: 2.26%           

Anheuser-Busch InBev NV (Consumer Staples, Beverages)

           76,259      $ 5,839,553  
          

 

 

  
Brazil: 2.48%           

B3 SA (Financials, Capital Markets)

           115,505        842,317  

Petroleo Brasileiro SA ADR (Energy, Oil, Gas & Consumable Fuels)

           382,469        5,568,749  
             6,411,066  
          

 

 

  
Canada: 2.09%           

Canadian National Railway Company (Industrials, Road & Rail)

           26,774        2,297,745  

Canadian Pacific Railway Limited (Industrials, Road & Rail)

           14,644        3,097,792  
             5,395,537  
          

 

 

  
Denmark: 1.76%           

Genmab AS (Health Care, Biotechnology) †

           29,894        4,548,185  
          

 

 

  
Finland: 1.00%           

Fortum Oyj (Utilities, Electric Utilities)

           124,379        2,592,303  
          

 

 

  
France: 8.81%           

Air Liquide SA (Materials, Chemicals)

           51,714        6,249,725  

BNP Paribas SA (Financials, Banks)

           74,504        3,742,854  

Eiffage SA (Industrials, Construction & Engineering)

           34,347        3,267,054  

Groupe Danone SA (Consumer Staples, Food Products)

           26,717        1,998,072  

Safran SA (Industrials, Aerospace & Defense)

           20,904        2,611,480  

Schneider Electric SE (Industrials, Electrical Equipment)

           17,837        1,298,024  

Vinci SA (Industrials, Construction & Engineering)

           41,020        3,580,428  
             22,747,637  
          

 

 

  
Germany: 19.59%           

Allianz AG (Financials, Insurance)

           31,056        6,557,061  

Beiersdorf AG (Consumer Staples, Personal Products)

           44,763        4,790,928  

Deutsche Boerse AG (Financials, Capital Markets)

           121,537        15,520,385  

Deutsche Post AG (Industrials, Air Freight & Logistics)

           280,667        8,934,938  

Symrise AG (Materials, Chemicals)

           38,390        3,098,793  

Wirecard AG (Information Technology, IT Services)

           77,504        11,709,210  
             50,611,315  
          

 

 

  
Hong Kong: 2.95%           

AIA Group Limited (Financials, Insurance)

           933,400        7,617,279  
          

 

 

  
India: 2.39%           

Housing Development Finance Corporation Limited (Financials, Thrifts & Mortgage Finance)

           216,431        6,176,645  
          

 

 

  
Indonesia: 0.78%           

PT Bank Rakyat Indonesia Tbk (Financials, Banks)

           7,926,800        2,006,294  
          

 

 

  
Ireland: 12.05%           

Linde plc (Materials, Chemicals)

           101,335        16,118,354  

 

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

Table of Contents

 

4   Wells Fargo International Growth Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  
Ireland (continued)           

Medtronic plc (Health Care, Health Care Equipment & Supplies)

           111,730      $ 10,897,027  

Willis Towers Watson plc (Financials, Insurance)

           25,716        4,100,412  
             31,115,793  
          

 

 

  
Italy: 3.46%           

Assicurazioni Generali SpA (Financials, Insurance)

           306,947        5,174,197  

Intesa Sanpaolo SpA (Financials, Banks)

           1,628,238        3,775,137  
             8,949,334  
          

 

 

  
Japan: 3.74%           

CALBEE Incorporated (Consumer Staples, Food Products) «

           101,800        3,371,960  

Japan Exchange Group Incorporated (Financials, Capital Markets)

           118,400        2,133,004  

Nippon Shinyaku Company Limited (Health Care, Pharmaceuticals)

           41,900        2,864,326  

Taiyo Nippon Sanso Corporation (Materials, Chemicals)

           77,400        1,303,694  
             9,672,984  
          

 

 

  
Luxembourg: 0.35%           

Spotify Technology SA (Communication Services, Entertainment) †

           6,720        916,474  
          

 

 

  
Netherlands: 9.27%           

Airbus SE (Industrials, Aerospace & Defense)

           89,541        9,591,572  

Akzo Nobel NV (Materials, Chemicals)

           19,253        1,615,108  

ASML Holding NV (Information Technology, Semiconductors & Semiconductor Equipment)

           7,646        1,290,615  

ING Groep NV (Financials, Banks)

           672,035        8,128,505  

Koninklijke DSM NV (Materials, Chemicals)

           37,366        3,309,713  
             23,935,513  
          

 

 

  
Russia: 1.35%           

MMC Norilsk Nickel PJSC ADR (Materials, Metals & Mining)

           184,561        3,477,129  
          

 

 

  
Switzerland: 6.45%           

Idorsia Limited (Health Care, Biotechnology) †

           26,529        504,265  

Lonza Group AG (Health Care, Life Sciences Tools & Services)

           13,345        4,313,198  

Nestle SA (Consumer Staples, Food Products)

           116,685        9,944,008  

Sonova Holding AG (Health Care, Health Care Equipment & Supplies)

           11,733        1,894,920  
             16,656,391  
          

 

 

  
United Kingdom: 11.13%           

Aon plc (Financials, Insurance)

           47,647        7,866,996  

British American Tobacco plc (Consumer Staples, Tobacco)

           39,379        1,379,915  

ConvaTec Limited (Health Care, Health Care Equipment & Supplies) 144A

           1,285,254        2,488,539  

Experian Group Limited plc (Industrials, Professional Services)

           123,076        2,989,958  

Ferguson plc (Industrials, Trading Companies & Distributors)

           74,880        4,789,877  

Glencore International plc (Materials, Metals & Mining)

           252,196        932,429  

HSBC Holdings plc (Financials, Banks)

           333,923        2,826,607  

London Stock Exchange Group plc (Financials, Capital Markets)

           54,113        2,780,896  

Rentokil Initial plc (Industrials, Commercial Services & Supplies)

           639,883        2,690,725  
             28,745,942  
          

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo International Growth Portfolio     5  

      

 

 

Security name                Shares      Value  
United States: 0.33%          

WABCO Holdings Incorporated (Industrials, Machinery) †

          7,116      $ 864,238  
         

 

 

  

Total Common Stocks (Cost $237,836,587)

             238,279,612  
         

 

 

  
          Expiration date                
Participation Notes: 1.57%          
Ireland: 1.57%          

HSBC Bank plc (Ryanair Holdings plc) (Industrials, Airlines) †(a)

       10-29-2019        305,715        4,051,610  
         

 

 

  

Total Participation Notes (Cost $4,318,284)

             4,051,610  
         

 

 

  
    Dividend yield                      
Preferred Stocks: 3.84%          
Brazil: 2.23%          

Petroleo Brasileiro SA (Energy, Oil, Gas & Consumable Fuels)

     0.80 %         874,091        5,754,941  
         

 

 

  
Germany: 1.61%          

Henkel AG & Company KGaA (Consumer Staples, Household Products)

     1.91          36,112        4,165,917  
         

 

 

  

Total Preferred Stocks (Cost $8,262,253)

             9,920,858  
         

 

 

  
    Yield                      
Short-Term Investments: 2.23%          
Investment Companies: 2.23%          

Securities Lending Cash Investments LLC (l)(r)(u)

     2.38          1,361        1,361  

Wells Fargo Government Money Market Fund Select Class (l)(u)

     2.13          5,754,309        5,754,309  

Total Short-Term Investments (Cost $5,755,670)

             5,755,670        
         

 

 

  

 

Total investments in securities (Cost $256,172,794)     99.88 %         258,007,750  

Other assets and liabilities, net

     0.12          320,186  
 

 

 

       

 

 

  
Total net assets     100.00 %       $ 258,327,936  
 

 

 

       

 

 

  

 

 

†

Non-income-earning security

 

«

All or a portion of this security is on loan.

 

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.

 

(r)

The investment is a non-registered investment company purchased with cash collateral received from securities on loan.

 

(u)

The rate represents the 7-day annualized yield at period end.

Abbreviations:

 

ADR

American depositary receipt

 

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

Table of Contents

 

6   Wells Fargo International Growth Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

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

                  

Securities Lending Cash Investments LLC

     427,749       31,370,112       31,796,500       1,361     $ (33 )    $ 0     $ 12,093     $ 1,361    

Wells Fargo Government Money Market Fund Select Class

     1,633,072       108,672,190       104,550,953       5,754,309       0       0       136,548       5,754,309    
         

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
          $ (33 )    $ 0     $ 148,641     $ 5,755,670       2.23 % 
         

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

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

Table of Contents

 

Statement of assets and liabilities—November 30, 2018 (unaudited)   Wells Fargo International Growth Portfolio     7  
         

Assets

  

Investments in unaffiliated securities (including $1,327 of securities loaned), at value (cost $250,417,124)

   $ 252,252,080  

Investments in affiliated securities, at value (cost $5,755,670)

     5,755,670  

Foreign currency, at value (cost $48,357)

     48,346  

Receivable for investments sold

     411,826  

Receivable for dividends

     565,104  

Receivable for securities lending income

     6,087  
 

 

 

  

Total assets

     259,039,113  
 

 

 

  

Liabilities

  

Payable for investments purchased

     379,550  

Advisory fee payable

     182,807  

Custodian and accounting fees payable

     47,008  

Professional fees payable

     45,787  

Payable upon receipt of securities loaned

     1,394  

Trustees’ fees and expenses payable

     236  

Accrued expenses and other liabilities

     54,395  
 

 

 

  

Total liabilities

     711,177  
 

 

 

  

Total net assets

   $ 258,327,936  
 

 

 

  

 

 

 

 

 

 

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

Table of Contents

 

8   Wells Fargo International Growth Portfolio   Statement of operations—six months ended November 30, 2018 (unaudited)
         

Investment income

  

Dividends (net of foreign interest withholding tax of $113,804)

   $ 1,578,693  

Income from affiliated securities

     148,641  
 

 

 

  

Total investment income

     1,727,334  
 

 

 

  

Expenses

  

Advisory fee

     1,107,464  

Custody and accounting fees

     38,447  

Professional fees

     35,156  

Shareholder report expenses

     302  

Trustees’ fees and expenses

     12,480  

Other fees and expenses

     27,484  
 

 

 

  

Total expenses

     1,221,333  

Less: Fee waivers and/or expense reimbursements

     (2,338 ) 
 

 

 

  

Net expenses

     1,218,995  
 

 

 

  

Net investment income

     508,339  
 

 

 

  

REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS

  

Net realized losses on:

  

Unaffiliated securities

     (5,966,768 ) 

Affiliated securities

     (33 ) 
 

 

 

  

Net realized losses on investments

     (5,966,801 ) 

Net change in unrealized gains (losses) on investments

     (5,122,260 ) 
 

 

 

  

Net realized and unrealized gains (losses) on investments

     (11,089,061 ) 
 

 

 

  

Net decrease in net assets resulting from operations

   $ (10,580,722 ) 
 

 

 

  

 

 

 

 

 

 

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

Table of Contents

 

Statement of changes in net assets   Wells Fargo International Growth Portfolio     9  
    

Six months ended
November 30, 2018

(unaudited)

        Year ended
May 31, 2018		  

Operations

       

Net investment income

   $ 508,339        $ 534,471  

Net realized gains (losses) on investments

     (5,966,801 )         29,192,956  

Net change in unrealized gains (losses) on investments

     (5,122,260 )         (18,628,392 ) 
 

 

 

  

Net increase (decrease) in net assets resulting from operations

     (10,580,722 )         11,099,035  
 

 

 

  

Capital transactions

       

Transactions in investors’ beneficial interests

       

Contributions

     290,427,526          18,015,755  

Withdrawals

     (66,093,537 )         (122,031,151 ) 
 

 

 

  

Net increase (decrease) in net assets resulting from capital transactions

     224,333,989          (104,015,396 ) 
 

 

 

  

Total increase (decrease) in net assets

     213,753,267          (92,916,361 ) 
 

 

 

  

Net assets

       

Beginning of period

     44,574,669          137,491,030  
 

 

 

  

End of period

   $ 258,327,936        $ 44,574,669  
 

 

 

  

 

 

 

 

 

 

 

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

Table of Contents

 

10   Wells Fargo International Growth Portfolio   Financial highlights
   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
     2018     2017     2016     2015     2014  

Total return1

     (5.83 )%      9.46 %      10.31 %      (12.40 )%      5.13 %      16.45 % 

Ratios to average net assets (annualized)

            

Gross expenses

     0.88 %      1.10 %      0.98 %      0.99 %      1.00 %      1.00 % 

Net expenses

     0.88 %      1.06 %      0.98 %      0.99 %      1.00 %      1.00 % 

Net investment income

     0.37 %      0.70 %      1.25 %      1.16 %      0.76 %      1.13 % 

Supplemental data

            

Portfolio turnover rate

     51 %      71 %      121 %      62 %      51 %      46 % 

 

 

 

 

 

 

 

1 

Returns for periods of less than one year are not annualized.

 

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

Table of Contents

 

Notes to financial statements (unaudited)   Wells Fargo International Growth Portfolio     11  

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 Wells Fargo International Growth Portfolio (the “Portfolio”) which is a diversified series of the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the 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 Portfolio may deviate from this calculation time under unusual or unexpected circumstances.

Equity securities that are listed on a foreign or domestic exchange or market are valued at the official closing price or, if none, the last sales price. If no sale occurs on the principal exchange or market that day, a fair value price will be determined in accordance with the Portfolio’s Valuation Procedures.

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 at Wells Fargo Funds Management, LLC (“Funds Management”).

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 Portfolio 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 November 30, 2018, such fair value pricing was not used in pricing foreign securities.

Investments in registered open-end investment companies are valued at net asset value. Interests in non-registered investment companies that are redeemable at net asset value are fair valued normally 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 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 the Portfolio are maintained in U.S. dollars. The values of other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee. Purchases and sales of securities, and income and expenses are converted at the rate of exchange on the respective dates of such transactions. Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded and the U.S. dollar equivalent of the amounts actually paid or received. Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities other than investments in securities

Table of Contents

 

12   Wells Fargo International Growth Portfolio   Notes to financial statements (unaudited)

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.

Participation notes

The Portfolio may invest in participation notes to gain exposure to securities in certain foreign markets. Participation notes are issued by banks or broker-dealers and are designed to offer a return linked to a particular underlying foreign security. Participation notes involve transaction costs, which may be higher than those applicable to the underlying foreign security. The holder of the participation note is entitled to receive from the bank or broker-dealer, an amount equal to the dividend paid by the issuer of the underlying foreign security; however, the holder is not entitled to the same rights (i.e. voting rights) as an owner of the underlying foreign security. Investments in participation notes involve risks beyond those normally associated with a direct investment in an underlying security. The Portfolio has no rights against the issuer of the underlying foreign security and participation notes expose the Portfolio to counterparty risk in the event the counterparty does not perform. There is also no assurance there will be a secondary trading market for the participation note or that the trading price of the participation note will equal the underlying value of the foreign security that it seeks to replicate.

Forward foreign currency contracts

The Portfolio is subject to foreign currency risk in the normal course of pursuing its investment objectives. 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 could 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.

Securities lending

The Portfolio may lend its securities from time to time in order to earn additional income in the form of fees or interest on securities received as collateral or the investment of any cash received as collateral. The Portfolio continues to receive interest or dividends on the securities loaned. The Portfolio receives collateral in the form of cash or securities with a value at least equal to the value of the securities on loan. The value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Portfolio on the next business day. In a securities lending transaction, the net asset value of the Portfolio will be affected by an increase or decrease in the value of the securities loaned and by an increase or decrease in the value of the instrument in which collateral is invested. The amount of securities lending activity undertaken by the Portfolio fluctuates from time to time. In the event of default or bankruptcy by the borrower, the Portfolio may be prevented from recovering the loaned securities or gaining access to the collateral or may experience delays or costs in doing so. In addition, the investment of any cash collateral received may lose all or part of its value. The Portfolio has the right under the lending agreement to recover the securities from the borrower on demand.

The Portfolio lends its securities through an unaffiliated securities lending agent. Cash collateral received in connection with its securities lending transactions is invested in Securities Lending Cash Investments, LLC (the “Securities Lending Fund”). The Securities Lending Fund is exempt from registration under Section 3(c)(7) of the 1940 Act and is managed by Funds Management and is subadvised by Wells Capital Management Incorporated (“WellsCap”), an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”). Funds Management receives an advisory fee starting at 0.05% and declining to 0.01% as the average daily net assets of the Securities Lending Fund increase. All of the fees received by Funds Management are paid to WellsCap for its services as subadviser. The Securities Lending Fund seeks to provide a positive return compared to the daily Fed Funds Open Rate by investing in high-quality, U.S. dollar-denominated short-term money market instruments. Securities Lending Fund investments are valued at the evaluated bid price provided by an independent pricing service. Income earned from investment in the Securities Lending Fund, if any, is included in income from affiliated securities on the Statement of Operations.

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Notes to financial statements (unaudited)   Wells Fargo International Growth Portfolio     13  

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.

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. Dividend income from foreign securities is recorded net of foreign taxes withheld where recovery of such taxes is not assured.

Federal and other taxes

The Portfolio is treated as a separate entity for federal income tax purposes. The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains 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.

The Portfolio’s income tax returns and all financial records supporting those returns for the prior three fiscal years are subject to examination by the federal revenue authority. Management has analyzed the 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 November 30, 2018, the aggregate cost of all investments for federal income tax purposes was $256,348,241 and the unrealized gains (losses) consisted of:

 

Gross unrealized gains

    $ 14,739,622  

Gross unrealized losses

      (13,080,113 ) 

Net unrealized gains

   $ 1,659,509  

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 the Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

 

∎  

Level 1 – quoted prices in active markets for identical securities

 

∎  

Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

 

∎  

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

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14   Wells Fargo International Growth Portfolio   Notes to financial statements (unaudited)

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of November 30, 2018:

 

     Quoted prices
(Level 1)		      Other significant
observable inputs
(Level 2)		     

Significant
unobservable inputs

(Level 3)

      Total  

Assets

            

Investments in:

            

Common stocks

            

Belgium

    $ 5,839,553      $ 0      $ 0      $ 5,839,553  

Brazil

      6,411,066        0        0        6,411,066  

Canada

      5,395,537        0        0        5,395,537  

Denmark

      4,548,185        0        0        4,548,185  

Finland

      2,592,303        0        0        2,592,303  

France

      22,747,637        0        0        22,747,637  

Germany

      50,611,315        0        0        50,611,315  

Hong Kong

      7,617,279        0        0        7,617,279  

India

      6,176,645        0        0        6,176,645  

Indonesia

      2,006,294        0        0        2,006,294  

Ireland

      31,115,793        0        0        31,115,793  

Italy

      8,949,334        0        0        8,949,334  

Japan

      9,672,984        0        0        9,672,984  

Luxembourg

      916,474        0        0        916,474  

Netherlands

      23,935,513        0        0        23,935,513  

Russia

      3,477,129        0        0        3,477,129  

Switzerland

      16,656,391        0        0        16,656,391  

United Kingdom

      28,745,942        0        0        28,745,942  

United States

      864,238        0        0        864,238  

Participation notes

            

Ireland

      0        4,051,610        0        4,051,610  

Preferred stocks

            

Brazil

      5,754,941        0        0        5,754,941  

Germany

      4,165,917        0        0        4,165,917  

Short-term investments

            

Investment companies

      5,754,309        1,361        0        5,755,670  

Total assets

    $ 253,954,779      $ 4,052,971      $ 0      $ 258,007,750  

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

At November 30, 2018, the Portfolio did not have any transfers into/out of Level 3.

4. TRANSACTIONS WITH AFFILIATES AND OTHER EXPENSES

Advisory fee

The Trust has entered into an advisory contract with Funds Management, an indirect wholly owned subsidiary of Wells Fargo. The adviser is responsible for implementing investment policies and guidelines and for supervising the subadviser, who is responsible for day-to-day portfolio management of the Portfolio. Pursuant to the contract, Funds Management is entitled to receive an annual advisory fee starting at 0.80% and declining to 0.65% as the average daily net assets of the Portfolio increase. For the six months end November 30, 2018, the advisory fee was equivalent to an annual rate of 0.80% of the Portfolio’s average daily net assets.

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Portfolio. The fee for subadvisory services is borne by Funds Management. Artisan Partners, Limited Partnership, which is not an affiliate of Funds Management, is the subadviser to the Portfolio and is entitled to receive a fee from Funds Management at an annual rate starting at 0.80% and declining to 0.50% as the average daily net assets of the Portfolio increase.

Funds Management has voluntarily waived and/or reimbursed advisory fees to the extent necessary to maintain the net operating expense ratio of the Portfolio.

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Notes to financial statements (unaudited)   Wells Fargo International Growth Portfolio     15  

Interfund transactions

The Portfolio 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.

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments, excluding U.S. government obligations (if any) and short-term securities, for the six months ended November 30, 2018 were $352,222,605 and $131,433,917, respectively.

6. BANK BORROWINGS

Effective August 28, 2018, 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 the 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 the 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.

For the six months ended November 30, 2018, there were no borrowings by the Portfolio under the agreement.

7. CONCENTRATION RISK

Concentration risk result from exposure to a limited number of sectors. A portfolio that invests a substantial portion of its assets in any sector may be more affected by changes in that sector than would be a portfolio whose investments are not heavily weighted in any sector.

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 Portfolio 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.

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16   Wells Fargo International Growth Portfolio   Other information (unaudited)

PROXY VOTING INFORMATION

A description of the policies and procedures used to determine how to vote proxies relating to portfolio securities is available, upon request, by calling 1-800-222-8222, visiting our website at wellsfargofunds.com, or visiting the SEC website at sec.gov. Information regarding how the Portfolio voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Portfolio’s website at wellsfargofunds.com or by visiting the SEC website at sec.gov.

PORTFOLIO HOLDINGS INFORMATION

The complete portfolio holdings for the Portfolio are publicly available monthly on the Portfolio’s website (wellsfargofunds.com), on a one-month delayed basis. In addition, top ten holdings information (excluding derivative positions) for the Portfolio is publicly available on the Portfolio’s website on a monthly, seven-day or more delayed basis. The Portfolio files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. In addition, the Portfolio’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and at regional offices in New York City, at 233 Broadway, and in Chicago, at 175 West Jackson Boulevard, Suite 900. Information about the Public Reference Room may be obtained by calling 1-800-SEC-0330.

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Other information (unaudited)   Wells Fargo International Growth Portfolio     17  

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 152 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. Board member of the Vincent Memorial Hospital Endowment (non-profit organization), where he serves on the Investment Committee and as a Chair of the Audit Committee. 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.3
(Born 1952)		   Trustee, since 2009   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. Johnson3
(Born 1949)		   Trustee, since 2008; Audit Committee Chairman, since 2009   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
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

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18   Wells Fargo International Growth Portfolio   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
Olivia S. Mitchell
(Born 1953)		   Trustee, since 2006; Nominating and Governance Committee Chairman, 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; Vice Chairman, from 2017 to 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; Advisory Board Member, from 2017 to 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

Michael S. Scofield4

(Born 1943)

   Trustee, since 2010   Served on the Investment Company Institute’s Board of Governors and Executive Committee from 2008-2011 as well the Governing Council of the Independent Directors Council from 2006-2011 and the Independent Directors Council Executive Committee from 2008-2011. Trustee of the Evergreen Fund complex (and its predecessors) from 1984 to 2010. Chairman of the Evergreen Funds from 2000-2010. Former Trustee of the Mentor Funds. Retired Attorney, Law Offices of Michael S. Scofield.   N/A
Pamela Wheelock
(Born 1959)		   Trustee, since 2018; Advisory Board Member, from 2017 to 2018   Chief Operating Officer, Twin Cities Habitat for Humanity, since January, 2017. Vice President of University Services, University of Minnesota from 2012 to 2017. 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 President and Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2010 to 2011, Chairman of the Board from 2009 to 2011 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. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently the 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)   Wells Fargo International Growth Portfolio     19  

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.    
Alexander Kymn
(Born 1973)		   Secretary, since 2018; Chief Legal Officer, since 2018   Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.    
Michael H. Whitaker
(Born 1967)		   Chief Compliance Officer, since 2016   Senior Vice President and Chief Compliance Officer 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 76 funds and Assistant Treasurer of 76 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 wellsfargofunds.com.

 

3 

Mr. Harris will replace Ms. Johnson as the Chairman of the Audit Committee effective January 1, 2019.

 

4

Mr. Scofield is expected to retire on December 31, 2018.

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LOGO

 

 

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

© 2019 Wells Fargo Funds Management, LLC. All rights reserved.

 

LOGO     
 

Table of Contents

Semi-Annual Report

November 30, 2018

 

LOGO

 

Wells Fargo Large Company Value Portfolio

 

LOGO

 

LOGO

Table of Contents

Contents

 

 

 

Fund information

     2  

Portfolio of investments

     3  

Financial statements

  

Statement of assets and liabilities

     8  

Statement of operations

     9  

Statement of changes in net assets

     10  

Financial highlights

     11  

Notes to financial statements

     12  

Other information

     16  

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


Table of Contents

 

2   Wells Fargo Large Company Value Portfolio   Fund information (unaudited)

Investment objective

The Portfolio seeks long-term capital appreciation.

Manager

Wells Fargo Funds Management, LLC

Subadviser

Wells Capital Management Incorporated

Portfolio managers

Dennis Bein, CFA®‡

Ryan Brown, CFA®‡

Harindra de Silva, Ph.D., CFA®‡

 

Ten largest holdings (%) as of November 30, 20181  

JPMorgan Chase & Company

      4.60  

Bank of America Corporation

      3.96  

Exxon Mobil Corporation

      3.94  

The Procter & Gamble Company

      3.73  

AT&T Incorporated

      3.68  

Merck & Company Incorporated

      3.49  

Pfizer Incorporated

      3.35  

Chevron Corporation

      3.26  

Berkshire Hathaway Incorporated Class B

      3.01  

Cisco Systems Incorporated

      2.87  

 

Sector distribution as of November 30, 20182

 

LOGO

 

 

 

 

 

 

‡ 

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

 

1 

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

 

2 

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

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Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Large Company Value Portfolio     3  

      

 

 

Security name                 Shares      Value  

Common Stocks: 98.26%

           

Communication Services: 7.91%

           
Diversified Telecommunication Services: 4.80%           

AT&T Incorporated

           340,721      $ 10,644,124  

Verizon Communications Incorporated

           53,562        3,229,789  
             13,873,913  
          

 

 

  
Entertainment: 1.29%           

Viacom Incorporated Class B

           120,956        3,732,702  
          

 

 

  
Interactive Media & Services: 1.82%           

Alphabet Incorporated Class A †

           1,863        2,067,278  

Cars.com Incorporated †

           123,704        3,200,222  
             5,267,500  
          

 

 

  

Consumer Discretionary: 5.54%

           
Hotels, Restaurants & Leisure: 3.12%           

Darden Restaurants Incorporated

           6,215        687,006  

Las Vegas Sands Corporation

           44,144        2,425,271  

Royal Caribbean Cruises Limited

           12,547        1,418,686  

Texas Roadhouse Incorporated

           1,788        118,062  

The Cheesecake Factory Incorporated

           1,322        62,385  

Yum China Holdings Incorporated

           120,472        4,316,512  
             9,027,922  
          

 

 

  
Leisure Products: 0.28%           

Callaway Golf Company

           47,118        807,131  
          

 

 

  
Multiline Retail: 0.90%           

Target Corporation

           36,614        2,598,129  
          

 

 

  
Textiles, Apparel & Luxury Goods: 1.24%           

Nike Incorporated Class B

           47,508        3,568,801  
          

 

 

  

Consumer Staples: 8.78%

           
Beverages: 1.82%           

Keurig Dr Pepper Incorporated

           72,088        1,946,376  

PepsiCo Incorporated

           27,123        3,307,379  
             5,253,755  
          

 

 

  
Food & Staples Retailing: 0.33%           

Wal-Mart Stores Incorporated

           9,675        944,764  
          

 

 

  
Food Products: 2.91%           

Archer Daniels Midland Company

           39,720        1,827,914  

Cal-Maine Foods Incorporated

           25,531        1,192,808  

Ingredion Incorporated

           35,575        3,716,165  

Tyson Foods Incorporated Class A

           28,530        1,681,844  
             8,418,731  
          

 

 

  

 

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

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4   Wells Fargo Large Company Value Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  
Household Products: 3.72%           

The Procter & Gamble Company

           113,980      $ 10,772,250  
          

 

 

  

Energy: 10.34%

           
Energy Equipment & Services: 0.81%           

Baker Hughes Incorporated

           24,367        556,055  

McDermott International Incorporated †

           206,133        1,795,418  
             2,351,473  
          

 

 

  
Oil, Gas & Consumable Fuels: 9.53%           

Chevron Corporation

           79,221        9,422,546  

ConocoPhillips

           95,679        6,332,036  

Exxon Mobil Corporation

           143,099        11,376,371  

PBF Energy Incorporated Class A

           10,325        399,371  
             27,530,324  
          

 

 

  

Financials: 19.57%

           
Banks: 11.59%           

Bank of America Corporation

           403,534        11,460,366  

FNB Corporation

           6,374        78,145  

Huntington Bancshares Incorporated

           282,027        4,114,774  

JPMorgan Chase & Company

           119,576        13,295,655  

PNC Financial Services Group Incorporated

           13,029        1,769,078  

US Bancorp

           51,389        2,798,645  
             33,516,663  
          

 

 

  
Capital Markets: 2.12%           

Affiliated Managers Group Incorporated

           2,242        249,131  

Ameriprise Financial Incorporated

           11,969        1,552,978  

State Street Corporation

           26,190        1,912,394  

T. Rowe Price Group Incorporated

           24,187        2,403,220  
             6,117,723  
          

 

 

  
Consumer Finance: 0.35%           

Discover Financial Services

           14,015        999,270  
          

 

 

  
Diversified Financial Services: 3.01%           

Berkshire Hathaway Incorporated Class B †

           39,809        8,687,916  
          

 

 

  
Insurance: 2.50%           

CNO Financial Group Incorporated

           30,136        551,489  

Kemper Corporation

           9,736        740,910  

Old Republic International Corporation

           41,761        941,711  

The Progressive Corporation

           75,388        4,997,471  
             7,231,581  
          

 

 

  

Health Care: 17.19%

           
Biotechnology: 1.62%           

AbbVie Incorporated

           20,192        1,903,500  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Large Company Value Portfolio     5  

      

 

 

Security name                 Shares      Value  
Biotechnology (continued)           

Alexion Pharmaceuticals Incorporated †

           11,336      $ 1,396,028  

Gilead Sciences Incorporated

           19,101        1,374,126  
             4,673,654  
          

 

 

  
Health Care Equipment & Supplies: 2.10%           

Baxter International Incorporated

           1,883        129,080  

Cantel Medical Corporation

           3,395        291,563  

CONMED Corporation

           5,403        367,188  

Medtronic plc

           13,547        1,321,239  

Varian Medical Systems Incorporated †

           14,302        1,764,724  

West Pharmaceutical Services Incorporated

           20,121        2,204,457  
             6,078,251  
          

 

 

  
Health Care Providers & Services: 2.13%           

Humana Incorporated

           16,244        5,351,911  

McKesson Corporation

           6,459        804,146  
             6,156,057  
          

 

 

  
Life Sciences Tools & Services: 2.52%           

Agilent Technologies Incorporated

           95,367        6,899,802  

Bruker Corporation

           11,802        391,118  
             7,290,920  
          

 

 

  
Pharmaceuticals: 8.82%           

Johnson & Johnson

           7,939        1,166,239  

Mallinckrodt plc †

           10,649        253,340  

Merck & Company Incorporated

           127,199        10,091,969  

Mylan NV †

           126,770        4,292,432  

Pfizer Incorporated

           209,747        9,696,604  
             25,500,584  
          

 

 

  

Industrials: 5.93%

           
Aerospace & Defense: 1.92%           

Raytheon Company

           31,734        5,564,240  
          

 

 

  
Airlines: 1.91%           

SkyWest Incorporated

           1,181        68,120  

Southwest Airlines Company

           99,721        5,445,764  
             5,513,884  
          

 

 

  
Commercial Services & Supplies: 0.05%           

Republic Services Incorporated

           1,907        147,487  
          

 

 

  
Machinery: 0.18%           

Paccar Incorporated

           8,391        522,088  
          

 

 

  
Professional Services: 0.09%           

Robert Half International Incorporated

           4,305        266,178  
          

 

 

  

 

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

Table of Contents

 

6   Wells Fargo Large Company Value Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  
Road & Rail: 1.78%           

Norfolk Southern Corporation

           30,093      $ 5,138,079  
          

 

 

  

Information Technology: 8.30%

           
Communications Equipment: 2.87%           

Cisco Systems Incorporated

           173,256        8,293,765  
          

 

 

  
Electronic Equipment, Instruments & Components: 0.12%           

SYNNEX Corporation

           4,435        358,082  
          

 

 

  
IT Services: 0.35%           

Akamai Technologies Incorporated †

           14,820        1,018,875  
          

 

 

  
Semiconductors & Semiconductor Equipment: 1.17%           

Intel Corporation

           68,291        3,367,429  
          

 

 

  
Software: 3.79%           

Intuit Incorporated

           20,712        4,443,345  

Microsoft Corporation

           58,597        6,497,821  
             10,941,166  
          

 

 

  

Materials: 2.03%

           
Chemicals: 0.33%           

LyondellBasell Industries NV Class A

           10,096        942,058  
          

 

 

  
Metals & Mining: 1.04%           

Freeport-McMoRan Incorporated

           12,997        155,184  

Newmont Mining Corporation

           42,558        1,376,326  

Nucor Corporation

           15,827        956,109  

Southern Copper Corporation

           15,628        523,225  
             3,010,844  
          

 

 

  
Paper & Forest Products: 0.66%           

Louisiana-Pacific Corporation

           83,865        1,917,154  
          

 

 

  

Real Estate: 6.66%

           
Equity REITs: 6.66%           

CoreCivic Incorporated

           100,098        2,197,151  

Outfront Media Incorporated

           22,805        473,888  

Park Hotels & Resorts Incorporated

           129,460        3,989,957  

Public Storage Incorporated

           4,284        913,606  

Senior Housing Properties Trust

           23,220        319,507  

The Geo Group Incorporated

           86,667        2,014,141  

VICI Properties Incorporated

           201,479        4,386,198  

Weyerhaeuser Company

           52,252        1,379,975  

Xenia Hotels & Resorts Incorporated

           176,266        3,581,725  
             19,256,148  
          

 

 

  

Utilities: 6.01%

           
Electric Utilities: 2.19%           

Avangrid Incorporated

           63,392        3,193,689  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Large Company Value Portfolio     7  

      

 

 

Security name                Shares      Value  
Electric Utilities (continued)          

Duke Energy Corporation

          35,550      $ 3,148,664  

Evergy Incorporated

          1        59  
            6,342,412  
         

 

 

  
Gas Utilities: 2.04%          

UGI Corporation

          102,549        5,891,440  
         

 

 

  
Multi-Utilities: 1.78%          

MDU Resources Group Incorporated

          194,427        5,146,483  
         

 

 

  

Total Common Stocks (Cost $277,637,755)

             284,037,826  
         

 

 

  
    Yield                                         
Short-Term Investments: 1.18%          
Investment Companies: 1.18%          

Wells Fargo Government Money Market Fund Select Class (l)(u)

     2.13 %         3,413,510        3,413,510  
         

 

 

  

Total Short-Term Investments (Cost $3,413,510)

             3,413,510        
         

 

 

  

 

Total investments in securities (Cost $281,051,265)     99.44 %         287,451,336  

Other assets and liabilities, net

     0.56          1,625,197  
 

 

 

       

 

 

  
Total net assets     100.00 %       $ 289,076,533  
 

 

 

       

 

 

  

 

 

†

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

      48        12-21-2018      $ 6,690,022      $ 6,619,920      $ 0      $ (70,102 ) 

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

     1,158,700       71,309,560       69,054,750       3,413,510     $ 0     $ 0     $ 46,696     $ 3,413,510       1.18 % 

 

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

Table of Contents

 

8   Wells Fargo Large Company Value Portfolio   Statement of assets and liabilities—November 30, 2018 (unaudited)
         

Assets

  

Investments in unaffiliated securities, at value (cost $277,637,755)

   $ 284,037,826  

Investments in affiliated securities, at value (cost $3,413,510)

     3,413,510  

Segregated cash for futures contracts

     1,150,000  

Receivable for dividends

     558,520  

Receivable for daily variation margin on open futures contracts

     33,840  
 

 

 

  

Total assets

     289,193,696  
 

 

 

  

Liabilities

  

Advisory fee payable

     88,502  

Professional fees payable

     24,106  

Accrued expenses and other liabilities

     4,555  
 

 

 

  

Total liabilities

     117,163  
 

 

 

  

Total net assets

   $ 289,076,533  
 

 

 

  

 

 

 

 

 

 

 

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

Table of Contents

 

Statement of operations—six months ended November 30, 2018 (unaudited)   Wells Fargo Large Company Value Portfolio     9  
         

Investment income

  

Dividends (net of foreign withholding taxes of $377)

   $ 3,138,092  

Income from affiliated securities

     46,696  
 

 

 

  

Total investment income

     3,184,788  
 

 

 

  

Expenses

  

Advisory fee

     452,155  

Custody and accounting fees

     5,141  

Professional fees

     24,770  

Shareholder report expenses

     320  

Trustees’ fees and expenses

     10,860  

Other fees and expenses

     6,808  
 

 

 

  

Total expenses

     500,054  

Less: Fee waivers and/or expense reimbursements

     (4,675 ) 
 

 

 

  

Net expenses

     495,379  
 

 

 

  

Net investment income

     2,689,409  
 

 

 

  

REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS

  

Net realized gains on:

  

Unaffiliated securities

     4,325,178  

Futures contracts

     298,653  
 

 

 

  

Net realized gains on investments

     4,623,831  
 

 

 

  

Net change in unrealized gains (losses) on:

  

Unaffiliated securities

     1,752,148  

Futures contracts

     (68,229 ) 
 

 

 

  

Net change in unrealized gains (losses) on investments

     1,683,919  
 

 

 

  

Net realized and unrealized gains (losses) on investments

     6,307,750  
 

 

 

  

Net increase in net assets resulting from operations

   $ 8,997,159  
 

 

 

  

 

 

 

 

 

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

Table of Contents

 

10   Wells Fargo Large Company Value Portfolio   Statement of changes in net assets
    

Six months ended
November 30, 2018

(unaudited)

        Year ended
May 31, 2018		  

Operations

       

Net investment income

   $ 2,689,409        $ 1,053,337  

Net realized gains on investments

     4,623,831          4,549,013  

Net change in unrealized gains (losses) on investments

     1,683,919          811,722  
 

 

 

  

Net increase in net assets resulting from operations

     8,997,159          6,414,072  
 

 

 

  

Capital transactions

       

Transactions in investors’ beneficial interests

       

Contributions

     251,851,752          965,354  

Withdrawals

     (33,608,516 )         (16,762,097 ) 
 

 

 

  

Net increase (decrease) in net assets resulting from capital transactions

     218,243,236          (15,796,743 ) 
 

 

 

  

Total increase (decrease) in net assets

     227,240,395          (9,382,671 ) 
 

 

 

  

Net assets

  

Beginning of period

     61,836,138          71,218,809  
 

 

 

  

End of period

   $ 289,076,533        $ 61,836,138  
 

 

 

  

 

 

 

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

Table of Contents

 

Financial highlights   Wells Fargo Large Company Value Portfolio     11  
   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
     2018     2017     2016     2015     2014  

Total return1

     2.09 %      9.80 %      13.22 %      (3.92 )%      7.90 %      20.26 % 

Ratios to average net assets (annualized)

            

Gross expenses

     0.39 %      0.49 %      0.68 %      0.76 %      0.74 %      0.73 % 

Net expenses

     0.38 %      0.42 %      0.66 %      0.74 %      0.74 %      0.73 % 

Net investment income

     2.08 %      1.56 %      1.45 %      1.54 %      1.09 %      0.99 % 

Supplemental data

            

Portfolio turnover rate

     128 %      244 %      203 %      50 %      72 %      62 % 

 

 

 

 

 

 

 

1 

Returns for periods of less than one year are not annualized.

 

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

Table of Contents

 

12   Wells Fargo Large Company Value Portfolio   Notes to financial statements (unaudited)

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 Wells Fargo Large Company Value Portfolio (the “Portfolio”) which is a diversified series of the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the 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 Portfolio may deviate from this calculation time under unusual or unexpected circumstances.

Equity securities and futures contracts that are listed on a foreign or domestic exchange or market are valued at the official closing price or, if none, the last sales price. If no sale occurs on the principal exchange or market that day, a fair value price will be determined in accordance with the Portfolio’s Valuation Procedures.

Investments in registered open-end investment companies are valued at net asset value.

Investments which are not valued using the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Portfolio. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC (“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

The Portfolio is subject to equity price risk in the normal course of pursuing its investment objectives. Futures contracts are agreements between the Portfolio and a counterparty to buy or sell a specific amount of a commodity, financial instrument or currency at specified price and on a specified date. The Portfolio may buy and sell futures contracts in order to gain exposure to, or protect against, changes in security values. 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 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 Statement 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 Statement of Operations.

Foreign currency translation

The accounting records of the Portfolio are maintained in U.S. dollars. The values of other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee. Purchases and sales of securities, and income and expenses are converted at the rate of exchange on the respective dates of such transactions. Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the

Table of Contents

 

Notes to financial statements (unaudited)   Wells Fargo Large Company Value Portfolio     13  

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.

Securities lending

The Portfolio may lend its securities from time to time in order to earn additional income in the form of fees or interest on securities received as collateral or the investment of any cash received as collateral. The Portfolio continues to receive interest or dividends on the securities loaned. The Portfolio receives collateral in the form of cash or securities with a value at least equal to the value of the securities on loan. The value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Portfolio on the next business day. In a securities lending transaction, the net asset value of the Portfolio will be affected by an increase or decrease in the value of the securities loaned and by an increase or decrease in the value of the instrument in which collateral is invested. The amount of securities lending activity undertaken by the Portfolio fluctuates from time to time. In the event of default or bankruptcy by the borrower, the Portfolio may be prevented from recovering the loaned securities or gaining access to the collateral or may experience delays or costs in doing so. In addition, the investment of any cash collateral received may lose all or part of its value. The Portfolio has the right under the lending agreement to recover the securities from the borrower on demand.

The Portfolio lends its securities through an unaffiliated securities lending agent. Cash collateral received in connection with its securities lending transactions is invested in Securities Lending Cash Investments, LLC (the “Securities Lending Fund”). The Securities Lending Fund is exempt from registration under Section 3(c)(7) of the 1940 Act and is managed by Funds Management and is subadvised by Wells Capital Management Incorporated (“WellsCap”), an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”). Funds Management receives an advisory fee starting at 0.05% and declining to 0.01% as the average daily net assets of the Securities Lending Fund increase. All of the fees received by Funds Management are paid to WellsCap for its services as subadviser. The Securities Lending Fund seeks to provide a positive return compared to the daily Fed Funds Open Rate by investing in high-quality, U.S. dollar-denominated short-term money market instruments. Securities Lending Fund investments are valued at the evaluated bid price provided by an independent pricing service. Income earned from investment in the Securities Lending Fund, if any, is included in income from affiliated securities on the Statement 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.

Dividend income is recognized on the ex-dividend date. Dividend income is recorded net of foreign taxes withheld where recovery of such taxes is not assured.

Federal and other taxes

The Portfolio is treated as a separate entity for federal income tax purposes. The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains 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.

The Portfolio’s income tax returns and all financial records supporting those returns for the prior three fiscal years are subject to examination by the federal revenue authority. Management has analyzed the 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 November 30, 2018, the aggregate cost of all investments for federal income tax purposes was $281,481,575 and the unrealized gains (losses) consisted of:

 

Gross unrealized gains

    $ 14,480,745  

Gross unrealized losses

      (8,581,086 ) 

Net unrealized gains

    $ 5,899,659  

Table of Contents

 

14   Wells Fargo Large Company Value Portfolio   Notes to financial statements (unaudited)

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 the Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

 

∎  

Level 1 – quoted prices in active markets for identical securities

 

∎  

Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

 

∎  

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of November 30, 2018:

 

     Quoted prices
(Level 1)		      Other significant
observable inputs
(Level 2)		     

Significant
unobservable inputs

(Level 3)

      Total  

Assets

            

Investments in:

            

Common stocks

            

Communication services

    $ 22,874,115      $ 0      $ 0      $ 22,874,115  

Consumer discretionary

      16,001,983        0        0        16,001,983  

Consumer staples

      25,389,500        0        0        25,389,500  

Energy

      29,881,797        0        0        29,881,797  

Financials

      56,553,153        0        0        56,553,153  

Health care

      49,699,466        0        0        49,699,466  

Industrials

      17,151,956        0        0        17,151,956  

Information technology

      23,979,317        0        0        23,979,317  

Materials

      5,870,056        0        0        5,870,056  

Real estate

      19,256,148        0        0        19,256,148  

Utilities

      17,380,335        0        0        17,380,335  

Short-term investments

            

Investment companies

      3,413,510        0        0        3,413,510  

Total assets

    $ 287,451,336      $ 0      $ 0      $ 287,451,336  

Liabilities

            

Futures contracts

    $ 70,102      $ 0      $ 0      $ 70,102  

Total liabilities

    $ 70,102      $ 0      $ 0      $ 70,102  

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

Futures contracts are reported at their cumulative unrealized gains (losses) at measurement date as reported in the table following the Portfolio of Investments. For futures contracts, the current day’s variation margin is reported on the Statement of Assets and Liabilities. All other assets and liabilities are reported at their market value at measurement date.

At November 30, 2018, the Portfolio did not have any transfers into/out of Level 3.

4. TRANSACTIONS WITH AFFILIATES

Advisory fee

The Trust has entered into an advisory contract with Funds Management, an indirect wholly owned subsidiary of Wells Fargo. The adviser is responsible for implementing investment policies and guidelines and for supervising the subadviser, who is responsible for day-to-day portfolio management of the Portfolio. Pursuant to the contract, Funds Management is entitled to

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Notes to financial statements (unaudited)   Wells Fargo Large Company Value Portfolio     15  

receive an annual advisory fee starting at 0.35% and declining to 0.30% as the average daily net assets of the Portfolio increase. For the six months end November 30, 2018, the advisory fee was equivalent to an annual rate of 0.35% of the Portfolio’s average daily net assets.

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Portfolio. The fee for subadvisory services is borne by Funds Management. WellsCap is the subadviser to the Portfolio and is entitled to receive a fee from Funds Management at an annual rate starting at 0.25% and declining to 0.15% as the average daily net assets of the Portfolio increase. Prior to November 1, 2018, Analytic Investors, LLC, an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo, was the subadviser for the Portfolio. On November 1, 2018, Analytic Investors, LLC was consolidated into WellsCap and WellsCap became the subadviser to the Portfolio. The consolidation did not result in any changes to the services provided to the Portfolio or to its strategy or fees and expenses.

Funds Management has voluntarily waived and/or reimbursed advisory fees to the extent necessary to maintain the net operating expense ratio of the Portfolio.

Interfund transactions

The Portfolio 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.

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments, excluding U.S. government obligations (if any) and short-term securities, for the six months ended November 30, 2018 were $ 539,970,759 and $ 322,473,140, respectively.

6. DERIVATIVE TRANSACTIONS

During the six months ended November 30, 2018, the Portfolio entered into futures contracts for to gain market exposure. The Portfolio had an average notional amount of $5,444,024 in long futures contracts during the six months ended November 30, 2018.

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.

7. BANK BORROWINGS

Effective August 28, 2018, 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 the 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 the 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.

For the six months ended November 30, 2018, there were no borrowings by the Portfolio under the agreement.

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 Portfolio 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.

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16   Wells Fargo Large Company Value Portfolio   Other information (unaudited)

PROXY VOTING INFORMATION

A description of the policies and procedures used to determine how to vote proxies relating to portfolio securities is available, upon request, by calling 1-800-222-8222, visiting our website at wellsfargofunds.com, or visiting the SEC website at sec.gov. Information regarding how the Portfolio voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Portfolio’s website at wellsfargofunds.com or by visiting the SEC website at sec.gov.

PORTFOLIO HOLDINGS INFORMATION

The Portfolio files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. In addition, the Portfolio’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and at regional offices in New York City, at 233 Broadway, and in Chicago, at 175 West Jackson Boulevard, Suite 900. Information about the Public Reference Room may be obtained by calling 1-800-SEC-0330.

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Other information (unaudited)   Wells Fargo Large Company Value Portfolio     17  

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 152 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. Board member of the Vincent Memorial Hospital Endowment (non-profit organization), where he serves on the Investment Committee and as a Chair of the Audit Committee. 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.3
(Born 1952)		   Trustee, since 2009   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. Johnson3
(Born 1949)		   Trustee, since 2008; Audit Committee Chairman, since 2009   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
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

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18   Wells Fargo Large Company Value Portfolio   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
Olivia S. Mitchell
(Born 1953)		   Trustee, since 2006; Nominating and Governance Committee Chairman, 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; Vice Chairman, from 2017 to 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; Advisory Board Member, from 2017 to 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
Michael S. Scofield4
(Born 1943)		   Trustee, since 2010   Served on the Investment Company Institute’s Board of Governors and Executive Committee from 2008-2011 as well the Governing Council of the Independent Directors Council from 2006-2011 and the Independent Directors Council Executive Committee from 2008-2011. Trustee of the Evergreen Fund complex (and its predecessors) from 1984 to 2010. Chairman of the Evergreen Funds from 2000-2010. Former Trustee of the Mentor Funds. Retired Attorney, Law Offices of Michael S. Scofield.   N/A
Pamela Wheelock
(Born 1959)		   Trustee, since 2018; Advisory Board Member, from 2017 to 2018   Chief Operating Officer, Twin Cities Habitat for Humanity, since January, 2017. Vice President of University Services, University of Minnesota from 2012 to 2017. 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 President and Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2010 to 2011, Chairman of the Board from 2009 to 2011 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. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently the 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)   Wells Fargo Large Company Value Portfolio     19  

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.    
Nancy Wiser1
(Born 1967)		   Treasurer, since 2012   Executive Vice President of Wells Fargo Funds Management, LLC since 2011. Chief Operating Officer and Chief Compliance Officer at LightBox Capital Management LLC, from 2008 to 2011.    
Alexander Kymn
(Born 1973)		   Secretary, since 2018; Chief Legal Officer, since 2018   Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.    
Michael H. Whitaker
(Born 1967)		   Chief Compliance Officer, since 2016   Senior Vice President and Chief Compliance Officer 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.    
Jeremy DePalma1
(Born 1974)		   Assistant Treasurer, since 2009   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.    

 

 

 

1

Nancy Wiser acts as Treasurer of 76 funds in the Fund Complex. Jeremy DePalma acts as Treasurer of 76 funds and Assistant Treasurer of 76 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 wellsfargofunds.com.

 

3 

Mr. Harris will replace Ms. Johnson as the Chairman of the Audit Committee effective January 1, 2019.

 

4 

Mr. Scofield is expected to retire on December 31, 2018.

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LOGO

 

 

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

© 2019 Wells Fargo Funds Management, LLC. All rights reserved.

 

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Table of Contents

Semi-Annual Report

November 30, 2018

 

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Wells Fargo
Managed Fixed Income Portfolio

 

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Table of Contents

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Contents

 

 

 

Fund information

     2  

Portfolio of investments

     3  
Financial statements  

Statement of assets and liabilities

     22  

Statement of operations

     23  

Statement of changes in net assets

     24  

Financial highlights

     25  

Notes to financial statements

     26  

Other information

     30  

 

The views expressed and any forward-looking statements are as of November 30, 2018, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Funds Management, LLC. 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 Funds Management, LLC 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


Table of Contents

 

2   Wells Fargo Managed Fixed Income Portfolio   Fund information (unaudited)

Investment objective

The Portfolio seeks long-term capital appreciation.

Manager

Wells Fargo Funds Management, LLC

Subadviser

Galliard Capital Management, Inc.

Portfolio managers

Andrea Johnson, CFA®‡

Brandon Kanz, CFA®‡*

 

 

Ten largest holdings (%) as of November 30, 20181  

FNMA, 4.50%, 1-1-2051

      3.08  

U.S. Treasury Bond, 4.50%, 5-15-2038

      2.92  

FNMA, 4.00%, 8-1-2051

      2.57  

SBA Series 2018-20G Class 1, 3.54%, 7-1-2038

      1.70  

SBA Series 2018-20E Class 1, 3.50%, 5-1-2038

      1.58  

U.S. Treasury Note, 1.00%, 6-30-2019

      1.36  

U.S. Treasury Bond, 3.13%, 5-1-2048

      1.32  

Commercial Mortgage Pass-Through Certificate Series 2014-CR17 Class A5, 3.98%, 5-10-2047

      1.20  

FNMA, 4.50%, 11-1-2048

      1.18  

FNMA, 3.97%, 6-1-2025

      1.10  
Portfolio allocation as of November 30, 20182

 

LOGO

 

 

 

 

 

 

‡ 

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

 

*

Mr. Kanz became a portfolio manager of the Fund on September 28, 2018.

 

1 

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

 

2 

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

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Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Managed Fixed Income Portfolio     3  

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  

Agency Securities: 21.74%

 

FHLMC

     3.00 %      7-1-2046      $ 629,713      $ 602,045  

FHLMC

     3.00       7-1-2046        860,516        821,906  

FHLMC

     3.50       4-1-2043        1,116,765        1,104,060  

FHLMC

     3.50       5-1-2044        518,016        512,591  

FHLMC

     3.50       6-1-2046        447,381        440,430  

FHLMC

     3.50       4-1-2047        455,887        448,517  

FHLMC

     4.00       4-1-2044        669,585        679,356  

FHLMC

     4.00       8-1-2044        444,039        449,607  

FHLMC

     4.50       8-1-2048        3,805,177        3,915,968  

FHLMC

     4.50       11-1-2048        4,066,461        4,205,585  

FHLMC

     4.50       11-1-2048        6,880,000        7,136,622  

FHLMC Series 2018-3 Class MA

     3.50       8-25-2057        3,337,265        3,300,609  

FHLMC Structured Pass-Through Securities Series T-20 Class A6

     6.92       9-25-2029        25,859        26,286  

FHLMC Structured Pass-Through Securities Series T-58 Class 4A

     7.50       9-25-2043        797,472        905,466  

FNMA

     2.50       8-1-2031        404,327        390,213  

FNMA

     2.51       9-1-2024        937,127        896,544  

FNMA

     2.69       5-1-2023        348,743        339,912  

FNMA

     2.73       1-1-2023        549,857        539,003  

FNMA

     2.73       9-1-2023        567,302        554,672  

FNMA

     2.85       12-1-2023        590,000        576,767  

FNMA

     3.00       12-1-2032        47,410        46,428  

FNMA

     3.00       7-1-2046        501,026        479,127  

FNMA

     3.05       11-1-2022        294,282        292,524  

FNMA

     3.07       2-1-2026        360,000        351,996  

FNMA

     3.08       1-1-2026        480,000        470,293  

FNMA

     3.35       1-1-2028        280,000        276,353  

FNMA

     3.47       12-1-2024        2,625,000        2,618,337  

FNMA

     3.50       10-1-2032        669,102        666,969  

FNMA

     3.50       11-1-2042        266,599        263,846  

FNMA

     3.50       11-1-2042        346,641        343,061  

FNMA

     3.50       2-1-2043        175,217        173,408  

FNMA

     3.50       4-1-2046        228,041        224,554  

FNMA

     3.51       1-1-2025        2,770,000        2,769,157  

FNMA (a)

     3.62       12-31-2049        3,720,000        3,721,162  

FNMA

     3.86       10-1-2025        1,954,337        1,987,597  

FNMA

     3.97       6-1-2025        6,994,978        7,153,482  

FNMA

     4.00       11-1-2040        339,479        344,230  

FNMA

     4.00       4-1-2041        445,771        452,017  

FNMA

     4.00       8-1-2046        482,496        490,316  

FNMA

     4.00       8-1-2051        16,533,472        16,683,767  

FNMA

     4.00       7-1-2056        578,795        584,603  

FNMA

     4.50       8-1-2048        2,736,295        2,816,228  

FNMA

     4.50       11-1-2048        7,400,000        7,651,593  

FNMA

     4.50       1-1-2051            19,357,495        19,975,391  

FNMA

     4.50       6-1-2056        490,669        506,964  

FNMA

     4.50       6-1-2056        740,986        764,460  

FNMA

     4.50       6-1-2056        518,546        534,976  

FNMA

     5.00       9-1-2033        142,349        150,979  

FNMA

     5.50       2-1-2036        107,573        111,241  

 

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

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4   Wells Fargo Managed Fixed Income Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  

Agency Securities (continued)

          

FNMA Series 2002-90 Class A2

     6.50 %      11-25-2042      $ 324,488      $ 357,566  

FNMA Series 2002-T4 Class A2

     7.00       12-25-2041        144,599        160,150  

FNMA Series 2002-W4 Class A4

     6.25       5-25-2042        1,371,565        1,494,542  

FNMA Series 2003-W4 Class 3A ±±

     7.00       10-25-2042        220,099        236,445  

FNMA Series 2004-T2 Class 1A1

     6.00       11-25-2043        518,476        561,561  

FNMA Series 2004-T3 Class A1

     6.00       2-25-2044        777,321        848,383  

FNMA Series 2004-W01 Class 2A2

     7.00       12-25-2033        130,918        148,005  

FNMA Series 2004-W11 Class 1A3

     7.00       5-25-2044        809,337        930,588  

FNMA Series 2004-W8 Class 3A

     7.50       6-25-2044        232,261        261,414  

GNMA

     6.50       10-15-2023        10,618        11,527  

GNMA

     6.50       11-15-2023        6,576        7,139  

GNMA

     6.50       11-15-2023        2,501        2,715  

GNMA

     6.50       12-15-2023        9,861        10,705  

GNMA

     6.50       1-15-2024        22,033        23,919  

GNMA

     7.00       8-15-2027        56,615        62,018  

SBA Series 2006-20B Class 1

     5.35       2-1-2026        246,522        253,660  

SBA Series 2006-20H Class 1

     5.70       8-1-2026        113,843        117,852  

SBA Series 2007-20J Class 1

     5.57       10-1-2027        303,084        314,199  

SBA Series 2013-20A Class 1

     2.13       1-1-2033        322,083        306,048  

SBA Series 2013-20J Class 1

     3.37       10-1-2033        360,544        361,747  

SBA Series 2014-10A Class 1

     3.19       3-10-2024        337,236        336,753  

SBA Series 2014-10B Class 1

     3.02       9-10-2024        721,270        714,376  

SBA Series 2014-20A Class 1

     3.46       1-1-2034        311,986        314,029  

SBA Series 2015-10B Class 1

     2.83       9-10-2025        470,187        461,328  

SBA Series 2015-20C Class 1

     2.72       3-1-2035        441,535        431,842  

SBA Series 2015-20E Class 1

     2.77       5-1-2035        638,702        624,159  

SBA Series 2015-20F Class 1

     2.98       6-1-2035        446,459        437,222  

SBA Series 2017-10A Class 1

     2.85       3-10-2027        547,849        535,802  

SBA Series 2017-20F Class1

     2.81       6-1-2037        279,362        269,613  

SBA Series 2018-20E Class 1

     3.50       5-1-2038            10,246,672        10,244,692  

SBA Series 2018-20F Class 1

     3.60       6-1-2038        1,770,000        1,780,492  

SBA Series 2018-20G Class 1

     3.54       7-1-2038        11,000,000        11,026,367  

SBA Series 2018-20H Class 1

     3.58       8-1-2038        4,000,000        4,004,055  

SBA Series 2018-20K Class 1

     3.87       11-1-2038        2,725,000        2,782,913  

Total Agency Securities (Cost $141,671,035)

             141,185,044  
         

 

 

  

Asset-Backed Securities: 3.31%

          

Ally Auto Receivables Trust Series 2018-3 Class A3

     3.00       1-17-2023        3,715,000        3,708,023  

American Express Credit Account Master Trust Series 2018-6 Class A

     3.06       2-15-2024        2,650,000        2,648,735  

Barclays Dryrock Issuance Trust Series 2014-3 Class A

     2.41       7-15-2022        570,000        566,848  

Discover Card Execution Note Trust Series 2018-A4 Class A4

     3.11       1-16-2024        2,500,000        2,497,607  

ECMC Group Student Loan Trust Series 2018-2A Class A (1 Month LIBOR +0.80%) 144A±

     3.12       9-25-2068        3,047,012        3,044,386  

Ford Credit Auto Owner Trust Series 2015-2 Class A 144A

     2.44       1-15-2027        600,000        592,516  

Ford Credit Auto Owner Trust Series 2018-2 Class A 144A

     3.47       1-15-2030        3,200,000        3,186,728  

GM Financial Automobile Leasing Trust Series 2018-2 Class A3

     3.06       6-21-2021        1,825,000        1,822,934  

MMAF Equipment Finance LLC Series 2015-AA Class A4 144A

     1.93       7-16-2021        135,552        134,946  

MMAF Equipment Finance LLC Series 2017-AA Class A5 144A

     2.68       7-16-2027        695,000        672,063  

South Carolina Student Loan Corporation Series 2014-1 Class B (1 Month LIBOR +1.50%) ±

     3.80       8-1-2035        500,000        508,311  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Managed Fixed Income Portfolio     5  

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  

Asset-Backed Securities (continued)

          

Verizon Owner Trust Series 2018-A Class A1A

     3.23 %      4-20-2023      $ 2,140,000      $ 2,140,656  

Total Asset-Backed Securities (Cost $21,548,477)

 

      21,523,753  
         

 

 

  

Corporate Bonds and Notes: 44.29%

 

Communication Services: 1.55%

 

Diversified Telecommunication Services: 0.29%

 

AT&T Incorporated

     4.75       5-15-2046        280,000        241,582  

AT&T Incorporated

     5.25       3-1-2037        60,000        57,119  

Verizon Communications Incorporated

     4.50       8-10-2033        40,000        39,002  

Verizon Communications Incorporated

     4.81       3-15-2039        1,500,000        1,450,091  

Verizon Communications Incorporated

     5.25       3-16-2037        110,000        113,069  
            1,900,863  
         

 

 

  
Entertainment: 0.25%

 

Activision Blizzard Incorporated

     2.60       6-15-2022        1,655,000        1,586,228  
         

 

 

  
Media: 1.01%

 

Charter Communications Operating LLC

     4.91       7-23-2025        1,500,000        1,493,319  

Comcast Corporation

     3.00       2-1-2024        170,000        163,754  

Comcast Corporation

     3.55       5-1-2028        1,500,000        1,418,504  

Comcast Corporation

     4.15       10-15-2028        1,190,000        1,180,012  

Lamar Media Corporation

     5.75       2-1-2026        1,895,000        1,928,163  

Time Warner Entertainment Company LP

     3.40       6-15-2022        140,000        137,826  

Time Warner Incorporated

     3.60       7-15-2025        260,000        243,831  
            6,565,409  
         

 

 

  

Consumer Discretionary: 3.14%

 

Auto Components: 0.25%

 

Allison Transmission Incorporated 144A

     5.00       10-1-2024        1,655,000        1,590,869  
         

 

 

  
Automobiles: 0.06%

 

General Motors Company

     4.88       10-2-2023        400,000        400,370  
         

 

 

  
Diversified Consumer Services: 1.86%

 

Duke University

     3.20       10-1-2038        1,175,000        1,034,292  

Massachusetts Institute of Technology

     3.96       7-1-2038        2,200,000        2,176,366  

Massachusetts Institute of Technology

     4.68       7-1-2114        120,000        125,357  

Massachusetts Institute of Technology

     7.25       11-2-2096        500,000        753,373  

Northwestern University

     3.66       12-1-2057        105,000        93,517  

Northwestern University

     3.69       12-1-2038        1,915,000        1,803,966  

President and Fellows of Harvard College

     3.15       7-15-2046            1,000,000        868,495  

President and Fellows of Harvard College

     3.62       10-1-2037        275,000        262,359  

President and Fellows of Harvard College

     4.88       10-15-2040        33,000        37,243  

President and Fellows of Harvard College

     5.63       10-1-2038        400,000        482,410  

Princeton University

     5.70       3-1-2039        1,740,000        2,128,309  

Service Corporation International

     5.38       1-15-2022        750,000        753,750  

Service Corporation International

     5.38       5-15-2024        750,000        753,750  

Service Corporation International

     7.50       4-1-2027        535,000        581,813  

 

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

Table of Contents

 

6   Wells Fargo Managed Fixed Income Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  
Diversified Consumer Services (continued)          

University of Southern California

     3.03 %      10-1-2039      $ 275,000      $ 241,973  
            12,096,973  
         

 

 

  
Hotels, Restaurants & Leisure: 0.40%

 

Cedar Fair Entertainment Company

     5.38       4-15-2027        300,000        291,000  

Cedar Fair LP

     5.38       6-1-2024            1,480,000        1,472,600  

McDonalds Corporation

     3.35       4-1-2023        860,000        846,548  
            2,610,148  
         

 

 

  
Textiles, Apparel & Luxury Goods: 0.57%

 

HanesBrands Incorporated 144A

     4.63       5-15-2024        200,000        192,500  

HanesBrands Incorporated 144A

     4.88       5-15-2026        1,750,000        1,645,000  

The William Carter Company

     5.25       8-15-2021        250,000        250,313  

Wolverine World Wide Incorporated 144A

     5.00       9-1-2026        1,700,000        1,589,500  
            3,677,313  
         

 

 

  

Consumer Staples: 1.85%

 

Beverages: 0.25%

 

Anheuser-Busch InBev SA/NV 144A

     3.65       2-1-2026        1,640,000        1,550,488  

Brown Forman Corporation

     3.50       4-15-2025        50,000        49,283  
            1,599,771  
         

 

 

  
Food Products: 1.36%

 

Cargill Incorporated 144A

     3.25       3-1-2023        1,130,000        1,111,270  

General Mills Incorporated

     2.60       10-12-2022        120,000        114,679  

General Mills Incorporated

     4.20       4-17-2028        1,600,000        1,542,740  

Ingredion Incorporated

     3.20       10-1-2026        150,000        138,054  

Kellogg Company

     4.30       5-15-2028        1,005,000        982,635  

Kraft Heinz Foods Company

     3.00       6-1-2026        1,500,000        1,327,007  

Kraft Heinz Foods Company

     3.50       6-6-2022        300,000        295,017  

Kraft Heinz Foods Company

     4.63       1-30-2029        120,000        116,836  

McCormick & Company Incorporated

     3.40       8-15-2027        1,500,000        1,415,724  

Mondelez International Incorporated

     3.63       5-7-2023        1,500,000        1,482,205  

Unilever Capital Corporation

     2.60       5-5-2024        310,000        294,890  
            8,821,057  
         

 

 

  
Household Products: 0.24%

 

Unilever Capital Corporation

     3.25       3-7-2024        1,590,000        1,562,403  
         

 

 

  

Energy: 6.76%

 

Energy Equipment & Services: 0.43%

 

Baker Hughes LLC

     3.34       12-15-2027        1,500,000        1,354,122  

Halliburton Company

     3.80       11-15-2025        1,500,000        1,444,628  
            2,798,750  
         

 

 

  
Oil, Gas & Consumable Fuels: 6.33%

 

Anadarko Petroleum Corporation

     5.55       3-15-2026        150,000        155,624  

Antero Resources Corporation

     5.00       3-1-2025        2,000,000        1,900,000  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Managed Fixed Income Portfolio     7  

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  
Oil, Gas & Consumable Fuels (continued)          

Apache Corporation «

     4.38 %      10-15-2028      $ 1,740,000      $ 1,636,283  

BP Capital Markets America Incorporated

     3.80       9-21-2025        610,000        603,779  

Chevron Corporation

     2.90       3-3-2024        1,820,000        1,753,258  

Cimarex Energy Company

     3.90       5-15-2027        1,500,000        1,378,984  

Concho Resources Incorporated

     3.75       10-1-2027        1,500,000        1,393,595  

Continental Resources Incorporated

     3.80       6-1-2024        1,000,000        944,280  

Continental Resources Incorporated

     5.00       9-15-2022        192,000        192,022  

Enable Midstream Partners

     4.95       5-15-2028        1,500,000        1,412,738  

Energen Corporation

     4.63       9-1-2021        550,000        550,000  

EnLink Midstream Partners LP

     4.85       7-15-2026        1,325,000        1,210,958  

Enterprise Products Operating LLC

     3.75       2-15-2025        1,500,000        1,463,163  

Enterprise Products Operating LLC

     4.15       10-16-2028        260,000        253,759  

EQT Corporation

     3.90       10-1-2027        1,350,000        1,183,714  

EQT Corporation

     8.13       6-1-2019        400,000        409,374  

Florida Gas Transmission Company 144A

     4.35       7-15-2025        1,521,000        1,531,393  

Gulfstream Natural Gas System LLC 144A

     6.19       11-1-2025        210,000        230,911  

Hess Corporpation

     4.30       4-1-2027        1,500,000        1,371,739  

Kerr-McGee Corporation

     6.95       7-1-2024        1,485,000        1,647,544  

Magellan Midstream Partners LP

     5.00       3-1-2026        170,000        176,094  

Marathon Oil Corporation

     3.85       6-1-2025        1,030,000        964,554  

Marathon Oil Corporation 144A

     5.13       12-15-2026        1,500,000        1,510,665  

MPLX LP

     4.13       3-1-2027        1,500,000        1,406,358  

Newfield Exploration Company

     5.38       1-1-2026        1,650,000        1,643,813  

Newfield Exploration Company

     5.63       7-1-2024        249,000        254,603  

NuStar Logistics LP

     4.75       2-1-2022        1,500,000        1,432,500  

Phillips 66

     4.30       4-1-2022        1,570,000        1,594,896  

Pioneer Natural Resource Company

     4.45       1-15-2026        190,000        189,767  

Plains All American Pipeline LP

     4.65       10-15-2025        1,500,000        1,452,405  

PSEG

     3.65       9-1-2028        960,000        951,241  

Range Resources Corporation

     5.00       3-15-2023        2,300,000        2,169,188  

Southwestern Energy Company

     6.20       1-23-2025        1,600,000        1,534,000  

Transcontinental Gas Pipe Line Company LLC

     7.85       2-1-2026        1,200,000        1,439,615  

Western Gas Partners LP

     4.65       7-1-2026            1,625,000        1,549,590  

Whiting Petroleum Corporation

     6.25       4-1-2023        713,000        700,594  

Whiting Petroleum Corporation

     6.63       1-15-2026        950,000        914,375  
            41,107,376  
         

 

 

  

Financials: 9.92%

 

Banks: 4.46%

 

Bank of America Corporation

     3.50       4-19-2026        1,500,000        1,422,727  

Bank of America Corporation (3 Month LIBOR +1.51%) ±

     3.71       4-24-2028        1,500,000        1,416,268  

Bank of America Corporation

     3.88       8-1-2025        1,470,000        1,451,259  

Bank of America Corporation

     3.95       4-21-2025        120,000        115,975  

Bank of America Corporation

     4.00       4-1-2024        1,500,000        1,495,038  

BB&T Corporation

     3.70       6-5-2025        1,160,000        1,147,392  

Citigroup Incorporated

     2.75       4-25-2022        210,000        201,976  

Citigroup Incorporated

     3.30       4-27-2025        1,630,000        1,536,319  

Citigroup Incorporated

     3.40       5-1-2026        1,750,000        1,629,869  

Citigroup Incorporated (3 Month LIBOR +1.02%) ±

     4.04       6-1-2024        1,500,000        1,490,232  

Citigroup Incorporated

     4.40       6-10-2025        65,000        63,883  

 

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

Table of Contents

 

8   Wells Fargo Managed Fixed Income Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  
Banks (continued)          

Citigroup Incorporated

     4.65 %      7-23-2048      $ 360,000      $ 344,509  

Citizens Bank NA

     3.70       3-29-2023        1,500,000        1,489,181  

Fifth Third Bank

     3.95       7-28-2025        710,000        709,637  

Huntington National Bank

     3.55       10-6-2023        900,000        888,331  

JPMorgan Chase & Company (3 Month LIBOR +1.33%) ±%%

     1.00       12-5-2029        470,000        470,277  

JPMorgan Chase & Company (3 Month LIBOR +0.94%) ±

     2.78       4-25-2023        1,740,000        1,677,598  

JPMorgan Chase & Company

     2.97       1-15-2023        150,000        145,185  

JPMorgan Chase & Company

     3.20       6-15-2026        1,500,000        1,396,202  

JPMorgan Chase & Company (3 Month LIBOR +1.34%) ±

     3.78       2-1-2028        1,675,000        1,608,017  

JPMorgan Chase & Company (3 Month LIBOR +1.26%) ±

     4.20       7-23-2029        600,000        588,511  

M&T Bank Corporation

     3.55       7-26-2023        950,000        947,039  

National Capital Commerce Incorporated (3 Month LIBOR +0.98%) ±

     3.38       4-1-2027        400,000        368,000  

NTC Capital Trust Series A (3 Month LIBOR +0.52%) ±

     2.96       1-15-2027        450,000        409,500  

PNC Bank

     4.05       7-26-2028        1,000,000        985,281  

PNC Bank

     3.25       6-1-2025        1,500,000        1,440,156  

Regions Financial Corporation

     3.80       8-14-2023        1,020,000        1,010,786  

SunTrust Banks Incorporated

     4.00       5-1-2025        80,000        79,178  

SunTrust Banks Incorporated

     4.05       11-3-2025        270,000        271,811  

US Bank NA

     3.40       7-24-2023        2,200,000        2,171,791  
            28,971,928  
         

 

 

  
Capital Markets: 2.47%

 

Bank of New York Mellon Corporation

     3.25       9-11-2024        1,500,000        1,454,755  

Bank of New York Mellon Corporation

     3.45       8-11-2023        1,370,000        1,358,661  

Charles Schwab Corporation

     3.85       5-21-2025        230,000        230,692  

Goldman Sachs Capital II (3 Month LIBOR +0.77%) ±

     4.00       12-29-2049        6,000        4,496  

Goldman Sachs Group Incorporated

     3.50       1-23-2025        1,765,000        1,670,503  

Goldman Sachs Group Incorporated

     3.75       2-25-2026        1,500,000        1,419,953  

Goldman Sachs Group Incorporated

     3.85       1-26-2027        1,690,000        1,590,393  

Goldman Sachs Group Incorporated

     4.25       10-21-2025        120,000        115,781  

Goldman Sachs Group Incorporated

     5.75       1-24-2022        200,000        209,806  

Morgan Stanley

     3.70       10-23-2024        1,600,000        1,556,346  

Morgan Stanley

     3.88       1-27-2026        1,500,000        1,446,136  

Morgan Stanley

     3.95       4-23-2027        1,680,000        1,577,005  

MSCI Incorporated 144A

     5.75       8-15-2025        1,600,000        1,620,000  

Nuveen LLC 144A

     4.00       11-1-2028        940,000        944,238  

State Street Corporation (3 Month LIBOR +1.03%) ±%%

     4.14       12-3-2029        820,000        824,403  
            16,023,168  
         

 

 

  
Consumer Finance: 1.86%

 

American Express Company

     3.40       2-27-2023        1,500,000        1,466,547  

American Express Company

     3.70       8-3-2023        540,000        533,967  

American Express Company

     4.20       11-6-2025        320,000        321,044  

American Honda Finance Corporation

     3.45       7-14-2023        820,000        815,847  

American Honda Finance Corporation

     3.63       10-10-2023            2,260,000        2,256,710  

BMW US Capital LLC 144A«

     3.95       8-14-2028        1,180,000        1,139,599  

Capital One Financial Corporation

     3.20       1-30-2023        160,000        154,605  

Capital One Financial Corporation

     3.30       10-30-2024        1,500,000        1,400,511  

Daimler Finance North America LLC 144A

     3.35       2-22-2023        1,490,000        1,457,871  

Ford Motor Credit Company LLC

     3.20       1-15-2021        1,500,000        1,452,381  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Managed Fixed Income Portfolio     9  

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  
Consumer Finance (continued)          

John Deere Capital Corporation

     3.65 %      10-12-2023      $ 1,060,000      $ 1,061,608  
            12,060,690  
         

 

 

  
Diversified Financial Services: 0.23%

 

CNH Industrial Capital LLC

     4.20       1-15-2024        1,480,000        1,464,231  
         

 

 

  
Insurance: 0.90%

 

Marsh & McLennan Companies Incorporated

     3.30       3-14-2023            1,500,000        1,476,630  

MassMutual Global Funding 144A

     2.75       6-22-2024        1,600,000        1,519,352  

Minnesota Life Insurance Company 144A

     8.25       9-15-2025        650,000        748,538  

New York Life Global Funding 144A

     2.90       1-17-2024        1,500,000        1,446,867  

NLV Financial Corporation 144A

     7.50       8-15-2033        565,000        686,485  
            5,877,872  
         

 

 

  

Health Care: 3.81%

 

Health Care Equipment & Supplies: 0.64%

 

Becton Dickinson & Company

     3.73       12-15-2024        134,000        129,378  

Hill-Rom Holdings Incorporated 144A

     5.00       2-15-2025        1,910,000        1,862,250  

Hologic Incorporated 144A

     4.38       10-15-2025        1,000,000        950,000  

Hologic Incorporated 144A

     4.63       2-1-2028        170,000        159,055  

Teleflex Incorporated

     4.88       6-1-2026        1,100,000        1,065,306  
            4,165,989  
         

 

 

  
Health Care Providers & Services: 2.22%

 

Advocate Health Corporation

     4.27       8-15-2048        920,000        898,134  

Ascension Health

     3.95       11-15-2046        1,875,000        1,739,619  

Cleveland Clinic Foundation

     4.86       1-1-2114        894,000        875,993  

CVS Health Corporation

     3.50       7-20-2022        120,000        118,380  

CVS Health Corporation

     4.30       3-25-2028        1,300,000        1,266,299  

CVS Health Corporation

     5.05       3-25-2048        130,000        125,928  

Duke University Health System Incorporated

     3.92       6-1-2047        165,000        155,754  

Halfmoon Parent Incorporated 144A

     3.75       7-15-2023        610,000        601,806  

Mayo Clinic

     4.13       11-15-2052        810,000        791,447  

Mednax Incorporated 144A

     5.25       12-1-2023        1,630,000        1,609,625  

Memorial Sloan Kettering Cancer Center

     4.20       7-1-2055        538,000        517,988  

Peacehealth Obligated Group

     4.79       11-15-2048        975,000        982,333  

Providence St. Joseph Health Obligated Group

     3.93       10-1-2048        350,000        316,325  

Southern Baptist Hospital

     4.86       7-15-2045        175,000        186,075  

Stanford Health Care

     3.80       11-15-2048        275,000        253,975  

Texas Health Resources

     4.33       11-15-2055        1,115,000        1,074,146  

The New York-Presbyterian Hospital

     3.56       8-1-2036        275,000        250,141  

The New York-Presbyterian Hospital

     4.06       8-1-2056        570,000        536,257  

UnitedHealth Group Incorporated

     3.50       6-15-2023        600,000        599,030  

UnitedHealth Group Incorporated

     3.75       7-15-2025        1,500,000        1,493,151  
            14,392,406  
         

 

 

  
Health Care Technology: 0.28%

 

Quintiles IMS Holdings Incorporated 144A

     5.00       10-15-2026        1,865,000        1,795,063  
         

 

 

  

 

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

Table of Contents

 

10   Wells Fargo Managed Fixed Income Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  
Life Sciences Tools & Services: 0.24%

 

Thermo Fisher Scientific Incorporated

     3.00 %      4-15-2023      $ 1,500,000      $ 1,442,539  

Thermo Fisher Scientific Incorporated

     3.30       2-15-2022        150,000        148,026  
            1,590,565  
         

 

 

  
Pharmaceuticals: 0.43%

 

Bayer US Finance LLC 144A

     3.38       10-8-2024        240,000        225,404  

Bayer US Finance LLC 144A

     4.38       12-15-2028        1,170,000        1,122,421  

EMD Finance LLC 144A

     2.95       3-19-2022            1,500,000        1,462,895  
            2,810,720  
         

 

 

  

Industrials: 4.37%

 

Aerospace & Defense: 1.01%

 

BAE Systems Holdings Incorporated 144A

     3.80       10-7-2024        1,345,000        1,325,075  

Hexcel Corporation

     3.95       2-15-2027        1,302,000        1,259,156  

Northrop Grumman Corporation

     3.25       1-15-2028        1,500,000        1,395,051  

United Technologies Corporation

     3.95       8-16-2025        1,700,000        1,679,977  

United Technologies Corporation

     4.13       11-16-2028        930,000        913,422  
            6,572,681  
         

 

 

  
Air Freight & Logistics: 0.22%

 

Fedex Corporation

     4.20       10-17-2028        1,430,000        1,420,192  
         

 

 

  
Building Products: 0.06%

 

Fortune Brands Home & Security Incorporated

     4.00       9-21-2023        240,000        238,492  

Masco Corporation

     6.50       8-15-2032        150,000        161,138  
            399,630  
         

 

 

  
Commercial Services & Supplies: 0.61%

 

Acco Brands Corporation 144A

     5.25       12-15-2024        1,800,000        1,660,500  

Cintas Corporation No. 2

     2.90       4-1-2022        1,600,000        1,564,617  

Clean Harbors Incorporated

     5.13       6-1-2021        750,000        751,395  
            3,976,512  
         

 

 

  
Construction & Engineering: 0.01%

 

Valmont Industries Incorporated

     5.00       10-1-2044        110,000        96,190  
         

 

 

  
Electrical Equipment: 0.03%

 

Eaton Corporation

     3.10       9-15-2027        250,000        232,422  
         

 

 

  
Industrial Conglomerates: 0.16%

 

General Electric Capital Corporation

     4.65       10-17-2021        130,000        127,709  

Roper Technologies Incorporated

     3.65       9-15-2023        910,000        896,681  
            1,024,390  
         

 

 

  
Machinery: 1.41%

 

Actuant Corporation

     5.63       6-15-2022        1,910,000        1,912,377  

Briggs & Stratton Corporation

     6.88       12-15-2020        850,000        884,000  

Fortive Corporation

     2.35       6-15-2021        215,000        208,025  

Mueller Water Products Incorporated 144A

     5.50       6-15-2026        1,825,000        1,806,750  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Managed Fixed Income Portfolio     11  

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  
Machinery (continued)

 

Oshkosh Corporation

     4.60 %      5-15-2028      $ 1,035,000      $ 1,013,006  

Oshkosh Corporation

     5.38       3-1-2025        350,000        353,500  

Parker Hannifin Corporation

     3.30       11-21-2024        1,400,000        1,369,413  

Stanley Black & Decker Incorporated

     4.25       11-15-2028        1,290,000        1,294,948  

Vessel Management Services Incorporated

     3.43       8-15-2036        306,000        290,377  
            9,132,396  
         

 

 

  
Professional Services: 0.28%

 

Equifax Incorporated

     3.95       6-15-2023        1,700,000        1,684,406  

Relx Capital Incorporated

     3.50       3-16-2023        110,000        107,750  
            1,792,156  
         

 

 

  
Road & Rail: 0.34%

 

Norfolk Southern Corporation

     5.10       12-31-2049        760,000        724,956  

Union Pacific Corporation

     3.95       9-10-2028        1,500,000        1,480,304  
            2,205,260  
         

 

 

  
Transportation Infrastructure: 0.24%

 

Crowley Conro LLC

     4.18       8-15-2043            1,530,000        1,543,512  
         

 

 

  

Information Technology: 2.72%

 

Electronic Equipment, Instruments & Components: 0.48%

 

Amphenol Corporation

     3.20       4-1-2024        1,531,000        1,463,092  

Jabil Incorporated

     3.95       1-12-2028        1,875,000        1,691,438  
            3,154,530  
         

 

 

  
IT Services: 0.50%

 

Fiserv Incorporated

     4.20       10-1-2028        1,470,000        1,453,286  

Fiserv Incorporated

     4.75       6-15-2021        100,000        102,299  

Verisign Incorporated

     4.75       7-15-2027        1,745,000        1,664,294  
            3,219,879  
         

 

 

  
Semiconductors & Semiconductor Equipment: 0.67%

 

Maxim Integrated Products Incorporated

     3.45       6-15-2027        1,550,000        1,430,266  

Microchip Technology Incorporated 144A

     4.33       6-1-2023        1,500,000        1,460,217  

Versum Materials Incorporated 144A

     5.50       9-30-2024        1,500,000        1,481,250  
            4,371,733  
         

 

 

  
Software: 1.01%

 

CDK Global Incorporated

     4.88       6-1-2027        1,125,000        1,049,063  

CDK Global Incorporated

     5.88       6-15-2026        400,000        398,000  

Fair Isaac Corporation 144A

     5.25       5-15-2026        1,750,000        1,725,938  

Oracle Corporation

     2.95       11-15-2024        3,467,000        3,316,156  

Oracle Corporation

     3.40       7-8-2024        70,000        68,907  
            6,558,064  
         

 

 

  

 

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

Table of Contents

 

12   Wells Fargo Managed Fixed Income Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  
Technology Hardware, Storage & Peripherals: 0.06%

 

Hewlett Packard Enterprise Company

     4.90 %      10-15-2025      $ 375,000      $ 376,454  
         

 

 

  

Materials: 3.96%

 

Chemicals: 2.25%

 

Albemarle Corporation

     4.15       12-1-2024        1,390,000        1,383,511  

Axalta Coating Systems Limited 144A

     4.88       8-15-2024        1,675,000        1,621,735  

DowDuPont Incorporated

     4.73       11-15-2028        1,930,000        1,957,052  

Dowdupont Incorporated

     4.49       11-15-2025        430,000        434,637  

Ecolab Incorporated

     3.25       12-1-2027        75,000        71,043  

Ingevity Corporation 144A

     4.50       2-1-2026        2,475,000        2,283,188  

Mosaic Company

     4.05       11-15-2027            1,500,000        1,424,416  

Scotts Miracle-Gro Company

     5.25       12-15-2026        1,410,000        1,318,350  

Scotts Miracle-Gro Company

     6.00       10-15-2023        390,000        394,875  

The Sherwin-Williams Company

     3.30       2-1-2025        100,000        94,153  

The Sherwin-Williams Company

     3.45       6-1-2027        1,500,000        1,373,631  

Valvoline Incorporated

     5.50       7-15-2024        1,750,000        1,736,875  

W.R. Grace & Company 144A

     5.63       10-1-2024        500,000        506,100  
            14,599,566  
         

 

 

  
Construction Materials: 0.03%

 

CRH America Finance Incorporated 144A

     3.40       5-9-2027        200,000        183,195  
         

 

 

  
Containers & Packaging: 1.55%

 

Ball Corporation

     4.88       3-15-2026        1,075,000        1,056,188  

Ball Corporation

     5.25       7-1-2025        350,000        355,250  

Graphic Packaging International Company

     4.13       8-15-2024        1,700,000        1,602,250  

International Paper Company «

     3.00       2-15-2027        1,600,000        1,440,170  

Packaging Corporation of America

     4.50       11-1-2023        1,500,000        1,531,808  

Sealed Air Corporation 144A

     5.50       9-15-2025        200,000        197,500  

Sealed Air Corporation 144A

     6.88       7-15-2033        515,000        524,013  

Silgan Holdings Incorporated

     4.75       3-15-2025        1,875,000        1,762,500  

Westrock Company 144A

     3.00       9-15-2024        1,680,000        1,548,874  
            10,018,553  
         

 

 

  
Metals & Mining: 0.08%

 

Freeport-McMoRan Copper & Gold Incorporated «

     4.55       11-14-2024        575,000        534,031  
         

 

 

  
Paper & Forest Products: 0.05%

 

Georgia Pacific LLC 144A

     3.73       7-15-2023        340,000        339,838  
         

 

 

  

Real Estate: 3.50%

 

Equity REITs: 3.50%

 

Alexandria Real Estate Equities Incorporated

     3.95       1-15-2027        240,000        229,768  

Alexandria Real Estate Equities Incorporated

     4.30       1-15-2026        1,500,000        1,481,264  

AvalonBay Communities Incorporated

     2.95       9-15-2022        190,000        185,718  

Boston Properties LP

     2.75       10-1-2026        1,500,000        1,342,535  

Boston Properties LP

     3.20       1-15-2025        250,000        235,857  

Boston Properties LP

     3.85       2-1-2023        410,000        405,558  

Boston Properties LP

     4.50       12-1-2028        310,000        310,219  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Managed Fixed Income Portfolio     13  

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  
Equity REITs (continued)          

Digital Realty Trust LP

     4.45 %      7-15-2028      $ 510,000      $ 505,780  

Duke Realty LP

     3.25       6-30-2026        1,500,000        1,410,544  

Duke Realty LP

     3.88       10-15-2022        150,000        150,499  

Duke Realty LP

     4.00       9-15-2028        230,000        225,310  

Federal Realty Investment Trust

     2.75       6-1-2023        1,895,000        1,812,436  

Host Hotels & Resorts Incorporated

     3.88       4-1-2024        265,000        258,393  

Kimco Realty Corporation

     3.30       2-1-2025        1,500,000        1,406,228  

Liberty Property LP

     3.75       4-1-2025        1,600,000        1,543,959  

Mid America Apartment Communities

     4.20       6-15-2028        160,000        157,449  

National Retail Properties Incorporated

     4.30       10-15-2028        370,000        363,440  

Potlatch Corporation

     7.50       11-1-2019        310,000        319,853  

ProLogis LP

     3.75       11-1-2025        1,535,000        1,521,455  

Realty Income Corporation

     4.65       8-1-2023        1,870,000        1,938,254  

Simon Property Group LP

     3.38       10-1-2024            1,800,000        1,749,499  

UDR Incorporated

     3.75       7-1-2024        1,500,000        1,469,303  

UDR Incorporated

     4.63       1-10-2022        260,000        265,291  

Ventas Realty LP

     3.50       2-1-2025        150,000        142,665  

Ventas Realty LP

     3.85       4-1-2027        1,500,000        1,427,187  

Vornado Realty Trust

     3.50       1-15-2025        1,500,000        1,427,209  

Welltower Incorporated

     3.95       9-1-2023        470,000        467,028  
            22,752,701  
         

 

 

  

Utilities: 2.71%

 

Electric Utilities: 2.16%

 

AEP Texas Incorporated

     2.40       10-1-2022        90,000        86,346  

Alliant Energy Finance LLC 144A

     3.75       6-15-2023        1,510,000        1,495,267  

DPL Incorporated

     7.25       10-15-2021        870,000        924,375  

Duke Energy Carolinas LLC

     6.05       4-15-2038        830,000        984,593  

Duke Energy Progress LLC

     3.70       9-1-2028        940,000        925,762  

Entergy Arkansas Incorporated

     3.05       6-1-2023        1,196,000        1,175,346  

Entergy Arkansas Incorporated

     4.00       6-1-2028        80,000        79,647  

Florida Power & Light Company

     4.95       6-1-2035        1,000,000        1,067,066  

Interstate Power & Light Company

     4.10       9-26-2028        1,070,000        1,065,227  

ITC Holdings Corporation

     3.65       6-15-2024        120,000        117,039  

MidAmerican Energy Holdings Company

     5.80       10-15-2036        900,000        1,056,305  

Monongahela Power Company 144A

     4.10       4-15-2024        1,660,000        1,687,227  

Northern States Power Company of Minnesota

     5.35       11-1-2039        1,580,000        1,781,979  

Pacific Gas & Electric Company

     3.95       12-1-2047        500,000        376,006  

PacifiCorp

     3.35       7-1-2025        130,000        126,132  

Public Service Electric & Gas Company

     5.70       12-1-2036        590,000        679,935  

Southern California Edison Company

     6.00       1-15-2034        188,000        199,453  

Trans-Allegheny Interstate Line Company 144A

     3.85       6-1-2025        200,000        197,308  
            14,025,013  
         

 

 

  
Gas Utilities: 0.44%

 

AmeriGas Partners LP

     5.50       5-20-2025        950,000        879,938  

AmeriGas Partners LP

     5.88       8-20-2026        500,000        466,250  

Boardwalk Pipelines Company

     5.95       6-1-2026        1,500,000        1,528,070  
            2,874,258  
         

 

 

  

 

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

Table of Contents

 

14   Wells Fargo Managed Fixed Income Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  
Multi-Utilities: 0.11%

 

Black Hills Corporation

     4.35 %      5-1-2033      $ 710,000      $ 696,921  
         

 

 

  

Total Corporate Bonds and Notes (Cost $293,330,919)

 

      287,570,239  
         

 

 

  

Municipal Obligations: 6.57%

 

California: 0.07%

 

GO Revenue: 0.04%

 

Alameda County CA Series A

     3.70       8-1-2031        275,000        271,428  
         

 

 

  
Tax Revenue: 0.03%

 

San Jose CA RDA Senior Taxable Refunding Bonds Series A-T

     3.38       8-1-2034        220,000        202,869  
         

 

 

  
            474,297  
         

 

 

  

Delaware: 0.20%

 

Miscellaneous Revenue: 0.20%

 

Delaware Build America Bonds

     4.45       7-1-2028            1,250,000        1,317,050  
         

 

 

  

Georgia: 0.09%

 

GO Revenue: 0.09%

 

Cherokee County GA School System Build America Bonds

     5.87       8-1-2028        500,000        567,755  
         

 

 

  

Hawaii: 0.17%

 

GO Revenue: 0.17%

 

Honolulu HI Series F

     3.75       9-1-2030        1,110,000        1,099,644  
         

 

 

  

Idaho: 0.02%

 

Miscellaneous Revenue: 0.02%

 

Idaho Building Authority State Office Campus Project Series B

     3.28       9-1-2028        170,000        161,235  
         

 

 

  

Illinois: 0.02%

 

GO Revenue: 0.02%

 

Lake County IL Community Consolidated School District Series A

     3.40       11-1-2027        150,000        145,851  
         

 

 

  

Indiana: 0.08%

 

Miscellaneous Revenue: 0.08%

 

Indiana Finance Authority Taxable Facilities Series A

     2.37       7-1-2024        225,000        212,994  

Indianapolis IN Local Public Improvement Bonds Series A-2

     6.00       1-15-2040        235,000        283,535  
            496,529  
         

 

 

  

Massachusetts: 0.46%

 

GO Revenue: 0.23%

 

Boston MA Series C Qualified School Construction Bonds

     4.40       4-1-2026        400,000        411,396  

Massachusetts Build America Bonds Series D

     4.50       8-1-2031        1,000,000        1,052,810  
            1,464,206  
         

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Managed Fixed Income Portfolio     15  

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  
Tax Revenue: 0.23%

 

Massachusetts Build America Bonds Series E

     5.46 %      12-1-2039      $ 1,275,000      $ 1,495,409  
         

 

 

  
            2,959,615  
         

 

 

  

Mississippi: 0.06%

 

Education Revenue: 0.06%

 

Mississippi Higher Education Assistance Corporation Series 2014-1 Class A1 (1 Month LIBOR +0.68%) ±

     3.00       10-25-2035        418,915        419,359  
         

 

 

  

Missouri: 0.50%

 

Education Revenue: 0.50%

 

Missouri HEFA Washington University Series A

     3.65       8-15-2057            1,000,000        904,820  

Missouri Higher Education Loan Authority Notes Class A-1 (1 Month LIBOR +0.83%) ±

     3.11       1-26-2026        2,121,796        2,121,393  

Missouri Higher Education Loan Authority Notes Class A-1 (3 Month LIBOR +0.85%) ±

     3.53       8-27-2029        213,844        214,420  
            3,240,633  
         

 

 

  

New Jersey: 0.15%

 

Miscellaneous Revenue: 0.15%

 

Hudson County NJ Improvement Authority Hudson County Lease Project (AGM Insured)

    7.40       12-1-2025        855,000        943,039  
         

 

 

  

New York: 0.34%

 

Tax Revenue: 0.34%

 

New York City Transitional Finance Authority

     3.43       8-1-2026        1,750,000        1,719,883  

New York City Transitional Finance Authority Series A2

     2.00       5-1-2024        250,000        232,490  

New York City Transitional Finance Authority Series F2

     2.75       5-1-2024        170,000        164,337  

New York Urban Development Corporation Series B

     2.86       3-15-2024        105,000        102,447  
            2,219,157  
         

 

 

  

North Carolina: 0.86%

 

Education Revenue: 0.86%

 

Duke University Series A

     5.85       4-1-2037        880,000        1,077,410  

North Carolina Education Assistance Authority Student Loan (3 Month LIBOR +0.90%) ±

     3.39       7-25-2041        1,955,114        1,987,119  

North Carolina Education Assistance Authority Student Loan Series A-3 (3 Month LIBOR +0.90%)

     3.39       10-25-2041        587,393        595,810  

University of North Carolina Chapel Hill

     3.85       12-1-2034        375,000        377,820  

University of North Carolina Chapel Hill Refunding Bonds Series C

     3.33       12-1-2036        1,710,000        1,571,695  
            5,609,854  
         

 

 

  

Ohio: 0.13%

 

GO Revenue: 0.06%

 

Cuyahoga County OH Build America Bonds Series B

     6.03       12-1-2034        325,000        387,722  
         

 

 

  
Tax Revenue: 0.07%

 

Ohio County WV Special District Excise Tax Series A

     8.25       3-1-2035        450,000        482,990  
         

 

 

  
            870,712  
         

 

 

  

 

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

Table of Contents

 

16   Wells Fargo Managed Fixed Income Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  

Oregon: 0.37%

 

Education Revenue: 0.28%

 

Oregon

     5.90 %      8-1-2038      $ 1,500,000      $ 1,787,790  
         

 

 

  
GO Revenue: 0.09%

 

Oregon Board of Higher Education Build America Bonds Series C

     5.38       8-1-2039        500,000        586,205  
         

 

 

  
            2,373,995  
         

 

 

  

Pennsylvania: 0.21%

 

Education Revenue: 0.21%

 

Pennsylvania Higher Education Authority Class A (1 Month LIBOR +1.15%) 144A±

     3.43       9-25-2065        1,338,843        1,351,059  
         

 

 

  

Rhode Island: 0.54%

 

Education Revenue: 0.54%

 

Rhode Island Student Loan Authority Class A-1 (1 Month LIBOR +0.90%) ±

     3.20       7-1-2031            3,469,157        3,475,644  
         

 

 

  

Tennessee: 0.02%

 

GO Revenue: 0.02%

 

Metropolitan Government of Nashville

     5.71       7-1-2034        100,000        116,439  
         

 

 

  

Texas: 0.92%

 

Education Revenue: 0.16%

 

University of Texas Build America Bonds Series A

     5.26       7-1-2039        550,000        641,487  

University of Texas Build America Bonds Series C

     4.79       8-15-2046        120,000        130,352  

University of Texas Build America Bonds Series D

     5.13       8-15-2042        215,000        242,739  
            1,014,578  
         

 

 

  
GO Revenue: 0.21%

 

Hidalgo County TX

     4.04       8-15-2030        1,270,000        1,284,491  

Houston TX Pension Obligation Bonds Series 2017

     3.73       3-1-2030        110,000        109,049  
            1,393,540  
         

 

 

  
Miscellaneous Revenue: 0.41%

 

Texas

     3.45       10-1-2028        285,000        286,228  

Texas Transportation Commission Highway Improvement Taxable Series A

     4.63       4-1-2033        2,215,000        2,370,006  
            2,656,234  
         

 

 

  
Tax Revenue: 0.04%

 

Texas Transportation Commission Series B

     5.18       4-1-2030        250,000        280,425  
         

 

 

  
Water & Sewer Revenue: 0.10%

 

Houston TX Combined Utility System Series E

     3.97       11-15-2031        655,000        655,177  
         

 

 

  
            5,999,954  
         

 

 

  

Utah: 0.80%

 

Education Revenue: 0.56%

 

State Board of Regents of Utah Series 1-A (1 Month LIBOR +0.75%) ±

     3.07       9-25-2056        3,610,375        3,612,289  
         

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Managed Fixed Income Portfolio     17  

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  
GO Revenue: 0.24%

 

Utah Build America Bonds Series B

     3.54 %      7-1-2025      $ 1,545,000      $ 1,551,118  
         

 

 

  
            5,163,407  
         

 

 

  

Vermont: 0.00%

 

Housing Revenue: 0.00%

 

Vermont Housing Finance Agency

     3.80       11-1-2037        30,000        29,081  
         

 

 

  

Virginia: 0.10%

 

Education Revenue: 0.07%

 

University of Virginia Build America Bonds

     6.20       9-1-2039        315,000        409,818  

University of Virginia Revenue Bond Series C

     4.18       9-1-2117        70,000        64,952  
            474,770  
         

 

 

  
Housing Revenue: 0.03%

 

Virginia Housing Development Authority

     3.10       6-25-2041        168,606        159,449  
         

 

 

  
            634,219  
         

 

 

  

Washington: 0.46%

 

GO Revenue: 0.43%

 

King County WA Economic Development Taxable Bond Series C

     5.03       12-1-2023        230,000        249,309  

King County WA School District #210 (AGM Insured)

    4.90       12-1-2022        400,000        407,896  

Washington Series T

     3.45       8-1-2029        1,000,000        979,370  

Washington Build America Bonds Series D

     5.48       8-1-2039        1,000,000        1,163,960  
            2,800,535  
         

 

 

  
Tax Revenue: 0.03%

 

Washington Build America Bonds

     5.09       8-1-2033        175,000        194,511  
         

 

 

  
            2,995,046  
         

 

 

  

Total Municipal Obligations (Cost $42,713,676)

 

      42,663,574  
         

 

 

  

Non-Agency Mortgage-Backed Securities: 8.93%

 

Commercial Mortgage Pass-Through Certificate Series 2010-C1 Class A3 144A

     4.21       7-10-2046        636,837        643,539  

Commercial Mortgage Pass-Through Certificate Series 2012-CR2 Class A4

     3.15       8-15-2045        550,000        543,951  

Commercial Mortgage Pass-Through Certificate Series 2012-CR3 Class A3

     2.82       10-15-2045        607,731        593,130  

Commercial Mortgage Pass-Through Certificate Series 2012-UBS5 Class A3

     3.55       9-10-2047        630,000        631,351  

Commercial Mortgage Pass-Through Certificate Series 2013-CR12 Class ASB

     3.62       10-10-2046        549,997        552,503  

Commercial Mortgage Pass-Through Certificate Series 2013-CR13 Class A4 ±±

     4.19       11-10-2046        600,000        616,390  

Commercial Mortgage Pass-Through Certificate Series 2013-CR7 Class A4

     3.21       3-10-2046        593,569        586,242  

Commercial Mortgage Pass-Through Certificate Series 2014-CR17 Class A5

     3.98       5-10-2047        7,660,000        7,785,912  

Commercial Mortgage Pass-Through Certificate Series 2014-CR21 Class A3

     3.53       12-10-2047            2,900,000        2,872,477  

Commercial Mortgage Pass-Through Certificate Series 2014-UBS5 Class A4

     3.84       9-10-2047        620,000        622,878  

GS Mortgage Securities Trust Series 2011-GC3 Class A4 144A

     4.75       3-10-2044        421,446        431,496  

GS Mortgage Securities Trust Series 2011-GC5 Class A4

     3.71       8-10-2044        545,000        548,358  

GS Mortgage Securities Trust Series 2012-GCJ7 Class A4

     3.38       5-10-2045        513,310        512,218  

GS Mortgage Securities Trust Series 2013-GC14 Class A5

     4.24       8-10-2046        615,000        632,681  

GS Mortgage Securities Trust Series 2013-GC16 Class A4

     4.27       11-10-2046        350,000        360,974  

 

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

Table of Contents

 

18   Wells Fargo Managed Fixed Income Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  

Non-Agency Mortgage-Backed Securities (continued)

          

GS Mortgage Securities Trust Series 2014-GC20 Class A5

     4.00 %      4-10-2047      $ 4,693,000      $ 4,765,894  

GS Mortgage Securities Trust Series 2014-GC26 Class A5

     3.63       11-10-2047        2,565,000        2,555,605  

JPMorgan Chase Commercial Mortgage Securities Corporation Series 2014-C20 Class A5

     3.80       7-15-2047        4,065,000        4,092,116  

JPMorgan Chase Commercial Mortgage Securities Trust Series 2010-C2 Class A3 144A

     4.07       11-15-2043        347,084        350,235  

JPMorgan Chase Commercial Mortgage Securities Trust Series 2013-C13 Class A4 ±±

     3.99       1-15-2046        5,000,000        5,085,148  

JPMorgan Chase Commercial Mortgage Securities Trust Series 2014-C19 Class A4

     4.00       4-15-2047        450,000        457,177  

JPMorgan Chase Commercial Mortgage Securities Trust Series 2014-GC26 Class A4

     3.49       1-15-2048        1,338,000        1,327,698  

Morgan Stanley Bank of America Merril Lynch Trust Series 2014-C19 ClassA4

     3.53       12-15-2047        1,790,000        1,772,832  

Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C15 Class ASB

     3.65       4-15-2047        550,000        552,592  

Morgan Stanley Capital I Trust Series 2011-C2 Class A4 144A

     4.66       6-15-2044        500,000        513,331  

Morgan Stanley Capital I Trust Series 2011-C3 Class A4

     4.12       7-15-2049        530,000        538,325  

SBA Series 2018-10B Class 1

     3.55       9-11-2028        5,700,000        5,725,939  

Towd Point Mortgage Trust Series 2016-2 Class A1A 144A±±

     2.75       8-25-2055        243,142        237,461  

Towd Point Mortgage Trust Series 2016-3 Class A1 144A±±

     2.25       4-25-2056        326,509        318,219  

Towd Point Mortgage Trust Series 2018-3 Class A1 144A±±

     3.75       5-25-2058        2,743,304        2,735,830  

WFRBS Commercial Mortgage Trust Series 2013-C17 Class A4

     4.02       12-15-2046        4,370,000        4,448,261  

WFRBS Commercial Mortgage Trust Series 2014-C20 Class A5

     4.00       5-15-2047        4,531,047        4,607,134  

Total Non-Agency Mortgage-Backed Securities (Cost $58,555,703)

 

      58,017,897  
         

 

 

  

U.S. Treasury Securities: 6.17%

 

U.S. Treasury Bond

     3.13       5-15-2048        8,910,000        8,601,282  

U.S. Treasury Bond

     4.50       5-15-2038            15,900,000        18,979,383  

U.S. Treasury Note

     1.00       6-30-2019        8,900,000        8,820,039  

U.S. Treasury Note

     2.50       5-31-2020        3,675,000        3,658,922  

Total U.S. Treasury Securities (Cost $40,980,365)

 

      40,059,626  
         

 

 

  

Yankee Corporate Bonds and Notes: 6.98%

 

Communication Services: 0.32%

 

Wireless Telecommunication Services: 0.32%

 

Rogers Communications Incorporated

     3.63       12-15-2025        250,000        240,482  

Rogers Communications Incorporated

     4.10       10-1-2023        370,000        374,713  

Vodafone Group plc

     4.13       5-30-2025        1,500,000        1,462,958  
            2,078,153  
         

 

 

  

Consumer Discretionary: 0.47%

 

Automobiles: 0.47%

 

Jaguar Land Rover Automotive plc 144A«

     4.50       10-1-2027        620,000        457,250  

Toyota Motor Corporation

     3.42       7-20-2023        2,610,000        2,594,332  
            3,051,582  
         

 

 

  

Consumer Staples: 0.12%

 

Household Products: 0.12%

 

Reckitt Benckiser Treasury Services plc 144A

     2.75       6-26-2024        855,000        804,530  
         

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Managed Fixed Income Portfolio     19  

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  

Energy: 0.82%

 

Oil, Gas & Consumable Fuels: 0.82%

 

BP Capital Markets plc

     3.28 %      9-19-2027      $ 155,000      $ 144,639  

BP Capital Markets plc

     3.81       2-10-2024        1,500,000        1,494,223  

Canadian National Resources Limited

     2.95       1-15-2023        50,000        47,763  

Cenovus Energy Incorporated

     4.25       4-15-2027        1,500,000        1,337,888  

Petroleos Mexicanos

     2.29       2-15-2024        151,250        148,092  

Petroleos Mexicanos

     2.83       2-15-2024        316,250        314,040  

Petroleos Mexicanos

     6.38       1-23-2045        1,600,000        1,280,000  

Schlumberger Investment SA 144A

     2.40       8-1-2022        357,000        341,351  

Total Capital International SA

     3.70       1-15-2024        200,000        201,092  
            5,309,088  
         

 

 

  

Financials: 3.27%

 

Banks: 2.05%

 

Bank of Nova Scotia

     4.50       12-16-2025        80,000        79,114  

BNP Paribas SA 144A

     4.40       8-14-2028        1,430,000        1,374,992  

Cooperatieve Rabobank U.A. 144A

     3.88       9-26-2023        300,000        298,150  

Cooperatieve Rabobank U.A.

     2.75       1-10-2023            1,500,000        1,437,177  

Credit Suisse New York

     3.63       9-9-2024        250,000        243,125  

HSBC Holdings plc (3 Month LIBOR +1.06%) ±

     3.26       3-13-2023        220,000        213,965  

HSBC Holdings plc

     3.60       5-25-2023        250,000        244,967  

HSBC Holdings plc (3 Month LIBOR +1.35%) ±

     4.29       9-12-2026        950,000        927,214  

HSBC Holdings plc (3 Month LIBOR +1.53%) ±

     4.58       6-19-2029        1,500,000        1,468,711  

Mitsubishi UFJ Financial Group Incorporated

     2.67       7-25-2022        80,000        77,183  

Mitsubishi UFJ Financial Group Incorporated

     3.46       3-2-2023        1,500,000        1,483,507  

Mitsubishi UFJ Financial Group Incorporated

     3.76       7-26-2023        350,000        349,147  

Royal Bank of Canada

     3.70       10-5-2023        2,620,000        2,609,424  

Royal Bank of Canada

     4.65       1-27-2026        120,000        121,534  

Sumitomo Mitsui Financial Group

     3.94       10-16-2023        780,000        786,947  

Toronto Dominion Bank

     3.50       7-19-2023        1,610,000        1,604,434  
            13,319,591  
         

 

 

  
Capital Markets: 0.28%

 

Credit Suisse Group AG (3 Month LIBOR +1.41%) 144A±

     3.87       1-12-2029        1,500,000        1,383,247  

Credit Suisse Group AG (3 Month LIBOR +1.24%) 144A±

     4.21       6-12-2024        450,000        444,533  
            1,827,780  
         

 

 

  
Consumer Finance: 0.23%

 

UBS Group Funding Switzerland 144A

     4.25       3-23-2028        1,500,000        1,465,639  
         

 

 

  
Diversified Financial Services: 0.71%

 

Air Liquide Finance Company 144A

     2.25       9-27-2023        1,500,000        1,409,781  

Diageo Capital plc

     3.50       9-18-2023        200,000        199,247  

Shell International Finance BV

     3.25       5-11-2025        200,000        193,912  

Shell International Finance BV

     3.40       8-12-2023        1,070,000        1,064,228  

Siemens Financieringsmaatschappij NV 144A

     3.13       3-16-2024        1,810,000        1,755,352  
            4,622,520  
         

 

 

  

 

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

Table of Contents

 

20   Wells Fargo Managed Fixed Income Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  

Health Care: 0.60%

 

Health Care Equipment & Supplies: 0.23%

 

Covidien International Finance SA

     3.20 %      6-15-2022      $ 1,500,000      $ 1,480,339  
         

 

 

  
Pharmaceuticals: 0.37%

 

Actavis Funding SCS

     4.55       3-15-2035        1,200,000        1,116,428  

Teva Pharmaceutical Finance BV

     2.20       7-21-2021        150,000        139,277  

Teva Pharmaceutical Finance BV

     2.80       7-21-2023            1,000,000        876,648  

Teva Pharmaceutical Finance BV

     3.15       10-1-2026        350,000        285,293  
            2,417,646  
         

 

 

  

Industrials: 0.39%

 

Aerospace & Defense: 0.19%

 

Embraer Netherlands Finance BV

     5.05       6-15-2025        1,200,000        1,213,500  
         

 

 

  
Electrical Equipment: 0.04%

 

Sensata Technologies BV 144A

     5.63       11-1-2024        265,000        265,663  
         

 

 

  
Machinery: 0.09%

 

CNH Industrial NV

     4.50       8-15-2023        600,000        600,000  
         

 

 

  
Road & Rail: 0.07%

 

Canadian Pacific Railway Company

     2.90       2-1-2025        450,000        427,153  
         

 

 

  

Information Technology: 0.28%

 

Technology Hardware, Storage & Peripherals: 0.28%

 

Seagate HDD

     4.75       6-1-2023        1,925,000        1,829,746  
         

 

 

  

Materials: 0.71%

 

Metals & Mining: 0.71%

 

Anglo American Capital plc 144A

     4.75       4-10-2027        1,500,000        1,439,295  

ArcelorMittal SA

     6.13       6-1-2025        1,500,000        1,576,290  

Vale Overseas Limited

     6.25       8-10-2026        1,500,000        1,601,250  
            4,616,835  
         

 

 

  

Total Yankee Corporate Bonds and Notes (Cost $46,344,566)

 

      45,329,765  
         

 

 

  
    Yield            Shares         
Short-Term Investments: 4.01%

 

Investment Companies: 4.01%          

Securities Lending Cash Investments LLC (l)(r)(u)

     2.38          3,437,806        3,438,149  

Wells Fargo Government Money Market Fund Select Class (l)(u)##

     2.13          22,572,741        22,572,741  

Total Short-Term Investments (Cost $26,010,890)

             26,010,890        
         

 

 

  

 

Total investments in securities (Cost $671,155,631)     102.00 %         662,360,788  

Other assets and liabilities, net

     (2.00 )         (13,003,883 ) 
 

 

 

       

 

 

  
Total net assets     100.00 %       $ 649,356,905  
 

 

 

       

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Managed Fixed Income Portfolio     21  

 

 

(a)

The security is fair valued in accordance with procedures approved by the Board of Trustees.

 

±±

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.

 

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.

 

«

All or a portion of this security is on loan.

 

%%

The security is issued on a when-issued basis.

 

(l)

The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

 

(r)

The investment is a non-registered investment company purchased with cash collateral received from securities on loan.

 

(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:

 

AGM

Assured Guaranty Municipal

 

FHLMC

Federal Home Loan Mortgage Corporation

 

FNMA

Federal National Mortgage Association

 

GNMA

Government National Mortgage Association

 

GO

General obligation

 

HEFA

Health & Educational Facilities Authority

 

LIBOR

London Interbank Offered Rate

 

RDA

Redevelopment Authority

 

REIT

Real estate investment trust

 

SBA

Small Business Administration

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

                  

Securities Lending Cash Investments LLC

     418,594       48,511,863       45,492,651       3,437,806     $ (11 )    $ 0     $ 10,117     $ 3,438,149    

Wells Fargo Government Money Market Fund Fund Select Class

     417,223       828,546,299       806,390,781       22,572,741       0       0       917,982       22,572,741    
         

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
          $ (11 )    $ 0     $ 928,099     $ 26,010,890       4.01 % 
         

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

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

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22   Wells Fargo Managed Fixed Income Portfolio   Statement of assets and liabilities—November 30, 2018 (unaudited)
         

Assets

  

Investments in unaffiliated securities (including $3,368,690 of securities loaned), at value (cost $645,144,741)

   $ 636,349,898  

Investments in affiliated securities, at value (cost $26,010,890)

     26,010,890  

Receivable for investments sold

     32,627,830  

Principal paydown receivable

     42,845  

Receivable for interest

     5,496,268  

Receivable for securities lending income

     1,460  

Prepaid expenses and other assets

     5,686  
 

 

 

  

Total assets

     700,534,877  
 

 

 

  

Liabilities

  

Payable for investments purchased

     47,497,649  

Payable upon receipt of securities loaned

     3,438,091  

Advisory fee payable

     215,331  

Accrued expenses and other liabilities

     26,901  
 

 

 

  

Total liabilities

     51,177,972  
 

 

 

  

Total net assets

   $ 649,356,905  
 

 

 

  

 

 

 

 

 

 

 

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

Table of Contents

 

Statement of operations—six months ended November 30, 2018 (unaudited)   Wells Fargo Managed Fixed Income Portfolio     23  
         

Investment income

  

Interest (net of foreign interest withholding taxes of $2,448)

   $ 10,507,013  

Income from affiliated securities

     928,099  
 

 

 

  

Total investment income

     11,435,112  
 

 

 

  

Expenses

  

Advisory fee

     1,304,131  

Custody and accounting fees

     8,691  

Professional fees

     28,838  

Shareholder report expenses

     1,312  

Trustees’ fees and expenses

     7,929  

Other fees and expenses

     3,724  
 

 

 

  

Total expenses

     1,354,625  

Less: Fee waivers and/or expense reimbursements

     (63,442 ) 
 

 

 

  

Net expenses

     1,291,183  
 

 

 

  

Net investment income

     10,143,929  
 

 

 

  

REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS

  

Net realized gains (losses) on:

  

Unaffiliated securities

     (1,715,949 ) 

Affiliated securities

     (11 ) 

Futures contracts

     14,951  
 

 

 

  

Net realized losses on investments

     (1,701,009 ) 
 

 

 

  

Net change in unrealized gains (losses) on investments

     (8,363,508 ) 
 

 

 

  

Net realized and unrealized gains (losses) on investments

     (10,064,517 ) 
 

 

 

  

Net increase in net assets resulting from operations

   $ 79,412  
 

 

 

  

 

 

 

 

 

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

Table of Contents

 

24   Wells Fargo Managed Fixed Income Portfolio   Statement of changes in net assets
     Six months ended
November 30, 2018
(unaudited)		        Year ended
May 31, 2018		  

Operations

       

Net investment income

   $ 10,143,929        $ 3,360,611  

Net realized gains (losses) on investments

     (1,701,009 )         366,933  

Net change in unrealized gains (losses) on investments

     (8,363,508 )         (3,657,037 ) 
 

 

 

  

Net increase in net assets resulting from operations

     79,412          70,507  
 

 

 

  

Capital transactions

       

Transactions in investors’ beneficial interests

       

Contributions

     649,177,165          8,441,165  

Withdrawals

     (106,611,508 )         (13,757,809 ) 
 

 

 

  

Net increase (decrease) in net assets resulting from capital transactions

     542,565,657          (5,316,644 ) 
 

 

 

  

Total increase (decrease) in net assets

     542,645,069          (5,246,137 ) 
 

 

 

  

Net assets

       

Beginning of period

     106,711,836          111,957,973  
 

 

 

  

End of period

   $ 649,356,905        $ 106,711,836  
 

 

 

  

 

 

 

 

 

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

Table of Contents

 

Financial highlights   Wells Fargo Managed Fixed Income Portfolio     25  
    Six months ended
November 30, 2018
(unaudited)		     Year ended May 31  
     2018     2017     2016     2015     2014  

Total return1

     (0.21 )%      0.05 %      3.13 %      3.95 %      4.23 %      3.07 % 

Ratios to average net assets (annualized)

            

Gross expenses

     0.41 %      0.49 %      0.48 %      0.48 %      0.48 %      0.48 % 

Net expenses

     0.39 %      0.39 %      0.39 %      0.39 %      0.39 %      0.39 % 

Net investment income

     3.05 %      3.09 %      2.99 %      3.12 %      3.20 %      3.33 % 

Supplemental data

            

Portfolio turnover rate

     188 %      23 %      47 %      25 %      31 %      35 % 

 

 

 

 

 

1 

Returns for periods of less than one year are not annualized.

 

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

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26   Wells Fargo Managed Fixed Income Portfolio   Notes to financial statements (unaudited)

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 Wells Fargo Managed Fixed Income Portfolio (the “Portfolio”) which is a diversified series of the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the 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 Portfolio may deviate from this calculation time under unusual or unexpected circumstances.

Debt securities are valued at the evaluated bid price provided by an independent pricing service 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.

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.

Investments in registered open-end investment companies are valued at net asset value. Interests in non-registered investment companies that are redeemable at net asset value are fair valued normally at net asset value.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Portfolio. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC (“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.

Securities lending

The Portfolio may lend its securities from time to time in order to earn additional income in the form of fees or interest on securities received as collateral or the investment of any cash received as collateral. The Portfolio continues to receive interest or dividends on the securities loaned. The Portfolio receives collateral in the form of cash or securities with a value at least equal to the value of the securities on loan. The value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Portfolio on the next business day. In a securities lending transaction, the net asset value of the Portfolio will be affected by an increase or decrease in the value of the securities loaned and by an increase or decrease in the value of the instrument in which collateral is invested. The amount of securities lending activity undertaken by the Portfolio fluctuates from time to time. In the event of default or bankruptcy by the borrower, the Portfolio may be prevented from recovering the loaned securities or gaining access to the collateral or may experience delays or costs in doing so. In addition, the investment of any cash collateral received may lose all or part of its value. The Portfolio has the right under the lending agreement to recover the securities from the borrower on demand.

The Portfolio lends its securities through an unaffiliated securities lending agent. Cash collateral received in connection with its securities lending transactions is invested in Securities Lending Cash Investments, LLC (the “Securities Lending Fund”). The Securities Lending Fund is exempt from registration under Section 3(c)(7) of the 1940 Act and is managed by Funds Management and is subadvised by Wells Capital Management Incorporated (“WellsCap”), an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”). Funds Management

Table of Contents

 

Notes to financial statements (unaudited)   Wells Fargo Managed Fixed Income Portfolio     27  

receives an advisory fee starting at 0.05% and declining to 0.01% as the average daily net assets of the Securities Lending Fund increase. All of the fees received by Funds Management are paid to WellsCap for its services as subadviser. The Securities Lending Fund seeks to provide a positive return compared to the daily Fed Funds Open Rate by investing in high-quality, U.S. dollar-denominated short-term money market instruments. Securities Lending Fund investments are valued at the evaluated bid price provided by an independent pricing service. Income earned from investment in the Securities Lending Fund, if any, is included in income from affiliated securities on the Statement of Operations.

When-issued transactions

The Portfolio may purchase securities on a forward commitment or when-issued basis. The 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

The Fund is subject to interest rate risk in the normal course of pursuing its investment objectives. Futures contracts are agreements between the Fund and a counterparty to buy or sell a specific amount of a commodity, financial instrument or currency at specified price and on a specified date. The Fund may buy and sell futures contracts in order to gain exposure to, or protect against, changes in interest rates. 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 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 Statement 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 Statement 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.

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.

Income is recorded net of foreign taxes withheld where recovery of such taxes is not assured.

Federal and other taxes

The Portfolio is treated as a separate entity for federal income tax purposes. The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains 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.

The Portfolio’s income tax returns and all financial records supporting those returns for the prior three fiscal years are subject to examination by the federal revenue authority. Management has analyzed the 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.

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28   Wells Fargo Managed Fixed Income Portfolio   Notes to financial statements (unaudited)

As of November 30, 2018, the aggregate cost of all investments for federal income tax purposes was $671,151,800 and the unrealized gains (losses) consisted of:

 

Gross unrealized gains

    $ 1,745,827  

Gross unrealized losses

      (10,536,839 ) 

Net unrealized losses

    $ (8,791,012 ) 

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 the Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

 

∎  

Level 1 – quoted prices in active markets for identical securities

 

∎  

Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

 

∎  

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of November 30, 2018:

 

     Quoted prices
(Level 1)		      Other significant
observable inputs
(Level 2)		     

Significant
unobservable inputs

(Level 3)

      Total  

Assets

            

Investments in:

            

Agency securities

    $ 0      $ 141,185,044      $ 0      $ 141,185,044  

Asset-backed securities

      0        21,523,753        0        21,523,753  

Corporate bonds and notes

      0        287,570,239        0        287,570,239  

Municipal obligations

      0        42,663,574        0        42,663,574  

Non-agency mortgage-backed securities

      0        58,017,897        0        58,017,897  

U.S. Treasury securities

      40,059,626        0        0        40,059,626  

Yankee corporate bonds and notes

      0        45,329,765        0        45,329,765  

Short-term investments

            

Investment companies

      22,572,741        3,438,149        0        26,010,890  

Total assets

    $ 62,632,367      $ 599,728,421      $ 0      $ 662,360,788  

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

At November 30, 2018, the Portfolio did not have any transfers into/out of Level 3.

4. TRANSACTIONS WITH AFFILIATES

Advisory fee

The Trust has entered into an advisory contract with Funds Management, an indirect wholly owned subsidiary of Wells Fargo. The adviser is responsible for implementing investment policies and guidelines and for supervising the subadviser, who is responsible for day-to-day portfolio management of the Portfolio. Pursuant to the contract, Funds Management is entitled to receive an annual advisory fee starting at 0.40% and declining to 0.29% as the average daily net assets of the Portfolio increase. For the six months ended November 30, 2018, the advisory fee was equivalent to an annual rate of 0.40% of the Portfolio’s average daily net assets.

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Notes to financial statements (unaudited)   Wells Fargo Managed Fixed Income Portfolio     29  

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Portfolio. The fee for subadvisory services is borne by Funds Management. Galliard Capital Management, Inc., an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo, is the subadviser to the Portfolio and is entitled to receive a fee from Funds Management at an annual rate starting at 0.20% and declining to 0.10% as the average daily net assets of the Portfolio increase.

Funds Management has voluntarily waived and/or reimbursed advisory fees to the extent necessary to maintain the net operating expense ratio of the Portfolio.

Interfund transactions

The Portfolio 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.

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments, excluding short-term securities, for the six months ended November 30, 2018 were as follows:

 

Purchases at cost

      Sales proceeds
U.S.
government		      Non-U.S.
government		      U.S.
government		      Non-U.S.
government
$1,241,784,375      $449,216,032      $1,125,383,663      $19,223,731

6. DERIVATIVE TRANSACTIONS

During the six months ended November 30, 2018, the Fund entered into futures contracts for speculative purposes. The Fund had an average notional amount of $103,116 in long futures contracts during the six months ended November 30, 2018.

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.

7. BANK BORROWINGS

Effective August 28, 2018, 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 the 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 the 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.

For the six months ended November 30, 2018, there were no borrowings by the Portfolio under the agreement.

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 Portfolio 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.

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30   Wells Fargo Managed Fixed Income Portfolio   Other information (unaudited)

PROXY VOTING INFORMATION

A description of the policies and procedures used to determine how to vote proxies relating to portfolio securities is available, upon request, by calling 1-800-222-8222, visiting our website at wellsfargofunds.com, or visiting the SEC website at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Fund’s website at wellsfargofunds.com or by visiting the SEC website at sec.gov.

PORTFOLIO HOLDINGS INFORMATION

The Portfolio files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. In addition, the Portfolio’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and at regional offices in New York City, at 233 Broadway, and in Chicago, at 175 West Jackson Boulevard, Suite 900. Information about the Public Reference Room may be obtained by calling 1-800-SEC-0330.

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Other information (unaudited)   Wells Fargo Managed Fixed Income Portfolio     31  

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 152 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. Board member of the Vincent Memorial Hospital Endowment (non-profit organization), where he serves on the Investment Committee and as a Chair of the Audit Committee. 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.3
(Born 1952)		   Trustee, since 2009   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. Johnson3
(Born 1949)		   Trustee, since 2008; Audit Committee Chairman, since 2009   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

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32   Wells Fargo Managed Fixed Income Portfolio   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 Chairman, 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; Vice Chairman, from 2017 to 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; Advisory Board Member, from 2017 to 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
Michael S. Scofield4
(Born 1943)		   Trustee, since 2010   Served on the Investment Company Institute’s Board of Governors and Executive Committee from 2008-2011 as well the Governing Council of the Independent Directors Council from 2006-2011 and the Independent Directors Council Executive Committee from 2008-2011. Trustee of the Evergreen Fund complex (and its predecessors) from 1984 to 2010. Chairman of the Evergreen Funds from 2000-2010. Former Trustee of the Mentor Funds. Retired Attorney, Law Offices of Michael S. Scofield.   N/A
Pamela Wheelock
(Born 1959)		   Trustee, since 2018; Advisory Board Member, from 2017 to 2018   Chief Operating Officer, Twin Cities Habitat for Humanity, since January, 2017. Vice President of University Services, University of Minnesota from 2012 to 2017. 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 President and Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2010 to 2011, Chairman of the Board from 2009 to 2011 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. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently the 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)   Wells Fargo Managed Fixed Income Portfolio     33  

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.    
Nancy Wiser1
(Born 1967)		   Treasurer, since 2012   Executive Vice President of Wells Fargo Funds Management, LLC since 2011. Chief Operating Officer and Chief Compliance Officer at LightBox Capital Management LLC, from 2008 to 2011.    
Alexander Kymn
(Born 1973)		   Secretary, since 2018; Chief Legal Officer, since 2018   Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.    
Michael H. Whitaker
(Born 1967)		   Chief Compliance Officer, since 2016   Senior Vice President and Chief Compliance Officer 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.    
Jeremy DePalma1 (Born 1974)   Assistant Treasurer, since 2009   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.    

 

 

 

 

1

Nancy Wiser acts as Treasurer of 76 funds in the Fund Complex. Jeremy DePalma acts as Treasurer of 76 funds and Assistant Treasurer of 76 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 wellsfargofunds.com.

 

3 

Mr. Harris will replace Ms. Johnson as the Chairman of the Audit Committee effective January 1, 2019.

 

4 

Mr. Scofield is expected to retire on December 31, 2018.

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LOGO

 

 

 

 

 

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

© 2019 Wells Fargo Funds Management, LLC. All rights reserved.

 

LOGO     
 

Table of Contents

Semi-Annual Report

November 30, 2018

 

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Wells Fargo C&B Large Cap Value Fund

 

LOGO

 

 

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.

 

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Table of Contents

Reduce clutter. Save trees.

Sign up for electronic delivery of prospectuses and shareholder reports at wellsfargo.com/advantagedelivery

Contents

 

 

Letter to shareholders

     2  

Performance highlights

     6  

Fund expenses

     8  
Wells Fargo C&B Large Cap Value Fund  
Portfolio of investments     9  
Financial statements  

Statement of assets and liabilities

     10  

Statement of operations

     11  

Statement of changes in net assets

     12  

Financial highlights

     13  
Notes to financial statements     18  
Wells Fargo C&B Large Cap Value Portfolio  
Portfolio of investments     22  
Financial statements  

Statement of assets and liabilities

     26  

Statement of operations

     27  

Statement of changes in net assets

     28  

Financial highlights

     29  
Notes to financial statements     30  

Other information

     34  

Appendix A

     38  

 

The views expressed and any forward-looking statements are as of November 30, 2018, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Funds Management, LLC. 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 Funds Management, LLC 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


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2   Wells Fargo C&B Large Cap Value Fund   Letter to shareholders (unaudited)

 

LOGO

Andrew Owen

President

Wells Fargo Funds

 

 

 

Global trade tensions escalated during the third quarter of 2018.

 

 

Dear Shareholder:

We are pleased to offer you this semi-annual report for the Wells Fargo C&B Large Cap Value Fund for the six-month period that ended November 30, 2018. During the reporting period, the U.S. generated encouraging economic and business data that was offset by less positive and more inconsistent data from international markets. Investment returns were restrained in comparison with recent periods as geopolitical tensions and uncertainty tended to distract investors from more favorable underlying trends.

For the period, U.S. stocks, as measured by the S&P 500 Index,1 gained 3.02% and international stocks, as measured by the MSCI ACWI ex USA Index (Net),2 declined 8.37%. Based on the MSCI EM Index (Net),3 emerging market stocks lost 9.89%. For bond investors, the Bloomberg Barclays U.S. Aggregate Bond Index4 declined 0.30% while the Bloomberg Barclays Global Aggregate ex-USD Index5 fell 3.67%. The Bloomberg Barclays Municipal Bond Index6 gained 0.42%. The ICE BofAML U.S. High Yield Index7 was up 0.19%.

Global trade tensions prompted investor concerns.

Global trade tensions escalated during the third quarter of 2018. The U.S. government’s decision during the second quarter to impose tariffs on a wide range of products manufactured overseas drew retaliatory responses from foreign governments, which punished U.S. commodity producers and product manufacturers. Investors were left to wonder about next steps in what appeared to be an escalating divergence in global economic policies and growth prospects.

Inflation trended higher. The CPI-U8 added 0.1% in September after an increase of 0.2% in both July and August. On a year-over-year basis, the all-items index rose 2.3% for the 12 months that ended September 30, 2018, after a seasonal adjustment. The rate of increase was slower than that recorded during the first half of 2018. The index for all items less food and energy rose 2.2% for the same 12-month period.

 

 

 

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 U.S. and Canada. 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 large- and mid-cap equity market performance of emerging markets. The MSCI EM Index (Net) consists of the following 24 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, the Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey, and the United Arab Emirates. 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 BofAML 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 2018. ICE Data Indices, LLC. All rights reserved.

 

8 

The Consumer Price Index for All Urban Consumers (CPI-U) measures the changes in the price of a basket of goods and services purchased by urban consumers. The urban consumer population is deemed by many as a better representative measure of the general public because close to 90% of the country’s population lives in highly populated areas. You cannot invest directly in an index.

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Letter to shareholders (unaudited)   Wells Fargo C&B Large Cap Value Fund     3  

U.S. stocks gained following positive economic data while international stocks and bonds declined.

During the summer months, the U.S. economy strengthened. Revised second-quarter gross domestic product (GDP) data released in August showed the U.S. economy growing at a 4.2% rate. The unemployment rate in the U.S. was 3.7% by the end of September, according to the U.S. Department of Labor. Wages showed more consistent growth, and consumer confidence remained strong. Several U.S. equity market indices reached records during August, with the S&P 500 Index gaining 7.20% for the three-month period that ended September 30, 2018. In contrast, the MSCI ACWI ex USA Index (Net) gained 0.71% while the MSCI EM Index (Net) declined 1.09% during the same three-month period.

In June, the Federal Reserve increased the target range for the federal funds rate to range from 1.75% to 2.00%. It raised the range again in September to range from 2.00% to 2.25%. Long-term interest rates in the U.S. remained at higher levels relative to the prior 10 years. Rates on 10-year and 30-year Treasury bonds—2.46% and 2.81%, respectively, on January 1, 2018—were 3.01% and 3.30%, respectively, on November 30, 2018. Investor concerns about an inverted yield curve reemerged, only to be replaced by concerns about the potentially negative influence of higher interest rates on economic activity.

November saw improvement in many equity markets.

As interest rates and bond yields gained during October, stock markets struggled. For the month, the S&P 500 Index fell 6.84%, the MSCI ACWI ex USA Index (Net) dropped 8.13%, and the MSCI EM Index (Net) lost 8.71%. The Bureau of Economic Analysis released its first estimate of third-quarter GDP, which, at an annualized 3.5% rate, indicated growth may be slowing compared with the second quarter. Readings on consumer sentiment and business spending were mixed. Markets rebounded somewhat in November as the S&P 500 Index gained 2.04%, the MSCI ACWI ex USA Index (Net) added 0.95%, and the MSCI EM Index (Net) was up 4.12% as the uncertainty leading up to midterm elections in the U.S. was resolved and progress seemed to be possible on several international trade issues.

Economic signals overseas were mixed as the third quarter ended and the fourth quarter began. In early August, the Bank of England’s Monetary Policy Committee increased its key interest rate to 0.75%. The European Central Bank and the Bank of Japan maintained low interest rates and accommodative monetary policies. Amid rising trade uncertainty, the People’s Bank of China cut reserve requirement ratios and accelerated infrastructure spending and tax cuts for business enterprises and individuals. Nevertheless, a strengthening U.S. dollar and the trade tensions remained headwinds for investors overseas.

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.

 

 

 

Economic signals overseas were mixed as the third quarter ended and the fourth quarter began.

 

 

 

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4   Wells Fargo C&B Large Cap Value Fund   Letter to shareholders (unaudited)

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,

 

LOGO

Andrew Owen

President

Wells Fargo Funds

    

 

 

Notice to shareholders

At a meeting held on August 14-15, 2018, the Board of Trustees of the Fund approved the following policy which will be effective on or about February 5, 2019:

Class C shares will convert automatically into Class A shares ten years after the initial date of purchase or, if you acquired your Class C shares through an exchange or conversion from another share class, ten years after the date you acquired your Class C shares. When Class C shares that you acquired through a purchase or exchange convert, any other Class C shares that you purchased with reinvested dividends and distributions also will convert into Class A shares on a pro rata basis. A shorter holding period may also apply depending on your intermediary. Please see “Appendix A—Sales Charge Reductions and Waivers for Certain Intermediaries” in the Fund’s prospectus or at the end of this report.

 

 

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

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6   Wells Fargo C&B Large Cap Value Fund1   Performance highlights (unaudited)

Investment objective

The Fund seeks maximum long-term total return (current income and capital appreciation), consistent with minimizing risk to principal.

Manager

Wells Fargo Funds Management, LLC

Subadviser for the affiliated master portfolio

Cooke & Bieler, L.P.

Portfolio managers

Andrew Armstrong, CFA®‡

Steve Lyons, CFA®‡

Michael M. Meyer, CFA®‡

Edward W. O’Connor, CFA®‡

R. James O’Neil, CFA®‡

Mehul Trivedi, CFA®‡

William Weber, CFA®‡

Average annual total returns (%) as of November 30, 2018

 

        Including sales charge     Excluding sales charge     Expense ratios2 (%)  
    Inception date   1 year     5 year     10 year     1 year     5 year     10 year     Gross     Net3  
Class A (CBEAX)   7-26-2004     (6.11 )      7.03       11.91       (0.38 )      8.30       12.57       1.21       1.08  
Class C (CBECX)   7-26-2004     (2.10 )      7.50       11.74       (1.10 )      7.50       11.74       1.96       1.83  
Class R6 (CBEJX)4   10-31-2016     –       –       –       0.10       8.69       12.95       0.78       0.65  
Administrator Class (CBLLX)   7-26-2004     –       –       –       (0.23 )      8.46       12.76       1.13       1.00  
Institutional Class (CBLSX)   7-26-2004     –       –       –       (0.04 )      8.71       13.03       0.88       0.75  
Russell 1000® Value Index5   –     –       –       –       2.96       8.65       12.46       –       –  

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on fund distributions or the redemption of fund shares. 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, which assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wellsfargofunds.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 R6, Administrator Class, and Institutional Class shares are sold without a front-end sales charge or contingent deferred sales charge.

Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. Consult the Fund’s prospectus for additional information on these and other risks.

 

 

Please see footnotes on page 7.

Table of Contents

 

Performance highlights (unaudited)   Wells Fargo C&B Large Cap Value Fund     7  
Ten largest holdings (%) as of November 30, 20186  

Arrow Electronics Incorporated

      3.20  

State Street Corporation

      3.20  

Gildan Activewear Incorporated

      2.99  

AerCap Holdings NV

      2.98  

Chubb Limited

      2.77  

JPMorgan Chase & Company

      2.77  

Intercontinental Exchange Incorporated

      2.75  

Johnson & Johnson

      2.69  

Omnicom Group Incorporated

      2.68  

PNC Financial Services Group Incorporated

      2.63  

 

Sector distribution as of November 30, 20187
LOGO
 

 

 

 

 

‡ 

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

 

1 

The Fund is a gateway feeder fund that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with a substantially identical investment objective and substantially similar investment strategies. 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 prospectuses. 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 September 30, 2019 to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’s Total Annual Fund Operating Expenses After Fee Waivers at the amounts shown. Brokerage commissions, stamp duty fees, interest, taxes, acquired money market fund fees and expenses (if any) from funds in which the underlying master portfolio invests, and extraordinary expenses are excluded from the expense cap. After this time, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Net expenses from the underlying affiliated master portfolio are included in the expense cap. 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 prospectuses.

 

4 

Historical performance shown for Class R6 shares prior to their inception reflects the performance of the Institutional Class shares adjusted to reflect the higher expenses applicable to Class R6 shares. If these expenses had been included, returns for Class R6 shares would be higher.

 

5 

The Russell 1000® Value Index measures the performance of those Russell 1000 companies with lower price/book ratios and lower forecasted growth values. You cannot invest directly in an index.

 

6 

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.

 

7 

Amounts represent the sector distribution of the affiliated master portfolio which 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.

Table of Contents

 

8   Wells Fargo C&B Large Cap Value Fund   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 June 1, 2018 to November 30, 2018.

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.

 

     Beginning
account value
6-1-2018		      Ending
account value
11-30-2018		      Expenses
paid during
the period1,2		      Annualized net
expense ratio1		  

Class A

            

Actual

    $ 1,000.00      $ 1,023.01      $ 5.48        1.08 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,019.65      $ 5.47        1.08 % 

Class C

            

Actual

    $ 1,000.00      $ 1,019.64      $ 9.27        1.83 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,015.89      $ 9.25        1.83 % 

Class R6

            

Actual

    $ 1,000.00      $ 1,025.05      $ 3.30        0.65 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,021.81      $ 3.29        0.65 % 

Administrator Class

            

Actual

    $ 1,000.00      $ 1,023.71      $ 5.07        1.00 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,020.05      $ 5.06        1.00 % 

Institutional Class

            

Actual

    $ 1,000.00      $ 1,024.36      $ 3.81        0.75 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,021.31      $ 3.80        0.75 % 

 

 

 

1

Amounts reflect net expenses allocated from the affiliated Master Portfolio in which the Fund invests.

 

2

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).

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo C&B Large Cap Value Fund     9  

      

 

 

Security name                        Value  

Investment Companies: 100.01%

           
Affiliated Master Portfolio: 100.01%           

Wells Fargo C&B Large Cap Value Portfolio

            $ 332,646,637  
          

 

 

  

Total Investment Companies (Cost $268,890,306)

              332,646,637        
          

 

 

  

 

Total investments in securities (Cost $268,890,306)     100.01 %         332,646,637  

Other assets and liabilities, net

     (0.01 )         (43,227 ) 
 

 

 

       

 

 

  
Total net assets     100.00 %       $ 332,603,410  
 

 

 

       

 

 

  

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

    

Dividends
allocated

from
affiliated
Master
Portfolio

    

Affiliated
income
allocated

from
affiliated
Master
Portfolio

    

Value,
end

of period

    

% of

net
assets

  

Wells Fargo C&B Large Cap Value Portfolio

     93 %      78 %    $ 10,026,125     $ (3,233,984 )    $ 3,345,618     $ 80,173     $ 332,646,637       100.01 % 

 

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

Table of Contents

 

10   Wells Fargo C&B Large Cap Value Fund   Statement of assets and liabilities—November 30, 2018 (unaudited)
         

Assets

  

Investments in affiliated Master Portfolio, at value (cost $268,890,306)

   $ 332,646,637  

Receivable for Fund shares sold

     328,669  

Receivable from manager

     23,019  

Prepaid expenses and other assets

     146,181  
 

 

 

  

Total assets

     333,144,506  
 

 

 

  

Liabilities

  

Payable for Fund shares redeemed

     492,275  

Administration fees payable

     34,326  

Distribution fee payable

     6,526  

Trustees’ fees and expenses payable

     2,684  

Accrued expenses and other liabilities

     5,285  
 

 

 

  

Total liabilities

     541,096  
 

 

 

  

Total net assets

   $ 332,603,410  
 

 

 

  

NET ASSETS CONSIST OF

  

Paid-in capital

   $ 246,014,826  

Total distributable earnings

     86,588,584  
 

 

 

  

Total net assets

   $ 332,603,410  
 

 

 

  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARE

  

Net assets – Class A

   $ 80,521,129  

Shares outstanding – Class A1

     5,658,072  

Net asset value per share – Class A

     $14.23  

Maximum offering price per share – Class A2

     $15.10  

Net assets – Class C

   $ 10,151,507  

Shares outstanding – Class C1

     724,185  

Net asset value per share – Class C

     $14.02  

Net assets – Class R6

   $ 109,826,284  

Shares outstanding – Class R61

     7,669,024  

Net asset value per share – Class R6

     $14.32  

Net assets – Administrator Class

   $ 10,146,993  

Shares outstanding – Administrator Class1

     712,183  

Net asset value per share – Administrator Class

     $14.25  

Net assets – Institutional Class

   $ 121,957,497  

Shares outstanding – Institutional Class1

     8,526,553  

Net asset value per share – Institutional Class

     $14.30  

 

 

1 

The 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.

Table of Contents

 

Statement of operations—six months ended November 30, 2018 (unaudited)   Wells Fargo C&B Large Cap Value Fund     11  
         

Investment income

  

Dividends allocated from affiliated Master Portfolio (net of foreign withholding taxes of $24,938)

   $ 3,345,618  

Affiliated income allocated from affiliated Master Portfolio

     80,173  

Expenses allocated from affiliated Master Portfolio

     (1,196,633 ) 

Waivers allocated from affiliated Master Portfolio

     37,850  
 

 

 

  

Total investment income

     2,267,008  
 

 

 

  

Expenses

  

Management fee

     89,180  

Administration fees

  

Class A

     89,223  

Class C

     11,380  

Class R6

     17,202  

Administrator Class

     7,809  

Institutional Class

     87,237  

Shareholder servicing fees

  

Class A

     106,218  

Class C

     13,548  

Administrator Class

     15,017  

Distribution fee

  

Class C

     40,643  

Custody and accounting fees

     6,925  

Professional fees

     11,642  

Registration fees

     33,461  

Shareholder report expenses

     13,790  

Trustees’ fees and expenses

     11,196  

Other fees and expenses

     6,283  
 

 

 

  

Total expenses

     560,754  

Less: Fee waivers and/or expense reimbursements

     (225,540 ) 
 

 

 

  

Net expenses

     335,214  
 

 

 

  

Net investment income

     1,931,794  
 

 

 

  

REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS

  

Net realized gains on securities transactions allocated from affiliated Master Portfolio

     10,026,125  

Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio

     (3,233,984 ) 
 

 

 

  

Net realized and unrealized gains (losses) on investments

     6,792,141  
 

 

 

  

Net increase in net assets resulting from operations

   $ 8,723,935  
 

 

 

  

 

 

 

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

Table of Contents

 

12   Wells Fargo C&B Large Cap Value Fund   Statement of changes in net assets
     Six months ended
November 30, 2018
(unaudited)		     Year ended
May 31, 20181		  

Operations

      

Net investment income

     $ 1,931,794       $ 3,023,151  

Net realized gains on investments

       10,026,125         30,034,249  

Net change in unrealized gains (losses) on investments

       (3,233,984 )        (11,845,354 ) 
 

 

 

  

Net increase in net assets resulting from operations

       8,723,935         21,212,046  
 

 

 

  

Distributions to shareholders from net investment income and net realized gains

      

Class A

       0         (9,243,548 ) 

Class C

       0         (1,063,860 ) 

Class R6

       0         (453,208 ) 

Administrator Class

       0         (1,533,377 ) 

Institutional Class

       0         (27,982,031 ) 
 

 

 

  

Total distributions to shareholders

       0         (40,276,024 ) 
 

 

 

  

Capital share transactions

     Shares         Shares    

Proceeds from shares sold

        

Class A

     151,159       2,180,129       919,384       13,795,201  

Class C

     64,539       908,136       281,614       4,187,818  

Class R6

     421,840       6,115,192       7,863,006       110,525,989  

Administrator Class

     45,861       664,800       297,700       4,486,264  

Institutional Class

     919,138       13,245,520       6,201,334       92,921,657  
 

 

 

  
      23,113,777         225,916,929  
 

 

 

  

Reinvestment of distributions

        

Class A

     0       0       629,729       9,080,968  

Class C

     0       0       73,825       1,051,272  

Class R6

     0       0       31,033       449,875  

Administrator Class

     0       0       87,651       1,265,630  

Institutional Class

     0       0       1,065,954       15,442,909  
 

 

 

  
      0         27,290,654  
 

 

 

  

Payment for shares redeemed

        

Class A

     (655,183 )      (9,373,276 )      (1,094,969 )      (16,239,579 ) 

Class C

     (142,490 )      (2,039,097 )      (110,207 )      (1,620,229 ) 

Class R6

     (676,849 )      (9,827,587 )      (212,138 )      (3,029,866 ) 

Administrator Class

     (249,141 )      (3,576,108 )      (257,513 )      (3,725,510 ) 

Institutional Class

     (2,071,822 )      (29,645,834 )      (12,692,000 )      (180,616,185 ) 
 

 

 

  
      (54,461,902 )        (205,231,369 ) 
 

 

 

  

Net increase (decrease) in net assets resulting from capital share transactions

       (31,348,125 )        47,976,214  
 

 

 

  

Total increase (decrease) in net assets

       (22,624,190 )        28,912,236  
 

 

 

  

Net assets

      

Beginning of period

       355,227,600         326,315,364  
 

 

 

  

End of period

     $ 332,603,410       $ 355,227,600  
 

 

 

  

 

 

1

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 $1,304,663. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 7, Distributions to Shareholders, in the notes to the financial statements.

 

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

Table of Contents

 

Financial highlights   Wells Fargo C&B Large Cap Value Fund     13  

(For a share outstanding throughout each period)

 

    Six months ended
November 30, 2018
(unaudited)		     Year ended May 31  
CLASS A   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $13.91       $14.54       $12.55       $13.07       $11.99       $10.32  

Net investment income

     0.06       0.09 1       0.08       0.11 1       0.10       0.09  

Net realized and unrealized gains (losses) on investments

     0.26       0.87       2.23       (0.14 )      1.07       1.68  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     0.32       0.96       2.31       0.03       1.17       1.77  

Distributions to shareholders from

            

Net investment income

     0.00       (0.06 )      (0.08 )      (0.10 )      (0.09 )      (0.10 ) 

Net realized gains

     0.00       (1.53 )      (0.24 )      (0.39 )      0.00       0.00  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     0.00       (1.59 )      (0.32 )      (0.49 )      (0.09 )      (0.10 ) 

Net asset value, end of period

     $14.23       $13.91       $14.54       $12.55       $13.07       $11.99  

Total return2

     2.30 %      6.29 %      18.62 %      (0.08 )%      9.78 %      17.25 % 

Ratios to average net assets (annualized)

            

Gross expenses3

     1.21 %      1.21 %      1.24 %      1.25 %      1.29 %      1.31 % 

Net expenses3

     1.08 %      1.10 %      1.15 %      1.15 %      1.15 %      1.15 % 

Net investment income3

     0.84 %      0.58 %      0.62 %      0.89 %      0.73 %      0.86 % 

Supplemental data

            

Portfolio turnover rate4

     23 %      42 %      89 %      29 %      35 %      22 % 

Net assets, end of period (000s omitted)

     $80,521       $85,707       $83,016       $88,387       $27,085       $29,537  

 

 

1 

Calculated based upon average shares outstanding

 

2 

Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.65 % 

Year ended May 31, 2018

     0.66 % 

Year ended May 31, 2017

     0.68 % 

Year ended May 31, 2016

     0.68 % 

Year ended May 31, 2015

     0.68 % 

Year ended May 31, 2014

     0.68 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

14   Wells Fargo C&B Large Cap Value Fund   Financial highlights

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
CLASS C   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $13.75       $14.44       $12.48       $13.01       $11.95       $10.29  

Net investment income (loss)

     0.00 1       (0.02 )2      (0.02 )      0.01       (0.00 )3      0.01  

Net realized and unrealized gains (losses) on investments

     0.27       0.86       2.22       (0.14 )      1.07       1.67  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     0.27       0.84       2.20       (0.13 )      1.07       1.68  

Distributions to shareholders from

            

Net investment income

     0.00       0.00       0.00       (0.01 )      (0.01 )      (0.02 ) 

Net realized gains

     0.00       (1.53 )      (0.24 )      (0.39 )      0.00       0.00  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     0.00       (1.53 )      (0.24 )      (0.40 )      (0.01 )      (0.02 ) 

Net asset value, end of period

     $14.02       $13.75       $14.44       $12.48       $13.01       $11.95  

Total return4

     1.96 %      5.46 %      17.73 %      (0.82 )%      8.93 %      16.39 % 

Ratios to average net assets (annualized)

            

Gross expenses5

     1.96 %      1.96 %      1.99 %      2.00 %      2.04 %      2.06 % 

Net expenses5

     1.83 %      1.85 %      1.90 %      1.90 %      1.90 %      1.90 % 

Net investment income (loss)5

     0.09 %      (0.16 )%      (0.13 )%      0.11 %      (0.02 )%      0.11 % 

Supplemental data

            

Portfolio turnover rate6

     23 %      42 %      89 %      29 %      35 %      22 % 

Net assets, end of period (000s omitted)

     $10,152       $11,031       $8,043       $7,282       $7,654       $7,262  

 

 

1 

Amount is less than $0.005.

 

2 

Calculated based upon average shares outstanding

 

3 

Amount is more than $(0.005).

 

4 

Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

 

5 

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

 

Six months ended November 30, 2018 (unaudited)

     0.65 % 

Year ended May 31, 2018

     0.66 % 

Year ended May 31, 2017

     0.68 % 

Year ended May 31, 2016

     0.68 % 

Year ended May 31, 2015

     0.68 % 

Year ended May 31, 2014

     0.68 % 

 

6 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

Financial highlights   Wells Fargo C&B Large Cap Value Fund     15  

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
CLASS R6   2018     20171  

Net asset value, beginning of period

     $13.97       $14.59       $12.73  

Net investment income

     0.10       0.18 2       0.16  

Net realized and unrealized gains (losses) on investments

     0.25       0.85       2.06  
 

 

 

    

 

 

    

 

 

  

Total from investment operations

     0.35       1.03       2.22  

Distributions to shareholders from

      

Net investment income

     0.00       (0.12 )      (0.12 ) 

Net realized gains

     0.00       (1.53 )      (0.24 ) 
 

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     0.00       (1.65 )      (0.36 ) 

Net asset value, end of period

     $14.32       $13.97       $14.59  

Total return3

     2.51 %      6.76 %      17.65 % 

Ratios to average net assets (annualized)

      

Gross expenses4

     0.78 %      0.77 %      0.81 % 

Net expenses4

     0.65 %      0.65 %      0.70 % 

Net investment income4

     1.27 %      1.28 %      1.04 % 

Supplemental data

      

Portfolio turnover rate5

     23 %      42 %      89 % 

Net assets, end of period (000s omitted)

     $109,826       $110,665       $3,532  

 

 

1 

For the period from October 31, 2016 (commencement of class operations) to May 31, 2017

 

2 

Calculated based upon average shares outstanding

 

3 

Returns for periods of less than one year are not annualized.

 

4 

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

 

Six months ended November 30, 2018 (unaudited)

     0.65 % 

Year ended May 31, 2018

     0.65 % 

Year ended May 31, 20171

     0.68 % 

 

5 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

16   Wells Fargo C&B Large Cap Value Fund   Financial highlights

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
ADMINISTRATOR CLASS   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $13.92       $14.56       $12.54       $13.07       $12.00       $10.32  

Net investment income

     0.07 1       0.10 1       0.10 1       0.13 1       0.13       0.12 1  

Net realized and unrealized gains (losses) on investments

     0.26       0.87       2.24       (0.15 )      1.06       1.68  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     0.33       0.97       2.34       (0.02 )      1.19       1.80  

Distributions to shareholders from

            

Net investment income

     0.00       (0.08 )      (0.08 )      (0.12 )      (0.12 )      (0.12 ) 

Net realized gains

     0.00       (1.53 )      (0.24 )      (0.39 )      0.00       0.00  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     0.00       (1.61 )      (0.32 )      (0.51 )      (0.12 )      (0.12 ) 

Net asset value, end of period

     $14.25       $13.92       $14.56       $12.54       $13.07       $12.00  

Total return2

     2.37 %      6.36 %      18.82 %      0.11 %      9.93 %      17.49 % 

Ratios to average net assets (annualized)

            

Gross expenses3

     1.13 %      1.13 %      1.16 %      1.16 %      1.13 %      1.14 % 

Net expenses3

     1.00 %      1.00 %      1.00 %      0.98 %      0.95 %      0.95 % 

Net investment income3

     0.90 %      0.69 %      0.77 %      1.03 %      0.92 %      1.08 % 

Supplemental data

            

Portfolio turnover rate4

     23 %      42 %      89 %      29 %      35 %      22 % 

Net assets, end of period (000s omitted)

     $10,147       $12,742       $11,467       $23,210       $55,705       $53,884  

 

 

1 

Calculated based upon average shares outstanding

 

2 

Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.65 % 

Year ended May 31, 2018

     0.66 % 

Year ended May 31, 2017

     0.68 % 

Year ended May 31, 2016

     0.68 % 

Year ended May 31, 2015

     0.68 % 

Year ended May 31, 2014

     0.68 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

Financial highlights   Wells Fargo C&B Large Cap Value Fund     17  

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
INSTITUTIONAL CLASS   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $13.96       $14.58       $12.58       $13.11       $12.03       $10.35  

Net investment income

     0.09       0.13 1       0.14       0.16       0.15       0.14  

Net realized and unrealized gains (losses) on investments

     0.25       0.89       2.22       (0.14 )      1.08       1.69  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     0.34       1.02       2.36       0.02       1.23       1.83  

Distributions to shareholders from

            

Net investment income

     0.00       (0.11 )      (0.12 )      (0.16 )      (0.15 )      (0.15 ) 

Net realized gains

     0.00       (1.53 )      (0.24 )      (0.39 )      0.00       0.00  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     0.00       (1.64 )      (0.36 )      (0.55 )      (0.15 )      (0.15 ) 

Net asset value, end of period

     $14.30       $13.96       $14.58       $12.58       $13.11       $12.03  

Total return2

     2.44 %      6.68 %      19.05 %      0.33 %      10.15 %      17.86 % 

Ratios to average net assets (annualized)

            

Gross expenses3

     0.88 %      0.88 %      0.91 %      0.92 %      0.86 %      0.88 % 

Net expenses3

     0.75 %      0.77 %      0.80 %      0.77 %      0.70 %      0.70 % 

Net investment income3

     1.17 %      0.87 %      0.96 %      1.25 %      1.18 %      1.34 % 

Supplemental data

            

Portfolio turnover rate4

     23 %      42 %      89 %      29 %      35 %      22 % 

Net assets, end of period (000s omitted)

     $121,957       $135,082       $220,257       $133,632       $132,768       $104,758  

 

 

1 

Calculated based upon average shares outstanding

 

2 

Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.65 % 

Year ended May 31, 2018

     0.66 % 

Year ended May 31, 2017

     0.68 % 

Year ended May 31, 2016

     0.68 % 

Year ended May 31, 2015

     0.68 % 

Year ended May 31, 2014

     0.68 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

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18   Wells Fargo C&B Large Cap Value Fund   Notes to financial statements (unaudited)

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 Wells Fargo C&B Large Cap Value Fund (the “Fund”) which is a diversified series of the Trust.

The Fund is a feeder fund in a master-feeder structure that invests substantially all of its assets in a single master portfolio with a substantially identical investment objective and substantially similar investment strategies. The Fund seeks to achieve its investment objective by investing all investable assets in a separate diversified portfolio (the “affiliated Master Portfolio”) of Wells Fargo Master Trust, a registered open-end management investment company. The affiliated Master Portfolio directly acquires portfolio securities and the Fund acquires an indirect interest in those securities. The Fund accounts for its investment in the affiliated Master Portfolio as a partnership investment and records on a daily basis its share of the affiliated Master Portfolio’s income, expense and realized and unrealized gains and losses. The financial statements of the affiliated Master Portfolio for the six months ended November 30, 2018 are included in this report and should be read in conjunction with the Fund’s financial statements. As of November 30, 2018, the Fund owned 78% of Wells Fargo C&B Large Cap Value Portfolio.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the 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 Fund may deviate from this calculation time under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of the affiliated Master Portfolio’s net assets, which are also valued daily. Securities held in the affiliated Master Portfolio are valued as discussed in the Notes to Financial Statements of the affiliated Master Portfolio, which are included elsewhere in this report.

Investment transactions, income and expenses

Investments in the affiliated Master Portfolio are recorded on a trade basis.

The Fund records daily its proportionate share of the affiliated Master Portfolio’s interest and dividend income, expenses and realized and unrealized gains or losses. The 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 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 the Fund’s fiscal year end. Therefore, a portion of the 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

The 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.

The 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 the 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.

Table of Contents

 

Notes to financial statements (unaudited)   Wells Fargo C&B Large Cap Value Fund     19  

As of November 30, 2018, the aggregate cost of all investments for federal income tax purposes was $271,105,087 and the unrealized gains (losses) consisted of:

 

Gross unrealized gains

    $ 61,541,550  

Gross unrealized losses

      0  

Net unrealized gains

    $ 61,541,550  

Class allocations

The separate classes of shares offered by the 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 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 November 30, 2018, the affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective and the value of the affiliate Master Portfolio was as follows:

 

Affiliated Master Portfolio    Investment objective    Value of
affiliated Master
Portfolio		  

Wells Fargo C&B Large Cap Value Portfolio

    Seeks maximum long-term total return (current income and capital appreciation), consistent with minimizing risk to principal      $332,646,637  

The 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 the 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 the Fund, supervising the subadviser and providing fund-level administrative services in connection with the Fund’s operations. As long as the Fund continues to invest substantially all of its assets in a single affiliated Master Portfolio, the Fund pays Funds Management an investment management fee only for fund-level administrative services at an annual rate starting at 0.05% and declining to 0.03% as the average daily net assets of the Fund increase. For the six months ended November 30, 2018, the management fee was equivalent to an annual rate of 0.05% of the Fund’s average daily net assets.

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

Administration fees

Under a class-level administration agreement, Funds Management provides class-level administrative services to the 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 R6

      0.03  

Administrator Class, Institutional Class

      0.13  

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20   Wells Fargo C&B Large Cap Value Fund   Notes to financial statements (unaudited)

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; otherwise, waivers and/or reimbursements are applied against class specific expenses before fund level expenses. Net expenses from the affiliated Master Portfolio are included in the expense cap. Funds Management has committed through September 30, 2019 to waive fees and/or reimburse expenses to the extent necessary to cap each Fund’s expenses at 1.08% for Class A shares, 1.83% for Class C shares, 0.65% for Class R6 shares, 1.00% for Class Administrator Class shares and 0.75% for Institutional Class shares. After this time, 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 the Fund pursuant to Rule 12b-1 under the 1940 Act. A distribution fee is charged to Class C shares and paid to Wells Fargo Funds Distributor, LLC (“Funds Distributor”), the principal underwriter, 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 six months ended November 30, 2018, Funds Distributor received $854 from the sale of Class A shares and $29 in contingent deferred sales charges from redemptions of Class C shares. No contingent deferred sales charges were incurred by Class A shares for the six months ended November 30, 2018.

Shareholder servicing fees

The Trust has entered into contracts with one or more shareholder servicing agents, whereby Class A, Class C, and Administrator Class of the Fund are charged a fee at an annual rate of 0.25% of the average daily net assets of each respective class.

A portion of these total shareholder servicing fees were paid to affiliates of Wells Fargo.

5. INVESTMENT PORTFOLIO TRANSACTIONS

The Fund seeks to achieve its investment objective by investing substantially all of its investable assets in a single affiliated Master Portfolio. Purchases and sales have been calculated by multiplying the Fund’s ownership percentage of the affiliated Master Portfolio by the affiliated Master Portfolio’s purchases and sales. Purchases and sales of investments, excluding U.S. government obligations (if any) and short-term securities, for the six months ended November 30, 2018 were $103,695,875 and $75,798,561, respectively.

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 six months ended November 30, 2018, there were no borrowings by the Fund under the agreement.

7. DISTRIBUTIONS TO SHAREHOLDERS

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. The amounts of distributions to shareholders for the year ended May 31, 2018 were as follows:

 

    

Net investment

income

        Net realized
gains		  

Class A

    $ 403,349        $ 8,840,199  

Class C

      0          1,063,860  

Class R6

      36,739          416,469  

Administrator Class

      86,666          1,446,711  

Institutional Class

      2,028,817          25,953,214  

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Notes to financial statements (unaudited)   Wells Fargo C&B Large Cap Value Fund     21  

8. CONCENTRATION RISK

Concentration risk result from exposure to a limited number of sectors. Through its investment in the affiliated Master Portfolio which may invest a substantial portion of its assets in any sector, the Fund may in turn be more affected by changes in that sector than a fund whose investments are not heavily weighted in any sector.

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 Fund and, therefore, cannot be estimated.

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 DISTRIBUTIONS

On December 12, 2018, the Fund declared distributions from short-term capital gains and long-term capital gains to shareholders of record on December 11, 2018. The per share amounts payable on December 13, 2018, were as follows:

 

     Short-term
capital gains		        Long-term
capital gains		  

Class A

      $0.20176          $0.71046  

Class C

      0.20176          0.71046  

Class R6

      0.20176          0.71046  

Administrator Class

      0.20176          0.71046  

Institutional Class

      0.20176          0.71046  

On December 18, 2018, the Fund declared distributions from net investment income to shareholders of record on December 17, 2018. The per share amounts payable on December 19, 2018 were as follows:

 

     Net investment
income		  

Class A

    $ 0.11518  

Class C

      0.00789  

Class R6

      0.17502  

Administrator Class

      0.11958  

Institutional Class

      0.16218  

These distributions are not reflected in the accompanying financial statements.

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22   Wells Fargo C&B Large Cap Value Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  

Common Stocks: 97.50%

           

Communication Services: 5.15%

           
Diversified Telecommunication Services: 2.47%           

Verizon Communications Incorporated

           174,500      $ 10,522,350  
          

 

 

  
Media: 2.68%           

Omnicom Group Incorporated

           148,600        11,437,742  
          

 

 

  

Consumer Discretionary: 8.60%

           
Hotels, Restaurants & Leisure: 2.11%           

Carnival Corporation

           149,500        9,013,355  
          

 

 

  
Household Durables: 1.80%           

Whirlpool Corporation

           60,900        7,681,317  
          

 

 

  
Textiles, Apparel & Luxury Goods: 4.69%           

Gildan Activewear Incorporated

           387,904        12,738,767  

HanesBrands Incorporated

           455,400        7,245,414  
     19,984,181  
          

 

 

  

Consumer Staples: 3.20%

           
Beverages: 1.16%           

Diageo plc ADR

           34,200        4,936,770  
          

 

 

  
Tobacco: 2.04%           

Philip Morris International Incorporated

           100,600        8,704,918  
          

 

 

  

Energy: 5.21%

           
Energy Equipment & Services: 1.61%           

Schlumberger Limited

           153,000        6,900,300  
          

 

 

  
Oil, Gas & Consumable Fuels: 3.60%           

Exxon Mobil Corporation

           125,500        9,977,250  

World Fuel Services Corporation

           208,300        5,372,057  
     15,349,307  
          

 

 

  

Financials: 27.79%

           
Banks: 5.40%           

JPMorgan Chase & Company

           106,200        11,808,378  

PNC Financial Services Group Incorporated

           82,750        11,235,795  
     23,044,173  
          

 

 

  
Capital Markets: 8.53%           

Brookfield Asset Management Incorporated Class A

           251,500        11,035,820  

Intercontinental Exchange Incorporated

           143,700        11,743,164  

State Street Corporation

           186,700        13,632,834  
     36,411,818  
          

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo C&B Large Cap Value Portfolio     23  

      

 

 

Security name                 Shares      Value  
Consumer Finance: 2.09%           

Synchrony Financial

           344,000      $ 8,937,120  
          

 

 

  
Diversified Financial Services: 1.54%           

Berkshire Hathaway Incorporated Class B †

           30,100        6,569,024  
          

 

 

  
Insurance: 10.23%           

Arch Capital Group Limited †

           302,644        8,661,671  

Chubb Limited

           88,500        11,835,990  

Fidelity National Financial Incorporated

           329,300        11,064,480  

RenaissanceRe Holdings Limited

           54,000        7,160,940  

The Progressive Corporation

           74,000        4,905,460  
     43,628,541  
          

 

 

  

Health Care: 11.58%

           
Health Care Equipment & Supplies: 2.78%           

Abbott Laboratories

           59,600        4,413,380  

Becton Dickinson & Company

           29,400        7,430,850  
     11,844,230  
          

 

 

  
Health Care Providers & Services: 3.92%           

Cardinal Health Incorporated

           104,900        5,751,667  

Laboratory Corporation of America Holdings †

           39,700        5,781,908  

UnitedHealth Group Incorporated

           18,400        5,177,024  
     16,710,599  
          

 

 

  
Pharmaceuticals: 4.88%           

Allergan plc

           59,900        9,380,340  

Johnson & Johnson

           78,000        11,458,200  
     20,838,540  
          

 

 

  

Industrials: 16.26%

           
Air Freight & Logistics: 2.45%           

United Parcel Service Incorporated Class B

           90,800        10,468,332  
          

 

 

  
Building Products: 2.39%           

Johnson Controls International plc

           292,600        10,176,628  
          

 

 

  
Electrical Equipment: 3.73%           

AMETEK Incorporated

           77,500        5,690,825  

Eaton Corporation plc

           132,900        10,225,326  
     15,916,151  
          

 

 

  
Machinery: 4.71%           

Colfax Corporation †

           377,200        9,407,368  

Snap-on Incorporated

           64,300        10,689,232  
     20,096,600  
          

 

 

  
Trading Companies & Distributors: 2.98%           

AerCap Holdings NV †

           240,700        12,725,809  
          

 

 

  

 

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

Table of Contents

 

24   Wells Fargo C&B Large Cap Value Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                Shares      Value  

Information Technology: 11.90%

          
Electronic Equipment, Instruments & Components: 4.82%          

Arrow Electronics Incorporated †

          177,300      $ 13,646,781  

TE Connectivity Limited

          90,100        6,931,393  
     20,578,174  
         

 

 

  
IT Services: 3.70%          

Alliance Data Systems Corporation

          30,500        6,110,980  

Amdocs Limited

          148,800        9,658,608  
            15,769,588  
         

 

 

  
Semiconductors & Semiconductor Equipment: 3.38%          

Analog Devices Incorporated

          47,301        4,347,908  

Applied Materials Incorporated

          269,800        10,058,144  
            14,406,052  
         

 

 

  

Materials: 6.31%

          
Chemicals: 1.73%          

Axalta Coating Systems Limited †

          295,700        7,401,371  
         

 

 

  
Containers & Packaging: 3.57%          

Ball Corporation

          87,400        4,292,214  

Crown Holdings Incorporated †

          213,600        10,953,408  
            15,245,622  
         

 

 

  
Metals & Mining: 1.01%          

Reliance Steel & Aluminum Company

          53,300        4,287,985  
         

 

 

  

Real Estate: 1.50%

          
Real Estate Management & Development: 1.50%          

CBRE Group Incorporated Class A †

          146,700        6,407,856  
         

 

 

  

Total Common Stocks (Cost $342,985,403)

             415,994,453  
         

 

 

  
    Yield                                     
Short-Term Investments: 1.94%          
Investment Companies: 1.94%          

Wells Fargo Government Money Market Fund Select Class (l)(u)

     2.13 %         8,272,722        8,272,722  
         

 

 

  

Total Short-Term Investments (Cost $8,272,722)

             8,272,722        
         

 

 

  

 

Total investments in securities (Cost $351,258,125)     99.44 %         424,267,175  

Other assets and liabilities, net

     0.56          2,397,128  
 

 

 

       

 

 

  
Total net assets     100.00 %       $ 426,664,303  
 

 

 

       

 

 

  

 

 

†

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:

 

ADR

American depositary receipt

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo C&B Large Cap Value Portfolio     25  

      

 

 

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

                  

Securities Lending Cash Investments LLC*

     10,765,440       41,129,061       51,894,501       0     $ 2,788     $ (49 )    $ 9,452     $ 0    

Wells Fargo Government Money Market Fund Select Class

     11,494,258       70,046,036       73,267,572       8,272,722       0       0       89,422       8,272,722    
         

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
          $ 2,788     $ (49 )    $ 98,874     $ 8,272,722       1.94 % 
         

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

  *

No longer held at the end of the period.

 

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

Table of Contents

 

26   Wells Fargo C&B Large Cap Value Portfolio   Statement of assets and liabilities—November 30, 2018 (unaudited)
         

Assets

  

Investments in unaffiliated securities, at value (cost $342,985,403)

   $ 415,994,453  

Investments in affiliated securities, at value (cost $8,272,722)

     8,272,722  

Receivable for investments sold

     1,425,998  

Receivable for dividends

     1,219,591  

Receivable for securities lending income

     2,954  

Prepaid expenses and other assets

     20,755  
 

 

 

  

Total assets

     426,936,473  
 

 

 

  

Liabilities

  

Advisory fee payable

     233,233  

Custodian and accounting fees payable

     25,368  

Professional fees payable

     13,569  
 

 

 

  

Total liabilities

     272,170  
 

 

 

  

Total net assets

   $ 426,664,303  
 

 

 

  

 

 

 

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

Table of Contents

 

Statement of operations—six months ended November 30, 2018 (unaudited)   Wells Fargo C&B Large Cap Value Portfolio     27  
         

Investment income

  

Dividends (net of foreign withholding taxes of $31,807)

   $ 4,150,571  

Income from affiliated securities

     98,874  
 

 

 

  

Total investment income

     4,249,445  
 

 

 

  

Expenses

  

Advisory fee

     1,438,482  

Custody and accounting fees

     10,981  

Professional fees

     19,372  

Shareholder report expenses

     537  

Trustees’ fees and expenses

     11,370  

Other fees and expenses

     4,601  
 

 

 

  

Total expenses

     1,485,343  

Less: Fee waivers and/or expense reimbursements

     (46,861 ) 
 

 

 

  

Net expenses

     1,438,482  
 

 

 

  

Net investment income

     2,810,963  
 

 

 

  

REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS

  

Net realized gains on:

  

Unaffiliated securities

     12,254,730  

Affiliated securities

     2,788  
 

 

 

  

Net realized gains on investments

     12,257,518  
 

 

 

  

Net change in unrealized gains (losses) on:

  

Unaffiliated securities

     (3,051,819 ) 

Affiliated securities

     (49 ) 
 

 

 

  

Net change in unrealized gains (losses) on investments

     (3,051,868 ) 
 

 

 

  

Net realized and unrealized gains (losses) on investments

     9,205,650  
 

 

 

  

Net increase in net assets resulting from operations

   $ 12,016,613  
 

 

 

  

 

 

 

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

Table of Contents

 

28   Wells Fargo C&B Large Cap Value Portfolio   Statement of changes in net assets
    

Six months ended
November 30, 2018

(unaudited)

        Year ended
May 31, 2018		  

Operations

       

Net investment income

   $ 2,810,963        $ 4,162,366  

Net realized gains on investments

     12,257,518          34,247,156  

Net change in unrealized gains (losses) on investments

     (3,051,868 )         (13,968,164 ) 
 

 

 

  

Net increase in net assets resulting from operations

     12,016,613          24,441,358  
 

 

 

  

Capital transactions

  

Transactions in investors’ beneficial interests

       

Contributions

     88,281,269          67,670,834  

Withdrawals

     (55,836,696 )         (73,762,455 ) 
 

 

 

  

Net increase (decrease) in net assets resulting from capital transactions

     32,444,573          (6,091,621 ) 
 

 

 

  

Total increase in net assets

     44,461,186          18,349,737  
 

 

 

  

Net assets

  

Beginning of period

     382,203,117          363,853,380  
 

 

 

  

End of period

   $ 426,664,303        $ 382,203,117  
 

 

 

  

 

 

 

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

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Financial highlights   Wells Fargo C&B Large Cap Value Portfolio     29  
   

Six months ended

November 30, 2018

(unaudited)

     Year ended May 31  
     2018     2017     2016     2015     2014  

Total return1

     2.55 %      6.65 %      19.17 %      0.35 %      10.29 %      17.80 % 

Ratios to average net assets (annualized)

            

Gross expenses

     0.67 %      0.67 %      0.68 %      0.68 %      0.68 %      0.68 % 

Net expenses

     0.65 %      0.66 %      0.68 %      0.68 %      0.68 %      0.68 % 

Net investment income

     1.27 %      1.02 %      1.09 %      1.33 %      1.20 %      1.35 % 

Supplemental data

            

Portfolio turnover rate

     23 %      42 %      89 %      29 %      35 %      22 % 

 

 

1 

Returns for periods of less than one year are not annualized.

 

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

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30   Wells Fargo C&B Large Cap Value Portfolio   Notes to financial statements (unaudited)

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 Wells Fargo C&B Large Cap Value Portfolio (“C&B Large Cap Value Portfolio”) which is a diversified series of the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the 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 Portfolio may deviate from this calculation time under unusual or unexpected circumstances.

Equity securities that are listed on a foreign or domestic exchange or market are valued at the official closing price or, if none, the last sales price. If no sale occurs on the principal exchange or market that day, a fair value price will be determined in accordance with the Portfolio’s Valuation Procedures.

Investments in registered open-end investment companies are valued at net asset value. Interests in non-registered investment companies that are redeemable at net asset value are fair valued normally at net asset value.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Portfolio. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC (“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.

Securities lending

The Portfolio may lend its securities from time to time in order to earn additional income in the form of fees or interest on securities received as collateral or the investment of any cash received as collateral. The Portfolio continues to receive interest or dividends on the securities loaned. The Portfolio receives collateral in the form of cash or securities with a value at least equal to the value of the securities on loan. The value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Portfolio on the next business day. In a securities lending transaction, the net asset value of the Portfolio will be affected by an increase or decrease in the value of the securities loaned and by an increase or decrease in the value of the instrument in which collateral is invested. The amount of securities lending activity undertaken by the Portfolio fluctuates from time to time. In the event of default or bankruptcy by the borrower, the Portfolio may be prevented from recovering the loaned securities or gaining access to the collateral or may experience delays or costs in doing so. In addition, the investment of any cash collateral received may lose all or part of its value. The Portfolio has the right under the lending agreement to recover the securities from the borrower on demand.

The Portfolio lends its securities through an unaffiliated securities lending agent. Cash collateral received in connection with its securities lending transactions is invested in Securities Lending Cash Investments, LLC (the “Securities Lending Fund”). The Securities Lending Fund is exempt from registration under Section 3(c)(7) of the 1940 Act and is managed by Funds Management and is subadvised by Wells Capital Management Incorporated (“WellsCap”), an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”). Funds Management receives an advisory fee starting at 0.05% and declining to 0.01% as the average daily net assets of the Securities Lending Fund increase. All of the fees received by Funds Management are paid to WellsCap for its services as subadviser. The

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Notes to financial statements (unaudited)   Wells Fargo C&B Large Cap Value Portfolio     31  

Securities Lending Fund seeks to provide a positive return compared to the daily Fed Funds Open Rate by investing in high-quality, U.S. dollar-denominated short-term money market instruments. Securities Lending Fund investments are valued at the evaluated bid price provided by an independent pricing service. Income earned from investment in the Securities Lending Fund, if any, is included in income from affiliated securities on the Statement 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.

Dividend income is recognized on the ex-dividend date. Dividend income is recorded net of foreign taxes withheld where recovery of such taxes is not assured.

Federal and other taxes

The Portfolio is treated as a separate entity for federal income tax purposes. The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains 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.

The Portfolio’s income tax returns and all financial records supporting those returns for the prior three fiscal years are subject to examination by the federal revenue authority. Management has analyzed the 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 November 30, 2018, the aggregate cost of all investments for federal income tax purposes was $354,702,026 and the unrealized gains (losses) consisted of:

 

Gross unrealized gains

    $ 87,654,641  

Gross unrealized losses

      (18,089,492 ) 

Net unrealized gains

    $ 69,565,149  

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 the Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

 

∎  

Level 1 – quoted prices in active markets for identical securities

 

∎  

Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

 

∎  

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

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32   Wells Fargo C&B Large Cap Value Portfolio   Notes to financial statements (unaudited)

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of November 30, 2018:

 

     Quoted prices
(Level 1)		      Other significant
observable inputs
(Level 2)		     

Significant
unobservable inputs

(Level 3)

      Total  

Assets

            

Investments in:

            

Common stocks

            

Communication services

    $ 21,960,092      $ 0      $ 0      $ 21,960,092  

Consumer discretionary

      36,678,853        0        0        36,678,853  

Consumer staples

      13,641,688        0        0        13,641,688  

Energy

      22,249,607        0        0        22,249,607  

Financials

      118,590,676        0        0        118,590,676  

Health care

      49,393,369        0        0        49,393,369  

Industrials

      69,383,520        0        0        69,383,520  

Information technology

      50,753,814        0        0        50,753,814  

Materials

      26,934,978        0        0        26,934,978  

Real estate

      6,407,856        0        0        6,407,856  

Short-term investments

            

Investment companies

      8,272,722        0        0        8,272,722  

Total assets

    $ 424,267,175      $ 0      $ 0      $ 424,267,175  

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

At November 30, 2018, the Portfolio did not have any transfers into/out of Level 3.

4. TRANSACTIONS WITH AFFILIATES AND OTHER EXPENSES

Advisory fee

The Trust has entered into an advisory contract with Funds Management, an indirect wholly owned subsidiary of Wells Fargo. The adviser is responsible for implementing investment policies and guidelines and for supervising the subadviser, who is responsible for day-to-day portfolio management of the Portfolios. Pursuant to the contract, Funds Management is entitled to receive an annual advisory fee starting at 0.65% and declining to 0.475% as the average daily net assets of the Portfolio increase. For the six months ended November 30, 2018, the advisory fee was equivalent to an annual rate of 0.65% of the Portfolio’s average daily net assets.

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Portfolio. The fee for subadvisory services is borne by Funds Management. Cooke & Bieler, L.P., which is not an affiliate of Funds Management, is the subadviser to the Portfolio and is entitled to receive a fee from Funds Management at an annual rate starting at 0.38% and declining to 0.30% as the average daily net assets of the Portfolio increase.

Funds Management has voluntarily waived and/or reimbursed advisory fees to the extent necessary to maintain the net operating expense ratio of the Portfolio.

Interfund transactions

The Portfolio 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.

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments, excluding U.S. government obligations (if any) and short-term securities, for the six months ended November 30, 2018 were $133,003,984 and $97,221,906, respectively.

6. BANK BORROWINGS

Effective August 28, 2018, 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 the Portfolio is permitted to use

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Notes to financial statements (unaudited)   Wells Fargo C&B Large Cap Value Portfolio     33  

bank borrowings for temporary or emergency purposes, such as to fund shareholder redemption requests. Interest under the credit agreement is charged to the 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.

For the six months ended November 30, 2018, there were no borrowings by the Portfolio under the agreement.

7. CONCENTRATION RISK

Concentration risks result from exposure to a limited number of sectors. A portfolio that invests a substantial portion of its assets in a sector may be more affected by changes in that sector than would be a portfolio whose investments are not heavily weighted in any sector.

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 Portfolio 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.

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34   Wells Fargo C&B Large Cap Value Fund   Other information (unaudited)

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 wellsfargofunds.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 wellsfargofunds.com or by visiting the SEC website at sec.gov.

PORTFOLIO HOLDINGS INFORMATION

The complete portfolio holdings are publicly available on the website (wellsfargofunds.com) on a one-month delayed basis. In addition, top ten holdings information (excluding derivative positions) is publicly available on the website on a monthly, seven-day or more delayed basis. The Fund and the Portfolio each file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. In addition, each Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and at regional offices in New York City, at 233 Broadway, and in Chicago, at 175 West Jackson Boulevard, Suite 900. Information about the Public Reference Room may be obtained by calling 1-800-SEC-0330.

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Other information (unaudited)   Wells Fargo C&B Large Cap Value Fund     35  

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 152 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. Board member of the Vincent Memorial Hospital Endowment (non-profit organization), where he serves on the Investment Committee and as a Chair of the Audit Committee. 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.3

(Born 1952)

   Trustee, since 2009   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. Johnson3

(Born 1949)

   Trustee, since 2008; Audit Committee Chairman, since 2009   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

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

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36   Wells Fargo C&B Large Cap Value Fund   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

Olivia S. Mitchell

(Born 1953)

   Trustee, since 2006; Nominating and Governance Committee Chairman, 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; Vice Chairman, from 2017 to 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; Advisory Board Member, from 2017 to 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

Michael S. Scofield4

(Born 1943)

   Trustee, since 2010   Served on the Investment Company Institute’s Board of Governors and Executive Committee from 2008-2011 as well the Governing Council of the Independent Directors Council from 2006-2011 and the Independent Directors Council Executive Committee from 2008-2011. Trustee of the Evergreen Fund complex (and its predecessors) from 1984 to 2010. Chairman of the Evergreen Funds from 2000-2010. Former Trustee of the Mentor Funds. Retired Attorney, Law Offices of Michael S. Scofield.   N/A

Pamela Wheelock

(Born 1959)

   Trustee, since 2018; Advisory Board Member, from 2017 to 2018   Chief Operating Officer, Twin Cities Habitat for Humanity, since January, 2017. Vice President of University Services, University of Minnesota from 2012 to 2017. 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 President and Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2010 to 2011, Chairman of the Board from 2009 to 2011 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. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently the 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)   Wells Fargo C&B Large Cap Value Fund     37  

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.    

Nancy Wiser1

(Born 1967)

   Treasurer, since 2012   Executive Vice President of Wells Fargo Funds Management, LLC since 2011. Chief Operating Officer and Chief Compliance Officer at LightBox Capital Management LLC, from 2008 to 2011.    

Alexander Kymn

(Born 1973)

   Secretary, since 2018; Chief Legal Officer, since 2018   Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.    

Michael H. Whitaker

(Born 1967)

   Chief Compliance Officer, since 2016   Senior Vice President and Chief Compliance Officer 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.    

Jeremy DePalma1

(Born 1974)

   Assistant Treasurer, since 2009   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.    

 

 

1

Nancy Wiser acts as Treasurer of 76 funds in the Fund Complex. Jeremy DePalma acts as Treasurer of 76 funds and Assistant Treasurer of 76 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 wellsfargofunds.com.

 

3 

Mr. Harris will replace Ms. Johnson as the Chairman of the Audit Committee effective January 1, 2019.

 

4 

Mr. Scofield is expected to retire on December 31, 2018.

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38   Wells Fargo C&B Large Cap Value Fund   Appendix A (unaudited)

SALES CHARGE REDUCTIONS AND WAIVERS FOR CERTAIN INTERMEDIARIES

Raymond James & Associates, Inc., Raymond James Financial Services & Raymond James affiliates (“Raymond James”)

Effective on or about March 1, 2019, shareholders purchasing Fund shares through a Raymond James platform or account will be eligible only for the following load waivers (front-end sales charge waivers and contingent deferred, 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 Load Waivers on Class A shares Available at Raymond James

 

  •  

Shares purchased in an investment advisory program.

 

  •  

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).

 

  •  

Employees and registered representatives of Raymond James or its affiliates and their family members as designated by Raymond James.

 

  •  

Shares purchased from the proceeds of redemptions within the same fund family, provided (1) the repurchase occurs within 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 (known as Rights of Reinstatement).

 

  •  

A shareholder in the fund’s Class C shares will have their shares automatically exchanged at net asset value to Class A shares (or the appropriate share class) of the fund if the shares are no longer subject to a CDSC and the exchange is in line with the policies and procedures of Raymond James.

CDSC Waivers on Class A and C Shares Available at Raymond James

 

  •  

Death or disability of the shareholder.

 

  •  

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

 

  •  

Return of excess contributions from an IRA Account.

 

  •  

Shares sold as part of a required minimum distribution for IRA and retirement accounts due to the shareholder reaching age 70½ as described in the Fund’s prospectus.

 

  •  

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

 

  •  

Shares acquired through a right of reinstatement.

Front-end Load Discounts Available at Raymond James: Breakpoints, and/or Rights of Accumulation

 

  •  

Breakpoints as described in the Fund’s Prospectus.

 

  •  

Rights of accumulation 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 Raymond James. Eligible fund family assets not held at Raymond James may be included in the rights of accumulation calculation only if the shareholder notifies his or her financial advisor about such assets.

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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 Fund’s website, or call:

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: wellsfargofunds.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 the Fund. 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 Fund’s website at wellsfargofunds.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

© 2019 Wells Fargo Funds Management, LLC. All rights reserved.

 

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318974 01-19

SA280/SAR280 11-18

 

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Semi-Annual Report

November 30, 2018

 

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Wells Fargo Emerging Growth Fund

 

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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.

 

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Table of Contents

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Contents

 

 

Letter to shareholders

    2  

Performance highlights

     6  

Fund expenses

     8  
Wells Fargo Emerging Growth Fund  
Portfolio of investments     9  
Financial statements  

Statement of assets and liabilities

     10  

Statement of operations

     11  

Statement of changes in net assets

     12  

Financial highlights

     13  
Notes to financial statements     18  
Wells Fargo Emerging Growth Portfolio  
Portfolio of investments     22  
Financial statements  

Statement of assets and liabilities

     28  

Statement of operations

     29  

Statement of changes in net assets

     30  

Financial highlights

     31  
Notes to financial statements     32  

Other information

     36  

Appendix A

     40  

 

The views expressed and any forward-looking statements are as of November 30, 2018, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Funds Management, LLC. 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 Funds Management, LLC 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


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2   Wells Fargo Emerging Growth Fund   Letter to shareholders (unaudited)

 

LOGO

Andrew Owen

President

Wells Fargo Funds

 

 

Global trade tensions escalated during the third quarter of 2018.

 

 

Dear Shareholder:

We are pleased to offer you this semi-annual report for the Wells Fargo Emerging Growth Fund for the six-month period that ended November 30, 2018. During the reporting period, the U.S. generated encouraging economic and business data that was offset by less positive and more inconsistent data from international markets. Investment returns were restrained in comparison with recent periods as geopolitical tensions and uncertainty tended to distract investors from more favorable underlying trends.

For the period, U.S. stocks, as measured by the S&P 500 Index,1 gained 3.02% and international stocks, as measured by the MSCI ACWI ex USA Index (Net),2 declined 8.37%. Based on the MSCI EM Index (Net),3 emerging market stocks lost 9.89%. For bond investors, the Bloomberg Barclays U.S. Aggregate Bond Index4 declined 0.30% while the Bloomberg Barclays Global Aggregate ex-USD Index5 fell 3.67%. The Bloomberg Barclays Municipal Bond Index6 gained 0.42%. The ICE BofAML U.S. High Yield Index7 was up 0.19%.

Global trade tensions prompted investor concerns.

Global trade tensions escalated during the third quarter of 2018. The U.S. government’s decision during the second quarter to impose tariffs on a wide range of products manufactured overseas drew retaliatory responses from foreign governments, which punished U.S. commodity producers and product manufacturers. Investors were left to wonder about next steps in what appeared to be an escalating divergence in global economic policies and growth prospects.

Inflation trended higher. The CPI-U8 added 0.1% in September after an increase of 0.2% in both July and August. On a year-over-year basis, the all-items index rose 2.3% for the 12 months that ended September 30, 2018, after a seasonal adjustment. The rate of increase was slower than that recorded during the first half of 2018. The index for all items less food and energy rose 2.2% for the same 12-month period.

 

 

 

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 U.S. and Canada. 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 large- and mid-cap equity market performance of emerging markets. The MSCI EM Index (Net) consists of the following 24 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, the Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey, and the United Arab Emirates. 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 BofAML 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 2018. ICE Data Indices, LLC. All rights reserved.

 

8 

The Consumer Price Index for All Urban Consumers (CPI-U) measures the changes in the price of a basket of goods and services purchased by urban consumers. The urban consumer population is deemed by many as a better representative measure of the general public because close to 90% of the country’s population lives in highly populated areas. You cannot invest directly in an index.

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Letter to shareholders (unaudited)   Wells Fargo Emerging Growth Fund     3  

U.S. stocks gained following positive economic data while international stocks and bonds declined.

During the summer months, the U.S. economy strengthened. Revised second-quarter gross domestic product (GDP) data released in August showed the U.S. economy growing at a 4.2% rate. The unemployment rate in the U.S. was 3.7% by the end of September, according to the U.S. Department of Labor. Wages showed more consistent growth, and consumer confidence remained strong. Several U.S. equity market indices reached records during August, with the S&P 500 Index gaining 7.20% for the three-month period that ended September 30, 2018. In contrast, the MSCI ACWI ex USA Index (Net) gained 0.71% while the MSCI EM Index (Net) declined 1.09% during the same three-month period.

In June, the Federal Reserve increased the target range for the federal funds rate to range from 1.75% to 2.00%. It raised the range again in September to range from 2.00% to 2.25%. Long-term interest rates in the U.S. remained at higher levels relative to the prior 10 years. Rates on 10-year and 30-year Treasury bonds—2.46% and 2.81%, respectively, on January 1, 2018—were 3.01% and 3.30%, respectively, on November 30, 2018. Investor concerns about an inverted yield curve reemerged, only to be replaced by concerns about the potentially negative influence of higher interest rates on economic activity.

November saw improvement in many equity markets.

As interest rates and bond yields gained during October, stock markets struggled. For the month, the S&P 500 Index fell 6.84%, the MSCI ACWI ex USA Index (Net) dropped 8.13%, and the MSCI EM Index (Net) lost 8.71%. The Bureau of Economic Analysis released its first estimate of third-quarter GDP, which, at an annualized 3.5% rate, indicated growth may be slowing compared with the second quarter. Readings on consumer sentiment and business spending were mixed. Markets rebounded somewhat in November as the S&P 500 Index gained 2.04%, the MSCI ACWI ex USA Index (Net) added 0.95%, and the MSCI EM Index (Net) was up 4.12% as the uncertainty leading up to midterm elections in the U.S. was resolved and progress seemed to be possible on several international trade issues.

Economic signals overseas were mixed as the third quarter ended and the fourth quarter began. In early August, the Bank of England’s Monetary Policy Committee increased its key interest rate to 0.75%. The European Central Bank and the Bank of Japan maintained low interest rates and accommodative monetary policies. Amid rising trade uncertainty, the People’s Bank of China cut reserve requirement ratios and accelerated infrastructure spending and tax cuts for business enterprises and individuals. Nevertheless, a strengthening U.S. dollar and the trade tensions remained headwinds for investors overseas.

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.

 

 

 

Economic signals overseas were mixed as the third quarter ended and the fourth quarter began.

 

 

 

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4   Wells Fargo Emerging Growth Fund   Letter to shareholders (unaudited)

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,

 

LOGO

Andrew Owen

President

Wells Fargo Funds

    

 

 

 

Notice to shareholders

At a meeting held on August 14-15, 2018, the Board of Trustees of the Fund approved the following policy which will be effective on or about February 5, 2019:

Class C shares will convert automatically into Class A shares ten years after the initial date of purchase or, if you acquired your Class C shares through an exchange or conversion from another share class, ten years after the date you acquired your Class C shares. When Class C shares that you acquired through a purchase or exchange convert, any other Class C shares that you purchased with reinvested dividends and distributions also will convert into Class A shares on a pro rata basis. A shorter holding period may also apply depending on your intermediary. Please see “Appendix A—Sales Charge Reductions and Waivers for Certain Intermediaries” in the Fund’s prospectus or at the end of this report.

 

 

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

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6   Wells Fargo Emerging Growth Fund1   Performance highlights (unaudited)

Investment objective

The Fund seeks long-term capital appreciation.

Manager

Wells Fargo Funds Management, LLC

Subadviser for the affiliated master portfolio

Wells Capital Management Incorporated

Portfolio managers

Joseph M. Eberhardy, CFA®‡, CPA

Thomas C. Ognar, CFA®‡

Average annual total returns (%) as of November 30, 20182

 

        Including sales charge     Excluding sales charge     Expense ratios3 (%)  
    Inception date   1 year     5 year     10 year     1 year     5 year     10 year     Gross     Net4  
Class A (WEMAX)   3-31-2008     8.40       7.05       15.73       15.01       8.32       16.41       1.36       1.28  
Class C (WEMCX)   3-31-2008     13.10       7.50       15.54       14.10       7.50       15.54       2.11       2.03  
Class R6 (WEGRX)   7-31-2018     –       –       –       15.53       8.80       16.97       0.93       0.85  
Administrator Class (WFGDX)   1-31-2007     –       –       –       15.19       8.48       16.63       1.28       1.20  
Institutional Class (WEMIX)   3-31-2008     –       –       –       15.53       8.80       16.97       1.03       0.90  
Russell 2000® Growth Index5   –     –       –       –       2.81       8.22       15.55       –       –  

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on fund distributions or the redemption of fund shares. 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, which assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wellsfargofunds.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 R6, Administrator Class, and Institutional Class shares are sold without a front-end sales charge or contingent deferred sales charge.

Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. Smaller-company stocks tend to be more volatile and less liquid than those of larger companies. Certain investment strategies tend to increase the total risk of an investment (relative to the broader market). The Fund is exposed to foreign investment risk. Consult the Fund’s prospectus for additional information on these and other risks.

 

 

Please see footnotes on page 7.

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Performance highlights (unaudited)   Wells Fargo Emerging Growth Fund     7  
Ten largest holdings (%) as of November 30, 20186  

InterXion Holding NV

      3.00  

ASGN Incorporated

      2.91  

Ligand Pharmaceuticals Incorporated

      2.71  

Q2 Holdings Incorporated

      2.66  

Proofpoint Incorporated

      2.23  

HealthEquity Incorporated

      2.10  

Axogen Incorporated

      2.07  

Inogen Incorporated

      2.00  

Integra LifeSciences Holdings Corporation

      1.98  

RealPage Incorporated

      1.92  
Sector distribution as of November 30, 20187

 

LOGO

 

 

 

 

 

 

‡ 

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

 

1 

The Fund is a gateway feeder fund that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with a substantially identical investment objective and substantially similar investment strategies. 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 

Historical performance shown for Class R6 shares prior to their inception reflects the performance of Institutional Class shares, and includes the higher expenses applicable to Institutional Class shares. If these expenses had not been included, returns for Class R6 shares would be higher.

 

3 

Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

 

4 

The manager has contractually committed through September 30, 2019, to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’s Total Annual Fund Operating Expenses After Fee Waivers at the amounts shown. After this time, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolio invests, and extraordinary expenses are excluded from the expense cap. Net expenses from the affiliated master portfolio are included in the expense cap. 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 prospectuses.

 

5 

The Russell 2000® Growth Index measures the performance of those Russell 2000 companies with higher price/book ratios and higher forecasted growth values. You cannot invest directly in an index.

 

6 

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.

 

7 

Amounts represent the sector distribution of the affiliated master portfolio which 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.

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8   Wells Fargo Emerging Growth Fund   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 June 1, 2018 to November 30, 2018.

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.

 

     Beginning
account value
6-1-2018		      Ending
account value
11-30-2018		      Expenses
paid during
the period1,2		      Annualized net
expense ratio1		  

Class A

            

Actual

    $ 1,000.00      $ 987.68      $ 6.48        1.30 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,018.55      $ 6.58        1.30 % 

Class C

            

Actual

    $ 1,000.00      $ 984.20      $ 10.20        2.05 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,014.79      $ 10.35        2.05 % 

Class R6

            

Actual

    $ 1,000.00      $ 991.15      $ 4.24        0.85 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,021.83      $ 4.31        0.85 % 

Administrator Class

            

Actual

    $ 1,000.00      $ 988.60      $ 5.98        1.20 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,019.05      $ 6.07        1.20 % 

Institutional Class

            

Actual

    $ 1,000.00      $ 990.16      $ 4.49        0.90 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,020.56      $ 4.56        0.90 % 

 

 

1

Amounts reflect net expenses allocated from the affiliated Master Portfolio in which the Fund invests.

 

2

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).

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Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Emerging Growth Fund     9  

      

 

 

Security name                        Value  

Investment Companies: 99.87%

           
Affiliated Master Portfolio: 99.87%           

Wells Fargo Emerging Growth Portfolio

            $ 788,361,884  
          

 

 

  

Total Investment Companies (Cost $551,734,102)

              788,361,884        
          

 

 

  

 

Total investments in securities (Cost $551,734,102)     99.87 %         788,361,884  

Other assets and liabilities, net

     0.13          998,967  
 

 

 

       

 

 

  
Total net assets     100.00 %       $ 789,360,851  
 

 

 

       

 

 

  

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

     Dividends
allocated
from
affiliated
Master
Portfolio		     Securities
lending
income
allocated
from
affiliated
Master
Portfolio		     Affiliated
income
allocated
from
affiliated
Master
Portfolio		     Value,
end
of period		     % of
net
assets		  

Wells Fargo Emerging Growth Portfolio

     93 %      89 %    $ 73,407,063     $ (78,617,604 )    $ 866,015     $ 361,869     $ 191,622     $ 788,361,884       99.87 % 

 

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

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10   Wells Fargo Emerging Growth Fund   Statement of assets and liabilities—November 30, 2018 (unaudited)
         

Assets

  

Investments in affiliated Master Portfolio, at value (cost $551,734,102)

   $ 788,361,884  

Receivable for Fund shares sold

     1,699,091  

Receivable from manager

     40,333  

Prepaid expenses and other assets

     49,436  
 

 

 

  

Total assets

     790,150,744  
 

 

 

  

Liabilities

  

Payable for Fund shares redeemed

     528,895  

Administration fees payable

     101,012  

Shareholder report expenses payable

     50,742  

Shareholder servicing fees payable

     43,728  

Custodian and accounting fees payable

     42,106  

Distribution fee payable

     2,735  

Trustees’ fees and expenses payable

     2,294  

Accrued expenses and other liabilities

     18,381  
 

 

 

  

Total liabilities

     789,893  
 

 

 

  

Total net assets

   $ 789,360,851  
 

 

 

  

NET ASSETS CONSIST OF

  

Paid-in capital

   $ 420,797,901  

Total distributable earnings

     368,562,950  
 

 

 

  

Total net assets

   $ 789,360,851  
 

 

 

  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARE

  

Net assets – Class A

   $ 149,435,129  

Shares outstanding – Class A1

     8,878,355  

Net asset value per share – Class A

     $16.83  

Maximum offering price per share – Class A2

     $17.86  

Net assets – Class C

   $ 4,260,549  

Shares outstanding – Class C1

     284,913  

Net asset value per share – Class C

     $14.95  

Net assets – Class R6

   $ 252,046  

Shares outstanding – Class R61

     13,910  

Net asset value per share – R6

     $18.12  

Net assets – Administrator Class

   $ 48,341,046  

Shares outstanding – Administrator Class1

     2,788,150  

Net asset value per share – Administrator Class

     $17.34  

Net assets – Institutional Class

   $ 587,072,081  

Shares outstanding – Institutional Class1

     32,406,964  

Net asset value per share – Institutional Class

     $18.12  

 

 

 

1 

The 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.

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Statement of operations—six months ended November 30, 2018 (unaudited)   Wells Fargo Emerging Growth Fund     11  
         

Investment income

  

Dividends allocated from affiliated Master Portfolio

   $ 866,015  

Securities lending income allocated from affiliated Master Portfolio

     361,869  

Affiliated income allocated from affiliated Master Portfolio

     191,622  

Expenses allocated from affiliated Master Portfolio

     (3,458,913 ) 
 

 

 

  

Total investment income

     (2,039,407 ) 
 

 

 

  

Expenses

  

Management fee

     215,253  

Administration fees

  

Class A

     168,535  

Class C

     4,757  

Class R6

     18 1  

Administrator Class

     35,174  

Institutional Class

     417,130  

Shareholder servicing fees

  

Class A

     200,636  

Class C

     5,664  

Administrator Class

     67,639  

Distribution fee

  

Class C

     16,990  

Custody and accounting fees

     9,206  

Professional fees

     16,646  

Registration fees

     35,972  

Shareholder report expenses

     56,975  

Trustees’ fees and expenses

     11,038  

Other fees and expenses

     11,740  
 

 

 

  

Total expenses

     1,273,373  

Less: Fee waivers and/or expense reimbursements

     (427,980 ) 
 

 

 

  

Net expenses

     845,393  
 

 

 

  

Net investment loss

     (2,884,800 ) 
 

 

 

  

REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS

  

Net realized gains on securities transactions allocated from affiliated Master Portfolio

     73,407,063  

Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio

     (78,617,604 ) 
 

 

 

  

Net realized and unrealized gains (losses) on investments

     (5,210,541 ) 
 

 

 

  

Net decrease in net assets resulting from operations

   $ (8,095,341 ) 
 

 

 

  

 

 

 

1 

For the period from July 31, 2018 (commencement of operations) to November 30, 2018

 

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

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12   Wells Fargo Emerging Growth Fund   Statement of changes in net assets
     Six months ended
November 30, 2018
(unaudited)		     Year ended
May 31, 20181		  

Operations

        

Net investment loss

     $ (2,884,800 )      $ (5,006,023 ) 

Net realized gains on investments

       73,407,063         111,281,986  

Net change in unrealized gains (losses) on investments

       (78,617,604 )        111,090,852  
 

 

 

  

Net increase (decrease) in net assets resulting from operations

       (8,095,341 )        217,366,815  
 

 

 

  

Distributions to shareholders from net investment income and net realized gains

        

Class A

       0         (16,172,743 ) 

Class C

       0         (446,164 ) 

Administrator Class

       0         (5,883,416 ) 

Institutional Class

       0         (62,422,402 ) 
 

 

 

  

Total distributions to shareholders

       0         (84,924,725 ) 
 

 

 

  

Capital share transactions

     Shares         Shares    

Proceeds from shares sold

        

Class A

     386,521       6,888,941       304,935       4,820,337  

Class C

     34,593       552,953       26,206       364,560  

Class R6

     14,133 2       288,882 2       N/A       N/A  

Administrator Class

     252,731       4,631,682       418,055       6,747,014  

Institutional Class

     4,492,488       85,035,911       5,505,435       91,822,139  
 

 

 

  
      97,398,369         103,754,050  
 

 

 

  

Reinvestment of distributions

        

Class A

     0       0       1,097,179       15,689,654  

Class C

     0       0       34,857       446,164  

Administrator Class

     0       0       398,600       5,863,399  

Institutional Class

     0       0       3,940,125       60,402,110  
 

 

 

  
      0         82,401,327  
 

 

 

  

Payment for shares redeemed

        

Class A

     (519,476 )      (9,242,158 )      (1,293,442 )      (20,049,449 ) 

Class C

     (25,428 )      (395,695 )      (35,973 )      (509,745 ) 

Class R6

     (223 )2      (4,051 )2      N/A       N/A  

Administrator Class

     (448,183 )      (8,009,266 )      (1,240,005 )      (19,665,862 ) 

Institutional Class

     (5,240,880 )      (99,070,126 )      (10,895,635 )      (180,356,163 ) 
 

 

 

  
      (116,721,296 )        (220,581,219 ) 
 

 

 

  

Net decrease in net assets resulting from capital share transactions

       (19,322,927 )        (34,425,842 ) 
 

 

 

  

Total increase (decrease) in net assets

       (27,418,268 )        98,016,248  
 

 

 

  

Net assets

        

Beginning of period

       816,779,119         718,762,871  
 

 

 

  

End of period

     $ 789,360,851       $ 816,779,119  
 

 

 

  

 

 

1

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. Accumulated net investment loss at May 31, 2018 was $1,472,576. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 7, Distributions to Shareholders, in the notes to the financial statements.

 

2

For the period from July 31, 2018 (commencement of operations) to November 30, 2018

 

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

Table of Contents

 

Financial highlights   Wells Fargo Emerging Growth Fund     13  

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
CLASS A   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $17.04       $14.57       $12.55       $16.70       $14.61       $14.10  

Net investment loss

     (0.09 )      (0.15 )      (0.10 )1      (0.13 )1      (0.22 )      (0.19 ) 

Net realized and unrealized gains (losses) on investments

     (0.12 )      4.57       2.96       (2.28 )      3.51       1.88  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (0.21 )      4.42       2.86       (2.41 )      3.29       1.69  

Distributions to shareholders from

            

Net realized gains

     0.00       (1.95 )      (0.84 )      (1.74 )      (1.20 )      (1.18 ) 

Net asset value, end of period

     $16.83       $17.04       $14.57       $12.55       $16.70       $14.61  

Total return2

     (1.23 )%      32.91 %      23.39 %      (14.94 )%      23.32 %      11.30 % 

Ratios to average net assets (annualized)

            

Gross expenses3

     1.35 %      1.36 %      1.36 %      1.35 %      1.39 %      1.39 % 

Net expenses3

     1.30 %      1.35 %      1.35 %      1.35 %      1.37 %      1.37 % 

Net investment loss3

     (0.97 )%      (1.01 )%      (0.72 )%      (0.92 )%      (1.20 )%      (1.20 )% 

Supplemental data

            

Portfolio turnover rate4

     39 %      47 %      115 %      68 %      56 %      63 % 

Net assets, end of period (000s omitted)

     $149,435       $153,526       $129,724       $127,154       $131,638       $130,403  

 

 

 

 

1 

Calculated based upon average shares outstanding

 

2 

Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.80 % 

Year ended May 31, 2018

     0.81 % 

Year ended May 31, 2017

     0.81 % 

Year ended May 31, 2016

     0.80 % 

Year ended May 31, 2015

     0.80 % 

Year ended May 31, 2014

     0.80 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

14   Wells Fargo Emerging Growth Fund   Financial highlights

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
CLASS C   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $15.19       $13.28       $11.58       $15.67       $13.88       $13.55  

Net investment loss

     (0.14 )1      (0.25 )1      (0.19 )1      (0.21 )      (0.33 )      (0.32 ) 

Net realized and unrealized gains (losses) on investments

     (0.10 )      4.11       2.73       (2.14 )      3.32       1.83  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (0.24 )      3.86       2.54       (2.35 )      2.99       1.51  

Distributions to shareholders from

            

Net realized gains

     0.00       (1.95 )      (0.84 )      (1.74 )      (1.20 )      (1.18 ) 

Net asset value, end of period

     $14.95       $15.19       $13.28       $11.58       $15.67       $13.88  

Total return2

     (1.58 )%      31.82 %      22.56 %      (15.59 )%      22.35 %      10.40 % 

Ratios to average net assets (annualized)

            

Gross expenses3

     2.10 %      2.11 %      2.11 %      2.10 %      2.14 %      2.14 % 

Net expenses3

     2.05 %      2.10 %      2.10 %      2.10 %      2.12 %      2.12 % 

Net investment loss3

     (1.72 )%      (1.76 )%      (1.46 )%      (1.70 )%      (1.95 )%      (1.95 )% 

Supplemental data

            

Portfolio turnover rate4

     39 %      47 %      115 %      68 %      56 %      63 % 

Net assets, end of period (000s omitted)

     $4,261       $4,190       $3,328       $3,815       $5,101       $4,816  

 

 

 

 

1 

Calculated based upon average shares outstanding

 

2 

Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.80 % 

Year ended May 31, 2018

     0.81 % 

Year ended May 31, 2017

     0.81 % 

Year ended May 31, 2016

     0.80 % 

Year ended May 31, 2015

     0.80 % 

Year ended May 31, 2014

     0.80 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

Financial highlights   Wells Fargo Emerging Growth Fund     15  

(For a share outstanding throughout the period)

 

CLASS R6  

Period ended
November 30, 20181

(unaudited)

  

Net asset value, beginning of period

     $18.70  

Net investment loss

     (0.02 ) 

Net realized and unrealized gains (losses) on investments

     (0.56 ) 
 

 

 

  

Total from investment operations

     (0.58 ) 

Net asset value, end of period

     $18.12  

Total return2

     (3.10 )% 

Ratios to average net assets (annualized)

  

Gross expenses3

     0.92 % 

Net expenses3

     0.85 % 

Net investment loss3

     (0.39 )% 

Supplemental data

  

Portfolio turnover rate4

     39 % 

Net assets, end of period (000s omitted)

     $252  

 

 

 

 

 

1 

For the period from July, 31, 2018 (commencement of class operations) to November 30, 2018

 

2 

Returns for periods of less than one year are not annualized.

 

3 

Ratio includes net expenses allocated from the affiliated Master Portfolio in the amount of 0.81%.

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

16   Wells Fargo Emerging Growth Fund   Financial highlights

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
ADMINISTRATOR CLASS   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $17.54       $14.93       $12.82       $17.00       $14.83       $14.28  

Net investment loss

     (0.08 )1      (0.14 )1      (0.07 )1      (0.12 )1      (0.16 )1      (0.17 )1 

Net realized and unrealized gains (losses) on investments

     (0.12 )      4.70       3.02       (2.32 )      3.53       1.90  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (0.20 )      4.56       2.95       (2.44 )      3.37       1.73  

Distributions to shareholders from

            

Net realized gains

     0.00       (1.95 )      (0.84 )      (1.74 )      (1.20 )      (1.18 ) 

Net asset value, end of period

     $17.34       $17.54       $14.93       $12.82       $17.00       $14.83  

Total return2

     (1.14 )%      33.06 %      23.60 %      (14.80 )%      23.45 %      11.45 % 

Ratios to average net assets (annualized)

            

Gross expenses3

     1.27 %      1.28 %      1.26 %      1.23 %      1.21 %      1.22 % 

Net expenses3

     1.20 %      1.20 %      1.20 %      1.20 %      1.20 %      1.20 % 

Net investment loss3

     (0.87 )%      (0.86 )%      (0.48 )%      (0.80 )%      (1.03 )%      (1.03 )% 

Supplemental data

            

Portfolio turnover rate4

     39 %      47 %      47 %      68 %      56 %      63 % 

Net assets, end of period (000s omitted)

     $48,341       $52,335       $52,335       $99,792       $159,813       $190,126  

 

 

 

 

1 

Calculated based upon average shares outstanding

 

2 

Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.80 % 

Year ended May 31, 2018

     0.81 % 

Year ended May 31, 2017

     0.81 % 

Year ended May 31, 2016

     0.80 % 

Year ended May 31, 2015

     0.80 % 

Year ended May 31, 2014

     0.80 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

Financial highlights   Wells Fargo Emerging Growth Fund     17  

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
INSTITUTIONAL CLASS   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $18.30       $15.46       $13.20       $17.40       $15.11       $14.49  

Net investment loss

     (0.05 )      (0.09 )      (0.04 )1      (0.07 )      (0.12 )      (0.11 ) 

Net realized and unrealized gains (losses) on investments

     (0.13 )      4.88       3.14       (2.39 )      3.61       1.91  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (0.18 )      4.79       3.10       2.46       3.49       1.80  

Distributions to shareholders from

            

Net realized gains

     0.00       (1.95 )      (0.84 )      (1.74 )      (1.20 )      (1.18 ) 

Net asset value, end of period

     $18.12       $18.30       $15.46       $13.20       $17.40       $15.11  

Total return2

     (0.98 )%      33.44 %      24.08 %      (14.62 )%      23.89 %      11.77 % 

Ratios to average net assets (annualized)

            

Gross expenses3

     1.02 %      1.03 %      1.03 %      1.01 %      0.96 %      0.96 % 

Net expenses3

     0.90 %      0.90 %      0.90 %      0.90 %      0.90 %      0.90 % 

Net investment loss3

     (0.57 )%      (0.56 )%      (0.24 )%      (0.50 )%      (0.73 )%      (0.73 )% 

Supplemental data

            

Portfolio turnover rate4

     39 %      47 %      115 %      68 %      56 %      63 % 

Net assets, end of period (000s omitted)

     $587,072       $606,729       $534,846       $583,843       $723,946       $650,650  

 

 

 

 

1 

Calculated based upon average shares outstanding

 

2 

Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.80 % 

Year ended May 31, 2018

     0.81 % 

Year ended May 31, 2017

     0.81 % 

Year ended May 31, 2016

     0.80 % 

Year ended May 31, 2015

     0.80 % 

Year ended May 31, 2014

     0.80 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

18   Wells Fargo Emerging Growth Fund   Notes to financial statements (unaudited)

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 Wells Fargo Emerging Growth Fund (the “Fund”) which is a diversified series of the Trust.

The Fund is a feeder fund in a master-feeder structure that invests substantially all of its assets in a single master portfolio with a substantially identical investment objective and substantially similar investment strategies. The Fund seeks to achieve its investment objective by investing all investable assets in a separate diversified portfolio (the “affiliated Master Portfolio”) of Wells Fargo Master Trust, a registered open-end management investment company. The affiliated Master Portfolio directly acquires portfolio securities and the Fund acquires an indirect interest in those securities. The Fund accounts for its investment in the affiliated Master Portfolio as a partnership investment and records on a daily basis its share of the affiliated Master Portfolio’s income, expense and realized and unrealized gains and losses. The financial statements of the affiliated Master Portfolio for the six months ended November 30, 2018 are included in this report and should be read in conjunction with the Fund’s financial statements. As of November 30, 2018, the Fund owned 89% of Wells Fargo Emerging Growth Portfolio.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the 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 Fund may deviate from this calculation time under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of the affiliated Master Portfolio’s net assets, which are also valued daily. Securities held in the affiliated Master Portfolio are valued as discussed in the Notes to Financial Statements of the affiliated Master Portfolio, which are included elsewhere in this report.

Investment transactions, income and expenses

Investments in the affiliated Master Portfolio are recorded on a trade basis.

The Fund records daily its proportionate share of the affiliated Master Portfolio’s interest and dividend income, expenses and realized and unrealized gains or losses. The 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 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 the Fund’s fiscal year end. Therefore, a portion of the 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

The 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.

The 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 the 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.

Table of Contents

 

Notes to financial statements (unaudited)   Wells Fargo Emerging Growth Fund     19  

As of November 30, 2018, the aggregate cost of all investments for federal income tax purposes was $549,635,880 and the unrealized gains (losses) consisted of:

 

Gross unrealized gains

    $ 238,726,004  

Gross unrealized losses

      0  

Net unrealized gains

    $ 238,726,004  

Class allocations

The separate classes of shares offered by the 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 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 November 30, 2018, the affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective and the value of the affiliate Master Portfolio was as follows:

 

Affiliated Master Portfolio    Investment objective    Value of
affiliated Master
Portfolio		  

Wells Fargo Emerging Growth Portfolio

    Seeks long-term capital appreciation      $788,361,884  

The 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 the 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 the Fund, supervising the subadviser and providing fund-level administrative services in connection with the Fund’s operations. As long as the Fund continues to invest substantially all of its assets in a single affiliated Master Portfolio, the Fund pays Funds Management an investment management fee only for fund-level administrative services at an annual rate starting at 0.05% and declining to 0.03% as the average daily net assets of the Fund increase. For the six months ended November 30, 2018, the management fee was equivalent to an annual rate of 0.05% of the Fund’s average daily net assets.

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

Administration fees

Under a class-level administration agreement, Funds Management provides class-level administrative services to the 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 R6

      0.03  

Administrator Class, Institutional Class

      0.13  

Table of Contents

 

20   Wells Fargo Emerging Growth Fund   Notes to financial statements (unaudited)

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; otherwise, waivers and/or reimbursements are applied against class specific expenses before fund level expenses. Net expenses from the affiliated Master Portfolio are included in the expense cap. Funds Management has committed through September 30, 2019 to waive fees and/or reimburse expenses to the extent necessary to cap each Fund’s expenses at 1.28% for Class A shares, 2.03% for Class C shares, 0.85% for Class R6 shares, 1.20% for Class Administrator Class shares, and 0.90% for Institutional Class shares. After this time, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Prior to August 1, 2018, the Fund’s expenses were capped at 1.35% for Class A shares and 2.10% for Class C shares.

Distribution fee

The Trust has adopted a distribution plan for Class C shares of the Fund pursuant to Rule 12b-1 under the 1940 Act. A distribution fee is charged to Class C shares and paid to Wells Fargo Funds Distributor, LLC (“Funds Distributor”), the principal underwriter, 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 six months ended November 30, 2018, Funds Distributor received $1,852 from the sale of Class A shares. No contingent deferred sales charges were incurred by Class A and Class C shares for the six months ended November 30, 2018.

Shareholder servicing fees

The Trust has entered into contracts with one or more shareholder servicing agents, whereby Class A, Class C, and Administrator Class of the Fund are charged a fee at an annual rate of 0.25% of the average daily net assets of each respective class.

A portion of these total shareholder servicing fees were paid to affiliates of Wells Fargo.

5. INVESTMENT PORTFOLIO TRANSACTIONS

The Fund seeks to achieve its investment objective by investing substantially all of its investable assets in a single affiliated Master Portfolio. Purchases and sales have been calculated by multiplying the Fund’s ownership percentage of the affiliated Master Portfolio by the affiliated Master Portfolio’s purchases and sales. Purchases and sales of investments, excluding U.S. government obligations (if any) and short-term securities, for the six months ended November 30, 2018 were $325,877,495 and $322,249,252, respectively.

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 six months ended November 30, 2018, there were no borrowings by the Fund under the agreement.

7. DISTRIBUTIONS TO SHAREHOLDERS

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. The amounts of distributions to shareholders for the year ended May 31, 2018 were as follows:

 

     Net realized gains  

Class A

      $16,172,743  

Class C

      446,164  

Administrator Class

      5,883,416  

Institutional Class

      62,422,402  

Table of Contents

 

Notes to financial statements (unaudited)   Wells Fargo Emerging Growth Fund     21  

8. CONCENTRATION RISK

Concentration risk result from exposure to a limited number of sectors. Through its investment in the affiliated Master Portfolio which may invest a substantial portion of its assets in any sector, the Fund may in turn be more affected by changes in that sector than a fund whose investments are not heavily weighted in any sector.

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 Fund and, therefore, cannot be estimated.

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 DISTRIBUTION

On December 12, 2018, the Fund declared distributions from short-term capital gains and long-term capital gains to shareholders of record on December 11, 2018. The per share amounts payable on December 13, 2018 were as follows:

 

     Short-term
capital gains		      Long-term
capital gains		  

Class A

      $0.33298        $2.84278  

Class C

      0. 33298        2.84278  

Class R6

      0. 33298        2.84278  

Administrator Class

      0. 33298        2.84278  

Institutional Class

      0. 33298        2.84278  

These distributions are not reflected in the accompanying financial statements.

Table of Contents

 

22   Wells Fargo Emerging Growth Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  

Common Stocks: 98.68%

           

Communication Services: 1.36%

           
Interactive Media & Services: 0.23%           

Eventbrite Incorporated Class A †

           67,105      $ 1,993,690  
          

 

 

  
Media: 1.13%           

Nexstar Media Group Incorporated Class A

           120,500        9,958,120  
          

 

 

  

Consumer Discretionary: 12.50%

           
Auto Components: 0.44%           

Cooper-Standard Holdings Incorporated †

           52,360        3,828,563  
          

 

 

  
Diversified Consumer Services: 2.74%           

Chegg Incorporated †

           486,614        13,600,861  

Grand Canyon Education Incorporated †

           86,360        10,567,010  
     24,167,871  
          

 

 

  
Hotels, Restaurants & Leisure: 3.37%           

Golden Entertainment Incorporated †

           23,460        424,391  

Planet Fitness Incorporated Class A †

           283,960        15,680,271  

Playa Hotels & Resorts NV †

           536,680        4,068,034  

Wingstop Incorporated

           144,718        9,496,395  
     29,669,091  
          

 

 

  
Internet & Direct Marketing Retail: 0.28%           

Farfetch Limited Class A †

           110,022        2,503,001  
          

 

 

  
Leisure Products: 1.01%           

Mastercraft Boat Holdings Incorporated †

           190,716        4,941,452  

Yeti Holdings Incorporated †

           234,648        3,951,472  
     8,892,924  
          

 

 

  
Multiline Retail: 1.64%           

Ollie’s Bargain Outlet Holdings Incorporated †

           163,260        14,481,162  
          

 

 

  
Specialty Retail: 3.02%           

At Home Group Incorporated †

           239,000        6,811,500  

Five Below Incorporated †

           56,097        5,878,405  

Lithia Motors Incorporated Class A

           117,980        9,775,823  

National Vision Holdings Incorporated †

           112,066        4,120,667  
     26,586,395  
          

 

 

  

Consumer Staples: 1.18%

           
Food & Staples Retailing: 0.76%           

The Chef’s Warehouse Incorporated †

           176,100        6,711,171  
          

 

 

  
Food Products: 0.42%           

Freshpet Incorporated †

           112,300        3,705,900  
          

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Emerging Growth Portfolio     23  

      

 

 

Security name                 Shares      Value  

Energy: 1.39%

           
Energy Equipment & Services: 0.68%           

Cactus Incorporated Class A †

           121,729      $ 3,515,534  

FTS International Incorporated †

           252,133        2,491,074  
             6,006,608  
          

 

 

  
Oil, Gas & Consumable Fuels: 0.71%           

Matador Resources Company †

           171,736        3,915,581  

PDC Energy Incorporated †

           67,790        2,300,793  
             6,216,374  
          

 

 

  

Financials: 5.38%

           
Capital Markets: 1.39%           

Stifel Financial Corporation

           254,200        12,270,234  
          

 

 

  
Insurance: 3.07%           

Kinsale Capital Group Incorporated

           325,084        20,223,476  

Trupanion Incorporated Ǡ

           227,400        6,806,082  
             27,029,558  
          

 

 

  
Thrifts & Mortgage Finance: 0.92%           

LendingTree Incorporated †

           31,332        8,156,973  
          

 

 

  

Health Care: 28.40%

           
Biotechnology: 7.84%           

Audentes Therapeutics Incorporated †

           77,042        1,883,677  

CareDx Incorporated †

           221,984        6,497,472  

Heron Therapeutics Incorporated †

           198,450        5,701,469  

Ligand Pharmaceuticals Incorporated †

           143,501        22,640,153  

Repligen Corporation †

           360,240        23,296,721  

Translate Bio Incorporated †

           27,538        199,100  

Vanda Pharmaceuticals Incorporated †

           355,000        8,889,200  
             69,107,792  
          

 

 

  
Health Care Equipment & Supplies: 9.74%           

Axogen Incorporated †

           437,777        14,656,774  

Glaukos Corporation †

           89,339        5,885,653  

Inogen Incorporated †

           58,550        8,627,928  

iRhythm Technologies Incorporated †

           178,762        13,242,689  

Merit Medical Systems Incorporated †

           250,800        15,812,940  

Neogen Corporation †

           56,100        3,638,646  

Neuronetics Incorporated †

           188,118        3,356,025  

Nevro Corporation †

           33,645        1,396,604  

NxStage Medical Incorporated †

           200,540        5,663,250  

SI-BONE Incorporated †

           242,597        4,357,042  

Tactile Systems Technology Class I †

           92,273        5,189,434  

Vapotherm Incorporated †

           217,308        3,996,294  
             85,823,279  
          

 

 

  

 

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

Table of Contents

 

24   Wells Fargo Emerging Growth Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  
Health Care Providers & Services: 3.28%           

Amedisys Incorporated †

           77,200      $ 10,518,500  

HealthEquity Incorporated †

           207,012        18,359,894  
             28,878,394  
          

 

 

  
Health Care Technology: 4.16%           

Tabula Rasa Healthcare Incorporated †

           117,500        8,868,900  

Teladoc Incorporated Ǡ

           242,679        15,155,304  

Vocera Communications Incorporated †

           317,000        12,597,580  
             36,621,784  
          

 

 

  
Life Sciences Tools & Services: 2.11%           

Codexis Incorporated †

           850,438        18,641,601  
          

 

 

  
Pharmaceuticals: 1.27%           

Dova Pharmaceuticals Incorporated Ǡ

           115,559        1,721,829  

Optinose Incorporated Ǡ

           123,187        969,482  

Supernus Pharmaceuticals Incorporated †

           178,500        8,464,470  
             11,155,781  
          

 

 

  

Industrials: 16.84%

           
Aerospace & Defense: 1.84%           

AAR Corporation

           49,000        2,140,810  

Mercury Computer Systems Incorporated †

           272,345        14,110,194  
             16,251,004  
          

 

 

  
Airlines: 1.61%           

SkyWest Incorporated

           245,730        14,173,706  
          

 

 

  
Commercial Services & Supplies: 1.05%           

Advanced Disposal Services Incorporated †

           342,902        9,241,209  
          

 

 

  
Construction & Engineering: 2.81%           

Dycom Industries Incorporated †

           62,230        4,123,360  

Granite Construction Incorporated

           118,950        6,022,439  

MasTec Incorporated †

           323,900        14,604,651  
             24,750,450  
          

 

 

  
Electrical Equipment: 0.27%           

Bloom Energy Corporation Class A Ǡ

           144,401        2,375,396  
          

 

 

  
Machinery: 4.56%           

John Bean Technologies Corporation

           59,990        4,951,575  

Milacron Holdings Corporation †

           565,758        8,062,052  

Mueller Water Products Incorporated Class A

           304,980        3,211,439  

RBC Bearings Incorporated †

           45,900        7,023,618  

Rexnord Corporation †

           598,110        16,932,494  
             40,181,178  
          

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Emerging Growth Portfolio     25  

      

 

 

Security name                 Shares      Value  
Professional Services: 3.75%           

ASGN Incorporated †

           404,343      $ 28,000,753  

Korn/Ferry International

           103,000        5,043,910  
             33,044,663  
          

 

 

  
Trading Companies & Distributors: 0.95%           

BMC Stock Holdings Incorporated †

           101,390        1,724,644  

SiteOne Landscape Supply Incorporated †

           108,200        6,669,448  
             8,394,092  
          

 

 

  

Information Technology: 30.90%

           
Electronic Equipment, Instruments & Components: 2.67%           

Littelfuse Incorporated

           25,540        4,887,079  

nLight Incorporated Ǡ

           185,561        3,544,215  

Novanta Incorporated †

           232,720        15,110,505  
             23,541,799  
          

 

 

  
IT Services: 4.73%           

Carbonite Incorporated †

           66,400        1,881,112  

Endava plc Sponsored ADR †

           114,914        2,838,376  

EVO Payments Incorporated Class A †

           256,677        6,722,371  

InterXion Holding NV †

           431,720        26,883,204  

Wix.com Limited †

           35,810        3,372,586  
             41,697,649  
          

 

 

  
Semiconductors & Semiconductor Equipment: 2.86%           

Diodes Incorporated †

           291,331        10,147,059  

Monolithic Power Systems Incorporated

           44,980        5,940,509  

Semtech Corporation †

           170,700        9,105,138  
             25,192,706  
          

 

 

  
Software: 20.64%           

2U Incorporated †

           70,950        4,142,771  

Alarm.com Holdings Incorporated †

           28,000        1,423,800  

Altair Engineering Incorporated Class A †

           274,253        8,861,114  

Anaplan Incorporated †

           184,656        5,170,368  

BlackLine Incorporated †

           209,423        8,977,964  

Bottomline Technologies (DE) Incorporated †

           226,650        12,481,616  

Cision Limited †

           605,250        7,577,730  

Envestnet Incorporated †

           326,692        17,850,451  

Five9 Incorporated †

           463,560        19,877,453  

Globant SA †

           59,000        3,460,350  

Instructure Incorporated †

           167,270        6,317,788  

Proofpoint Incorporated †

           76,230        7,395,072  

Q2 Holdings Incorporated †

           411,543        22,342,669  

Rapid7 Incorporated †

           414,836        13,191,785  

RealPage Incorporated †

           149,600        7,716,368  

SailPoint Technologies Holdings Incorporated †

           313,447        8,159,025  

SendGrid Incorporated †

           187,779        8,564,600  

 

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

Table of Contents

 

26   Wells Fargo Emerging Growth Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                Shares      Value  
Software (continued)          

SPS Commerce Incorporated †

          102,448      $ 8,731,643  

Talend SA ADR †

          211,018        7,330,765  

Tenable Holdings Incorporated †

          81,498        2,321,063  
            181,894,395  
         

 

 

  

Materials: 0.73%

          
Chemicals: 0.73%          

PQ Group Holdings Incorporated †

          416,720        6,396,652  
         

 

 

  

Total Common Stocks (Cost $602,947,827)

             869,541,165  
         

 

 

  

Exchange-Traded Funds: 0.30%

          

iShares Russell 2000 Growth Index ETF «

          13,800        2,632,488  
         

 

 

  

Total Exchange-Traded Funds (Cost $2,725,086)

             2,632,488  
         

 

 

  
    Yield                      
Short-Term Investments: 3.76%                                       
Investment Companies: 3.76%          

Securities Lending Cash Investments LLC (l)(r)(u)

     2.38 %         30,605,024        30,608,085  

Wells Fargo Government Money Market Fund Select Class (l)(u)

     2.13          2,494,626        2,494,626  

Total Short-Term Investments (Cost $33,100,419)

 

      33,102,711        
         

 

 

  

 

Total investments in securities (Cost $638,773,332)     102.74 %         905,276,364  

Other assets and liabilities, net

     (2.74 )         (24,107,001 ) 
 

 

 

       

 

 

  
Total net assets     100.00 %       $ 881,169,363  
 

 

 

       

 

 

  

 

 

†

Non-income-earning security

 

«

All or a portion of this security is on loan.

 

(l)

The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

 

(r)

The investment is a non-registered investment company purchased with cash collateral received from securities on loan.

 

(u)

The rate represents the 7-day annualized yield at period end.

Abbreviations:

 

ADR

American depositary receipt

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Emerging Growth Portfolio     27  

      

 

 

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

                  

Securities Lending Cash Investments LLC

     46,370,791       214,715,099       230,480,866       30,605,024     $ 11,640     $ 0     $ 401,413     $ 30,608,085    

Wells Fargo Government Money Market Fund Select Class

     2,952,741       252,573,192       253,031,307       2,494,626       0       0       212,973       2,494,626    
         

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
          $ 11,640     $ 0     $ 614,386     $ 33,102,711       3.76 % 
         

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

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

Table of Contents

 

28   Wells Fargo Emerging Growth Portfolio   Statement of assets and liabilities—November 30, 2018 (unaudited)
         

Assets

  

Investments in unaffiliated securities (including $29,881,154 of securities loaned), at value (cost $605,672,913)

   $ 872,173,653  

Investments in affiliated securities, at value (cost $33,100,419)

     33,102,711  

Receivable for investments sold

     7,983,837  

Receivable for dividends

     546,613  

Receivable for securities lending income

     54,860  

Prepaid expenses and other assets

     1,443  
 

 

 

  

Total assets

     913,863,117  
 

 

 

  

Liabilities

  

Payable upon receipt of securities loaned

     30,585,946  

Payable for investments purchased

     1,376,170  

Advisory fee payable

     611,579  

Accrued expenses and other liabilities

     120,059  
 

 

 

  

Total liabilities

     32,693,754  
 

 

 

  

Total net assets

   $ 881,169,363  
 

 

 

  

 

 

 

 

 

 

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

Table of Contents

 

Statement of operations—six months ended November 30, 2018 (unaudited)   Wells Fargo Emerging Growth Portfolio     29  
         

Investment income

  

Dividends

   $ 963,437  

Securities lending income from affiliates, net

     401,413  

Income from affiliated securities

     212,973  
 

 

 

  

Total investment income

     1,577,823  
 

 

 

  

Expenses

  

Advisory fee

     3,761,484  

Custody and accounting fees

     21,218  

Professional fees

     23,751  

Shareholder report expenses

     2,287  

Trustees’ fees and expenses

     11,192  

Other fees and expenses

     17,203  
 

 

 

  

Net expenses

     3,837,135  
 

 

 

  

Net investment loss

     (2,259,312 ) 
 

 

 

  

REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS

  

Net realized gains on:

  

Unaffiliated securities

     81,569,363  

Affiliated securities

     11,640  
 

 

 

  

Net realized gains on investments

     81,581,003  

Net change in unrealized gains (losses) on investments

     (87,983,668 ) 
 

 

 

  

Net realized and unrealized gains (losses) on investments

     (6,402,665 ) 
 

 

 

  

Net decrease in net assets resulting from operations

   $ (8,661,977 ) 
 

 

 

  

 

 

 

 

 

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

Table of Contents

 

30   Wells Fargo Emerging Growth Portfolio   Statement of changes in net assets
     Six months ended
November 30, 2018
(unaudited)		        Year ended
May 31, 2018		  

Operations

       

Net investment loss

   $ (2,259,312 )       $ (3,833,027 ) 

Net realized gains on investments

     81,581,003          122,582,157  

Net change in unrealized gains (losses) on investments

     (87,983,668 )         120,331,062  
 

 

 

  

Net increase (decrease) in net assets resulting from operations

     (8,661,977 )         239,080,192  
 

 

 

  

Capital transactions

  

Transactions in investors’ beneficial interests

       

Contributions

     81,155,703          20,933,192  

Withdrawals

     (70,827,606 )         (175,150,153 ) 
 

 

 

  

Net increase (decrease) in net assets resulting from capital transactions

     10,328,097          (154,216,961 ) 
 

 

 

  

Total increase in net assets

     1,666,120          84,863,231  
 

 

 

  

Net assets

  

Beginning of period

     879,503,243          794,640,012  
 

 

 

  

End of period

   $ 881,169,363        $ 879,503,243  
 

 

 

  

 

 

 

 

 

 

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

Table of Contents

 

Financial highlights   Wells Fargo Emerging Growth Portfolio     31  
   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
     2018     2017     2016     2015     2014  

Total return1

     (0.92 )%      33.60 %      23.97 %      (14.47 )%      24.02 %      11.92 % 

Ratios to average net assets (annualized)

            

Gross expenses

     0.80 %      0.81 %      0.81 %      0.80 %      0.80 %      0.80 % 

Net expenses

     0.80 %      0.81 %      0.81 %      0.80 %      0.80 %      0.80 % 

Net investment loss

     (0.47 )%      (0.47 )%      (0.15 )%      (0.40 )%      (0.63 )%      (0.62 )% 

Supplemental data

            

Portfolio turnover rate

     39 %      47 %      115 %      66 %      56 %      63 % 

 

 

 

 

 

 

1 

Returns for periods of less than one year are not annualized

 

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

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32   Wells Fargo Emerging Growth Portfolio   Notes to financial statements (unaudited)

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 Wells Fargo Emerging Growth Portfolio (“Emerging Growth Portfolio”) which is a diversified series of the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the 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 Portfolio may deviate from this calculation time under unusual or unexpected circumstances.

Equity securities that are listed on a foreign or domestic exchange or market are valued at the official closing price or, if none, the last sales price. If no sale occurs on the principal exchange or market that day, a fair value price will be determined in accordance with the Portfolio’s Valuation Procedures.

Investments in registered open-end investment companies are valued at net asset value. Interests in non-registered investment companies that are redeemable at net asset value are fair valued normally at net asset value.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Portfolio. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC (“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.

Securities lending

The Portfolio may lend its securities from time to time in order to earn additional income in the form of fees or interest on securities received as collateral or the investment of any cash received as collateral. The Portfolio continues to receive interest or dividends on the securities loaned. The Portfolio receives collateral in the form of cash or securities with a value at least equal to the value of the securities on loan. The value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Portfolio on the next business day. In a securities lending transaction, the net asset value of the Portfolio will be affected by an increase or decrease in the value of the securities loaned and by an increase or decrease in the value of the instrument in which collateral is invested. The amount of securities lending activity undertaken by the Portfolio fluctuates from time to time. In the event of default or bankruptcy by the borrower, the Portfolio may be prevented from recovering the loaned securities or gaining access to the collateral or may experience delays or costs in doing so. In addition, the investment of any cash collateral received may lose all or part of its value. The Portfolio has the right under the lending agreement to recover the securities from the borrower on demand.

The Portfolio lends its securities through an unaffiliated securities lending agent. Cash collateral received in connection with its securities lending transactions is invested in Securities Lending Cash Investments, LLC (the “Securities Lending Fund”). The Securities Lending Fund is exempt from registration under Section 3(c)(7) of the 1940 Act and is managed by Funds Management and is subadvised by Wells Capital Management Incorporated (“WellsCap”), an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”). Funds Management receives an advisory fee starting at 0.05% and declining to 0.01% as the average daily net assets of the Securities Lending Fund increase. All of the fees received by Funds Management are paid to WellsCap for its services as subadviser. The

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Notes to financial statements (unaudited)   Wells Fargo Emerging Growth Portfolio     33  

Securities Lending Fund seeks to provide a positive return compared to the daily Fed Funds Open Rate by investing in high-quality, U.S. dollar-denominated short-term money market instruments. Securities Lending Fund investments are valued at the evaluated bid price provided by an independent pricing service. Income earned from investment in the Securities Lending Fund is included in securities lending income from affiliates (net of fees and rebates) on the Statement 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.

Dividend income is recognized on the ex-dividend date.

Federal and other taxes

The Portfolio is treated as a separate entity for federal income tax purposes. The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains 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.

The Portfolio’s income tax returns and all financial records supporting those returns for the prior three fiscal years are subject to examination by the federal revenue authority. Management has analyzed the 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 November 30, 2018, the aggregate cost of all investments for federal income tax purposes was $639,205,435 and the unrealized gains (losses) consisted of:

 

Gross unrealized gains

    $ 295,531,370  

Gross unrealized losses

      (29,460,441 ) 

Net unrealized gains

    $ 266,070,929  

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 the Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

 

∎  

Level 1 – quoted prices in active markets for identical securities

 

∎  

Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

 

∎  

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

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34   Wells Fargo Emerging Growth Portfolio   Notes to financial statements (unaudited)

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of November 30, 2018:

 

     Quoted prices
(Level 1)		      Other significant
observable inputs
(Level 2)		     

Significant
unobservable inputs

(Level 3)

      Total  

Assets

            

Investments in:

            

Common stocks

            

Communication services

    $ 11,951,810      $ 0      $ 0      $ 11,951,810  

Consumer discretionary

      110,129,007        0        0        110,129,007  

Consumer staples

      10,417,071        0        0        10,417,071  

Energy

      12,222,982        0        0        12,222,982  

Financials

      47,456,765        0        0        47,456,765  

Health care

      250,228,631        0        0        250,228,631  

Industrials

      148,411,698        0        0        148,411,698  

Information technology

      272,326,549        0        0        272,326,549  

Materials

      6,396,652        0        0        6,396,652  

Exchange-traded funds

      2,632,488        0        0        2,632,488  

Short-term investments

            

Investment companies

      2,494,626        30,608,085        0        33,102,711  

Total assets

    $ 874,668,279      $ 30,608,085      $ 0      $ 905,276,364  

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

At November 30, 2018, the Portfolio did not have any transfers into/out of Level 3.

4. TRANSACTIONS WITH AFFILIATES

Advisory fee

The Trust has entered into an advisory contract with Funds Management, an indirect wholly owned subsidiary of Wells Fargo. The adviser is responsible for implementing investment policies and guidelines and for supervising the subadviser, who is responsible for day-to-day portfolio management of the Portfolio. Pursuant to the contract, Funds Management is entitled to receive an annual advisory fee starting at 0.80% and declining to 0.68% as the average daily net assets of the Portfolio increase. For the six months ended November 30, 2018, the management fee was equivalent to an annual rate of 0.79% of the Portfolio’s average daily net assets.

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Portfolio. The fee for subadvisory services is borne by Funds Management. WellsCap is the subadviser to the Portfolio and is entitled to receive a fee from Funds Management at an annual rate starting at 0.55% and declining to 0.40% as the average daily net assets of the Portfolio increase.

Interfund transactions

The Portfolio 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.

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments, excluding U.S. government obligations (if any) and short-term securities, for the six months ended November 30, 2018 were $364,240,421 and $360,185,055, respectively.

6. BANK BORROWINGS

Effective August 28, 2018, 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 the 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 the 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.

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Notes to financial statements (unaudited)   Wells Fargo Emerging Growth Portfolio     35  

For the six months ended November 30, 2018, there were no borrowings by the Portfolio under the agreement.

7. CONCENTRATION RISK

Concentration risks result from exposure to a limited number of sectors. A portfolios that invest a substantial portion of its assets in a sector may be more affected by changes in that sector than would be a portfolio whose investments are not heavily weighted in any sector.

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 Portfolio 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.

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36   Wells Fargo Emerging Growth Fund   Other information (unaudited)

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 wellsfargofunds.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 wellsfargofunds.com or by visiting the SEC website at sec.gov.

PORTFOLIO HOLDINGS INFORMATION

The complete portfolio holdings are publicly available on the website (wellsfargofunds.com) on a one-month delayed basis. In addition, top ten holdings information (excluding derivative positions) is publicly available on the website on a monthly, seven-day or more delayed basis. The Fund and the Portfolio each file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. In addition, each Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and at regional offices in New York City, at 233 Broadway, and in Chicago, at 175 West Jackson Boulevard, Suite 900. Information about the Public Reference Room may be obtained by calling 1-800-SEC-0330.

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Other information (unaudited)   Wells Fargo Emerging Growth Fund     37  

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 152 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. Board member of the Vincent Memorial Hospital Endowment (non-profit organization), where he serves on the Investment Committee and as a Chair of the Audit Committee. 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.3

(Born 1952)

   Trustee, since 2009   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. Johnson3

(Born 1949)

   Trustee, since 2008; Audit Committee Chairman, since 2009   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

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

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38   Wells Fargo Emerging Growth Fund   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

Olivia S. Mitchell

(Born 1953)

   Trustee, since 2006; Nominating and Governance Committee Chairman, 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; Vice Chairman, from 2017 to 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; Advisory Board Member, from 2017 to 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

Michael S. Scofield4

(Born 1943)

   Trustee, since 2010   Served on the Investment Company Institute’s Board of Governors and Executive Committee from 2008-2011 as well the Governing Council of the Independent Directors Council from 2006-2011 and the Independent Directors Council Executive Committee from 2008-2011. Trustee of the Evergreen Fund complex (and its predecessors) from 1984 to 2010. Chairman of the Evergreen Funds from 2000-2010. Former Trustee of the Mentor Funds. Retired Attorney, Law Offices of Michael S. Scofield.   N/A

Pamela Wheelock

(Born 1959)

   Trustee, since 2018; Advisory Board Member, from 2017 to 2018   Chief Operating Officer, Twin Cities Habitat for Humanity, since January, 2017. Vice President of University Services, University of Minnesota from 2012 to 2017. 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 President and Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2010 to 2011, Chairman of the Board from 2009 to 2011 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. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently the 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)   Wells Fargo Emerging Growth Fund     39  

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.    

Nancy Wiser1

(Born 1967)

   Treasurer, since 2012   Executive Vice President of Wells Fargo Funds Management, LLC since 2011. Chief Operating Officer and Chief Compliance Officer at LightBox Capital Management LLC, from 2008 to 2011.    

Alexander Kymn

(Born 1973)

   Secretary, since 2018; Chief Legal Officer, since 2018   Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.    

Michael H. Whitaker

(Born 1967)

   Chief Compliance Officer, since 2016   Senior Vice President and Chief Compliance Officer 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.    

Jeremy DePalma1

(Born 1974)

   Assistant Treasurer, since 2009   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.    

 

 

 

1

Nancy Wiser acts as Treasurer of 76 funds in the Fund Complex. Jeremy DePalma acts as Treasurer of 76 funds and Assistant Treasurer of 76 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 wellsfargofunds.com.

 

3 

Mr. Harris will replace Ms. Johnson as the Chairman of the Audit Committee effective January 1, 2019.

 

4 

Mr. Scofield is expected to retire on December 31, 2018.

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40   Wells Fargo Emerging Growth Fund   Appendix A (unaudited)

SALES CHARGE REDUCTIONS AND WAIVERS FOR CERTAIN INTERMEDIARIES

Raymond James & Associates, Inc., Raymond James Financial Services & Raymond James affiliates (“Raymond James”)

Effective on or about March 1, 2019, shareholders purchasing Fund shares through a Raymond James platform or account will be eligible only for the following load waivers (front-end sales charge waivers and contingent deferred, 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 Load Waivers on Class A shares Available at Raymond James

 

  •  

Shares purchased in an investment advisory program.

 

  •  

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).

 

  •  

Employees and registered representatives of Raymond James or its affiliates and their family members as designated by Raymond James.

 

  •  

Shares purchased from the proceeds of redemptions within the same fund family, provided (1) the repurchase occurs within 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 (known as Rights of Reinstatement).

 

  •  

A shareholder in the fund’s Class C shares will have their shares automatically exchanged at net asset value to Class A shares (or the appropriate share class) of the fund if the shares are no longer subject to a CDSC and the exchange is in line with the policies and procedures of Raymond James.

CDSC Waivers on Class A and C Shares Available at Raymond James

 

  •  

Death or disability of the shareholder.

 

  •  

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

 

  •  

Return of excess contributions from an IRA Account.

 

  •  

Shares sold as part of a required minimum distribution for IRA and retirement accounts due to the shareholder reaching age 70½ as described in the Fund’s prospectus.

 

  •  

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

 

  •  

Shares acquired through a right of reinstatement.

Front-end Load Discounts Available at Raymond James: Breakpoints, and/or Rights of Accumulation

 

  •  

Breakpoints as described in the Fund’s Prospectus.

 

  •  

Rights of accumulation 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 Raymond James. Eligible fund family assets not held at Raymond James may be included in the rights of accumulation calculation only if the shareholder notifies his or her financial advisor about such assets.

Table of Contents

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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 Fund’s website, or call:

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: wellsfargofunds.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 the Fund. 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 Fund’s website at wellsfargofunds.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

© 2019 Wells Fargo Funds Management, LLC. All rights reserved.

 

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318976 01-19

SA282/SAR282 11-18

 

Table of Contents

Semi-Annual Report

November 30, 2018

 

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Wells Fargo Index Fund

 

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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.

 

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Table of Contents

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Contents

 

 

Letter to shareholders

     2  

Performance highlights

     6  

Fund expenses

     8  
Wells Fargo Index Fund  
Portfolio of investments     9  
Financial statements  

Statement of assets and liabilities

     10  

Statement of operations

     11  

Statement of changes in net assets

     12  

Financial highlights

     13  
Notes to financial statements     16  
Wells Fargo Index Portfolio  
Portfolio of investments     20  
Financial statements  

Statement of assets and liabilities

     36  

Statement of operations

     37  

Statement of changes in net assets

     38  

Financial highlights

     39  
Notes to financial statements     40  

Other information

     44  

Appendix A

     48  

 

The views expressed and any forward-looking statements are as of November 30, 2018, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Funds Management, LLC. 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 Funds Management, LLC 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


Table of Contents

 

2   Wells Fargo Index Fund   Letter to shareholders (unaudited)

 

LOGO

Andrew Owen

President

Wells Fargo Funds

 

 

Global trade tensions escalated during the third quarter of 2018.

 

 

Dear Shareholder:

We are pleased to offer you this semi-annual report for the Wells Fargo Index Fund for the six-month period that ended November 30, 2018. During the reporting period, the U.S. generated encouraging economic and business data that was offset by less positive and more inconsistent data from international markets. Investment returns were restrained in comparison with recent periods as geopolitical tensions and uncertainty tended to distract investors from more favorable underlying trends.

For the period, U.S. stocks, as measured by the S&P 500 Index,1 gained 3.02% and international stocks, as measured by the MSCI ACWI ex USA Index (Net),2 declined 8.37%. Based on the MSCI EM Index (Net),3 emerging market stocks lost 9.89%. For bond investors, the Bloomberg Barclays U.S. Aggregate Bond Index4 declined 0.30% while the Bloomberg Barclays Global Aggregate ex-USD Index5 fell 3.67%. The Bloomberg Barclays Municipal Bond Index6 gained 0.42%. The ICE BofAML U.S. High Yield Index7 was up 0.19%.

Global trade tensions prompted investor concerns.

Global trade tensions escalated during the third quarter of 2018. The U.S. government’s decision during the second quarter to impose tariffs on a wide range of products manufactured overseas drew retaliatory responses from foreign governments, which punished U.S. commodity producers and product manufacturers. Investors were left to wonder about next steps in what appeared to be an escalating divergence in global economic policies and growth prospects.

Inflation trended higher. The CPI-U8 added 0.1% in September after an increase of 0.2% in both July and August. On a year-over-year basis, the all-items index rose 2.3% for the 12 months that ended September 30, 2018, after a seasonal adjustment. The rate of increase was slower than that recorded during the first half of 2018. The index for all items less food and energy rose 2.2% for the same 12-month period.

 

 

 

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 U.S. and Canada. 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 large- and mid-cap equity market performance of emerging markets. The MSCI EM Index (Net) consists of the following 24 emerging market country indices: Brazil, Chile, China, Colombia, the Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, the Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey, and the United Arab Emirates. 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 BofAML 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 2018. ICE Data Indices, LLC. All rights reserved.

 

8 

The Consumer Price Index for All Urban Consumers (CPI-U) measures the changes in the price of a basket of goods and services purchased by urban consumers. The urban consumer population is deemed by many as a better representative measure of the general public because close to 90% of the country’s population lives in highly populated areas. You cannot invest directly in an index.

Table of Contents

 

Letter to shareholders (unaudited)   Wells Fargo Index Fund     3  

U.S. stocks gained following positive economic data while international stocks and bonds declined.

During the summer months, the U.S. economy strengthened. Revised second-quarter gross domestic product (GDP) data released in August showed the U.S. economy growing at a 4.2% rate. The unemployment rate in the U.S. was 3.7% by the end of September, according to the U.S. Department of Labor. Wages showed more consistent growth, and consumer confidence remained strong. Several U.S. equity market indices reached records during August, with the S&P 500 Index gaining 7.20% for the three-month period that ended September 30, 2018. In contrast, the MSCI ACWI ex USA Index (Net) gained 0.71% while the MSCI EM Index (Net) declined 1.09% during the same three-month period.

In June, the Federal Reserve increased the target range for the federal funds rate to range from 1.75% to 2.00%. It raised the range again in September to range from 2.00% to 2.25%. Long-term interest rates in the U.S. remained at higher levels relative to the prior 10 years. Rates on 10-year and 30-year Treasury bonds—2.46% and 2.81%, respectively, on January 1, 2018—were 3.01% and 3.30%, respectively, on November 30, 2018. Investor concerns about an inverted yield curve reemerged, only to be replaced by concerns about the potentially negative influence of higher interest rates on economic activity.

November saw improvement in many equity markets.

As interest rates and bond yields gained during October, stock markets struggled. For the month, the S&P 500 Index fell 6.84%, the MSCI ACWI ex USA Index (Net) dropped 8.13%, and the MSCI EM Index (Net) lost 8.71%. The Bureau of Economic Analysis released its first estimate of third-quarter GDP, which, at an annualized 3.5% rate, indicated growth may be slowing compared with the second quarter. Readings on consumer sentiment and business spending were mixed. Markets rebounded somewhat in November as the S&P 500 Index gained 2.04%, the MSCI ACWI ex USA Index (Net) added 0.95%, and the MSCI EM Index (Net) was up 4.12% as the uncertainty leading up to midterm elections in the U.S. was resolved and progress seemed to be possible on several international trade issues.

Economic signals overseas were mixed as the third quarter ended and the fourth quarter began. In early August, the Bank of England’s Monetary Policy Committee increased its key interest rate to 0.75%. The European Central Bank and the Bank of Japan maintained low interest rates and accommodative monetary policies. Amid rising trade uncertainty, the People’s Bank of China cut reserve requirement ratios and accelerated infrastructure spending and tax cuts for business enterprises and individuals. Nevertheless, a strengthening U.S. dollar and the trade tensions remained headwinds for investors overseas.

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.

 

 

 

Economic signals overseas were mixed as the third quarter ended and the fourth quarter began.

 

 

 

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4   Wells Fargo Index Fund   Letter to shareholders (unaudited)

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,

 

LOGO

Andrew Owen

President

Wells Fargo Funds

 

 

 

Notice to shareholders

At a meeting held on August 14-15, 2018, the Board of Trustees of the Fund approved the following policy which will be effective on or about February 5, 2019:

Class C shares will convert automatically into Class A shares ten years after the initial date of purchase or, if you acquired your Class C shares through an exchange or conversion from another share class, ten years after the date you acquired your Class C shares. When Class C shares that you acquired through a purchase or exchange convert, any other Class C shares that you purchased with reinvested dividends and distributions also will convert into Class A shares on a pro rata basis. A shorter holding period may also apply depending on your intermediary. Please see “Appendix A—Sales Charge Reductions and Waivers for Certain Intermediaries” in the Fund’s prospectus or at the end of this report.

 

 

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

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Table of Contents

 

6   Wells Fargo Index Fund   Performance highlights (unaudited)

Investment objective

The Fund seeks to replicate the total return of S&P 500 Index, before fees and expenses.

Manager

Wells Fargo Funds Management, LLC

Subadviser for the affiliated master portfolio

Wells Capital Management Incorporated

Portfolio managers

John R. Campbell, CFA®‡

David Neal, CFA®‡

Robert M. Wicentowski, CFA®‡

Average annual total returns (%) as of November 30, 20182

 

        Including sales charge     Excluding sales charge     Expense ratios3 (%)  
    Inception date   1 year     5 year     10 year     1 year     5 year     10 year     Gross     Net4  
Class A (WFILX)   11-4-1998     (0.31 )      9.28       13.08       5.77       10.58       13.75       0.63       0.45  
Class C (WFINX)   4-30-1999     3.97       9.76       12.90       4.97       9.76       12.90       1.38       1.20  
Administrator Class (WFIOX)   2-14-1985     –       –       –       5.98       10.85       14.06       0.40       0.25  
S&P 500 Index5   –     –       –       –       6.27       11.12       14.32       –       –  

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on fund distributions or the redemption of fund shares. 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, which assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wellsfargofunds.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. Administrator Class shares are sold without a front-end sales charge or contingent deferred sales charge.

Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. The use of derivatives may reduce returns and/or increase volatility. Consult the Fund’s prospectus for additional information on these and other risks.

 

 

Please see footnotes on page 7.

Table of Contents

 

Performance highlights (unaudited)   Wells Fargo Index Fund     7  
Ten largest holdings (%) as of November 30, 20186  

Microsoft Corporation

      3.56  

Apple Incorporated

      3.43  

Amazon.com Incorporated

      2.90  

Berkshire Hathaway Incorporated Class B

      1.78  

Johnson & Johnson

      1.65  

JPMorgan Chase & Company

      1.57  

Facebook Incorporated Class A

      1.42  

Alphabet Incorporated Class C

      1.41  

Exxon Mobil Corporation

      1.41  

Alphabet Incorporated Class A

      1.39  
Sector distribution as of November 30, 20187

 

LOGO

 

 

 

 

 

‡ 

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

 

1 

The Fund is a gateway feeder fund that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with a substantially identical investment objective and substantially similar investment strategies. 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 

Historical performance shown for all classes of the Fund prior to July 19, 2010, is based on the performance of the Fund’s predecessor, Evergreen Equity Index Fund.

 

3 

Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

 

4 

The manager has contractually committed through September 30, 2019, to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’s Total Annual Fund Operating Expenses After Fee Waivers at the amounts shown. After this time, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Brokerage commissions, stamp duty fees, interest, taxes, acquired money market fund fees and expenses (if any) from funds in which the affiliated master portfolio invests, and extraordinary expenses are excluded from the expense cap. Net expenses from the affiliated master portfolio are included in the expense cap. 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 prospectuses.

 

5 

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.

 

6 

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.

 

7 

Amounts represent the sector distribution of the affiliated master portfolio which 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.

Table of Contents

 

8   Wells Fargo Index Fund   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 June 1, 2018 to November 30, 2018.

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.

 

     Beginning
account value
6-1-2018		      Ending
account value
11-30-2018		      Expenses
paid during
the period1,2		      Annualized net
expense ratio2 		 

Class A

            

Actual

    $ 1,000.00      $ 1,027.78      $ 2.29        0.45 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,022.81      $ 2.28        0.45 % 

Class C

            

Actual

    $ 1,000.00      $ 1,023.87      $ 6.09        1.20 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,019.05      $ 6.07        1.20 % 

Administrator Class

            

Actual

    $ 1,000.00      $ 1,028.89      $ 1.27        0.25 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,023.82      $ 1.27        0.25 % 

 

 

 

1

Amounts reflect net expenses allocated from the affiliated Master Portfolio in which the Fund invests.

 

2

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).

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Index Fund     9  

      

 

 

Security name                        Value  

Investment Companies: 100.04%

           
Affiliated Master Portfolio: 100.04%           

Wells Fargo Index Portfolio

            $ 1,491,002,810  
          

 

 

  

Total Investment Companies (Cost $342,861,618)

              1,491,002,810  
          

 

 

  

 

Total investments in securities (Cost $342,861,618)     100.04 %         1,491,002,810  

Other assets and liabilities, net

     (0.04 )         (589,832 ) 
 

 

 

       

 

 

  
Total net assets     100.00 %       $ 1,490,412,978  
 

 

 

       

 

 

  

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		     Dividends
allocated
from
affiliated
Master
Portfolio		     Affiliated
income
allocated
from
affiliated
Master
Portfolio		     Interest
allocated
from
affiliated
Master
Portfolio		    

Value,

end

of period

     % of
net
assets		  

Wells Fargo Index Portfolio

     97 %      97 %    $ 116,637,394     $ (83,307,615 )    $ 15,833,099     $ 309,037     $ 23,778     $ 1,491,002,810       100.04 % 

 

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

Table of Contents

 

10   Wells Fargo Index Fund   Statement of assets and liabilities—November 30, 2018 (unaudited)
         

Assets

  

Investments in affiliated Master Portfolio, at value (cost $342,861,618)

   $ 1,491,002,810  

Receivable for Fund shares sold

     678,746  

Receivable from manager

     160,456  

Prepaid expenses and other assets

     264,613  
 

 

 

  

Total assets

     1,492,106,625  
 

 

 

  

Liabilities

  

Payable for Fund shares redeemed

     1,058,706  

Shareholder servicing fees payable

     226,231  

Administration fees payable

     220,663  

Distribution fee payable

     41,637  

Trustees’ fees and expense payable

     2,505  

Accrued expenses and other liabilities

     143,905  
 

 

 

  

Total liabilities

     1,693,647  
 

 

 

  

Total net assets

   $ 1,490,412,978  
 

 

 

  

NET ASSETS CONSIST OF

  

Paid-in capital

   $ (21,849,880 ) 

Total distributable earnings

     1,512,262,858  
 

 

 

  

Total net assets

   $ 1,490,412,978  
 

 

 

  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARE

  

Net assets – Class A

   $ 692,599,355  

Shares outstanding – Class A¹

     10,637,768  

Net asset value per share – Class A

     $65.11  

Maximum offering price per share – Class A²

     $69.08  

Net assets – Class C

   $ 63,162,487  

Shares outstanding – Class C¹

     968,900  

Net asset value per share – Class C

     $65.19  

Net assets – Administrator Class

   $ 734,651,136  

Shares outstanding – Administrator Class¹

     11,150,053  

Net asset value per share – Administrator Class

     $65.89  

 

 

 

 

1 

The 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.

Table of Contents

 

Statement of operations—six months ended November 30, 2018 (unaudited)   Wells Fargo Index Fund     11  
         

Investment income

  

Dividends allocated from affiliated Master Portfolio (net of foreign withholding taxes of $149)

   $ 15,833,099  

Affiliated income allocated from affiliated Master Portfolio

     309,037  

Interest allocated from affiliated Master Portfolio

     23,778  

Expenses allocated from affiliated Master Portfolio

     (842,614 ) 
 

 

 

  

Total investment income

     15,323,300  
 

 

 

  

Expenses

  

Management fee

     400,386  

Administration fees

  

Class A

     761,301  

Class C

     70,995  

Administrator Class

     525,772  

Shareholder servicing fees

  

Class A

     906,311  

Class C

     84,518  

Administrator Class

     394,930  

Distribution fee

  

Class C

     253,553  

Custody and accounting fees

     37,821  

Professional fees

     16,138  

Registration fees

     39,268  

Shareholder report expenses

     56,839  

Trustees’ fees and expenses

     11,297  

Other fees and expenses

     7,682  
 

 

 

  

Total expenses

     3,566,811  

Less: Fee waivers and/or expense reimbursements

     (1,361,281 ) 
 

 

 

  

Net expenses

     2,205,530  
 

 

 

  

Net investment income

     13,117,770  
 

 

 

  

REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS

  

Net realized gains on securities transactions allocated from affiliated Master Portfolio

     116,637,394  

Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio

     (83,307,615 ) 
 

 

 

  

Net realized and unrealized gains (losses) on investments

     33,329,779  
 

 

 

  

Net increase in net assets resulting from operations

   $ 46,447,549  
 

 

 

  

 

 

 

 

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

Table of Contents

 

12   Wells Fargo Index Fund   Statement of changes in net assets
    

Six months ended
November 30, 2018

(unaudited)

     Year ended
May 31, 2018		  

Operations

        

Net investment income

     $ 13,117,770       $ 28,480,595  

Net realized gains on investments

       116,637,394         342,171,321  

Net change in unrealized gains (losses) on investments

       (83,307,615 )        (126,133,995 ) 
 

 

 

  

Net increase in net assets resulting from operations

       46,447,549         244,517,921  
 

 

 

  

Distributions to shareholders from net investment income and net realized gains

 

Class A

       0         (123,045,671 ) 

Class C

       0         (11,221,352 ) 

Administrator Class

       0         (188,746,345 ) 
 

 

 

  

Total distributions to shareholders

       0         (323,013,368 ) 
 

 

 

  

Capital share transactions

     Shares         Shares    

Proceeds from shares sold

        

Class A

     234,921       15,355,148       473,086       31,179,127  

Class C

     32,854       2,174,652       87,293       5,748,674  

Administrator Class

     532,963       35,531,393       1,710,651       115,109,719  
 

 

 

  
      53,061,193         152,037,520  
 

 

 

  

Reinvestment of distributions

        

Class A

     0       0       1,867,730       117,353,642  

Class C

     0       0       157,810       9,921,751  

Administrator Class

     0       0       1,928,218       122,530,422  
 

 

 

  
      0         249,805,815  
 

 

 

  

Payment for shares redeemed

        

Class A

     (692,146 )      (45,837,880 )      (1,478,098 )      (97,820,940 ) 

Class C

     (102,351 )      (6,706,603 )      (215,384 )      (14,322,037 ) 

Administrator Class

     (2,327,074 )      (154,538,231 )      (7,771,521 )      (516,434,208 ) 
 

 

 

  
      (207,082,714 )        (628,577,185 ) 
 

 

 

  

Net decrease in net assets resulting from capital share transactions

       (154,021,521 )        (226,733,850 ) 
 

 

 

  

Total decrease in net assets

       (107,573,972 )        (305,229,297 ) 
 

 

 

  

Net assets

        

Beginning of period

       1,597,986,950         1,903,216,247  
 

 

 

  

End of period1

     $ 1,490,412,978       $ 1,597,986,950  
 

 

 

  

 

 

 

1 

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 $10,188,054. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 7, Distributions to Shareholders, in the notes to the financial statements.

 

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

Table of Contents

 

Financial highlights   Wells Fargo Index Fund     13  

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
CLASS A   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $63.35       $66.85       $62.85       $62.32       $62.14       $54.00  

Net investment income

     0.53       0.99 1       1.05       0.81       1.00       0.90  

Net realized and unrealized gains (losses) on investments

     1.23       7.99       9.09       (0.17 )      5.91       9.59  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     1.76       8.98       10.14       0.64       6.91       10.49  

Distributions to shareholders from

            

Net investment income

     0.00       (1.02 )      (1.16 )      (1.08 )      (0.96 )      (0.85 ) 

Net realized gains

     0.00       (11.46 )      (4.98 )      (4.03 )      (0.77 )      (1.50 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     0.00       (12.48 )      (6.14 )      (5.11 )      (1.73 )      (2.35 ) 

Net asset value, end of period

     $65.11       $63.35       $66.85       $62.85       $67.32       $62.14  

Total return2

     2.78 %      13.87 %      16.94 %      1.24 %      11.21 %      19.77 % 

Ratios to average net assets (annualized)

            

Gross expenses3

     0.64 %      0.63 %      0.62 %      0.63 %      0.68 %      0.67 % 

Net expenses3

     0.45 %      0.45 %      0.45 %      0.48 %      0.56 %      0.56 % 

Net investment income3

     1.57 %      1.49 %      1.68 %      1.78 %      1.50 %      1.53 % 

Supplemental data

            

Portfolio turnover rate4

     2 %      3 %      9 %      4 %      4 %      5 % 

Net assets, end of period (000s omitted)

     $692,599       $702,866       $684,004       $639,496       $445,088       $432,448  

 

 

 

1 

Calculated based upon average shares outstanding

 

2 

Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

      0.11 % 

Year ended May 31, 2018

      0.10 % 

Year ended May 31, 2017

      0.10 % 

Year ended May 31, 2016

      0.10 % 

Year ended May 31, 2015

      0.11 % 

Year ended May 31, 2014

      0.10 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

14   Wells Fargo Index Fund   Financial highlights

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
CLASS C   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $63.67       $67.11       $62.12       $67.55       $62.37       $54.22  

Net investment income

     0.32       0.50 1       0.66       0.62 1       0.50       0.47  

Net realized and unrealized gains (losses) on investments

     1.20       8.00       9.02       (0.45 )      5.94       9.62  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     1.52       8.50       9.68       0.17       6.44       10.09  

Distributions to shareholders from

            

Net investment income

     0.00       (0.48 )      (0.71 )      (0.57 )      (0.49 )      (0.44 ) 

Net realized gains

     0.00       (11.46 )      (4.98 )      (4.03 )      (0.77 )      (1.50 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     0.00       (11.94 )      (5.69 )      (4.60 )      (1.26 )      (1.94 ) 

Net asset value, end of period

     $65.19       $63.67       $67.11       $63.12       $67.55       $62.37  

Total return2

     2.39 %      13.02 %      16.07 %      0.48 %      10.38 %      18.89 % 

Ratios to average net assets (annualized)

            

Gross expenses3

     1.39 %      1.38 %      1.37 %      1.38 %      1.43 %      1.42 % 

Net expenses3

     1.20 %      1.20 %      1.20 %      1.24 %      1.31 %      1.31 % 

Net investment income3

     0.82 %      0.72 %      0.93 %      0.99 %      0.75 %      0.78 % 

Supplemental data

            

Portfolio turnover rate4

     2 %      3 %      9 %      4 %      4 %      5 % 

Net assets, end of period (000s omitted)

     $63,162       $66,117       $67,691       $79,858       $83,718       $78,118  

 

 

 

1 

Calculated based upon average shares outstanding

 

2 

Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

      0.11 % 

Year ended May 31, 2018

      0.10 % 

Year ended May 31, 2017

      0.10 % 

Year ended May 31, 2016

      0.10 % 

Year ended May 31, 2015

      0.11 % 

Year ended May 31, 2014

      0.10 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

Financial highlights   Wells Fargo Index Fund     15  

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
ADMINISTRATOR CLASS   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $64.04       $67.43       $63.33       $67.80       $62.56       $54.34  

Net investment income

     0.59 1       1.26       1.41       1.31       1.27       1.08  

Net realized and unrealized gains (losses) on investments

     1.26       7.94       8.94       (0.51 )      5.90       9.66  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     1.85       9.20       10.35       0.80       7.17       10.74  

Distributions to shareholders from

            

Net investment income

     0.00       (1.13 )      (1.27 )      (1.24 )      (1.16 )      (1.02 ) 

Net realized gains

     0.00       (11.46 )      (4.98 )      (4.03 )      (0.77 )      (1.50 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     0.00       (12.59 )      (6.25 )      (5.27 )      (1.93 )      (2.52 ) 

Net asset value, end of period

     $65.89       $64.04       $67.43       $63.33       $67.80       $62.56  

Total return2

     2.89 %      14.10 %      17.18 %      1.49 %      11.56 %      20.13 % 

Ratios to average net assets (annualized)

            

Gross expenses3

     0.40 %      0.40 %      0.39 %      0.40 %      0.37 %      0.36 % 

Net expenses3

     0.25 %      0.25 %      0.25 %      0.25 %      0.25 %      0.25 % 

Net investment income3

     1.76 %      1.70 %      1.88 %      1.97 %      1.81 %      1.84 % 

Supplemental data

            

Portfolio turnover rate4

     2 %      3 %      9 %      4 %      4 %      5 % 

Net assets, end of period (000s omitted)

     $734,651       $829,004       $1,151,522       $1,502,276       $1,832,814       $1,984,845  

 

 

 

1 

Calculated based upon average shares outstanding

 

2 

Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

      0.11 % 

Year ended May 31, 2018

      0.10 % 

Year ended May 31, 2017

      0.10 % 

Year ended May 31, 2016

      0.10 % 

Year ended May 31, 2015

      0.11 % 

Year ended May 31, 2014

      0.10 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

16   Wells Fargo Index Fund   Notes to financial statements (unaudited)

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 Wells Fargo Index Fund (the “Fund”) which is a diversified series of the Trust.

The Fund is a feeder fund in a master-feeder structure that invests substantially all of its assets in a single master portfolio with a substantially identical investment objective and substantially similar investment strategies. The Fund seeks to achieve its investment objective by investing all investable assets in a separate diversified portfolio (the “affiliated Master Portfolio”) of Wells Fargo Master Trust, a registered open-end management investment company. The affiliated Master Portfolio directly acquires portfolio securities and the Fund acquires an indirect interest in those securities. The Fund accounts for its investment in the affiliated Master Portfolio as a partnership investment and records on a daily basis its share of the affiliated Master Portfolio’s income, expense and realized and unrealized gains and losses. The financial statements of the affiliated Master Portfolio for the six months ended November 30, 2018 are included in this report and should be read in conjunction with the Fund’s financial statements. As of November 30, 2018, the Fund owned 97% of Wells Fargo Index Portfolio.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the 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 Fund may deviate from this calculation time under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of the affiliated Master Portfolio’s net assets, which are also valued daily. Securities held in the affiliated Master Portfolio are valued as discussed in the Notes to Financial Statements of the affiliated Master Portfolio, which are included elsewhere in this report.

Investment transactions, income and expenses

Investments in the affiliated Master Portfolio are recorded on a trade basis.

The Fund records daily its proportionate share of the affiliated Master Portfolio’s interest and dividend income, expenses and realized and unrealized gains or losses. The 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 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 the Fund’s fiscal year end. Therefore, a portion of the 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

The 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.

The 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 the 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.

Table of Contents

 

Notes to financial statements (unaudited)   Wells Fargo Index Fund     17  

As of November 30, 2018, the aggregate cost of all investments for federal income tax purposes was $356,664,227 and the unrealized gains (losses) consisted of:

 

Gross unrealized gains

    $ 1,134,338,583  

Gross unrealized losses

      0  

Net unrealized gains

    $ 1,134,338,583  

Class allocations

The separate classes of shares offered by the 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 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 November 30, 2018, the affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective and the value of the affiliate Master Portfolio was as follows:

 

Affiliated Master Portfolio    Investment objective      Value of affiliated
Master Portfolio		  

Wells Fargo Index Portfolio

    Seeks to replicate the total return of the
S&P 500 Index, before fees and expenses		        $1,491,002,810  

The 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 the 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 the Fund, supervising the subadviser and providing fund-level administrative services in connection with the Fund’s operations. As long as the Fund continues to invest substantially all of its assets in a single affiliated Master Portfolio, the Fund pays Funds Management an investment management fee only for fund-level administrative services at an annual rate starting at 0.05% and declining to 0.03% as the average daily net assets of the Fund increase. For the six months ended November 30, 2018, the management fee was equivalent to an annual rate of 0.05% of the Fund’s average daily net assets.

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

Administration fees

Under a class-level administration agreement, Funds Management provides class-level administrative services to the 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 % 

Administrator Class

      0.13  

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

Table of Contents

 

18   Wells Fargo Index Fund   Notes to financial statements (unaudited)

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; otherwise, waivers and/or reimbursements are applied against class specific expenses before fund level expenses. Net expenses from the affiliated Master Portfolio are included in the expense cap. Funds Management has committed through September 30, 2019 to waive fees and/or reimburse expenses to the extent necessary to cap each Fund’s expenses at 0.45% for Class A shares, 1.20% for Class C shares, and 0.25% for Administrator Class shares. After this time, 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 the Fund pursuant to Rule 12b-1 under the 1940 Act. A distribution fee is charged to Class C shares and paid to Wells Fargo Funds Distributor, LLC (“Funds Distributor”), the principal underwriter, 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 six months ended November 30, 2018, Funds Distributor received $6,085 from the sale of Class A shares and $12 in contingent deferred sales charges from redemptions of Class C shares. No contingent deferred sales charges were incurred by Class A shares for the six months ended November 30, 2018.

Shareholder servicing fees

The Trust has entered into contracts with one or more shareholder servicing agents, whereby Class A and Class C of the Fund are charged a fee at an annual rate of 0.25% of the average daily net assets of each respective class. Administrator Class 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 Fund seeks to achieve its investment objective by investing substantially all of its investable assets in a single affiliated Master Portfolio. Purchases and sales have been calculated by multiplying the Fund’s ownership percentage of the affiliated Master Portfolio by the affiliated Master Portfolio’s purchases and sales. Purchases and sales of investments, excluding short-term securities, for the six months ended November 30, 2018 were $35,698,731 and $176,960,427, respectively.

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 six months ended November 30, 2018, there were no borrowings by the Fund under the agreement.

7. DISTRIBUTIONS TO SHAREHOLDERS

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. The amounts of distributions to shareholders for the year ended May 31, 2018 were as follows:

 

     Net
investment
income		        Net realized
gains		  

Class A

      $11,646,335          $111,399,336  

Class C

      516,619          10,704,733  

Administrator Class

      18,709,88          170,036,456  

Table of Contents

 

Notes to financial statements (unaudited)   Wells Fargo Index Fund     19  

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 Fund 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 DISTRIBUTIONS

On December 12, 2018 the Fund declared distributions from short-term capital gains and long-term capital gains to shareholders of record on December 11, 2018. The per share amounts payable on December 13, 2018 were as follows:

 

     Short-term
capital gains		        Long-term
capital gains		  

Class A

      $0.06533          $14.26560  

Class C

      0.06533          14.26560  

Administrator Class

      0.06533          14.26560  

On December 14, 2018 the Fund declared distributions from net investment income to shareholders of record on December 13, 2018. The per share amounts payable on December 17, 2018 were as follows:

 

     Net investment
income		  

Class A

      $0.03751  

Class C

      0.00000  

Administrator Class

      0.05500  

Institutional Class

      0.06929  

These distributions are not reflected in the accompanying financial statements.

Table of Contents

 

20   Wells Fargo Index Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  

Common Stocks: 97.59%

 

Communication Services: 9.64%

 

Diversified Telecommunication Services: 2.07%

 

AT&T Incorporated

           466,098      $ 14,560,902  

CenturyLink Incorporated

           61,007        1,146,932  

Verizon Communications Incorporated

           265,201        15,991,620  
             31,699,454  
          

 

 

  
Entertainment: 1.93%

 

Activision Blizzard Incorporated

           48,934        2,440,828  

Electronic Arts Incorporated †

           19,564        1,644,745  

Netflix Incorporated †

           27,949        7,997,047  

Take-Two Interactive Software Incorporated †

           7,306        801,249  

The Walt Disney Company

           95,456        11,024,213  

Twenty-First Century Fox Incorporated Class A

           67,653        3,346,794  

Twenty-First Century Fox Incorporated Class B

           31,264        1,532,874  

Viacom Incorporated Class B

           22,684        700,028  
             29,487,778  
          

 

 

  
Interactive Media & Services: 4.34%

 

Alphabet Incorporated Class A †

           19,185        21,288,635  

Alphabet Incorporated Class C †

           19,762        21,628,126  

Facebook Incorporated Class A †

           154,789        21,764,881  

TripAdvisor Incorporated †

           6,565        420,554  

Twitter Incorporated †

           46,209        1,453,273  
             66,555,469  
          

 

 

  
Media: 1.30%

 

CBS Corporation Class B

           21,728        1,177,223  

Charter Communications Incorporated Class A †

           11,459        3,772,303  

Comcast Corporation Class A

           293,477        11,448,538  

Discovery Communications Incorporated Class A †«

           10,028        308,060  

Discovery Communications Incorporated Class C †

           23,085        644,764  

DISH Network Corporation Class A †

           14,703        481,670  

Interpublic Group of Companies Incorporated

           24,633        578,876  

News Corporation Class A

           24,607        319,399  

News Corporation Class B

           7,944        106,450  

Omnicom Group Incorporated

           14,401        1,108,445  
             19,945,728  
          

 

 

  

Consumer Discretionary: 9.62%

 

Auto Components: 0.14%

 

Aptiv plc

           16,992        1,221,725  

BorgWarner Incorporated

           13,406        530,609  

The Goodyear Tire & Rubber Company

           15,212        352,310  
             2,104,644  
          

 

 

  
Automobiles: 0.39%

 

Ford Motor Company

           251,269        2,364,441  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Index Portfolio     21  

      

 

 

Security name                 Shares      Value  
Automobiles (continued)

 

General Motors Company

           84,216      $ 3,195,997  

Harley-Davidson Incorporated

           10,690        452,080  
             6,012,518  
          

 

 

  
Distributors: 0.10%

 

Genuine Parts Company

           9,419        976,844  

LKQ Corporation †

           20,416        568,381  
             1,545,225  
          

 

 

  
Diversified Consumer Services: 0.02%

 

H&R Block Incorporated

           13,191        356,289  
          

 

 

  
Hotels, Restaurants & Leisure: 1.75%

 

Carnival Corporation

           25,883        1,560,486  

Chipotle Mexican Grill Incorporated †

           1,570        742,940  

Darden Restaurants Incorporated

           7,963        880,230  

Hilton Worldwide Holdings Incorporated

           19,139        1,445,760  

Marriott International Incorporated Class A

           18,485        2,126,330  

McDonald’s Corporation

           49,793        9,386,478  

MGM Resorts International

           32,798        884,234  

Norwegian Cruise Line Holdings Limited †

           14,108        724,023  

Royal Caribbean Cruises Limited

           10,998        1,243,544  

Starbucks Corporation

           79,626        5,312,647  

Wynn Resorts Limited

           6,276        686,594  

Yum! Brands Incorporated

           20,369        1,878,429  
             26,871,695  
          

 

 

  
Household Durables: 0.30%

 

D.R. Horton Incorporated

           22,023        819,696  

Garmin Limited

           7,755        516,948  

Leggett & Platt Incorporated

           8,354        323,634  

Lennar Corporation Class A

           18,724        800,077  

Mohawk Industries Incorporated †

           4,070        521,204  

Newell Rubbermaid Incorporated

           27,900        652,860  

Pulte Group Incorporated

           16,771        444,767  

Whirlpool Corporation

           4,144        522,683  
             4,601,869  
          

 

 

  
Internet & Direct Marketing Retail: 3.46%

 

Amazon.com Incorporated †

           26,296        44,444,710  

Booking Holdings Incorporated †

           3,047        5,764,558  

eBay Incorporated †

           59,702        1,782,105  

Expedia Incorporated

           7,631        921,748  
             52,913,121  
          

 

 

  
Leisure Products: 0.07%

 

Hasbro Incorporated

           7,496        682,136  

Mattel Incorporated †«

           22,089        307,037  
             989,173  
          

 

 

  

 

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

Table of Contents

 

22   Wells Fargo Index Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  
Multiline Retail: 0.48%

 

Dollar General Corporation

           17,043      $ 1,891,603  

Dollar Tree Incorporated †

           15,268        1,324,804  

Kohl’s Corporation

           10,700        718,719  

Macy’s Incorporated

           19,703        674,237  

Nordstrom Incorporated

           7,357        388,965  

Target Corporation

           33,783        2,397,242  
             7,395,570  
          

 

 

  
Specialty Retail: 2.20%

 

Advance Auto Parts Incorporated

           4,755        845,011  

AutoZone Incorporated †

           1,697        1,372,992  

Best Buy Company Incorporated

           15,601        1,007,669  

CarMax Incorporated †

           11,332        748,705  

Foot Locker Incorporated

           7,504        423,226  

L Brands Incorporated

           14,653        485,161  

Lowe’s Companies Incorporated

           52,053        4,912,242  

O’Reilly Automotive Incorporated †

           5,171        1,793,199  

Ross Stores Incorporated

           24,168        2,117,117  

The Gap Incorporated

           13,927        380,068  

The Home Depot Incorporated

           73,434        13,241,619  

The TJX Companies Incorporated

           80,494        3,932,132  

Tiffany & Company

           6,992        636,272  

Tractor Supply Company

           7,818        743,726  

ULTA Beauty Incorporated †

           3,644        1,085,147  
             33,724,286  
          

 

 

  
Textiles, Apparel & Luxury Goods: 0.71%

 

HanesBrands Incorporated

           23,138        368,126  

Michael Kors Holdings Limited †

           9,584        419,300  

Nike Incorporated Class B

           82,186        6,173,812  

PVH Corporation

           4,924        544,151  

Ralph Lauren Corporation

           3,546        395,024  

Tapestry Incorporated

           18,487        719,699  

Under Armour Incorporated Class A †«

           11,942        285,175  

Under Armour Incorporated Class C †

           12,244        273,409  

VF Corporation

           20,866        1,696,197  
             10,874,893  
          

 

 

  

Consumer Staples: 7.23%

 

Beverages: 1.85%

 

Brown-Forman Corporation Class B

           10,817        516,187  

Constellation Brands Incorporated Class A

           10,774        2,109,118  

Molson Coors Brewing Company Class B

           12,013        790,095  

Monster Beverage Corporation †

           25,533        1,523,809  

PepsiCo Incorporated

           90,776        11,069,225  

The Coca-Cola Company

           245,670        12,381,768  
             28,390,202  
          

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Index Portfolio     23  

      

 

 

Security name                 Shares      Value  
Food & Staples Retailing: 1.54%

 

Costco Wholesale Corporation

           28,147      $ 6,509,838  

Sysco Corporation

           30,692        2,068,641  

The Kroger Company

           51,133        1,516,605  

Wal-Mart Stores Incorporated

           92,108        8,994,346  

Walgreens Boots Alliance Incorporated

           54,142        4,584,203  
             23,673,633  
          

 

 

  
Food Products: 1.15%

 

Archer Daniels Midland Company

           35,926        1,653,315  

Campbell Soup Company «

           12,350        484,120  

ConAgra Foods Incorporated

           30,104        973,563  

General Mills Incorporated

           38,251        1,618,400  

Hormel Foods Corporation «

           17,451        786,866  

Kellogg Company

           16,243        1,033,867  

Lamb Weston Holdings Incorporated

           9,398        720,827  

McCormick & Company Incorporated

           7,784        1,167,600  

Mondelez International Incorporated Class A

           94,129        4,233,922  

The Hershey Company

           8,971        971,559  

The J.M. Smucker Company

           7,300        762,923  

The Kraft Heinz Company

           39,910        2,040,199  

Tyson Foods Incorporated Class A

           18,993        1,119,637  
             17,566,798  
          

 

 

  
Household Products: 1.54%

 

Church & Dwight Company Incorporated

           15,751        1,042,559  

Colgate-Palmolive Company

           55,694        3,537,683  

Kimberly-Clark Corporation

           22,314        2,574,366  

The Clorox Company

           8,221        1,361,562  

The Procter & Gamble Company

           159,762        15,099,107  
             23,615,277  
          

 

 

  
Personal Products: 0.15%

 

Coty Incorporated Class A

           28,913        241,134  

The Estee Lauder Companies Incorporated Class A

           14,386        2,052,307  
             2,293,441  
          

 

 

  
Tobacco: 1.00%

 

Altria Group Incorporated

           120,997        6,634,266  

Philip Morris International Incorporated

           99,773        8,633,358  
             15,267,624  
          

 

 

  

Energy: 5.38%

 

Energy Equipment & Services: 0.55%

 

Baker Hughes Incorporated

           32,632        744,662  

Halliburton Company

           56,475        1,775,009  

Helmerich & Payne Incorporated

           6,992        423,715  

National Oilwell Varco Incorporated

           24,558        788,557  

 

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

Table of Contents

 

24   Wells Fargo Index Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  
Energy Equipment & Services (continued)

 

Schlumberger Limited

           88,837      $ 4,006,549  

TechnipFMC plc

           27,421        633,151  
             8,371,643  
          

 

 

  
Oil, Gas & Consumable Fuels: 4.83%

 

Anadarko Petroleum Corporation

           32,867        1,738,664  

Apache Corporation

           24,549        862,406  

Cabot Oil & Gas Corporation

           28,316        712,431  

Chevron Corporation

           122,984        14,627,717  

Cimarex Energy Company

           6,120        501,718  

Concho Resources Incorporated †

           12,854        1,675,390  

ConocoPhillips

           74,587        4,936,168  

Devon Energy Corporation

           30,051        812,279  

Diamondback Energy Incorporated

           9,741        1,075,212  

EOG Resources Incorporated

           37,175        3,840,549  

Exxon Mobil Corporation

           271,740        21,603,330  

Hess Corporation

           16,157        870,701  

HollyFrontier Corporation

           10,403        649,875  

Kinder Morgan Incorporated

           121,812        2,079,331  

Marathon Oil Corporation

           54,822        914,979  

Marathon Petroleum Corporation

           43,034        2,804,095  

Newfield Exploration Company †

           12,827        217,418  

Noble Energy Incorporated

           31,008        736,130  

Occidental Petroleum Corporation

           49,082        3,448,992  

ONEOK Incorporated

           26,395        1,621,445  

Phillips 66 Company

           27,414        2,563,757  

Pioneer Natural Resources Company

           10,937        1,615,942  

The Williams Companies Incorporated

           77,621        1,965,364  

Valero Energy Corporation

           27,432        2,191,817  
             74,065,710  
          

 

 

  

Financials: 13.38%

 

Banks: 5.89%

 

Bank of America Corporation

           596,203        16,932,165  

BB&T Corporation

           49,706        2,539,977  

Citigroup Incorporated

           161,524        10,465,140  

Citizens Financial Group Incorporated

           30,548        1,110,725  

Comerica Incorporated

           10,378        821,730  

Fifth Third Bancorp

           42,768        1,194,510  

Huntington Bancshares Incorporated

           70,873        1,034,037  

JPMorgan Chase & Company

           215,712        23,985,017  

KeyCorp

           67,523        1,238,372  

M&T Bank Corporation

           9,229        1,559,793  

People’s United Financial Incorporated

           23,923        403,342  

PNC Financial Services Group Incorporated

           29,800        4,046,244  

Regions Financial Corporation

           66,357        1,091,573  

SunTrust Banks Incorporated

           29,571        1,853,806  

SVB Financial Group †

           3,415        870,176  

US Bancorp

           98,284        5,352,547  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Index Portfolio     25  

      

 

 

Security name                 Shares      Value  
Banks (continued)

 

Wells Fargo & Company (l)

           278,204      $ 15,100,913  

Zions Bancorporation

           12,477        607,131  
             90,207,198  
          

 

 

  
Capital Markets: 2.70%

 

Affiliated Managers Group Incorporated

           3,429        381,030  

Ameriprise Financial Incorporated

           9,105        1,181,374  

Bank of New York Mellon Corporation

           59,045        3,029,599  

BlackRock Incorporated

           7,887        3,375,715  

CBOE Holdings Incorporated

           7,177        772,389  

CME Group Incorporated

           22,713        4,317,287  

E*TRADE Financial Corporation

           16,667        871,517  

Franklin Resources Incorporated

           19,620        664,922  

Intercontinental Exchange Incorporated

           36,805        3,007,705  

Invesco Limited

           26,370        536,630  

Moody’s Corporation

           10,716        1,704,594  

Morgan Stanley

           85,110        3,778,033  

MSCI Incorporated

           5,702        895,727  

Northern Trust Corporation

           14,331        1,422,065  

Raymond James Financial Incorporated

           8,427        671,885  

S&P Global Incorporated

           16,142        2,951,726  

State Street Corporation

           24,352        1,778,183  

T. Rowe Price Group Incorporated

           15,609        1,550,910  

The Charles Schwab Corporation

           77,177        3,457,530  

The Goldman Sachs Group Incorporated

           22,536        4,297,390  

The NASDAQ OMX Group Incorporated

           7,391        674,946  
             41,321,157  
          

 

 

  
Consumer Finance: 0.69%

 

American Express Company

           45,317        5,087,740  

Capital One Financial Corporation

           30,707        2,753,804  

Discover Financial Services

           21,993        1,568,101  

Synchrony Financial

           43,736        1,136,261  
             10,545,906  
          

 

 

  
Diversified Financial Services: 1.81%

 

Berkshire Hathaway Incorporated Class B †

           125,121        27,306,407  

Jefferies Financial Group Incorporated

           18,613        406,694  
             27,713,101  
          

 

 

  
Insurance: 2.29%

 

AFLAC Incorporated

           49,280        2,254,067  

American International Group Incorporated

           57,023        2,466,245  

Aon plc

           15,574        2,571,423  

Arthur J. Gallagher & Company

           11,721        903,337  

Assurant Incorporated

           3,388        329,449  

Brighthouse Financial Incorporated †

           7,688        309,519  

Chubb Limited

           29,733        3,976,491  

Cincinnati Financial Corporation

           9,709        793,517  

 

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

Table of Contents

 

26   Wells Fargo Index Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  
Insurance (continued)

 

Everest Reinsurance Group Limited

           2,622      $ 582,294  

Lincoln National Corporation

           13,907        875,724  

Loews Corporation

           17,847        857,727  

Marsh & McLennan Companies Incorporated

           32,411        2,874,856  

MetLife Incorporated

           63,852        2,849,715  

Principal Financial Group Incorporated

           16,997        838,292  

Prudential Financial Incorporated

           26,764        2,509,393  

The Allstate Corporation

           22,222        1,981,980  

The Hartford Financial Services Group Incorporated

           23,004        1,016,547  

The Progressive Corporation

           37,425        2,480,903  

The Travelers Companies Incorporated

           17,181        2,239,887  

Torchmark Corporation

           6,654        574,972  

Unum Group

           14,037        504,069  

Willis Towers Watson plc

           8,393        1,338,264  
             35,128,671  
          

 

 

  

Health Care: 15.21%

 

Biotechnology: 2.52%

 

AbbVie Incorporated

           97,191        9,162,196  

Alexion Pharmaceuticals Incorporated †

           14,304        1,761,538  

Amgen Incorporated

           41,544        8,651,538  

Biogen Idec Incorporated †

           12,929        4,314,666  

Celgene Corporation †

           45,144        3,260,300  

Gilead Sciences Incorporated

           83,203        5,985,624  

Incyte Corporation †

           11,324        727,567  

Regeneron Pharmaceuticals Incorporated †

           4,973        1,818,377  

Vertex Pharmaceuticals Incorporated †

           16,403        2,965,498  
             38,647,304  
          

 

 

  
Health Care Equipment & Supplies: 3.21%

 

Abbott Laboratories

           112,598        8,337,882  

ABIOMED Incorporated †

           2,880        958,118  

Align Technology Incorporated †

           4,691        1,078,414  

Baxter International Incorporated

           31,891        2,186,128  

Becton Dickinson & Company

           17,173        4,340,476  

Boston Scientific Corporation †

           88,761        3,343,627  

Danaher Corporation

           39,523        4,329,349  

Dentsply Sirona Incorporated

           14,271        539,158  

Edwards Lifesciences Corporation †

           13,439        2,177,252  

Hologic Incorporated †

           17,466        775,665  

IDEXX Laboratories Incorporated †

           5,558        1,132,498  

Intuitive Surgical Incorporated †

           7,301        3,875,882  

Medtronic plc

           86,680        8,453,900  

ResMed Incorporated

           9,161        1,024,108  

Stryker Corporation

           19,923        3,495,690  

The Cooper Companies Incorporated

           3,154        879,430  

Varian Medical Systems Incorporated †

           5,876        725,040  

Zimmer Biomet Holdings Incorporated

           13,060        1,528,281  
             49,180,898  
          

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Index Portfolio     27  

      

 

 

Security name                 Shares      Value  
Health Care Providers & Services: 3.37%

 

AmerisourceBergen Corporation

           10,276      $ 913,536  

Anthem Incorporated

           16,685        4,839,818  

Cardinal Health Incorporated

           19,822        1,086,840  

Centene Corporation †

           13,174        1,874,002  

CIGNA Corporation

           15,620        3,489,196  

CVS Health Corporation

           82,932        6,651,128  

DaVita HealthCare Partners Incorporated †

           8,141        537,794  

Express Scripts Holding Company †

           36,086        3,661,646  

HCA Holdings Incorporated

           17,324        2,494,483  

Henry Schein Incorporated †

           9,827        876,568  

Humana Incorporated

           8,842        2,913,174  

Laboratory Corporation of America Holdings †

           6,540        952,486  

McKesson Corporation

           12,822        1,596,339  

Quest Diagnostics Incorporated

           8,772        776,936  

UnitedHealth Group Incorporated

           61,775        17,381,014  

Universal Health Services Incorporated Class B

           5,525        762,395  

WellCare Health Plans Incorporated †

           3,208        817,655  
             51,625,010  
          

 

 

  
Health Care Technology: 0.08%

 

Cerner Corporation †

           21,117        1,222,885  
          

 

 

  
Life Sciences Tools & Services: 0.98%

 

Agilent Technologies Incorporated

           20,460        1,480,281  

Illumina Incorporated †

           9,435        3,184,313  

IQVIA Holdings Incorporated †

           10,402        1,300,978  

Mettler-Toledo International Incorporated †

           1,618        1,030,116  

PerkinElmer Incorporated

           7,107        618,735  

Thermo Fisher Scientific Incorporated

           25,853        6,451,616  

Waters Corporation †

           4,946        982,177  
             15,048,216  
          

 

 

  
Pharmaceuticals: 5.05%

 

Allergan plc

           20,479        3,207,011  

Bristol-Myers Squibb Company

           104,739        5,599,347  

Eli Lilly & Company

           61,349        7,278,445  

Johnson & Johnson

           172,188        25,294,417  

Merck & Company Incorporated

           170,697        13,543,100  

Mylan NV †

           33,091        1,120,461  

Nektar Therapeutics †

           11,070        447,117  

Perrigo Company plc

           8,080        503,222  

Pfizer Incorporated

           376,249        17,393,991  

Zoetis Incorporated

           30,925        2,902,930  
             77,290,041  
          

 

 

  

Industrials: 9.14%

 

Aerospace & Defense: 2.45%

 

Arconic Incorporated

           27,588        592,590  

General Dynamics Corporation

           17,875        3,304,909  

 

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

Table of Contents

 

28   Wells Fargo Index Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  
Aerospace & Defense (continued)

 

Harris Corporation

           7,542      $ 1,078,129  

Huntington Ingalls Industries Incorporated

           2,780        599,090  

L-3 Technologies Incorporated

           5,027        921,399  

Lockheed Martin Corporation

           15,902        4,777,438  

Northrop Grumman Corporation

           11,176        2,904,419  

Raytheon Company

           18,309        3,210,300  

Textron Incorporated

           15,944        895,096  

The Boeing Company

           34,293        11,891,441  

TransDigm Group Incorporated †

           3,108        1,124,070  

United Technologies Corporation

           51,994        6,334,935  
             37,633,816  
          

 

 

  
Air Freight & Logistics: 0.68%

 

C.H. Robinson Worldwide Incorporated

           8,892        820,998  

Expeditors International of Washington Incorporated

           11,189        851,371  

FedEx Corporation

           15,615        3,575,835  

United Parcel Service Incorporated Class B

           44,504        5,130,866  
             10,379,070  
          

 

 

  
Airlines: 0.48%

 

Alaska Air Group Incorporated

           7,904        579,047  

American Airlines Group Incorporated

           26,306        1,056,449  

Delta Air Lines Incorporated

           40,378        2,451,348  

Southwest Airlines Company

           33,100        1,807,591  

United Continental Holdings Incorporated †

           14,697        1,421,200  
             7,315,635  
          

 

 

  
Building Products: 0.27%

 

A.O. Smith Corporation

           9,277        439,544  

Allegion plc

           6,098        558,516  

Fortune Brands Home & Security Incorporated

           9,141        400,376  

Johnson Controls International plc

           59,364        2,064,680  

Masco Corporation

           19,735        625,402  
             4,088,518  
          

 

 

  
Commercial Services & Supplies: 0.36%

 

Cintas Corporation

           5,525        1,035,275  

Copart Incorporated †

           13,119        671,430  

Republic Services Incorporated

           13,991        1,082,064  

Rollins Incorporated

           6,301        400,492  

Waste Management Incorporated

           25,315        2,373,281  
             5,562,542  
          

 

 

  
Construction & Engineering: 0.08%

 

Fluor Corporation

           9,025        369,393  

Jacobs Engineering Group Incorporated

           7,651        502,441  

Quanta Services Incorporated †

           9,551        335,240  
             1,207,074  
          

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Index Portfolio     29  

      

 

 

Security name                 Shares      Value  
Electrical Equipment: 0.48%

 

AMETEK Incorporated

           14,884      $ 1,092,932  

Eaton Corporation plc

           27,811        2,139,778  

Emerson Electric Company

           40,337        2,723,554  

Rockwell Automation Incorporated

           7,905        1,378,158  
             7,334,422  
          

 

 

  
Industrial Conglomerates: 1.37%

 

3M Company

           37,651        7,828,396  

General Electric Company

           557,822        4,183,665  

Honeywell International Incorporated

           47,663        6,994,545  

Roper Industries Incorporated

           6,633        1,973,914  
             20,980,520  
          

 

 

  
Machinery: 1.50%

 

Caterpillar Incorporated

           38,146        5,175,268  

Cummins Incorporated

           9,643        1,456,672  

Deere & Company

           20,646        3,197,652  

Dover Corporation

           9,480        804,757  

Flowserve Corporation

           8,399        407,435  

Fortive Corporation

           19,741        1,501,698  

Illinois Tool Works Incorporated

           19,802        2,753,468  

Ingersoll-Rand plc

           15,745        1,629,922  

Paccar Incorporated

           22,499        1,399,888  

Parker-Hannifin Corporation

           8,495        1,461,480  

Pentair plc

           10,357        442,244  

Snap-on Incorporated

           3,620        601,789  

Stanley Black & Decker Incorporated

           9,821        1,285,078  

Xylem Incorporated

           11,528        841,313  
             22,958,664  
          

 

 

  
Professional Services: 0.29%

 

Equifax Incorporated

           7,728        793,434  

IHS Markit Limited †

           22,896        1,221,960  

Nielsen Holdings plc

           22,864        621,215  

Robert Half International Incorporated

           7,859        485,922  

Verisk Analytics Incorporated †

           10,571        1,303,616  
             4,426,147  
          

 

 

  
Road & Rail: 1.01%

 

CSX Corporation

           52,365        3,803,270  

J.B. Hunt Transport Services Incorporated

           5,614        597,105  

Kansas City Southern

           6,557        675,699  

Norfolk Southern Corporation

           17,973        3,068,710  

Union Pacific Corporation

           47,463        7,298,860  
             15,443,644  
          

 

 

  
Trading Companies & Distributors: 0.17%

 

Fastenal Company

           18,417        1,091,391  

United Rentals Incorporated †

           5,311        622,077  

 

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

Table of Contents

 

30   Wells Fargo Index Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  
Trading Companies & Distributors (continued)

 

W.W. Grainger Incorporated

           2,918      $ 916,369  
             2,629,837  
          

 

 

  

Information Technology: 19.55%

 

Communications Equipment: 1.14%

 

Arista Networks Incorporated †

           3,314        790,323  

Cisco Systems Incorporated

           293,403        14,045,202  

F5 Networks Incorporated †

           3,903        671,199  

Juniper Networks Incorporated

           22,130        635,352  

Motorola Solutions Incorporated

           10,415        1,366,969  
             17,509,045  
          

 

 

  
Electronic Equipment, Instruments & Components: 0.43%

 

Amphenol Corporation Class A

           19,278        1,695,307  

Corning Incorporated

           51,989        1,675,086  

FLIR Systems Incorporated

           8,859        406,274  

IPG Photonics Corporation †

           2,312        328,651  

Keysight Technologies Incorporated †

           12,030        743,695  

TE Connectivity Limited

           22,365        1,720,539  
             6,569,552  
          

 

 

  
IT Services: 4.62%

 

Accenture plc Class A

           41,125        6,765,885  

Akamai Technologies Incorporated †

           10,879        747,931  

Alliance Data Systems Corporation

           3,033        607,692  

Automatic Data Processing Incorporated

           28,118        4,145,156  

Broadridge Financial Solutions Incorporated

           7,466        790,425  

Cognizant Technology Solutions Corporation Class A

           37,241        2,652,676  

DXC Technology Company

           18,046        1,137,620  

Fidelity National Information Services Incorporated

           21,105        2,278,285  

Fiserv Incorporated †

           25,990        2,056,589  

FleetCor Technologies Incorporated †

           5,673        1,097,158  

Gartner Incorporated †

           5,829        892,945  

Global Payments Incorporated

           10,153        1,135,207  

International Business Machines Corporation

           58,584        7,280,234  

Jack Henry & Associates Incorporated

           4,954        692,074  

MasterCard Incorporated Class A

           58,554        11,773,453  

Paychex Incorporated

           20,547        1,453,906  

PayPal Holdings Incorporated †

           75,972        6,519,157  

Total System Services Incorporated

           10,772        941,150  

VeriSign Incorporated †

           6,886        1,074,629  

Visa Incorporated Class A

           114,032        16,159,475  

Western Union Company

           28,706        537,663  
             70,739,310  
          

 

 

  
Semiconductors & Semiconductor Equipment: 3.55%

 

Advanced Micro Devices Incorporated †

           55,062        1,172,821  

Analog Devices Incorporated

           23,855        2,192,752  

Applied Materials Incorporated

           63,092        2,352,070  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Index Portfolio     31  

      

 

 

Security name                 Shares      Value  
Semiconductors & Semiconductor Equipment (continued)           

Broadcom Incorporated

           27,707      $ 6,577,919  

Intel Corporation

           295,949        14,593,245  

KLA-Tencor Corporation

           10,021        987,670  

Lam Research Corporation

           10,114        1,587,493  

Maxim Integrated Products Incorporated

           17,844        997,836  

Microchip Technology Incorporated «

           15,119        1,133,925  

Micron Technology Incorporated †

           74,440        2,870,406  

NVIDIA Corporation

           39,023        6,377,529  

Qorvo Incorporated †

           8,064        530,692  

QUALCOMM Incorporated

           77,801        4,532,686  

Skyworks Solutions Incorporated

           11,488        835,982  

Texas Instruments Incorporated

           62,399        6,230,540  

Xilinx Incorporated

           16,233        1,501,228  
             54,474,794  
          

 

 

  
Software: 5.93%

 

Adobe Systems Incorporated †

           31,428        7,884,971  

Ansys Incorporated †

           5,411        876,690  

Autodesk Incorporated †

           14,032        2,027,624  

Cadence Design Systems Incorporated †

           18,152        817,566  

Citrix Systems Incorporated

           8,272        901,400  

Fortinet Incorporated †

           9,227        681,322  

Intuit Incorporated

           16,602        3,561,627  

Microsoft Corporation

           492,171        54,576,842  

Oracle Corporation

           181,422        8,846,137  

Red Hat Incorporated †

           11,384        2,032,727  

Salesforce.com Incorporated †

           48,567        6,933,425  

Symantec Corporation

           39,892        882,012  

Synopsys Incorporated †

           9,537        876,832  
             90,899,175  
          

 

 

  
Technology Hardware, Storage & Peripherals: 3.88%

 

Apple Incorporated

           294,500        52,591,810  

Hewlett Packard Enterprise Company

           94,455        1,416,825  

HP Incorporated

           101,564        2,335,972  

NetApp Incorporated

           16,641        1,112,784  

Seagate Technology plc

           16,774        722,792  

Western Digital Corporation

           18,700        848,793  

Xerox Corporation

           13,306        358,198  
             59,387,174  
          

 

 

  

Materials: 2.55%

 

Chemicals: 1.92%

 

Air Products & Chemicals Incorporated

           14,074        2,264,084  

Albemarle Corporation «

           6,961        670,484  

CF Industries Holdings Incorporated

           14,985        632,217  

DowDuPont Incorporated

           148,095        8,567,296  

Eastman Chemical Company

           9,068        714,740  

Ecolab Incorporated

           16,318        2,618,876  

 

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

Table of Contents

 

32   Wells Fargo Index Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  
Chemicals (continued)           

FMC Corporation

           8,641      $ 714,956  

International Flavors & Fragrances Incorporated

           6,496        920,028  

Linde plc

           35,347        5,621,940  

LyondellBasell Industries NV Class A

           20,490        1,911,922  

PPG Industries Incorporated

           15,533        1,698,223  

The Mosaic Company

           22,761        819,396  

The Sherwin-Williams Company

           5,274        2,236,545  
             29,390,707  
          

 

 

  
Construction Materials: 0.11%

 

Martin Marietta Materials Incorporated

           4,044        771,150  

Vulcan Materials Company

           8,489        897,372  
             1,668,522  
          

 

 

  
Containers & Packaging: 0.30%

 

Avery Dennison Corporation

           5,611        540,900  

Ball Corporation

           22,073        1,084,005  

International Paper Company

           26,243        1,212,164  

Packaging Corporation of America

           6,065        593,278  

Sealed Air Corporation

           10,193        372,350  

WestRock Company

           16,374        771,379  
             4,574,076  
          

 

 

  
Metals & Mining: 0.22%

 

Freeport-McMoRan Incorporated

           93,002        1,110,444  

Newmont Mining Corporation

           34,235        1,107,160  

Nucor Corporation

           20,304        1,226,565  
             3,444,169  
          

 

 

  

Real Estate: 2.83%

 

Equity REITs: 2.77%

 

Alexandria Real Estate Equities Incorporated

           6,788        845,106  

American Tower Corporation

           28,294        4,654,080  

Apartment Investment & Management Company Class A

           10,099        475,562  

AvalonBay Communities Incorporated

           8,871        1,690,546  

Boston Properties Incorporated

           9,911        1,300,323  

Crown Castle International Corporation

           26,626        3,059,327  

Digital Realty Trust Incorporated

           13,228        1,521,749  

Duke Realty Corporation

           22,931        652,616  

Equinix Incorporated

           5,103        1,966,084  

Equity Residential Company Limited

           23,638        1,684,208  

Essex Property Trust Incorporated

           4,239        1,112,780  

Extra Space Storage Incorporated

           8,119        779,262  

Federal Realty Investment Trust

           4,717        623,069  

HCP Incorporated

           30,155        882,335  

Host Hotels & Resorts Incorporated

           47,603        904,457  

Iron Mountain Incorporated

           18,366        623,893  

Kimco Realty Corporation

           27,046        442,202  

Mid-America Apartment Communities Incorporated

           7,305        756,506  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Index Portfolio     33  

      

 

 

Security name                 Shares      Value  
Equity REITs (continued)           

Prologis Incorporated

           40,405      $ 2,720,873  

Public Storage Incorporated

           9,618        2,051,135  

Realty Income Corporation

           18,616        1,193,099  

Regency Centers Corporation

           10,875        692,303  

SBA Communications Corporation †

           7,371        1,259,041  

Simon Property Group Incorporated

           19,846        3,685,204  

SL Green Realty Corporation

           5,556        535,710  

The Macerich Company

           6,790        341,469  

UDR Incorporated

           17,180        732,212  

Ventas Incorporated

           22,877        1,452,461  

Vornado Realty Trust

           11,111        799,548  

Welltower Incorporated

           23,878        1,727,096  

Weyerhaeuser Company

           48,630        1,284,318  
             42,448,574  
          

 

 

  
Real Estate Management & Development: 0.06%

 

CBRE Group Incorporated Class A †

           20,283        885,961  
          

 

 

  

Utilities: 3.06%

 

Electric Utilities: 1.90%

 

Alliant Energy Corporation

           15,004        681,032  

American Electric Power Company Incorporated

           31,638        2,459,538  

Duke Energy Corporation

           45,721        4,049,509  

Edison International

           20,912        1,156,852  

Entergy Corporation

           11,608        1,010,592  

Evergy Incorporated

 

      17,438        1,035,294  

Eversource Energy

 

      20,339        1,389,967  

Exelon Corporation

 

      61,995        2,875,948  

FirstEnergy Corporation

 

      31,185        1,179,729  

NextEra Energy Incorporated

 

      30,269        5,500,180  

PG&E Corporation †

 

      33,192        875,605  

Pinnacle West Capital Corporation

 

      7,187        642,230  

PPL Corporation

 

      44,901        1,373,522  

The Southern Company

 

      65,091        3,080,757  

Xcel Energy Incorporated

 

      32,675        1,713,804  
             29,024,559  
          

 

 

  
Independent Power & Renewable Electricity Producers: 0.09%

 

AES Corporation

 

      42,469        657,845  

NRG Energy Incorporated

 

      19,475        748,424  
             1,406,269  
          

 

 

  
Multi-Utilities: 1.00%

 

Ameren Corporation

 

      15,663        1,074,795  

CenterPoint Energy Incorporated

 

      31,585        884,696  

CMS Energy Corporation

 

      18,181        947,048  

Consolidated Edison Incorporated

 

      19,968        1,604,429  

Dominion Energy Incorporated

 

      41,961        3,126,095  

DTE Energy Company

 

      11,667        1,397,007  

 

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

Table of Contents

 

34   Wells Fargo Index Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                Shares      Value  
Multi-Utilities (continued)          

NiSource Incorporated

 

      23,301      $ 615,612  

Public Service Enterprise Group Incorporated

 

      32,433        1,813,005  

SCANA Corporation

 

      9,154        427,126  

Sempra Energy

 

      17,551        2,022,226  

WEC Energy Group Incorporated

 

      20,252        1,467,865  
            15,379,904  
         

 

 

  
Water Utilities: 0.07%

 

American Water Works Company Incorporated

 

      11,585        1,105,320  
         

 

 

  

Total Common Stocks (Cost $505,943,754)

 

         1,495,119,427  
         

 

 

  
    Yield                      
Short-Term Investments: 2.53%          
Investment Companies: 2.39%          

Securities Lending Cash Investments LLC (l)(r)(u)

     2.38 %         3,737,121        3,737,495  

Wells Fargo Government Money Market Fund Select Class (l)(u)

     2.13          32,948,855        32,948,855  
            36,686,350  
         

 

 

  
          Maturity date      Principal         
U.S. Treasury Securities: 0.14%

 

U.S. Treasury Bill (z)#

     1.61       12-13-2018      $     2,140,000        2,138,720  
         

 

 

  

Total Short-Term Investments (Cost $38,824,866)

             38,825,070  
         

 

 

  

 

Total investments in securities (Cost $544,768,620)     100.12 %         1,533,944,497  

Other assets and liabilities, net

     (0.12 )         (1,845,625 ) 
 

 

 

       

 

 

  
Total net assets     100.00 %       $ 1,532,098,872  
 

 

 

       

 

 

  

 

 

†

Non-income-earning security

 

«

All or a portion of this security is on loan.

 

(l)

The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

 

(r)

The investment is a non-registered investment company purchased with cash collateral received from securities on loan.

 

(u)

The rate represents the 7-day annualized yield at period end.

 

(z)

Zero coupon security. The rate represents the current yield to maturity.

 

#

All or a portion of this security is segregated as collateral for investments in derivative instruments.

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 Index

      52        12-20-2018      $ 36,372,075      $ 35,857,900      $ 0      $ (514,175 ) 

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Index Portfolio     35  

      

 

 

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

  

Common Stocks

                  

Financials

                  

Banks

                  

Wells Fargo & Company

     308,208       890       30,894       278,204     $ 830,021     $ (720,382 )    $ 245,725     $ 15,100,913       0.99 % 

Short-Term Investments

                  

Investment Companies

                  

Securities Lending Cash Investments LLC

     6,535,529       31,725,054       34,523,462       3,737,121       47       (115 )      11,011       3,737,495    

Wells Fargo Government Money Market Fund Select Class

     17,497,109       173,688,226       158,236,480       32,948,855       0       0       306,486       32,948,855    
                  36,686,350       2.39  
         

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
          $ 830,068     $ (720,497 )    $ 563,222     $ 51,787,263       3.38 % 
         

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

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

Table of Contents

 

36   Wells Fargo Index Portfolio   Statement of assets and liabilities—November 30, 2018 (unaudited)
         

Assets

  

Investments in unaffiliated securities (including $3,654,221 of securities loaned), at value (cost $501,300,603)

   $ 1,482,157,234  

Investments in affiliated securities, at value (cost $43,468,017)

     51,787,263  

Receivable for dividends

     3,792,038  

Receivable for investments sold

     759,747  

Receivable for daily variation margin on open futures

     261,080  

Receivable for securities lending income

     1,081  

Prepaid expenses and other assets

     187,948  
 

 

 

  

Total assets

     1,538,946,391  
 

 

 

  

Liabilities

  

Payable upon receipt of securities loaned

     3,735,462  

Payable for investments purchased

     2,847,037  

Advisory fee payable

     121,668  

Due to custodian bank

     87,385  

Accrued expenses and other liabilities

     55,967  
 

 

 

  

Total liabilities

     6,847,519  
 

 

 

  

Total net assets

   $ 1,532,098,872  
 

 

 

  

 

 

 

 

 

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

Table of Contents

 

Statement of operations—six months ended November 30, 2018 (unaudited)   Wells Fargo Index Portfolio     37  
         

Investment income

  

Dividends (net of foreign dividend withholding taxes of $153)

   $ 16,021,489  

Income from affiliated securities

     563,222  

Interest

     23,827  
 

 

 

  

Total investment income

     16,608,538  
 

 

 

  

Expenses

  

Advisory fee

     743,792  

Custody and accounting fees

     60,044  

Professional fees

     30,693  

Shareholder report expenses

     3,600  

Trustees’ fees and expenses

     11,825  

Other fees and expenses

     15,734  
 

 

 

  

Total expenses

     865,688  
 

 

 

  

Net investment income

     15,742,850  
 

 

 

  

REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS

  

Net realized gains on:

  

Unaffiliated securities

     118,178,593  

Affiliated securities

     830,068  

Futures contracts

     803,960  
 

 

 

  

Net realized gains on investments

     119,812,621  
 

 

 

  

Net change in unrealized gains (losses) on:

  

Unaffiliated securities

     (83,919,810 ) 

Affiliated securities

     (720,497 ) 

Futures contracts

     (981,535 ) 
 

 

 

  

Net change in unrealized gains (losses) on investments

     (85,621,842 ) 
 

 

 

  

Net realized and unrealized gains (losses) on investments

     34,190,779  
 

 

 

  

Net increase in net assets resulting from operations

   $ 49,933,629  
 

 

 

  

 

 

 

 

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

Table of Contents

 

38   Wells Fargo Index Portfolio   Statement of changes in net assets
     Six months ended
November 30, 2018
(unaudited)		        Year ended
May 31, 2018		  

Operations

       

Net investment income

   $ 15,742,850        $ 34,477,982  

Net realized gains on investments

     119,812,621          356,446,608  

Net change in unrealized gains (losses) on investments

     (85,621,842 )         (130,957,468 ) 
 

 

 

  

Net increase in net assets resulting from operations

     49,933,629          259,967,123  
 

 

 

  

Capital transactions

       

Transactions in investors’ beneficial interests

       

Contributions

     3,401,559          15,647,891  

Withdrawals

     (175,204,231 )         (637,181,697 ) 
 

 

 

  

Net decrease in net assets resulting from capital transactions

     (171,802,672 )         (621,533,806 ) 
 

 

 

  

Total decrease in net assets

     (121,869,043 )         (361,566,683 ) 
 

 

 

  

Net assets

       

Beginning of period

     1,653,967,915          2,015,534,598  
 

 

 

  

End of period

   $ 1,532,098,872        $ 1,653,967,915  
 

 

 

  

 

 

 

 

 

 

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

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Financial highlights   Wells Fargo Index Portfolio     39  
   

Six months ended

November 30, 2018

(unaudited)

     Year ended May 31  
     2018     2017     2016     2015     2014  

Total return¹

     2.95 %      14.27 %      17.36 %      1.62 %      11.69 %      20.33 % 

Ratios to average net assets (annualized)

            

Gross expenses

     0.11 %      0.10 %      0.10 %      0.11 %      0.11 %      0.10 % 

Net expenses

     0.11 %      0.10 %      0.10 %      0.10 %      0.11 %      0.10 % 

Net investment income

     1.91 %      1.84 %      2.03 %      2.12 %      1.96 %      1.99 % 

Supplemental data

            

Portfolio turnover rate

     2 %      3 %      9 %      4 %      4 %      5 % 

 

 

 

 

 

1 

Returns for periods of less than one year are not annualized.

 

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

Table of Contents

 

40   Wells Fargo Index Portfolio   Notes to financial statements (unaudited)

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 Wells Fargo Index Portfolio (the “Portfolio”) which is a diversified series of the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the 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 Portfolio may deviate from this calculation time under unusual or unexpected circumstances.

Equity securities and futures contracts that are listed on a foreign or domestic exchange or market are valued at the official closing price or, if none, the last sales price. If no sale occurs on the principal exchange or market that day, a fair value price will be determined in accordance with the Portfolio’s Valuation Procedures.

Debt securities are valued at the evaluated bid price provided by an independent pricing service service (e.g. taking into account various factors, including yields, maturities, or credit ratings) or, if a reliable price is not available, the quoted bid price from an independent broker-dealer.

Investments in registered open-end investment companies are valued at net asset value. Interests in non-registered investment companies that are redeemable at net asset value are fair valued normally at net asset value.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Portfolio. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC (“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.

Securities lending

The Portfolio may lend its securities from time to time in order to earn additional income in the form of fees or interest on securities received as collateral or the investment of any cash received as collateral. The Portfolio continues to receive interest or dividends on the securities loaned. The Portfolio receives collateral in the form of cash or securities with a value at least equal to the value of the securities on loan. The value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Portfolio on the next business day. In a securities lending transaction, the net asset value of the Portfolio will be affected by an increase or decrease in the value of the securities loaned and by an increase or decrease in the value of the instrument in which collateral is invested. The amount of securities lending activity undertaken by the Portfolio fluctuates from time to time. In the event of default or bankruptcy by the borrower, the Portfolio may be prevented from recovering the loaned securities or gaining access to the collateral or may experience delays or costs in doing so. In addition, the investment of any cash collateral received may lose all or part of its value. The Portfolio has the right under the lending agreement to recover the securities from the borrower on demand.

The Portfolio lends its securities through an unaffiliated securities lending agent. Cash collateral received in connection with its securities lending transactions is invested in Securities Lending Cash Investments, LLC (the “Securities Lending Fund”). The Securities Lending Fund is exempt from registration under Section 3(c)(7) of the 1940 Act and is managed by Funds Management and is subadvised by Wells Capital Management Incorporated (“WellsCap”), an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”). Funds Management

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Notes to financial statements (unaudited)   Wells Fargo Index Portfolio     41  

receives an advisory fee starting at 0.05% and declining to 0.01% as the average daily net assets of the Securities Lending Fund increase. All of the fees received by Funds Management are paid to WellsCap for its services as subadviser. The Securities Lending Fund seeks to provide a positive return compared to the daily Fed Funds Open Rate by investing in high-quality, U.S. dollar-denominated short-term money market instruments. Securities Lending Fund investments are valued at the evaluated bid price provided by an independent pricing service. Income earned from investment in the Securities Lending Fund, if any, is included in income from affiliated securities on the Statement of Operations.

Futures contracts

The Portfolio is subject to equity price risk in the normal course of pursuing its investment objectives. Futures contracts are agreements between the Portfolio and a counterparty to buy or sell a specific amount of a commodity, financial instrument or currency at specified price and on a specified date. The Portfolio may buy and sell futures contracts in order to gain exposure to, or protect against, changes in security values. 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 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 Statement 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 Statement 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.

Dividend income is recognized on the ex-dividend date. Dividend income from foreign securities 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.

Federal and other taxes

The Portfolio is treated as a separate entity for federal income tax purposes. The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains 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.

The Portfolio’s income tax returns and all financial records supporting those returns for the prior three fiscal years are subject to examination by the federal revenue authority. Management has analyzed the 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 November 30, 2018, the aggregate cost of all investments for federal income tax purposes was $544,019,950 and the unrealized gains (losses) consisted of:

 

Gross unrealized gains

    $ 1,007,430,653  

Gross unrealized losses

      (18,020,281 ) 

Net unrealized gains

    $ 989,410,372  

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42   Wells Fargo Index Portfolio   Notes to financial statements (unaudited)

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 the Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

 

∎  

Level 1 – quoted prices in active markets for identical securities

 

∎  

Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

 

∎  

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of November 30, 2018:

 

    

Quoted prices

(Level 1)

      Other significant
observable inputs
(Level 2)		     

Significant
unobservable inputs

(Level 3)

      Total  

Assets

            

Investments in:

            

Common stocks

            

Communication services

    $ 147,688,429      $ 0      $ 0      $ 147,688,429  

Consumer discretionary

      147,389,283        0        0        147,389,283  

Consumer staples

      110,806,975        0        0        110,806,975  

Energy

      82,437,353        0        0        82,437,353  

Financials

      204,916,033        0        0        204,916,033  

Health care

      233,014,354        0        0        233,014,354  

Industrials

      139,959,889        0        0        139,959,889  

Information technology

      299,579,050        0        0        299,579,050  

Materials

      39,077,474        0        0        39,077,474  

Real estate

      43,334,535        0        0        43,334,535  

Utilities

      46,916,052        0        0        46,916,052  

Short-term investments

            

Investment companies

      32,948,855        3,737,495        0        36,686,350  

U.S. Treasury securities

      2,138,720        0        0        2,138,720  

Total assets

    $ 1,530,207,002      $ 3,737,495      $ 0      $ 1,533,944,497  

Liabilities

            

Futures contracts

    $ 514,175      $ 0      $ 0      $ 514,175  

Total liabilities

    $ 514,175      $ 0      $ 0      $ 514,175  

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

Futures contracts are reported at their cumulative unrealized gains (losses) at measurement date as reported in the table following the Portfolio of Investments. For futures contracts, the current day’s variation margin is reported on the Statement of Assets and Liabilities. All other assets and liabilities are reported at their market value at measurement date.

At November 30, 2018, the Portfolio did not have any transfers into/out of Level 3.

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Notes to financial statements (unaudited)   Wells Fargo Index Portfolio     43  

4. TRANSACTIONS WITH AFFILIATES

Advisory fee

The Trust has entered into an advisory contract with Funds Management, an indirect wholly owned subsidiary of Wells Fargo. The adviser is responsible for implementing investment policies and guidelines and for supervising the subadviser, who is responsible for day-to-day portfolio management of the Portfolio. Pursuant to the contract, Funds Management is entitled to receive an annual advisory fee starting at 0.10% and declining to 0.05% as the average daily net assets of the Portfolio increase. For six month ended November 30, 2018, the advisory fee was equivalent to an annual rate of 0.09% of the Portfolio’s average daily net assets.

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Portfolio. The fee for subadvisory services is borne by Funds Management. WellsCap is the subadviser to the Portfolio and is entitled to receive a fee from Funds Management at an annual rate starting at 0.05% and declining to 0.02% as the average daily net assets of the Portfolio increase.

Interfund transactions

The Portfolio 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.

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments, excluding U.S. government obligations (if any) and short-term securities, for the six months ended November 30, 2018 were $36,682,684 and $181,837,933, respectively.

6. DERIVATIVE TRANSACTIONS

During the six months ended November 30, 2018, the Portfolio entered into futures contracts to gain market exposure. The Portfolio had an average notional amount of $38,705,971 in long futures contracts during the six months ended November 30, 2018.

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.

7. BANK BORROWINGS

Effective August 28, 2018, 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 the 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 the 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.

For the six months ended November 30, 2018, there were no borrowings by the Portfolio under the agreement.

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 Portfolio 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.

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44   Wells Fargo Index Fund   Other information (unaudited)

PROXY VOTING INFORMATION

A description of the policies and procedures used to determine how to vote proxies relating to portfolio securities is available, upon request, by calling 1-800-222-8222, visiting our website at wellsfargofunds.com, or visiting the SEC website at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Fund’s website at wellsfargofunds.com or by visiting the SEC website at sec.gov.

PORTFOLIO HOLDINGS INFORMATION

The complete portfolio holdings are publicly available on the website (wellsfargofunds.com) on a one-month delayed basis. In addition, top ten holdings information (excluding derivative positions) is publicly available on the website on a monthly, seven-day or more delayed basis. The Fund and the Portfolio each file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. In addition, each Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and at regional offices in New York City, at 233 Broadway, and in Chicago, at 175 West Jackson Boulevard, Suite 900. Information about the Public Reference Room may be obtained by calling 1-800-SEC-0330.

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Other information (unaudited)   Wells Fargo Index Fund     45  

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 152 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. Board member of the Vincent Memorial Hospital Endowment (non-profit organization), where he serves on the Investment Committee and as a Chair of the Audit Committee. 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.3
(Born 1952)		   Trustee, since 2009   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. Johnson3
(Born 1949)		   Trustee, since 2008; Audit Committee Chairman, since 2009   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
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

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46   Wells Fargo Index Fund   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
Olivia S. Mitchell
(Born 1953)		   Trustee, since 2006; Nominating and Governance Committee Chairman, 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; Vice Chairman, from 2017 to 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; Advisory Board Member, from 2017 to 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

Michael S. Scofield4

(Born 1943)

   Trustee, since 2010   Served on the Investment Company Institute’s Board of Governors and Executive Committee from 2008-2011 as well the Governing Council of the Independent Directors Council from 2006-2011 and the Independent Directors Council Executive Committee from 2008-2011. Trustee of the Evergreen Fund complex (and its predecessors) from 1984 to 2010. Chairman of the Evergreen Funds from 2000-2010. Former Trustee of the Mentor Funds. Retired Attorney, Law Offices of Michael S. Scofield.   N/A
Pamela Wheelock
(Born 1959)		   Trustee, since 2018; Advisory Board Member, from 2017 to 2018   Chief Operating Officer, Twin Cities Habitat for Humanity, since January, 2017. N/A Vice President of University Services, University of Minnesota from 2012 to 2017. 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 President and Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2010 to 2011, Chairman of the Board from 2009 to 2011 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. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently the 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)   Wells Fargo Index Fund     47  

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.    
Nancy Wiser1
(Born 1967)		   Treasurer, since 2012   Executive Vice President of Wells Fargo Funds Management, LLC since 2011. Chief Operating Officer and Chief Compliance Officer at LightBox Capital Management LLC, from 2008 to 2011.    
Alexander Kymn
(Born 1973)		   Secretary, since 2018; Chief Legal Officer, since 2018   Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.    
Michael H. Whitaker
(Born 1967)		   Chief Compliance Officer, since 2016   Senior Vice President and Chief Compliance Officer 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.    
Jeremy DePalma1
(Born 1974)		   Assistant Treasurer, since 2009   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.    

 

 

 

 

1

Nancy Wiser acts as Treasurer of 76 funds in the Fund Complex. Jeremy DePalma acts as Treasurer of 76 funds and Assistant Treasurer of 76 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 wellsfargofunds.com.

 

3 

Mr. Harris will replace Ms. Johnson as the Chairman of the Audit Committee effective January 1, 2019.

 

4 

Mr. Scofield is expected to retire on December 31, 2018.

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48   Wells Fargo Index Fund   Appendix A (unaudited)

SALES CHARGE REDUCTIONS AND WAIVERS FOR CERTAIN INTERMEDIARIES

Raymond James & Associates, Inc., Raymond James Financial Services & Raymond James affiliates (“Raymond James”)

Effective on or about March 1, 2019, shareholders purchasing Fund shares through a Raymond James platform or account will be eligible only for the following load waivers (front-end sales charge waivers and contingent deferred, 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 Load Waivers on Class A shares Available at Raymond James

 

  •  

Shares purchased in an investment advisory program.

 

  •  

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).

 

  •  

Employees and registered representatives of Raymond James or its affiliates and their family members as designated by Raymond James.

 

  •  

Shares purchased from the proceeds of redemptions within the same fund family, provided (1) the repurchase occurs within 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 (known as Rights of Reinstatement).

 

  •  

A shareholder in the fund’s Class C shares will have their shares automatically exchanged at net asset value to Class A shares (or the appropriate share class) of the fund if the shares are no longer subject to a CDSC and the exchange is in line with the policies and procedures of Raymond James.

CDSC Waivers on Class A and C Shares Available at Raymond James

 

  •  

Death or disability of the shareholder.

 

  •  

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

 

  •  

Return of excess contributions from an IRA Account.

 

  •  

Shares sold as part of a required minimum distribution for IRA and retirement accounts due to the shareholder reaching age 70½ as described in the Fund’s prospectus.

 

  •  

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

 

  •  

Shares acquired through a right of reinstatement.

Front-end Load Discounts Available at Raymond James: Breakpoints, and/or Rights of Accumulation

 

  •  

Breakpoints as described in the Fund’s Prospectus.

 

  •  

Rights of accumulation 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 Raymond James. Eligible fund family assets not held at Raymond James may be included in the rights of accumulation calculation only if the shareholder notifies his or her financial advisor about such assets.

Table of Contents

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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 Fund’s website, or call:

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: wellsfargofunds.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 the Fund. 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 Fund’s website at wellsfargofunds.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

© 2019 Wells Fargo Funds Management, LLC. All rights reserved.

 

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318977 01-19

SA283/SAR283 11-18

 

Table of Contents

Semi-Annual Report

November 30, 2018

 

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Wells Fargo International Value Fund

 

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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.

 

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Table of Contents

Reduce clutter. Save trees.

Sign up for electronic delivery of prospectuses and shareholder reports at wellsfargo.com/advantagedelivery

Contents

 

 

Letter to shareholders

     2  

Performance highlights

     6  

Fund expenses

     8  
Wells Fargo International Value Fund  
Portfolio of investments     9  
Financial statements  

Statement of assets and liabilities

     10  

Statement of operations

     11  

Statement of changes in net assets

     12  

Financial highlights

     13  
Notes to financial statements     18  
Wells Fargo International Value Portfolio  
Portfolio of investments     22  
Financial statements  

Statement of assets and liabilities

     31  

Statement of operations

     32  

Statement of changes in net assets

     33  

Financial highlights

     34  
Notes to financial statements     35  

Other information

     39  

Appendix A

     43  

 

The views expressed and any forward-looking statements are as of November 30, 2018, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Funds Management, LLC. 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 Funds Management, LLC 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


Table of Contents

 

2   Wells Fargo International Value Fund   Letter to shareholders (unaudited)

 

LOGO

Andrew Owen

President

Wells Fargo Funds

 

 

Global trade tensions escalated during the third quarter of 2018.

 

 

Dear Shareholder:

We are pleased to offer you this semi-annual report for the Wells Fargo International Value Fund for the six-month period that ended November 30, 2018. During the reporting period, the U.S. generated encouraging economic and business data that was offset by less positive and more inconsistent data from international markets. Investment returns were restrained in comparison with recent periods as geopolitical tensions and uncertainty tended to distract investors from more favorable underlying trends.

For the period, U.S. stocks, as measured by the S&P 500 Index,1 gained 3.02% and international stocks, as measured by the MSCI ACWI ex USA Index (Net),2 declined 8.37%. Based on the MSCI EM Index (Net),3 emerging market stocks lost 9.89%. For bond investors, the Bloomberg Barclays U.S. Aggregate Bond Index4 declined 0.30% while the Bloomberg Barclays Global Aggregate ex-USD Index5 fell 3.67%. The Bloomberg Barclays Municipal Bond Index6 gained 0.42%. The ICE BofAML U.S. High Yield Index7 was up 0.19%.

Global trade tensions prompted investor concerns.

Global trade tensions escalated during the third quarter of 2018. The U.S. government’s decision during the second quarter to impose tariffs on a wide range of products manufactured overseas drew retaliatory responses from foreign governments, which punished U.S. commodity producers and product manufacturers. Investors were left to wonder about next steps in what appeared to be an escalating divergence in global economic policies and growth prospects.

Inflation trended higher. The CPI-U8 added 0.1% in September after an increase of 0.2% in both July and August. On a year-over-year basis, the all-items index rose 2.3% for the 12 months that ended September 30, 2018, after a seasonal adjustment. The rate of increase was slower than that recorded during the first half of 2018. The index for all items less food and energy rose 2.2% for the same 12-month period.

 

 

 

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 U.S. and Canada. 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 large- and mid-cap equity market performance of emerging markets. The MSCI EM Index (Net) consists of the following 24 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, the Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey, and the United Arab Emirates. 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 BofAML 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 2018. ICE Data Indices, LLC. All rights reserved.

 

8 

The Consumer Price Index for All Urban Consumers (CPI-U) measures the changes in the price of a basket of goods and services purchased by urban consumers. The urban consumer population is deemed by many as a better representative measure of the general public because close to 90% of the country’s population lives in highly populated areas. You cannot invest directly in an index.

Table of Contents

 

Letter to shareholders (unaudited)   Wells Fargo International Value Fund     3  

U.S. stocks gained following positive economic data while international stocks and bonds declined.

During the summer months, the U.S. economy strengthened. Revised second-quarter gross domestic product (GDP) data released in August showed the U.S. economy growing at a 4.2% rate. The unemployment rate in the U.S. was 3.7% by the end of September, according to the U.S. Department of Labor. Wages showed more consistent growth, and consumer confidence remained strong. Several U.S. equity market indices reached records during August, with the S&P 500 Index gaining 7.20% for the three-month period that ended September 30, 2018. In contrast, the MSCI ACWI ex USA Index (Net) gained 0.71% while the MSCI EM Index (Net) declined 1.09% during the same three-month period.

In June, the Federal Reserve increased the target range for the federal funds rate to range from 1.75% to 2.00%. It raised the range again in September to range from 2.00% to 2.25%. Long-term interest rates in the U.S. remained at higher levels relative to the prior 10 years. Rates on 10-year and 30-year Treasury bonds—2.46% and 2.81%, respectively, on January 1, 2018—were 3.01% and 3.30%, respectively, on November 30, 2018. Investor concerns about an inverted yield curve reemerged, only to be replaced by concerns about the potentially negative influence of higher interest rates on economic activity.

November saw improvement in many equity markets.

As interest rates and bond yields gained during October, stock markets struggled. For the month, the S&P 500 Index fell 6.84%, the MSCI ACWI ex USA Index (Net) dropped 8.13%, and the MSCI EM Index (Net) lost 8.71%. The Bureau of Economic Analysis released its first estimate of third-quarter GDP, which, at an annualized 3.5% rate, indicated growth may be slowing compared with the second quarter. Readings on consumer sentiment and business spending were mixed. Markets rebounded somewhat in November as the S&P 500 Index gained 2.04%, the MSCI ACWI ex USA Index (Net) added 0.95%, and the MSCI EM Index (Net) was up 4.12% as the uncertainty leading up to midterm elections in the U.S. was resolved and progress seemed to be possible on several international trade issues.

Economic signals overseas were mixed as the third quarter ended and the fourth quarter began. In early August, the Bank of England’s Monetary Policy Committee increased its key interest rate to 0.75%. The European Central Bank and the Bank of Japan maintained low interest rates and accommodative monetary policies. Amid rising trade uncertainty, the People’s Bank of China cut reserve requirement ratios and accelerated infrastructure spending and tax cuts for business enterprises and individuals. Nevertheless, a strengthening U.S. dollar and the trade tensions remained headwinds for investors overseas.

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.

 

 

 

Economic signals overseas were mixed as the third quarter ended and the fourth quarter began.

 

 

 

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4   Wells Fargo International Value Fund   Letter to shareholders (unaudited)

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,

 

LOGO

Andrew Owen

President

Wells Fargo Funds

    

 

 

 

Notice to shareholders

At a meeting held on August 14-15, 2018, the Board of Trustees of the Fund approved the following policy which will be effective on or about February 5, 2019:

Class C shares will convert automatically into Class A shares ten years after the initial date of purchase or, if you acquired your Class C shares through an exchange or conversion from another share class, ten years after the date you acquired your Class C shares. When Class C shares that you acquired through a purchase or exchange convert, any other Class C shares that you purchased with reinvested dividends and distributions also will convert into Class A shares on a pro rata basis. A shorter holding period may also apply depending on your intermediary. Please see “Appendix A—Sales Charge Reductions and Waivers for Certain Intermediaries” in the Fund’s prospectus or at the end of this report.

 

 

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

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6   Wells Fargo International Value Fund1   Performance highlights (unaudited)

Investment objective

The Fund seeks long-term capital appreciation.

Manager

Wells Fargo Funds Management, LLC

Subadviser for the affiliated master portfolio

LSV Asset Management

Portfolio managers

Josef Lakonishok, Ph.D.

Puneet Mansharamani, CFA®‡

Menno Vermeulen, CFA®‡

Average annual total returns (%) as of November 30, 20182

 

        Including sales charge     Excluding sales charge     Expense ratios3 (%)  
    Inception date   1 year     5 year     10 year     1 year     5 year     10 year     Gross     Net4  
Class A (WFFAX)   10-31-2003     (15.03 )      (0.33 )      6.08       (9.84 )      0.86       6.72       1.35       1.35  
Class C (WFVCX)   4-8-2005     (11.48 )      0.11       5.90       (10.48 )      0.11       5.90       2.10       2.10  
Class R6 (WFRVX)   7-31-2018     –       –       –       (9.52 )      1.25       7.14       0.92       0.90  
Administrator Class (WFVDX)   4-8-2005     –       –       –       (9.79 )      0.96       6.87       1.27       1.25  
Institutional Class (WFVIX)   8-31-2006     –       –       –       (9.58 )      1.23       7.13       1.02       1.00  
MSCI EAFE Value Index (Net)5   –     –       –       –       (9.02 )      0.66       6.61       –       –  

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on fund distributions or the redemption of fund shares. 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, which assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wellsfargofunds.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 R6, Administrator Class, and Institutional Class shares are sold without a front-end sales charge or contingent deferred sales charge.

Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. Foreign investments are especially volatile and can rise or fall dramatically due to differences in the political and economic conditions of the host country. These risks are generally intensified in emerging markets. 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). The Fund is exposed to smaller company securities risk. Consult the Fund’s prospectus for additional information on these and other risks.

 

 

Please see footnotes on page 7.

Table of Contents

 

Performance highlights (unaudited)   Wells Fargo International Value Fund     7  
Ten largest holdings (%) as of November 30, 20186  

Roche Holding AG

      2.27  

Royal Dutch Shell plc Class B

      2.14  

Sanofi SA

      1.92  

GlaxoSmithKline plc

      1.78  

Total SA

      1.63  

Orange SA

      1.29  

Nippon Telegraph & Telephone Corporation

      1.19  

BP plc

      1.19  

KDDI Corporation

      1.14  

Swiss Life Holding AG

      1.03  
Sector distribution as of November 30, 20187
LOGO
 

 

Country allocation as of November 30, 20187
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‡ 

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

 

1 

The Fund is a gateway feeder fund that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with a substantially identical investment objective and substantially similar investment strategies. 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 

Historical performance shown for the Class R6 shares prior to their inception reflects the performance of the Institutional Class shares, and is not adjusted to reflect Class R6 expenses. If these expenses had been included, returns for Class R6 shares would be higher.

 

3 

Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

 

4 

The manager has contractually committed through September 30, 2019, to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’s Total Annual Fund Operating Expenses After Fee Waivers at the amounts shown. After this time, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Brokerage commissions, stamp duty fees, interest, taxes, acquired money market fund fees and expenses (if any) from funds in which the underlying master portfolio invests, and extraordinary expenses are excluded from the expense cap. Net expenses from the underlying affiliated master portfolio are included in the expense cap. 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 prospectuses.

 

5 

The Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE) Value Index (Net) is a free-float-adjusted market capitalization-weighted index that is designed to measure the equity market performance of value securities within developed equity markets, excluding the United States and Canada. The MSCI EAFE Value Index (Net) consists of the following 21 developed markets country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. 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 indexes or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index.

 

6 

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.

 

7 

Amounts represent the composition of the affiliated master portfolio which 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.

Table of Contents

 

8   Wells Fargo International Value Fund   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 June 1, 2018 to November 30, 2018.

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.

 

     Beginning
account value
6-1-2018		      Ending
account value
11-30-2018		      Expenses
paid during
the period1,2		      Annualized net
expense ratio1		  

Class A

            

Actual

    $ 1,000.00      $ 910.08      $ 6.32        1.32 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,018.45      $ 6.68        1.32 % 

Class C

            

Actual

    $ 1,000.00      $ 906.82      $ 9.89        2.07 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,014.69      $ 10.45        2.07 % 

Class R6

            

Actual

    $ 1,000.00      $ 912.14      $ 4.12        0.86 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,020.76      $ 4.36        0.86 % 

Administrator Class

            

Actual

    $ 1,000.00      $ 910.53      $ 5.94        1.24 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,018.85      $ 6.28        1.24 % 

Institutional Class

            

Actual

    $ 1,000.00      $ 911.50      $ 4.74        0.99 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,020.10      $ 5.01        0.99 % 

 

 

 

1

Amounts reflect net expenses allocated from the affiliated Master Portfolio in which the Fund invests.

 

2

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).

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo International Value Fund     9  

      

 

 

Security name                        Value  

Investment Companies: 99.62%

           
Affiliated Master Portfolio: 99.62%           

Wells Fargo International Value Portfolio

            $ 860,731,443  
          

 

 

  

Total Investment Companies (Cost $887,284,289)

              860,731,443        
          

 

 

  

 

Total investments in securities (Cost $887,284,289)     99.62 %         860,731,443  

Other assets and liabilities, net

     0.38          3,276,714  
 

 

 

       

 

 

  
Total net assets     100.00 %       $ 864,008,157  
 

 

 

       

 

 

  

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		     Dividends
allocated
from
affiliated
Master
Portfolio		     Affiliated
income
allocated
from
affiliated
Master
Portfolio		     Value,
end
of period		     % of
net
assets		  

Wells Fargo International Value Portfolio

     95 %      77 %    $ (779,078 )    $ (89,484,820 )    $ 13,834,503     $ 545,811     $ 860,731,443       99.62 % 

 

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

Table of Contents

 

10   Wells Fargo International Value Fund   Statement of assets and liabilities—November 30, 2018 (unaudited)
         

Assets

  

Investments in affiliated Master Portfolio, at value (cost $887,284,289)

   $ 860,731,443  

Receivable for Fund shares sold

     4,558,433  

Prepaid expenses and other assets

     350,557  
 

 

 

  

Total assets

     865,640,433  
 

 

 

  

Liabilities

  

Payable for Fund shares redeemed

     1,559,237  

Management fee payable

     37,563  

Administration fees payable

     32,217  

Trustees’ fees and expenses payable

     2,548  

Distribution fee payable

     711  
 

 

 

  

Total liabilities

     1,632,276  
 

 

 

  

Total net assets

   $ 864,008,157  
 

 

 

  

NET ASSETS CONSIST OF

  

Paid-in capital

   $ 879,576,273  

Total distributable loss

     (15,568,116 ) 
 

 

 

  

Total net assets

   $ 864,008,157  
 

 

 

  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARE

  

Net assets – Class A

   $ 58,269,098  

Shares outstanding – Class A1

     4,083,184  

Net asset value per share – Class A

     $14.27  

Maximum offering price per share – Class A2

     $15.14  

Net assets – Class C

   $ 1,057,401  

Shares outstanding – Class C1

     76,538  

Net asset value per share – Class C

     $13.82  

Net assets – Class R6

   $ 22,864  

Shares outstanding – Class R61

     1,619  

Net asset value per share – Class R6

     $14.12  

Net assets – Administrator Class

   $ 3,725,413  

Shares outstanding – Administrator Class1

     259,589  

Net asset value per share – Administrator Class

     $14.35  

Net assets – Institutional Class

   $ 800,933,381  

Shares outstanding – Institutional Class1

     56,750,902  

Net asset value per share – Institutional Class

     $14.11  

 

 

 

1 

The 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.

Table of Contents

 

Statement of operations—six months ended November 30, 2018 (unaudited)   Wells Fargo International Value Fund     11  
         

Investment income

  

Dividends allocated from affiliated Master Portfolio (net of foreign withholding taxes of $1,387,837)

   $ 13,834,503  

Affiliated income allocated from affiliated Master Portfolio

     545,811  

Expenses allocated from affiliated Master Portfolio

     (3,510,713 ) 
 

 

 

  

Total investment income

     10,869,601  
 

 

 

  

Expenses

  

Management fee

     221,531  

Administration fees

  

Class A

     52,937  

Class C

     1,204  

Class R6

     2 1  

Administrator Class

     2,996  

Institutional Class

     539,459  

Shareholder servicing fees

  

Class A

     63,021  

Class C

     1,433  

Administrator Class

     5,762  

Distribution fee

  

Class C

     4,300  

Custody and accounting fees

     8,142  

Professional fees

     17,113  

Registration fees

     26,971  

Shareholder report expenses

     16,885  

Trustees’ fees and expenses

     11,090  

Other fees and expenses

     5,187  
 

 

 

  

Total expenses

     978,033  

Less: Fee waivers and/or expense reimbursements

     (5,533 ) 
 

 

 

  

Net expenses

     972,500  
 

 

 

  

Net investment income

     9,897,101  
 

 

 

  

REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS

  

Net realized losses on securities transactions allocated from affiliated Master Portfolio

     (779,078 ) 

Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio

     (89,484,820 ) 
 

 

 

  

Net realized and unrealized gains (losses) on investments

     (90,263,898 ) 
 

 

 

  

Net decrease in net assets resulting from operations

   $ (80,366,797 ) 
 

 

 

  

 

 

 

1 

For the period from July 31, 2018 (commencement of class operations) to November 30, 2018

 

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

Table of Contents

 

12   Wells Fargo International Value Fund   Statement of changes in net assets
    

Six months ended
November 30, 2018

(unaudited)

     Year ended
May 31, 20181		  

Operations

        

Net investment income

     $ 9,897,101       $ 19,745,024  

Net realized gains (losses) on investments

       (779,078 )        14,310,484  

Net change in unrealized gains (losses) on investments

       (89,484,820 )        21,273,653  
 

 

 

  

Net increase (decrease) in net assets resulting from operations

       (80,366,797 )        55,329,161  
 

 

 

  

Distributions to shareholders from net investment income and net realized gains

        

Class A

       0         (53,028 ) 

Class C

       0         (19,938 ) 

Administrator Class

       0         (104,265 ) 

Institutional Class

       0         (22,325,915 ) 
 

 

 

  

Total distributions to shareholders

       0         (22,503,146 ) 
 

 

 

  

Capital share transactions

     Shares         Shares    

Proceeds from shares sold

        

Class A

     2,376,271       35,309,929       2,633,442       42,441,930  

Class C

     11,758       176,464       31,890       496,381  

Class R6

     1,619 2       25,000 2       N/A       N/A  

Administrator Class

     19,508       290,258       150,614       2,424,464  

Institutional Class

     8,930,766       132,814,828       18,051,179       284,422,225  
 

 

 

  
      168,616,479         329,785,000  
 

 

 

  

Reinvestment of distributions

        

Class A

     0       0       3,299       52,993  

Class C

     0       0       1,271       19,890  

Administrator Class

     0       0       6,369       102,738  

Institutional Class

     0       0       1,408,571       22,297,672  
 

 

 

  
      0         22,473,293  
 

 

 

  

Payment for shares redeemed

        

Class A

     (760,130 )      (11,198,328 )      (342,547 )      (5,580,817 ) 

Class C

     (9,734 )      (141,985 )      (15,622 )      (244,651 ) 

Administrator Class

     (138,157 )      (2,124,890 )      (138,280 )      (2,200,897 ) 

Institutional Class

     (5,495,962 )      (81,797,283 )      (14,341,542 )      (228,026,971 ) 
 

 

 

  
      (95,262,486 )        (236,053,336 ) 
 

 

 

  

Net increase in net assets resulting from capital share transactions

       73,353,993         116,204,957  
 

 

 

  

Total increase (decrease) in net assets

       (7,012,804 )        149,030,972  
 

 

 

  

Net assets

        

Beginning of period

       871,020,961         721,989,989  
 

 

 

  

End of period

     $ 864,008,157       $ 871,020,961  
 

 

 

  

 

 

 

1 

Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirements 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 $9,444,288. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 7, Distributions to Shareholders, in the notes to the financial statements.

 

2 

For the period from July 31, 2018 (commencement of class operations) to November 30, 2018

 

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

Table of Contents

 

Financial highlights   Wells Fargo International Value Fund     13  

(For a share outstanding throughout each period)

 

    Six months ended
November 30, 2018
(unaudited)		     Year ended May 31  
CLASS A   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $15.68       $14.88       $12.83       $14.85       $15.45       $13.40  

Net investment income

     0.15 1       0.72 1       0.09 1       0.26       0.26 1       0.36  

Net realized and unrealized gains (losses) on investments

     (1.56 )      0.35       2.26       (2.08 )      (0.53 )      1.97  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (1.41 )      1.07       2.35       (1.82 )      (0.27 )      2.33  

Distributions to shareholders from

            

Net investment income

     0.00       (0.27 )      (0.30 )      (0.20 )      (0.33 )      (0.28 ) 

Net asset value, end of period

     $14.27       $15.68       $14.88       $12.83       $14.85       $15.45  

Total return2

     (8.99 )%      7.12 %      18.65 %      (12.31 )%      (1.55 )%      17.48 % 

Ratios to average net assets (annualized)

            

Gross expenses3

     1.32 %      1.34 %      1.39 %      1.46 %      1.50 %      1.51 % 

Net expenses3

     1.32 %      1.34 %      1.35 %      1.39 %      1.49 %      1.50 % 

Net investment income3

     1.91 %      4.48 %      0.69 %      1.98 %      1.80 %      2.45 % 

Supplemental data

            

Portfolio turnover rate4

     6 %      15 %      41 %      14 %      18 %      11 % 

Net assets, end of period (000s omitted)

     $58,269       $38,677       $2,571       $4,981       $5,768       $6,725  

 

 

 

 

1 

Calculated based upon average shares outstanding

 

2 

Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.79 % 

Year ended May 31, 2018

     0.81 % 

Year ended May 31, 2017

     0.85 % 

Year ended May 31, 2016

     0.91 % 

Year ended May 31, 2015

     0.91 % 

Year ended May 31, 2014

     0.91 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

14   Wells Fargo International Value Fund   Financial highlights

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
CLASS C   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $15.24       $14.60       $12.56       $14.54       $15.16       $13.18  

Net investment income

     0.04       0.21       0.23       0.17       0.13       0.19  

Net realized and unrealized gains (losses) on investments

     (1.46 )      0.73       1.97       (2.05 )      (0.51 )      2.00  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (1.42 )      0.94       2.20       (1.88 )      (0.38 )      2.19  

Distributions to shareholders from

            

Net investment income

     0.00       (0.30 )      (0.16 )      (0.10 )      (0.24 )      (0.21 ) 

Net asset value, end of period

     $13.82       $15.24       $14.60       $12.56       $14.54       $15.16  

Total return1

     (9.32 )%      6.36 %      17.69 %      (12.95 )%      (2.37 )%      16.64 % 

Ratios to average net assets (annualized)

            

Gross expenses2

     2.07 %      2.10 %      2.16 %      2.21 %      2.25 %      2.26 % 

Net expenses2

     2.07 %      2.10 %      2.10 %      2.14 %      2.24 %      2.25 % 

Net investment income2

     1.17 %      1.40 %      1.57 %      1.25 %      1.07 %      1.88 % 

Supplemental data

            

Portfolio turnover rate3

     6 %      15 %      41 %      14 %      18 %      11 % 

Net assets, end of period (000s omitted)

     $1,057       $1,135       $832       $783       $920       $920  

 

 

 

 

1 

Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

 

2 

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

 

Six months ended November 30, 2018 (unaudited)

     0.79 % 

Year ended May 31, 2018

     0.82 % 

Year ended May 31, 2017

     0.87 % 

Year ended May 31, 2016

     0.91 % 

Year ended May 31, 2015

     0.91 % 

Year ended May 31, 2014

     0.91 % 

 

3 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

Financial highlights   Wells Fargo International Value Fund     15  

(For a share outstanding throughout the period)

 

   

Period ended
November 30, 20181

(unaudited)

  
CLASS R6

Net asset value, beginning of period

     $15.44  

Net investment income

     0.13 2  

Net realized and unrealized gains (losses) on investments

     (1.45 ) 
 

 

 

  

Total from investment operations

     (1.32 ) 

Distributions to shareholders from

  

Net investment income

     0.00  

Net asset value, end of period

     $14.12  

Total return3

     (8.55 )% 

Ratios to average net assets (annualized)

  

Gross expenses4

     0.87 % 

Net expenses4

     0.86 % 

Net investment income4

     2.63 % 

Supplemental data

  

Portfolio turnover rate5

     6 % 

Net assets, end of period (000s omitted)

     $23  

 

 

 

 

1 

For the period from July 31, 2018 (commencement of class operations) to November 30, 2018

 

2 

Calculated based upon average shares outstanding

 

3 

Returns for periods of less than one year are not annualized.

 

4 

Ratios include net expenses allocated from the affiliated Master Portfolio in the amount of 0.78%.

 

5 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

16   Wells Fargo International Value Fund   Financial highlights

(For a share outstanding throughout each period)

 

    Six months ended
November 30, 2018
(unaudited)		     Year ended May 31  
ADMINISTRATOR CLASS   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $15.76       $15.04       $12.91       $14.73       $15.35       $13.31  

Net investment income

     0.15 1       0.37 1       0.33 1       0.14 1       0.28       0.38  

Net realized and unrealized gains (losses) on investments

     (1.56 )      0.73       2.05       (1.96 )      (0.52 )      1.98  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (1.41 )      1.10       2.38       (1.82 )      (0.24 )      2.36  

Distributions to shareholders from

            

Net investment income

     0.00       (0.38 )      (0.25 )      0.00       (0.38 )      (0.32 ) 

Net asset value, end of period

     $14.35       $15.76       $15.04       $12.91       $14.73       $15.35  

Total return2

     (8.95 )%      7.25 %      18.66 %      (12.36 )%      (1.35 )%      17.81 % 

Ratios to average net assets (annualized)

            

Gross expenses3

     1.24 %      1.27 %      1.33 %      1.36 %      1.34 %      1.34 % 

Net expenses3

     1.24 %      1.25 %      1.25 %      1.25 %      1.25 %      1.25 % 

Net investment income3

     1.97 %      2.30 %      2.46 %      0.99 %      2.12 %      2.76 % 

Supplemental data

            

Portfolio turnover rate4

     6 %      15 %      41 %      14 %      18 %      11 % 

Net assets, end of period (000s omitted)

     $3,725       $5,961       $5,407       $11,873       $487,582       $459,415  

 

 

 

 

1 

Calculated based upon average shares outstanding

 

2 

Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.79 % 

Year ended May 31, 2018

     0.82 % 

Year ended May 31, 2017

     0.87 % 

Year ended May 31, 2016

     0.91 % 

Year ended May 31, 2015

     0.91 % 

Year ended May 31, 2014

     0.91 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

Financial highlights   Wells Fargo International Value Fund     17  

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
INSTITUTIONAL CLASS   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $15.48       $14.80       $12.73       $14.75       $15.38       $13.34  

Net investment income

     0.17 1       0.41       0.39       0.36       0.29       0.41  

Net realized and unrealized gains (losses) on investments

     (1.54 )      0.71       1.99       (2.12 )      (0.51 )      1.98  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (1.37 )      1.12       2.38       (1.76 )      (0.22 )      2.39  

Distributions to shareholders from

            

Net investment income

     0.00       (0.44 )      (0.31 )      (0.26 )      (0.41 )      (0.35 ) 

Net asset value, end of period

     $14.11       $15.48       $14.80       $12.73       $14.75       $15.38  

Total return2

     (8.85 )%      7.51 %      19.04 %      (11.98 )%      (1.19 )%      18.07 % 

Ratios to average net assets (annualized)

            

Gross expenses3

     0.99 %      1.02 %      1.07 %      1.13 %      1.07 %      1.08 % 

Net expenses3

     0.99 %      1.00 %      1.00 %      1.01 %      1.05 %      1.05 % 

Net investment income3

     2.26 %      2.43 %      2.95 %      2.81 %      2.42 %      2.91 % 

Supplemental data

            

Portfolio turnover rate4

     6 %      15 %      41 %      14 %      18 %      11 % 

Net assets, end of period (000s omitted)

     $800,933       $825,247       $713,180       $456,239       $3,793       $2,359  

 

 

 

 

1 

Calculated based upon average shares outstanding

 

2 

Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.79 % 

Year ended May 31, 2018

     0.82 % 

Year ended May 31, 2017

     0.86 % 

Year ended May 31, 2016

     0.91 % 

Year ended May 31, 2015

     0.91 % 

Year ended May 31, 2014

     0.91 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

18   Wells Fargo International Value Fund   Notes to financial statements (unaudited)

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 Wells Fargo International Value Fund (the “Fund”) which is a diversified series of the Trust.

The Fund is a feeder fund in a master-feeder structure that invests substantially all of its assets in a single master portfolio with a substantially identical investment objective and substantially similar investment strategies. The Fund seeks to achieve its investment objective by investing all investable assets in a separate diversified portfolio (the “affiliated Master Portfolio”) of Wells Fargo Master Trust, a registered open-end management investment company. The affiliated Master Portfolio directly acquires portfolio securities and the Fund acquires an indirect interest in those securities. The Fund accounts for its investment in the affiliated Master Portfolio as a partnership investment and records on a daily basis its share of the affiliated Master Portfolio’s income, expense and realized and unrealized gains and losses. The financial statements of the affiliated Master Portfolio for the six months ended November 30, 2018 are included in this report and should be read in conjunction with the Fund’s financial statements. As of November 30, 2018, the Fund owned 77% of Wells Fargo International Value Portfolio.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the 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 Fund may deviate from this calculation time under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of the affiliated Master Portfolio’s net assets, which are also valued daily. Securities held in the affiliated Master Portfolio are valued as discussed in the Notes to Financial Statements of the affiliated Master Portfolio, which are included elsewhere in this report.

Investment transactions, income and expenses

Investments in the affiliated Master Portfolio are recorded on a trade basis.

The Fund records daily its proportionate share of the affiliated Master Portfolio’s interest and dividend income, expenses and realized and unrealized gains or losses. The 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 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 the Fund’s fiscal year end. Therefore, a portion of the 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

The 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.

The 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 the 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.

Table of Contents

 

Notes to financial statements (unaudited)   Wells Fargo International Value Fund     19  

As of November 30, 2018, the aggregate cost of all investments for federal income tax purposes was $887,284,289 and the unrealized gains (losses) consisted of:

 

Gross unrealized gains

    $ 0  

Gross unrealized losses

      (26,552,846 ) 

Net unrealized losses

    $ (26,552,846 ) 

Class allocations

The separate classes of shares offered by the 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 expenses, and realized 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 November 30, 2018, the affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective and the value of the affiliate Master Portfolio was as follows:

 

Affilated Master Portfolio    Investment objective   

Value of

affiliated Master

Portfolio

  

Wells Fargo International Value Portfolio

    Seeks long-term capital appreciation      $860,731,443  

The 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 the 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 the Fund, supervising the subadviser, and providing fund-level administrative services in connection with the Fund’s operations. As long as the Fund continues to invest substantially all of its assets in a single affiliated Master Portfolio, the Fund pays Funds Management an investment management fee only for fund-level administrative services at an annual rate starting at 0.05% and declining to 0.03% as the average daily net assets of the Fund increase. For the six months ended November 30, 2018, the management fee was equivalent to an annual rate of 0.05% of the Fund’s average daily net assets.

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

Administration fees

Under a class-level administration agreement, Funds Management provides class-level administrative services to the 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 R6

      0.03  

Administrator Class, Institutional Class

      0.13  

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20   Wells Fargo International Value Fund   Notes to financial statements (unaudited)

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; otherwise, waivers and/or reimbursements are applied against class specific expenses before fund level expenses. Net expenses from the affiliated Master Portfolio are included in the expense cap. Funds Management has committed through September 30, 2019 to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’s expenses at 1.35% for Class A shares, 2.10% for Class C shares, 0.90% for Class R6 shares, 1.25% for Administrator Class shares, and 1.00% for Institutional Class shares. After this time, 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 the Fund pursuant to Rule 12b-1 under the 1940 Act. A distribution fee is charged to Class C shares and paid to Wells Fargo Funds Distributor, LLC (“Funds Distributor”), the principal underwriter, 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 six months ended November 30, 2018, Funds Distributor received $218 from the sale of Class A shares. No contingent deferred sales charges were incurred by Class A and Class C shares for the six months ended November 30, 2018.

Shareholder servicing fees

The Trust has entered into contracts with one or more shareholder servicing agents, whereby Class A, Class C, and Administrator Class of each applicable Fund are charged a fee at an annual rate of 0.25% of the average daily net assets of each respective class.

A portion of these total shareholder servicing fees were paid to affiliates of Wells Fargo.

5. INVESTMENT PORTFOLIO TRANSACTIONS

The Fund seeks to achieve its investment objective by investing substantially all of its investable assets in a single affiliated Master Portfolio. Purchases and sales have been calculated by multiplying the Fund’s ownership percentage of the affiliated Master Portfolio by the affiliated Master Portfolio’s purchases and sales. Purchases and sales of investments, excluding U.S. government obligations (if any) and short-term securities, for the six months ended November 30, 2018 were $300,265,180 and $54,850,096, respectively.

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 six months ended November 30, 2018, there were no borrowings by the Fund under the agreement.

7. DISTRIBUTIONS TO SHAREHOLDERS

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. The amounts of distributions to shareholders for the year ended May 31, 2018 were as follows:

 

     Net investment
income		  

Class A

    $ 53,028  

Class C

      19,938  

Administrator Class

      104,265  

Institutional Class

      22,325,915  

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Notes to financial statements (unaudited)   Wells Fargo International Value Fund     21  

8. CONCENTRATION RISK

Concentration risks result from exposure to a limited number of sectors. Through its investment in the affiliated Master Portfolio which may invest a substantial portion of its assets in any sector, the Fund may in turn be more affected by changes in that sector than a fund whose investments are not heavily weighted in any sector.

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 Fund and, therefore, cannot be estimated.

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 DISTRIBUTIONS

On December 27, 2018, the Fund declared distributions from net investment income to shareholders of record on December 26, 2018. The per share amounts payable on December 28, 2018 were as follows:

 

    

Net investment

income

  

Class A

      $0.32558  

Class C

      0.18817  

Class R6

      0.36845  

Administrator Class

      0.30162  

Institutional Class

      0.35227  

These distributions are not reflected in the accompanying financial statements.

Table of Contents

 

22   Wells Fargo International Value Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  

Common Stocks: 95.48%

           
Australia: 4.82%           

Asaleo Care Limited (Consumer Staples, Personal Products)

           1,262,800      $ 604,540  

Automotive Holdings Group Limited (Consumer Discretionary, Specialty Retail)

           410,016        488,480  

Bendigo Bank Limited (Financials, Banks)

           272,500        2,127,139  

BlueScope Steel Limited (Materials, Metals & Mining)

           266,242        2,185,317  

Coca-Cola Amatil Limited (Consumer Staples, Beverages)

           960,600        6,066,167  

CSR Limited (Materials, Construction Materials)

           897,866        1,968,751  

Fortescue Metals Group Limited (Materials, Metals & Mining)

           927,200        2,710,762  

Harvey Norman Holdings Limited (Consumer Discretionary, Multiline Retail) «

           1,226,186        2,832,054  

Lendlease Corporation Limited (Real Estate, Real Estate Management & Development)

           407,700        3,772,528  

Macquarie Group Limited (Financials, Capital Markets)

           67,700        5,661,723  

Metcash Limited (Consumer Staples, Food & Staples Retailing)

           1,164,200        2,357,032  

Mineral Resources Limited (Materials, Metals & Mining)

           300,500        3,349,441  

Mirvac Group (Real Estate, Equity REITs)

           2,065,070        3,305,498  

Myer Holdings Limited (Consumer Discretionary, Multiline Retail) Ǡ

           1,702,400        566,149  

Qantas Airways Limited (Industrials, Airlines)

           1,142,785        4,978,160  

Retail Food Group Limited (Consumer Discretionary, Food Products) Ǡ

           269,500        73,867  

Rio Tinto Limited (Materials, Metals & Mining)

           134,687        7,213,884  

South32 Limited (Materials, Metals & Mining)

           1,583,900        3,588,785  
             53,850,277  
          

 

 

  
Austria: 0.91%           

OMV AG (Energy, Oil, Gas & Consumable Fuels)

           89,986        4,545,581  

Raiffeisen Bank International AG (Financials, Banks)

           111,330        3,281,996  

Voestalpine AG (Materials, Metals & Mining)

           69,168        2,298,255  
             10,125,832  
          

 

 

  
Belgium: 0.66%           

Bpost SA (Industrials, Air Freight & Logistics)

           68,200        880,957  

UCB SA (Health Care, Pharmaceuticals)

           77,200        6,488,438  
             7,369,395  
          

 

 

  
Brazil: 0.83%           

Banco de Brasil SA (Financials, Banks)

           268,900        3,103,441  

Companhia de Saneamento de Minas Gerais SA (Utilities, Water Utilities)

           282,500        3,742,559  

JBS SA (Consumer Staples, Food Products)

           805,600        2,452,007  
             9,298,007  
          

 

 

  
Canada: 1.13%           

George Weston Limited (Consumer Staples, Food & Staples Retailing)

           14,998        1,084,453  

Loblaw Companies Limited (Consumer Staples, Food & Staples Retailing)

           111,100        5,124,991  

Magna International Incorporated (Consumer Discretionary, Auto Components) «

           90,400        4,511,665  

WestJet Airlines Limited (Industrials, Airlines)

           120,000        1,861,438  
             12,582,547  
          

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo International Value Portfolio     23  

      

 

 

Security name                 Shares      Value  
China: 3.40%           

Agile Property Holdings Limited (Real Estate, Real Estate Management & Development)

           1,900,000      $ 2,578,988  

China Communications Services Corporation Limited H Shares (Communication Services, Diversified Telecommunication Services)

           2,836,000        2,366,958  

China Petroleum & Chemical Corporation H Shares (Energy, Oil, Gas & Consumable Fuels)

           6,634,000        5,638,561  

China Railway Construction Corporation Limited H Shares (Industrials, Construction & Engineering)

           3,201,500        4,100,081  

China Resources Cement Holdings Limited (Materials, Construction Materials)

           4,106,000        4,009,438  

China Telecom Corporation Limited H Shares (Communication Services, Diversified Telecommunication Services)

           10,590,000        5,698,351  

Dongfeng Motor Group Company Limited H Shares (Consumer Discretionary, Automobiles)

           3,154,000        3,043,546  

PICC Property & Casualty Company Limited H Shares (Financials, Insurance)

           4,298,000        4,411,163  

Shanghai Pharmaceuticals Holding Company Limited H Shares (Health Care, Health Care Providers & Services)

           1,061,600        2,618,722  

Shenzhen International Holdings Limited H Shares (Industrials, Transportation Infrastructure)

           1,777,300        3,566,412  
             38,032,220  
          

 

 

  
Denmark: 0.69%           

Danske Bank AS (Financials, Banks)

           150,300        2,995,763  

DFDS AS (Industrials, Marine)

           59,227        2,224,455  

Sydbank AS (Financials, Banks)

           102,782        2,535,075  
             7,755,293  
          

 

 

  
Finland: 0.45%           

Outokumpu Oyj (Materials, Metals & Mining)

           447,093        1,859,610  

UPM-Kymmene Oyj (Materials, Paper & Forest Products)

           118,000        3,143,322  
             5,002,932  
          

 

 

  
France: 9.66%           

Air France-KLM (Industrials, Airlines) †

           288,100        3,320,289  

Arkema SA (Materials, Chemicals)

           42,992        4,078,651  

AXA SA (Financials, Insurance)

           233,600        5,689,827  

BNP Paribas SA (Financials, Banks)

           123,579        6,208,232  

Compagnie de Saint-Gobain SA (Industrials, Building Products)

           152,637        5,656,621  

Compagnie Generale des Etablissements Michelin SCA (Consumer Discretionary, Auto Components)

           32,700        3,421,359  

Credit Agricole SA (Financials, Banks)

           219,328        2,723,368  

Engie SA (Utilities, Multi-Utilities)

           171,900        2,417,032  

Natixis SA (Financials, Capital Markets)

           1,548,200        8,553,262  

Neopost SA (Information Technology, Technology Hardware, Storage & Peripherals)

           66,600        1,844,232  

Orange SA (Communication Services, Diversified Telecommunication Services) «

           844,700        14,497,282  

Renault SA (Consumer Discretionary, Automobiles)

           55,900        3,926,797  

Sanofi SA (Health Care, Pharmaceuticals)

           238,389        21,539,142  

SCOR SE (Financials, Insurance)

           70,800        3,401,680  

Societe Generale SA (Financials, Banks)

           63,400        2,329,822  

Total SA (Energy, Oil, Gas & Consumable Fuels) «

           329,000        18,312,044  
             107,919,640  
          

 

 

  
Germany: 7.37%           

Allianz AG (Financials, Insurance)

           44,428        9,380,381  

Aurubis AG (Materials, Metals & Mining)

           43,296        2,356,661  

BASF SE (Materials, Chemicals)

           130,090        9,480,087  

Bayer AG (Health Care, Pharmaceuticals)

           11,900        870,021  

Bayerische Motoren Werke AG (Consumer Discretionary, Automobiles)

           91,500        7,480,030  

 

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

Table of Contents

 

24   Wells Fargo International Value Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  
Germany (continued)           

Covestro AG (Materials, Chemicals) 144A

           132,837      $ 7,648,571  

Daimler AG (Consumer Discretionary, Automobiles)

           106,990        6,019,228  

Deutsche Lufthansa AG (Industrials, Airlines)

           223,600        5,442,459  

Deutsche Post AG (Industrials, Air Freight & Logistics)

           85,100        2,709,129  

Gerresheimer AG (Health Care, Life Sciences Tools & Services)

           32,790        2,334,947  

Kloeckner & Company SE (Industrials, Trading Companies & Distributors)

           344,100        2,767,793  

Leoni AG (Consumer Discretionary, Auto Components) «

           72,900        2,328,174  

Metro AG (Consumer Staples, Food & Staples Retailing) «

           269,900        4,141,783  

Muenchener Rueckversicherungs Gesellschaft AG (Financials, Insurance)

           28,119        6,108,854  

Siemens AG (Industrials, Industrial Conglomerates)

           34,200        3,964,706  

Siltronic AG (Information Technology, Semiconductors & Semiconductor Equipment)

           27,422        2,477,347  

Volkswagen AG (Consumer Discretionary, Automobiles)

           41,837        6,910,361  
             82,420,532  
          

 

 

  
Hong Kong: 2.97%           

China Water Affairs Group Limited (Utilities, Water Utilities)

           1,965,000        2,210,123  

Kingboard Laminates Holdings Limited (Information Technology, Electronic Equipment, Instruments & Components)

           3,948,000        3,759,279  

Lee & Man Paper Manufacturing Limited (Materials, Paper & Forest Products)

           3,155,000        2,859,017  

Nine Dragons Paper Holdings Limited (Materials, Paper & Forest Products)

           3,216,000        3,259,571  

Sinotruk Hong Kong Limited (Industrials, Machinery)

           3,571,500        5,861,204  

Skyworth Digital Holdings Limited (Consumer Discretionary, Household Durables)

           8,404,000        2,062,331  

WH Group Limited (Consumer Staples, Food Products) 144A

           5,899,000        4,305,124  

Wheelock & Company Limited (Real Estate, Real Estate Management & Development)

           379,000        2,174,987  

Xinyi Glass Holdings Limited (Consumer Discretionary, Auto Components)

           2,816,000        3,026,912  

Yue Yuen Industrial Holdings Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)

           1,257,000        3,655,004  
             33,173,552  
          

 

 

  
India: 0.29%           

Tech Mahindra Limited (Information Technology, IT Services)

           321,500        3,256,517  
          

 

 

  
Ireland: 0.59%           

C&C Group plc (Consumer Staples, Beverages)

           240,000        828,697  

Grafton Group plc (Industrials, Trading Companies & Distributors)

           248,800        2,244,598  

Smurfit Kappa Group plc (Materials, Containers & Packaging)

           130,200        3,514,003  
             6,587,298  
          

 

 

  
Israel: 0.46%           

Bank Hapoalim Limited (Financials, Banks) (a)

           320,800        2,203,869  

Teva Pharmaceutical Industries Limited (Health Care, Pharmaceuticals) (a)

           136,844        2,942,894  
             5,146,763  
          

 

 

  
Italy: 2.19%           

A2A SpA (Utilities, Multi-Utilities)

           2,121,107        3,568,340  

Enel SpA (Utilities, Electric Utilities)

           1,706,600        9,254,483  

Leonardo SpA (Industrials, Aerospace & Defense)

           342,737        3,378,038  

Mediobanca SpA (Financials, Banks)

           371,363        3,281,800  

UnipolSai Assicurazioni SpA (Financials, Insurance) «

           2,160,500        5,028,776  
             24,511,437  
          

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo International Value Portfolio     25  

      

 

 

Security name                 Shares      Value  
Japan: 22.11%           

Adeka Corporation (Materials, Chemicals)

           203,500      $ 3,225,094  

Aisin Seiki Company Limited (Consumer Discretionary, Auto Components)

           119,800        4,738,598  

Aozora Bank Limited (Financials, Banks)

           64,900        2,132,555  

Asahi Glass Company Limited (Industrials, Building Products)

           121,800        4,136,361  

Brother Industries Limited (Information Technology, Technology Hardware, Storage & Peripherals)

           200,800        3,355,659  

Central Glass Company Limited (Industrials, Building Products)

           88,800        2,188,807  

Credit Saison Company Limited (Financials, Consumer Finance)

           329,900        4,234,368  

DCM Holdings Company Limited (Consumer Discretionary, Specialty Retail)

           243,900        2,419,340  

Denka Company Limited (Materials, Chemicals)

           99,700        3,214,571  

DIC Incorporated (Materials, Chemicals)

           124,900        3,966,564  

Dowa Mining Company Limited (Materials, Metals & Mining)

           56,900        1,874,695  

Eizo Corporation (Information Technology, Technology Hardware, Storage & Peripherals)

           63,300        2,648,769  

Fujikura Limited (Industrials, Electrical Equipment)

           435,200        1,890,090  

Geo Holdings Corporation (Consumer Discretionary, Specialty Retail)

           133,700        2,250,810  

Hitachi Limited (Information Technology, Electronic Equipment, Instruments & Components)

           165,800        4,802,453  

Isuzu Motors Limited (Consumer Discretionary, Automobiles)

           263,900        3,756,881  

Itochu Corporation (Industrials, Trading Companies & Distributors)

           356,200        6,326,029  

Japan Airlines Company Limited (Industrials, Airlines)

           108,600        3,916,737  

JFE Holdings Incorporated (Materials, Metals & Mining)

           263,600        4,647,803  

JTEKT Corporation (Industrials, Machinery)

           322,100        4,097,365  

JXTG Holdings Incorporated (Energy, Oil, Gas & Consumable Fuels)

           754,900        4,564,048  

Kaken Pharmaceutical Company Limited (Health Care, Pharmaceuticals)

           44,700        2,287,865  

KDDI Corporation (Communication Services, Wireless Telecommunication Services)

           544,200        12,771,429  

Keihin Corporation (Consumer Discretionary, Auto Components)

           180,400        3,121,223  

Maeda Road Construction Company Limited (Industrials, Construction & Engineering)

           148,000        2,907,457  

Makino Milling Machine Company Limited (Industrials, Machinery)

           79,400        3,221,046  

Marubeni Corporation (Industrials, Trading Companies & Distributors)

           812,100        6,063,117  

Mazda Motor Corporation (Consumer Discretionary, Automobiles)

           283,200        3,018,738  

Mitsubishi Electric Corporation (Industrials, Electrical Equipment)

           431,500        5,694,287  

Mitsubishi Gas Chemical Company Incorporated (Materials, Chemicals)

           195,500        3,210,254  

Mitsubishi UFJ Financial Group Incorporated (Financials, Banks)

           921,500        5,069,610  

Mitsubishi UFJ Lease & Finance Company Limited (Financials, Diversified Financial Services)

           699,300        3,813,300  

Mitsui Chemicals Incorporated (Materials, Chemicals)

           177,100        4,494,781  

Mixi Incorporated (Communication Services, Interactive Media & Services)

           54,400        1,282,424  

Mizuho Financial Group Incorporated (Financials, Banks)

           3,425,200        5,681,762  

Morinaga Milk Industry Company Limited (Consumer Staples, Food Products)

           134,500        3,939,678  

Nippon Telegraph & Telephone Corporation (Communication Services, Diversified Telecommunication Services)

           324,200        13,366,128  

Nissan Motor Company Limited (Consumer Discretionary, Automobiles)

           587,500        5,146,027  

Nisshinbo Holdings Incorporated (Industrials, Industrial Conglomerates)

           226,100        2,057,537  

Nomura Holdings Incorporated (Financials, Capital Markets)

           1,144,100        5,154,321  

NTN Corporation (Industrials, Machinery)

           1,133,600        3,804,798  

NTT DOCOMO Incorporated (Communication Services, Wireless Telecommunication Services)

           98,600        2,283,135  

ORIX Corporation (Financials, Diversified Financial Services)

           469,600        7,609,824  

Resona Holdings Incorporated (Financials, Banks)

           1,348,600        7,150,794  

Ryobi Limited (Industrials, Machinery)

           117,400        3,200,925  

Sawai Pharmaceutical Company Limited (Health Care, Pharmaceuticals)

           42,000        2,219,971  

SCREEN Holdings Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)

           50,100        2,506,876  

Showa Shell Sekiyu KK (Energy, Oil, Gas & Consumable Fuels)

           145,400        2,253,082  

Sojitz Corporation (Industrials, Trading Companies & Distributors)

           1,855,500        6,571,035  

Sompo Holdings Incorporated (Financials, Insurance)

           25,100        969,815  

 

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

Table of Contents

 

26   Wells Fargo International Value Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  
Japan (continued)           

Sumitomo Heavy Industries Limited (Industrials, Machinery)

           140,900      $ 4,673,290  

Sumitomo Mitsui Financial Group Incorporated (Financials, Banks)

           173,200        6,382,378  

Sumitomo Osaka Cement Company (Materials, Construction Materials)

           34,900        1,567,987  

Teijin Limited (Materials, Chemicals)

           279,600        4,827,697  

The Keiyo Bank Limited (Financials, Banks)

           224,300        1,580,760  

The Yokohama Rubber Company Limited (Consumer Discretionary, Auto Components)

           172,900        3,618,997  

Toho Holdings Company Limited (Health Care, Health Care Providers & Services)

           63,000        1,673,303  

Tokyo Electron Limited (Information Technology, Semiconductors & Semiconductor Equipment)

           21,000        2,936,837  

Toyo Ink SC Holding Company Limited (Materials, Chemicals)

           75,000        1,854,601  

Toyo Tire & Rubber Company Limited (Consumer Discretionary, Auto Components)

           165,400        2,612,538  

Toyota Boshoku Corporation (Consumer Discretionary, Auto Components)

           180,900        2,787,245  

UBE Industries Limited (Materials, Chemicals)

           149,300        3,402,538  

ULVAC Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)

           107,300        3,941,691  
             247,118,698  
          

 

 

  
Liechtenstein: 0.09%           

VP Bank AG (Financials, Capital Markets)

           6,558        1,025,334  
          

 

 

  
Malaysia: 0.32%           

Tenaga Nasional Bhd (Utilities, Electric Utilities)

           1,062,400        3,615,384  
          

 

 

  
Netherlands: 2.98%           

ABN AMRO Group NV (Financials, Banks) 144A

           233,218        5,945,869  

Aegon NV (Financials, Insurance)

           566,623        3,154,128  

ASR Nederland NV (Financials, Insurance)

           83,831        3,615,884  

ING Groep NV (Financials, Banks)

           282,500        3,416,939  

Koninklijke Ahold Delhaize NV (Consumer Staples, Food & Staples Retailing)

           437,386        11,242,717  

Philips Lighting NV (Industrials, Electrical Equipment) 144A

           97,200        2,584,843  

RHI Magnesita NV (Materials, Construction Materials) «

           64,721        2,986,512  

X5 Retail Group NV GDR (Consumer Staples, Food & Staples Retailing)

           14,352        365,976  
             33,312,868  
          

 

 

  
Norway: 1.41%           

Den Norske Bank ASA (Financials, Banks)

           221,600        3,802,975  

Grieg Seafood ASA (Consumer Staples, Food Products)

           336,787        4,427,876  

Leroy Seafood Group ASA (Consumer Staples, Food Products)

           558,599        4,752,236  

Marine Harvest ASA (Consumer Staples, Food Products)

           117,900        2,758,593  
             15,741,680  
          

 

 

  
Poland: 0.12%           

Asseco Poland SA (Information Technology, Software)

           101,400        1,284,953  
          

 

 

  
Russia: 1.30%           

Gazprom PAO ADR (Energy, Oil, Gas & Consumable Fuels)

           781,547        3,720,164  

Gazprom Neft ADR - London Exchange (Energy, Oil, Gas & Consumable Fuels)

           136,114        3,722,718  

Gazprom Neft ADR (Energy, Oil, Gas & Consumable Fuels)

           886        24,201  

Lukoil OAO ADR (Energy, Oil, Gas & Consumable Fuels) «

           46,800        3,425,760  

Lukoil PJSC ADR (Energy, Oil, Gas & Consumable Fuels)

           50,101        3,682,424  
             14,575,267  
          

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo International Value Portfolio     27  

      

 

 

Security name                 Shares      Value  
Singapore: 0.60%           

DBS Group Holdings Limited (Financials, Banks)

           185,700      $ 3,300,070  

United Overseas Bank Limited (Financials, Banks)

           184,100        3,374,965  
             6,675,035  
          

 

 

  
South Africa: 0.31%           

Absa Group Limited (Financials, Banks)

           274,900        3,054,720  

Petra Diamonds Limited (Materials, Metals & Mining) «†

           842,600        452,450  
             3,507,170  
          

 

 

  
South Korea: 2.56%           

BNK Financial Group Incorporated (Financials, Banks)

           440,300        3,012,713  

E-MART Incorporated (Consumer Staples, Food & Staples Retailing)

           8,500        1,478,657  

Industrial Bank of Korea (Financials, Banks)

           264,500        3,492,216  

JB Financial Group Company Limited (Financials, Banks)

           25,418        129,250  

KB Financial Group Incorporated (Financials, Banks)

           79,300        3,339,096  

KT&G Corporation (Consumer Staples, Tobacco)

           38,400        3,562,692  

LG Uplus Corporation (Communication Services, Diversified Telecommunication Services)

           351,800        5,554,985  

SK Telecom Company Limited (Communication Services, Wireless Telecommunication Services)

           17,400        4,493,778  

Woori Bank (Financials, Banks)

           254,400        3,551,773  
             28,615,160  
          

 

 

  
Spain: 1.93%           

Banco Santander Central Hispano SA (Financials, Banks)

           731,000        3,463,361  

Distribuidora Internacional SA (Consumer Staples, Food & Staples Retailing) «

           483,500        362,250  

Iberdrola SA (Utilities, Electric Utilities)

           543,200        4,052,566  

International Consolidated Airlines Group SA (Industrials, Airlines)

           548,044        4,368,849  

Repsol YPF SA (Energy, Oil, Gas & Consumable Fuels)

           542,137        9,359,740  
             21,606,766  
          

 

 

  
Sweden: 1.94%           

Boliden AB (Materials, Metals & Mining)

           102,400        2,293,515  

Electrolux AB Class B (Consumer Discretionary, Household Durables)

           162,100        3,682,290  

Nordea Bank AB (Financials, Banks)

           365,491        3,243,536  

Skandinaviska Enskilda Banken AB Class A (Financials, Banks)

           272,700        2,839,736  

Volvo AB Class B (Industrials, Machinery)

           689,107        9,583,073  
             21,642,150  
          

 

 

  
Switzerland: 6.63%           

Baloise Holding AG (Financials, Insurance)

           39,946        5,869,649  

Credit Suisse Group AG (Financials, Capital Markets)

           168,600        1,987,997  

Helvetia Holding AG (Financials, Insurance)

           6,293        3,892,772  

Roche Holding AG (Health Care, Pharmaceuticals)

           98,077        25,435,915  

Swiss Life Holding AG (Financials, Insurance)

           29,400        11,532,816  

Swiss Reinsurance AG (Financials, Insurance)

           91,400        8,349,096  

UBS Group AG (Financials, Capital Markets)

           424,002        5,727,348  

Valiant Holding AG (Financials, Banks)

           22,700        2,508,463  

Zurich Insurance Group AG (Financials, Insurance)

           27,970        8,776,933  
             74,080,989  
          

 

 

  

 

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

Table of Contents

 

28   Wells Fargo International Value Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  
Taiwan: 0.68%           

Catcher Technology Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)

           328,000      $ 2,816,616  

Pegatron Corporation (Information Technology, Technology Hardware, Storage & Peripherals)

           1,035,000        1,757,398  

Powertech Technology Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)

           1,283,000        3,011,571  
             7,585,585  
          

 

 

  
Thailand: 0.98%           

Bangchak Corporation PCL (Energy, Oil, Gas & Consumable Fuels)

           2,367,100        2,429,179  

Krung Thai Bank PCL ADR (Financials, Banks)

           5,181,900        3,182,801  

Thai Oil PCL (Energy, Oil, Gas & Consumable Fuels)

           1,286,500        2,972,984  

Thanachart Capital PCL (Financials, Banks)

           1,481,500        2,387,518  
             10,972,482  
          

 

 

  
Turkey: 0.52%           

Koç Holding AS (Industrials, Industrial Conglomerates)

           1,184,300        3,493,390  

TAV Havalimanlari Holding AS (Industrials, Transportation Infrastructure)

           522,900        2,350,743  
             5,844,133  
          

 

 

  
United Kingdom: 14.58%           

3i Group plc (Financials, Capital Markets)

           456,100        4,844,764  

Anglo American plc (Materials, Metals & Mining)

           267,586        5,340,297  

Aviva plc (Financials, Insurance)

           704,391        3,653,113  

BAE Systems plc (Industrials, Aerospace & Defense)

           1,220,400        7,640,184  

Barclays plc (Financials, Banks)

           715,000        1,483,982  

Barratt Developments plc (Consumer Discretionary, Household Durables)

           480,975        2,832,744  

Bellway plc (Consumer Discretionary, Household Durables)

           80,100        2,594,555  

Bovis Homes Group plc (Consumer Discretionary, Household Durables)

           244,800        2,680,783  

BP plc (Energy, Oil, Gas & Consumable Fuels)

           2,015,036        13,351,836  

BT Group plc (Communication Services, Diversified Telecommunication Services)

           1,099,700        3,671,389  

Centrica plc (Utilities, Multi-Utilities)

           898,500        1,577,119  

Chemring Group plc (Industrials, Aerospace & Defense)

           294,466        628,875  

Crest Nicholson Holdings plc (Consumer Discretionary, Household Durables)

           345,400        1,506,112  

Debenhams plc (Consumer Discretionary, Multiline Retail) «

           1,238,200        103,660  

Firstgroup plc (Industrials, Road & Rail) †

           952,400        1,082,528  

GlaxoSmithKline plc (Health Care, Pharmaceuticals)

           965,207        19,944,311  

Highland Gold Mining Limited (Materials, Metals & Mining)

           1,280,734        2,426,748  

Imperial Tobacco Group plc (Consumer Staples, Tobacco)

           202,991        6,233,740  

Inchcape plc (Consumer Discretionary, Distributors)

           423,425        3,137,481  

J Sainsbury plc (Consumer Staples, Food & Staples Retailing)

           1,270,500        4,937,753  

Kingfisher plc (Consumer Discretionary, Specialty Retail)

           1,323,253        4,215,390  

Legal & General Group plc (Financials, Insurance)

           2,314,194        7,221,766  

Lloyds Banking Group plc (Financials, Banks)

           8,916,700        6,290,064  

Marks & Spencer Group plc (Consumer Discretionary, Multiline Retail)

           705,000        2,629,461  

Marston’s plc (Consumer Discretionary, Hotels, Restaurants & Leisure)

           893,000        1,160,664  

Mitchells & Butlers plc (Consumer Discretionary, Hotels, Restaurants & Leisure)

           367,200        1,286,738  

Paragon Group of Companies plc (Financials, Thrifts & Mortgage Finance)

           501,100        2,683,090  

Petrofac Limited (Energy, Energy Equipment & Services)

           522,047        3,384,633  

Premier Foods plc (Consumer Staples, Food Products) †

           73,926        33,677  

QinetiQ Group plc (Industrials, Aerospace & Defense)

           773,800        2,927,479  

Quilter plc (Financials, Capital Markets) 144A

           687,346        1,016,863  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo International Value Portfolio     29  

      

 

 

Security name                Shares      Value  
United Kingdom (continued)          

Redrow plc (Consumer Discretionary, Household Durables)

          441,068      $ 2,637,050  

Royal Dutch Shell plc Class B (Energy, Oil, Gas & Consumable Fuels)

          786,300        24,001,550  

Royal Mail plc (Industrials, Air Freight & Logistics)

          539,626        2,199,005  

SSE plc (Utilities, Electric Utilities)

          259,800        3,626,656  

Tate & Lyle plc (Consumer Staples, Food Products)

          497,300        4,549,857  

The Berkeley Group Holdings plc (Consumer Discretionary, Household Durables)

          75,800        3,115,935  

The Restaurant Group plc (Consumer Discretionary, Hotels, Restaurants & Leisure)

          138,516        254,166  
            162,906,018  
         

 

 

  

Total Common Stocks (Cost $1,114,472,456)

             1,067,141,914  
         

 

 

  
    Dividend yield                      
Preferred Stocks: 1.52%          
Brazil: 1.52%          

Banco do Estado do Rio Grande do Sul SA (Financials, Banks)

     1.53 %         957,800        5,406,975  

Companhia Energetica de Minas Gerais SA (Utilities, Electric Utilities)

     4.30          2,031,400        6,676,776  

Itausa Investimentos Itau SA (Financials, Banks)

     0.32          1,524,600        4,865,157  

Total Preferred Stocks (Cost $13,937,411)

             16,948,908  
         

 

 

  
          Expiration date                
Rights: 0.01%          
United Kingdom: 0.01%          

The Restaurant Group plc (Consumer Discretionary, Hotels, Restaurants & Leisure) †(a)

       12-13-2018        200,079        96,881  
         

 

 

  

Total Rights (Cost $160,017)

             96,881  
         

 

 

  
    Yield                      
Short-Term Investments: 5.37%          
Investment Companies: 5.37%          

Securities Lending Cash Investments LLC (l)(r)(u)

     2.38          48,831,268        48,836,152  

Wells Fargo Government Money Market Fund Select Class (l)(u)

     2.13          11,223,222        11,223,222  

Total Short-Term Investments (Cost $60,059,079)

             60,059,374        
         

 

 

  

 

Total investments in securities (Cost $1,188,628,963)     102.38 %         1,144,247,077  

Other assets and liabilities, net

     (2.38 )         (26,582,607 ) 
 

 

 

       

 

 

  
Total net assets     100.00 %       $ 1,117,664,470  
 

 

 

       

 

 

  

 

 

«

All or a portion of this security is on loan.

 

†

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.

 

(r)

The investment is a non-registered investment company purchased with cash collateral received from securities on loan.

 

(u)

The rate represents the 7-day annualized yield at period end.

 

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

Table of Contents

 

30   Wells Fargo International Value Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Abbreviations:

 

ADR

American depositary receipt

 

GDR

Global depositary receipt

 

REIT

Real estate investment trust

The following table shows the percent of total long-term investments by sector as of November 30, 2018:

 

Financials

      25.29 % 

Industrials

      13.89  

Consumer Discretionary

      10.68  

Materials

      10.64  

Energy

      9.72  

Health Care

      8.15  

Consumer Staples

      6.97  

Communication Services

      6.08  

Utilities

      3.76  

Information Technology

      3.73  

Real Estate

      1.09  
  

 

 

  
     100.00 % 
  

 

 

  

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

                  

Securities Lending Cash Investments LLC

     25,301,762       210,581,079       187,051,573       48,831,268     $ 1,929     $ 0     $ 557,714     $ 48,836,152    

Wells Fargo Government Money Market Fund Select Class

     22,685,533       98,384,278       109,846,589       11,223,222       0       0       132,004       11,223,222    
         

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
          $ 1,929     $ 0     $ 689,718     $ 60,059,374       5.37 % 
         

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

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

Table of Contents

 

Statement of assets and liabilities—November 30, 2018 (unaudited)   Wells Fargo International Value Portfolio     31  
         

Assets

  

Investments in unaffiliated securities (including $48,512,666 securities on loan), at value (cost $1,128,569,884)

   $ 1,084,187,703  

Investments in affiliated securities, at value (cost $60,059,079)

     60,059,374  

Foreign currency, at value (cost $18,182,302)

     18,142,177  

Receivable for dividends

     5,445,819  

Receivable for investments sold

     2,790,201  

Receivable for securities lending income

     49,534  
 

 

 

  

Total assets

     1,170,674,808  
 

 

 

  

Liabilities

  

Payable upon receipt of securities loaned

     48,831,866  

Payable for investments purchased

     3,261,730  

Advisory fee payable

     749,861  

Accrued expenses and other liabilities

     166,881  
 

 

 

  

Total liabilities

     53,010,338  
 

 

 

  

Total net assets

   $ 1,117,664,470  
 

 

 

  

 

 

 

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

Table of Contents

 

32   Wells Fargo International Value Portfolio   Statement of operations—six months ended November 30, 2018 (unaudited)
         

Investment income

  

Dividends (net of foreign withholding taxes of $1,783,247)

   $ 18,109,414  

Income from affiliated securities

     689,718  
 

 

 

  

Total investment income

     18,799,132  
 

 

 

  

Expenses

  

Advisory fee

     4,438,087  

Custody and accounting fees

     99,012  

Professional fees

     30,749  

Shareholder report expenses

     1,338  

Trustees’ fees and expenses

     11,048  

Other fees and expenses

     22,263  
 

 

 

  

Total expenses

     4,602,497  
 

 

 

  

Net investment income

     14,196,635  
 

 

 

  

REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS

  

Net realized gains (losses) on:

 

Unaffiliated securities

     (3,100,819 ) 

Affiliated securities

     1,929  
 

 

 

  

Net realized losses on investments

     (3,098,890 ) 

Net change in unrealized gains (losses) on investments

     (107,647,600 ) 
 

 

 

  

Net realized and unrealized gains (losses) on investments

     (110,746,490 ) 
 

 

 

  

Net decrease in net assets resulting from operations

   $ (96,549,855 ) 
 

 

 

  

 

 

 

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

Table of Contents

 

Statement of changes in net assets   Wells Fargo International Value Portfolio     33  
     Six months ended
November 30, 2018
(unaudited)		        Year ended
May 31, 2018		  

Operations

 

Net investment income

   $ 14,196,635        $ 22,286,555  

Net realized gains (losses) on investments

     (3,098,890 )         15,107,292  

Net change in unrealized gains (losses) on investments

     (107,647,600 )         21,851,248  
 

 

 

  

Net increase (decrease) in net assets resulting from operations

     (96,549,855 )         59,245,095  
 

 

 

  

Capital transactions

       

Transactions in investors’ beneficial interests

 

Contributions

     442,181,431          197,415,479  

Withdrawals

     (127,897,174 )         (109,368,233 ) 
 

 

 

  

Net increase in net assets resulting from capital transactions

     314,284,257          88,047,246  
 

 

 

  

Total increase in net assets

     217,734,402          147,292,341  
 

 

 

  

Net assets

       

Beginning of period

     899,930,068          752,637,727  
 

 

 

  

End of period

   $ 1,117,664,470        $ 899,930,068  
 

 

 

  

 

 

 

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

Table of Contents

 

34   Wells Fargo International Value Portfolio   Financial highlights
   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
     2018     2017     2016     2015     2014  

Total return1

     (8.74 )%      7.74 %      19.16 %      (11.85 )%      (1.04 )%      18.22 % 

Ratios to average net assets (annualized)

            

Gross expenses

     0.79 %      0.82 %      0.87 %      0.91 %      0.91 %      0.91 % 

Net expenses

     0.79 %      0.82 %      0.87 %      0.91 %      0.91 %      0.91 % 

Net investment income

     2.45 %      2.65 %      3.03 %      2.50 %      2.45 %      3.09 % 

Supplemental data

            

Portfolio turnover rate

     6 %      15 %      41 %      14 %      18 %      11 % 

 

 

1 

Returns for periods of less than one year are not annualized.

 

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

Table of Contents

 

Notes to financial statements (unaudited)   Wells Fargo International Value Portfolio     35  

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 Wells Fargo International Value Portfolio ( “International Value Portfolio”) which is a diversified series of the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the 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 Portfolio may deviate from this calculation time under unusual or unexpected circumstances.

Equity securities that are listed on a foreign or domestic exchange or market are valued at the official closing price or, if none, the last sales price. If no sale occurs on the principal exchange or market that day, a fair value price will be determined in accordance with the Portfolio’s Valuation Procedures.

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 at Wells Fargo Funds Management, LLC (“Funds Management”).

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 Fund 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 November 30, 2018, such fair value pricing was used in pricing foreign securities.

Investments in registered open-end investment companies are valued at net asset value. Interests in non-registered investment companies that are redeemable at net asset value are fair valued normally at net asset value.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee. The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.

Foreign currency translation

The accounting records of the Portfolio are maintained in U.S. dollars. The values of other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee. Purchases and sales of securities, and income and expenses are converted at the rate of exchange on the respective dates of such transactions. Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded and the U.S. dollar equivalent of the amounts actually paid or received. Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities other than investments in securities resulting from changes in exchange rates. The changes in net assets arising from changes in exchange rates of securities and the changes in net assets resulting from changes in market prices of securities are not separately presented. Such changes are included in net realized and unrealized gains or losses from investments.

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36   Wells Fargo International Value Portfolio   Notes to financial statements (unaudited)

Securities lending

The Portfolio may lend its securities from time to time in order to earn additional income in the form of fees or interest on securities received as collateral or the investment of any cash received as collateral. The Portfolio continues to receive interest or dividends on the securities loaned. The Portfolio receives collateral in the form of cash or securities with a value at least equal to the value of the securities on loan. The value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Portfolio on the next business day. In a securities lending transaction, the net asset value of the Portfolio will be affected by an increase or decrease in the value of the securities loaned and by an increase or decrease in the value of the instrument in which collateral is invested. The amount of securities lending activity undertaken by the Portfolio fluctuates from time to time. In the event of default or bankruptcy by the borrower, the Portfolio may be prevented from recovering the loaned securities or gaining access to the collateral or may experience delays or costs in doing so. In addition, the investment of any cash collateral received may lose all or part of its value. The Portfolio has the right under the lending agreement to recover the securities from the borrower on demand.

The Portfolio lends its securities through an unaffiliated securities lending agent. Cash collateral received in connection with its securities lending transactions is invested in Securities Lending Cash Investments, LLC (the “Securities Lending Fund”). The Securities Lending Fund is exempt from registration under Section 3(c)(7) of the 1940 Act and is managed by Funds Management and is subadvised by Wells Capital Management Incorporated (“WellsCap”), an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”). Funds Management receives an advisory fee starting at 0.05% and declining to 0.01% as the average daily net assets of the Securities Lending Fund increase. All of the fees received by Funds Management are paid to WellsCap for its services as subadviser. The Securities Lending Fund seeks to provide a positive return compared to the daily Fed Funds Open Rate by investing in high-quality, U.S. dollar-denominated short-term money market instruments. Securities Lending Fund investments are valued at the evaluated bid price provided by an independent pricing service. Income earned from investment in the Securities Lending Fund, if any, is included in income from affiliated securities on the Statement 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.

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. Dividend income from foreign securities is recorded net of foreign taxes withheld where recovery of such taxes is not assured.

Federal and other taxes

The Portfolio is treated as a separate entity for federal income tax purposes. The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains 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.

The Portfolio’s income tax returns and all financial records supporting those returns for the prior three fiscal years are subject to examination by the federal revenue authority. Management has analyzed the 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 November 30, 2018, the aggregate cost of all investments for federal income tax purposes was $1,188,628,963 and the unrealized gains (losses) consisted of:

 

Gross unrealized gains

    $ 86,712,123  

Gross unrealized losses

      (131,094,009 ) 

Net unrealized losses

    $ (44,381,886 ) 

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 the Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

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Notes to financial statements (unaudited)   Wells Fargo International Value Portfolio     37  
∎  

Level 1 – quoted prices in active markets for identical securities

 

∎  

Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

 

∎  

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of November 30, 2018:

 

     Quoted prices
(Level 1)		      Other significant
observable inputs
(Level 2)		     

Significant
unobservable inputs

(Level 3)

      Total  

Assets

            

Investments in:

            

Common stocks

            

Australia

    $ 53,850,277      $ 0      $ 0      $ 53,850,277  

Austria

      10,125,832        0        0        10,125,832  

Belgium

      7,369,395        0        0        7,369,395  

Brazil

      9,298,007        0        0        9,298,007  

Canada

      12,582,547        0        0        12,582,547  

China

      38,032,220        0        0        38,032,220  

Denmark

      7,755,293        0        0        7,755,293  

Finland

      5,002,932        0        0        5,002,932  

France

      107,919,640        0        0        107,919,640  

Germany

      82,420,532        0        0        82,420,532  

Hong Kong

      33,173,552        0        0        33,173,552  

India

      3,256,517        0        0        3,256,517  

Ireland

      6,587,298        0        0        6,587,298  

Israel

      0        5,146,763        0        5,146,763  

Italy

      24,511,437        0        0        24,511,437  

Japan

      247,118,698        0        0        247,118,698  

Liechtenstein

      1,025,334        0        0        1,025,334  

Malaysia

      3,615,384        0        0        3,615,384  

Netherlands

      33,312,868        0        0        33,312,868  

Norway

      15,741,680        0        0        15,741,680  

Poland

      1,284,953        0        0        1,284,953  

Russia

      14,575,267        0        0        14,575,267  

Singapore

      6,675,035        0        0        6,675,035  

South Africa

      3,507,170        0        0        3,507,170  

South Korea

      28,615,160        0        0        28,615,160  

Spain

      21,606,766        0        0        21,606,766  

Sweden

      21,642,150        0        0        21,642,150  

Switzerland

      74,080,989        0        0        74,080,989  

Taiwan

      7,585,585        0        0        7,585,585  

Thailand

      10,972,482        0        0        10,972,482  

Turkey

      5,844,133        0        0        5,844,133  

United Kingdom

      162,906,018        0        0        162,906,018  

Preferred stocks

            

Brazil

      16,948,908        0        0        16,948,908  

Rights

            

United Kingdom

      0        96,881        0        96,881  

Short-term investments

            

Investment companies

      11,223,222        48,836,152        0        60,059,374  

Total assets

    $ 1,090,167,281      $ 54,079,796      $ 0      $ 1,144,247,077  

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38   Wells Fargo International Value Portfolio   Notes to financial statements (unaudited)

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

At November 30, 2018, the Portfolio did not have any transfers into/out of Level 3.

4. TRANSACTIONS WITH AFFILIATES AND OTHER EXPENSES

Advisory fee

The Trust has entered into an advisory contract with Funds Management, an indirect wholly owned subsidiary of Wells Fargo. The adviser is responsible for implementing investment policies and guidelines and for supervising the subadviser, who is responsible for day-to-day portfolio management of the Portfolio. Pursuant to the contract, Funds Management is entitled to receive an annual advisory fee starting at 0.80% and declining to 0.65% as the average daily net assets of the Portfolio increase. For the six months ended November 30, 2018, the advisory fee was equivalent to an annual rate of 0.76% of the Portfolio’s average daily net assets.

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Portfolio. The fee for subadvisory services is borne by Funds Management. LSV Asset Management, which is not an affiliate of Funds Management, is the subadviser to the Portfolio and is entitled to receive a fee from Funds Management at an annual rate starting at 0.35% and declining to 0.30% as the average daily net assets of the of Portfolio increase.

Interfund transactions

The Portfolio 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.

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments, excluding U.S. government obligations (if any) and short-term securities, for the six months ended November 30, 2018 were $389,895,973 and $70,938,544, respectively.

6. BANK BORROWINGS

Effective August 28, 2018, 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 the 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 the 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.

For the six months ended November 30, 2018, there were no borrowings by the Portfolio under the agreement.

7. CONCENTRATION RISK

Concentration risks result from exposure to a limited number of sectors. A portfolio that invests a substantial portion of its assets in a sector may be more affected by changes in that sector than would be a portfolio whose investments are not heavily weighted in any sector.

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 Portfolio 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.

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Other information (unaudited)   Wells Fargo International Value Fund     39  

TAX INFORMATION

Pursuant to Section 853 of the Internal Revenue Code, the following amounts have been designated as foreign taxes paid for the fiscal year ended May 31, 2018. These amounts may be less than the actual foreign taxes paid for financial statement purposes. Foreign taxes paid or withheld should be included in taxable income with an offsetting deduction from gross income or as a credit for taxes paid to foreign governments. None of the income was derived from ineligible foreign sources as defined under Section 901(j) of the Internal Revenue Code.

 

Creditable

foreign taxes

paid

   

Per share

amount

   

Foreign

income as % of

ordinary income

distributions

$2,550,505    $0.04535    100%

PROXY VOTING INFORMATION

A description of the policies and procedures used to determine how to vote proxies relating to portfolio securities is available, upon request, by calling 1-800-222-8222, visiting our website at wellsfargofunds.com, or visiting the SEC website at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Fund’s website at wellsfargofunds.com or by visiting the SEC website at sec.gov.

PORTFOLIO HOLDINGS INFORMATION

The complete portfolio holdings are publicly available on the website (wellsfargofunds.com) on a one-month delayed basis. In addition, top ten holdings information (excluding derivative positions) is publicly available on the website on a monthly, seven-day or more delayed basis. The Fund and the Portfolio each file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. In addition, each Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and at regional offices in New York City, at 233 Broadway, and in Chicago, at 175 West Jackson Boulevard, Suite 900. Information about the Public Reference Room may be obtained by calling 1-800-SEC-0330.

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40   Wells Fargo International Value Fund   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 152 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. Board member of the Vincent Memorial Hospital Endowment (non-profit organization), where he serves on the Investment Committee and as a Chair of the Audit Committee. 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.3

(Born 1952)

   Trustee, since 2009   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. Johnson3

(Born 1949)

   Trustee, since 2008; Audit Committee Chairman, since 2009   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

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

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Other information (unaudited)   Wells Fargo International Value Fund     41  
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

Olivia S. Mitchell

(Born 1953)

   Trustee, since 2006; Nominating and Governance Committee Chairman, 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; Vice Chairman, from 2017 to 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; Advisory Board Member, from 2017 to 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

Michael S. Scofield4

(Born 1943)

   Trustee, since 2010   Served on the Investment Company Institute’s Board of Governors and Executive Committee from 2008-2011 as well the Governing Council of the Independent Directors Council from 2006-2011 and the Independent Directors Council Executive Committee from 2008-2011. Trustee of the Evergreen Fund complex (and its predecessors) from 1984 to 2010. Chairman of the Evergreen Funds from 2000-2010. Former Trustee of the Mentor Funds. Retired Attorney, Law Offices of Michael S. Scofield.   N/A

Pamela Wheelock

(Born 1959)

   Trustee, since 2018; Advisory Board Member, from 2017 to 2018   Chief Operating Officer, Twin Cities Habitat for Humanity, since January, 2017. Vice President of University Services, University of Minnesota from 2012 to 2017. 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 President and Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2010 to 2011, Chairman of the Board from 2009 to 2011 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. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently the 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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42   Wells Fargo International Value Fund   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.    

Alexander Kymn

(Born 1973)

   Secretary, since 2018; Chief Legal Officer, since 2018   Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.    

Michael H. Whitaker

(Born 1967)

   Chief Compliance Officer, since 2016   Senior Vice President and Chief Compliance Officer 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 76 funds and Assistant Treasurer of 76 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 wellsfargofunds.com.

 

3 

Mr. Harris will replace Ms. Johnson as the Chairman of the Audit Committee effective January 1, 2019.

 

4

Mr. Scofield is expected to retire on December 31, 2018.

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Appendix A (unaudited)   Wells Fargo International Value Fund     43  

SALES CHARGE REDUCTIONS AND WAIVERS FOR CERTAIN INTERMEDIARIES

Raymond James & Associates, Inc., Raymond James Financial Services & Raymond James affiliates (“Raymond James”)

Effective on or about March 1, 2019, shareholders purchasing Fund shares through a Raymond James platform or account will be eligible only for the following load waivers (front-end sales charge waivers and contingent deferred, 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 Load Waivers on Class A shares Available at Raymond James

 

  •  

Shares purchased in an investment advisory program.

 

  •  

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).

 

  •  

Employees and registered representatives of Raymond James or its affiliates and their family members as designated by Raymond James.

 

  •  

Shares purchased from the proceeds of redemptions within the same fund family, provided (1) the repurchase occurs within 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 (known as Rights of Reinstatement).

 

  •  

A shareholder in the fund’s Class C shares will have their shares automatically exchanged at net asset value to Class A shares (or the appropriate share class) of the fund if the shares are no longer subject to a CDSC and the exchange is in line with the policies and procedures of Raymond James.

CDSC Waivers on Class A and C Shares Available at Raymond James

 

  •  

Death or disability of the shareholder.

 

  •  

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

 

  •  

Return of excess contributions from an IRA Account.

 

  •  

Shares sold as part of a required minimum distribution for IRA and retirement accounts due to the shareholder reaching age 70½ as described in the Fund’s prospectus.

 

  •  

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

 

  •  

Shares acquired through a right of reinstatement.

Front-end Load Discounts Available at Raymond James: Breakpoints, and/or Rights of Accumulation

 

  •  

Breakpoints as described in the Fund’s Prospectus.

 

  •  

Rights of accumulation 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 Raymond James. Eligible fund family assets not held at Raymond James may be included in the rights of accumulation calculation only if the shareholder notifies his or her financial advisor about such assets.

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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 Fund’s website, or call:

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: wellsfargofunds.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 the Fund. 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 Fund’s website at wellsfargofunds.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

© 2019 Wells Fargo Funds Management, LLC. All rights reserved.

 

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318978 01-19

SA284/SAR284 11-18

 

Table of Contents

Semi-Annual Report

November 30, 2018

 

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Wells Fargo Small Company Growth Fund

 

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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.

 

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Table of Contents

Reduce clutter. Save trees.

Sign up for electronic delivery of prospectuses and shareholder reports at wellsfargo.com/advantagedelivery

Contents

 

 

Letter to shareholders

     2  

Performance highlights

     6  

Fund expenses

     8  
Wells Fargo Small Company Growth Fund  
Portfolio of investments     9  
Financial statements  

Statement of assets and liabilities

     10  

Statement of operations

     11  

Statement of changes in net assets

     12  

Financial highlights

     13  
Notes to financial statements     18  
Wells Fargo Small Company Growth Portfolio  
Portfolio of investments     22  

Financial statements

  

Statement of assets and liabilities

     28  

Statement of operations

     29  

Statement of changes in net assets

     30  

Financial highlights

     31  
Notes to financial statements     32  

Other information

     36  

Appendix A

     40  

 

The views expressed and any forward-looking statements are as of November 30, 2018, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Funds Management, LLC. 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 Funds Management, LLC 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


Table of Contents

 

2   Wells Fargo Small Company Growth Fund   Letter to shareholders (unaudited)

 

LOGO

Andrew Owen

President

Wells Fargo Funds

 

 

Global trade tensions escalated during the third quarter of 2018.

 

 

Dear Shareholder:

We are pleased to offer you this semi-annual report for the Wells Fargo Small Company Growth Fund for the six-month period that ended November 30, 2018. During the reporting period, the U.S. generated encouraging economic and business data that was offset by less positive and more inconsistent data from international markets. Investment returns were restrained in comparison with recent periods as geopolitical tensions and uncertainty tended to distract investors from more favorable underlying trends.

For the period, U.S. stocks, as measured by the S&P 500 Index,1 gained 3.02% and international stocks, as measured by the MSCI ACWI ex USA Index (Net),2 declined 8.37%. Based on the MSCI EM Index (Net),3 emerging market stocks lost 9.89%. For bond investors, the Bloomberg Barclays U.S. Aggregate Bond Index4 declined 0.30% while the Bloomberg Barclays Global Aggregate ex-USD Index5 fell 3.67%. The Bloomberg Barclays Municipal Bond Index6 gained 0.42%. The ICE BofAML U.S. High Yield Index7 was up 0.19%.

Global trade tensions prompted investor concerns.

Global trade tensions escalated during the third quarter of 2018. The U.S. government’s decision during the second quarter to impose tariffs on a wide range of products manufactured overseas drew retaliatory responses from foreign governments, which punished U.S. commodity producers and product manufacturers. Investors were left to wonder about next steps in what appeared to be an escalating divergence in global economic policies and growth prospects.

Inflation trended higher. The CPI-U8 added 0.1% in September after an increase of 0.2% in both July and August. On a year-over-year basis, the all-items index rose 2.3% for the 12 months that ended September 30, 2018, after a seasonal adjustment. The rate of increase was slower than that recorded during the first half of 2018. The index for all items less food and energy rose 2.2% for the same 12-month period.

 

 

 

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 U.S. and Canada. 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 large- and mid-cap equity market performance of emerging markets. The MSCI EM Index (Net) consists of the following 24 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, the Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey, and the United Arab Emirates. 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 BofAML 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 2018. ICE Data Indices, LLC. All rights reserved.

 

8 

The Consumer Price Index for All Urban Consumers (CPI-U) measures the changes in the price of a basket of goods and services purchased by urban consumers. The urban consumer population is deemed by many as a better representative measure of the general public because close to 90% of the country’s population lives in highly populated areas. You cannot invest directly in an index.

Table of Contents

 

Letter to shareholders (unaudited)   Wells Fargo Small Company Growth Fund     3  

U.S. stocks gained following positive economic data while international stocks and bonds declined.

During the summer months, the U.S. economy strengthened. Revised second-quarter gross domestic product (GDP) data released in August showed the U.S. economy growing at a 4.2% rate. The unemployment rate in the U.S. was 3.7% by the end of September, according to the U.S. Department of Labor. Wages showed more consistent growth, and consumer confidence remained strong. Several U.S. equity market indices reached records during August, with the S&P 500 Index gaining 7.20% for the three-month period that ended September 30, 2018. In contrast, the MSCI ACWI ex USA Index (Net) gained 0.71% while the MSCI EM Index (Net) declined 1.09% during the same three-month period.

In June, the Federal Reserve increased the target range for the federal funds rate to range from 1.75% to 2.00%. It raised the range again in September to range from 2.00% to 2.25%. Long-term interest rates in the U.S. remained at higher levels relative to the prior 10 years. Rates on 10-year and 30-year Treasury bonds—2.46% and 2.81%, respectively, on January 1, 2018—were 3.01% and 3.30%, respectively, on November 30, 2018. Investor concerns about an inverted yield curve reemerged, only to be replaced by concerns about the potentially negative influence of higher interest rates on economic activity.

November saw improvement in many equity markets.

As interest rates and bond yields gained during October, stock markets struggled. For the month, the S&P 500 Index fell 6.84%, the MSCI ACWI ex USA Index (Net) dropped 8.13%, and the MSCI EM Index (Net) lost 8.71%. The Bureau of Economic Analysis released its first estimate of third-quarter GDP, which, at an annualized 3.5% rate, indicated growth may be slowing compared with the second quarter. Readings on consumer sentiment and business spending were mixed. Markets rebounded somewhat in November as the S&P 500 Index gained 2.04%, the MSCI ACWI ex USA Index (Net) added 0.95%, and the MSCI EM Index (Net) was up 4.12% as the uncertainty leading up to midterm elections in the U.S. was resolved and progress seemed to be possible on several international trade issues.

Economic signals overseas were mixed as the third quarter ended and the fourth quarter began. In early August, the Bank of England’s Monetary Policy Committee increased its key interest rate to 0.75%. The European Central Bank and the Bank of Japan maintained low interest rates and accommodative monetary policies. Amid rising trade uncertainty, the People’s Bank of China cut reserve requirement ratios and accelerated infrastructure spending and tax cuts for business enterprises and individuals. Nevertheless, a strengthening U.S. dollar and the trade tensions remained headwinds for investors overseas.

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.

 

 

 

Economic signals overseas were mixed as the third quarter ended and the fourth quarter began.

 

 

 

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4   Wells Fargo Small Company Growth Fund   Letter to shareholders (unaudited)

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,

 

LOGO

Andrew Owen

President

Wells Fargo Funds

    

 

 

Notice to shareholders

At a meeting held on August 14-15, 2018, the Board of Trustees of the Fund approved the following policy which will be effective on or about February 5, 2019:

Class C shares will convert automatically into Class A shares ten years after the initial date of purchase or, if you acquired your Class C shares through an exchange or conversion from another share class, ten years after the date you acquired your Class C shares. When Class C shares that you acquired through a purchase or exchange convert, any other Class C shares that you purchased with reinvested dividends and distributions also will convert into Class A shares on a pro rata basis. A shorter holding period may also apply depending on your intermediary. Please see “Appendix A—Sales Charge Reductions and Waivers for Certain Intermediaries” in the Fund’s prospectus or at the end of this report.

 

 

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

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6   Wells Fargo Small Company Growth Fund1   Performance highlights (unaudited)

The Fund is currently closed to most new investors.2

Investment objective

The Fund seeks long-term capital appreciation.

Manager

Wells Fargo Funds Management, LLC

Subadviser for the affiliated master portfolio

Peregrine Capital Management, LLC

Portfolio managers

William A. Grierson, CFA®‡

Daniel J. Hagen, CFA®‡

James P. Ross, CFA®‡

Paul E. von Kuster, CFA®‡

Average annual total returns (%) as of November 30, 20183

 

        Including sales charge     Excluding sales charge     Expense ratios4 (%)  
    Inception date   1 year     5 year     10 year     1 year     5 year     10 year     Gross     Net5  
Class A (WFSAX)   1-30-2004     3.83       7.14       16.65       10.16       8.41       17.34       1.33       1.33  
Class C (WSMCX)   1-30-2004     8.34       7.60       16.48       9.34       7.60       16.48       2.08       2.08  
Class R6 (WSCRX)   10-31-2014     –       –       –       10.64       8.90       17.89       0.90       0.90  
Administrator Class (NVSCX)   11-11-1994     –       –       –       10.29       8.59       17.59       1.25       1.20  
Institutional Class (WSCGX)   3-31-2008     –       –       –       10.56       8.85       17.87       1.00       0.95  
Russell 2000® Growth Index6   –     –       –       –       2.81       8.22       15.55       –       –  

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on fund distributions or the redemption of fund shares. 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, which assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wellsfargofunds.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 R6, Administrator Class, and Institutional Class shares are sold without a front-end sales charge or contingent deferred sales charge.

Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. Smaller-company stocks tend to be more volatile and less liquid than those of larger companies. Certain investment strategies tend to increase the total risk of an investment (relative to the broader market). The Fund is exposed to foreign investment risk. Consult the Fund’s prospectus for additional information on these and other risks.

 

 

Please see footnotes on page 7.

Table of Contents

 

Performance highlights (unaudited)   Wells Fargo Small Company Growth Fund     7  
Ten largest holdings (%) as of November 30, 20187  

Eldorado Resorts Incorporated

      1.53  

Copart Incorporated

      1.42  

LiveRamp Holdings Incorporated

      1.39  

PTC Incorporated

      1.36  

SS&C Technologies Holdings Incorporated

      1.33  

Evercore Partners Incorporated Class A

      1.33  

ICON plc ADR

      1.31  

RealPage Incorporated

      1.31  

ASGN Incorporated

      1.31  

Syneos Health Incorporated

      1.28  
Sector distribution as of November 30, 20188
LOGO
 

 

 

 

 

‡ 

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

 

1 

The Fund is a gateway feeder fund that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with a substantially identical investment objective and substantially similar investment strategies. 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 

Please see the Fund’s current Statement of Additional Information for further details.

 

3 

Historical performance shown for Class R6 shares prior to their inception reflects the performance of Institutional Class shares, and includes the higher expenses applicable to Institutional Class shares. If these expenses had not been included, returns for Class R6 shares would be higher.

 

4 

Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.01% in acquired fund fees and expenses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

 

5 

The manager has contractually committed through September 30, 2019, to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’s Total Annual Fund Operating Expenses After Fee Waivers at 1.35% for Class A, 2.10% for Class C, 0.90% for Class R6, 1.20% for Administrator Class, and 0.95% for Institutional Class. After this time, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolio invests, and extraordinary expenses are excluded from the expense cap. Net expenses from the affiliated master portfolio are included in the expense cap. 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 prospectuses.

 

6 

The Russell 2000® Growth Index measures the performance of those Russell 2000 companies with higher price/book ratios and higher forecasted growth values. You cannot invest directly in an index.

 

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 sector distribution of the affiliated master portfolio which 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.

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8   Wells Fargo Small Company Growth Fund   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 June 1, 2018 to November 30, 2018.

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.

 

     Beginning
account value
6-1-2018		      Ending
account value
11-30-2018		      Expenses
paid during
the period1,2		      Annualized net
expense ratio1		  

Class A

            

Actual

    $ 1,000.00      $ 968.23      $ 6.46        1.31 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,018.50      $ 6.63        1.31 % 

Class C

            

Actual

    $ 1,000.00      $ 964.67      $ 10.15        2.06 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,014.74      $ 10.40        2.06 % 

Class R6

            

Actual

    $ 1,000.00      $ 970.32      $ 4.35        0.88 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,020.66      $ 4.46        0.88 % 

Administrator Class

            

Actual

    $ 1,000.00      $ 968.73      $ 5.92        1.20 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,019.05      $ 6.07        1.20 % 

Institutional Class

            

Actual

    $ 1,000.00      $ 970.10      $ 4.69        0.95 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,020.31      $ 4.81        0.95 % 

 

 

 

1

Amounts reflect net expenses allocated from the affiliated Master Portfolio in which the Fund invests.

 

2

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).

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Small Company Growth Fund     9  

      

 

 

Security name                        Value  

Investment Companies: 99.99%

           
Affiliated Master Portfolio: 99.99%           

Wells Fargo Small Company Growth Portfolio

            $ 1,940,297,388  
          

 

 

  

Total Investment Companies (Cost $1,492,235,770)

              1,940,297,388        
          

 

 

  

 

Total investments in securities (Cost $1,492,235,770)     99.99 %         1,940,297,388  

Other assets and liabilities, net

     0.01          107,193  
 

 

 

       

 

 

  
Total net assets     100.00 %       $ 1,940,404,581  
 

 

 

       

 

 

  

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

     Dividends
allocated
from
affiliated
Master
Portfolio		     Affiliated
income
allocated
from
affiliated
Master
Portfolio		     Securities
lending
income
allocated
from
affiliated
Master
Portfolio		    

Value,
end

of period

     % of
net
assets		  

Wells Fargo Small Company Growth Portfolio

     99 %      98 %    $ 129,622,159     $ (185,190,642 )    $ 5,957,460     $ 792,156     $ 376,362     $ 1,940,297,388       99.99 % 

 

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

Table of Contents

 

10   Wells Fargo Small Company Growth Fund   Statement of assets and liabilities—November 30, 2018 (unaudited)
         

Assets

  

Investments in affiliated Master Portfolio, at value (cost $1,492,235,770)

   $ 1,940,297,388  

Receivable for Fund shares sold

     2,277,707  

Prepaid expenses and other assets

     79,193  
 

 

 

  

Total assets

     1,942,654,288  
 

 

 

  

Liabilities

  

Payable for Fund shares redeemed

     1,834,865  

Administration fees payable

     170,385  

Management fee payable

     43,842  

Distribution fee payable

     11,461  

Trustees’ fees and expenses payable

     2,743  

Accrued expenses and other liabilities

     186,411  
 

 

 

  

Total liabilities

     2,249,707  
 

 

 

  

Total net assets

   $ 1,940,404,581  
 

 

 

  

NET ASSETS CONSIST OF

  

Paid-in capital

   $ 1,374,480,400  

Total distributable earnings

     565,924,181  
 

 

 

  

Total net assets

   $ 1,940,404,581  
 

 

 

  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARE

  

Net assets – Class A

   $ 64,897,754  

Shares outstanding – Class A1

     1,182,888  

Net asset value per share – Class A

     $54.86  

Maximum offering price per share – Class A2

     $58.21  

Net assets – Class C

   $ 17,531,269  

Shares outstanding – Class C1

     360,741  

Net asset value per share – Class C

     $48.60  

Net assets – Class R6

   $ 617,247,844  

Shares outstanding – Class R61

     10,546,282  

Net asset value per share – Class R6

     $58.53  

Net assets – Administrator Class

   $ 108,876,120  

Shares outstanding – Administrator Class1

     1,909,640  

Net asset value per share – Administrator Class

     $57.01  

Net assets – Institutional Class

   $ 1,131,851,594  

Shares outstanding – Institutional Class1

     19,381,006  

Net asset value per share – Institutional Class

     $58.40  

 

 

1 

The 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.

Table of Contents

 

Statement of operations—six months ended November 30, 2018 (unaudited)   Wells Fargo Small Company Growth Fund     11  
         

Investment income

  

Dividends allocated from affiliated Master Portfolio (net of foreign withholding taxes of $49,519)

   $ 5,957,460  

Affiliated income allocated from affiliated Master Portfolio

     792,156  

Securities lending income allocated from affiliated Master Portfolio

     376,362  

Expenses allocated from affiliated Master Portfolio

     (8,106,179 ) 
 

 

 

  

Total investment income

     (980,201 ) 
 

 

 

  

Expenses

  

Management fee

     523,269  

Administration fees

  

Class A

     79,143  

Class C

     20,684  

Class R6

     101,235  

Administrator Class

     77,092  

Institutional Class

     782,925  

Shareholder servicing fees

  

Class A

     94,218  

Class C

     24,623  

Administrator Class

     148,254  

Distribution fee

  

Class C

     73,870  

Custody and accounting fees

     28,553  

Professional fees

     15,176  

Registration fees

     87,694  

Shareholder report expenses

     124,022  

Trustees’ fees and expenses

     11,724  

Other fees and expenses

     11,901  
 

 

 

  

Total expenses

     2,204,383  

Less: Fee waivers and/or expense reimbursements

     (207,417 ) 
 

 

 

  

Net expenses

     1,996,966  
 

 

 

  

Net investment loss

     (2,977,167 ) 
 

 

 

  

REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS

  

Net realized gains on securities transactions allocated from affiliated Master Portfolio

     129,622,159  

Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio

     (185,190,642 ) 
 

 

 

  

Net realized and unrealized gains (losses) on investments

     (55,568,483 ) 
 

 

 

  

Net decrease in net assets resulting from operations

   $ (58,545,650 ) 
 

 

 

  

 

 

 

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

Table of Contents

 

12   Wells Fargo Small Company Growth Fund   Statement of changes in net assets
     Six months ended
November 30, 2018
(unaudited)		     Year ended
May 31, 2018¹		  

Operations

      

Net investment loss

     $ (2,977,167 )      $ (6,731,559 ) 

Net realized gains on investments

       129,622,159         118,893,213  

Net change in unrealized gains (losses) on investments

       (185,190,642 )        342,601,168  
 

 

 

  

Net increase (decrease) in net assets resulting from operations

       (58,545,650 )        454,762,822  
 

 

 

  

Capital share transactions

     Shares         Shares    

Proceeds from shares sold

        

Class A

     203,013       11,810,907       418,324       20,519,628  

Class C

     4,503       232,818       16,011       676,399  

Class R6

     1,943,279       121,150,949       3,523,131       188,048,494  

Administrator Class

     287,391       17,332,747       359,239       18,697,115  

Institutional Class

     3,112,756       191,235,820       5,366,558       285,015,561  
 

 

 

  
      341,763,241         512,957,197  
 

 

 

  

Payment for shares redeemed

        

Class A

     (362,517 )      (21,080,175 )      (795,177 )      (39,090,958 ) 

Class C

     (40,306 )      (2,057,557 )      (184,692 )      (8,044,725 ) 

Class R6

     (1,652,011 )      (103,405,519 )      (2,181,955 )      (117,000,267 ) 

Administrator Class

     (322,229 )      (19,382,166 )      (1,253,278 )      (62,203,048 ) 

Institutional Class

     (3,158,280 )      (195,439,195 )      (7,602,523 )      (404,594,261 ) 
 

 

 

  
      (341,364,612 )        (630,933,259 ) 
 

 

 

  

Net increase (decrease) in net assets resulting from capital share transactions

       398,629         (117,976,062 ) 
 

 

 

  

Total increase (decrease) in net assets

       (58,147,021 )        336,786,760  
 

 

 

  

Net assets

      

Beginning of period

       1,998,551,602         1,661,764,842  
 

 

 

  

End of period

     $ 1,940,404,581       $ 1,998,551,602  
 

 

 

  

 

 

 

 

¹

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. Accumulated net investment loss at May 31, 2018 was $3,054,501.

 

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

Table of Contents

 

Financial highlights   Wells Fargo Small Company Growth Fund     13  

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
CLASS A   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $56.66       $44.26       $37.69       $44.23       $39.44       $34.23  

Net investment loss

     (0.19 )1      (0.35 )1      (0.28 )1      (0.22 )1      (0.37 )1      (0.37 )1 

Net realized and unrealized gains (losses) on investments

     (1.61 )      12.75       6.85       (6.05 )      7.08       7.98  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (1.80 )      12.40       6.57       (6.27 )      6.71       7.61  

Distributions to shareholders from

            

Net realized gains

     0.00       0.00       0.00       (0.27 )      (1.92 )      (2.40 ) 

Net asset value, end of period

     $54.86       $56.66       $44.26       $37.69       $44.23       $39.44  

Total return2

     (3.18 )%      28.02 %      17.43 %      (14.20 )%      17.51 %      22.63 % 

Ratios to average net assets (annualized)

            

Gross expenses3

     1.31 %      1.32 %      1.33 %      1.34 %      1.41 %      1.45 % 

Net expenses3

     1.31 %      1.32 %      1.33 %      1.34 %      1.40 %      1.41 % 

Net investment loss3

     (0.64 )%      (0.71 )%      (0.68 )%      (0.57 )%      (0.90 )%      (0.96 )% 

Supplemental data

            

Portfolio turnover rate4

     30 %      37 %      82 %      49 %      58 %      77 % 

Net assets, end of period (000s omitted)

     $64,898       $76,065       $76,087       $128,675       $85,588       $30,364  

 

 

 

 

1 

Calculated based upon average shares outstanding

 

2 

Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.77 % 

Year ended May 31, 2018

     0.78 % 

Year ended May 31, 2017

     0.78 % 

Year ended May 31, 2016

     0.80 % 

Year ended May 31, 2015

     0.81 % 

Year ended May 31, 2014

     0.83 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

14   Wells Fargo Small Company Growth Fund   Financial highlights

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
CLASS C   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $50.38       $39.65       $34.02       $40.25       $36.32       $31.91  

Net investment loss

     (0.36 )1      (0.64 )1      (0.54 )1      (0.46 )1      (0.63 )1      (0.62 )1 

Net realized and unrealized gains (losses) on investments

     (1.42 )      11.37       6.17       (5.50 )      6.48       7.43  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (1.78 )      10.73       5.63       (5.96 )      5.85       6.81  

Distributions to shareholders from

            

Net realized gains

     0.00       0.00       0.00       (0.27 )      (1.92 )      (2.40 ) 

Net asset value, end of period

     $48.60       $50.38       $39.65       $34.02       $40.25       $36.32  

Total return2

     (3.53 )%      27.06 %      16.55 %      (14.84 )%      16.62 %      21.75 % 

Ratios to average net assets (annualized)

            

Gross expenses3

     2.06 %      2.07 %      2.08 %      2.09 %      2.16 %      2.20 % 

Net expenses3

     2.06 %      2.07 %      2.08 %      2.09 %      2.15 %      2.16 % 

Net investment loss3

     (1.38 )%      (1.47 )%      (1.43 )%      (1.32 )%      (1.64 )%      (1.71 )% 

Supplemental data

            

Portfolio turnover rate4

     30 %      37 %      82 %      49 %      58 %      77 % 

Net assets, end of period (000s omitted)

     $17,531       $19,979       $22,410       $26,946       $17,334       $6,546  

 

 

 

 

1 

Calculated based upon average shares outstanding

 

2 

Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.77 % 

Year ended May 31, 2018

     0.78 % 

Year ended May 31, 2017

     0.78 % 

Year ended May 31, 2016

     0.80 % 

Year ended May 31, 2015

     0.81 % 

Year ended May 31, 2014

     0.83 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

Financial highlights   Wells Fargo Small Company Growth Fund     15  

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
CLASS R6   2018     2017     2016     20151  

Net asset value, beginning of period

     $60.31       $46.91       $39.77       $46.45       $42.98  

Net investment loss

     (0.06 )      (0.14 )      (0.11 )      (0.03 )      (0.09 )2 

Net realized and unrealized gains (losses) on investments

     (1.72 )      13.54       7.25       (6.38 )      5.48  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (1.78 )      13.40       7.14       (6.41 )      5.39  

Distributions to shareholders from

          

Net realized gains

     0.00       0.00       0.00       (0.27 )      (1.92 ) 

Net asset value, end of period

     $58.53       $60.31       $46.91       $39.77       $46.45  

Total return3

     (2.97 )%      28.59 %      17.95 %      (13.83 )%      13.00 % 

Ratios to average net assets (annualized)

          

Gross expenses4

     0.88 %      0.89 %      0.90 %      0.91 %      0.91 % 

Net expenses4

     0.88 %      0.89 %      0.90 %      0.90 %      0.90 % 

Net investment loss4

     (0.20 )%      (0.29 )%      (0.25 )%      (0.09 )%      (0.34 )% 

Supplemental data

          

Portfolio turnover rate5

     30 %      37 %      82 %      49 %      58 % 

Net assets, end of period (000s omitted)

     $617,248       $618,523       $418,111       $229,391       $644  

 

 

 

 

1 

For the period from October 31, 2014 (commencement of class operations) to May 31, 2015

 

2 

Calculated based upon average shares outstanding

 

3 

Returns for periods of less than one year are not annualized.

 

4 

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

 

Six months ended November 30, 2018 (unaudited)

     0.77 % 

Year ended May 31, 2018

     0.78 % 

Year ended May 31, 2017

     0.78 % 

Year ended May 31, 2016

     0.80 % 

Year ended May 31, 20151

     0.81 % 

 

5 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

16   Wells Fargo Small Company Growth Fund   Financial highlights

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
ADMINISTRATOR CLASS   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $58.85       $45.91       $39.05       $45.73       $40.64       $35.13  

Net investment loss

     (0.18 )      (0.30 )1      (0.24 )1      (0.19 )1      (0.30 )1      (0.26 )1 

Net realized and unrealized gains (losses) on investments

     (1.66 )      13.24       7.10       (6.22 )      7.31       8.17  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (1.84 )      12.94       6.86       (6.41 )      7.01       7.91  

Distributions to shareholders from

            

Net realized gains

     0.00       0.00       0.00       (0.27 )      (1.92 )      (2.40 ) 

Net asset value, end of period

     $57.01       $58.85       $45.91       $39.05       $45.73       $40.64  

Total return2

     (3.13 )%      28.19 %      17.57 %      (14.04 )%      17.73 %      22.92 % 

Ratios to average net assets (annualized)

            

Gross expenses3

     1.23 %      1.24 %      1.25 %      1.25 %      1.24 %      1.29 % 

Net expenses3

     1.20 %      1.20 %      1.20 %      1.20 %      1.20 %      1.20 % 

Net investment loss3

     (0.52 )%      (0.60 )%      (0.55 )%      (0.46 )%      (0.70 )%      (0.74 )% 

Supplemental data

            

Portfolio turnover rate4

     30 %      37 %      82 %      49 %      58 %      77 % 

Net assets, end of period (000s omitted)

     $108,876       $114,429       $130,311       $130,104       $185,267       $118,456  

 

 

 

 

1 

Calculated based upon average shares outstanding

 

2 

Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.77 % 

Year ended May 31, 2018

     0.78 % 

Year ended May 31, 2017

     0.78 % 

Year ended May 31, 2016

     0.80 % 

Year ended May 31, 2015

     0.81 % 

Year ended May 31, 2014

     0.83 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

Financial highlights   Wells Fargo Small Company Growth Fund     17  

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
INSTITUTIONAL CLASS   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $60.20       $46.85       $39.75       $46.44       $41.14       $35.46  

Net investment loss

     (0.08 )      (0.19 )      (0.15 )      (0.09 )      (0.20 )1      (0.20 )1 

Net realized and unrealized gains (losses) on investments

     (1.72 )      13.54       7.25       (6.33 )      7.42       8.28  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (1.80 )      13.35       7.10       (6.42 )      7.22       8.08  

Distributions to shareholders from

            

Net realized gains

     0.00       0.00       0.00       (0.27 )      (1.92 )      (2.40 ) 

Net asset value, end of period

     $58.40       $60.20       $46.85       $39.75       $46.44       $41.14  

Total return2

     (2.99 )%      28.50 %      17.86 %      (13.85 )%      18.03 %      23.19 % 

Ratios to average net assets (annualized)

            

Gross expenses3

     0.98 %      0.99 %      1.00 %      1.01 %      0.98 %      1.02 % 

Net expenses3

     0.95 %      0.95 %      0.95 %      0.95 %      0.95 %      0.95 % 

Net investment loss3

     (0.27 )%      (0.35 )%      (0.31 )%      (0.18 )%      (0.45 )%      (0.49 )% 

Supplemental data

            

Portfolio turnover rate4

     30 %      37 %      82 %      49 %      58 %      77 % 

Net assets, end of period (000s omitted)

     $1,131,852       $1,169,555       $1,014,847       $678,699       $457,542       $186,581  

 

 

 

 

1 

Calculated based upon average shares outstanding

 

2 

Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.77 % 

Year ended May 31, 2018

     0.78 % 

Year ended May 31, 2017

     0.78 % 

Year ended May 31, 2016

     0.80 % 

Year ended May 31, 2015

     0.81 % 

Year ended May 31, 2014

     0.83 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

18   Wells Fargo Small Company Growth Fund   Notes to financial statements (unaudited)

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 Wells Fargo Small Company Growth Fund (the “Fund”) which is a diversified series of the Trust.

The Fund is a feeder fund in a master-feeder structure that invests substantially all of its assets in a single master portfolio with a substantially identical investment objective and substantially similar investment strategies. The Fund seeks to achieve its investment objective by investing all investable assets in a separate diversified portfolio (the “affiliated Master Portfolio”) of Wells Fargo Master Trust, a registered open-end management investment company. The affiliated Master Portfolio directly acquires portfolio securities and the Fund acquires an indirect interest in those securities. The Fund accounts for its investment in the affiliated Master Portfolio as a partnership investment and records on a daily basis its share of the affiliated Master Portfolio’s income, expense and realized and unrealized gains and losses. The financial statements of the affiliated Master Portfolio for the six months ended November 30, 2018 are included in this report and should be read in conjunction with the Fund’s financial statements. As of November 30, 2018, the Fund owned 98% of Wells Fargo Small Company Growth Portfolio.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the 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 Fund may deviate from this calculation time under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of the affiliated Master Portfolio’s net assets, which are also valued daily. Securities held in the affiliated Master Portfolio are valued as discussed in the Notes to Financial Statements of the affiliated Master Portfolio, which are included elsewhere in this report.

Investment transactions, income and expenses

Investments in the affiliated Master Portfolio are recorded on a trade basis.

The Fund records daily its proportionate share of the affiliated Master Portfolio’s interest and dividend income, expenses and realized and unrealized gains or losses. The 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 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 the Fund’s fiscal year end. Therefore, a portion of the 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

The 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.

The 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 the 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.

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Notes to financial statements (unaudited)   Wells Fargo Small Company Growth Fund     19  

As of November 30, 2018, the aggregate cost of all investments for federal income tax purposes was $1,508,464,441 and the unrealized gains (losses) consisted of:

 

Gross unrealized gains

    $ 431,832,947  

Gross unrealized losses

      0  

Net unrealized gains

    $ 431,832,947  

As of May 31, 2018, the Fund had a qualified late-year ordinary loss of $3,158,480 which was recognized on the first day of the current fiscal year.

Class allocations

The separate classes of shares offered by the 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 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 November 30, 2018, the affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective and the value of the affiliate Master Portfolio was as follows:

 

Affiliated Master Portfolio   Investment objective   Value of
affiliated Master
Portfolio		  

Wells Fargo Small Company Growth Portfolio

   Seeks long-term capital appreciation     $1,940,297,388  

The 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 the 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 the Fund, supervising the subadviser and providing fund-level administrative services in connection with the Fund’s operations. As long as the Fund continues to invest substantially all of its assets in a single affiliated Master Portfolio, the Fund pays Funds Management an investment management fee only for fund-level administrative services at an annual rate starting at 0.05% and declining to 0.03% as the average daily net assets of the Fund increase. For the six months ended November 30, 2018, the management fee was equivalent to an annual rate of 0.05% of the Fund’s average daily net assets.

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

Administration fees

Under a class-level administration agreement, Funds Management provides class-level administrative services to the 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 R6

      0.03  

Administrator Class, Institutional Class

      0.13  

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20   Wells Fargo Small Company Growth Fund   Notes to financial statements (unaudited)

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; otherwise, waivers and/or reimbursements are applied against class specific expenses before fund level expenses. Net expenses from the affiliated Master Portfolio are included in the expense cap. Funds Management has committed through September 30, 2019 to waive fees and/or reimburse expenses to the extent necessary to cap each Fund’s expenses at 1.35% for Class A shares, 2.10% for Class C shares, 0.90% for Class R6 shares, 1.20% for Administrator Class shares, and 0.95% for Institutional Class shares. After this time, 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 the Fund pursuant to Rule 12b-1 under the 1940 Act. A distribution fee is charged to Class C shares and paid to Wells Fargo Funds Distributor, LLC (“Funds Distributor”), the principal underwriter, 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 six months ended November 30, 2018, Funds Distributor received $928 from the sale of Class A shares and $11 in contingent deferred sales charges from redemptions of Class C shares. No contingent deferred sales charges were incurred by Class A shares for the six months ended November 30, 2018.

Shareholder servicing fees

The Trust has entered into contracts with one or more shareholder servicing agents, whereby Class A, Class C, and Administrator Class of the Fund are charged a fee at an annual rate of 0.25% of the average daily net assets of each respective class.

A portion of these total shareholder servicing fees were paid to affiliates of Wells Fargo.

5. INVESTMENT PORTFOLIO TRANSACTIONS

The Fund seeks to achieve its investment objective by investing substantially all of its investable assets in a single affiliated Master Portfolio. Purchases and sales have been calculated by multiplying the Fund’s ownership percentage of the affiliated Master Portfolio by the affiliated Master Portfolio’s purchases and sales. Purchases and sales of investments, excluding U.S. government obligations (if any) and short-term securities, for the six months ended November 30, 2018 were $648,806,803 and $598,073,839, respectively.

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 six months ended November 30, 2018, there were no borrowings by the Fund under the agreement.

7. CONCENTRATION RISK

Concentration risks result from exposure to a limited number of sectors. Through its investment in the affiliated Master Portfolio which may invest a substantial portion of its assets in any sector, the Fund may in turn be more affected by changes in that sector than a fund whose investments are not heavily weighted in any sector.

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 Fund and, therefore, cannot be estimated.

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Notes to financial statements (unaudited)   Wells Fargo Small Company Growth Fund     21  

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 DISTRIBUTIONS

On December 12, 2018, the Fund declared distributions from short-term capital gains and long-term capital gains to shareholders of record on December 11, 2018. The per share amounts payable on December 13, 2018 were as follows:

 

     Short-term
capital gains		        Long-term
capital gains		  

Class A

      $0.96615          $3.13850  

Class C

      0.96615          3.13850  

Class R6

      0.96615          3.13850  

Administrator Class

      0.96615          3.13850  

Institutional Class

      0.96615          3.13850  

These distributions are not reflected in the accompanying financial statements.

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22   Wells Fargo Small Company Growth Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  

Common Stocks: 95.97%

           

Communication Services: 0.78%

           
Entertainment: 0.78%           

Lions Gate Entertainment Class A «

           220,943      $ 4,288,504  

Lions Gate Entertainment Class B

           625,131        11,271,108  
     15,559,612  
          

 

 

  

Consumer Discretionary: 10.24%

           
Auto Components: 0.81%           

Fox Factory Holding Corporation †

           252,595        16,092,827  
          

 

 

  
Diversified Consumer Services: 1.45%           

Houghton Mifflin Harcourt Company †

           1,185,804        11,798,750  

Strategic Education Incorporated

           125,366        17,111,205  
     28,909,955  
          

 

 

  
Hotels, Restaurants & Leisure: 4.66%           

Dave & Buster’s Entertainment Incorporated

           302,658        17,209,134  

Eldorado Resorts Incorporated †

           691,750        30,423,165  

Extended Stay America Incorporated

           1,390,010        25,298,182  

International Game Technology «

           1,138,045        19,585,754  
     92,516,235  
          

 

 

  
Specialty Retail: 2.54%           

At Home Group Incorporated †

           546,990        15,589,215  

Burlington Stores Incorporated †

           120,802        20,024,140  

Monro Muffler Brake Incorporated

           181,704        14,776,169  
     50,389,524  
          

 

 

  
Textiles, Apparel & Luxury Goods: 0.78%           

G-III Apparel Group Limited †

           388,967        15,589,797  
          

 

 

  

Consumer Staples: 2.23%

           
Food & Staples Retailing: 1.26%           

Performance Food Group Company †

           726,749        25,043,771  
          

 

 

  
Household Products: 0.97%           

Central Garden & Pet Company Class A †

           621,308        19,322,679  
          

 

 

  

Energy: 1.96%

           
Oil, Gas & Consumable Fuels: 1.96%           

Berry Petroleum Corporation

           528,221        6,544,658  

Diamondback Energy Incorporated «

           52,888        5,837,777  

GasLog Limited

           676,288        14,039,739  

Parsley Energy Incorporated Class A †

           620,416        12,488,974  
     38,911,148  
          

 

 

  

 

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

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Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Small Company Growth Portfolio     23  

      

 

 

Security name                 Shares      Value  

Financials: 8.26%

           
Banks: 1.40%           

ServisFirst Bancshares Incorporated

           383,691      $ 15,105,915  

Triumph Bancorp Incorporated †

           330,617        12,656,019  
     27,761,934  
          

 

 

  
Capital Markets: 3.77%           

Evercore Partners Incorporated Class A

           319,055        26,341,181  

Focus Financial Partners Class A †

           145,447        4,497,221  

Stifel Financial Corporation

           390,803        18,864,061  

Virtu Financial Incorporated Class A

           519,566        13,077,476  

Virtus Investment Partners Incorporated

           127,020        12,066,900  
     74,846,839  
          

 

 

  
Consumer Finance: 0.75%           

FirstCash Financial Services Incorporated

           165,860        14,769,833  
          

 

 

  
Insurance: 1.23%           

Argo Group International Holdings Limited

           353,036        24,472,456  
          

 

 

  
Thrifts & Mortgage Finance: 1.11%           

Essent Group Limited †

           573,620        22,118,787  
          

 

 

  

Health Care: 25.97%

           
Biotechnology: 6.15%           

ACADIA Pharmaceuticals Incorporated Ǡ

           509,830        9,717,360  

Alnylam Pharmaceuticals Incorporated †

           149,068        12,098,359  

Array BioPharma Incorporated †

           833,745        13,281,558  

CareDx Incorporated †

           421,470        12,336,427  

Emergent BioSolutions Incorporated †

           182,790        13,314,424  

Flexion Therapeutics Incorporated Ǡ

           580,141        9,462,100  

Galapagos NV †

           66,089        6,656,484  

Intercept Pharmaceuticals Incorporated Ǡ

           80,509        8,929,253  

Intrexon Corporation Ǡ

           479,975        4,703,755  

Ionis Pharmaceuticals Incorporated †

           200,971        11,714,600  

Natera Incorporated †

           399,827        6,925,004  

Portola Pharmaceuticals Incorporated Ǡ

           340,606        7,442,241  

Sangamo Biosciences Incorporated Ǡ

           456,301        5,644,443  
     122,226,008  
          

 

 

  
Health Care Equipment & Supplies: 9.41%           

Atricure Incorporated †

           500,465        16,760,573  

Axogen Incorporated †

           281,727        9,432,220  

Cerus Corporation †

           1,467,085        7,702,196  

DexCom Incorporated †

           170,041        22,035,613  

Glaukos Corporation †

           202,464        13,338,328  

Inogen Incorporated †

           121,572        17,914,850  

Merit Medical Systems Incorporated †

           305,452        19,258,749  

Novocure Limited †

           378,607        12,993,792  

Nuvectra Corporation †

           497,704        9,939,149  

 

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

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24   Wells Fargo Small Company Growth Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  
Health Care Equipment & Supplies (continued)           

OraSure Technologies Incorporated †

           800,567      $ 10,167,201  

SI-BONE Incorporated †

           257,699        4,628,274  

Tactile Systems Technology Class I †

           404,047        22,723,603  

Wright Medical Group NV Ǡ

           718,547        20,090,574  
     186,985,122  
          

 

 

  
Health Care Providers & Services: 2.62%           

AMN Healthcare Services Incorporated †

           297,397        18,944,189  

HealthEquity Incorporated †

           210,851        18,700,375  

PetIQ Incorporated Ǡ

           463,699        14,467,409  
     52,111,973  
          

 

 

  
Health Care Technology: 4.82%           

Allscripts Healthcare Solutions Incorporated †

           932,344        9,519,232  

athenahealth Incorporated †

           97,523        12,980,311  

Evolent Health Incorporated Class A «†

           641,487        16,486,216  

Medidata Solutions Incorporated †

           229,240        17,699,620  

Tabula Rasa Healthcare Incorporated †

           179,975        13,584,513  

Teladoc Incorporated Ǡ

           246,318        15,382,559  

Vocera Communications Incorporated †

           253,145        10,059,982  
     95,712,433  
          

 

 

  
Life Sciences Tools & Services: 2.60%           

ICON plc ADR †

           180,191        26,077,242  

Syneos Health Incorporated †

           492,660        25,480,375  
     51,557,617  
          

 

 

  
Pharmaceuticals: 0.37%           

Pacira Pharmaceuticals Incorporated †

           150,978        7,296,767  
          

 

 

  

Industrials: 18.86%

           
Aerospace & Defense: 1.29%           

AAR Corporation

           260,688        11,389,459  

Kratos Defense & Security Solutions Incorporated †

           1,064,071        14,152,144  
     25,541,603  
          

 

 

  
Air Freight & Logistics: 0.63%           

Hub Group Incorporated Class A †

           282,319        12,546,256  
          

 

 

  
Building Products: 2.93%           

A.O. Smith Corporation

           428,901        20,321,329  

JELD-WEN Holding Incorporated †

           435,177        8,294,474  

Masonite International Corporation †

           197,029        10,574,546  

NCI Building Systems Incorporated †

           495,287        5,621,507  

PGT Incorporated †

           696,997        13,431,132  
     58,242,988  
          

 

 

  

 

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

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Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Small Company Growth Portfolio     25  

      

 

 

Security name                 Shares      Value  
Commercial Services & Supplies: 2.43%           

Copart Incorporated †

           550,542      $ 28,176,740  

KAR Auction Services Incorporated

           352,923        20,166,020  
     48,342,760  
          

 

 

  
Construction & Engineering: 1.56%           

Dycom Industries Incorporated †

           132,817        8,800,454  

Granite Construction Incorporated

           438,270        22,189,610  
     30,990,064  
          

 

 

  
Electrical Equipment: 0.78%           

GrafTech International Limited

           981,817        15,522,527  
          

 

 

  
Machinery: 4.71%           

AGCO Corporation

           275,107        16,418,386  

Circor International Incorporated

           426,144        14,105,366  

Gardner Denver Holdings Incorporated †

           778,945        19,278,889  

Gates Industrial Corporation plc †

           909,134        13,391,544  

SPX Corporation †

           640,610        18,949,244  

Wabash National Corporation

           736,405        11,443,734  
     93,587,163  
          

 

 

  
Professional Services: 1.86%           

ASGN Incorporated †

           375,130        25,977,753  

ICF International Incorporated

           155,000        10,854,650  
     36,832,403  
          

 

 

  
Road & Rail: 2.67%           

Genesee & Wyoming Incorporated Class A †

           265,911        22,145,068  

Knight-Swift Transportation Holdings Incorporated «

           390,442        13,532,720  

Schneider National Incorporated Class B

           776,605        17,341,590  
     53,019,378  
          

 

 

  

Information Technology: 23.30%

           
Communications Equipment: 1.90%           

Ciena Corporation †

           595,130        19,413,141  

Lumentum Holdings Incorporated †

           411,808        18,313,102  
     37,726,243  
          

 

 

  
Electronic Equipment, Instruments & Components: 0.70%           

Tech Data Corporation †

           155,175        13,957,991  
          

 

 

  
IT Services: 1.39%           

LiveRamp Holdings incorporated †

           582,466        27,550,642  
          

 

 

  
Semiconductors & Semiconductor Equipment: 4.25%           

Axcelis Technologies Incorporated †

           622,577        12,401,734  

Cypress Semiconductor Corporation

           1,604,817        22,306,956  

FormFactor Incorporated †

           849,007        14,000,125  

 

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

Table of Contents

 

26   Wells Fargo Small Company Growth Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  
Semiconductors & Semiconductor Equipment (continued)           

Nanometrics Incorporated †

           230,720      $ 7,410,726  

Silicon Motion Technology Corporation ADR

           287,295        10,305,272  

Teradyne Incorporated

           507,440        18,110,534  
     84,535,347  
          

 

 

  
Software: 15.06%           

2U Incorporated †

           273,473        15,968,088  

Benefitfocus Incorporated Ǡ

           284,255        14,241,176  

Box Incorporated Class A †

           949,878        17,848,208  

Cadence Design Systems Incorporated †

           513,817        23,142,318  

Cloudera Incorporated Ǡ

           541,404        6,680,925  

Cornerstone OnDemand Incorporated †

           401,905        21,952,051  

CyberArk Software Limited †

           244,869        18,154,588  

Hortonworks Incorporated †

           515,977        8,307,230  

Mimecast Limited †

           336,245        12,518,401  

New Relic Incorporated †

           166,057        14,478,510  

Nuance Communications Incorporated †

           1,050,477        16,797,127  

PTC Incorporated †

           311,553        26,946,219  

RealPage Incorporated †

           504,512        26,022,729  

SS&C Technologies Holdings Incorporated

           548,287        26,400,019  

Talend SA ADR †

           166,575        5,786,816  

The Ultimate Software Group Incorporated †

           58,642        15,476,797  

Zendesk Incorporated †

           317,025        18,840,796  

Zuora Incorporated †

 

      503,332        9,578,408  
     299,140,406  
          

 

 

  

Materials: 3.55%

           
Chemicals: 1.64%           

Orion Engineered Carbons SA

 

      587,687        15,350,384  

Platform Specialty Products Corporation †

 

      1,457,436        17,154,022  
     32,504,406  
          

 

 

  
Construction Materials: 0.57%           

US Concrete Incorporated Ǡ

 

      289,129        11,371,444  
          

 

 

  
Metals & Mining: 0.68%           

Steel Dynamics Incorporated

 

      382,553        13,465,866  
          

 

 

  
Paper & Forest Products: 0.66%           

Boise Cascade Company

 

      493,778        13,124,619  
          

 

 

  

Real Estate: 0.82%

           
Equity REITs: 0.82%           

QTS Realty Trust Incorporated Class A

 

      402,225        16,326,313  
          

 

 

  

Total Common Stocks (Cost $1,415,576,158)

 

      1,906,523,736  
          

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Small Company Growth Portfolio     27  

      

 

 

Security name         Expiration date      Shares      Value  

Rights: 0.00%

          

Consumer Discretionary: 0.00%

          
Media: 0.00%          

Media General Incorporated †(a)

       12-31-2018        347,897      $ 0  
         

 

 

  

Total Rights (Cost $0)

 

      0  
         

 

 

  
    Yield        
Short-Term Investments: 9.12%          
Investment Companies: 9.12%          

Securities Lending Cash Investments LLC (l)(r)(u)

     2.38 %         103,665,092        103,675,459  

Wells Fargo Government Money Market Fund Select Class (l)(u)

     2.13          77,472,520        77,472,520  

Total Short-Term Investments (Cost $181,139,512)

 

      181,147,979        
         

 

 

  

 

Total investments in securities (Cost $1,596,715,670)     105.09 %         2,087,671,715  

Other assets and liabilities, net

     (5.09 )         (101,115,828 ) 
 

 

 

       

 

 

  
Total net assets     100.00 %       $ 1,986,555,887  
 

 

 

       

 

 

  

 

 

«

All or a portion of this security is on loan.

 

†

Non-income-earning security

 

(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.

 

(r)

The investment is a non-registered investment company purchased with cash collateral received from securities on loan.

 

(u)

The rate represents the 7-day annualized yield at period end.

Abbreviations:

 

ADR

American depositary receipt

 

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

                  

Securities Lending Cash Investments LLC

     217,573,353       363,958,132       477,866,393       103,665,092     $ 3,725     $ (4,399 )    $ 384,087     $ 103,675,459    

Wells Fargo Government Money Market Fund Select Class

     48,273,067       451,113,402       421,913,949       77,472,520       0       0       809,041       77,472,520    
         

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
          $ 3,725     $ (4,399 )    $ 1,193,128     $ 181,147,979       9.12 % 
         

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

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

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28   Wells Fargo Small Company Growth Portfolio   Statement of assets and liabilities—November 30, 2018 (unaudited)
         

Assets

  

Investments in unaffiliated securities (including $101,132,649 of securities loaned), at value (cost $1,415,576,158)

   $ 1,906,523,736  

Investments in affiliated securities, at value (cost $181,139,512)

     181,147,979  

Receivable for investments sold

     11,888,851  

Receivable for dividends

     986,814  

Receivable for securities lending income

     32,421  

Prepaid expenses and other assets

     14,232  
 

 

 

  

Total assets

     2,100,594,033  
 

 

 

  

Liabilities

  

Payable upon receipt of securities loaned

     103,658,299  

Payable for investments purchased

     8,986,856  

Advisory fee payable

     1,317,939  

Accrued expenses and other liabilities

     75,052  
 

 

 

  

Total liabilities

     114,038,146  
 

 

 

  

Total net assets

   $ 1,986,555,887  
 

 

 

  

 

 

 

 

 

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

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Statement of operations—six months ended November 30, 2018 (unaudited)   Wells Fargo Small Company Growth Portfolio     29  
         

Investment income

  

Dividends (net of foreign dividend withholding taxes of $50,627)

   $ 6,087,195  

Income from affiliated securities

     809,041  

Securities lending income from affiliates, net

     384,087  
 

 

 

  

Total investment income

     7,280,323  
 

 

 

  

Expenses

  

Advisory fee

     8,181,488  

Custody and accounting fees

     43,093  

Professional fees

     24,562  

Shareholder report expenses

     1,003  

Trustees’ fees and expenses

     11,037  

Other fees and expenses

     12,652  
 

 

 

  

Net expenses

     8,273,835  
 

 

 

  

Net investment loss

     (993,512 ) 
 

 

 

  

REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS

  

Net realized gains on:

  

Unaffiliated securities

     132,393,856  

Affiliated securities

     3,725  
 

 

 

  

Net realized gains on investments

     132,397,581  
 

 

 

  

Net change in unrealized gains (losses) on:

  

Unaffiliated securities

     (190,112,536 ) 

Affiliated securities

     (4,399 ) 
 

 

 

  

Net change in unrealized gains (losses) on investments

     (190,116,935 ) 
 

 

 

  

Net realized and unrealized gains (losses) on investments

     (57,719,354 ) 
 

 

 

  

Net decrease in net assets resulting from operations

   $ (58,712,866 ) 
 

 

 

  

 

 

 

 

 

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

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30   Wells Fargo Small Company Growth Portfolio   Statement of changes in net assets
     Six months ended
November 30, 2018
(unaudited)		        Year ended
May 31, 2018		  

Operations

       

Net investment loss

   $ (993,512 )       $ (3,185,500 ) 

Net realized gains on investments

     132,397,581          120,175,795  

Net change in unrealized gains (losses) on investments

     (190,116,935 )         344,244,383  
 

 

 

  

Net increase (decrease) in net assets resulting from operations

     (58,712,866 )         461,234,678  
 

 

 

  

Capital transactions

  

Transactions in investors’ beneficial interests

       

Contributions

     147,344,346          105,533,154  

Withdrawals

     (110,569,303 )         (231,798,568 ) 
 

 

 

  

Net increase (decrease) in net assets resulting from capital transactions

     36,775,043          (126,265,414 ) 
 

 

 

  

Total increase (decrease) in net assets

     (21,937,823 )         334,969,264  
 

 

 

  

Net assets

  

Beginning of period

     2,008,493,710          1,673,524,446  
 

 

 

  

End of period

   $ 1,986,555,887        $ 2,008,493,710  
 

 

 

  

 

 

 

 

 

 

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

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Financial highlights   Wells Fargo Small Company Growth Portfolio     31  
    Six months ended
November 30, 2018
(unaudited)		     Year ended May 31  
     2018     2017     2016     2015     2014  

Total return¹

     (2.93 )%      28.74 %      18.15 %      (13.86 )%      18.07 %      23.47 % 

Ratios to average net assets (annualized)

            

Gross expenses

     0.78 %      0.78 %      0.79 %      0.80 %      0.82 %      0.83 % 

Net expenses

     0.78 %      0.78 %      0.79 %      0.80 %      0.82 %      0.83 % 

Net investment loss

     (0.09 )%      (0.18 )%      (0.14 )%      (0.03 )%      (0.32 )%      (0.37 )% 

Supplemental data

            

Portfolio turnover rate

     30 %      37 %      82 %      49 %      58 %      77 % 

 

 

 

 

 

¹

Returns for periods of less than one year are not annualized.

 

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

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32   Wells Fargo Small Company Growth Portfolio   Notes to financial statements (unaudited)

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 Wells Fargo Small Company Growth Portfolio (the “Portfolio”) which is a diversified series of the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the 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 Portfolio may deviate from this calculation time under unusual or unexpected circumstances.

Equity securities that are listed on a foreign or domestic exchange or market are valued at the official closing price or, if none, the last sales price. If no sale occurs on the principal exchange or market that day, a fair value price will be determined in accordance with the Portfolio’s Valuation Procedures.

Investments in registered open-end investment companies are valued at net asset value. Interests in non-registered investment companies that are redeemable at net asset value are fair valued normally at net asset value.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Portfolio. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC (“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.

Securities lending

The Portfolio may lend its securities from time to time in order to earn additional income in the form of fees or interest on securities received as collateral or the investment of any cash received as collateral. The Portfolio continues to receive interest or dividends on the securities loaned. The Portfolio receives collateral in the form of cash or securities with a value at least equal to the value of the securities on loan. The value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Portfolio on the next business day. In a securities lending transaction, the net asset value of the Portfolio will be affected by an increase or decrease in the value of the securities loaned and by an increase or decrease in the value of the instrument in which collateral is invested. The amount of securities lending activity undertaken by the Portfolio fluctuates from time to time. In the event of default or bankruptcy by the borrower, the Portfolio may be prevented from recovering the loaned securities or gaining access to the collateral or may experience delays or costs in doing so. In addition, the investment of any cash collateral received may lose all or part of its value. The Portfolio has the right under the lending agreement to recover the securities from the borrower on demand.

The Portfolio lends its securities through an unaffiliated securities lending agent. Cash collateral received in connection with its securities lending transactions is invested in Securities Lending Cash Investments, LLC (the “Securities Lending Fund”). The Securities Lending Fund is exempt from registration under Section 3(c)(7) of the 1940 Act and is managed by Funds Management and is subadvised by Wells Capital Management Incorporated (“WellsCap”), an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”). Funds Management receives an advisory fee starting at 0.05% and declining to 0.01% as the average daily net assets of the Securities Lending Fund increase. All of the fees received by Funds Management are paid to WellsCap for its services as subadviser. The

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Notes to financial statements (unaudited)   Wells Fargo Small Company Growth Portfolio     33  

Securities Lending Fund seeks to provide a positive return compared to the daily Fed Funds Open Rate by investing in high-quality, U.S. dollar-denominated short-term money market instruments. Securities Lending Fund investments are valued at the evaluated bid price provided by an independent pricing service. Income earned from investment in the Securities Lending Fund is included in securities lending income from affiliates (net of fees and rebates) on the Statement 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.

Dividend income is recognized on the ex-dividend date. Dividend income is recorded net of foreign taxes withheld where recovery of such taxes is not assured.

Federal and other taxes

The Portfolio is treated as a separate entity for federal income tax purposes. The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains 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.

The Portfolio’s income tax returns and all financial records supporting those returns for the prior three fiscal years are subject to examination by the federal revenue authority. Management has analyzed the 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 November 30, 2018, the aggregate cost of all investments for federal income tax purposes was $1,615,904,005 and the unrealized gains (losses) consisted of:

 

Gross unrealized gains

    $ 570,893,431  

Gross unrealized losses

      (99,125,721 ) 

Net unrealized gains

    $ 471,767,710  

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 the Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

 

∎  

Level 1 – quoted prices in active markets for identical securities

 

∎  

Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

 

∎  

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

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34   Wells Fargo Small Company Growth Portfolio   Notes to financial statements (unaudited)

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of November 30, 2018:

 

     Quoted prices
(Level 1)		      Other significant
observable inputs
(Level 2)		     

Significant
unobservable inputs

(Level 3)

      Total  

Assets

            

Investments in:

            

Common stocks

            

Communication services

    $ 15,559,612      $ 0      $ 0      $ 15,559,612  

Consumer discretionary

      203,498,338        0        0        203,498,338  

Consumer staples

      44,366,450        0        0        44,366,450  

Energy

      38,911,148        0        0        38,911,148  

Financials

      163,969,849        0        0        163,969,849  

Health care

      515,889,920        0        0        515,889,920  

Industrials

      374,625,142        0        0        374,625,142  

Information technology

      462,910,629        0        0        462,910,629  

Materials

      70,466,335        0        0        70,466,335  

Real estate

      16,326,313        0        0        16,326,313  

Rights

            

Consumer discretionary

      0        0        0        0  

Short-term investments

            

Investment companies

      77,472,520        103,675,459        0        181,147,979  

Total assets

    $ 1,983,996,256      $ 103,675,459      $ 0      $ 2,087,671,715  

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

At November 30, 2018, the Portfolio did not have any transfers into/out of Level 3.

4. TRANSACTIONS WITH AFFILIATES AND OTHER EXPENSES

Advisory fee

The Trust has entered into an advisory contract with Funds Management, an indirect wholly owned subsidiary of Wells Fargo. The adviser is responsible for implementing investment policies and guidelines and for supervising the subadviser, who is responsible for day-to-day portfolio management of the Portfolio. Pursuant to the contract, Funds Management is entitled to receive an annual advisory fee starting at 0.80% and declining to 0.68% as the average daily net assets of the Portfolio increase. For the six months ended November 30, 2018, the advisory fee was equivalent to an annual rate of 0.77% of the Portfolio’s average daily net assets.

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Portfolio. The fee for subadvisory services is borne by Funds Management. Peregrine Capital Management, LLC, which is not an affiliate of Funds Management, is the subadviser to the Portfolio and is entitled to receive a fee from Funds Management at an annual rate starting at 0.50% and declining to 0.45% as the average daily net assets of the of Portfolio increase.

Interfund transactions

The Portfolio 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.

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments, excluding U.S. government obligations (if any) and short-term securities, for the six months ended November 30, 2018 were $664,274,962 and $612,332,477, respectively.

6. BANK BORROWINGS

Effective August 28, 2018, 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 the Portfolio is permitted to use bank borrowings for temporary or emergency purposes, such as to fund shareholder redemption requests. Interest under

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Notes to financial statements (unaudited)   Wells Fargo Small Company Growth Portfolio     35  

the credit agreement is charged to the 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.

For the six months ended November 30, 2018, there were no borrowings by the Portfolio under the agreement.

7. CONCENTRATION RISK

Concentration risks result from exposure to a limited number of sectors. A portfolio that invest a substantial portion of their assets in a sector may be more affected by changes in that sector than would be a portfolio whose investments are not heavily weighted in any sector.

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 Portfolio 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.

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36   Wells Fargo Small Company Growth Fund   Other information (unaudited)

PROXY VOTING INFORMATION

A description of the policies and procedures used to determine how to vote proxies relating to portfolio securities is available, upon request, by calling 1-800-222-8222, visiting our website at wellsfargofunds.com, or visiting the SEC website at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Fund’s website at wellsfargofunds.com or by visiting the SEC website at sec.gov.

PORTFOLIO HOLDINGS INFORMATION

The complete portfolio holdings are publicly available on the website (wellsfargofunds.com) on a one-month delayed basis. In addition, top ten holdings information (excluding derivative positions) is publicly available on the website on a monthly, seven-day or more delayed basis. The Fund and the Portfolio each file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. In addition, each Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and at regional offices in New York City, at 233 Broadway, and in Chicago, at 175 West Jackson Boulevard, Suite 900. Information about the Public Reference Room may be obtained by calling 1-800-SEC-0330.

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Other information (unaudited)   Wells Fargo Small Company Growth Fund     37  

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 152 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. Board member of the Vincent Memorial Hospital Endowment (non-profit organization), where he serves on the Investment Committee and as a Chair of the Audit Committee. 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.3

(Born 1952)

   Trustee, since 2009   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. Johnson3

(Born 1949)

   Trustee, since 2008; Audit Committee Chairman, since 2009   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

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

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38   Wells Fargo Small Company Growth Fund   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

Olivia S. Mitchell

(Born 1953)

   Trustee, since 2006; Nominating and Governance Committee Chairman, 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; Vice Chairman, from 2017 to 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; Advisory Board Member, from 2017 to 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

Michael S. Scofield4

(Born 1943)

   Trustee, since 2010   Served on the Investment Company Institute’s Board of Governors and Executive Committee from 2008-2011 as well the Governing Council of the Independent Directors Council from 2006-2011 and the Independent Directors Council Executive Committee from 2008-2011. Trustee of the Evergreen Fund complex (and its predecessors) from 1984 to 2010. Chairman of the Evergreen Funds from 2000-2010. Former Trustee of the Mentor Funds. Retired Attorney, Law Offices of Michael S. Scofield.   N/A

Pamela Wheelock

(Born 1959)

   Trustee, since 2018; Advisory Board Member, from 2017 to 2018   Chief Operating Officer, Twin Cities Habitat for Humanity, since January, 2017. Vice President of University Services, University of Minnesota from 2012 to 2017. 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 President and Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2010 to 2011, Chairman of the Board from 2009 to 2011 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. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently the 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)   Wells Fargo Small Company Growth Fund     39  

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.    

Nancy Wiser1

(Born 1967)

   Treasurer, since 2012   Executive Vice President of Wells Fargo Funds Management, LLC since 2011. Chief Operating Officer and Chief Compliance Officer at LightBox Capital Management LLC, from 2008 to 2011.    

Alexander Kymn

(Born 1973)

   Secretary, since 2018; Chief Legal Officer, since 2018   Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.    

Michael H. Whitaker

(Born 1967)

   Chief Compliance Officer, since 2016   Senior Vice President and Chief Compliance Officer 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.    

Jeremy DePalma1

(Born 1974)

   Assistant Treasurer, since 2009   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.    

 

 

 

1

Nancy Wiser acts as Treasurer of 76 funds in the Fund Complex. Jeremy DePalma acts as Treasurer of 76 funds and Assistant Treasurer of 76 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 wellsfargofunds.com.

 

3 

Mr. Harris will replace Ms. Johnson as the Chairman of the Audit Committee effective January 1, 2019.

 

4 

Mr. Scofield is expected to retire on December 31, 2018.

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40   Wells Fargo Small Company Growth Fund   Appendix A (unaudited)

SALES CHARGE REDUCTIONS AND WAIVERS FOR CERTAIN INTERMEDIARIES

Raymond James & Associates, Inc., Raymond James Financial Services & Raymond James affiliates (“Raymond James”)

Effective on or about March 1, 2019, shareholders purchasing Fund shares through a Raymond James platform or account will be eligible only for the following load waivers (front-end sales charge waivers and contingent deferred, 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 Load Waivers on Class A shares Available at Raymond James

 

  •  

Shares purchased in an investment advisory program.

 

  •  

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).

 

  •  

Employees and registered representatives of Raymond James or its affiliates and their family members as designated by Raymond James.

 

  •  

Shares purchased from the proceeds of redemptions within the same fund family, provided (1) the repurchase occurs within 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 (known as Rights of Reinstatement).

 

  •  

A shareholder in the fund’s Class C shares will have their shares automatically exchanged at net asset value to Class A shares (or the appropriate share class) of the fund if the shares are no longer subject to a CDSC and the exchange is in line with the policies and procedures of Raymond James.

CDSC Waivers on Class A and C Shares Available at Raymond James

 

  •  

Death or disability of the shareholder.

 

  •  

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

 

  •  

Return of excess contributions from an IRA Account.

 

  •  

Shares sold as part of a required minimum distribution for IRA and retirement accounts due to the shareholder reaching age 70½ as described in the Fund’s prospectus.

 

  •  

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

 

  •  

Shares acquired through a right of reinstatement.

Front-end Load Discounts Available at Raymond James: Breakpoints, and/or Rights of Accumulation

 

  •  

Breakpoints as described in the Fund’s Prospectus.

 

  •  

Rights of accumulation 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 Raymond James. Eligible fund family assets not held at Raymond James may be included in the rights of accumulation calculation only if the shareholder notifies his or her financial advisor about such assets.

Table of Contents

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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 Fund’s website, or call:

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: wellsfargofunds.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 the Fund. 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 Fund’s website at wellsfargofunds.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

© 2019 Wells Fargo Funds Management, LLC. All rights reserved.

 

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318979 01-19

SA285/SAR285 11-18

 

Table of Contents

Semi-Annual Report

November 30, 2018

 

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Small Company Value Fund

 

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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.

 

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Table of Contents

Reduce clutter. Save trees.

Sign up for electronic delivery of prospectuses and shareholder reports at wellsfargo.com/advantagedelivery

Contents

 

 

Letter to shareholders

     2  

Performance highlights

     6  

Fund expenses

     8  
Wells Fargo Small Company Value Fund  
Portfolio of investments     9  
Financial statements  

Statement of assets and liabilities

     10  

Statement of operations

     11  

Statement of changes in net assets

     12  

Financial highlights

     13  
Notes to financial statements     18  
Wells Fargo Small Company Value Portfolio  
Portfolio of investments     22  
Financial statements  

Statement of assets and liabilities

     29  

Statement of operations

     30  

Statement of changes in net assets

     31  

Financial highlights

     32  
Notes to financial statements     33  

Other information

     37  

Appendix A

     41  

 

The views expressed and any forward-looking statements are as of November 30, 2018, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Funds Management, LLC. 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 Funds Management, LLC 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


Table of Contents

 

2   Wells Fargo Small Company Value Fund   Letter to shareholders (unaudited)

 

LOGO

Andrew Owen

President

Wells Fargo Funds

 

 

Global trade tensions escalated during the third quarter of 2018.

 

 

Dear Shareholder:

We are pleased to offer you this semi-annual report for the Wells Fargo Small Company Value Fund for the six-month period that ended November 30, 2018. During the reporting period, the U.S. generated encouraging economic and business data that was offset by less positive and more inconsistent data from international markets. Investment returns were restrained in comparison with recent periods as geopolitical tensions and uncertainty tended to distract investors from more favorable underlying trends.

For the period, U.S. stocks, as measured by the S&P 500 Index,1 gained 3.02% and international stocks, as measured by the MSCI ACWI ex USA Index (Net),2 declined 8.37%. Based on the MSCI EM Index (Net),3 emerging market stocks lost 9.89%. For bond investors, the Bloomberg Barclays U.S. Aggregate Bond Index4 declined 0.30% while the Bloomberg Barclays Global Aggregate ex-USD Index5 fell 3.67%. The Bloomberg Barclays Municipal Bond Index6 gained 0.42%. The ICE BofAML U.S. High Yield Index7 was up 0.19%.

Global trade tensions prompted investor concerns.

Global trade tensions escalated during the third quarter of 2018. The U.S. government’s decision during the second quarter to impose tariffs on a wide range of products manufactured overseas drew retaliatory responses from foreign governments, which punished U.S. commodity producers and product manufacturers. Investors were left to wonder about next steps in what appeared to be an escalating divergence in global economic policies and growth prospects.

Inflation trended higher. The CPI-U8 added 0.1% in September after an increase of 0.2% in both July and August. On a year-over-year basis, the all-items index rose 2.3% for the 12 months that ended September 30, 2018, after a seasonal adjustment. The rate of increase was slower than that recorded during the first half of 2018. The index for all items less food and energy rose 2.2% for the same 12-month period.

 

 

 

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 U.S. and Canada. 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 large- and mid-cap equity market performance of emerging markets. The MSCI EM Index (Net) consists of the following 24 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, the Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey, and the United Arab Emirates. 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 BofAML 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 2018. ICE Data Indices, LLC. All rights reserved.

 

8 

The Consumer Price Index for All Urban Consumers (CPI-U) measures the changes in the price of a basket of goods and services purchased by urban consumers. The urban consumer population is deemed by many as a better representative measure of the general public because close to 90% of the country’s population lives in highly populated areas. You cannot invest directly in an index.

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Letter to shareholders (unaudited)   Wells Fargo Small Company Value Fund     3  

U.S. stocks gained following positive economic data while international stocks and bonds declined.

During the summer months, the U.S. economy strengthened. Revised second-quarter gross domestic product (GDP) data released in August showed the U.S. economy growing at a 4.2% rate. The unemployment rate in the U.S. was 3.7% by the end of September, according to the U.S. Department of Labor. Wages showed more consistent growth, and consumer confidence remained strong. Several U.S. equity market indices reached records during August, with the S&P 500 Index gaining 7.20% for the three-month period that ended September 30, 2018. In contrast, the MSCI ACWI ex USA Index (Net) gained 0.71% while the MSCI EM Index (Net) declined 1.09% during the same three-month period.

In June, the Federal Reserve increased the target range for the federal funds rate to range from 1.75% to 2.00%. It raised the range again in September to range from 2.00% to 2.25%. Long-term interest rates in the U.S. remained at higher levels relative to the prior 10 years. Rates on 10-year and 30-year Treasury bonds—2.46% and 2.81%, respectively, on January 1, 2018—were 3.01% and 3.30%, respectively, on November 30, 2018. Investor concerns about an inverted yield curve reemerged, only to be replaced by concerns about the potentially negative influence of higher interest rates on economic activity.

November saw improvement in many equity markets.

As interest rates and bond yields gained during October, stock markets struggled. For the month, the S&P 500 Index fell 6.84%, the MSCI ACWI ex USA Index (Net) dropped 8.13%, and the MSCI EM Index (Net) lost 8.71%. The Bureau of Economic Analysis released its first estimate of third-quarter GDP, which, at an annualized 3.5% rate, indicated growth may be slowing compared with the second quarter. Readings on consumer sentiment and business spending were mixed. Markets rebounded somewhat in November as the S&P 500 Index gained 2.04%, the MSCI ACWI ex USA Index (Net) added 0.95%, and the MSCI EM Index (Net) was up 4.12% as the uncertainty leading up to midterm elections in the U.S. was resolved and progress seemed to be possible on several international trade issues.

Economic signals overseas were mixed as the third quarter ended and the fourth quarter began. In early August, the Bank of England’s Monetary Policy Committee increased its key interest rate to 0.75%. The European Central Bank and the Bank of Japan maintained low interest rates and accommodative monetary policies. Amid rising trade uncertainty, the People’s Bank of China cut reserve requirement ratios and accelerated infrastructure spending and tax cuts for business enterprises and individuals. Nevertheless, a strengthening U.S. dollar and the trade tensions remained headwinds for investors overseas.

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.

 

 

 

Economic signals overseas were mixed as the third quarter ended and the fourth quarter began.

 

 

 

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4   Wells Fargo Small Company Value Fund   Letter to shareholders (unaudited)

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,

 

LOGO

Andrew Owen

President

Wells Fargo Funds

 

    

 

 

 

Notice to shareholders

At a meeting held on August 14-15, 2018, the Board of Trustees of the Fund approved the following policy which will be effective on or about February 5, 2019:

Class C shares will convert automatically into Class A shares ten years after the initial date of purchase or, if you acquired your Class C shares through an exchange or conversion from another share class, ten years after the date you acquired your Class C shares. When Class C shares that you acquired through a purchase or exchange convert, any other Class C shares that you purchased with reinvested dividends and distributions also will convert into Class A shares on a pro rata basis. A shorter holding period may also apply depending on your intermediary. Please see “Appendix A—Sales Charge Reductions and Waivers for Certain Intermediaries” in the Fund’s prospectus or at the end of this report.

 

 

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

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6   Wells Fargo Small Company Value Fund1   Performance highlights (unaudited)

Investment objective

The Fund seeks long-term capital appreciation.

Manager

Wells Fargo Funds Management, LLC

Subadviser for the affiliated master portfolio

Wells Capital Management Incorporated

Portfolio managers

Jeff Goverman

Garth R. Nisbet, CFA®‡

Craig Pieringer, CFA®‡

Average annual total returns (%) as of November 30, 20182

 

        Including sales charge     Excluding sales charge     Expense ratios3 (%)  
    Inception date   1 year     5 year     10 year     1 year     5 year     10 year     Gross     Net4  
Class A (SCVAX)   1-31-2002     (8.24 )      4.92       14.32       (2.64 )      6.17       15.00       1.46       1.15  
Class C (SCVFX)   8-30-2002     (4.39 )      5.37       14.15       (3.39 )      5.37       14.15       2.21       1.90  
Class R6 (SCVJX)   10-31-2016     –       –       –       (2.24 )      6.50       15.35       1.03       0.75  
Administrator Class (SCVIX)   1-31-2002     –       –       –       (2.53 )      6.34       15.25       1.38       1.05  
Institutional Class (SCVNX)   7-30-2010     –       –       –       (2.29 )      6.55       15.44       1.13       0.85  
Russell 2000® Value Index5   –     –       –       –       (1.83 )      6.71       12.50       –       –  

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on fund distributions or the redemption of fund shares. 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, which assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wellsfargofunds.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 R6, Administrator Class, and Institutional Class shares are sold without a front-end sales charge or contingent deferred sales charge.

Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. Smaller-company stocks tend to be more volatile and less liquid than those of larger companies. Certain investment strategies tend to increase the total risk of an investment (relative to the broader market). Consult the Fund’s prospectus for additional information on these and other risks.

 

 

Please see footnotes on page 7.

Table of Contents

 

Performance highlights (unaudited)   Wells Fargo Small Company Value Fund     7  
Ten largest holdings (%) as of November 30, 20186  

Hawaiian Electric Industries Incorporated

      1.34  

CareTrust REIT Incorporated

      1.24  

Armada Hoffler Properties Incorporated

      1.19  

Independence Realty Trust Incorporated

      1.19  

CBIZ Incorporated

      1.17  

EnerSys

      1.13  

Potlatch Corporation

      1.12  

State Auto Financial Corporation

      1.07  

Agree Realty Corporation

      1.05  

Royal Gold Incorporated

      1.05  
Sector distribution as of November 30, 20187

 

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‡ 

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

 

1 

The Fund is a gateway feeder fund that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with a substantially identical investment objective and substantially similar investment strategies. 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 

Historical performance shown for the Class R6 shares prior to their inception reflects the performance of the Institutional Class shares and includes the higher expenses applicable to Institutional Class shares. If these expenses had been included, returns for Class R6 shares would be higher. Historical performance shown for Institutional Class shares prior to their inception reflects the performance of Administrator Class shares and includes the higher expenses applicable to Administrator Class shares. If these expenses had not been included, returns for Institutional Class shares would be higher.

 

3 

Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

 

4 

The manager has contractually committed through September 30, 2019 to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’s Total Annual Fund Operating Expenses After Fee Waivers at the amounts shown. After this time, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses from funds in which the affiliated master portfolio invests (if any), and extraordinary expenses are excluded from the expense cap. Net expenses from the affiliated master portfolio are included in the expense cap. 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 prospectuses.

 

5 

The Russell 2000® Value Index measures the performance of those Russell 2000 companies with lower price/book ratios and lower forecasted growth values. You cannot invest directly in an index.

 

6 

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.

 

7 

Amounts represent the sector distribution of the affiliated master portfolio which 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.

Table of Contents

 

8   Wells Fargo Small Company Value Fund   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 June 1, 2018 to November 30, 2018.

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.

 

     Beginning
account value
6-1-2018		      Ending
account value
11-30-2018		      Expenses
paid during
the period1,2		      Annualized net
expense ratio1		  

Class A

            

Actual

    $ 1,000.00      $ 925.17      $ 5.55        1.15 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,019.30      $ 5.82        1.15 % 

Class C

            

Actual

    $ 1,000.00      $ 921.20      $ 9.15        1.90 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,015.54      $ 9.60        1.90 % 

Class R6

            

Actual

    $ 1,000.00      $ 926.63      $ 3.62        0.75 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,021.31      $ 3.80        0.75 % 

Administrator Class

            

Actual

    $ 1,000.00      $ 925.42      $ 5.07        1.05 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,019.80      $ 5.32        1.05 % 

Institutional Class

            

Actual

    $ 1,000.00      $ 926.53      $ 4.11        0.85 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,020.81      $ 4.31        0.85 % 

 

 

 

1

Amounts reflect net expenses allocated from the affiliated Master Portfolio in which the Fund invests.

 

2

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).

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Small Company Value Fund     9  

      

 

 

Security name                        Value  

Investment Companies: 99.11%

           
Affiliated Master Portfolio: 99.11%           

Wells Fargo Small Company Value Portfolio

            $ 82,862,034  
          

 

 

  

Total Investment Companies (Cost $88,928,679)

              82,862,034        
          

 

 

  

 

Total investments in securities (Cost $88,928,679)     99.11 %         82,862,034  

Other assets and liabilities, net

     0.89          740,493  
 

 

 

       

 

 

  
Total net assets     100.00 %       $ 83,602,527  
 

 

 

       

 

 

  

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		     Dividends
allocated
from
affiliated
Master
Portfolio		     Securities
lending
income
allocated
from
affiliated
Master
Portfolio		     Affiliated
income
allocated
from
affiliated
Master
Portfolio		     Value,
end
of period		     % of
net
assets		  

Wells Fargo Small Company Value Portfolio

     87 %      48 %    $ (5,181,839 )    $ (3,772,725 )    $ 909,176     $ 49,609     $ 11,827     $ 82,862,034       99.11 % 

 

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

Table of Contents

 

10   Wells Fargo Small Company Value Fund   Statement of assets and liabilities—November 30, 2018 (unaudited)
         

Assets

  

Investments in affiliated Master Portfolio, at value (cost $88,928,679)

   $ 82,862,034  

Receivable for Fund shares sold

     641,133  

Receivable from manager

     17,224  

Prepaid expenses and other assets

     146,563  
 

 

 

  

Total assets

     83,666,954  
 

 

 

  

Liabilities

  

Payable for Fund shares redeemed

     33,454  

Administration fees payable

     11,721  

Shareholder servicing fees payable

     9,077  

Custodian and accounting fees payable

     6,893  

Trustees’ fees and expenses payable

     2,070  

Distribution fee payable

     1,212  
 

 

 

  

Total liabilities

     64,427  
 

 

 

  

Total net assets

   $ 83,602,527  
 

 

 

  

NET ASSETS CONSIST OF

  

Paid-in capital

   $ 98,760,807  

Total distributable loss

     (15,158,280 ) 
 

 

 

  

Total net assets

   $ 83,602,527  
 

 

 

  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARE

  

Net assets – Class A

   $ 13,196,997  

Shares outstanding – Class A1

     498,827  

Net asset value per share – Class A

     $26.46  

Maximum offering price per share – Class A2

     $28.07  

Net assets – Class C

   $ 1,834,019  

Shares outstanding – Class C1

     78,429  

Net asset value per share – Class C

     $23.38  

Net assets – Class R6

   $ 463,673  

Shares outstanding – Class R61

     16,996  

Net asset value per share – Class R6

     $27.28  

Net assets – Administrator Class

   $ 15,225,471  

Shares outstanding – Administrator Class1

     562,953  

Net asset value per share – Administrator Class

     $27.05  

Net assets – Institutional Class

   $ 52,882,367  

Shares outstanding – Institutional Class1

     1,941,584  

Net asset value per share – Institutional Class

     $27.24  

 

 

1 

The 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.

Table of Contents

 

Statement of operations—six months ended November 30, 2018 (unaudited)   Wells Fargo Small Company Value Fund     11  
         

Investment income

  

Dividends allocated from affiliated Master Portfolio (net of foreign withholding taxes of $891)

   $ 909,176  

Securities lending income allocated from affiliated Master Portfolio

     49,609  

Affiliated income allocated from affiliated Master Portfolio

     11,827  

Expenses allocated from affiliated Master Portfolio

     (523,645 ) 

Waivers allocated from affiliated Master Portfolio

     59,005  
 

 

 

  

Total investment income

     505,972  
 

 

 

  

Expenses

  

Management fee

     30,974  

Administration fees

  

Class A

     15,490  

Class C

     2,080  

Class R6

     66  

Administrator Class

     30,298  

Institutional Class

     39,073  

Shareholder servicing fees

  

Class A

     18,440  

Class C

     2,476  

Administrator Class

     58,060  

Distribution fee

  

Class C

     7,427  

Custody and accounting fees

     6,104  

Professional fees

     13,746  

Registration fees

     36,097  

Shareholder report expenses

     5,613  

Trustees’ fees and expenses

     11,201  

Other fees and expenses

     4,539  
 

 

 

  

Total expenses

     281,684  

Less: Fee waivers and/or expense reimbursements

     (139,786 ) 
 

 

 

  

Net expenses

     141,898  
 

 

 

  

Net investment income

     364,074  
 

 

 

  

REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS

  

Net realized losses on securities transactions allocated from affiliated Master Portfolio

     (5,181,839 ) 

Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio

     (3,772,725 ) 
 

 

 

  

Net realized and unrealized gains (losses) on investments

     (8,954,564 ) 
 

 

 

  

Net decrease in net assets resulting from operations

   $ (8,590,490 ) 
 

 

 

  

 

 

 

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

Table of Contents

 

12   Wells Fargo Small Company Value Fund   Statement of changes in net assets
     Six months ended
November 30, 2018
(unaudited)		     Year ended
May 31, 20181		  

Operations

        

Net investment income

     $ 364,074       $ 872,024  

Net realized gains (losses) on investments

       (5,181,839 )        41,508,619  

Net change in unrealized gains (losses) on investments

       (3,772,725 )        (18,058,560 ) 
 

 

 

  

Net increase (decrease) in net assets resulting from operations

       (8,590,490 )        24,322,083  
 

 

 

  

Distributions to shareholders from net investment income and net realized gains

        

Class A

       0         (52,718 ) 

Class R6

       0         (2,568 ) 

Administrator Class

       0         (283,478 ) 

Institutional Class

       0         (383,137 ) 
 

 

 

  

Total distributions to shareholders

       0         (721,901 ) 
 

 

 

  

Capital share transactions

     Shares         Shares    

Proceeds from shares sold

        

Class A

     44,620       1,284,047       60,419       1,605,930  

Class C

     5,317       137,283       14,660       329,415  

Class R6

     10,495       307,465       15,174       412,649  

Administrator Class

     100,747       2,997,805       100,581       2,701,458  

Institutional Class

     624,291       18,319,092       431,742       11,786,334  
 

 

 

  
      23,045,692         16,835,786  
 

 

 

  

Reinvestment of distributions

        

Class A

     0       0       1,785       48,755  

Class R6

     0       0       84       2,350  

Administrator Class

     0       0       10,156       283,362  

Institutional Class

     0       0       13,529       379,367  
 

 

 

  
      0         713,834  
 

 

 

  

Payment for shares redeemed

        

Class A

     (93,449 )      (2,675,508 )      (192,694 )      (5,099,087 ) 

Class C

     (4,923 )      (123,732 )      (28,318 )      (663,810 ) 

Class R6

     (4,430 )      (125,350 )      (5,501 )      (154,810 ) 

Administrator Class

     (1,603,499 )      (45,312,886 )      (392,453 )      (10,624,027 ) 

Institutional Class

     (756,487 )      (21,935,144 )      (481,774 )      (13,221,590 ) 
 

 

 

  
      (70,172,620 )        (29,763,324 ) 
 

 

 

  

Net decrease in net assets resulting from capital share transactions

       (47,126,928 )        (12,213,704 ) 
 

 

 

  

Total increase (decrease) in net assets

       (55,717,418 )        11,386,478  
 

 

 

  

Net assets

        

Beginning of period

       139,319,945         127,933,467  
 

 

 

  

End of period

     $ 83,602,527       $ 139,319,945  
 

 

 

  

 

 

 

1 

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 $358,050. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 7, Distributions to Shareholders, in the notes to the financial statements

 

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

Table of Contents

 

Financial highlights   Wells Fargo Small Company Value Fund     13  

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
CLASS A   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $28.60       $24.01       $20.22       $21.42       $20.08       $17.10  

Net investment income

     0.05       0.09       0.05       0.08       0.07       0.06  

Net realized and unrealized gains (losses) on investments

     (2.19 )      4.58       3.75       (1.25 )      1.27       2.92  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (2.14 )      4.67       3.80       (1.17 )      1.34       2.98  

Distributions to shareholders from

            

Net investment income

     0.00       (0.08 )      (0.01 )      (0.03 )      0.00       0.00  

Net asset value, end of period

     $26.46       $28.60       $24.01       $20.22       $21.42       $20.08  

Total return1

     (7.48 )%      19.48 %      18.86 %      (5.48 )%      6.62 %      17.43 % 

Ratios to average net assets (annualized)

            

Gross expenses2

     1.39 %      1.47 %      1.47 %      1.48 %      1.50 %      1.56 % 

Net expenses2

     1.15 %      1.33 %      1.35 %      1.37 %      1.40 %      1.42 % 

Net investment income2

     0.42 %      0.46 %      0.20 %      0.11 %      0.33 %      0.33 % 

Supplemental data

            

Portfolio turnover rate3

     86 %      144 %      110 %      72 %      54 %      47 % 

Net assets, end of period (000s omitted)

     $13,197       $15,665       $16,280       $23,151       $26,339       $26,517  

 

 

 

 

1 

Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

 

2 

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

 

Six months ended November 30, 2018 (unaudited)

     0.75 % 

Year ended May 31, 2018

     0.84 % 

Year ended May 31, 2017

     0.84 % 

Year ended May 31, 2016

     0.84 % 

Year ended May 31, 2015

     0.84 % 

Year ended May 31, 2014

     0.85 % 

 

3 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

14   Wells Fargo Small Company Value Fund   Financial highlights

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
CLASS C   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $25.38       $21.40       $18.15       $19.34       $18.27       $15.68  

Net investment loss

     (0.02 )      (0.07 )1      (0.11 )1      (0.11 )1      (0.08 )1      (0.07 )1 

Net realized and unrealized gains (losses) on investments

     (1.98 )      4.05       3.36       (1.08 )      1.15       2.66  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (2.00 )      3.98       3.25       (1.19 )      1.07       2.59  

Net asset value, end of period

     $23.38       $25.38       $21.40       $18.15       $19.34       $18.27  

Total return2

     (7.88 )%      18.60 %      17.97 %      (6.20 )%      5.86 %      16.52 % 

Ratios to average net assets (annualized)

            

Gross expenses3

     2.14 %      2.21 %      2.22 %      2.23 %      2.26 %      2.31 % 

Net expenses3

     1.90 %      2.08 %      2.10 %      2.12 %      2.15 %      2.17 % 

Net investment loss3

     (0.32 )%      (0.29 )%      (0.54 )%      (0.62 )%      (0.42 )%      (0.42 )% 

Supplemental data

            

Portfolio turnover rate4

     86 %      144 %      110 %      72 %      54 %      47 % 

Net assets, end of period (000s omitted)

     $1,834       $1,980       $1,962       $2,004       $2,602       $2,192  

 

 

 

 

1 

Calculated based upon average shares outstanding

 

2 

Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.75 % 

Year ended May 31, 2018

     0.84 % 

Year ended May 31, 2017

     0.84 % 

Year ended May 31, 2016

     0.84 % 

Year ended May 31, 2015

     0.84 % 

Year ended May 31, 2014

     0.85 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

Financial highlights   Wells Fargo Small Company Value Fund     15  

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
CLASS R6   2018     20171  

Net asset value, beginning of period

     $29.44       $24.69       $21.37  

Net investment income

     0.13 2       0.29 2       0.08  

Net realized and unrealized gains (losses) on investments

     (2.29 )      4.65       3.33  
 

 

 

    

 

 

    

 

 

  

Total from investment operations

     (2.16 )      4.94       3.41  

Distributions to shareholders from

      

Net investment income

     0.00       (0.19 )      (0.09 ) 

Net asset value, end of period

     $27.28       $29.44       $24.69  

Total return3

     (7.34 )%      20.03 %      15.95 % 

Ratios to average net assets (annualized)

      

Gross expenses4

     0.96 %      1.03 %      1.02 % 

Net expenses4

     0.75 %      0.88 %      0.90 % 

Net investment income4

     0.87 %      1.04 %      0.58 % 

Supplemental data

      

Portfolio turnover rate5

     86 %      144 %      110 % 

Net assets, end of period (000s omitted)

     $464       $322       $29  

 

 

 

 

1 

For the period from October 31, 2016 (commencement of class operations) to May 31, 2017

 

2 

Calculated based upon average shares outstanding

 

3 

Returns for periods of less than one year are not annualized.

 

4 

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

 

Six months ended November 30, 2018 (unaudited)

     0.75 % 

Year ended May 31, 2018

     0.84 % 

Year ended May 31, 2017

     0.84 % 

Year ended May 31, 2016

     0.84 % 

Year ended May 31, 2015

     0.84 % 

Year ended May 31, 2014

     0.85 % 

 

5 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

16   Wells Fargo Small Company Value Fund   Financial highlights

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
ADMINISTRATOR CLASS   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $29.23       $24.53       $20.66       $21.90       $20.49       $17.42  

Net investment income

     0.08 1       0.20       0.08 1       0.13       0.11       0.12  

Net realized and unrealized gains (losses) on investments

     (2.26 )      4.63       3.83       (1.30 )      1.30       2.95  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (2.18 )      4.83       3.91       (1.17 )      1.41       3.07  

Distributions to shareholders from

            

Net investment income

     0.00       (0.13 )      (0.04 )      (0.07 )      0.00       0.00  

Net asset value, end of period

     $27.05       $29.23       $24.53       $20.66       $21.90       $20.49  

Total return2

     (7.46 )%      19.71 %      19.00 %      (5.36 )%      6.88 %      17.62 % 

Ratios to average net assets (annualized)

            

Gross expenses3

     1.30 %      1.38 %      1.39 %      1.39 %      1.34 %      1.39 % 

Net expenses3

     1.05 %      1.19 %      1.20 %      1.20 %      1.20 %      1.20 % 

Net investment income3

     0.51 %      0.59 %      0.36 %      0.28 %      0.52 %      0.55 % 

Supplemental data

            

Portfolio turnover rate4

     86 %      144 %      110 %      72 %      54 %      47 % 

Net assets, end of period (000s omitted)

     $15,225       $60,379       $57,591       $64,023       $71,034       $68,358  

 

 

 

 

1 

Calculated based upon average shares outstanding

 

2 

Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.75 % 

Year ended May 31, 2018

     0.84 % 

Year ended May 31, 2017

     0.84 % 

Year ended May 31, 2016

     0.84 % 

Year ended May 31, 2015

     0.84 % 

Year ended May 31, 2014

     0.85 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

Financial highlights   Wells Fargo Small Company Value Fund     17  

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
INSTITUTIONAL CLASS   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $29.40       $24.68       $20.77       $22.02       $20.57       $17.45  

Net investment income

     0.11       0.21       0.11       0.08 1       0.14       0.13  

Net realized and unrealized gains (losses) on investments

     (2.27 )      4.69       3.89       (1.22 )      1.31       2.99  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (2.16 )      4.90       4.00       (1.14 )      1.45       3.12  

Distributions to shareholders from

            

Net investment income

     0.00       (0.18 )      (0.09 )      (0.11 )      0.00       0.00  

Net asset value, end of period

     $27.24       $29.40       $24.68       $20.77       $22.02       $20.57  

Total return2

     (7.35 )%      19.90 %      13.70 %      (5.13 )%      7.05 %      17.88 % 

Ratios to average net assets (annualized)

            

Gross expenses3

     1.06 %      1.14 %      1.14 %      1.14 %      1.07 %      1.13 % 

Net expenses3

     0.85 %      0.99 %      1.00 %      1.00 %      1.00 %      1.00 % 

Net investment income3

     0.71 %      0.78 %      0.55 %      0.40 %      0.75 %      0.75 % 

Supplemental data

            

Portfolio turnover rate4

     86 %      144 %      110 %      72 %      54 %      47 % 

Net assets, end of period (000s omitted)

     $52,882       $60,973       $52,072       $31,768       $16,850       $11,967  

 

 

 

 

1 

Calculated based upon average shares outstanding

 

2 

Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.75 % 

Year ended May 31, 2018

     0.84 % 

Year ended May 31, 2017

     0.84 % 

Year ended May 31, 2016

     0.84 % 

Year ended May 31, 2015

     0.84 % 

Year ended May 31, 2014

     0.85 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

18   Wells Fargo Small Company Value Fund   Notes to financial statements (unaudited)

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 Wells Fargo Small Company Value Fund (the “Fund”) which is a diversified series of the Trust.

The Fund is a feeder fund in a master-feeder structure that invests substantially all of its assets in a single master portfolio with a substantially identical investment objective and substantially similar investment strategies. The Fund seeks to achieve its investment objective by investing all investable assets in a separate diversified portfolio (the “affiliated Master Portfolio”) of Wells Fargo Master Trust, a registered open-end management investment company. The affiliated Master Portfolio directly acquires portfolio securities and the Fund acquires an indirect interest in those securities. The Fund accounts for its investment in the affiliated Master Portfolio as a partnership investment and records on a daily basis its share of the affiliated Master Portfolio’s income, expense and realized and unrealized gains and losses. The financial statements of the affiliated Master Portfolio for the six months ended November 30, 2018 are included in this report and should be read in conjunction with the Fund’s financial statements. As of November 30, 2018, the Fund owned 48% of Wells Fargo Small Company Value Portfolio.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the 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 Fund may deviate from this calculation time under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of the affiliated Master Portfolio’s net assets, which are also valued daily. Securities held in the affiliated Master Portfolio are valued as discussed in the Notes to Financial Statements of the affiliated Master Portfolio, which are included elsewhere in this report.

Investment transactions, income and expenses

Investments in the affiliated Master Portfolio are recorded on a trade basis.

The Fund records daily its proportionate share of the affiliated Master Portfolio’s interest and dividend income, expenses and realized and unrealized gains or losses. The 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 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 the Fund’s fiscal year end. Therefore, a portion of the 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

The 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.

The 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 the 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.

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Notes to financial statements (unaudited)   Wells Fargo Small Company Value Fund     19  

As of November 30, 2018, the aggregate cost of all investments for federal income tax purposes was $88,793,050 and the unrealized gains (losses) consisted of:

 

Gross unrealized gains

    $ 0  

Gross unrealized losses

      (5,931,016 ) 

Net unrealized losses

    $ (5,931,016 ) 

Class allocations

The separate classes of shares offered by the 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 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 November 30, 2018, the affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective and the value of the affiliate Master Portfolio was as follows:

 

Affiliated Master Portfolio    Investment objective    Value of
affiliated Master
Portfolio		  

Wells Fargo Small Company Value Portfolio

    Seeks long-term capital appreciation      $82,862,034  

The 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 the 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 the Fund, supervising the subadviser, and providing fund-level administrative services in connection with the Fund’s operations. As long as the Fund continues to invest substantially all of its assets in a single affiliated Master Portfolio, the Fund pays Funds Management an investment management fee only for fund-level administrative services at an annual rate starting at 0.05% and declining to 0.03% as the average daily net assets of the Fund increase. For the six months ended November 30, 2018, the management fee was equivalent to an annual rate of 0.05% of the Fund’s average daily net assets.

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

Administration fees

Under a class-level administration agreement, Funds Management provides class-level administrative services to the 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 R6

      0.03  

Administrator Class, Institutional Class

      0.13  

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; otherwise, waivers and/or reimbursements are applied against

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20   Wells Fargo Small Company Value Fund   Notes to financial statements (unaudited)

class specific expenses before fund level expenses. Net expenses from the affiliated Master Portfolio are included in the expense cap. Funds Management has committed through September 30, 2019 to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’s expenses at 1.15% for Class A shares, 1.90% for Class C shares, 0.75% for Class R6 shares, 1.05% for Administrator Class shares, and 0.85% for Institutional Class shares. After this time, 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 the Fund pursuant to Rule 12b-1 under the 1940 Act. A distribution fee is charged to Class C shares and paid to Wells Fargo Funds Distributor, LLC (“Funds Distributor”), the principal underwriter, 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 six months ended November 30, 2018, Funds Distributor received $786 from the sale of Class A shares. Funds Distributor did not receive any contingent deferred sales charges from Class A or Class C shares for the six months ended November 30, 2018.

Shareholder servicing fees

The Trust has entered into contracts with one or more shareholder servicing agents, whereby Class A, Class C, and Administrator Class of the Fund are charged a fee at an annual rate of 0.25% of the average daily net assets of each respective class.

A portion of these total shareholder servicing fees were paid to affiliates of Wells Fargo.

5. INVESTMENT PORTFOLIO TRANSACTIONS

The Fund seeks to achieve its investment objective by investing substantially all of its investable assets in a single affiliated Master Portfolio. Purchases and sales have been calculated by multiplying the Fund’s ownership percentage of the affiliated Master Portfolio by the affiliated Master Portfolio’s purchases and sales. Purchases and sales of investments, excluding short-term securities, for the six months ended November 30, 2018 were $98,127,722 and $82,681,488, respectively.

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 six months ended November 30, 2018, there were no borrowings by the Fund under the agreement.

7. DISTRIBUTIONS TO SHAREHOLDERS

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. The amounts of distributions to shareholders for the year ended May 31, 2018 were as follows:

 

     Net investment income  

Class A

      $  52,718  

Class R6

      2,568  

Administrator Class,

      283,478  

Institutional Class

      383,137  

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 Fund and, therefore, cannot be estimated.

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Notes to financial statements (unaudited)   Wells Fargo Small Company Value Fund     21  

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 DISTRIBUTIONS

On December 18, 2018, the Fund declared distributions from net investment income to shareholders of record on December 17, 2018. The per share amounts payable on December 19, 2018 were as follows:

 

     Net investment
income		  

Class A

      $0.16455  

Class R6

      0.27926  

Administrator Class

      0.14485  

Institutional Class

      0.28004  

These distributions are not reflected in the accompanying financial statements.

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22   Wells Fargo Small Company Value Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  

Common Stocks: 99.51%

           

Communication Services: 0.11%

           
Media: 0.11%           

Entercom Communications Corporation

           29,462      $ 192,387  
          

 

 

  

Consumer Discretionary: 10.98%

           
Auto Components: 0.40%           

Cooper-Standard Holdings Incorporated †

           9,632        704,292  
          

 

 

  
Diversified Consumer Services: 0.25%           

Collectors Universe Incorporated

           32,065        427,747  
          

 

 

  
Hotels, Restaurants & Leisure: 2.06%           

Cracker Barrel Old Country Store Incorporated «

           6,368        1,151,398  

El Pollo Loco Holdings Incorporated †

           70,821        1,081,437  

Noodles & Company †

           122,630        970,003  

Red Lion Hotels Corporation †

           43,229        389,926  
             3,592,764  
          

 

 

  
Household Durables: 0.69%           

Hooker Furniture Corporation

           39,780        1,198,571  
          

 

 

  
Internet & Direct Marketing Retail: 0.37%           

Nutrisystem Incorporated

           17,442        648,668  
          

 

 

  
Leisure Products: 1.90%           

Johnson Outdoors Incorporated Class A

           22,608        1,611,950  

Malibu Boats Incorporated Class A †

           31,699        1,534,866  

Nautilus Group Incorporated †

           12,564        162,201  
             3,309,017  
          

 

 

  
Specialty Retail: 3.53%           

Barnes & Noble Incorporated

           35,993        272,467  

Children’s Place Retail Stores Incorporated

           7,283        944,168  

Destination Maternity Corporation †

           144,964        636,392  

Dick’s Sporting Goods Incorporated

           27,633        994,235  

Sally Beauty Holdings Incorporated †

           46,825        988,476  

Shoe Carnival Incorporated «

           32,162        1,219,905  

Tailored Brands Incorporated

           47,720        1,092,788  
             6,148,431  
          

 

 

  
Textiles, Apparel & Luxury Goods: 1.78%           

Carter’s Incorporated

           11,501        1,063,843  

Charles & Colvard Limited †

           80,363        73,669  

Lakeland Industries Incorporated †

           55,539        735,892  

Rocky Brands Incorporated

           47,761        1,236,532  
             3,109,936  
          

 

 

  

 

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

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Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Small Company Value Portfolio     23  

      

 

 

Security name                 Shares      Value  

Consumer Staples: 2.87%

           
Food & Staples Retailing: 1.27%           

Ingles Markets Incorporated Class A

           54,357      $ 1,581,245  

Village Super Market Class A

           16,900        461,201  

Weis Markets Incorporated

           4,020        184,116  
             2,226,562  
          

 

 

  
Food Products: 1.60%           

Hostess Brands Incorporated †

           88,884        1,035,499  

Pilgrim’s Pride Corporation †

           88,269        1,751,257  
             2,786,756  
          

 

 

  

Energy: 4.21%

           
Energy Equipment & Services: 1.68%           

Newpark Resources Incorporated †

           202,777        1,559,355  

Patterson-UTI Energy Incorporated

           66,525        923,367  

Tetra Technologies Incorporated †

           187,885        435,893  
             2,918,615  
          

 

 

  
Oil, Gas & Consumable Fuels: 2.53%           

Carrizo Oil & Gas Incorporated †

           95,241        1,629,574  

Southwestern Energy Company †

           272,264        1,312,312  

Teekay Tankers Limited Class A

           369,345        417,360  

W&T Offshore Incorporated †

           181,772        1,056,095  
             4,415,341  
          

 

 

  

Financials: 23.01%

           
Banks: 15.15%           

Banc of California Incorporated

           49,883        857,988  

Bank of the Ozarks Incorporated

           45,096        1,222,102  

Banner Corporation

           28,226        1,693,560  

Customers Bancorp Incorporated †

           43,679        852,177  

FB Financial Corporation

           43,792        1,692,561  

Fidelity Southern Corporation

           72,679        1,724,673  

First Foundation Incorporated †

           70,427        1,127,536  

First Interstate BancSystem Class A

           40,271        1,748,970  

Great Southern Bancorp Incorporated

           30,837        1,673,832  

Heritage Financial Corporation

           51,432        1,798,577  

Independent Bank Corporation

           67,416        1,549,220  

Midland States Bancorp Incorporated

           58,793        1,525,678  

OFG Bancorp

           53,790        977,902  

Orrstown Financial Services Incorporated

           19,574        403,616  

Popular Incorporated

           17,982        1,014,185  

Triumph Bancorp Incorporated †

           41,012        1,569,939  

Umpqua Holdings Corporation

           61,274        1,178,912  

Union Bankshares Corporation

           19,929        705,487  

Univest Corporation of Pennsylvania

           69,825        1,780,538  

Western Alliance Bancorp †

           28,189        1,321,218  
             26,418,671  
          

 

 

  

 

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

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24   Wells Fargo Small Company Value Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  
Capital Markets: 1.61%           

Blucora Incorporated †

           35,136      $ 1,087,811  

Piper Jaffray Companies Incorporated

           24,125        1,721,801  
             2,809,612  
          

 

 

  
Consumer Finance: 0.30%           

Enova International Incorporated †

           23,561        521,641  
          

 

 

  
Insurance: 3.05%           

American Equity Investment Life Holding Company

           49,189        1,678,821  

FBL Financial Group Incorporated

           24,979        1,756,773  

State Auto Financial Corporation

           53,786        1,882,510  
             5,318,104  
          

 

 

  
Thrifts & Mortgage Finance: 2.90%           

Homestreet Incorporated †

           32,687        870,128  

NMI Holdings Incorporated Class A †

           64,090        1,252,319  

OceanFirst Financial Corporation

           66,981        1,726,100  

Walker & Dunlop Incorporated

           25,492        1,203,987  
             5,052,534  
          

 

 

  

Health Care: 5.70%

           
Health Care Equipment & Supplies: 0.35%           

Fonar Corporation †

           28,147        620,078  
          

 

 

  
Health Care Providers & Services: 5.35%           

Amedisys Incorporated †

           9,612        1,309,635  

AMN Healthcare Services Incorporated †

           25,681        1,635,880  

BioScrip Incorporated †

           79,959        315,838  

Encompass Health Corporation

           11,220        843,856  

Ensign Group Incorporated

           36,491        1,655,597  

Hanger Incorporated †

           36,420        729,493  

LHC Group Incorporated †

           12,907        1,353,557  

Molina Healthcare Incorporated †

           5,956        832,113  

Premier Incorporated Class A †

           16,406        650,662  
             9,326,631  
          

 

 

  

Industrials: 21.26%

           
Building Products: 0.28%           

Patrick Industries Incorporated †

           12,265        487,166  
          

 

 

  
Commercial Services & Supplies: 2.80%           

ACCO Brands Corporation

           99,835        810,660  

Casella Waste Systems Incorporated Class A †

           43,278        1,413,027  

Ennis Incorporated

           87,080        1,700,672  

Hudson Technologies Incorporated Ǡ

           33,920        36,973  

TEAM Incorporated Ǡ

           55,449        926,553  
             4,887,885  
          

 

 

  

 

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

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Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Small Company Value Portfolio     25  

      

 

 

Security name                 Shares      Value  
Construction & Engineering: 2.36%           

MYR Group Incorporated †

           48,420      $ 1,515,546  

Sterling Construction Company Incorporated †

           120,861        1,555,481  

Tutor Perini Corporation †

           56,321        1,048,134  
             4,119,161  
          

 

 

  
Electrical Equipment: 3.12%           

Encore Wire Corporation

           35,243        1,760,740  

EnerSys

           22,842        1,995,706  

Generac Holdings Incorporated †

           29,573        1,683,295  
             5,439,741  
          

 

 

  
Machinery: 5.79%           

Columbus McKinnon Corporation

           21,927        763,060  

Hyster Yale Materials Handeling Incorporated

           8,293        542,943  

Kadant Incorporated

           18,532        1,687,895  

Kennametal Incorporated

           37,875        1,583,933  

Manitex International Incorporated †

           8,184        59,661  

Miller Industries Incorporated

           39,742        1,115,161  

Mueller Industries Incorporated

           32,138        765,527  

Spartan Motors Incorporated

           82,193        661,654  

Standex International Corporation

           16,813        1,339,996  

The Greenbrier Companies Incorporated

           32,403        1,584,831  
             10,104,661  
          

 

 

  
Professional Services: 3.62%           

Barrett Business Services Incorporated

           7,806        549,152  

CBIZ Incorporated †

           97,298        2,052,015  

Kelly Services Incorporated Class A

           73,960        1,695,163  

Korn/Ferry International

           34,200        1,674,774  

WageWorks Incorporated †

           10,293        343,066  
             6,314,170  
          

 

 

  
Road & Rail: 1.51%           

Avis Budget Group Incorporated †

           32,341        947,268  

Genesee & Wyoming Incorporated Class A †

           20,256        1,686,920  
             2,634,188  
          

 

 

  
Trading Companies & Distributors: 1.78%           

CAI International Incorporated †

           61,351        1,503,713  

DXP Enterprises Incorporated †

           36,917        1,337,503  

Fly Leasing Limited ADR †

           20,939        254,618  
             3,095,834  
          

 

 

  

Information Technology: 10.33%

           
Communications Equipment: 0.64%           

Silicom Limited Ǡ

           29,986        1,120,277  
          

 

 

  

 

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

Table of Contents

 

26   Wells Fargo Small Company Value Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

Security name                 Shares      Value  
Electronic Equipment, Instruments & Components: 3.78%           

Belden Incorporated

           6,302      $ 351,526  

Eplus Incorporated †

           14,668        1,199,109  

Insight Enterprises Incorporated †

           26,818        1,195,546  

Kemet Corporation

           55,112        1,128,694  

Methode Electronics Incorporated

           7,546        228,644  

Napco Security Technologies Incorporated †

           70,789        1,170,850  

PC Connection Incorporated

           41,966        1,315,214  
             6,589,583  
          

 

 

  
IT Services: 1.84%           

EVERTEC Incorporated

           31,688        866,033  

Hackett Group Incorporated

           70,042        1,236,241  

TTEC Holdings Incorporated

           26,601        778,079  

Unisys Corporation Ǡ

           24,234        327,644  
             3,207,997  
          

 

 

  
Semiconductors & Semiconductor Equipment: 2.64%           

Entegris Incorporated

           11,998        352,741  

FormFactor Incorporated †

           108,437        1,788,126  

Rudolph Technologies Incorporated †

           75,768        1,607,797  

Synaptics Incorporated †

           22,374        860,504  
             4,609,168  
          

 

 

  
Software: 1.13%           

American Software Incorporated Class A

           32,559        338,614  

LogMeIn Incorporated

           17,638        1,626,753  
             1,965,367  
          

 

 

  
Technology Hardware, Storage & Peripherals: 0.30%           

Immersion Corporation †

           55,311        524,901  
          

 

 

  

Materials: 6.24%

           
Chemicals: 1.74%           

Advansix Incorporated †

           14,639        420,286  

Stepan Company

           20,782        1,679,601  

Trinseo SA

           18,562        937,938  
             3,037,825  
          

 

 

  
Construction Materials: 0.60%           

Eagle Materials Incorporated

           14,461        1,055,653  
          

 

 

  
Metals & Mining: 2.95%           

Kaiser Aluminum Corporation

           15,812        1,545,307  

Royal Gold Incorporated

           25,167        1,840,966  

Schnitzer Steel Industries Incorporated Class A

           62,721        1,756,815  
             5,143,088  
          

 

 

  

 

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

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Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Small Company Value Portfolio     27  

      

 

 

Security name                Shares      Value  
Paper & Forest Products: 0.95%          

Boise Cascade Company

          26,210      $ 696,662  

Verso Corporation Class A †

          37,816        953,720  
            1,650,382  
         

 

 

  

Real Estate: 9.82%

          
Equity REITs: 8.82%          

Agree Realty Corporation

          31,038        1,848,934  

Armada Hoffler Properties Incorporated

          137,895        2,097,383  

CareTrust REIT Incorporated

          109,224        2,186,664  

Independence Realty Trust Incorporated

          207,450        2,095,245  

Monmouth Real Estate Investment Corporation

          130,020        1,811,179  

National Storage Affiliates Trust

          54,858        1,534,378  

One Liberty Properties Incorporated

          69,626        1,839,519  

Potlatch Corporation

          53,256        1,975,792  
            15,389,094  
         

 

 

  
Real Estate Management & Development: 1.00%          

Marcus & Millichap Incorporated †

          47,571        1,735,866  
         

 

 

  

Utilities: 4.98%

          
Electric Utilities: 1.36%          

Hawaiian Electric Industries Incorporated

          61,713        2,364,842  
         

 

 

  
Gas Utilities: 1.95%          

National Fuel Gas Company

          31,991        1,722,715  

Northwest Natural Holding Company

          25,389        1,684,052  
            3,406,767  
         

 

 

  
Multi-Utilities: 0.94%          

MDU Resources Group Incorporated

          61,830        1,636,640  
         

 

 

  
Water Utilities: 0.73%                                       

Artesian Resources Corporation Class A

          34,992        1,272,309  
         

 

 

  

Total Common Stocks (Cost $174,260,441)

             173,538,923  
         

 

 

  
    Yield                      
Short-Term Investments: 2.65%          
Investment Companies: 2.65%          

Securities Lending Cash Investments LLC (l)(r)(u)

     2.38 %         3,662,272        3,662,638  

Wells Fargo Government Money Market Fund Select Class (l)(u)

     2.13          968,194        968,194  

Total Short-Term Investments (Cost $4,630,483)

             4,630,832        
         

 

 

  

 

Total investments in securities (Cost $178,890,924)     102.16 %         178,169,755  

Other assets and liabilities, net

     (2.16 )         (3,774,455 ) 
 

 

 

       

 

 

  
Total net assets     100.00 %       $ 174,395,300  
 

 

 

       

 

 

  

 

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

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28   Wells Fargo Small Company Value Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

      

 

 

†

Non-income-earning security

 

«

All or a portion of this security is on loan.

 

(l)

The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

 

(r)

The investment is a non-registered investment company purchased with cash collateral received from securities on loan.

 

(u)

The rate represents the 7-day annualized yield at period end.

Abbreviations:

 

ADR

American depositary receipt

 

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

                  

Securities Lending Cash Investments LLC

     5,546,867       59,278,399       61,162,994       3,662,272     $ (497 )    $ (3 )    $ 83,602     $ 3,662,638    

Wells Fargo Government Money Market Fund Select Class

     851,216       117,515,182       117,398,204       968,194       0       0       20,040       968,194    
         

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
          $ (497 )    $ (3 )    $ 103,642     $ 4,630,832       2.65 % 
         

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

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

Table of Contents

 

Statement of assets and liabilities—November 30, 2018 (unaudited)   Wells Fargo Small Company Value Portfolio     29  
         

Assets

  

Investments in unaffiliated securities (including $3,574,560 of securities loaned), at value (cost $174,260,441)

   $ 173,538,923  

Investments in affiliated securities, at value (cost 4,630,483)

     4,630,832  

Receivable for investments sold

     1,693,824  

Receivable for dividends

     132,888  

Receivable for securities lending income

     5,187  

Prepaid expenses and other assets

     11,385  
 

 

 

  

Total assets

     180,013,039  
 

 

 

  

Liabilities

  

Payable upon receipt of securities loaned

     3,662,421  

Payable for investments purchased

     1,810,362  

Advisory fee payable

     113,751  

Accrued expenses and other liabilities

     31,205  
 

 

 

  

Total liabilities

     5,617,739  
 

 

 

  

Total net assets

   $ 174,395,300  
 

 

 

  

 

 

 

 

 

 

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

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30   Wells Fargo Small Company Value Portfolio   Statement of operations—six months ended November 30, 2018 (unaudited)
         

Investment income

  

Dividends (net of foreign withholding taxes of $1,538)

   $ 1,558,946  

Securities lending income from affiliates, net

     83,602  

Income from affiliated securities

     20,040  
 

 

 

  

Total investment income

     1,662,588  
 

 

 

  

Expenses

  

Advisory fee

     842,896  

Custody and accounting fees

     8,736  

Professional fees

     23,584  

Shareholder report expenses

     1,410  

Trustees’ fees and expenses

     11,088  

Other fees and expenses

     5,025  
 

 

 

  

Total expenses

     892,739  

Less: Fee waivers and/or expense reimbursements

     (100,272 ) 
 

 

 

  

Net expenses

     792,467  
 

 

 

  

Net investment income

     870,121  
 

 

 

  

REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS

  

Net realized losses on:

  

Unaffiliated securities

     (9,489,316 ) 

Affiliated securities

     (497 ) 
 

 

 

  

Net realized losses on investments

     (9,489,813 ) 
 

 

 

  

Net change in unrealized gains (losses) on:

  

Unaffiliated securities

     (7,948,439 ) 

Affiliated securities

     (3 ) 
 

 

 

  

Net change in unrealized gains (losses) on investments

     (7,948,442 ) 
 

 

 

  

Net realized and unrealized gains (losses) on investments

     (17,438,255 ) 
 

 

 

  

Net decrease in net assets resulting from operations

   $ (16,568,134 ) 
 

 

 

  

 

 

 

 

 

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

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Statement of changes in net assets   Wells Fargo Small Company Value Portfolio     31  
     Six months ended
November 30, 2018
(unaudited)		        Year ended
May 31, 2018		  

Operations

       

Net investment income

   $ 870,121        $ 1,619,419  

Net realized gains (losses) on investments

     (9,489,813 )         35,399,955  

Net change in unrealized gains (losses) on investments

     (7,948,442 )         (24,205,675 ) 
 

 

 

  

Net increase (decrease) in net assets resulting from operations

     (16,568,134 )         33,813,699  
 

 

 

  

Capital transactions

  

Transactions in investors’ beneficial interests

       

Contributions

     101,491,419          10,857,996  

Withdrawals

     (69,926,430 )         (99,498,049 ) 
 

 

 

  

Net increase (decrease) in net assets resulting from capital transactions

     31,564,989          (88,640,053 ) 
 

 

 

  

Total increase (decrease) in net assets

     14,996,855          (54,826,354 ) 
 

 

 

  

Net assets

  

Beginning of period

     159,398,445          214,224,799  
 

 

 

  

End of period

   $ 174,395,300        $ 159,398,445  
 

 

 

  

 

 

 

 

 

 

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

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32   Wells Fargo Small Company Value Portfolio   Financial highlights
   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
     2018     2017     2016     2015     2014  

Total return1

     (7.42 )%      20.10 %      19.44 %      (4.96 )%      7.29 %      18.09 % 

Ratios to average net assets (annualized)

            

Gross expenses

     0.85 %      0.85 %      0.84 %      0.85 %      0.84 %      0.85 % 

Net expenses

     0.75 %      0.84 %      0.84 %      0.85 %      0.84 %      0.85 % 

Net investment income

     0.83 %      0.87 %      0.72 %      0.62 %      0.89 %      0.89 % 

Supplemental data

            

Portfolio turnover rate

     86 %      144 %      110 %      72 %      54 %      47 % 

 

 

 

 

 

1 

Returns for periods of less than one year are not annualized.

 

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

Table of Contents

 

Notes to financial statements (unaudited)   Wells Fargo Small Company Value Portfolio     33  

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 Wells Fargo Small Company Value Portfolio (the “Portfolio”) which is a diversified series of the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the 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 Portfolio may deviate from this calculation time under unusual or unexpected circumstances.

Equity securities that are listed on a foreign or domestic exchange or market are valued at the official closing price or, if none, the last sales price. If no sale occurs on the principal exchange or market that day, a fair value price will be determined in accordance with the Portfolio’s Valuation Procedures.

Investments in registered open-end investment companies are valued at net asset value. Interests in non-registered investment companies that are redeemable at net asset value are fair valued normally at net asset value.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Portfolio. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC (“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.

Securities lending

The Portfolio may lend its securities from time to time in order to earn additional income in the form of fees or interest on securities received as collateral or the investment of any cash received as collateral. The Portfolio continues to receive interest or dividends on the securities loaned. The Portfolio receives collateral in the form of cash or securities with a value at least equal to the value of the securities on loan. The value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Portfolio on the next business day. In a securities lending transaction, the net asset value of the Portfolio will be affected by an increase or decrease in the value of the securities loaned and by an increase or decrease in the value of the instrument in which collateral is invested. The amount of securities lending activity undertaken by the Portfolio fluctuates from time to time. In the event of default or bankruptcy by the borrower, the Portfolio may be prevented from recovering the loaned securities or gaining access to the collateral or may experience delays or costs in doing so. In addition, the investment of any cash collateral received may lose all or part of its value. The Portfolio has the right under the lending agreement to recover the securities from the borrower on demand.

The Portfolio lends its securities through an unaffiliated securities lending agent. Cash collateral received in connection with its securities lending transactions is invested in Securities Lending Cash Investments, LLC (the “Securities Lending Fund”). The Securities Lending Fund is exempt from registration under Section 3(c)(7) of the 1940 Act and is managed by Funds Management and is subadvised by Wells Capital Management Incorporated (“WellsCap”), an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”). Funds Management receives an advisory fee starting at 0.05% and declining to 0.01% as the average daily net assets of the Securities Lending Fund increase. All of the fees received by Funds Management are paid to WellsCap for its services as subadviser. The Securities Lending Fund seeks to provide a positive return compared to the daily Fed Funds Open Rate by investing in

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34   Wells Fargo Small Company Value Portfolio   Notes to financial statements (unaudited)

high-quality, U.S. dollar-denominated short-term money market instruments. Securities Lending Fund investments are valued at the evaluated bid price provided by an independent pricing service. Income earned from investment in the Securities Lending Fund is included in securities lending income from affiliates (net of fees and rebates) on the Statement 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.

Dividend income is recognized on the ex-dividend date. Dividend income is recorded net of foreign taxes withheld where recovery of such taxes is not assured.

Federal and other taxes

The Portfolio is treated as a separate entity for federal income tax purposes. The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains 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.

The Portfolio’s income tax returns and all financial records supporting those returns for the prior three fiscal years are subject to examination by the federal revenue authority. Management has analyzed the 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 November 30, 2018, the aggregate cost of all investments for federal income tax purposes was $179,231,246 and the unrealized gains (losses) consisted of:

 

Gross unrealized gains

    $ 0  

Gross unrealized losses

      (1,061,491 ) 

Net unrealized losses

    $ (1,061,491 ) 

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 the Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

 

∎  

Level 1 – quoted prices in active markets for identical securities

 

∎  

Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

 

∎  

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

Table of Contents

 

Notes to financial statements (unaudited)   Wells Fargo Small Company Value Portfolio     35  

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of November 30, 2018:

 

     Quoted prices
(Level 1)		      Other significant
observable inputs
(Level 2)		     

Significant
unobservable inputs

(Level 3)

      Total  

Assets

            

Investments in:

            

Common stocks

            

Communication services

    $ 192,387      $ 0      $ 0      $ 192,387  

Consumer discretionary

      19,139,426        0        0        19,139,426  

Consumer staples

      5,013,318        0        0        5,013,318  

Energy

      7,333,956        0        0        7,333,956  

Financials

      40,120,562        0        0        40,120,562  

Health care

      9,946,709        0        0        9,946,709  

Industrials

      37,082,806        0        0        37,082,806  

Information technology

      18,017,293        0        0        18,017,293  

Materials

      10,886,948        0        0        10,886,948  

Real estate

      17,124,960        0        0        17,124,960  

Utilities

      8,680,558        0        0        8,680,558  

Short-term investments

            

Investment companies

      968,194        3,662,638        0        4,630,832  

Total assets

    $ 174,507,117      $ 3,662,638      $ 0      $ 178,169,755  

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

At November 30, 2018, the Portfolio did not have any transfers into/out of Level 3.

4. TRANSACTIONS WITH AFFILIATES

Advisory fee

The Trust has entered into an advisory contract with Funds Management, an indirect wholly owned subsidiary of Wells Fargo. The adviser is responsible for implementing investment policies and guidelines and for supervising the subadviser, who is responsible for day-to-day portfolio management of the Portfolio. Pursuant to the contract, Funds Management is entitled to receive an annual advisory fee starting at 0.80% and declining to 0.68% as the average daily net assets of the Portfolio increase. For the six months ended November 30, 2018, the advisory fee was equivalent to an annual rate of 0.80% of the Portfolio’s average daily net assets.

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Portfolio. The fee for subadvisory services is borne by Funds Management. WellsCap is the subadviser to the Portfolio and is entitled to receive a fee from Funds Management at an annual rate starting at 0.55% and declining to 0.40% as the average daily net assets of the Portfolio increase.

Funds Management has voluntarily waived and/or reimbursed advisory fees to the extent necessary to maintain the net operating expense ratio of the Portfolio.

Interfund transactions

The Portfolio 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.

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments, excluding U.S. government obligations (if any) and short-term securities, for the six months ended November 30, 2018 were $206.524,178 and $174,015,314, respectively.

6. BANK BORROWINGS

Effective August 28, 2018, 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 the Portfolio is permitted to use

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36   Wells Fargo Small Company Value Portfolio   Notes to financial statements (unaudited)

bank borrowings for temporary or emergency purposes, such as to fund shareholder redemption requests. Interest under the credit agreement is charged to the 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.

For the six months ended November 30, 2018, there were no borrowings by the Portfolio under the agreement.

7. 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 Portfolio and, therefore, cannot be estimated.

8. 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.

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Other information (unaudited)   Wells Fargo Small Company Value Fund     37  

PROXY VOTING INFORMATION

A description of the policies and procedures used to determine how to vote proxies relating to portfolio securities is available, upon request, by calling 1-800-222-8222, visiting our website at wellsfargofunds.com, or visiting the SEC website at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Fund’s website at wellsfargofunds.com or by visiting the SEC website at sec.gov.

PORTFOLIO HOLDINGS INFORMATION

The complete portfolio holdings for the Fund are publicly available monthly on the Fund’s website (wellsfargofunds.com), on a one-month delayed basis. In addition, top ten holdings information (excluding derivative positions) for the Fund is publicly available on the Fund’s website on a monthly, seven-day or more delayed basis. The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. In addition, the Fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and at regional offices in New York City, at 233 Broadway, and in Chicago, at 175 West Jackson Boulevard, Suite 900. Information about the Public Reference Room may be obtained by calling 1-800-SEC-0330.

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38   Wells Fargo Small Company Value Fund   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 152 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. Board member of the Vincent Memorial Hospital Endowment (non-profit organization), where he serves on the Investment Committee and as a Chair of the Audit Committee. 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.3 (Born 1952)   Trustee, since 2009   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. Johnson3

(Born 1949)

   Trustee, since 2008; Audit Committee Chairman, since 2009   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

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

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Other information (unaudited)   Wells Fargo Small Company Value Fund     39  

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

Olivia S. Mitchell

(Born 1953)

   Trustee, since 2006; Nominating and Governance Committee Chairman, 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; Vice Chairman, from 2017 to 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; Advisory Board Member, from 2017 to 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

Michael S. Scofield4

(Born 1943)

   Trustee, since 2010   Served on the Investment Company Institute’s Board of Governors and Executive Committee from 2008-2011 as well the Governing Council of the Independent Directors Council from 2006-2011 and the Independent Directors Council Executive Committee from 2008-2011. Trustee of the Evergreen Fund complex (and its predecessors) from 1984 to 2010. Chairman of the Evergreen Funds from 2000-2010. Former Trustee of the Mentor Funds. Retired Attorney, Law Offices of Michael S. Scofield.   N/A

Pamela Wheelock

(Born 1959)

   Trustee, since 2018; Advisory Board Member, from 2017 to 2018   Chief Operating Officer, Twin Cities Habitat for Humanity, since January, 2017. Vice President of University Services, University of Minnesota from 2012 to 2017. 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 President and Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2010 to 2011, Chairman of the Board from 2009 to 2011 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. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently the 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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40   Wells Fargo Small Company Value Fund   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.    

Nancy Wiser1

(Born 1967)

   Treasurer, since 2012   Executive Vice President of Wells Fargo Funds Management, LLC since 2011. Chief Operating Officer and Chief Compliance Officer at LightBox Capital Management LLC, from 2008 to 2011.    

Alexander Kymn

(Born 1973)

   Secretary, since 2018; Chief Legal Officer, since 2018   Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.    

Michael H. Whitaker

(Born 1967)

   Chief Compliance Officer, since 2016   Senior Vice President and Chief Compliance Officer 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.    

Jeremy DePalma1

(Born 1974)

   Assistant Treasurer, since 2009   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.    

 

 

 

1

Nancy Wiser acts as Treasurer of 76 funds in the Fund Complex. Jeremy DePalma acts as Treasurer of 76 funds and Assistant Treasurer of 76 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 wellsfargofunds.com.

 

3 

Mr. Harris will replace Ms. Johnson as the Chairman of the Audit Committee effective January 1, 2019.

 

4 

Mr. Scofield is expected to retire on December 31, 2018.

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Appendix A (unaudited)   Wells Fargo Small Company Value Fund     41  

SALES CHARGE REDUCTIONS AND WAIVERS FOR CERTAIN INTERMEDIARIES

Raymond James & Associates, Inc., Raymond James Financial Services & Raymond James affiliates (“Raymond James”)

Effective on or about March 1, 2019, shareholders purchasing Fund shares through a Raymond James platform or account will be eligible only for the following load waivers (front-end sales charge waivers and contingent deferred, 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 Load Waivers on Class A shares Available at Raymond James

 

  •  

Shares purchased in an investment advisory program.

 

  •  

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).

 

  •  

Employees and registered representatives of Raymond James or its affiliates and their family members as designated by Raymond James.

 

  •  

Shares purchased from the proceeds of redemptions within the same fund family, provided (1) the repurchase occurs within 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 (known as Rights of Reinstatement).

 

  •  

A shareholder in the fund’s Class C shares will have their shares automatically exchanged at net asset value to Class A shares (or the appropriate share class) of the fund if the shares are no longer subject to a CDSC and the exchange is in line with the policies and procedures of Raymond James.

CDSC Waivers on Class A and C Shares Available at Raymond James

 

  •  

Death or disability of the shareholder.

 

  •  

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

 

  •  

Return of excess contributions from an IRA Account.

 

  •  

Shares sold as part of a required minimum distribution for IRA and retirement accounts due to the shareholder reaching age 70½ as described in the Fund’s prospectus.

 

  •  

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

 

  •  

Shares acquired through a right of reinstatement.

Front-end Load Discounts Available at Raymond James: Breakpoints, and/or Rights of Accumulation

 

  •  

Breakpoints as described in the Fund’s Prospectus.

 

  •  

Rights of accumulation 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 Raymond James. Eligible fund family assets not held at Raymond James may be included in the rights of accumulation calculation only if the shareholder notifies his or her financial advisor about such assets.

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LOGO

 

 

LOGO

For more information

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

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: wellsfargofunds.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 the Fund. 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 Fund’s website at wellsfargofunds.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

© 2019 Wells Fargo Funds Management, LLC. All rights reserved.

 

LOGO     

318980 01-19

SA286/SAR286 11-18

 

Table of Contents

Semi-Annual Report

November 30, 2018

 

LOGO

 

Wells Fargo Core Bond Fund

 

LOGO

 

 

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.

 

LOGO

Table of Contents

Reduce clutter. Save trees.

Sign up for electronic delivery of prospectuses and shareholder reports at wellsfargo.com/advantagedelivery

Contents

 

 

 

Letter to shareholders

     2  

Performance highlights

     6  

Fund expenses

     8  
Wells Fargo Core Bond Fund  
Portfolio of investments     9  
Financial statements  

Statement of assets and liabilities

     10  

Statement of operations

     11  

Statement of changes in net assets

     12  

Financial highlights

     13  
Notes to financial statements     20  
Wells Fargo Core Bond Portfolio  
Portfolio of investments     24  
Financial statements  

Statement of assets and liabilities

     47  

Statement of operations

     48  

Statement of changes in net assets

     49  

Financial highlights

     50  
Notes to financial statements     51  

Other information

     55  

Appendix A

     59  

 

The views expressed and any forward-looking statements are as of November 30, 2018, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Funds Management, LLC. 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 Funds Management, LLC 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


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2   Wells Fargo Core Bond Fund   Letter to shareholders (unaudited)

 

LOGO

Andrew Owen

President

Wells Fargo Funds

 

 

Global trade tensions escalated during the third quarter of 2018.

 

 

 

Dear Shareholder:

We are pleased to offer you this semi-annual report for the Wells Fargo Core Bond Fund for the six-month period that ended November 30, 2018. During the reporting period, the U.S. generated encouraging economic and business data that was offset by less positive and more inconsistent data from international markets. Investment returns were restrained in comparison with recent periods as geopolitical tensions and uncertainty tended to distract investors from more favorable underlying trends.

For the period, U.S. stocks, as measured by the S&P 500 Index,1 gained 3.02% and international stocks, as measured by the MSCI ACWI ex USA Index (Net),2 declined 8.37%. Based on the MSCI EM Index (Net),3 emerging market stocks lost 9.89%. For bond investors, the Bloomberg Barclays U.S. Aggregate Bond Index4 declined 0.30% while the Bloomberg Barclays Global Aggregate ex-USD Index5 fell 3.67%. The Bloomberg Barclays Municipal Bond Index6 gained 0.42%. The ICE BofAML U.S. High Yield Index7 was up 0.19%.

Global trade tensions prompted investor concerns.

Global trade tensions escalated during the third quarter of 2018. The U.S. government’s decision during the second quarter to impose tariffs on a wide range of products manufactured overseas drew retaliatory responses from foreign governments, which punished U.S. commodity producers and product manufacturers. Investors were left to wonder about next steps in what appeared to be an escalating divergence in global economic policies and growth prospects.

Inflation trended higher. The CPI-U8 added 0.1% in September after an increase of 0.2% in both July and August. On a year-over-year basis, the all-items index rose 2.3% for the 12 months that ended September 30, 2018, after a seasonal adjustment. The rate of increase was slower than that recorded during the first half of 2018. The index for all items less food and energy rose 2.2% for the same 12-month period.

 

 

 

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 U.S. and Canada. 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 large- and mid-cap equity market performance of emerging markets. The MSCI EM Index (Net) consists of the following 24 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, the Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey, and the United Arab Emirates. 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 BofAML 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 2018. ICE Data Indices, LLC. All rights reserved.

 

8 

The Consumer Price Index for All Urban Consumers (CPI-U) measures the changes in the price of a basket of goods and services purchased by urban consumers. The urban consumer population is deemed by many as a better representative measure of the general public because close to 90% of the country’s population lives in highly populated areas. You cannot invest directly in an index.

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Letter to shareholders (unaudited)   Wells Fargo Core Bond Fund     3  

U.S. stocks gained following positive economic data while international stocks and bonds declined.

During the summer months, the U.S. economy strengthened. Revised second-quarter gross domestic product (GDP) data released in August showed the U.S. economy growing at a 4.2% rate. The unemployment rate in the U.S. was 3.7% by the end of September, according to the U.S. Department of Labor. Wages showed more consistent growth, and consumer confidence remained strong. Several U.S. equity market indices reached records during August, with the S&P 500 Index gaining 7.20% for the three-month period that ended September 30, 2018. In contrast, the MSCI ACWI ex USA Index (Net) gained 0.71% while the MSCI EM Index (Net) declined 1.09% during the same three-month period.

In June, the Federal Reserve increased the target range for the federal funds rate to range from 1.75% to 2.00%. It raised the range again in September to range from 2.00% to 2.25%. Long-term interest rates in the U.S. remained at higher levels relative to the prior 10 years. Rates on 10-year and 30-year Treasury bonds—2.46% and 2.81%, respectively, on January 1, 2018—were 3.01% and 3.30%, respectively, on November 30, 2018. Investor concerns about an inverted yield curve reemerged, only to be replaced by concerns about the potentially negative influence of higher interest rates on economic activity.

November saw improvement in many equity markets.

As interest rates and bond yields gained during October, stock markets struggled. For the month, the S&P 500 Index fell 6.84%, the MSCI ACWI ex USA Index (Net) dropped 8.13%, and the MSCI EM Index (Net) lost 8.71%. The Bureau of Economic Analysis released its first estimate of third-quarter GDP, which, at an annualized 3.5% rate, indicated growth may be slowing compared with the second quarter. Readings on consumer sentiment and business spending were mixed. Markets rebounded somewhat in November as the S&P 500 Index gained 2.04%, the MSCI ACWI ex USA Index (Net) added 0.95%, and the MSCI EM Index (Net) was up 4.12% as the uncertainty leading up to midterm elections in the U.S. was resolved and progress seemed to be possible on several international trade issues.

Economic signals overseas were mixed as the third quarter ended and the fourth quarter began. In early August, the Bank of England’s Monetary Policy Committee increased its key interest rate to 0.75%. The European Central Bank and the Bank of Japan maintained low interest rates and accommodative monetary policies. Amid rising trade uncertainty, the People’s Bank of China cut reserve requirement ratios and accelerated infrastructure spending and tax cuts for business enterprises and individuals. Nevertheless, a strengthening U.S. dollar and the trade tensions remained headwinds for investors overseas.

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.

 

 

 

Economic signals overseas were mixed as the third quarter ended and the fourth quarter began.

 

 

 

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4   Wells Fargo Core Bond Fund   Letter to shareholders (unaudited)

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,

 

LOGO

Andrew Owen

President

Wells Fargo Funds

 

 

 

Notice to shareholders

At a meeting held on August 14-15, 2018, the Board of Trustees of the Fund approved the following policy which will be effective on or about February 5, 2019:

Class C shares will convert automatically into Class A shares ten years after the initial date of purchase or, if you acquired your Class C shares through an exchange or conversion from another share class, ten years after the date you acquired your Class C shares. When Class C shares that you acquired through a purchase or exchange convert, any other Class C shares that you purchased with reinvested dividends and distributions also will convert into Class A shares on a pro rata basis. A shorter holding period may also apply depending on your intermediary. Please see “Appendix A—Sales Charge Reductions and Waivers for Certain Intermediaries” in the Fund’s prospectus or at the end of this report.

 

 

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

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6   Wells Fargo Core Bond Fund1   Performance highlights (unaudited)

Investment objective

The Fund seeks total return, consisting of income and capital appreciation.

Manager

Wells Fargo Funds Management, LLC

Subadviser for the affiliated master portfolio

Wells Capital Management Incorporated

Portfolio managers

Maulik Bhansali, CFA®‡

Thomas O’Connor, CFA®‡

Jarad Vasquez

Average annual total returns (%) as of November 30, 20182

 

        Including sales charge     Excluding sales charge     Expense ratios3 (%)  
    Inception date   1 year     5 year     10 year     1 year     5 year     10 year     Gross     Net4  
Class A (MBFAX)   10-31-2001     (6.31 )      0.77       3.80       (1.90 )      1.70       4.28       0.83       0.78  
Class C (MBFCX)   10-31-2001     (3.60 )      0.94       3.46       (2.60 )      0.94       3.46       1.58       1.53  
Class R (WTRRX)   7-9-2010     –       –       –       (2.09 )      1.45       3.98       1.08       1.03  
Class R4 (MBFRX)   11-30-2012     –       –       –       (1.59 )      1.97       4.53       0.60       0.52  
Class R6 (WTRIX)   11-30-2012     –       –       –       (1.52 )      2.10       4.65       0.45       0.37  
Administrator Class (MNTRX)   6-30-1997     –       –       –       (1.77 )      1.78       4.35       0.77       0.70  
Institutional Class (MBFIX)   10-31-2001     –       –       –       (1.57 )      2.07       4.62       0.50       0.42  
Bloomberg Barclays U.S. Aggregate Bond Index5   –     –       –       –       (1.34 )      2.03       3.67       –       –  

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on fund distributions or the redemption of fund shares. 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, which assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wellsfargofunds.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 4.50%. 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, Administrator Class, and Institutional Class 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). Securities issued by U.S. government agencies or government-sponsored entities may not be guaranteed by the U.S. Treasury. The Fund is exposed to foreign investment 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 7.

Table of Contents

 

Performance highlights (unaudited)   Wells Fargo Core Bond Fund     7  
Ten largest holdings (%) as of November 30, 20186  

U.S. Treasury Bond, 3.13%, 11-15-2028

      2.28  

U.S. Treasury Note, 2.88%, 9-30-2023

      2.10  

U.S. Treasury Note, 2.88%, 10-31-2023

      2.09  

FHLMC, 4.00%, 11-1-2048

      1.75  

GNMA, 5.00%, 1-23-2049

      1.67  

U.S. Treasury Note, 2.88%, 10-15-2021

      1.48  

GNMA, 4.50%, 10-20-2048

      1.42  

U.S. Treasury Note, 2.75%, 2-15-2028

      1.38  

U.S. Treasury Note, 1.88%, 1-31-2022

      1.24  

U.S. Treasury Bond, 3.13%, 5-15-2048

      1.20  

 

Portfolio allocation as of November 30, 20187
LOGO
 

 

 

 

‡ 

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

 

1 

The Fund is a gateway feeder fund that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with a substantially identical investment objective and substantially similar investment strategies. 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 

Historical performance shown for Class R shares prior to their inception reflects the performance of Administrator Class shares, adjusted to reflect the higher expenses applicable to Class R shares. Historical performance shown for Class R4 shares prior to their inception reflects the performance of Institutional Class shares, adjusted to reflect the higher expenses applicable to Class R4 shares. Historical performance shown for Class R6 shares prior to their inception reflects the performance of Institutional Class shares and includes the higher expenses applicable to Institutional Class shares. If these expenses had not been included, returns for Class R6 shares would be higher.

 

3 

Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

 

4 

The manager has contractually committed through September 30, 2019, to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’s Total Annual Fund Operating Expenses After Fee Waivers at the amounts shown. After this time, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolio invests, and extraordinary expenses are excluded from the expense cap. Net expenses from the affiliated master portfolio are included in the expense cap. 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 prospectuses.

 

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 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.

 

7 

Amounts represent the portfolio allocation of the affiliated master portfolio which 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.

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8   Wells Fargo Core Bond Fund   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 June 1, 2018 to November 30, 2018.

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.

 

     Beginning
account value
6-1-2018		      Ending
account value
11-30-2018		      Expenses
paid during
the period1,2		      Annualized net
expense ratio1		  

Class A

            

Actual

    $ 1,000.00      $ 995.79      $ 3.90        0.78 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,021.16      $ 3.95        0.78 % 

Class C

            

Actual

    $ 1,000.00      $ 991.90      $ 7.64        1.53 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,017.40      $ 7.74        1.53 % 

Class R

            

Actual

    $ 1,000.00      $ 994.94      $ 5.15        1.03 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,019.90      $ 5.22        1.03 % 

Class R4

            

Actual

    $ 1,000.00      $ 996.67      $ 2.60        0.52 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,022.46      $ 2.64        0.52 % 

Class R6

            

Actual

    $ 1,000.00      $ 997.41      $ 1.85        0.37 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,023.21      $ 1.88        0.37 % 

Administrator Class

            

Actual

    $ 1,000.00      $ 995.79      $ 3.50        0.70 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,021.56      $ 3.55        0.70 % 

Institutional Class

            

Actual

    $ 1,000.00      $ 997.16      $ 2.10        0.42 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,022.96      $ 2.13        0.42 % 

 

1

Amounts reflect net expenses allocated from the affiliated Master Portfolio in which the Fund invests.

 

2

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).

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Core Bond Fund     9  

      

 

 

Security name                        Value  

Investment Companies: 100.11%

           
Affiliated Master Portfolios: 100.11%           

Wells Fargo Core Bond Portfolio

            $ 5,152,746,583  
          

 

 

  

Total Investment Companies (Cost $5,223,381,132)

              5,152,746,583  
          

 

 

  

 

Total investments in securities (Cost $5,223,381,132)     100.11 %         5,152,746,583  

Other assets and liabilities, net

     (0.11 )         (5,744,529 ) 
 

 

 

       

 

 

  
Total net assets     100.00 %       $ 5,147,002,054  
 

 

 

       

 

 

  

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		  

Wells Fargo Core Bond Portfolio

     95 %      92 %    $ (83,336,439 )    $ (5,082,443 )    $ 85,418,390     $ 882,546     $ 5,152,746,583       100.11 % 

 

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

Table of Contents

 

10   Wells Fargo Core Bond Fund   Statement of assets and liabilities—November 30, 2018 (unaudited)
         

Assets

  

Investments in affiliated Master Portfolio (cost $5,223,381,132)

   $ 5,152,746,583  

Receivable for Fund shares sold

     7,587,425  

Receivable from manager

     122,625  

Prepaid expenses and other assets

     204,031  
 

 

 

  

Total assets

     5,160,660,664  
 

 

 

  

Liabilities

  

Payable for Fund shares redeemed

     10,851,296  

Dividends payable

     1,785,112  

Administration fees payable

     294,424  

Distribution fees payable

     31,320  

Trustees’ fees and expenses payable

     2,460  

Accrued expenses and other liabilities

     693,998  
 

 

 

  

Total liabilities

     13,658,610  
 

 

 

  

Total net assets

   $ 5,147,002,054  
 

 

 

  

NET ASSETS CONSIST OF

  

Paid-in capital

   $ 5,417,315,592  

Total distributable loss

     (270,313,538 ) 
 

 

 

  

Total net assets

   $ 5,147,002,054  
 

 

 

  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARE

  

Net assets – Class A

   $ 296,976,226  

Shares outstanding – Class A1

    23,479,180  

Net asset value per share – Class A

     $12.65  

Maximum offering price per share – Class A2

    $13.24  

Net assets – Class C

   $ 43,177,243  

Shares outstanding – Class C1

    3,446,644  

Net asset value per share – Class C

     $12.53  

Net assets – Class R

   $ 12,028,357  

Shares outstanding – Class R1

    974,179  

Net asset value per share – Class R

     $12.35  

Net assets – Class R4

   $ 11,242,263  

Shares outstanding – Class R41

    910,918  

Net asset value per share – Class R4

     $12.34  

Net assets – Class R6

   $ 2,184,335,876  

Shares outstanding – Class R61

    177,096,376  

Net asset value per share – Class R6

     $12.33  

Net assets – Administrator Class

   $ 242,063,045  

Shares outstanding – Administrator Class1

    19,603,274  

Net asset value per share – Administrator Class

     $12.35  

Net assets – Institutional Class

   $ 2,357,179,044  

Shares outstanding – Institutional Class1

    191,169,811  

Net asset value per share – Institutional Class

     $12.33  

 

 

1 

The Fund has an unlimited number of authorized shares.

 

2 

Maximum offering price is computed as 100/95.50 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.

Table of Contents

 

Statement of operations—six months ended November 30, 2018 (unaudited)   Wells Fargo Core Bond Fund     11  
         

Investment income

  

Interest allocated from affiliated Master Portfolio (net of foreign withholding taxes of $14,043)

   $ 85,418,390  

Affiliated income allocated from affiliated Master Portfolio

     882,546  

Expenses allocated from affiliated Master Portfolio

     (9,325,083 ) 
 

 

 

  

Total investment income

     76,975,853  
 

 

 

  

Expenses

  

Management fee

     1,323,887  

Administration fees

  

Class A

     251,074  

Class C

     37,040  

Class R

     9,895  

Class R4

     4,681  

Class R6

     331,935  

Administrator Class

     132,991  

Institutional Class

     995,687  

Shareholder servicing fees

  

Class A

     392,304  

Class C

     57,875  

Class R

     15,220  

Class R4

     5,852  

Administrator Class

     325,560  

Distribution fees

  

Class C

     173,624  

Class R

     15,461  

Custody and accounting fees

     93,586  

Professional fees

     13,224  

Registration fees

     120,587  

Shareholder report expenses

     165,462  

Trustees’ fees and expenses

     110,427  

Other fees and expenses

     23,113  
 

 

 

  

Total expenses

     4,599,485  

Less: Fee waivers and/or expense reimbursements

     (2,000,111 ) 
 

 

 

  

Net expenses

     2,599,374  
 

 

 

  

Net investment income

     74,376,479  
 

 

 

  

REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS

  

Net realized losses on securities transactions allocated from affiliated Master Portfolio

     (83,336,439 ) 

Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio

     (5,082,443 ) 
 

 

 

  

Net realized and unrealized gains (losses) on investments

     (88,418,882 ) 
 

 

 

  

Net decrease in net assets resulting from operations

   $ (14,042,403 ) 
 

 

 

  

 

 

 

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

Table of Contents

 

12   Wells Fargo Core Bond Fund   Statement of changes in net assets
     Six months ended
November 30, 2018
(unaudited)		     Year ended
May 31, 20181 		 

Operations

      

Net investment income

     $ 74,376,479       $ 109,290,228  

Net realized losses on investments

       (83,336,439 )        (51,477,064 ) 

Net change in unrealized gains (losses) on investments

       (5,082,443 )        (93,493,410 ) 
 

 

 

  

Net decrease in net assets resulting from operations

       (14,042,403 )        (35,680,246 ) 
 

 

 

  

Distributions to shareholders from net investment income and net realized gains

 

    

Class A

       (3,830,253 )        (6,146,453 ) 

Class C

       (391,332 )        (561,310 ) 

Class R

       (135,754 )        (203,058 ) 

Class R4

       (158,202 )        (706,139 ) 

Class R6

       (31,643,162 )        (24,689,238 ) 

Administrator Class

       (3,348,333 )        (6,023,458 ) 

Institutional Class

       (34,846,053 )        (70,984,919 ) 
 

 

 

  

Total distributions to shareholders

       (74,353,089 )        (109,314,575 ) 
 

 

 

  

Capital share transactions

     Shares         Shares    

Proceeds from shares sold

        

Class A

     2,325,324       29,622,480       5,948,905       78,111,325  

Class C

     165,552       2,092,760       660,100       8,585,693  

Class R

     121,656       1,517,591       314,720       4,024,861  

Class R4

     130,448       1,623,597       636,388       8,152,388  

Class R6

     89,845,786       1,122,140,411       65,439,055       837,238,882  

Administrator Class

     2,156,188       26,895,925       6,358,669       81,613,591  

Institutional Class

     24,204,858       301,105,302       109,824,335       1,402,149,298  
 

 

 

  
      1,484,998,066         2,419,876,038  
 

 

 

  

Reinvestment of distributions

        

Class A

     260,467       3,319,731       406,222       5,315,016  

Class C

     15,827       199,780       23,283       301,658  

Class R

     1,347       16,760       2,181       27,892  

Class R4

     12,709       158,058       51,321       658,202  

Class R6

     2,355,513       29,269,348       1,705,109       21,706,594  

Administrator Class

     258,711       3,219,319       457,541       5,851,867  

Institutional Class

     2,267,447       28,175,508       4,338,888       55,292,897  
 

 

 

  
      64,358,504         89,154,126  
 

 

 

  

Payment for shares redeemed

        

Class A

     (4,004,263 )      (51,001,075 )      (8,713,141 )      (114,094,388 ) 

Class C

     (490,722 )      (6,194,053 )      (1,437,868 )      (18,650,713 ) 

Class R

     (122,963 )      (1,530,518 )      (414,247 )      (5,296,848 ) 

Class R4

     (162,981 )      (2,023,698 )      (3,109,817 )      (39,224,105 ) 

Class R6

     (23,623,691 )      (293,537,076 )      (20,533,471 )      (261,667,805 ) 

Administrator Class

     (4,240,970 )      (52,729,832 )      (14,295,796 )      (183,753,304 ) 

Institutional Class

     (99,993,456 )      (1,247,096,858 )      (95,212,522 )      (1,214,837,005 ) 
 

 

 

  
      (1,654,113,110 )        (1,837,524,168 ) 
 

 

 

  

Net increase (decrease) in net assets resulting from capital share transactions

       (104,756,540 )        671,505,996  
 

 

 

  

Total increase (decrease) in net assets

       (193,152,032 )        526,511,175  
 

 

 

  

Net assets

      

Beginning of period

       5,340,154,086         4,813,642,911  
 

 

 

  

End of period

     $ 5,147,002,054       $ 5,340,154,086  
 

 

 

  

 

 

1 

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. Overdistributed net investment income at May 31, 2018 was $140,624. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 7, Distributions to Shareholders, in the notes to the financial statements

 

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

Table of Contents

 

Financial highlights   Wells Fargo Core Bond Fund     13  

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
CLASS A   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $12.86       $13.22       $13.28       $13.16       $12.98       $13.02  

Net investment income

     0.16       0.24       0.19 1        0.19 1        0.18       0.19  

Net realized and unrealized gains (losses) on investments

     (0.21 )      (0.36 )      0.00       0.12       0.19       0.12  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (0.05 )      (0.12 )      0.19       0.31       0.37       0.31  

Distributions to shareholders from

            

Net investment income

     (0.16 )      (0.24 )      (0.19 )      (0.19 )      (0.19 )      (0.20 ) 

Net realized gains

     0.00       0.00       (0.06 )      0.00       0.00       (0.15 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (0.16 )      (0.24 )      (0.25 )      (0.19 )      (0.19 )      (0.35 ) 

Net asset value, end of period

     $12.65       $12.86       $13.22       $13.28       $13.16       $12.98  

Total return2

    (0.42 )%      (0.96 )%      1.48 %      2.36 %      2.85 %      2.46 % 

Ratios to average net assets (annualized)

            

Gross expenses3

    0.83 %      0.83 %      0.83 %      0.83 %      0.85 %      0.83 % 

Net expenses3

    0.78 %      0.78 %      0.78 %      0.78 %      0.78 %      0.78 % 

Net investment income3

    2.44 %      1.79 %      1.40 %      1.43 %      1.39 %      1.52 % 

Supplemental data

            

Portfolio turnover rate4

    280 %      542 %      614 %      667 %      586 %      646 % 

Net assets, end of period (000s omitted)

     $296,976       $320,208       $360,276       $699,273       $506,043       $397,780  

 

 

1 

Calculated based upon average shares outstanding

 

2 

Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.35 % 

Year ended May 31, 2018

     0.35 % 

Year ended May 31, 2017

     0.35 % 

Year ended May 31, 2016

     0.35 % 

Year ended May 31, 2015

     0.35 % 

Year ended May 31, 2014

     0.35 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

14   Wells Fargo Core Bond Fund   Financial highlights

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
CLASS C   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $12.74       $13.09       $13.15       $13.03       $12.86       $12.90  

Net investment income

     0.11       0.14       0.09       0.09       0.09       0.10  

Net realized and unrealized gains (losses) on investments

     (0.21 )      (0.35 )      0.00       0.12       0.17       0.12  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (0.10 )      (0.21 )      0.09       0.21       0.26       0.22  

Distributions to shareholders from

            

Net investment income

     (0.11 )      (0.14 )      (0.09 )      (0.09 )      (0.09 )      (0.11 ) 

Net realized gains

     0.00       0.00       (0.06 )      0.00       0.00       (0.15 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (0.11 )      (0.14 )      (0.15 )      (0.09 )      (0.09 )      (0.26 ) 

Net asset value, end of period

     $12.53       $12.74       $13.09       $13.15       $13.03       $12.86  

Total return1

    (0.81 )%      (1.65 )%      0.72 %      1.61 %      2.02 %      1.71 % 

Ratios to average net assets (annualized)

            

Gross expenses2

    1.58 %      1.58 %      1.58 %      1.58 %      1.58 %      1.58 % 

Net expenses2

    1.53 %      1.53 %      1.53 %      1.53 %      1.53 %      1.53 % 

Net investment income2

    1.69 %      1.04 %      0.68 %      0.68 %      0.65 %      0.77 % 

Supplemental data

            

Portfolio turnover rate3

    280 %      542 %      614 %      667 %      586 %      646 % 

Net assets, end of period (000s omitted)

     $43,177       $47,843       $59,049       $66,612       $72,798       $81,187  

 

 

1 

Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

 

2 

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

 

Six months ended November 30, 2018 (unaudited)

     0.35 % 

Year ended May 31, 2018

     0.35 % 

Year ended May 31, 2017

     0.35 % 

Year ended May 31, 2016

     0.35 % 

Year ended May 31, 2015

     0.35 % 

Year ended May 31, 2014

     0.35 % 

 

3 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

Financial highlights   Wells Fargo Core Bond Fund     15  

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
CLASS R   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $12.55       $12.90       $12.97       $12.85       $12.67       $12.71  

Net investment income

    0.14       0.20 1        0.15 1        0.15 1        0.15 1        0.16 1   

Net realized and unrealized gains (losses) on investments

     (0.20 )      (0.35 )      (0.01 )      0.12       0.18       0.12  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (0.06 )      (0.15 )      0.14       0.27       0.33       0.28  

Distributions to shareholders from

            

Net investment income

     (0.14 )      (0.20 )      (0.15 )      (0.15 )      (0.15 )      (0.17 ) 

Net realized gains

     0.00       0.00       (0.06 )      0.00       0.00       (0.15 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (0.14 )      (0.20 )      (0.21 )      (0.15 )      (0.15 )      (0.32 ) 

Net asset value, end of period

     $12.35       $12.55       $12.90       $12.97       $12.85       $12.67  

Total return2

     (0.51 )%      (1.19 )%      1.15 %      2.13 %      2.63 %      2.23 % 

Ratios to average net assets (annualized)

            

Gross expenses3

    1.07 %      1.08 %      1.08 %      1.08 %      1.08 %      1.08 % 

Net expenses3

    1.03 %      1.03 %      1.03 %      1.03 %      1.03 %      1.03 % 

Net investment income3

    2.20 %      1.54 %      1.18 %      1.18 %      1.15 %      1.27 % 

Supplemental data

            

Portfolio turnover rate4

    280 %      542 %      614 %      667 %      586 %      646 % 

Net assets, end of period (000s omitted)

     $12,028       $12,230       $13,826       $17,985       $16,411       $17,077  

 

 

1 

Calculated based upon average shares outstanding

 

2 

Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.35 % 

Year ended May 31, 2018

     0.35 % 

Year ended May 31, 2017

     0.35 % 

Year ended May 31, 2016

     0.35 % 

Year ended May 31, 2015

     0.35 % 

Year ended May 31, 2014

     0.35 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

16   Wells Fargo Core Bond Fund   Financial highlights

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
CLASS R4   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $12.55       $12.89       $12.95       $12.83       $12.66       $12.70  

Net investment income

     0.17       0.26 1        0.22       0.22       0.21       0.22  

Net realized and unrealized gains (losses) on investments

     (0.21 )      (0.34 )      0.00       0.12       0.18       0.12  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (0.04 )      (0.08 )      0.22       0.34       0.39       0.34  

Distributions to shareholders from

            

Net investment income

     (0.17 )      (0.26 )      (0.22 )      (0.22 )      (0.22 )      (0.23 ) 

Net realized gains

     0.00       0.00       (0.06 )      0.00       0.00       (0.15 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (0.17 )      (0.26 )      (0.28 )      (0.22 )      (0.22 )      (0.38 ) 

Net asset value, end of period

     $12.34       $12.55       $12.89       $12.95       $12.83       $12.66  

Total return2

     (0.33 )%      (0.61 )%      1.74 %      2.65 %      3.07 %      2.75 % 

Ratios to average net assets (annualized)

            

Gross expenses3

    0.60 %      0.60 %      0.60 %      0.60 %      0.59 %      0.58 % 

Net expenses3

    0.52 %      0.52 %      0.52 %      0.52 %      0.52 %      0.52 % 

Net investment income3

    2.70 %      2.01 %      1.70 %      1.69 %      1.53 %      1.78 % 

Supplemental data

            

Portfolio turnover rate4

    280 %      542 %      614 %      667 %      586 %      646 % 

Net assets, end of period (000s omitted)

     $11,242       $11,680       $43,205       $41,272       $49,261       $17  

 

 

1 

Calculated based upon average shares outstanding

 

2 

Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.35 % 

Year ended May 31, 2018

     0.35 % 

Year ended May 31, 2017

     0.35 % 

Year ended May 31, 2016

     0.35 % 

Year ended May 31, 2015

     0.35 % 

Year ended May 31, 2014

     0.35 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

Financial highlights   Wells Fargo Core Bond Fund     17  

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
CLASS R6   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $12.54       $12.89       $12.95       $12.83       $12.66       $12.70  

Net investment income

     0.18       0.28       0.24       0.24       0.23       0.24  

Net realized and unrealized gains (losses) on investments

     (0.21 )      (0.35 )      0.00       0.12       0.17       0.12  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (0.03 )      (0.07 )      0.24       0.36       0.40       0.36  

Distributions to shareholders from

            

Net investment income

     (0.18 )      (0.28 )      (0.24 )      (0.24 )      (0.23 )      (0.25 ) 

Net realized gains

     0.00       0.00       (0.06 )      0.00       0.00       (0.15 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (0.18 )      (0.28 )      (0.30 )      (0.24 )      (0.23 )      (0.40 ) 

Net asset value, end of period

     $12.33       $12.54       $12.89       $12.95       $12.83       $12.66  

Total return1

     (0.26 )%      (0.54 )%      1.90 %      2.81 %      3.23 %      2.91 % 

Ratios to average net assets (annualized)

            

Gross expenses2

    0.45 %      0.45 %      0.45 %      0.45 %      0.45 %      0.45 % 

Net expenses2

    0.37 %      0.37 %      0.37 %      0.37 %      0.37 %      0.37 % 

Net investment income2

    2.86 %      2.24 %      1.87 %      1.84 %      1.76 %      1.94 % 

Supplemental data

            

Portfolio turnover rate3

    280 %      542 %      614 %      667 %      586 %      646 % 

Net assets, end of period (000s omitted)

     $2,184,336       $1,360,847       $797,896       $450,791       $726,165       $290,977  

 

 

1 

Returns for periods of less than one year are not annualized.

 

2 

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

 

Six months ended November 30, 2018 (unaudited)

     0.35 % 

Year ended May 31, 2018

     0.35 % 

Year ended May 31, 2017

     0.35 % 

Year ended May 31, 2016

     0.35 % 

Year ended May 31, 2015

     0.35 % 

Year ended May 31, 2014

     0.35 % 

 

3 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

18   Wells Fargo Core Bond Fund   Financial highlights

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
ADMINISTRATOR CLASS   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $12.56       $12.90       $12.97       $12.85       $12.67       $12.71  

Net investment income

     0.16       0.24 1        0.21       0.19       0.19 1        0.21  

Net realized and unrealized gains (losses) on investments

     (0.21 )      (0.34 )      (0.02 )      0.12       0.18       0.11  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (0.05 )      (0.10 )      0.19       0.31       0.37       0.32  

Distributions to shareholders from

            

Net investment income

     (0.16 )      (0.24 )      (0.20 )      (0.19 )      (0.19 )      (0.21 ) 

Net realized gains

     0.00       0.00       (0.06 )      0.00       0.00       (0.15 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (0.16 )      (0.24 )      (0.26 )      (0.19 )      (0.19 )      (0.36 ) 

Net asset value, end of period

     $12.35       $12.56       $12.90       $12.97       $12.85       $12.67  

Total return2

     (0.42 )%      (0.79 )%      1.48 %      2.47 %      2.96 %      2.57 % 

Ratios to average net assets (annualized)

            

Gross expenses3

    0.76 %      0.77 %      0.77 %      0.77 %      0.77 %      0.77 % 

Net expenses3

    0.70 %      0.70 %      0.70 %      0.70 %      0.70 %      0.70 % 

Net investment income3

    2.52 %      1.86 %      1.50 %      1.51 %      1.47 %      1.60 % 

Supplemental data

            

Portfolio turnover rate4

    280 %      542 %      614 %      667 %      586 %      646 % 

Net assets, end of period (000s omitted)

     $242,063       $269,057       $373,042       $529,530       $487,981       $412,419  

 

 

1 

Calculated based upon average shares outstanding

 

2 

Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.35 % 

Year ended May 31, 2018

     0.35 % 

Year ended May 31, 2017

     0.35 % 

Year ended May 31, 2016

     0.35 % 

Year ended May 31, 2015

     0.35 % 

Year ended May 31, 2014

     0.35 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

Financial highlights   Wells Fargo Core Bond Fund     19  

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
INSTITUTIONAL CLASS   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $12.54       $12.88       $12.95       $12.83       $12.66       $12.70  

Net investment income

     0.18       0.28       0.23       0.23       0.22       0.23  

Net realized and unrealized gains (losses) on investments

     (0.21 )      (0.34 )      (0.01 )      0.12       0.18       0.12  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (0.03 )      (0.06 )      0.22       0.35       0.40       0.35  

Distributions to shareholders from

            

Net investment income

     (0.18 )      (0.28 )      (0.23 )      (0.23 )      (0.23 )      (0.24 ) 

Net realized gains

     0.00       0.00       (0.06 )      0.00       0.00       (0.15 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (0.18 )      (0.28 )      (0.29 )      (0.23 )      (0.23 )      (0.39 ) 

Net asset value, end of period

     $12.33       $12.54       $12.88       $12.95       $12.83       $12.66  

Total return1

     (0.28 )%      (0.51 )%      1.77 %      2.76 %      3.17 %      2.85 % 

Ratios to average net assets (annualized)

            

Gross expenses2

    0.50 %      0.50 %      0.50 %      0.50 %      0.50 %      0.50 % 

Net expenses2

    0.42 %      0.42 %      0.42 %      0.42 %      0.42 %      0.42 % 

Net investment income2

    2.80 %      2.16 %      1.82 %      1.79 %      1.75 %      1.88 % 

Supplemental data

            

Portfolio turnover rate3

    280 %      542 %      614 %      667 %      586 %      646 % 

Net assets, end of period (000s omitted)

     $2,357,179       $3,318,290       $3,166,348       $2,102,073       $1,360,398       $1,208,745  

 

 

1 

Returns for periods of less than one year are not annualized.

 

2 

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

 

Six months ended November 30, 2018 (unaudited)

     0.35 % 

Year ended May 31, 2018

     0.35 % 

Year ended May 31, 2017

     0.35 % 

Year ended May 31, 2016

     0.35 % 

Year ended May 31, 2015

     0.35 % 

Year ended May 31, 2014

     0.35 % 

 

3 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

20   Wells Fargo Core Bond Fund   Notes to financial statements (unaudited)

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 Wells Fargo Core Bond Fund (the “Fund”) which is a diversified series of the Trust.

The Fund is a feeder fund in a master-feeder structure that invests substantially all of its assets in a single master portfolio with a substantially identical investment objective and substantially similar investment strategies. The Fund seeks to achieve its investment objective by investing all investable assets in a separate diversified portfolio (the “affiliated Master Portfolio”) of Wells Fargo Master Trust, a registered open-end management investment company. The affiliated Master Portfolio directly acquires portfolio securities and the Fund acquires an indirect interest in those securities. The Fund accounts for its investment in the affiliated Master Portfolio as a partnership investment and records on a daily basis its share of the affiliated Master Portfolio’s income, expense and realized and unrealized gains and losses. The financial statements of the affiliated Master Portfolio for the six months ended November 30, 2018 are included in this report and should be read in conjunction with the Fund’s financial statements. As of November 30, 2018, the Fund owned 92% of Wells Fargo Core Bond Portfolio.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the 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 Fund may deviate from this calculation time under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of the affiliated Master Portfolio’s net assets, which are also valued daily. Securities held in the affiliated Master Portfolio are valued as discussed in the Notes to Financial Statements of the affiliated Master Portfolio, which are included elsewhere in this report.

Investment transactions, income and expenses

Investments in the affiliated Master Portfolio are recorded on a trade basis.

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

Distributions to shareholders

Distributions to shareholders from net investment income are declared daily and paid monthly. Distributions from net realized gains, if any, 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 the Fund’s fiscal year end. Therefore, a portion of the 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

The 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.

The 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 the 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.

Table of Contents

 

Notes to financial statements (unaudited)   Wells Fargo Core Bond Fund     21  

As of November 30, 2018, the aggregate cost of all investments for federal income tax purposes was $5,246,291,065 and the unrealized gains (losses) consisted of:

 

Gross unrealized gains

    $ 0  

Gross unrealized losses

      (93,544,482 ) 

Net unrealized losses

    $ (93,544,482 ) 

As of May 31, 2018, the Fund had capital loss carryforwards which consist of $38,917,295 in short-term capital losses.

As of May 31, 2018, the Fund had current year deferred post-October capital losses consisting of $55,203,707 which were recognized on the first day of the current fiscal year.

Class allocations

The separate classes of shares offered by the 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 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 November 30, 2018, the affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective and the value of the affiliate Master Portfolio was as follows:

 

Affiliated Master Portfolio    Investment objective    Value of affiliated
Master Portfolio		  

Wells Fargo Core Bond Portfolio

    Seeks total return, consisting of income and capital appreciation    $ 5,152,746,583  

The 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 the 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 the Fund, supervising the subadviser, and providing fund-level administrative services in connection with the Fund’s operations. As long as the Fund continues to invest substantially all of its assets in a single affiliated Master Portfolio, the Fund pays Funds Management an investment management fee only for fund-level administrative services at an annual rate starting at 0.05% and declining to 0.03% as the average daily net assets of the Fund increase. For the six months ended November 30, 2018, the management fee was equivalent to an annual rate of 0.05% of the Fund’s average daily net assets.

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

Administration fees

Under a class-level administration agreement, Funds Management provides class-level administrative services to the 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

      0.16 % 

Class R4, Institutional Class

      0.08  

Class R6

      0.03  

Administrator Class

      0.10  

Table of Contents

 

22   Wells Fargo Core Bond Fund   Notes to financial statements (unaudited)

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; otherwise, waivers and/or reimbursements are applied against class specific expenses before fund level expenses. Net expenses from the affiliated Master Portfolio are included in the expense cap. Funds Management has committed through September 30, 2019 to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’s expenses at 0.78% for Class A shares, 1.53% for Class C shares, 1.03% for Class R shares, 0.52% for Class R4 shares, 0.37% for Class R6 shares, 0.70% for Administrator Class shares, and 0.42% for Institutional Class shares. After this time, 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 Fund 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, 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.

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 six months ended November 30, 2018, Funds Distributor received $2,381 from the sale of Class A shares. Funds Distributor did not receive any contingent deferred sales charges from Class A or Class C shares for the six months ended November 30, 2018.

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 the 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 Fund seeks to achieve its investment objective by investing substantially all of its investable assets in a single affiliated Master Portfolio. Purchases and sales have been calculated by multiplying the Fund’s ownership percentage of the affiliated Master Portfolio by the affiliated Master Portfolio’s purchases and sales. Purchases and sales of investments, excluding short-term securities, for the six months ended November 30, 2018 were as follows:

 

Purchases at cost

      Sales proceeds
U.S.
government		      Non-U.S.
government		      U.S.
government		      Non-U.S.
government
$13,620,244,376      $1,963,048,100      $13,708,500,058      $1,991,449,077

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 six months ended November 30, 2018, there were no borrowings by the Fund under the agreement.

Table of Contents

 

Notes to financial statements (unaudited)   Wells Fargo Core Bond Fund     23  

7. DISTRIBUTIONS TO SHAREHOLDERS

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. The amounts of distributions to shareholders for the year ended May 31, 2018 were as follows:

 

     Net investment income  

Class A

    $ 6,146,453  

Class C

      561,310  

Class R

      203,058  

Class R4

      706,139  

Class R6

      24,689,238  

Administrator Class

      6,023,458  

Institutional Class

      70,984,919  

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 Fund 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.

Table of Contents

 

24   Wells Fargo Core Bond Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  

Agency Securities: 36.90%

 

FHLMC (12 Month LIBOR +1.64%) ±

     2.80 %      1-1-2047      $ 4,968,798      $ 4,919,291  

FHLMC

     3.00       10-15-2047        34,535,212        33,502,716  

FHLMC

     3.00       11-15-2047        11,482,354        11,089,364  

FHLMC

     3.00       6-15-2048        18,722,167        17,973,888  

FHLMC

     3.50       12-1-2047        2,328,847        2,285,412  

FHLMC

     3.50       2-1-2048        3,491,358        3,425,775  

FHLMC

     3.50       3-1-2048            20,624,189        20,257,500  

FHLMC (12 Month LIBOR +1.64%) ±

     3.86       7-1-2048        3,173,685        3,213,886  

FHLMC

     4.00       4-1-2034        3,146,209        3,189,441  

FHLMC

     4.00       6-1-2034        185,758        188,320  

FHLMC

     4.00       1-1-2035        227,586        233,119  

FHLMC

     4.00       1-1-2036        359,755        366,496  

FHLMC

     4.00       10-1-2036        2,357,849        2,400,574  

FHLMC

     4.00       3-1-2037        298,070        303,943  

FHLMC

     4.00       3-1-2037        358,138        365,528  

FHLMC

     4.00       3-1-2037        577,429        588,272  

FHLMC

     4.00       4-1-2037        2,413,829        2,459,158  

FHLMC

     4.00       4-1-2037        3,022,029        3,095,549  

FHLMC

     4.00       8-1-2044        1,002,828        1,012,818  

FHLMC

     4.00       12-1-2045        1,022,865        1,031,571  

FHLMC

     4.00       2-1-2046        1,248,924        1,259,556  

FHLMC

     4.00       6-1-2046        2,161,018        2,179,415  

FHLMC

     4.00       4-1-2048        3,494,987        3,526,577  

FHLMC

     4.00       6-1-2048        4,924,399        4,968,910  

FHLMC

     4.00       6-1-2048        4,152,759        4,190,296  

FHLMC

     4.00       8-1-2048        23,351,967        23,502,547  

FHLMC

     4.00       9-1-2048        4,576,772        4,606,285  

FHLMC

     4.00       10-1-2048        51,587,414        51,918,743  

FHLMC

     4.00       11-1-2048        97,039,474        97,662,731  

FHLMC

     4.50       6-1-2039        259,509        271,455  

FHLMC

     4.50       7-1-2039        282,336        295,324  

FHLMC

     4.50       11-1-2048        43,171,570        44,428,590  

FHLMC

     5.00       6-1-2044        3,380,058        3,623,422  

FHLMC

     5.00       5-1-2048        12,517,733        13,336,582  

FHLMC

     5.00       6-1-2048        728,696        770,956  

FHLMC

     5.00       11-1-2048        17,099,000        17,937,275  

FHLMC

     6.50       4-1-2021        368        373  

FHLMC Series 1590 Class IA (1 Month LIBOR +1.05%) ±

     3.36       10-15-2023        15,360        15,660  

FHLMC Series 1897 Class K

     7.00       9-15-2026        567        611  

FHLMC Series 1935 Class FL (1 Month LIBOR +0.70%) ±

     2.98       2-15-2027        1,765        1,794  

FHLMC Series 2423 Class MC

     7.00       3-15-2032        10,495        11,636  

FHLMC Series 264 Class 30

     3.00       7-15-2042        19,147,384        18,499,741  

FHLMC Series 326 Class 300

     3.00       3-15-2044        15,395,942        14,881,062  

FHLMC Series 356 Class 300

     3.00       9-15-2047        5,000,004        4,806,167  

FHLMC Series 3838 Class QE

     3.50       1-15-2029        65,908        65,836  

FHLMC Series 4640 Class LD

     4.00       9-15-2043        15,632,376        16,024,494  

FHLMC Series 4700 Class QJ

     4.00       7-15-2044        10,775,646        11,058,928  

FHLMC Series 4705 Class A

     4.50       9-15-2042        7,324,389        7,626,480  

FHLMC Series 4763 Class CA

     3.00       9-15-2038        2,056,611        2,030,796  

FHLMC Series 4767 Class KA

     3.00       3-15-2048        10,316,572        10,179,129  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Core Bond Portfolio     25  

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  

Agency Securities (continued)

 

FHLMC Series 4786 Class DP

     4.50 %      7-15-2042      $ 5,782,456      $ 5,972,506  

FHLMC Series 4787 Class AK

     3.00       5-15-2048        15,909,702        15,256,863  

FHLMC Series 4796 Class AK

     3.00       5-15-2048        19,800,202        18,987,721  

FNMA

     1.50       4-25-2043        1,923,146        1,762,045  

FNMA (12 Month LIBOR +1.60%) ±

     2.95       8-1-2047        4,183,473        4,158,314  

FNMA

     3.00       11-1-2046        8,443,176        8,160,162  

FNMA (12 Month LIBOR +1.62%) ±

     3.14       3-1-2047        6,446,702        6,447,302  

FNMA

     3.50       9-1-2033        863,233        869,545  

FNMA

     3.50       8-1-2034        2,512,371        2,530,748  

FNMA

     3.50       5-1-2036        7,776,794        7,833,737  

FNMA

     3.50       9-1-2036        1,307,090        1,316,650  

FNMA

     3.50       12-1-2036        8,524,392        8,526,877  

FNMA

     3.50       2-1-2041            28,362,921        28,176,722  

FNMA

     3.50       2-1-2042        25,655,799        25,487,283  

FNMA

     3.50       5-1-2042        20,129,693        20,069,223  

FNMA

     3.50       5-1-2042        20,564,757        20,429,816  

FNMA

     3.50       6-1-2042        36,901,982        36,659,781  

FNMA

     3.50       11-1-2046        7,658,698        7,620,050  

FNMA

     3.50       11-1-2047        2,809,964        2,759,650  

FNMA

     3.50       12-1-2047        7,571,137        7,444,774  

FNMA

     3.50       1-1-2048        23,311,445        22,898,769  

FNMA

     3.50       2-1-2048        9,807,669        9,636,314  

FNMA %%

     3.50       12-13-2048        7,000,000        6,865,340  

FNMA

     3.50       9-1-2052        31,134,593        30,601,592  

FNMA (12 Month LIBOR +1.62%) ±

     3.73       8-1-2048        5,915,781        6,004,545  

FNMA (12 Month LIBOR +1.62%) ±

     3.74       7-1-2048        5,520,633        5,601,964  

FNMA (12 Month LIBOR +1.62%) ±

     3.75       8-1-2048        3,066,658        3,114,636  

FNMA (12 Month LIBOR +1.62%) ±

     3.85       10-1-2048        5,147,014        5,240,871  

FNMA

     4.00       7-1-2033        3,916,444        4,001,342  

FNMA

     4.00       9-1-2033        6,822,307        6,969,999  

FNMA

     4.00       12-1-2033        534,223        547,164  

FNMA

     4.00       4-1-2034        5,027,718        5,149,505  

FNMA

     4.00       7-1-2035        8,491,553        8,697,231  

FNMA

     4.00       11-1-2035        855,235        875,957  

FNMA

     4.00       11-1-2035        3,809,904        3,902,202  

FNMA

     4.00       1-1-2036        7,386,007        7,564,959  

FNMA

     4.00       1-1-2036        497,252        507,458  

FNMA

     4.00       7-1-2036        6,157,427        6,276,190  

FNMA

     4.00       9-1-2036        2,460,342        2,505,369  

FNMA

     4.00       11-1-2036        1,863,322        1,908,469  

FNMA

     4.00       12-1-2036        6,517,332        6,643,035  

FNMA

     4.00       12-1-2036        206,113        209,963  

FNMA

     4.00       12-1-2036        395,731        403,122  

FNMA

     4.00       1-1-2037        309,955        315,743  

FNMA

     4.00       2-1-2037        550,615        560,902  

FNMA

     4.00       2-1-2037        459,147        467,724  

FNMA

     4.00       3-1-2037        947,805        965,805  

FNMA

     4.00       3-1-2037        1,808,611        1,842,398  

FNMA

     4.00       3-1-2037        1,276,588        1,299,649  

FNMA

     4.00       3-1-2037        685,112        698,111  

 

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

Table of Contents

 

26   Wells Fargo Core Bond Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  

Agency Securities (continued)

 

FNMA

     4.00 %      3-1-2037      $ 1,010,923      $ 1,029,810  

FNMA

     4.00       3-1-2037        871,690        887,436  

FNMA

     4.00       3-1-2037        241,727        246,243  

FNMA

     4.00       3-1-2037        514,124        523,730  

FNMA

     4.00       3-1-2037        198,445        202,214  

FNMA

     4.00       4-1-2037        882,250        898,734  

FNMA

     4.00       4-1-2037        1,817,751        1,851,711  

FNMA

     4.00       5-1-2037        552,528        563,022  

FNMA

     4.00       5-1-2037        906,869        923,812  

FNMA

     4.00       5-1-2037        972,643        990,816  

FNMA

     4.00       5-1-2037        1,138,001        1,159,261  

FNMA

     4.00       6-1-2037        2,195,145        2,236,837  

FNMA

     4.00       7-1-2037        1,142,416        1,161,041  

FNMA

     4.00       7-1-2037        554,815        563,859  

FNMA

     4.00       7-1-2037        7,310,569        7,444,859  

FNMA

     4.00       9-1-2037        1,143,616        1,165,336  

FNMA

     4.00       9-1-2037        2,248,527        2,290,541  

FNMA

     4.00       9-1-2037        1,976,878        2,012,593  

FNMA

     4.00       10-1-2037        1,214,088        1,237,148  

FNMA

     4.00       10-1-2037        3,246,585        3,325,150  

FNMA

     4.00       11-1-2037        1,798,119        1,830,605  

FNMA

     4.00       12-1-2037        1,096,949        1,117,785  

FNMA

     4.00       12-1-2037        1,978,949        2,015,926  

FNMA

     4.00       1-1-2038        966,433        984,791  

FNMA

     4.00       1-1-2038        2,345,534        2,389,363  

FNMA

     4.00       1-1-2038        1,567,662        1,599,864  

FNMA

     4.00       9-1-2038        2,465,870        2,512,708  

FNMA

     4.00       5-1-2041            15,548,976        15,924,943  

FNMA

     4.00       5-1-2045        8,034,745        8,105,433  

FNMA

     4.00       5-1-2045        1,302,842        1,319,362  

FNMA

     4.00       9-1-2045        1,525,680        1,553,130  

FNMA

     4.00       10-1-2045        976,086        984,556  

FNMA

     4.00       12-1-2045        535,676        539,516  

FNMA

     4.00       12-1-2045        165,230        167,174  

FNMA

     4.00       12-1-2045        343,170        346,838  

FNMA

     4.00       5-1-2046        5,007,489        5,059,049  

FNMA

     4.00       7-1-2046        321,845        325,515  

FNMA

     4.00       4-1-2047        889,073        902,282  

FNMA

     4.00       4-1-2047        1,015,332        1,024,806  

FNMA

     4.00       4-1-2047        994,387        1,007,547  

FNMA

     4.00       5-1-2047        3,971,781        4,006,988  

FNMA

     4.00       10-1-2047        815,986        828,111  

FNMA

     4.00       10-1-2047        769,449        779,750  

FNMA

     4.00       11-1-2047        33,800,371        34,176,152  

FNMA

     4.00       2-1-2048        7,422,003        7,475,863  

FNMA

     4.00       3-1-2048        4,795,000        4,837,873  

FNMA

     4.00       3-1-2048        4,656,070        4,697,700  

FNMA

     4.00       3-1-2048        27,257,948        27,430,344  

FNMA

     4.00       4-1-2048        17,996,685        18,121,556  

FNMA

     4.00       5-1-2048        7,819,258        7,889,175  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Core Bond Portfolio     27  

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  

Agency Securities (continued)

 

FNMA

     4.00 %      5-1-2048      $ 2,111,468      $ 2,133,324  

FNMA

     4.00       6-1-2048        4,123,858        4,160,735  

FNMA

     4.00       7-1-2048        4,549,963        4,590,649  

FNMA

     4.00       8-1-2048        53,895,419        54,269,712  

FNMA

     4.00       9-1-2048        40,660,227        40,917,411  

FNMA

     4.00       9-1-2048        5,375,956        5,448,054  

FNMA

     4.00       10-1-2048        5,672,669        5,723,395  

FNMA %%

     4.00       12-13-2048        21,200,000        21,323,390  

FNMA

     4.50       5-1-2034        1,896,182        1,969,097  

FNMA

     4.50       6-1-2041        319,676        330,935  

FNMA

     4.50       3-1-2043        3,626,799        3,773,217  

FNMA

     4.50       3-1-2044        1,129,539        1,171,109  

FNMA

     4.50       10-1-2045        6,019,142        6,214,414  

FNMA

     4.50       2-1-2046        145,348        149,944  

FNMA

     4.50       8-1-2048            46,211,595        47,547,722  

FNMA ##

     4.50       11-1-2048        49,987,364        51,478,504  

FNMA %%

     4.50       12-13-2048        1,700,000        1,747,928  

FNMA

     5.00       7-1-2044        640,105        674,560  

FNMA

     5.00       5-1-2048        6,306,677        6,653,105  

FNMA

     5.00       6-1-2048        1,798,208        1,897,110  

FNMA

     5.00       6-1-2048        1,597,100        1,689,884  

FNMA

     5.00       6-1-2048        13,175,470        14,063,101  

FNMA

     5.00       11-1-2048        16,599,073        17,707,915  

FNMA

     5.00       8-1-2056        21,946,164        23,202,414  

FNMA

     6.00       4-1-2022        5,793        6,234  

FNMA

     6.00       2-1-2029        5,601        6,091  

FNMA

     6.00       3-1-2033        40,055        43,804  

FNMA

     6.00       11-1-2033        14,495        15,854  

FNMA Series 1998-38 Class PL

     6.00       11-25-2028        265,452        285,324  

FNMA Series 1999-54 Class LH

     6.50       11-25-2029        9,654        10,406  

FNMA Series 2005-31 Class PB

     5.50       4-25-2035        70,000        75,713  

FNMA Series 2014-40 Class EP

     3.50       10-25-2042        3,298,402        3,322,337  

FNMA Series 2017-13 Class PA

     3.00       8-25-2046        6,048,797        5,942,060  

FNMA Series 2017-M7 Class A2 ±±

     2.96       2-25-2027        2,108,000        2,006,437  

FNMA Series 2018-12 Class P

     3.00       3-25-2046        7,253,031        7,084,311  

FNMA Series 2018-14 Class KC

     3.00       3-25-2048        6,543,878        6,527,518  

FNMA Series 2018-15 Class AB

     3.00       3-25-2048        2,283,484        2,253,776  

FNMA Series 2018-15 Class CA

     3.00       3-25-2048        2,437,529        2,396,965  

FNMA Series 2018-38 Class LA

     3.00       6-25-2048        19,645,449        18,636,997  

FNMA Series 2018-4 Class HC

     2.50       12-25-2047        6,120,506        5,818,291  

FNMA Series 2018-43 Class CT

     3.00       6-25-2048        18,725,710        18,042,918  

FNMA Series 2018-45 Class GA

     3.00       6-25-2048        40,647,812        39,165,679  

FNMA Series 2018-50 Class BA

     3.00       7-25-2048        39,991,090        38,250,957  

FNMA Series 2018-56 Class CH

     3.00       8-25-2048        9,284,237        8,954,836  

FNMA Series 2018-57 Class PT

     3.00       8-25-2048        7,396,876        7,097,549  

FNMA Series 2018-59 Class DA

     3.00       8-25-2048        20,807,622        19,962,052  

FNMA Series 2018-63 Class DA

     3.50       9-25-2048        5,785,280        5,758,756  

FNMA Series 2018-8 Class KL

     2.50       3-25-2047        7,502,000        7,130,171  

FNMA Series 414 Class A35

     3.50       10-25-2042        17,256,763        17,144,764  

GNMA

     3.50       9-20-2045        34,604,826        34,299,502  

 

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

Table of Contents

 

28   Wells Fargo Core Bond Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  

Agency Securities (continued)

 

GNMA

     3.50 %      5-20-2046      $ 4,042,647      $ 4,010,554  

GNMA

     3.50       7-20-2046        16,904,576        16,808,088  

GNMA

     3.50       1-20-2047        3,478,298        3,446,207  

GNMA

     3.50       1-20-2048        12,095,587        11,976,057  

GNMA

     3.50       1-20-2048        6,730,626        6,664,791  

GNMA

     3.50       1-20-2048        2,181,388        2,163,537  

GNMA

     3.50       1-20-2048        6,167,614        6,101,824  

GNMA

     4.00       3-20-2048        2,602,466        2,640,358  

GNMA

     4.00       4-20-2048        3,949,616        4,007,124  

GNMA

     4.00       4-20-2048        2,987,593        3,035,376  

GNMA

     4.00       4-20-2048        1,978,568        2,011,767  

GNMA

     4.50       10-20-2048            76,761,115        79,234,688  

GNMA

     4.50       11-20-2048        5,731,553        5,917,824  

GNMA %%

     4.50       12-20-2048        6,175,253        6,377,154  

GNMA %%

     4.50       1-23-2049        400,000        412,012  

GNMA

     5.00       12-20-2039        251,406        272,102  

GNMA

     5.00       11-20-2045        408,220        443,520  

GNMA

     5.00       4-20-2048        1,453,644        1,544,985  

GNMA

     5.00       8-20-2048        41,556,316        43,456,171  

GNMA

     5.00       9-20-2048        28,845,223        30,173,996  

GNMA

     5.00       11-20-2048        21,879,558        22,887,471  

GNMA %%

     5.00       12-19-2048        6,300,000        6,572,542  

GNMA %%

     5.00       12-20-2048        17,892,998        18,706,825  

GNMA %%

     5.00       1-23-2049        89,300,000        93,027,137  

GNMA %%

     5.00       2-21-2049        57,000,000        59,299,433  

GNMA Series 2012-141 Class WA ±±

     4.53       11-16-2041        1,858,865        1,956,149  

GNMA Series 2017-167 Class BQ

     2.50       8-20-2044        9,714,861        9,350,112  

Total Agency Securities (Cost $2,069,752,173)

 

      2,056,573,682  
  

 

 

  

Asset-Backed Securities: 10.91%

 

Ally Auto Receivables Trust Series 2015-1 Class A4

     1.75       5-15-2020        1,456,050        1,454,335  

Ally Auto Receivables Trust Series 2015-2 Class A4

     1.84       6-15-2020        1,637,129        1,633,263  

Ally Master Owner Trust Series 2017-1 Class A (1 Month LIBOR +0.40%) ±

     2.71       2-15-2021        2,468,000        2,468,815  

American Express Credit Account Master Trust 2018-9 Class A (1 Month LIBOR +0.38%) ±

     2.69       4-15-2026        2,909,000        2,910,253  

Americredit Automobile Receivables Series 2018-1 Class A3

     3.07       12-19-2022        2,541,000        2,534,197  

Avis Budget Rental Car Funding LLC Series 2017-1a Class A 144A

     3.07       9-20-2023        3,164,000        3,090,985  

Barclays Dryrock Issuance Trust Series 2018-1 Class A (1 Month LIBOR +0.33%) ±

     2.64       7-15-2024        6,116,000        6,126,721  

Capital Auto Receivables Asset Trust Series 2015-3 Class A4

     2.13       5-20-2020        881,317        880,542  

Capital Auto Receivables Asset Trust Series 2015-4 Class A4

     2.01       7-20-2020        3,406,270        3,399,375  

Capital Auto Receivables Asset Trust Series 2016-1 Class A4

     1.98       10-20-2020        2,455,000        2,447,692  

Capital Auto Receivables Asset Trust Series 2016-2 Class A4

     1.63       1-20-2021        964,000        957,516  

College Avenue Student Loan Trust Series 2017-A Class A1 (1 Month LIBOR +1.65%) 144A ±

     3.97       11-26-2046        4,424,963        4,514,125  

College Avenue Student Loan Trust Series 2018-A Class A2 144A

     4.13       12-26-2047        3,093,621        3,100,985  

Discover Card Execution Note Trust Series 2014 Class A4

     2.12       12-15-2021        4,440,000        4,419,568  

Ford Credit Auto Owner Trust Series 2015-A Class A4

     1.64       6-15-2020        994,520        993,168  

Ford Credit Auto Owner Trust Series 2017-1 Class A 144A

     2.62       8-15-2028        2,218,000        2,163,873  

Ford Credit Auto Owner Trust Series 2017-2 Class A 144A

     2.36       3-15-2029        5,889,000        5,659,072  

Ford Credit Auto Owner Trust Series 2017-A Class A4

     1.92       4-15-2022        3,576,000        3,507,406  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Core Bond Portfolio     29  

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  

Asset-Backed Securities (continued)

 

Ford Credit Auto Owner Trust Series 2018-1 Class A 144A

     3.19 %      7-15-2031      $ 8,597,000      $ 8,346,661  

Ford Credit Auto Owner Trust Series 2018-2 Class A 144A

     3.47       1-15-2030        6,074,000        6,048,809  

Hertz Vehicle Financing LLC Series 2015-1A Class A 144A

     2.73       3-25-2021        17,213,000        17,072,717  

Hertz Vehicle Financing LLC Series 2015-3A Class A 144A

     2.67       9-25-2021        9,811,000        9,649,291  

Hertz Vehicle Financing LLC Series 2016-2A Class A2 144A

     2.95       3-25-2022        3,863,000        3,813,875  

Hertz Vehicle Financing LLC Series 2016-3A Class B 144A

     3.11       7-25-2020        2,186,000        2,178,279  

Hertz Vehicle Financing LLC Series 2016-4A Class A 144A

     2.65       7-25-2022            10,270,000        9,982,797  

Hertz Vehicle Financing LLC Series 2017-1A Class A 144A

     2.96       10-25-2021        4,777,000        4,707,739  

Hertz Vehicle Financing LLC Series 2017-2A Class A 144A

     3.29       10-25-2023        7,635,000        7,441,797  

Hertz Vehicle Financing LLC Series 2018-2A Class A 144A

     3.65       6-27-2022        5,490,000        5,488,584  

Hertz Vehicle Financing LLC Series 2018-3A Class A 144A

     4.03       7-25-2024        8,575,000        8,574,989  

Navient Student Loan Trust Series 2014-1 Class A3 (1 Month LIBOR +0.51%) ±

     2.79       6-25-2031        4,771,688        4,780,906  

Navient Student Loan Trust Series 2014-AA Class A3 (1 Month LIBOR +1.60%) 144A±

     3.91       10-15-2031        6,169,000        6,365,704  

Navient Student Loan Trust Series 2014-CTA Class A (1 Month LIBOR +0.70%) 144A±

     3.01       9-16-2024        1,525,692        1,528,601  

Navient Student Loan Trust Series 2015-1 Class A2 (1 Month LIBOR +0.60%) ±

     2.91       4-25-2040        5,044,244        5,039,720  

Navient Student Loan Trust Series 2015-CA Class B 144A

     3.25       5-15-2040        2,766,000        2,764,142  

Navient Student Loan Trust Series 2016-3A Class A2 (1 Month LIBOR +0.85%) 144A±

     3.17       6-25-2065        2,867,782        2,882,074  

Navient Student Loan Trust Series 2016-AA Class A2B (1 Month LIBOR +2.15%) 144A±

     4.46       12-15-2045        3,047,823        3,179,788  

Navient Student Loan Trust Series 2017-2A Class A (1 Month LIBOR +0.77%) 144A±

     3.08       9-25-2065        8,793,948        8,846,924  

Navient Student Loan Trust Series 2017-3A Class A (1 Month LIBOR +0.85%) 144A±

     3.16       2-25-2066        9,189,978        9,271,847  

Navient Student Loan Trust Series 2017-4A Class A2 (1 Month LIBOR +0.50%) 144A±

     2.82       9-27-2066        8,147,000        8,171,787  

Navient Student Loan Trust Series 2017-A Class A2B (1 Month LIBOR +0.90%) 144A±

     3.21       12-16-2058        8,966,000        8,959,175  

Navient Student Loan Trust Series 2018-BA Class A2B (1 Month LIBOR +0.72%) 144A±

     3.03       12-15-2059        3,840,000        3,826,056  

Navient Student Loan Trust Series 2018-A Class A2 144A

     3.19       2-18-2042        2,233,000        2,186,913  

Navient Student Loan Trust Series 2018-CA Class A2 144A

     3.52       6-16-2042        2,507,000        2,499,287  

Navient Student Loan Trust Series 2018-DA Class A2A 144A

     4.00       12-15-2059        13,496,000        13,595,036  

Navient Student Loan Trust Series 2018-EA Class A2 144A

     4.00       12-15-2059        6,822,000        6,890,414  

Nelnet Student Loan Trust Series 2004-4 Class A5 (3 Month LIBOR +0.16%) ±

     2.65       1-25-2037        4,414,426        4,387,732  

Nelnet Student Loan Trust Series 2004-5 Class A5 (3 Month LIBOR +0.18%) ±

     2.67       10-27-2036        3,083,203        3,048,804  

Nelnet Student Loan Trust Series 2005-1 Class A5 (3 Month LIBOR +0.11%) ±

     2.60       10-25-2033        17,128,377        17,021,104  

Nelnet Student Loan Trust Series 2005-2 Class A5 (3 Month LIBOR +0.10%) ±

     2.47       3-23-2037        21,561,131        21,349,314  

Nelnet Student Loan Trust Series 2005-3 Class A5 (3 Month LIBOR +0.12%) ±

     2.49       12-24-2035        19,346,326        19,201,820  

Nelnet Student Loan Trust Series 2005-4 Class A4 (3 Month LIBOR +0.18%) ±

     2.55       3-22-2032        4,392,772        4,294,066  

Nelnet Student Loan Trust Series 2010-4A Class A (1 Month LIBOR +0.80%) 144A±

     3.12       4-25-2046        1,639,089        1,651,158  

Nelnet Student Loan Trust Class 2010-2A Class A (3 Month LIBOR +0.85%) 144A±

     3.22       9-25-2048        18,698,941        18,938,285  

Nelnet Student Loan Trust Series 2012-4A Class A (1 Month LIBOR +0.70%) 144A±

     3.02       9-27-2038        16,433,486        16,552,887  

Nelnet Student Loan Trust Series 2014-1A Class A (1 Month LIBOR +0.57%) 144A±

     2.88       9-25-2041        2,449,603        2,453,684  

Nelnet Student Loan Trust Series 2016-1A Class A (1 Month LIBOR +0.80%) 144A±

     3.12       9-25-2065        8,561,276        8,637,266  

Nelnet Student Loan Trust Series 2018-3A Class A2 (1 Month LIBOR +0.44%) 144A±

     2.76       9-27-2066        2,846,000        2,849,614  

SLM Student Loan Trust Series 2006-10 Class A6 (3 Month LIBOR +0.15%) ±

     2.64       3-25-2044        20,830,000        20,159,614  

SLM Student Loan Trust Series 2013-4 Class A (1 Month LIBOR +0.55%) ±

     2.87       6-25-2043        1,921,658        1,924,585  

SLM Student Loan Trust Series 2003-1 Class A5C (3 Month LIBOR +0.75%) 144A±

     3.08       12-15-2032        3,910,775        3,831,947  

SLM Student Loan Trust Series 2004-10 Class A7A (3 Month LIBOR +0.60%) 144A±

     3.09       10-25-2029        12,249,000        12,293,008  

SLM Student Loan Trust Series 2005-10 Class A5 (3 Month LIBOR +0.13%) ±

     2.62       7-26-2021        2,833,553        2,806,003  

SLM Student Loan Trust Series 2006-1 Class A5 (3 Month LIBOR +0.11%) ±

     2.60       7-26-2021        13,093,374        12,905,300  

SLM Student Loan Trust Series 2006-3 Class A5 (3 Month LIBOR +0.10%) ±

     2.59       1-25-2021        7,478,107        7,404,982  

SLM Student Loan Trust Series 2007-1 Class A5 (3 Month LIBOR +0.09%) ±

     2.58       1-26-2026        1,440,006        1,436,755  

SLM Student Loan Trust Series 2007-2 Class A4 (3 Month LIBOR +0.06%) ±

     2.55       7-25-2022        11,939,000        11,664,408  

SLM Student Loan Trust Series 2010-1 Class A (1 Month LIBOR +0.40%) ±

     2.72       3-25-2025        1,954,706        1,911,095  

 

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

Table of Contents

 

30   Wells Fargo Core Bond Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  

Asset-Backed Securities (continued)

 

SLM Student Loan Trust Series 2012-1 Class A3 (1 Month LIBOR +0.95%) ±

     3.26 %      9-25-2028      $ 13,790,819      $ 13,812,940  

SLM Student Loan Trust Series 2012-2 Class A (1 Month LIBOR +0.70%) ±

     3.02       1-25-2029        11,856,848        11,783,544  

SLM Student Loan Trust Series 2012-6 Class A3 (1 Month LIBOR +0.75%) ±

     3.07       5-26-2026        3,178,447        3,178,444  

SLM Student Loan Trust Series 2013-B Class A2B (1 Month LIBOR +1.10%) 144A±

     3.41       6-17-2030        406,153        407,447  

SMB Private Education Loan Trust Series 2015-A Class A2B (1 Month LIBOR +1.00%) 144A±

     3.31       6-15-2027        4,531,370        4,571,247  

SMB Private Education Loan Trust Series 2015-B Class A2A 144A

     2.98       7-15-2027        2,558,098        2,539,138  

SMB Private Education Loan Trust Series 2015-C Class A2B (1 Month LIBOR +1.40%) 144A±

     3.71       7-15-2027        2,450,306        2,485,035  

SMB Private Education Loan Trust Series 2016-A Class A2A 144A

     2.70       5-15-2031        10,077,111        9,926,111  

SMB Private Education Loan Trust Series 2016-A Class A2B (1 Month LIBOR +1.50%) 144A±

     3.81       5-15-2031        13,250,703        13,548,458  

SMB Private Education Loan Trust Series 2016-B Class A2A 144A

     2.43       2-17-2032        8,056,154        7,815,791  

SMB Private Education Loan Trust Series 2016-B Class A2B (1 Month LIBOR +1.45%) 144A±

     3.76       2-17-2032        13,186,880        13,462,900  

SMB Private Education Loan Trust Series 2016-C Class A2A 144A

     2.34       9-15-2034        11,556,402        11,234,414  

SMB Private Education Loan Trust Series 2016-C Class A2B (1 Month LIBOR +1.10%) 144A±

     3.41       9-15-2034        10,266,076        10,389,703  

SMB Private Education Loan Trust Series 2017-A Class A2B (1 Month LIBOR +0.90%) 144A±

     3.21       9-15-2034        3,756,000        3,776,894  

SMB Private Education Loan Trust Series 2017-B Class A2B (1 Month LIBOR +0.75%) 144A±

     3.06       10-15-2035        7,998,000        7,997,987  

SMB Private Education Loan Trust Series 2018-C Class A2A 144A

     3.63       11-15-2035        6,580,000        6,580,442  

SMB Private Education Loan Trust Series 2018-C Class A2B (1 Month LIBOR +0.75%) 144A±

     3.06       11-15-2035        7,851,000        7,863,284  

SMB Private Education Loan Trust Series 2018-A Class A2B (1 Month LIBOR +0.80%) 144A±

     3.11       2-15-2036        4,315,000        4,327,464  

SMB Private Education Loan Trust Series 2018-B Class A2B (1 Month LIBOR +0.72%) 144A±

     3.03       1-15-2037        7,041,000        7,024,414  

Structured Asset Securities Corporation Series 1998-2 Class A (1 Month LIBOR +0.52%) ±

     2.84       2-25-2028        12,224        12,142  

Synchrony Credit Card Master Note Trust Series 2018-2 Class A

     3.47       5-15-2026        2,324,000        2,326,946  

World Financial Network Credit Card Master Trust Series 2014-B Class A4

     1.68       12-15-2020        1,459,810        1,459,343  

World Financial Network Credit Card Master Trust Series 2015-B Class A

     2.55       6-17-2024        444,000        437,654  

World Financial Network Credit Card Master Trust Series 2016-A Class A

     2.03       4-15-2025        8,931,000        8,643,098  

World Financial Network Credit Card Master Trust Series 2016-C Class A

     1.72       8-15-2023        3,854,000        3,807,162  

World Financial Network Credit Card Master Trust Series 2017-A Class A

     2.12       3-15-2024        7,015,000        6,903,617  

World Financial Network Credit Card Master Trust Series 2017-C Class A

     2.31       8-15-2024            12,914,000        12,678,309  

World Omni Auto Receivables Trust Series 2016-A Class A4

     1.95       5-16-2022        6,143,000        6,061,027  

Total Asset-Backed Securities (Cost $607,613,026)

 

      608,134,189  
  

 

 

  

Corporate Bonds and Notes: 19.76%

 

Communication Services: 2.05%

 

Diversified Telecommunication Services: 0.79%

 

AT&T Incorporated

     3.40       5-15-2025        4,226,000        3,933,734  

AT&T Incorporated 144A

     5.15       2-15-2050        6,594,000        5,919,713  

AT&T Incorporated

     4.75       5-15-2046        2,074,000        1,789,431  

AT&T Incorporated

     5.25       3-1-2037        3,950,000        3,760,343  

AT&T Incorporated

     5.45       3-1-2047        5,713,000        5,412,456  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Core Bond Portfolio     31  

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  
Diversified Telecommunication Services (continued)

 

Verizon Communications Incorporated

     4.13 %      8-15-2046      $ 6,119,000      $ 5,277,203  

Verizon Communications Incorporated

     4.15       3-15-2024        2,074,000        2,095,402  

Verizon Communications Incorporated

     4.27       1-15-2036        1,988,000        1,823,957  

Verizon Communications Incorporated

     4.33       9-21-2028        5,618,000        5,583,779  

Verizon Communications Incorporated

     4.40       11-1-2034        4,503,000        4,272,178  

Verizon Communications Incorporated

     4.67       3-15-2055        1,054,000        948,197  

Verizon Communications Incorporated

     5.50       3-16-2047        3,068,000        3,204,281  
            44,020,674  
         

 

 

  
Media: 1.26%

 

21st Century Fox America Incorporated

     4.95       10-15-2045        2,048,000        2,170,464  

Charter Communications Operating LLC

     4.46       7-23-2022        2,031,000        2,034,246  

Charter Communications Operating LLC

     5.38       5-1-2047        1,409,000        1,257,243  

Charter Communications Operating LLC

     5.38       4-1-2038        1,812,000        1,651,972  

Charter Communications Operating LLC

     5.75       4-1-2048        5,419,000        5,051,479  

Comcast Corporation

     3.30       10-1-2020        11,789,000        11,788,219  

Comcast Corporation

     3.45       10-1-2021        9,472,000        9,482,687  

Comcast Corporation

     3.70       4-15-2024        8,211,000        8,185,385  

Comcast Corporation

     3.95       10-15-2025        5,791,000        5,770,810  

Comcast Corporation

     4.00       3-1-2048        3,155,000        2,774,972  

Comcast Corporation

     4.15       10-15-2028        4,736,000        4,696,248  

Comcast Corporation

     4.60       10-15-2038        4,416,000        4,325,208  

Comcast Corporation

     4.95       10-15-2058        4,641,000        4,558,159  

Time Warner Cable Incorporated

     3.80       2-15-2027        1,685,000        1,570,234  

Time Warner Cable Incorporated

     6.55       5-1-2037        1,469,000        1,490,939  

Walt Disney Company «

     4.13       6-1-2044        1,054,000        1,021,802  

Warner Media LLC

     5.35       12-15-2043        1,037,000        972,752  

Warner Media LLC

     5.38       10-15-2041        1,659,000        1,576,416  
            70,379,235  
         

 

 

  

Consumer Discretionary: 0.74%

 

Automobiles: 0.31%

 

General Motors Company

     5.00       10-1-2028        1,054,000        989,044  

General Motors Company

     5.95       4-1-2049        6,554,000        5,913,362  

Volkswagen Group America Company 144A

     4.75       11-13-2028        10,905,000        10,413,486  
            17,315,892  
         

 

 

  
Hotels, Restaurants & Leisure: 0.36%

 

GLP Capital LP / GLP FInancing II Incorporated

     5.30       1-15-2029        4,148,000        4,002,820  

Starbucks Corporation

     3.80       8-15-2025            11,443,000        11,257,448  

Starbucks Corporation

     4.00       11-15-2028        4,827,000        4,732,645  
            19,992,913  
         

 

 

  
Internet & Direct Marketing Retail: 0.07%

 

Amazon.com Incorporated

     2.80       8-22-2024        3,929,000        3,757,591  
         

 

 

  

 

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

Table of Contents

 

32   Wells Fargo Core Bond Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  

Consumer Staples: 2.22%

 

Beverages: 0.59%

 

Anheuser Busch InBev Worldwide Incorporated

     3.50 %      1-12-2024      $ 7,297,000      $ 7,037,406  

Constellation Brands Incorporated

     3.20       2-15-2023        7,372,000        7,127,476  

Constellation Brands Incorporated

     3.60       2-15-2028        5,972,000        5,501,859  

Constellation Brands Incorporated

     3.70       12-6-2026        1,685,000        1,583,316  

Constellation Brands Incorporated

     4.40       11-15-2025        2,429,000        2,419,836  

Constellation Brands Incorporated

     4.50       5-9-2047        907,000        804,425  

Constellation Brands Incorporated

     4.65       11-15-2028        5,704,000        5,700,376  

Constellation Brands Incorporated

     5.25       11-15-2048        2,532,000        2,517,989  
            32,692,683  
         

 

 

  
Food & Staples Retailing: 0.60%

 

Costco Wholesale Corporation

     2.75       5-18-2024        4,563,000        4,410,623  

Costco Wholesale Corporation

     3.00       5-18-2027        7,113,000        6,724,122  

CVS Caremark Corporation

     4.00       12-5-2023        3,129,000        3,106,218  

Walmart Incorporated

     3.40       6-26-2023        5,600,000        5,589,521  

Walmart Incorporated

     3.70       6-26-2028        13,028,000        12,896,751  

Walmart Incorporated

     4.05       6-29-2048        1,059,000        1,017,195  
            33,744,430  
         

 

 

  
Food Products: 0.71%

 

Kraft Heinz Foods Company

     2.80       7-2-2020        6,292,000        6,214,129  

Kraft Heinz Foods Company

     4.38       6-1-2046        3,340,000        2,715,704  

Nestle Holdings Incorporated 144A

     3.10       9-24-2021        6,978,000        6,968,867  

Nestle Holdings Incorporated 144A

     3.35       9-24-2023        8,492,000        8,434,565  

Nestle Holdings Incorporated 144A

     3.50       9-24-2025        3,399,000        3,372,203  

Nestle Holdings Incorporated 144A

     3.63       9-24-2028        6,638,000        6,550,863  

Nestle Holdings Incorporated 144A

     3.90       9-24-2038        2,404,000        2,292,366  

Nestle Holdings Incorporated 144A

     4.00       9-24-2048        3,104,000        2,932,588  
            39,481,285  
         

 

 

  
Household Products: 0.08%

 

Church & Dwight Company Incorporated

     2.45       8-1-2022        1,599,000        1,525,175  

Church & Dwight Company Incorporated

     3.15       8-1-2027        2,636,000        2,428,381  

Church & Dwight Company Incorporated

     3.95       8-1-2047        786,000        685,196  
            4,638,752  
         

 

 

  
Tobacco: 0.24%

 

Bat Capital Corporation

     2.30       8-14-2020        3,189,000        3,102,255  

Bat Capital Corporation

     2.76       8-15-2022        1,904,000        1,803,392  

Bat Capital Corporation

     3.56       8-15-2027        2,022,000        1,801,221  

Bat Capital Corporation

     4.54       8-15-2047        3,211,000        2,607,710  

Reynolds American Incorporated

     5.85       8-15-2045        4,053,000        3,921,175  
            13,235,753  
         

 

 

  

Energy: 2.14%

 

Electric Utilities: 0.04%

 

Emera US Finance LP

     4.75       6-15-2046        2,558,000        2,386,665  
         

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Core Bond Portfolio     33  

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  
Energy Equipment & Services: 0.10%

 

Schlumberger Holdings Corporation 144A

     4.00 %      12-21-2025      $ 5,722,000      $ 5,610,520  
         

 

 

  
Oil, Gas & Consumable Fuels: 2.00%

 

Anadarko Petroleum Corporation

     3.45       7-15-2024        3,414,000        3,254,574  

Anadarko Petroleum Corporation

     4.85       3-15-2021        2,359,000        2,407,796  

Andeavor Logistics LP

     3.50       12-1-2022        2,403,000        2,322,197  

BP Capital Markets America Incorporated

     3.80       9-21-2025        6,309,000        6,244,657  

BP Capital Markets America Incorporated

     3.94       9-21-2028        15,521,000        15,264,907  

Cimarex Energy Company

     4.38       6-1-2024        7,243,000        7,077,000  

Dominion Gas Holdings LLC

     4.80       11-1-2043        294,000        286,978  

Enbridge Energy Partners LP

     7.38       10-15-2045        1,167,000        1,426,796  

Energy Transfer Partners LP

     5.50       6-1-2027        4,926,000        4,913,685  

Energy Transfer Partners LP

     6.00       6-15-2048        2,947,000        2,837,594  

Energy Transfer Partners LP

     6.13       12-15-2045        3,587,000        3,442,741  

Energy Transfer Partners LP

     6.50       2-1-2042        1,132,000        1,141,099  

Enterprise Products Operating LLC

     3.50       2-1-2022        6,949,000        6,898,838  

Enterprise Products Operating LLC

     4.15       10-16-2028        4,632,000        4,520,814  

Hess Corporation

     5.60       2-15-2041        838,000        742,909  

Hess Corporation

     5.80       4-1-2047        2,904,000        2,598,739  

HollyFrontier Corporation

     5.88       4-1-2026        2,731,000        2,799,578  

Kinder Morgan Energy Partners LP

     4.25       9-1-2024        1,599,000        1,578,609  

Kinder Morgan Incorporated 144A

     5.00       2-15-2021        6,413,000        6,532,389  

Kinder Morgan Incorporated

     5.55       6-1-2045        2,532,000        2,472,194  

Marathon Petroleum Corporation

     4.75       9-15-2044        2,273,000        2,023,236  

MPLX LP

     4.13       3-1-2027        2,069,000        1,943,536  

MPLX LP

     4.70       4-15-2048        968,000        826,244  

MPLX LP

     4.80       2-15-2029        1,136,000        1,117,857  

MPLX LP

     5.20       3-1-2047        2,074,000        1,870,743  

MPLX LP

     5.50       2-15-2049        2,778,000        2,654,318  

Newfield Exploration Company

     5.63       7-1-2024        7,844,000        8,020,490  

Newfield Exploration Company

     5.75       1-30-2022        1,435,000        1,463,700  

Northwest Pipeline LLC 144A

     4.00       4-1-2027        5,505,000        5,284,716  

Western Gas Partners LP

     5.50       8-15-2048        296,000        262,643  

Williams Companies Incorporated

     4.55       6-24-2024        2,576,000        2,579,114  

Williams Companies Incorporated

     5.40       3-4-2044        2,092,000        1,969,024  

Williams Companies Incorporated

     5.75       6-24-2044        2,740,000        2,696,149  
            111,475,864  
         

 

 

  

Financials: 3.63%

 

Banks: 2.20%

 

Bank of America Corporation

     3.25       10-21-2027        4,969,000        4,566,890  

Bank of America Corporation

     3.30       1-11-2023        5,782,000        5,638,540  

Bank of America Corporation (3 Month LIBOR +1.37%) ±

     3.59       7-21-2028        2,022,000        1,905,361  

Bank of America Corporation (3 Month LIBOR +1.51%) ±

     3.71       4-24-2028        7,713,000        7,282,448  

Bank of America Corporation (3 Month LIBOR +0.94%) ±

     3.86       7-23-2024            18,677,000        18,497,565  

Bank of America Corporation

     4.00       4-1-2024        5,237,000        5,219,675  

Bank of America Corporation (3 Month LIBOR +1.81%) ±

     4.24       4-24-2038        312,000        291,221  

Bank of America Corporation

     4.45       3-3-2026        3,258,000        3,200,185  

Capital One NA

     2.65       8-8-2022        3,432,000        3,275,500  

 

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

Table of Contents

 

34   Wells Fargo Core Bond Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  
Banks (continued)

 

Citigroup Incorporated

     3.20 %      10-21-2026      $ 6,767,000      $ 6,182,287  

Citigroup Incorporated (3 Month LIBOR +1.39%) ±

     3.67       7-24-2028        2,277,000        2,132,114  

Citigroup Incorporated (3 Month LIBOR +1.02%) ±

     4.04       6-1-2024        7,415,000        7,366,715  

Citigroup Incorporated (3 Month LIBOR +1.19%) ±

     4.08       4-23-2029        2,040,000        1,960,250  

Citigroup Incorporated

     4.45       9-29-2027        8,608,000        8,313,918  

Comerica Incorporated

     3.70       7-31-2023        9,639,000        9,551,434  

JPMorgan Chase & Company (3 Month LIBOR +0.61%) ±

     3.51       6-18-2022        2,109,000        2,100,989  

JPMorgan Chase & Company (3 Month LIBOR +1.36%) ±

     3.88       7-24-2038        5,353,000        4,773,124  

JPMorgan Chase & Company (3 Month LIBOR +1.00%) ±%%

     4.02       12-5-2024        6,215,000        6,200,657  

JPMorgan Chase & Company (3 Month LIBOR +1.58%) ±

     4.26       2-22-2048        2,152,000        1,959,316  

JPMorgan Chase & Company (3 Month LIBOR +1.33%) ±%%

     4.45       12-5-2029        4,147,000        4,149,443  

KeyCorp

     4.15       10-29-2025        2,141,000        2,147,867  

PNC Bank

     4.05       7-26-2028        2,040,000        2,009,973  

Santander Holdings USA %%

     4.45       12-3-2021        13,639,000        13,664,049  
            122,389,521  
         

 

 

  
Capital Markets: 0.52%

 

Goldman Sachs Group Incorporated

     3.50       11-16-2026        2,982,000        2,748,229  

Goldman Sachs Group Incorporated (3 Month LIBOR +1.37%) ±

     4.02       10-31-2038        2,083,000        1,820,877  

Goldman Sachs Group Incorporated (3 Month LIBOR +1.30%) ±

     4.22       5-1-2029        6,180,000        5,910,307  

Goldman Sachs Group Incorporated (3 Month LIBOR +1.43%) ±

     4.41       4-23-2039        5,661,000        5,199,686  

Lazard Group LLC

     4.50       9-19-2028        5,013,000        4,893,796  

Morgan Stanley

     2.63       11-17-2021        5,730,000        5,539,865  

Morgan Stanley

     2.75       5-19-2022        24,000        23,119  

PPL Capital Funding Incorporated

     3.10       5-15-2026        3,111,000        2,874,968  
            29,010,847  
         

 

 

  
Consumer Finance: 0.32%

 

Capital One Financial Corporation

     2.40       10-30-2020            3,870,000        3,779,052  

Capital One Financial Corporation

     3.20       1-30-2023        2,930,000        2,831,198  

Capital One Financial Corporation

     4.25       4-30-2025        4,874,000        4,800,925  

ERAC USA Finance LLC 144A

     4.50       2-15-2045        382,000        349,685  

Ford Motor Credit Company LLC «

     3.82       11-2-2027        1,034,000        871,736  

Ford Motor Credit Company LLC

     4.14       2-15-2023        1,178,000        1,116,467  

Ford Motor Credit Company LLC

     5.29       12-8-2046        2,828,000        2,274,374  

General Motors Financial Company Incorporated

     5.15       4-1-2038        1,996,000        1,699,229  
            17,722,666  
         

 

 

  
Diversified Financial Services: 0.12%

 

Voya Financial Incorporated

     3.13       7-15-2024        6,050,000        5,695,738  

Voya Financial Incorporated

     4.80       6-15-2046        994,000        930,989  
            6,626,727  
         

 

 

  
Insurance: 0.47%

 

American International Group Incorporated

     4.20       4-1-2028        3,224,000        3,075,168  

American International Group Incorporated

     4.38       1-15-2055        1,616,000        1,309,689  

American International Group Incorporated

     6.25       5-1-2036        1,546,000        1,645,520  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Core Bond Portfolio     35  

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  
Insurance (continued)

 

Brighthouse Financial

     3.70 %      6-22-2027      $ 2,161,000      $ 1,840,544  

Liberty Mutual Group Incorporated 144A

     4.25       6-15-2023        2,092,000        2,107,013  

MetLife Incorporated

     4.60       5-13-2046        2,593,000        2,546,407  

Prudential Financial Incorporated

     4.60       5-15-2044        1,037,000        996,938  

Torchmark Corporation

     4.55       9-15-2028        6,309,000        6,309,725  

Willis North America Incorporated

     4.50       9-15-2028        6,534,000        6,406,828  
            26,237,832  
         

 

 

  

Health Care: 2.60%

 

Biotechnology: 0.72%

 

AbbVie Incorporated

     2.50       5-14-2020        7,994,000        7,876,377  

AbbVie Incorporated

     3.75       11-14-2023        4,581,000        4,508,057  

AbbVie Incorporated

     4.25       11-14-2028        9,896,000        9,488,667  

AbbVie Incorporated

     4.88       11-14-2048        4,849,000        4,421,176  

Celgene Corporation

     2.75       2-15-2023        7,485,000        7,101,078  

Celgene Corporation

     2.88       2-19-2021        2,074,000        2,035,950  

Celgene Corporation

     4.35       11-15-2047        1,305,000        1,091,651  

Celgene Corporation

     4.55       2-20-2048        4,352,000        3,773,277  
            40,296,233  
         

 

 

  
Health Care Equipment & Supplies: 0.65%

 

Abbott Laboratories

     3.75       11-30-2026        3,811,000        3,727,833  

Abbott Laboratories

     4.90       11-30-2046        3,112,000        3,214,403  

Becton Dickinson & Company

     2.40       6-5-2020        7,001,000        6,871,420  

Becton Dickinson & Company

     3.70       6-6-2027        3,463,000        3,228,414  

Becton Dickinson & Company

     3.73       12-15-2024        5,575,000        5,382,717  

Becton Dickinson & Company

     4.67       6-6-2047        1,438,000        1,336,718  

Becton Dickinson & Company

     4.69       12-15-2044        5,073,000        4,658,450  

Boston Scientific Corporation

     4.00       3-1-2028        1,043,000        994,254  

Edwards Lifesciences Corporation

     4.30       6-15-2028        6,892,000        6,867,050  
            36,281,259  
         

 

 

  
Health Care Providers & Services: 1.02%

 

Anthem Incorporated

     2.95       12-1-2022        2,316,000        2,234,431  

CVS Health Corporation

     3.70       3-9-2023        10,518,000        10,350,577  

CVS Health Corporation

     4.30       3-25-2028            12,579,000        12,252,908  

CVS Health Corporation

     4.78       3-25-2038        6,404,000        6,118,765  

CVS Health Corporation

     5.05       3-25-2048        4,321,000        4,185,661  

Halfmoon Parent Incorporated 144A

     4.90       12-15-2048        3,917,000        3,740,345  

Halfmoon Parent Incorporated 144A

     3.40       9-17-2021        4,728,000        4,687,505  

Halfmoon Parent Incorporated 144A

     3.75       7-15-2023        7,959,000        7,852,084  

Halfmoon Parent Incorporated 144A

     4.38       10-15-2028        4,876,000        4,787,935  

Halfmoon Parent Incorporated 144A

     4.80       8-15-2038        458,000        443,356  
            56,653,567  
         

 

 

  
Pharmaceuticals: 0.21%

 

GlaxoSmithKline Capital Incorporated

     3.38       5-15-2023        10,345,000        10,240,001  

Pfizer Incorporated

     4.20       9-15-2048        1,673,000        1,631,600  
            11,871,601  
         

 

 

  

 

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

Table of Contents

 

36   Wells Fargo Core Bond Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  

Industrials: 1.70%

 

Aerospace & Defense: 0.80%

 

Northrop Grumman Corporation

     2.08 %      10-15-2020      $ 4,840,000      $ 4,728,519  

Northrop Grumman Corporation

     2.55       10-15-2022        6,793,000        6,492,869  

Northrop Grumman Corporation

     2.93       1-15-2025        302,000        285,033  

Northrop Grumman Corporation

     3.25       8-1-2023        6,266,000        6,105,420  

Northrop Grumman Corporation

     3.25       1-15-2028        2,878,000        2,676,638  

Northrop Grumman Corporation

     4.03       10-15-2047        1,971,000        1,764,124  

The Boeing Company

     3.55       3-1-2038        888,000        815,584  

United Technologies Corporation

     3.65       8-16-2023        8,046,000        7,930,277  

United Technologies Corporation

     4.13       11-16-2028        8,159,000        8,013,560  

United Technologies Corporation

     4.45       11-16-2038        3,882,000        3,748,997  

United Technologies Corporation

     4.63       11-16-2048        2,326,000        2,230,262  
            44,791,283  
         

 

 

  
Air Freight & Logistics: 0.14%

 

FedEx Corporation

     4.40       1-15-2047        1,253,000        1,112,133  

FedEx Corporation

     4.55       4-1-2046        3,371,000        3,067,078  

FedEx Corporation

     4.95       10-17-2048        3,932,000        3,824,859  
            8,004,070  
         

 

 

  
Airlines: 0.09%

 

Delta Air Lines Incorporated

     3.80       4-19-2023        3,785,000        3,696,249  

Delta Air Lines Incorporated

     4.38       4-19-2028        1,428,000        1,363,500  
            5,059,749  
         

 

 

  
Construction & Engineering: 0.06%

 

Valmont Industries Incorporated

     5.00       10-1-2044            2,031,000        1,776,017  

Valmont Industries Incorporated

     5.25       10-1-2054        2,014,000        1,750,961  
            3,526,978  
         

 

 

  
Industrial Conglomerates: 0.04%

 

General Electric Capital Corporation

     5.88       1-14-2038        2,564,000        2,382,044  
         

 

 

  
Machinery: 0.14%

 

Wabtec Corporation

     4.15       3-15-2024        3,457,000        3,337,469  

Wabtec Corporation

     4.70       9-15-2028        4,581,000        4,336,564  
            7,674,033  
         

 

 

  
Road & Rail: 0.14%

 

Burlington Northern Santa Fe LLC

     4.05       6-15-2048        3,155,000        2,906,037  

CSX Corporation

     4.25       3-15-2029        2,107,000        2,107,356  

CSX Corporation

     4.75       11-15-2048        2,530,000        2,494,797  
            7,508,190  
         

 

 

  
Trading Companies & Distributors: 0.23%

 

Air Lease Corporation

     3.50       1-15-2022        2,669,000        2,624,089  

Air Lease Corporation

     3.63       4-1-2027        5,618,000        5,023,645  

Air Lease Corporation

     3.63       12-1-2027        5,488,000        4,780,970  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Core Bond Portfolio     37  

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  
Trading Companies & Distributors (continued)

 

Air Lease Corporation

     4.63 %      10-1-2028      $ 305,000      $ 292,629  
            12,721,333  
         

 

 

  
Transportation Infrastructure: 0.06%

 

Crowley Conro LLC

     4.18       8-15-2043        2,968,000        2,994,212  
         

 

 

  

Information Technology: 1.15%

 

IT Services: 0.17%

 

Fiserv Incorporated

     3.80       10-1-2023        3,469,000        3,463,763  

Fiserv Incorporated

     4.20       10-1-2028        5,929,000        5,861,587  
            9,325,350  
         

 

 

  
Software: 0.48%

 

Microsoft Corporation

     2.00       8-8-2023        5,229,000        4,917,903  

Microsoft Corporation

     3.30       2-6-2027        4,170,000        4,059,110  

Microsoft Corporation

     4.00       2-12-2055        1,661,000        1,565,024  

Microsoft Corporation

     4.10       2-6-2037        3,448,000        3,457,313  

Microsoft Corporation

     4.25       2-6-2047        4,676,000        4,730,246  

Microsoft Corporation

     4.50       2-6-2057        2,504,000        2,575,157  

Oracle Corporation

     2.63       2-15-2023        2,843,000        2,745,203  

Oracle Corporation

     2.95       11-15-2024        1,521,000        1,454,824  

Oracle Corporation

     3.80       11-15-2037        1,556,000        1,425,358  
            26,930,138  
         

 

 

  
Technology Hardware, Storage & Peripherals: 0.50%

 

Apple Incorporated

     2.85       5-11-2024        3,941,000        3,797,526  

Apple Incorporated

     3.20       5-13-2025        1,269,000        1,228,362  

Apple Incorporated

     3.20       5-11-2027            10,924,000        10,390,300  

Apple Incorporated

     3.75       11-13-2047        735,000        656,493  

Apple Incorporated

     4.25       2-9-2047        4,123,000        4,007,018  

Apple Incorporated

     4.38       5-13-2045        1,945,000        1,923,134  

Apple Incorporated

     4.50       2-23-2036        2,082,000        2,156,158  

Hewlett Packard Enterprise Company

     6.35       10-15-2045        4,174,000        3,870,387  
            28,029,378  
         

 

 

  

Materials: 0.82%

 

Chemicals: 0.39%

 

CF Industries Incorporated 144A

     3.40       12-1-2021        6,370,000        6,260,969  

CF Industries Incorporated 144A

     4.50       12-1-2026        4,287,000        4,204,300  

Dow Chemical Company 144A

     4.80       11-30-2028        2,729,000        2,736,272  

Dow Chemical Company 144A

     5.55       11-30-2048        1,658,000        1,678,096  

Eastman Chemical Company

     4.65       10-15-2044        2,377,000        2,082,642  

The Sherwin-Williams Company

     2.75       6-1-2022        2,967,000        2,845,531  

Westlake Chemical Corporation

     3.60       8-15-2026        2,107,000        1,928,827  
            21,736,637  
         

 

 

  

 

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

Table of Contents

 

38   Wells Fargo Core Bond Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  
Construction Materials: 0.01%

 

Vulcan Materials Company

     4.50 %      6-15-2047      $ 732,000      $ 597,683  
         

 

 

  
Containers & Packaging: 0.27%

 

Avery Dennison Corporation %%

     4.88       12-6-2028        4,428,000        4,414,145  

International Paper Company

     4.35       8-15-2048        1,819,000        1,513,409  

International Paper Company

     4.40       8-15-2047        631,000        532,457  

International Paper Company

     5.15       5-15-2046        5,471,000        5,086,097  

Westrock Company 144A

     4.00       3-15-2028        1,905,000        1,801,046  

Westrock Company 144A%%

     4.90       3-15-2029        1,450,000        1,457,822  
            14,804,976  
         

 

 

  
Metals & Mining: 0.15%

 

Barrick Gold Finance Company LLC

     5.70       5-30-2041        2,494,000        2,596,376  

Nucor Corporation

     3.95       5-1-2028        1,357,000        1,334,286  

Nucor Corporation

     4.40       5-1-2048        1,043,000        968,708  

Southern Copper Corporation

     5.88       4-23-2045        2,550,000        2,518,618  

Southern Copper Corporation

     7.50       7-27-2035        995,000        1,134,300  
            8,552,288  
         

 

 

  

Real Estate: 0.93%

 

Equity REITs: 0.93%

 

Boston Properties LP

     4.50       12-1-2028            3,843,000        3,845,719  

DDR Corporation «

     4.25       2-1-2026        926,000        893,543  

DDR Corporation

     4.63       7-15-2022        5,834,000        5,976,436  

ERP Operating LP

    
 4.15
  
    
 12/1/2028
  
      1,592,000        1,591,622  

Mid-America Apartments LP

     3.60       6-1-2027        2,066,000        1,945,440  

Mid-America Apartments LP

     3.75       6-15-2024        5,142,000        5,017,735  

Mid-America Apartments LP

     4.00       11-15-2025        2,636,000        2,580,137  

Mid-America Apartments LP

     4.30       10-15-2023        2,204,000        2,221,937  

Public Storage

     2.37       9-15-2022        5,721,000        5,491,191  

Public Storage

     3.09       9-15-2027        4,537,000        4,216,895  

Regency Centers LP

     3.60       2-1-2027        2,092,000        1,971,033  

Regency Centers LP

     4.13       3-15-2028        1,413,000        1,367,196  

Store Capital Corporation

     4.50       3-15-2028        8,098,000        7,847,161  

Tanger Properties LP

     3.75       12-1-2024        2,550,000        2,444,745  

Tanger Properties LP

     3.88       12-1-2023        2,769,000        2,698,960  

Washington Prime Group Incorporated «

     5.95       8-15-2024        1,988,000        1,846,043  
            51,955,793  
         

 

 

  

Utilities: 1.78%

 

Electric Utilities: 1.35%

 

Alliant Energy Finance LLC 144A

     4.25       6-15-2028        3,446,000        3,387,451  

American Electric Power Company Incorporated

     4.30       12-1-2028        4,560,000        4,547,264  

American Transmission Systems Incorporated 144A

     5.00       9-1-2044        1,141,000        1,172,492  

Appalachian Power Company

     3.30       6-1-2027        1,383,000        1,300,162  

Duke Energy Corporation

     1.80       9-1-2021        4,537,000        4,315,341  

Duquesne Light Holdings Incorporated 144A

     3.62       8-1-2027        6,534,000        6,065,974  

Emera US Finance LP

     3.55       6-15-2026        2,085,000        1,948,678  

FirstEnergy Corporation

     4.85       7-15-2047        1,059,000        1,019,306  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Core Bond Portfolio     39  

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  
Electric Utilities (continued)

 

FirstEnergy Transmission LLC 144A

     5.45 %      7-15-2044      $ 873,000      $ 920,694  

Indiana Michigan Power Company

     4.55       3-15-2046        2,117,000        2,102,357  

IPALCO Enterprises Incorporated

     3.70       9-1-2024        5,075,000        4,847,868  

Mid-Atlantic Interstate Transmission LLC 144A

     4.10       5-15-2028        4,123,000        3,991,154  

Mississippi Power Company

     3.95       3-30-2028            5,239,000        5,076,370  

Pacific Gas & Electric Company

     2.95       3-1-2026        3,132,000        2,584,442  

Pacific Gas & Electric Company

     3.30       3-15-2027        3,641,000        2,996,824  

Pacific Gas & Electric Company

     3.30       12-1-2027        3,221,000        2,657,644  

Pacific Gas & Electric Company

     4.00       12-1-2046        1,058,000        808,291  

Pacific Gas & Electric Company

     4.25       3-15-2046        1,055,000        817,184  

Pacific Gas & Electric Company

     5.80       3-1-2037        327,000        302,189  

Pacific Gas & Electric Company

     6.05       3-1-2034        1,898,000        1,819,530  

South Carolina Edison Company

     3.70       8-1-2025        2,489,000        2,432,052  

South Carolina Edison Company

     4.13       3-1-2048        7,770,000        6,933,626  

South Carolina Electric & Gas Company

     4.25       8-15-2028        3,440,000        3,443,491  

Southern California Edison Company

     3.40       6-1-2023        2,771,000        2,706,465  

Southern California Edison Company

     3.50       10-1-2023        1,719,000        1,672,692  

Southwestern Electric Power Company

     2.75       10-1-2026        985,000        902,717  

Southwestern Electric Power Company

     3.85       2-1-2048        1,572,000        1,341,450  

Southwestern Electric Power Company

     3.90       4-1-2045        1,383,000        1,207,811  

Virginia Electric Power Company

     4.60       12-1-2048        1,821,000        1,816,402  
            75,137,921  
         

 

 

  
Multi-Utilities: 0.43%

 

Ameren Illinois Company

     4.50       3-15-2049        3,162,000        3,192,021  

Consumers Energy Company

     3.45       8-15-2027        1,054,000        997,859  

Consumers Energy Company

     3.80       11-15-2028        1,059,000        1,056,707  

Dominion Energy Incorporated

     4.25       6-1-2028        3,915,000        3,867,054  

Dominion Resources Incorporated

     1.60       8-15-2019        3,915,000        3,869,419  

Dominion Resources Incorporated

     2.00       8-15-2021        3,025,000        2,880,821  

Pacific Gas & Electric Corporation

     4.75       2-15-2044        737,000        616,368  

Sempra Energy

     4.00       2-1-2048        6,410,000        5,294,160  

Sempra Energy

     2.90       2-1-2023        2,347,000        2,241,019  
            24,015,428  
         

 

 

  

Total Corporate Bonds and Notes (Cost $1,135,799,378)

 

      1,101,569,994  
         

 

 

  

Foreign Corporate Bonds and Notes @: 0.04%

 

Energy: 0.04%

 

Oil, Gas & Consumable Fuels: 0.04%

 

EnCana Corporation (CAD)

     6.63       8-15-2037        1,945,000        2,102,382  
         

 

 

  

Total Foreign Corporate Bonds and Notes (Cost $2,343,120)

 

      2,102,382  
         

 

 

  

Municipal Obligations: 0.52%

 

California: 0.16%

 

GO Revenue: 0.16%

 

California Build America Bonds

     7.60       11-1-2040      $ 1,580,000        2,267,142  

Los Angeles CA Community College District Build America Bonds

     6.75       8-1-2049        4,670,000        6,515,724  
            8,782,866  
         

 

 

  

 

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

Table of Contents

 

40   Wells Fargo Core Bond Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  

Illinois: 0.02%

 

GO Revenue: 0.02%

 

Illinois Taxable Pension

     5.10 %      6-1-2033      $     1,065,000      $ 1,009,663  
         

 

 

  

Nevada: 0.08%

 

Airport Revenue: 0.08%

 

Clark County NV Airport Authority Build America Bonds Series C

     6.82       7-1-2045        3,365,000        4,614,593  
         

 

 

  

New York: 0.12%

 

Airport Revenue: 0.12%

 

Port Authority of New York & New Jersey Consolidated Bonds Series 174

     4.46       10-1-2062        6,705,000        6,643,314  
         

 

 

  

Ohio: 0.03%

 

Education Revenue: 0.03%

 

Ohio State University General Receipts Taxable Bonds Series A

     4.80       6-1-2111        1,957,000        1,994,790  
         

 

 

  

Texas: 0.11%

 

Transportation Revenue: 0.11%

 

North Texas Tollway Authority

     6.72       1-1-2049        4,460,000        6,059,624  
         

 

 

  

Total Municipal Obligations (Cost $26,493,760)

 

      29,104,850  
         

 

 

  

Non-Agency Mortgage-Backed Securities: 4.82%

 

Benchmark Mortgage Trust Series 2018-B1 Class ASB ±±

     3.60       1-15-2051        1,620,000        1,607,012  

CD Commercial Mortgage Trust Series 2016-CD1 Class A1

     1.44       8-10-2049        1,206,223        1,175,085  

CD Commercial Mortgage Trust Series 2016-CD1 Class ASB

     2.62       8-10-2049        4,881,000        4,667,789  

CD Commercial Mortgage Trust Series 2017-CD4 Class ASB

     3.32       5-10-2050        2,105,000        2,074,109  

CD Commercial Mortgage Trust Series 2017-CD6 Class ASB

     3.33       11-13-2050        5,323,000        5,188,726  

CD Commercial Mortgage Trust Series 2018-CD7 Class A4

     4.28       8-15-2051        938,000        960,392  

CFCRE Commercial Mortgage Trust Series 2016-C3 Class A1

     1.79       1-10-2048        1,595,053        1,570,470  

CFCRE Commercial Mortgage Trust Series 2016-C4 Class A4

     3.28       5-10-2058        2,857,000        2,734,221  

CFCRE Commercial Mortgage Trust Series 2016-C7 Class A2

     3.59       12-10-2054        2,861,000        2,793,399  

CFCRE Commercial Mortgage Trust Series 2016-C7 Class A3

     3.84       12-10-2054        4,014,000        3,980,638  

CFCRE Commercial Mortgage Trust Series 2017-C8 Class A1

     1.96       6-15-2050        1,360,878        1,331,010  

CFCRE Commercial Mortgage Trust Series 2017-C8 Class ASB

     3.37       6-15-2050        2,014,000        1,983,802  

Citigroup Commercial Mortgage Trust Series 2015-GC29 Class AS

     3.46       4-10-2048        1,353,000        1,322,393  

Commercial Mortgage Pass-Through Certificate Series 2012-CR3 Class A3

     2.82       10-15-2045        2,240,762        2,186,927  

Commercial Mortgage Pass-Through Certificate Series 2012-UBS5 Class A3

     3.55       9-10-2047        1,038,000        1,040,226  

Commercial Mortgage Pass-Through Certificate Series 2013-CR10 Class A2

     2.97       8-10-2046        60,931        60,107  

Commercial Mortgage Pass-Through Certificate Series 2013-CR12 Class A4

     4.05       10-10-2046        2,289,000        2,336,253  

Commercial Mortgage Pass-Through Certificate Series 2014-UBS2 Class A5

     3.96       3-10-2047        1,747,000        1,769,311  

Commercial Mortgage Pass-Through Certificate Series 2016-C1 Class ASB

     2.97       10-10-2049        2,071,000        2,011,600  

Commercial Mortgage Trust Series 2012-CR4 Class A2

     1.80       10-15-2045        493,295        470,436  

Commercial Mortgage Trust Series 2013-CR11 Class A1

     1.47       8-10-2050        77,286        77,186  

Commercial Mortgage Trust Series 2014-UBS4 Class AM

     3.97       8-10-2047        3,113,000        3,096,604  

Commercial Mortgage Trust Series 2014-UBS6 Class A5

     3.64       12-10-2047        4,020,000        3,997,919  

Commercial Mortgage Trust Series 2015-DC1 Class A5

     3.35       2-10-2048        3,271,000        3,191,773  

Commercial Mortgage Trust Series 2018-COR3 Class A3

     4.23       5-10-2051        2,336,000        2,376,339  

Commercial Real Estate Products & Resources Estate Series 2016-C4 Class ASB

     3.09       5-10-2058        2,871,000        2,805,302  

Credit Suisse Mortgage Trust Series 2016-NSXR Class A4 ±±

     3.79       12-15-2049        7,167,000        7,084,346  

CSAIL Commercial Mortgage Trust Series 2015-C3 Class A4

     3.72       8-15-2048        2,954,000        2,941,428  

CSAIL Commercial Mortgage Trust Series 2015-C4 Class A4

     3.81       11-15-2048        6,095,200        6,078,863  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Core Bond Portfolio     41  

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  

Non-Agency Mortgage-Backed Securities (continued)

 

CSAIL Commercial Mortgage Trust Series 2016-C5 Class ASB

     3.53 %      11-15-2048      $ 865,000      $ 863,288  

DBGS Mortgage Trust Series 2018-C1 Class A4

     4.47       10-15-2051        6,526,000        6,769,361  

Deutsche Bank Commercial Mortgage Trust Series 2017-C6 Class ASB

     3.12       6-10-2050        1,249,000        1,208,454  

GS Mortgage Securities Trust Series 2012-GCJ7 Class AAB

     2.94       5-10-2045        335,161        333,894  

GS Mortgage Securities Trust Series 2014-GCJ18 Class A3

     3.80       1-10-2047        1,904,000        1,916,427  

GS Mortgage Securities Trust Series 2015-GC34 Class A4

     3.51       10-10-2048        2,820,000        2,773,252  

GS Mortgage Securities Trust Series 2016-GS3 Class A4

     2.85       10-10-2049        2,075,000        1,939,750  

GS Mortgage Securities Trust Series 2016-GS3 Class AAB

     2.78       10-10-2049        3,117,000        3,013,923  

Impact Funding LLC Series 2010-1 Class A1 144A

     5.31       1-25-2051        7,797,966        8,224,456  

JPMDB Commercial Mortgage Securities Series 2014-C23 Class A4

     3.67       9-15-2047        2,419,000        2,416,358  

JPMDB Commercial Mortgage Securities Series 2017-C5 Class ASB

     3.49       3-15-2050        861,000        850,253  

JPMDB Commercial Mortgage Securities Series 2018-C8 Class ASB

     4.15       6-15-2051        2,714,000        2,774,203  

JPMorgan Chase Commercial Mortgage Securities Corporation Series 2016-JP3 Class A4

     2.63       8-15-2049        5,015,000        4,626,031  

JPMorgan Chase Commercial Mortgage Securities Corporation Series 2012-CBX Class A4

     3.48       6-15-2045        3,623,000        3,616,201  

JPMorgan Chase Commercial Mortgage Securities Corporation Series 2013-C13 Class A2

     2.67       1-15-2046        1,499,237        1,494,590  

JPMorgan Chase Commercial Mortgage Securities Corporation Series 2014-C20 Class A2

     2.87       7-15-2047        1,927,816        1,924,173  

JPMorgan Chase Commercial Mortgage Securities Corporation Series 2016-JP2 Class A1

     1.32       8-15-2049        2,430,530        2,380,987  

JPMorgan Chase Commercial Mortgage Securities Corporation Series 2017-JP5 Class ASB

     3.55       3-15-2050        6,129,000        6,070,643  

JPMorgan Chase Commercial Mortgage Securities Corporation Series 2017-JP6 Class ASB

     3.28       7-15-2050        2,343,000        2,286,525  

JPMorgan Chase Commercial Mortgage Securities Trust Series 2015-C28 Class A2

     2.77       10-15-2048        1,790,120        1,777,307  

JPMorgan Chase Commercial Mortgage Securities Trust Series 2015-C28 Class A3

     2.91       10-15-2048        10,965,000        10,513,285  

JPMorgan Chase Commercial Mortgage Securities Trust Series 2015-JP1 Class ASB

     3.73       1-15-2049        2,582,000        2,598,830  

JPMorgan Chase Commercial Mortgage Securities Trust Series 2015-JP2 Class ASB

     2.71       8-15-2049        2,765,000        2,654,304  

JPMorgan Mortgage Trust Series 2016-5 Class A1 144A ±±

     2.64       12-25-2046        3,073,172        3,021,763  

JPMorgan Mortgage Trust Series 2017-5 Class A1 144A ±±

     3.17       10-26-2048            28,330,788        27,938,016  

Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C25 Class A5

     3.64       10-15-2048        2,838,000        2,813,274  

Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C27 Class A4

     3.75       12-15-2047        754,000        752,601  

Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C28 Class A4

     3.54       1-15-2049        1,448,000        1,422,970  

Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30 Class A4

     2.60       9-15-2049        5,637,000        5,182,064  

Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30 Class ASB

     2.73       9-15-2049        9,888,000        9,501,417  

Morgan Stanley Capital I Trust Series 2016-UB11 Class A1

     1.45       8-15-2049        2,688,832        2,632,235  

Morgan Stanley Capital I Trust Series 2016-UB11 Class ASB

     2.61       8-15-2049        2,119,000        2,020,632  

Morgan Stanley Capital I Trust Series 2016-UBS9 Class A1

     1.71       3-15-2049        1,394,593        1,368,484  

Perpetual Savings Bank Series 1990-1 Class 1 ±±

     4.93       3-1-2020        2,955        2,955  

SoFi Professional Loan Program LLC Series 2016-A Class A2 144A

     2.76       12-26-2036        3,652,844        3,595,617  

SoFi Professional Loan Program LLC Series 2016-D Class A1 (1 Month LIBOR +0.95%) 144A ±

     3.27       1-25-2039        771,143        776,076  

SoFi Professional Loan Program LLC Series 2016-E Class A1 (1 Month LIBOR +0.85%) 144A ±

     3.17       7-25-2039        1,779,703        1,787,797  

SoFi Professional Loan Program LLC Series 2017-A Class A1 (1 Month LIBOR +0.70%) 144A ±

     3.02       3-26-2040        1,731,753        1,736,454  

SoFi Professional Loan Program LLC Series 2017-D Class A2 144A

     2.65       9-25-2040        666,000        646,344  

SoFi Professional Loan Program LLC Series 2017-E Class A1 (1 Month LIBOR +0.50%) 144A ±

     2.82       11-26-2040        1,601,902        1,606,320  

SoFi Professional Loan Program LLC Series 2017-E Class A2B 144A

     2.72       11-26-2040        9,979,000        9,747,659  

 

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

Table of Contents

 

42   Wells Fargo Core Bond Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  

Non-Agency Mortgage-Backed Securities (continued)

 

SoFi Professional Loan Program LLC Series 2018-B Class A2FX 144A

     3.34 %      8-25-2047      $ 8,978,000      $ 8,846,736  

SoFi Professional Loan Program LLC Series 2018-C Class A2FX 144A

     3.59       1-25-2048        11,480,000        11,508,770  

SoFi Professional Loan Program LLC Series 2018-D Class A2FX 144A

     3.60       2-25-2048        11,751,000        11,784,093  

UBS Barclays Commercial Mortgage Trust Series 2012-C2 Class A4

     3.53       5-10-2063        3,453,000        3,448,160  

UBS Barclays Commercial Mortgage Trust Series 2017-C7 Class A4

     3.68       12-15-2050        660,000        643,754  

UBS Commercial Mortgage Trust Series 2018-C10 Class A4

     4.31       5-15-2051        2,033,000        2,080,462  

UBS Commercial Mortgage Trust Series 2018-C13 Class A4

     4.33       10-15-2051        3,459,000        3,546,020  

UBS Commercial Mortgage Trust Series 2018-C9 Class A4 ±±

     4.12       3-15-2051        4,422,000        4,458,017  

Total Non-Agency Mortgage-Backed Securities (Cost $274,913,791)

 

      268,808,851  
         

 

 

  

U.S. Treasury Securities: 23.77%

 

U.S. Treasury Bond

     2.50       2-15-2046        34,137,000        29,172,467  

U.S. Treasury Bond

     2.50       5-15-2046        19,764,000        16,874,287  

U.S. Treasury Bond

     2.75       8-15-2047        19,448,000        17,434,828  

U.S. Treasury Bond

     2.75       11-15-2047        48,941,000        43,840,430  

U.S. Treasury Bond

     2.88       5-15-2028        3,293,000        3,257,240  

U.S. Treasury Bond

     2.88       11-15-2046        29,715,000        27,374,944  

U.S. Treasury Bond

     3.00       2-15-2047        8,596,000        8,116,169  

U.S. Treasury Bond

     3.00       2-15-2048        1,485,000        1,398,858  

U.S. Treasury Bond

     3.00       8-15-2048        31,229,000        29,419,914  

U.S. Treasury Bond

     3.13       5-15-2048        68,944,000        66,555,198  

U.S. Treasury Bond

     3.13       11-15-2028            125,463,000        126,732,333  

U.S. Treasury Bond

     3.38       11-15-2048        39,145,000        39,674,069  

U.S. Treasury Bond

     3.75       11-15-2043        10,778,000        11,599,823  

U.S. Treasury Note

     1.50       8-15-2020        10,000,000        9,784,766  

U.S. Treasury Note

     1.50       8-15-2026        34,448,000        31,026,076  

U.S. Treasury Note

     1.88       1-31-2022        71,367,000        69,306,835  

U.S. Treasury Note

     2.00       10-31-2021        35,231,000        34,421,788  

U.S. Treasury Note

     2.00       12-31-2021        25,657,000        25,038,626  

U.S. Treasury Note

     2.00       10-31-2022            21,986,000        21,301,514  

U.S. Treasury Note

     2.00       11-15-2026        57,425,000        53,526,381  

U.S. Treasury Note

     2.38       1-31-2023        7,359,000        7,224,181  

U.S. Treasury Note

     2.63       5-15-2021        11,460,000        11,407,624  

U.S. Treasury Note

     2.63       6-15-2021        2,407,000        2,395,529  

U.S. Treasury Note

     2.63       6-30-2023            16,555,000        16,401,090  

U.S. Treasury Note

     2.75       2-15-2028        78,301,000        76,719,687  

U.S. Treasury Note

     2.75       4-30-2023        3,903,000        3,887,906  

U.S. Treasury Note

     2.75       8-31-2023        8,263,000        8,231,368  

U.S. Treasury Note

     2.88       10-31-2020        57,778,000        57,834,424  

U.S. Treasury Note

     2.88       11-15-2021        60,593,000        60,678,209  

U.S. Treasury Note

     2.88       10-15-2021        82,298,000        82,400,873  

U.S. Treasury Note ##

     2.88       9-30-2023        116,535,000        116,671,565  

U.S. Treasury Note

    2.88       10-31-2023        116,003,000        116,161,598  

U.S. Treasury Note

     2.88       11-30-2023        58,329,000        58,431,531  

U.S. Treasury Note

     2.88       8-15-2028        13,887,000        13,728,601  

U.S. Treasury Note

     3.00       9-30-2025        15,947,000        16,029,850  

U.S. Treasury Note

     3.00       10-31-2025        10,825,000        10,882,931  

Total U.S. Treasury Securities (Cost $1,333,662,183)

 

      1,324,943,513  
         

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Core Bond Portfolio     43  

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  

Yankee Corporate Bonds and Notes: 4.24%

 

Communication Services: 0.09%

 

Diversified Telecommunication Services: 0.02%

 

Telefonica Emisiones SAU

     5.21 %      3-8-2047      $ 1,358,000      $ 1,232,772  
         

 

 

  
Wireless Telecommunication Services: 0.07%

 

Vodafone Group plc

     3.75       1-16-2024        4,010,000        3,908,536  
         

 

 

  

Consumer Staples: 0.21%

 

Food & Staples Retailing: 0.01%

 

Alimentation Couche-Tard Company 144A

     4.50       7-26-2047        372,000        340,654  
         

 

 

  
Food Products: 0.20%

 

Danone SA 144A

     2.95       11-2-2026        12,506,000        11,307,122  
         

 

 

  

Energy: 0.76%

 

Energy Equipment & Services: 0.14%

 

Schlumberger Limited 144A

     2.65       11-20-2022        8,349,000        8,027,767  
         

 

 

  
Oil, Gas & Consumable Fuels: 0.62%

 

Ecopetrol SA

     5.88       5-28-2045        1,426,000        1,303,721  

Enbridge Incorporated

     2.90       7-15-2022        4,987,000        4,796,730  

Encana Corporation

     6.50       2-1-2038        3,241,000        3,593,356  

Petroleos Mexicanos Company

     2.38       4-15-2025        2,358,850        2,302,029  

Petroleos Mexicanos Company

     2.46       12-15-2025        6,048,750        5,915,835  

Petroleos Mexicanos Company 144A

     6.35       2-12-2048        2,074,000        1,654,845  

Petroleos Mexicanos Company

     6.50       3-13-2027        3,371,000        3,153,571  

Petroleos Mexicanos 144A

     6.50       1-23-2029        3,163,000        2,912,807  

Petroleos Mexicanos Company

     6.75       9-21-2047        2,420,000        2,002,550  

Transcanada Pipelines Limited

     5.10       3-15-2049        6,949,000        6,775,579  
            34,411,023  
         

 

 

  

Financials: 2.52%

 

Banks: 1.92%

 

Aib Group plc 144A

     4.75       10-12-2023        8,949,000        8,798,372  

Banco Santander SA

     3.80       2-23-2028        4,100,000        3,617,207  

Banco Santander SA

     4.38       4-12-2028        5,200,000        4,795,854  

Bank of Ireland Group 144A

     4.50       11-25-2023        5,700,000        5,551,863  

Banque Federative du Credit Mutuel SA 144A

     3.75       7-20-2023        6,975,000        6,890,271  

Barclays plc (3 Month LIBOR +1.40%) ±

     4.61       2-15-2023        8,072,000        7,978,923  

BNP Paribas SA 144A

     3.50       3-1-2023        10,424,000        10,047,596  

Danske Bank A/S 144A

     3.88       9-12-2023        4,753,000        4,542,473  

Danske Bank A/S 144A

     4.38       6-12-2028        1,590,000        1,493,047  

DNB Bank ASA 144A

     2.13       10-2-2020        5,064,000        4,946,865  

Export Import Bank of Korea

     3.00       11-1-2022        5,215,000        5,095,681  

Intesa Sanpaolo SpA 144A

     3.88       7-14-2027        8,764,000        7,146,336  

Intesa Sanpaolo SpA 144A

     3.88       1-12-2028        5,199,000        4,195,982  

Intesa Sanpaolo SpA 144A

     4.38       1-12-2048        2,290,000        1,625,944  

Lloyds Banking Group plc

     4.05       8-16-2023        5,804,000        5,662,949  

Lloyds Banking Group plc

     4.34       1-9-2048        1,939,000        1,516,041  

Lloyds Banking Group plc

     4.38       3-22-2028        4,240,000        3,984,198  

 

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

Table of Contents

 

44   Wells Fargo Core Bond Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name   Interest rate     Maturity date      Principal      Value  
Banks (continued)

 

Royal Bank of Scotland Group plc (3 Month LIBOR +1.75%) ±

     4.89 %      5-18-2029      $ 3,692,000      $ 3,491,799  

Royal Bank of Scotland Group plc (3 Month LIBOR +1.91%) ±

     5.08       1-27-2030        4,326,000        4,134,556  

Santander UK Group Holdings plc (3 Month LIBOR +1.57%) ±

     4.80       11-15-2024        5,889,000        5,833,564  

Svenska Handelsbanken AB

     3.90       11-20-2023        457,000        457,095  

UBS Group Funding Company 144A

     2.65       2-1-2022        5,356,000        5,150,750  
            106,957,366  
         

 

 

  
Consumer Finance: 0.16%

 

Shell International Finance Company

     3.50       11-13-2023        8,702,000        8,670,085  
         

 

 

  
Diversified Consumer Services: 0.24%

 

NXP BV / NXP Funding LLC 144A

     4.63       6-1-2023            13,733,000        13,466,854  
         

 

 

  
Diversified Financial Services: 0.14%

 

Enel Finance International NV 144A

     4.25       9-14-2023        5,714,000        5,471,790  

Enel Finance International NV 144A

     4.88       6-14-2029        2,591,000        2,389,640  
            7,861,430  
         

 

 

  
Insurance: 0.06%

 

Aon plc

     3.88       12-15-2025        3,543,000        3,455,666  
         

 

 

  

Health Care: 0.35%

 

Pharmaceuticals: 0.35%

 

Sanofi SA

     3.38       6-19-2023        9,213,000        9,152,358  

Sanofi SA

     3.63       6-19-2028        10,233,000        10,125,876  
            19,278,234  
         

 

 

  

Information Technology: 0.07%

 

Semiconductors & Semiconductor Equipment: 0.07%

 

NXP Funding LLC 144A

     3.88       9-1-2022        4,189,000        4,058,094  
         

 

 

  

Materials: 0.13%

 

Chemicals: 0.03%

 

Syngenta Finance NV 144A

     5.68       4-24-2048        2,605,000        2,099,873  
         

 

 

  
Metals & Mining: 0.07%

 

Goldcorp Incorporated

     5.45       6-9-2044        1,604,000        1,591,650  

Southern Copper Corporation

     3.88       4-23-2025        2,378,000        2,230,726  
            3,822,376  
         

 

 

  
Paper & Forest Products: 0.03%

 

Suzano Austria GmbH Company 144A

     7.00       3-16-2047        1,548,000        1,572,768  
         

 

 

  

Utilities: 0.11%

 

Electric Utilities: 0.11%

 

Electricite de France SA 144A

     6.00       1-22-2114        1,322,000        1,282,459  

Electricite de France SA 144A

     4.88       9-21-2038        3,530,000        3,196,350  

Electricite de France SA 144A

     5.00       9-21-2048        1,814,000        1,617,507  
            6,096,316  
         

 

 

  

Total Yankee Corporate Bonds and Notes (Cost $245,421,283)

 

      236,566,936  
         

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Core Bond Portfolio     45  

    

 

 

Security name   Interest rate     Maturity date     Principal     Value  

Yankee Government Bonds: 0.69%

 

Republic of Colombia

     4.50 %      3-15-2029     $ 3,862,000     $ 3,777,075  

Republic of Colombia

     5.00       6-15-2045       2,047,000       1,911,898  

Republic of Indonesia

     2.95       1-11-2023       7,042,000       6,678,274  

Republic of Korea

     3.50       9-20-2028       3,555,000       3,493,071  

Republic of Korea

     3.88       9-20-2048       2,115,000       2,013,319  

Republic of Panama

     4.50       4-16-2050       3,108,000       2,898,210  

Republic of Paraguay 144A

     6.10       8-11-2044       4,895,000       4,882,763  

United Mexican States

     3.75       1-11-2028       2,368,000       2,190,400  

United Mexican States

     4.60       2-10-2048           12,021,000       10,356,213  

Total Yankee Government Bonds (Cost $39,008,165)

 

     38,201,223  
       

 

 

  
    Yield           Shares        
Short-Term Investments: 1.43%        
Investment Companies: 1.43%

 

Securities Lending Cash Investments LLC (l)(r)(u)

     2.38         3,674,870       3,675,237  

Wells Fargo Government Money Market Fund Select Class ##(l)(u)

     2.13         76,099,209       76,099,209  

Total Short-Term Investments (Cost $79,774,446)

 

     79,774,446        
       

 

 

  

 

Total investments in securities (Cost $5,814,781,325)     103.08 %         5,745,780,066  

Other assets and liabilities, net

     (3.08 )         (171,837,374 ) 
 

 

 

       

 

 

  
Total net assets     100.00 %       $ 5,573,942,692  
 

 

 

       

 

 

  

 

 

±

Variable rate investment. The rate shown is the rate in effect at period end.

 

%%

The security is issued on a when-issued basis.

 

±±

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.

 

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.

 

«

All or a portion of this security is on loan.

 

@

Foreign bond principal is denominated in the local currency of the issuer.

 

##

All or a portion of this security is segregated for when-issued securities.

 

(l)

The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

 

(r)

The investment is a non-registered investment company purchased with cash collateral received from securities on loan.

 

(u)

The rate represents the 7-day annualized yield at period end.

Abbreviations:

 

CAD

Canadian dollar

 

FHLMC

Federal Home Loan Mortgage Corporation

 

FNMA

Federal National Mortgage Association

 

GNMA

Government National Mortgage Association

 

GO

General obligation

 

LIBOR

London Interbank Offered Rate

 

REIT

Real estate investment trust

 

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

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46   Wells Fargo Core Bond Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

 

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

                  

Securities Lending Cash Investments LLC

     57,959,204       289,934,512       344,218,846       3,674,870     $ 19     $ 0     $ 66,862     $ 3,675,237    

Wells Fargo Government Money Market Fund Select Class

     118,801,553       2,247,076,629       2,289,778,973       76,099,209       0       0       890,892       76,099,209    
         

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
          $ 19     $ 0     $ 957,754     $ 79,774,446       1.43 % 
         

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

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

Table of Contents

 

Statement of assets and liabilities—November 30, 2018 (unaudited)   Wells Fargo Core Bond Portfolio     47  
         

Assets

  

Investments in unaffiliated securities (including $3,603,381of securities loaned), at value (cost $5,735,006,879)

   $ 5,666,005,620  

Investments in affiliated securities, at value (cost $79,774,446)

     79,774,446  

Cash

     1,962,972  

Receivable for investments sold

     808,216,457  

Principal paydown receivable

     16,491  

Receivable for interest

     28,644,694  

Receivable for securities lending income

     3,817  

Prepaid expenses and other assets

     140,077  
 

 

 

  

Total assets

     6,584,764,574  
 

 

 

  

Liabilities

  

Payable for investments purchased

     1,005,307,980  

Payable upon receipt of securities loaned

     3,675,219  

Advisory fee payable

     1,679,353  

Accrued expenses and other liabilities

     159,330  
 

 

 

  

Total liabilities

     1,010,821,882  
 

 

 

  

Total net assets

   $ 5,573,942,692  
 

 

 

  

 

 

 

 

 

 

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

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48   Wells Fargo Core Bond Portfolio   Statement of operations—six months ended November 30, 2018 (unaudited)
         

Investment income

  

Interest

   $ 92,663,520  

Income from affiliated securities

     957,754  
 

 

 

  

Total investment income

     93,621,274  
 

 

 

  

Expenses

  

Advisory fee

     9,923,617  

Custody and accounting fees

     127,075  

Professional fees

     39,631  

Shareholder report expenses

     2,055  

Trustees’ fees and expenses

     11,085  

Other fees and expenses

     11,651  
 

 

 

  

Total expenses

     10,115,114  
 

 

 

  

Net investment income

     83,506,160  
 

 

 

  

REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS

  

Net realized gains (losses) on:

  

Unaffiliated securities

     (90,341,275 ) 

Affiliated securities

     19  
 

 

 

  

Net realized losses on investments

     (90,341,256 ) 
 

 

 

  

Net change in unrealized gains (losses) on investments

     (5,193,362 ) 
 

 

 

  

Net realized and unrealized gains (losses) on investments

     (95,534,618 ) 
 

 

 

  

Net decrease in net assets resulting from operations

   $ (12,028,458 ) 
 

 

 

  

 

 

 

 

 

 

 

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

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Statement of changes in net assets   Wells Fargo Core Bond Portfolio     49  
            Six months ended
November 30, 2018
(unaudited)		     Year ended
May 31, 2018		  

Operations

        

Net investment income

     $ 83,506,160       $ 122,888,295  

Net realized losses on investments

       (90,341,256 )        (55,887,139 ) 

Net change in unrealized gains (losses) on investments

       (5,193,362 )        (99,688,813 ) 
 

 

 

  

Net decrease in net assets resulting from operations

       (12,028,458 )        (32,687,657 ) 
 

 

 

  

Capital transactions

        

Transactions in investors’ beneficial interests

        

Contributions

       352,247,126         910,938,479  

Withdrawals

       (439,518,250 )        (395,554,370 ) 
 

 

 

  

Net increase (decrease) in net assets resulting from capital transactions

       (87,271,124 )        515,384,109  
 

 

 

  

Total increase (decrease) in net assets

       (99,299,582 )        482,696,452  
 

 

 

  

Net assets

        

Beginning of period

       5,673,242,274         5,190,545,822  
 

 

 

  

End of period

     $ 5,573,942,692       $ 5,673,242,274  
 

 

 

  

 

 

 

 

 

 

 

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

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50   Wells Fargo Core Bond Portfolio   Financial highlights
   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
     2018     2017     2016     2015     2014  

Total return1

     (0.21 )%      (0.53 )%      1.89 %      2.78 %      3.22 %      2.90 % 

Ratios to average net assets (annualized)

            

Gross expenses

     0.35 %      0.35 %      0.35 %      0.36 %      0.37 %      0.37 % 

Net expenses

     0.35 %      0.35 %      0.35 %      0.35 %      0.35 %      0.35 % 

Net investment income

     2.87 %      2.23 %      1.87 %      1.86 %      1.82 %      1.94 % 

Supplemental data

            

Portfolio turnover rate

     280 %      542 %      614 %      667 %      586 %      646 % 

 

 

 

 

 

 

1 

Returns for periods of less than one year are not annualized.

 

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

Table of Contents

 

Notes to financial statements (unaudited)   Wells Fargo Core Bond Portfolio     51  

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 Wells Fargo Core Bond Portfolio (the “Portfolio”) which is a diversified series of the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the 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 Portfolio may deviate from this calculation time under unusual or unexpected circumstances.

Debt securities are valued at the evaluated bid price provided by an independent pricing service 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.

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 at Wells Fargo Funds Management, LLC (“Funds Management”).

Investments in registered open-end investment companies are valued at net asset value. Interests in non-registered investment companies that are redeemable at net asset value are fair valued normally at net asset value.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Portfolio. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee. The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.

Foreign currency translation

The accounting records of the Portfolio are maintained in U.S. dollars. The values of other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee. Purchases and sales of securities, and income and expenses are converted at the rate of exchange on the respective dates of such transactions. Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded and the U.S. dollar equivalent of the amounts actually paid or received. Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities other than investments in securities resulting from changes in exchange rates. The changes in net assets arising from changes in exchange rates of securities and the changes in net assets resulting from changes in market prices of securities are not separately presented. Such changes are included in net realized and unrealized gains or losses from investments.

Securities lending

The Portfolio may lend its securities from time to time in order to earn additional income in the form of fees or interest on securities received as collateral or the investment of any cash received as collateral. The Portfolio continues to receive interest or dividends on the securities loaned. The Portfolio receives collateral in the form of cash or securities with a value at least equal to the value of the securities on loan. The value of the loaned securities is determined at the close of

Table of Contents

 

52   Wells Fargo Core Bond Portfolio   Notes to financial statements (unaudited)

each business day and any additional required collateral is delivered to the Portfolio on the next business day. In a securities lending transaction, the net asset value of the Portfolio will be affected by an increase or decrease in the value of the securities loaned and by an increase or decrease in the value of the instrument in which collateral is invested. The amount of securities lending activity undertaken by the Portfolio fluctuates from time to time. In the event of default or bankruptcy by the borrower, the Portfolio may be prevented from recovering the loaned securities or gaining access to the collateral or may experience delays or costs in doing so. In addition, the investment of any cash collateral received may lose all or part of its value. The Portfolio has the right under the lending agreement to recover the securities from the borrower on demand.

The Portfolio lends its securities through an unaffiliated securities lending agent. Cash collateral received in connection with its securities lending transactions is invested in Securities Lending Cash Investments, LLC (the “Securities Lending Fund”). The Securities Lending Fund is exempt from registration under Section 3(c)(7) of the 1940 Act and is managed by Funds Management and is subadvised by Wells Capital Management Incorporated (“WellsCap”), an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”). Funds Management receives an advisory fee starting at 0.05% and declining to 0.01% as the average daily net assets of the Securities Lending Fund increase. All of the fees received by Funds Management are paid to WellsCap for its services as subadviser. The Securities Lending Fund seeks to provide a positive return compared to the daily Fed Funds Open Rate by investing in high-quality, U.S. dollar-denominated short-term money market instruments. Securities Lending Fund investments are valued at the evaluated bid price provided by an independent pricing service. Income earned from investment in the Securities Lending Fund, if any, is included in income from affiliated securities on the Statement of Operations.

When-issued transactions

The Portfolio may purchase securities on a forward commitment or when-issued basis. The 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.

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.

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.

Income from foreign securities is recorded net of foreign taxes withheld where recovery of such taxes is not assured.

Federal and other taxes

The Portfolio is treated as a separate entity for federal income tax purposes. The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains 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.

The Portfolio’s income tax returns and all financial records supporting those returns for the prior three fiscal years are subject to examination by the federal revenue authority. Management has analyzed the 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 November 30, 2018, the aggregate cost of all investments for federal income tax purposes was $5,819,208,917 and the unrealized gains (losses) consisted of:

 

Gross unrealized gains

    $ 16,606,387  

Gross unrealized losses

      (90,035,238 ) 

Net unrealized losses

    $ (73,428,851 ) 

Table of Contents

 

Notes to financial statements (unaudited)   Wells Fargo Core Bond Portfolio     53  

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 the Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

 

∎  

Level 1 – quoted prices in active markets for identical securities

 

∎  

Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

 

∎  

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of November 30, 2018:

 

     Quoted prices
(Level 1)		      Other significant
observable inputs
(Level 2)		     

Significant
unobservable inputs

(Level 3)

      Total  

Assets

            

Investments in:

            

Agency securities

   $ 0      $ 2,056,573,682      $ 0      $ 2,056,573,682  

Asset-backed securities

      0        608,134,189        0        608,134,189  

Corporate bonds and notes

      0        1,101,569,994        0        1,101,569,994  

Foreign corporate bonds and notes

      0        2,102,382        0        2,102,382  

Municipal obligations

      0        29,104,850        0        29,104,850  

Non-agency mortgage-back securities

      0        268,808,851        0        268,808,851  

U.S. Treasury securities

      1,324,943,513        0        0        1,324,943,513  

Yankee corporate bonds and notes

      0        236,566,936        0        236,566,936  

Yankee government bonds

      0        38,201,223        0        38,201,223  

Short-term investments

            

Investment companies

      76,099,209        3,675,237        0        79,774,446  

Total assets

    $ 1,401,042,722      $ 4,344,737,344      $ 0      $ 5,745,780,066  

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

At November 30, 2018, the Portfolio did not have any transfers into/out of Level 3.

4. TRANSACTIONS WITH AFFILIATES

Advisory fee

The Trust has entered into an advisory contract with Funds Management, an indirect wholly owned subsidiary of Wells Fargo. The adviser is responsible for implementing investment policies and guidelines and for supervising the subadviser, who is responsible for day-to-day portfolio management of the Portfolio. Pursuant to the contract, Funds Management is entitled to receive an annual advisory fee starting at 0.40% and declining to 0.29% as the average daily net assets of the Portfolio increase. For the six months ended November 30, 2018, the advisory fee was equivalent to an annual rate of 0.34% of the Portfolio’s average daily net assets.

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54   Wells Fargo Core Bond Portfolio   Notes to financial statements (unaudited)

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Portfolio. The fee for subadvisory services is borne by Funds Management. WellsCap is the subadviser to the Portfolio and is entitled to receive a fee from Funds Management at an annual rate starting at 0.20% and declining to 0.10% as the average daily net assets of the Portfolio increase.

Interfund transactions

The Portfolio 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.

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments, excluding short-term securities, for the six months ended November 30, 2018 were as follows:

 

Purchases at cost

      Sales proceeds
U.S.
government		      Non-U.S.
government		      U.S.
government		      Non-U.S.
government
$14,734,145,798      $2,123,591,627      $14,829,619,275      $2,154,315,315

6. BANK BORROWINGS

Effective August 28, 2018, 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 the 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 the 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.

For the six months ended November 30, 2018, there were no borrowings by the Portfolio under the agreement.

7. 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 Portfolio and, therefore, cannot be estimated.

8. 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.

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Other information (unaudited)   Wells Fargo Core Bond Fund     55  

PROXY VOTING INFORMATION

A description of the policies and procedures used to determine how to vote proxies relating to portfolio securities is available, upon request, by calling 1-800-222-8222, visiting our website at wellsfargofunds.com, or visiting the SEC website at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Fund’s website at wellsfargofunds.com or by visiting the SEC website at sec.gov.

PORTFOLIO HOLDINGS INFORMATION

The complete portfolio holdings for the Fund are publicly available monthly on the Fund’s website (wellsfargofunds.com), on a one-month delayed basis. In addition, top ten holdings information (excluding derivative positions) for the Fund is publicly available on the Fund’s website on a monthly, seven-day or more delayed basis. The Fund and the Portfolio each file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. In addition, the Fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and at regional offices in New York City, at 233 Broadway, and in Chicago, at 175 West Jackson Boulevard, Suite 900. Information about the Public Reference Room may be obtained by calling 1-800-SEC-0330.

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56   Wells Fargo Core Bond Fund   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 152 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. Board member of the Vincent Memorial Hospital Endowment (non-profit organization), where he serves on the Investment Committee and as a Chair of the Audit Committee. 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.3 (Born 1952)   Trustee, since 2009   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. Johnson3
(Born 1949)		   Trustee, since 2008; Audit Committee Chairman, since 2009   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
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

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Other information (unaudited)   Wells Fargo Core Bond Fund     57  

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

Olivia S. Mitchell
(Born 1953)		   Trustee, since 2006; Nominating and Governance Committee Chairman, 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; Vice Chairman, from 2017 to 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; Advisory Board Member, from 2017 to 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

Michael S. Scofield4

(Born 1943)

   Trustee, since 2010   Served on the Investment Company Institute’s Board of Governors and Executive Committee from 2008-2011 as well the Governing Council of the Independent Directors Council from 2006-2011 and the Independent Directors Council Executive Committee from 2008-2011. Trustee of the Evergreen Fund complex (and its predecessors) from 1984 to 2010. Chairman of the Evergreen Funds from 2000-2010. Former Trustee of the Mentor Funds. Retired Attorney, Law Offices of Michael S. Scofield.   N/A
Pamela Wheelock
(Born 1959)		   Trustee, since 2018; Advisory Board Member, from 2017 to 2018   Chief Operating Officer, Twin Cities Habitat for Humanity, since January, 2017. Vice President of University Services, University of Minnesota from 2012 to 2017. 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 President and Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2010 to 2011, Chairman of the Board from 2009 to 2011 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. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently the 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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58   Wells Fargo Core Bond Fund   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.    
Nancy Wiser1
(Born 1967)		   Treasurer, since 2012   Executive Vice President of Wells Fargo Funds Management, LLC since 2011. Chief Operating Officer and Chief Compliance Officer at LightBox Capital Management LLC, from 2008 to 2011.    
Alexander Kymn
(Born 1973)		   Secretary, since 2018; Chief Legal Officer, since 2018   Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.    
Michael H. Whitaker (Born 1967)   Chief Compliance Officer, since 2016   Senior Vice President and Chief Compliance Officer 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.    
Jeremy DePalma1
(Born 1974)		   Assistant Treasurer, since 2009   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.    

 

 

 

1

Nancy Wiser acts as Treasurer of 76 funds in the Fund Complex. Jeremy DePalma acts as Treasurer of 76 funds and Assistant Treasurer of 76 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 wellsfargofunds.com.

 

3 

Mr. Harris will replace Ms. Johnson as the Chairman of the Audit Committee effective January 1, 2019.

 

4 

Mr. Scofield is expected to retire on December 31, 2018.

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Appendix A (unaudited)   Wells Fargo Core Bond Fund     59  

SALES CHARGE REDUCTIONS AND WAIVERS FOR CERTAIN INTERMEDIARIES

Raymond James & Associates, Inc., Raymond James Financial Services & Raymond James affiliates (“Raymond James”)

Effective on or about March 1, 2019, shareholders purchasing Fund shares through a Raymond James platform or account will be eligible only for the following load waivers (front-end sales charge waivers and contingent deferred, 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 Load Waivers on Class A shares Available at Raymond James

 

  •  

Shares purchased in an investment advisory program.

 

  •  

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).

 

  •  

Employees and registered representatives of Raymond James or its affiliates and their family members as designated by Raymond James.

 

  •  

Shares purchased from the proceeds of redemptions within the same fund family, provided (1) the repurchase occurs within 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 (known as Rights of Reinstatement).

 

  •  

A shareholder in the fund’s Class C shares will have their shares automatically exchanged at net asset value to Class A shares (or the appropriate share class) of the fund if the shares are no longer subject to a CDSC and the exchange is in line with the policies and procedures of Raymond James.

CDSC Waivers on Class A and C Shares Available at Raymond James

 

  •  

Death or disability of the shareholder.

 

  •  

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

  •  

Return of excess contributions from an IRA Account.

 

  •  

Shares sold as part of a required minimum distribution for IRA and retirement accounts due to the shareholder reaching age 70½ as described in the Fund’s prospectus.

 

  •  

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

 

  •  

Shares acquired through a right of reinstatement.

Front-end Load Discounts Available at Raymond James: Breakpoints, and/or Rights of Accumulation

 

  •  

Breakpoints as described in the Fund’s Prospectus.

 

  •  

Rights of accumulation 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 Raymond James. Eligible fund family assets not held at Raymond James may be included in the rights of accumulation calculation only if the shareholder notifies his or her financial advisor about such assets.

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LOGO

 

 

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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 Fund’s website, or call:

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: wellsfargofunds.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 the Fund. 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 Fund’s website at wellsfargofunds.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

© 2019 Wells Fargo Funds Management, LLC. All rights reserved.

 

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318981 01-19

SA287/SAR287 11-18

 

Table of Contents

Semi-Annual Report

November 30, 2018

 

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Wells Fargo Real Return Fund

 

LOGO

 

 

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.

 

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Table of Contents

Reduce clutter. Save trees.

Sign up for electronic delivery of prospectuses and shareholder reports at wellsfargo.com/advantagedelivery

Contents

 

 

Letter to shareholders

     2  

Performance highlights

     6  

Fund expenses

     8  
Wells Fargo Real Return Fund  
Portfolio of investments     9  
Financial statements  

Statement of assets and liabilities

     10  

Statement of operations

     11  

Statement of changes in net assets

     12  

Financial highlights

     13  
Notes to financial statements     18  
Wells Fargo Real Return Portfolio  
Portfolio of investments     22  
Financial statements  

Statement of assets and liabilities

     35  

Statement of operations

     36  

Statement of changes in net assets

     37  

Financial highlights

     38  
Notes to financial statements     39  

Other information

     45  

Appendix A

     49  

 

The views expressed and any forward-looking statements are as of November 30, 2018, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Funds Management, LLC. 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 Funds Management, LLC 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


Table of Contents

 

2   Wells Fargo Real Return Fund   Letter to shareholders (unaudited)

 

LOGO

Andrew Owen

President

Wells Fargo Funds

 

 

Global trade tensions escalated during the third quarter of 2018.

 

 

Dear Shareholder:

We are pleased to offer you this semi-annual report for the Wells Fargo Real Return Fund for the six-month period that ended November 30, 2018. During the reporting period, the U.S. generated encouraging economic and business data that was offset by less positive and more inconsistent data from international markets. Investment returns were restrained in comparison with recent periods as geopolitical tensions and uncertainty tended to distract investors from more favorable underlying trends.

For the period, U.S. stocks, as measured by the S&P 500 Index,1 gained 3.02% and international stocks, as measured by the MSCI ACWI ex USA Index (Net),2 declined 8.37%. Based on the MSCI EM Index (Net),3 emerging market stocks lost 9.89%. For bond investors, the Bloomberg Barclays U.S. Aggregate Bond Index4 declined 0.30% while the Bloomberg Barclays Global Aggregate ex-USD Index5 fell 3.67%. The Bloomberg Barclays Municipal Bond Index6 gained 0.42%. The ICE BofAML U.S. High Yield Index7 was up 0.19%.

Global trade tensions prompted investor concerns.

Global trade tensions escalated during the third quarter of 2018. The U.S. government’s decision during the second quarter to impose tariffs on a wide range of products manufactured overseas drew retaliatory responses from foreign governments, which punished U.S. commodity producers and product manufacturers. Investors were left to wonder about next steps in what appeared to be an escalating divergence in global economic policies and growth prospects.

Inflation trended higher. The CPI-U8 added 0.1% in September after an increase of 0.2% in both July and August. On a year-over-year basis, the all-items index rose 2.3% for the 12 months that ended September 30, 2018, after a seasonal adjustment. The rate of increase was slower than that recorded during the first half of 2018. The index for all items less food and energy rose 2.2% for the same 12-month period.

 

 

 

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 U.S. and Canada. 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 large- and mid-cap equity market performance of emerging markets. The MSCI EM Index (Net) consists of the following 24 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, the Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey, and the United Arab Emirates. 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 BofAML 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 2018. ICE Data Indices, LLC. All rights reserved.

 

8 

The Consumer Price Index for All Urban Consumers (CPI-U) measures the changes in the price of a basket of goods and services purchased by urban consumers. The urban consumer population is deemed by many as a better representative measure of the general public because close to 90% of the country’s population lives in highly populated areas. You cannot invest directly in an index.

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Letter to shareholders (unaudited)   Wells Fargo Real Return Fund     3  

U.S. stocks gained following positive economic data while international stocks and bonds declined.

During the summer months, the U.S. economy strengthened. Revised second-quarter gross domestic product (GDP) data released in August showed the U.S. economy growing at a 4.2% rate. The unemployment rate in the U.S. was 3.7% by the end of September, according to the U.S. Department of Labor. Wages showed more consistent growth, and consumer confidence remained strong. Several U.S. equity market indices reached records during August, with the S&P 500 Index gaining 7.20% for the three-month period that ended September 30, 2018. In contrast, the MSCI ACWI ex USA Index (Net) gained 0.71% while the MSCI EM Index (Net) declined 1.09% during the same three-month period.

In June, the Federal Reserve increased the target range for the federal funds rate to range from 1.75% to 2.00%. It raised the range again in September to range from 2.00% to 2.25%. Long-term interest rates in the U.S. remained at higher levels relative to the prior 10 years. Rates on 10-year and 30-year Treasury bonds—2.46% and 2.81%, respectively, on January 1, 2018—were 3.01% and 3.30%, respectively, on November 30, 2018. Investor concerns about an inverted yield curve reemerged, only to be replaced by concerns about the potentially negative influence of higher interest rates on economic activity.

November saw improvement in many equity markets.

As interest rates and bond yields gained during October, stock markets struggled. For the month, the S&P 500 Index fell 6.84%, the MSCI ACWI ex USA Index (Net) dropped 8.13%, and the MSCI EM Index (Net) lost 8.71%. The Bureau of Economic Analysis released its first estimate of third-quarter GDP, which, at an annualized 3.5% rate, indicated growth may be slowing compared with the second quarter. Readings on consumer sentiment and business spending were mixed. Markets rebounded somewhat in November as the S&P 500 Index gained 2.04%, the MSCI ACWI ex USA Index (Net) added 0.95%, and the MSCI EM Index (Net) was up 4.12% as the uncertainty leading up to midterm elections in the U.S. was resolved and progress seemed to be possible on several international trade issues.

Economic signals overseas were mixed as the third quarter ended and the fourth quarter began. In early August, the Bank of England’s Monetary Policy Committee increased its key interest rate to 0.75%. The European Central Bank and the Bank of Japan maintained low interest rates and accommodative monetary policies. Amid rising trade uncertainty, the People’s Bank of China cut reserve requirement ratios and accelerated infrastructure spending and tax cuts for business enterprises and individuals. Nevertheless, a strengthening U.S. dollar and the trade tensions remained headwinds for investors overseas.

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.

 

 

 

Economic signals overseas were mixed as the third quarter ended and the fourth quarter began.

 

 

 

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4   Wells Fargo Real Return Fund   Letter to shareholders (unaudited)

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,

 

LOGO

Andrew Owen

President

Wells Fargo Funds

    

 

 

 

Notice to shareholders

At a meeting held on August 14-15, 2018, the Board of Trustees of the Fund approved the following policy which will be effective on or about February 5, 2019:

Class C shares will convert automatically into Class A shares ten years after the initial date of purchase or, if you acquired your Class C shares through an exchange or conversion from another share class, ten years after the date you acquired your Class C shares. When Class C shares that you acquired through a purchase or exchange convert, any other Class C shares that you purchased with reinvested dividends and distributions also will convert into Class A shares on a pro rata basis. A shorter holding period may also apply depending on your intermediary. Please see “Appendix A—Sales Charge Reductions and Waivers for Certain Intermediaries” in the Fund’s prospectus or at the end of this report.

 

 

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

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6   Wells Fargo Real Return Fund1   Performance highlights (unaudited)

Investment objective

The Fund seeks returns that exceed the rate of inflation over the long-term.

Manager

Wells Fargo Funds Management, LLC

Subadviser for the affiliated master portfolio

Wells Capital Management Incorporated

Portfolio managers

Kandarp R. Acharya, CFA®‡, FRM

Petros N. Bocray, CFA®‡, FRM

Michael Bradshaw, CFA®‡

Christian L. Chan, CFA®‡

Kayvan Malek

Ann M. Miletti

Jay N. Mueller, CFA®‡

Thomas M. Price, CFA®‡

Dale Winner, CFA®‡

 

 

Average annual total returns (%) as of November 30, 20182

 

        Including sales charge     Excluding sales charge     Expense ratios3 (%)  
    Inception date   1 year     5 year     10 year     1 year     5 year     10 year     Gross     Net4  
Class A (IPBAX)   2-28-2003     (5.84 )      0.57       3.24       (1.41 )      1.50       3.71       1.04       0.78  
Class C (IPBCX)   2-28-2003     (3.23 )      0.72       2.97       (2.23 )      0.72       2.97       1.79       1.53  
Class R6 (IPBJX)   10-31-2016     –       –       –       (1.01 )      1.81       4.03       0.66       0.40  
Administrator Class (IPBIX)   2-28-2003     –       –       –       (1.33 )      1.73       3.99       0.98       0.60  
Institutional Class (IPBNX)   10-31-2016     –       –       –       (1.16 )      1.79       4.02       0.71       0.45  
Bloomberg Barclays U.S. TIPS Index5   –     –       –       –       (0.90 )      1.28       4.09       –       –  
CPI6   –     –       –       –       2.18       1.58       1.72       –       –  

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on fund distributions or the redemption of fund shares. 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, which assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wellsfargofunds.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 4.50%. 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 R6, Administrator Class, and Institutional Class 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. Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. High-yield securities have a greater risk of default and tend to be more volatile than higher-rated debt securities. Loans are subject to risks similar to those associated with other below investment-grade bond investments, such as credit risk (for example, risk of issuer default), below-investment-grade bond risk (for example, risk of greater volatility in value), and risk that the loan may become illiquid or difficult to price. The use of derivatives may reduce returns and/or increase volatility. Foreign investments are especially volatile and can rise or fall dramatically due to differences in the political and economic conditions of the host country. These risks are generally intensified in emerging markets. The Fund is exposed to mortgage- and asset-backed securities risk and small company securities risk. Securities issued by U.S. government agencies or government-sponsored entities may not be guaranteed by the U.S. Treasury. Consult the Fund’s prospectus for additional information on these and other risks.

 

 

Please see footnotes on page 7.

Table of Contents

 

Performance highlights (unaudited)   Wells Fargo Real Return Fund     7  
Ten largest holdings (%) as of November 30, 20187  

TIPS, 0.63%, 1-15-2024

      2.92  

TIPS, 0.38%, 7-15-2023

      2.91  

TIPS, 0.13%, 1-15-2023

      2.90  

TIPS, 0.38%, 7-15-2025

      2.83  

TIPS, 0.13%, 1-15-2022

      2.83  

TIPS, 0.25%, 1-15-2025

      2.81  

TIPS, 0.13%, 7-15-2024

      2.80  

TIPS, 0.13%, 4-15-2020

      2.70  

TIPS, 0.63%, 7-15-2021

      2.61  

TIPS, 0.63%, 1-15-2026

      2.51  
Portfolio allocation as of November 30, 20188
LOGO
 

 

 

 

‡ 

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

 

1 

The Fund is a gateway feeder fund that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with a substantially identical investment objective and substantially similar investment strategies. 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 

Historical performance shown for the Class R6 shares prior to their inception reflects the performance of the Administrator Class shares, and is not adjusted to reflect Class R6 expenses. If these expenses had been included, returns for Class R6 shares would be higher. Historical performance shown for the Institutional Class shares prior to their inception reflects the performance of the Administrator Class shares, and is not adjusted to reflect Institutional Class expenses. If these expenses had not been included, returns for the Institutional Class shares would be higher.

 

3 

Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

 

4 

The manager has contractually committed through September 30, 2019, to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’s Total Annual Fund Operating Expenses After Fee Waivers at the amounts shown. After this time, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the underlying affiliated master portfolio invests, and extraordinary expenses are excluded from the expense cap. Net expenses from the affiliated master portfolio are included in the expense cap. 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 prospectuses.

 

5 

The Bloomberg Barclays U.S. Treasury Inflation-Protected Securities (TIPS) Index is an index of inflation-indexed-linked U.S. Treasury securities. You cannot invest directly in an index.

 

6 

The Consumer Price Index (CPI) for All Urban Consumers in U.S. is a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services. You cannot invest directly in an index.

 

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 which 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.

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8   Wells Fargo Real Return Fund   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 June 1, 2018 to November 30, 2018.

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.

 

    

Beginning

account value

6-1-2018

     

Ending

account value

11-30-2018

     

Expenses

paid during

the period1,2

     

Annualized net

expense ratio1

  

Class A

            

Actual

    $ 1,000.00      $ 982.75      $ 3.88        0.78 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,021.16      $ 3.95        0.78 % 

Class C

            

Actual

    $ 1,000.00      $ 978.79      $ 7.59        1.53 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,017.40      $ 7.74        1.53 % 

Class R6

            

Actual

    $ 1,000.00      $ 984.86      $ 1.99        0.40 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,023.06      $ 2.03        0.40 % 

Administrator Class

            

Actual

    $ 1,000.00      $ 983.17      $ 2.98        0.60 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,022.06      $ 3.04        0.60 % 

Institutional Class

            

Actual

    $ 1,000.00      $ 983.61      $ 2.24        0.45 % 

Hypothetical (5% return before expenses)

    $ 1,000.00      $ 1,022.81      $ 2.28        0.45 % 

 

 

 

1

Amounts reflect net expenses allocated from the affiliated Master Portfolio in which the Fund invests.

 

2

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).

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Real Return Fund     9  

    

 

 

Security name                        Value  

Investment Companies: 100.07%

           
Affiliated Master Portfolio: 100.07%           

Wells Fargo Real Return Portfolio

            $ 66,683,186  
          

 

 

  

Total Investment Companies (Cost $65,377,636)

              66,683,186          
          

 

 

  

 

Total investments in securities (Cost $65,377,636)     100.07 %         66,683,186  

Other assets and liabilities, net

     (0.07 )         (44,348 ) 
 

 

 

       

 

 

  
Total net assets     100.00 %       $ 66,638,838  
 

 

 

       

 

 

  

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

    

Dividends

allocated

from

affiliated

Master

Portfolio

    

Affiliated

income

allocated

from

affiliated

Master

Portfolio

    

Value,

end

of period

    

% of

net

assets

  

Wells Fargo Real Return Portfolio

     53 %      33 %    $ (600,125 )    $ (1,442,979 )    $ 926,525     $ 141,005     $ 10,684     $ 66,683,186       100.07 % 

 

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

Table of Contents

 

10   Wells Fargo Real Return Fund   Statement of assets and liabilities—November 30, 2018 (unaudited)
         

Assets

  

Investments in affiliated Master Portfolio, at value (cost $65,377,636)

   $ 66,683,186  

Receivable for Fund shares sold

     45,416  

Receivable from manager

     14,037  

Prepaid expenses and other assets

     243,444  
 

 

 

  

Total assets

     66,986,083  
 

 

 

  

Liabilities

  

Payable for Fund shares redeemed

     334,979  

Administration fees payable

     6,335  

Trustees’ fees and expenses payable

     3,657  

Distribution fee payable

     2,274  
 

 

 

  

Total liabilities

     347,245  
 

 

 

  

Total net assets

   $ 66,638,838  
 

 

 

  

NET ASSETS CONSIST OF

  

Paid-in capital

   $ 68,293,050  

Total distributable loss

     (1,654,212 ) 
 

 

 

  

Total net assets

   $ 66,638,838  
 

 

 

  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARE

  

Net assets – Class A

   $ 21,914,470  

Shares outstanding – Class A1

     2,290,903  

Net asset value per share – Class A

     $9.57  

Maximum offering price per share – Class A2

     $10.02  

Net assets – Class C

   $ 3,476,545  

Shares outstanding – Class C1

     368,633  

Net asset value per share – Class C

     $9.43  

Net assets – Class R6

   $ 11,947,056  

Shares outstanding – Class R61

     1,237,002  

Net asset value per share – Class R6

     $9.66  

Net assets – Administrator Class

   $ 15,248,913  

Shares outstanding – Administrator Class1

     1,573,390  

Net asset value per share – Administrator Class

     $9.69  

Net assets – Institutional Class

   $ 14,051,854  

Shares outstanding – Institutional Class1

     1,454,294  

Net asset value per share – Institutional Class

     $9.66  

 

 

 

1 

The Fund has an unlimited number of authorized shares.

 

2 

Maximum offering price is computed as 100/95.50 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.

Table of Contents

 

Statement of operations—six months ended November 30, 2018 (unaudited)   Wells Fargo Real Return Fund     11  
         

Investment income

  

Interest allocated from affiliated Master Portfolio

   $ 926,525  

Dividends allocated from affiliated Master Portfolio (net of foreign withholding taxes of $3,699)

     141,005  

Affiliated income allocated from affiliated Master Portfolio

     10,684  

Expenses allocated from affiliated Master Portfolio

     (162,758 ) 

Waivers allocated from affiliated Master Portfolio

     16,486  
 

 

 

  

Total investment income

     931,942  
 

 

 

  

Expenses

  

Management fee

     18,330  

Administration fees

  

Class A

     19,378  

Class C

     2,899  

Class R6

     1,778  

Administrator Class

     9,625  

Institutional Class

     5,750  

Shareholder servicing fees

  

Class A

     30,278  

Class C

     4,529  

Administrator Class

     24,061  

Distribution fee

  

Class C

     13,587  

Custody and accounting fees

     6,042  

Professional fees

     15,304  

Registration fees

     28,089  

Shareholder report expenses

     185  

Trustees’ fees and expenses

     11,867  

Other fees and expenses

     953  
 

 

 

  

Total expenses

     192,655  

Less: Fee waivers and/or expense reimbursements

     (102,947 ) 
 

 

 

  

Net expenses

     89,708  
 

 

 

  

Net investment income

     842,234  
 

 

 

  

REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS

  

Net realized losses on securities transactions allocated from affiliated Master Portfolio

     (600,125 ) 

Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio

     (1,442,979 ) 
 

 

 

  

Net realized and unrealized gains (losses) on investments

     (2,043,104 ) 
 

 

 

  

Net decrease in net assets resulting from operations

   $ (1,200,870 ) 
 

 

 

  

 

 

 

 

 

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

Table of Contents

 

12   Wells Fargo Real Return Fund   Statement of changes in net assets
    

Six months ended
November 30, 2018

(unaudited)

     Year ended
May 31, 20181		  

Operations

        

Net investment income

     $ 842,234       $ 1,558,167  

Net realized gains (losses) on investments

       (600,125 )        225,688  

Net change in unrealized gains (losses) on investments

       (1,442,979 )        (853,775 ) 
 

 

 

  

Net increase (decrease) in net assets resulting from operations

       (1,200,870 )        930,080  
 

 

 

  

Distributions to shareholders from net investment income and net realized gains

        

Class A

       (318,216 )        (582,466 ) 

Class C

       (35,611 )        (55,795 ) 

Class R6

       (177,999 )        (290,979 ) 

Administrator Class

       (253,872 )        (468,083 ) 

Institutional Class

       (214,635 )        (187,449 ) 
 

 

 

  

Total distributions to shareholders

       (1,000,333 )        (1,584,772 ) 
 

 

 

  

Capital share transactions

     Shares         Shares    

Proceeds from shares sold

        

Class A

     289,350       2,822,871       1,095,946       10,872,363  

Class C

     101,609       979,316       43,761       428,445  

Class R6

     90,496       888,434       459,934       4,603,532  

Administrator Class

     263,109       2,610,423       1,231,825       12,417,678  

Institutional Class

     573,864       5,687,143       946,110       9,485,356  
 

 

 

  
      12,988,187         37,807,374  
 

 

 

  

Reinvestment of distributions

        

Class A

     22,755       222,253       43,842       435,779  

Class C

     3,324       32,045       5,160       50,665  

Class R6

     7,277       71,655       23,584       236,978  

Administrator Class

     25,477       252,231       44,920       451,385  

Institutional Class

     21,693       213,853       18,407       184,327  
 

 

 

  
      792,037         1,359,134  
 

 

 

  

Payment for shares redeemed

        

Class A

     (669,203 )      (6,535,981 )      (1,472,315 )      (14,617,222 ) 

Class C

     (97,640 )      (937,240 )      (153,785 )      (1,504,494 ) 

Class R6

     (40,025 )      (397,291 )      (44,403 )      (444,996 ) 

Administrator Class

     (1,050,523 )      (10,411,460 )      (1,534,899 )      (15,428,057 ) 

Institutional Class

     (356,170 )      (3,498,922 )      (269,640 )      (2,701,769 ) 
 

 

 

  
      (21,780,894 )        (34,696,538 ) 
 

 

 

  

Net increase (decrease) in net assets resulting from capital share transactions

       (8,000,670 )        4,469,970  
 

 

 

  

Total increase (decrease) in net assets

       (10,201,873 )        3,815,278  
 

 

 

  

Net assets

        

Beginning of period

       76,840,711         73,025,433  
 

 

 

  

End of period

     $ 66,638,838       $ 76,840,711  
 

 

 

  

 

 

 

1 

Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirements 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 $231,384. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 7, Distributions to Shareholders, in the notes to the financial statements.

 

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

Table of Contents

 

Financial highlights   Wells Fargo Real Return Fund     13  

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
CLASS A   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $9.87       $9.96       $9.95       $10.07       $10.11       $10.85  

Net investment income

     0.10       0.21       0.19 1       0.10 1       0.05 1       0.10 1  

Net realized and unrealized gains (losses) on investments

     (0.27 )      (0.09 )      0.03       (0.01 )      0.07       (0.21 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (0.17 )      0.12       0.22       0.09       0.12       (0.11 ) 

Distributions to shareholders from

            

Net investment income

     (0.13 )      (0.21 )      (0.20 )      (0.07 )      (0.08 )      (0.09 ) 

Net realized gain

     0.00       0.00       (0.01 )      (0.14 )      (0.08 )      (0.54 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (0.13 )      (0.21 )      (0.21 )      (0.21 )      (0.16 )      (0.63 ) 

Net asset value, end of period

     $9.57       $9.87       $9.96       $9.95       $10.07       $10.11  

Total return2

     (1.73 )%      1.25 %      2.23 %      1.01 %      1.24 %      (0.76 )% 

Ratios to average net assets (annualized)

            

Gross expenses3

     1.03 %      1.04 %      1.11 %      1.20 %      1.31 %      1.20 % 

Net expenses3

     0.78 %      0.80 %      0.85 %      0.85 %      0.85 %      0.85 % 

Net investment income3

     2.16 %      2.15 %      1.92 %      0.98 %      0.47 %      0.96 % 

Supplemental data

            

Portfolio turnover rate4

     16 %      29 %      25 %      29 %      57 %      9 % 

Net assets, end of period (000s omitted)

     $21,914       $26,133       $29,678       $18,938       $12,977       $15,415  

 

 

 

 

1 

Calculated based upon average shares outstanding

 

2 

Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.40 % 

Year ended May 31, 2018

     0.41 % 

Year ended May 31, 2017

     0.44 % 

Year ended May 31, 2016

     0.44 % 

Year ended May 31, 2015

     0.44 % 

Year ended May 31, 2014

     0.44 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

14   Wells Fargo Real Return Fund   Financial highlights

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
CLASS C   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $9.73       $9.82       $9.77       $9.92       $10.00       $10.76  

Net investment income (loss)

     0.08       0.03       0.04       0.03 1       (0.03 )1      0.03 1  

Net realized and unrealized gains (losses) on investments

     (0.28 )      0.02       0.10       (0.02 )      0.08       (0.21 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (0.20 )      0.05       0.14       0.01       0.05       (0.18 ) 

Distributions to shareholders from

            

Net investment income

     (0.10 )      (0.14 )      (0.08 )      (0.02 )      (0.05 )      (0.04 ) 

Net realized gain

     0.00       0.00       (0.01 )      (0.14 )      (0.08 )      (0.54 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (0.10 )      (0.14 )      (0.09 )      (0.16 )      (0.13 )      (0.58 ) 

Net asset value, end of period

     $9.43       $9.73       $9.82       $9.77       $9.92       $10.00  

Total return2

     (2.12 )%      0.53 %      1.44 %      0.21 %      0.46 %      (1.46 )% 

Ratios to average net assets (annualized)

            

Gross expenses3

     1.78 %      1.79 %      1.86 %      1.95 %      2.06 %      1.95 % 

Net expenses3

     1.53 %      1.56 %      1.60 %      1.60 %      1.60 %      1.60 % 

Net investment income (loss)3

     1.37 %      1.39 %      1.23 %      0.30 %      (0.33 )%      0.29 % 

Supplemental data

            

Portfolio turnover rate4

     16 %      29 %      25 %      29 %      57 %      9 % 

Net assets, end of period (000s omitted)

     $3,477       $3,517       $4,580       $5,654       $7,471       $9,095  

 

 

 

 

1 

Calculated based upon average shares outstanding

 

2 

Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.40 % 

Year ended May 31, 2018

     0.41 % 

Year ended May 31, 2017

     0.44 % 

Year ended May 31, 2016

     0.44 % 

Year ended May 31, 2015

     0.44 % 

Year ended May 31, 2014

     0.44 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

Financial highlights   Wells Fargo Real Return Fund     15  

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
CLASS R6   2018     20171  

Net asset value, beginning of period

     $9.96       $10.05       $10.17  

Net investment income

     0.13 2       0.22       0.10  

Net realized and unrealized gains (losses) on investments

     (0.28 )      (0.06 )      (0.07 ) 
 

 

 

    

 

 

    

 

 

  

Total from investment operations

     (0.15 )      0.16       0.03  

Distributions to shareholders from

      

Net investment income

     (0.15 )      (0.25 )      (0.14 ) 

Net realized gain

     0.00       0.00       (0.01 ) 
 

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (0.15 )      (0.25 )      (0.15 ) 

Net asset value, end of period

     $9.66       $9.96       $10.05  

Total return3

     (1.51 )%      1.63 %      0.36 % 

Ratios to average net assets (annualized)

      

Gross expenses4

     0.65 %      0.66 %      0.69 % 

Net expenses4

     0.40 %      0.42 %      0.47 % 

Net investment income4

     2.50 %      2.52 %      1.32 % 

Supplemental data

      

Portfolio turnover rate5

     16 %      29 %      25 % 

Net assets, end of period (000s omitted)

     $11,947       $11,750       $7,438  

 

 

 

 

 

1 

For the period from October 31, 2016 (commencement of class operations) to May 31, 2017

 

2 

Calculated based upon average shares outstanding

 

3 

Returns for periods of less than one year are not annualized.

 

4 

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

 

Six months ended November 30, 2018 (unaudited)

     0.40 % 

Year ended May 31, 2018

     0.41 % 

Year ended May 31, 20171

     0.44 % 

 

5 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

16   Wells Fargo Real Return Fund   Financial highlights

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
ADMINISTRATOR CLASS   2018     2017     2016     2015     2014  

Net asset value, beginning of period

     $9.99       $10.06       $10.03       $10.15       $10.17       $10.90  

Net investment income

     0.12 1       0.24 1       0.22 1       0.13 1       0.10 1       0.13 1  

Net realized and unrealized gains (losses) on investments

     (0.29 )      (0.09 )      0.02       (0.02 )      0.06       (0.22 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (0.17 )      0.15       0.24       0.11       0.16       (0.09 ) 

Distributions to shareholders from

            

Net investment income

     (0.13 )      (0.22 )      (0.20 )      (0.09 )      (0.10 )      (0.10 ) 

Net realized gain

     0.00       0.00       (0.01 )      (0.14 )      (0.08 )      (0.54 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (0.13 )      (0.22 )      (0.21 )      (0.23 )      (0.18 )      (0.64 ) 

Net asset value, end of period

     $9.69       $9.99       $10.06       $10.03       $10.15       $10.17  

Total return2

     (1.68 )%      1.50 %      2.46 %      1.21 %      1.56 %      (0.51 )% 

Ratios to average net assets (annualized)

            

Gross expenses3

     0.97 %      0.97 %      1.04 %      1.13 %      1.27 %      1.14 % 

Net expenses3

     0.60 %      0.60 %      0.60 %      0.60 %      0.60 %      0.60 % 

Net investment income3

     2.41 %      2.39 %      2.20 %      1.30 %      0.99 %      1.31 % 

Supplemental data

            

Portfolio turnover rate4

     16 %      29 %      25 %      29 %      57 %      9 % 

Net assets, end of period (000s omitted)

     $15,249       $23,331       $26,100       $20,607       $10,679       $6,320  

 

 

 

 

1 

Calculated based upon average shares outstanding

 

2 

Returns for period of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.40 % 

Year ended May 31, 2018

     0.41 % 

Year ended May 31, 2017

     0.44 % 

Year ended May 31, 2016

     0.44 % 

Year ended May 31, 2015

     0.44 % 

Year ended May 31, 2014

     0.44 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

Financial highlights   Wells Fargo Real Return Fund     17  

(For a share outstanding throughout each period)

 

   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
INSTITUTIONAL CLASS   2018     20171  

Net asset value, beginning of period

     $9.97       $10.06       $10.17  

Net investment income

     0.13       0.24       0.14  

Net realized and unrealized gains (losses) on investments

     (0.29 )      (0.08 )      (0.10 ) 
 

 

 

    

 

 

    

 

 

  

Total from investment operations

     (0.16 )      0.16       0.04  

Distributions to shareholders from

      

Net investment income

     (0.15 )      (0.25 )      (0.14 ) 

Net realized gain

     0.00       0.00       (0.01 ) 
 

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (0.15 )      (0.25 )      (0.15 ) 

Net asset value, end of period

     $9.66       $9.97       $10.06  

Total return2

     (1.64 )%      1.57 %      0.41 % 

Ratios to average net assets (annualized)

      

Gross expenses3

     0.70 %      0.71 %      0.76 % 

Net expenses3

     0.45 %      0.47 %      0.52 % 

Net investment income3

     2.44 %      2.62 %      2.24 % 

Supplemental data

      

Portfolio turnover rate4

     16 %      29 %      25 % 

Net assets, end of period (000s omitted)

     $14,052       $12,110       $5,229  

 

 

 

 

1 

For the period from October 31, 2016 (commencement of class operations) to May 31, 2017

 

2 

Returns for periods of less than one year are not annualized.

 

3 

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

 

Six months ended November 30, 2018 (unaudited)

     0.40 % 

Year ended May 31, 2018

     0.41 % 

Year ended May 31, 20171

     0.44 % 

 

4 

Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

 

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

Table of Contents

 

18   Wells Fargo Real Return Fund   Notes to financial statements (unaudited)

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 Wells Fargo Real Return Fund (the “Fund”) which is a diversified series of the Trust.

The Fund is a feeder fund in a master-feeder structure that invests substantially all of its assets in a single master portfolio with a substantially identical investment objective and substantially similar investment strategies. The Fund seeks to achieve its investment objective by investing all investable assets in a separate diversified portfolio (the “affiliated Master Portfolio”) of Wells Fargo Master Trust, a registered open-end management investment company. The affiliated Master Portfolio directly acquires portfolio securities and the Fund acquires an indirect interest in those securities. The Fund accounts for its investment in the affiliated Master Portfolio as a partnership investment and records on a daily basis its share of the affiliated Master Portfolio’s income, expense and realized and unrealized gains and losses. The financial statements of the affiliated Master Portfolio for the six months ended November 30, 2018 are included in this report and should be read in conjunction with the Fund’s financial statements. As of November 30, 2018, the Fund owned 33% of Wells Fargo Real Return Portfolio.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the 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 Fund may deviate from this calculation time under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of the affiliated Master Portfolio’s net assets, which are also valued daily. Securities held in the affiliated Master Portfolio are valued as discussed in the Notes to Financial Statements of the affiliated Master Portfolio, which are included elsewhere in this report.

Investment transactions, income and expenses

Investments in the affiliated Master Portfolio are recorded on a trade basis.

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

Distributions to shareholders

Distributions to shareholders are recorded on the ex-dividend date and paid from net investment income monthly 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 the Fund’s fiscal year end. Therefore, a portion of the 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

The 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.

The 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 the 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.

Table of Contents

 

Notes to financial statements (unaudited)   Wells Fargo Real Return Fund     19  

As of November 30, 2018, the aggregate cost of all investments for federal income tax purposes was $65,521,116 and the unrealized gains (losses) consisted of:

 

Gross unrealized gains

    $ 1,162,070  

Gross unrealized losses

      0  

Net unrealized gains

    $ 1,162,070  

Class allocations

The separate classes of shares offered by the 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 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 November 30, 2018, the affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective and the value of the affiliate Master Portfolio was as follows:

 

Affiliated Master Portfolio    Investment objective    Value of
affiliated Master
Portfolio		  

Wells Fargo Real Return Portfolio

    Seeks returns that exceed the rate of inflation over the long-term      $66,683,186  

The 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 the 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 the Fund, supervising the subadviser, and providing fund-level administrative services in connection with the Fund’s operations. As long as the Fund continues to invest substantially all of its assets in a single affiliated Master Portfolio, the Fund pays Funds Management an investment management fee only for fund-level administrative services at an annual rate starting at 0.05% and declining to 0.03% as the average daily net assets of the Fund increase. For the six months ended November 30, 2018, the management fee was equivalent to an annual rate of 0.05% of the Fund’s average daily net assets.

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

Administration fees

Under a class-level administration agreement, Funds Management provides class-level administrative services to the 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

      0.16 % 

Class R6

      0.03  

Administrator Class

      0.10  

Institutional Class

      0.08  

Table of Contents

 

20   Wells Fargo Real Return Fund   Notes to financial statements (unaudited)

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; otherwise, waivers and/or reimbursements are applied against class specific expenses before fund level expenses. Net expenses from the affiliated Master Portfolio are included in the expense cap. Funds Management has committed through September 30, 2019 to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’s expenses at 0.78% for Class A shares, 1.53% for Class C shares, 0.40% for Class R6 shares, 0.60% for Administrator Class shares, and 0.45% for Institutional Class shares. After this time, 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 the Fund pursuant to Rule 12b-1 under the 1940 Act. A distribution fee is charged to Class C shares and paid to Wells Fargo Funds Distributor, LLC (“Funds Distributor”), the principal underwriter, 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 six months ended November 30, 2018, Funds Distributor received $166 from the sale of Class A shares. No contingent deferred sales charges were incurred by Class A or Class C shares for the six months ended November 30, 2018.

Shareholder servicing fees

The Trust has entered into contracts with one or more shareholder servicing agents, whereby Class A, Class C, and Administrator Class of the Fund are charged a fee at an annual rate of 0.25% of the average daily net assets of each respective class.

A portion of these total shareholder servicing fees were paid to affiliates of Wells Fargo.

5. INVESTMENT PORTFOLIO TRANSACTIONS

The Fund seeks to achieve its investment objective by investing substantially all of its investable assets in a single affiliated Master Portfolio. Purchases and sales have been calculated by multiplying the Fund’s ownership percentage of the affiliated Master Portfolio by the affiliated Master Portfolio’s purchases and sales. Purchases and sales of investments, excluding short-term securities, for the six months ended November 30, 2018 were as follows:

 

Purchases at cost      Sales proceeds
U.S.
government		      Non-U.S.
government		      U.S.
government		      Non-U.S.
government
$20,395,906      $12,239,748      $6,980,459      $3,963,226

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 six months ended November 30, 2018, there were no borrowings by the Funds under the agreement.

Table of Contents

 

Notes to financial statements (unaudited)   Wells Fargo Real Return Fund     21  

7. DISTRIBUTIONS TO SHAREHOLDERS

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. The amounts of distributions to shareholders for the year ended May 31, 2018 were as follows:

 

    

Net investment

income

  

Class A

      $582,466  

Class C

      55,795  

Class R6

      290,979  

Administrator Class

      468,083  

Institutional Class

      187,449  

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 Fund 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 DISTRIBUTIONS

On December 12, 2018, the Fund declared distributions from short-term capital gains and long-term capital gains to shareholders of record on December 11, 2018. The per share amounts payable on December 13, 2018 were as follows:

 

     Short-term
capital gains		      Long-term
capital gains		  

Class A

    $ 0.00062      $ 0.03284  

Class C

      0.00062        0.03284  

Class R6

      0.00062        0.03284  

Administrator Class

      0.00062        0.03284  

Institutional Class

      0.00062        0.03284  

On December 27, 2018, the Fund declared distributions from net investment income to shareholders of record on December 26, 2018. The per share amounts payable on December 28, 2018 were as follows:

 

     Net investment
income		  

Class A

      $0.01356  

Class C

      0.00571  

Class R6

      0.01837  

Administrator Class

      0.01458  

Institutional Class

      0.01773  

These distributions are not reflected in the accompanying financial statements.

Table of Contents

 

22   Wells Fargo Real Return Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name                Shares      Value  

Common Stocks: 17.13%

          

Consumer Staples: 5.20%

          
Beverages: 0.85%          

Molson Coors Brewing Company Class B

          6,466      $ 425,269  

The Coca-Cola Company

          26,047        1,312,769  
            1,738,038  
         

 

 

  
Food & Staples Retailing: 1.10%          

Costco Wholesale Corporation

          1,985        459,091  

Metro AG «

          53,643        823,185  

Wal-Mart Stores Incorporated

          6,735        657,673  

Walgreens Boots Alliance Incorporated

          3,478        294,482  
            2,234,431  
         

 

 

  
Food Products: 1.29%          

Greencore Group plc

          105,732        253,425  

Health & Happiness (H&H) International Holdings Limited †

          81,000        520,744  

Marine Harvest ASA

          39,104        914,945  

Mondelez International Incorporated Class A

          12,497        562,115  

The Kraft Heinz Company

          7,542        385,547  
            2,636,776  
         

 

 

  
Household Products: 1.16%          

Church & Dwight Company Incorporated

          9,797        648,463  

The Clorox Company

          2,545        421,503  

The Procter & Gamble Company

          13,661        1,291,101  
            2,361,067  
         

 

 

  
Tobacco: 0.80%          

Altria Group Incorporated

          16,173        886,766  

Philip Morris International Incorporated

          8,497        735,245  
            1,622,011  
         

 

 

  

Energy: 4.06%

          
Energy Equipment & Services: 0.67%          

Halliburton Company

          8,804        276,710  

John Wood Group plc

          97,291        787,229  

Schlumberger Limited

          6,611        298,156  
            1,362,095  
         

 

 

  
Oil, Gas & Consumable Fuels: 3.39%          

Anadarko Petroleum Corporation

          7,600        402,040  

BP plc

          77,799        515,504  

Chevron Corporation

          9,823        1,168,348  

Cimarex Energy Company

          5,559        455,727  

Concho Resources Incorporated †

          5,161        672,685  

Cosan Limited Class A

          71,848        638,729  

Eni SpA

          17,844        287,786  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Real Return Portfolio     23  

    

 

 

Security name                Shares      Value  
Oil, Gas & Consumable Fuels (continued)          

EOG Resources Incorporated

          9,698      $ 1,001,900  

Noble Energy Incorporated

          13,477        319,944  

Occidental Petroleum Corporation

          8,038        564,830  

Origin Energy Limited †

          105,525        499,791  

Phillips 66 Company

          4,128        386,051  
            6,913,335  
         

 

 

  

Industrials: 0.22%

          
Industrial Conglomerates: 0.22%          

Keppel Corporation Limited

          102,800        454,091  
         

 

 

  

Materials: 3.33%

          
Chemicals: 1.56%          

Axalta Coating Systems Limited †

          12,794        320,234  

DowDuPont Incorporated

          12,198        705,654  

Ecolab Incorporated

          1,833        294,178  

LyondellBasell Industries NV Class A

          4,939        460,858  

OCI NV †

          33,997        775,149  

Sasol Limited

          8,693        254,842  

The Sherwin-Williams Company

          867        367,669  
            3,178,584  
         

 

 

  
Construction Materials: 0.14%          

Martin Marietta Materials Incorporated

          1,450        276,501  
         

 

 

  
Containers & Packaging: 0.11%          

Crown Holdings Incorporated †

          4,413        226,299  
         

 

 

  
Metals & Mining: 1.52%          

Agnico Eagle Mines Limited-U.S. Exchange Traded Shares

          4,500        158,040  

Alamos Gold Incorporated Class A

          9,500        30,531  

B2Gold Corporation †

          20,000        49,223  

Barrick Gold Corporation «

          5,800        73,950  

Detour Gold Corporation †

          5,200        38,629  

Endeavour Mining Corporation †

          3,000        37,391  

Evolution Mining Limited

          33,000        75,736  

Franco-Nevada Corporation

          1,900        131,562  

Fresnillo plc

          7,000        67,201  

Goldcorp Incorporated-U.S. Exchange Traded Shares

          8,000        74,240  

IAMGOLD Corporation †

          17,000        51,564  

Kinross Gold Corporation †

          35,000        94,833  

Kirkland Lake Gold Limited

          6,500        134,731  

Lundin Mining Corporation

          133,449        581,545  

Mag Silver Corporation †

          4,000        27,035  

Newcrest Mining Limited

          10,500        159,245  

Newmont Mining Corporation

          5,500        177,870  

Northern Star Resources Limited

          8,000        46,661  

Randgold Resources Limited ADR

          2,150        172,366  

Royal Gold Incorporated

          7,872        575,837  

 

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

Table of Contents

 

24   Wells Fargo Real Return Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name               Shares      Value  
Metals & Mining (continued)         

Semafo Incorporated †

         19,000      $ 34,321  

SSR Mining Incorporated †

         2,000        21,280  

Steel Dynamics Incorporated

         4,970        174,944  

Torex Gold Resources Incorporated †

         5,000        39,250  

Wheaton Precious Metals Corporation

         4,000        62,801  
           3,090,786  
        

 

 

  

Real Estate: 4.32%

         
Equity REITs: 4.32%         

Alexandria Real Estate Equities Incorporated

         3,449        429,401  

American Homes 4 Rent Class A

         13,842        288,329  

American Tower Corporation

         6,248        1,027,734  

Camden Property Trust

         3,753        357,135  

CoreSite Realty Corporation

         875        85,278  

Equinix Incorporated

         1,852        713,539  

Equity Residential

         4,556        324,615  

Essex Property Trust Incorporated

         720        189,007  

Four Corners Property Trust Incorporated

         12,090        335,377  

Healthcare Trust of America Incorporated Class A

         7,093        199,455  

Host Hotels & Resorts Incorporated

         17,516        332,804  

Hudson Pacific Properties Incorporated

         12,418        383,219  

Invitation Homes Incorporated

         14,621        313,767  

Physicians Realty Trust

         37,189        662,336  

Prologis Incorporated

         10,430        702,356  

Public Storage Incorporated

         1,289        274,892  

Retail Opportunity Investment Corporation

         24,159        437,278  

SBA Communications Corporation †

         1,554        265,439  

Simon Property Group Incorporated

         4,112        763,557  

Sun Communities Incorporated

         3,700        385,170  

Taubman Centers Incorporated

         3,013        159,508  

Ventas Incorporated

         2,780        176,502  
           8,806,698  
        

 

 

  

Total Common Stocks (Cost $34,046,010)

 

      34,900,712  
        

 

 

  
    Interest rate     Maturity date     Principal         
Corporate Bonds and Notes: 10.49%

 

Communication Services: 0.82%

 

Diversified Telecommunication Services: 0.11%         

Hughes Satellite Systems Corporation

     6.50 %      6-15-2019     $     230,000        233,163  
        

 

 

  
Media: 0.48%

 

National CineMedia LLC

     6.00       4-15-2022       100,000        100,375  

Nexstar Broadcasting Group Incorporated

     5.88       11-15-2022       365,000        368,650  

Nexstar Broadcasting Group Incorporated 144A

     6.13       2-15-2022       105,000        106,313  

Outfront Media Capital Corporation

     5.25       2-15-2022       400,000        401,500  
           976,838  
        

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Real Return Portfolio     25  

    

 

 

Security name   Interest rate     Maturity date     Principal      Value  
Wireless Telecommunication Services: 0.23%

 

Sprint Corporation

     7.25 %      9-15-2021     $     165,000      $ 172,013  

Sprint Spectrum LP 144A

     3.36       3-20-2023       131,250        129,773  

T-Mobile USA Incorporated

     4.00       4-15-2022       175,000        172,156  
           473,942  
        

 

 

  

Consumer Discretionary: 3.27%

 

Auto Components: 0.10%

 

American Axle & Manufacturing Incorporated

     7.75       11-15-2019           177,000        181,868  

Cooper Tire & Rubber Company

     8.00       12-15-2019       20,000        20,750  
           202,618  
        

 

 

  
Diversified Consumer Services: 0.09%

 

Service Corporation International

     5.38       1-15-2022       100,000        100,500  

TRI Pointe Group Incorporated

     4.38       6-15-2019       92,000        91,512  
           192,012  
        

 

 

  
Hotels, Restaurants & Leisure: 0.62%

 

GLP Capital LP

     4.88       11-1-2020       405,000        407,025  

MGM Resorts International

     5.25       3-31-2020       270,000        273,375  

MGM Resorts International

     6.75       10-1-2020       120,000        125,040  

NCL Corporation Limited 144A

     4.75       12-15-2021       448,000        449,120  
           1,254,560  
        

 

 

  
Household Durables: 0.59%

 

       

KB Home

     4.75       5-15-2019       60,000        60,000  

Lennar Corporation

     4.50       6-15-2019       150,000        150,094  

Lennar Corporation

     4.50       11-15-2019       50,000        50,094  

Lennar Corporation

     6.63       5-1-2020       305,000        315,294  

Pulte Group Incorporated

     4.25       3-1-2021       400,000        400,500  

Toll Brothers Finance Corporation

     5.88       2-15-2022       225,000        229,500  
           1,205,482  
        

 

 

  
Internet & Direct Marketing Retail: 0.22%

 

Netflix Incorporated

     5.38       2-1-2021       450,000        459,000  
        

 

 

  
Media: 0.93%

 

Cable One Incorporated 144A

     5.75       6-15-2022       515,000        520,794  

DISH DBS Corporation

     7.88       9-1-2019       210,000        215,513  

Sinclair Television Group Incorporated

     6.13       10-1-2022       400,000        405,500  

Sirius XM Radio Incorporated 144A

     3.88       8-1-2022       430,000        414,731  

TEGNA Incorporated

     5.13       10-15-2019       27,000        27,016  

TEGNA Incorporated

     5.13       7-15-2020       305,000        305,000  
           1,888,554  
        

 

 

  
Specialty Retail: 0.66%

 

Gap Incorporated

     5.95       4-12-2021       310,000        319,251  

Group 1 Automotive Incorporated

     5.00       6-1-2022           280,000        273,000  

L Brands Incorporated

     6.63       4-1-2021       295,000        308,275  

Penske Auto Group Incorporated

     3.75       8-15-2020       335,000        333,744  

Penske Auto Group Incorporated

     5.75       10-1-2022       110,000        110,550  
           1,344,820  
        

 

 

  

 

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

Table of Contents

 

26   Wells Fargo Real Return Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name   Interest rate     Maturity date     Principal      Value  
Textiles, Apparel & Luxury Goods: 0.06%

 

The William Carter Company

     5.25 %      8-15-2021     $     120,000      $ 120,150  
        

 

 

  

Consumer Staples: 0.26%

 

Food Products: 0.08%

 

B&G Foods Incorporated

     4.63       6-1-2021           155,000        152,288  
        

 

 

  
Personal Products: 0.18%

 

Edgewell Personal Care Company

     4.70       5-19-2021       380,000        375,250  
        

 

 

  

Energy: 1.14%

 

Oil, Gas & Consumable Fuels: 1.14%

 

Andeavor Logistics LP

     5.50       10-15-2019       75,000        75,938  

DCP Midstream Operating LP

     2.70       4-1-2019       175,000        174,125  

DCP Midstream Operating LP 144A

     5.35       3-15-2020       320,000        323,200  

Rockies Express Pipeline LLC 144A

     5.63       4-15-2020       405,000        409,050  

Rockies Express Pipeline LLC 144A

     6.00       1-15-2019       210,000        210,194  

Sabine Pass Liquefaction LLC

     6.25       3-15-2022       250,000        263,285  

Southern Star Central Corporation 144A

     5.13       7-15-2022       375,000        368,438  

Targa Resources Partners LP

     4.13       11-15-2019       510,000        506,813  
           2,331,043  
        

 

 

  

Financials: 0.85%

 

Consumer Finance: 0.68%

 

Ally Financial Incorporated

     3.75       11-18-2019       605,000        604,395  

Navient Corporation

     5.50       1-15-2019       465,000        465,233  

Springleaf Finance Corporation

     5.25       12-15-2019           315,000        316,181  
           1,385,809  
        

 

 

  
Diversified Financial Services: 0.08%         

General Electric Capital Corporation

    5.55       5-4-2020       165,000        166,589  
        

 

 

  
Real Estate Management & Development: 0.09%

 

Realogy Group LLC 144A

     4.50       4-15-2019       100,000        99,750  

Realogy Group LLC 144A

     5.25       12-1-2021       70,000        68,163  
           167,913  
        

 

 

  

Health Care: 0.91%

         
Health Care Equipment & Supplies: 0.14%         

Kinetics Concepts Incorporated 144A

     7.88       2-15-2021       270,000        274,725  
        

 

 

  
Health Care Providers & Services: 0.77%         

Acadia Healthcare Company Incorporated

     5.13       7-1-2022       162,000        158,760  

Centene Corporation

     4.75       5-15-2022       345,000        346,294  

DaVita HealthCare Partners Incorporated

     5.75       8-15-2022       350,000        354,813  

HCA Incorporated

     6.50       2-15-2020       255,000        262,013  

Select Medical Corporation

     6.38       6-1-2021       155,000        156,116  

Tenet Healthcare Corporation

     6.00       10-1-2020       290,000        295,800  
           1,573,796  
        

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Real Return Portfolio     27  

    

 

 

Security name   Interest rate     Maturity date     Principal      Value  

Industrials: 0.88%

         
Aerospace & Defense: 0.39%         

Alcoa Incorporated

     6.15 %      8-15-2020     $     350,000      $ 360,476  

Moog Incorporated 144A

     5.25       12-1-2022       445,000        445,000  
           805,476  
        

 

 

  
Commercial Services & Supplies: 0.20%         

Clean Harbors Incorporated

     5.13       6-1-2021       400,000        400,744  
        

 

 

  
Trading Companies & Distributors: 0.29%         

Aircastle Limited

     4.63       12-15-2018       100,000        100,021  

Aircastle Limited

     5.13       3-15-2021       275,000        279,054  

Aircastle Limited

     6.25       12-1-2019       200,000        204,469  
           583,544  
        

 

 

  

Information Technology: 0.69%

         
Electronic Equipment, Instruments & Components: 0.05%         

Sanmina Corporation 144A

     4.38       6-1-2019       105,000        104,869  
        

 

 

  
Software: 0.23%         

CDK Global Incorporated

     3.80       10-15-2019       110,000        109,588  

Symantec Corporation

     4.20       9-15-2020       360,000        361,168  
           470,756  
        

 

 

  
Technology Hardware, Storage & Peripherals: 0.41%         

Dell International LLC/EMC Corporation 144A

     3.48       6-1-2019       40,000        39,914  

EMC Corporation

     2.65       6-1-2020       525,000        511,244  

NCR Corporation

     4.63       2-15-2021           280,000        275,800  
           826,958  
        

 

 

  

Materials: 0.95%

         
Chemicals: 0.15%         

Huntsman International LLC

     4.88       11-15-2020       305,000        308,050  
        

 

 

  
Containers & Packaging: 0.47%         

Ball Corporation

     4.38       12-15-2020       545,000        548,531  

Reynolds Group Holdings

     5.75       10-15-2020       416,716        416,195  
           964,726  
        

 

 

  
Metals & Mining: 0.33%         

Freeport-McMoRan Incorporated

     3.10       3-15-2020       320,000        315,200  

Steel Dynamics Incorporated

     5.13       10-1-2021       351,000        351,878  
           667,078  
        

 

 

  

Real Estate: 0.72%

         
Equity REITs: 0.53%         

CoreCivic Incorporated «

     4.13       4-1-2020       230,000        227,700  

Equinix Incorporated

     5.38       1-1-2022       230,000        233,091  

 

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

Table of Contents

 

28   Wells Fargo Real Return Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name   Interest rate     Maturity date     Principal      Value  
Equity REITs (continued)         

Sabra Health Care REIT Incorporated

     5.50 %      2-1-2021     $     483,000      $ 489,038  

VEREIT Operating Partnership LP

     3.00       2-6-2019       120,000        119,940  

VEREIT Operating Partnership LP

     4.13       6-1-2021       10,000        10,047  
           1,079,816  
        

 

 

  
Real Estate Management & Development: 0.19%         

Taylor Morrison Communities Incorporated 144A

     5.25       4-15-2021       395,000        393,144  
        

 

 

  

Total Corporate Bonds and Notes (Cost $21,678,357)

            21,383,713  
        

 

 

  

Loans: 4.04%

         

Communication Services: 0.59%

         
Diversified Telecommunication Services: 0.06%         

Level 3 Financing Incorporated (1 Month LIBOR +2.25%) ±

     4.56       2-22-2024       129,470        127,771  
        

 

 

  
Media: 0.32%         

CSC Holdings LLC (1 Month LIBOR +2.50%) ±

     4.81       1-25-2026       509,440        501,345  

Neptune Finco Corporation (3 Month LIBOR +2.25%) ±

     4.99       1-15-2026       150,000        147,188  
           648,533  
        

 

 

  
Wireless Telecommunication Services: 0.21%         

SBA Senior Finance II LLC (1 Month LIBOR +2.00%) ±

     4.35       4-11-2025       437,365        432,104  
        

 

 

  

Consumer Discretionary: 0.42%

         
Auto Components: 0.10%         

Allison Transmission Incorporated (1 Month LIBOR +1.75%) ±

     4.07       9-23-2022       54,671        54,319  

Belron Finance US LLC (3 Month LIBOR +2.25%) ‡±

     4.84       11-7-2024           158,800        157,014  
           211,333  
        

 

 

  
Hotels, Restaurants & Leisure: 0.11%         

Wyndham Hotels & Resorts Incorporated (1 Month LIBOR +1.75%) ±

     4.09       5-30-2025       220,000        217,635  
        

 

 

  
Household Products: 0.13%         

Michaels Stores Incorporated (1 Month LIBOR +2.50%) ±‡

     4.83       1-28-2023       228,352        223,073  

The ServiceMaster Company LLC (1 Month LIBOR +2.50%) ±

     4.84       11-8-2023       52,630        52,476  
           275,549  
        

 

 

  
Media: 0.07%         

Live Nation Entertainment Incorporated (1 Month LIBOR +1.75%) ±

     4.13       10-31-2023       138,246        137,612  
        

 

 

  
Specialty Retail: 0.01%         

Sally Beauty Holdings Incorporated (1 Month LIBOR +2.25%) ±‡

     4.60       7-5-2024       24,750        24,224  
        

 

 

  

Consumer Staples: 0.11%

         
Food Products: 0.11%         

Post Holdings Incorporated (1 Month LIBOR +2.00%) ±

     4.32       5-24-2024             74,403        73,920  

Prestige Brands Incorporated (1 Month LIBOR +2.00%) ±

     4.34       1-26-2024       151,986        150,308  
           224,228  
        

 

 

  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Real Return Portfolio     29  

    

 

 

Security name   Interest rate     Maturity date     Principal      Value  

Financials: 0.38%

         
Diversified Consumer Services: 0.19%         

TransUnion (1 Month LIBOR +2.00%) ±

     4.34 %      6-19-2025     $     379,050      $ 375,396  
        

 

 

  
Diversified Financial Services: 0.19%         

Delos Finance SARL (3 Month LIBOR +1.75%) ±

     4.14       10-6-2023       200,000        199,150  

LPL Holdings Incorporated (3 Month LIBOR +2.25%) ±‡

     4.55       9-23-2024       194,719        193,015  
           392,165  
        

 

 

  

Health Care: 0.25%

         
Health Care Providers & Services: 0.21%         

HCA Incorporated (1 Month LIBOR +1.75%) ±

     4.09       3-18-2023       372,693        370,479  

Select Medical Corporation (1 Month LIBOR +2.50%) ±‡

     4.81       3-6-2025       54,175        53,633  
           424,112  
        

 

 

  
Pharmaceuticals: 0.04%         

Endo Finance LLC (1 Month LIBOR +4.25%) ±

     6.63       4-29-2024       88,875        88,357  
        

 

 

  

Industrials: 1.11%

         
Airlines: 0.04%         

United Airlines Incorporated (1 Month LIBOR +1.75%) ±

     4.09       4-1-2024       68,950        68,304  
        

 

 

  
Commercial Services & Supplies: 0.52%         

Advanced Disposal Services Incorporated (1 Month LIBOR +2.25%) ±

     4.47       11-10-2023       179,546        177,571  

Aramark Services Incorporated (3 Month LIBOR +1.75%) ±

     4.09       3-28-2024       45,322        44,982  

Aramark Services Incorporated (3 Month LIBOR +1.75%) ±

     4.09       3-11-2025       364,323        361,477  

KAR Auction Services Incorporated (3 Month LIBOR +2.25%) ±

     4.69       3-11-2021       149,874        148,422  

Multi-Color Corporation (3 Month LIBOR +2.00%) ±

     4.34       10-31-2024       178,650        175,970  

Sensata Technologies BV (2 Month LIBOR +1.75%) ±

     4.21       10-14-2021       158,275        157,813  
           1,066,235  
        

 

 

  
Communications Equipment: 0.43%         

Charter Communications Operating LLC (1 Month LIBOR +2.00%) ±

     4.35       4-30-2025       382,113        377,768  

Virgin Media Bristol LLC (1 Month LIBOR +2.50%) ±

     4.81       1-15-2026       500,000        493,280  
           871,048  
        

 

 

  
Machinery: 0.12%         

Columbus McKinnon Corporation (3 Month LIBOR +2.50%) ±‡

     4.89       1-31-2024             51,191        50,935  

RBS Global Incorporated (3 Month LIBOR +2.25%) ±

     4.35       8-21-2024           200,000        198,472  
           249,407  
        

 

 

  

Information Technology: 0.48%

         
Communications Equipment: 0.02%         

CommScope Incorporated (1 Month LIBOR +2.00%) ±‡

     4.35       12-29-2022       46,574        45,846  
        

 

 

  
Electronic Equipment, Instruments & Components: 0.20%         

CDW LLC (1 Month LIBOR +1.75%) ±

     4.10       8-17-2023       198,982        196,308  

Dell Incorporated (1 Month LIBOR +2.00%) ±

     4.35       9-7-2023       40,592        40,066  

Zebra Technologies Corporation (3 Month LIBOR +1.75%) ±

     4.09       11-15-2021       159,169        158,528  
           394,902  
        

 

 

  

 

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

Table of Contents

 

30   Wells Fargo Real Return Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name   Interest rate     Maturity date     Principal      Value  
IT Services: 0.15%         

First Data Corporation (1 Month LIBOR +2.00%) ±

     4.32 %      7-8-2022     $ 120,327      $ 118,508  

Zayo Group LLC (1 Month LIBOR +2.25%) ±

     4.59       1-19-2024       195,805        193,847  
           312,355  
        

 

 

  
Semiconductors & Semiconductor Equipment: 0.11%         

Micron Technology Incorporated (1 Month LIBOR +1.75%) ±

     4.10       4-26-2022       217,574        216,486  
        

 

 

  

Materials: 0.59%

         
Chemicals: 0.37%         

Ashland LLC (1 Month LIBOR +1.75%) ±

     4.07       5-17-2024       278,179        277,019  

Ineos US Finance LLC (1 Month LIBOR +2.00%) ±

     4.34       3-31-2024       497,303        487,202  
           764,221  
        

 

 

  
Containers & Packaging: 0.22%         

Berry Global Incorporated (1 Month LIBOR +1.75%) ±

     4.07       2-8-2020       429,665        426,623  

Reynolds Group Holdings Incorporated (1 Month LIBOR +2.75%) ±

     5.09       2-5-2023       15,523        15,317  
           441,940  
        

 

 

  

Real Estate: 0.11%

         
Equity REITs: 0.11%         

MGM Growth Properties LLC (1 Month LIBOR +2.00%) ±

     4.34       3-21-2025       221,845        217,630  
        

 

 

  

Total Loans (Cost $8,343,019)

            8,227,393  
        

 

 

  
          Expiration date     Shares         

Participation Notes: 0.11%

         

Financials: 0.11%

         
Capital Markets: 0.11%         

UBS AG (Kweichow Moutai Company Limited) †(a)

       8-13-2019              2,900        235,912  
        

 

 

  

Total Participation Notes (Cost $286,162)

            235,912  
        

 

 

  
          Maturity date     Principal         

U.S. Treasury Securities: 65.87%

         

TIPS

     0.13       4-15-2020     $     1,299,026        1,273,638  

TIPS

     0.13       4-15-2021       4,399,152        4,281,269  

TIPS

     0.13       1-15-2022       5,928,351        5,754,220  

TIPS

     0.13       4-15-2022       5,683,433        5,492,505  

TIPS

     0.13       7-15-2022       3,979,525        3,860,032  

TIPS

     0.13       1-15-2023       6,135,713        5,908,931  

TIPS

     0.13       7-15-2024       5,969,868        5,698,888  

TIPS

     0.13       7-15-2026       4,944,774        4,629,867  

TIPS

     0.25       1-15-2025       5,984,804        5,714,205  

TIPS

     0.38       7-15-2023       6,091,152        5,934,710  

TIPS

     0.38       7-15-2025       5,982,827        5,758,237  

TIPS

     0.38       1-15-2027       3,109,173        2,942,945  

TIPS

     0.38       7-15-2027       4,685,416        4,433,819  

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Real Return Portfolio     31  

    

 

 

Security name   Interest rate     Maturity date     Principal      Value  

U.S. Treasury Securities (continued)

         

TIPS

     0.50 %      1-15-2028     $     3,269,955      $ 3,107,649  

TIPS

     0.63       7-15-2021       5,365,279        5,310,428  

TIPS

     0.63       4-15-2023           4,929,298        4,836,360  

TIPS

     0.63       1-15-2024       6,069,796        5,950,829  

TIPS

     0.63       1-15-2026       5,253,865        5,104,253  

TIPS

     0.63       2-15-2043       2,014,922        1,746,003  

TIPS

     0.75       7-15-2028       2,227,691        2,168,924  

TIPS

     0.75       2-15-2042       2,720,504        2,440,377  

TIPS

     0.75       2-15-2045       2,369,275        2,094,741  

TIPS

     0.88       2-15-2047       2,881,234        2,613,782  

TIPS

     1.00       2-15-2046       2,482,499        2,328,862  

TIPS

     1.00       2-15-2048       1,888,819        1,767,226  

TIPS

     1.13       1-15-2021       3,162,124        3,158,097  

TIPS

     1.25       7-15-2020       2,911,339        2,916,864  

TIPS

     1.38       2-15-2044       2,745,963        2,808,855  

TIPS

     1.75       1-15-2028       2,307,671        2,442,225  

TIPS

     2.00       1-15-2026       2,861,888        3,049,974  

TIPS

     2.13       2-15-2040       1,214,730        1,414,259  

TIPS

     2.13       2-15-2041       1,550,516        1,814,608  

TIPS

     2.38       1-15-2025       3,930,846        4,248,058  

TIPS

     2.38       1-15-2027       2,121,886        2,337,138  

TIPS

     2.50       1-15-2029       2,222,338        2,519,575  

TIPS

     3.38       4-15-2032       896,030        1,144,328  

TIPS

     3.63       4-15-2028       1,802,793        2,206,356  

TIPS

     3.88       4-15-2029       2,364,932        3,000,322  

Total U.S. Treasury Securities (Cost $138,128,551)

            134,213,359  
        

 

 

  

Yankee Corporate Bonds and Notes: 1.50%

         

Consumer Discretionary: 0.26%

         
Auto Components: 0.21%         

IHO Verwaltungs GmbH 144A

     4.13       9-15-2021           450,000        434,250  
        

 

 

  
Automobiles: 0.05%         

Jaguar Land Rover Automotive plc 144A

     4.13       12-15-2018       100,000        99,968  
        

 

 

  

Financials: 0.55%

         
Banks: 0.23%         

Nielsen Holding and Finance BV 144A

     5.50       10-1-2021       465,000        466,600  
        

 

 

  
Diversified Financial Services: 0.32%         

General Electric Capital International Funding Company

     2.34       11-15-2020       175,000        166,346  

Park Aerospace Holdings Company 144A

     3.63       3-15-2021       400,000        390,000  

Virgin Media Finance plc

     5.25       1-15-2021       95,000        96,069  
           652,415  
        

 

 

  

Health Care: 0.49%

         
Pharmaceuticals: 0.49%         

Bausch Health Companies Incorporated 144A

     6.50       3-15-2022       430,000        444,513  

Teva Pharmaceuticals Industries Incorporated

     1.70       7-19-2019       570,000        562,194  
           1,006,707  
        

 

 

  

 

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

Table of Contents

 

32   Wells Fargo Real Return Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

Security name   Interest rate     Maturity date     Principal      Value  

Information Technology: 0.02%

         
Communications Equipment: 0.02%         

Nokia Corporation

     5.38 %      5-15-2019     $          31,000      $ 31,078  
        

 

 

  

Materials: 0.18%

         
Metals & Mining: 0.18%         

ArcelorMittal SA

     5.50       3-1-2021       355,000        364,588  
        

 

 

  

Total Yankee Corporate Bonds and Notes (Cost $3,094,968)

            3,055,606  
        

 

 

  
    Yield           Shares         
Short-Term Investments: 1.26%         
Investment Companies: 1.22%         

Securities Lending Cash Investments LLC (l)(r)(u)

     2.38         1,052,560        1,052,665  

Wells Fargo Government Money Market Fund Select Class (l)(u)

     2.13         1,435,230        1,435,230  
           2,487,895  
        

 

 

  
                Principal         
U.S. Treasury Securities: 0.04%         

U.S. Treasury Bill (z)#

     1.66       12-13-2018     $     75,000        74,955  
        

 

 

  

Total Short-Term Investments (Cost $2,562,850)

            2,562,850        
        

 

 

  

 

Total investments in securities (Cost $208,139,917)     100.40 %         204,579,545  

Other assets and liabilities, net

     (0.40 )         (818,798 ) 
 

 

 

       

 

 

  
Total net assets     100.00 %       $ 203,760,747  
 

 

 

       

 

 

  

 

 

«

All or a portion of this security is on loan.

 

†

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.

 

±

Variable rate investment. The rate shown is the rate in effect at period end.

 

‡

Security is valued using significant unobservable inputs.

 

(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.

 

(r)

The investment is a non-registered investment company purchased with cash collateral received from securities on loan.

 

(u)

The rate represents the 7-day annualized yield at period end.

 

(z)

Zero coupon security. The rate represents the current yield to maturity.

 

#

All or portion of this security is segregated as collateral for investments in derivative instruments.

Abbreviations:

 

ADR

  American depositary receipt

 

LIBOR

  London Interbank Offered Rate

 

REIT

  Real estate investment trust

 

TIPS

  Treasury inflation-protected securities

 

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

Table of Contents

 

Portfolio of investments—November 30, 2018 (unaudited)   Wells Fargo Real Return Portfolio     33  

    

 

 

Futures Contracts

 

Description    Number of
contracts		      Expiration
date		      Notional
cost		      Notional
value		      Unrealized
gains		      Unrealized
losses		  

Long

                  

2-Year U.S. Treasury Notes

      5        3-29-2019      $ 1,054,773      $ 1,054,922      $ 149      $ 0  

Short

                  

U.S. Ultra Bond

      (6)        3-20-2019        (915,097 )       (914,438 )       659        0  

5-Year U.S. Treasury Notes

      (45)        3-29-2019        (5,078,600 )       (5,083,242 )       0        (4,642 ) 

10-Year U.S. Treasury Notes

      (4)        3-20-2019        (476,556 )       (477,813 )       0        (1,257 ) 
              

 

 

     

 

 

  
               $ 808      $ (5,899 ) 
              

 

 

     

 

 

  

 

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

Table of Contents

 

34   Wells Fargo Real Return Portfolio   Portfolio of investments—November 30, 2018 (unaudited)

    

 

 

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

                  

Securities Lending Cash Investments LLC

     1,733,169       7,294,591       7,975,200       1,052,560     $ 0     $ 0     $ 5,856     $ 1,052,665    

Wells Fargo Government Money Market Fund Select Class

     2,901,798       110,473,486       111,940,054       1,435,230       0       0       25,628       1,435,230    
         

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
          $ 0     $ 0     $ 31,484     $ 2,487,895       1.22 % 
         

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

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

Table of Contents

 

Statement of assets and liabilities—November 30, 2018 (unaudited)   Wells Fargo Real Return Portfolio     35  
         

Assets

  

Investments in unaffiliated securities, (including $1,006,250 of securities loaned) at value (cost $205,652,022)

   $ 202,091,650  

Investments in affiliated securities, at value (cost $2,487,895)

     2,487,895  

Foreign currency, at value (cost $15,547)

     15,152  

Receivable for investments sold

     221,681  

Receivable for dividends and interest

     737,442  

Receivable for daily variation margin on open futures contract

     78  

Receivable for securities lending income

     374  
 

 

 

  

Total assets

     205,554,272  
 

 

 

  

Liabilities

  

Payable upon receipt of securities loaned

     1,052,672  

Payable for investments purchased

     656,064  

Advisory fee payable

     63,978  

Payable for daily variation margin on open futures contracts

     4,219  

Accrued expenses and other liabilities

     16,592  
 

 

 

  

Total liabilities

     1,793,525  
 

 

 

  

Total net assets

   $ 203,760,747  
 

 

 

  

 

 

 

 

 

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

Table of Contents

 

36   Wells Fargo Real Return Portfolio   Statement of operations—six months ended November 30, 2018 (unaudited)
         

Investment income

  

Interest

   $ 2,701,525  

Dividends (net of foreign withholding taxes of $11,448)

     417,086  

Income from affiliated securities

     31,484  
 

 

 

  

Total investment income

     3,150,095  
 

 

 

  

Expenses

  

Advisory fee

     436,081  

Custody and accounting fees

     7,261  

Professional fees

     23,669  

Shareholder report expenses

     725  

Trustees’ fees and expenses

     12,260  

Other fees and expenses

     4,335  
 

 

 

  

Total expenses

     484,331  

Less: Fee waivers and/or expense reimbursements

     (48,250 ) 
 

 

 

  

Net expenses

     436,081  
 

 

 

  

Net investment income

     2,714,014  
 

 

 

  

REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS

  

Net realized gains (losses) on:

  

Unaffiliated securities

     (1,930,476 ) 

Futures contracts

     79,581  
 

 

 

  

Net realized losses on investments

     (1,850,895 ) 
 

 

 

  

Net change in unrealized gains (losses) on:

  

Unaffiliated securities

     (4,363,738 ) 

Futures contracts

     (355 ) 
 

 

 

  

Net change in unrealized gains (losses) on investments

     (4,364,093 ) 
 

 

 

  

Net realized and unrealized gains (losses) on investments

     (6,214,988 ) 
 

 

 

  

Net decrease in net assets resulting from operations

   $ (3,500,974 ) 
 

 

 

  

 

 

 

 

 

 

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

Table of Contents

 

Statement of changes in net assets   Wells Fargo Real Return Portfolio     37  
     Six months ended
November 30, 2018
(unaudited) 		       Year ended
May 31, 2018		  

Operations

       

Net investment income

   $ 2,714,014        $ 2,993,334  

Net realized gains (losses) on investments

     (1,850,895 )         261,172  

Net change in unrealized gains (losses) on investments

     (4,364,093 )         (1,297,441 ) 
 

 

 

  

Net increase (decrease) in net assets resulting from operations

     (3,500,974 )         1,957,065  
 

 

 

  

Capital transactions

       

Transactions in investors’ beneficial interests

       

Contributions

     99,792,854          92,220,550  

Withdrawals

     (37,676,838 )         (38,625,765 ) 
 

 

 

  

Net increase in net assets resulting from capital transactions

     62,116,016          53,594,785  
 

 

 

  

Total increase in net assets

     58,615,042          55,551,850  
 

 

 

  

Net assets

       

Beginning of period

     145,145,705          89,593,855  
 

 

 

  

End of period

   $ 203,760,747        $ 145,145,705  
 

 

 

  

 

 

 

 

 

 

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

Table of Contents

 

38   Wells Fargo Real Return Portfolio   Financial highlights
   

Six months ended
November 30, 2018

(unaudited)

     Year ended May 31  
     2018     2017     2016     2015     2014  

Total return1

     (1.58 )%      1.67 %      2.65 %      1.29 %      1.50 %      (0.26 )% 

Ratios to average net assets (annualized)

            

Gross expenses

     0.44 %      0.48 %      0.52 %      0.56 %      0.57 %      0.53 % 

Net expenses

     0.40 %      0.41 %      0.44 %      0.44 %      0.44 %      0.44 % 

Net investment income

     2.49 %      2.40 %      2.36 %      1.45 %      0.89 %      1.45 % 

Supplemental data

            

Portfolio turnover rate

     16 %      29 %      25 %      29 %      57 %      9 % 

 

 

 

 

 

 

1 

Returns for periods of less than one year are not annualized.

 

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

Table of Contents

 

Notes to financial statements (unaudited)   Wells Fargo Real Return Portfolio     39  

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 Wells Fargo Real Return Portfolio (the “Portfolio”) which is a diversified series of the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the 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 Portfolio may deviate from this calculation time under unusual or unexpected circumstances.

Debt securities are valued at the evaluated bid price provided by an independent pricing service (e.g. taking into account various factors, including yields, maturities, or credit ratings) or, if a reliable price is not available, the quoted bid price from an independent broker-dealer.

Equity securities and futures contracts that are listed on a foreign or domestic exchange or market are valued at the official closing price or, if none, the last sales price. If no sale occurs on the principal exchange or market that day, a fair value price will be determined in accordance with the Portfolio’s Valuation Procedures.

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 Portfolio 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 November 30, 2018, such fair value pricing was not used in pricing foreign securities.

Investments in registered open-end investment companies are valued at net asset value. Interests in non-registered investment companies that are redeemable at net asset value are fair valued normally at net asset value.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees . The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC (“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.

Foreign currency translation

The accounting records of the Portfolio are maintained in U.S. dollars. The values of other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee. Purchases and sales of securities, and income and expenses are converted at the rate of exchange on the respective dates of such transactions. Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of

Table of Contents

 

40   Wells Fargo Real Return Portfolio   Notes to financial statements (unaudited)

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.

Participation notes

The Portfolio may invest in participation notes to gain exposure to securities in certain foreign markets. Participation notes are issued by banks or broker-dealers and are designed to offer a return linked to a particular underlying foreign security. Participation notes involve transaction costs, which may be higher than those applicable to the underlying foreign security. The holder of the participation note is entitled to receive from the bank or broker-dealer, an amount equal to the dividend paid by the issuer of the underlying foreign security; however, the holder is not entitled to the same rights (i.e. voting rights) as an owner of the underlying foreign security. Investments in participation notes involve risks beyond those normally associated with a direct investment in an underlying security. The Portfolio has no rights against the issuer of the underlying foreign security and participation notes expose the Portfolio to counterparty risk in the event the counterparty does not perform. There is also no assurance there will be a secondary trading market for the participation note or that the trading price of the participation note will equal the underlying value of the foreign security that it seeks to replicate.

Securities lending

The Portfolio may lend its securities from time to time in order to earn additional income in the form of fees or interest on securities received as collateral or the investment of any cash received as collateral. The Portfolio continues to receive interest or dividends on the securities loaned. The Portfolio receives collateral in the form of cash or securities with a value at least equal to the value of the securities on loan. The value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Portfolio on the next business day. In a securities lending transaction, the net asset value of the Portfolio will be affected by an increase or decrease in the value of the securities loaned and by an increase or decrease in the value of the instrument in which collateral is invested. The amount of securities lending activity undertaken by the Portfolio fluctuates from time to time. In the event of default or bankruptcy by the borrower, the Portfolio may be prevented from recovering the loaned securities or gaining access to the collateral or may experience delays or costs in doing so. In addition, the investment of any cash collateral received may lose all or part of its value. The Portfolio has the right under the lending agreement to recover the securities from the borrower on demand.

The Portfolio lends its securities through an unaffiliated securities lending agent. Cash collateral received in connection with its securities lending transactions is invested in Securities Lending Cash Investments, LLC (the “Securities Lending Fund”). The Securities Lending Fund is exempt from registration under Section 3(c)(7) of the 1940 Act and is managed by Funds Management and is subadvised by Wells Capital Management Incorporated (“WellsCap”), an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”). Funds Management receives an advisory fee starting at 0.05% and declining to 0.01% as the average daily net assets of the Securities Lending Fund increase. All of the fees received by Funds Management are paid to WellsCap for its services as subadviser. The Securities Lending Fund seeks to provide a positive return compared to the daily Fed Funds Open Rate by investing in high-quality, U.S. dollar-denominated short-term money market instruments. Securities Lending Fund investments are valued at the evaluated bid price provided by an independent pricing service. Income earned from investment in the Securities Lending Fund, if any, is included in income from affiliated securities on the Statement of Operations.

When-issued transactions

The 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.

Loans

The Portfolio may invest in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. The loans pay interest at rates which are periodically reset by reference to a base lending rate plus a spread. Investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When the Portfolio purchases participations, it generally has no rights to enforce compliance with terms of the

Table of Contents

 

Notes to financial statements (unaudited)   Wells Fargo Real Return Portfolio     41  

loan agreement with the borrower. As a result, the Portfolio assumes the credit risk of both the borrower and the lender that is selling the participation. When the Portfolio purchases assignments from lenders, it acquires direct rights against the borrower on the loan and may enforce compliance by the borrower with the terms of the loan agreement. Loans may include fully funded term loans or unfunded loan commitments, which are contractual obligations for future funding.

Futures contracts

The Portfolio is subject to interest rate risk in the normal course of pursuing its investment objectives. Futures contracts are agreements between the Portfolio and a counterparty to buy or sell a specific amount of a commodity, financial instrument or currency at specified price and on a specified date. The Portfolio may buy and sell futures contracts in order to gain exposure to, or protect against, changes in interest rates and security values. 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 counter party risk to the Portfolio since futures contracts are exchange traded and the exchange’s clearinghouse, as 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 Statement 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 Statement of Operations.

Inflation-indexed bonds and TIPS

The Portfolio may invest in inflation-indexed bonds, including Treasury inflation-protected securities (TIPS). Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation falls, the principal value of inflation-indexed bonds (other than municipal inflation-indexed bonds and certain corporate inflation-indexed bonds) will be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal. The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates are tied to the relationship between nominal interest rates and the rate of inflation. If nominal interest rates increase at a faster rate than inflation, real interest rates may rise, leading to a decrease in value of inflation-indexed bonds. Inflation-indexed bonds, including TIPS, decline in value when real interest rates rise. In certain interest rate environments, such as when real interest rates are rising faster than nominal interest rates, inflation-indexed bonds may experience greater losses than other fixed income securities with similar durations.

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.

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. Dividend income from foreign securities is recorded net of foreign taxes withheld where recovery of such taxes is not assured.

Federal and other taxes

The Portfolio is treated as a separate entity for federal income tax purposes. The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains 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.

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42   Wells Fargo Real Return Portfolio   Notes to financial statements (unaudited)

The Portfolio’s income tax returns and all financial records supporting those returns for the prior three fiscal years are subject to examination by the federal revenue authority. Management has analyzed the 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 November 30, 2018, the aggregate cost of all investments for federal income tax purposes was $208,561,455 and the unrealized gains (losses) consisted of:

 

Gross unrealized gains

    $ 2,857,436  

Gross unrealized losses

      (6,844,437 ) 

Net unrealized losses

    $ (3,987,001 ) 

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 the Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

 

∎  

Level 1 – quoted prices in active markets for identical securities

 

∎  

Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

 

∎  

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

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Notes to financial statements (unaudited)   Wells Fargo Real Return Portfolio     43  

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of November 30, 2018:

 

     Quoted prices
(Level 1)		      Other significant
observable inputs
(Level 2)		      Significant
unobservable inputs
(Level 3)		      Total  

Assets

            

Investments in:

            

Common stocks

            

Consumer staples

    $ 10,592,323      $ 0      $ 0      $ 10,592,323  

Energy

      8,275,430        0        0        8,275,430  

Industrial

      454,091        0        0        454,091  

Materials

      6,772,170        0        0        6,772,170  

Real estate

      8,806,698        0        0        8,806,698  

Corporate bonds and notes

      0        21,383,713        0        21,383,713  

Loans

      0        7,479,653        747,740        8,227,393  

Participation notes

            

Financials

         235,912        0        235,912  

U.S. Treasury securities

      134,213,359        0        0        134,213,359  

Yankee corporate bonds and notes

      0        3,055,606        0        3,055,606  

Short-term investments

            

Investment companies

      1,435,230        1,052,665        0        2,487,895  

U.S. Treasury securities

      74,955        0        0        74,955  
     170,624,256        33,207,549        747,740        204,579,545  

Futures contracts

      808        0      0        808  

Total assets

    $ 170,625,064      $ 33,207,549      $ 747,740      $ 204,580,353  

Liabilities

            

Futures contracts

    $ 5,899      $ 0    $ 0    $ 5,899  

Total liabilities

    $ 5,899      $ 0      $ 0      $ 5,899  

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

Futures contracts are reported at their cumulative unrealized gains (losses) at measurement date as reported in the table following the Portfolio of Investments. For futures contracts, the current day’s variation margin is reported on the Statement of Assets and Liabilities. All other assets and liabilities are reported at their market value at measurement date.

At November 30, 2018, the Portfolio has no material transfers into/out of Level 3.

4. TRANSACTIONS WITH AFFILIATES

Advisory fee

The Trust has entered into an advisory contract with Funds Management, an indirect wholly owned subsidiary of Wells Fargo. The adviser is responsible for implementing investment policies and guidelines and for supervising the subadviser, who is responsible for day-to-day portfolio management of the Portfolio. Pursuant to the contract, Funds Management is entitled to receive an annual advisory fee starting at 0.40% and declining to 0.29% as the average daily net assets of the Portfolio increase. For the six months ended November 30, 2018, the advisory fee was equivalent to an annual rate of 0.40% of the Portfolio’s average daily net assets.

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Portfolio. The fee for subadvisory services is borne by Funds Management. WellsCap is the subadviser to the Portfolio and is entitled to receive a fee from Funds Management at an annual rate starting at 0.28% and declining to 0.18% as the average daily net assets of the Portfolio increase.

Funds Management has voluntarily waived and/or reimbursed advisory fees to the extent necessary to maintain certain net operating expense ratios for the Portfolio.

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44   Wells Fargo Real Return Portfolio   Notes to financial statements (unaudited)

Interfund transactions

The Portfolio may purchase or sell portfolio investment securities to certain other Wells Fargo affiliates pursuant to Rule 17a-7 of 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.

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments, excluding short-term securities, for the six months ended November 30, 2018 were as follows:

 

Purchases at cost

      Sales proceeds
U.S.
government		      Non-U.S.
government		      U.S.
government		      Non-U.S.
government
$62,322,833      $37,400,436      $21,329,867      $12,110,246

6. DERIVATIVE TRANSACTIONS

During the six months ended November 30, 2018, the Portfolio entered into futures contract to speculate on interest rates and to help manage the duration of its portfolio. The Portfolio had an average notional amount of $2,023,638 in long futures contracts and $9,808,367 in short futures contracts during the six months ended November 30, 2018.

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.

7. BORROWINGS

Effective August 28, 2018, 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 the 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 the 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.

For the six months ended November 30, 2018, there were no borrowings by the Portfolio under the agreement.

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 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.

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Other information (unaudited)   Wells Fargo Real Return Fund     45  

PROXY VOTING INFORMATION

A description of the policies and procedures used to determine how to vote proxies relating to portfolio securities is available, upon request, by calling 1-800-222-8222, visiting our website at wellsfargofunds.com, or visiting the SEC website at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Fund’s website at wellsfargofunds.com or by visiting the SEC website at sec.gov.

PORTFOLIO HOLDINGS INFORMATION

The complete portfolio holdings are publicly available on the website (wellsfargofunds.com) on a one-month delayed basis. In addition, top ten holdings information (excluding derivative positions) is publicly available on the website on a monthly, seven-day or more delayed basis. The Fund and the Portfolio each file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. In addition, each Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and at regional offices in New York City, at 233 Broadway, and in Chicago, at 175 West Jackson Boulevard, Suite 900. Information about the Public Reference Room may be obtained by calling 1-800-SEC-0330.

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46   Wells Fargo Real Return Fund   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 152 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. Board member of the Vincent Memorial Hospital Endowment (non-profit organization), where he serves on the Investment Committee and as a Chair of the Audit Committee. 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.3

(Born 1952)

   Trustee, since 2009   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. Johnson3

(Born 1949)

   Trustee, since 2008; Audit Committee Chairman, since 2009   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

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

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Other information (unaudited)   Wells Fargo Real Return Fund     47  
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

Olivia S. Mitchell

(Born 1953)

   Trustee, since 2006; Nominating and Governance Committee Chairman, 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; Vice Chairman, from 2017 to 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; Advisory Board Member, from 2017 to 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

Michael S. Scofield4

(Born 1943)

   Trustee, since 2010   Served on the Investment Company Institute’s Board of Governors and Executive Committee from 2008-2011 as well the Governing Council of the Independent Directors Council from 2006-2011 and the Independent Directors Council Executive Committee from 2008-2011. Trustee of the Evergreen Fund complex (and its predecessors) from 1984 to 2010. Chairman of the Evergreen Funds from 2000-2010. Former Trustee of the Mentor Funds. Retired Attorney, Law Offices of Michael S. Scofield.   N/A

Pamela Wheelock

(Born 1959)

   Trustee, since 2018; Advisory Board Member, from 2017 to 2018   Chief Operating Officer, Twin Cities Habitat for Humanity, since January, 2017. Vice President of University Services, University of Minnesota from 2012 to 2017. 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 President and Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2010 to 2011, Chairman of the Board from 2009 to 2011 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. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently the 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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48   Wells Fargo Real Return Fund   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.    

Nancy Wiser1

(Born 1967)

   Treasurer, since 2012   Executive Vice President of Wells Fargo Funds Management, LLC since 2011. Chief Operating Officer and Chief Compliance Officer at LightBox Capital Management LLC, from 2008 to 2011.    

Alexander Kymn

(Born 1973)

   Secretary, since 2018; Chief Legal Officer, since 2018   Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.    

Michael H. Whitaker

(Born 1967)

   Chief Compliance Officer, since 2016   Senior Vice President and Chief Compliance Officer 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.    

Jeremy DePalma1

(Born 1974)

   Assistant Treasurer, since 2009   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.    

 

 

1 

Nancy Wiser acts as Treasurer of 76 funds in the Fund Complex. Jeremy DePalma acts as Treasurer of 76 funds and Assistant Treasurer of 76 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 wellsfargofunds.com.

 

3 

Mr. Harris will replace Ms. Johnson as the Chairman of the Audit Committee effective January 1, 2019.

 

4 

Mr. Scofield is expected to retire on December 31, 2018.

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Appendix A (unaudited)   Wells Fargo Real Return Fund     49  

SALES CHARGE REDUCTIONS AND WAIVERS FOR CERTAIN INTERMEDIARIES

Raymond James & Associates, Inc., Raymond James Financial Services & Raymond James affiliates (“Raymond James”)

Effective on or about March 1, 2019, shareholders purchasing Fund shares through a Raymond James platform or account will be eligible only for the following load waivers (front-end sales charge waivers and contingent deferred, 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 Load Waivers on Class A shares Available at Raymond James

 

  •  

Shares purchased in an investment advisory program.

 

  •  

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).

 

  •  

Employees and registered representatives of Raymond James or its affiliates and their family members as designated by Raymond James.

 

  •  

Shares purchased from the proceeds of redemptions within the same fund family, provided (1) the repurchase occurs within 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 (known as Rights of Reinstatement).

 

  •  

A shareholder in the fund’s Class C shares will have their shares automatically exchanged at net asset value to Class A shares (or the appropriate share class) of the fund if the shares are no longer subject to a CDSC and the exchange is in line with the policies and procedures of Raymond James.

CDSC Waivers on Class A and C Shares Available at Raymond James

 

  •  

Death or disability of the shareholder.

 

  •  

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

 

  •  

Return of excess contributions from an IRA Account.

 

  •  

Shares sold as part of a required minimum distribution for IRA and retirement accounts due to the shareholder reaching age 70½ as described in the Fund’s prospectus.

 

  •  

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

 

  •  

Shares acquired through a right of reinstatement.

Front-end Load Discounts Available at Raymond James: Breakpoints, and/or Rights of Accumulation

 

  •  

Breakpoints as described in the Fund’s Prospectus.

 

  •  

Rights of accumulation 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 Raymond James. Eligible fund family assets not held at Raymond James may be included in the rights of accumulation calculation only if the shareholder notifies his or her financial advisor about such assets.

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LOGO

 

 

LOGO

For more information

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

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: wellsfargofunds.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 the Fund. 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 Fund’s website at wellsfargofunds.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

© 2019 Wells Fargo Funds Management, LLC. All rights reserved.

 

LOGO     

318982 01-19

SA288/SAR288 11-18

 

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ITEM 2. CODE OF ETHICS

Not applicable.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT

Not applicable.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES

Not applicable.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS

Not applicable.

ITEM 6. INVESTMENTS

A Portfolio of Investments for each series of Wells Fargo Master 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.

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ITEM 11. CONTROLS AND PROCEDURES

(a) The President and Treasurer have concluded that the Wells Fargo Master Trust (the “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 Trust 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 Trust’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter 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 ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES

Not applicable.

ITEM 13. EXHIBITS

(a)(1) Not applicable.

(a)(2) Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

(a)(3) Not applicable.

(b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is filed and attached hereto as Exhibit 99.906CERT.

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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 Master Trust
By:  
  /s/ Andrew Owen
  Andrew Owen
  President
Date:   January 25, 2019

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 Master Trust
By:  
  /s/ Andrew Owen
  Andrew Owen
  President
Date:   January 25, 2019
By:  
  /s/ Nancy Wiser
  Nancy Wiser
  Treasurer
Date:   January 25, 2019
By:  
  /s/ Jeremy DePalma
  Jeremy DePalma
  Treasurer
Date:   January 25, 2019