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)

Catherine Kennedy

Wells Fargo Funds Management, LLC

525 Market St., San Francisco, CA 94105

(Name and address of agent for service)

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

Date of fiscal year end: February 28

Registrant is making a filing for 11 of its series:

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio, Wells Fargo Emerging Markets Bond Portfolio, Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, Wells Fargo Factor Enhanced International Equity Portfolio, Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio, Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio, Wells Fargo Factor Enhanced U.S. Low Volatility Equity Portfolio, Wells Fargo High Yield Corporate Bond Portfolio, Wells Fargo Investment Grade Corporate Bond Portfolio, Wells Fargo Strategic Retirement Bond Portfolio, and Wells Fargo U.S. REIT Portfolio.

Date of reporting period: August 31, 2020

ITEM 1. REPORT TO STOCKHOLDERS

Semi-Annual Report

August 31, 2020

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

Contents

Portfolio information	2
Portfolio of investments	3
Financial statements
Statement of assets and liabilities	16
Statement of operations	17
Statement of changes in net assets	18
Financial highlights	19
Notes to financial statements	20
Other information	24

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

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio  |  1

Portfolio information (unaudited)

Investment objective

The Portfolio seeks to replicate the total return of the Bloomberg Barclays US Aggregate ex-Corporate Index, before fees and expenses.

Adviser

Wells Fargo Funds Management, LLC

Subadviser

Wells Capital Management Incorporated

Portfolio managers

Manjunath Boraiah^†

Christopher Y. Kauffman, CFA^®‡

Janet S. Rilling, CFA^®‡, CPA

Michal Stanczyk

Ten largest holdings (%) as of August 31, 20201
U.S. Treasury Bond, 3.00% 5-15-2047	3.93
FNMA 3.00%, 9-14-2050	2.77
FHLMC 3.00%, 2-1-2047	2.48
GNMA 3.50%, 2-20-2045	2.01
FHLMC 3.50%, 2-1-2044	2.00
FNMA 2.50%, 9-14-2050	1.78
FNMA 4.00%, 6-1-2042	1.63
U.S. Treasury Note 2.38%, 5-15-2027	1.44
GNMA 3.00%, 9-21-2050	1.39
FNMA 4.50%, 9-1-2040	1.36

Portfolio composition as of August 31, 2020²

^†  Mr. Boraiah became a portfolio manager of the Portfolio on August 28, 2020.

^‡  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.

2  |  Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Agency Securities: 37.67%
FFCB %%		0.48	%		9-3-2024	$	880,000	$	879,560
FFCB		0.57			7-2-2024		180,000		179,916
FFCB		0.59			3-25-2024		10,000		9,982
FFCB %%		1.12			9-1-2028		630,000		630,000
FFCB		1.46			3-3-2023		210,000		211,001
FFCB		1.84			9-9-2022		10,000		10,004
FFCB		1.85			3-3-2022		70,000		70,005
FHLB		1.50			8-15-2024		10,000		10,485
FHLB		2.13			6-9-2023		70,000		73,596
FHLB		2.38			9-8-2023		30,000		31,867
FHLB		2.50			3-11-2022		350,000		362,444
FHLB		2.75			12-13-2024		10,000		11,003
FHLB		3.00			10-12-2021		70,000		72,227
FHLB		3.00			3-10-2028		10,000		11,618
FHLB		3.38			9-8-2023		30,000		32,794
FHLB		3.38			12-8-2023		280,000		308,012
FHLB		5.38			8-15-2024		690,000		826,507
FHLB		5.63			3-14-2036		10,000		15,612
FHLMC		0.30			6-30-2022		890,000		890,617
FHLMC %%		0.40			12-1-2023		940,000		940,000
FHLMC		2.38			1-13-2022		20,000		20,605
FHLMC		2.50			3-1-2032		2,930,950		3,082,819
FHLMC		2.50			2-1-2035		1,536,173		1,612,469
FHLMC		2.75			6-19-2023		220,000		235,296
FHLMC		3.00			2-1-2047		13,659,600		14,423,637
FHLMC		3.00			3-1-2048		133,348		140,717
FHLMC		3.50			2-1-2044		10,705,489		11,594,519
FHLMC		3.50			4-1-2045		436,992		473,533
FHLMC		3.50			8-1-2047		5,825,044		6,171,187
FHLMC		3.50			4-1-2050		3,469,619		3,660,459
FHLMC		6.00			7-1-2040		2,028,630		2,382,376
FHLMC		6.75			3-15-2031		330,000		514,984
FHLMC Series K015 Class A2		3.23			7-25-2021		56,553		57,608
FHLMC Series K028 Class A1		2.18			11-25-2022		77,584		78,519
FHLMC Series K029 Class A2		3.32			2-25-2023		545,000		580,470
FHLMC Series K030 Class A2 ±±		3.25			4-25-2023		305,000		325,037
FHLMC Series K032 Class A2 ±±		3.31			5-25-2023		50,000		53,532
FHLMC Series K034 Class A2 ±±		3.53			7-25-2023		60,000		64,771
FHLMC Series K035 Class A2 ±±		3.46			8-25-2023		55,000		59,313
FHLMC Series K048 Class A2 ±±		3.28			6-25-2025		215,000		239,629
FHLMC Series K062 Class A2		3.41			12-25-2026		750,000		862,474
FHLMC Series K063 Class A2 ±±		3.43			1-25-2027		45,000		51,781
FHLMC Series K070 Class A2 ±±		3.30			11-25-2027		425,000		491,061
FHLMC Series K152 Class A1		2.83			5-25-2030		313,980		345,848
FHLMC Series K152 Class A2		3.08			1-25-2031		125,000		144,523
FHLMC Series K153 Class A3 ±±		3.12			10-25-2031		70,000		81,374
FHLMC Series K155 Class A3		3.75			4-25-2033		40,000		49,407
FHLMC Series K717 Class A2		2.99			9-25-2021		656,206		668,209
FNMA		0.25			5-22-2023		330,000		330,189
FNMA		0.63			4-22-2025		650,000		655,656
FNMA %%		2.00			9-14-2050		2,010,000		2,072,970
FNMA		2.13			4-24-2026		180,000		196,527
FNMA		2.25			4-12-2022		880,000		910,143
FNMA		2.50			12-1-2027		578,740		608,429
FNMA		2.50			9-1-2031		2,016,992		2,122,095
FNMA %%		2.50			9-17-2035		1,900,000		1,993,441

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

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio  |  3

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Agency Securities (continued)
FNMA %%		2.50	%		9-14-2050	$	9,800,000	$	10,314,883
FNMA		3.00			12-1-2026		2,419,662		2,543,033
FNMA		3.00			12-1-2030		433,893		461,283
FNMA		3.00			7-1-2032		2,885,363		3,027,524
FNMA		3.00			1-1-2034		511,338		536,762
FNMA		3.00			8-1-2036		177,098		187,628
FNMA		3.00			2-1-2037		3,469,464		3,675,372
FNMA		3.00			8-1-2043		2,308,488		2,474,541
FNMA		3.00			11-1-2046		2,387,046		2,559,359
FNMA		3.00			12-1-2047		1,677,627		1,769,975
FNMA %%		3.00			9-14-2050		15,245,000		16,077,520
FNMA		3.50			4-1-2034		3,348,138		3,549,379
FNMA		3.50			1-1-2035		153,297		165,538
FNMA		3.50			3-1-2036		1,923,325		2,076,250
FNMA		3.50			4-1-2037		916,502		974,079
FNMA		3.50			6-1-2042		455,751		494,613
FNMA		3.50			7-1-2042		830,833		897,923
FNMA		3.50			9-1-2043		1,737,742		1,884,020
FNMA		3.50			3-1-2048		729,179		771,520
FNMA		3.50			5-1-2050		2,586,674		2,731,966
FNMA		3.50			6-1-2050		1,017,047		1,076,054
FNMA %%		3.50			9-14-2050		1,965,000		2,072,614
FNMA		4.00			6-1-2042		8,551,989		9,442,277
FNMA		4.00			6-1-2042		729,423		793,965
FNMA		4.00			8-1-2043		4,844,203		5,270,486
FNMA		4.00			12-1-2047		3,167,690		3,381,596
FNMA		4.00			2-1-2048		2,142,139		2,440,171
FNMA		4.00			6-1-2048		935,591		998,076
FNMA		4.00			8-1-2048		611,529		650,720
FNMA		4.00			2-1-2050		1,752,098		1,867,844
FNMA		4.50			5-1-2040		343,064		383,367
FNMA		4.50			9-1-2040		7,153,829		7,904,784
FNMA		4.50			2-1-2047		2,508,741		2,743,097
FNMA		4.50			4-1-2048		905,607		983,332
FNMA		4.50			8-1-2048		67,057		72,587
FNMA		5.00			1-1-2042		278,619		320,141
FNMA		5.00			6-1-2045		1,111,222		1,278,513
FNMA		5.00			7-1-2045		1,836,917		2,113,544
FNMA		5.50			9-1-2040		2,104,107		2,436,273
FNMA		6.00			5-1-2041		115,885		137,290
FNMA		6.21			8-6-2038		60,000		100,790
FNMA		6.25			5-15-2029		100,000		144,266
FNMA		7.13			1-15-2030		250,000		386,393
FNMA		7.25			5-15-2030		80,000		125,739
FNMA Series 2012-M14 Class AI ±±		2.99			9-25-2027		165,033		179,001
FNMA Series 2016-M5 Class A2		2.47			4-25-2026		220,000		236,660
FNMA Series 2016-M7 Class A2		2.50			9-25-2026		175,000		188,520
FNMA Series 2017-M1 Class A2 ±±		2.50			10-25-2026		275,000		295,844
FNMA Series 2017-M11 Class A2		2.98			8-25-2029		1,370,000		1,568,974
FNMA Series 2017-M5 Class A2 ±±		3.29			4-25-2029		70,000		80,284
FNMA Series 2018-M13 Class A2 ±±		3.82			9-25-2030		90,000		109,619
FNMA Series 2019-M7 Class A2		3.14			4-25-2029		225,000		256,960
GNMA %%		2.50			9-21-2050		3,895,000		4,105,117
GNMA		3.00			4-20-2045		5,626,590		5,965,417
GNMA		3.00			11-20-2045		436,286		461,343
GNMA		3.00			3-20-2046		984,511		1,042,192

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

4  |  Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Agency Securities (continued)
GNMA		3.00	%		12-20-2049	$	2,536,578	$	2,672,928
GNMA %%		3.00			9-21-2050		7,670,000		8,076,270
GNMA		3.50			2-20-2045		10,928,970		11,666,050
GNMA		3.50			6-20-2045		1,770,620		1,889,979
GNMA		3.50			11-20-2045		2,067,698		2,207,015
GNMA		3.50			7-20-2047		543,366		576,829
GNMA		3.50			5-20-2048		153,879		163,221
GNMA		4.00			7-20-2044		2,000,741		2,184,056
GNMA		4.00			8-20-2044		982,199		1,071,968
GNMA		4.00			9-20-2044		2,032,678		2,218,351
GNMA		4.00			12-20-2047		3,383,024		3,638,041
TVA		1.88			8-15-2022		218,000		224,934
TVA		2.88			2-1-2027		35,000		39,743
TVA		4.63			9-15-2060		55,000		85,001
TVA		5.38			4-1-2056		10,000		17,137
TVA		5.50			6-15-2038		140,000		215,820
TVA		6.75			11-1-2025		120,000		157,331
Total Agency Securities (Cost $212,254,512)									218,824,549
Asset-Backed Securities: 0.69%
Bank of America Credit Card Trust Series 2018-A1 Class A1		2.70			7-17-2023		40,000		40,443
Capital One Multi Asset Execution Trust Series 2017-A3 Class A3		2.43			1-15-2025		110,000		113,556
CarMax Auto Owner Trust Series 2016-3 Class A4		1.60			1-18-2022		7,566		7,575
CarMax Auto Owner Trust Series 2017-2 Class A4		2.25			9-15-2022		195,000		197,347
CarMax Auto Owner Trust Series 2017-3 Class A4		2.22			11-15-2022		89,000		90,359
CarMax Auto Owner Trust Series 2018-3 Class D		3.91			1-15-2025		80,000		81,187
Chase Issuance Trust Series 2012-A7 Class A7		2.16			9-15-2024		205,000		212,717
Citibank Credit Card Issuance Trust Series 2014-A5 Class A5		2.68			6-7-2023		110,000		112,032
Citibank Credit Card Issuance Trust Series 2018-A3 Class A3		3.29			5-23-2025		180,000		194,170
Citibank Credit Card Issuance Trust Series 2018-A7 Class A7		3.96			10-13-2030		130,000		158,484
Discover Card Execution Note Trust Series 2017-A2 Class A2		2.39			7-15-2024		335,000		344,651
Ford Credit Floorplan Master Owner Trust Series 2017-3 Class A		2.48			9-15-2024		50,000		51,773
Ford Credit Floorplan Master Owner Trust Series 2018-2 Class A		3.17			3-15-2025		100,000		105,123
Ford Credit Floorplan Master Owner Trust Series 2018-3 Class A1		3.52			10-15-2023		105,000		108,560
Ford Credit Floorplan Master Owner Trust Series 2019-2 Class A		3.06			4-15-2026		65,000		70,301
Nissan Auto Receivables Owner Trust Series 2017-A Class A4		2.11			5-15-2023		15,000		15,096
Nissan Auto Receivables Owner Trust Series 2017-C Class A4		2.28			2-15-2024		95,000		96,811
Nissan Auto Receivables Owner Trust Series 2018-B Class A4		3.16			12-16-2024		195,000		203,571
Nissan Auto Receivables Owner Trust Series 2018-C Class A4		3.27			6-16-2025		155,000		163,809
Santander Drive Auto Receivables Trust Series 2019-1 Class C		3.42			4-15-2025		140,000		143,789
Synchrony Credit Card Master Note Trust Series 2016-2 Class A		2.21			5-15-2024		175,000		177,232
Synchrony Credit Card Master Note Trust Series 2018-2 Class A		3.47			5-15-2026		105,000		112,386
Toyota Auto Receivables Owner Trust Series 2017-D Class A4		2.12			2-15-2023		155,000		157,423
World Financial Network Credit Card Master Trust Series 2016-A Class A		2.03			4-15-2025		237,000		239,375
World Omni Auto Receivables Trust Series 2016-B Class A4		1.48			11-15-2022		192,000		192,408
World Omni Auto Receivables Trust Series 2017-A Class A4		2.24			6-15-2023		210,000		212,726
World Omni Auto Receivables Trust Series 2017-B Class A4		2.25			10-16-2023		205,000		208,964
World Omni Auto Receivables Trust Series 2018-D Class A4		3.44			12-16-2024		28,000		29,773
World Omni Auto Receivables Trust Series 2019-A Class A3		2.94			5-16-2022		185,000		188,409
Total Asset-Backed Securities (Cost $3,923,401)									4,030,050
Municipal Obligations: 0.82%
California: 0.32%
Education Revenue: 0.02%
California Series B		3.90			11-1-2047		15,000		17,819
University of California Series AD		4.86			5-15-2112		70,000		101,189
									119,008

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

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio  |  5

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
GO Revenue: 0.16%
California Build America Bonds		5.70	%		11-1-2021	$	90,000	$	95,756
California Build America Bonds		7.55			4-1-2039		170,000		300,458
California Build America Bonds		7.60			11-1-2040		15,000		27,402
California Build America Bonds Taxable Various Purpose		7.50			4-1-2034		100,000		167,160
Los Angeles CA Community College District Build America Bonds		6.75			8-1-2049		5,000		9,183
Los Angeles CA Unified School District Build America Bonds		5.75			7-1-2034		15,000		21,014
Los Angeles CA Unified School District Build America Bonds		5.76			7-1-2029		60,000		76,849
Los Angeles CA Unified School District Build America Bonds		6.76			7-1-2034		160,000		239,485
									937,307
Transportation Revenue: 0.08%
Bay Area CA Toll Authority Series 1		6.26			4-1-2049		100,000		181,580
Bay Area CA Toll Authority Series 1		6.92			4-1-2040		15,000		23,519
Bay Area CA Toll Authority Series 1		7.04			4-1-2050		140,000		253,357
									458,456
Utilities Revenue: 0.06%
California Department of Water Resources Series P		2.00			5-1-2022		55,000		56,532
Los Angeles CA Department of Water & Power Build America Bonds Series A		5.72			7-1-2039		100,000		152,979
Los Angeles CA Department of Water & Power Build America Bonds Series D		6.57			7-1-2045		55,000		95,987
									305,498
									1,820,269
Georgia: 0.00%
Utilities Revenue: 0.00%
Municipal Electric Authority of Georgia Build America Bonds		7.06			4-1-2057		10,000		14,464
Illinois: 0.08%
GO Revenue: 0.02%
Chicago IL Series B		6.31			1-1-2044		50,000		53,413
Illinois Taxable Pension		5.10			6-1-2033		50,000		51,179
									104,592
Miscellaneous Revenue: 0.01%
Illinois Build America Bonds Series 3		6.73			4-1-2035		45,000		50,449
Tax Revenue: 0.05%
Chicago IL Transit Authority Series B		6.90			12-1-2040		210,000		300,518
									455,559
Kansas: 0.00%
Miscellaneous Revenue: 0.00%
Kansas Development Finance Authority Series H		4.93			4-15-2045		5,000		6,639
Massachusetts: 0.03%
GO Revenue: 0.03%
Massachusetts Build America Bonds Series A		4.91			5-1-2029		130,000		167,760
Massachusetts Build America Bonds Series D		4.50			8-1-2031		5,000		6,399
									174,159

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

6  |  Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
New Jersey: 0.06%
Miscellaneous Revenue: 0.02%
New Jersey EDA Series A (National Insured)		7.43	%		2-15-2029	$	95,000	$	118,904
Transportation Revenue: 0.04%
New Jersey Transportation Trust		6.56			12-15-2040		60,000		77,591
New Jersey Turnpike Authority Build America Bonds Series A		7.10			1-1-2041		70,000		118,058
									195,649
									314,553
New York: 0.19%
Airport Revenue: 0.07%
Port Authority of New York & New Jersey Consolidated Bonds Series 174		4.46			10-1-2062		190,000		248,174
Port Authority of New York & New Jersey Consolidated Bonds Series 201		4.23			10-15-2057		100,000		125,186
Port Authority of New York & New Jersey Consolidated Bonds Series 210		4.03			9-1-2048		50,000		59,843
									433,203
Tax Revenue: 0.12%
New York Metropolitan Transportation Authority Dedicated Tax Fund Build America Bonds		7.34			11-15-2039		220,000		355,881
New York NY Transitional Finance Authority Build America Bonds Subseries B-1		5.57			11-1-2038		130,000		180,174
New York NY Transitional Finance Authority Build America Bonds Subseries C-2		5.77			8-1-2036		100,000		133,932
									669,987
Water & Sewer Revenue: 0.00%
New York NY Municipal Water Finance Authority Series AA		5.44			6-15-2043		10,000		15,641
									1,118,831
Ohio: 0.04%
Education Revenue: 0.00%
Ohio State University Build America Bonds		4.91			6-1-2040		5,000		7,116
Utilities Revenue: 0.04%
American Municipal Power Ohio Incorporated Build America Bonds		5.94			2-15-2047		150,000		223,932
American Municipal Power Ohio Incorporated Build America Bonds Series E		6.27			2-15-2050		10,000		14,452
									238,384
									245,500
Oregon: 0.03%
Tax Revenue: 0.03%
Oregon Department of Transportation Build America Bonds Series A		5.83			11-15-2034		50,000		72,245
Oregon GO Pension Bonds Series 2003		5.76			6-1-2023		107,224		117,595
									189,840
Pennsylvania: 0.00%
Transportation Revenue: 0.00%
Pennsylvania Turnpike Commission Series B		5.51			12-1-2045		5,000		7,807

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

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio  |  7

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Texas: 0.05%
Transportation Revenue: 0.02%
Grand Parkway Transportation Corporation Series 2013E		5.18	%		10-1-2042	$	50,000	$	72,404
Texas Private Activity Bond North Tarrant Express Managed Lanes Project Series B		3.92			12-31-2049		50,000		56,339
									128,743
Utilities Revenue: 0.03%
San Antonio TX		4.43			2-1-2042		140,000		179,281
									308,024
Wisconsin: 0.02%
Tax Revenue: 0.02%
Wisconsin General Fund Annual Appropriations Series C		3.15			5-1-2027		80,000		90,164
Total Municipal Obligations (Cost $4,217,660)									4,745,809
Non-Agency Mortgage-Backed Securities: 1.33%
Benchmark Mortgage Trust Series 2018-B1 Class A2		3.57			1-15-2051		480,000		499,177
Benchmark Mortgage Trust Series 2018-B1 Class A4		3.40			1-15-2051		25,000		27,749
Benchmark Mortgage Trust Series 2018-B6 Class A4		4.26			10-10-2051		135,000		161,159
CenterPoint Energy Transition Restoration Bond Company LLC		4.24			8-15-2023		62,658		65,576
CFCRE Commercial Mortgage Trust Series 2016-C7 Class A3		3.84			12-10-2054		20,000		22,335
Citigroup Commercial Mortgage Trust Series 2015-GC27 Class A5		3.14			2-10-2048		55,000		59,166
Citigroup Commercial Mortgage Trust Series 2016 GC37 Class B		4.23			4-10-2049		535,000		564,744
Citigroup Commercial Mortgage Trust Series 2016-GC36 Class A5		3.62			2-10-2049		680,000		758,569
Citigroup Commercial Mortgage Trust Series 2016-GC36 Class B ±±		4.91			2-10-2049		40,000		42,778
Citigroup Commercial Mortgage Trust Series 2016-GC36 Class C ±±		4.91			2-10-2049		95,000		89,936
Citigroup Commercial Mortgage Trust Series 2016-P4 Class A4		2.90			7-10-2049		135,000		146,234
Citigroup Commercial Mortgage Trust Series 2016-P5 Class A2		2.40			10-10-2049		141,000		141,482
Citigroup Commercial Mortgage Trust Series 2018-C6 Class A4		4.41			11-10-2051		520,000		625,666
Commercial Mortgage Trust Pass-Through Certificate Series 2012-CR2 Class ASB		2.75			8-15-2045		17,969		18,073
Commercial Mortgage Trust Pass-Through Certificate Series 2012-CR3 Class A3		2.82			10-15-2045		53,783		54,865
Commercial Mortgage Trust Series 2012-LC4 Class A4		3.29			12-10-2044		158,742		162,203
Commercial Mortgage Trust Series 2013-CR6 Class A4		3.10			3-10-2046		60,000		62,126
Commercial Mortgage Trust Series 2014 UBS5 Class C ±±		4.76			9-10-2047		195,000		177,875
Commercial Mortgage Trust Series 2014-UBS6 Class C ±±		4.59			12-10-2047		60,000		56,549
Commercial Mortgage Trust Series 2015-CR23 Class A3		3.23			5-10-2048		60,000		65,037
Commercial Mortgage Trust Series 2016-COR1 Class C ±±		4.53			10-10-2049		65,000		66,673
Commercial Mortgage Trust Series 2016-CR28 Class A4		3.76			2-10-2049		215,000		241,525
Goldman Sachs Mortgage Securities Trust Series 2012-GCJ9 Class AS		3.12			11-10-2045		40,000		41,168
Goldman Sachs Mortgage Securities Trust Series 2013-GC14 Class A5		4.24			8-10-2046		265,000		285,736
Goldman Sachs Mortgage Securities Trust Series 2014-GC18 Class B ±±		4.89			1-10-2047		80,000		74,846
Goldman Sachs Mortgage Securities Trust Series 2017-GS5 Class A3		3.41			3-10-2050		600,000		667,842
Goldman Sachs Mortgage Securities Trust Series 2018-GS10 Class AAB ±±		4.11			7-10-2051		180,000		206,351
Goldman Sachs Mortgage Securities Trust Series 2018-GS9 Class A4 ±±		3.99			3-10-2051		140,000		159,068
JPMorgan Chase Commercial Mortgage Securities Corporation Series 2013-C15 Class A4		4.10			11-15-2045		14,387		15,587
JPMorgan Chase Commercial Mortgage Securities Corporation Series 2015-C31 Class A3		3.80			8-15-2048		195,000		217,431
JPMorgan Chase Commercial Mortgage Securities Trust Series 2015-C29 Class A4		3.61			5-15-2048		200,000		220,204
Morgan Stanley Bank of America Merrill Lynch Trust Series 2012-C5 Class A4		3.18			8-15-2045		60,000		62,028

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

8  |  Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Non-Agency Mortgage-Backed Securities (continued)
Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C11 Class AS ±±		4.50	%		8-15-2046	$	360,000	$	386,053
Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C8 Class A4		3.13			12-15-2048		50,000		52,027
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22 Class A4		3.31			4-15-2048		60,000		64,699
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22 Class B ±±		3.88			4-15-2048		285,000		293,894
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C24 Class A4		3.73			5-15-2048		400,000		444,105
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30 Class B ±±		3.31			9-15-2049		425,000		425,878
Total Non-Agency Mortgage-Backed Securities (Cost $7,359,735)									7,726,414
U.S. Treasury Securities: 53.03%
U.S. Treasury Bond		0.25			6-30-2025		1,295,000		1,294,292
U.S. Treasury Bond		0.25			8-31-2025		925,000		923,988
U.S. Treasury Bond		0.38			7-31-2027		1,860,000		1,845,759
U.S. Treasury Bond		0.50			8-31-2027		2,015,000		2,015,787
U.S. Treasury Bond		0.63			8-15-2030		1,180,000		1,170,136
U.S. Treasury Bond		1.13			5-15-2040		810,000		795,192
U.S. Treasury Bond		1.13			8-15-2040		855,000		836,230
U.S. Treasury Bond		1.25			5-15-2050		1,295,000		1,221,347
U.S. Treasury Bond		1.38			8-15-2050		1,000,000		974,922
U.S. Treasury Bond		1.50			1-31-2027		1,350,000		1,440,861
U.S. Treasury Bond		1.50			2-15-2030		2,090,000		2,248,709
U.S. Treasury Bond		2.00			2-15-2050		2,515,000		2,830,554
U.S. Treasury Bond		2.13			9-30-2024		3,270,000		3,523,042
U.S. Treasury Bond		2.13			11-30-2024		995,000		1,074,717
U.S. Treasury Bond		2.25			8-15-2049		1,725,000		2,040,621
U.S. Treasury Bond		2.38			11-15-2049		1,660,000		2,016,641
U.S. Treasury Bond		2.50			2-15-2046		100,000		122,539
U.S. Treasury Bond		2.50			5-15-2046		1,065,000		1,306,289
U.S. Treasury Bond		2.75			8-15-2042		6,035,000		7,681,423
U.S. Treasury Bond		2.75			11-15-2042		1,920,000		2,441,025
U.S. Treasury Bond		2.75			11-15-2047		1,110,000		1,433,851
U.S. Treasury Bond		2.88			5-15-2028		2,295,000		2,697,521
U.S. Treasury Bond		2.88			5-15-2043		1,200,000		1,555,594
U.S. Treasury Bond		3.00			5-15-2042		145,000		191,485
U.S. Treasury Bond		3.00			11-15-2044		585,000		776,176
U.S. Treasury Bond		3.00			5-15-2045		105,000		139,679
U.S. Treasury Bond		3.00			11-15-2045		35,000		46,691
U.S. Treasury Bond		3.00			2-15-2047		1,050,000		1,410,404
U.S. Treasury Bond		3.00			5-15-2047		16,986,000		22,847,497
U.S. Treasury Bond		3.00			2-15-2048		435,000		587,624
U.S. Treasury Bond		3.00			8-15-2048		585,000		793,109
U.S. Treasury Bond		3.00			2-15-2049		1,330,000		1,809,164
U.S. Treasury Bond		3.13			11-15-2041		1,105,000		1,483,506
U.S. Treasury Bond		3.13			2-15-2042		370,000		497,809
U.S. Treasury Bond		3.13			2-15-2043		2,010,000		2,706,120
U.S. Treasury Bond		3.38			5-15-2044		20,000		28,040
U.S. Treasury Bond		3.50			2-15-2039		15,000		20,948
U.S. Treasury Bond		3.63			8-15-2043		110,000		159,358
U.S. Treasury Bond		3.63			2-15-2044		35,000		50,801
U.S. Treasury Bond		3.75			8-15-2041		35,000		51,081
U.S. Treasury Bond		3.75			11-15-2043		350,000		516,387
U.S. Treasury Bond		4.25			11-15-2040		480,000		741,919
U.S. Treasury Bond		4.38			5-15-2040		800,000		1,249,250
U.S. Treasury Bond		4.50			8-15-2039		550,000		864,961

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

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio  |  9

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
U.S. Treasury Securities (continued)
U.S. Treasury Bond		4.75	%		2-15-2041	$	120,000	$	196,950
U.S. Treasury Bond		5.00			5-15-2037		1,574,000		2,542,625
U.S. Treasury Bond		5.38			2-15-2031		1,592,000		2,345,153
U.S. Treasury Bond		5.50			8-15-2028		430,000		596,037
U.S. Treasury Bond		6.13			11-15-2027		245,000		343,316
U.S. Treasury Bond		6.13			8-15-2029		1,280,000		1,897,050
U.S. Treasury Bond		6.25			5-15-2030		905,000		1,381,999
U.S. Treasury Bond		6.38			8-15-2027		50,000		70,277
U.S. Treasury Bond		6.88			8-15-2025		335,000		443,770
U.S. Treasury Note		2.63			12-31-2025		2,015,000		2,260,657
U.S. Treasury Note		0.13			4-30-2022		3,030,000		3,029,171
U.S. Treasury Note		0.13			5-31-2022		2,595,000		2,594,088
U.S. Treasury Note		0.13			6-30-2022		3,085,000		3,084,036
U.S. Treasury Note		0.13			8-31-2022		1,700,000		1,699,668
U.S. Treasury Note		0.13			5-15-2023		2,815,000		2,813,241
U.S. Treasury Note		0.13			7-15-2023		545,000		544,617
U.S. Treasury Note		0.25			4-15-2023		1,475,000		1,478,976
U.S. Treasury Note		0.25			5-31-2025		1,790,000		1,789,580
U.S. Treasury Note		0.38			3-31-2022		2,895,000		2,905,404
U.S. Treasury Note		0.50			3-15-2023		750,000		756,826
U.S. Treasury Note		0.50			3-31-2025		2,925,000		2,958,706
U.S. Treasury Note		0.50			5-31-2027		1,645,000		1,647,956
U.S. Treasury Note		0.63			3-31-2027		1,865,000		1,885,326
U.S. Treasury Note		0.63			5-15-2030		1,095,000		1,087,472
U.S. Treasury Note		1.13			9-30-2021		1,610,000		1,626,603
U.S. Treasury Note		1.13			2-28-2022		2,515,000		2,551,644
U.S. Treasury Note		1.13			2-28-2025		1,855,000		1,928,475
U.S. Treasury Note		1.25			10-31-2021		2,820,000		2,855,691
U.S. Treasury Note		1.25			7-31-2023		630,000		650,081
U.S. Treasury Note		1.25			8-31-2024		810,000		843,349
U.S. Treasury Note		1.38			1-31-2022		2,915,000		2,965,329
U.S. Treasury Note		1.38			6-30-2023		4,245,000		4,391,253
U.S. Treasury Note		1.38			8-31-2023		435,000		450,888
U.S. Treasury Note		1.38			9-30-2023		6,135,000		6,364,104
U.S. Treasury Note		1.38			8-31-2026		1,290,000		1,365,032
U.S. Treasury Note		1.50			1-31-2022		3,290,000		3,352,459
U.S. Treasury Note		1.50			8-15-2022		2,480,000		2,545,875
U.S. Treasury Note		1.50			1-15-2023		1,695,000		1,749,624
U.S. Treasury Note		1.50			2-28-2023		3,560,000		3,680,289
U.S. Treasury Note		1.50			3-31-2023		6,085,000		6,297,737
U.S. Treasury Note		1.50			9-30-2024		3,215,000		3,382,406
U.S. Treasury Note		1.50			10-31-2024		225,000		236,892
U.S. Treasury Note		1.50			8-15-2026		545,000		580,510
U.S. Treasury Note		1.63			8-15-2022		175,000		180,079
U.S. Treasury Note		1.63			4-30-2023		280,000		291,014
U.S. Treasury Note		1.63			5-31-2023		3,090,000		3,215,411
U.S. Treasury Note		1.63			10-31-2023		2,540,000		2,657,177
U.S. Treasury Note		1.63			2-15-2026		6,240,000		6,674,363
U.S. Treasury Note		1.63			5-15-2026		625,000		669,556
U.S. Treasury Note		1.63			9-30-2026		1,395,000		1,497,554
U.S. Treasury Note		1.63			10-31-2026		915,000		982,553
U.S. Treasury Note		1.63			8-15-2029		2,005,000		2,176,991
U.S. Treasury Note		1.75			11-30-2021		1,975,000		2,014,500
U.S. Treasury Note		1.75			2-28-2022		1,030,000		1,054,704
U.S. Treasury Note		1.75			3-31-2022		2,585,000		2,650,332
U.S. Treasury Note		1.75			4-30-2022		2,465,000		2,530,765

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

10  |  Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
U.S. Treasury Securities (continued)
U.S. Treasury Note		1.75	%		5-15-2022	$	3,030,000	$	3,112,378
U.S. Treasury Note		1.75			5-31-2022		3,425,000		3,520,927
U.S. Treasury Note		1.75			6-15-2022		3,520,000		3,620,925
U.S. Treasury Note		1.75			6-30-2022		2,820,000		2,902,617
U.S. Treasury Note		1.75			9-30-2022		10,000		10,336
U.S. Treasury Note		1.75			5-15-2023		410,000		427,665
U.S. Treasury Note		1.75			6-30-2024		3,510,000		3,716,761
U.S. Treasury Note		1.75			12-31-2026		2,720,000		2,944,931
U.S. Treasury Note		1.75			11-15-2029		830,000		911,573
U.S. Treasury Note		1.88			11-30-2021		50,000		51,066
U.S. Treasury Note		1.88			1-31-2022		2,805,000		2,872,824
U.S. Treasury Note		1.88			2-28-2022		345,000		353,921
U.S. Treasury Note		1.88			7-31-2022		1,865,000		1,926,705
U.S. Treasury Note		1.88			8-31-2024		3,290,000		3,507,320
U.S. Treasury Note		2.00			10-31-2021		1,160,000		1,184,831
U.S. Treasury Note		2.00			10-31-2022		1,990,000		2,069,989
U.S. Treasury Note		2.00			2-15-2023		30,000		31,366
U.S. Treasury Note		2.00			6-30-2024		4,751,000		5,076,147
U.S. Treasury Note		2.00			2-15-2025		340,000		366,443
U.S. Treasury Note		2.00			8-15-2025		1,200,000		1,301,672
U.S. Treasury Note		2.13			9-30-2021		725,000		740,350
U.S. Treasury Note		2.13			12-31-2022		1,700,000		1,778,359
U.S. Treasury Note		2.13			11-30-2023		750,000		797,402
U.S. Treasury Note		2.13			7-31-2024		10,000		10,748
U.S. Treasury Note		2.13			5-15-2025		880,000		956,553
U.S. Treasury Note		2.25			12-31-2023		15,000		16,032
U.S. Treasury Note		2.25			4-30-2024		605,000		650,375
U.S. Treasury Note		2.25			10-31-2024		2,035,000		2,206,067
U.S. Treasury Note		2.25			11-15-2024		2,435,000		2,641,499
U.S. Treasury Note		2.25			12-31-2024		1,485,000		1,613,603
U.S. Treasury Note		2.25			11-15-2025		1,805,000		1,986,205
U.S. Treasury Note		2.25			3-31-2026		3,200,000		3,536,500
U.S. Treasury Note		2.25			2-15-2027		400,000		446,109
U.S. Treasury Note		2.25			11-15-2027		20,000		22,470
U.S. Treasury Note		2.38			8-15-2024		490,000		531,746
U.S. Treasury Note		2.38			5-15-2027		7,413,000		8,348,891
U.S. Treasury Note		2.38			5-15-2029		690,000		792,314
U.S. Treasury Note		2.50			1-15-2022		3,175,000		3,277,071
U.S. Treasury Note		2.50			8-15-2023		1,975,000		2,111,321
U.S. Treasury Note		2.50			1-31-2024		895,000		965,621
U.S. Treasury Note		2.50			1-31-2025		1,670,000		1,835,695
U.S. Treasury Note		2.50			2-28-2026		800,000		894,469
U.S. Treasury Note		2.63			1-31-2026		2,230,000		2,505,266
U.S. Treasury Note		2.63			2-15-2029		3,060,000		3,567,888
U.S. Treasury Note		2.75			7-31-2023		2,665,000		2,866,228
U.S. Treasury Note		2.75			11-15-2023		2,040,000		2,207,902
U.S. Treasury Note		2.75			2-28-2025		1,410,000		1,567,854
U.S. Treasury Note		2.75			6-30-2025		1,270,000		1,421,408
U.S. Treasury Note		2.75			8-31-2025		2,185,000		2,452,833
U.S. Treasury Note		2.75			2-15-2028		2,685,000		3,121,313
U.S. Treasury Note		2.88			11-30-2023		2,400,000		2,609,813
U.S. Treasury Note		2.88			4-30-2025		2,440,000		2,736,613
U.S. Treasury Note		2.88			11-30-2025		1,145,000		1,298,099
U.S. Treasury Note		2.88			8-15-2028		1,875,000		2,211,182
U.S. Treasury Note		3.13			11-15-2028		2,375,000		2,857,236
U.S. Treasury Note		6.00			2-15-2026		450,000		588,023

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

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio  |  11

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
U.S. Treasury Securities (continued)
U.S. Treasury Note		6.50	%		11-15-2026	$	745,000	$	1,024,521
U.S. Treasury Note		7.25			8-15-2022		1,740,000		1,982,648
U.S. Treasury Note		7.50			11-15-2024		695,000		906,758
U.S. Treasury Note		8.00			11-15-2021		760,000		831,963
Total U.S. Treasury Securities (Cost $285,087,674)									308,056,535
Yankee Corporate Bonds and Notes: 2.80%
Energy: 0.23%
Oil, Gas & Consumable Fuels: 0.23%
CNOOC Petroleum North America ULC		7.50			7-30-2039		60,000		100,185
Ecopetrol SA		5.88			9-18-2023		210,000		232,050
Ecopetrol SA		7.38			9-18-2043		200,000		259,300
Equinor ASA		3.00			4-6-2027		150,000		166,498
Equinor ASA		3.13			4-6-2030		160,000		179,912
Equinor ASA		3.95			5-15-2043		100,000		115,950
Equinor ASA		4.80			11-8-2043		200,000		261,618
									1,315,513
Financials: 2.57%
Banks: 2.57%
African Development Bank		0.75			4-3-2023		410,000		415,167
Asian Development Bank		1.50			10-18-2024		360,000		377,348
Asian Development Bank		1.75			9-19-2029		160,000		172,355
Asian Development Bank		1.88			1-24-2030		110,000		120,166
Asian Development Bank		2.00			2-16-2022		760,000		779,160
Asian Development Bank		2.00			4-24-2026		60,000		65,084
Asian Development Bank		2.63			1-12-2027		270,000		303,540
Asian Development Bank		5.82			6-16-2028		10,000		13,650
Asian Development Bank		6.22			8-15-2027		80,000		107,851
Corporación Andina de Fomento		2.13			9-27-2021		10,000		10,125
Corporación Andina de Fomento		3.75			11-23-2023		130,000		140,994
Corporación Andina de Fomento		4.38			6-15-2022		120,000		126,901
European Bank for Reconstruction & Development		0.50			5-19-2025		430,000		430,510
European Bank for Reconstruction & Development		2.13			3-7-2022		10,000		10,281
European Investment Bank		0.25			9-15-2023		470,000		469,882
European Investment Bank		0.88			5-17-2030		120,000		120,365
European Investment Bank		1.88			2-10-2025		110,000		117,302
European Investment Bank		2.00			12-15-2022		390,000		405,893
European Investment Bank		2.13			10-15-2021		130,000		132,781
European Investment Bank		2.25			6-24-2024		640,000		687,515
European Investment Bank		2.50			3-15-2023		200,000		211,471
European Investment Bank		3.25			1-29-2024		270,000		297,158
European Investment Bank		4.88			2-15-2036		70,000		104,864
FMS Wertmanagement		2.00			8-1-2022		260,000		268,839
Inter-American Development Bank		1.75			4-14-2022		580,000		594,217
Inter-American Development Bank		1.75			9-14-2022		250,000		257,697
Inter-American Development Bank		1.75			3-14-2025		560,000		593,748
Inter-American Development Bank		2.00			6-2-2026		60,000		64,987
Inter-American Development Bank		2.13			1-18-2022		60,000		61,532
Inter-American Development Bank		2.13			1-15-2025		150,000		161,173
Inter-American Development Bank		2.38			7-7-2027		30,000		33,387
International Bank for Reconstruction & Development		0.75			8-26-2030		130,000		128,349
International Bank for Reconstruction & Development		1.50			8-28-2024		400,000		418,563
International Bank for Reconstruction & Development		1.88			10-7-2022		540,000		558,644

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

12  |  Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Banks (continued)
International Bank for Reconstruction & Development		1.88	%		6-19-2023	$	470,000	$	491,073
International Bank for Reconstruction & Development		2.00			1-26-2022		30,000		30,744
International Bank for Reconstruction & Development		2.50			3-19-2024		480,000		516,533
International Bank for Reconstruction & Development		2.50			7-29-2025		20,000		22,039
International Bank for Reconstruction & Development		2.50			11-22-2027		370,000		417,699
International Finance Corporation		1.38			10-16-2024		100,000		104,219
International Finance Corporation		2.13			4-7-2026		100,000		109,128
KfW ¤		0.00			4-18-2036		80,000		65,003
KfW ¤		0.00			6-29-2037		50,000		40,435
KfW		0.75			9-30-2030		260,000		257,773
KfW		2.00			11-30-2021		250,000		255,551
KfW		2.00			5-2-2025		40,000		43,034
KfW		2.13			3-7-2022		530,000		545,367
KfW		2.13			6-15-2022		110,000		113,759
KfW		2.13			1-17-2023		870,000		909,015
KfW		2.50			2-15-2022		140,000		144,623
KfW		2.88			4-3-2028		180,000		209,984
Landwirtschaftliche Rentenbank		1.75			7-27-2026		10,000		10,696
Landwirtschaftliche Rentenbank		2.00			1-13-2025		150,000		160,489
Landwirtschaftliche Rentenbank		2.25			10-1-2021		60,000		61,295
Nordic Investment Bank		1.38			10-17-2022		230,000		235,617
Oesterreichische Kontrollbank AG		2.88			3-13-2023		260,000		276,874
Swedish Export Credit ¤		0.00			5-11-2037		65,000		45,530
Swedish Export Credit		0.50			8-26-2025		810,000		809,700
Swedish Export Credit		1.63			9-12-2021		320,000		324,339
									14,962,018
Total Yankee Corporate Bonds and Notes (Cost $15,690,660)									16,277,531
Yankee Government Bonds: 2.06%
Canada Government		2.00			11-15-2022		60,000		62,288
Canada Government		2.63			1-25-2022		260,000		268,910
Export Development Canada		2.63			2-21-2024		430,000		464,325
Export-Import Bank of Korea		2.88			1-21-2025		400,000		433,988
Japan Bank for International Cooperation		2.00			11-4-2021		490,000		499,316
Japan Bank for International Cooperation		2.75			11-16-2027		360,000		407,246
Japan Bank for International Cooperation		3.38			10-31-2023		270,000		294,680
Korea Development Bank		2.63			2-27-2022		330,000		340,058
Oriental Republic of Uruguay		4.38			1-23-2031		75,000		89,813
Oriental Republic of Uruguay		4.98			4-20-2055		200,000		274,002
Oriental Republic of Uruguay		5.10			6-18-2050		85,000		117,088
Province of Alberta		2.20			7-26-2022		250,000		258,505
Province of British Columbia		2.00			10-23-2022		15,000		15,546
Province of British Columbia		7.25			9-1-2036		100,000		169,706
Province of Manitoba		2.10			9-6-2022		120,000		124,058
Province of Ontario		2.00			10-2-2029		90,000		97,084
Province of Ontario		2.20			10-3-2022		120,000		124,514
Province of Ontario		2.30			6-15-2026		70,000		76,167
Province of Ontario		2.40			2-8-2022		450,000		463,347
Province of Ontario		2.50			4-27-2026		70,000		76,925
Province of Ontario		3.20			5-16-2024		5,000		5,497
Province of Ontario		3.40			10-17-2023		110,000		120,062
Province of Quebec		1.35			5-28-2030		100,000		103,000
Province of Quebec		2.50			4-9-2024		70,000		75,227
Province of Quebec		2.50			4-20-2026		75,000		82,310

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

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio  |  13

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Yankee Government Bonds (continued)
Province of Quebec		2.63	%		2-13-2023	$	60,000	$	63,246
Province of Quebec		7.13			2-9-2024		110,000		134,301
Province of Quebec		7.50			7-15-2023		80,000		95,624
Republic of Chile		3.24			2-6-2028		250,000		278,875
Republic of Colombia		3.88			4-25-2027		200,000		217,200
Republic of Colombia		6.13			1-18-2041		225,000		293,063
Republic of Colombia		7.38			9-18-2037		140,000		199,500
Republic of Colombia		8.13			5-21-2024		80,000		97,000
Republic of Hungary		5.38			3-25-2024		19,000		21,847
Republic of Hungary		7.63			3-29-2041		112,000		199,707
Republic of Indonesia		3.50			1-11-2028		200,000		220,052
Republic of Indonesia		4.35			1-11-2048		205,000		242,823
Republic of Italy		2.88			10-17-2029		215,000		220,303
Republic of Italy		5.38			6-15-2033		145,000		181,743
Republic of Korea		3.88			9-11-2023		210,000		230,486
Republic of Panama		3.87			7-23-2060		200,000		237,000
Republic of Panama		9.38			4-1-2029		250,000		388,125
Republic of Peru		2.84			6-20-2030		180,000		197,280
Republic of Peru		5.63			11-18-2050		140,000		230,230
Republic of Philippines		5.50			3-30-2026		410,000		503,025
Republic of Philippines		6.38			10-23-2034		185,000		270,137
Republic of Philippines		9.50			2-2-2030		55,000		90,372
Republic of Poland		3.00			3-17-2023		215,000		228,405
Republic of Poland		3.25			4-6-2026		10,000		11,281
State of Israel		3.38			1-15-2050		350,000		385,455
State of Israel		5.50			12-4-2023		120,000		140,133
State of Israel		5.50			9-18-2033		6,000		8,922
United Mexican States		4.00			10-2-2023		10,000		10,895
United Mexican States		4.13			1-21-2026		150,000		166,800
United Mexican States		4.15			3-28-2027		205,000		227,960
United Mexican States		4.35			1-15-2047		225,000		239,963
United Mexican States		4.75			3-8-2044		184,000		205,988
United Mexican States		5.55			1-21-2045		320,000		397,440
United Mexican States		5.75			10-12-2099		21,000		25,557
United Mexican States		6.05			1-11-2040		40,000		51,315
United Mexican States		7.50			4-8-2033		110,000		155,375
United Mexican States		8.30			8-15-2031		60,000		87,445
Total Yankee Government Bonds (Cost $11,156,739)									11,998,535
	Yield					Shares
Short-Term Investments: 10.01%
Investment Companies: 10.01%
Wells Fargo Government Money Market Fund Select Class (l)(u)##		0.06					58,129,957		58,129,957
Total Short-Term Investments (Cost $58,129,957)									58,129,957

Total investments in securities (Cost $597,820,338)	108.41	%		629,789,380
Other assets and liabilities, net	(8.41	)		(48,846,106	)
Total net assets	100.00	%	$	580,943,274

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

14  |  Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

%% The security is purchased 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.

¤ The security is issued in zero coupon form with no periodic interest payments.

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

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

## All or a portion of this security is segregated for when-issued securities.

Abbreviations:

EDA Economic Development Authority

FFCB Federal Farm Credit Banks

FHLB Federal Home Loan Bank

FHLMC Federal Home Loan Mortgage Corporation

FNMA Federal National Mortgage Association

GNMA Government National Mortgage Association

GO General obligation

National National Public Finance Guarantee Corporation

TVA Tennessee Valley Authority

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Value, beginning of period		Purchases		Sales proceeds			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	$	11,379,432	$	148,876,932	($	102,126,407	)	$	0	$	0	$	14,306	$	58,129,957		10.01	%

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

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio  |  15

Statement of assets and liabilities—August 31, 2020 (unaudited)

Assets
Investments in unaffiliated securities, at value (cost $539,690,381)	$	571,659,423
Investments in affiliated securities, at value (cost $58,129,957)		58,129,957
Cash		202
Receivable for investments sold		6,956,336
Receivable for interest		1,967,658
Prepaid expenses and other assets		15,517
Total assets		638,729,093
Liabilities
Payable for investments purchased		57,567,843
Advisory fee payable		15,309
Trustees’ fees and expenses payable		1,876
Accrued expenses and other liabilities		200,791
Total liabilities		57,785,819
Total net assets	$	580,943,274

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

16  |  Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

Statement of operations—six months ended August 31, 2020 (unaudited)

Investment income
Interest (net of foreign withholding taxes of $439)	$	5,104,420
Income from affiliated securities		14,306
Total investment income		5,118,726
Expenses
Advisory fee		140,625
Custody and accounting fees		17,316
Professional fees		22,430
Shareholder report expenses		3,510
Trustees’ fees and expenses		9,898
Other fees and expenses		8,079
Total expenses		201,858
Less: Fee waivers and/or expense reimbursements		(44,603	)
Net expenses		157,255
Net investment income		4,961,471
Realized and unrealized gains (losses) on investments
Net realized gains on investments		10,765,404
Net change in unrealized gains (losses) on investments		(2,046,121	)
Net realized and unrealized gains (losses) on investments		8,719,283
Net increase in net assets resulting from operations	$	13,680,754

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

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio  |  17

Statement of changes in net assets

	Six months ended August 31, 2020 (unaudited)			Year ended February 29, 2020
Operations
Net investment income	$	4,961,471		$	14,752,004
Net realized gains on investments		10,765,404			2,813,519
Net change in unrealized gains (losses) on investments		(2,046,121	)		44,821,599
Net increase in net assets resulting from operations		13,680,754			62,387,122
Capital transactions
Transactions in investors’ beneficial interests
Contributions		102,493,641			135,893,333
Withdrawals		(200,666,457	)		(144,584,522	)
Net decrease in net assets resulting from capital transactions		(98,172,816	)		(8,691,189	)
Total increase (decrease) in net assets		(84,492,062	)		53,695,933
Net assets
Beginning of period		665,435,336			611,739,403
End of period	$	580,943,274		$	665,435,336

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

18  |  Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

Financial highlights

	Six months ended August 31, 2020 (unaudited)			Year ended February 29, 2020			Year ended February 28
							2019			20181
Total return2		2.42	%		10.34	%		3.23	%		(1.39	)%
Ratios to average net assets (annualized)
Gross expenses		0.07	%		0.07	%		0.08	%		0.08	%
Net expenses		0.06	%		0.06	%		0.07	%		0.07	%
Net investment income		1.76	%		2.32	%		2.38	%		2.03	%
Supplemental data
Portfolio turnover rate		47	%		46	%		72	%		221	%

¹  For the period from May 23, 2017 (commencement of operations) to February 28, 2018

²  Returns for periods of less than one year are not annualized.

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

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio  |  19

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 Bloomberg Barclays US Aggregate ex-Corporate Portfolio (the “Portfolio”) which is a diversified series of the Trust.

Interests in the Portfolio are available solely through private placement transactions that do not involve any “public offering” within the meaning of Section 4(2) of the Investment Company Act of 1933.

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.

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.

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 is recorded net of foreign taxes withheld where recovery of such taxes is not assured.

20  |  Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

Notes to financial statements (unaudited)

Federal and other taxes

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 income, 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 income 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 August 31, 2020, the aggregate cost of all investments for federal income tax purposes was $597,537,784 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	32,580,344
Gross unrealized losses		(328,748	)
Net unrealized gains	$	32,251,596

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 August 31, 2020:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Agency securities	$	0	$	218,824,549	$	0	$	218,824,549
Asset-backed securities		0		4,030,050		0		4,030,050
Municipal obligations		0		4,745,809		0		4,745,809
Non-agency mortgage-backed securities		0		7,726,414		0		7,726,414
U.S. Treasury securities		308,056,535		0		0		308,056,535
Yankee corporate bonds and notes		0		16,277,531		0		16,277,531
Yankee government bonds		0		11,998,535		0		11,998,535
Short-term investments
Investment companies		58,129,957		0		0		58,129,957
Total assets	$	366,186,492	$	263,602,888	$	0	$	629,789,380

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

For the six months ended August 31, 2020, the Portfolio did not have any transfers into/out of Level 3.

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio  |  21

Notes to financial statements (unaudited)

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 advisory fee at the following annual rate based on the Portfolio’s average daily net assets:

Average daily net assets	Advisory fee
First $5 billion		0.05	%
Next $5 billion		0.04
Over $10 billion		0.03

For the six months ended August 31, 2020, the advisory fee was equivalent to an annual rate of 0.05% 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 a subadviser to the Portfolio and is entitled to receive a fee from Funds Management at an annual rate starting at 0.04% and declining to 0.03% as the average daily net assets of the Portfolio increase.

Funds Management has voluntarily waived and/or reimbursed advisory fees to reduce the net operating expenses 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 August 31, 2020 were $413,341,188 and $431,431,367, respectively.

6. BANK BORROWINGS

The Trust, along with Wells Fargo Variable Trust and Wells Fargo Funds Trust (excluding the money market funds), are parties to a $350,000,000 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 August 31, 2020, there were no borrowings by the Portfolio under the agreement.

7. INDEMNIFICATION

Under the Portfolio’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 Portfolio. The Portfolio has entered into a separate agreement with each Trustee that converts indemnification rights currently existing under the Portfolio’s organizational documents into contractual rights that cannot be changed in the future without the consent of the Trustee. Additionally, in the normal course of business, the Portfolio may enter into contracts with service providers that contain a variety of indemnification clauses. The Portfolio’s maximum exposure under these arrangements is dependent on future claims that may be made against the Portfolio and, therefore, cannot be estimated.

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Notes to financial statements (unaudited)

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 on fair value measurements in Topic 820, Fair Value Measurements. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has adopted this guidance which did not have a material impact on the financial statements.

9. CORONAVIRUS (COVID-19) PANDEMIC

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

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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 wfam.com, or visiting the SEC website at sec.gov. Information regarding how the proxies related to portfolio securities were voted during the most recent 12-month period ended June 30 is available on the website at wfam.com or by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS INFORMATION

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

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

Independent Trustees

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

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

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

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Other information (unaudited)

Officers

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

¹  Jeremy DePalma acts as Treasurer of 77 funds and Assistant Treasurer of 65 funds in the Fund Complex.

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

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Other information (unaudited)

BOARD CONSIDERATION OF INVESTMENT MANAGEMENT, ADVISORY AND SUB-ADVISORY AGREEMENTS:

Wells Fargo Emerging Markets Bond Fund, Wells Fargo High Yield Corporate Bond Fund, Wells Fargo International Government Bond Fund, Wells Fargo U.S. Core Bond Fund, Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, Wells Fargo Emerging Markets Bond Portfolio, Wells Fargo Factor Enhanced International Equity Portfolio, Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, Wells Fargo International Government Bond Portfolio, Wells Fargo Investment Grade Corporate Bond Portfolio, Wells Fargo High Yield Corporate Bond Portfolio, Wells Fargo Strategic Retirement Bond Portfolio, and Wells Fargo U.S. REIT Portfolio

Under the Investment Company Act of 1940 (the “1940 Act”), the Board of Trustees (each, a “Board” and collectively, the “Boards”) of each of Wells Fargo Funds Trust (“Funds Trust”) and Wells Fargo Master Trust (“Master Trust”) (collectively, the “Trusts”) must determine annually whether to approve the continuation of the Trusts’ investment management, advisory and sub-advisory agreements, as applicable. In this regard, at a meeting held on May 26, 2020 and May 28, 2020 (together, the “Meeting”), the Board of Funds Trust, all the members of which have no direct or indirect interest in the investment management agreement and are not “interested persons” of the Trusts, as defined in the 1940 Act (the “Independent Trustees”), reviewed and approved for each of the funds of Funds Trust identified in the table below (individually, an “Index Fund” and collectively, the “Index Funds”) an investment management agreement (the “Management Agreement”) with Wells Fargo Funds Management, LLC (“Funds Management”).

Index Funds

Wells Fargo Emerging Markets Bond Fund

Wells Fargo High Yield Corporate Bond Fund

Wells Fargo International Government Bond Fund

Wells Fargo U.S. Core Bond Fund

In addition, the Funds Trust Board reviewed and approved an investment sub-advisory agreement with Wells Capital Management Incorporated (“WellsCap”) for the U.S. Core Bond Fund (the “Core Bond Fund Sub-Advisory Agreement”).

At the Meeting, the Board of Master Trust, all the members of which have no direct or indirect interest in the investment advisory and sub-advisory agreements and are Independent Trustees, reviewed and approved for each of the portfolios of Master Trust identified in the table below (individually, a “Master Portfolio” and collectively, the “Master Portfolios”): (i) an investment advisory agreement (the “Master Portfolio Advisory Agreement”) with Funds Management; and (ii) an investment sub-advisory agreement (each, a “Master Portfolio Sub-Advisory Agreement”, and collectively, the “Master Portfolio Sub-Advisory Agreements”) with the sub-adviser(s) identified in the chart below (each, a “Sub-Adviser”, and collectively, the “Sub-Advisers”) for the corresponding Master Portfolio identified.

Master Portfolios	Sub-Advisers
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio	WellsCap
Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio	WellsCap
Wells Fargo Emerging Markets Bond Portfolio	Wells Fargo Asset Management (International), Limited (“WFAM International”)
Wells Fargo Factor Enhanced International Equity Portfolio	WellsCap
Wells Fargo Factor Enhanced U.S. Large Cap Portfolio	WellsCap
Wells Fargo Factor Enhanced U.S. Small Cap Portfolio	WellsCap
Wells Fargo International Government Bond Portfolio	WFAM International
Wells Fargo Investment Grade Corporate Bond Portfolio	WellsCap
Wells Fargo High Yield Corporate Bond Portfolio	WellsCap
Wells Fargo Strategic Retirement Bond Portfolio	WellsCap
Wells Fargo U.S. REIT Portfolio	WellsCap

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Other information (unaudited)

The Index Funds and the Master Portfolios are collectively referred to as the “Funds.” The Management Agreement, the Core Bond Fund Sub-Advisory Agreement, the Master Portfolio Advisory Agreement and the Master Portfolio Sub-Advisory Agreements are collectively referred to as the “Advisory Agreements.”

The Boards noted that each of the Index Funds is a feeder fund that invests all of its assets in its corresponding Master Portfolio, with the exception of the U.S. Core Bond Fund, which invests in multiple Master Portfolios. Information provided to the Boards regarding the Index Funds is also applicable to the Master Portfolios identified above, as relevant.

At the Meeting, the Boards considered the factors and reached the conclusions described below relating to the selection of Funds Management and the Sub-Advisers and the approval of the Advisory Agreements. Prior to the Meeting, including at a Board meeting held in April 2020, the Trustees conferred extensively among themselves and with representatives of Funds Management about these matters. Also, the Boards have adopted a team-based approach, with each team consisting of a sub-set of Trustees, to assist the full Boards in the discharge of their duties in reviewing investment performance and other matters throughout the year. The Independent Trustees were assisted in their evaluation of the Advisory Agreements by independent legal counsel, from whom they received separate legal advice and with whom they met separately.

In providing information to the Boards, Funds Management and the Sub-Advisers were guided by a detailed set of requests for information submitted to them by independent legal counsel on behalf of the Independent Trustees at the start of the Boards’ annual contract renewal process earlier in 2020. In considering and approving the Advisory Agreements, the Trustees considered the information they believed relevant, including but not limited to the information discussed below. The Boards considered not only the specific information presented in connection with the Meeting, but also the knowledge gained over time through interaction with Funds Management and the Sub-Advisers about various topics. In this regard, the Boards reviewed reports of Funds Management at each of their quarterly meetings, which included, among other things, portfolio reviews and investment performance reports. In addition, the Boards and the teams mentioned above confer with portfolio managers at various times throughout the year. The Boards did not identify any particular information or consideration that was all-important or controlling, and each individual Trustee may have attributed different weights to various factors.

After its deliberations, the Board of Funds Trust unanimously approved the continuation of the Management Agreement and the Core Bond Fund Sub-Advisory Agreement for a one-year period. Additionally, after its deliberations, the Board of Master Trust unanimously approved the continuation of the Master Portfolio Advisory Agreement and each Master Portfolio Sub-Advisory Agreement for a one-year term. The Boards also determined that the compensation or the absence of compensation payable to Funds Management and to each of the Sub-Advisers under each of the Advisory Agreements was reasonable. The Boards considered the approval of the Advisory Agreements for the Funds as part of their consideration of agreements for funds across the complex, but their approvals were made on a fund-by-fund basis. The following summarizes a number of important, but not necessarily all, factors considered by the Boards in support of their approvals.

Nature, extent and quality of services

The Boards received and considered various information regarding the nature, extent and quality of services provided to the Funds by Funds Management and the Sub-Advisers under the Advisory Agreements. This information included a description of the investment advisory services and Fund-level administrative services covered by the Advisory Agreements, as well as, among other things, a summary of the background and experience of senior management of Wells Fargo Asset Management (“WFAM”), of which Funds Management and the Sub-Advisers are a part, and a summary of investments made in the business of WFAM. The Boards also received a description of Funds Management’s and the Sub-Advisers’ business continuity plans and of their approaches to data privacy and cybersecurity, and related testing. The Boards also received and reviewed information about Funds Management’s role as administrator of the Funds’ liquidity risk management program, Funds Management’s approach to risk management, and Funds Management’s intermediary and vendor oversight program.

The Boards also considered the qualifications, background, tenure and responsibilities of each of the portfolio managers primarily responsible for the day-to-day portfolio management of the Funds. The Board of Master Trust noted that each of the Master Portfolios replicates the performance of a proprietary index provided by an affiliate of Funds Management, except that the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Emerging Markets Bond Portfolio, and the Wells Fargo Strategic Retirement Bond Portfolio track the performance of third-party indexes. The Boards evaluated the ability of Funds Management and the Sub-Advisers to attract and retain qualified investment professionals, including research, advisory and supervisory personnel. The Boards further considered the compliance programs and compliance records of Funds Management and the Sub-Advisers. In addition, the Boards took into account the full range of services provided to the Funds by Funds Management and its affiliates.

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Other information (unaudited)

Fund investment performance and expenses

The Boards considered the investment performance results for each of the Master Portfolios for the one-year period ended December 31, 2019. The Boards also considered more current results for the one-year period ended March 31, 2020. The Boards considered these results in comparison to the investment performance of funds in a universe that was determined by Broadridge Inc. (“Broadridge”) to be similar to the respective Master Portfolios (each, a “Universe”), and in comparison to each Master Portfolio’s benchmark index and to other comparative data. Broadridge is an independent provider of investment company data. The Boards received a description of the methodology used by Broadridge to select the mutual funds in each performance Universe.

The Boards noted the short performance history of the Master Portfolios. For the one-year period ended December 31, 2019, the Boards noted that the investment performance of each Master Portfolio relative to its respective Universe was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio and the Wells Fargo Investment Grade Corporate Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective Universe; and (ii) the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo International Government Bond Portfolio, the Wells Fargo Strategic Retirement Bond Portfolio and the Wells Fargo U.S. REIT Portfolio was lower than the average investment performance of such Master Portfolio’s respective Universe. For the one-year period ended March 31, 2020, the Boards noted that the investment performance of each Master Portfolio relative to its respective Universe was as follows: (i) the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo International Government Bond Portfolio, and the Wells Fargo Investment Grade Corporate Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective Universe, and (ii) the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio, the Wells Fargo Strategic Retirement Bond Portfolio and the Wells Fargo U.S. REIT Portfolio was lower than the average investment performance of such Master Portfolio’s respective Universe.

The Boards also noted that the investment performance of each Master Portfolio to its respective benchmark index for the one-year period ended December 31, 2019, was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio, the Wells Fargo U.S. REIT Portfolio and the Wells Fargo Strategic Retirement Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective benchmark, and (ii) the investment performance of each of the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo International Government Bond Portfolio and the Wells Fargo Investment Grade Corporate Bond Portfolio was lower than the average investment performance of such Master Portfolio’s respective benchmark. For the one-year period ended March 31, 2020, the Boards also noted that the investment performance of each Master Portfolio to its respective benchmark index, was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo U.S. REIT Portfolio, the Wells Fargo Investment Grade Corporate Bond Portfolio and the Wells Fargo Strategic Retirement Bond Portfolio was higher than, equal to or in range of the average investment performance of such Master Portfolio’s respective benchmark, and (ii) the investment performance of each of the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio and the Wells Fargo International Government Bond Portfolio was lower than the average investment performance of such Master Portfolio’s respective benchmark.

The Boards received information concerning, and discussed factors contributing to, the underperformance of certain Master Portfolios, relative to the Universe and benchmark index, for the periods identified above. The Board took note of the explanations for the relative underperformance during these periods, including with respect to investment decisions and market factors that affected the Fund’s investment performance.

The Board of Funds Trust took note of the investment performance of the Master Portfolios in the context of reviewing the investment performance of the Index Funds. The Board of Funds Trust also received and considered information regarding the “zero fee and expense” structure of each Index Fund. Specifically, the Funds Trust Board noted that each Index Fund’s gross operating expense ratio and each of its various components, including management fees, administration fees, custody fees, Rule 12b-1 fees, and other fees, are zero. The Funds Trust Board also noted that Funds Management assumes and pays or

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Other information (unaudited)

reimburses all of the ordinary operating expenses of each Index Fund, including acquired fund fees and expenses, pursuant to an agreement with each of the Index Funds (the “Fee and Expense Agreement”). The Funds Trust Board further noted that Funds Management receives a fee from Wells Fargo Wealth and Investment Management (“WIM”) pursuant to an intercompany agreement equal to the Master Portfolio fees and expenses absorbed by Funds Management through its Fee and Expense Agreement with each of the Index Funds.

With respect to the Master Portfolios, the Board of Master Trust received and considered information regarding the fee rates that are payable to Funds Management for investment advisory services (as discussed below), which are the only fees charged at the Master Portfolio level, relative to corresponding class-specific expense groups that were determined by Broadridge to be similar to the Funds (the “Groups”). The Boards received a description of the methodology used by Broadridge to select the mutual funds in the expense Groups and an explanation of how funds comprising expense groups and their expense ratios may vary from year-to-year.

The Boards took into account the Funds’ expense information and the Master Portfolios’ performance information provided to them among the factors considered in deciding to re-approve the Advisory Agreements.

Investment management, advisory and sub-advisory fee rates

The Board of Funds Trust reviewed and considered that the contractual investment management fee rate payable by each Index Fund to Funds Management for investment management services zero, and also reviewed and considered that each Fund’s other expenses would normally be zero, because of Funds Management’s commitment to assume and pay or reimburse all of the ordinary operating expenses of each Fund, including acquired fund fees and expenses, under the Fee and Expense Agreement. The Board of Funds Trust also reviewed and considered that the contractual investment sub-advisory fee rate payable by Funds Management to WellsCap for investment sub-advisory services for the U.S. Core Bond Fund is also zero.

The Board of Master Trust reviewed and considered the contractual fee rates payable by the Master Portfolios to Funds Management under the Master Portfolio Advisory Agreement (the “Advisory Agreement Rates”). The Board of Master Trust also reviewed and considered the contractual investment sub-advisory fee rates that are payable by Funds Management to the Sub-Advisers for investment sub-advisory services (the “Sub-Advisory Agreement Rates”).

The Board of Master Trust reviewed a comparison of the Advisory Agreement Rates of each Master Portfolio with those of other funds in each Master Portfolio’s respective expense Groups at a common asset level. The Board of Master Trust noted that the Advisory Agreement Rates of each Master Portfolio were lower than or equal to the median rate for such Master Portfolio’s expense Groups.

The Boards also received and considered information about the portions of the total management fees that were retained by Funds Management after payment of the fees to the Sub-Advisers for sub-advisory services. In assessing the reasonableness of these amounts, the Boards received and evaluated information about the nature and extent of responsibilities retained and risks assumed by Funds Management and not delegated to or assumed by the Sub-Advisers, and about Funds Management’s on-going oversight services. Given the affiliation between Funds Management and the Sub-Advisers, the Boards ascribed limited relevance to the allocation of fees between them.

The Boards also received and considered information about the nature and extent of services offered and fee rates charged by Funds Management and the Sub-Advisers to other types of clients with investment strategies similar to those of certain Funds. In this regard, the Boards received information about the significantly greater scope of services, and compliance, reporting and other legal burdens and risks of managing proprietary mutual funds compared with those associated with managing assets of other types of clients, including third-party sub-advised fund clients and non-mutual fund clients such as institutional separate accounts.

Based on its consideration of the factors and information it deemed relevant, including those described here, the Board of Fund Trust determined that the compensation received by Funds Management from WIM pursuant to the intercompany agreement, and the absence of compensation payable by the Funds to Funds Management pursuant to the Management Agreement or to WellsCap pursuant to the Core Bond Fund Sub-Advisory Agreement, was reasonable. Based on its consideration of the factors and information it deemed relevant, including those described here, the Board of Master Trust determined that the Advisory Agreement Rates and the Sub-Advisory Agreement Rates for each Master Portfolio were reasonable.

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Other information (unaudited)

Profitability

The Boards received and considered information concerning the profitability of Funds Management, as well as the profitability of both WFAM and Wells Fargo & Co. (“Wells Fargo”) from providing services to the fund family as a whole. The Boards noted that the Sub-Advisers’ profitability information with respect to providing services to the Funds and other funds in the family was subsumed in the WFAM and Wells Fargo profitability analysis.

Funds Management reported on the methodologies and estimates used in calculating profitability, including a description of the methodology used to allocate certain expenses. Among other things, the Boards noted that the levels of profitability reported on a fund-by-fund basis varied widely, depending on factors such as the size, type and age of fund.

Based on its review, the Boards did not deem the profits reported by Funds Management, WFAM or Wells Fargo from services provided to the Funds to be at a level that would prevent them from approving the continuation of the Advisory Agreements.

Economies of scale

The Boards received and considered information about the potential for Funds Management to experience economies of scale in the provision of management services to the Funds, the difficulties of calculating economies of scale at an individual fund level, and the extent to which potential scale benefits are shared with shareholders. The Boards noted the existence of breakpoints in the each Master Portfolio’s advisory fee structure and each Index Fund’s management fee structure, which operate generally to reduce the Funds’ expense ratios as the Funds grow in size, and the size of the Funds in relation to such breakpoints. The Boards considered that in addition to management fee breakpoints, Funds Management shares potential economies of scale from its management business in a variety of ways, including through fee waiver and expense reimbursement arrangements, services that benefit shareholders, competitive management fee rates set at the outset without regard to breakpoints, and investments in the business intended to enhance services available to shareholders.

The Boards concluded that Funds Management’s arrangements with respect to the Funds, including contractual breakpoints, constituted a reasonable approach to sharing potential economies of scale with the Funds and their shareholders.

Other benefits to Funds Management and the Sub-Advisers

The Boards received and considered information regarding potential “fall-out” or ancillary benefits received by Funds Management and its affiliates, including WellsCap and WFAM International, as a result of their relationships with the Funds. Ancillary benefits could include, among others, benefits directly attributable to other relationships with the Funds and benefits potentially derived from an increase in Funds Management’s and the Sub-Advisers’ business as a result of their relationships with the Funds. The Boards noted that various affiliates of Funds Management may receive distribution-related fees, shareholder servicing payments and sub-transfer agency fees in respect of shares sold or held through them and services provided.

The Boards also reviewed information about soft dollar credits earned and utilized by the Sub-Advisers, fees earned by Funds Management and WellsCap from managing a private investment vehicle for the fund family’s securities lending collateral, and commissions earned by an affiliated broker from portfolio transactions.

Based on their consideration of the factors and information they deemed relevant, including those described here, the Boards did not find that any ancillary benefits received by Funds Management and its affiliates, including WellsCap and WFAM International, were unreasonable.

Conclusion

At the Meeting, after considering the above-described factors and based on its deliberations and its evaluation of the information described above, the Funds Trust Board unanimously approved the continuation of the Management Agreement and the Core Bond Fund Sub-Advisory Agreement for a one-year period. Additionally, after its deliberations, the Master Trust Board unanimously approved the continuation of the Master Portfolio Advisory Agreement and each Master Portfolio Sub-Advisory Agreement for a one-year term. The Boards also determined that the compensation or the absence of compensation payable to Funds Management and to each of the Sub-Advisers was reasonable.

32  |  Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

Other information (unaudited)

LIQUIDITY RISK MANAGEMENT PROGRAM

In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), Wells Fargo Master Trust (the “Trust”) has adopted and implemented a liquidity risk management program (the “Program”) on behalf of each of its series, including each Portfolio, which is reasonably designed to assess and manage the Portfolio’s liquidity risk. “Liquidity risk” is defined as the risk that a Portfolio is unable to meet redemption requests without significantly diluting remaining investors’ interests in the Portfolio. The Trust’s Board of Trustees (the “Board”) previously approved the designation of Wells Fargo Funds Management, LLC (“Funds Management”), each Portfolio’s investment adviser, as the administrator of the Program, and Funds Management has established a Liquidity Risk Management Council composed of personnel from multiple departments within Funds Management and its affiliates to assist Funds Management in the implementation and on-going administration of the Program.

The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Portfolio’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Portfolio’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under the Liquidity Rule); (4) to the extent a Portfolio does not invest primarily in “highly liquid investments” (as defined under the Liquidity Rule), the determination of a minimum percentage of the Portfolio’s assets that generally will be invested in highly liquid investments (an “HLIM”); (5) if a Portfolio has established an HLIM, the periodic review (no less frequently than annually) of the HLIM and the adoption of policies and procedures for responding to a shortfall of the Portfolio’s “highly liquid investments” below its HLIM; and (6) periodic reporting to the Board.

At a meeting of the Board held on May 26 and 28, 2020, the Board received a written report (the “Report”) from Funds Management that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation. The Report covered the initial period from December 1, 2018 through December 31, 2019 (the “Reporting Period”). No significant liquidity events impacting any Portfolio were noted in the Report. There were no material changes to the Program during the Reporting Period. The Report concluded that the Program is operating effectively to assess and manage each Portfolio’s liquidity risk, and that the Program has been and continues to be adequately and effectively implemented to monitor and, as applicable, respond to the Portfolio’s liquidity developments.

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio  |  33

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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 Portfolio’s website, or call:

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: wfam.com

Individual investors: 1-800-222-8222

Retail investment professionals: 1-888-877-9275

Institutional investment professionals: 1-866-765-0778

This report and the financial statements contained herein are submitted for the general information of the shareholders of the Portfolio. 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 Portfolio’s website at wfam.com. Read the prospectus carefully before you invest or send money.

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

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

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

© 2020 Wells Fargo & Company. All rights reserved.

Semi-Annual Report

August 31, 2020

Wells Fargo

Factor Enhanced U.S. Low Volatility Equity Portfolio

Contents

Portfolio information	2
Portfolio of investments	3
Financial statements
Statement of assets and liabilities	12
Statement of operations	13
Statement of changes in net assets	14
Financial highlights	15
Notes to financial statements	16
Other information	20

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

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

Portfolio information (unaudited)

Investment objective

The Portfolio seeks long-term capital appreciation.

Adviser

Wells Fargo Funds Management, LLC

Subadviser

Wells Capital Management Incorporated

Portfolio managers

Dennis Beinn, CFA^®‡

Harindra de Silva, Ph.D., CFA^®‡

Monisha Jayakumar

Ten largest holdings (%) as of August 31, 20201
NextEra Energy Incorporated	1.66
Microsoft Corporation	1.65
T-Mobile US Incorporated	1.62
Verizon Communications Incorporated	1.61
McDonald’s Corporation	1.60
PepsiCo Incorporated	1.58
Accenture plc Class A	1.57
Merck & Company Incorporated	1.53
Visa Incorporated Class A	1.49
Johnson & Johnson	1.44

Portfolio composition as of August 31, 2020²

^‡  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.

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

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Common Stocks: 100.22%
Communication Services: 6.65%
Diversified Telecommunication Services: 2.48%
AT&T Incorporated		7,133	$	212,635
Verizon Communications Incorporated		6,656		394,501
				607,136
Entertainment: 1.21%
Activision Blizzard Incorporated		22		1,837
Take-Two Interactive Software Incorporated †		752		128,735
The Walt Disney Company		1,271		167,607
				298,179
Interactive Media & Services: 0.14%
Alphabet Incorporated Class C †		21		34,318
Media: 1.20%
Charter Communications Incorporated Class A †		135		83,107
Comcast Corporation Class A		3,046		136,491
Discovery Incorporated Class A †		743		16,394
Fox Corporation Class A		230		6,408
Omnicom Group Incorporated		463		25,044
Sirius XM Holdings Incorporated		4,444		26,086
				293,530
Wireless Telecommunication Services: 1.62%
T-Mobile US Incorporated †		3,409		397,762
Consumer Discretionary: 6.92%
Automobiles: 0.02%
General Motors Company		172		5,096
Distributors: 0.10%
Genuine Parts Company		256		24,177
Hotels, Restaurants & Leisure: 2.26%
Aramark		203		5,595
Domino’s Pizza Incorporated		24		9,815
McDonald’s Corporation		1,832		391,169
Starbucks Corporation		1,753		148,076
				554,655
Household Durables: 0.17%
Garmin Limited		407		42,169
Internet & Direct Marketing Retail: 0.13%
eBay Incorporated		595		32,594
Multiline Retail: 1.27%
Dollar General Corporation		838		169,175
Dollar Tree Incorporated †		673		64,790
Target Corporation		505		76,361
				310,326

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

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

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Specialty Retail: 2.59%
Advance Auto Parts Incorporated		30	$	4,689
AutoZone Incorporated		98		117,238
Best Buy Company Incorporated		74		8,207
Burlington Stores Incorporated †		65		12,800
O’Reilly Automotive Incorporated †		169		78,691
Ross Stores Incorporated		447		40,713
The Home Depot Incorporated		814		232,023
The TJX Companies Incorporated		2,537		139,002
				633,363
Textiles, Apparel & Luxury Goods: 0.38%
Nike Incorporated Class B		797		89,176
Ralph Lauren Corporation		62		4,267
				93,443
Consumer Staples: 12.52%
Beverages: 3.13%
Brown-Forman Corporation Class B		342		25,024
Molson Coors Brewing Company Class B		148		5,571
Monster Beverage Corporation †		130		10,902
PepsiCo Incorporated		2,759		386,426
The Coca-Cola Company		6,841		338,835
				766,758
Food & Staples Retailing: 1.13%
Costco Wholesale Corporation		57		19,817
The Kroger Company		2,193		78,246
Walmart Incorporated		1,285		178,422
				276,485
Food Products: 4.61%
Archer Daniels Midland Company		476		21,306
Bunge Limited		132		6,022
Campbell Soup Company		1,191		62,659
General Mills Incorporated		772		49,369
Hormel Foods Corporation		4,826		246,029
Ingredion Incorporated		197		15,847
Kellogg Company		1,998		141,678
McCormick & Company Incorporated		585		120,627
Mondelez International Incorporated Class A		1,848		107,960
The Hershey Company		1,886		280,335
The J.M. Smucker Company		540		64,897
Tyson Foods Incorporated Class A		207		13,000
				1,129,729
Household Products: 3.29%
Church & Dwight Company Incorporated		969		92,859
Colgate-Palmolive Company		1,301		103,117
Kimberly-Clark Corporation		808		127,470
The Clorox Company		693		154,886
The Procter & Gamble Company		2,380		329,225
				807,557

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

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

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Tobacco: 0.36%
Altria Group Incorporated		1,302	$	56,949
Philip Morris International Incorporated		388		30,959
				87,908
Energy: 0.98%
Energy Equipment & Services: 0.02%
National Oilwell Varco Incorporated		331		3,972
Schlumberger Limited		126		2,395
				6,367
Oil, Gas & Consumable Fuels: 0.96%
Cabot Oil & Gas Corporation		1,201		22,783
Cheniere Energy Incorporated †		446		23,214
Chevron Corporation		101		8,477
ConocoPhillips		72		2,728
Exxon Mobil Corporation		2,669		106,600
Kinder Morgan Incorporated		3,136		43,340
Phillips 66		355		20,757
Valero Energy Corporation		139		7,310
				235,209
Financials: 10.97%
Banks: 0.33%
East West Bancorp Incorporated		163		5,995
M&T Bank Corporation		153		15,799
Regions Financial Corporation		285		3,295
Signature Bank		63		6,113
US Bancorp		1,260		45,864
Zions Bancorporation		105		3,377
				80,443
Capital Markets: 1.79%
Ameriprise Financial Incorporated		58		9,094
BlackRock Incorporated		14		8,319
Cboe Global Markets Incorporated		753		69,118
CME Group Incorporated		721		126,802
Intercontinental Exchange Incorporated		1,299		137,993
MarketAxess Holdings Incorporated		26		12,634
Morgan Stanley		29		1,516
S&P Global Incorporated		44		16,122
SEI Investments Company		458		23,981
T. Rowe Price Group Incorporated		128		17,819
The NASDAQ OMX Group Incorporated		112		15,055
				438,453
Diversified Financial Services: 0.07%
Berkshire Hathaway Incorporated Class B		31		6,759
Equitable Holdings Incorporated		478		10,129
				16,888
Insurance: 8.74%
Alleghany Corporation		68		37,710
Allstate Corporation		2,064		191,952

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

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

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Insurance (continued)
Aon plc Class A		936	$	187,191
Arch Capital Group Limited †		2,409		75,980
Arthur J. Gallagher & Company		1,398		147,209
Assurant Incorporated		122		14,830
Athene Holding Limited Class A †		49		1,791
Brown & Brown Incorporated		2,777		128,853
Chubb Limited		1,624		203,000
Cincinnati Financial Corporation		232		18,423
Erie Indemnity Company Class A		81		17,289
Everest Reinsurance Group Limited		764		168,141
Globe Life Incorporated		86		7,093
Markel Corporation †		66		71,731
Marsh & McLennan Companies Incorporated		1,739		199,828
Reinsurance Group of America Incorporated		75		6,876
RenaissanceRe Holdings Limited		760		139,642
The Hartford Financial Services Group Incorporated		1,695		68,563
The Progressive Corporation		1,518		144,271
Travelers Companies Incorporated		820		95,153
Willis Towers Watson plc		321		65,975
WR Berkley Corporation		2,451		152,085
				2,143,586
Mortgage REITs: 0.04%
AGNC Investment Corporation		503		7,097
Annaly Capital Management Incorporated		461		3,388
				10,485
Health Care: 16.36%
Biotechnology: 4.56%
AbbVie Incorporated		116		11,109
Alexion Pharmaceuticals Incorporated		14		1,599
Amgen Incorporated		312		79,036
Biogen Incorporated †		92		26,463
BioMarin Pharmaceutical Incorporated †		213		16,620
Gilead Sciences Incorporated		4,380		292,365
Incyte Corporation †		348		33,530
Regeneron Pharmaceuticals Incorporated †		532		329,803
Vertex Pharmaceuticals Incorporated †		1,172		327,129
				1,117,654
Health Care Equipment & Supplies: 4.18%
Abbott Laboratories		784		85,824
Baxter International Incorporated		1,858		161,776
Becton Dickinson & Company		214		51,953
Danaher Corporation		1,068		220,510
Dentsply Sirona Incorporated		220		9,871
Edwards Lifesciences Corporation		45		3,863
Medtronic plc		2,685		288,557
ResMed Incorporated		27		4,881
Stryker Corporation		662		131,182
The Cooper Companies Incorporated		199		62,562
West Pharmaceutical Services Incorporated		11		3,124
Zimmer Biomet Holdings Incorporated		15		2,113
				1,026,216

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

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

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Health Care Providers & Services: 1.70%
AmerisourceBergen Corporation		147	$	14,263
Anthem Incorporated		394		110,919
CVS Health Corporation		82		5,094
Humana Incorporated		256		106,284
Molina Healthcare Incorporated †		30		5,549
UnitedHealth Group Incorporated		485		151,587
Universal Health Services Incorporated Class B		206		22,732
				416,428
Health Care Technology: 0.13%
Cerner Corporation		426		31,256
Pharmaceuticals: 5.79%
Bristol-Myers Squibb Company		1,375		85,525
Eli Lilly & Company		1,924		285,502
Jazz Pharmaceuticals plc †		38		5,107
Johnson & Johnson		2,304		353,457
Merck & Company Incorporated		4,389		374,250
Perrigo Company plc		37		1,935
Pfizer Incorporated		5,863		221,563
Zoetis Incorporated		570		91,257
				1,418,596
Industrials: 7.49%
Aerospace & Defense: 1.43%
Huntington Ingalls Industries Incorporated		77		11,667
L3Harris Technologies Incorporated		554		100,130
Lockheed Martin Corporation		536		209,179
Northrop Grumman Corporation		81		27,751
Teledyne Technologies Incorporated †		3		941
				349,668
Air Freight & Logistics: 0.94%
C.H. Robinson Worldwide Incorporated		2,258		221,961
Expeditors International of Washington Incorporated		104		9,193
				231,154
Airlines: 0.01%
Southwest Airlines Company		59		2,217
Building Products: 0.10%
Carrier Global Corporation		518		15,462
Masco Corporation		156		9,095
				24,557
Commercial Services & Supplies: 3.81%
Republic Services Incorporated		3,617		335,368
Waste Connections Incorporated		2,712		271,281
Waste Management Incorporated		2,868		326,952
				933,601
Industrial Conglomerates: 0.27%
Honeywell International Incorporated		403		66,717

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

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

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Machinery: 0.26%
Cummins Incorporated		30	$	6,218
Dover Corporation		22		2,416
Illinois Tool Works Incorporated		137		27,064
Otis Worldwide Corporation		255		16,040
PACCAR Incorporated		97		8,326
Pentair plc		70		3,160
Snap-on Incorporated		11		1,631
				64,855
Professional Services: 0.41%
Robert Half International Incorporated		499		26,547
Verisk Analytics Incorporated		398		74,295
				100,842
Road & Rail: 0.26%
AMERCO		55		19,519
J.B. Hunt Transport Services Incorporated		174		24,454
Knight-Swift Transportation Holdings Incorporated		101		4,591
Old Dominion Freight Line Incorporated		69		13,950
				62,514
Information Technology: 22.96%
Communications Equipment: 1.65%
Cisco Systems Incorporated		3,887		164,109
Juniper Networks Incorporated		1,504		37,600
Motorola Solutions Incorporated		1,313		203,187
				404,896
Electronic Equipment, Instruments & Components: 1.59%
Amphenol Corporation Class A		1,241		136,262
Arrow Electronics Incorporated		637		50,043
CDW Corporation of Delaware		92		10,456
FLIR Systems Incorporated		585		21,587
Keysight Technologies Incorporated †		1,644		161,967
TE Connectivity Limited		109		10,529
				390,844
IT Services: 12.55%
Accenture plc Class A		1,600		383,888
Akamai Technologies Incorporated †		1,175		136,805
Automatic Data Processing Incorporated		833		115,862
Black Knight Incorporated †		2,537		213,362
Booz Allen Hamilton Holding Corporation		1,119		98,539
Broadridge Financial Solutions Incorporated		648		89,035
Cognizant Technology Solutions Corporation Class A		1,844		123,290
Fidelity National Information Services Incorporated		1,583		238,796
Fiserv Incorporated †		1,677		166,996
FleetCor Technologies Incorporated †		194		48,781
International Business Machines Corporation		726		89,523
Jack Henry & Associates Incorporated		1,400		231,588
Leidos Holdings Incorporated		272		24,613
MasterCard Incorporated Class A		625		223,869
Paychex Incorporated		3,270		250,057
The Western Union Company		7,760		183,058

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

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

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
IT Services (continued)
Verisign Incorporated		440	$	94,512
Visa Incorporated Class A		1,718		364,199
				3,076,773
Semiconductors & Semiconductor Equipment: 0.56%
Applied Materials Incorporated		17		1,047
Broadcom Incorporated		118		40,964
Intel Corporation		535		27,258
KLA Corporation		18		3,693
QUALCOMM Incorporated		19		2,263
Texas Instruments Incorporated		444		63,115
				138,340
Software: 6.42%
Adobe Incorporated †		577		296,226
CDK Global Incorporated		793		36,970
Citrix Systems Incorporated		2,096		304,339
Intuit Incorporated		179		61,825
Microsoft Corporation		1,798		405,503
NortonLifeLock Incorporated		1,282		30,153
Oracle Corporation		3,414		195,349
Palo Alto Networks Incorporated †		91		23,424
SS&C Technologies Holdings Incorporated		66		4,206
Tyler Technologies Incorporated †		622		214,783
				1,572,778
Technology Hardware, Storage & Peripherals: 0.19%
Apple Incorporated		352		45,422
Materials: 2.57%
Chemicals: 0.97%
Air Products & Chemicals Incorporated		239		69,850
Celanese Corporation Series A		64		6,474
Eastman Chemical Company		26		1,901
Ecolab Incorporated		671		132,241
FMC Corporation		48		5,129
Linde plc		11		2,747
LyondellBasell Industries NV Class A		38		2,488
RPM International Incorporated		89		7,545
The Sherwin-Williams Company		15		10,066
				238,441
Containers & Packaging: 0.24%
Amcor plc		3,866		42,758
Crown Holdings Incorporated †		170		13,065
Packaging Corporation of America		23		2,329
				58,152
Metals & Mining: 1.36%
Newmont Corporation		4,758		320,118
Steel Dynamics Incorporated		494		14,583
				334,701

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

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

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Real Estate: 4.76%
Equity REITs: 4.71%
American Tower Corporation		871	$	217,010
AvalonBay Communities Incorporated		316		49,947
Camden Property Trust		902		82,028
Crown Castle International Corporation		1,024		167,168
Duke Realty Corporation		205		7,903
Equinix Incorporated		40		31,591
Equity Lifestyle Properties Incorporated		61		4,044
Equity Residential		2,097		118,376
Essex Property Trust Incorporated		256		55,427
Extra Space Storage Incorporated		754		80,339
Iron Mountain Incorporated		49		1,474
Medical Properties Trust Incorporated		326		6,057
Mid-America Apartment Communities Incorporated		516		60,434
Public Storage Incorporated		1,038		220,471
SBA Communications Corporation		109		33,362
UDR Incorporated		487		16,952
Vornado Realty Trust		28		1,003
				1,153,586
Real Estate Management & Development: 0.05%
Jones Lang LaSalle Incorporated		120		12,365
Utilities: 8.04%
Electric Utilities: 5.61%
Alliant Energy Corporation		581		31,461
American Electric Power Company Incorporated		1,050		82,772
Duke Energy Corporation		2,768		222,381
Evergy Incorporated		1,061		56,466
Eversource Energy		678		58,111
NextEra Energy Incorporated		1,457		406,751
NRG Energy Incorporated		358		12,319
PPL Corporation		163		4,504
The Southern Company		4,433		231,314
Xcel Energy Incorporated		3,880		269,563
				1,375,642
Multi-Utilities: 2.36%
Ameren Corporation		58		4,588
CMS Energy Corporation		998		60,369
Consolidated Edison Incorporated		3,072		219,156
Dominion Energy Incorporated		1,294		101,501
Public Service Enterprise Group Incorporated		53		2,769
WEC Energy Group Incorporated		2,006		188,724
				577,107
Water Utilities: 0.07%
American Water Works Company Incorporated		122		17,241
Total Common Stocks (Cost $23,059,169)				24,569,179

Total investments in securities (Cost $23,059,169)	100.22	%		24,569,179
Other assets and liabilities, net	(0.22	)		(53,551	)
Total net assets	100.00	%	$	24,515,628

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

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

Portfolio of investments—August 31, 2020 (unaudited)

† Non-income-earning security

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		1		9-18-2020	$	166,414	$	174,945	$	8,531	$	0

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:

	Value, beginning of period		Purchases		Shares proceeds			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	$	24,358,715	$	(24,358,715	)	$	0	$	0	$	322	$	0		0	%

* No longer held at the end of the period.

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

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Statement of assets and liabilities—August 31, 2020 (unaudited)

Assets
Investments in unaffiliated securities, at value (cost $23,059,169)	$	24,569,179
Segregated cash for futures contracts		40,000
Receivable for investments sold		70,835
Receivable for dividends		38,649
Receivable from adviser		8,145
Prepaid expenses and other assets		186
Total assets		24,726,994
Liabilities
Payable for daily variation margin on open futures contracts		274
Overdraft due to custodian bank		195,387
Trustees’ fees and expenses payable		3,129
Accrued expenses and other liabilities		12,576
Total liabilities		211,366
Total net assets	$	24,515,628

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

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Statement of operations—period ended August 31, 2020 (unaudited)¹

Investment income
Dividends (net of foreign withholding taxes of $75)	$	63,256
Income from affiliated securities		322
Total investment income		63,578
Expenses
Advisory fee		3,826
Custody and accounting fees		2,841
Professional fees		11,965
Shareholder report expenses		1,494
Trustees’ fees and expenses		3,221
Other fees and expenses		2,256
Total expenses		25,603
Less: Fee waivers and/or expense reimbursements		(20,247	)
Net expenses		5,356
Net investment income		58,222
Realized and unrealized gains (losses) on investments
Net realized gains on investments		14,914
Net change in unrealized gains (losses) on
Unaffiliated securities		1,510,010
Futures contracts		8,531
Net change in unrealized gains (losses) on investments		1,518,541
Net realized and unrealized gains (losses) on investments		1,533,455
Net increase in net assets resulting from operations	$	1,591,677

¹  For the period from July 1, 2020 (commencement of operations) to August 31, 2020

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

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Statement of changes in net assets

	Period ended August 31, 20201
Operations
Net investment income	$	58,222
Net realized gains on investments		14,914
Net change in unrealized gains (losses) on investments		1,518,541
Net increase in net assets resulting from operations		1,591,677
Capital transactions
Transactions in investors’ beneficial interests
Contributions		24,046,079
Withdrawals		(1,122,128	)
Net increase in net assets resulting from capital transactions		22,923,951
Total increase in net assets		24,515,628
Net assets
Beginning of period		0
End of period	$	24,515,628

¹  For the period from July 1, 2020 (commencement of operations) to August 31, 2020

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

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Financial highlights

	Period ended August 31, 2020 (unaudited)1
Total return2		6.71	%
Ratios to average net assets (annualized)
Gross expenses		0.67	%
Net expenses		0.14	%
Net investment income		1.52	%
Supplemental data
Portfolio turnover rate		2	%

¹  For the period from July 1, 2020 (commencement of operations) to August 31, 2020

²  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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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 Factor Enhanced U.S. Low Volatility Equity Portfolio (the “Portfolio”) which is a diversified series of the Trust.

Interests in the Portfolio are available solely through private placement transactions that do not involve any “public offering” within the meaning of Section 4(2) of the Investment Company Act of 1933.

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 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.

Futures contracts

Futures contracts are agreements between the Portfolio and a counterparty to buy or sell a specific amount of a commodity, financial instrument or currency at a specified price and on a specified date. The Portfolio may buy and sell futures contracts in order to gain exposure to, or protect against, changes in security values and is subject to equity price risk. The primary risks associated with the use of futures contracts are the imperfect correlation between changes in market values of securities held by the Portfolio and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange. With futures contracts, there is minimal counterparty risk to the Portfolio since futures contracts are exchange traded and the exchange’s clearinghouse, as the counterparty to all exchange traded futures, guarantees the futures contracts against default.

Upon entering into 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 is recorded net of foreign taxes withheld where recovery of such taxes is not assured.

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Notes to financial statements (unaudited)

Federal and other taxes

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 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 dividends and gains have been distributed by the Portfolio.

The Fund is not subject to examination by federal and state tax authorities for taxes before 2020, the year the Fund commenced operations.

As of August 31, 2020, the aggregate cost of all investments for federal income tax purposes was $23,059,169 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	1,794,451
Gross unrealized losses		(275,910	)
Net unrealized gains	$	1,518,541

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 August 31, 2020:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Common stocks
Communication services	$	1,630,925	$	0	$	0	$	1,630,925
Consumer discretionary		1,695,823		0		0		1,695,823
Consumer staples		3,068,437		0		0		3,068,437
Energy		241,576		0		0		241,576
Financials		2,689,855		0		0		2,689,855
Health care		4,010,150		0		0		4,010,150
Industrials		1,836,125		0		0		1,836,125
Information technology		5,629,053		0		0		5,629,053
Materials		631,294		0		0		631,294
Real estate		1,165,951		0		0		1,165,951
Utilities		1,969,990		0		0		1,969,990
		24,569,179		0		0		24,569,179
Futures contracts		8,531		0		0		8,531
Total assets	$	24,577,710	$	0	$	0	$	24,577,710

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

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Notes to financial statements (unaudited)

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.

For the period from July 1, 2020 (commencement of operations) to August 31, 2020, 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 advisory fee at the following annual rate based on the Portfolio’s average daily net assets:

Average daily net assets	Advisory fee
First $5 million		0.10	%
Next $5 million		0.08
Over $10 billion		0.06

For the period from July 1, 2020 (commencement of operations) to August 31, 2020, the advisory fee was equivalent to an annual rate of 0.10% 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 0.06% and declining to 0.04% as the average daily net assets of the Portfolio increase.

Funds Management has voluntarily waived and/or reimbursed advisory fees to reduce 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 period from July 1, 2020 (commencement of operations) to August 31, 2020 were $23,521,361 and $477,157, respectively.

6. DERIVATIVE TRANSACTIONS

During the period from July 1, 2020 (commencement of operations) to August 31, 2020, the Portfolio entered into futures contracts to gain market exposure. The Portfolio had an average notional amount of $57,290 in long futures contracts during the period from July 1, 2020 (commencement of operations) to August 31, 2020.

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. INDEMNIFICATION

Under the Portfolio’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 Portfolio. The Portfolio has entered into a separate agreement with each Trustee that converts indemnification rights currently existing under the Portfolio’s organizational documents into contractual rights that cannot be changed in the future without the consent of the Trustee. Additionally, in the normal course of business, the Portfolio may enter into contracts with service providers that contain a variety of indemnification clauses. The Portfolio’s maximum exposure under these arrangements is dependent on future claims that may be made against the Portfolio and, therefore, cannot be estimated.

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Notes to financial statements (unaudited)

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 on fair value measurements in Topic 820, Fair Value Measurements. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has adopted this guidance which did not have a material impact on the financial statements.

9. CORONAVIRUS (COVID-19) PANDEMIC

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

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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 wfam.com, or visiting the SEC website at sec.gov. Information regarding how the proxies related to portfolio securities were voted during the most recent 12-month period ended June 30 is available on the website at wfam.com or by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS INFORMATION

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

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

Independent Trustees

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

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

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

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Other information (unaudited)

Officers

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

¹  Jeremy DePalma acts as Treasurer of 77 funds and Assistant Treasurer of 65 funds in the Fund Complex.

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

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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 Portfolio’s website, or call:

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: wfam.com

Individual investors: 1-800-222-8222

Retail investment professionals: 1-888-877-9275

Institutional investment professionals: 1-866-765-0778

This report and the financial statements contained herein are submitted for the general information of the shareholders of the Portfolio. 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 Portfolio’s website at wfam.com. Read the prospectus carefully before you invest or send money.

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

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

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

© 2020 Wells Fargo & Company. All rights reserved.

Semi-Annual Report

August 31, 2020

Wells Fargo

Emerging Markets Bond Portfolio

Contents

Portfolio 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	14

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

Wells Fargo Emerging Markets Bond Portfolio  |  1

Portfolio information (unaudited)

Investment objective

The Portfolio seeks to replicate the total return of the JP Morgan EMBI Global Diversified Index before fees and expenses.

Adviser

Wells Fargo Funds Management, LLC

Subadviser

Wells Fargo Asset Management (International) Limited

Portfolio managers

Michael Lee

Alex Perrin

Ten largest holdings (%) as of August 31, 20201
Republic of Panama 4.00%, 9-22-2024	1.72
Qatar Government 4.63%, 6-2-2046	1.66
Republic of South Africa 4.85%, 9-30-2029	1.63
Republic of Peru 6.55%, 3-14-2037	1.57
Qatar Government 4.00%, 3-14-2029	1.30
Republic of Philippines 3.70%, 2-2-2042	1.29
Kingdom of Bahrain 7.00%, 10-12-2028	1.27
Republic of Poland 3.25%, 4-6-2026	1.25
Republic of Panama 4.25%, 5-15-2047	1.25
Federation of Malaysia 3.18%, 4-27-2026	1.23

Portfolio composition as of August 31, 2020²

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—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Yankee Corporate Bonds and Notes: 13.22%
Azerbaijan: 0.58%
State Oil Company of the Azerbaijan Republic (Energy, Oil, Gas & Consumable Fuels)		4.75	%		3-13-2023	$	200,000	$	210,426
Bahrain: 0.61%
Oil & Gas Holding Company (Energy, Oil, Gas & Consumable Fuels)		7.63			11-7-2024		200,000		219,500
Chile: 1.66%
Codelco Incorporated (Materials, Metals & Mining)		4.25			7-17-2042		250,000		283,225
Codelco Incorporated (Materials, Metals & Mining)		4.88			11-4-2044		250,000		313,738
									596,963
China: 1.78%
Sinopec Group Overseas Development (2015) Limited (Energy, Oil, Gas & Consumable Fuels)		3.00			4-12-2022		200,000		206,277
Sinopec Group Overseas Development (2015) Limited (Energy, Oil, Gas & Consumable Fuels)		3.25			4-28-2025		200,000		217,443
State Grid Overseas Investment (2016) Limited (Utilities, Electric Utilities)		2.88			5-18-2026		200,000		217,918
									641,638
Hong Kong: 0.60%
CNAC Hong Kong Finbridge Company Limited (Materials, Chemicals)		4.63			3-14-2023		200,000		214,545
Indonesia: 1.28%
PT Indonesia Asahan Aluminium Persero Tbk (Materials, Metals & Mining)		5.71			11-15-2023		200,000		221,300
PT Pertamina Persero Tbk (Energy, Oil, Gas & Consumable Fuels)		5.63			5-20-2043		200,000		240,000
									461,300
Kazakhstan: 0.70%
KazMunayGas National Company JSC (Energy, Oil, Gas & Consumable Fuels)		5.75			4-19-2047		200,000		250,021
Malaysia: 1.07%
Petronas Capital Limited (Energy, Oil, Gas & Consumable Fuels)		4.50			3-18-2045		300,000		384,909
Mexico: 2.19%
Petroleos Mexicanos Company (Energy, Oil, Gas & Consumable Fuels)		5.63			1-23-2046		250,000		195,000
Petroleos Mexicanos Company (Energy, Oil, Gas & Consumable Fuels) 144A		5.95			1-28-2031		470,000		424,598
Petroleos Mexicanos Company (Energy, Oil, Gas & Consumable Fuels)		6.75			9-21-2047		200,000		166,980
									786,578
Netherlands: 0.80%
MDC-GMTN BV (Financials, Diversified Financial Services)		3.75			4-19-2029		250,000		287,290
Peru: 0.62%
Corporacion Financiera de Desarollo SA (Financials, Diversified Financial Services)		4.75			7-15-2025		200,000		224,302
Saudi Arabia: 0.57%
KSA Sukuk Limited (Financials, Diversified Financial Services)		2.89			4-20-2022		200,000		206,056
United Arab Emirates: 0.68%
Abu Dhabi Crude Oil Pipeline LLC (Energy, Oil, Gas & Consumable Fuels)		4.60			11-2-2047		200,000		243,984
Venezuela: 0.08%
Petroleos de Venezuela SA (Energy, Oil, Gas & Consumable Fuels) †		5.38			4-12-2027		200,000		5,000
Petroleos de Venezuela SA (Energy, Oil, Gas & Consumable Fuels) †		5.38			4-12-2027		350,000		8,750

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

Wells Fargo Emerging Markets Bond Portfolio  |  3

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Venezuela (continued)
Petroleos de Venezuela SA (Energy, Oil, Gas & Consumable Fuels) †		5.50	%		4-12-2037	$	200,000	$	5,000
Petroleos de Venezuela SA (Energy, Oil, Gas & Consumable Fuels) †		9.00			11-17-2021		400,000		10,000
									28,750
Total Yankee Corporate Bonds and Notes (Cost $4,974,139)									4,756,262
Yankee Government Bonds: 83.26%
Abu Dhabi Government		2.50			10-11-2022		200,000		206,967
Abu Dhabi Government		3.13			9-30-2049		200,000		215,000
Abu Dhabi Government		3.88			4-16-2050		200,000		243,421
Arab Republic of Egypt		5.88			6-11-2025		200,000		205,856
Arab Republic of Egypt		6.13			1-31-2022		200,000		205,426
Arab Republic of Egypt		8.50			1-31-2047		250,000		256,205
Arab Republic of Egypt		8.70			3-1-2049		200,000		205,344
China Development Bank		4.00			1-24-2037		350,000		413,361
China Government		1.88			12-3-2022		200,000		205,776
Dominican Republic		5.88			1-30-2060		200,000		191,400
Dominican Republic		5.95			1-25-2027		350,000		375,025
Dominican Republic		6.00			7-19-2028		200,000		215,400
Export-Import Bank of India		4.00			1-14-2023		250,000		263,188
Federation of Malaysia		3.18			4-27-2026		400,000		441,980
Federative Republic of Brazil		2.63			1-5-2023		200,000		206,200
Federative Republic of Brazil		4.50			5-30-2029		200,000		216,500
Federative Republic of Brazil		4.63			1-13-2028		400,000		441,600
Federative Republic of Brazil		5.63			1-7-2041		250,000		280,125
Government of Jamaica		7.88			7-28-2045		300,000		393,600
Islamic Republic of Pakistan		8.25			4-15-2024		350,000		380,905
Kingdom of Bahrain		6.75			9-20-2029		200,000		225,250
Kingdom of Bahrain		7.00			10-12-2028		400,000		455,904
Kingdom of Jordan		5.75			1-31-2027		300,000		308,494
Kingdom of Morocco		4.25			12-11-2022		200,000		210,213
Kuwait Government		3.50			3-20-2027		200,000		226,248
Lebanese Republic †		6.60			11-27-2026		300,000		47,784
Lebanese Republic †		7.05			11-2-2035		200,000		32,000
Lebanese Republic †		8.25			4-12-2021		350,000		62,825
Oman Government		3.88			3-8-2022		300,000		297,024
Oman Government		6.50			3-8-2047		400,000		354,496
Oriental Republic of Uruguay		4.38			10-27-2027		200,000		232,300
Oriental Republic of Uruguay		5.10			6-18-2050		250,000		344,378
Oriental Republic of Uruguay		7.88			1-15-2033		125,000		195,188
Perusahaan Penerbit SBSN Indonesia III		4.55			3-29-2026		200,000		229,822
Perusahaan Penerbit SBSN Indonesia III		4.45			2-20-2029		200,000		233,342
Qatar Government		3.25			6-2-2026		200,000		220,716
Qatar Government		4.00			3-14-2029		400,000		467,795
Qatar Government		4.63			6-2-2046		450,000		597,380
Republic of Angola		8.25			5-9-2028		200,000		169,775
Republic of Angola		9.50			11-12-2025		200,000		184,000
Republic of Argentina †		4.63			1-11-2023		100,000		47,001
Republic of Argentina †		5.63			1-26-2022		350,000		166,250
Republic of Argentina †		7.50			4-22-2026		350,000		159,254
Republic of Argentina †		7.63			4-22-2046		250,000		109,378
Republic of Azerbaijan		3.50			9-1-2032		200,000		204,008
Republic of Belarus		7.63			6-29-2027		200,000		198,248
Republic of Chile		3.50			1-25-2050		200,000		234,502
Republic of Chile		3.86			6-21-2047		150,000		184,650

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

4  |  Wells Fargo Emerging Markets Bond Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Yankee Government Bonds (continued)
Republic of Colombia		3.88	%		4-25-2027	$	200,000	$	217,200
Republic of Colombia		4.50			1-28-2026		200,000		221,500
Republic of Colombia		5.00			6-15-2045		286,000		340,769
Republic of Colombia		7.38			9-18-2037		250,000		356,250
Republic of Costa Rica		7.00			4-4-2044		350,000		319,375
Republic of Cote d’Ivoire		6.13			6-15-2033		200,000		201,500
Republic of Croatia		6.00			1-26-2024		200,000		231,968
Republic of Ecuador		7.95			7-31-2040		350,000		196,000
Republic of Ecuador		7.95			7-31-2040		200,000		112,000
Republic of Ecuador		9.63			7-31-2040		300,000		155,250
Republic of El Salvador		7.65			6-15-2035		347,000		326,701
Republic of Gabon		6.38			12-12-2024		150,000		148,448
Republic of Ghana		7.63			5-16-2029		300,000		286,565
Republic of Ghana		8.63			6-16-2049		200,000		181,750
Republic of Guatemala		4.38			6-5-2027		200,000		217,100
Republic of Hungary		5.38			2-21-2023		270,000		298,074
Republic of Hungary		5.38			3-25-2024		200,000		229,968
Republic of Indonesia		4.10			4-24-2028		300,000		342,360
Republic of Indonesia		5.13			1-15-2045		200,000		258,262
Republic of Indonesia		7.75			1-17-2038		25,000		39,421
Republic of Iraq		5.80			1-15-2028		234,375		219,750
Republic of Kazakhstan		4.88			10-14-2044		300,000		407,800
Republic of Kazakhstan		5.13			7-21-2025		200,000		234,032
Republic of Kenya		6.88			6-24-2024		200,000		205,610
Republic of Kenya		8.25			2-28-2048		200,000		201,000
Republic of Nigeria		7.63			11-21-2025		200,000		211,984
Republic of Nigeria		7.88			2-16-2032		300,000		303,180
Republic of Panama		4.00			9-22-2024		563,000		617,898
Republic of Panama		4.50			5-15-2047		350,000		449,400
Republic of Paraguay		5.00			4-15-2026		250,000		287,500
Republic of Peru		4.13			8-25-2027		100,000		116,500
Republic of Peru		6.55			3-14-2037		365,000		566,480
Republic of Peru		7.35			7-21-2025		100,000		128,550
Republic of Peru		8.75			11-21-2033		25,000		42,488
Republic of Philippines		3.70			2-2-2042		400,000		463,760
Republic of Philippines		4.20			1-21-2024		200,000		221,454
Republic of Philippines		5.50			3-30-2026		150,000		184,034
Republic of Philippines		6.38			1-15-2032		300,000		422,760
Republic of Poland		3.25			4-6-2026		400,000		451,248
Republic of Poland		4.00			1-22-2024		200,000		222,984
Republic of South Africa		4.85			9-30-2029		600,000		584,916
Republic of South Africa		6.25			3-8-2041		200,000		199,000
Republic of Sri Lanka		5.75			1-18-2022		250,000		232,500
Republic of Sri Lanka		6.75			4-18-2028		300,000		243,750
Republic of Turkey		5.60			11-14-2024		200,000		195,162
Republic of Turkey		6.63			2-17-2045		400,000		359,000
Republic of Turkey		7.38			2-5-2025		200,000		207,872
Republic of Turkey		7.63			4-26-2029		200,000		208,200
Republic of Venezuela †		6.00			12-9-2020		225,000		15,750
Republic of Venezuela †		7.00			3-31-2038		200,000		14,000
Republic of Venezuela †		9.00			5-7-2023		1,010,000		70,700
Republic of Zambia		8.50			4-14-2024		200,000		103,787
Romania Government		4.38			8-22-2023		200,000		215,620
Romania Government		4.88			1-22-2024		250,000		274,726
Romania Government		5.13			6-15-2048		200,000		236,829
Russian Federation		4.50			4-4-2022		200,000		209,824

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

Wells Fargo Emerging Markets Bond Portfolio  |  5

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Yankee Government Bonds (continued)
Russian Federation		4.88	%		9-16-2023	$	200,000	$	220,400
Russian Federation		12.75			6-24-2028		250,000		431,028
Russian Federation		5.63			4-4-2042		200,000		271,644
Saudi Government		2.88			3-4-2023		200,000		208,280
Saudi Government		3.63			3-4-2028		200,000		221,656
Saudi Government		4.50			4-17-2030		200,000		238,448
Saudi Government		4.50			10-26-2046		200,000		241,780
Saudi Government		4.63			10-4-2047		200,000		245,284
Trinidad & Tobago Government		4.50			8-4-2026		200,000		205,800
Ukraine Government		7.38			9-25-2032		200,000		202,475
Ukraine Government		7.75			9-1-2023		200,000		212,500
Ukraine Government		7.75			9-1-2025		400,000		421,466
United Mexican States		4.00			10-2-2023		200,000		217,900
United Mexican States		4.50			1-31-2050		200,000		218,450
United Mexican States		4.60			2-10-2048		200,000		219,550
United Mexican States		6.75			9-27-2034		150,000		204,596
Total Yankee Government Bonds (Cost $30,918,400)									29,953,270
	Yield					Shares
Short-Term Investments: 2.27%
Investment Companies: 2.27%
Wells Fargo Government Money Market Fund Select Class (l)(u)		0.06					816,002		816,002
Total Short-Term Investments (Cost $816,002)									816,002

Total investments in securities (Cost $36,708,541)	98.75	%		35,525,534
Other assets and liabilities, net	1.25			450,176
Total net assets	100.00	%	$	35,975,710

144A The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933.

† Non-income-earning security

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

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

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:

	Value, beginning of period		Purchases		Sales proceeds			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	$	922,295	$	6,740,656	($	6,846,949	)	$	0	$	0	$	397	$	816,002		2.27	%

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

6  |  Wells Fargo Emerging Markets Bond Portfolio

Statement of assets and liabilities—August 31, 2020 (unaudited)

Assets
Investments in unaffiliated securities, at value (cost $35,892,539)	$	34,709,532
Investments in affiliated securities, at value (cost $816,002)		816,002
Receivable for interest		496,016
Prepaid expenses and other assets		641
Total assets		36,022,191
Liabilities
Shareholder report expenses payable		16,371
Advisory fee payable		13,175
Professional fees payable		13,917
Trustees’ fees and expenses payable		1,876
Accrued expenses and other liabilities		1,142
Total liabilities		46,481
Total net assets	$	35,975,710

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

Wells Fargo Emerging Markets Bond Portfolio  |  7

Statement of operations—six months ended August 31, 2020 (unaudited)

Investment income
Interest	$	916,696
Income from affiliated securities		397
Total investment income		917,093
Expenses
Advisory fee		45,155
Custody and accounting fees		6,878
Professional fees		27,834
Shareholder report expenses		4,155
Trustees’ fees and expenses		9,898
Other fees and expenses		4,031
Total expenses		97,951
Less: Fee waivers and/or expense reimbursements		(43,511	)
Net expenses		54,440
Net investment income		862,653
Realized and unrealized gains (losses) on investments
Net realized gains on investments		55,207
Net change in unrealized gains (losses) on investments		(949,086	)
Net realized and unrealized gains (losses) on investments		(893,879	)
Net decrease in net assets resulting from operations	$	(31,226	)

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

8  |  Wells Fargo Emerging Markets Bond Portfolio

Statement of changes in net assets

	Six months ended August 31, 2020 (unaudited)			Year ended February 29, 2020
Operations
Net investment income	$	862,653		$	2,165,344
Net realized gains on investments		55,207			332,518
Net change in unrealized gains (losses) on investments		(949,086	)		1,113,039
Net increase (decrease) in net assets resulting from operations		(31,226	)		3,610,901
Capital transactions
Transactions in investors’ beneficial interests
Contributions		4,329,562			5,447,656
Withdrawals		(10,870,314	)		(10,607,041	)
Net decrease in net assets resulting from capital transactions		(6,540,752	)		(5,159,385	)
Total decrease in net assets		(6,571,978	)		(1,548,484	)
Net assets
Beginning of period		42,547,688			44,096,172
End of period	$	35,975,710		$	42,547,688

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

Wells Fargo Emerging Markets Bond Portfolio  |  9

Financial highlights

	Six months ended August 31, 2020 (unaudited)			Year ended February 29, 2020			Year ended February 28
							2019			20181
Total return2		(0.07	)%		8.59	%		2.84	%		0.62	%
Ratios to average net assets (annualized)
Gross expenses		0.54	%		0.51	%		0.44	%		0.44	%
Net expenses		0.30	%		0.35	%		0.40	%		0.43	%
Net investment income		4.78	%		4.95	%		4.70	%		4.19	%
Supplemental data
Portfolio turnover rate		14	%		36	%		38	%		174	%

¹  For the period from May 23, 2017 (commencement of operations) to February 28, 2018

²  Returns for periods of less than one year are not annualized.

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

10  |  Wells Fargo Emerging Markets Bond 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 Markets Bond Portfolio (the “Portfolio”) which is a diversified series of the Trust.

Interests in the Portfolio are available solely through private placement transactions that do not involve any “public offering” within the meaning of Section 4(2) of the Investment Company Act of 1933.

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.

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.

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 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 income, 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 income 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.

Wells Fargo Emerging Markets Bond Portfolio  |  11

Notes to financial statements (unaudited)

As of August 31, 2020, the aggregate cost of all investments for federal income tax purposes was $36,717,230 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	2,492,857
Gross unrealized losses		(3,684,553	)
Net unrealized losses	$	(1,191,696	)

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 August 31, 2020:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Yankee corporate bonds and notes	$	0	$	4,756,262	$	0	$	4,756,262
Yankee government bonds		0		29,953,270		0		29,953,270
Short-term investments
Investment companies		816,002		0		0		816,002
Total assets	$	816,002	$	34,709,532	$	0	$	35,525,534

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

For the six months ended August 31, 2020, 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 & 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 advisory fee at the following annual rate based on the Portfolio’s average daily net assets:

Average daily net assets	Advisory fee
First $5 billion		0.25	%
Next $5 billion		0.23
Over $10 billion		0.21

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Notes to financial statements (unaudited)

For the six months ended August 31, 2020, 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 Fargo Asset Management (International) Limited, an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo, is a subadviser to the Portfolio and is entitled to receive a fee from Funds Management at an annual rate starting at 0.09% and declining to 0.07% as the average daily net assets of the Portfolio increase.

Funds Management has voluntarily waived and/or reimbursed advisory fees to reduce the net operating expenses 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 August 31, 2020 were $12,230,679 and $18,357,586, respectively.

6. BANK BORROWINGS

The Trust, along with Wells Fargo Variable Trust and Wells Fargo Funds Trust (excluding the money market funds), are parties to a $350,000,000 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 August 31, 2020, there were no borrowings by the Portfolio under the agreement.

7. INDEMNIFICATION

Under the Portfolio’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 Portfolio. The Portfolio has entered into a separate agreement with each Trustee that converts indemnification rights currently existing under the Portfolio’s organizational documents into contractual rights that cannot be changed in the future without the consent of the Trustee. Additionally, in the normal course of business, the Portfolio may enter into contracts with service providers that contain a variety of indemnification clauses. The Portfolio’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 on fair value measurements in Topic 820, Fair Value Measurements. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has adopted this guidance which did not have a material impact on the financial statements.

9. CORONAVIRUS (COVID-19) PANDEMIC

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

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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 wfam.com, or visiting the SEC website at sec.gov. Information regarding how the proxies related to portfolio securities were voted during the most recent 12-month period ended June 30 is available on the website at wfam.com or by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS INFORMATION

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

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

Independent Trustees

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

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

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

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Other information (unaudited)

Officers

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

¹  Jeremy DePalma acts as Treasurer of 77 funds and Assistant Treasurer of 65 funds in the Fund Complex.

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

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Other information (unaudited)

BOARD CONSIDERATION OF INVESTMENT MANAGEMENT, ADVISORY AND SUB-ADVISORY AGREEMENTS:

Wells Fargo Emerging Markets Bond Fund, Wells Fargo High Yield Corporate Bond Fund, Wells Fargo International Government Bond Fund, Wells Fargo U.S. Core Bond Fund, Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, Wells Fargo Emerging Markets Bond Portfolio, Wells Fargo Factor Enhanced International Equity Portfolio, Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, Wells Fargo International Government Bond Portfolio, Wells Fargo Investment Grade Corporate Bond Portfolio, Wells Fargo High Yield Corporate Bond Portfolio, Wells Fargo Strategic Retirement Bond Portfolio, and Wells Fargo U.S. REIT Portfolio

Under the Investment Company Act of 1940 (the “1940 Act”), the Board of Trustees (each, a “Board” and collectively, the “Boards”) of each of Wells Fargo Funds Trust (“Funds Trust”) and Wells Fargo Master Trust (“Master Trust”) (collectively, the “Trusts”) must determine annually whether to approve the continuation of the Trusts’ investment management, advisory and sub-advisory agreements, as applicable. In this regard, at a meeting held on May 26, 2020 and May 28, 2020 (together, the “Meeting”), the Board of Funds Trust, all the members of which have no direct or indirect interest in the investment management agreement and are not “interested persons” of the Trusts, as defined in the 1940 Act (the “Independent Trustees”), reviewed and approved for each of the funds of Funds Trust identified in the table below (individually, an “Index Fund” and collectively, the “Index Funds”) an investment management agreement (the “Management Agreement”) with Wells Fargo Funds Management, LLC (“Funds Management”).

Index Funds

Wells Fargo Emerging Markets Bond Fund

Wells Fargo High Yield Corporate Bond Fund

Wells Fargo International Government Bond Fund

Wells Fargo U.S. Core Bond Fund

In addition, the Funds Trust Board reviewed and approved an investment sub-advisory agreement with Wells Capital Management Incorporated (“WellsCap”) for the U.S. Core Bond Fund (the “Core Bond Fund Sub-Advisory Agreement”).

At the Meeting, the Board of Master Trust, all the members of which have no direct or indirect interest in the investment advisory and sub-advisory agreements and are Independent Trustees, reviewed and approved for each of the portfolios of Master Trust identified in the table below (individually, a “Master Portfolio” and collectively, the “Master Portfolios”): (i) an investment advisory agreement (the “Master Portfolio Advisory Agreement”) with Funds Management; and (ii) an investment sub-advisory agreement (each, a “Master Portfolio Sub-Advisory Agreement”, and collectively, the “Master Portfolio Sub-Advisory Agreements”) with the sub-adviser(s) identified in the chart below (each, a “Sub-Adviser”, and collectively, the “Sub-Advisers”) for the corresponding Master Portfolio identified.

Master Portfolios	Sub-Advisers
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio	WellsCap
Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio	WellsCap
Wells Fargo Emerging Markets Bond Portfolio	Wells Fargo Asset Management (International), Limited (“WFAM International”)
Wells Fargo Factor Enhanced International Equity Portfolio	WellsCap
Wells Fargo Factor Enhanced U.S. Large Cap Portfolio	WellsCap
Wells Fargo Factor Enhanced U.S. Small Cap Portfolio	WellsCap
Wells Fargo International Government Bond Portfolio	WFAM International
Wells Fargo Investment Grade Corporate Bond Portfolio	WellsCap
Wells Fargo High Yield Corporate Bond Portfolio	WellsCap
Wells Fargo Strategic Retirement Bond Portfolio	WellsCap
Wells Fargo U.S. REIT Portfolio	WellsCap

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Other information (unaudited)

The Index Funds and the Master Portfolios are collectively referred to as the “Funds.” The Management Agreement, the Core Bond Fund Sub-Advisory Agreement, the Master Portfolio Advisory Agreement and the Master Portfolio Sub-Advisory Agreements are collectively referred to as the “Advisory Agreements.”

The Boards noted that each of the Index Funds is a feeder fund that invests all of its assets in its corresponding Master Portfolio, with the exception of the U.S. Core Bond Fund, which invests in multiple Master Portfolios. Information provided to the Boards regarding the Index Funds is also applicable to the Master Portfolios identified above, as relevant.

At the Meeting, the Boards considered the factors and reached the conclusions described below relating to the selection of Funds Management and the Sub-Advisers and the approval of the Advisory Agreements. Prior to the Meeting, including at a Board meeting held in April 2020, the Trustees conferred extensively among themselves and with representatives of Funds Management about these matters. Also, the Boards have adopted a team-based approach, with each team consisting of a sub-set of Trustees, to assist the full Boards in the discharge of their duties in reviewing investment performance and other matters throughout the year. The Independent Trustees were assisted in their evaluation of the Advisory Agreements by independent legal counsel, from whom they received separate legal advice and with whom they met separately.

In providing information to the Boards, Funds Management and the Sub-Advisers were guided by a detailed set of requests for information submitted to them by independent legal counsel on behalf of the Independent Trustees at the start of the Boards’ annual contract renewal process earlier in 2020. In considering and approving the Advisory Agreements, the Trustees considered the information they believed relevant, including but not limited to the information discussed below. The Boards considered not only the specific information presented in connection with the Meeting, but also the knowledge gained over time through interaction with Funds Management and the Sub-Advisers about various topics. In this regard, the Boards reviewed reports of Funds Management at each of their quarterly meetings, which included, among other things, portfolio reviews and investment performance reports. In addition, the Boards and the teams mentioned above confer with portfolio managers at various times throughout the year. The Boards did not identify any particular information or consideration that was all-important or controlling, and each individual Trustee may have attributed different weights to various factors.

After its deliberations, the Board of Funds Trust unanimously approved the continuation of the Management Agreement and the Core Bond Fund Sub-Advisory Agreement for a one-year period. Additionally, after its deliberations, the Board of Master Trust unanimously approved the continuation of the Master Portfolio Advisory Agreement and each Master Portfolio Sub-Advisory Agreement for a one-year term. The Boards also determined that the compensation or the absence of compensation payable to Funds Management and to each of the Sub-Advisers under each of the Advisory Agreements was reasonable. The Boards considered the approval of the Advisory Agreements for the Funds as part of their consideration of agreements for funds across the complex, but their approvals were made on a fund-by-fund basis. The following summarizes a number of important, but not necessarily all, factors considered by the Boards in support of their approvals.

Nature, extent and quality of services

The Boards received and considered various information regarding the nature, extent and quality of services provided to the Funds by Funds Management and the Sub-Advisers under the Advisory Agreements. This information included a description of the investment advisory services and Fund-level administrative services covered by the Advisory Agreements, as well as, among other things, a summary of the background and experience of senior management of Wells Fargo Asset Management (“WFAM”), of which Funds Management and the Sub-Advisers are a part, and a summary of investments made in the business of WFAM. The Boards also received a description of Funds Management’s and the Sub-Advisers’ business continuity plans and of their approaches to data privacy and cybersecurity, and related testing. The Boards also received and reviewed information about Funds Management’s role as administrator of the Funds’ liquidity risk management program, Funds Management’s approach to risk management, and Funds Management’s intermediary and vendor oversight program.

The Boards also considered the qualifications, background, tenure and responsibilities of each of the portfolio managers primarily responsible for the day-to-day portfolio management of the Funds. The Board of Master Trust noted that each of the Master Portfolios replicates the performance of a proprietary index provided by an affiliate of Funds Management, except that the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Emerging Markets Bond Portfolio, and the Wells Fargo Strategic Retirement Bond Portfolio track the performance of third-party indexes. The Boards evaluated the ability of Funds Management and the Sub-Advisers to attract and retain qualified investment professionals, including research, advisory and supervisory personnel. The Boards further considered the compliance programs and compliance records of Funds Management and the Sub-Advisers. In addition, the Boards took into account the full range of services provided to the Funds by Funds Management and its affiliates.

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Other information (unaudited)

Fund investment performance and expenses

The Boards considered the investment performance results for each of the Master Portfolios for the one-year period ended December 31, 2019. The Boards also considered more current results for the one-year period ended March 31, 2020. The Boards considered these results in comparison to the investment performance of funds in a universe that was determined by Broadridge Inc. (“Broadridge”) to be similar to the respective Master Portfolios (each, a “Universe”), and in comparison to each Master Portfolio’s benchmark index and to other comparative data. Broadridge is an independent provider of investment company data. The Boards received a description of the methodology used by Broadridge to select the mutual funds in each performance Universe.

The Boards noted the short performance history of the Master Portfolios. For the one-year period ended December 31, 2019, the Boards noted that the investment performance of each Master Portfolio relative to its respective Universe was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio and the Wells Fargo Investment Grade Corporate Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective Universe; and (ii) the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo International Government Bond Portfolio, the Wells Fargo Strategic Retirement Bond Portfolio and the Wells Fargo U.S. REIT Portfolio was lower than the average investment performance of such Master Portfolio’s respective Universe. For the one-year period ended March 31, 2020, the Boards noted that the investment performance of each Master Portfolio relative to its respective Universe was as follows: (i) the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo International Government Bond Portfolio, and the Wells Fargo Investment Grade Corporate Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective Universe, and (ii) the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio, the Wells Fargo Strategic Retirement Bond Portfolio and the Wells Fargo U.S. REIT Portfolio was lower than the average investment performance of such Master Portfolio’s respective Universe.

The Boards also noted that the investment performance of each Master Portfolio to its respective benchmark index for the one-year period ended December 31, 2019, was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio, the Wells Fargo U.S. REIT Portfolio and the Wells Fargo Strategic Retirement Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective benchmark, and (ii) the investment performance of each of the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo International Government Bond Portfolio and the Wells Fargo Investment Grade Corporate Bond Portfolio was lower than the average investment performance of such Master Portfolio’s respective benchmark. For the one-year period ended March 31, 2020, the Boards also noted that the investment performance of each Master Portfolio to its respective benchmark index, was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo U.S. REIT Portfolio, the Wells Fargo Investment Grade Corporate Bond Portfolio and the Wells Fargo Strategic Retirement Bond Portfolio was higher than, equal to or in range of the average investment performance of such Master Portfolio’s respective benchmark, and (ii) the investment performance of each of the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio and the Wells Fargo International Government Bond Portfolio was lower than the average investment performance of such Master Portfolio’s respective benchmark.

The Boards received information concerning, and discussed factors contributing to, the underperformance of certain Master Portfolios, relative to the Universe and benchmark index, for the periods identified above. The Board took note of the explanations for the relative underperformance during these periods, including with respect to investment decisions and market factors that affected the Fund’s investment performance.

The Board of Funds Trust took note of the investment performance of the Master Portfolios in the context of reviewing the investment performance of the Index Funds. The Board of Funds Trust also received and considered information regarding the “zero fee and expense” structure of each Index Fund. Specifically, the Funds Trust Board noted that each Index Fund’s gross operating expense ratio and each of its various components, including management fees, administration fees, custody fees,

20  |  Wells Fargo Emerging Markets Bond Portfolio

Other information (unaudited)

Rule 12b-1 fees, and other fees, are zero. The Funds Trust Board also noted that Funds Management assumes and pays or reimburses all of the ordinary operating expenses of each Index Fund, including acquired fund fees and expenses, pursuant to an agreement with each of the Index Funds (the “Fee and Expense Agreement”). The Funds Trust Board further noted that Funds Management receives a fee from Wells Fargo Wealth and Investment Management (“WIM”) pursuant to an intercompany agreement equal to the Master Portfolio fees and expenses absorbed by Funds Management through its Fee and Expense Agreement with each of the Index Funds.

With respect to the Master Portfolios, the Board of Master Trust received and considered information regarding the fee rates that are payable to Funds Management for investment advisory services (as discussed below), which are the only fees charged at the Master Portfolio level, relative to corresponding class-specific expense groups that were determined by Broadridge to be similar to the Funds (the “Groups”). The Boards received a description of the methodology used by Broadridge to select the mutual funds in the expense Groups and an explanation of how funds comprising expense groups and their expense ratios may vary from year-to-year.

The Boards took into account the Funds’ expense information and the Master Portfolios’ performance information provided to them among the factors considered in deciding to re-approve the Advisory Agreements.

Investment management, advisory and sub-advisory fee rates

The Board of Funds Trust reviewed and considered that the contractual investment management fee rate payable by each Index Fund to Funds Management for investment management services zero, and also reviewed and considered that each Fund’s other expenses would normally be zero, because of Funds Management’s commitment to assume and pay or reimburse all of the ordinary operating expenses of each Fund, including acquired fund fees and expenses, under the Fee and Expense Agreement. The Board of Funds Trust also reviewed and considered that the contractual investment sub-advisory fee rate payable by Funds Management to WellsCap for investment sub-advisory services for the U.S. Core Bond Fund is also zero.

The Board of Master Trust reviewed and considered the contractual fee rates payable by the Master Portfolios to Funds Management under the Master Portfolio Advisory Agreement (the “Advisory Agreement Rates”). The Board of Master Trust also reviewed and considered the contractual investment sub-advisory fee rates that are payable by Funds Management to the Sub-Advisers for investment sub-advisory services (the “Sub-Advisory Agreement Rates”).

The Board of Master Trust reviewed a comparison of the Advisory Agreement Rates of each Master Portfolio with those of other funds in each Master Portfolio’s respective expense Groups at a common asset level. The Board of Master Trust noted that the Advisory Agreement Rates of each Master Portfolio were lower than or equal to the median rate for such Master Portfolio’s expense Groups.

The Boards also received and considered information about the portions of the total management fees that were retained by Funds Management after payment of the fees to the Sub-Advisers for sub-advisory services. In assessing the reasonableness of these amounts, the Boards received and evaluated information about the nature and extent of responsibilities retained and risks assumed by Funds Management and not delegated to or assumed by the Sub-Advisers, and about Funds Management’s on-going oversight services. Given the affiliation between Funds Management and the Sub-Advisers, the Boards ascribed limited relevance to the allocation of fees between them.

The Boards also received and considered information about the nature and extent of services offered and fee rates charged by Funds Management and the Sub-Advisers to other types of clients with investment strategies similar to those of certain Funds. In this regard, the Boards received information about the significantly greater scope of services, and compliance, reporting and other legal burdens and risks of managing proprietary mutual funds compared with those associated with managing assets of other types of clients, including third-party sub-advised fund clients and non-mutual fund clients such as institutional separate accounts.

Based on its consideration of the factors and information it deemed relevant, including those described here, the Board of Fund Trust determined that the compensation received by Funds Management from WIM pursuant to the intercompany agreement, and the absence of compensation payable by the Funds to Funds Management pursuant to the Management Agreement or to WellsCap pursuant to the Core Bond Fund Sub-Advisory Agreement, was reasonable. Based on its consideration of the factors and information it deemed relevant, including those described here, the Board of Master Trust determined that the Advisory Agreement Rates and the Sub-Advisory Agreement Rates for each Master Portfolio were reasonable.

Profitability

The Boards received and considered information concerning the profitability of Funds Management, as well as the profitability of both WFAM and Wells Fargo & Co. (“Wells Fargo”) from providing services to the fund family as a whole. The Boards noted that the Sub-Advisers’ profitability information with respect to providing services to the Funds and other funds in the family was subsumed in the WFAM and Wells Fargo profitability analysis.

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Other information (unaudited)

Funds Management reported on the methodologies and estimates used in calculating profitability, including a description of the methodology used to allocate certain expenses. Among other things, the Boards noted that the levels of profitability reported on a fund-by-fund basis varied widely, depending on factors such as the size, type and age of fund.

Based on its review, the Boards did not deem the profits reported by Funds Management, WFAM or Wells Fargo from services provided to the Funds to be at a level that would prevent them from approving the continuation of the Advisory Agreements.

Economies of scale

The Boards received and considered information about the potential for Funds Management to experience economies of scale in the provision of management services to the Funds, the difficulties of calculating economies of scale at an individual fund level, and the extent to which potential scale benefits are shared with shareholders. The Boards noted the existence of breakpoints in the each Master Portfolio’s advisory fee structure and each Index Fund’s management fee structure, which operate generally to reduce the Funds’ expense ratios as the Funds grow in size, and the size of the Funds in relation to such breakpoints. The Boards considered that in addition to management fee breakpoints, Funds Management shares potential economies of scale from its management business in a variety of ways, including through fee waiver and expense reimbursement arrangements, services that benefit shareholders, competitive management fee rates set at the outset without regard to breakpoints, and investments in the business intended to enhance services available to shareholders.

The Boards concluded that Funds Management’s arrangements with respect to the Funds, including contractual breakpoints, constituted a reasonable approach to sharing potential economies of scale with the Funds and their shareholders.

Other benefits to Funds Management and the Sub-Advisers

The Boards received and considered information regarding potential “fall-out” or ancillary benefits received by Funds Management and its affiliates, including WellsCap and WFAM International, as a result of their relationships with the Funds. Ancillary benefits could include, among others, benefits directly attributable to other relationships with the Funds and benefits potentially derived from an increase in Funds Management’s and the Sub-Advisers’ business as a result of their relationships with the Funds. The Boards noted that various affiliates of Funds Management may receive distribution-related fees, shareholder servicing payments and sub-transfer agency fees in respect of shares sold or held through them and services provided.

The Boards also reviewed information about soft dollar credits earned and utilized by the Sub-Advisers, fees earned by Funds Management and WellsCap from managing a private investment vehicle for the fund family’s securities lending collateral, and commissions earned by an affiliated broker from portfolio transactions.

Based on their consideration of the factors and information they deemed relevant, including those described here, the Boards did not find that any ancillary benefits received by Funds Management and its affiliates, including WellsCap and WFAM International, were unreasonable.

Conclusion

At the Meeting, after considering the above-described factors and based on its deliberations and its evaluation of the information described above, the Funds Trust Board unanimously approved the continuation of the Management Agreement and the Core Bond Fund Sub-Advisory Agreement for a one-year period. Additionally, after its deliberations, the Master Trust Board unanimously approved the continuation of the Master Portfolio Advisory Agreement and each Master Portfolio Sub-Advisory Agreement for a one-year term. The Boards also determined that the compensation or the absence of compensation payable to Funds Management and to each of the Sub-Advisers was reasonable.

22  |  Wells Fargo Emerging Markets Bond Portfolio

Other information (unaudited)

LIQUIDITY RISK MANAGEMENT PROGRAM

In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), Wells Fargo Master Trust (the “Trust”) has adopted and implemented a liquidity risk management program (the “Program”) on behalf of each of its series, including each Portfolio, which is reasonably designed to assess and manage the Portfolio’s liquidity risk. “Liquidity risk” is defined as the risk that a Portfolio is unable to meet redemption requests without significantly diluting remaining investors’ interests in the Portfolio. The Trust’s Board of Trustees (the “Board”) previously approved the designation of Wells Fargo Funds Management, LLC (“Funds Management”), each Portfolio’s investment adviser, as the administrator of the Program, and Funds Management has established a Liquidity Risk Management Council composed of personnel from multiple departments within Funds Management and its affiliates to assist Funds Management in the implementation and on-going administration of the Program.

The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Portfolio’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Portfolio’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under the Liquidity Rule); (4) to the extent a Portfolio does not invest primarily in “highly liquid investments” (as defined under the Liquidity Rule), the determination of a minimum percentage of the Portfolio’s assets that generally will be invested in highly liquid investments (an “HLIM”); (5) if a Portfolio has established an HLIM, the periodic review (no less frequently than annually) of the HLIM and the adoption of policies and procedures for responding to a shortfall of the Portfolio’s “highly liquid investments” below its HLIM; and (6) periodic reporting to the Board.

At a meeting of the Board held on May 26 and 28, 2020, the Board received a written report (the “Report”) from Funds Management that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation. The Report covered the initial period from December 1, 2018 through December 31, 2019 (the “Reporting Period”). No significant liquidity events impacting any Portfolio were noted in the Report. There were no material changes to the Program during the Reporting Period. The Report concluded that the Program is operating effectively to assess and manage each Portfolio’s liquidity risk, and that the Program has been and continues to be adequately and effectively implemented to monitor and, as applicable, respond to the Portfolio’s liquidity developments.

Wells Fargo Emerging Markets Bond Portfolio  |  23

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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 Portfolio’s website, or call:

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: wfam.com

Individual investors: 1-800-222-8222

Retail investment professionals: 1-888-877-9275

Institutional investment professionals: 1-866-765-0778

This report and the financial statements contained herein are submitted for the general information of the shareholders of the Portfolio. 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 Portfolio’s website at wfam.com. Read the prospectus carefully before you invest or send money.

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

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

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

© 2020 Wells Fargo & Company. All rights reserved.

Semi-Annual Report

August 31, 2020

Wells Fargo

Factor Enhanced Emerging Markets Equity Portfolio

(formerly Wells Fargo Factor Enhanced Emerging Markets Portfolio)

Contents

Portfolio information	2
Portfolio of investments	3
Financial statements
Statement of assets and liabilities	42
Statement of operations	43
Statement of changes in net assets	44
Financial highlights	45
Notes to financial statements	46
Other information	52

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

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  1

Portfolio information (unaudited)

Investment objective

The Portfolio seeks long-term capital appreciation.

Adviser

Wells Fargo Funds Management, LLC

Subadviser

Wells Capital Management Incorporated

Portfolio managers

Dennis Beinn, CFA^®‡

Harindra de Silva, Ph.D., CFA^®‡

Monisha Jayakumar

Ten largest holdings (%) as of August 31, 20201
Taiwan Semiconductor Manufacturing Company Limited	4.83
Alibaba Group Holding Limited ADR	4.16
Tencent Holdings Limited	3.24
Samsung Electronics Company Limited	3.16
Meituan Dianping	1.60
Reliance Industries Limited	1.08
JD.com Incorporated ADR	1.04
China Construction Bank Class H	0.89
Kweichow Moutai Company Limited Class A	0.80
NetEase Incorporated ADR	0.67

Sector allocation as of August 31, 2020²

Country allocation as of August 31, 2020²

^‡  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.

2  |  Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Common Stocks: 95.25%
Argentina: 0.05%
Telecom Argentina SA ADR (Communication Services, Diversified Telecommunication Services)		16,243	$	109,803
Belgium: 0.01%
Titan Cement International SA (Materials, Construction Materials)		667		9,058
Bermuda: 0.45%
Alibaba Health Information Technology Limited (Health Care, Health Care Technology) †		40,000		96,617
Beijing Enterprises Water Group Limited (Utilities, Water Utilities)		60,667		23,875
Brilliance China Automotive Holdings Limited (Consumer Discretionary, Automobiles)		140,000		125,365
Central European Media Enterprises Limited Class A (Communication Services, Media) †		1,899		8,058
China Gas Holdings Limited (Utilities, Gas Utilities)		34,467		94,504
China Resources Gas Group Limited (Utilities, Gas Utilities)		10,667		50,099
COSCO SHIPPING Ports Limited (Industrials, Transportation Infrastructure)		24,667		13,972
Credicorp Limited (Financials, Banks)		1,174		153,184
GOME Retail Holdings Limited (Consumer Discretionary, Specialty Retail) †		134,000		19,192
Haier Electronics Group Company (Consumer Discretionary, Household Durables)		15,000		51,386
Kunlun Energy Company Limited (Utilities, Gas Utilities)		46,000		34,306
Luye Pharma Group Limited (Health Care, Pharmaceuticals) 144A		38,500		20,864
Nine Dragons Paper Holdings Limited (Materials, Paper & Forest Products)		217,000		240,794
Yuexiu Transport Infrastructure Limited (Industrials, Transportation Infrastructure)		14,000		8,309
				940,525
Brazil: 2.61%
Aliansce Sonae Shopping Centers SA (Real Estate, Real Estate Management & Development) †		1,867		9,004
Ambev SA (Consumer Staples, Beverages)		54,367		122,161
Arezzo Industria e Comercio SA (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		467		4,784
Atacadao Distribuicao Comercio e Industria Limitada (Consumer Staples, Food & Staples Retailing)		5,267		18,795
B2W Companhia Digital (Consumer Discretionary, Internet & Direct Marketing Retail) †		2,312		47,303
B3 Brasil Bolsa Balcao SA (Financials, Capital Markets)		61,000		654,705
Banco BTG Pactual SA (Financials, Capital Markets)		10,300		151,027
Banco do Brasil SA (Financials, Banks)		49,200		293,215
Banco Santander Brasil SA (Financials, Banks)		30,200		155,892
BB Seguridade Participacoes SA (Financials, Insurance)		66,200		318,765
BK Brasil Operacao e Assessoria a Restaurantes SA (Consumer Discretionary, Hotels, Restaurants & Leisure)		2,967		5,957
BR Malls Participacoes SA (Real Estate, Real Estate Management & Development)		13,300		22,529
BRF SA (Consumer Staples, Food Products) †		27,250		97,440
CCR SA (Industrials, Transportation Infrastructure)		19,982		48,619
Centrais Electricas Brasileiras SA (Utilities, Electric Utilities)		4,400		28,519
Cia de Locacao das Americas (Industrials, Road & Rail)		3,734		13,904
Cia Siderurgica Nacional SA (Materials, Metals & Mining)		59,900		166,301
Cielo SA (Information Technology, IT Services)		14,900		12,402
Cogna Educacao (Consumer Discretionary, Diversified Consumer Services)		19,490		20,278
Companhia Brasileira de Distribuicao (Consumer Staples, Food & Staples Retailing)		1,700		19,707
Companhia de Saneamento Basico do Estado de Sao Paulo SA (Utilities, Water Utilities)		14,341		124,995
Companhia de Saneamento de Minas Gerais SA (Utilities, Water Utilities)		820		7,125
Companhia Hering SA (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		1,804		6,023
Construtora Tenda SA (Consumer Discretionary, Household Durables)		1,000		5,602
Cosan SA Industria e Comercio (Energy, Oil, Gas & Consumable Fuels)		6,300		95,733
CPFL Energia SA (Utilities, Electric Utilities)		8,400		44,066
CVC Brasil Operadora e Agencia de Viagens SA (Consumer Discretionary, Hotels, Restaurants & Leisure)		2,088		6,975
Cyrela Brazil Realty SA Empreendimentos e Participacoes (Consumer Discretionary, Household Durables)		3,167		13,937
Duratex SA (Materials, Paper & Forest Products)		3,434		9,973
Ecorodovias Infraestrutura Logistica SA (Industrials, Transportation Infrastructure) †		2,367		5,582
EDP Energias do Brasil SA (Utilities, Electric Utilities)		3,650		12,452

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

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  3

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Brazil (continued)
Embraer SA (Industrials, Aerospace & Defense) †		10,410	$	13,947
Eneva SA (Utilities, Independent Power & Renewable Electricity Producers) †		2,034		18,378
Engie Brasil Energia SA (Utilities, Independent Power & Renewable Electricity Producers)		2,034		15,827
Equatorial Energia SA (Utilities, Electric Utilities)		12,970		54,925
EZTEC Empreendimentos e Participacoes SA (Consumer Discretionary, Household Durables)		1,835		13,009
Fleury SA (Health Care, Health Care Providers & Services)		2,502		11,920
Grendene SA (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		2,907		4,054
Hapvida Participacoes e Investimentos SA (Health Care, Health Care Providers & Services) 144A		2,734		32,303
Hypermarcas SA (Health Care, Pharmaceuticals)		5,212		30,110
Iguatemi Empresa de Shopping Centers SA (Real Estate, Real Estate Management & Development)		994		5,980
IRB-Brasil Resseguros SA (Financials, Insurance)		125,400		163,202
JBS SA (Consumer Staples, Food Products)		37,329		152,900
Klabin SA (Materials, Containers & Packaging)		10,700		50,194
Light SA (Utilities, Electric Utilities) †		2,834		7,827
Linx SA (Information Technology, Software)		2,067		13,424
Localiza Rent A Car SA (Industrials, Road & Rail)		7,160		63,033
Lojas Renner SA (Consumer Discretionary, Multiline Retail)		9,386		74,475
M. Dias Branco SA (Consumer Staples, Food Products)		1,819		11,790
Magazine Luiza SA (Consumer Discretionary, Multiline Retail)		10,200		173,559
Marfrig Global Foods SA (Consumer Staples, Food Products) †		4,934		16,031
Minerva SA (Consumer Staples, Food Products) †		3,500		8,363
MRV Engenharia e Participacoes SA (Consumer Discretionary, Household Durables)		3,134		10,280
Multiplan Empreendimentos Imobiliarios SA (Real Estate, Real Estate Management & Development)		3,500		13,301
Natura & Company Holding SA (Consumer Staples, Personal Products)		8,318		74,913
Neoenergia SA (Utilities, Electric Utilities)		2,900		9,867
Notre Dame Intermedica Participacoes SA (Health Care, Health Care Providers & Services)		6,267		84,765
Odontoprev SA (Health Care, Health Care Providers & Services)		2,621		6,129
Oi SA ADR (Communication Services, Diversified Telecommunication Services) †		73,967		22,952
Omega Geracao SA (Utilities, Independent Power & Renewable Electricity Producers) †		1,000		7,402
Petro Rio SA (Energy, Oil, Gas & Consumable Fuels) †		2,000		15,293
Petrobras Distribuidora SA (Consumer Discretionary, Specialty Retail)		66,400		258,643
Petroleo Brasileiro SA (Energy, Oil, Gas & Consumable Fuels)		27,500		112,038
Porto Seguro SA (Financials, Insurance)		18,368		177,226
Qualicorp SA (Health Care, Health Care Providers & Services)		2,768		15,784
Raia Drogasil SA (Consumer Staples, Food & Staples Retailing)		3,533		69,519
Rumo SA (Industrials, Road & Rail) †		14,067		58,029
Sao Martinho SA (Consumer Staples, Food Products)		2,304		10,165
Sul America SA (Financials, Insurance)		23,300		183,644
Suzano Papel e Celulose SA (Materials, Paper & Forest Products) †		7,352		67,367
Tim Participacoes SA (Communication Services, Wireless Telecommunication Services)		59,100		154,479
Totvs SA (Information Technology, Software)		5,667		29,853
Ultrapar Participacoes SA (Energy, Oil, Gas & Consumable Fuels)		64,796		229,923
Via Varejo SA (Consumer Discretionary, Specialty Retail) †		10,567		39,541
WEG SA (Industrials, Electrical Equipment)		26,933		317,680
YDUQS Part SA (Consumer Discretionary, Diversified Consumer Services)		3,812		18,752
				5,466,566
Chile: 0.50%
Aguas Andinas SA Class A (Utilities, Water Utilities)		48,599		14,564
Antarchile SA (Industrials, Industrial Conglomerates)		1,585		13,147
Banco de Chile (Financials, Banks)		415,453		34,728
Banco de Credito e Inversiones (Financials, Banks)		808		25,461
Banco Santander Chile SA (Financials, Banks)		461,689		17,755
CAP SA (Materials, Metals & Mining) †		1,024		9,088
Cencosud SA (Consumer Staples, Food & Staples Retailing)		52,057		76,998
Cencosud Shopping SA (Real Estate, Real Estate Management & Development)		5,933		8,860

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

4  |  Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Chile (continued)
Cia Sud Americana de Vapores SA (Industrials, Marine) †		202,275	$	5,489
Colbun SA (Utilities, Independent Power & Renewable Electricity Producers)		1,494,196		230,618
Compania Cervecerias Unidas SA (Consumer Staples, Beverages)		1,846		12,135
Empresa Nacional de Telecomunicaciones SA (Communication Services, Wireless Telecommunication Services)		11,934		72,240
Empresas CMPC SA (Materials, Paper & Forest Products)		15,854		32,932
Empresas Copec SA (Energy, Oil, Gas & Consumable Fuels)		6,510		47,735
Enel Americas SA (Utilities, Electric Utilities)		1,271,993		183,022
Enel Chile SA (Utilities, Electric Utilities)		1,509,589		116,109
Engie Energia Chile SA (Utilities, Electric Utilities)		5,379		7,264
Gener SA (Utilities, Independent Power & Renewable Electricity Producers)		32,131		5,227
Grupo Security SA (Financials, Banks)		28,421		5,593
Hortifrut SA (Consumer Staples, Food Products)		4,391		5,145
Inversiones Aguas Metropolitanas SA (Utilities, Water Utilities)		3,918		3,172
Itau CorpBanca SA (Financials, Banks)		2,677,841		8,163
LATAM Airlines Group SA (Industrials, Airlines) †		4,752		8,007
Parque Arauco SA (Real Estate, Real Estate Management & Development)		7,754		12,018
Plaza SA (Real Estate, Real Estate Management & Development)		3,756		5,990
Quinenco SA (Industrials, Industrial Conglomerates)		3,681		5,729
S.A.C.I. Falabella (Consumer Discretionary, Multiline Retail)		15,005		47,283
Sigdo Koppers SA (Industrials, Industrial Conglomerates)		6,228		6,689
SMU SA (Consumer Staples, Food & Staples Retailing)		33,974		5,681
Sociedad Matriz SAAM SA (Industrials, Transportation Infrastructure)		64,705		4,827
Sonda SA (Information Technology, IT Services)		7,719		5,956
Vina Concha y Toro SA (Consumer Staples, Beverages)		7,643		13,261
				1,050,886
China: 37.77%
3SBio Incorporated (Health Care, Biotechnology) 144A†		14,167		16,634
58.com Incorporated ADR (Communication Services, Interactive Media & Services) †		2,945		163,035
A Living Services Company Limited Class H (Industrials, Commercial Services & Supplies)		23,250		119,997
Agile Property Holdings Limited (Real Estate, Real Estate Management & Development)		94,000		129,777
Agricultural Bank of China Limited Class H (Financials, Banks)		859,000		287,065
Aier Eye Hospital Group Company Limited Class A (Health Care, Health Care Providers & Services)		28,400		215,316
Air China Limited Class H (Industrials, Airlines)		104,000		71,658
AK Medical Holdings Limited (Health Care, Health Care Equipment & Supplies)		16,000		40,918
Alibaba Group Holding Limited ADR (Consumer Discretionary, Internet & Direct Marketing Retail) †		30,389		8,722,546
Aluminum Corporation of China Limited Class H (Materials, Metals & Mining) †		29,334		7,191
Angel Yeast Company Limited Class A (Consumer Staples, Food Products)		10,000		101,389
Anhui Conch Cement Company Limited Class A (Materials, Construction Materials)		24,400		216,812
Anhui Conch Cement Company Limited Class H (Materials, Construction Materials)		70,500		511,226
Anhui Gujing Distillery Company Class A (Consumer Staples, Beverages)		1,900		71,612
Anhui Gujing Distillery Company Class B (Consumer Staples, Beverages)		16,913		214,735
ANTA Sports Products Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		15,000		148,157
Apeloa Pharmaceutical Company Class A (Health Care, Biotechnology)		43,300		179,711
Asymchem Laboratories (Tianjin) Company Limited Class A (Health Care, Biotechnology)		6,600		263,815
Autohome Incorporated ADR (Communication Services, Interactive Media & Services)		1,327		106,478
AVIC Aircraft Company Limited Class A (Industrials, Aerospace & Defense)		14,300		50,484
AVIC Electromechanical Systems Company Limited Class A (Industrials, Aerospace & Defense)		68,800		103,680
AVIC Shenyang Aircraft Company Limited Class A (Industrials, Aerospace & Defense)		5,600		48,241
AviChina Industry & Technology Company Limited Class H (Industrials, Aerospace & Defense)		87,000		54,332
BAIC Motor Corporation Limited Class H (Consumer Discretionary, Automobiles) 144A		429,000		205,361
Baidu Incorporated ADR (Communication Services, Interactive Media & Services) †		6,226		775,573
Bank of China Limited Class H (Financials, Banks)		3,007,000		985,495
Bank of Communications Limited Class H (Financials, Banks)		542,000		283,231
Bank of Hangzhou Company Limited Class A (Financials, Banks)		12,200		23,048

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

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  5

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
China (continued)
Bank of Ningbo Company Limited Class A (Financials, Banks)		14,100	$	73,022
Baozun Incorporated ADR (Consumer Discretionary, Internet & Direct Marketing Retail) †		633		26,232
BBMG Corporation Class H (Materials, Construction Materials)		19,334		4,066
Beijing Capital International Airport Company Limited Class H (Industrials, Transportation Infrastructure)		56,000		39,596
Beijing Dabeinong Technology Group Company Limited Class A (Consumer Staples, Food Products)		31,300		51,917
Beijing E-Hualu Information Technology Company Limited Class A (Information Technology, IT Services)		6,120		34,882
Beijing Enlight Media Company Limited Class A (Communication Services, Media)		46,200		109,185
Beijing Kunlun Tech Company Limited Class A (Communication Services, Interactive Media & Services)		30,400		123,511
Beijing Oriental Yuhong Waterproof Technology Company Limited Class A (Materials, Construction Materials)		11,600		101,433
Beijing Shunxin Agriculture Company Limited Class A (Consumer Staples, Beverages)		3,500		38,422
Beijing Sinnet Technology Company Limited Class A (Information Technology, IT Services)		38,300		147,282
Beijing Thunisoft Corporation Limited Class A (Information Technology, Software)		46,600		179,199
Beijing Tiantan Biological Products Corporation Limited Class A (Health Care, Biotechnology)		21,800		134,620
Beijing Yanjing Brewery Company Limited Class A (Consumer Staples, Beverages)		53,100		61,971
Betta Pharmaceuticals Company Limited Class A (Health Care, Biotechnology)		700		13,361
BGI Genomics Company Limited Class A (Health Care, Health Care Equipment & Supplies)		5,900		126,094
Bilibili Incorporated ADR (Communication Services, Entertainment) †		3,349		158,240
BTG Hotels Group Company Limited Class A (Consumer Discretionary, Hotels, Restaurants & Leisure)		43,400		122,005
BYD Company Limited Class A (Consumer Discretionary, Automobiles)		5,200		64,480
BYD Company Limited Class H (Consumer Discretionary, Automobiles)		9,000		89,417
C&S Paper Company Limited Class A (Consumer Staples, Household Products)		21,100		75,476
Centre Testing International Group Company Limited Class A (Industrials, Commercial Services & Supplies)		52,100		207,950
CGN Power Company Limited Class H (Utilities, Independent Power & Renewable Electricity Producers) 144A		677,000		146,752
Chacha Food Company Limited Class A (Consumer Staples, Food Products)		19,700		199,017
Changchun High & New Technology Industry (Group) Incorporated Class A (Health Care, Biotechnology)		2,600		177,359
Changzhou Xingyu Automotive Lighting Systems Company Limited Class A (Consumer Discretionary, Auto Components)		1,900		45,901
Chaozhou Three-Circle Group Company Limited Class A (Information Technology, Electronic Equipment, Instruments & Components)		10,668		43,545
China Aerospace Times Electronics Technology Company Limited Class A (Industrials, Aerospace & Defense)		24,400		27,658
China Aoyuan Group Limited (Real Estate, Real Estate Management & Development)		56,000		64,597
China Cinda Asset Management Company Limited Class H (Financials, Capital Markets)		241,000		46,022
China CITIC Bank Class H (Financials, Banks)		949,351		396,880
China Coal Energy Company Limited Class H (Energy, Oil, Gas & Consumable Fuels)		50,000		12,580
China Communications Construction Company Limited Class H (Industrials, Construction & Engineering)		112,000		62,863
China Communications Services Corporation Limited Class H (Industrials, Construction & Engineering)		430,000		282,406
China Conch Venture Holdings Limited (Industrials, Machinery)		85,000		368,507
China Construction Bank Class H (Financials, Banks)		2,645,000		1,873,636
China Eastern Airlines Company Class H (Industrials, Airlines)		192,000		79,275
China Energy Engineering Corporation Limited Class H (Industrials, Construction & Engineering)		89,582		8,669
China Everbright Bank Company Limited Class A (Financials, Banks)		147,200		82,460
China Everbright Bank Company Limited Class H (Financials, Banks)		76,000		27,261
China Evergrande Group (Real Estate, Real Estate Management & Development)		24,000		56,050
China Feihe Limited (Consumer Staples, Food Products) 144A		34,667		70,227
China Galaxy Securities Company Limited Class H (Financials, Capital Markets)		505,500		304,597
China Hongqiao Group Limited (Materials, Metals & Mining)		142,000		91,611
China Huarong Asset Management Company Limited Class H (Financials, Capital Markets) 144A		84,334		9,685
China International Capital Corporation Limited Class H (Financials, Capital Markets) 144A†		61,200		145,455
China Lesso Group Holdings Limited Class L (Industrials, Building Products)		69,000		128,737
China Life Insurance Company Class H (Financials, Insurance)		210,000		511,574
China Literature Limited (Communication Services, Media) 144A†		12,800		79,523

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

6  |  Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
China (continued)
China Longyuan Power Group Corporation Class H (Utilities, Independent Power & Renewable Electricity Producers)		429,000	$	270,678
China Medical System Holding Limited (Health Care, Pharmaceuticals)		221,000		249,510
China Mengniu Dairy Company Limited (Consumer Staples, Food Products)		30,334		149,122
China Merchants Bank Company Limited Class A (Financials, Banks)		69,800		383,784
China Merchants Bank Company Limited H Shares (Financials, Banks)		135,500		646,887
China Merchants Securities Class H (Financials, Capital Markets) †		4,200		5,419
China Merchants Securities Company Limited Class A (Financials, Capital Markets)		21,700		68,220
China Minsheng Banking Corporation Limited Class A (Financials, Banks)		21,900		17,731
China Minsheng Banking Corporation Limited Class H (Financials, Banks)		254,700		155,117
China Molybdenum Company Limited Class H (Materials, Metals & Mining)		399,000		162,170
China National Accord Medicines Corporation Limited Class A (Health Care, Health Care Providers & Services)		8,900		70,423
China National Building Material Company Limited Class H (Materials, Construction Materials)		280,000		393,796
China National Medicines Corporation Limited Class A (Health Care, Health Care Equipment & Supplies)		20,400		133,415
China Oilfield Services Limited Class H (Energy, Energy Equipment & Services)		294,000		231,021
China Overseas Property Holding Limited (Real Estate, Real Estate Management & Development)		145,000		130,777
China Pacific Insurance Class H (Financials, Insurance)		25,800		71,739
China Petroleum & Chemical Corporation Class H (Energy, Oil, Gas & Consumable Fuels)		392,000		181,074
China Railway Construction Corporation Limited Class H (Industrials, Construction & Engineering)		306,000		235,318
China Railway Group Limited Class H (Industrials, Construction & Engineering)		380,000		195,143
China Railway Signal & Communication Corporation Limited Class H (Information Technology, Electronic Equipment, Instruments & Components) 144A		14,667		5,942
China Reinsurance Group Corporation Class H (Financials, Insurance)		676,000		72,396
China Resources Cement Holdings Limited (Materials, Construction Materials)		282,000		411,164
China Resources Land Limited (Real Estate, Real Estate Management & Development)		58,000		268,290
China Resources Phoenix Healthcare Holdings Company Limited (Health Care, Health Care Providers & Services)		8,500		6,153
China Shenhua Energy Company Limited Class H (Energy, Oil, Gas & Consumable Fuels)		298,500		498,386
China Southern Airlines Company Class H (Industrials, Airlines) †		30,000		15,832
China Spacesat Company Limited Class A (Information Technology, Communications Equipment)		5,700		32,812
China State Construction International Holdings (Industrials, Construction & Engineering)		16,667		12,925
China Telecom Corporation Limited Class H (Communication Services, Diversified Telecommunication Services)		516,000		169,110
China Tourism Group Duty Free Corporation Limited Class A (Consumer Discretionary, Specialty Retail)		7,600		230,612
China Tower Corporation Limited H Shares (Communication Services, Diversified Telecommunication Services) 144A		488,667		93,317
China TransInfo Technology Company Limited Class A (Information Technology, IT Services)		21,400		76,362
China Vanke Company Limited Class H (Real Estate, Real Estate Management & Development)		15,534		48,304
China Yangtze Power Company Limited Class A (Utilities, Independent Power & Renewable Electricity Producers)		118,112		332,550
China Yongda Automobile Service Holding Company (Consumer Discretionary, Specialty Retail)		15,667		18,800
China YuHua Education Corporation Limited (Consumer Discretionary, Diversified Consumer Services) 144A		72,000		69,025
Chinasoft International Limited (Information Technology, IT Services)		23,334		16,589
Chinese Universe Publishing & Media Group Company Limited Class A (Communication Services, Media)		48,400		93,272
Chongqing Brewery Company Limited Class A (Consumer Staples, Beverages)		16,840		223,680
Chongqing Changchun Automobile Class B (Consumer Discretionary, Automobiles) †		10,634		5,680
Chongqing Fuling Zhacai Group Company Limited Class A (Consumer Staples, Food Products)		17,800		132,822
Chongqing Rural Commercial Bank Class H (Financials, Banks)		34,000		13,863
Chongqing Zhifei Biological Products Company Limited Class A (Health Care, Health Care Equipment & Supplies)		11,000		216,877
CIFI Holdings Group Company Limited (Real Estate, Real Estate Management & Development)		90,000		76,643
CITIC Securities Company Limited Class A (Financials, Capital Markets)		18,800		87,215
CITIC Securities Company Limited Class H (Financials, Capital Markets)		32,000		76,881
COFCO Meat Holdings Limited (Consumer Staples, Food Products)		20,667		9,653
Contemporary Amperex Technology Company Limited Class A (Energy, Energy Equipment & Services)		9,000		270,927

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

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  7

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
China (continued)
COSCO SHIPPING Development Company Limited Class H (Industrials, Marine)		22,667	$	2,311
COSCO SHIPPING Energy Transportation Company Limited Class H (Industrials, Marine)		566,000		260,718
COSCO SHIPPING Holdings Company Limited Class H (Industrials, Marine) †		123,750		62,113
Country Garden Holdings Company Limited (Real Estate, Real Estate Management & Development)		199,000		246,754
Country Garden Services Holdings Company Limited (Industrials, Commercial Services & Supplies)		20,000		139,480
CRRC Corporation Limited Class H (Industrials, Machinery)		128,500		58,031
CSC Financial Company Limited Class A (Financials, Capital Markets)		7,600		57,952
CSC Financial Company Limited Class H (Financials, Capital Markets)		6,667		9,910
Da An Gene Company Limited of Sun Yat-Sen University Class A (Health Care, Health Care Equipment & Supplies)		14,100		78,987
Dali Foods Group Company Limited (Consumer Staples, Food Products) 144A		248,500		152,303
Daqin Railway Company Limited Class A (Industrials, Transportation Infrastructure)		115,400		111,447
Datang International Power Generation Company Limited Class H (Utilities, Independent Power & Renewable Electricity Producers)		9,334		1,253
DHC Software Company Limited Class A (Information Technology, Technology Hardware, Storage & Peripherals)		62,700		106,653
Dongfeng Motor Group Company Limited Class H (Consumer Discretionary, Automobiles)		166,000		115,233
Dongxing Securities Company Limited Class A (Financials, Capital Markets)		14,300		27,850
East Money Information Company Limited Class A (Financials, Capital Markets)		11,600		44,269
ENN Energy Holdings Limited (Utilities, Gas Utilities)		14,100		156,460
EVE Energy Company Limited Class A (Energy, Energy Equipment & Services)		9,400		67,208
Everbright Securities Company Limited Class A (Financials, Capital Markets)		22,400		71,630
First Capital Securities Company Limited Class A (Financials, Capital Markets)		28,300		44,381
Focus Media Information Technology Company Limited Class A (Communication Services, Media)		69,500		76,447
Foshan Haitian Flavouring & Food Company Limited Class A (Consumer Staples, Food Products)		12,300		328,727
Founder Securities Company Limited Class A (Financials, Capital Markets)		52,700		67,424
Foxconn Industrial Internet Company Limited Class A (Information Technology, Technology Hardware, Storage & Peripherals)		50,700		109,021
Fu Shou Yuan International Group Limited (Consumer Discretionary, Diversified Consumer Services)		15,000		15,522
Fujian Star-net Communication Company Limited Class A (Communication Services, Wireless Telecommunication Services)		23,800		102,286
Fujian Sunner Development Company Limited Class A (Consumer Staples, Food Products)		40,900		160,383
Fuyao Glass Industry Group Company Limited Class H (Consumer Discretionary, Auto Components)		5,467		17,600
G-bits Network Technology (Xiamen) Company Limited Class A (Information Technology, Software)		3,200		289,073
Ganfeng Lithium Company Limited Class A (Materials, Metals & Mining)		12,000		88,423
GEM Company Limited Class A (Industrials, Commercial Services & Supplies)		21,400		16,921
GF Securities Company Limited Class A (Financials, Capital Markets)		70,100		165,361
GF Securities Company Limited H Shares (Financials, Capital Markets)		176,800		209,189
Giant Network Group Company Limited Class A (Information Technology, Software)		16,600		50,104
GigaDevice Semiconductor (Beijing) Incorporated Class A (Information Technology, Semiconductors & Semiconductor Equipment)		900		26,197
Glodon Company Limited Class A (Information Technology, Software)		11,700		118,932
GoerTek Incorporated Class A (Information Technology, Electronic Equipment, Instruments & Components)		9,600		57,546
Great Wall Motor Company Limited Class H (Consumer Discretionary, Automobiles)		250,500		271,826
Greentown Service Group Company Limited (Industrials, Commercial Services & Supplies)		16,667		22,408
Guangdong Haid Group Company Limited Class A (Consumer Staples, Food Products)		19,700		203,386
Guangdong Hongda Blasting Company Limited Class A (Energy, Oil, Gas & Consumable Fuels)		6,900		54,356
Guangzhou Automobile Group Company Limited Class H (Consumer Discretionary, Automobiles)		120,400		103,464
Guangzhou Baiyun International Airport Company Limited Class A (Industrials, Transportation Infrastructure)		6,900		15,320
Guangzhou Kingmed Diagnostics Group Company Limited Class A (Health Care, Health Care Providers & Services)		8,900		139,807
Guangzhou R&F Properties Company Limited Class H (Real Estate, Real Estate Management & Development)		156,000		198,467
Guangzhou Wondfo Biotech Company Limited Class A (Health Care, Health Care Equipment & Supplies)		12,700		183,048
Guocheng Mining Company Limited Class A (Materials, Metals & Mining) †		24,300		81,321

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

8  |  Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
China (continued)
Guotai Junan Securities Company Limited H Shares (Financials, Capital Markets) 144A		6,667	$	10,409
Haidilao International Holding Limited (Consumer Discretionary, Hotels, Restaurants & Leisure) 144A		9,486		61,198
Hainan Airlines Holding Company Limited Class A (Consumer Discretionary, Airlines) †		58,300		13,948
Haitong Securities Company Limited Class H (Financials, Capital Markets) †		25,734		23,376
Hangzhou Hikvision Digital Technology Company Limited Class A (Information Technology, Technology Hardware, Storage & Peripherals)		19,400		105,904
Hangzhou Robam Appliances Company Limited (Consumer Discretionary, Household Durables)		2,600		14,793
Hangzhou Tigermed Consulting Company Limited Class A (Health Care, Health Care Providers & Services)		4,200		68,623
Hansoh Pharmaceutical Group (Health Care, Pharmaceuticals) †		14,000		66,385
Hefei Meiya Optoelectronic Technology Incorporation Class A (Industrials, Electrical Equipment)		22,709		193,305
Heilongjiang Agriculture Company Limited Class A (Consumer Staples, Food Products)		37,200		109,405
Henan Shuanghui Investment & Development Company Limited Class A (Consumer Staples, Food Products)		27,100		251,043
Hengan International Group Company Limited (Consumer Staples, Personal Products)		40,500		319,289
Hithink RoyalFlush Information Network Company Limited Class A (Information Technology, IT Services)		5,000		122,484
Hongfa Technology Company Limited Class A (Industrials, Machinery)		18,900		128,706
Huaan Securities Company Limited Class A (Financials, Capital Markets)		28,700		37,682
Huagong Tech Company Limited Class A (Information Technology, Electronic Equipment, Instruments & Components)		14,000		49,732
Hualan Biological Engineer Incorporated Class A (Health Care, Biotechnology)		31,200		262,170
Huaneng Power International Incorporated Class H (Utilities, Independent Power & Renewable Electricity Producers)		43,334		18,060
Huatai Securities Company Limited Class H (Financials, Capital Markets) 144A		15,534		27,259
Huaxin Cement Company Limited Class A (Materials, Construction Materials)		34,100		139,090
Huaxin Cement Company Limited Class B (Materials, Construction Materials)		3,534		8,181
Huazhu Group Limited ADR (Consumer Discretionary, Hotels, Restaurants & Leisure)		3,368		150,651
Hubei Kaile Science & Technology Company Limited Class A (Industrials, Transportation Infrastructure)		120,300		234,640
Hunan Valin Steel Company Limited Class A (Materials, Metals & Mining)		106,200		75,450
Hundsun Technologies Incorporated Class A (Information Technology, Software)		10,900		177,204
Industrial & Commercial Bank of China Limited Class H (Financials, Banks)		2,282,000		1,277,887
Industrial Bank Company Limited Class A (Financials, Banks)		17,400		41,020
Inner Mongolia Yili Industrial Group Company Limited Class A (Consumer Staples, Food Products)		3,800		23,250
Inner Mongolia Yitai Coal Company Limited Class B (Energy, Oil, Gas & Consumable Fuels)		360,135		252,095
Innovent Biologics Incorporated (Health Care, Biotechnology) 144A†		12,667		84,417
Inspur Electronic Information Industry Company Limited Class A (Information Technology, Technology Hardware, Storage & Peripherals)		11,400		60,037
Jafron Biomedical Company Limited Class A (Health Care, Health Care Equipment & Supplies)		4,100		45,583
JD.com Incorporated ADR (Consumer Discretionary, Internet & Direct Marketing Retail) †		27,744		2,181,788
Jiangsu Changshu Rural Commercial Bank Company Limited Class A (Financials, Banks)		26,500		32,938
Jiangsu Express Company Limited Class H (Industrials, Transportation Infrastructure)		208,000		208,263
Jiangsu Hengli Hydraulic Company Limited Class A (Industrials, Machinery)		44,100		421,455
Jiangsu Hengrui Medicine Company Limited Class A (Health Care, Pharmaceuticals)		21,300		294,791
Jiangsu King’s Luck Brewery JSC Limited Class A (Consumer Staples, Beverages)		16,000		127,163
Jiangsu Shagang Company Limited Class A (Materials, Metals & Mining)		109,400		189,919
Jiangsu Yanghe Brewery Joint-Stock Company Limited Class A (Consumer Staples, Beverages)		2,000		41,165
Jiangsu Yangnong Chemical Company Limited Class A (Materials, Chemicals)		6,500		86,774
Jiangsu Zhongtian Technology Company Limited Class A (Information Technology, Communications Equipment)		64,800		106,822
Jiangxi Copper Company Limited Class H (Materials, Metals & Mining)		128,000		150,954
Jinxin Fertility Group Limited (Health Care, Health Care Providers & Services) 144A		12,667		17,880
Jinyu Bio-Technology Company Limited Class A (Health Care, Biotechnology)		68,900		289,479
Joincare Pharmaceutical Group Industry Company Limited Class A (Health Care, Pharmaceuticals)		61,400		174,576
Jointown Pharmaceutical Group Company Limited Class A (Health Care, Pharmaceuticals) †		82,763		213,946
Jonjee High-Tech Industrial and Commercial Holding Company Limited Class A (Consumer Staples, Food Products)		13,200		157,134

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

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  9

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
China (continued)
Joyoung Company Limited Class A (Consumer Discretionary, Household Durables)		38,567	$	248,119
JOYY Incorporated ADR (Communication Services, Interactive Media & Services)		732		62,542
Juewei Food Company Limited Class A (Consumer Staples, Food Products)		2,700		37,104
Kaisa Group Holdings Limited (Real Estate, Real Estate Management & Development)		434,000		218,394
Kingdee International Software Group Company Limited (Information Technology, Software)		66,000		168,274
Kingsoft Corporation Limited (Information Technology, Software)		10,000		53,547
Kweichow Moutai Company Limited Class A (Consumer Staples, Beverages)		6,400		1,667,970
Lao Feng Xiang Company Limited Class B (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		1,704		5,107
Laobaixing Pharmacy Chain JSC Class A (Consumer Staples, Food & Staples Retailing)		4,060		52,666
Legend Holdings Corporation H Shares (Information Technology, Technology Hardware, Storage & Peripherals) 144A		5,800		8,546
Lens Technology Company Limited Class A (Information Technology, Technology Hardware, Storage & Peripherals)		18,600		93,668
Leo Group Company Limited Class A (Communication Services, Media)		394,300		176,017
Li Ning Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		38,500		162,938
Liaoning Cheng Da Company Limited Class A (Consumer Discretionary, Distributors)		15,500		59,266
Livzon Pharmaceutical Group Incorporated Class A (Health Care, Pharmaceuticals)		26,100		203,704
Logan Property Holdings Company Limited (Real Estate, Real Estate Management & Development)		82,000		152,781
Lomon Billions Group Company Limited (Materials, Chemicals)		4,800		16,435
Longfor Properties Company Limited (Real Estate, Real Estate Management & Development)		36,000		190,679
LONGi Green Energy Technology Company Limited Class A (Information Technology, Semiconductors & Semiconductor Equipment)		2,200		20,309
Luenmei Quantum Company Limited Class A (Industrials, Construction & Engineering)		38,700		76,442
Luxshare Precision Industry Company Limited Class A (Information Technology, Electronic Equipment, Instruments & Components)		33,100		265,580
Luzhou Laojiao Company Limited Class A (Consumer Staples, Beverages)		2,100		45,800
Mango Excellent Media Company Limited Class A (Consumer Discretionary, Multiline Retail)		20,300		210,261
Meituan Dianping (Consumer Discretionary, Internet & Direct Marketing Retail) †		101,500		3,347,449
Metallurgical Corporation of China Limited Class H (Industrials, Construction & Engineering)		29,000		4,977
Midea Group Company Limited Class A (Consumer Discretionary, Household Durables)		7,101		73,074
Momo Incorporated ADR (Communication Services, Interactive Media & Services)		1,941		39,596
Muyuan Foodstuff Company Limited Class A (Consumer Staples, Food Products)		4,000		51,234
Nanji E-Commerce Company Limited Class A (Communication Services, Interactive Media & Services)		35,800		96,775
Nanjing King-friend Biochemical Pharmaceuticals Company Limited Class A (Health Care, Biotechnology)		9,800		70,353
Nanyang Topsec Technologies Group Incorporated Class A (Industrials, Electronic Equipment, Instruments & Components) †		29,500		93,990
Nari Technology Company Limited (Industrials, Electrical Equipment)		18,600		60,781
NetEase Incorporated ADR (Communication Services, Entertainment)		2,867		1,396,831
New China Life Insurance Company Limited Class H (Financials, Insurance)		8,734		34,879
New Hope Liuhe Company Limited Class A (Consumer Staples, Food Products)		7,700		42,685
New Oriental Education & Technology Group Incorporated ADR (Consumer Discretionary, Diversified Consumer Services) †		2,061		302,204
Newland Digital Technology Company Limited Class A (Information Technology, Technology Hardware, Storage & Peripherals)		16,300		41,209
Nexteer Automotive Group Limited (Consumer Discretionary, Auto Components)		11,000		7,168
Ningbo Joyson Electronic Corporation Class A (Consumer Discretionary, Auto Components)		52,200		174,843
Ningbo Tuopu Group Company Limited Class A (Consumer Discretionary, Auto Components)		14,500		87,954
Northeast Securities Company Limited Class A (Financials, Capital Markets)		37,300		58,332
Offcn Education Technology Company Limited Class A (Consumer Discretionary, Diversified Consumer Services)		22,900		119,297
OFILM Group Company Limited Class A (Information Technology, Electronic Equipment, Instruments & Components)		34,500		95,173
Orient Securities Company Limited of China Class H (Financials, Diversified Financial Services)		4,667		2,951
People’s Insurance Company Group of China Limited Class H (Financials, Insurance)		479,000		156,366
Perfect World Company Limited Class A (Information Technology, Software)		36,000		192,268
PetroChina Company Limited Class H (Energy, Oil, Gas & Consumable Fuels)		274,898		95,059
PICC Property & Casualty Company Limited Class H (Financials, Insurance)		272,000		210,224

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

10  |  Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
China (continued)
Pinduoduo Incorporated ADR (Consumer Discretionary, Internet & Direct Marketing Retail) †		6,012	$	534,707
Ping An Bank Company Limited Class A (Financials, Banks)		37,200		81,837
Ping An Healthcare and Technology Company Limited (Health Care, Health Care Technology) 144A†		4,900		71,443
Ping An Insurance (Group) Company of China Limited Class A (Financials, Insurance)		26,700		298,441
Ping An Insurance Group Company Class H (Financials, Insurance)		129,500		1,379,348
Poly Property Services Company Limited (Real Estate, Real Estate Management & Development)		1,800		15,758
Postal Savings Bank of China Company Limited Class H (Financials, Banks)		931,000		440,862
S.F. Holding Company Limited Class A (Industrials, Air Freight & Logistics)		18,000		223,464
Sanan Optoelectronics Company Limited Class A (Information Technology, Semiconductors & Semiconductor Equipment)		47,900		189,649
Sangfor Technologies Incorporated Class A (Information Technology, IT Services)		2,100		67,392
Sansteel Minguang Company Limited Class A (Materials, Metals & Mining)		122,805		124,511
Sany Heavy Industry Company Limited Class A (Industrials, Machinery)		38,200		123,380
SDIC Power Holdings Company Limited Class A (Utilities, Independent Power & Renewable Electricity Producers)		31,600		41,766
Seazen Group Limited (Real Estate, Real Estate Management & Development)		87,000		78,915
Semiconductor Manufacturing International Corporation (Information Technology, Semiconductors & Semiconductor Equipment) †		31,834		102,277
SG Micro Corporation Class A (Information Technology, Semiconductors & Semiconductor Equipment)		3,200		133,115
Shandong Buchang Pharmaceuticals Company Limited Class A (Health Care, Biotechnology)		35,200		142,550
Shandong Gold Mining Company Limited Class H (Materials, Metals & Mining) 144A		4,750		13,361
Shandong Hualu Hengsheng Chemical Company Limited Class A (Materials, Chemicals)		62,807		246,288
Shandong Linglong Tyre Company Limited Class A (Consumer Discretionary, Auto Components)		14,800		51,623
Shandong Sinocera Functional Material Company Limited Class A (Materials, Chemicals)		19,100		114,492
Shandong Sun Paper Industry Joint Stock Company Limited Class A (Materials, Paper & Forest Products)		35,800		72,908
Shandong Weigao Group Medical Polymer Company Limited Class H (Health Care, Health Care Equipment & Supplies)		26,667		62,279
Shanghai Baosight Software Company Limited Class A (Information Technology, IT Services)		20,700		209,935
Shanghai Baosight Software Company Limited Class B (Information Technology, Software)		4,100		14,006
Shanghai Electric Group Company Limited Class H (Industrials, Electrical Equipment) †		96,000		28,242
Shanghai Fosun Pharmaceutical Company Limited Class H (Health Care, Pharmaceuticals)		6,667		28,173
Shanghai Jahwa United Company Limited Class A (Consumer Staples, Personal Products)		14,800		89,731
Shanghai Jinjiang International Hotels Company Limited Class A (Consumer Discretionary, Hotels, Restaurants & Leisure)		18,400		111,665
Shanghai Lujiazui Finance & Trade Zone Development Company Limited (Real Estate, Real Estate Management & Development)		94,470		81,150
Shanghai M&G Stationery Incorporated Class A (Consumer Discretionary, Specialty Retail)		4,300		43,597
Shanghai Pharmaceuticals Holding Company Limited Class A (Health Care, Health Care Equipment & Supplies)		10,000		32,386
Shanghai Pharmaceuticals Holding Company Limited Class H (Health Care, Health Care Providers & Services)		8,534		15,218
Shanghai Pudong Development Bank Company Limited Class A (Financials, Banks)		36,000		54,409
Shanghai Putailai New Energy Technology Company Limited Class A (Materials, Chemicals)		1,100		15,893
Shanghai RAAS Blood Products Company Limited Class A (Health Care, Biotechnology)		26,100		34,230
Shanxi Taigang Stainless Steel Company Limited Class A (Materials, Metals & Mining)		61,700		32,944
Shanxi Xinghuacun Fen Wine Factory Company Limited Class A (Consumer Staples, Beverages)		6,800		195,643
Shenergy Company Limited Class A (Utilities, Independent Power & Renewable Electricity Producers)		85,600		71,554
Shennan Circuit Company Limited Class A (Information Technology, Electronic Equipment, Instruments & Components)		2,100		42,476
Shenwan Hongyuan Group Company Limited Class H (Financials, Capital Markets)		16,100		13,247
Shenzhen Expressway Company Limited (Industrials, Transportation Infrastructure)		378,000		342,386
Shenzhen International Holdings Limited Class H (Industrials, Transportation Infrastructure)		105,000		168,538
Shenzhen Kangtai Biological Products Company Limited Class A (Health Care, Biotechnology)		8,100		233,967
Shenzhen Kingdom Sci-tech Company Limited Class A (Information Technology, Software)		9,800		28,736
Shenzhen Mindray Bio-Medical Electronics Company Limited Class A (Health Care, Biotechnology)		2,200		109,907
Shenzhen Salubris Pharmaceuticals Company Limited Class A (Health Care, Pharmaceuticals)		11,100		61,064

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

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  11

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
China (continued)
Shenzhen Sunway Communication Company Limited Class A (Communication Services, Diversified Telecommunication Services)		3,900	$	35,286
Shijiazhuang Yiling Pharmaceutical Company Limited Class A (Health Care, Pharmaceuticals)		26,500		110,488
Shui On Land Limited (Financials, Real Estate Management & Development)		542,500		74,198
Sichuan Swellfun Company Limited Class A (Consumer Staples, Beverages)		7,400		82,142
Sinolink Securities Company Limited Class A (Financials, Capital Markets)		51,000		115,767
Sinopec Engineering Group Class H (Industrials, Construction & Engineering)		347,000		154,019
Sinopec Shanghai Petrochemical Company Limited H Shares (Materials, Chemicals)		1,522,000		314,211
Sinopharm Group Company Limited Class H (Health Care, Health Care Providers & Services)		85,200		209,751
Sinotrans Limited Class H (Industrials, Air Freight & Logistics)		28,667		6,806
SOHO China Limited (Financials, Real Estate Management & Development) †		79,500		24,516
Songcheng Performance Development Company Limited Class A (Communication Services, Entertainment)		58,300		152,069
Southern Copper Corporation (Materials, Metals & Mining)		478		22,992
Spring Airlines Company Limited Class A (Industrials, Airlines)		7,300		46,985
Sunac China Holdings Limited (Financials, Real Estate Management & Development)		53,000		222,936
Sunny Optical Technology Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		14,500		214,969
Suofeiya Home Collection Company Limited Class A (Consumer Discretionary, Household Durables)		22,500		87,311
Suzhou Dongshan Precision Manufacturing Company Limited Class A (Industrials, Building Products)		28,400		115,136
TAL Education Group ADR (Consumer Discretionary, Diversified Consumer Services) †		7,885		581,992
Tangshan Jidong Cement Company Limited Class A (Materials, Construction Materials)		28,500		74,505
TCL Technology Group Corporation Class A (Communication Services, Diversified Telecommunication Services)		72,200		74,572
Tencent Holdings Limited (Communication Services, Interactive Media & Services)		99,100		6,783,380
Tencent Music Entertainment ADR (Communication Services, Entertainment) †		4,452		69,585
The Pacific Securities Company Limited of China Class A (Financials, Capital Markets) †		38,500		23,870
Thunder Software Technology Company Limited Class A (Industrials, Commercial Services & Supplies)		13,200		177,161
Tianjin Chase Sun Pharmaceutical Company Limited Class A (Health Care, Pharmaceuticals)		47,500		39,290
Tianjin Zhonghuan Semiconductor Company Limited Class A (Information Technology, Semiconductors & Semiconductor Equipment)		6,900		21,813
Tingyi Holding Corporation (Consumer Staples, Food Products)		62,000		116,477
Tong Ren Tang Technologies Company Limited H Shares (Health Care, Pharmaceuticals)		8,667		6,710
Tongcheng-Elong Holdings Limited (Communication Services, Interactive Media & Services) †		9,200		18,043
Tonghua Dongbao Pharmaceutical Company Limited Class A (Health Care, Pharmaceuticals)		30,900		64,146
Tongkun Group Company Limited Class A (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		38,000		89,418
Topchoice Medical Cororation Class A (Health Care, Health Care Providers & Services) †		5,000		165,060
Travelsky Technology Limited Class H (Information Technology, IT Services)		29,000		60,318
Trip.com Group Limited ADR (Consumer Discretionary, Internet & Direct Marketing Retail) †		7,478		226,135
Tsingtao Brewery Company Limited Class H (Consumer Staples, Beverages)		10,300		131,267
Tsingtao Brewery Company Limited Class H (Consumer Staples, Beverages)		10,000		91,094
Uni-President China Holdings Limited (Consumer Staples, Food Products)		16,667		15,183
Universal Scientific Industrial (Shanghai) Company Limited Class A (Information Technology, Electronic Equipment, Instruments & Components)		19,200		65,514
Venustech Group Incorporated Class A (Information Technology, Software)		13,500		75,114
Vipshop Holdings Limited ADR (Consumer Discretionary, Internet & Direct Marketing Retail) †		14,465		238,817
Walvax Biotechnology Company Limited Class A (Health Care, Biotechnology) †		9,000		83,372
Wanhua Chemical Group Company Limited Class A (Materials, Chemicals)		10,300		110,125
Want Want China Holdings Limited (Consumer Staples, Food Products)		281,000		192,888
Weibo Corporation ADR (Communication Services, Interactive Media & Services) †		1,355		50,542
Weichai Power Company Limited Class H (Consumer Discretionary, Auto Components)		16,900		36,538
Weichai Power Company Limited Class H (Industrials, Machinery)		155,000		313,192
Weifu High-Technology Group Company Limited Class A (Consumer Discretionary, Auto Components)		20,100		73,072
Weihai Guangwei Composites Company Limited Class A (Materials, Chemicals)		12,300		139,960
Winning Health Technology Group Company Limited Class A (Information Technology, Software)		10,300		31,855
Wonders Information Company Limited Class A (Information Technology, Software) †		6,900		26,725

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

12  |  Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
China (continued)
Wuhan Guide Infrared Company Limited Class A (Information Technology, Electronic Equipment, Instruments & Components)		2,800	$	15,673
Wuhu Sanqi Interactive Entertainment Network Technology Group Company Limited Class A (Consumer Discretionary, Auto Components)		54,500		362,469
Wuhu Token Science Company Limited Class A (Information Technology, Electronic Equipment, Instruments & Components)		115,100		197,968
Wuliangye Yibin Company Limited Class A (Consumer Staples, Beverages)		16,600		581,199
WUS Printed Circuit (Kunshan) Company Limited Class A (Information Technology, Electronic Equipment, Instruments & Components)		18,800		57,704
WuXi AppTec Company Limited (Health Care, Life Sciences Tools & Services) 144A		11,380		168,566
WuXi AppTec Company Limited Class H (Health Care, Pharmaceuticals)		9,200		147,513
WuXi Biologics Cayman Incorporated (Health Care, Life Sciences Tools & Services) 144A†		4,500		116,939
Wuxi Taiji Industry Company Limited Class A (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		55,600		91,331
Xiamen Intretech Incorporated Class A (Information Technology, Electrical Equipment)		2,500		21,481
Xiaomi Corporation Class B (Information Technology, Technology Hardware, Storage & Peripherals) 144A†		96,400		292,302
Xinyi Solar Holdings Limited (Information Technology, Semiconductors & Semiconductor Equipment)		106,000		133,898
Yantai Changyu Pioneer Wine Company Limited Class B (Consumer Staples, Beverages)		3,734		7,420
Yanzhou Coal Mining Company Limited Class A (Energy, Oil, Gas & Consumable Fuels)		116,600		157,853
Yanzhou Coal Mining Company Limited H Shares (Energy, Oil, Gas & Consumable Fuels)		810,000		623,945
Yealink Network Technology Company Limited Class A (Information Technology, Technology Hardware, Storage & Peripherals)		2,900		23,840
Yifan Pharmaceutical Company Limited Class A (Health Care, Biotechnology)		25,900		113,276
Yifeng Pharmacy Chain Company Limited Class A (Consumer Staples, Food & Staples Retailing)		15,500		227,928
Yihai International Holding (Consumer Staples, Food Products)		9,000		141,442
Yonyou Network Technology Company Limited Class A (Information Technology, Software)		21,400		130,839
Yum China Holdings Incorporated (Consumer Discretionary, Hotels, Restaurants & Leisure)		3,262		188,250
Yuzhou Properties Company (Real Estate, Real Estate Management & Development)		363,000		169,552
Zhaojin Mining Industry Company Limited H Shares (Materials, Metals & Mining)		9,667		10,827
Zhejiang Chint Electrics Company Limited Class A (Industrials, Electrical Equipment)		9,600		48,274
Zhejiang Dahua Technology Company Limited Class A (Information Technology, Electronic Equipment, Instruments & Components)		15,600		52,024
Zhejiang Expressway Company Limited H Shares (Industrials, Transportation Infrastructure)		118,000		79,629
Zhejiang Huahai Pharmaceutical Company Limited Class A (Health Care, Pharmaceuticals)		7,500		47,999
Zhejiang Jingsheng Mechanical & Electrical Company Limited Class A (Information Technology, Electrical Equipment)		12,300		46,761
Zhejiang Juhua Company Limited Class A (Materials, Chemicals)		103,800		105,999
Zhejiang Sanhua Intelligent Controls Company Limited Class A (Industrials, Machinery)		61,200		201,774
Zhejiang Wolwo Bio-Pharmaceutical Company Limited Class A (Health Care, Biotechnology)		6,100		53,180
Zhengzhou Yutong Bus Company Limited Class A (Industrials, Machinery)		32,300		66,958
Zhenro Properties Group Limited (Real Estate, Real Estate Management & Development)		28,000		16,366
ZhongAn Online P & C Insurance Company Limited (Financials, Insurance) 144A†		3,500		23,054
Zhongsheng Group Holdings Limited (Consumer Discretionary, Specialty Retail)		51,000		318,495
Zhuzhou CSR Times Electric Company Limited Class H (Industrials, Electrical Equipment)		5,000		16,064
Zijin Mining Group Company Limited Class A (Materials, Metals & Mining)		75,200		78,877
Zijin Mining Group Company Limited Class H (Materials, Metals & Mining)		390,000		266,200
Zoomlion Heavy Industry Science & Technology Company Limited Class A (Industrials, Machinery)		53,100		65,999
Zoomlion Heavy Industry Science and Technology Company Limited Class H (Industrials, Machinery) †		158,400		158,600
ZTE Corporation Class A (Information Technology, Communications Equipment)		4,300		24,465
ZTE Corporation H Shares (Information Technology, Communications Equipment)		73,800		214,729
ZTO Express (Cayman) Incorporated ADR (Industrials, Air Freight & Logistics)		11,555		387,439
				79,149,676
Colombia: 0.09%
Banco de Bogota SA (Financials, Banks)		716		13,206
Cementos Argos SA (Materials, Construction Materials)		6,963		9,306
Corporacion Financiera Colombiana SA (Financials, Diversified Financial Services)		1,391		10,076

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

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  13

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Colombia (continued)
Ecopetrol SA (Energy, Oil, Gas & Consumable Fuels)		75,544	$	44,224
Grupo Argos SA (Materials, Construction Materials)		4,467		14,233
Grupo Bolivar SA (Financials, Banks)		296		5,151
Grupo de Inversiones Suramericana SA (Financials, Diversified Financial Services)		3,432		19,265
Grupo Energia Bogota SA (Utilities, Gas Utilities)		33,455		21,999
Grupo Nutresa SA (Consumer Staples, Food Products)		3,703		21,777
Interconexion Electrica SA (Utilities, Electric Utilities)		5,412		30,293
Promigas SA (Utilities, Gas Utilities)		3,569		6,688
				196,218
Czech Republic: 0.13%
CEZ AS (Utilities, Electric Utilities)		2,852		58,760
Komercni Banka AS (Financials, Banks) †		2,441		58,776
Moneta Money Bank (Financials, Banks) 144A		55,044		138,791
O2 Czech Republic AS (Communication Services, Diversified Telecommunication Services)		1,903		19,150
				275,477
Egypt: 0.11%
Commercial International Bank ADR (Financials, Banks)		54,372		233,256
Greece: 0.23%
Alpha Bank AE (Financials, Banks) †		22,105		14,630
FF Group (Consumer Discretionary, Specialty Retail) †(a)		3,820		0
Hellenic Petroleum SA (Energy, Oil, Gas & Consumable Fuels)		1,951		11,897
Hellenic Telecommunications Organization SA (Communication Services, Diversified Telecommunication Services)		14,122		230,879
Jumbo SA (Consumer Discretionary, Specialty Retail)		2,020		35,074
LAMDA Development SA (Real Estate, Real Estate Management & Development) †		1,110		7,484
Motor Oil (Hellas) Corinth Refineries SA (Energy, Oil, Gas & Consumable Fuels)		7,510		105,304
Mytilineos Holdings SA (Industrials, Industrial Conglomerates)		1,421		13,379
National Bank of Greece SA (Financials, Banks) †		8,045		10,949
OPAP SA (Consumer Discretionary, Hotels, Restaurants & Leisure)		3,709		33,993
Piraeus Bank SA (Financials, Banks) †		5,155		7,425
Public Power Corporation SA (Utilities, Electric Utilities) †		1,519		7,265
Terna Energy SA (Utilities, Independent Power & Renewable Electricity Producers)		556		7,869
				486,148
Hong Kong: 3.27%
Bosideng International Holdings Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		8,000		2,292
BYD Electronic International Company Limited (Information Technology, Communications Equipment)		35,000		148,351
China Everbright Limited (Financials, Capital Markets)		166,000		255,741
China Insurance International Holdings Company Limited (Financials, Insurance)		14,400		22,891
China Jinmao Holdings Group Limited (Real Estate, Real Estate Management & Development)		120,000		75,095
China Merchants Port Holdings Company Limited (Industrials, Transportation Infrastructure)		80,000		91,559
China Mobile Limited (Communication Services, Wireless Telecommunication Services)		168,000		1,173,802
China Overseas Grand Oceans Group Limited (Real Estate, Real Estate Management & Development)		18,667		12,163
China Overseas Land & Investment Limited (Real Estate, Real Estate Management & Development)		100,000		289,670
China Power International Development Limited (Utilities, Independent Power & Renewable Electricity Producers)		497,000		96,191
China Resources Beer Holdings Company Limited (Consumer Staples, Beverages)		20,000		130,061
China Resources Pharmaceutical Group Limited (Health Care, Pharmaceuticals)		23,167		13,123
China Resources Power Holdings Company (Utilities, Independent Power & Renewable Electricity Producers)		174,000		206,550
China Traditional Chinese Medicine Holdings Company Limited (Health Care, Pharmaceuticals)		384,000		164,001
China Unicom Hong Kong Limited (Communication Services, Diversified Telecommunication Services)		74,000		52,419
CITIC Pacific Limited (Industrials, Industrial Conglomerates)		74,000		67,505

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

14  |  Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Hong Kong (continued)
CNOOC Limited (Energy, Oil, Gas & Consumable Fuels)		181,000	$	205,984
CSPC Pharmaceutical Group Limited (Health Care, Pharmaceuticals)		118,000		262,182
Far East Horizon Limited (Financials, Diversified Financial Services)		258,000		228,366
Fosun International (Industrials, Industrial Conglomerates)		120,000		133,622
Geely Automobile Holdings Limited (Consumer Discretionary, Automobiles)		114,000		240,938
Guangdong Investment Limited (Utilities, Water Utilities)		33,334		52,043
Haitian International Holdings Limited (Industrials, Machinery)		61,000		147,656
Hutchison China MediTech Limited ADR (Health Care, Pharmaceuticals) †		1,614		53,617
Kingboard Chemicals Holdings Limited (Information Technology, Electronic Equipment, Instruments & Components)		93,000		299,392
Kingboard Laminates Holdings Limited (Information Technology, Electronic Equipment, Instruments & Components)		345,500		435,542
KWG Property Holding Limited (Real Estate, Real Estate Management & Development)		161,500		307,155
Lee & Man Paper Manufacturing Limited (Materials, Paper & Forest Products)		274,000		164,042
Lenovo Group Limited (Information Technology, Technology Hardware, Storage & Peripherals)		76,667		51,242
MMG Limited (Materials, Metals & Mining) †		20,000		5,342
Poly Property Group Company Limited (Real Estate, Real Estate Management & Development)		23,334		7,346
Shanghai Industrial Holdings Limited (Industrials, Industrial Conglomerates)		132,000		198,250
Shenzhen Investment Limited (Real Estate, Real Estate Management & Development)		364,000		123,522
Shenzhou International Group Holdings Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		200		3,226
Shimao Property Holding Limited (Real Estate, Real Estate Management & Development)		48,000		216,149
Shougang Fushan Resources Group Limited (Materials, Metals & Mining)		39,334		8,932
Sino Biopharmaceutical Limited Sino Biopharmaceutical(Health Care, Pharmaceuticals)		168,500		194,585
Sino-Ocean Land Holdings Limited (Real Estate, Real Estate Management & Development)		265,000		61,205
Sinotruk Hong Kong Limited (Industrials, Machinery)		82,500		214,494
Sun Art Retail Group Limited (Consumer Staples, Food & Staples Retailing)		225,000		293,218
Topsports International Holdings Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods) 144A		12,334		15,262
Universal Medical Financial & Technical Advisory Services Company Limited (Health Care, Health Care Providers & Services) 144A		6,834		4,762
Vinda International Holdings Limited (Consumer Staples, Household Products)		33,000		112,836
Yuexiu Property Company Limited (Real Estate, Real Estate Management & Development)		64,667		12,349
				6,854,673
Hungary: 0.34%
Magyar Telekom Telecommunications plc (Communication Services, Diversified Telecommunication Services)		18,251		22,419
MOL Hungarian Oil & Gas plc (Energy, Oil, Gas & Consumable Fuels) †		15,803		88,893
OTP Bank plc (Financials, Banks) †		8,989		302,901
Richter Gedeon (Health Care, Pharmaceuticals)		12,105		295,362
				709,575
India: 10.14%
3M India Limited (Industrials, Industrial Conglomerates) †		35		9,636
Aarti Industries Limited (Materials, Chemicals)		2,148		30,574
Aavas Financiers Limited (Financials, Thrifts & Mortgage Finance) †		466		8,882
ABB India Limited (Industrials, Electrical Equipment)		716		9,248
ACC Limited (Materials, Construction Materials)		1,059		19,017
Adani Enterprises Limited (Industrials, Trading Companies & Distributors)		4,658		17,690
Adani Gas Limited (Utilities, Gas Utilities)		3,732		8,607
Adani Green Energy Limited (Utilities, Independent Power & Renewable Electricity Producers) †		5,455		33,553
Adani Ports & Special Economic Zone Limited (Industrials, Transportation Infrastructure)		11,176		54,014
Adani Power Limited (Utilities, Independent Power & Renewable Electricity Producers) †		14,141		7,156
Adani Transmissions Limited (Utilities, Electric Utilities) †		5,180		17,826
Aditya Birla Capital Limited (Financials, Diversified Financial Services) †		10,327		8,593

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

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  15

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
India (continued)
Aditya Birla Fashion & Retail Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods) †		4,769	$	9,064
Aegis Logistics Limited (Energy, Oil, Gas & Consumable Fuels)		3,068		8,857
Aia Engineering Limited (Industrials, Machinery)		403		9,864
Ajanta Pharma Limited (Health Care, Pharmaceuticals)		362		7,301
Alembic Pharmaceuticals Limited (Health Care, Pharmaceuticals)		766		9,804
Alkem Laboratories Limited (Health Care, Pharmaceuticals)		772		28,556
Amara Raja Batteries Limited (Industrials, Electrical Equipment)		782		7,734
Ambuja Cements Limited (Materials, Construction Materials)		9,559		27,343
Apollo Hospitals Enterprise Limited (Health Care, Health Care Providers & Services)		1,259		27,958
Apollo Tyres Limited (Consumer Discretionary, Auto Components)		4,959		8,324
Ashok Leyland Limited (Industrials, Machinery)		21,977		20,198
Asian Paints Limited (Materials, Chemicals)		10,873		280,527
Astral Poly Technik Limited (Industrials, Building Products)		745		11,357
Atul Limited (Materials, Chemicals)		241		18,926
AU Small Finance Bank Limited (Financials, Banks) 144A†		2,728		24,757
Aurobindo Pharma Limited (Health Care, Pharmaceuticals)		6,895		75,772
Avenue Supermarts Limited (Consumer Staples, Food & Staples Retailing) †		9,589		293,275
Axis Bank Limited (Financials, Banks) †		73,033		492,873
Bajaj Auto Limited (Consumer Discretionary, Automobiles)		4,855		195,697
Bajaj Finance Limited (Financials, Consumer Finance)		2,847		134,902
Bajaj Finserv Limited (Financials, Insurance)		856		71,989
Bajaj Holdings & Investment Limited (Financials, Diversified Financial Services)		838		30,497
Balkrishna Industries Limited (Consumer Discretionary, Auto Components)		1,102		19,791
Bandhan Bank Limited (Financials, Banks) 144A†		5,397		22,422
Bank of Baroda (Financials, Banks) †		19,339		12,861
Bata India Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		714		12,601
Bayer CropScience Limited (Materials, Chemicals)		180		14,220
Berger Paints India Limited (Materials, Chemicals)		4,303		31,433
Bharat Electronics Limited (Industrials, Aerospace & Defense)		13,267		19,123
Bharat Forge Limited (Consumer Discretionary, Auto Components)		3,149		21,014
Bharat Heavy Electricals Limited (Industrials, Electrical Equipment)		16,775		8,785
Bharat Petroleum Corporation Limited (Energy, Oil, Gas & Consumable Fuels)		56,147		311,065
Bharti Airtel Limited (Communication Services, Wireless Telecommunication Services)		26,967		187,980
Bharti Infratel Limited (Communication Services, Diversified Telecommunication Services)		65,175		175,804
Biocon Limited (Health Care, Biotechnology) †		15,044		76,878
Blue Star Limited (Industrials, Building Products)		1,037		8,957
Bosch Limited (Consumer Discretionary, Auto Components)		96		16,712
Britannia Industries Limited (Consumer Staples, Food Products)		1,500		75,931
Cadila Healthcare Limited (Health Care, Pharmaceuticals)		3,294		16,614
Carborundum Universal Limited (Industrials, Machinery)		2,317		8,485
Castrol India Limited (Materials, Chemicals)		4,234		6,897
CESC Limited (Utilities, Electric Utilities)		904		7,374
Chambal Fertilisers and Chemicals Limited (Materials, Chemicals)		2,910		5,867
Cholamandalam Financial Holdings Limited (Financials, Consumer Finance)		1,443		8,560
Cholamandalam Investment & Finance Company Limited (Financials, Consumer Finance)		4,929		15,549
Cipla India Limited (Health Care, Pharmaceuticals)		8,340		80,848
City Union Bank Limited (Financials, Banks)		10,186		18,682
Coal India Limited (Energy, Oil, Gas & Consumable Fuels)		22,098		40,334
Colgate-Palmolive Company India Limited (Consumer Staples, Personal Products)		8,268		153,128
Container Corporation of India Limited (Industrials, Transportation Infrastructure)		36,941		197,233
Coromandel International Limited (Materials, Chemicals)		1,450		14,972
CRISIL Limited (Financials, Capital Markets)		183		4,352
Crompton Greaves Consumer Electricals Limited (Consumer Discretionary, Household Durables) †		5,629		20,785
Cummins India Limited (Industrials, Machinery)		1,583		9,941
Dabur India Limited (Consumer Staples, Personal Products)		8,379		54,025
Dalmia Bharat Limited (Materials, Construction Materials)		1,287		13,109
Deepak Nitrite Limited (Materials, Chemicals)		1,064		9,879

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

16  |  Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
India (continued)
Divi’s Laboratories Limited (Health Care, Life Sciences Tools & Services)		8,473	$	359,467
Dixon Technologies (India) Limited (Consumer Discretionary, Household Durables)		81		8,908
DLF Limited (Real Estate, Real Estate Management & Development)		13,010		27,988
Dr. Lal Pathlabs Limited (Health Care, Health Care Providers & Services) 144A		298		7,185
Dr. Reddy’s Laboratories Limited (Health Care, Pharmaceuticals)		4,547		263,446
Dr. Reddy’s Laboratories Limited ADR (Health Care, Pharmaceuticals)		1,251		72,771
Edelweiss Financial Services Limited (Financials, Capital Markets) †		9,982		10,856
Eicher Motors Limited (Consumer Discretionary, Automobiles)		1,860		52,863
Emami Limited (Consumer Staples, Personal Products)		2,888		14,005
Endurance Technologies Limited (Consumer Discretionary, Auto Components) 144A		467		6,974
Escorts Limited (Industrials, Machinery)		814		12,027
Exide Industries Limited (Consumer Discretionary, Auto Components)		5,673		12,643
Federal Bank Limited (Financials, Banks) †		26,949		20,246
Finolex Industries Limited (Materials, Chemicals)		887		6,090
Fortis Healthcare Limited (Health Care, Health Care Providers & Services) †		6,309		11,382
Gail India Limited (Utilities, Gas Utilities)		123,566		160,569
Galaxy Surfactants Limited (Materials, Chemicals)		216		5,122
Gillette India Limited (Consumer Staples, Personal Products)		70		5,163
GlaxoSmithKline Pharmaceuticals Limited (Health Care, Pharmaceuticals)		400		8,512
Glenmark Pharmaceuticals Limited (Health Care, Pharmaceuticals)		2,165		13,812
GMR Infrastructure Limited (Industrials, Transportation Infrastructure) †		27,730		8,872
Godrej Consumer Products Limited (Consumer Staples, Personal Products)		16,984		150,279
Godrej Industries Limited (Industrials, Industrial Conglomerates) †		3,682		21,982
Godrej Properties Limited (Real Estate, Real Estate Management & Development) †		1,354		16,799
Grasim Industries Limited (Materials, Construction Materials)		4,990		45,749
Grindwell Norton Limited (Industrials, Machinery)		799		5,478
Gujarat Gas Limited (Utilities, Gas Utilities)		3,107		13,737
Gujarat State Petronet Limited (Utilities, Gas Utilities)		4,513		12,480
Hatsun Agro Products Limited (Consumer Staples, Food Products)		851		8,618
Havells India Limited (Industrials, Electrical Equipment)		19,489		162,979
HCL Technologies Limited (Information Technology, IT Services)		33,278		313,939
HDFC Asset Management Company Limited (Financials, Capital Markets) 144A		4,267		139,759
HDFC Bank Limited (Financials, Banks) †		51,281		777,392
HDFC Life Insurance Company Limited (Financials, Insurance) †		21,938		171,314
Hemisphere Properties India Limited (Real Estate, Real Estate Management & Development) †(a)‡		5,373		12,176
Hero Motorcorp Limited (Consumer Discretionary, Automobiles)		4,550		185,817
Hexaware Technologies Limited (Information Technology, IT Services)		1,523		8,202
Hindalco Industries Limited (Materials, Metals & Mining)		123,713		311,352
Hindustan Petroleum Corporation Limited (Energy, Oil, Gas & Consumable Fuels)		118,077		323,315
Hindustan Unilever Limited (Consumer Staples, Household Products)		21,776		626,396
Hindustan Zinc Limited (Materials, Metals & Mining)		2,210		6,803
Honeywell Automation India Limited (Information Technology, Electronic Equipment, Instruments & Components)		28		12,410
Housing Development Finance Corporation Limited (Financials, Thrifts & Mortgage Finance)		40,028		996,574
ICICI Bank Limited (Financials, Banks) †		166,525		892,718
ICICI Lombard General Insurance Company Limited (Financials, Insurance) 144A		5,039		86,031
ICICI Prudential Life Insurance Company Limited (Financials, Insurance) 144A		4,443		25,511
Idea Cellular Limited (Communication Services, Wireless Telecommunication Services) †		188,925		26,180
IDFC Bank Limited (Financials, Banks) †		27,732		12,056
IIFL Wealth Management Limited (Financials, Diversified Financial Services)		876		12,181
Indiabulls Housing Finance Limited (Financials, Thrifts & Mortgage Finance)		3,701		10,468
Indiabulls Ventures Limited (Financials, Capital Markets)		4,172		11,152
IndiaMART InterMESH Limited (Industrials, Trading Companies & Distributors) 144A		190		9,514
Indian Energy Exchange Limited (Financials, Capital Markets)		2,761		7,234
Indian Hotels Company Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		10,377		14,619
Indian Oil Corporation Limited (Energy, Oil, Gas & Consumable Fuels)		84,396		98,376
Indraprastha Gas Limited (Utilities, Gas Utilities)		14,184		76,010

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

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  17

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
India (continued)
Info Edge India Limited (Communication Services, Interactive Media & Services)		3,419	$	151,594
Infosys Limited (Information Technology, IT Services)		103,163		1,301,459
Infosys Limited ADR (Information Technology, IT Services)		6,535		82,341
Interglobe Aviation Limited (Industrials, Airlines)		1,054		17,171
Ipca Laboratories Limited (Health Care, Pharmaceuticals)		1,061		27,208
ITC Limited (Consumer Staples, Tobacco)		138,146		358,655
J. B. Chemicals & Pharmaceuticals Pvt Limited (Health Care, Pharmaceuticals)		546		5,714
Jindal Steel & Power Limited (Materials, Metals & Mining) †		6,116		17,042
JK Cement Limited (Materials, Construction Materials)		431		8,722
JM Financial Limited (Financials, Capital Markets)		4,678		5,189
JSW Steel Limited (Materials, Metals & Mining)		24,923		91,352
Jubilant Foodworks Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		1,007		28,688
Jubilant Organosys Limited (Health Care, Pharmaceuticals)		1,234		13,131
Jyothy Laboratories Limited (Consumer Staples, Household Products)		2,137		4,127
Kajaria Ceramics Limited (Industrials, Building Products)		1,490		8,829
Kansai Nerolac Paints Limited (Materials, Chemicals)		1,893		12,288
KEC International Limited (Industrials, Construction & Engineering)		1,771		7,750
Kotak Mahindra Bank Limited (Financials, Banks) †		15,730		299,470
KRBL Limited (Consumer Staples, Food Products)		2,497		8,886
L&T Finance Holdings Limited (Financials, Diversified Financial Services)		8,462		7,708
L&T Technology Services Limited (Industrials, Professional Services) 144A		337		7,166
Larsen & Toubro Infotech Limited (Information Technology, IT Services) 144A		584		19,504
Larsen & Toubro Limited (Industrials, Construction & Engineering)		13,002		166,916
Laurus Labs Limited (Health Care, Pharmaceuticals) 144A		825		12,702
LIC Housing Finance Limited (Financials, Thrifts & Mortgage Finance)		19,503		79,832
Lupin Limited (Health Care, Pharmaceuticals)		3,329		41,950
Mahanagar Gas Limited (Utilities, Gas Utilities)		759		9,817
Mahindra & Mahindra Financial Services Limited (Financials, Consumer Finance) †		5,264		9,633
Mahindra & Mahindra Limited (Consumer Discretionary, Automobiles)		27,887		229,931
Manappuram Finance Limited (Financials, Consumer Finance)		5,452		10,962
Marico Limited (Consumer Staples, Personal Products)		16,470		82,543
Maruti Suzuki India Limited (Consumer Discretionary, Automobiles)		3,329		309,346
Max Financial Services Limited (Financials, Insurance) †		2,212		17,708
Metropolis Healthcare Limited (Health Care, Health Care Providers & Services) 144A		232		5,795
Minda Industries Limited (Consumer Discretionary, Auto Components)		1,259		5,815
Mindtree Limited (Information Technology, IT Services)		826		12,969
Motherson Sumi Systems Limited (Consumer Discretionary, Auto Components)		67,437		100,504
Motilal Oswal Financial Services Limited (Financials, Capital Markets)		487		4,525
Mphasis Limited (Information Technology, IT Services)		1,108		16,612
MRF Limited (Consumer Discretionary, Auto Components)		44		34,663
Multi Commodity Exchange of India Limited (Financials, Capital Markets)		493		10,706
Muthoot Finance Limited (Financials, Consumer Finance)		2,168		33,776
Natco Pharma Limited (Health Care, Pharmaceuticals)		1,369		13,981
National Aluminum Company Limited (Materials, Metals & Mining)		5,846		2,847
Navin Fluorine International Limited (Materials, Chemicals)		464		12,305
Nestle India Limited (Consumer Staples, Food Products)		2,175		471,287
NHPC Limited (Utilities, Independent Power & Renewable Electricity Producers)		25,255		7,428
NIIT Technologies Limited (Information Technology, IT Services)		239		6,247
NMDC Limited (Materials, Metals & Mining)		7,021		9,267
NTPC Limited (Utilities, Independent Power & Renewable Electricity Producers)		125,980		164,990
Oberoi Realty Limited (Real Estate, Real Estate Management & Development)		1,599		8,470
Oil & Natural Gas Corporation Limited (Energy, Oil, Gas & Consumable Fuels)		131,831		146,772
Oil India Limited (Energy, Oil, Gas & Consumable Fuels)		13,930		17,931
Oracle Financials Services Limited (Information Technology, Software)		307		12,648
Orient Electric Limited (Industrials, Electrical Equipment)		2,402		6,520
Page Industries Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		593		152,970
Persistent Systems Limited (Information Technology, IT Services)		696		9,061

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

18  |  Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
India (continued)
Petronet LNG Limited (Energy, Oil, Gas & Consumable Fuels)		53,917	$	176,055
Pfizer Limited (Health Care, Pharmaceuticals)		206		12,863
Phoenix Mills Limited (Real Estate, Real Estate Management & Development)		1,022		8,953
PI Industries Limited (Materials, Chemicals)		743		18,558
Pidilite Industries Limited (Materials, Chemicals)		3,678		70,095
Piramal Enterprises Limited (Health Care, Pharmaceuticals)		1,569		29,145
Polycab India Limited (Industrials, Electrical Equipment)		807		9,789
Power Finance Corporation Limited (Financials, Diversified Financial Services)		12,026		15,366
Power Grid Corporation of India Limited (Utilities, Electric Utilities)		29,515		71,755
Prestige Estates Projects Limited (Real Estate, Real Estate Management & Development)		2,610		8,790
Procter & Gamble Health Limited (Health Care, Pharmaceuticals) †		106		6,908
Procter & Gamble Hygiene & Healthcare Limited (Consumer Staples, Personal Products)		113		15,332
Punjab National Bank (Financials, Banks) †		38,420		18,295
PVR Limited (Communication Services, Entertainment)		401		7,145
Rajesh Exports Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		1,211		7,345
Ratnamani Metals & Tubes Limited (Materials, Metals & Mining)		539		8,625
RBL Bank Limited (Financials, Banks) 144A		5,860		15,600
REC Limited (Financials, Diversified Financial Services)		11,736		16,925
Relaxo Footwears Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		1,697		15,110
Reliance Industries Limited (Energy, Oil, Gas & Consumable Fuels)		80,302		2,269,937
Reliance Nippon Life Asset Management Limited (Financials, Diversified Financial Services)		2,029		7,514
Sanofi India Limited (Health Care, Pharmaceuticals)		117		13,063
SBI Life Insurance Company Limited (Financials, Insurance) 144A†		4,501		50,616
Schaeffler India Limited (Industrials, Machinery)		107		5,766
Shree Cement Limited (Materials, Construction Materials)		228		62,827
Shriram Transport Finance Company Limited (Financials, Consumer Finance)		18,603		177,532
Siemens India Limited (Industrials, Industrial Conglomerates)		862		13,583
SKF India Limited (Industrials, Machinery)		359		7,928
Solar Industries India Limited (Materials, Chemicals)		338		5,155
SRF Limited (Materials, Chemicals)		317		17,459
State Bank of India (Financials, Banks) †		93,726		269,944
Strides Shasun Limited (Health Care, Pharmaceuticals)		966		7,929
Sun Pharmaceutical Industries Limited (Health Care, Pharmaceuticals)		31,268		220,999
Sun TV Network Limited (Communication Services, Media)		923		5,675
Sundaram Finance Limited (Financials, Consumer Finance)		1,529		33,466
Sundram Fasteners Limited (Consumer Discretionary, Auto Components)		1,508		9,235
Supreme Industries Limited (Materials, Chemicals)		857		15,565
Syngene International Limited (Health Care, Life Sciences Tools & Services) 144A†		1,526		9,831
Tata Chemicals Limited (Materials, Chemicals)		2,006		8,516
Tata Communications Limited (Communication Services, Diversified Telecommunication Services)		5,374		63,565
Tata Consultancy Services Limited (Information Technology, IT Services)		28,897		886,156
Tata Elxsi Limited (Information Technology, Software)		520		7,593
Tata Motors Limited (Consumer Discretionary, Automobiles) †		22,086		42,967
Tata Power Company Limited (Utilities, Electric Utilities)		16,608		13,256
Tata Steel Limited (Materials, Metals & Mining)		8,105		45,476
Tata Tea Limited (Consumer Staples, Food Products)		9,809		70,941
Tech Mahindra Limited (Information Technology, IT Services)		21,496		216,398
The Great Eastern Shipping Company Limited (Energy, Oil, Gas & Consumable Fuels)		2,051		7,087
The Ramco Cements Limited (Materials, Construction Materials)		1,924		18,115
Thermax India Limited (Industrials, Machinery)		658		6,835
Titan Industries Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		5,160		77,147
Torrent Pharmaceuticals Limited (Health Care, Pharmaceuticals)		3,643		131,729
Torrent Power Limited (Utilities, Electric Utilities)		1,833		8,290
Trent Limited (Consumer Discretionary, Multiline Retail)		2,836		24,628
TTK Prestige Limited (Consumer Discretionary, Household Durables)		74		5,722
Tube Investments of India Limited (Consumer Discretionary, Auto Components)		1,654		14,559
TVS Motor Company Limited (Consumer Discretionary, Automobiles)		2,187		12,861

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

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  19

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
India (continued)
Ultra Tech Cement Limited (Materials, Construction Materials)		1,615	$	85,653
United Breweries Limited (Consumer Staples, Beverages)		1,093		15,007
United Spirits Limited (Consumer Staples, Beverages) †		4,052		30,092
UPL Limited (Materials, Chemicals)		6,433		44,218
V-Guard Industries Limited (Industrials, Electrical Equipment)		2,540		5,773
Varun Beverages Limited (Consumer Staples, Beverages)		1,346		13,459
Vedanta Limited (Materials, Metals & Mining)		134,786		235,577
Vinati Organics Limited (Materials, Chemicals)		346		4,736
Voltas Limited (Industrials, Construction & Engineering)		2,910		25,094
Wabco India Limited (Consumer Discretionary, Auto Components)		55		5,211
Whirlpool of India Limited (Consumer Discretionary, Household Durables)		362		10,433
Wipro Limited (Information Technology, IT Services)		42,166		155,414
Yes Bank Limited (Financials, Banks) †		163,898		31,952
Zee Entertainment Enterprises Limited (Communication Services, Media) †		15,354		42,459
				21,244,103
Indonesia: 1.18%
PT Ace Hardware Incorporated Indonesia Tbk (Consumer Discretionary, Specialty Retail)		76,434		8,109
PT Adaro Energy Tbk (Energy, Oil, Gas & Consumable Fuels)		3,370,800		251,146
PT Aneka Tambang Tbk (Materials, Metals & Mining)		27,900		1,571
PT Astra International Tbk (Consumer Discretionary, Automobiles)		418,600		146,600
PT Asuransi Kresna Mitra Tbk (Financials, Insurance) †		10,900		853
PT Bank Central Asia Tbk (Financials, Banks)		222,800		480,024
PT Bank Mandiri Persero Tbk (Financials, Banks)		233,500		95,404
PT Bank Negara Indonesia Persero Tbk (Financials, Banks)		300,200		105,134
PT Bank Rakyat Indonesia Tbk (Financials, Banks)		992,200		239,150
PT Bank Tabungan Pensiunan Nasional Syariah Tbk (Financials, Banks)		27,500		7,365
PT Bank Tabungan Pensiunan Nasional Tbk (Financials, Banks) †		102,171		16,628
PT Barito Pacific Tbk (Materials, Chemicals) †		316,700		18,268
PT Bayan Resources Group Tbk (Energy, Oil, Gas & Consumable Fuels) †		1,275		1,125
PT Bumi Serpong Damai Tbk (Real Estate, Real Estate Management & Development) †		115,734		6,159
PT Charoen Pokphand Indonesia Tbk (Consumer Staples, Food Products)		217,800		94,224
PT Ciputra Development Tbk (Real Estate, Real Estate Management & Development)		95,767		5,064
PT Gudang Garam Tbk (Consumer Staples, Tobacco) †		24,400		79,588
PT Hanjaya Mandala Sampoerna Tbk (Consumer Staples, Tobacco)		103,500		11,727
PT Hanson International Tbk (Real Estate, Real Estate Management & Development) †‡		10,045,000		34,489
PT Indah Kiat Pulp and Paper Corporation Tbk (Materials, Paper & Forest Products)		23,200		14,816
PT Indocement Tunggal Prakarsa Tbk (Materials, Construction Materials)		23,267		18,973
PT Indofood CBP Sukses Makmur Tbk (Consumer Staples, Food Products)		26,367		18,513
PT Indofood Sukses Makmur Tbk (Consumer Staples, Food Products)		393,200		205,882
PT International Nickel Indonesia Tbk (Materials, Metals & Mining) †		16,700		4,346
PT Jasa Marga (Persero) Tbk (Industrials, Transportation Infrastructure)		25,167		6,757
PT Kalbe Farma Tbk (Health Care, Pharmaceuticals)		237,534		25,772
PT Mayora Indah Tbk (Consumer Staples, Food Products)		39,496		6,374
PT Media Nusantara Citra Tbk (Communication Services, Media) †		70,267		4,294
PT Merdeka Copper Gold Tbk (Materials, Metals & Mining) †		93,667		11,192
PT Mitra Adiperkasa Tbk (Consumer Discretionary, Multiline Retail) †		94,900		4,431
PT Mitra Keluarga Karyasehat Tbk (Health Care, Health Care Providers & Services)		61,367		9,987
PT Perusahaan Gas Negara Persero Tbk (Utilities, Gas Utilities)		119,500		10,299
PT Pollux Properti Indonesia Tbk (Real Estate, Real Estate Management & Development) †		19,561		4,876
PT Sarana Menara Nusantara Tbk (Communication Services, Diversified Telecommunication Services)		295,800		21,023
PT Semen Gresik Persero Tbk (Materials, Construction Materials)		37,200		26,950
PT Sumber Alfaria Trijaya Tbk (Consumer Staples, Food & Staples Retailing)		248,848		12,218
PT Summarecon Agung Tbk (Real Estate, Real Estate Management & Development) †		112,034		4,962
PT Surya Citra Media Tbk (Communication Services, Media)		54,834		4,669
PT Tambang Batubara Bukit Asam Tbk (Energy, Oil, Gas & Consumable Fuels)		56,434		7,906

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

20  |  Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Indonesia (continued)
PT Telekomunikasi Indonesia Persero Tbk (Communication Services, Diversified Telecommunication Services)		1,018,900	$	200,107
PT Tower Bersama Infrastructure Tbk (Communication Services, Diversified Telecommunication Services)		125,934		11,285
PT Transcoal Pacific Tbk (Industrials, Marine)		15,367		4,569
PT Ultrajaya Milk Industry & Trading Company Tbk (Consumer Staples, Food Products)		40,833		4,977
PT Unilever Indonesia Tbk (Consumer Staples, Household Products)		68,834		38,878
PT United Tractors Tbk (Energy, Oil, Gas & Consumable Fuels)		87,300		137,882
PT XL Axiata Tbk (Communication Services, Wireless Telecommunication Services)		257,650		43,170
				2,467,736
Luxembourg: 0.02%
Globant SA (Information Technology, Software) †		259		45,993
Malaysia: 2.22%
AFFIN Bank Bhd (Financials, Banks)		26,067		9,305
AirAsia Bhd (Industrials, Airlines) †		27,167		4,293
Alliance Financial Group Bhd (Financials, Banks)		16,567		8,705
AMMB Holdings Bhd (Financials, Banks)		257,700		180,577
Asiatic Development Bhd (Consumer Staples, Food Products)		5,000		11,859
Astro Malaysia Holdings Bhd (Communication Services, Media)		17,834		3,296
Axiata Group Bhd (Communication Services, Wireless Telecommunication Services)		94,000		67,811
Axis Real Estate Investment Trust REIT (Real Estate, Equity REITs)		13,600		7,085
Batu Kawan Bhd (Materials, Chemicals)		2,565		9,267
Berjaya Sports Toto Bhd (Consumer Discretionary, Hotels, Restaurants & Leisure)		11,200		5,618
Boustead Holdings Bhd (Industrials, Industrial Conglomerates) †		37,800		6,343
British American Tobacco Malaysia Bhd (Consumer Staples, Tobacco)		2,067		5,062
Bursa Malaysia Bhd (Financials, Capital Markets)		5,734		13,312
Carlsberg Brewery Malaysia Bhd (Consumer Staples, Beverages)		70,400		368,554
CIMB Group Holdings Bhd (Financials, Banks)		169,000		133,789
Dialog Group Bhd (Energy, Energy Equipment & Services)		59,834		51,476
Digi.com Bhd (Communication Services, Wireless Telecommunication Services)		29,300		27,745
Felda Global Ventures Holdings Bhd (Consumer Staples, Food Products)		24,267		7,138
Fraser & Neave Holdings Bhd (Consumer Staples, Beverages)		5,567		40,883
Gamuda Bhd (Industrials, Construction & Engineering)		268,200		218,739
Genting Bhd (Consumer Discretionary, Hotels, Restaurants & Leisure)		85,700		72,211
Genting Malaysia Bhd (Consumer Discretionary, Hotels, Restaurants & Leisure)		164,050		89,803
HAP Seng Consolidated Bhd (Industrials, Industrial Conglomerates)		8,800		15,194
Hartalega Holdings Bhd (Health Care, Health Care Equipment & Supplies)		28,800		114,387
Heineken Malaysia Bhd (Consumer Staples, Beverages)		2,234		11,025
Hong Leong Bank Bhd (Financials, Banks)		20,000		67,239
Hong Leong Financial Group Bhd (Financials, Banks)		15,167		44,987
IGB REIT Bhd (Real Estate, Equity REITs)		16,867		7,491
IHH Healthcare Bhd (Health Care, Health Care Providers & Services)		31,000		39,884
IJM Corporation Bhd (Industrials, Construction & Engineering)		32,867		9,455
Inari Amertron Bhd (Information Technology, Electronic Equipment, Instruments & Components)		25,734		13,949
IOI Corporation Bhd (Consumer Staples, Food Products)		123,100		131,584
IOI Properties Group Bhd (Real Estate, Real Estate Management & Development)		20,900		4,563
Kossan Rubber Industries Bhd (Health Care, Health Care Equipment & Supplies)		5,334		20,521
Kuala Lumpur Kepong Bhd (Consumer Staples, Food Products)		4,434		23,945
LPI Capital Bhd (Financials, Insurance)		1,986		6,513
Magnum Bhd (Consumer Discretionary, Hotels, Restaurants & Leisure)		13,034		6,973
Malayan Banking Bhd (Financials, Banks)		159,800		280,986
Malaysia Airports Holdings Bhd (Industrials, Transportation Infrastructure)		12,867		15,743
Malaysia Building Society Bhd (Financials, Thrifts & Mortgage Finance)		48,434		6,742
Maxis Bhd (Communication Services, Wireless Telecommunication Services)		58,600		70,276

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

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  21

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Malaysia (continued)
Mega First Corporation Bhd (Utilities, Independent Power & Renewable Electricity Producers)		4,600	$	8,572
MISC Bhd (Industrials, Marine)		145,800		265,921
MyEG Services Bhd (Information Technology, IT Services) †		32,567		11,647
Nestle Malaysia Bhd (Consumer Staples, Food Products)		3,200		106,797
Oriental Holdings Bhd (Consumer Discretionary, Automobiles)		3,916		4,928
Pentamaster Corporation Bhd (Industrials, Machinery)		7,401		8,461
Petronas Chemicals Group Bhd (Materials, Chemicals)		58,650		76,792
Petronas Dagangan Bhd (Energy, Oil, Gas & Consumable Fuels)		17,100		84,392
Petronas Gas Bhd (Utilities, Gas Utilities)		29,600		117,215
PPB Group Bhd (Consumer Staples, Food Products)		14,867		64,104
Press Metal Bhd (Materials, Metals & Mining)		47,767		59,691
Public Bank Bhd (Financials, Banks)		35,400		139,472
Ql Resources Bhd (Consumer Staples, Food Products)		65,960		151,626
RHB Bank Bhd (Financials, Banks)		220,300		241,867
Scientex Bhd (Materials, Chemicals)		3,467		7,825
Serba Dinamik Holdings Bhd (Energy, Energy Equipment & Services)		24,784		10,740
Sime Darby Bhd (Industrials, Industrial Conglomerates)		302,500		158,743
Sime Darby Plantation Bhd (Consumer Staples, Food Products)		28,500		34,886
Sime Darby Property Bhd (Real Estate, Real Estate Management & Development)		34,234		5,373
Sunway Bhd (Real Estate, Real Estate Management & Development)		21,617		7,262
Sunway REIT Bhd (Real Estate, Equity REITs)		11,100		4,259
Supermax Corporation Berhad (Health Care, Health Care Equipment & Supplies) †		6,300		33,561
Telecom Malaysia Bhd (Communication Services, Diversified Telecommunication Services)		253,700		252,341
Tenaga Nasional Bhd (Utilities, Electric Utilities)		30,267		78,790
TIME dotCom Bhd (Communication Services, Diversified Telecommunication Services)		4,367		12,108
Top Glove Corporation Bhd (Health Care, Health Care Equipment & Supplies)		37,750		238,431
United Plantations Bhd (Consumer Staples, Food Products)		2,425		8,313
Vitrox Corporation Bhd (Information Technology, Semiconductors & Semiconductor Equipment)		2,200		6,391
VS Industry Bhd (Information Technology, Electronic Equipment, Instruments & Components)		17,892		8,066
Westports Holdings Bhd (Industrials, Transportation Infrastructure)		201,400		175,785
Yinson Holdings Bhd (Energy, Energy Equipment & Services)		13,367		20,268
YTL Corporation Bhd (Utilities, Multi-Utilities)		65,588		10,527
YTL Power International Bhd (Utilities, Multi-Utilities)		20,334		3,365
				4,652,847
Mexico: 1.56%
Alfa SAB de CV Class A (Industrials, Industrial Conglomerates)		339,400		218,387
Alsea SAB de CV (Consumer Discretionary, Hotels, Restaurants & Leisure) †		7,792		8,080
America Movil SAB de CV Series L (Communication Services, Wireless Telecommunication Services)		1,127,023		685,011
Arca Continental SAB de CV (Consumer Staples, Beverages)		10,723		48,744
Banco del Bajio SA (Financials, Banks) 144A†		18,067		14,449
Banco Santander Mexico SA (Financials, Banks)		9,826		6,264
Becle SAB de CV ADR (Consumer Staples, Beverages)		8,367		16,037
Cemex SAB de CV ADR (Materials, Construction Materials)		21,532		69,118
CFE Capital S de RL de CV (Utilities, Electric Utilities)		10,993		12,394
Coca-Cola Femsa SAB de CV (Consumer Staples, Beverages)		39,228		163,226
Controladora Vuela Compania de Aviacion SAB de CV Class A (Industrials, Airlines) †		8,600		6,917
Corporacion Inmobiliaria Vesta SAB de CV (Real Estate, Real Estate Management & Development)		6,934		10,299
El Puerto de Liverpool SAB de CV (Consumer Discretionary, Multiline Retail)		2,945		7,758
Fibra Uno Administracion SAB de CV (Real Estate, Equity REITs)		50,218		39,289
Fomento Economico Mexicano SAB de CV (Consumer Staples, Beverages)		30,310		176,275
Genomma Lab Internacional SAB de CV Class B (Health Care, Pharmaceuticals) †		10,698		11,269
Gentera SAB de CV (Financials, Consumer Finance) †		18,750		6,144
GMexico Transportes SAB de CV (Industrials, Road & Rail) 144A		8,100		10,328
Gruma SAB de CV Class B (Consumer Staples, Food Products)		14,570		172,121
Grupo Aeroportuario del Centro Norte SAB de CV (Industrials, Transportation Infrastructure) †		4,937		22,609

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

22  |  Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Mexico (continued)
Grupo Aeroportuario del Pacifico SAB de CV Class B (Industrials, Transportation Infrastructure)		12,315	$	95,776
Grupo Aeroportuario del Sureste SAB de CV Class B (Industrials, Transportation Infrastructure) †		5,468		62,099
Grupo Carso SAB de CV (Industrials, Industrial Conglomerates)		6,634		13,218
Grupo Cementos de Chihuahua SAB de CV (Materials, Construction Materials)		2,534		11,422
Grupo Comercial Chedraui SAB de CV (Consumer Staples, Food & Staples Retailing)		5,782		6,643
Grupo Elektra SAB de CV (Financials, Banks)		860		47,356
Grupo Financiero Banorte SAB de CV (Financials, Banks) †		121,900		418,923
Grupo Financiero Inbursa SAB de CV (Financials, Banks) †		167,200		122,256
Grupo Lala SAB de CV (Consumer Staples, Food Products)		10,123		6,393
Grupo Mexico SAB de CV Series B (Materials, Metals & Mining)		110,900		295,977
Grupo Televisa SAB ADR (Communication Services, Media) †		5,851		36,393
Industrias Bachoco SAB de CV Series B (Consumer Staples, Food Products)		2,919		9,232
Industrias CH SAB de CV Series B (Materials, Metals & Mining)		234		877
Industrias Penoles SAB de CV (Materials, Metals & Mining)		1,462		24,187
Infraestructura Energetica Nova SAB de CV (Utilities, Gas Utilities)		6,934		20,157
Macquarie Mexico Real Estate Management SA de CV (Real Estate, Equity REITs) 144A		11,002		12,801
Megacable Holdings SAB de CV (Communication Services, Media)		20,000		57,764
Orbia Advance Corporation SAB de CV (Materials, Chemicals)		12,808		20,580
PLA Administradora Industrial S de RL de CV (Real Estate, Equity REITs)		10,302		13,277
Prologis Property Mexico SA de CV (Real Estate, Equity REITs)		7,298		14,508
Promotora y Operadora de Infraestructura SAB de CV (Industrials, Transportation Infrastructure) †		3,262		24,153
Regional SAB de CV (Financials, Banks) †		3,600		8,999
Telesites SAB de CV (Communication Services, Diversified Telecommunication Services) †		39,500		29,604
Walmart de Mexico SAB de CV (Consumer Staples, Food & Staples Retailing)		90,739		217,289
				3,274,603
Netherlands: 0.02%
X5 Retail Group NV GDR (Consumer Staples, Food & Staples Retailing)		1,321		48,409
Philippines: 1.14%
Aboitiz Equity Ventures Incorporated (Industrials, Industrial Conglomerates)		28,934		28,659
Aboitiz Power Corporation (Utilities, Independent Power & Renewable Electricity Producers)		102,300		56,261
Alliance Global Group Incorporated (Industrials, Industrial Conglomerates) †		88,100		11,221
Ayala Corporation (Industrials, Industrial Conglomerates)		3,804		57,527
Ayala Land Incorporated (Real Estate, Real Estate Management & Development)		100,704		59,713
Bank of the Philippine Islands (Financials, Banks)		83,300		115,271
BDO Unibank Incorporated (Financials, Banks)		28,410		50,386
Bloomberry Resorts Corporation (Consumer Discretionary, Hotels, Restaurants & Leisure)		50,767		6,407
Century Pacific Food Incorporated (Consumer Staples, Food Products)		18,200		6,085
China Banking Corporation (Financials, Banks)		22,806		9,689
Cosco Capital Incorporated (Consumer Staples, Food & Staples Retailing)		53,063		5,259
DMCI Holdings Incorporated (Industrials, Industrial Conglomerates)		47,100		3,886
Energy Development Corporation (Utilities, Independent Power & Renewable Electricity Producers) †(a)‡		231,800		32,845
First Gen Corporation (Utilities, Independent Power & Renewable Electricity Producers)		15,200		7,625
Globe Telecom Incorporated (Communication Services, Wireless Telecommunication Services)		6,980		300,317
Golden Bria Holdings Incorporated (Consumer Discretionary, Diversified Consumer Services) †		3,382		20,856
GT Capital Holdings Incorporated (Industrials, Industrial Conglomerates)		15,103		124,522
International Container Term Services Incorporated (Industrials, Transportation Infrastructure)		22,147		47,880
JG Summit Holdings (Industrials, Industrial Conglomerates)		55,607		73,413
Jollibee Foods Corporation (Consumer Discretionary, Hotels, Restaurants & Leisure)		8,987		25,006
LT Group Incorporated (Industrials, Industrial Conglomerates)		38,188		6,641
Manila Electric Company (Utilities, Electric Utilities)		3,340		18,523
Megaworld Corporation (Real Estate, Real Estate Management & Development) †		166,467		9,982
Metro Pacific Investments Corporation (Financials, Diversified Financial Services)		3,384,100		234,511
Metropolitan Bank & Trust Company (Financials, Banks)		112,077		77,411
Philippine National Bank (Financials, Banks) †		19,474		7,896
PLDT Incorporated (Communication Services, Wireless Telecommunication Services)		10,710		323,837

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

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  23

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Philippines (continued)
Puregold Price Club Incorporated (Consumer Staples, Food & Staples Retailing)		189,210	$	210,551
Rizal Commercial Banking (Financials, Banks)		12,967		4,313
Robinsons Land Company (Real Estate, Real Estate Management & Development)		27,300		8,229
Robinsons Retail Holdings Incorporated (Consumer Staples, Food & Staples Retailing)		7,834		11,317
San Miguel Corporation (Industrials, Industrial Conglomerates)		5,640		11,796
San Miguel Food & Beverage Incorporated (Consumer Staples, Food Products)		64,157		90,916
Security Bank Corporation (Financials, Banks)		7,364		14,760
Semirara Mining & Power Corporation (Energy, Oil, Gas & Consumable Fuels)		28,200		5,476
SM Investments Corporation (Industrials, Industrial Conglomerates)		8,556		150,044
SM Prime Holdings Incorporated (Real Estate, Real Estate Management & Development)		194,967		117,399
Universal Robina Corporation (Consumer Staples, Food Products)		13,064		37,049
Wilcon Depot Incorporated (Consumer Discretionary, Specialty Retail)		10,334		3,448
				2,386,927
Poland: 0.55%
Bank Pekao SA (Financials, Banks) †		3,299		46,848
Bank Zachodni WBK SA (Financials, Banks) †		1,371		56,398
CD Projekt SA (Communication Services, Entertainment) †		1,569		186,811
Cyfrowy Polsat SA (Consumer Discretionary, Media) †		1,644		12,838
Dino Polska SA (Consumer Staples, Food & Staples Retailing) †		3,190		193,675
Grupa Lotos SA (Energy, Oil, Gas & Consumable Fuels)		14,173		155,703
KGHM Polska Miedz SA (Materials, Metals & Mining) †		5,884		218,639
Orange Polska SA (Communication Services, Diversified Telecommunication Services) †		34,829		68,326
Polski Koncern Naftowy Orlen SA (Energy, Oil, Gas & Consumable Fuels)		11,076		152,295
Polskie Gornictwo Naftowe Gazownictwo SA (Energy, Oil, Gas & Consumable Fuels)		29,908		41,660
Powszechny Zaklad Ubezpieczen SA (Financials, Insurance)		2,779		20,502
				1,153,695
Russia: 3.01%
Aeroflot PJSC (Industrials, Airlines) †		7,283		7,884
Alrosa PJSC (Materials, Metals & Mining)		38,110		34,024
Credit Bank of Moscow PJSC (Financials, Banks) †		167,734		13,431
Detsky Mir PJSC (Consumer Discretionary, Multiline Retail)		6,007		9,341
Federal Grid Company Unified Energy System PJSC (Utilities, Electric Utilities)		3,206,667		8,521
Gazprom Neft PJSC (Energy, Oil, Gas & Consumable Fuels)		606		2,595
Gazprom PJSC (Energy, Oil, Gas & Consumable Fuels)		295,260		721,085
Inter Rao Ues PJSC (Utilities, Electric Utilities)		3,270,002		228,522
LSR Group PJSC (Real Estate, Real Estate Management & Development)		655		6,924
Lukoil PJSC (Energy, Oil, Gas & Consumable Fuels)		16,589		1,114,742
Magnit PJSC (Consumer Staples, Food & Staples Retailing)		1,223		73,424
Magnitogorsk Iron & Steel Works PJSC (Materials, Metals & Mining)		329,000		167,537
MMC Norilsk Nickel PJSC (Materials, Metals & Mining)		2,671		695,006
Mobile TeleSystems PJSC (Communication Services, Wireless Telecommunication Services)		12,088		55,387
Mobile TeleSystems PJSC ADR (Communication Services, Wireless Telecommunication Services)		16,602		154,731
Moscow Exchange MICEX-RTS PJSC (Financials, Capital Markets)		28,685		52,996
Nizhnekamskneftekhim PJSC (Materials, Chemicals)		12,698		15,694
Novatek PJSC (Energy, Oil, Gas & Consumable Fuels)		19,813		296,369
Novolipetsk Steel PJSC (Materials, Metals & Mining)		115,610		242,294
Novorossiysk Commercial Sea Port PJSC (Industrials, Transportation Infrastructure)		73,234		8,770
PhosAgro PJSC (Materials, Chemicals)		585		22,098
PhosAgro PJSC GDR (Materials, Chemicals) 144A		870		10,296
PIK Group PJSC (Real Estate, Real Estate Management & Development) †		3,544		24,071
Polyus PJSC (Materials, Metals & Mining)		1,476		359,622
Rosgosstrakh PJSC (Financials, Insurance) †		9,149,167		18,453
Rosneft Oil Company PJSC (Energy, Oil, Gas & Consumable Fuels)		41,490		208,759
Rostelecom PJSC (Communication Services, Diversified Telecommunication Services)		13,667		17,700

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

24  |  Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Russia (continued)
Rushydro PJSC (Utilities, Electric Utilities) †		1,760,000	$	17,291
RussNeft PJSC (Energy, Oil, Gas & Consumable Fuels) †		1,614		9,914
Safmar Financial Investment PJSC (Financials, Consumer Finance) †		674		4,806
Sberbank of Russia PJSC (Financials, Banks) †		345,040		1,052,972
Severstal PJSC (Materials, Metals & Mining)		9,167		115,144
Sistema PJSFC (Communication Services, Wireless Telecommunication Services)		41,634		12,022
Surgutneftegas PJSC (Energy, Oil, Gas & Consumable Fuels)		415,200		205,771
Tatneft PJSC (Energy, Oil, Gas & Consumable Fuels)		41,908		309,589
Unipro PJSC (Utilities, Independent Power & Renewable Electricity Producers)		131,000		4,768
United Wagon PJSC (Industrials, Road & Rail) †		1,143		3,578
VTB Bank PJSC (Financials, Banks) †		17,390,000		8,353
				6,314,484
Singapore: 0.01%
BOC Aviation Limited (Industrials, Trading Companies & Distributors) 144A		2,434		18,105
South Africa: 2.54%
Absa Group Limited (Financials, Banks)		28,079		127,961
AECI Limited (Materials, Chemicals)		1,440		7,143
African Rainbow Minerals Limited (Materials, Metals & Mining)		994		12,481
Anglo American Platinum Limited (Materials, Metals & Mining)		2,222		165,710
Anglogold Ashanti Limited (Materials, Metals & Mining)		8,633		251,922
Aspen Pharmacare Holdings Limited (Health Care, Pharmaceuticals) †		22,728		182,173
Astral Foods Limited (Consumer Staples, Food Products)		772		6,070
Avi Limited (Consumer Staples, Food Products)		3,687		15,023
Barloworld Limited (Industrials, Trading Companies & Distributors)		2,642		9,320
Bid Corporation Limited (Consumer Staples, Food & Staples Retailing)		10,360		171,071
Capitec Bank Holdings Limited (Financials, Banks)		1,720		84,725
Clicks Group Limited (Consumer Staples, Food & Staples Retailing)		6,226		84,476
Coronation Fund Managers Limited (Financials, Capital Markets)		1,748		4,415
Dis-Chem Pharmacies Limited (Consumer Staples, Food & Staples Retailing)		5,311		5,721
Discovery Holdings Limited (Financials, Insurance)		4,911		35,064
Distell Group Holdings Limited (Consumer Staples, Beverages)		2,352		9,971
Equites Property Fund Limited (Real Estate, Equity REITs)		6,582		6,679
Exxaro Resources Limited (Energy, Oil, Gas & Consumable Fuels)		28,408		229,895
FirstRand Limited (Financials, Diversified Financial Services)		73,811		164,811
Fortress REIT Limited (Real Estate, Equity REITs)		14,768		10,977
Foschini Limited (Consumer Discretionary, Specialty Retail)		4,018		18,102
Gold Fields Limited (Materials, Metals & Mining)		19,251		248,791
Growthpoint Properties Limited (Real Estate, Equity REITs)		29,813		21,474
Harmony Gold Mining Company Limited (Materials, Metals & Mining) †		4,027		26,277
Impala Platinum Holdings Limited (Materials, Metals & Mining)		22,893		211,181
Imperial Holdings Limited (Consumer Discretionary, Distributors)		2,568		5,252
Investec Limited (Financials, Capital Markets)		3,857		7,154
Italtile Limited (Consumer Discretionary, Specialty Retail)		9,356		7,286
JSE Limited (Financials, Capital Markets)		979		6,850
KAP Industrial Holdings Limited (Industrials, Industrial Conglomerates)		34,901		5,662
Kumba Iron Ore Limited (Materials, Metals & Mining)		6,883		215,611
Liberty Holdings Limited (Financials, Insurance)		1,498		5,347
Life Healthcare Group Holdings Limited (Health Care, Health Care Providers & Services)		14,062		13,721
Momentum Metropolitan Holdings Limited (Financials, Insurance)		162,552		145,375
Mr Price Group Limited (Consumer Discretionary, Specialty Retail)		2,804		19,168
MTN Group Limited (Communication Services, Wireless Telecommunication Services)		14,636		52,729
MultiChoice Group Limited (Communication Services, Media) †		4,737		27,076
Naspers Limited (Consumer Discretionary, Internet & Direct Marketing Retail)		7,401		1,350,310
Nedbank Group Limited (Financials, Banks)		11,680		66,140

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

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  25

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
South Africa (continued)
Netcare Limited (Health Care, Health Care Providers & Services)		13,217	$	9,746
Northam Platinum Limited (Materials, Metals & Mining) †		12,914		121,931
Old Mutual Limited (Financials, Insurance)		56,091		37,027
Pepkor Holdings Limited (Consumer Discretionary, Household Durables)		14,537		8,319
Pick n Pay Stores Limited (Consumer Staples, Food & Staples Retailing)		62,707		154,370
PSG Group Limited (Financials, Diversified Financial Services)		2,114		5,612
Rand Merchant Investment Holdings Limited (Financials, Insurance)		86,814		154,000
Redefine Properties Limited (Real Estate, Equity REITs)		59,292		8,640
Remgro Limited (Financials, Diversified Financial Services)		5,648		29,294
Resilient REIT Limited (Real Estate, Equity REITs)		3,642		8,414
Reunert Limited (Industrials, Industrial Conglomerates)		2,516		4,631
RMB Holdings Limited (Financials, Diversified Financial Services)		34,406		2,497
Sanlam Limited (Financials, Insurance)		20,593		66,792
Santam Limited (Financials, Insurance)		402		5,805
Sappi Limited (Materials, Paper & Forest Products) †		6,579		8,651
Sasol Limited (Materials, Chemicals) †		5,663		46,293
Shoprite Holdings Limited (Consumer Staples, Food & Staples Retailing)		5,672		36,974
Sibanye Stillwater Limited (Materials, Metals & Mining) †		54,901		166,116
SPAR Group Limited (Consumer Staples, Food & Staples Retailing)		7,072		67,444
Standard Bank Group Limited (Financials, Banks)		22,571		140,596
Super Group Limited (Consumer Staples, Food & Staples Retailing) †		4,993		5,314
The Bidvest Group Limited (Industrials, Industrial Conglomerates)		3,513		28,208
Tiger Brands Limited (Consumer Staples, Food Products)		3,818		38,837
Truworths International Limited (Consumer Discretionary, Specialty Retail)		5,222		9,365
Vodacom Group Limited (Communication Services, Wireless Telecommunication Services)		12,062		90,988
Vukile Property Fund Limited REIT (Real Estate, Equity REITs)		11,295		3,318
Woolworths Holdings Limited (Consumer Discretionary, Multiline Retail)		11,183		20,972
				5,319,268
South Korea: 10.88%
AfreecaTV Company Limited (Communication Services, Interactive Media & Services)		137		6,689
Alteogen Incorporated (Health Care, Biotechnology) †		280		49,263
Amorepacific Corporation (Consumer Staples, Personal Products)		544		76,936
Amorepacific Group (Consumer Staples, Personal Products)		462		19,835
Ananti Incorporated (Consumer Discretionary, Hotels, Restaurants & Leisure) †		736		5,638
BGF Retail Company Limited (Consumer Staples, Food & Staples Retailing)		127		13,631
BH Company Limited (Information Technology, Electronic Equipment, Instruments & Components) †		318		5,434
BNK Financial Group Incorporated (Financials, Banks)		64,486		275,771
Bukwang Pharmaceutical Company (Health Care, Pharmaceuticals)		555		17,661
Cellivery Therapeutics Incorporated (Health Care, Life Sciences Tools & Services) †		81		16,283
Celltrion Healthcare Company Limited (Health Care, Health Care Providers & Services) †		1,356		114,265
Celltrion Incorporated (Health Care, Pharmaceuticals) †		2,175		543,796
Celltrion Pharm Incorporated (Health Care, Pharmaceuticals) †		201		18,799
Chabiotech Company Limited (Health Care, Health Care Providers & Services) †		543		9,942
Cheil Worldwide Incorporated (Communication Services, Media)		960		14,749
Chong Kun Dang Pharmaceutical Corporation (Health Care, Pharmaceuticals)		61		9,962
Chunbo Company Limited (Materials, Chemicals)		63		8,719
CJ Cheiljedang Corporation (Consumer Staples, Food Products)		96		32,892
CJ Corporation (Industrials, Industrial Conglomerates)		638		43,504
CJ ENM Company Limited (Consumer Discretionary, Internet & Direct Marketing Retail)		1,361		135,997
CJ Korea Express Corporation (Industrials, Road & Rail) †		896		114,272
Com2us Corporation (Communication Services, Entertainment)		122		11,410
Cosmax Incorporated (Consumer Staples, Personal Products)		82		7,041
Coway Company Limited (Consumer Discretionary, Household Durables)		622		41,784
CrystalGenomics Incorporated (Health Care, Biotechnology) †		554		9,467
Daeduck Electronics Company Limited (Information Technology, Electronic Equipment, Instruments & Components) †		592		5,457

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

26  |  Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
South Korea (continued)
Daelim Industrial Company Limited (Industrials, Construction & Engineering)		2,741	$	200,516
Daesang Corporation (Consumer Staples, Food Products)		327		7,955
Daewoo Engineering & Construction Company Limited (Industrials, Construction & Engineering) †		71,095		176,256
Daewoo Shipbuilding & Marine Engineering Company Limited (Industrials, Machinery) †		1,494		27,858
Daewoong Company Limited (Health Care, Pharmaceuticals)		561		16,883
Daewoong Pharmaceutical Company (Health Care, Pharmaceuticals)		88		8,593
Daishin Securities Company Limited (Financials, Capital Markets)		109		941
Daou Technology Incorporated (Financials, Capital Markets)		259		4,241
DB HiTek Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		478		14,305
Dentium Company Limited (Health Care, Health Care Equipment & Supplies) †		110		3,468
DGB Financial Group Incorporated (Financials, Banks)		2,298		10,234
Dong-A ST Company Limited (Health Care, Pharmaceuticals)		81		6,451
Dongbu Insurance Company Limited (Financials, Insurance)		2,087		76,688
Dongjin Semichem Company Limited (Materials, Chemicals)		449		12,549
Dongkook Pharmaceutical Company Limited (Health Care, Pharmaceuticals) (a)		60		7,632
Dongsuh Company Incorporated (Consumer Staples, Food & Staples Retailing)		680		14,626
Doosan Bobcat Incorporated (Industrials, Machinery)		1,246		27,586
Doosan Corporation (Industrials, Industrial Conglomerates)		1		39
Doosan Fuel Cell Company Limited (Industrials, Electrical Equipment) †		450		15,759
Doosan Heavy Industries & Construction Company Limited (Industrials, Electrical Equipment) †		1,618		21,929
Doosan Infracore Company Limited (Industrials, Machinery) †		2,033		13,760
Doosan Solus Company Limited (Information Technology, Electronic Equipment, Instruments & Components) †		231		7,778
DoubleUGames Company Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		146		8,984
Douzone Bizon Company Limited (Information Technology, Software)		242		20,576
E-MART Incorporated (Consumer Staples, Food & Staples Retailing)		774		78,188
Ecopro BM Company Limited (Industrials, Electrical Equipment)		86		11,221
EO Technics Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		92		8,697
F&F Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		104		8,449
Fila Korea Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		563		16,446
G-treeBNT Company Limited (Health Care, Biotechnology) †		259		6,530
GemVax & KAEL Company Limited (Information Technology, Semiconductors & Semiconductor Equipment) †		338		6,317
Genexine Company Limited (Health Care, Biotechnology) †		226		34,207
Grand Korea Leisure Company Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		406		4,050
Green Cross Corporation (Health Care, Biotechnology)		70		15,645
Green Cross Holdings Corporation (Health Care, Biotechnology)		438		10,140
GS Engineering & Construction Corporation (Industrials, Construction & Engineering)		6,185		128,605
GS Holdings Corporation (Energy, Oil, Gas & Consumable Fuels)		4,387		120,025
GS Home Shopping Incorporated (Consumer Discretionary, Internet & Direct Marketing Retail)		51		5,023
GS Retail Company Limited (Consumer Staples, Food & Staples Retailing)		4,922		136,527
Hana Financial Group Incorporated (Financials, Banks)		12,352		293,229
Hana Tour Service Incorporated (Consumer Discretionary, Hotels, Restaurants & Leisure)		185		5,980
Hanall Biopharma Company Limited (Health Care, Pharmaceuticals) †		486		14,135
Handsome Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		215		5,692
Hanjin Kal Corporation (Industrials, Airlines)		158		10,095
Hankook Tire Company Limited (Consumer Discretionary, Auto Components)		3,274		81,306
Hanmi Pharm Company Limited (Health Care, Pharmaceuticals)		72		18,577
Hanmi Science Company Limited (Health Care, Pharmaceuticals)		405		19,979
Hanon Systems (Consumer Discretionary, Auto Components)		1,740		18,896
Hansol Chemical Company Limited (Materials, Chemicals)		107		14,547
Hanssem Company Limited (Consumer Discretionary, Household Durables)		176		14,416
Hanwha Chem Corporation (Materials, Chemicals)		1,803		60,636
Hanwha Corporation (Industrials, Industrial Conglomerates)		3,683		85,262
Hanwha Life Insurance Company Limited (Financials, Insurance)		5,025		6,472
Hanwha Techwin Company Limited (Industrials, Aerospace & Defense) †		466		10,121
HDC Holdings Company Limited (Industrials, Construction & Engineering)		648		6,137

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

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  27

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
South Korea (continued)
HDC Hyundai Development Co-Engineering & Construction (Industrials, Construction & Engineering)		567	$	10,978
Hite Jinro Company Limited (Consumer Staples, Beverages)		468		14,538
HLB Company Limited (Consumer Discretionary, Leisure Products) †		643		46,984
HLB Life Science Company Limited (Health Care, Health Care Providers & Services) †		479		7,278
Hotel Shilla Company Limited (Consumer Discretionary, Specialty Retail)		440		26,039
Hugel Incorporated (Health Care, Biotechnology) †		81		11,169
Hyosung Corporation (Materials, Chemicals)		100		5,640
Hyundai Department Store Company Limited (Consumer Discretionary, Multiline Retail)		4,279		193,436
Hyundai Elevator Company (Industrials, Machinery)		341		11,784
Hyundai Engineering & Construction Company Limited (Industrials, Construction & Engineering)		3,310		89,862
Hyundai Glovis Company Limited (Industrials, Air Freight & Logistics)		902		110,482
Hyundai Greenfood Company Limited (Consumer Staples, Food & Staples Retailing)		1,014		6,180
Hyundai Heavy Industries Company Limited (Industrials, Machinery)		137		26,064
Hyundai Home Shopping Network Corporation (Consumer Discretionary, Internet & Direct Marketing Retail)		109		5,992
Hyundai Marine & Fire Insurance Company Limited (Financials, Insurance)		8,706		161,969
Hyundai Merchant Marine Company Limited (Industrials, Marine) †		3,240		15,710
Hyundai Mipo Dockyard Company Limited (Industrials, Machinery)		349		9,034
Hyundai Mobis Company (Consumer Discretionary, Auto Components)		1,156		217,985
Hyundai Motor Company (Consumer Discretionary, Automobiles)		2,762		410,382
Hyundai Rotem Company (Industrials, Machinery) †		599		7,639
Hyundai Steel Company (Materials, Metals & Mining)		1,062		22,440
Hyundai Wia Corporation (Consumer Discretionary, Auto Components)		212		7,433
Iljin Materials Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		267		11,205
Ilyang Pharmaceutical Company Limited (Health Care, Pharmaceuticals)		177		12,129
Industrial Bank of Korea (Financials, Banks)		2,310		15,732
Innocean Worldwide Incorporated (Communication Services, Media)		90		4,167
ITM Semiconductor Company Limited (Information Technology, Semiconductors & Semiconductor Equipment) †		88		4,260
JB Financial Group Company Limited (Financials, Banks)		2,041		7,371
JYP Entertainment Corporation (Communication Services, Entertainment)		252		7,393
Kakao Corporation (Communication Services, Interactive Media & Services)		981		336,112
Kangwon Land Incorporated (Consumer Discretionary, Hotels, Restaurants & Leisure)		1,381		24,007
KB Financial Group Incorporated (Financials, Banks)		11,564		358,728
KEPCO Plant Service & Engineering Company Limited (Industrials, Commercial Services & Supplies)		235		5,500
Kia Motors Corporation (Consumer Discretionary, Automobiles)		5,260		187,968
Kiwoom Securities Company (Financials, Capital Markets)		127		11,653
KMW Company Limited (Information Technology, Communications Equipment) †		367		23,604
Koh Young Technology Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		133		10,077
Kolmar Korea Company Limited (Consumer Staples, Personal Products)		105		4,048
Kolon Industries Incorporated (Materials, Chemicals)		222		5,980
Komipharm International Company (Health Care, Pharmaceuticals) †		593		7,713
Korea Aerospace Industries Limited (Industrials, Aerospace & Defense)		1,220		23,057
Korea Electric Power Corporation (Utilities, Electric Utilities) †		4,242		73,206
Korea Gas Corporation (Utilities, Gas Utilities)		661		13,132
Korea Investment Holdings Company Limited (Financials, Capital Markets)		2,926		150,007
Korea Petrochemical Industrial Company Limited (Materials, Chemicals)		63		6,258
Korea Reinsurance Company (Financials, Insurance)		1,291		7,977
Korea Shipbuilding & Offshore Engineering Company Limited (Industrials, Machinery) †		592		42,959
Korea Zinc Company Limited (Materials, Metals & Mining)		149		49,984
Korean Air Lines Company Limited (Industrials, Airlines) †		1,198		17,800
KT Corporation (Communication Services, Diversified Telecommunication Services)		3,207		64,523
KT&G Corporation (Consumer Staples, Tobacco)		2,898		202,731
Kuk-il Paper Manufacturing Company Limited (Materials, Paper & Forest Products) †		1,193		5,011
Kumho Petrochemical Company Limited (Materials, Chemicals)		3,841		324,960

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

28  |  Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
South Korea (continued)
L&C BIO Company Limited (Health Care, Biotechnology)		64	$	7,106
L&F Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		209		7,390
LEENO Industrial Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		125		13,364
LG Chem Limited (Materials, Chemicals)		972		605,506
LG Corporation (Industrials, Industrial Conglomerates)		2,975		207,116
LG Display Company Limited (Information Technology, Electronic Equipment, Instruments & Components) †		2,573		31,624
LG Electronics Incorporated (Consumer Discretionary, Household Durables)		3,119		221,079
LG Household & Health Care Limited (Consumer Staples, Personal Products)		234		290,161
LG Innotek Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		2,330		284,409
LG Uplus Corporation (Communication Services, Diversified Telecommunication Services)		12,790		128,664
Lotte Chemical Corporation (Materials, Chemicals)		590		94,120
Lotte Corporation (Industrials, Industrial Conglomerates)		974		24,598
LOTTE Fine Chemical Company Limited (Materials, Chemicals)		151		5,682
LOTTE REIT Company Limited (Real Estate, Equity REITs)		1,085		4,640
Lotte Shopping Company Limited (Consumer Discretionary, Multiline Retail)		129		8,253
Lotte Tour Development Company Limited (Consumer Discretionary, Hotels, Restaurants & Leisure) †(a)		518		8,242
LS Corporation (Industrials, Electrical Equipment)		399		15,199
LS Industrial Systems Company Limited (Industrials, Electrical Equipment)		206		9,382
Mando Corporation (Consumer Discretionary, Auto Components)		390		10,309
Medipost Company Limited (Health Care, Health Care Providers & Services) †		193		4,671
Medy-Tox Incorporated (Health Care, Biotechnology)		40		8,408
Meritz Financial Group Incorporated (Financials, Diversified Financial Services)		448		3,481
Meritz Fire & Marine Insurance Company Limited (Financials, Insurance)		554		5,946
Meritz Securities Company Limited (Financials, Capital Markets)		3,206		8,650
Mezzion Pharma Company Limited (Health Care, Pharmaceuticals) †		108		15,474
Mirae Asset Daewoo Company Limited (Financials, Capital Markets)		5,030		39,380
NATURECELL Company Limited (Consumer Staples, Food Products) †		665		5,962
Naver Corporation (Communication Services, Interactive Media & Services)		4,118		1,117,986
NCsoft Corporation (Communication Services, Entertainment)		598		415,313
NEPES Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		230		5,663
Netmarble Games Corporation (Communication Services, Entertainment) 144A†		263		36,863
NH Investment & Securities Company Limited (Financials, Capital Markets)		3,169		23,903
NHN Entertainment Corporation (Communication Services, Entertainment) †		163		10,003
NHN KCP Corporation (Information Technology, IT Services)		178		10,774
Nice Information Service Company (Industrials, Professional Services)		416		6,304
NongShim Company Limited (Consumer Staples, Food Products)		51		15,434
OIC Company Limited (Materials, Chemicals) †		214		11,656
Orion Corporation of Republic of Korea (Consumer Staples, Food Products)		2,376		281,024
Osstem Implant Company Limited (Health Care, Health Care Equipment & Supplies) †		129		4,029
Ottogi Corporation (Consumer Staples, Food Products)		150		76,017
Pan Ocean Company Limited (Industrials, Marine) †		19,844		56,714
Paradise Company Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		819		9,170
Partron Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		559		4,800
Pearl Abyss Corporation (Communication Services, Entertainment) †		1,430		219,093
Pharmicell Company Limited (Health Care, Biotechnology) †		660		12,445
POSCO (Materials, Metals & Mining)		2,266		351,946
POSCO Chemtech Company Limited (Materials, Construction Materials)		282		21,128
POSCO INTERNATIONAL Corporation (Industrials, Trading Companies & Distributors)		23,641		270,660
RFHIC Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		182		6,014
S-Oil Corporation (Energy, Oil, Gas & Consumable Fuels)		645		30,678
S1 Corporation Incorporated (Industrials, Commercial Services & Supplies)		308		22,609
Sam Chun Dang Pharmaceutical Company Limited (Health Care, Pharmaceuticals)		188		9,274
Samsung Biologics Company Limited (Health Care, Life Sciences Tools & Services) †		471		308,475
Samsung C&T Corporation (Industrials, Industrial Conglomerates)		2,000		181,833
Samsung Card Company Limited (Financials, Consumer Finance)		266		6,438

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

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  29

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
South Korea (continued)
Samsung Electro-Mechanics Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		2,880	$	301,844
Samsung Electronics Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		145,857		6,630,422
Samsung Engineering Company Limited (Industrials, Construction & Engineering) †		18,231		173,424
Samsung Fire & Marine Insurance (Financials, Insurance)		490		77,136
Samsung Heavy Industries Company Limited (Industrials, Machinery) †		7,139		31,010
Samsung Life Insurance Company Limited (Financials, Insurance)		1,277		65,790
Samsung SDI Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		1,150		438,063
Samsung SDS Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		499		66,161
Samsung Securities Company Limited (Financials, Capital Markets)		619		15,711
Seegene Incorporated (Health Care, Biotechnology)		220		48,708
Seoul Semiconductor Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		476		6,532
SFA Engineering Corporation (Information Technology, Electronic Equipment, Instruments & Components)		305		8,511
Shinhan Financial Group Company Limited (Financials, Banks)		5,674		141,623
Shinsegae Company Limited (Consumer Discretionary, Multiline Retail)		1,305		223,011
Shinsegae International Company Limited (Consumer Discretionary, Specialty Retail)		38		4,335
Sillajen Incorporated (Health Care, Biotechnology) †(a)‡		2,972		30,273
SK Chemicals Company Limited (Materials, Chemicals)		80		26,501
SK Company Limited (Industrials, Industrial Conglomerates)		975		175,646
SK Hynix Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		17,677		1,117,554
SK Innovation Company Limited (Energy, Oil, Gas & Consumable Fuels)		797		97,285
SK Materials Company Limited (Materials, Chemicals)		67		13,909
SK Networks Company Limited (Industrials, Trading Companies & Distributors)		1,889		8,253
SK Telecom Company Limited (Communication Services, Wireless Telecommunication Services)		1,011		211,068
SKC Company Limited (Materials, Chemicals)		252		19,623
SM Entertainment Company (Communication Services, Entertainment) †		189		5,473
Soulbrain Company Limited (Materials, Chemicals) †		31		5,658
Soulbrain Company Limited (Materials, Chemicals)		78		3,053
Ssangyong Cement Industrial Company Limited (Materials, Construction Materials)		1,273		6,044
Studio Dragon Corporation (Communication Services, Entertainment) †		93		6,263
Taeyoung Engineering & Construction Company Limited (Industrials, Construction & Engineering) (a)		446		8,110
Toptec Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		318		4,417
Wonik IPS Company Limited (Information Technology, Semiconductors & Semiconductor Equipment) †		412		11,099
Woori Financial Group Incorporated (Financials, Banks)		22,422		159,685
Young Poong Corporation (Materials, Metals & Mining)		8		3,297
Youngone Corporation (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		297		7,851
Yuhan Corporation (Health Care, Pharmaceuticals)		661		37,282
Yungjin Pharmaceutical Company (Health Care, Pharmaceuticals) †		1,168		6,706
Zinus Incorporated (Consumer Discretionary, Household Durables)		101		7,176
				22,808,193
Taiwan: 13.03%
Accton Technology Corporation (Information Technology, Communications Equipment)		20,000		159,501
Acer Incorporated (Information Technology, Technology Hardware, Storage & Peripherals)		40,000		31,832
Advantech Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		8,248		85,315
Aerospace industrial Development Corporation (Industrials, Aerospace & Defense)		7,000		7,634
Airtac International Group (Industrials, Machinery)		3,000		66,561
Alchip Technologies Limited (Information Technology, Semiconductors & Semiconductor Equipment)		667		11,980
Arcadyan Technology Corporation (Information Technology, Communications Equipment)		2,334		7,318
ASE Technology Holding Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		101,000		210,664
Asia Cement Corporation (Materials, Construction Materials)		139,000		201,336

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

30  |  Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Taiwan (continued)
Asia Optical Company Incorporated (Information Technology, Electronic Equipment, Instruments & Components)		3,334	$	7,499
Asia Pacific Telecom Company Limited (Communication Services, Diversified Telecommunication Services) †		42,000		10,621
Asia Vital Components Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		4,000		9,570
ASMedia Technology Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		334		20,091
Asustek Computer Incorporated (Information Technology, Technology Hardware, Storage & Peripherals)		17,000		140,790
AU Optronics Corporation (Information Technology, Electronic Equipment, Instruments & Components) †		109,667		39,058
BizLink Holding Incorporated (Industrials, Electrical Equipment)		1,667		14,033
Capital Securities Corporation (Financials, Capital Markets)		26,234		9,835
Career Technology Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		6,746		6,484
Catcher Technology Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		24,000		164,000
Cathay Financial Holding Company (Financials, Insurance)		259,000		351,759
Cathay No.1 REIT (Real Estate, Equity REITs)		21,682		13,316
Cathay No.2 REIT (Real Estate, Equity REITs)		11,167		6,984
Cathay Real Estate Development Company Limited (Real Estate, Real Estate Management & Development)		6,667		4,431
Century Iron & Steel Industrial Company Limited (Materials, Metals & Mining)		3,000		12,576
Chailease Holding Company Limited (Financials, Diversified Financial Services)		22,379		98,771
Chang Hwa Commercial Bank (Financials, Banks)		92,597		57,594
Charoen Pokphand Enterprise (Taiwan) Company Limited (Consumer Staples, Food Products)		3,000		6,973
Cheng Loong Corporation (Materials, Containers & Packaging)		14,334		14,802
Cheng Shin Rubber Industry Company Limited (Consumer Discretionary, Auto Components)		27,334		33,537
Cheng Uei Precision Industry Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		3,334		4,767
Chicony Electronics Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		57,335		172,934
Chicony Power Technology Company (Industrials, Electrical Equipment)		2,000		5,044
Chilisin Electronics Corporation (Information Technology, Electronic Equipment, Instruments & Components)		2,409		8,103
Chin Poon Industrial Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		8,000		6,939
China Airlines (Industrials, Airlines) †		26,334		7,665
China Bills Finance Corporation (Financials, Capital Markets)		10,846		5,397
China Development Financial Holding Corporation (Financials, Insurance)		190,000		55,301
China Life Insurance Company—Taiwan Exchange (Financials, Insurance)		141,000		98,753
China Petrochemical Development Corporation (Materials, Chemicals)		56,117		16,486
China Steel Chemical Corporation (Materials, Chemicals)		1,334		4,201
China Steel Corporation (Materials, Metals & Mining)		168,667		114,393
ChipMOS Technologies Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		5,667		5,620
Chong Hong Construction Company Limited (Real Estate, Real Estate Management & Development)		2,334		6,666
Chroma ATE Incorporated (Information Technology, Electronic Equipment, Instruments & Components)		5,334		29,268
Chunghwa Telecom Company Limited (Communication Services, Diversified Telecommunication Services)		150,000		554,675
Cleanaway Company Limited (Industrials, Commercial Services & Supplies)		1,334		7,229
Clevo Company (Information Technology, Technology Hardware, Storage & Peripherals)		8,667		8,743
Compal Electronic Incorporated (Information Technology, Technology Hardware, Storage & Peripherals)		422,000		266,074
Compeq Manufacturing Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		15,000		22,315
CTBC Financial Holding Company Limited (Financials, Banks)		666,000		430,131
CTCI Corporation (Industrials, Construction & Engineering)		7,667		9,407
Cub Elecparts Incorporated (Consumer Discretionary, Auto Components)		1,024		5,846

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

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  31

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Taiwan (continued)
Delta Electronics Incorporated (Information Technology, Electronic Equipment, Instruments & Components)		39,000	$	251,214
E.SUN Financial Holding Company Limited (Financials, Banks)		464,093		430,221
Eclat Textile Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		4,667		61,635
Elan Microelectronics Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		3,034		14,683
Elite Material Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		3,667		21,246
Elite Semiconductor Memory Technology Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		4,000		4,962
Ennoconn Corporation (Information Technology, Technology Hardware, Storage & Peripherals) †		667		6,729
EnTie Commercial Bank (Financials, Banks)		14,728		6,952
Epistar Corporation (Information Technology, Semiconductors & Semiconductor Equipment) †		13,000		17,678
Eternal Chemical Company Limited (Materials, Chemicals)		10,485		12,346
Eva Airways Corporation (Industrials, Airlines)		23,624		9,259
Evergreen Marine Corporation (Taiwan) Limited (Industrials, Marine) †		54,617		32,389
Everlight Electronics Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		6,667		7,850
Far Eastern Department Stores Company Limited (Consumer Discretionary, Multiline Retail)		12,667		11,203
Far Eastern International Bank (Financials, Banks)		52,087		19,882
Far Eastern New Century Corporation (Industrials, Industrial Conglomerates)		51,000		45,974
Far EasTone Telecommunications Company Limited (Communication Services, Wireless Telecommunication Services)		55,500		115,950
Feng Hsin Iron & Steel Company (Materials, Metals & Mining)		8,836		17,165
Feng Tay Enterprise Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		8,160		47,417
First Financial Holding Company Limited (Financials, Banks)		298,898		216,471
Flexium Interconnect Incorporated (Information Technology, Electronic Equipment, Instruments & Components)		3,000		12,883
Formosa Chemicals & Fibre Corporation (Materials, Chemicals)		90,500		209,120
Formosa Petrochemical Corporation (Energy, Oil, Gas & Consumable Fuels)		28,000		78,251
Formosa Plastics Corporation (Materials, Chemicals)		119,000		317,155
Formosa Taffeta Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		88,500		95,463
Foxconn Technology Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		51,500		91,621
Foxsemicon Integrated Technology Incorporated Class H (Information Technology, Semiconductors & Semiconductor Equipment)		1,000		6,510
Fubon Financial Holding Company Limited (Financials, Insurance)		236,000		344,250
Fulgent Sun International Holding Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		2,000		8,589
Fusheng Precision Company Limited (Consumer Discretionary, Leisure Products)		1,667		9,829
General Interface Solution Holding Limited (Information Technology, Electronic Equipment, Instruments & Components)		3,000		13,292
Genius Electronic Optical Company (Information Technology, Electronic Equipment, Instruments & Components)		1,000		19,495
Getac Technology Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		4,334		7,208
Giant Manufacturing Company Limited (Consumer Discretionary, Leisure Products)		22,000		228,686
Gigabyte Technology Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		6,667		19,291
Global Lighting Technologies Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		1,000		4,311
Global Unichip Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		1,000		9,015
Globalwafers Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		12,000		161,137
Gold Circuit Electronics Limited (Information Technology, Electronic Equipment, Instruments & Components) †		6,000		10,511
Goldsun Development & Construction Company Limited (Materials, Construction Materials)		16,000		11,806
Gourmet Master Company Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		1,646		5,604
Grand Pacific Petrochemical Corporation (Materials, Chemicals) †		22,667		14,832

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

32  |  Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Taiwan (continued)
Grape King Bio Limited (Consumer Staples, Personal Products)		1,334	$	8,184
Great Taipei Gas Company Limited (Utilities, Gas Utilities)		6,667		7,032
Great Wall Enterprises Company Limited (Consumer Staples, Food Products)		10,793		16,645
Greatek Electronic Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		3,334		5,704
Hannstar Board Corporation (Information Technology, Electronic Equipment, Instruments & Components)		4,000		5,937
Hannstar Display Corporation (Information Technology, Electronic Equipment, Instruments & Components) †		38,334		10,504
Hey Song Corporation (Consumer Staples, Beverages)		11,810		12,920
Highwealth Construction Corporation (Real Estate, Real Estate Management & Development)		9,000		14,232
Hiwin Technologies Corporation (Industrials, Machinery)		6,567		72,068
Holtek Semiconductor Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		2,000		4,349
Holy Stone Enterprise Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		2,334		8,273
Hon Hai Precision Industry Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		426,400		1,117,535
Hota Industrial Manufacturing Company Limited (Consumer Discretionary, Auto Components)		3,334		11,874
Hotai Finance Company Limited (Financials, Consumer Finance)		2,000		5,508
Hotai Motor Company Limited (Consumer Discretionary, Specialty Retail)		7,000		142,426
Hua Nan Financial Holdings Company Limited Class C (Financials, Banks)		329,031		202,410
Huaku Development Company Limited (Real Estate, Real Estate Management & Development)		2,667		8,144
IBF Financial Holdings Company Limited (Financials, Capital Markets)		23,990		9,443
Innolux Display Corporation (Information Technology, Electronic Equipment, Instruments & Components)		114,667		35,641
International CSRC Investment Holdings Company Limited (Materials, Chemicals)		11,402		8,005
Inventec Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		83,834		65,001
ITEQ Corporation (Information Technology, Electronic Equipment, Instruments & Components)		3,000		12,218
Jentech Precision Industrial Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		1,000		10,429
Kenda Rubber Industrial Company Limited (Consumer Discretionary, Auto Components)		9,292		10,134
King Slide Works Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		667		6,922
King Yuan Electronics Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		11,667		12,406
King’s Town Bank Company Limited (Financials, Banks)		14,334		17,856
Kinpo Electronics Incorporated (Consumer Discretionary, Household Durables)		19,000		7,447
Kinsus Interconnect Technology Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		3,334		7,249
Largan Precision Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		1,000		115,366
Lien Hwa Industrial Corporation (Consumer Staples, Food Products)		15,505		22,221
Lite-On Technology Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		142,000		224,556
LOTES Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		1,000		14,587
Machvision Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		667		6,342
Macronix International Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		23,179		23,857
Makalot Industrial Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		2,934		19,749
Mediatek Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		36,000		682,174
Mega Financial Holding Company Limited (Financials, Banks)		320,000		319,002
Mercuries Life Insurance Company (Financials, Insurance) †		26,768		8,594
Merida Industry Company Limited (Consumer Discretionary, Leisure Products)		2,334		19,489
Merry Electronics Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		2,667		13,998
Micro-Star International Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		39,000		180,103
Mitac Holdings Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		11,855		11,677
Momo.com Incorporated (Consumer Discretionary, Internet & Direct Marketing Retail)		667		16,572

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

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  33

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Taiwan (continued)
Nan Kang Rubber Tire Company Limited (Consumer Discretionary, Auto Components)		6,000	$	9,601
Nan Liu Enterprise Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		1,000		9,202
Nan Ya Plastics Corporation (Materials, Chemicals)		138,000		289,249
Nan Ya Printed Circuit Board Corporation (Information Technology, Electronic Equipment, Instruments & Components)		2,000		8,214
Nantex Industry Company Limited (Materials, Chemicals)		5,000		8,001
Nanya Technology Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		53,000		93,748
Nien Made Enterprise Company Limited (Consumer Discretionary, Household Durables)		1,667		19,203
Novatek Microelectronics Corporation Limited (Information Technology, Semiconductors & Semiconductor Equipment)		40,000		327,182
Oriental Union Chemical Corporation (Materials, Chemicals)		9,334		5,424
Pegatron Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		173,000		368,505
Pharmally International Holding Company Limited (Health Care, Pharmaceuticals) (a)		2,064		3,981
Phison Electronics Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		19,000		179,371
Pou Chen Corporation (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		66,667		62,937
Powertech Technology Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		103,000		303,297
President Chain Store Corporation (Consumer Staples, Food & Staples Retailing)		14,334		131,901
President Securities Corporation (Financials, Capital Markets)		21,930		12,183
Primax Electronics Limited (Information Technology, Technology Hardware, Storage & Peripherals)		6,000		9,141
Prince Housing & Development Corporation (Real Estate, Real Estate Management & Development)		20,934		7,313
Qisda Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		18,000		11,410
Quanta Computer Incorporated (Information Technology, Technology Hardware, Storage & Peripherals)		119,000		312,288
Radiant Opto-Electronics Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		6,000		22,085
Realtek Semiconductor Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		12,000		155,411
Rexon Industrial Corporation Limited (Industrials, Machinery)		2,000		6,850
Ruentex Development Company Limited (Real Estate, Real Estate Management & Development)		13,440		19,788
Ruentex Industries Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		5,000		11,860
Run Long Construction Company Limited (Industrials, Construction & Engineering)		1,334		3,214
Sanyang Industry Company Limited (Consumer Discretionary, Automobiles)		8,334		6,732
Sercomm Corporation (Information Technology, Communications Equipment)		3,000		7,955
Shihlin Electric & Engineering Corporation (Industrials, Electrical Equipment)		5,696		9,522
Shin Kong Financial Holding Company Limited (Financials, Insurance)		283,000		80,054
Shin Kong No.1 REIT (Real Estate, Equity REITs)		16,422		11,099
Shin Zu Shing Company Limited (Industrials, Machinery)		2,334		12,011
Shinkong Synthetic Fibers Corporation (Materials, Chemicals)		19,000		7,900
Sigurd Microelectronics Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		4,000		5,201
Silergy Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		3,000		190,686
Sinbon Electronics Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		2,667		16,407
Sinopac Financial Holdings Company Limited (Financials, Banks)		334,400		123,086
Sitronix Technology Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		1,667		8,181
Standard Foods Corporation (Consumer Staples, Food Products)		30,167		65,492
Synnex Technology International Corporation (Information Technology, Electronic Equipment, Instruments & Components)		294,000		437,871
Systex Corporation (Information Technology, IT Services)		3,000		8,926
Ta Chen Stainless Pipe Company (Materials, Metals & Mining)		14,566		10,549
Taichung Commercial Bank (Financials, Banks)		49,334		18,747
Tainan Spinning Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		23,000		9,171
Taishin Financial Holdings Company Limited (Financials, Banks)		349,381		157,773
Taiwan Business Bank (Financials, Banks)		140,790		47,983
Taiwan Cement Corporation (Materials, Construction Materials)		197,843		289,265
Taiwan Cogeneration Corporation (Utilities, Independent Power & Renewable Electricity Producers)		5,334		6,817
Taiwan Cooperative Financial Holdings Company Limited (Financials, Banks)		164,727		112,563

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

34  |  Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Taiwan (continued)
Taiwan Fertilizer Company Limited (Materials, Chemicals)		8,667	$	16,039
Taiwan Glass Industrial Corporation (Industrials, Building Products) †		25,667		10,060
Taiwan High Speed Rail Corporation (Industrials, Transportation Infrastructure)		41,334		45,783
Taiwan Hon Chuan Enterprise Company Limited (Materials, Containers & Packaging)		3,667		7,349
Taiwan Mobile Company Limited (Communication Services, Wireless Telecommunication Services)		77,000		266,363
Taiwan Paiho Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		3,334		8,977
Taiwan Secom Company Limited (Industrials, Commercial Services & Supplies)		4,000		11,588
Taiwan Semiconductor Manufacturing Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		697,000		10,131,401
Taiwan Shin Kong Security Company (Industrials, Commercial Services & Supplies)		10,613		13,148
Taiwan Surface Mounting Technology Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		3,667		14,872
TECO Electric & Machinery Company Limited (Industrials, Electrical Equipment)		26,667		26,629
The Shanghai Commercial & Savings Bank Limited (Financials, Banks)		69,000		98,298
Tong Hsing Electronic Industries Limited (Information Technology, Electronic Equipment, Instruments & Components)		1,334		6,024
Tong Yang Industry Company Limited (Consumer Discretionary, Auto Components)		6,334		8,354
Topco Scientific Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		1,000		4,090
TPK Holding Company Limited (Information Technology, Electronic Equipment, Instruments & Components) †		5,000		8,384
Transcend Information Incorporated (Information Technology, Technology Hardware, Storage & Peripherals)		2,334		5,242
Tripod Technology Corporation (Information Technology, Electronic Equipment, Instruments & Components)		6,000		23,721
TSRC Corporation (Materials, Chemicals)		10,667		6,380
Tung Ho Steel Enterprise Corporation (Materials, Metals & Mining)		13,000		11,852
TXC Corporation (Information Technology, Electronic Equipment, Instruments & Components)		3,334		8,783
U-Ming Marine Transport Corporation (Industrials, Marine)		8,000		8,180
Uni-President Enterprises Corporation (Consumer Staples, Food Products)		88,334		200,503
Unimicron Technology Corporation (Information Technology, Electronic Equipment, Instruments & Components)		14,667		36,791
Union Bank of Taiwan (Financials, Banks)		74,009		25,854
Unitech Printed Circuit Board Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		8,667		6,114
United Integrated Services Company Limited (Industrials, Construction & Engineering)		2,334		16,386
United Microelectronics Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		338,000		244,214
United Renewable Energy Company Limited (Information Technology, Semiconductors & Semiconductor Equipment) †		21,000		8,266
Vanguard International Semiconductor Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		17,000		54,172
Visual Photonics Epitaxy Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		2,334		6,133
Voltronic Power Technology Corporation (Industrials, Electrical Equipment)		1,067		37,638
Walsin Lihwa Corporation (Industrials, Electrical Equipment)		39,334		22,588
Walsin Technology Corporation (Information Technology, Electronic Equipment, Instruments & Components)		46,000		250,839
Wan Hai Lines Limited (Industrials, Marine)		21,000		15,173
Win Semiconductors Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		1,000		9,747
Windbond Electronics Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		37,334		15,460
Wistron Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		239,607		260,500
Wistron Neweb Corporation (Information Technology, Communications Equipment)		3,867		10,873
Wiwynn Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		6,000		159,910
WPG Holdings Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		167,440		234,541

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

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  35

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Taiwan (continued)
WT Microelectronics Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		5,667	$	7,542
Yageo Corporation (Information Technology, Electronic Equipment, Instruments & Components)		26,566		301,501
YFY Incorporated (Materials, Paper & Forest Products)		19,000		11,850
Yieh Phui Enterprise Company Limited (Materials, Metals & Mining)		40,005		12,953
Yuanta Financial Holding Company Limited (Financials, Diversified Financial Services)		222,560		139,567
Yulon Finance Corporation (Financials, Consumer Finance)		2,603		8,845
Yulon Motor Company Limited (Consumer Discretionary, Automobiles) †		12,000		10,347
YungShin Global Holding Corporation (Health Care, Pharmaceuticals)		5,000		7,506
Zhen Ding Technology Holding (Information Technology, Electronic Equipment, Instruments & Components)		47,000		197,025
				27,305,395
Thailand: 2.60%
Advanced Info Service PCL (Communication Services, Wireless Telecommunication Services)		50,600		297,528
Aeon Thana Sinsap PCL (Financials, Consumer Finance)		834		2,867
Airports of Thailand PCL (Industrials, Transportation Infrastructure)		60,934		109,641
Amata Corporation PCL (Real Estate, Real Estate Management & Development)		13,667		5,797
AP Thailand PCL (Real Estate, Real Estate Management & Development)		33,767		6,835
B.Grimm PCL (Utilities, Independent Power & Renewable Electricity Producers)		53,500		79,504
Bangchak Corporation PCL (Energy, Oil, Gas & Consumable Fuels)		21,134		12,019
Bangkok Bank PCL (Financials, Banks)		18,367		62,851
Bangkok Chain Hospital PCL (Health Care, Health Care Providers & Services)		12,600		6,316
Bangkok Commercial Asset Management PCL (Financials, Capital Markets)		66,800		50,010
Bangkok Dusit Medical Services PCL (Health Care, Health Care Providers & Services)		280,000		187,132
Bangkok Expressway and Metro PCL (Industrials, Transportation Infrastructure)		114,934		33,421
Bangkok Insurance PCL (Financials, Insurance)		1,282		11,616
Bangkok Life Assurance PCL (Financials, Insurance)		19,434		10,053
Bangkokland PCL (Real Estate, Real Estate Management & Development)		239,934		7,632
Bank of Ayudhya PCL (Financials, Banks)		27,934		19,118
Banpu PCL (Energy, Oil, Gas & Consumable Fuels)		73,067		13,499
Berli Jucker PCL (Consumer Staples, Food & Staples Retailing)		19,100		22,707
BTS Group Holdings PCL (Industrials, Road & Rail)		147,367		49,245
Bumrungrad Hospital PCL (Health Care, Health Care Providers & Services)		5,434		19,293
Carabao Group PCL (Consumer Staples, Beverages)		5,967		23,199
Central Pattana PCL (Real Estate, Real Estate Management & Development) †		43,200		65,239
Central Plaza Hotel PCL (Consumer Discretionary, Hotels, Restaurants & Leisure) †		18,500		16,198
CH Karnchang PCL (Industrials, Construction & Engineering)		15,900		9,860
Charoen Pokphand Foods PCL (Consumer Staples, Food Products)		318,600		330,142
Chularat Hospital PCL (Health Care, Health Care Providers & Services)		56,600		4,728
Com7 PCL (Consumer Discretionary, Specialty Retail)		7,700		10,144
CP All PCL (Consumer Staples, Food & Staples Retailing)		182,200		371,747
Delta Electronics Thailand PCL (Information Technology, Electronic Equipment, Instruments & Components)		8,200		30,431
Electricity Genera PCL (Utilities, Independent Power & Renewable Electricity Producers)		28,900		206,147
Energy Absolute PCL (Utilities, Independent Power & Renewable Electricity Producers)		27,600		37,246
GFPT PCL (Consumer Staples, Food Products)		20,567		8,525
Global Power Synergy PCL (Utilities, Independent Power & Renewable Electricity Producers)		8,900		18,302
Gulf Energy Development PCL (Utilities, Independent Power & Renewable Electricity Producers)		86,184		87,229
Gunkul Engineering PCL (Industrials, Electrical Equipment)		44,100		3,599
Hana Microelectronics PCL (Information Technology, Electronic Equipment, Instruments & Components)		7,000		8,940
Home Product Center PCL (Consumer Discretionary, Specialty Retail)		360,300		172,495
Impact Growth REIT (Real Estate, Equity REITs)		8,567		5,065
Indorama Ventures PCL (Materials, Chemicals)		206,800		157,480
Intouch Holdings PCL (Communication Services, Wireless Telecommunication Services)		187,200		327,814
IRPC PCL (Energy, Oil, Gas & Consumable Fuels)		181,334		13,634

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

36  |  Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Thailand (continued)
Jasmine International PCL (Communication Services, Diversified Telecommunication Services)		62,834	$	5,855
Kasikornbank PCL—Non-voting (Financials, Banks)		46,100		124,795
KCE Electronics PCL (Information Technology, Electronic Equipment, Instruments & Components)		10,434		9,806
Kiatnakin Bank PCL (Financials, Banks)		11,300		14,432
Krung Thai Bank PCL (Financials, Banks)		192,300		59,008
Krungthai Card PCL (Financials, Consumer Finance)		11,034		10,902
Land & Houses PCL (Real Estate, Real Estate Management & Development)		137,667		32,733
Major Cineplex Group PCL (Communication Services, Entertainment)		7,900		4,442
MBK PCL (Real Estate, Real Estate Management & Development)		13,034		5,235
Mega Lifesciences PCL (Health Care, Pharmaceuticals)		5,400		6,550
Minor International PCL (Consumer Discretionary, Hotels, Restaurants & Leisure) †		51,334		36,947
MK Restaurants Group PCL (Consumer Discretionary, Hotels, Restaurants & Leisure)		4,667		7,760
Muangthai Leasing PCL (Financials, Consumer Finance)		8,467		13,535
Osotspa PCL (Consumer Staples, Beverages)		129,600		161,362
Plan B Media PCL (Communication Services, Media)		29,034		5,131
Pruksa Holding PCL (Real Estate, Real Estate Management & Development)		12,400		4,622
PTG Energy PCL (Consumer Discretionary, Specialty Retail)		11,034		6,843
PTT Exploration & Production plc NVDR (Energy, Oil, Gas & Consumable Fuels)		50,600		144,699
PTT Global Chemical PCL (Materials, Chemicals)		123,700		183,826
PTT PCL (Energy, Oil, Gas & Consumable Fuels)		409,700		473,908
Quality Houses PCL (Real Estate, Real Estate Management & Development)		97,900		6,983
Ramkamhaeng Hospital PCL (Health Care, Health Care Providers & Services)		1,534		6,851
Ratchaburi Electricity Generating Holding PCL (Utilities, Independent Power & Renewable Electricity Producers)		169,700		305,348
Sansiri PCL (Real Estate, Real Estate Management & Development)		212,434		4,983
Siam City Cement PCL (Materials, Construction Materials)		1,100		5,019
Siam Commercial Bank PCL (Financials, Banks)		94,500		220,138
Siam Global House PCL (Consumer Discretionary, Specialty Retail)		27,564		18,156
Sino Thai Engineering & Construction PCL (Industrials, Construction & Engineering)		15,500		6,574
Sri Trang Agro-Industry PCL (Consumer Discretionary, Auto Components)		13,200		11,027
Srisawad Power 1979 PCL (Financials, Diversified Financial Services)		59,940		88,112
Star Petroleum Refining PCL (Energy, Oil, Gas & Consumable Fuels)		36,634		8,063
STARK Corporation PCL (Communication Services, Media) †		96,567		6,392
Supalai PCL (Real Estate, Real Estate Management & Development)		19,934		10,760
Super Energy Corporation Public Company Limited NVDR (Utilities, Independent Power & Renewable Electricity Producers)		209,500		5,520
Thai Oil PCL (Energy, Oil, Gas & Consumable Fuels)		37,000		49,337
Thai President Foods PCL (Consumer Staples, Food Products)		2,234		14,249
Thai Union Group PCL (Consumer Staples, Food Products)		51,100		23,151
Thai Vegetable Oil PCL (Consumer Staples, Food Products)		9,867		8,560
Thanachart Capital PCL (Financials, Banks)		10,734		11,123
The Siam Cement PCL (Materials, Construction Materials)		19,800		225,213
Thonburi Healthcare Group PCL (Health Care, Health Care Providers & Services)		5,000		3,117
Tipco Asphalt PCL (Materials, Construction Materials)		15,734		12,538
Tisco Financial Group PCL (Financials, Banks)		9,000		19,447
TMB Bank PCL (Financials, Banks)		571,700		17,267
TOA Paint Thailand PCL (Materials, Chemicals)		8,500		10,788
Total Access Communication PCL (Communication Services, Wireless Telecommunication Services)		39,100		44,914
TPI Polene PCL (Materials, Construction Materials)		144,534		5,851
TPI Polene Power PCL (Utilities, Independent Power & Renewable Electricity Producers)		21,000		2,915
True Corporation PCL (Communication Services, Diversified Telecommunication Services)		276,467		29,492
TTW PCL (Utilities, Water Utilities)		15,367		6,616
VGI Global Media PCL (Communication Services, Media)		36,834		8,285
Vibhavadi Medical Center PCL (Health Care, Health Care Providers & Services)		64,769		3,184
WHA Corporation PCL (Real Estate, Real Estate Management & Development)		153,434		15,776
WHA Premium Growth Freehold & Leasehold REIT (Real Estate, Equity REITs)		21,367		10,230
				5,453,618

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

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  37

Portfolio of investments—August 31, 2020 (unaudited)

						Shares		Value
Turkey: 0.78%
Akbank TAS (Financials, Banks) †							202,121	$	134,637
Anadolu Efes Biracilik ve Malt Sanayii AS (Consumer Staples, Beverages)							2,611		6,911
Arcelik AS (Consumer Discretionary, Household Durables) †							3,184		9,134
Aselsan Elektronik Sanayi ve Ticaret AS (Industrials, Aerospace & Defense)							41,679		92,204
Bim Birlesik Magazalar AS (Consumer Staples, Food & Staples Retailing)							6,640		61,371
Coca-Cola Icecek Uretim AS (Consumer Staples, Beverages)							1,259		7,412
Emlak Konut Gayrimenkul Yati AS (Real Estate, Equity REITs)							28,393		6,807
Enka Insaat ve Sanayi AS (Industrials, Industrial Conglomerates)							25,604		22,287
Eregli Demir ve Celik Fabrikalari TAS (Materials, Metals & Mining)							126,680		150,477
Ford Otomotiv Sanayi AS (Consumer Discretionary, Automobiles)							932		10,728
Haci Omer Sabanci Holding AS (Financials, Diversified Financial Services)							103,991		109,501
Koc Holding AS (Industrials, Industrial Conglomerates)							14,483		29,396
Koza Altin Isletmeleri AS (Materials, Metals & Mining) †							400		4,234
Pegasus Hava Tasimaciligi AS (Industrials, Airlines) †							440		2,745
Petkim Petrokimya Holding AS (Materials, Chemicals) †							14,917		7,945
Soda Sanayii AS (Materials, Chemicals)							4,354		4,039
Sok Marketler Ticaret AS (Consumer Staples, Food & Staples Retailing) †							4,888		8,556
TAV Havalimanlari Holding AS (Industrials, Transportation Infrastructure)							2,827		5,776
Tekfen Holding AS (Industrials, Construction & Engineering)							2,680		5,414
Tofas Turk Otomobil Fabrikasi AS (Consumer Discretionary, Automobiles)							1,341		4,103
Tupras Turkiye Petrol Rafinerileri AS (Energy, Oil, Gas & Consumable Fuels) †							2,278		24,825
Turk Hava Yollari Anonim Ortakligi AS (Industrials, Airlines) †							62,579		90,020
Turk Sise ve Cam Fabrikalari AS (Industrials, Industrial Conglomerates)							6,713		5,523
Turk Telekomunikasyon AS (Communication Services, Diversified Telecommunication Services)							7,376		6,863
Turkcell Iletisim Hizmetleri AS (Communication Services, Wireless Telecommunication Services)							119,130		232,385
Turkiye Garanti Bankasi AS (Financials, Banks) †							219,217		201,867
Turkiye Is Bankasi Class C AS (Financials, Banks) †							293,498		196,305
Turkiye Vakiflar Bankasi TAO AS (Financials, Banks) †							22,698		12,584
Ulker Biskuvi Sanayi AS (Consumer Staples, Food Products) †							2,962		9,240
Yapi Ve Kredi Bankasi AS (Financials, Banks) †							579,231		160,174
									1,623,463
United Kingdom: 0.01%
NEPI Rockcastle plc (Real Estate, Real Estate Management & Development)							3,857		18,041
Total Common Stocks (Cost $187,339,187)									199,616,741
	Interest rate			Maturity date		Principal
Foreign Corporate Bonds and Notes: 0.00%
India: 0.00%
Britannia Industries Limited (Consumer Staples, Food Products )		8.00	%		8-28-2022	INR	229,650		3,287
Total Foreign Corporate Bonds and Notes (Cost $3,255)									3,287
	Dividend yield					Shares
Preferred Stocks: 2.10%
Brazil: 1.68%
Alpargatas SA (Consumer Staples, Personal Products)		0.19					2,414		16,414
Azul SA (Industrials, Transportation Infrastructure) †		0.00					3,167		12,839
Banco Bradesco SA (Financials, Banks)		10.89					141,856		537,025

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

38  |  Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Dividend yield			Shares		Value
Brazil (continued)
Banco do Estado do Rio Grande do Sul SA Class B (Financials, Banks)		6.33	%		2,900	$	6,945
Banco Inter SA (Financials, Banks)		0.48			2,734		11,184
Banco Santander Brasil SA (Financials, Banks)		13.19			5,300		13,892
Braskem SA Class A (Materials, Chemicals)		2.77			1,704		6,622
Centrais Electricas Brasileiras SA (Utilities, Electric Utilities)		3.85			26,700		174,913
Companhia de Saneamento do Parana (Utilities, Water Utilities)		4.73			13,740		13,267
Companhia de Transmissao de Energia Electrica Paulista (Utilities, Electric Utilities)		7.70			2,140		8,371
Companhia Energetica de Minas Gerais SA (Utilities, Electric Utilities)		5.28			165,069		317,272
Companhia Energetica de Sao Paulo Class B (Utilities, Independent Power & Renewable Electricity Producers)		6.33			2,067		11,357
Companhia Paranaense de Energia-Copel Class B (Utilities, Electric Utilities)		4.12			29,700		334,921
Energisa SA (Utilities, Electric Utilities)		1.72			9,513		13,475
Gerdau SA (Materials, Metals & Mining)		1.73			69,900		243,569
Gol Linhas Aereas Inteligentes SA (Industrials, Airlines) †		0.00			1,867		6,097
Itau Unibanco Holding SA (Financials, Banks)		6.68			148,270		637,357
Itaúsa Investimentos Itaú SA (Financials, Banks)		6.58			264,361		455,038
Klabin SA (Materials, Containers & Packaging)		5.70			35,967		33,088
Lojas Americanas SA (Consumer Discretionary, Multiline Retail)		0.94			22,300		131,354
Marcopolo SA (Industrials, Machinery)		1.34			9,067		4,667
Metalurgica Gerdau SA (Materials, Metals & Mining)		2.16			8,934		14,334
Petroleo Brasileiro SA (Energy, Oil, Gas & Consumable Fuels)		2.85			111,700		446,311
Telefonica Brasil SA (Communication Services, Diversified Telecommunication Services)		7.51			7,255		63,353
Transmissora Alianca de Energia Eletrica SA (Utilities, Electric Utilities)		7.97			5,000		8,643
Usinas Siderurgicas de Minas Gerais SA Class A (Materials, Metals & Mining)		1.76			6,000		11,116
							3,533,424
Chile: 0.03%
Coca-Cola Embonor SA Class B (Consumer Staples, Food Products)		4.86			2,444		3,236
Embotelladora Andina SA Class B (Consumer Staples, Food & Staples Retailing)		6.43			14,061		29,949
Sociedad Quimica y Minera de Chile SA Class B (Materials, Chemicals)		3.55			875		27,351
							60,536
Colombia: 0.03%
Banco Davivienda SA (Financials, Banks)		3.19			1,447		11,209
Bancolombia SA (Financials, Banks)		6.56			6,158		43,983
							55,192
Russia: 0.00%
Bashneft PAO (Energy, Oil, Gas & Consumable Fuels)		9.04			209		3,757
Transneft PJSC (Energy, Oil, Gas & Consumable Fuels) †		5.96			2		3,749
							7,506
South Korea: 0.36%
Amorepacific Corporation (Consumer Staples, Household Products)		1.12			3,309		166,300
LG Chem Limited (Materials, Chemicals)		1.18			190		59,980
LG Household & Health Care Limited (Consumer Staples, Personal Products)		1.43			127		74,945
Samsung Electronics Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		3.06			11,300		451,848
							753,073
Total Preferred Stocks (Cost $5,252,829)							4,409,731

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

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  39

Portfolio of investments—August 31, 2020 (unaudited)

				Expiration date		Shares		Value
Rights: 0.00%
Chile: 0.00%
Compania Sud Americana de Vapores SA (Industrials, Marine)†(a)					9-25-2020		79,834	$	307
Hong Kong: 0.00%
Legend Holdings Corporation Class H (Financials, Diversified Financial Services)†(a)					5-9-2029		3,061		0
India: 0.00%
Minda Industries Limited (Consumer Discretionary, Auto Components)†					9-8-2020		46		44
Thailand: 0.00%
Gulf Energy Development PCL (Utilities, Electric Utilities)†(a)					9-18-2020		17,940		865
Total Rights (Cost $0)									1,216
Warrants: 0.00%
Thailand: 0.00%
BTS Group Holdings PCL (Industrials, Road & Rail) †							51,660		1,477
Minor International PCL (Consumer Discretionary, Hotels, Restaurants & Leisure) †							12,585		291
Minor International PCL (Consumer Discretionary, Hotels, Restaurants & Leisure) †							3,416		1,081
Srisawad Corporation PCL (Financials, Consumer Finance) †(a)							3,702		0
Total Warrants (Cost $0)									2,849
	Yield
Short-Term Investments: 2.18%
Investment Companies: 2.18%
Wells Fargo Government Money Market Fund Select Class (l)(u)		0.06	%				4,556,938		4,556,938
Total Short-Term Investments (Cost $4,556,938)									4,556,938

Total investments in securities (Cost $197,152,209)	99.53	%		208,590,762
Other assets and liabilities, net	0.47			986,211
Total net assets	100.00	%	$	209,576,973

† Non-income-earning security

144A The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933.

(a) The security is fair valued in accordance with procedures approved by the Board of Trustees.

‡ Security is valued using significant unobservable inputs.

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

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

Abbreviations:

ADR American depositary receipt

GDR Global depositary receipt

INR Indian Rupee

REIT Real estate investment trust

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost		Notional value		Unrealized gains		Unrealized losses
Long
MSCI Emerging Markets Index		103		9-18-2020	$	5,604,698	$	5,667,060	$	62,362	$	0

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

40  |  Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

Portfolio of investments—August 31, 2020 (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:

	Value, beginning of period		Purchases		Sales proceeds			Net realized gains (losses)		Net change in unrealized gains (losses)		Income from affiliated securities		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class	$	6,720,374	$	50,913,253	$	(53,076,689	)	$	0	$	0	$	7,613	$	4,556,938		2.18	%

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

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  41

Statement of assets and liabilities—August 31, 2020 (unaudited)

Assets
Investments in unaffiliated securities, at value (cost $192,595,271)	$	204,033,824
Investments in affiliated securities, at value (cost $4,556,938)		4,556,938
Segregated cash for futures contracts		721,650
Foreign currency, at value (cost $1,270,410)		1,276,937
Receivable for investments sold		371,760
Receivable for dividends and interest		295,683
Prepaid expenses and other assets		67
Total assets		211,256,859
Liabilities
Payable for investments purchased		811,507
Payable for daily variation margin on open futures contracts		127,720
Advisory fee payable		43,837
Custody and accounting fees payable		672,897
Trustees’ fees and expenses payable		1,876
Accrued expenses and other liabilities		22,049
Total liabilities		1,679,886
Total net assets	$	209,576,973

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

42  |  Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

Statement of operations—six months ended August 31, 2020 (unaudited)

Investment income
Dividends (net of foreign withholding taxes of $500,269)	$	3,372,568
Income from affiliated securities		7,613
Interest		690
Total investment income		3,380,871
Expenses
Advisory fee		150,842
Custody and accounting fees		330,411
Professional fees		22,556
Shareholder report expenses		5,695
Trustees’ fees and expenses		9,898
Other fees and expenses		18,997
Total expenses		538,399
Less: Fee waivers and/or expense reimbursements		(288,577	)
Net expenses		249,822
Net investment income		3,131,049
Realized and unrealized gains (losses) on investments
Net realized gains (losses) on
Unaffiliated securities		(17,725,075	)
Futures contracts		1,317,208
Foreign currency and foreign currency translations		(411,213	)
Net realized losses on investments		(16,819,080	)
Net change in unrealized gains (losses) on
Unaffiliated securities		20,692,396
Futures contracts		545,622
Foreign currency and foreign currency translations		25,372
Net change in unrealized gains (losses) on investments		21,263,390
Net realized and unrealized gains (losses) on investments		4,444,310
Net increase in net assets resulting from operations	$	7,575,359

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

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  43

Statement of changes in net assets

	Six months ended August 31, 2020 (unaudited)			Year ended February 29, 2020
Operations
Net investment income	$	3,131,049		$	6,263,029
Net realized losses on investments		(16,819,080	)		(7,712,386	)
Net change in unrealized gains (losses) on investments		21,263,390			(11,714,226	)
Net increase (decrease) in net assets resulting from operations		7,575,359			(13,163,583	)
Capital transactions
Transactions in investors’ beneficial interests
Contributions		37,098,603			33,085,504
Withdrawals		(52,118,348	)		(59,525,153	)
Net decrease in net assets resulting from capital transactions		(15,019,745	)		(26,439,649	)
Total decrease in net assets		(7,444,386	)		(39,603,232	)
Net assets
Beginning of period		217,021,359			256,624,591
End of period	$	209,576,973		$	217,021,359

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

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Financial highlights

	Six months ended August 31, 2020 (unaudited)			Year ended February 29, 2020			Year ended February 28
							2019			20181
Total return2		2.81	%		(6.15	)%		(11.16	)%		13.43	%
Ratios to average net assets (annualized)
Gross expenses		0.54	%		0.52	%		0.58	%		0.49	%
Net expenses		0.25	%		0.39	%		0.45	%		0.49	%
Net investment income		3.19	%		2.51	%		2.33	%		1.56	%
Supplemental data
Portfolio turnover rate		89	%		59	%		81	%		136	%

¹  For the period from May 23, 2017 (commencement of operations) to February 28, 2018

²  Returns for periods of less than one year are not annualized.

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

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  45

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 Factor Enhanced Emerging Markets Equity Portfolio (formerly, Wells Fargo Factor Enhanced Emerging Markets Portfolio) (the “Portfolio”) which is a diversified series of the Trust.

Interests in the Portfolio are available solely through private placement transactions that do not involve any “public offering” within the meaning of Section 4(2) of the Investment Company Act of 1933

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 (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”).

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 August 31, 2020, such fair value pricing was used in pricing certain foreign securities.

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. 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

46  |  Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

Notes to financial statements (unaudited)

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.

Futures contracts

Futures contracts are agreements between the Portfolio and a counterparty to buy or sell a specific amount of a commodity, financial instrument or currency at a specified price and on a specified date. The Portfolio may buy and sell futures contracts in order to gain exposure to, or protect against, changes in security values and is subject to equity price risk. The primary risks associated with the use of futures contracts are the imperfect correlation between changes in market values of securities held by the Portfolio and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange. With futures contracts, there is minimal counterparty risk to the Portfolio since futures contracts are exchange traded and the exchange’s clearinghouse, as the counterparty to all exchange traded futures, guarantees the futures contracts against default.

Upon entering into 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. 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 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 income, 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 income 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 August 31, 2020, the aggregate cost of all investments for federal income tax purposes was $218,647,032 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	23,095,449
Gross unrealized losses		(33,089,357	)
Net unrealized losses	$	(9,993,908	)

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  47

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.

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Notes to financial statements (unaudited)

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of August 31, 2020:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Common stocks
Argentina	$	109,803	$	0	$	0	$	109,803
Belgium		9,058		0		0		9,058
Bermuda		940,525		0		0		940,525
Brazil		5,466,566		0		0		5,466,566
Chile		1,050,886		0		0		1,050,886
China		79,149,676		0		0		79,149,676
Colombia		196,218		0		0		196,218
Czech Republic		275,477		0		0		275,477
Egypt		233,256		0		0		233,256
Greece		486,148		0		0		486,148
Hong Kong		6,854,673		0		0		6,854,673
Hungary		709,575		0		0		709,575
India		21,231,927		0		12,176		21,244,103
Indonesia		2,432,122		1,125		34,489		2,467,736
Luxembourg		45,993		0		0		45,993
Malaysia		29,280		4,623,567		0		4,652,847
Mexico		3,274,603		0		0		3,274,603
Netherlands		0		48,409		0		48,409
Philippines		28,752		2,325,330		32,845		2,386,927
Poland		1,153,695		0		0		1,153,695
Russia		6,304,188		10,296		0		6,314,484
Singapore		18,105		0		0		18,105
South Africa		5,319,268		0		0		5,319,268
South Korea		22,753,936		23,984		30,273		22,808,193
Taiwan		27,301,414		3,981		0		27,305,395
Thailand		5,453,618		0		0		5,453,618
Turkey		1,623,463		0		0		1,623,463
United Kingdom		18,041		0		0		18,041
Foreign government bonds		0		3,287		0		3,287
Preferred stocks
Brazil		3,533,424		0		0		3,533,424
Chile		60,536		0		0		60,536
Colombia		55,192		0		0		55,192
Russia		7,506		0		0		7,506
South Korea		753,073		0		0		753,073
Rights
Chile		0		307		0		307
Hong Kong		0		0		0		0
India		0		44		0		44
Thailand		0		865		0		865
Warrants
Thailand		0		2,849		0		2,849
Short-term investments
Investment companies		4,556,938		0		0		4,556,938
		201,436,935		7,044,044		109,783		208,590,762
Futures contracts		62,362		0		0		62,362
Total assets	$	201,499,297	$	7,044,044	$	109,783	$	208,653,124

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  49

Notes to financial statements (unaudited)

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.

For the six months ended August 31, 2020, the Portfolio had 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 & 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 at the following annual rate based on the Portfolio’s average daily net assets:

Average daily net assets	Advisory fee
First $5 billion		0.15	%
Next $5 billion		0.13
Over $10 billion		0.11

For the six months ended August 31, 2020, the advisory fee was equivalent to an annual rate of 0.15% 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 0.08% and declining to 0.05% as the average daily net assets of the Portfolio increase.

Funds Management has voluntarily waived and/or reimbursed advisory fees to reduce 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 August 31, 2020 were $171,875,269 and $177,989,145, respectively.

6. DERIVATIVE TRANSACTIONS

During the six months ended August 31, 2020, the Portfolio entered into futures contracts to gain market exposure. The Portfolio had an average notional amount of $8,112,679 in long futures contracts during the six months ended August 31, 2020.

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

The Trust, along with Wells Fargo Variable Trust and Wells Fargo Funds Trust (excluding the money market funds), are parties to a $350,000,000 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.

50  |  Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

Notes to financial statements (unaudited)

For the six months ended August 31, 2020, there were no borrowings by the Portfolio under the agreement.

8. INDEMNIFICATION

Under the Portfolio’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 Portfolio. The Portfolio has entered into a separate agreement with each Trustee that converts indemnification rights currently existing under the Portfolio’s organizational documents into contractual rights that cannot be changed in the future without the consent of the Trustee. Additionally, in the normal course of business, the Portfolio may enter into contracts with service providers that contain a variety of indemnification clauses. The Portfolio’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 on fair value measurements in Topic 820, Fair Value Measurements. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has adopted this guidance which did not have a material impact on the financial statements.

10. CORONAVIRUS (COVID-19) PANDEMIC

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

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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 wfam.com, or visiting the SEC website at sec.gov. Information regarding how the proxies related to portfolio securities were voted during the most recent 12-month period ended June 30 is available on the website at wfam.com or by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS INFORMATION

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

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

Independent Trustees

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

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

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

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Other information (unaudited)

Officers

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

¹  Jeremy DePalma acts as Treasurer of 77 funds and Assistant Treasurer of 65 funds in the Fund Complex.

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

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Other information (unaudited)

BOARD CONSIDERATION OF INVESTMENT MANAGEMENT, ADVISORY AND SUB-ADVISORY AGREEMENTS:

Wells Fargo Emerging Markets Bond Fund, Wells Fargo High Yield Corporate Bond Fund, Wells Fargo International Government Bond Fund, Wells Fargo U.S. Core Bond Fund, Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, Wells Fargo Emerging Markets Bond Portfolio, Wells Fargo Factor Enhanced International Equity Portfolio, Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, Wells Fargo International Government Bond Portfolio, Wells Fargo Investment Grade Corporate Bond Portfolio, Wells Fargo High Yield Corporate Bond Portfolio, Wells Fargo Strategic Retirement Bond Portfolio, and Wells Fargo U.S. REIT Portfolio

Under the Investment Company Act of 1940 (the “1940 Act”), the Board of Trustees (each, a “Board” and collectively, the “Boards”) of each of Wells Fargo Funds Trust (“Funds Trust”) and Wells Fargo Master Trust (“Master Trust”) (collectively, the “Trusts”) must determine annually whether to approve the continuation of the Trusts’ investment management, advisory and sub-advisory agreements, as applicable. In this regard, at a meeting held on May 26, 2020 and May 28, 2020 (together, the “Meeting”), the Board of Funds Trust, all the members of which have no direct or indirect interest in the investment management agreement and are not “interested persons” of the Trusts, as defined in the 1940 Act (the “Independent Trustees”), reviewed and approved for each of the funds of Funds Trust identified in the table below (individually, an “Index Fund” and collectively, the “Index Funds”) an investment management agreement (the “Management Agreement”) with Wells Fargo Funds Management, LLC (“Funds Management”).

Index Funds

Wells Fargo Emerging Markets Bond Fund

Wells Fargo High Yield Corporate Bond Fund

Wells Fargo International Government Bond Fund

Wells Fargo U.S. Core Bond Fund

In addition, the Funds Trust Board reviewed and approved an investment sub-advisory agreement with Wells Capital Management Incorporated (“WellsCap”) for the U.S. Core Bond Fund (the “Core Bond Fund Sub-Advisory Agreement”).

At the Meeting, the Board of Master Trust, all the members of which have no direct or indirect interest in the investment advisory and sub-advisory agreements and are Independent Trustees, reviewed and approved for each of the portfolios of Master Trust identified in the table below (individually, a “Master Portfolio” and collectively, the “Master Portfolios”): (i) an investment advisory agreement (the “Master Portfolio Advisory Agreement”) with Funds Management; and (ii) an investment sub-advisory agreement (each, a “Master Portfolio Sub-Advisory Agreement”, and collectively, the “Master Portfolio Sub-Advisory Agreements”) with the sub-adviser(s) identified in the chart below (each, a “Sub-Adviser”, and collectively, the “Sub-Advisers”) for the corresponding Master Portfolio identified.

Master Portfolios	Sub-Advisers
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio	WellsCap
Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio	WellsCap
Wells Fargo Emerging Markets Bond Portfolio	Wells Fargo Asset Management (International), Limited (“WFAM International”)
Wells Fargo Factor Enhanced International Equity Portfolio	WellsCap
Wells Fargo Factor Enhanced U.S. Large Cap Portfolio	WellsCap
Wells Fargo Factor Enhanced U.S. Small Cap Portfolio	WellsCap
Wells Fargo International Government Bond Portfolio	WFAM International
Wells Fargo Investment Grade Corporate Bond Portfolio	WellsCap
Wells Fargo High Yield Corporate Bond Portfolio	WellsCap
Wells Fargo Strategic Retirement Bond Portfolio	WellsCap
Wells Fargo U.S. REIT Portfolio	WellsCap

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Other information (unaudited)

The Index Funds and the Master Portfolios are collectively referred to as the “Funds.” The Management Agreement, the Core Bond Fund Sub-Advisory Agreement, the Master Portfolio Advisory Agreement and the Master Portfolio Sub-Advisory Agreements are collectively referred to as the “Advisory Agreements.”

The Boards noted that each of the Index Funds is a feeder fund that invests all of its assets in its corresponding Master Portfolio, with the exception of the U.S. Core Bond Fund, which invests in multiple Master Portfolios. Information provided to the Boards regarding the Index Funds is also applicable to the Master Portfolios identified above, as relevant.

At the Meeting, the Boards considered the factors and reached the conclusions described below relating to the selection of Funds Management and the Sub-Advisers and the approval of the Advisory Agreements. Prior to the Meeting, including at a Board meeting held in April 2020, the Trustees conferred extensively among themselves and with representatives of Funds Management about these matters. Also, the Boards have adopted a team-based approach, with each team consisting of a sub-set of Trustees, to assist the full Boards in the discharge of their duties in reviewing investment performance and other matters throughout the year. The Independent Trustees were assisted in their evaluation of the Advisory Agreements by independent legal counsel, from whom they received separate legal advice and with whom they met separately.

In providing information to the Boards, Funds Management and the Sub-Advisers were guided by a detailed set of requests for information submitted to them by independent legal counsel on behalf of the Independent Trustees at the start of the Boards’ annual contract renewal process earlier in 2020. In considering and approving the Advisory Agreements, the Trustees considered the information they believed relevant, including but not limited to the information discussed below. The Boards considered not only the specific information presented in connection with the Meeting, but also the knowledge gained over time through interaction with Funds Management and the Sub-Advisers about various topics. In this regard, the Boards reviewed reports of Funds Management at each of their quarterly meetings, which included, among other things, portfolio reviews and investment performance reports. In addition, the Boards and the teams mentioned above confer with portfolio managers at various times throughout the year. The Boards did not identify any particular information or consideration that was all-important or controlling, and each individual Trustee may have attributed different weights to various factors.

After its deliberations, the Board of Funds Trust unanimously approved the continuation of the Management Agreement and the Core Bond Fund Sub-Advisory Agreement for a one-year period. Additionally, after its deliberations, the Board of Master Trust unanimously approved the continuation of the Master Portfolio Advisory Agreement and each Master Portfolio Sub-Advisory Agreement for a one-year term. The Boards also determined that the compensation or the absence of compensation payable to Funds Management and to each of the Sub-Advisers under each of the Advisory Agreements was reasonable. The Boards considered the approval of the Advisory Agreements for the Funds as part of their consideration of agreements for funds across the complex, but their approvals were made on a fund-by-fund basis. The following summarizes a number of important, but not necessarily all, factors considered by the Boards in support of their approvals.

Nature, extent and quality of services

The Boards received and considered various information regarding the nature, extent and quality of services provided to the Funds by Funds Management and the Sub-Advisers under the Advisory Agreements. This information included a description of the investment advisory services and Fund-level administrative services covered by the Advisory Agreements, as well as, among other things, a summary of the background and experience of senior management of Wells Fargo Asset Management (“WFAM”), of which Funds Management and the Sub-Advisers are a part, and a summary of investments made in the business of WFAM. The Boards also received a description of Funds Management’s and the Sub-Advisers’ business continuity plans and of their approaches to data privacy and cybersecurity, and related testing. The Boards also received and reviewed information about Funds Management’s role as administrator of the Funds’ liquidity risk management program, Funds Management’s approach to risk management, and Funds Management’s intermediary and vendor oversight program.

The Boards also considered the qualifications, background, tenure and responsibilities of each of the portfolio managers primarily responsible for the day-to-day portfolio management of the Funds. The Board of Master Trust noted that each of the Master Portfolios replicates the performance of a proprietary index provided by an affiliate of Funds Management, except that the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Emerging Markets Bond Portfolio, and the Wells Fargo Strategic Retirement Bond Portfolio track the performance of third-party indexes. The Boards evaluated the ability of Funds Management and the Sub-Advisers to attract and retain qualified investment professionals, including research, advisory and supervisory personnel. The Boards further considered the compliance programs and compliance records of Funds Management and the Sub-Advisers. In addition, the Boards took into account the full range of services provided to the Funds by Funds Management and its affiliates.

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Other information (unaudited)

Fund investment performance and expenses

The Boards considered the investment performance results for each of the Master Portfolios for the one-year period ended December 31, 2019. The Boards also considered more current results for the one-year period ended March 31, 2020. The Boards considered these results in comparison to the investment performance of funds in a universe that was determined by Broadridge Inc. (“Broadridge”) to be similar to the respective Master Portfolios (each, a “Universe”), and in comparison to each Master Portfolio’s benchmark index and to other comparative data. Broadridge is an independent provider of investment company data. The Boards received a description of the methodology used by Broadridge to select the mutual funds in each performance Universe.

The Boards noted the short performance history of the Master Portfolios. For the one-year period ended December 31, 2019, the Boards noted that the investment performance of each Master Portfolio relative to its respective Universe was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio and the Wells Fargo Investment Grade Corporate Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective Universe; and (ii) the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo International Government Bond Portfolio, the Wells Fargo Strategic Retirement Bond Portfolio and the Wells Fargo U.S. REIT Portfolio was lower than the average investment performance of such Master Portfolio’s respective Universe. For the one-year period ended March 31, 2020, the Boards noted that the investment performance of each Master Portfolio relative to its respective Universe was as follows: (i) the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo International Government Bond Portfolio, and the Wells Fargo Investment Grade Corporate Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective Universe, and (ii) the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio, the Wells Fargo Strategic Retirement Bond Portfolio and the Wells Fargo U.S. REIT Portfolio was lower than the average investment performance of such Master Portfolio’s respective Universe.

The Boards also noted that the investment performance of each Master Portfolio to its respective benchmark index for the one-year period ended December 31, 2019, was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio, the Wells Fargo U.S. REIT Portfolio and the Wells Fargo Strategic Retirement Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective benchmark, and (ii) the investment performance of each of the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo International Government Bond Portfolio and the Wells Fargo Investment Grade Corporate Bond Portfolio was lower than the average investment performance of such Master Portfolio’s respective benchmark. For the one-year period ended March 31, 2020, the Boards also noted that the investment performance of each Master Portfolio to its respective benchmark index, was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo U.S. REIT Portfolio, the Wells Fargo Investment Grade Corporate Bond Portfolio and the Wells Fargo Strategic Retirement Bond Portfolio was higher than, equal to or in range of the average investment performance of such Master Portfolio’s respective benchmark, and (ii) the investment performance of each of the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio and the Wells Fargo International Government Bond Portfolio was lower than the average investment performance of such Master Portfolio’s respective benchmark.

The Boards received information concerning, and discussed factors contributing to, the underperformance of certain Master Portfolios, relative to the Universe and benchmark index, for the periods identified above. The Board took note of the explanations for the relative underperformance during these periods, including with respect to investment decisions and market factors that affected the Fund’s investment performance.

The Board of Funds Trust took note of the investment performance of the Master Portfolios in the context of reviewing the investment performance of the Index Funds. The Board of Funds Trust also received and considered information regarding the “zero fee and expense” structure of each Index Fund. Specifically, the Funds Trust Board noted that each Index Fund’s gross operating expense ratio and each of its various components, including management fees, administration fees, custody fees,

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Other information (unaudited)

Rule 12b-1 fees, and other fees, are zero. The Funds Trust Board also noted that Funds Management assumes and pays or reimburses all of the ordinary operating expenses of each Index Fund, including acquired fund fees and expenses, pursuant to an agreement with each of the Index Funds (the “Fee and Expense Agreement”). The Funds Trust Board further noted that Funds Management receives a fee from Wells Fargo Wealth and Investment Management (“WIM”) pursuant to an intercompany agreement equal to the Master Portfolio fees and expenses absorbed by Funds Management through its Fee and Expense Agreement with each of the Index Funds.

With respect to the Master Portfolios, the Board of Master Trust received and considered information regarding the fee rates that are payable to Funds Management for investment advisory services (as discussed below), which are the only fees charged at the Master Portfolio level, relative to corresponding class-specific expense groups that were determined by Broadridge to be similar to the Funds (the “Groups”). The Boards received a description of the methodology used by Broadridge to select the mutual funds in the expense Groups and an explanation of how funds comprising expense groups and their expense ratios may vary from year-to-year.

The Boards took into account the Funds’ expense information and the Master Portfolios’ performance information provided to them among the factors considered in deciding to re-approve the Advisory Agreements.

Investment management, advisory and sub-advisory fee rates

The Board of Funds Trust reviewed and considered that the contractual investment management fee rate payable by each Index Fund to Funds Management for investment management services zero, and also reviewed and considered that each Fund’s other expenses would normally be zero, because of Funds Management’s commitment to assume and pay or reimburse all of the ordinary operating expenses of each Fund, including acquired fund fees and expenses, under the Fee and Expense Agreement. The Board of Funds Trust also reviewed and considered that the contractual investment sub-advisory fee rate payable by Funds Management to WellsCap for investment sub-advisory services for the U.S. Core Bond Fund is also zero.

The Board of Master Trust reviewed and considered the contractual fee rates payable by the Master Portfolios to Funds Management under the Master Portfolio Advisory Agreement (the “Advisory Agreement Rates”). The Board of Master Trust also reviewed and considered the contractual investment sub-advisory fee rates that are payable by Funds Management to the Sub-Advisers for investment sub-advisory services (the “Sub-Advisory Agreement Rates”).

The Board of Master Trust reviewed a comparison of the Advisory Agreement Rates of each Master Portfolio with those of other funds in each Master Portfolio’s respective expense Groups at a common asset level. The Board of Master Trust noted that the Advisory Agreement Rates of each Master Portfolio were lower than or equal to the median rate for such Master Portfolio’s expense Groups.

The Boards also received and considered information about the portions of the total management fees that were retained by Funds Management after payment of the fees to the Sub-Advisers for sub-advisory services. In assessing the reasonableness of these amounts, the Boards received and evaluated information about the nature and extent of responsibilities retained and risks assumed by Funds Management and not delegated to or assumed by the Sub-Advisers, and about Funds Management’s on-going oversight services. Given the affiliation between Funds Management and the Sub-Advisers, the Boards ascribed limited relevance to the allocation of fees between them.

The Boards also received and considered information about the nature and extent of services offered and fee rates charged by Funds Management and the Sub-Advisers to other types of clients with investment strategies similar to those of certain Funds. In this regard, the Boards received information about the significantly greater scope of services, and compliance, reporting and other legal burdens and risks of managing proprietary mutual funds compared with those associated with managing assets of other types of clients, including third-party sub-advised fund clients and non-mutual fund clients such as institutional separate accounts.

Based on its consideration of the factors and information it deemed relevant, including those described here, the Board of Fund Trust determined that the compensation received by Funds Management from WIM pursuant to the intercompany agreement, and the absence of compensation payable by the Funds to Funds Management pursuant to the Management Agreement or to WellsCap pursuant to the Core Bond Fund Sub-Advisory Agreement, was reasonable. Based on its consideration of the factors and information it deemed relevant, including those described here, the Board of Master Trust determined that the Advisory Agreement Rates and the Sub-Advisory Agreement Rates for each Master Portfolio were reasonable.

Profitability

The Boards received and considered information concerning the profitability of Funds Management, as well as the profitability of both WFAM and Wells Fargo & Co. (“Wells Fargo”) from providing services to the fund family as a whole. The Boards noted that the Sub-Advisers’ profitability information with respect to providing services to the Funds and other funds in the family was subsumed in the WFAM and Wells Fargo profitability analysis.

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Other information (unaudited)

Funds Management reported on the methodologies and estimates used in calculating profitability, including a description of the methodology used to allocate certain expenses. Among other things, the Boards noted that the levels of profitability reported on a fund-by-fund basis varied widely, depending on factors such as the size, type and age of fund.

Based on its review, the Boards did not deem the profits reported by Funds Management, WFAM or Wells Fargo from services provided to the Funds to be at a level that would prevent them from approving the continuation of the Advisory Agreements.

Economies of scale

The Boards received and considered information about the potential for Funds Management to experience economies of scale in the provision of management services to the Funds, the difficulties of calculating economies of scale at an individual fund level, and the extent to which potential scale benefits are shared with shareholders. The Boards noted the existence of breakpoints in the each Master Portfolio’s advisory fee structure and each Index Fund’s management fee structure, which operate generally to reduce the Funds’ expense ratios as the Funds grow in size, and the size of the Funds in relation to such breakpoints. The Boards considered that in addition to management fee breakpoints, Funds Management shares potential economies of scale from its management business in a variety of ways, including through fee waiver and expense reimbursement arrangements, services that benefit shareholders, competitive management fee rates set at the outset without regard to breakpoints, and investments in the business intended to enhance services available to shareholders.

The Boards concluded that Funds Management’s arrangements with respect to the Funds, including contractual breakpoints, constituted a reasonable approach to sharing potential economies of scale with the Funds and their shareholders.

Other benefits to Funds Management and the Sub-Advisers

The Boards received and considered information regarding potential “fall-out” or ancillary benefits received by Funds Management and its affiliates, including WellsCap and WFAM International, as a result of their relationships with the Funds. Ancillary benefits could include, among others, benefits directly attributable to other relationships with the Funds and benefits potentially derived from an increase in Funds Management’s and the Sub-Advisers’ business as a result of their relationships with the Funds. The Boards noted that various affiliates of Funds Management may receive distribution-related fees, shareholder servicing payments and sub-transfer agency fees in respect of shares sold or held through them and services provided.

The Boards also reviewed information about soft dollar credits earned and utilized by the Sub-Advisers, fees earned by Funds Management and WellsCap from managing a private investment vehicle for the fund family’s securities lending collateral, and commissions earned by an affiliated broker from portfolio transactions.

Based on their consideration of the factors and information they deemed relevant, including those described here, the Boards did not find that any ancillary benefits received by Funds Management and its affiliates, including WellsCap and WFAM International, were unreasonable.

Conclusion

At the Meeting, after considering the above-described factors and based on its deliberations and its evaluation of the information described above, the Funds Trust Board unanimously approved the continuation of the Management Agreement and the Core Bond Fund Sub-Advisory Agreement for a one-year period. Additionally, after its deliberations, the Master Trust Board unanimously approved the continuation of the Master Portfolio Advisory Agreement and each Master Portfolio Sub-Advisory Agreement for a one-year term. The Boards also determined that the compensation or the absence of compensation payable to Funds Management and to each of the Sub-Advisers was reasonable.

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Other information (unaudited)

LIQUIDITY RISK MANAGEMENT PROGRAM

In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), Wells Fargo Master Trust (the “Trust”) has adopted and implemented a liquidity risk management program (the “Program”) on behalf of each of its series, including each Portfolio, which is reasonably designed to assess and manage the Portfolio’s liquidity risk. “Liquidity risk” is defined as the risk that a Portfolio is unable to meet redemption requests without significantly diluting remaining investors’ interests in the Portfolio. The Trust’s Board of Trustees (the “Board”) previously approved the designation of Wells Fargo Funds Management, LLC (“Funds Management”), each Portfolio’s investment adviser, as the administrator of the Program, and Funds Management has established a Liquidity Risk Management Council composed of personnel from multiple departments within Funds Management and its affiliates to assist Funds Management in the implementation and on-going administration of the Program.

The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Portfolio’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Portfolio’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under the Liquidity Rule); (4) to the extent a Portfolio does not invest primarily in “highly liquid investments” (as defined under the Liquidity Rule), the determination of a minimum percentage of the Portfolio’s assets that generally will be invested in highly liquid investments (an “HLIM”); (5) if a Portfolio has established an HLIM, the periodic review (no less frequently than annually) of the HLIM and the adoption of policies and procedures for responding to a shortfall of the Portfolio’s “highly liquid investments” below its HLIM; and (6) periodic reporting to the Board.

At a meeting of the Board held on May 26 and 28, 2020, the Board received a written report (the “Report”) from Funds Management that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation. The Report covered the initial period from December 1, 2018 through December 31, 2019 (the “Reporting Period”). No significant liquidity events impacting any Portfolio were noted in the Report. There were no material changes to the Program during the Reporting Period. The Report concluded that the Program is operating effectively to assess and manage each Portfolio’s liquidity risk, and that the Program has been and continues to be adequately and effectively implemented to monitor and, as applicable, respond to the Portfolio’s liquidity developments.

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio  |  61

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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 Portfolio’s website, or call:

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: wfam.com

Individual investors: 1-800-222-8222

Retail investment professionals: 1-888-877-9275

Institutional investment professionals: 1-866-765-0778

This report and the financial statements contained herein are submitted for the general information of the shareholders of the Portfolio. 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 Portfolio’s website at wfam.com. Read the prospectus carefully before you invest or send money.

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

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

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

© 2020 Wells Fargo & Company. All rights reserved.

Semi-Annual Report

August 31, 2020

Wells Fargo

Factor Enhanced International Equity Portfolio

(formerly Wells Fargo Factor Enhanced International Portfolio)

Contents

Portfolio information	2
Portfolio of investments	3
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	37

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

Wells Fargo Factor Enhanced International Equity Portfolio  |  1

Portfolio information (unaudited)

Investment objective

The Portfolio seeks long-term capital appreciation.

Adviser

Wells Fargo Funds Management, LLC

Subadviser

Wells Capital Management Incorporated

Portfolio managers

Dennis Beinn, CFA^®‡

Harindra de Silva, Ph.D., CFA^®‡

Monisha Jayakumar

Ten largest holdings (%) as of August 31, 20201
Nestle SA	2.65
Roche Holding AG	1.83
Novo Nordisk AS Class B	0.92
CSL Limited	0.78
Royal Bank of Canada	0.78
Novartis AG	0.76
GlaxoSmithKline plc	0.70
Unilever NV	0.63
SAP SE	0.63
British American Tobacco plc	0.61

Sector allocation as of August 31, 2020²

Country allocation as of August 31, 2020²

^‡  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.

2  |  Wells Fargo Factor Enhanced International Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Common Stocks: 96.94%
Australia: 6.08%
AGL Energy Limited (Utilities, Multi-Utilities)		37,412	$	408,380
ALS Limited (Industrials, Professional Services)		9,894		63,706
Altium Limited (Information Technology, Software)		2,588		69,747
Alumina Limited (Materials, Metals & Mining)		55,617		64,402
AMP Limited (Financials, Diversified Financial Services) †		15,886		17,927
Ampol Limited (Energy, Oil, Gas & Consumable Fuels)		11,882		228,028
Ansell Limited (Health Care, Health Care Equipment & Supplies)		2,875		82,019
APA Group (Utilities, Gas Utilities)		22,416		172,438
Appen Limited (Information Technology, IT Services)		2,292		58,676
Aristocrat Leisure Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		20,083		420,223
ASX Limited (Financials, Capital Markets)		4,708		303,278
Atlas Arteria Stapled Securities (Industrials, Transportation Infrastructure)		19,991		95,838
Aurizon Holdings Limited (Industrials, Road & Rail)		223,394		716,725
AusNet Services (Utilities, Electric Utilities)		39,631		53,344
Australia & New Zealand Banking Group Limited (Financials, Banks)		36,099		486,702
Bank of Queensland Limited (Financials, Banks)		9,635		43,562
Beach Petroleum Limited (Energy, Oil, Gas & Consumable Fuels)		36,102		40,473
Bendigo Bank Limited (Financials, Banks)		11,541		55,669
BlueScope Steel Limited (Materials, Metals & Mining)		34,407		322,033
Boral Limited (Materials, Construction Materials)		26,959		79,733
Brambles Limited (Industrials, Commercial Services & Supplies)		58,249		476,444
Carsales.com Limited (Communication Services, Interactive Media & Services)		5,501		84,351
Charter Hall Group (Real Estate, Equity REITs)		10,479		96,687
Cleanaway Waste Management Limited (Industrials, Commercial Services & Supplies)		46,447		88,383
Coca-Cola Amatil Limited (Consumer Staples, Beverages)		78,176		524,694
Cochlear Limited (Health Care, Health Care Equipment & Supplies)		1,459		206,770
Coles Group Limited (Consumer Staples, Food & Staples Retailing)		65,037		850,474
Commonwealth Bank of Australia (Financials, Banks)		39,254		1,976,828
Computershare Limited (Information Technology, IT Services)		35,829		351,197
Crown Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		63,538		422,231
CSL Limited (Health Care, Biotechnology)		23,317		4,918,637
Dexus Property Group (Real Estate, Equity REITs)		35,156		228,956
Domino’s Pizza Enterprises Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		1,361		81,057
Downer EDI Limited (Industrials, Commercial Services & Supplies)		12,850		42,554
Evolution Mining Limited (Materials, Metals & Mining)		137,783		564,001
Fortescue Metals Group Limited (Materials, Metals & Mining)		141,988		1,824,279
Goodman Group (Real Estate, Equity REITs)		77,214		1,042,740
Harvey Norman Holdings Limited (Consumer Discretionary, Multiline Retail)		12,246		39,922
Incitec Pivot Limited (Materials, Chemicals)		39,523		61,215
JB Hi-Fi Limited (Consumer Discretionary, Specialty Retail)		2,438		90,195
Lendlease Corporation Limited (Real Estate, Real Estate Management & Development)		83,097		712,169
Link Administration Holdings Limited (Information Technology, IT Services)		11,099		33,399
Macquarie Group Limited (Financials, Capital Markets)		11,571		1,089,816
Magellan Financial Group Limited (Financials, Capital Markets)		9,856		430,706
Medibank Private Limited (Financials, Insurance)		147,258		296,506
Metcash Limited (Consumer Staples, Food & Staples Retailing)		22,082		47,557
Mineral Resources Limited (Materials, Metals & Mining)		3,219		69,278
Mirvac Group (Real Estate, Equity REITs)		288,949		449,671
National Australia Bank Limited (Financials, Banks)		47,373		626,474
Newcrest Mining Limited (Materials, Metals & Mining)		26,175		617,000
NextDC Limited (Information Technology, IT Services) †		8,887		79,966
Northern Star Resources Limited (Materials, Metals & Mining)		26,788		269,690
Oil Search Limited (Energy, Oil, Gas & Consumable Fuels)		70,393		169,773
Orica Limited (Materials, Chemicals)		8,755		112,227
Origin Energy Limited (Energy, Oil, Gas & Consumable Fuels)		195,203		806,243

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

Wells Fargo Factor Enhanced International Equity Portfolio  |  3

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Australia (continued)
Orora Limited (Materials, Containers & Packaging)		21,357	$	35,284
OZ Minerals Limited (Materials, Metals & Mining)		6,358		68,558
Qantas Airways Limited (Industrials, Airlines)		337,212		979,920
QBE Insurance Group Limited (Financials, Insurance)		5,319		41,623
Qube Holdings Limited (Industrials, Transportation Infrastructure)		40,310		81,462
Ramsay Health Care Limited (Health Care, Health Care Providers & Services)		4,121		197,746
REA Group Limited (Communication Services, Interactive Media & Services)		1,220		102,731
Reece Limited (Industrials, Trading Companies & Distributors)		8,898		80,065
Reliance Worldwide Corporation Limited (Industrials, Building Products)		18,281		51,506
Rio Tinto Limited (Materials, Metals & Mining)		26,066		1,884,048
Santos Limited (Energy, Oil, Gas & Consumable Fuels)		244,239		1,021,385
Saracen Mineral Holdings Limited (Materials, Metals & Mining) †		21,358		82,229
Scentre Group (Real Estate, Equity REITs)		623,869		1,039,904
SEEK Limited (Industrials, Professional Services)		8,030		122,419
Sonic Healthcare Limited (Health Care, Health Care Providers & Services)		13,945		329,639
Spark Infrastructure Group (Utilities, Electric Utilities)		37,439		61,577
Steadfast Group Limited (Financials, Insurance)		19,082		50,525
Stockland Corporation Limited (Real Estate, Equity REITs)		322,924		943,164
Suncorp Group Limited (Financials, Insurance)		32,866		225,435
Sydney Airport Holdings Limited (Industrials, Transportation Infrastructure)		62,350		263,041
Tabcorp Holdings Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		145,622		388,801
Telstra Corporation Limited (Communication Services, Diversified Telecommunication Services)		313,013		667,193
The GPT Group (Real Estate, Equity REITs)		146,207		413,008
The Star Entertainment Group Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		21,121		45,955
TPG Telecom Limited (Communication Services, Diversified Telecommunication Services)		11,769		71,438
Transurban Group (Industrials, Transportation Infrastructure)		64,642		641,729
Treasury Wine Estates Limited (Consumer Staples, Beverages)		26,392		180,055
Vicinity Centres (Real Estate, Equity REITs)		644,583		686,971
Washington H. Soul Pattinson & Company Limited (Energy, Oil, Gas & Consumable Fuels)		18,507		285,691
Wesfarmers Limited (Consumer Discretionary, Multiline Retail)		45,881		1,608,055
Westpac Banking Corporation (Financials, Banks)		57,289		741,127
Wisetech Global Limited (Information Technology, Software)		3,259		67,736
Woodside Petroleum Limited (Energy, Oil, Gas & Consumable Fuels)		10,642		153,684
Woolworths Group Limited (Consumer Staples, Food & Staples Retailing)		42,182		1,240,409
WorleyParsons Limited (Energy, Energy Equipment & Services)		6,440		45,693
				38,464,799
Austria: 0.25%
Andritz AG (Industrials, Machinery)		10,439		349,305
Bawag Group AG (Financials, Banks) 144A†		1,376		51,823
Erste Bank Der Oesterreichischen Sparkassen AG (Financials, Banks) †		15,912		386,987
OMV AG (Energy, Oil, Gas & Consumable Fuels) †		6,942		225,828
Raiffeisen Bank International AG (Financials, Banks) †		22,707		406,461
Verbund AG (Utilities, Electric Utilities)		1,415		75,987
Voestalpine AG (Materials, Metals & Mining)		859		21,332
Wienerberger AG (Materials, Construction Materials) †		2,501		67,511
				1,585,234
Belgium: 0.76%
Ackermans & Van Haaren NV (Financials, Diversified Financial Services) †		617		87,693
Aedifica SA (Real Estate, Equity REITs)		695		81,860
Ageas NV (Financials, Insurance)		5,665		237,964
Anheuser-Busch InBev NV (Consumer Staples, Beverages)		10,976		639,258
Cofinimmo SA (Real Estate, Equity REITs)		686		100,529
Colruyt SA (Consumer Staples, Food & Staples Retailing)		5,158		326,231
Elia System Operator SA/NV (Utilities, Electric Utilities)		5,952		639,964

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

4  |  Wells Fargo Factor Enhanced International Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Belgium (continued)
KBC Group NV (Financials, Banks)		5,323	$	305,541
Proximus SA (Communication Services, Diversified Telecommunication Services)		4,269		84,516
Sofina SA (Financials, Diversified Financial Services)		1,021		306,430
Solvay SA (Materials, Chemicals)		84		7,282
Telenet Group Holding NV (Communication Services, Media)		5,474		212,826
UCB SA (Health Care, Pharmaceuticals)		7,325		869,933
Umicore SA (Materials, Chemicals)		17,696		812,814
Warehouses De Pauw SCA (Real Estate, Equity REITs)		3,045		107,559
				4,820,400
Bermuda: 0.06%
Hong Kong Land Holdings Limited (Real Estate, Real Estate Management & Development)		8,800		33,704
Jardine Matheson Holdings Limited (Industrials, Industrial Conglomerates)		5,776		242,592
Jardine Strategic Holdings Limited (Industrials, Industrial Conglomerates)		3,773		75,686
				351,982
Cambodia: 0.01%
NagaCorp Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		32,667		39,494
Canada: 9.82%
Agnico-Eagle Mines Limited-U.S. Exchange Traded Shares (Materials, Metals & Mining)		6,595		543,739
Air Canada (Industrials, Airlines) †		21,733		293,250
Algonquin Power & Utilities Corporation (Utilities, Multi-Utilities)		24,600		340,988
Alimentation Couche-Tard Incorporated Class B (Consumer Staples, Food & Staples Retailing)		41,670		1,359,982
Altagas Limited (Energy, Oil, Gas & Consumable Fuels)		54,700		707,470
ATCO Limited Class I (Utilities, Multi-Utilities)		15,500		472,243
B2Gold Corporation (Materials, Metals & Mining)		83,100		560,094
Bank of Montreal (Financials, Banks)		26,591		1,687,586
Barrick Gold Corporation (Materials, Metals & Mining)		74,771		2,215,012
Bausch Health Companies Incorporated (Health Care, Pharmaceuticals) †		9,100		151,045
BCE Incorporated (Communication Services, Diversified Telecommunication Services)		21,958		943,739
Brookfield Asset Management Incorporated Class A (Financials, Capital Markets)		56,428		1,904,367
CAE Incorporated (Industrials, Aerospace & Defense)		8,800		139,521
Cameco Corporation (Energy, Oil, Gas & Consumable Fuels)		14,900		172,606
Canadian Apartment Properties (Real Estate, Equity REITs)		4,400		151,800
Canadian Imperial Bank of Commerce (Financials, Banks)		21,774		1,728,766
Canadian National Railway Company (Industrials, Road & Rail)		32,037		3,366,421
Canadian Natural Resources Limited (Energy, Oil, Gas & Consumable Fuels)		42,400		836,070
Canadian Pacific Railway Limited (Industrials, Road & Rail)		7,282		2,154,369
Canadian Tire Corporation Limited Class A (Consumer Discretionary, Multiline Retail)		3,400		355,679
Canadian Utilities Limited Class A (Utilities, Multi-Utilities)		13,300		333,838
Cenovus Energy Incorporated (Energy, Oil, Gas & Consumable Fuels)		7,200		34,003
CGI Incorporated (Information Technology, IT Services) †		11,265		791,275
CI Financial Corporation (Financials, Capital Markets)		20,400		289,652
Constellation Software Incorporated (Information Technology, Software)		1,128		1,305,837
Dollarama Incorporated (Consumer Discretionary, Multiline Retail)		7,777		303,603
Emera Incorporated (Utilities, Electric Utilities)		7,300		298,022
Empire Company Limited Class A (Consumer Staples, Food & Staples Retailing)		10,200		265,489
Enbridge Incorporated (Energy, Oil, Gas & Consumable Fuels)		104,300		3,336,864
Fairfax Financial Holdings Limited (Financials, Insurance)		800		246,615
First Capital REIT (Real Estate, Equity REITs)		38,100		399,592
Fortis Incorporated (Utilities, Electric Utilities)		17,844		713,705
Franco-Nevada Corporation (Materials, Metals & Mining)		8,208		1,234,457
Gildan Activewear Incorporated (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		16,000		310,223
Great-West Lifeco Incorporated (Financials, Insurance)		1,400		28,561
Hydro One Limited (Utilities, Electric Utilities) 144A		5,600		115,920

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

Wells Fargo Factor Enhanced International Equity Portfolio  |  5

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Canada (continued)
iA Financial Corporation (Financials, Insurance)		14,700	$	529,126
IGM Financial Incorporated (Financials, Capital Markets)		22,600		551,507
Intact Financial Corporation (Financials, Insurance)		6,575		704,254
Inter Pipeline Limited (Energy, Oil, Gas & Consumable Fuels)		19,100		201,638
Keyera Corporation (Energy, Oil, Gas & Consumable Fuels)		21,400		390,806
Kinross Gold Corporation (Materials, Metals & Mining) †		52,300		464,424
Kinross Gold Corporation (Materials, Metals & Mining) †		20,900		185,550
Kirkland Lake Gold Limited (Materials, Metals & Mining)		11,400		607,429
Loblaw Companies Limited (Consumer Staples, Food & Staples Retailing)		3,985		205,948
Lundin Mining Corporation (Materials, Metals & Mining)		22,100		138,427
Magna International Incorporated (Consumer Discretionary, Auto Components)		24,227		1,179,821
Manulife Financial Corporation (Financials, Insurance)		98,300		1,449,988
Metro Incorporated (Consumer Staples, Food & Staples Retailing)		14,930		674,417
National Bank of Canada (Financials, Banks)		21,708		1,193,287
Onex Corporation (Financials, Diversified Financial Services)		13,200		640,899
Open Text Corporation (Information Technology, Software)		1,800		81,641
Open Text Corporation (Information Technology, Software)		15,218		690,593
Pan American Silver Corporation (Materials, Metals & Mining)		2,900		104,697
Parkland Corporation (Energy, Oil, Gas & Consumable Fuels)		3,700		104,871
Pembina Pipeline Corporation (Energy, Oil, Gas & Consumable Fuels)		25,152		622,846
Power Corporation of Canada (Financials, Insurance)		33,896		676,699
Quebecor Incorporated Class B (Communication Services, Media)		13,000		322,321
Restaurant Brands International Incorporated (Consumer Discretionary, Hotels, Restaurants & Leisure)		10,903		590,727
RioCan REIT (Real Estate, Equity REITs)		20,900		243,714
Ritchie Bros. Auctioneers Incorporated (Industrials, Commercial Services & Supplies)		2,900		169,685
Rogers Communications Incorporated Class B (Communication Services, Wireless Telecommunication Services)		8,674		360,832
Royal Bank of Canada (Financials, Banks)		64,531		4,914,221
Shaw Communications Incorporated Class B (Communication Services, Media)		15,405		288,058
Shopify Incorporated Class A (Information Technology, Software) †		1,800		1,922,654
Smart REIT (Real Estate, Equity REITs)		28,700		451,948
Sun Life Financial Incorporated (Financials, Insurance)		28,558		1,191,933
Suncor Energy Incorporated (Energy, Oil, Gas & Consumable Fuels)		41,262		662,103
TC Energy Corporation (Energy, Oil, Gas & Consumable Fuels)		47,900		2,239,752
Telus Corporation (Communication Services, Diversified Telecommunication Services)		16,088		296,265
The Bank of Nova Scotia (Financials, Banks)		53,808		2,325,416
The Toronto-Dominion Bank (Financials, Banks)		35,818		1,786,850
Thomson Reuters Corporation (Industrials, Professional Services)		3,918		299,508
TMX Group Limited (Financials, Capital Markets)		2,900		304,863
Waste Connections Incorporated—Toronto Exchange (Industrials, Commercial Services & Supplies)		5,767		576,722
Wheaton Precious Metals Corporation (Materials, Metals & Mining)		15,976		853,213
WSP Global Incorporated (Industrials, Construction & Engineering)		700		47,490
Yamana Gold Incorporated (Materials, Metals & Mining)		122,600		759,465
				62,099,011
China: 0.28%
AAC Technologies Holdings Incorporated (Information Technology, Electronic Equipment, Instruments & Components)		12,500		78,869
Beigene Limited (Health Care, Biotechnology) †		16,700		313,736
Beigene Limited ADR (Health Care, Biotechnology) †		880		212,582
MicroPort Scientific Corporation (Health Care, Health Care Equipment & Supplies)		14,000		63,676
Sands China Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		116,400		513,649
Wynn Macau Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		33,845		63,671
Xiaomi Corporation Class B (Information Technology, Technology Hardware, Storage & Peripherals) 144A†		182,600		553,676
				1,799,859

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

6  |  Wells Fargo Factor Enhanced International Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Denmark: 2.48%
A.P. Moller Maersk AS Class B (Industrials, Marine)		36	$	55,198
Ambu AS Class B (Health Care, Health Care Equipment & Supplies)		8,162		239,980
Bakkafrost PF (Consumer Staples, Food Products) †		1,175		73,575
Carlsberg AS Class B (Consumer Staples, Beverages)		6,874		966,029
Christian Hansen Holding AS (Materials, Chemicals)		2,248		258,113
Coloplast AS Class B (Health Care, Health Care Equipment & Supplies)		6,760		1,147,140
Danske Bank AS (Financials, Banks) †		22,932		354,918
DSV Panalpina AS (Industrials, Air Freight & Logistics)		5,648		883,195
Genmab AS (Health Care, Biotechnology) †		3,677		1,388,826
GN Store Nord AS (Health Care, Health Care Equipment & Supplies)		2,915		211,183
H. Lundbeck AS (Health Care, Pharmaceuticals)		1,429		46,918
ISS AS (Industrials, Commercial Services & Supplies) †		3,603		55,475
Netcompany Group AS (Information Technology, IT Services) †		892		77,221
Novo Nordisk AS Class B (Health Care, Pharmaceuticals)		87,371		5,787,008
Novozymes AS Class B (Materials, Chemicals)		9,667		572,025
Orsted AS (Utilities, Electric Utilities) 144A		4,506		637,579
Pandora AS (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		18,042		1,317,794
Rockwool International AS B Shares (Industrials, Building Products)		190		72,191
Royal Unibrew AS (Consumer Staples, Beverages)		892		93,524
SimCorp AS (Information Technology, Software)		871		110,731
Topdanmark AS (Financials, Insurance)		997		42,964
Tryg AS (Financials, Insurance)		2,686		82,462
Vestas Wind Systems AS (Industrials, Electrical Equipment)		7,377		1,121,632
William Demant Holding (Health Care, Health Care Equipment & Supplies) †		1,754		52,359
				15,648,040
Finland: 1.22%
Elisa Oyj (Communication Services, Diversified Telecommunication Services)		13,949		820,483
Fortum Oyj (Utilities, Electric Utilities)		12,769		269,939
Huhtamaki Oyj (Materials, Containers & Packaging) †		2,206		106,723
Kesko Oyj Class B (Consumer Staples, Food & Staples Retailing)		5,899		130,866
Kojamo Oyj (Real Estate, REITs)		4,146		100,437
Kone Oyj Class B (Industrials, Machinery)		14,166		1,214,455
Neste Oil Oyj (Energy, Oil, Gas & Consumable Fuels)		21,412		1,144,986
Nokia Oyj (Information Technology, Communications Equipment) †		112,570		547,081
Nokian Renkaat Oyj (Consumer Discretionary, Auto Components)		2,956		82,298
Nordea Bank AB (Financials, Banks) †		78,480		631,756
Orion Oyj Class B (Health Care, Pharmaceuticals)		20,833		977,537
Sampo Oyj Class A (Financials, Insurance)		19,807		797,265
Stora Enso Oyj (Materials, Paper & Forest Products)		13,839		203,627
UPM-Kymmene Oyj (Materials, Paper & Forest Products)		20,042		607,734
Valmet Corporation Oyj (Industrials, Machinery)		2,964		81,070
				7,716,257
France: 7.31%
Aeroports de Paris SA (Industrials, Transportation Infrastructure)		757		79,316
Air Liquide SA (Materials, Chemicals)		21,352		3,543,051
Alstom SA (Industrials, Machinery) †		8,962		498,806
Alten SA (Information Technology, IT Services) †		736		63,809
Amundi SA (Financials, Capital Markets) 144A†		5,339		414,771
Arkema SA (Materials, Chemicals)		7,216		799,982
Atos Origin SA (Information Technology, IT Services) †		12,416		1,074,206
AXA SA (Financials, Insurance)		67,224		1,369,867
BioMerieux (Health Care, Health Care Equipment & Supplies)		3,975		602,433
BNP Paribas SA (Financials, Banks) †		35,376		1,543,626
Bouygues SA (Industrials, Construction & Engineering) †		11,600		460,275

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

Wells Fargo Factor Enhanced International Equity Portfolio  |  7

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
France (continued)
Bureau Veritas SA (Industrials, Professional Services) †		6,379	$	144,597
Capgemini SE (Information Technology, IT Services)		4,635		641,617
Casino Guichard Perrachon SA (Consumer Staples, Food & Staples Retailing) †		1,100		28,551
CNP Assurances SA (Financials, Insurance) †		25,140		336,609
Compagnie de Saint-Gobain SA (Industrials, Building Products) †		18,294		741,822
Compagnie Generale des Etablissements Michelin SCA (Consumer Discretionary, Auto Components)		7,746		874,638
Covivio (Real Estate, Equity REITs)		7,347		544,464
Credit Agricole SA (Financials, Banks) †		21,957		225,026
Danone SA (Consumer Staples, Food Products)		7,058		464,089
Dassault Aviation SA (Industrials, Aerospace & Defense) †		612		556,877
Dassault Systemes SA (Information Technology, Software)		4,661		877,994
Eiffage SA (Industrials, Construction & Engineering) †		4,382		403,803
Electricite de France SA (Utilities, Electric Utilities)		10,583		111,162
Elis SA (Industrials, Commercial Services & Supplies) †		3,969		51,390
Engie SA (Utilities, Multi-Utilities) †		25,574		355,696
EssilorLuxottica SA (Health Care, Health Care Equipment & Supplies) †		5,672		758,769
Faurecia SE (Consumer Discretionary, Auto Components) †		7,674		334,350
Gecina SA (Real Estate, Equity REITs)		5,210		716,239
Getlink SE (Industrials, Transportation Infrastructure) †		24,664		377,917
Hermes International SA (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		1,644		1,411,368
Icade SA (Real Estate, Equity REITs)		3,544		229,436
Iliad SA (Communication Services, Diversified Telecommunication Services)		2,980		636,557
Ingenico SA (Information Technology, Electronic Equipment, Instruments & Components) †		3,224		547,095
Kering SA (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		1,922		1,180,296
Klepierre SA (Real Estate, Equity REITs)		27,137		446,575
L’Oreal SA (Consumer Staples, Personal Products)		6,625		2,189,156
La Francaise Des Jeux SA (Consumer Discretionary, Hotels, Restaurants & Leisure) 144A		2,875		106,666
Legrand SA (Industrials, Electrical Equipment)		11,486		958,107
LVMH Moet Hennessy Louis Vuitton SA (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		6,356		2,979,362
Natixis SA (Financials, Capital Markets) †		13,191		36,284
Orange SA (Communication Services, Diversified Telecommunication Services)		25,421		283,036
Orpea SA (Health Care, Health Care Providers & Services) †		1,198		143,893
Pernod-Ricard SA (Consumer Staples, Beverages)		9,081		1,555,083
Peugeot SA (Consumer Discretionary, Automobiles) †		16,546		283,738
Publicis Groupe SA (Communication Services, Media) †		7,423		260,166
Remy Cointreau SA (Consumer Staples, Beverages)		577		94,953
Rubis SCA (Utilities, Gas Utilities)		2,238		105,707
Safran SA (Industrials, Aerospace & Defense) †		8,804		1,019,317
Sanofi SA (Health Care, Pharmaceuticals)		30,704		3,109,690
Sartorius Stedim Biotech SA (Health Care, Life Sciences Tools & Services)		1,276		456,510
Schneider Electric SE (Industrials, Electrical Equipment)		15,557		1,926,113
SCOR SE (Financials, Insurance) †		20,641		552,248
Societe Generale SA (Financials, Banks) †		32,069		519,777
Sodexo SA (Consumer Discretionary, Hotels, Restaurants & Leisure)		4,739		339,091
Sopra Steria Group (Information Technology, IT Services) †		341		55,465
Spie SA (Industrials, Commercial Services & Supplies)		2,975		50,520
Suez Environnement Company SA (Utilities, Multi-Utilities)		8,894		153,951
Teleperformance SE (Industrials, Professional Services)		3,227		995,083
Thales SA (Industrials, Aerospace & Defense)		3,308		258,568
Total SA (Energy, Oil, Gas & Consumable Fuels)		55,049		2,174,429
Valeo SA (Consumer Discretionary, Auto Components)		7,521		229,765
Veolia Environnement SA (Utilities, Multi-Utilities)		17,690		426,429
Vinci SA (Industrials, Construction & Engineering)		10,595		993,530
Vivendi SA (Communication Services, Entertainment)		12,250		347,921
Worldline SA (Information Technology, IT Services) 144A†		1,823		167,555
				46,219,192

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

8  |  Wells Fargo Factor Enhanced International Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Germany: 6.59%
adidas AG (Consumer Discretionary, Textiles, Apparel & Luxury Goods) †		8,001	$	2,430,919
Allianz AG (Financials, Insurance)		6,195		1,341,942
Alstria Office REIT AG (Real Estate, Equity REITs) †		4,064		60,768
BASF SE (Materials, Chemicals)		17,907		1,091,118
Bayer AG (Health Care, Pharmaceuticals)		29,005		1,922,413
Bayerische Motoren Werke AG (Consumer Discretionary, Automobiles)		7,217		518,036
Bechtle AG (Information Technology, IT Services)		577		116,505
Beiersdorf AG (Consumer Staples, Personal Products)		3,575		412,971
Brenntag AG (Industrials, Trading Companies & Distributors)		9,611		601,679
Cancom SE (Information Technology, IT Services)		837		46,186
Carl Zeiss Meditec AG (Health Care, Health Care Equipment & Supplies) †		801		90,234
Covestro AG (Materials, Chemicals) 144A		3,971		188,888
CTS Eventim AG & Company KGaA (Communication Services, Entertainment) †		1,286		63,872
Daimler AG (Consumer Discretionary, Automobiles)		18,073		919,743
Delivery Hero AG (Consumer Discretionary, Internet & Direct Marketing Retail) 144A†		2,773		297,891
Deutsche Boerse AG (Financials, Capital Markets)		10,160		1,920,511
Deutsche Lufthansa AG (Industrials, Airlines) †		13,700		142,726
Deutsche Post AG (Industrials, Air Freight & Logistics)		29,711		1,351,569
Deutsche Telekom AG (Communication Services, Diversified Telecommunication Services)		147,624		2,598,465
Deutsche Wohnen AG (Real Estate, Real Estate Management & Development)		19,810		1,055,302
E.ON SE (Utilities, Multi-Utilities)		56,745		671,072
Evonik Industries AG (Materials, Chemicals)		7,082		205,367
Evotec AG (Health Care, Life Sciences Tools & Services) †		2,837		75,836
Fraport AG (Industrials, Transportation Infrastructure) †		1,571		71,541
Freenet AG (Communication Services, Wireless Telecommunication Services)		3,181		68,689
Fresenius Medical Care AG & Company KGaA (Health Care, Health Care Providers & Services)		9,680		820,859
Fresenius SE & Company KGaA (Health Care, Health Care Providers & Services)		18,735		867,468
GEA Group AG (Industrials, Machinery)		5,830		212,613
Gerresheimer AG (Health Care, Life Sciences Tools & Services)		568		67,003
Hannover Rueck SE (Financials, Insurance)		3,544		603,089
Heidelbergcement AG (Materials, Construction Materials)		668		42,425
Hellofresh SE (Consumer Discretionary, Internet & Direct Marketing Retail) †		2,879		148,077
Infineon Technologies AG (Information Technology, Semiconductors & Semiconductor Equipment)		19,530		539,770
Kion Group AG (Industrials, Machinery) †		4,350		367,839
Knorr Bremse AG (Industrials, Machinery)		1,055		134,057
LANXESS AG (Materials, Chemicals)		10,400		608,255
LEG Immobilien AG (Real Estate, Real Estate Management & Development)		3,923		577,043
Merck KGaA (Health Care, Pharmaceuticals)		7,356		997,652
Metro AG (Consumer Staples, Food & Staples Retailing)		1,332		13,180
MTU Aero Engines AG (Industrials, Aerospace & Defense) †		3,412		632,133
Muenchener Rueckversicherungs Gesellschaft AG (Financials, Insurance)		7,059		2,036,047
Nemetschek SE (Information Technology, Software)		3,828		304,238
ProSiebenSat.1 Media AG (Communication Services, Media) †		4,511		51,044
Puma AG Rudolf Dassler Sport (Consumer Discretionary, Textiles, Apparel & Luxury Goods) †		6,703		553,373
Rational AG (Industrials, Machinery)		114		72,918
Rheinmetall AG (Industrials, Industrial Conglomerates)		958		88,646
RWE AG (Utilities, Multi-Utilities)		14,718		584,872
SAP SE (Information Technology, Software)		24,120		3,973,289
Scout24 AG (Communication Services, Interactive Media & Services) 144A		9,210		856,729
Siemens AG (Industrials, Industrial Conglomerates)		18,985		2,620,364
Siemens Healthineers AG (Health Care, Health Care Equipment & Supplies) 144A		7,222		328,360
Symrise AG (Materials, Chemicals)		3,766		519,300
TAG Immobilien AG (Real Estate, Real Estate Management & Development)		3,142		93,888
TeamViewer AG (Information Technology, Software) †		751		40,661
Telefónica Deutschland Holding AG (Communication Services, Diversified Telecommunication Services)		23,741		65,615
TUI AG (Consumer Discretionary, Hotels, Restaurants & Leisure)		9,648		41,926

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

Wells Fargo Factor Enhanced International Equity Portfolio  |  9

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Germany (continued)
Uniper SE (Utilities, Independent Power & Renewable Electricity Producers)		25,679	$	840,872
United Internet AG (Communication Services, Diversified Telecommunication Services)		17,614		864,749
Vonovia SE (Real Estate, Real Estate Management & Development)		21,460		1,536,558
Zalando SE (Consumer Discretionary, Internet & Direct Marketing Retail) 144A†		14,859		1,296,918
				41,666,073
Hong Kong: 2.56%
AIA Group Limited (Financials, Insurance)		233,200		2,401,146
ASM Pacific Technology (Information Technology, Semiconductors & Semiconductor Equipment)		13,144		141,358
BOC Hong Kong Holdings Limited (Financials, Banks)		178,000		505,277
Budweiser Brewing Company (Consumer Staples, Beverages) 144A		181,000		610,713
CK Asset Holdings Limited (Real Estate, Real Estate Management & Development)		165,190		897,332
CK Hutchison Holdings Limited (Industrials, Industrial Conglomerates)		223,070		1,460,711
CK Infrastructure Holdings Limited (Utilities, Electric Utilities)		18,750		99,191
CLP Holdings Limited (Utilities, Electric Utilities)		88,500		869,561
ESR Cayman Limited (Real Estate, Real Estate Management & Development) †		27,200		81,247
Fosun International (Industrials, Industrial Conglomerates)		52,167		58,089
Galaxy Entertainment Group Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		152,000		1,197,337
Hang Lung Group Limited (Real Estate, Real Estate Management & Development)		16,569		42,758
Hang Lung Properties Limited (Real Estate, Real Estate Management & Development)		84,332		237,756
Hang Seng Bank Limited (Financials, Banks)		927		14,580
Henderson Land Development Company Limited (Real Estate, Real Estate Management & Development)		61,198		241,232
HK Electric Investments Limited (Utilities, Electric Utilities) 144A		117,500		119,619
Hong Kong & China Gas Company Limited (Utilities, Gas Utilities)		238,092		346,530
Hong Kong Exchanges & Clearing Limited (Financials, Capital Markets)		24,600		1,241,712
Hong Kong Telecommunications Trust & Hong Kong Trust Limited (Communication Services, Diversified Telecommunication Services)		199,574		285,319
Hysan Development Company Limited (Real Estate, Real Estate Management & Development)		14,192		44,864
Kerry Properties Limited (Real Estate, Real Estate Management & Development)		120,166		312,424
New World Development Company Limited (Real Estate, Real Estate Management & Development)		46,493		241,457
PCCW Limited (Communication Services, Diversified Telecommunication Services)		220,000		137,958
Power Assets Holdings Limited (Utilities, Electric Utilities)		49,417		283,104
Shenzhou International Group Holdings Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		16,600		267,735
Sino Land Company (Real Estate, Real Estate Management & Development)		225,899		263,202
SJM Holdings Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		100,000		137,545
Sun Hung Kai Properties Limited (Real Estate, Real Estate Management & Development)		60,000		806,689
Swire Pacific Limited Class A (Real Estate, Real Estate Management & Development)		64,978		353,807
Techtronic Industries Company Limited (Industrials, Machinery)		86,743		1,101,328
The Bank of East Asia Limited (Financials, Banks)		9,600		21,652
Vitasoy International Holdings Limited (Consumer Staples, Food Products)		19,669		70,045
WH Group Limited (Consumer Staples, Food Products) 144A		1,171,000		1,010,811
Wharf Holdings Limited (Real Estate, Real Estate Management & Development)		17,472		34,086
Wharf Real Estate Investment Company Limited (Real Estate, Real Estate Management & Development)		39,296		163,518
Xinyi Glass Holdings Limited (Consumer Discretionary, Auto Components)		45,334		78,382
				16,180,075
Ireland: 1.19%
Bank of Ireland Group plc (Financials, Banks) †		25,388		57,140
CRH plc (Materials, Construction Materials)		10,303		381,148
DCC plc (Industrials, Industrial Conglomerates)		7,931		704,592
Flutter Entertainment plc (Consumer Discretionary, Hotels, Restaurants & Leisure)		5,140		866,709
Glanbia plc (Consumer Staples, Food Products)		5,324		61,310
Kerry Group plc Class A (Consumer Staples, Food Products)		6,089		799,294
Kingspan Group plc (Industrials, Building Products)		9,691		832,084
Linde plc (Materials, Chemicals)		11,892		2,991,530

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

10  |  Wells Fargo Factor Enhanced International Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Ireland (continued)
Smurfit Kappa Group plc (Materials, Containers & Packaging)		22,119	$	783,425
UDG Healthcare plc (Health Care, Health Care Providers & Services)		5,784		55,939
				7,533,171
Israel: 0.37%
Bank Hapoalim Limited (Financials, Banks)		28,505		172,843
Check Point Software Technologies Limited (Information Technology, Software) †		7,071		892,784
Israel Chemicals Limited (Materials, Chemicals)		46,334		172,521
Israel Discount Bank Limited Class A (Financials, Banks)		29,356		94,165
Mizrahi Tefahot Bank Limited (Financials, Banks)		15,493		315,961
Nice Systems Limited (Information Technology, Software) †		2,971		680,209
				2,328,483
Italy: 1.55%
A2A SpA (Utilities, Multi-Utilities)		36,567		53,368
Amplifon SpA (Health Care, Health Care Providers & Services) †		2,701		89,993
Assicurazioni Generali SpA (Financials, Insurance)		60,668		941,538
Atlantia SpA (Industrials, Transportation Infrastructure) †		24,865		395,536
Banco BPM SpA (Financials, Banks) †		34,398		57,961
DiaSorin SpA (Health Care, Health Care Equipment & Supplies)		1,877		339,348
Enel SpA (Utilities, Electric Utilities)		183,418		1,661,095
FinecoBank SpA (Financials, Banks) †		20,861		316,160
Hera SpA (Utilities, Multi-Utilities)		20,414		78,004
Infrastrutture Wireless Italiane SpA (Communication Services, Diversified Telecommunication Services) 144A		479		4,667
Interpump Group SpA (Industrials, Machinery)		1,898		66,364
Intesa Sanpaolo SpA (Financials, Banks) †		457,348		985,235
Italgas SpA (Utilities, Gas Utilities)		10,155		65,379
Leonardo SpA (Industrials, Aerospace & Defense)		107,123		724,570
Mediobanca SpA (Financials, Banks)		56,656		492,339
Moncler SpA (Consumer Discretionary, Textiles, Apparel & Luxury Goods) †		6,461		250,197
Nexi SpA (Information Technology, IT Services) 144A†		13,117		233,467
Pirelli & C. SpA (Consumer Discretionary, Auto Components) 144A†		10,522		45,467
Poste Italiane SpA (Financials, Insurance) 144A		14,514		133,193
Prysmian SpA (Industrials, Electrical Equipment)		30,646		857,234
Recordati SpA (Health Care, Pharmaceuticals)		7,818		426,083
Snam SpA (Utilities, Gas Utilities)		57,079		292,214
Telecom Italia RSP (Communication Services, Diversified Telecommunication Services)		49,236		23,256
Telecom Italia SpA (Communication Services, Diversified Telecommunication Services)		207,914		98,948
Terna SpA (Utilities, Electric Utilities)		84,948		614,116
UniCredit SpA (Financials, Banks) †		53,113		522,905
Unione di Banche SpA (Financials, Banks) †		10,027		43,436
				9,812,073
Japan: 23.01%
ABC-Mart Incorporated (Consumer Discretionary, Specialty Retail)		1,100		57,952
Acom Company Limited (Financials, Consumer Finance)		12,100		47,296
Activia Properties Incorporated (Real Estate, Equity REITs)		17		64,122
Advance Residence Investment Corporation (Real Estate, Equity REITs)		29		85,975
Advantest Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		10,500		502,620
Aeon Financial Service Company Limited (Financials, Consumer Finance)		1,550		13,800
Aica Kogyo Company Limited (Industrials, Building Products)		1,500		51,551
Air Water Incorporated (Materials, Chemicals)		9,500		133,645
Aisin Seiki Company Limited (Consumer Discretionary, Auto Components)		5,300		182,396
Ajinomoto Company Incorporated (Consumer Staples, Food Products)		13,100		244,400
Alfresa Holdings Corporation (Health Care, Health Care Providers & Services)		17,200		345,900

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

Wells Fargo Factor Enhanced International Equity Portfolio  |  11

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Japan (continued)
All Nippon Airways Company Limited (Industrials, Airlines) †		8,800	$	219,969
Alps Electric Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		4,700		74,817
Amada Holdings Company Limited (Industrials, Machinery)		14,700		131,018
Anritsu Corporation Anritsu Corp(Information Technology, Electronic Equipment, Instruments & Components)		3,300		72,097
Aozora Bank Limited (Financials, Banks)		30,900		555,771
Asahi Glass Company Limited (Industrials, Building Products)		6,300		178,742
Asahi Group Holdings Limited (Consumer Staples, Beverages)		24,600		862,388
Asahi Intecc Company Limited (Health Care, Health Care Equipment & Supplies)		5,434		161,355
Asahi Kasei Corporation (Materials, Chemicals)		38,400		322,674
ASICS Corporation (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		4,400		60,819
Astellas Pharma Incorporated (Health Care, Pharmaceuticals)		117,300		1,843,420
Azbil Corporation (Information Technology, Electronic Equipment, Instruments & Components)		3,200		100,609
Bandai Namco Holdings Incorporated (Consumer Discretionary, Leisure Products)		9,300		578,380
Benesse Corporation (Consumer Discretionary, Diversified Consumer Services)		1,767		45,061
Bridgestone Corporation (Consumer Discretionary, Auto Components)		14,600		463,302
Brother Industries Limited (Information Technology, Technology Hardware, Storage & Peripherals)		51,500		853,349
Calbee Incorporated (Consumer Staples, Food Products)		10,500		327,645
Capcom Company Limited (Communication Services, Entertainment)		1,967		95,457
Casio Computer Company Limited (Consumer Discretionary, Household Durables)		27,400		442,115
Central Japan Railway Company (Industrials, Road & Rail)		7,000		1,050,182
Chiba Bank Limited (Financials, Banks)		139,100		722,325
Chubu Electric Power Company Incorporated (Utilities, Electric Utilities)		36,800		454,984
Chugai Pharmaceutical Company Limited (Health Care, Pharmaceuticals)		32,900		1,466,467
Comsys Holdings Corporation (Industrials, Construction & Engineering)		2,867		80,178
Concordia Financial Group Limited (Financials, Banks)		50,100		166,503
Cosmos Pharmaceutical Corporation (Consumer Staples, Food & Staples Retailing)		3,000		528,254
Credit Saison Company Limited (Financials, Consumer Finance)		3,767		43,000
CyberAgent Incorporated (Communication Services, Media)		6,900		368,078
Dai Nippon Printing Company Limited (Industrials, Commercial Services & Supplies)		15,700		334,115
Dai-ichi Life Holdings Incorporated (Financials, Insurance)		42,500		644,231
Daicel Corporation (Materials, Chemicals)		50,600		367,861
Daifuku Company Limited (Industrials, Machinery)		5,600		493,301
Daiichi Sankyo Company Limited (Health Care, Pharmaceuticals)		8,100		722,473
Daiichikosho Company Limited (Communication Services, Entertainment)		1,067		33,345
Daikin Industries Limited (Industrials, Building Products)		5,066		954,942
Daito Trust Construction Company Limited (Real Estate, Real Estate Management & Development)		6,200		550,311
Daiwa House Industry Company Limited (Real Estate, Real Estate Management & Development)		33,000		885,016
Daiwa House Residential Investment Corporation (Real Estate, Equity REITs)		39		101,997
Daiwa Office Investment Corporation (Real Estate, Equity REITs)		7		40,580
Daiwa Securities Group Incorporated (Financials, Capital Markets)		71,400		322,232
Denka Company Limited (Materials, Chemicals)		2,000		56,309
Denso Corporation (Consumer Discretionary, Auto Components)		3,900		164,116
DIC Incorporated (Materials, Chemicals)		1,767		42,092
Disco Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		1,200		280,187
Dowa Mining Company Limited (Materials, Metals & Mining)		1,300		40,443
East Japan Railway Company (Industrials, Road & Rail)		9,034		588,278
Ebara Corporation (Industrials, Machinery)		2,134		55,045
Eisai Company Limited (Health Care, Pharmaceuticals)		5,100		446,127
Electric Power Development Company Limited (Utilities, Independent Power & Renewable Electricity Producers)		6,450		97,376
Ezaki Glico Company Limited (Consumer Staples, Food Products)		1,334		56,678
FANCL Corporation (Consumer Staples, Personal Products)		1,934		63,271
FANUC Corporation (Industrials, Machinery)		2,200		386,451
Fast Retailing Company Limited (Consumer Discretionary, Specialty Retail)		200		119,492
Fuji Electric Holdings Company Limited (Industrials, Electrical Equipment)		10,800		338,026

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

12  |  Wells Fargo Factor Enhanced International Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Japan (continued)
Fuji Television Network Incorporated (Communication Services, Media)		3,667	$	36,457
FUJIFILM Holdings Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		11,700		557,411
Fujitsu Limited (Information Technology, IT Services)		13,400		1,748,459
Fukuoka Financial Group Incorporated (Financials, Banks)		48,100		797,012
GLP J-REIT (Real Estate, Equity REITs)		91		140,562
GMO Payment Gateway Incorporated (Information Technology, IT Services)		900		95,256
Goldwin Incorporated (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		967		69,844
Hakuhodo DY Holdings Incorporated (Communication Services, Media)		18,100		225,577
Hamamatsu Photonics (Information Technology, Electronic Equipment, Instruments & Components)		3,200		145,928
Hankyu Hanshin Holdings Incorporated (Industrials, Road & Rail)		14,200		461,870
Haseko Corporation (Consumer Discretionary, Household Durables)		6,800		92,901
Hikari Tsushin Incorporated (Consumer Discretionary, Specialty Retail)		500		120,946
Hino Motors Limited (Industrials, Machinery)		13,600		91,681
Hirose Electric Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		2,100		238,125
Hisamitsu Pharmaceutical Company Incorporated (Health Care, Pharmaceuticals)		13,700		632,517
Hitachi Construction Machinery Company Limited (Industrials, Machinery)		5,100		179,125
Hitachi Limited (Information Technology, Electronic Equipment, Instruments & Components)		27,300		909,871
Honda Motor Company Limited (Consumer Discretionary, Automobiles)		35,300		909,538
Horiba Limited (Information Technology, Electronic Equipment, Instruments & Components)		967		53,045
Hoshizaki Electric Company Limited (Industrials, Machinery)		2,000		153,142
House Foods Group Incorporated (Consumer Staples, Food Products)		1,900		64,221
Hoya Corporation (Health Care, Health Care Equipment & Supplies)		16,600		1,632,337
Hulic Company Limited (Real Estate, Real Estate Management & Development)		34,200		311,922
Ibiden Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		2,967		93,143
Idemitsu Kosan Company Limited (Energy, Oil, Gas & Consumable Fuels)		10,300		227,171
IHI Corporation (Industrials, Machinery)		3,567		53,043
Iida Group Holdings Company Limited (Consumer Discretionary, Household Durables)		11,200		218,893
Industrial & Infrastructure Fund Investment Corporation (Real Estate, Equity REITs)		39		68,194
Inpex Holdings Incorporated (Energy, Oil, Gas & Consumable Fuels)		62,900		400,151
Invincible Investment Corporation (Real Estate, Equity REITs)		153		45,792
Isetan Mitsukoshi Holdings Limited (Consumer Discretionary, Multiline Retail)		9,000		49,625
Isuzu Motors Limited (Consumer Discretionary, Automobiles)		29,700		294,154
ITO EN Limited (Consumer Staples, Beverages)		9,300		562,838
Itochu Corporation (Industrials, Trading Companies & Distributors)		80,600		2,072,550
Itochu Techno-Solutions Corporation (Information Technology, IT Services)		16,400		594,590
J.Front Retailing Company Limited (Consumer Discretionary, Multiline Retail)		6,200		43,201
Japan Airlines Company Limited (Industrials, Airlines)		9,367		186,960
Japan Airport Terminal Company Limited (Industrials, Transportation Infrastructure)		1,867		84,082
Japan Excellent Incorporated (Real Estate, Equity REITs)		30		35,604
Japan Exchange Group Incorporated (Financials, Capital Markets)		11,400		295,777
Japan Hotel REIT Investment Corporation (Real Estate, Equity REITs)		105		48,775
Japan Logistics Fund Incorporated (Real Estate, Equity REITs)		20		53,817
Japan Post Holding Company Limited (Financials, Insurance)		12,000		191,927
Japan Prime Realty Investment Corporation (Real Estate, Equity REITs)		53		160,379
Japan Real Estate Investment Corporation (Real Estate, Equity REITs)		31		173,856
Japan Retail Fund Investment Corporation (Real Estate, Equity REITs)		62		93,601
JCR Pharmaceuticals Company Limited (Health Care, Pharmaceuticals)		500		53,770
JFE Holdings Incorporated (Materials, Metals & Mining)		12,900		97,802
JGC Corporation (Industrials, Construction & Engineering)		5,867		64,866
JSR Corporation (Materials, Chemicals)		9,800		209,111
JustSystems Corporation (Information Technology, Software)		700		53,666
JXTG Holdings Incorporated (Energy, Oil, Gas & Consumable Fuels)		147,800		579,953
K’s Holdings Corporation (Consumer Discretionary, Specialty Retail)		4,800		68,115
Kagome Company Limited (Consumer Staples, Food Products)		2,034		63,277
Kajima Corporation (Industrials, Construction & Engineering)		31,100		387,887
Kakaku.com Incorporated (Communication Services, Interactive Media & Services)		10,300		274,920

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

Wells Fargo Factor Enhanced International Equity Portfolio  |  13

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Japan (continued)
Kaken Pharmaceutical Company Limited (Health Care, Pharmaceuticals)		934	$	43,210
Kamigumi Company Limited (Industrials, Transportation Infrastructure)		39,300		812,604
Kaneka Corporation (Materials, Chemicals)		1,500		38,068
Kansai Electric Power Company Incorporated (Utilities, Electric Utilities)		25,734		253,659
Kansai Paint Company Limited (Materials, Chemicals)		6,650		158,786
Kao Corporation (Consumer Staples, Personal Products)		24,300		1,851,265
Kawasaki Heavy Industries Limited (Industrials, Machinery)		5,200		73,742
KDDI Corporation (Communication Services, Wireless Telecommunication Services)		96,300		2,798,578
Keihan Electric Railway Company Limited (Industrials, Industrial Conglomerates)		4,900		211,424
Keikyu Corporation (Industrials, Road & Rail)		15,200		227,035
Keio Corporation (Industrials, Road & Rail)		3,000		181,561
Keisei Electric Railway Company Limited (Industrials, Road & Rail)		4,200		123,722
Kenedix Realty Investment Corporation (Real Estate, Equity REITs)		10		59,387
Kewpie Corporation (Consumer Staples, Food Products)		3,067		58,146
Keyence Corporation (Information Technology, Electronic Equipment, Instruments & Components)		3,300		1,360,940
Kikkoman Corporation (Consumer Staples, Food Products)		8,200		445,943
Kinden Corporation (Industrials, Construction & Engineering)		3,134		51,782
Kintetsu Group Holdings Company Limited (Industrials, Road & Rail)		6,800		299,183
Kirin Brewery Company Limited (Consumer Staples, Beverages)		45,600		897,663
Kobayashi Pharmaceutical Company Limited (Consumer Staples, Personal Products)		6,500		579,332
Kobe Bussan Company Limited (Consumer Staples, Food & Staples Retailing)		2,900		171,128
Koito Manufacturing Company Limited (Consumer Discretionary, Auto Components)		2,867		139,134
Komatsu Limited (Industrials, Machinery)		31,600		687,404
Konami Holdings Corporation (Communication Services, Entertainment)		2,400		92,565
Konica Minolta Holdings Incorporated (Information Technology, Technology Hardware, Storage & Peripherals)		11,200		36,271
Kubota Corporation (Industrials, Machinery)		900		16,285
Kurita Water Industries Limited (Industrials, Machinery)		13,200		413,766
Kyowa Exeo Corporation (Industrials, Construction & Engineering)		2,467		62,167
Kyowa Hakko Kogyo Company Limited (Health Care, Pharmaceuticals)		14,300		370,208
Kyushu Electric Power Company Incorporated (Utilities, Electric Utilities)		10,500		93,089
Kyushu Financial Group Incorporated (Financials, Banks)		9,800		45,061
Kyushu Railway Company (Industrials, Road & Rail)		14,000		309,040
LaSalle Logiport REIT (Real Estate, Equity REITs)		28		47,057
Lasertec Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		4,900		370,108
Lawson Incorporated (Consumer Staples, Food & Staples Retailing)		1,034		51,058
Lion Corporation (Consumer Staples, Household Products)		13,600		288,397
LIXIL Group Corporation (Industrials, Building Products)		4,600		84,691
M3 Incorporated (Health Care, Health Care Technology)		8,700		504,348
Mabuchi Motor Company Limited (Industrials, Electrical Equipment)		1,534		54,095
Makita Corporation (Industrials, Machinery)		6,800		314,592
Mani Incorporated (Health Care, Health Care Equipment & Supplies)		1,800		45,682
Marubeni Corporation (Industrials, Trading Companies & Distributors)		114,700		692,651
Marui Group Company Limited (Consumer Discretionary, Multiline Retail)		5,400		98,757
Maruichi Steel Tube Limited (Materials, Metals & Mining)		9,600		257,686
Matsumotokiyoshi Holdings Company Limited (Consumer Staples, Food & Staples Retailing)		2,134		74,750
McDonald’s Holdings Company Japan Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		5,600		274,937
Mebuki Financial Group Incorporated (Financials, Banks)		218,300		529,699
MediPal Holdings Corporation (Health Care, Health Care Providers & Services)		36,700		702,364
Meiji Holdings Company Limited (Consumer Staples, Food Products)		6,600		533,409
MinebeaMitsumi Incorporated (Industrials, Machinery)		30,800		534,780
Misumi Group Incorporated (Industrials, Machinery)		10,700		281,050
Mitsubishi Chemical Holdings Corporation (Materials, Chemicals)		32,367		189,407
Mitsubishi Corporation (Industrials, Trading Companies & Distributors)		22,700		538,486
Mitsubishi Electric Corporation (Industrials, Electrical Equipment)		94,200		1,301,181
Mitsubishi Gas Chemical Company Incorporated (Materials, Chemicals)		27,400		489,974
Mitsubishi Logistics Corporation (Industrials, Transportation Infrastructure)		1,967		59,707

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

14  |  Wells Fargo Factor Enhanced International Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Japan (continued)
Mitsubishi Materials Corporation (Materials, Metals & Mining)		4,200	$	88,350
Mitsubishi Motors Corporation (Consumer Discretionary, Automobiles)		15,467		37,238
Mitsubishi UFJ Financial Group Incorporated (Financials, Banks)		278,900		1,165,210
Mitsubishi UFJ Lease & Finance Company Limited (Financials, Diversified Financial Services)		93,300		441,328
Mitsui & Company Limited (Industrials, Trading Companies & Distributors)		60,000		1,084,266
Mitsui Chemicals Incorporated (Materials, Chemicals)		12,100		284,807
Mitsui OSK Lines Limited (Industrials, Marine)		2,734		50,671
Miura Company Limited (Industrials, Machinery)		6,800		278,639
Mizuho Financial Group Incorporated (Financials, Banks)		7,600		10,318
MonotaRO Company Limited (Industrials, Trading Companies & Distributors)		2,600		102,856
Mori Hills REIT Corporation (Real Estate, Equity REITs)		36		44,900
Morinaga & Company Limited (Consumer Staples, Food Products)		1,100		40,348
MS&AD Insurance Group Holdings Incorporated (Financials, Insurance)		19,184		532,693
Murata Manufacturing Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		12,300		729,302
Nabtesco Corporation (Industrials, Machinery)		9,400		297,758
Nagase & Company Limited (Industrials, Trading Companies & Distributors)		2,767		36,078
Nagoya Railroad Company Limited (Industrials, Road & Rail)		10,100		282,169
Nankai Electric Railway Company Limited (Industrials, Road & Rail)		2,667		58,746
NEC Corporation (Information Technology, IT Services)		14,600		770,561
Net One Systems Company Limited (Information Technology, IT Services)		1,900		73,101
Nexon Company Limited (Communication Services, Entertainment)		21,100		494,654
NGK Insulators Limited (Industrials, Machinery)		14,300		203,466
NGK Spark Plug Company Limited (Consumer Discretionary, Auto Components)		15,967		275,124
NH Foods Limited (Consumer Staples, Food Products)		9,600		435,519
Nichirei Corporation (Consumer Staples, Food Products)		3,200		83,599
Nidec Corporation (Industrials, Electrical Equipment)		100		8,413
Nifco Incorporated (Consumer Discretionary, Auto Components)		2,134		54,783
Nihon Kohden Corporation (Health Care, Health Care Equipment & Supplies)		2,067		70,744
Nihon M&A Center Incorporated (Industrials, Professional Services)		6,600		329,019
Nihon Unisys Limited (Information Technology, IT Services)		1,767		50,717
Nikon Corporation (Consumer Discretionary, Household Durables)		9,500		74,626
Nintendo Company Limited (Communication Services, Entertainment)		3,000		1,607,138
Nippon Accommodations Fund Incorporated (Real Estate, Equity REITs)		10		61,653
Nippon Building Fund Incorporated (Real Estate, Equity REITs)		33		199,094
Nippon Express Company Limited (Industrials, Road & Rail)		19,300		1,142,529
Nippon Kayaku Company Limited (Materials, Chemicals)		4,167		41,074
Nippon Paint Company Limited (Materials, Chemicals)		4,300		369,447
Nippon Paper Industries Company Limited (Materials, Paper & Forest Products)		2,600		33,140
Nippon Prologis REIT Incorporated (Real Estate, Equity REITs)		53		173,639
Nippon Shinyaku Company Limited (Health Care, Pharmaceuticals)		4,000		330,454
Nippon Shokubai Company Limited (Materials, Chemicals)		800		42,147
Nippon Suisan Kaisha Limited (Consumer Staples, Food Products)		6,967		31,311
Nippon Telegraph & Telephone Corporation (Communication Services, Diversified Telecommunication Services)		86,300		1,964,901
Nippon Television Network Corporation (Communication Services, Media)		4,467		52,804
Nippon Yusen Kabushiki Kaisha (Industrials, Marine)		7,800		122,102
Nishi-Nippon Railroad Company Limited (Industrials, Road & Rail)		1,900		55,342
Nissan Chemical Industries Limited (Materials, Chemicals)		7,200		382,042
Nissin Food Products Company Limited (Consumer Staples, Food Products)		6,000		600,482
Nitori Holdings Company Limited (Consumer Discretionary, Specialty Retail)		3,600		753,888
Nitto Boseki Company Limited (Industrials, Building Products)		900		36,241
Nitto Denko Corporation (Materials, Chemicals)		13,400		814,767
NOF Corporation (Materials, Chemicals)		1,767		71,738
Nomura Holdings Incorporated (Financials, Capital Markets)		81,700		420,013
Nomura Real Estate Holding Incorporated (Real Estate, Real Estate Management & Development)		19,100		365,896
Nomura Real Estate Master Fund Incorporated (Real Estate, Equity REITs)		105		134,726

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

Wells Fargo Factor Enhanced International Equity Portfolio  |  15

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Japan (continued)
Nomura Research Institute Limited (Information Technology, IT Services)		36,000	$	958,165
NSK Limited (Industrials, Machinery)		26,167		200,857
NTT Data Corporation (Information Technology, IT Services)		14,734		168,603
NTT DOCOMO Incorporated (Communication Services, Wireless Telecommunication Services)		72,500		2,025,469
Obayashi Corporation (Industrials, Construction & Engineering)		69,500		680,465
OBIC Company Limited (Information Technology, IT Services)		3,200		567,701
Odakyu Electric Railway Company Limited (Industrials, Road & Rail)		9,400		232,792
Oji Holdings Corporation (Materials, Paper & Forest Products)		91,300		412,904
Olympus Corporation (Health Care, Health Care Equipment & Supplies)		63,700		1,262,392
Omron Corporation (Information Technology, Electronic Equipment, Instruments & Components)		12,400		909,673
Ono Pharmaceutical Company Limited (Health Care, Pharmaceuticals)		31,300		945,368
Oracle Corporation (Japan) (Information Technology, Software)		1,700		199,670
Oriental Land Company Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		400		54,345
ORIX Corporation (Financials, Diversified Financial Services)		54,400		679,005
ORIX JREIT Incorporated (Real Estate, Equity REITs)		63		93,803
Osaka Gas Company Limited (Utilities, Gas Utilities)		20,300		397,318
Otsuka Corporation (Information Technology, IT Services)		12,600		618,609
Otsuka Holdings Company Limited (Health Care, Pharmaceuticals)		24,000		1,055,261
Pan Pacific International Holdings (Consumer Discretionary, Multiline Retail)		12,450		292,810
Panasonic Corporation (Consumer Discretionary, Household Durables)		54,300		501,345
Park24 Company Limited (Industrials, Commercial Services & Supplies)		2,967		53,673
Persol Holdings Company Limited (Industrials, Professional Services)		22,700		354,704
Pigeon Corporation (Consumer Staples, Household Products)		3,700		169,254
Pola Orbis Holdings Incorporated (Consumer Staples, Personal Products)		10,000		181,372
Recruit Holdings Company Limited (Industrials, Professional Services)		18,400		699,414
Relo Holdings Incorporated (Real Estate, Real Estate Management & Development)		2,667		60,685
Rengo Company Limited (Materials, Containers & Packaging)		5,667		41,895
Resona Holdings Incorporated (Financials, Banks)		146,500		539,442
Ricoh Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		20,600		154,235
Rinnai Corporation (Consumer Discretionary, Household Durables)		3,700		342,699
Rohto Pharmaceutical Company Limited (Consumer Staples, Personal Products)		2,667		84,859
Ryohin Keikaku Company Limited (Consumer Discretionary, Multiline Retail)		24,900		390,256
Sankyu Incorporated (Industrials, Road & Rail)		1,367		57,176
Santen Pharmaceutical Company Limited (Health Care, Pharmaceuticals)		28,100		536,186
Sanwa Holdings Corporation (Industrials, Building Products)		5,267		53,110
Sawai Pharmaceutical Company Limited (Health Care, Pharmaceuticals)		1,100		56,290
SBI Holdings Incorporated (Financials, Capital Markets)		6,250		142,390
SCREEN Holdings Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		1,034		50,472
SCSK Corporation (Information Technology, IT Services)		10,500		569,041
Secom Company Limited (Industrials, Commercial Services & Supplies)		6,400		605,769
Sega Sammy Holdings Incorporated (Consumer Discretionary, Leisure Products)		7,317		84,904
Seibu Holdings Incorporated (Industrials, Road & Rail)		6,734		74,133
Seiko Epson Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		14,800		176,904
SEINO Holdings Company Limited (Industrials, Road & Rail)		3,867		59,183
Sekisui Chemical Company Limited (Consumer Discretionary, Household Durables)		19,700		315,639
Sekisui House Limited (Consumer Discretionary, Household Durables)		35,800		708,462
Sekisui House REIT Incorporated (Real Estate, Equity REITs)		95		67,181
Seven & I Holdings Company Limited (Consumer Staples, Food & Staples Retailing)		32,200		1,043,692
Seven Bank Limited (Financials, Banks)		185,300		465,371
SG Holdings Company Limited (Industrials, Air Freight & Logistics)		10,600		487,891
Shikoku Electric Power Company Incorporated (Utilities, Electric Utilities)		4,534		34,503
Shimadzu Corporation (Information Technology, Electronic Equipment, Instruments & Components)		11,100		331,695
Shimamura Company Limited (Consumer Discretionary, Specialty Retail)		7,100		586,555
Shimano Incorporated (Consumer Discretionary, Leisure Products)		2,000		423,925
Shimizu Corporation (Industrials, Construction & Engineering)		86,200		664,110
Shin-Etsu Chemical Company Limited (Materials, Chemicals)		18,400		2,238,436

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

16  |  Wells Fargo Factor Enhanced International Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Japan (continued)
Shinsei Bank Limited (Financials, Banks)		16,100	$	188,339
Shionogi & Company Limited (Health Care, Pharmaceuticals)		14,500		805,396
Shizuoka Bank Limited (Financials, Banks)		19,600		136,385
Sho-Bond Holdings Company Limited (Industrials, Construction & Engineering)		1,100		52,032
Showa Denko KK (Materials, Chemicals)		13,100		255,655
Skylark Holdings Company Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		4,667		74,291
SMC Corporation (Industrials, Machinery)		1,400		769,957
SoftBank Corporation (Communication Services, Wireless Telecommunication Services)		82,000		1,078,081
SoftBank Group Corporation (Communication Services, Wireless Telecommunication Services)		33,000		2,055,743
Sohgo Security Services Company Limited (Industrials, Commercial Services & Supplies)		5,500		257,305
Sojitz Corporation (Industrials, Trading Companies & Distributors)		27,767		63,706
Sompo Holdings Incorporated (Financials, Insurance)		16,800		631,299
Sony Corporation (Consumer Discretionary, Household Durables)		23,400		1,835,723
Sotetsu Holdings Incorporated (Industrials, Road & Rail)		2,100		57,241
Square Enix Company Limited (Communication Services, Entertainment)		13,000		857,952
Stanley Electric Company Limited (Consumer Discretionary, Auto Components)		14,200		407,572
Subaru Corporation (Consumer Discretionary, Automobiles)		46,100		958,648
Sugi Pharmacy Company Limited (Consumer Staples, Food & Staples Retailing)		934		67,461
Sumco Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		30,433		413,187
Sumitomo Chemical Company Limited (Materials, Chemicals)		36,700		119,544
Sumitomo Corporation (Industrials, Trading Companies & Distributors)		37,350		484,705
Sumitomo Dainippon Pharma Company Limited (Health Care, Pharmaceuticals)		4,434		56,181
Sumitomo Electric Industries Limited (Industrials, Electrical Equipment)		42,300		498,822
Sumitomo Foresting Company Limited (Consumer Discretionary, Household Durables)		3,967		63,560
Sumitomo Heavy Industries Limited (Industrials, Machinery)		8,900		202,764
Sumitomo Mitsui Financial Group Incorporated (Financials, Banks)		64,800		1,907,628
Sumitomo Mitsui Trust Holdings Incorporated (Financials, Banks)		8,400		243,558
Sumitomo Realty & Development Company Limited (Real Estate, Real Estate Management & Development)		900		26,605
Sumitomo Rubber Industries Limited (Consumer Discretionary, Auto Components)		20,900		201,472
Sundrug Company Limited (Consumer Staples, Food & Staples Retailing)		9,100		338,946
Suntory Beverage & Food Limited (Consumer Staples, Beverages)		8,700		335,958
Sushiro Global Holdings Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		2,300		53,550
Suzuken Company Limited (Health Care, Health Care Providers & Services)		3,100		115,319
Suzuki Motor Corporation (Consumer Discretionary, Automobiles)		13,033		535,151
Sysmex Corporation (Health Care, Health Care Equipment & Supplies)		5,900		515,662
T&D Holdings Incorporated (Financials, Insurance)		46,100		483,133
Taiheiyo Cement Corporation (Materials, Construction Materials)		28,600		727,995
Taisei Corporation (Industrials, Construction & Engineering)		16,500		570,953
Taiyo Nippon Sanso Corporation (Materials, Chemicals)		4,867		85,746
Taiyo Yuden Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		2,834		76,419
Takara Holdings Incorporated (Consumer Staples, Beverages)		4,600		43,127
Takashimaya Company Limited (Consumer Discretionary, Multiline Retail)		3,667		28,944
Takeda Pharmaceutical Company Limited (Health Care, Pharmaceuticals)		300		11,214
TDK Corporation (Information Technology, Electronic Equipment, Instruments & Components)		6,500		675,683
TechnoPro Holdings Incorporated (Industrials, Professional Services)		867		46,332
Teijin Limited (Materials, Chemicals)		29,800		468,179
Terumo Corporation (Health Care, Health Care Equipment & Supplies)		31,000		1,261,483
The Bank of Kyoto Limited (Financials, Banks)		1,700		72,549
The Chugoku Electric Power Company Incorporated (Utilities, Electric Utilities)		39,500		481,839
The Hachijuni Bank Limited (Financials, Banks)		11,367		44,002
The Yokohama Rubber Company Limited (Consumer Discretionary, Auto Components)		19,100		299,534
THK Company Limited (Industrials, Machinery)		2,867		67,293
TIS Incorporated (Information Technology, IT Services)		40,800		816,655
Tobu Railway Company Limited (Industrials, Road & Rail)		12,500		390,643
Toho Company Limited Tokyo (Communication Services, Entertainment)		4,900		186,442

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

Wells Fargo Factor Enhanced International Equity Portfolio  |  17

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Japan (continued)
Toho Gas Company Limited (Utilities, Gas Utilities)		4,600	$	202,823
Tohoku Electric Power Company Incorporated (Utilities, Electric Utilities)		60,400		613,039
Tokai Carbon Company Limited (Materials, Chemicals)		4,767		44,783
Tokio Marine Holdings Incorporated (Financials, Insurance)		23,200		1,071,123
Tokyo Broadcasting System Incorporated (Communication Services, Media)		3,967		68,617
Tokyo Century Corporation (Financials, Diversified Financial Services)		1,784		91,630
Tokyo Electric Power Company Holdings Incorporated (Utilities, Electric Utilities) †		37,434		110,272
Tokyo Electron Limited (Information Technology, Semiconductors & Semiconductor Equipment)		4,600		1,179,153
Tokyo Gas Company Limited (Utilities, Gas Utilities)		15,100		335,960
Tokyo Tatemono Company Limited (Real Estate, Real Estate Management & Development)		4,900		59,726
Tokyu Corporation (Industrials, Road & Rail)		14,434		193,244
Tokyu Fudosan Holdings Corporation (Real Estate, Real Estate Management & Development)		55,600		239,377
Toppan Printing Company Limited (Industrials, Commercial Services & Supplies)		31,600		491,685
Toray Industries Incorporated (Materials, Chemicals)		37,600		178,814
Toshiba Corporation (Industrials, Industrial Conglomerates)		10,100		291,323
Tosoh Corporation (Materials, Chemicals)		54,900		816,386
TOTO Limited (Industrials, Building Products)		7,700		338,418
Toyo Suisan Kaisha Limited (Consumer Staples, Food Products)		8,000		454,704
Toyoda Gosei Company Limited (Consumer Discretionary, Auto Components)		700		15,300
Toyota Industries Corporation (Consumer Discretionary, Auto Components)		400		23,339
Toyota Motor Corporation (Consumer Discretionary, Automobiles)		51,100		3,380,131
Toyota Tsusho Corporation (Industrials, Trading Companies & Distributors)		17,000		495,964
Trend Micro Incorporated (Information Technology, Software)		13,600		842,336
Tsumura & Company (Health Care, Pharmaceuticals)		1,734		49,279
Tsuruha Holdings Incorporated (Consumer Staples, Food & Staples Retailing)		4,400		588,245
UBE Industries Limited (Materials, Chemicals)		2,300		41,151
Unicharm Corporation (Consumer Staples, Household Products)		18,700		814,632
United Urban Investment Corporation (Real Estate, Equity REITs)		74		82,443
USS Company Limited (Consumer Discretionary, Specialty Retail)		5,400		91,313
Welcia Holdings Company Limiited (Consumer Staples, Food & Staples Retailing)		6,200		265,468
West Japan Railway Company (Industrials, Road & Rail)		4,767		250,738
Yakult Honsha Company Limited (Consumer Staples, Food Products)		3,900		222,773
Yamada Denki Company Limited (Consumer Discretionary, Specialty Retail)		147,700		793,479
Yamaguchi Financial Group (Financials, Banks)		5,667		37,614
Yamaha Corporation (Consumer Discretionary, Leisure Products)		3,733		182,218
Yamaha Motor Company Limited (Consumer Discretionary, Automobiles)		14,300		225,608
Yamato Holdings Company Limited (Industrials, Air Freight & Logistics)		16,000		418,751
Yamazaki Baking Company Limited (Consumer Staples, Food Products)		18,200		296,589
Yokogawa Electric Corporation (Information Technology, Electronic Equipment, Instruments & Components)		1,700		27,816
Z Holdings Corporation (Communication Services, Interactive Media & Services)		65,366		435,094
Zenkoku Hosho Company Limited (Financials, Diversified Financial Services)		1,567		55,555
Zensho Holdings Company Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		2,400		54,111
Zeon Corporation (Materials, Chemicals)		4,567		48,121
ZOZO Incorporated (Consumer Discretionary, Internet & Direct Marketing Retail)		34,100		960,718
				145,475,220
Luxembourg: 0.26%
ArcelorMittal SA (Materials, Metals & Mining) †		7,342		92,890
Aroundtown SA (Real Estate, Real Estate Management & Development) †		26,801		146,546
B&M European Value Retail SA (Consumer Discretionary, Multiline Retail)		16,701		106,020
Eurofins Scientific SE (Health Care, Life Sciences Tools & Services) †		825		661,200
Grand City Properties SA (Real Estate, Real Estate Management & Development)		2,290		58,755
SES SA (Communication Services, Media)		48,130		341,744
Tenaris SA (Energy, Energy Equipment & Services)		35,195		206,640
				1,613,795

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

18  |  Wells Fargo Factor Enhanced International Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Netherlands: 4.08%
Aalberts Industries NV (Industrials, Machinery)		2,178	$	82,236
Adyen NV (Information Technology, IT Services) 144A†		807		1,360,766
Aegon NV (Financials, Insurance)		118,783		330,702
AerCap Holdings NV (Industrials, Trading Companies & Distributors) †		18,215		538,618
Airbus SE (Industrials, Aerospace & Defense) †		11,205		920,493
Akzo Nobel NV (Materials, Chemicals)		10,344		1,023,813
Altice NV Class A (Communication Services, Media) †		13,810		61,108
ASM International NV (Information Technology, Semiconductors & Semiconductor Equipment)		1,035		155,748
ASML Holding NV (Information Technology, Semiconductors & Semiconductor Equipment)		10,186		3,820,463
ASR Nederland NV (Financials, Insurance)		3,097		107,363
Davide Campari-Milano NV (Consumer Staples, Beverages)		10,217		104,758
Euronext NV (Financials, Capital Markets) 144A		1,155		140,313
Exor NV (Financials, Diversified Financial Services)		4,656		274,478
Ferrari NV (Consumer Discretionary, Automobiles)		1,367		266,230
Fiat Chrysler Automobiles NV (Consumer Discretionary, Automobiles) †		27,612		304,169
Heineken Holding NV (Consumer Staples, Beverages)		2,078		170,237
Heineken NV (Consumer Staples, Beverages)		7,731		715,552
IMCD Group NV (Industrials, Trading Companies & Distributors)		1,186		126,642
ING Groep NV (Financials, Banks)		92,998		755,102
Just Eat Takeaway.com NV (Consumer Discretionary, Internet & Direct Marketing Retail) 144A†		3,719		415,336
Koninklijke Ahold Delhaize NV (Consumer Staples, Food & Staples Retailing)		60,466		1,819,802
Koninklijke DSM NV (Materials, Chemicals)		9,057		1,453,159
Koninklijke KPN NV (Communication Services, Diversified Telecommunication Services)		130,438		341,981
Koninklijke Philips NV (Health Care, Health Care Equipment & Supplies) †		20,726		980,307
Koninklijke Vopak NV (Energy, Oil, Gas & Consumable Fuels)		3,207		176,122
NN Group NV (Financials, Insurance)		18,114		681,996
Prosus NV (Consumer Discretionary, Internet & Direct Marketing Retail) †		14,023		1,403,008
Qiagen NV (Health Care, Life Sciences Tools & Services) †		5,151		261,676
Randstad Holdings NV (Industrials, Professional Services)		15,818		824,333
SBM Offshore NV (Energy, Energy Equipment & Services)		3,192		55,176
Signify NV (Industrials, Electrical Equipment) 144A†		2,880		96,197
STMicroelectronics NV (Information Technology, Semiconductors & Semiconductor Equipment)		16,143		485,652
STMicroelectronics NV (Information Technology, Semiconductors & Semiconductor Equipment)		14,898		446,952
Unilever NV (Consumer Staples, Personal Products)		68,839		3,985,050
Wolters Kluwer NV (Communication Services, Media)		13,157		1,080,222
				25,765,760
New Zealand: 0.45%
A2 Milk Company Limited (Consumer Staples, Food Products) †		25,966		325,152
Auckland International Airport Limited (Industrials, Transportation Infrastructure)		28,959		129,330
Chorus Limited (Communication Services, Diversified Telecommunication Services)		10,407		59,376
Contact Energy Limited (Utilities, Electric Utilities)		16,121		67,869
Fisher & Paykel Healthcare Corporation (Health Care, Health Care Equipment & Supplies)		40,722		1,010,808
Fletcher Building Limited (Materials, Construction Materials)		18,457		44,633
Infratil Limited (Utilities, Electric Utilities)		14,769		49,344
Mainfreight Limited (Industrials, Air Freight & Logistics)		1,851		59,836
Mercury LTD (Utilities, Electric Utilities)		14,334		50,111
Meridian Energy Limited (Utilities, Independent Power & Renewable Electricity Producers)		27,562		94,314
Ryman Healthcare Limited (Health Care, Health Care Providers & Services)		9,469		85,725
Spark New Zealand Limited (Communication Services, Diversified Telecommunication Services)		209,196		680,616
Xero Limited (Information Technology, Software) †		2,575		191,761
				2,848,875
Norway: 0.63%
Adevinta ASA (Communication Services, Interactive Media & Services) †		5,189		96,822
DNB ASA (Financials, Banks) †		50,502		810,511

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

Wells Fargo Factor Enhanced International Equity Portfolio  |  19

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Norway (continued)
Entra ASA (Real Estate, Real Estate Management & Development) 144A		3,588	$	49,041
Equinor ASA (Energy, Oil, Gas & Consumable Fuels)		26,651		431,995
Gjensidige Forsikring ASA (Financials, Insurance) †		34,629		737,715
Mowi ASA (Consumer Staples, Food Products)		14,791		289,278
Norsk Hydro ASA (Materials, Metals & Mining) †		42,290		135,017
Orkla ASA (Consumer Staples, Food Products)		52,161		530,943
Salmar ASA (Consumer Staples, Food Products) †		1,237		67,049
Schibsted ASA Class A (Communication Services, Media) †		1,793		78,077
Storebrand ASA (Financials, Insurance) †		9,619		59,086
Telenor ASA (Communication Services, Diversified Telecommunication Services)		15,195		247,171
TGS Nopec Geophysical Company ASA (Energy, Energy Equipment & Services)		2,484		32,316
Tomra Systems ASA (Industrials, Commercial Services & Supplies) †		2,403		116,496
Yara International ASA (Materials, Chemicals)		7,315		306,477
				3,987,994
Poland: 0.11%
Bank Pekao SA (Financials, Banks) †		3,889		55,227
CD Projekt SA (Communication Services, Entertainment) †		1,551		184,668
KGHM Polska Miedz SA (Materials, Metals & Mining) †		2,740		101,814
LPP SA (Consumer Discretionary, Textiles, Apparel & Luxury Goods) †		27		52,675
PKO Bank Polski SA (Financials, Banks) †		19,565		114,588
Polski Koncern Naftowy Orlen SA (Energy, Oil, Gas & Consumable Fuels)		7,048		96,910
Powszechny Zaklad Ubezpieczen SA (Financials, Insurance)		12,876		94,991
				700,873
Portugal: 0.16%
Energias de Portugal SA (Utilities, Electric Utilities)		130,345		659,831
Galp Energia SGPS SA (Energy, Oil, Gas & Consumable Fuels)		24,945		267,080
Jeronimo Martins SA (Consumer Staples, Food & Staples Retailing)		5,547		91,051
				1,017,962
Singapore: 1.11%
Ascendas REIT (Real Estate, Equity REITs)		91,700		223,765
CapitaLand Commercial Trust Limited (Real Estate, Equity REITs)		57,967		71,577
CapitaLand Limited (Real Estate, Real Estate Management & Development)		58,022		118,129
CapitaLand Mall Trust (Real Estate, Equity REITs)		65,384		94,192
City Developments Limited (Real Estate, Real Estate Management & Development)		10,326		60,944
ComfortDelGro Corporation Limited (Industrials, Road & Rail)		44,080		47,950
DBS Group Holdings Limited (Financials, Banks)		75,013		1,150,653
Frasers Logistics & Commercial Trust REIT (Real Estate, Equity REITs)		63,300		62,344
Genting Singapore Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		389,424		200,358
Jardine Cycle & Carriage Limited (Consumer Discretionary, Distributors)		1,660		23,121
Keppel Corporation Limited (Industrials, Industrial Conglomerates)		41,800		140,711
Keppel DC REIT (Real Estate, Equity REITs)		27,867		59,603
Mapletree Commercial Trust (Real Estate, Equity REITs)		122,600		173,012
Mapletree Industrial Trust (Real Estate, Equity REITs)		33,167		74,352
Mapletree Logistics Trust (Real Estate, Equity REITs)		368,500		560,652
NetLink NBN Trust Unit (Communication Services, Diversified Telecommunication Services)		76,567		54,588
Oversea-Chinese Banking Corporation Limited (Financials, Banks)		117,996		751,920
Singapore Airlines Limited (Industrials, Airlines)		58,300		156,404
Singapore Exchange Limited (Financials, Capital Markets)		43,774		277,016
Singapore Press Holdings Limited (Communication Services, Media)		35,567		28,494
Singapore Technologies Engineering Limited (Industrials, Aerospace & Defense)		50,069		125,122
Suntec REIT (Real Estate, Equity REITs)		107,400		110,514
United Overseas Bank Limited (Financials, Banks)		57,586		827,887
UOL Group Limited (Real Estate, Real Estate Management & Development)		18,673		90,171

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

20  |  Wells Fargo Factor Enhanced International Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Singapore (continued)
Venture Corporation Limited (Information Technology, Electronic Equipment, Instruments & Components)		44,300	$	646,323
Wilmar International Limited (Consumer Staples, Food Products)		134,785		431,930
Yangzijiang Shipbuilding Holdings Limited (Industrials, Machinery)		657,700		442,318
				7,004,050
South Africa: 0.01%
Old Mutual Limited (Financials, Insurance)		83,569		57,664
Spain: 1.91%
Acciona SA (Utilities, Electric Utilities)		444		53,091
Actividades de Construccion y Servicios SA (Industrials, Construction & Engineering)		10,940		267,894
Aena SA (Industrials, Transportation Infrastructure) 144A†		5,754		859,004
Amadeus IT Holding SA Class A (Information Technology, IT Services)		4,754		266,129
Banco Bilbao Vizcaya Argentaria SA (Financials, Banks)		261,791		766,338
Banco de Sabade SA (Financials, Banks)		121,812		49,162
Banco Santander Central Hispano SA (Financials, Banks)		320,487		712,434
Bankinter SA (Financials, Banks)		81,861		440,284
CaixaBank SA (Financials, Banks)		314,238		690,743
Cellnex Telecom SA (Communication Services, Diversified Telecommunication Services) 144A		5,453		349,314
Enagás SA (Utilities, Gas Utilities)		31,983		782,040
Endesa SA (Utilities, Electric Utilities)		3,670		101,738
Gamesa Corporación Tecnologica SA (Industrials, Electrical Equipment)		6,613		177,088
Gas Natural SDG SA (Utilities, Gas Utilities)		7,565		145,888
Grifols SA (Health Care, Biotechnology)		25,595		693,650
Iberdrola SA (Utilities, Electric Utilities)		274,163		3,451,670
Industria de Diseno Textil SA (Consumer Discretionary, Specialty Retail)		16,280		457,523
Inmobiliaria Colonial Socimi SA (Real Estate, Equity REITs)		6,024		53,017
International Consolidated Airlines Group SA (Industrials, Airlines)		26,276		73,731
Mapfre SA (Financials, Insurance)		194,217		368,049
Merlin Properties Socimi SA (Real Estate, Equity REITs)		8,221		73,775
Red Eléctrica de Espana SA (Utilities, Electric Utilities)		15,516		296,719
Repsol SA (Energy, Oil, Gas & Consumable Fuels)		63,917		505,095
Telefonica SA (Communication Services, Diversified Telecommunication Services)		101,842		402,396
Viscofan SA (Consumer Staples, Food Products)		832		61,558
				12,098,330
Sweden: 3.39%
AAK AB (Consumer Staples, Food Products) †		3,974		78,724
Addtech AB Class B (Industrials, Trading Companies & Distributors)		1,459		75,566
Alfa Laval AB (Industrials, Machinery) †		11,605		283,625
Assa Abloy AB Class B (Industrials, Building Products)		30,946		715,531
Atlas Copco AB Class A (Industrials, Machinery)		29,996		1,386,784
Atlas Copco AB Class B (Industrials, Machinery)		8,723		350,239
Axfood AB (Consumer Staples, Food & Staples Retailing)		2,297		50,774
BillerudKorsnas AB (Materials, Containers & Packaging)		3,952		66,432
Boliden AB (Materials, Metals & Mining)		24,573		732,662
Castellum AB (Real Estate, Real Estate Management & Development)		5,340		109,272
Dometic Group AB (Consumer Discretionary, Auto Components) 144A†		6,509		80,066
Elekta AB Class B (Health Care, Health Care Equipment & Supplies)		8,298		104,039
Epiroc AB Class A (Industrials, Machinery)		35,459		527,798
Epiroc AB Class B (Industrials, Machinery)		17,053		245,155
EQT AB (Financials, Capital Markets)		12,976		239,274
Ericsson LM Class B (Information Technology, Communications Equipment)		156,579		1,814,729
Essity Aktiebolag AB (Consumer Staples, Household Products) †		24,456		841,419
Evolution Gaming Group AB (Consumer Discretionary, Hotels, Restaurants & Leisure) 144A		11,551		865,076

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

Wells Fargo Factor Enhanced International Equity Portfolio  |  21

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Sweden (continued)
Fabege AB (Real Estate, Real Estate Management & Development)		6,275	$	76,426
Fastighets AB Balder B Shares (Real Estate, Real Estate Management & Development) †		2,198		87,566
Getinge AB Class B (Health Care, Health Care Equipment & Supplies)		4,591		101,960
Hennes & Mauritz AB Class B (Consumer Discretionary, Specialty Retail)		36,432		580,820
Hexagon AB Class B (Information Technology, Electronic Equipment, Instruments & Components) †		1,416		102,544
Hexpol AB (Materials, Chemicals) †		5,575		45,987
Holmen AB Class B (Materials, Paper & Forest Products) †		2,040		72,593
Husqvarna AB Class B (Consumer Discretionary, Household Durables)		8,849		96,144
ICA Gruppen AB (Consumer Staples, Food & Staples Retailing)		2,008		98,476
Industrivarden AB Class A (Financials, Diversified Financial Services) †		3,726		98,903
Industrivarden AB Class C (Financials, Diversified Financial Services) †		2,750		72,455
Indutrade AB (Industrials, Trading Companies & Distributors) †		1,929		101,604
Investment AB Latour Class B (Industrials, Industrial Conglomerates)		2,942		65,610
Investor AB Class B (Financials, Diversified Financial Services)		20,497		1,306,625
Kinnevik AB Class B (Financials, Diversified Financial Services)		28,595		1,104,321
Kinnevik AB Class B (Financials, Diversified Financial Services) †		28,595		22,976
Lifco AB Class B (Industrials, Industrial Conglomerates)		984		78,267
Loomis AB (Industrials, Commercial Services & Supplies) †		1,828		45,902
Lundbergforetagen AB Class B (Financials, Diversified Financial Services) †		3,353		153,117
Lundin Petroleum AB (Energy, Oil, Gas & Consumable Fuels)		8,720		213,116
Nibe Industrier AB Class B (Industrials, Building Products) †		8,411		236,291
Saab AB Class B (Industrials, Aerospace & Defense) †		1,778		53,444
Samhallsbyggnadsbolaget I Norben AB (Real Estate, Real Estate Management & Development)		20,496		56,964
Sandvik AB (Industrials, Machinery) †		29,582		580,710
Securitas AB Class B (Industrials, Commercial Services & Supplies) †		10,757		153,089
Sinch AB (Information Technology, Software) 144A†		946		96,024
Skandinaviska Enskilda Banken AB Class A (Financials, Banks) †		73,180		725,387
Skanska AB Class B (Industrials, Construction & Engineering) †		21,225		432,362
SKF AB Class B (Industrials, Machinery)		31,867		635,881
Svenska Cellulosa AB Class B (Materials, Paper & Forest Products) †		25,870		333,327
Svenska Handelsbanken AB Class A (Financials, Banks) †		87,400		879,274
Sweco AB Class B (Industrials, Construction & Engineering)		1,415		87,356
Swedbank AB Class A (Financials, Banks) †		45,200		766,171
Swedish Match AB (Consumer Staples, Tobacco)		15,747		1,195,343
Swedish Orphan Biovitrum AB (Health Care, Biotechnology) †		4,965		111,213
Tele2 AB Class B (Communication Services, Wireless Telecommunication Services)		38,782		549,462
The Thule Group AB (Consumer Discretionary, Leisure Products) 144A		2,217		70,023
Volvo AB Class B (Industrials, Machinery) †		67,894		1,297,473
Wallenstam AB Class B (Real Estate, Real Estate Management & Development)		4,526		59,284
Wihlborgs Fastigheter AB (Real Estate, Real Estate Management & Development)		3,127		49,997
				21,461,652
Switzerland: 9.75%
ABB Limited (Industrials, Electrical Equipment)		39,472		1,003,011
Adecco SA (Industrials, Professional Services)		14,792		773,350
Alcon Incorporated (Health Care, Health Care Equipment & Supplies) †		1,559		88,578
Allreal Holding AG (Real Estate, Real Estate Management & Development)		318		65,855
Baloise Holding AG (Financials, Insurance)		2,095		325,624
Banque Cantonale Vaudoise (Financials, Banks)		5,846		624,082
Barry Callebaut AG (Consumer Staples, Food Products)		78		172,576
BB Biotech AG (Health Care, Biotechnology)		48,398		3,654,144
Belimo Holding AG (Industrials, Building Products)		11		96,012
Cembra Money Bank AG (Financials, Consumer Finance)		663		79,066
Chocoladefabriken Lindt & Sprungli AG (Consumer Staples, Food Products)		13		110,664
Chocoladefabriken Lindt & Sprungli AG (Consumer Staples, Food Products)		2		176,558
Coca-Cola HBC AG (Consumer Staples, Beverages)		14,018		372,364
Compagnie Financiere Richemont SA (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		4,074		269,332
Credit Suisse Group AG (Financials, Capital Markets)		67,174		738,212

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

22  |  Wells Fargo Factor Enhanced International Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Switzerland (continued)
EMS-Chemie Holdings AG (Materials, Chemicals)		622	$	560,450
Flughafen Zuerich AG (Industrials, Transportation Infrastructure) †		417		62,738
Galenica AG (Health Care, Pharmaceuticals)		1,073		77,037
Geberit AG (Industrials, Building Products)		1,644		946,807
Georg Fischer AG (Industrials, Machinery)		91		90,401
Givaudan SA (Materials, Chemicals)		391		1,639,350
Helvetia Holding AG (Financials, Insurance)		734		69,060
Julius Baer Group Limited (Financials, Capital Markets)		10,498		502,863
Kuehne & Nagel International AG (Industrials, Marine) †		3,193		618,325
LafargeHolcim Limited (Materials, Construction Materials)		15,372		729,530
Logitech International SA (Information Technology, Technology Hardware, Storage & Peripherals)		13,861		1,024,605
Lonza Group AG (Health Care, Life Sciences Tools & Services)		3,566		2,210,727
Nestle SA (Consumer Staples, Food Products)		139,645		16,770,686
Novartis AG (Health Care, Pharmaceuticals)		55,463		4,788,243
Partners Group Holding AG (Financials, Capital Markets)		796		808,196
PSP Swiss Property AG (Real Estate, Real Estate Management & Development)		966		115,307
Roche Holding AG (Health Care, Pharmaceuticals)		33,064		11,547,436
Schindler Holding AG (Industrials, Machinery)		420		110,488
Schindler Holding AG (Industrials, Machinery)		3,046		812,424
SGS SA (Industrials, Professional Services)		258		667,298
Sig Combibloc Group AG (Materials, Containers & Packaging)		5,351		105,013
Sika AG (Materials, Chemicals)		4,511		1,080,903
Sonova Holding AG (Health Care, Health Care Equipment & Supplies) †		1,906		445,109
Straumann Holding AG (Health Care, Health Care Equipment & Supplies)		248		243,844
Sunrise Communications Group AG (Communication Services, Diversified Telecommunication Services) 144A		860		102,273
Swatch Group AG Class B (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		965		203,900
Swiss Life Holding AG (Financials, Insurance)		1,127		454,815
Swiss Prime Site AG (Real Estate, Real Estate Management & Development)		4,411		396,963
Swiss Reinsurance AG (Financials, Insurance)		941		75,617
Swisscom AG (Communication Services, Diversified Telecommunication Services)		2,029		1,122,297
Tecan Group AG (Health Care, Life Sciences Tools & Services)		213		96,185
Temenos AG (Information Technology, Software)		1,382		222,906
UBS Group AG (Financials, Capital Markets)		106,078		1,289,083
VAT Group AG (Industrials, Machinery) 144A		573		111,564
Vifor Pharma AG (Health Care, Pharmaceuticals)		1,716		253,333
Zurich Insurance Group AG (Financials, Insurance)		7,448		2,751,958
				61,657,162
Thailand: 0.01%
Thai Beverage plc (Consumer Staples, Beverages)		186,867		84,468
United Kingdom: 11.53%
3i Group plc (Financials, Capital Markets)		64,320		790,397
Admiral Group plc (Financials, Insurance)		16,054		560,149
Anglo American plc (Materials, Metals & Mining)		35,255		866,381
Antofagasta plc (Materials, Metals & Mining)		3,531		50,625
Ashmore Group plc (Financials, Capital Markets)		9,977		56,081
Ashtead Group plc (Industrials, Trading Companies & Distributors)		2,898		100,481
Associated British Foods plc (Consumer Staples, Food Products)		7,665		207,265
Assura plc REIT (Real Estate, Equity REITs)		59,224		64,126
AstraZeneca plc (Health Care, Pharmaceuticals)		30,775		3,416,032
Auto Trader Group plc (Communication Services, Interactive Media & Services) 144A		65,741		491,472
Avast plc (Information Technology, Software) 144A		13,877		99,232
AVEVA Group plc (Information Technology, Software)		1,428		96,468
Aviva plc (Financials, Insurance)		185,309		698,425

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

Wells Fargo Factor Enhanced International Equity Portfolio  |  23

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
United Kingdom (continued)
BAE Systems plc (Industrials, Aerospace & Defense)		222,730	$	1,546,209
Barclays plc (Financials, Banks)		570,443		835,203
Barratt Developments plc (Consumer Discretionary, Household Durables)		72,180		504,040
Beazley plc (Financials, Insurance)		13,296		76,243
Bellway plc (Consumer Discretionary, Household Durables)		2,642		83,930
BHP Group plc (Materials, Metals & Mining)		74,090		1,686,456
Bovis Homes Group plc (Consumer Discretionary, Household Durables)		4,671		39,786
BP plc (Energy, Oil, Gas & Consumable Fuels)		321,938		1,123,170
British American Tobacco plc (Consumer Staples, Tobacco)		114,106		3,845,945
Britvic plc (Consumer Staples, Beverages)		5,852		66,385
BT Group plc (Communication Services, Diversified Telecommunication Services)		571,027		795,101
Bunzl plc (Industrials, Trading Companies & Distributors)		9,122		294,269
Burberry Group plc (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		16,412		313,355
Carnival plc (Consumer Discretionary, Hotels, Restaurants & Leisure)		5,793		79,413
Centamin plc (Materials, Metals & Mining)		24,291		68,238
Close Brothers Group plc (Financials, Capital Markets)		3,268		49,005
Coca-Cola European Partners plc (Consumer Staples, Beverages)		2,850		117,306
Compass Group plc (Consumer Discretionary, Hotels, Restaurants & Leisure)		49,546		801,751
ConvaTec Limited (Health Care, Health Care Equipment & Supplies) 144A		35,686		91,117
Cranswick plc (Consumer Staples, Food Products)		1,127		55,865
Croda International plc (Materials, Chemicals)		6,260		492,731
Dechra Pharmaceuticals plc (Health Care, Pharmaceuticals)		2,238		93,454
Derwent Valley Holdings plc (Real Estate, Equity REITs)		2,236		84,371
Diageo plc (Consumer Staples, Beverages)		97,638		3,262,195
Dialog Semiconductor plc (Information Technology, Semiconductors & Semiconductor Equipment) †		1,477		63,964
Diploma plc (Industrials, Trading Companies & Distributors)		2,427		62,632
Direct Line Insurance Group plc (Financials, Insurance)		135,367		534,971
DS Smith plc (Materials, Containers & Packaging)		34,496		118,689
easyJet plc (Industrials, Airlines)		5,577		47,365
Electrocomponents plc (Information Technology, Electronic Equipment, Instruments & Components)		10,174		92,041
EVRAZ plc (Materials, Metals & Mining)		26,077		111,565
Experian Group Limited plc (Industrials, Professional Services)		33,123		1,237,559
Ferguson plc (Industrials, Trading Companies & Distributors)		10,873		1,066,265
G4S plc (Industrials, Commercial Services & Supplies)		32,841		63,304
Games Workshop Group plc (Consumer Discretionary, Leisure Products)		697		85,644
Genus plc (Health Care, Biotechnology)		1,830		81,325
GlaxoSmithKline plc (Health Care, Pharmaceuticals)		226,357		4,421,504
Glencore plc (Materials, Metals & Mining)		303,085		745,233
Grainger plc (Real Estate, Real Estate Management & Development)		14,565		60,855
Great Portland Estates plc (Real Estate, Equity REITs)		5,108		41,240
Greggs plc (Consumer Discretionary, Hotels, Restaurants & Leisure)		2,393		45,208
GVC Holdings plc (Consumer Discretionary, Hotels, Restaurants & Leisure)		76,906		813,109
Halma plc (Information Technology, Electronic Equipment, Instruments & Components)		16,258		482,063
Hargreaves Lansdown plc (Financials, Capital Markets)		7,610		163,820
Hays plc (Industrials, Professional Services)		36,030		57,959
Hikma Pharmaceuticals plc (Health Care, Pharmaceuticals)		24,054		762,376
HomeServe plc (Industrials, Commercial Services & Supplies)		6,695		115,590
Howden Joinery Group plc (Industrials, Trading Companies & Distributors)		13,556		101,265
HSBC Holdings plc (Financials, Banks)		341,053		1,462,869
IG Group Holdings plc (Financials, Capital Markets)		7,809		81,320
IMI plc (Industrials, Machinery)		6,200		86,268
Imperial Brands plc (Consumer Staples, Tobacco)		34,631		577,806
Inchcape plc (Consumer Discretionary, Distributors) †		8,829		59,476
Informa plc (Communication Services, Media)		33,099		182,623
Intertek Group plc (Industrials, Professional Services)		6,623		518,925
ITV plc (Communication Services, Media)		1,219,210		975,833
J Sainsbury plc (Consumer Staples, Food & Staples Retailing)		116,069		285,193

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

24  |  Wells Fargo Factor Enhanced International Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
United Kingdom (continued)
JD Sports Fashion plc (Consumer Discretionary, Specialty Retail)		9,083	$	87,410
Johnson Matthey plc (Materials, Chemicals)		9,403		296,563
Kingfisher plc (Consumer Discretionary, Specialty Retail)		118,819		432,094
Land Securities Group plc (Real Estate, Equity REITs)		672		5,208
Legal & General Group plc (Financials, Insurance)		291,307		837,342
Lloyds Banking Group plc (Financials, Banks)		1,218,046		459,273
London Stock Exchange Group plc (Financials, Capital Markets)		5,138		606,905
M&G plc (Financials, Diversified Financial Services)		191,709		443,035
Man Group plc (Financials, Capital Markets)		33,879		55,693
Marks & Spencer Group plc (Consumer Discretionary, Multiline Retail)		43,487		64,400
Meggitt plc (Industrials, Aerospace & Defense)		16,139		62,153
Melrose Industries plc (Industrials, Electrical Equipment)		176,449		235,430
Micro Focus International plc (Information Technology, Software)		9,323		36,987
Mondi plc (Materials, Paper & Forest Products)		9,944		195,661
Moneysupermarket.com Group plc (Consumer Discretionary, Internet & Direct Marketing Retail)		11,982		48,571
National Grid plc (Utilities, Multi-Utilities)		151,441		1,696,152
Network International Holding (Financials, Diversified Financial Services) 144A†		9,591		48,001
Next plc (Consumer Discretionary, Multiline Retail)		6,003		481,002
NMC Health plc (Health Care, Health Care Providers & Services) †(a)‡		7,509		94,193
Ocado Group plc (Consumer Discretionary, Internet & Direct Marketing Retail) †		27,404		912,690
Pearson plc (Communication Services, Media)		17,376		128,026
Pennon Group plc (Utilities, Water Utilities)		9,690		129,468
Persimmon plc (Consumer Discretionary, Household Durables)		27,021		938,932
Phoenix Group Holdings plc (Financials, Insurance)		16,056		148,487
Polymetal International plc (Materials, Metals & Mining)		8,763		237,809
Primary Health Properties REIT (Financials, Insurance)		27,754		56,728
Prudential plc (Financials, Insurance)		79,378		1,279,682
Quilter plc (Financials, Capital Markets)		36,592		69,386
Reckitt Benckiser Group plc (Consumer Staples, Household Products)		36,137		3,627,392
Redrow plc (Consumer Discretionary, Household Durables)		6,046		36,593
RELX plc (Industrials, Professional Services)		86,423		1,961,183
Rentokil Initial plc (Industrials, Commercial Services & Supplies)		44,600		317,579
Rightmove plc (Communication Services, Interactive Media & Services)		19,730		165,575
Rio Tinto plc (Materials, Metals & Mining)		33,397		2,076,973
Rotork plc (Industrials, Machinery)		19,540		78,287
Royal Bank of Scotland Group plc (Financials, Banks)		178,516		265,768
Royal Dutch Shell plc Class A (Energy, Oil, Gas & Consumable Fuels)		58,701		864,058
Royal Dutch Shell plc Class B (Energy, Oil, Gas & Consumable Fuels)		54,358		764,747
Royal Mail plc (Industrials, Air Freight & Logistics)		22,439		53,607
RSA Insurance Group plc (Financials, Insurance)		67,047		400,161
Schroders plc (Financials, Capital Markets)		5,792		224,258
Segro plc (Real Estate, Equity REITs)		63,980		813,455
Severn Trent plc (Utilities, Water Utilities)		10,395		322,424
Signature Aviation PLC (Industrials, Transportation Infrastructure)		15,095		52,320
Smith & Nephew plc (Health Care, Health Care Equipment & Supplies)		30,296		611,392
Spectris plc (Information Technology, Electronic Equipment, Instruments & Components)		2,673		90,851
Spirax-Sarco Engineering plc (Industrials, Machinery)		1,629		221,961
SSE plc (Utilities, Electric Utilities)		57,050		961,572
Standard Chartered plc (Financials, Banks)		22,234		115,873
Standard Life Aberdeen plc (Financials, Capital Markets)		121,576		380,418
Tate & Lyle plc (Consumer Staples, Food Products)		10,914		98,956
Taylor Wimpey plc (Consumer Discretionary, Household Durables)		163,673		264,620
TechnipFMC plc - BATS Exchange (Energy, Energy Equipment & Services)		9,862		76,544
Tesco plc (Consumer Staples, Food & Staples Retailing)		516,340		1,507,836
The Berkeley Group Holdings plc (Consumer Discretionary, Household Durables)		6,220		375,896
The British Land Company plc (Real Estate, Equity REITs)		38,547		188,128
The Sage Group plc (Information Technology, Software)		41,173		406,531
TP Icap plc (Financials, Capital Markets)		12,074		48,181
Trainline plc (Consumer Discretionary, Internet & Direct Marketing Retail) 144A†		10,823		56,759

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

Wells Fargo Factor Enhanced International Equity Portfolio  |  25

Portfolio of investments—August 31, 2020 (unaudited)

						Shares		Value
United Kingdom (continued)
Travis Perkins plc (Industrials, Trading Companies & Distributors)							5,552	$	90,886
Tritax Big Box REIT plc (Real Estate, Equity REITs)							37,100		77,418
Unilever plc (Consumer Staples, Personal Products)							58,033		3,431,021
United Utilities Group plc (Utilities, Water Utilities)							19,470		213,930
Victrex plc (Materials, Chemicals)							1,924		49,379
Vodafone Group plc (Communication Services, Wireless Telecommunication Services)							412,687		605,099
Whitbread plc (Consumer Discretionary, Hotels, Restaurants & Leisure)							4,609		155,439
William Morrison Supermarkets plc (Consumer Staples, Food & Staples Retailing)							202,933		519,295
WPP plc (Communication Services, Media)							89,720		759,907
									72,928,084
Total Common Stocks (Cost $547,691,327)									612,966,032
	Dividend yield
Preferred Stocks: 0.65%
Germany: 0.65%
Bayerische Motoren Werke AG (Consumer Discretionary, Automobiles)		6.36	%				4,364		245,286
Fuchs Petrolub SE (Materials, Chemicals)		2.20					17,707		837,196
Henkel AG & Company KGaA (Consumer Staples, Household Products)		2.01					10,581		1,080,352
Porsche Automobil Holding SE (Consumer Discretionary, Automobiles) †		3.33					18,671		1,143,017
Sartorius AG Vorzug (Health Care, Health Care Equipment & Supplies)		0.32					1,885		798,560
Total Preferred Stocks (Cost $3,543,972)									4,104,411
				Expiration date
Rights: 0.00%
Australia: 0.00%
Tabcorp Holdings Limited (Consumer Discretionary, Hotels, Restaurants & Leisure) †					9-10-2020		13,238		3,613
Total Rights (Cost $0)									3,613
	Yield
Short-Term Investments: 1.44%
Investment Companies: 1.44%
Wells Fargo Government Money Market Fund Select Class (l)(u)		0.06					9,103,835		9,103,835
Total Short-Term Investments (Cost $9,103,835)									9,103,835

Total investments in securities (Cost $560,339,134)	99.03	%		626,177,891
Other assets and liabilities, net	0.97			6,164,234
Total net assets	100.00	%	$	632,342,125

† Non-income-earning security

144A The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933.

(a) The security is fair valued in accordance with procedures approved by the Board of Trustees.

‡ Security is valued using significant unobservable inputs.

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

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

Abbreviations:

ADR American depositary receipt

REIT Real estate investment trust

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

26  |  Wells Fargo Factor Enhanced International Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost		Notional value		Unrealized gains		Unrealized losses
Long
MSCI EAFE Index		106		9-18-2020	$	9,751,376	$	10,070,530	$	319,154	$	0

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:

	Value, beginning of period		Purchases		Sales proceeds			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	$	24,301,039	$	260,504,436	$	(275,701,640	)	$	0	$	0	$	25,301	$	9,103,835		1.44	%

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

Wells Fargo Factor Enhanced International Equity Portfolio  |  27

Statement of assets and liabilities—August 31, 2020 (unaudited)

Assets
Investments in unaffiliated securities, at value (cost $551,235,299)	$	617,074,056
Investments in affiliated securities, at value (cost $9,103,835)		9,103,835
Segregated cash for futures contracts		1,410,220
Foreign currency, at value (cost $1,353,047)		1,369,458
Receivable for investments sold		249,023
Receivable for dividends		3,495,715
Prepaid expenses and other assets		496,629
Total assets		633,198,936
Liabilities
Payable for daily variation margin on open futures contracts		81,931
Advisory fee payable		279,676
Custody and accounting fees payable		461,425
Trustees’ fees and expenses payable		1,876
Accrued expenses and other liabilities		31,903
Total liabilities		856,811
Total net assets	$	632,342,125

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

28  |  Wells Fargo Factor Enhanced International Equity Portfolio

Statement of operations—six months ended August 31, 2020 (unaudited)

Investment income
Dividends (net of foreign withholding taxes of $1,022,920)	$	9,070,864
Income from affiliated securities		25,301
Total investment income		9,096,165
Expenses
Advisory fee		422,156
Custody and accounting fees		154,753
Professional fees		22,618
Shareholder report expenses		5,567
Trustees’ fees and expenses		9,898
Other fees and expenses		21,048
Total expenses		636,040
Less: Fee waivers and/or expense reimbursements		(164,806	)
Net expenses		471,234
Net investment income		8,624,931
Realized and unrealized gains (losses) on investments
Net realized gains (losses) on
Unaffiliated securities		(15,247,251	)
Futures contracts		(353,852	)
Foreign currency and foreign currency translations		106,801
Net realized losses on investments		(15,494,302	)
Net change in unrealized gains (losses) on
Unaffiliated securities		51,746,213
Futures contracts		3,265,428
Foreign currency and foreign currency translations		18,806
Net change in unrealized gains (losses) on investments		55,030,447
Net realized and unrealized gains (losses) on investments		39,536,145
Net increase in net assets resulting from operations	$	48,161,076

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

Wells Fargo Factor Enhanced International Equity Portfolio  |  29

Statement of changes in net assets

	Six months ended August 31, 2020 (unaudited)			Year ended February 29, 2020
Operations
Net investment income	$	8,624,931		$	17,563,924
Net realized gains (losses) on investments		(15,494,302	)		147,794
Net change in unrealized gains (losses) on investments		55,030,447			(3,240,452	)
Net increase in net assets resulting from operations		48,161,076			14,471,266
Capital transactions
Transactions in investors’ beneficial interests
Contributions		151,813,646			33,306,923
Withdrawals		(153,477,883	)		(159,917,517	)
Net decrease in net assets resulting from capital transactions		(1,664,237	)		(126,610,594	)
Total increase (decrease) in net assets		46,496,839			(112,139,328	)
Net assets
Beginning of period		585,845,286			697,984,614
End of period	$	632,342,125		$	585,845,286

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

30  |  Wells Fargo Factor Enhanced International Equity Portfolio

Financial highlights

	Six months ended August 31, 2020 (unaudited)			Year ended February 29, 2020			Year ended February 28
							2019			20181
Total return2		8.03	%		1.23	%		(2.91	)%		8.99	%
Ratios to average net assets (annualized)
Gross expenses		0.23	%		0.24	%		0.23	%		0.21	%
Net expenses		0.17	%		0.19	%		0.20	%		0.21	%
Net investment income		3.06	%		2.58	%		3.03	%		1.74	%
Supplemental data
Portfolio turnover rate		65	%		44	%		47	%		106	%

¹  For the period from May 23, 2017 (commencement of operations) to February 28, 2018

²  Returns for periods of less than one year are not annualized.

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

Wells Fargo Factor Enhanced International Equity Portfolio  |  31

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 Factor Enhanced International Equity Portfolio (formerly, Wells Fargo Factor Enhanced International Portfolio) (the “Portfolio”) which is a diversified series of the Trust.

Interests in the Portfolio are available solely through private placement transactions that do not involve any “public offering” within the meaning of Section 4(2) of the Investment Company Act of 1933.

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.

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 August 31, 2020, such fair value pricing was used in pricing certain foreign securities.

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

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

32  |  Wells Fargo Factor Enhanced International Equity 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.

Futures contracts

Futures contracts are agreements between the Portfolio and a counterparty to buy or sell a specific amount of a commodity, financial instrument or currency at a specified price and on a specified date. The Portfolio may buy and sell futures contracts in order to gain exposure to, or protect against, changes in security values and is subject to equity price risk. The primary risks associated with the use of futures contracts are the imperfect correlation between changes in market values of securities held by the Portfolio and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange. With futures contracts, there is minimal counterparty risk to the Portfolio since futures contracts are exchange traded and the exchange’s clearinghouse, as the counterparty to all exchange traded futures, guarantees the futures contracts against default.

Upon entering into 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 is recorded net of foreign taxes withheld where recovery of such taxes is not assured.

Federal and other taxes

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 income, 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 income 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 August 31, 2020, the aggregate cost of all investments for federal income tax purposes was $557,422,803 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	80,493,911
Gross unrealized losses		(11,419,669	)
Net unrealized gains	$	69,074,242

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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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 August 31, 2020:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Common stocks
Australia	$	38,464,799	$	0	$	0	$	38,464,799
Austria		1,585,234		0		0		1,585,234
Belgium		4,820,400		0		0		4,820,400
Bermuda		351,982		0		0		351,982
Cambodia		39,494		0		0		39,494
Canada		61,802,746		296,265		0		62,099,011
China		1,799,859		0		0		1,799,859
Denmark		15,648,040		0		0		15,648,040
Finland		7,716,257		0		0		7,716,257
France		46,219,192		0		0		46,219,192
Germany		41,624,147		41,926		0		41,666,073
Hong Kong		16,180,075		0		0		16,180,075
Ireland		6,772,640		760,531		0		7,533,171
Israel		2,328,483		0		0		2,328,483
Italy		9,812,073		0		0		9,812,073
Japan		145,475,220		0		0		145,475,220
Luxembourg		1,507,775		106,020		0		1,613,795
Netherlands		25,350,424		415,336		0		25,765,760
New Zealand		2,848,875		0		0		2,848,875
Norway		3,987,994		0		0		3,987,994
Poland		700,873		0		0		700,873
Portugal		1,017,962		0		0		1,017,962
Singapore		7,004,050		0		0		7,004,050
South Africa		0		57,664		0		57,664
Spain		12,024,599		73,731		0		12,098,330
Sweden		21,461,652		0		0		21,461,652
Switzerland		61,284,798		372,364		0		61,657,162
Thailand		84,468		0		0		84,468
United Kingdom		1,132,317		71,701,574		94,193		72,928,084
Preferred stocks
Germany		4,104,411		0		0		4,104,411
Rights
Australia		0		3,613		0		3,613
Short-term investments
Investment companies		9,103,835		0		0		9,103,835
		552,254,674		73,829,024		94,193		626,177,891
Futures contracts		319,154		0		0		319,154
Total assets	$	552,573,828	$	73,829,024	$	94,193	$	626,497,045

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.

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Notes to financial statements (unaudited)

For the six months ended August 31, 2020, the Portfolio had 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 & 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 at the following annual rate based on the Portfolio’s average daily net assets:

Average daily net assets	Advisory fee
First $5 billion		0.15	%
Next $5 billion		0.13
Over $10 billion		0.11

For the six months ended August 31, 2020, the advisory fee was equivalent to an annual rate of 0.15% 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 0.08% and declining to 0.05% as the average daily net assets of the Portfolio increase.

Funds Management has voluntarily waived and/or reimbursed advisory fees to reduce 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 August 31, 2020 were $379,417,085 and $353,875,536, respectively.

6. DERIVATIVE TRANSACTIONS

During the six months ended August 31, 2020, the Portfolio entered into futures contracts to gain market exposure. The Portfolio had an average notional amount of $20,683,340 in long futures contracts during the six months ended August 31, 2020.

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

The Trust, along with Wells Fargo Variable Trust and Wells Fargo Funds Trust (excluding the money market funds), are parties to a $350,000,000 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 August 31, 2020, there were no borrowings by the Portfolio under the agreement.

8. INDEMNIFICATION

Under the Portfolio’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 Portfolio. The Portfolio has entered into a

Wells Fargo Factor Enhanced International Equity Portfolio  |  35

Notes to financial statements (unaudited)

separate agreement with each Trustee that converts indemnification rights currently existing under the Portfolio’s organizational documents into contractual rights that cannot be changed in the future without the consent of the Trustee. Additionally, in the normal course of business, the Portfolio may enter into contracts with service providers that contain a variety of indemnification clauses. The Portfolio’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 on fair value measurements in Topic 820, Fair Value Measurements. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has adopted this guidance which did not have a material impact on the financial statements.

10. CORONAVIRUS (COVID-19) PANDEMIC

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

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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 wfam.com, or visiting the SEC website at sec.gov. Information regarding how the proxies related to portfolio securities were voted during the most recent 12-month period ended June 30 is available on the website at wfam.com or by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS INFORMATION

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

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

Independent Trustees

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

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

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

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Other information (unaudited)

Officers

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

¹  Jeremy DePalma acts as Treasurer of 77 funds and Assistant Treasurer of 65 funds in the Fund Complex.

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

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Other information (unaudited)

BOARD CONSIDERATION OF INVESTMENT MANAGEMENT, ADVISORY AND SUB-ADVISORY AGREEMENTS:

Wells Fargo Emerging Markets Bond Fund, Wells Fargo High Yield Corporate Bond Fund, Wells Fargo International Government Bond Fund, Wells Fargo U.S. Core Bond Fund, Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, Wells Fargo Emerging Markets Bond Portfolio, Wells Fargo Factor Enhanced International Equity Portfolio, Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, Wells Fargo International Government Bond Portfolio, Wells Fargo Investment Grade Corporate Bond Portfolio, Wells Fargo High Yield Corporate Bond Portfolio, Wells Fargo Strategic Retirement Bond Portfolio, and Wells Fargo U.S. REIT Portfolio

Under the Investment Company Act of 1940 (the “1940 Act”), the Board of Trustees (each, a “Board” and collectively, the “Boards”) of each of Wells Fargo Funds Trust (“Funds Trust”) and Wells Fargo Master Trust (“Master Trust”) (collectively, the “Trusts”) must determine annually whether to approve the continuation of the Trusts’ investment management, advisory and sub-advisory agreements, as applicable. In this regard, at a meeting held on May 26, 2020 and May 28, 2020 (together, the “Meeting”), the Board of Funds Trust, all the members of which have no direct or indirect interest in the investment management agreement and are not “interested persons” of the Trusts, as defined in the 1940 Act (the “Independent Trustees”), reviewed and approved for each of the funds of Funds Trust identified in the table below (individually, an “Index Fund” and collectively, the “Index Funds”) an investment management agreement (the “Management Agreement”) with Wells Fargo Funds Management, LLC (“Funds Management”).

Index Funds

Wells Fargo Emerging Markets Bond Fund

Wells Fargo High Yield Corporate Bond Fund

Wells Fargo International Government Bond Fund

Wells Fargo U.S. Core Bond Fund

In addition, the Funds Trust Board reviewed and approved an investment sub-advisory agreement with Wells Capital Management Incorporated (“WellsCap”) for the U.S. Core Bond Fund (the “Core Bond Fund Sub-Advisory Agreement”).

At the Meeting, the Board of Master Trust, all the members of which have no direct or indirect interest in the investment advisory and sub-advisory agreements and are Independent Trustees, reviewed and approved for each of the portfolios of Master Trust identified in the table below (individually, a “Master Portfolio” and collectively, the “Master Portfolios”): (i) an investment advisory agreement (the “Master Portfolio Advisory Agreement”) with Funds Management; and (ii) an investment sub-advisory agreement (each, a “Master Portfolio Sub-Advisory Agreement”, and collectively, the “Master Portfolio Sub-Advisory Agreements”) with the sub-adviser(s) identified in the chart below (each, a “Sub-Adviser”, and collectively, the “Sub-Advisers”) for the corresponding Master Portfolio identified.

Master Portfolios	Sub-Advisers
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio	WellsCap
Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio	WellsCap
Wells Fargo Emerging Markets Bond Portfolio	Wells Fargo Asset Management (International), Limited (“WFAM International”)
Wells Fargo Factor Enhanced International Equity Portfolio	WellsCap
Wells Fargo Factor Enhanced U.S. Large Cap Portfolio	WellsCap
Wells Fargo Factor Enhanced U.S. Small Cap Portfolio	WellsCap
Wells Fargo International Government Bond Portfolio	WFAM International
Wells Fargo Investment Grade Corporate Bond Portfolio	WellsCap
Wells Fargo High Yield Corporate Bond Portfolio	WellsCap
Wells Fargo Strategic Retirement Bond Portfolio	WellsCap
Wells Fargo U.S. REIT Portfolio	WellsCap

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Other information (unaudited)

The Index Funds and the Master Portfolios are collectively referred to as the “Funds.” The Management Agreement, the Core Bond Fund Sub-Advisory Agreement, the Master Portfolio Advisory Agreement and the Master Portfolio Sub-Advisory Agreements are collectively referred to as the “Advisory Agreements.”

The Boards noted that each of the Index Funds is a feeder fund that invests all of its assets in its corresponding Master Portfolio, with the exception of the U.S. Core Bond Fund, which invests in multiple Master Portfolios. Information provided to the Boards regarding the Index Funds is also applicable to the Master Portfolios identified above, as relevant.

At the Meeting, the Boards considered the factors and reached the conclusions described below relating to the selection of Funds Management and the Sub-Advisers and the approval of the Advisory Agreements. Prior to the Meeting, including at a Board meeting held in April 2020, the Trustees conferred extensively among themselves and with representatives of Funds Management about these matters. Also, the Boards have adopted a team-based approach, with each team consisting of a sub-set of Trustees, to assist the full Boards in the discharge of their duties in reviewing investment performance and other matters throughout the year. The Independent Trustees were assisted in their evaluation of the Advisory Agreements by independent legal counsel, from whom they received separate legal advice and with whom they met separately.

In providing information to the Boards, Funds Management and the Sub-Advisers were guided by a detailed set of requests for information submitted to them by independent legal counsel on behalf of the Independent Trustees at the start of the Boards’ annual contract renewal process earlier in 2020. In considering and approving the Advisory Agreements, the Trustees considered the information they believed relevant, including but not limited to the information discussed below. The Boards considered not only the specific information presented in connection with the Meeting, but also the knowledge gained over time through interaction with Funds Management and the Sub-Advisers about various topics. In this regard, the Boards reviewed reports of Funds Management at each of their quarterly meetings, which included, among other things, portfolio reviews and investment performance reports. In addition, the Boards and the teams mentioned above confer with portfolio managers at various times throughout the year. The Boards did not identify any particular information or consideration that was all-important or controlling, and each individual Trustee may have attributed different weights to various factors.

After its deliberations, the Board of Funds Trust unanimously approved the continuation of the Management Agreement and the Core Bond Fund Sub-Advisory Agreement for a one-year period. Additionally, after its deliberations, the Board of Master Trust unanimously approved the continuation of the Master Portfolio Advisory Agreement and each Master Portfolio Sub-Advisory Agreement for a one-year term. The Boards also determined that the compensation or the absence of compensation payable to Funds Management and to each of the Sub-Advisers under each of the Advisory Agreements was reasonable. The Boards considered the approval of the Advisory Agreements for the Funds as part of their consideration of agreements for funds across the complex, but their approvals were made on a fund-by-fund basis. The following summarizes a number of important, but not necessarily all, factors considered by the Boards in support of their approvals.

Nature, extent and quality of services

The Boards received and considered various information regarding the nature, extent and quality of services provided to the Funds by Funds Management and the Sub-Advisers under the Advisory Agreements. This information included a description of the investment advisory services and Fund-level administrative services covered by the Advisory Agreements, as well as, among other things, a summary of the background and experience of senior management of Wells Fargo Asset Management (“WFAM”), of which Funds Management and the Sub-Advisers are a part, and a summary of investments made in the business of WFAM. The Boards also received a description of Funds Management’s and the Sub-Advisers’ business continuity plans and of their approaches to data privacy and cybersecurity, and related testing. The Boards also received and reviewed information about Funds Management’s role as administrator of the Funds’ liquidity risk management program, Funds Management’s approach to risk management, and Funds Management’s intermediary and vendor oversight program.

The Boards also considered the qualifications, background, tenure and responsibilities of each of the portfolio managers primarily responsible for the day-to-day portfolio management of the Funds. The Board of Master Trust noted that each of the Master Portfolios replicates the performance of a proprietary index provided by an affiliate of Funds Management, except that the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Emerging Markets Bond Portfolio, and the Wells Fargo Strategic Retirement Bond Portfolio track the performance of third-party indexes. The Boards evaluated the ability of Funds Management and the Sub-Advisers to attract and retain qualified investment professionals, including research, advisory and supervisory personnel. The Boards further considered the compliance programs and compliance records of Funds Management and the Sub-Advisers. In addition, the Boards took into account the full range of services provided to the Funds by Funds Management and its affiliates.

Fund investment performance and expenses

The Boards considered the investment performance results for each of the Master Portfolios for the one-year period ended December 31, 2019. The Boards also considered more current results for the one-year period ended March 31, 2020. The Boards

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Other information (unaudited)

considered these results in comparison to the investment performance of funds in a universe that was determined by Broadridge Inc. (“Broadridge”) to be similar to the respective Master Portfolios (each, a “Universe”), and in comparison to each Master Portfolio’s benchmark index and to other comparative data. Broadridge is an independent provider of investment company data. The Boards received a description of the methodology used by Broadridge to select the mutual funds in each performance Universe.

The Boards noted the short performance history of the Master Portfolios. For the one-year period ended December 31, 2019, the Boards noted that the investment performance of each Master Portfolio relative to its respective Universe was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio and the Wells Fargo Investment Grade Corporate Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective Universe; and (ii) the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo International Government Bond Portfolio, the Wells Fargo Strategic Retirement Bond Portfolio and the Wells Fargo U.S. REIT Portfolio was lower than the average investment performance of such Master Portfolio’s respective Universe. For the one-year period ended March 31, 2020, the Boards noted that the investment performance of each Master Portfolio relative to its respective Universe was as follows: (i) the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo International Government Bond Portfolio, and the Wells Fargo Investment Grade Corporate Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective Universe, and (ii) the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio, the Wells Fargo Strategic Retirement Bond Portfolio and the Wells Fargo U.S. REIT Portfolio was lower than the average investment performance of such Master Portfolio’s respective Universe.

The Boards also noted that the investment performance of each Master Portfolio to its respective benchmark index for the one-year period ended December 31, 2019, was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio, the Wells Fargo U.S. REIT Portfolio and the Wells Fargo Strategic Retirement Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective benchmark, and (ii) the investment performance of each of the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo International Government Bond Portfolio and the Wells Fargo Investment Grade Corporate Bond Portfolio was lower than the average investment performance of such Master Portfolio’s respective benchmark. For the one-year period ended March 31, 2020, the Boards also noted that the investment performance of each Master Portfolio to its respective benchmark index, was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo U.S. REIT Portfolio, the Wells Fargo Investment Grade Corporate Bond Portfolio and the Wells Fargo Strategic Retirement Bond Portfolio was higher than, equal to or in range of the average investment performance of such Master Portfolio’s respective benchmark, and (ii) the investment performance of each of the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio and the Wells Fargo International Government Bond Portfolio was lower than the average investment performance of such Master Portfolio’s respective benchmark.

The Boards received information concerning, and discussed factors contributing to, the underperformance of certain Master Portfolios, relative to the Universe and benchmark index, for the periods identified above. The Board took note of the explanations for the relative underperformance during these periods, including with respect to investment decisions and market factors that affected the Fund’s investment performance.

The Board of Funds Trust took note of the investment performance of the Master Portfolios in the context of reviewing the investment performance of the Index Funds. The Board of Funds Trust also received and considered information regarding the “zero fee and expense” structure of each Index Fund. Specifically, the Funds Trust Board noted that each Index Fund’s gross operating expense ratio and each of its various components, including management fees, administration fees, custody fees, Rule 12b-1 fees, and other fees, are zero. The Funds Trust Board also noted that Funds Management assumes and pays or reimburses all of the ordinary operating expenses of each Index Fund, including acquired fund fees and expenses, pursuant to an agreement with each of the Index Funds (the “Fee and Expense Agreement”). The Funds Trust Board further noted that Funds Management receives a fee from Wells Fargo Wealth and Investment Management (“WIM”) pursuant to an intercompany agreement equal to the Master Portfolio fees and expenses absorbed by Funds Management through its Fee and Expense Agreement with each of the Index Funds.

Wells Fargo Factor Enhanced International Equity Portfolio  |  43

Other information (unaudited)

With respect to the Master Portfolios, the Board of Master Trust received and considered information regarding the fee rates that are payable to Funds Management for investment advisory services (as discussed below), which are the only fees charged at the Master Portfolio level, relative to corresponding class-specific expense groups that were determined by Broadridge to be similar to the Funds (the “Groups”). The Boards received a description of the methodology used by Broadridge to select the mutual funds in the expense Groups and an explanation of how funds comprising expense groups and their expense ratios may vary from year-to-year.

The Boards took into account the Funds’ expense information and the Master Portfolios’ performance information provided to them among the factors considered in deciding to re-approve the Advisory Agreements.

Investment management, advisory and sub-advisory fee rates

The Board of Funds Trust reviewed and considered that the contractual investment management fee rate payable by each Index Fund to Funds Management for investment management services zero, and also reviewed and considered that each Fund’s other expenses would normally be zero, because of Funds Management’s commitment to assume and pay or reimburse all of the ordinary operating expenses of each Fund, including acquired fund fees and expenses, under the Fee and Expense Agreement. The Board of Funds Trust also reviewed and considered that the contractual investment sub-advisory fee rate payable by Funds Management to WellsCap for investment sub-advisory services for the U.S. Core Bond Fund is also zero.

The Board of Master Trust reviewed and considered the contractual fee rates payable by the Master Portfolios to Funds Management under the Master Portfolio Advisory Agreement (the “Advisory Agreement Rates”). The Board of Master Trust also reviewed and considered the contractual investment sub-advisory fee rates that are payable by Funds Management to the Sub-Advisers for investment sub-advisory services (the “Sub-Advisory Agreement Rates”).

The Board of Master Trust reviewed a comparison of the Advisory Agreement Rates of each Master Portfolio with those of other funds in each Master Portfolio’s respective expense Groups at a common asset level. The Board of Master Trust noted that the Advisory Agreement Rates of each Master Portfolio were lower than or equal to the median rate for such Master Portfolio’s expense Groups.

The Boards also received and considered information about the portions of the total management fees that were retained by Funds Management after payment of the fees to the Sub-Advisers for sub-advisory services. In assessing the reasonableness of these amounts, the Boards received and evaluated information about the nature and extent of responsibilities retained and risks assumed by Funds Management and not delegated to or assumed by the Sub-Advisers, and about Funds Management’s on-going oversight services. Given the affiliation between Funds Management and the Sub-Advisers, the Boards ascribed limited relevance to the allocation of fees between them.

The Boards also received and considered information about the nature and extent of services offered and fee rates charged by Funds Management and the Sub-Advisers to other types of clients with investment strategies similar to those of certain Funds. In this regard, the Boards received information about the significantly greater scope of services, and compliance, reporting and other legal burdens and risks of managing proprietary mutual funds compared with those associated with managing assets of other types of clients, including third-party sub-advised fund clients and non-mutual fund clients such as institutional separate accounts.

Based on its consideration of the factors and information it deemed relevant, including those described here, the Board of Fund Trust determined that the compensation received by Funds Management from WIM pursuant to the intercompany agreement, and the absence of compensation payable by the Funds to Funds Management pursuant to the Management Agreement or to WellsCap pursuant to the Core Bond Fund Sub-Advisory Agreement, was reasonable. Based on its consideration of the factors and information it deemed relevant, including those described here, the Board of Master Trust determined that the Advisory Agreement Rates and the Sub-Advisory Agreement Rates for each Master Portfolio were reasonable.

Profitability

The Boards received and considered information concerning the profitability of Funds Management, as well as the profitability of both WFAM and Wells Fargo & Co. (“Wells Fargo”) from providing services to the fund family as a whole. The Boards noted that the Sub-Advisers’ profitability information with respect to providing services to the Funds and other funds in the family was subsumed in the WFAM and Wells Fargo profitability analysis.

Funds Management reported on the methodologies and estimates used in calculating profitability, including a description of the methodology used to allocate certain expenses. Among other things, the Boards noted that the levels of profitability reported on a fund-by-fund basis varied widely, depending on factors such as the size, type and age of fund.

Based on its review, the Boards did not deem the profits reported by Funds Management, WFAM or Wells Fargo from services provided to the Funds to be at a level that would prevent them from approving the continuation of the Advisory Agreements.

44  |  Wells Fargo Factor Enhanced International Equity Portfolio

Other information (unaudited)

Economies of scale

The Boards received and considered information about the potential for Funds Management to experience economies of scale in the provision of management services to the Funds, the difficulties of calculating economies of scale at an individual fund level, and the extent to which potential scale benefits are shared with shareholders. The Boards noted the existence of breakpoints in the each Master Portfolio’s advisory fee structure and each Index Fund’s management fee structure, which operate generally to reduce the Funds’ expense ratios as the Funds grow in size, and the size of the Funds in relation to such breakpoints. The Boards considered that in addition to management fee breakpoints, Funds Management shares potential economies of scale from its management business in a variety of ways, including through fee waiver and expense reimbursement arrangements, services that benefit shareholders, competitive management fee rates set at the outset without regard to breakpoints, and investments in the business intended to enhance services available to shareholders.

The Boards concluded that Funds Management’s arrangements with respect to the Funds, including contractual breakpoints, constituted a reasonable approach to sharing potential economies of scale with the Funds and their shareholders.

Other benefits to Funds Management and the Sub-Advisers

The Boards received and considered information regarding potential “fall-out” or ancillary benefits received by Funds Management and its affiliates, including WellsCap and WFAM International, as a result of their relationships with the Funds. Ancillary benefits could include, among others, benefits directly attributable to other relationships with the Funds and benefits potentially derived from an increase in Funds Management’s and the Sub-Advisers’ business as a result of their relationships with the Funds. The Boards noted that various affiliates of Funds Management may receive distribution-related fees, shareholder servicing payments and sub-transfer agency fees in respect of shares sold or held through them and services provided.

The Boards also reviewed information about soft dollar credits earned and utilized by the Sub-Advisers, fees earned by Funds Management and WellsCap from managing a private investment vehicle for the fund family’s securities lending collateral, and commissions earned by an affiliated broker from portfolio transactions.

Based on their consideration of the factors and information they deemed relevant, including those described here, the Boards did not find that any ancillary benefits received by Funds Management and its affiliates, including WellsCap and WFAM International, were unreasonable.

Conclusion

At the Meeting, after considering the above-described factors and based on its deliberations and its evaluation of the information described above, the Funds Trust Board unanimously approved the continuation of the Management Agreement and the Core Bond Fund Sub-Advisory Agreement for a one-year period. Additionally, after its deliberations, the Master Trust Board unanimously approved the continuation of the Master Portfolio Advisory Agreement and each Master Portfolio Sub-Advisory Agreement for a one-year term. The Boards also determined that the compensation or the absence of compensation payable to Funds Management and to each of the Sub-Advisers was reasonable.

Wells Fargo Factor Enhanced International Equity Portfolio  |  45

Other information (unaudited)

LIQUIDITY RISK MANAGEMENT PROGRAM

In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), Wells Fargo Master Trust (the “Trust”) has adopted and implemented a liquidity risk management program (the “Program”) on behalf of each of its series, including the Portfolio, which is reasonably designed to assess and manage the Portfolio’s liquidity risk. “Liquidity risk” is defined as the risk that the Portfolio is unable to meet redemption requests without significantly diluting remaining investors’ interests in the Portfolio. The Trust’s Board of Trustees (the “Board”) previously approved the designation of Wells Fargo Funds Management, LLC (“Funds Management”), the Portfolio’s investment adviser, as the administrator of the Program, and Funds Management has established a Liquidity Risk Management Council composed of personnel from multiple departments within Funds Management and its affiliates to assist Funds Management in the implementation and on-going administration of the Program.

The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence the Portfolio’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of the Portfolio’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under the Liquidity Rule); (4) to the extent the Portfolio does not invest primarily in “highly liquid investments” (as defined under the Liquidity Rule), the determination of a minimum percentage of the /Portfolio’s assets that generally will be invested in highly liquid investments (an “HLIM”); (5) if the Portfolio has established an HLIM, the periodic review (no less frequently than annually) of the HLIM and the adoption of policies and procedures for responding to a shortfall of the Portfolio’s “highly liquid investments” below its HLIM; and (6) periodic reporting to the Board.

At a meeting of the Board held on May 26 and 28, 2020, the Board received a written report (the “Report”) from Funds Management that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation. The Report covered the initial period from December 1, 2018 through December 31, 2019 (the “Reporting Period”). No significant liquidity events impacting the Portfolio were noted in the Report, except that certain securities held by the Portfolio were subject to extended foreign market holiday closures, which caused the Portfolio to reclassify such securities as illiquid temporarily and resulted in the Portfolio temporarily breaching its 15% limit on illiquid investments. This breach was anticipated in advance and communicated to the Board prior to the closure. There were no material changes to the Program during the Reporting Period. The Report concluded that the Program is operating effectively to assess and manage the Portfolio’s liquidity risk, and that the Program has been and continues to be adequately and effectively implemented to monitor and, as applicable, respond to the Portfolio’s liquidity developments.

46  |  Wells Fargo Factor Enhanced International Equity Portfolio

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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 Portfolio’s website, or call:

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: wfam.com

Individual investors: 1-800-222-8222

Retail investment professionals: 1-888-877-9275

Institutional investment professionals: 1-866-765-0778

This report and the financial statements contained herein are submitted for the general information of the shareholders of the Portfolio. 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 Portfolio’s website at wfam.com. Read the prospectus carefully before you invest or send money.

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

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

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

© 2020 Wells Fargo & Company. All rights reserved.

Semi-Annual Report

August 31, 2020

Wells Fargo

Factor Enhanced U.S. Large Cap Equity Portfolio

(formerly Wells Fargo Factor Enhanced Large Cap Portfolio)

Contents

Portfolio information	2
Portfolio of investments	3
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

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

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio  |  1

Portfolio information (unaudited)

Investment objective

The Portfolio seeks long-term capital appreciation.

Adviser

Wells Fargo Funds Management, LLC

Subadviser

Wells Capital Management Incorporated

Portfolio managers

Dennis Beinn, CFA^®‡

Harindra de Silva, Ph.D., CFA^®‡

Monisha Jayakumar

Ten largest holdings (%) as of August 31, 20201
Apple Incorporated	4.42
Microsoft Corporation	3.59
Amazon.com Incorporated	3.04
Alphabet Incorporated Class A	1.82
Alphabet Incorporated Class C	1.76
Johnson & Johnson	1.49
Facebook Incorporated Class A	1.48
The Procter & Gamble Company	1.14
Berkshire Hathaway Incorporated Class B	1.13
The Home Depot Incorporated	1.10

Portfolio composition as of August 31, 2020²

^‡  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.

2  |  Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Common Stocks: 98.49%
Communication Services: 11.16%
Diversified Telecommunication Services: 1.76%
AT&T Incorporated		230,097	$	6,859,178
CenturyLink Incorporated		72,008		774,086
Cogent Communications Group Incorporated		574		38,607
Verizon Communications Incorporated		134,631		7,979,579
				15,651,450
Entertainment: 2.32%
Activision Blizzard Incorporated		32,275		2,695,608
Electronic Arts Incorporated †		10,195		1,421,897
Lions Gate Entertainment Class A †		31,437		306,196
Lions Gate Entertainment Class B †		38,328		347,252
Live Nation Entertainment Incorporated †		2,474		140,523
Netflix Incorporated †		12,755		6,754,538
Roku Incorporated †		1,857		322,152
Spotify Technology †		1,709		482,211
Take-Two Interactive Software Incorporated †		4,236		725,161
The Madison Square Garden Company Class A		248		40,672
The Walt Disney Company		52,370		6,906,032
Zynga Incorporated Class A †		52,354		474,327
				20,616,569
Interactive Media & Services: 5.30%
Alphabet Incorporated Class A †		9,932		16,184,492
Alphabet Incorporated Class C †		9,611		15,706,104
Facebook Incorporated Class A †		44,786		13,131,255
InterActive Corporation †		1,382		183,792
Match Group Incorporated †		8,994		1,004,450
Zillow Group Incorporated Class A †		5,813		495,733
Zillow Group Incorporated Class C †		5,826		499,638
				47,205,464
Media: 1.58%
Altice USA Incorporated †		7,469		205,995
Cable One Incorporated		196		360,705
Charter Communications Incorporated Class A †		5,417		3,334,759
Comcast Corporation Class A		135,831		6,086,587
Discovery Incorporated Class A †		22,150		488,740
DISH Network Corporation Class A †		8,333		295,988
Fox Corporation Class A		11,022		307,073
Interpublic Group of Companies Incorporated		19,581		347,759
News Corporation Class A		30,905		467,284
News Corporation Class B		39,034		588,242
Nexstar Media Group Incorporated Class A		1,836		176,274
Omnicom Group Incorporated		2,788		150,803
Sirius XM Holdings Incorporated		70,296		412,638
Tegna Incorporated		3,019		37,798
The New York Times Company Class A		12,425		538,375
ViacomCBS Incorporated Class B		9,822		273,543
				14,072,563
Wireless Telecommunication Services: 0.20%
T-Mobile US Incorporated †		15,428		1,800,139

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

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio  |  3

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Consumer Discretionary: 10.60%
Auto Components: 0.09%
BorgWarner Incorporated		6,118	$	248,330
Gentex Corporation		6,089		164,707
Lear Corporation		3,249		370,159
				783,196
Automobiles: 0.26%
Ford Motor Company		44,688		304,772
General Motors Company		30,354		899,389
Harley-Davidson Incorporated		1,669		46,248
Thor Industries Incorporated		11,419		1,078,296
				2,328,705
Distributors: 0.10%
Genuine Parts Company		1,829		172,731
LKQ Corporation †		9,862		313,020
Pool Corporation		1,213		397,670
				883,421
Diversified Consumer Services: 0.12%
Bright Horizons Family Solutions Incorporated †		929		123,566
Chegg Incorporated †		1,675		123,515
Frontdoor Incorporated †		10,241		446,200
Grand Canyon Education Incorporated †		958		90,090
H&R Block Incorporated		5,126		74,327
Service Corporation International		2,433		111,066
ServiceMaster Global Holdings Incorporated †		2,437		97,236
Strategic Education Incorporated		297		30,463
				1,096,463
Hotels, Restaurants & Leisure: 1.73%
Aramark		7,291		200,940
Carnival Corporation		4,918		81,049
Chipotle Mexican Grill Incorporated †		1,281		1,678,469
Choice Hotels International Incorporated		1,091		108,325
Churchill Downs Incorporated		448		78,292
Cracker Barrel Old Country Store Incorporated		294		39,311
Darden Restaurants Incorporated		3,527		305,685
Domino’s Pizza Incorporated		4,853		1,984,683
Dunkin Brands Group Incorporated		1,044		79,428
Extended Stay America Incorporated		2,184		27,278
Hilton Worldwide Holdings Incorporated		4,870		440,053
Hyatt Hotels Corporation Class A		658		37,170
Las Vegas Sands Corporation		7,093		359,686
Marriott International Incorporated Class A		4,662		479,766
Marriott Vacations Worldwide Corporation		470		44,495
McDonald’s Corporation		19,552		4,174,743
MGM Resorts International		5,265		118,463
Norwegian Cruise Line Holdings Limited †		2,101		35,948
Six Flags Entertainment Corporation		151		3,281
Starbucks Corporation		31,308		2,644,587
Texas Roadhouse Incorporated		846		53,290
The Wendy’s Company		17,925		375,350
Vail Resorts Incorporated		556		121,025
Wingstop Incorporated		400		65,360

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

4  |  Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Hotels, Restaurants & Leisure (continued)
Wyndham Hotels & Resorts Incorporated		8,754	$	458,359
Wyndham Worldwide Corporation		27,657		801,776
Wynn Resorts Limited		1,168		102,142
Yum China Holdings Incorporated		204		11,773
Yum! Brands Incorporated		4,773		457,492
				15,368,219
Household Durables: 0.32%
D.R. Horton Incorporated		6,899		492,382
Garmin Limited		1,808		187,327
Helen of Troy Limited †		339		70,112
Leggett & Platt Incorporated		1,603		65,723
Lennar Corporation Class A		8,953		669,863
Lennar Corporation Class B		835		49,516
Mohawk Industries Incorporated †		1,109		102,394
Newell Rubbermaid Incorporated		11,476		183,386
NVR Incorporated †		46		191,744
Pulte Group Incorporated		3,398		151,517
Tempur-Pedic International Incorporated †		625		53,463
Toll Brothers Incorporated		1,540		65,019
TopBuild Corporation †		430		66,134
Whirlpool Corporation		2,822		501,526
				2,850,106
Internet & Direct Marketing Retail: 3.46%
Amazon.com Incorporated †		7,834		27,034,821
Booking Holdings Incorporated †		455		869,255
Chewy Incorporated Class A †		712		43,482
eBay Incorporated		30,604		1,676,487
Expedia Group Incorporated		1,690		165,874
Qurate Retail Incorporated †		4,622		51,073
Wayfair Incorporated Class A †		3,270		969,751
				30,810,743
Leisure Products: 0.26%
Hasbro Incorporated		1,643		129,698
Mattel Incorporated †		10,397		111,716
Polaris Industries Incorporated		7,672		775,179
The Brunswick Corporation		20,752		1,284,341
				2,300,934
Multiline Retail: 0.68%
Dollar General Corporation		10,433		2,106,214
Dollar Tree Incorporated †		4,390		422,625
Kohl’s Corporation		1,659		35,436
Target Corporation		23,159		3,501,872
				6,066,147
Specialty Retail: 2.66%
Advance Auto Parts Incorporated		913		142,711
AutoNation Incorporated †		32,304		1,836,805
AutoZone Incorporated †		321		384,016
Best Buy Company Incorporated		13,381		1,484,087
Burlington Stores Incorporated †		879		173,101
CarMax Incorporated †		2,077		222,094

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

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio  |  5

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Specialty Retail (continued)
Dick’s Sporting Goods Incorporated		5,943	$	321,635
Foot Locker Incorporated		4,306		130,601
L Brands Incorporated		5,680		166,992
Lithia Motors Incorporated Class A		274		68,215
Lowe’s Companies Incorporated		26,175		4,310,761
Murphy USA Incorporated †		381		51,382
O’Reilly Automotive Incorporated †		1,141		531,284
Penske Auto Group Incorporated		23,894		1,127,080
Ross Stores Incorporated		4,753		432,903
The Gap Incorporated		3,118		54,222
The Home Depot Incorporated		34,273		9,769,176
The TJX Companies Incorporated		21,973		1,203,901
Tiffany & Company		1,696		207,760
Tractor Supply Company		3,204		476,851
Ulta Beauty Incorporated †		753		174,832
Williams-Sonoma Incorporated		4,994		438,273
				23,708,682
Textiles, Apparel & Luxury Goods: 0.92%
Capri Holdings Limited †		27,231		431,339
Carter’s Incorporated		7,046		561,003
Deckers Outdoor Corporation †		342		69,724
HanesBrands Incorporated		40,651		621,554
Lululemon Athletica Incorporated †		2,237		840,374
Nike Incorporated Class B		40,655		4,548,888
PVH Corporation		1,178		65,685
Ralph Lauren Corporation		607		41,780
Skechers USA Incorporated Class A †		14,883		444,258
Tapestry Incorporated		19,810		291,801
VF Corporation		3,899		256,359
				8,172,765
Consumer Staples: 7.44%
Beverages: 1.66%
Boston Beer Company Incorporated Class A †		1,065		939,309
Brown-Forman Corporation Class B		8,971		656,408
Constellation Brands Incorporated Class A		3,244		598,453
Keurig Dr. Pepper Incorporated		3,916		116,814
Molson Coors Brewing Company Class B		2,390		89,960
Monster Beverage Corporation †		12,327		1,033,742
PepsiCo Incorporated		44,259		6,198,916
The Coca-Cola Company		103,700		5,136,261
				14,769,863
Food & Staples Retailing: 1.69%
BJ’s Wholesale Club Holdings Incorporated †		1,932		85,800
Casey’s General Stores Incorporated		503		89,459
Costco Wholesale Corporation		14,023		4,875,236
Performance Food Group Company †		1,651		60,278
Sprouts Farmers Market Incorporated †		30,680		716,378
Sysco Corporation		6,420		386,099
The Kroger Company		62,397		2,226,325
US Foods Holding Corporation †		2,688		65,453
Walgreens Boots Alliance Incorporated		9,753		370,809
Walmart Incorporated		44,468		6,174,382
				15,050,219

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

6  |  Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Food Products: 1.39%
Archer Daniels Midland Company		24,447	$	1,094,248
Beyond Meat Incorporated †		495		67,246
Bunge Limited		1,790		81,660
Campbell Soup Company		21,709		1,142,110
ConAgra Foods Incorporated		19,742		757,303
Darling Ingredients Incorporated †		2,155		68,895
Flowers Foods Incorporated		7,686		188,000
Freshpet Incorporated †		505		57,368
General Mills Incorporated		19,986		1,278,105
Hain Celestial Group Incorporated †		28,900		947,631
Hormel Foods Corporation		10,579		539,317
Ingredion Incorporated		10,244		824,027
Kellogg Company		14,682		1,041,101
Lamb Weston Holdings Incorporated		1,750		109,988
Lancaster Colony Corporation		248		44,075
McCormick & Company Incorporated		1,690		348,478
Mondelez International Incorporated Class A		26,637		1,556,134
Pilgrim’s Pride Corporation †		26,497		423,952
Post Holdings Incorporated †		1,285		113,106
Sanderson Farms Incorporated		275		32,164
The Hershey Company		2,043		303,672
The J.M. Smucker Company		1,566		188,202
The Kraft Heinz Company		8,137		285,120
TreeHouse Foods Incorporated †		10,160		434,950
Tyson Foods Incorporated Class A		6,622		415,862
				12,342,714
Household Products: 1.79%
Church & Dwight Company Incorporated		3,314		317,581
Colgate-Palmolive Company		17,548		1,390,854
Energizer Holdings Incorporated		10,770		498,543
Kimberly-Clark Corporation		11,640		1,836,326
Spectrum Brands Holdings Incorporated		11,177		666,149
The Clorox Company		5,074		1,134,039
The Procter & Gamble Company		73,172		10,121,883
				15,965,375
Personal Products: 0.19%
Herbalife Nutrition Limited †		14,044		690,263
NU Skin Enterprises Incorporated Class A		8,130		384,305
The Estee Lauder Companies Incorporated Class A		2,672		592,436
				1,667,004
Tobacco: 0.72%
Altria Group Incorporated		54,550		2,386,017
Philip Morris International Incorporated		50,128		3,999,713
				6,385,730
Energy: 2.06%
Energy Equipment & Services: 0.21%
Baker Hughes Incorporated		42,406		605,558
Halliburton Company		33,799		546,868
Helmerich & Payne Incorporated		793		13,069
Nabors Industries		73		2,919

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

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio  |  7

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Energy Equipment & Services (continued)
National Oilwell Varco Incorporated		30,529	$	366,348
Schlumberger Limited		18,507		351,818
				1,886,580
Oil, Gas & Consumable Fuels: 1.85%
Antero Midstream Corporation		130,919		886,322
Apache Corporation		29,674		439,175
Cabot Oil & Gas Corporation		16,387		310,861
Cheniere Energy Incorporated †		4,376		227,771
Chevron Corporation		31,447		2,639,347
Cimarex Energy Company		13,483		374,558
Concho Resources Incorporated		3,919		203,710
ConocoPhillips		14,738		558,423
Devon Energy Corporation		50,434		548,218
EQT Corporation		20,220		320,891
Equitrans Midstream Corporation		11,926		122,599
Exxon Mobil Corporation		114,186		4,560,589
HollyFrontier Corporation		5,149		122,907
Marathon Oil Corporation		13,586		71,734
Marathon Petroleum Corporation		35,704		1,266,064
Murphy Oil Corporation		955		13,122
Occidental Petroleum Corporation		8,118		103,423
ONEOK Incorporated		3,482		95,685
Parsley Energy Incorporated Class A		5,137		55,223
Phillips 66		38,751		2,265,771
Pioneer Natural Resources Company		2,039		211,913
The Williams Companies Incorporated		3,193		66,287
Valero Energy Corporation		18,695		983,170
				16,447,763
Financials: 8.71%
Banks: 2.07%
Associated Banc Corporation		495		6,653
Bank of America Corporation		128,443		3,306,123
Bank of Hawaii Corporation		1,312		72,212
Bank OZK		23,695		545,933
BOK Financial Corporation		575		32,281
Citigroup Incorporated		33,373		1,706,028
Citizens Financial Group Incorporated		8,998		232,778
Comerica Incorporated		1,674		66,173
Commerce Bancshares Incorporated		8,488		505,630
Community Bank System Incorporated		702		42,239
Cullen Frost Bankers Incorporated		1,447		100,509
CVB Financial Corporation		1,755		31,959
East West Bancorp Incorporated		13,150		483,657
Fifth Third Bancorp		22,145		457,516
First Financial Bankshares Incorporated		1,853		56,100
First Hawaiian Incorporated		1,643		27,159
First Horizon National Corporation		12,480		119,184
First Republic Bank		2,337		263,871
FNB Corporation		4,193		31,448
Glacier Bancorp Incorporated		1,311		45,996
Huntington Bancshares Incorporated		11,902		111,998
JPMorgan Chase & Company		51,807		5,190,543
KeyCorp		13,944		171,790

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

8  |  Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Banks (continued)
M&T Bank Corporation		1,571	$	162,221
PacWest Bancorp		4,126		78,724
People’s United Financial Incorporated		5,138		54,360
Pinnacle Financial Partners Incorporated		935		37,353
PNC Financial Services Group Incorporated		9,555		1,062,516
Popular Incorporated		1,243		46,041
Prosperity Bancshares Incorporated		119		6,488
Regions Financial Corporation		51,435		594,589
Signature Bank		3,851		373,663
Sterling Bancorp		3,674		42,876
SVB Financial Group †		1,184		302,370
Synovus Financial Corporation		6,757		147,776
TCF Financial Corporation		4,374		117,573
Truist Financial Corporation		3,993		154,968
UMB Financial Corporation		579		31,104
Umpqua Holdings Corporation		35,974		405,787
United Bankshares Incorporated		1,409		36,831
US Bancorp		16,923		615,997
Valley National Bancorp		5,127		38,504
Webster Financial Corporation		3,005		82,638
Western Alliance Bancorp		5,454		192,526
Wintrust Financial Corporation		921		40,082
Zions Bancorporation		7,113		228,754
				18,461,521
Capital Markets: 2.51%
Affiliated Managers Group Incorporated		10,833		743,685
Ameriprise Financial Incorporated		4,994		783,059
Apollo Global Management Incorporated		2,558		119,893
Ares Management Corporation Class A		8,202		331,771
Bank of New York Mellon Corporation		10,046		371,501
BlackRock Incorporated		3,101		1,842,583
Carlyle Group Incorporated		4,359		112,506
Cboe Global Markets Incorporated		8,198		752,494
Eaton Vance Corporation		6,795		278,731
Evercore Partners Incorporated Class A		3,981		246,344
FactSet Research Systems Incorporated		1,695		593,928
Franklin Resources Incorporated		3,200		67,392
Houlihan Lokey Incorporated		602		35,277
Interactive Brokers Group Incorporated Class A		964		51,111
Intercontinental Exchange Incorporated		8,345		886,489
Invesco Limited		4,525		46,155
KKR & Company Incorporated Class A		6,594		236,197
Lazard Limited Class A		1,236		39,144
LPL Financial Holdings Incorporated		13,237		1,087,552
MarketAxess Holdings Incorporated		721		350,363
Moody’s Corporation		5,477		1,613,743
Morgan Stanley		17,519		915,543
Morningstar Incorporated		303		48,525
MSCI Incorporated		2,718		1,014,548
Northern Trust Corporation		2,385		195,308
Raymond James Financial Incorporated		1,558		117,972
S&P Global Incorporated		8,820		3,231,824
SEI Investments Company		12,120		634,603
State Street Corporation		4,174		284,208
Stifel Financial Corporation		854		43,306

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

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio  |  9

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Capital Markets (continued)
T. Rowe Price Group Incorporated		12,176	$	1,695,021
TD Ameritrade Holding Corporation		3,174		121,818
The Blackstone Group Incorporated Class A		9,056		479,515
The Goldman Sachs Group Incorporated		8,076		1,654,530
The NASDAQ OMX Group Incorporated		7,648		1,028,044
Tradeweb Markets Incorporated Class A		3,226		184,818
VIRTU Financial Incorporated Class A		5,245		135,478
				22,374,979
Consumer Finance: 0.23%
Ally Financial Incorporated		4,283		97,995
American Express Company		6,600		670,494
Capital One Financial Corporation		444		30,649
Credit Acceptance Corporation †		110		42,548
FirstCash Financial Services Incorporated		514		30,712
Lending Tree Incorporated †		69		21,317
One Main Holdings Incorporated		2,787		81,046
SLM Corporation		58,671		448,246
Synchrony Financial		25,120		623,227
				2,046,234
Diversified Financial Services: 1.29%
Berkshire Hathaway Incorporated Class B †		45,969		10,023,081
Equitable Holdings Incorporated		52,999		1,123,049
Jefferies Financial Group Incorporated		5,735		100,592
Voya Financial Incorporated		4,681		242,991
				11,489,713
Insurance: 2.15%
AFLAC Incorporated		8,713		316,456
Alleghany Corporation		185		102,594
American Financial Group Incorporated		955		63,842
American International Group Incorporated		6,255		182,271
Aon plc Class A		3,128		625,569
Arch Capital Group Limited †		4,719		148,837
Arthur J. Gallagher & Company		5,626		592,418
Assurant Incorporated		9,021		1,096,593
Assured Guaranty Limited		1,717		36,830
Athene Holding Limited Class A †		9,210		336,718
Axis Capital Holdings Limited		985		47,044
Brown & Brown Incorporated		9,421		437,134
Chubb Limited		4,787		598,375
Cincinnati Financial Corporation		1,959		155,564
eHealth Incorporated †		398		25,122
Erie Indemnity Company Class A		335		71,502
Everest Reinsurance Group Limited		1,731		380,958
Fidelity National Financial Incorporated		3,446		113,132
First American Financial Corporation		6,152		323,411
Globe Life Incorporated		5,014		413,555
Kemper Corporation		1,766		137,148
Lincoln National Corporation		13,911		501,492
Loews Corporation		3,158		113,246
Markel Corporation †		166		180,414
Marsh & McLennan Companies Incorporated		18,597		2,136,981
MetLife Incorporated		24,962		960,039
Old Republic International Corporation		6,154		99,141

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

10  |  Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Insurance (continued)
Primerica Incorporated		3,498	$	436,725
Principal Financial Group Incorporated		10,980		462,368
Prudential Financial Incorporated		10,918		739,913
Reinsurance Group of America Incorporated		1,302		119,367
RLI Corporation		554		51,960
Selective Insurance Group Incorporated		799		47,788
The Allstate Corporation		19,048		1,771,464
The Hanover Insurance Group Incorporated		4,437		454,748
The Hartford Financial Services Group Incorporated		7,214		291,806
The Progressive Corporation		24,061		2,286,757
The Travelers Companies Incorporated		3,068		356,011
Unum Group		46,070		851,374
W.R. Berkley Corporation		2,216		137,503
White Mountains Insurance Group Limited		44		39,222
Willis Towers Watson plc		4,183		859,732
				19,103,124
Mortgage REITs: 0.43%
AGNC Investment Corporation		103,345		1,458,198
Annaly Capital Management Incorporated		152,378		1,119,978
Blackstone Mortgage Trust Incorporated Class A		1,600		38,032
New Residential Investment Corporation		135,775		1,050,899
Starwood Property Trust Incorporated		8,375		130,650
				3,797,757
Thrifts & Mortgage Finance: 0.03%
Essent Group Limited		1,113		39,734
MGIC Investment Corporation		10,450		95,827
New York Community Bancorp Incorporated		9,651		87,342
Radian Group Incorporated		2,569		39,665
				262,568
Health Care: 15.77%
Biotechnology: 3.27%
AbbVie Incorporated		63,122		6,045,194
ACADIA Pharmaceuticals Incorporated †		7,956		314,978
Acceleron Pharma Incorporated †		3,856		375,844
Alexion Pharmaceuticals Incorporated †		6,005		685,891
Alkermes plc †		12,039		199,125
Amgen Incorporated		22,559		5,714,646
Biogen Incorporated †		6,338		1,823,062
BioMarin Pharmaceutical Incorporated †		5,692		444,147
Emergent BioSolutions Incorporated †		710		80,976
Exelixis Incorporated †		12,536		278,550
Gilead Sciences Incorporated		55,303		3,691,475
Halozyme Therapeutics Incorporated †		1,898		55,033
Incyte Corporation †		8,593		827,936
Ionis Pharmaceuticals Incorporated †		2,273		123,879
Moderna Incorporated †		1,228		79,685
Natera Incorporated †		1,049		66,832
Neurocrine Biosciences Incorporated †		2,852		332,030
PTC Therapeutics Incorporated †		811		40,084
Regeneron Pharmaceuticals Incorporated †		3,998		2,478,480
Seattle Genetics Incorporated †		5,217		826,060

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

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio  |  11

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Biotechnology (continued)
United Therapeutics Corporation †		15,139	$	1,619,267
Vertex Pharmaceuticals Incorporated †		10,694		2,984,909
				29,088,083
Health Care Equipment & Supplies: 3.67%
Abbott Laboratories		55,789		6,107,222
ABIOMED Incorporated †		785		241,482
Align Technology Incorporated †		970		288,071
Baxter International Incorporated		14,801		1,288,723
Becton Dickinson & Company		8,180		1,985,859
Boston Scientific Corporation †		19,670		806,863
Danaher Corporation		15,598		3,220,519
Dentsply Sirona Incorporated		4,146		186,031
DexCom Incorporated †		3,331		1,417,041
Edwards Lifesciences Corporation †		17,934		1,539,455
Envista Holdings Corporation †		9,096		218,213
Globus Medical Incorporated Class A †		2,887		163,173
Haemonetics Corporation †		2,345		210,253
Hill-Rom Holdings Incorporated		2,987		280,151
Hologic Incorporated †		8,516		508,576
ICU Medical Incorporated †		284		56,868
IDEXX Laboratories Incorporated †		2,558		1,000,331
Insulet Corporation †		1,544		336,978
Integra LifeSciences Holdings Corporation †		1,016		48,555
Intuitive Surgical Incorporated †		1,047		765,189
iRhythm Technologies Incorporated †		394		86,751
LivaNova plc †		709		33,252
Masimo Corporation †		2,940		658,560
Medtronic plc		38,301		4,116,208
Neogen Corporation †		717		54,635
Nevro Corporation †		418		57,492
NuVasive Incorporated †		715		37,273
Penumbra Incorporated †		434		90,771
Quidel Corporation †		4,646		817,510
ResMed Incorporated		6,535		1,181,397
STERIS plc		2,652		423,365
Stryker Corporation		6,876		1,362,548
Tandem Diabetes Care Incorporated †		1,332		150,143
Teleflex Incorporated		644		253,060
The Cooper Companies Incorporated		776		243,959
Varian Medical Systems Incorporated †		1,258		218,477
West Pharmaceutical Services Incorporated		5,544		1,574,274
Wright Medical Group NV †		1,670		50,484
Zimmer Biomet Holdings Incorporated		4,381		617,195
				32,696,907
Health Care Providers & Services: 2.23%
Amedisys Incorporated †		471		113,935
AmerisourceBergen Corporation		3,022		293,225
Anthem Incorporated		6,825		1,921,374
Cardinal Health Incorporated		6,078		308,519
Centene Corporation †		15,462		948,130
Chemed Corporation		222		114,798
Cigna Corporation		13,489		2,392,544
CVS Health Corporation		49,779		3,092,271
DaVita HealthCare Partners Incorporated †		9,724		843,654

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

12  |  Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Health Care Providers & Services (continued)
Encompass Health Corporation		1,403	$	91,532
HCA Healthcare Incorporated		3,689		500,671
Henry Schein Incorporated †		1,994		132,481
Humana Incorporated		5,063		2,102,006
LHC Group Incorporated †		410		85,460
McKesson Corporation		2,269		348,155
Molina Healthcare Incorporated †		6,700		1,239,299
Quest Diagnostics Incorporated		1,937		215,472
UnitedHealth Group Incorporated		15,955		4,986,735
Universal Health Services Incorporated Class B		1,096		120,944
				19,851,205
Health Care Technology: 0.38%
Cerner Corporation		18,911		1,387,500
Omnicell Incorporated †		573		38,208
Teladoc Incorporated †		5,053		1,089,882
Veeva Systems Incorporated Class A †		2,938		829,309
				3,344,899
Life Sciences Tools & Services: 1.40%
Agilent Technologies Incorporated		11,989		1,203,935
Avantor Incorporated †		27,634		623,699
Bio-Rad Laboratories Incorporated Class A †		617		313,800
Bio-Techne Corporation		542		138,459
Bruker Corporation		1,443		60,635
Charles River Laboratories International Incorporated †		2,149		470,524
Illumina Incorporated †		666		237,909
IQVIA Holdings Incorporated †		5,252		860,015
Mettler-Toledo International Incorporated †		408		396,078
Neogenomics Incorporated †		1,320		51,414
PerkinElmer Incorporated		2,538		298,773
PPD Incorporated †		533		18,303
PRA Health Sciences Incorporated †		6,976		745,804
Qiagen N.V. †		3,025		154,154
Repligen Corporation †		711		110,141
Syneos Health Incorporated †		12,243		772,533
Thermo Fisher Scientific Incorporated		12,443		5,337,798
Waters Corporation †		2,919		631,263
				12,425,237
Pharmaceuticals: 4.82%
Bristol-Myers Squibb Company		83,681		5,204,958
Catalent Incorporated †		2,578		238,465
Elanco Animal Health Incorporated †		5,068		147,276
Eli Lilly & Company		31,063		4,609,439
Horizon Therapeutics plc †		12,996		976,260
Jazz Pharmaceuticals plc †		4,021		540,382
Johnson & Johnson		86,302		13,239,590
Merck & Company Incorporated		81,559		6,954,536
Mylan NV †		63,697		1,043,357
Perrigo Company plc		14,435		754,951
Pfizer Incorporated		172,630		6,523,688
Zoetis Incorporated		16,694		2,672,709
				42,905,611

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

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio  |  13

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Industrials: 9.17%
Aerospace & Defense: 1.77%
Aerojet Rocketdyne Holdings Incorporated †		1,030	$	42,611
Axon Enterprise Incorporated †		954		81,739
BWX Technologies Incorporated		18,375		1,021,834
Curtiss-Wright Corporation		3,402		348,093
General Dynamics Corporation		6,094		910,139
HEICO Corporation		508		55,839
Hexcel Corporation		930		36,633
Howmet Aerospace Incorporated		12,990		227,585
Huntington Ingalls Industries Incorporated		5,540		839,421
L3Harris Technologies Incorporated		5,476		989,732
Lockheed Martin Corporation		10,470		4,086,022
Mercury Computer Systems Incorporated †		1,933		146,405
Northrop Grumman Corporation		6,690		2,292,061
Raytheon Technologies Corporation		48,485		2,957,585
Teledyne Technologies Incorporated †		3,479		1,091,049
Textron Incorporated		2,700		106,461
The Boeing Company		655		112,542
TransDigm Group Incorporated		726		362,760
				15,708,511
Air Freight & Logistics: 0.58%
C.H. Robinson Worldwide Incorporated		8,542		839,679
Expeditors International of Washington Incorporated		10,957		968,489
United Parcel Service Incorporated Class B		18,273		2,989,828
XPO Logistics Incorporated †		4,348		383,798
				5,181,794
Airlines: 0.22%
Alaska Air Group Incorporated		14,586		568,125
American Airlines Group Incorporated		3,117		40,677
Copa Holdings SA Class A		6,733		358,532
Delta Air Lines Incorporated		6,253		192,905
JetBlue Airways Corporation †		25,739		296,513
Southwest Airlines Company		11,147		418,904
United Airlines Holdings Incorporated †		2,635		94,860
				1,970,516
Building Products: 0.54%
A.O. Smith Corporation		6,094		298,423
Allegion plc		1,169		120,863
Armstrong World Industries Incorporated		616		45,424
Carrier Global Corporation		26,809		800,249
Fortune Brands Home & Security Incorporated		6,464		543,493
Johnson Controls International plc		9,123		371,580
Lennox International Incorporated		478		133,998
Masco Corporation		20,908		1,218,936
Owens Corning Incorporated		7,423		502,092
Simpson Manufacturing Company Incorporated		589		57,922
Trane Technologies plc		3,117		369,022
Trex Company Incorporated †		2,438		364,457
				4,826,459

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

14  |  Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Commercial Services & Supplies: 0.38%
ADT Incorporated		48,611	$	517,707
Cintas Corporation		1,114		371,229
Clean Harbors Incorporated †		1,054		64,399
Copart Incorporated †		2,891		298,698
IAA Incorporated †		1,736		90,828
MSA Safety Incorporated		4,413		555,817
Republic Services Incorporated		4,429		410,657
Rollins Incorporated		1,970		108,626
Stericycle Incorporated †		3,106		199,126
Tetra Tech Incorporated		749		69,140
The Brink’s Company		544		26,308
Waste Management Incorporated		5,729		653,106
				3,365,641
Construction & Engineering: 0.08%
AECOM Technology Corporation †		8,799		347,648
EMCOR Group Incorporated		734		55,057
Jacobs Engineering Group Incorporated		1,817		164,021
Quanta Services Incorporated		2,874		147,293
				714,019
Electrical Equipment: 0.61%
Acuity Brands Incorporated		450		49,181
Eaton Corporation plc		9,944		1,015,282
Emerson Electric Company		13,322		925,479
Generac Holdings Incorporated †		7,059		1,341,069
GrafTech International Limited		15,440		102,830
Hubbell Incorporated		2,898		419,978
nVent Electric plc		1,995		38,144
Regal-Beloit Corporation		5,265		520,498
Rockwell Automation Incorporated		3,918		903,217
Sensata Technologies Holding plc †		1,959		81,573
				5,397,251
Industrial Conglomerates: 1.00%
3M Company		18,472		3,011,305
Carlisle Companies Incorporated		1,644		215,282
General Electric Company		255,123		1,617,480
Honeywell International Incorporated		21,775		3,604,851
Roper Technologies Incorporated		1,107		472,899
				8,921,817
Machinery: 1.86%
AGCO Corporation		2,075		147,533
Allison Transmission Holdings Incorporated		2,684		96,275
Caterpillar Incorporated		14,849		2,113,161
Colfax Corporation †		21,528		716,452
Crane Company		672		37,995
Cummins Incorporated		7,116		1,474,791
Deere & Company		5,922		1,243,975
Donaldson Company Incorporated		6,678		336,304
Dover Corporation		5,323		584,678
Flowserve Corporation		1,602		47,547
Graco Incorporated		2,152		124,859
IDEX Corporation		1,038		187,079

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

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio  |  15

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Machinery (continued)
Illinois Tool Works Incorporated		11,831	$	2,337,214
ITT Incorporated		1,476		92,708
John Bean Technologies Corporation		432		44,284
Lincoln Electric Holdings Incorporated		8,473		819,424
Nordson Corporation		2,051		382,491
Oshkosh Corporation		8,760		674,608
Otis Worldwide Corporation		16,350		1,028,415
PACCAR Incorporated		14,316		1,228,885
Parker-Hannifin Corporation		3,502		721,447
Pentair plc		6,762		305,237
Rexnord Corporation		1,643		47,581
Snap-on Incorporated		1,200		177,924
Stanley Black & Decker Incorporated		357		57,584
The Middleby Corporation †		917		89,774
The Timken Company		10,124		548,620
The Toro Company		2,988		224,937
Wabtec Corporation		5,690		378,670
Woodward Governor Company		1,038		88,946
Xylem Incorporated		2,419		193,955
				16,553,353
Marine: 0.00%
Kirby Corporation †		716		30,387
Professional Services: 0.54%
CoreLogic Incorporated		2,297		152,521
CoStar Group Incorporated †		459		389,507
Equifax Incorporated		1,437		241,804
Exponent Incorporated		690		55,514
FTI Consulting Incorporated †		7,327		840,847
IHS Markit Limited		4,767		380,979
ManpowerGroup Incorporated		15,762		1,155,512
Nielsen Holdings plc		6,497		99,274
Robert Half International Incorporated		16,089		855,935
TransUnion		2,435		211,163
Verisk Analytics Incorporated		2,249		419,821
				4,802,877
Road & Rail: 1.35%
AMERCO		159		56,428
CSX Corporation		3,990		305,075
J.B. Hunt Transport Services Incorporated		11,957		1,680,437
Kansas City Southern		2,855		519,724
Knight-Swift Transportation Holdings Incorporated		16,928		769,547
Landstar System Incorporated		15,269		2,032,151
Lyft Incorporated Class A †		2,366		70,199
Norfolk Southern Corporation		3,374		717,076
Old Dominion Freight Line Incorporated		9,128		1,845,499
Ryder System Incorporated		81		3,313
Schneider National Incorporated Class B		20,516		555,163
Union Pacific Corporation		17,671		3,400,607
				11,955,219
Trading Companies & Distributors: 0.24%
Fastenal Company		11,802		576,646
HD Supply Holdings Incorporated †		1,926		76,385

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

16  |  Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Trading Companies & Distributors (continued)
MSC Industrial Direct Company Class A		3,250	$	214,175
SiteOne Landscape Supply Incorporated †		544		68,027
United Rentals Incorporated †		153		27,089
Univar Incorporated †		25,099		456,551
W.W. Grainger Incorporated		1,025		374,566
Watsco Incorporated		1,474		361,115
				2,154,554
Information Technology: 24.10%
Communications Equipment: 0.78%
Acacia Communications Incorporated †		481		32,458
Arista Networks Incorporated †		745		166,470
Ciena Corporation †		18,464		1,048,201
Cisco Systems Incorporated		69,644		2,940,370
CommScope Holdings Incorporated †		2,804		28,881
F5 Networks Incorporated †		827		109,437
Juniper Networks Incorporated		14,470		361,750
Lumentum Holdings Incorporated †		8,897		765,142
Motorola Solutions Incorporated		2,928		453,108
Ubiquiti Incorporated		4,964		902,207
Viasat Incorporated †		1,063		42,265
Viavi Solutions Incorporated †		2,711		36,151
				6,886,440
Electronic Equipment, Instruments & Components: 0.94%
Amphenol Corporation Class A		3,899		428,110
Arrow Electronics Incorporated †		23,207		1,823,142
Avnet Incorporated		3,241		89,160
CDW Corporation of Delaware		7,548		857,830
Coherent Incorporated †		1,318		148,486
Dolby Laboratories Incorporated Class A		761		53,156
FLIR Systems Incorporated		3,023		111,549
II-VI Incorporated †		1,160		51,620
Jabil Circuit Incorporated		44,553		1,521,485
Keysight Technologies Incorporated †		3,394		334,377
Littelfuse Incorporated		306		55,337
National Instruments Corporation		1,585		56,886
SYNNEX Corporation		11,656		1,482,060
TE Connectivity Limited		4,509		435,569
Trimble Navigation Limited †		4,723		247,532
Zebra Technologies Corporation Class A †		2,444		700,279
				8,396,578
IT Services: 5.17%
Accenture plc Class A		21,025		5,044,528
Akamai Technologies Incorporated †		6,451		751,090
Alliance Data Systems Corporation		17,209		776,298
Amdocs Limited		11,159		683,266
Automatic Data Processing Incorporated		8,430		1,172,529
Black Knight Incorporated †		2,637		221,772
Booz Allen Hamilton Holding Corporation		16,294		1,434,850
Broadridge Financial Solutions Incorporated		1,487		204,314
CACI International Incorporated Class A †		6,731		1,576,333
Cognizant Technology Solutions Corporation Class A		18,633		1,245,802
DXC Technology Company		61,404		1,226,852

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

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio  |  17

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
IT Services (continued)
EPAM Systems Incorporated †		2,494	$	815,787
Euronet Worldwide Incorporated †		590		60,994
Fidelity National Information Services Incorporated		11,745		1,771,733
Fiserv Incorporated †		13,548		1,349,110
FleetCor Technologies Incorporated †		1,585		398,548
Gartner Incorporated †		1,159		150,461
Genpact Limited		3,815		160,917
GoDaddy Incorporated Class A †		4,765		398,735
International Business Machines Corporation		27,225		3,357,115
Jack Henry & Associates Incorporated		6,427		1,063,154
KBR Incorporated		1,782		44,532
Leidos Holdings Incorporated		19,352		1,751,162
MasterCard Incorporated Class A		13,790		4,939,440
MAXIMUS Incorporated		866		67,158
Paychex Incorporated		12,778		977,134
PayPal Holdings Incorporated †		17,872		3,648,390
Perspecta Incorporated		1,606		33,357
Science Applications International Corporation		20,181		1,684,306
Square Incorporated Class A †		6,412		1,023,099
Switch Incorporated Class A		8,188		140,834
The Western Union Company		51,672		1,218,942
VeriSign Incorporated †		2,881		618,839
Visa Incorporated Class A		28,183		5,974,514
WEX Incorporated †		173		27,630
				46,013,525
Semiconductors & Semiconductor Equipment: 4.38%
Advanced Micro Devices Incorporated †		45,001		4,086,991
Analog Devices Incorporated		352		41,142
Applied Materials Incorporated		33,048		2,035,757
Broadcom Incorporated		4,840		1,680,206
Brooks Automation Incorporated		953		49,203
Cabot Microelectronics Corporation		400		60,916
Cirrus Logic Incorporated †		13,372		810,209
Enphase Energy Incorporated †		3,874		299,189
Entegris Incorporated		7,044		471,173
First Solar Incorporated †		1,297		99,337
Inphi Corporation †		3,893		443,724
Intel Corporation		142,607		7,265,827
KLA Corporation		8,560		1,755,998
Lam Research Corporation		6,516		2,191,591
Lattice Semiconductor Corporation †		1,657		47,390
Maxim Integrated Products Incorporated		3,510		240,224
Microchip Technology Incorporated		1,932		211,940
Micron Technology Incorporated †		24,888		1,132,653
MKS Instruments Incorporated		5,664		677,018
Monolithic Power Systems Incorporated		1,416		378,256
NVIDIA Corporation		11,374		6,084,863
ON Semiconductor Corporation †		4,600		98,302
Power Integrations Incorporated		723		40,466
Qorvo Incorporated †		4,845		621,468
QUALCOMM Incorporated		20,879		2,486,689
Semtech Corporation †		917		53,782
Silicon Laboratories Incorporated †		540		55,301
Skyworks Solutions Incorporated		7,349		1,064,503
Solaredge Technologies Incorporated †		908		200,804

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

18  |  Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Semiconductors & Semiconductor Equipment (continued)
Teradyne Incorporated		8,447	$	717,742
Texas Instruments Incorporated		25,287		3,594,547
				38,997,211
Software: 8.15%
2U Incorporated †		3,498		144,782
ACI Worldwide Incorporated †		1,563		45,921
Adobe Incorporated †		9,321		4,785,308
ANSYS Incorporated †		2,655		900,072
Aspen Technology Incorporated †		946		120,170
Atlassian Corporation plc Class A †		1,185		227,236
Autodesk Incorporated †		3,258		800,491
Avalara Incorporated †		987		130,689
Blackbaud Incorporated		659		42,077
BlackLine Incorporated †		654		57,140
Cadence Design Systems Incorporated †		8,933		990,759
CDK Global Incorporated		20,854		972,213
Citrix Systems Incorporated		12,335		1,791,042
Cloudflare Incorporated Class A †		2,699		103,264
DocuSign Incorporated †		8,175		1,823,025
Dropbox Incorporated Class A †		9,517		201,475
Envestnet Incorporated †		662		54,939
Everbridge Incorporated †		773		114,876
Fair Isaac Corporation †		1,383		581,953
FireEye Incorporated †		2,918		42,836
Five9 Incorporated †		7,055		899,089
Fortinet Incorporated †		9,672		1,276,752
Globant SA †		2,353		417,846
Guidewire Software Incorporated †		1,076		120,846
Intuit Incorporated		8,200		2,832,198
J2 Global Incorporated †		636		44,514
LogMeIn Incorporated		12,501		1,075,586
Manhattan Associates Incorporated †		12,429		1,208,720
Microsoft Corporation		141,688		31,954,895
New Relic Incorporated †		895		54,980
NortonLifeLock Incorporated		88,947		2,092,033
Nuance Communications Incorporated		45,876		1,374,445
Nutanix Incorporated Class A †		5,902		169,446
Oracle Corporation		66,425		3,800,839
Palo Alto Networks Incorporated †		1,734		446,349
Pegasystems Incorporated		1,658		213,003
Proofpoint Incorporated †		797		87,407
PTC Incorporated †		1,392		127,243
Q2 Holdings Incorporated †		604		58,763
Qualys Incorporated †		481		51,053
RealPage Incorporated †		1,124		70,385
RingCentral Incorporated Class A †		3,028		880,452
Salesforce.com Incorporated †		12,255		3,341,326
ServiceNow Incorporated †		2,956		1,424,851
Splunk Incorporated †		1,449		317,809
SS&C Technologies Holdings Incorporated		15,216		969,564
Synopsys Incorporated †		5,980		1,323,374
Teradata Corporation †		3,510		85,469
Tyler Technologies Incorporated †		3,018		1,042,146
Verint Systems Incorporated †		885		42,091

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

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio  |  19

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Software (continued)
VMware Incorporated Class A †		1,188	$	171,595
Zoom Video Communications Incorporated †		1,842		598,834
				72,504,171
Technology Hardware, Storage & Peripherals: 4.68%
Apple Incorporated		304,528		39,296,293
Dell Technologies Incorporated †		3,333		220,245
Hewlett Packard Enterprise Company		16,273		157,360
HP Incorporated		55,845		1,091,770
NCR Corporation †		1,626		33,235
NetApp Incorporated		2,948		139,706
Seagate Technology plc		3,064		147,041
Western Digital Corporation		13,080		502,534
Xerox Holdings Corporation		2,165		40,832
				41,629,016
Materials: 2.81%
Chemicals: 1.83%
Air Products & Chemicals Incorporated		4,790		1,399,925
Albemarle Corporation		1,886		171,645
Ashland Global Holdings Incorporated		801		59,026
Axalta Coating Systems Limited †		2,872		68,497
Balchem Corporation		471		46,017
Cabot Corporation		16,168		598,378
Celanese Corporation Series A		3,314		335,211
CF Industries Holdings Incorporated		3,770		123,015
Corteva Incorporated		25,038		714,835
Dow Incorporated		22,020		993,542
DuPont de Nemours Incorporated		5,591		311,754
Eastman Chemical Company		6,717		491,080
Ecolab Incorporated		4,576		901,838
Element Solutions Incorporated †		37,161		399,481
FMC Corporation		7,683		821,005
Huntsman Corporation		13,176		284,865
International Flavors & Fragrances Incorporated		1,481		183,333
Linde plc		7,862		1,963,456
LyondellBasell Industries NV Class A		11,384		745,424
NewMarket Corporation		128		47,679
Olin Corporation		2,958		33,278
PPG Industries Incorporated		3,781		455,232
RPM International Incorporated		8,897		754,199
Scotts Miracle-Gro Company Class A		5,318		896,243
The Chemours Company		49,965		1,032,277
The Mosaic Company		4,564		83,202
The Sherwin-Williams Company		3,256		2,184,939
Valvoline Incorporated		8,213		167,545
W.R. Grace & Company		902		36,720
				16,303,641
Construction Materials: 0.08%
Eagle Materials Incorporated		2,688		219,798
Martin Marietta Materials Incorporated		1,491		302,479
Vulcan Materials Company		1,669		200,280
				722,557

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

20  |  Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Containers & Packaging: 0.45%
AptarGroup Incorporated		897	$	106,196
Avery Dennison Corporation		1,088		125,544
Ball Corporation		6,539		525,539
Berry Global Group Incorporated †		1,825		94,061
Crown Holdings Incorporated †		11,161		857,723
Graphic Packaging Holding Company		47,028		657,451
International Paper Company		5,032		182,511
Packaging Corporation of America		4,550		460,642
Sealed Air Corporation		3,295		129,494
Silgan Holdings Incorporated		17,319		659,161
Sonoco Products Company		1,370		72,651
WestRock Company		3,398		103,061
				3,974,034
Metals & Mining: 0.45%
Freeport-McMoRan Incorporated		9,189		143,440
Newmont Corporation		16,016		1,077,556
Nucor Corporation		8,756		398,048
Reliance Steel & Aluminum Company		13,481		1,413,752
Royal Gold Incorporated		957		130,458
Steel Dynamics Incorporated		27,785		820,213
				3,983,467
Real Estate: 3.68%
Equity REITs: 3.49%
Agree Realty Corporation		597		39,951
Alexandria Real Estate Equities Incorporated		1,989		334,908
American Campus Communities Incorporated		1,607		54,477
American Homes 4 Rent Class A		11,711		335,403
American Tower Corporation		16,164		4,027,261
Americold Realty Trust		13,234		507,524
Apartment Investment & Management Company Class A		1,818		65,503
AvalonBay Communities Incorporated		1,751		276,763
Boston Properties Incorporated		1,660		144,204
Brandywine Realty Trust		1,800		20,034
Brixmor Property Group Incorporated		13,239		156,220
Brookfield Property REIT Incorporated Class A		14,961		172,500
Camden Property Trust		1,211		110,128
CoreSite Realty Corporation		4,611		564,617
Corporate Office Properties Trust		18,688		460,472
Cousins Properties Incorporated		1,865		55,670
Crown Castle International Corporation		17,291		2,822,756
CubeSmart		4,028		127,365
CyrusOne Incorporated		7,396		617,788
Digital Realty Trust Incorporated		7,334		1,141,537
Douglas Emmett Incorporated		3,171		88,534
Duke Realty Corporation		15,205		586,153
EastGroup Properties Incorporated		485		64,583
Equinix Incorporated		4,177		3,298,911
Equity Commonwealth		5,579		175,125
Equity Lifestyle Properties Incorporated		8,041		533,038
Equity Residential		4,586		258,880
Essex Property Trust Incorporated		846		183,167
Extra Space Storage Incorporated		1,673		178,258
Federal Realty Investment Trust		1,333		105,627

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

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio  |  21

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Equity REITs (continued)
First Industrial Realty Trust Incorporated		4,164	$	177,595
Gaming and Leisure Properties Incorporated		18,920		687,742
Healthcare Realty Trust Incorporated		1,716		49,507
Healthcare Trust of America Incorporated Class A		4,198		110,785
Healthpeak Properties Incorporated		5,985		165,425
Highwoods Properties Incorporated		8,858		330,049
Host Hotels & Resorts Incorporated		8,595		96,522
Hudson Pacific Properties Incorporated		1,825		42,851
Invitation Homes Incorporated		12,055		345,135
Iron Mountain Incorporated		18,050		543,125
JBG Smith Properties		1,597		44,189
Kilroy Realty Corporation		1,318		77,129
Kimco Realty Corporation		10,853		130,127
Lamar Advertising Company Class A		7,562		523,517
Lexington Corporate Properties Trust		3,099		35,236
Life Storage Incorporated		4,281		451,346
Medical Properties Trust Incorporated		14,862		276,136
MGM Growth Properties LLC Class A		1,683		47,242
Mid-America Apartment Communities Incorporated		4,609		539,806
National Health Investors Incorporated		533		33,179
National Retail Properties Incorporated		1,979		70,136
Omega Healthcare Investors Incorporated		7,116		220,383
Outfront Media Incorporated		2,084		35,282
Physicians Realty Trust		2,557		46,410
Prologis Incorporated		19,297		1,965,592
PS Business Parks Incorporated		264		33,317
Public Storage Incorporated		3,130		664,812
QTS Realty Trust Incorporated Class A		813		55,138
Rayonier Incorporated		7,280		213,158
Realty Income Corporation		4,143		256,990
Regency Centers Corporation		1,945		77,236
Rexford Industrial Realty Incorporated		1,462		70,147
Sabra Health Care REIT Incorporated		2,425		35,963
SBA Communications Corporation		6,380		1,952,727
Simon Property Group Incorporated		3,060		207,621
SL Green Realty Corporation		820		38,343
Spirit Realty Capital Incorporated REIT		1,097		38,954
STAG Industrial Incorporated		1,885		60,886
STORE Capital Corporation		3,703		100,129
Sun Communities Incorporated		1,485		221,384
Taubman Centers Incorporated		1,129		43,241
Terreno Realty Corporation		840		50,098
UDR Incorporated		3,619		125,977
Ventas Incorporated		4,335		178,645
VEREIT Incorporated		18,202		122,317
VICI Properties Incorporated		7,624		170,320
Vornado Realty Trust		2,064		73,953
Weingarten Realty Investors		346		6,045
Welltower Incorporated		7,620		438,302
Weyerhaeuser Company		36,911		1,118,772
WP Carey Incorporated		1,944		134,855
				31,041,133
Real Estate Management & Development: 0.19%
CBRE Group Incorporated Class A †		23,425		1,101,678
Jones Lang LaSalle Incorporated		6,083		626,792
				1,728,470

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

22  |  Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Utilities: 2.99%
Electric Utilities: 1.73%
ALLETE Incorporated		704	$	37,988
Alliant Energy Corporation		5,379		291,273
American Electric Power Company Incorporated		13,140		1,035,826
Avangrid Incorporated		787		37,807
Duke Energy Corporation		19,037		1,529,433
Edison International		4,959		260,248
Entergy Corporation		5,297		525,145
Evergy Incorporated		8,486		451,625
Eversource Energy		10,244		878,013
Exelon Corporation		13,947		514,784
FirstEnergy Corporation		19,955		570,513
Hawaiian Electric Industries Incorporated		2,365		81,853
IDACORP Incorporated		720		64,728
NextEra Energy Incorporated		15,226		4,250,642
NRG Energy Incorporated		26,810		922,532
OGE Energy Corporation		4,143		131,996
PG&E Corporation †		18,370		170,106
Pinnacle West Capital Corporation		2,348		172,226
PNM Resources Incorporated		1,114		48,660
Portland General Electric Company		1,267		48,336
PPL Corporation		22,748		628,527
The Southern Company		31,493		1,643,305
Xcel Energy Incorporated		15,497		1,076,654
				15,372,220
Gas Utilities: 0.09%
Atmos Energy Corporation		3,851		384,407
National Fuel Gas Company		1,712		78,136
New Jersey Resources Corporation		1,399		42,166
ONE Gas Incorporated		753		55,812
South Jersey Industries Incorporated		1,385		30,678
Southwest Gas Holdings Incorporated		754		47,404
Spire Incorporated		709		41,271
UGI Corporation		2,804		96,822
				776,696
Independent Power & Renewable Electricity Producers: 0.08%
AES Corporation		13,254		235,259
Nextera Energy Partners LP		900		54,288
Vistra Energy Corporation		23,483		451,578
				741,125
Multi-Utilities: 0.95%
Ameren Corporation		8,585		679,159
Avista Corporation		951		35,054
Black Hills Corporation		896		50,248
CenterPoint Energy Incorporated		17,800		357,246
CMS Energy Corporation		8,825		533,824
Consolidated Edison Incorporated		6,793		484,613
Dominion Energy Incorporated		27,725		2,174,749
DTE Energy Company		2,598		308,305
MDU Resources Group Incorporated		37,558		887,120
NiSource Incorporated		7,984		176,925
Northwestern Corporation		719		37,129

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

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio  |  23

Portfolio of investments—August 31, 2020 (unaudited)

						Shares		Value
Multi-Utilities (continued)
Public Service Enterprise Group Incorporated							10,651	$	556,408
Sempra Energy							8,382		1,036,434
WEC Energy Group Incorporated							12,411		1,167,627
									8,484,841
Water Utilities: 0.14%
American States Water Company							520		39,562
American Water Works Company Incorporated							7,140		1,009,168
Essential Utilities Incorporated							4,494		190,995
									1,239,725
Total Common Stocks (Cost $691,929,006)									876,455,900
				Expiration date
Warrants: 0.00%
Energy: 0.00%
Oil, Gas & Consumable Fuels: 0.00%
Occidental Petroleum Corporation †					8-3-2027		2,463		7,266
Total Warrants (Cost $12,192)									7,266
	Yield
Short-Term Investments: 1.19%
Investment Companies: 1.19%
Wells Fargo Government Money Market Fund Select Class (l)(u)		0.06	%				10,590,725		10,590,725
Total Short-Term Investments (Cost $10,590,725)									10,590,725

Total investments in securities (Cost $702,531,923)	99.68	%		887,053,891
Other assets and liabilities, net	0.32			2,826,236
Total net assets	100.00	%	$	889,880,127

† 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		69		9-18-2020	$	11,984,458	$	12,071,205	$	86,747	$	0

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

24  |  Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (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:

	Value, beginning of period		Purchases		Sales proceeds			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	$	37,548,710	$	221,692,997	$	(248,650,982	)	$	0	$	0	$	44,039	$	10,590,725		1.19	%

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

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio  |  25

Statement of assets and liabilities—August 31, 2020 (unaudited)

Assets
Investments in unaffiliated securities, at value (cost $ 691,941,198)	$	876,463,166
Investments in affiliated securities, at value (cost $ 10,590,725)		10,590,725
Cash		1,075,711
Segregated cash for futures contracts		1,795,600
Receivable for dividends		1,497,508
Prepaid expenses and other assets		5,808
Total assets		891,428,518
Liabilities
Payable for daily variation margin on open futures contracts		46,030
Due to broker		1,075,711
Advisory fee payable		263,479
Custody and accounting fees payable		137,496
Trustees’ fees and expenses payable		1,876
Accrued expenses and other liabilities		23,799
Total liabilities		1,548,391
Total net assets	$	889,880,127

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

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Statement of operations—six months ended August 31, 2020 (unaudited)

Investment income
Dividends (net of foreign withholding taxes of $101,960)	$	9,610,350
Income from affiliated securities		44,039
Interest		6,160
Total investment income		9,660,549
Expenses
Advisory fee		445,118
Custody and accounting fees		35,637
Professional fees		22,498
Trustees’ fees and expenses		9,898
Shareholder report expenses		3,751
Other fees and expenses		12,424
Total expenses		529,326
Less: Fee waivers and/or expense reimbursements		(62,717	)
Net expenses		466,609
Net investment income		9,193,940
Realized and unrealized gains (losses) on investments
Net realized gains (losses) on
Unaffiliated securities		38,066,738
Futures contracts		(2,414,438	)
Net realized gains on investments		35,652,300
Net change in unrealized gains (losses) on
Unaffiliated securities		43,832,809
Futures contracts		5,894,150
Net change in unrealized gains (losses) on investments		49,726,959
Net realized and unrealized gains (losses) on investments		85,379,259
Net increase in net assets resulting from operations	$	94,573,199

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

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio  |  27

Statement of changes in net assets

	Six months ended August 31, 2020 (unaudited)			Year ended February 29, 2020
Operations
Net investment income	$	9,193,940		$	23,966,798
Net realized gains on investments		35,652,300			81,060,499
Net change in unrealized gains (losses) on investments		49,726,959			(45,841,488	)
Net increase in net assets resulting from operations		94,573,199			59,185,809
Capital transactions
Transactions in investors’ beneficial interests
Contributions		132,502,122			30,265,251
Withdrawals		(298,624,803	)		(301,569,041	)
Net decrease in net assets resulting from capital transactions		(166,122,681	)		(271,303,790	)
Total decrease in net assets		(71,549,482	)		(212,117,981	)
Net assets
Beginning of period		961,429,609			1,173,547,590
End of period	$	889,880,127		$	961,429,609

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

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Financial highlights

	Six months ended August 31, 2020 (unaudited)			Year Ended February 29, 2020			Year ended February 28
							2019			20181
Total return2		11.10	%		4.00	%		7.60	%		11.92	%
Ratios to average net assets (annualized)
Gross expenses		0.12	%		0.12	%		0.12	%		0.12	%
Net expenses		0.10	%		0.11	%		0.11	%		0.12	%
Net investment income		2.07	%		2.10	%		2.09	%		1.94	%
Supplemental data
Portfolio turnover rate		44	%		25	%		23	%		75	%

¹  For the period from May 23, 2017 (commencement of operations) to February 28, 2018

²  Returns for periods of less than one year are not annualized.

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

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio  |  29

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 Factor Enhanced U.S. Large Cap Equity Portfolio (formerly, Wells Fargo Factor Enhanced Large Cap Portfolio) (the “Portfolio”) which is a diversified series of the Trust.

Interests in the Portfolio are available solely through private placement transactions that do not involve any “public offering” within the meaning of Section 4(2) of the Investment Company Act of 1933.

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 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.

Futures contracts

Futures contracts are agreements between the Portfolio and a counterparty to buy or sell a specific amount of a commodity, financial instrument or currency at a specified price and on a specified date. The Portfolio may buy and sell futures contracts in order to gain exposure to, or protect against, changes in security values and is subject to equity price risk. The primary risks associated with the use of futures contracts are the imperfect correlation between changes in market values of securities held by the Portfolio and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange. With futures contracts, there is minimal counterparty risk to the Portfolio since futures contracts are exchange traded and the exchange’s clearinghouse, as the counterparty to all exchange traded futures, guarantees the futures contracts against default.

Upon entering into 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 is recorded net of foreign taxes withheld where recovery of such taxes is not assured.

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Notes to financial statements (unaudited)

Federal and other taxes

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 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 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 August 31, 2020, the aggregate cost of all investments for federal income tax purposes was $693,686,329 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	204,632,214
Gross unrealized losses		(11,177,905	)
Net unrealized gains	$	193,454,309

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 August 31, 2020:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Common stocks
Communication services	$	99,346,185	$	0	$	0	$	99,346,185
Consumer discretionary		94,369,381		0		0		94,369,381
Consumer staples		66,180,905		0		0		66,180,905
Energy		18,334,343		0		0		18,334,343
Financials		77,535,896		0		0		77,535,896
Health care		140,311,942		0		0		140,311,942
Industrials		81,429,877		0		0		81,429,877
Information technology		214,579,462		0		0		214,579,462
Materials		24,983,699		0		0		24,983,699
Real estate		32,769,603		0		0		32,769,603
Utilities		26,614,607		0		0		26,614,607
Warrants
Energy		0		7,266		0		7,266
Short-term investments
Investment companies		10,590,725		0		0		10,590,725
		887,046,625		7,266		0		887,053,891
Futures contracts		86,747		0		0		86,747
Total assets	$	887,133,372	$	7,266	$	0	$	887,140,638

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio  |  31

Notes to financial statements (unaudited)

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.

For the six months ended August 31, 2020, 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 at the following annual rate based on the Portfolio’s average daily net assets:

Average daily net assets	Advisory fee
First $5 billion		0.10	%
Next $5 billion		0.08
Over $10 billion		0.06

For the six months ended August 31, 2020, the advisory fee was equivalent to an annual rate of 0.10% 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 0.06% and declining to 0.04% as the average daily net assets of the Portfolio increase.

Funds Management has voluntarily waived and/or reimbursed advisory fees to reduce 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 August 31, 2020 were $374,649,636 and $492,127,093, respectively.

6. DERIVATIVE TRANSACTIONS

During the six months ended August 31, 2020, the Portfolio entered into futures contracts to gain market exposure. The Portfolio had an average notional amount of $32,991,276 in long futures contracts during the six months ended August 31, 2020.

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

The Trust, along with Wells Fargo Variable Trust and Wells Fargo Funds Trust (excluding the money market funds), are parties to a $350,000,000 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)

For the six months ended August 31, 2020, there were no borrowings by the Portfolio under the agreement.

8. INDEMNIFICATION

Under the Portfolio’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 Portfolio. The Portfolio has entered into a separate agreement with each Trustee that converts indemnification rights currently existing under the Portfolio’s organizational documents into contractual rights that cannot be changed in the future without the consent of the Trustee. Additionally, in the normal course of business, the Portfolio may enter into contracts with service providers that contain a variety of indemnification clauses. The Portfolio’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 on fair value measurements in Topic 820, Fair Value Measurements. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has adopted this guidance which did not have a material impact on the financial statements.

10. CORONAVIRUS (COVID-19) PANDEMIC

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

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio  |  33

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 wfam.com, or visiting the SEC website at sec.gov. Information regarding how the proxies related to portfolio securities were voted during the most recent 12-month period ended June 30 is available on the website at wfam.com or by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS INFORMATION

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

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

Independent Trustees

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

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio  |  35

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

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

36  |  Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio

Other information (unaudited)

Officers

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

¹  Jeremy DePalma acts as Treasurer of 77 funds and Assistant Treasurer of 65 funds in the Fund Complex.

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

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio  |  37

Other information (unaudited)

BOARD CONSIDERATION OF INVESTMENT MANAGEMENT, ADVISORY AND SUB-ADVISORY AGREEMENTS:

Wells Fargo Emerging Markets Bond Fund, Wells Fargo High Yield Corporate Bond Fund, Wells Fargo International Government Bond Fund, Wells Fargo U.S. Core Bond Fund, Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, Wells Fargo Emerging Markets Bond Portfolio, Wells Fargo Factor Enhanced International Equity Portfolio, Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, Wells Fargo International Government Bond Portfolio, Wells Fargo Investment Grade Corporate Bond Portfolio, Wells Fargo High Yield Corporate Bond Portfolio, Wells Fargo Strategic Retirement Bond Portfolio, and Wells Fargo U.S. REIT Portfolio

Under the Investment Company Act of 1940 (the “1940 Act”), the Board of Trustees (each, a “Board” and collectively, the “Boards”) of each of Wells Fargo Funds Trust (“Funds Trust”) and Wells Fargo Master Trust (“Master Trust”) (collectively, the “Trusts”) must determine annually whether to approve the continuation of the Trusts’ investment management, advisory and sub-advisory agreements, as applicable. In this regard, at a meeting held on May 26, 2020 and May 28, 2020 (together, the “Meeting”), the Board of Funds Trust, all the members of which have no direct or indirect interest in the investment management agreement and are not “interested persons” of the Trusts, as defined in the 1940 Act (the “Independent Trustees”), reviewed and approved for each of the funds of Funds Trust identified in the table below (individually, an “Index Fund” and collectively, the “Index Funds”) an investment management agreement (the “Management Agreement”) with Wells Fargo Funds Management, LLC (“Funds Management”).

Index Funds

Wells Fargo Emerging Markets Bond Fund

Wells Fargo High Yield Corporate Bond Fund

Wells Fargo International Government Bond Fund

Wells Fargo U.S. Core Bond Fund

In addition, the Funds Trust Board reviewed and approved an investment sub-advisory agreement with Wells Capital Management Incorporated (“WellsCap”) for the U.S. Core Bond Fund (the “Core Bond Fund Sub-Advisory Agreement”).

At the Meeting, the Board of Master Trust, all the members of which have no direct or indirect interest in the investment advisory and sub-advisory agreements and are Independent Trustees, reviewed and approved for each of the portfolios of Master Trust identified in the table below (individually, a “Master Portfolio” and collectively, the “Master Portfolios”): (i) an investment advisory agreement (the “Master Portfolio Advisory Agreement”) with Funds Management; and (ii) an investment sub-advisory agreement (each, a “Master Portfolio Sub-Advisory Agreement”, and collectively, the “Master Portfolio Sub-Advisory Agreements”) with the sub-adviser(s) identified in the chart below (each, a “Sub-Adviser”, and collectively, the “Sub-Advisers”) for the corresponding Master Portfolio identified.

Master Portfolios	Sub-Advisers
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio	WellsCap
Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio	WellsCap
Wells Fargo Emerging Markets Bond Portfolio	Wells Fargo Asset Management (International), Limited (“WFAM International”)
Wells Fargo Factor Enhanced International Equity Portfolio	WellsCap
Wells Fargo Factor Enhanced U.S. Large Cap Portfolio	WellsCap
Wells Fargo Factor Enhanced U.S. Small Cap Portfolio	WellsCap
Wells Fargo International Government Bond Portfolio	WFAM International
Wells Fargo Investment Grade Corporate Bond Portfolio	WellsCap
Wells Fargo High Yield Corporate Bond Portfolio	WellsCap
Wells Fargo Strategic Retirement Bond Portfolio	WellsCap
Wells Fargo U.S. REIT Portfolio	WellsCap

38  |  Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio

Other information (unaudited)

The Index Funds and the Master Portfolios are collectively referred to as the “Funds.” The Management Agreement, the Core Bond Fund Sub-Advisory Agreement, the Master Portfolio Advisory Agreement and the Master Portfolio Sub-Advisory Agreements are collectively referred to as the “Advisory Agreements.”

The Boards noted that each of the Index Funds is a feeder fund that invests all of its assets in its corresponding Master Portfolio, with the exception of the U.S. Core Bond Fund, which invests in multiple Master Portfolios. Information provided to the Boards regarding the Index Funds is also applicable to the Master Portfolios identified above, as relevant.

At the Meeting, the Boards considered the factors and reached the conclusions described below relating to the selection of Funds Management and the Sub-Advisers and the approval of the Advisory Agreements. Prior to the Meeting, including at a Board meeting held in April 2020, the Trustees conferred extensively among themselves and with representatives of Funds Management about these matters. Also, the Boards have adopted a team-based approach, with each team consisting of a sub-set of Trustees, to assist the full Boards in the discharge of their duties in reviewing investment performance and other matters throughout the year. The Independent Trustees were assisted in their evaluation of the Advisory Agreements by independent legal counsel, from whom they received separate legal advice and with whom they met separately.

In providing information to the Boards, Funds Management and the Sub-Advisers were guided by a detailed set of requests for information submitted to them by independent legal counsel on behalf of the Independent Trustees at the start of the Boards’ annual contract renewal process earlier in 2020. In considering and approving the Advisory Agreements, the Trustees considered the information they believed relevant, including but not limited to the information discussed below. The Boards considered not only the specific information presented in connection with the Meeting, but also the knowledge gained over time through interaction with Funds Management and the Sub-Advisers about various topics. In this regard, the Boards reviewed reports of Funds Management at each of their quarterly meetings, which included, among other things, portfolio reviews and investment performance reports. In addition, the Boards and the teams mentioned above confer with portfolio managers at various times throughout the year. The Boards did not identify any particular information or consideration that was all-important or controlling, and each individual Trustee may have attributed different weights to various factors.

After its deliberations, the Board of Funds Trust unanimously approved the continuation of the Management Agreement and the Core Bond Fund Sub-Advisory Agreement for a one-year period. Additionally, after its deliberations, the Board of Master Trust unanimously approved the continuation of the Master Portfolio Advisory Agreement and each Master Portfolio Sub-Advisory Agreement for a one-year term. The Boards also determined that the compensation or the absence of compensation payable to Funds Management and to each of the Sub-Advisers under each of the Advisory Agreements was reasonable. The Boards considered the approval of the Advisory Agreements for the Funds as part of their consideration of agreements for funds across the complex, but their approvals were made on a fund-by-fund basis. The following summarizes a number of important, but not necessarily all, factors considered by the Boards in support of their approvals.

Nature, extent and quality of services

The Boards received and considered various information regarding the nature, extent and quality of services provided to the Funds by Funds Management and the Sub-Advisers under the Advisory Agreements. This information included a description of the investment advisory services and Fund-level administrative services covered by the Advisory Agreements, as well as, among other things, a summary of the background and experience of senior management of Wells Fargo Asset Management (“WFAM”), of which Funds Management and the Sub-Advisers are a part, and a summary of investments made in the business of WFAM. The Boards also received a description of Funds Management’s and the Sub-Advisers’ business continuity plans and of their approaches to data privacy and cybersecurity, and related testing. The Boards also received and reviewed information about Funds Management’s role as administrator of the Funds’ liquidity risk management program, Funds Management’s approach to risk management, and Funds Management’s intermediary and vendor oversight program.

The Boards also considered the qualifications, background, tenure and responsibilities of each of the portfolio managers primarily responsible for the day-to-day portfolio management of the Funds. The Board of Master Trust noted that each of the Master Portfolios replicates the performance of a proprietary index provided by an affiliate of Funds Management, except that the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Emerging Markets Bond Portfolio, and the Wells Fargo Strategic Retirement Bond Portfolio track the performance of third-party indexes. The Boards evaluated the ability of Funds Management and the Sub-Advisers to attract and retain qualified investment professionals, including research, advisory and supervisory personnel. The Boards further considered the compliance programs and compliance records of Funds Management and the Sub-Advisers. In addition, the Boards took into account the full range of services provided to the Funds by Funds Management and its affiliates.

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio  |  39

Other information (unaudited)

Fund investment performance and expenses

The Boards considered the investment performance results for each of the Master Portfolios for the one-year period ended December 31, 2019. The Boards also considered more current results for the one-year period ended March 31, 2020. The Boards considered these results in comparison to the investment performance of funds in a universe that was determined by Broadridge Inc. (“Broadridge”) to be similar to the respective Master Portfolios (each, a “Universe”), and in comparison to each Master Portfolio’s benchmark index and to other comparative data. Broadridge is an independent provider of investment company data. The Boards received a description of the methodology used by Broadridge to select the mutual funds in each performance Universe.

The Boards noted the short performance history of the Master Portfolios. For the one-year period ended December 31, 2019, the Boards noted that the investment performance of each Master Portfolio relative to its respective Universe was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio and the Wells Fargo Investment Grade Corporate Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective Universe; and (ii) the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo International Government Bond Portfolio, the Wells Fargo Strategic Retirement Bond Portfolio and the Wells Fargo U.S. REIT Portfolio was lower than the average investment performance of such Master Portfolio’s respective Universe. For the one-year period ended March 31, 2020, the Boards noted that the investment performance of each Master Portfolio relative to its respective Universe was as follows: (i) the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo International Government Bond Portfolio, and the Wells Fargo Investment Grade Corporate Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective Universe, and (ii) the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio, the Wells Fargo Strategic Retirement Bond Portfolio and the Wells Fargo U.S. REIT Portfolio was lower than the average investment performance of such Master Portfolio’s respective Universe.

The Boards also noted that the investment performance of each Master Portfolio to its respective benchmark index for the one-year period ended December 31, 2019, was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio, the Wells Fargo U.S. REIT Portfolio and the Wells Fargo Strategic Retirement Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective benchmark, and (ii) the investment performance of each of the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo International Government Bond Portfolio and the Wells Fargo Investment Grade Corporate Bond Portfolio was lower than the average investment performance of such Master Portfolio’s respective benchmark. For the one-year period ended March 31, 2020, the Boards also noted that the investment performance of each Master Portfolio to its respective benchmark index, was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo U.S. REIT Portfolio, the Wells Fargo Investment Grade Corporate Bond Portfolio and the Wells Fargo Strategic Retirement Bond Portfolio was higher than, equal to or in range of the average investment performance of such Master Portfolio’s respective benchmark, and (ii) the investment performance of each of the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio and the Wells Fargo International Government Bond Portfolio was lower than the average investment performance of such Master Portfolio’s respective benchmark.

The Boards received information concerning, and discussed factors contributing to, the underperformance of certain Master Portfolios, relative to the Universe and benchmark index, for the periods identified above. The Board took note of the explanations for the relative underperformance during these periods, including with respect to investment decisions and market factors that affected the Fund’s investment performance.

The Board of Funds Trust took note of the investment performance of the Master Portfolios in the context of reviewing the investment performance of the Index Funds. The Board of Funds Trust also received and considered information regarding the “zero fee and expense” structure of each Index Fund. Specifically, the Funds Trust Board noted that each Index Fund’s gross operating expense ratio and each of its various components, including management fees, administration fees, custody fees,

40  |  Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio

Other information (unaudited)

Rule 12b-1 fees, and other fees, are zero. The Funds Trust Board also noted that Funds Management assumes and pays or reimburses all of the ordinary operating expenses of each Index Fund, including acquired fund fees and expenses, pursuant to an agreement with each of the Index Funds (the “Fee and Expense Agreement”). The Funds Trust Board further noted that Funds Management receives a fee from Wells Fargo Wealth and Investment Management (“WIM”) pursuant to an intercompany agreement equal to the Master Portfolio fees and expenses absorbed by Funds Management through its Fee and Expense Agreement with each of the Index Funds.

With respect to the Master Portfolios, the Board of Master Trust received and considered information regarding the fee rates that are payable to Funds Management for investment advisory services (as discussed below), which are the only fees charged at the Master Portfolio level, relative to corresponding class-specific expense groups that were determined by Broadridge to be similar to the Funds (the “Groups”). The Boards received a description of the methodology used by Broadridge to select the mutual funds in the expense Groups and an explanation of how funds comprising expense groups and their expense ratios may vary from year-to-year.

The Boards took into account the Funds’ expense information and the Master Portfolios’ performance information provided to them among the factors considered in deciding to re-approve the Advisory Agreements.

Investment management, advisory and sub-advisory fee rates

The Board of Funds Trust reviewed and considered that the contractual investment management fee rate payable by each Index Fund to Funds Management for investment management services zero, and also reviewed and considered that each Fund’s other expenses would normally be zero, because of Funds Management’s commitment to assume and pay or reimburse all of the ordinary operating expenses of each Fund, including acquired fund fees and expenses, under the Fee and Expense Agreement. The Board of Funds Trust also reviewed and considered that the contractual investment sub-advisory fee rate payable by Funds Management to WellsCap for investment sub-advisory services for the U.S. Core Bond Fund is also zero.

The Board of Master Trust reviewed and considered the contractual fee rates payable by the Master Portfolios to Funds Management under the Master Portfolio Advisory Agreement (the “Advisory Agreement Rates”). The Board of Master Trust also reviewed and considered the contractual investment sub-advisory fee rates that are payable by Funds Management to the Sub-Advisers for investment sub-advisory services (the “Sub-Advisory Agreement Rates”).

The Board of Master Trust reviewed a comparison of the Advisory Agreement Rates of each Master Portfolio with those of other funds in each Master Portfolio’s respective expense Groups at a common asset level. The Board of Master Trust noted that the Advisory Agreement Rates of each Master Portfolio were lower than or equal to the median rate for such Master Portfolio’s expense Groups.

The Boards also received and considered information about the portions of the total management fees that were retained by Funds Management after payment of the fees to the Sub-Advisers for sub-advisory services. In assessing the reasonableness of these amounts, the Boards received and evaluated information about the nature and extent of responsibilities retained and risks assumed by Funds Management and not delegated to or assumed by the Sub-Advisers, and about Funds Management’s on-going oversight services. Given the affiliation between Funds Management and the Sub-Advisers, the Boards ascribed limited relevance to the allocation of fees between them.

The Boards also received and considered information about the nature and extent of services offered and fee rates charged by Funds Management and the Sub-Advisers to other types of clients with investment strategies similar to those of certain Funds. In this regard, the Boards received information about the significantly greater scope of services, and compliance, reporting and other legal burdens and risks of managing proprietary mutual funds compared with those associated with managing assets of other types of clients, including third-party sub-advised fund clients and non-mutual fund clients such as institutional separate accounts.

Based on its consideration of the factors and information it deemed relevant, including those described here, the Board of Fund Trust determined that the compensation received by Funds Management from WIM pursuant to the intercompany agreement, and the absence of compensation payable by the Funds to Funds Management pursuant to the Management Agreement or to WellsCap pursuant to the Core Bond Fund Sub-Advisory Agreement, was reasonable. Based on its consideration of the factors and information it deemed relevant, including those described here, the Board of Master Trust determined that the Advisory Agreement Rates and the Sub-Advisory Agreement Rates for each Master Portfolio were reasonable.

Profitability

The Boards received and considered information concerning the profitability of Funds Management, as well as the profitability of both WFAM and Wells Fargo & Co. (“Wells Fargo”) from providing services to the fund family as a whole. The Boards noted that the Sub-Advisers’ profitability information with respect to providing services to the Funds and other funds in the family was subsumed in the WFAM and Wells Fargo profitability analysis.

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio  |  41

Other information (unaudited)

Funds Management reported on the methodologies and estimates used in calculating profitability, including a description of the methodology used to allocate certain expenses. Among other things, the Boards noted that the levels of profitability reported on a fund-by-fund basis varied widely, depending on factors such as the size, type and age of fund.

Based on its review, the Boards did not deem the profits reported by Funds Management, WFAM or Wells Fargo from services provided to the Funds to be at a level that would prevent them from approving the continuation of the Advisory Agreements.

Economies of scale

The Boards received and considered information about the potential for Funds Management to experience economies of scale in the provision of management services to the Funds, the difficulties of calculating economies of scale at an individual fund level, and the extent to which potential scale benefits are shared with shareholders. The Boards noted the existence of breakpoints in the each Master Portfolio’s advisory fee structure and each Index Fund’s management fee structure, which operate generally to reduce the Funds’ expense ratios as the Funds grow in size, and the size of the Funds in relation to such breakpoints. The Boards considered that in addition to management fee breakpoints, Funds Management shares potential economies of scale from its management business in a variety of ways, including through fee waiver and expense reimbursement arrangements, services that benefit shareholders, competitive management fee rates set at the outset without regard to breakpoints, and investments in the business intended to enhance services available to shareholders.

The Boards concluded that Funds Management’s arrangements with respect to the Funds, including contractual breakpoints, constituted a reasonable approach to sharing potential economies of scale with the Funds and their shareholders.

Other benefits to Funds Management and the Sub-Advisers

The Boards received and considered information regarding potential “fall-out” or ancillary benefits received by Funds Management and its affiliates, including WellsCap and WFAM International, as a result of their relationships with the Funds. Ancillary benefits could include, among others, benefits directly attributable to other relationships with the Funds and benefits potentially derived from an increase in Funds Management’s and the Sub-Advisers’ business as a result of their relationships with the Funds. The Boards noted that various affiliates of Funds Management may receive distribution-related fees, shareholder servicing payments and sub-transfer agency fees in respect of shares sold or held through them and services provided.

The Boards also reviewed information about soft dollar credits earned and utilized by the Sub-Advisers, fees earned by Funds Management and WellsCap from managing a private investment vehicle for the fund family’s securities lending collateral, and commissions earned by an affiliated broker from portfolio transactions.

Based on their consideration of the factors and information they deemed relevant, including those described here, the Boards did not find that any ancillary benefits received by Funds Management and its affiliates, including WellsCap and WFAM International, were unreasonable.

Conclusion

At the Meeting, after considering the above-described factors and based on its deliberations and its evaluation of the information described above, the Funds Trust Board unanimously approved the continuation of the Management Agreement and the Core Bond Fund Sub-Advisory Agreement for a one-year period. Additionally, after its deliberations, the Master Trust Board unanimously approved the continuation of the Master Portfolio Advisory Agreement and each Master Portfolio Sub-Advisory Agreement for a one-year term. The Boards also determined that the compensation or the absence of compensation payable to Funds Management and to each of the Sub-Advisers was reasonable.

42  |  Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio

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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 Portfolio’s website, or call:

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: wfam.com

Individual investors: 1-800-222-8222

Retail investment professionals: 1-888-877-9275

Institutional investment professionals: 1-866-765-0778

This report and the financial statements contained herein are submitted for the general information of the shareholders of the Portfolio. 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 Portfolio’s website at wfam.com. Read the prospectus carefully before you invest or send money.

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

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

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

© 2020 Wells Fargo & Company. All rights reserved.

Semi-Annual Report

August 31, 2020

Wells Fargo

Factor Enhanced U.S. Small Cap Equity Portfolio

(formerly Wells Fargo Factor Enhanced Small Cap Portfolio)

Contents

Portfolio information	2
Portfolio of investments	3
Financial statements
Statement of assets and liabilities	43
Statement of operations	44
Statement of changes in net assets	45
Financial highlights	46
Notes to financial statements	47
Other information	51

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

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  1

Portfolio information (unaudited)

Investment objective

The Portfolio seeks long-term capital appreciation.

Adviser

Wells Fargo Funds Management, LLC

Subadviser

Wells Capital Management Incorporated

Portfolio managers

Dennis Beinn, CFA^®‡

Harindra de Silva, Ph.D., CFA^®‡

Monisha Jayakumar

Ten largest holdings (%) as of August 31, 20201
Novavax Incorporated	0.41
Stamps.com Incorporated	0.32
Medpace Holdings Incorporated	0.31
Emergent BioSolutions Incorporated	0.29
Builders FirstSource Incorporated	0.27
Tenet Healthcare Corporation	0.27
UFP Industries Incorporated	0.27
Momenta Pharmaceuticals Incorporated	0.26
Hannon Armstrong Sustainable Infrastructure Capital Incorporated	0.26
Varonis Systems Incorporated	0.24

Sector allocation as of August 31, 2020²

^‡  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.

2  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Common Stocks: 97.24%
Communication Services: 2.67%
Diversified Telecommunication Services: 0.72%
Alaska Communications Systems Group Incorporated		24,152	$	54,100
ATN International Incorporated		1,956		113,448
Bandwidth Incorporated Class A †		1,422		223,937
Cincinnati Bell Incorporated †		3,761		56,641
Cogent Communications Group Incorporated		2,378		159,944
Consolidated Communications Holdings Incorporated †		28,261		219,871
Frontier Communications Corporation †		7,468		1,436
Globalstar Incorporated †		26,727		8,940
IDT Corporation Class B †		15,567		101,497
Intelsat SA †		4,785		2,680
Iridium Communications Incorporated †		6,343		177,667
Liberty Latin America Limited Class C †		2,298		21,923
Ooma Incorporated †		4,890		66,700
ORBCOMM Incorporated †		3,148		12,623
Pareteum Corporation †		4,681		3,183
Vonage Holdings Corporation †		33,640		385,178
				1,609,768
Entertainment: 0.29%
Akazoo SA †(a)‡		5,400		6,480
AMC Entertainment Holdings Class A		2,610		15,347
Cinemark Holdings Incorporated		14,571		213,465
Gaia Incorporated †		3,619		42,342
Glu Mobile Incorporated †		21,003		166,764
Marcus Corporation		4,493		70,405
Reading International Incorporated Class A †		751		3,079
SciPlay Corporation Class A †		1,376		18,143
World Wrestling Entertainment Incorporated Class A		2,716		119,694
				655,719
Interactive Media & Services: 0.43%
Actua Corporation †(a)‡		9,483		474
ANGI Homeservices Incorporated Class A †		3,871		53,710
CarGurus Incorporated †		11,906		290,268
Cars.com Incorporated †		1,055		9,157
DHI Group Incorporated †		17,427		42,348
EverQuote Incorporated Class A †		2,453		87,082
Liberty TripAdvisor Holdings Incorporated Class A †		4,063		11,376
QuinStreet Incorporated †		5,555		73,048
The Meet Group Incorporated †		3,696		23,285
TripAdvisor Incorporated		5,605		130,989
Yelp Incorporated †		10,266		237,350
				959,087
Media: 0.88%
AMC Networks Incorporated Class A †		12,037		292,379
Cardlytics Incorporated †		1,144		86,772
Clear Channel Outdoor Holdings Incorporated †		15,946		18,657
Cumulus Media Incorporated Class A †		729		3,623
Daily Journal Corporation †		55		15,136
Emerald Holding Incorporated		1,134		3,130
Entravision Communications Corporation Class A		4,886		7,427

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

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  3

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Media (continued)
Fluent Incorporated †		1,677	$	5,199
Gannett Company Incorporated		4,779		8,268
Gray Television Incorporated †		22,743		352,971
Hemisphere Media Group Incorporated †		855		7,610
iHeartMedia Incorporated Class A †		8,188		75,493
IMAX Corporation †		3,897		59,897
John Wiley & Sons Incorporated Class A		2,756		87,227
Lee Enterprises Incorporated †		3,003		2,650
Liberty Latin America Limited Class A †		2,704		26,499
Marchex Incorporated Class B †		2,042		3,655
Meredith Corporation		5,647		79,058
MSG Networks Incorporated Class A †		6,008		58,518
National CineMedia Incorporated		3,006		10,852
Saga Communications Incorporated Class A		425		9,563
Scholastic Corporation		1,728		38,880
Sinclair Broadcast Group Incorporated Class A		3,344		69,589
Techtarget †		4,211		167,092
Tegna Incorporated		18,912		236,778
Tribune Publishing Company		5,368		60,927
TrueCar Incorporated †		7,763		36,719
WideOpenWest Incorporated †		21,793		125,310
				1,949,879
Wireless Telecommunication Services: 0.35%
Boingo Wireless Incorporated †		4,593		59,663
Gogo Incorporated †		2,341		12,033
NII Holdings Incorporated †(a)‡		14,979		32,504
Shenandoah Telecommunications Company		8,870		490,511
Spok Holdings Incorporated		985		10,677
Telephone & Data Systems Incorporated		5,780		133,691
United States Cellular Corporation †		841		30,596
				769,675
Consumer Discretionary: 12.60%
Auto Components: 1.42%
Adient plc †		8,893		154,205
American Axle & Manufacturing Holdings Incorporated †		5,896		45,871
Cooper Tire & Rubber Company		9,211		318,424
Cooper-Standard Holdings Incorporated †		653		11,832
Dana Incorporated		36,547		509,831
Dorman Products Incorporated †		2,840		240,520
Fox Factory Holding Corporation †		1,576		158,877
Gentherm Incorporated †		4,454		201,454
LCI Industries		3,281		372,820
Modine Manufacturing Company †		6,798		46,022
Motorcar Parts of America Incorporated †		1,035		18,019
Standard Motor Products Incorporated		5,791		263,143
Stoneridge Incorporated †		5,989		120,978
Strattec Security Corporation		141		2,950
Tenneco Incorporated †		3,438		27,951
The Goodyear Tire & Rubber Company		26,202		251,408
Visteon Corporation †		4,208		317,409
Xpel Incorporated †		4,132		102,887
				3,164,601

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

4  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Automobiles: 0.06%
Winnebago Industries Incorporated		2,702	$	145,854
Distributors: 0.10%
Core Mark Holding Company Incorporated		6,397		213,788
Funko Incorporated Class A †		1,538		8,982
Weyco Group Incorporated		360		6,480
				229,250
Diversified Consumer Services: 0.80%
Adtalem Global Education Incorporated †		7,860		260,952
American Public Education Incorporated †		2,953		92,842
Aspen Group Incorporated †		2,132		27,247
Carriage Services Incorporated		941		20,834
Collectors Universe Incorporated		1,110		49,384
Franchise Group Incorporated		767		18,838
Graham Holdings Company Class B		248		106,132
K12 Incorporated †		3,179		118,291
Laureate Education Incorporated Class A †		28,141		352,325
Morgan Group Holding Company †		1		7
Perdoceo Education Corporation †		14,020		201,467
Regis Corporation †		1,725		12,748
Strategic Education Incorporated		1,641		168,317
Universal Technical Institute Incorporated †		10,249		72,255
Vivint Smart Home Incorporated †		1,097		19,472
WW International Incorporated †		11,080		260,158
				1,781,269
Hotels, Restaurants & Leisure: 3.03%
Accel Entertainment Incorporated †		3,447		40,881
BBX Capital Corporation		566		8,716
Biglari Holdings Incorporated Class A †		52		24,206
Biglari Holdings Incorporated Class B †		63		6,243
BJ’s Restaurants Incorporated		6,922		218,181
Bloomin’ Brands Incorporated		22,827		327,339
Boyd Gaming Corporation		5,156		138,078
Brinker International Incorporated		11,147		502,061
Caesars Entertainment Incorporated †		4,437		203,215
Carrols Restaurant Group Incorporated †		2,826		18,821
Century Casinos Incorporated †		1,386		8,524
Churchill Downs Incorporated		2,061		360,180
Chuy’s Holding Incorporated †		2,216		49,284
Cracker Barrel Old Country Store Incorporated		2,058		275,175
Dave & Buster’s Entertainment Incorporated		5,645		93,876
Del Taco Restaurants Incorporated †		1,475		12,405
Denny’s Corporation †		21,100		241,806
Dine Brands Global Incorporated		4,687		279,158
El Pollo Loco Holdings Incorporated †		8,843		158,024
Fiesta Restaurant Group Incorporated †		5,328		53,387
GAN Limited †		1,330		27,332
Golden Entertainment Incorporated †		1,048		13,456
Hilton Grand Vacations Incorporated †		14,281		312,897
Hyatt Hotels Corporation Class A		2,055		116,087
International Game Technology		16,049		178,625
J. Alexander’s Holdings Incorporated †		612		2,503
Jack in the Box Incorporated		3,097		255,162
Lindblad Expeditions Holding †		1,399		13,857

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

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  5

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Hotels, Restaurants & Leisure (continued)
Marriott Vacations Worldwide Corporation		3,132	$	296,506
Monarch Casino & Resort Incorporated †		1,294		59,537
Nathan S Famous Incorporated		114		5,979
Noodles & Company †		2,825		21,498
Papa John’s International Incorporated		4,946		486,142
Penn National Gaming Incorporated †		6,167		315,134
Playa Hotels & Resorts NV †		2,879		12,149
Potbelly Corporation †		722		3,090
RCI Hospitality Holdings Incorporated		16,624		317,851
Red Robin Gourmet Burgers Incorporated †		793		8,802
Ruth’s Chris Steak House Incorporated		3,486		35,819
SeaWorld Entertainment Incorporated †		9,372		191,189
Shake Shack Incorporated Class A †		1,593		108,722
Six Flags Entertainment Corporation		4,764		103,522
Target Hospitality Corporation †		1,635		2,371
Texas Roadhouse Incorporated		6,222		391,924
The Cheesecake Factory Incorporated		3,169		93,581
Twin River Worldwide Holdings Incorporated		1,170		27,998
Wingstop Incorporated		1,960		320,264
				6,741,557
Household Durables: 1.91%
Bassett Furniture Industries Incorporated		500		6,300
Beazer Homes Incorporated †		2,103		25,741
Cavco Industries Incorporated †		1,041		198,737
Century Communities Incorporated †		5,750		205,160
Ethan Allen Interiors Incorporated		1,312		18,683
Flexsteel Industries Incorporated		322		5,339
Green Brick Partners Incorporated †		6,865		97,758
Hamilton Beach Brand Class A		14,989		327,510
Helen of Troy Limited †		1,650		341,253
Hooker Furniture Corporation		2,114		52,110
Installed Building Products Incorporated †		844		73,276
iRobot Corporation †		2,668		197,512
KB Home Incorporated		10,017		358,208
La-Z-Boy Incorporated		2,701		87,783
Legacy Housing Corporation †		284		4,337
LGI Homes Incorporated †		1,949		218,015
Lifetime Brands Incorporated		1,024		10,056
M/I Homes Incorporated †		4,675		198,968
MDC Holdings Incorporated		7,581		328,864
Meritage Corporation †		2,974		285,593
Purple Innovation Incorporated †		805		15,223
Skyline Champion Corporation †		6,263		178,746
Sonos Incorporated †		4,627		65,102
Taylor Morrison Home Corporation †		6,676		157,086
TopBuild Corporation †		2,397		368,659
TRI Pointe Homes Incorporated †		13,478		227,509
Tupperware Brands Corporation		3,828		62,358
Turtle Beach Corporation †		1,069		20,920
Universal Electronics Incorporated †		2,472		101,550
Voxx International Corporation †		851		5,344
Zagg Incorporated †		1,357		4,315
				4,248,015

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

6  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Internet & Direct Marketing Retail: 0.96%
1-800-Flowers.com Incorporated Class A †		6,900	$	206,517
Blue Apron Holdings Incorporated Class A †		409		2,744
Carparts.com Incorporated †		6,160		86,548
Duluth Holdings Incorporated Class B †		1,291		12,497
Lands End Incorporated †		531		7,105
Liquidity Services Incorporated †		2,441		17,600
Magnite Incorporated †		11,491		84,459
Overstock.com Incorporated		5,914		517,475
PetMed Express Incorporated		5,095		177,102
Revolve Group Incorporated †		834		16,747
Shutterstock Incorporated		2,323		116,893
Stamps.com Incorporated †		2,830		705,632
Stitch Fix Incorporated Class A †		7,014		169,388
Waitr Holdings Incorporated †		3,709		14,947
				2,135,654
Leisure Products: 0.71%
Acushnet Holdings Corporation		4,599		162,299
American Outdoor Brands Incorporated †		1,172		17,846
Callaway Golf Company		11,131		232,193
Clarus Corporation		1,833		23,076
Escalade Incorporated		431		7,814
Johnson Outdoors Incorporated Class A		628		53,826
Malibu Boats Incorporated Class A †		3,283		170,224
Marine Products Corporation		4,479		64,722
Mastercraft Boat Holdings Incorporated †		3,322		69,463
Nautilus Group Incorporated †		5,363		63,552
Smith & Wesson Brands Incorporated		4,579		83,613
Sturm, Ruger & Company Incorporated		1,891		133,996
Vista Outdoor Incorporated †		5,854		113,626
YETI Holdings Incorporated †		7,465		383,552
				1,579,802
Multiline Retail: 0.37%
Big Lots Stores Incorporated		9,805		462,306
Dillard’s Incorporated Class A		1,846		55,768
JCPenny Company Incorporated †		13,646		3,016
Macy’s Incorporated		31,813		221,737
Nordstrom Incorporated		5,516		88,256
				831,083
Specialty Retail: 2.50%
Aaron’s Incorporated		4,191		234,235
Abercrombie & Fitch Company Class A		3,500		45,535
America’s Car-Mart Incorporated †		1,015		102,008
American Eagle Outfitters Incorporated		6,452		81,360
Asbury Automotive Group Incorporated †		3,325		351,752
Barnes & Noble Education Incorporated †		1,815		4,138
Bed Bath & Beyond Incorporated		10,072		122,677
Boot Barn Holdings Incorporated †		1,620		45,733
Caleres Incorporated		2,093		16,346
Camping World Holdings Incorporated Class A		1,851		53,790
Chico’s FAS Incorporated		6,220		7,962
Children’s Place Retail Stores Incorporated		2,260		45,121
Citi Trends Incorporated		617		11,927

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

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  7

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Specialty Retail (continued)
Conn’s Incorporated †		747	$	9,547
Designer Brands Incorporated Class A		3,145		22,172
Dick’s Sporting Goods Incorporated		3,094		167,447
Envela Corporation †		3,133		12,156
Express Incorporated †		3,203		3,555
GameStop Corporation Class A †		2,474		16,526
Genesco Incorporated †		1,663		32,429
Group 1 Automotive Incorporated		4,465		385,955
GrowGeneration Corporation †		1,482		23,645
Guess? Incorporated		4,046		46,529
Haverty Furniture Companies Incorporated		3,003		63,423
Hibbett Sports Incorporated †		3,275		109,287
Hudson Limited Class A †		1,918		14,462
Lithia Motors Incorporated Class A		1,837		457,340
Lumber Liquidators Holdings Incorporated †		5,165		123,908
MarineMax Incorporated †		3,844		113,052
Murphy USA Incorporated †		3,012		406,198
National Vision Holdings Incorporated †		1,629		61,202
OneWater Marine Incorporated Class A †		4,586		131,068
Penske Auto Group Incorporated		1,645		77,595
Rent-A-Center Incorporated		12,014		368,830
Restoration Hardware Incorporated †		1,061		350,714
Sally Beauty Holdings Incorporated †		21,883		244,214
Shoe Carnival Incorporated		2,210		72,665
Sleep Number Corporation †		3,854		184,992
Sonic Automotive Incorporated Class A		4,998		211,215
Sportsman’s Warehouse Holdings Incorporated †		5,772		90,592
Tailored Brands Incorporated		3,374		384
The Buckle Incorporated		6,574		123,197
The Cato Corporation Class A		1,296		10,368
The Michaels Companies Incorporated †		8,666		97,493
The ODP Corporation		8,517		199,127
Tilly’s Incorporated Class A		1,245		7,893
TravelCenters of America Incorporated †		342		7,305
Urban Outfitters Incorporated †		4,756		111,956
Winmark Corporation		130		20,079
Zumiez Incorporated †		2,717		69,773
				5,570,877
Textiles, Apparel & Luxury Goods: 0.74%
Crocs Incorporated †		9,537		380,622
Culp Incorporated		586		7,032
Deckers Outdoor Corporation †		1,627		331,696
Delta Apparel Incorporated †		279		3,939
Fossil Group Incorporated †		1,620		10,425
G-III Apparel Group Limited †		1,816		20,085
Kontoor Brands Incorporated		6,806		150,413
Lakeland Industries Incorporated †		2,709		55,345
Levi Strauss & Company Class A		3,227		39,757
Movado Group Incorporated		735		8,019
Oxford Industries Incorporated		870		43,091
Rocky Brands Incorporated		2,203		53,048
Steven Madden Limited		10,958		231,871
Superior Uniform Group Incorporated		1,170		27,074
Unifi Incorporated †		1,178		14,407
Vera Bradley Incorporated †		6,773		35,694
Wolverine World Wide Incorporated		9,477		236,735
				1,649,253

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

8  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Consumer Staples: 3.55%
Beverages: 0.30%
Celsius Holdings Incorporated †		1,516	$	29,441
Coca Cola Bottling Corporation		705		192,677
Craft Brew Alliance Incorporated †		1,071		16,729
MGP Ingredients Incorporated		1,823		64,808
National Beverage Corporation †		3,048		247,863
Primo Water Corporation		9,677		132,381
				683,899
Food & Staples Retailing: 0.84%
BJ’s Wholesale Club Holdings Incorporated †		8,625		383,036
HF Foods Group Incorporated †		1,965		15,602
Ingles Markets Incorporated Class A		3,461		139,824
Natural Grocers by Vitamin Cottage Incorporated		795		9,317
Performance Food Group Company †		7,348		268,275
Pricesmart Incorporated		2,759		181,404
Rite Aid Corporation †		8,159		106,230
SpartanNash Company		12,049		240,739
Sprouts Farmers Market Incorporated †		7,385		172,440
The Andersons Incorporated		1,651		29,272
United Natural Foods Incorporated †		10,373		187,233
Village Super Market Class A		457		11,626
Weis Markets Incorporated		2,460		121,106
				1,866,104
Food Products: 1.36%
Alico Incorporated		745		24,078
B&G Foods Incorporated		10,459		325,693
Cal-Maine Foods Incorporated †		3,873		149,459
Calavo Growers Incorporated		998		63,343
Darling Ingredients Incorporated †		10,763		344,093
Dean Foods Company †		6,343		131
Farmer Bros Corporation †		1,594		10,026
Fresh Del Monte Produce Incorporated		4,327		100,343
Freshpet Incorporated †		1,676		190,394
Hain Celestial Group Incorporated †		4,715		154,605
Hostess Brands Incorporated †		12,304		157,983
J & J Snack Foods Corporation		1,443		196,176
John B. Sanfilippo & Son Incorporated		3,003		239,159
Lancaster Colony Corporation		1,338		237,789
Landec Corporation †		1,546		15,831
Limoneira Corporation		811		11,735
Pilgrim’s Pride Corporation †		3,472		55,552
Sanderson Farms Incorporated		1,601		187,253
Seaboard Corporation		13		34,879
Seneca Foods Corporation Class A †		3,515		166,470
The Simply Good Foods Company †		12,387		307,817
Tootsie Roll Industries Incorporated		1,654		52,911
				3,025,720
Household Products: 0.31%
Central Garden & Pet Company †		2,244		91,308
Central Garden & Pet Company Class A †		3,024		112,372
Energizer Holdings Incorporated		3,470		160,626
Oil Dri Corporation of America		310		10,856

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

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  9

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Household Products (continued)
Tejon Ranch Company †		1,058	$	15,140
WD-40 Company		1,452		296,760
				687,062
Personal Products: 0.59%
Bellring Brands Incorporated Class A †		4,555		88,549
e.l.f. Beauty Incorporated †		3,584		69,996
Edgewell Personal Care Company †		6,379		183,141
Inter Parfums Incorporated		992		44,313
Lifevantage Corporation †		12,222		183,574
Medifast Incorporated		2,014		327,718
Natures Sunshine Products Incorporated †		515		5,686
NU Skin Enterprises Incorporated Class A		2,991		141,385
Revlon Incorporated Class A †		365		2,672
USANA Health Sciences Incorporated †		3,253		255,068
Veru Incorporated †		3,160		8,753
				1,310,855
Tobacco: 0.15%
Turning Point Brands Incorporated		451		13,034
Universal Corporation		2,213		96,066
Vector Group Limited		22,669		228,277
				337,377
Energy: 2.57%
Energy Equipment & Services: 0.90%
Archrock Incorporated		15,737		103,235
Aspen Aerogels Incorporated †		6,350		53,975
Bristow Group Incorporated †		531		10,041
Cactus Incorporated Class A		12,887		284,674
ChampionX Corporation †		16,914		173,199
DMC Global Incorporated		1,955		69,266
Dril-Quip Incorporated †		2,669		88,424
Exterran Corporation †		1,525		7,015
Geospace Technologies Corporation †		782		5,122
Helix Energy Solutions Group Incorporated †		43,873		157,065
Liberty Oilfield Services Class A		34,680		223,686
Matrix Service Company †		12,448		115,020
National Energy Services Reunited Corporation †		14,874		112,150
Natural Gas Services Group Incoporated †		643		5,260
Newpark Resources Incorporated †		26,286		51,258
Nextier Oilfield Solutions Incorporated †		9,222		23,239
Noble Corporation plc †		5,139		140
Oceaneering International Incorporated †		8,052		43,400
Patterson-UTI Energy Incorporated		7,728		29,753
ProPetro Holding Corporation †		41,776		262,353
RPC Incorporated †		3,568		11,168
Seacor Holdings Incorporated †		3,126		98,813
Seacor Marine Holdings Incorporated †		526		1,410
Select Energy Services Incorporated Class A †		4,991		23,807
Solaris Oilfield Infrastructure Incorporated Class A		7,655		59,556
				2,013,029

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

10  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Oil, Gas & Consumable Fuels: 1.67%
Adams Resources & Energy Incorporated		3,719	$	79,103
Antero Resources Corporation †		17,835		57,429
Arch Resources Incorporated		2,210		83,251
Ardmore Shipping Corporation		5,011		18,541
Berry Petroleum Corporation		3,249		12,801
Bonanza Creek Energy Incorporated †		2,571		51,523
Brigham Minerals Incorporated Class A		1,737		20,514
California Resources Corporation †		2,710		266
Callon Petroleum Company †		542		3,593
Centennial Resource Development Class A †		8,951		6,500
Chesapeake Energy Corporation †		629		2,510
CNX Resources Corporation †		20,097		220,263
Comstock Resources Incorporated †		7,673		44,196
Consol Energy Incorporated †		1,179		6,095
Contura Energy Incorporated †		1,092		4,521
Core Laboratories NV		2,183		45,690
CVR Energy Incorporated		3,024		50,471
Delek US Holdings Incorporated		5,968		93,877
Denbury Resources Incorporated †		15,260		412
DHT Holdings Incorporated		6,640		35,126
Diamond S Shipping Incorporated †		1,914		15,676
Dorian LPG Limited †		8,559		72,238
Earthstone Energy Incorporated Class A †		1,243		3,642
Evolution Petroleum Corporation		9,630		26,290
Extraction Oil & Gas Incorporated †		3,728		309
Falcon Minerals Corporation		4,863		13,665
Goodrich Petroleum Corporation †		15,892		131,109
Green Plains Renewable Energy Incorporated †		1,372		18,357
Hess Midstream LP		1,011		17,874
International Seaways Incorporated		7,142		121,128
Laredo Petroleum Incorporated †		484		7,913
Magnolia Oil & Gas Corporation †		10,624		68,419
Matador Resources Company †		13,994		136,162
Montage Resources Corporation †		20,653		106,569
Nacco Industries Class A		177		3,629
Navigator Holdings Limited †		1,840		17,038
New Fortress Energy LLC		958		25,646
Nordic American Tanker Limited		20,562		89,650
Oasis Petroleum Incorporated †		7,385		4,102
Overseas Shipholding Group Class A †		4,237		8,940
Ovintiv Incorporated		41,826		463,432
Par Pacific Holdings Incorporated †		2,276		19,756
PBF Energy Incorporated Class A		5,048		43,211
Peabody Energy Corporation		3,525		9,200
Penn Virginia Corporation †		887		10,130
Plains GP Holdings LP Class A		9,984		72,983
QEP Resources Incorporated		6,879		8,943
Range Resources Corporation		10,363		77,308
Renewable Energy Group Incorporated †		13,442		449,366
Rex American Resources Corporation †		275		16,990
SFL Corporation Limited		9,323		81,856
Southwestern Energy Company †		61,326		170,486
Talos Energy Incorporated †		7,175		53,884
Vaalco Energy Incorporated †		1,961		2,079
Viper Energy Partners LP		3,429		34,907
W&T Offshore Incorporated †		42,146		93,986

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

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  11

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Oil, Gas & Consumable Fuels (continued)
Whiting Petroleum Corporation †		2,185	$	1,747
World Fuel Services Corporation		14,157		373,745
				3,709,047
Financials: 15.93%
Banks: 7.74%
1st Constitution Bancorp		542		6,596
1st Source Corporation		1,861		64,111
ACNB Corporation		500		10,510
Allegiance Bancshares Incorporated		1,246		31,673
Altabancorp		2,018		41,611
Amalgamated Bank of New York Class A		915		10,770
Amerant Bancorp Incorporated Class A †		1,154		15,175
American National Bankshares Incorporated		643		14,493
Ameris Bancorp		6,224		152,612
AMES National Corporation		477		9,516
Arrow Financial Corporation		1,329		38,076
Associated Banc Corporation		8,696		116,874
Atlantic Capital Bancshares †		4,751		54,803
Atlantic Union Bankshares Corporation		7,274		169,193
Auburn National Bancorporation Incorporated		134		5,465
Banc of California Incorporated		2,646		29,080
BancFirst Corporation		2,888		127,072
Banco Latinoamericano de Comercio Exterior SA		315		3,837
BancorpSouth Bank		11,424		246,530
Bank First Corporation		440		27,456
Bank of Commerce Holdings		6,355		46,709
Bank of Marin Bancorp		847		26,960
Bank of N.T. Butterfield & Son Limited		5,610		141,372
Bank of South Carolina Corporation		221		3,591
Bank7 Corporation		6,626		67,850
BankFinancial Corporation		904		6,563
BankUnited Incorporated		11,148		260,640
Bankwell Financial Group Incorporated		717		11,185
Banner Corporation		4,309		155,641
Bar Harbor Bankshares		889		18,011
Baycom Corporation †		744		8,619
BCB Bancorp Incorporated		749		6,101
Berkshire Hills Bancorp Incorporated		2,752		25,263
BOK Financial Corporation		1,515		85,052
Boston Private Financial Holdings Incorporated		5,012		29,771
Bridge Bancorp Incorporated		1,839		36,798
Brookline Bancorp Incorporated		4,421		42,442
Bryn Mawr Bank Corporation		1,182		32,079
Business First Bancshares Incorporated		725		10,491
Byline Bancorp Incorporated		1,359		17,178
C&F Financial Corporation		200		6,394
Cadence Bancorp		6,785		64,458
California Bancorp Incorporated †		451		5,868
Cambridge Bancorp		434		23,801
Camden National Corporation		1,974		64,461
Capital Bancorp Incorporated †		6,484		67,498
Capital City Bank Group Incorporated		1,456		29,513
Capstar Financial Holdings Class I		2,649		26,993
Carter Bank & Trust		1,224		8,678
Cathay General Bancorp		12,802		316,081

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

12  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Banks (continued)
CB Financial Services Incorporated		3,001	$	55,819
CBTX Incorporated		1,146		18,050
Central Pacific Financial Company		1,530		23,700
Central Valley Community Bancorp		5,702		68,595
Century Bancorp Incorporated Class A		168		11,836
Chemung Financial Corporation		196		5,627
ChoiceOne Financial Services Incorporated		373		10,634
CIT Group Incorporated		4,296		84,502
Citizens & Northern Corporation		740		12,684
Citizens Community Bancorp Incorporated		627		4,333
City Holding Company		2,003		128,152
Civista Bancshares Incorporated		2,409		32,160
CNB Financial Corporation		1,219		19,443
Coastal Financial Corporation †		4,774		65,643
Codorus Valley Bancorp Incorporated		499		6,437
Colony Bankcorp Incorporated		448		4,928
Columbia Banking System Incorporated		6,035		168,437
Community Bank System Incorporated		2,838		170,762
Community Bankers Trust Corporation		13,272		68,085
Community Financial Corporation		393		8,740
Community Trust Bancorp		2,208		71,252
ConnectOne Bancorp Incorporated		5,055		76,432
County Bancorp Incorporated		1,644		31,729
CrossFirst Bankshares Incorporated †		2,821		26,038
Customers Bancorp Incorporated †		8,181		104,471
CVB Financial Corporation		10,834		197,287
Dime Community Bancshares		1,721		22,201
Eagle Bancorp Incorporated		4,640		133,539
Eagle Bancorp Montana Incorporated		9,253		163,130
Enterprise Bancorp Incorporated		483		10,496
Enterprise Financial Services Corporation		3,701		110,697
Equity Bancshares Incorporated Class A †		1,991		31,657
Esquire Financial Holdings Class I †		6,259		103,274
Evans Bancorp Incorporated		4,687		106,864
Farmers & Merchants Banco		610		13,146
Farmers National Banc Corporation		1,885		21,979
FB Financial Corporation		1,711		46,197
Fidelity D&D Bancorp Incorporated		162		7,326
Financial Institutions Incorporated		1,795		30,928
First Bancorp Incorporated		613		13,045
First Bancorp of North Carolina		4,084		83,518
First Bancorp Puerto Rico		18,695		107,122
First Bancshares Incorporated		2,816		60,375
First Bank		996		6,494
First Busey Corporation		5,404		96,272
First Business Financial Services Incorporated		5,760		89,280
First Capital Incorporated		172		10,504
First Choice Bancorp		4,966		70,269
First Citizens BancShares Corporation Class A		215		84,527
First Commonwealth Financial Corporation		6,017		49,339
First Community Bancshares		913		17,566
First Community Corporation		1,525		19,337
First Financial Bancorp		11,294		154,954
First Financial Bankshares Incorporated		6,290		190,430
First Financial Corporation		673		23,144
First Financial Northwest		406		3,889
First Foundation Incorporated		9,137		138,791

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

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  13

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Banks (continued)
First Guaranty Bancshares Incorporated		2,174	$	27,892
First Internet Bancorp		5,386		78,689
First Interstate BancSystem Class A		6,905		226,484
First Merchants Corporation		5,605		143,376
First Mid-Illinois Bancshares		2,438		63,486
First Midwest Bancorp Incorporated		10,271		127,977
First National Community Bancorp Incorporated		930		5,441
First Northwest Bancorp		481		5,339
First of Long Island Corporation		3,328		51,135
First Savings Financial Group Incorporated		1,836		79,866
First United Corporation		690		7,901
First Western Financial Incorporated †		2,145		29,065
Flushing Financial Corporation		1,579		19,153
Franklin Financial Services Corporation		256		6,103
Fulton Financial Corporation		13,792		134,886
FVCBankcorp Incorporated †		622		6,556
German American Bancorp		3,936		111,586
Glacier Bancorp Incorporated		6,195		217,352
Great Southern Bancorp Incorporated		676		26,053
Great Western Bancorp Incorporated		3,199		44,562
Guaranty Bancshares Incorporated		392		10,368
Hancock Holding Company		2,974		59,510
Hanmi Financial Corporation		1,702		16,220
HarborOne Bancorp Incorporated		888		7,681
Hawthorn Bancshares Incorporated		320		5,862
HBT Financial Incorporated		8,460		100,251
Heartland Financial USA Incorporated		4,383		150,907
Heritage Commerce Corporation		3,504		24,283
Heritage Financial Corporation		2,243		44,725
Hilltop Holdings Incorporated		13,056		268,954
Home BancShares Incorporated		23,716		384,436
Hometrust Bancshares Incorporated		917		12,866
Hope Bancorp Incorporated		21,420		181,213
Horizon Bancorp Indiana		11,768		131,566
Howard Bancorp Incorporated †		721		7,073
Independent Bank Corporation		3,652		229,528
Independent Bank Corporation		4,671		69,645
Independent Bank Group Incorporated		6,991		325,082
International Bancshares Corporation		5,290		167,058
Investar Holding Corporation		534		7,262
Investors Bancorp Incorporated		31,847		246,814
Lakeland Bancorp Incorporated		4,885		51,928
Lakeland Financial Corporation		4,306		196,741
Landmark Bancorp Incorporated		2,521		52,966
LCNB Corporation		5,395		79,091
Level One Bancorp Incorporated		1,775		28,578
Limestone Bancorp Incorporated †		1,514		16,276
Live Oak Bancshares Incorporated		1,480		32,826
Macatawa Bank Corporation		1,929		14,120
Mackinac Financial Corporation		9,049		90,671
MainStreet Bancshares Incorporated †		419		5,372
Malvern Bancorp Incorporated †		445		5,496
Mercantile Bank Corporation		2,396		52,329
Meridian Corporation		6,323		92,758
MetroCity Bankshares Incorporated		10,088		137,600
Metropolitan Bank Holding Corporation †		567		17,560
Mid Penn Bancorp Incorporated		1,535		29,533

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

14  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Banks (continued)
Middlefield Banc Corporation		4,107	$	78,033
Midland States Bancorp Incorporated		1,213		17,722
Midwestone Financial Group Class I		847		16,085
MVB Financial Corporation		5,942		84,376
National Bank Holdings Corporation Class A		2,876		81,793
National Bankshares Incorporated		1,118		27,760
NBT Bancorp Incorporated		4,215		128,431
Nicolet Bankshares Incorporated †		1,134		68,063
Northeast Bank		8,609		160,644
Northrim BanCorp Incorporated		382		10,280
Norwood Financial Corporation		339		8,390
Oak Valley Bancorp		460		6,210
OceanFirst Financial Corporation		3,413		53,277
Ohio Valley Banc Corporation		229		5,221
Old National Bancorp		19,920		278,482
Old Point Financial Corporation		198		3,099
Old Second Bancorp Incorporated		10,368		84,707
Origin Bancorp Incorporated		1,305		30,902
Orrstown Financial Services Incorporated		578		7,959
Pacific Mercantile Bancorp †		1,058		3,925
Pacific Premier Bancorp Incorporated		11,942		269,770
Park National Corporation		761		68,422
Parke Bancorp Incorporated		632		7,774
PCB Bancorp		751		7,172
Peapack-Gladstone Financial Corporation		1,058		17,986
Penns Woods Bancorp Incorporated		392		8,134
Peoples Bancorp Incorporated		1,080		22,831
Peoples Bancorp of North Carolina Incorporated		248		4,216
Peoples Financial Services Corporation		393		14,321
Plumas Bancorp		453		8,951
Preferred Bank		4,411		164,971
Premier Financial Bancorp		702		9,000
Professional Holding Corporation Class A †		481		5,565
QCR Holdings Incorporated		4,870		145,954
RBB Bancorp		2,312		29,987
Red River Bancshares Incorporated		734		31,944
Reliant Bancorp Incorporated		838		12,151
Renasant Corporation		4,491		113,937
Republic Bancorp Incorporated Class A		556		17,103
Republic First Bancorp Incorporated †		2,390		4,995
S&T Bancorp Incorporated		2,258		45,600
Salisbury Bancorp Incorporated		2,296		81,990
Sandy Spring Bancorp Incorporated		6,406		153,232
SB Financial Group Incorporated		6,222		86,112
Seacoast Banking Corporation †		7,739		156,637
Select Bancorp Incorporated †		665		5,087
ServisFirst Bancshares Incorporated		7,653		280,482
Shore Bancshares Incorporated		1,776		17,316
Sierra Bancorp		4,049		72,356
Silvergate Capital Corporation Class A †		812		12,123
Simmons First National Corporation Class A		14,236		243,009
Smartfinancial Incorporated		798		10,988
South Plains Financial Incorporated		798		11,395
South State Corporation		6,891		383,691
Southern First Bancshares †		865		22,404
Southern National Bancorp of Virginia		1,802		15,407
Southside Bancshares Incorporated		1,898		52,299

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

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  15

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Banks (continued)
Spirit of Texas Bancshares Incorporated †		826	$	10,325
Stock Yards Bancorp Incorporated		2,930		125,785
Summit Financial Group Incorporated		711		10,487
Texas Capital Bancshares Incorporated †		5,233		169,497
The Bancorp Incorporated †		13,748		130,606
The Bank of Princeton		303		5,902
Tompkins Trust Company Incorporated		1,026		67,901
Towne Bank		4,804		85,175
TriCo Bancshares		2,966		82,129
TriState Capital Holdings Incorporated †		2,361		32,818
Triumph Bancorp Incorporated †		1,510		43,126
Trustmark Corporation		5,823		136,724
UMB Financial Corporation		3,970		213,268
Union Bankshares Incorporated		207		4,010
United Bankshares Incorporated		8,017		209,564
United Community Bank		11,939		216,335
United Security Bancshare		859		5,231
Unity Bancorp Incorporated		9,250		122,840
Univest Corporation of Pennsylvania		1,655		26,629
Valley National Bancorp		20,166		151,447
Veritex Holdings Incorporated		8,976		161,388
Washington Trust Bancorp		859		28,673
WesBanco Incorporated		3,939		87,525
West Bancorporation		3,001		52,818
Westamerica Bancorporation		3,559		216,601
				17,253,106
Capital Markets: 1.67%
Artisan Partners Asset Management Incorporated Class A		9,995		386,906
Associated Capital Group Class A		120		4,638
B. Riley Financial Incorporated		814		21,799
BGC Partners Incorporated Class A		15,532		39,141
BrightSphere Investment Group Incorporated		18,309		253,763
Churchill Capital Corporation II Class A †		3,860		40,491
Cohen & Steers Incorporated		4,559		275,820
Cowen Incorporated Class A		1,467		26,538
Diamond Hill Investment Group Incorporated		255		31,597
Donnelley Financial Solutions Incorporated †		14,081		153,483
Evercore Partners Incorporated Class A		1,867		115,530
Federated Investors Incorporated Class B		13,374		319,772
Focus Financial Partners Incorporated Class A †		511		18,084
Gamco Investors Incorporated Class A		11,844		149,471
Greenhill & Company Incorporated		633		7,102
Hamilton Lane Incorporated Class A		3,229		236,072
Houlihan Lokey Incorporated		3,639		213,245
Moelis Company Class A		5,630		179,653
Oppenheimer Holdings Incorporated Class A		461		11,262
Piper Jaffray Companies Incorporated		894		67,452
PJT Partners Incorporated Class A		3,792		224,411
Pzena Investment Management Incorporated Class A		13,717		67,899
Sculptor Capital Management Incorporated		1,942		24,799
Silvercrest Asset Management Group Incorporated Class A		6,370		79,880
Stifel Financial Corporation		3,935		199,544
Stonex Group Incorporated †		1,806		102,400
Victory Capital Holdings Incorporated Class A		1,003		17,442
VIRTU Financial Incorporated Class A		4,498		116,183

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

16  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Capital Markets (continued)
Virtus Investment Partners Incorporated		972	$	137,927
Waddell & Reed Financial Incorporated Class A		12,478		196,529
Westwood Holdings Group Incorporated		471		5,360
				3,724,193
Consumer Finance: 0.53%
Atlanticus Holdings Corporation †		752		6,392
Curo Group Holdings Corporation		766		5,898
Encore Capital Group Incorporated †		6,370		292,638
Enova International Incorporated †		4,222		72,112
Ezcorp Incorporated †		2,452		13,192
FirstCash Financial Services Incorporated		293		17,507
Green Dot Corporation Class A †		2,577		134,159
Medallion Financial Corporation †		1,036		2,808
Navient Corporation		10,665		96,945
Nelnet Incorporated Class A		1,631		106,814
Oportun Financial Corporation †		2,395		30,057
PRA Group Incorporated †		5,759		268,801
Regional Management Corporation †		3,512		64,234
Repay Holdings Corporation †		1,824		46,147
World Acceptance Corporation †		311		28,298
				1,186,002
Diversified Financial Services: 0.20%
A-Mark Precious Metals Incorporated †		270		6,458
Alerus Financial Corporation		370		7,618
Cannae Holdings Incorporated †		11,053		417,030
Marlin Business Services Incorporated		484		3,243
On Deck Capital Incorporated †		2,143		3,472
				437,821
Insurance: 2.51%
American Equity Investment Life Holding Company		14,970		357,933
American National Group Incorporated		224		16,802
Amerisafe Incorporated		4,113		274,460
Argo Group International Holdings Limited		1,757		65,255
BRP Group Incorporated Class A †		442		12,159
Citizens Incorporated †		2,833		16,573
CNA Financial Corporation		1,561		50,217
CNO Financial Group Incorporated		28,966		472,146
Crawford & Company Class A		1,492		10,235
Donegal Group Incorporated Class A		2,799		40,390
eHealth Incorporated †		2,035		128,449
Employers Holdings Incorporated		2,667		86,891
Enstar Group Limited †		1,278		228,749
FBL Financial Group Incorporated		922		34,160
FedNat Holding Company		4,293		36,448
Genworth Financial Incorporated Class A †		58,395		176,353
Global Indemnity Group LLC Class A		5,260		122,190
Goosehead Insurance Incorporated Class A		1,776		182,502
Greenlight Capital Limited †		4,323		31,428
HCI Group Incorporated		911		49,850
Heritage Insurance Holdings Incorporated		6,134		80,049
Horace Mann Educators Corporation		6,831		266,819
Independence Holding Company		444		15,540

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

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  17

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Insurance (continued)
Investors Title Company		93	$	12,654
James River Group Holdings Limited		1,586		77,254
Kingstone Company Incorporated		502		2,997
Kinsale Capital Group Incorporated		2,382		493,622
Mercury General Corporation		1,561		69,824
National General Holdings Corporation		11,031		375,606
National Western Life Group Class A		298		65,557
NI Holdings Incorporated †		425		6,936
Palomar Holdings Incorporated †		3,193		358,734
ProAssurance Corporation		2,996		45,899
ProSight Global Incorporated †		6,886		65,279
Protective Insurance Corporation Class B		678		9,736
RLI Corporation		1,808		169,572
Safety Insurance Group Incorporated		2,076		150,302
Selective Insurance Group Incorporated		2,295		137,264
State Auto Financial Corporation		1,456		22,466
Stewart Information Services Corporation		7,297		311,363
Third Point Reinsurance Limited †		6,727		57,583
Tiptree Incorporated		1,245		7,022
Trupanion Incorporated †		2,291		143,714
United Fire Group Incorporated		1,817		45,752
United Insurance Holdings Company		1,620		12,263
Universal Insurance Holdings Company		8,142		151,034
Watford Holdings Limited †		2,847		45,552
				5,593,583
Mortgage REITs: 1.56%
AG Mortgage Investment Trust Incorporated		989		2,749
Anworth Mortgage Asset Corporation		1,651		2,856
Apollo Commercial Real Estate Finance Incorporated		17,461		156,101
Arbor Realty Trust Incorporated		19,187		217,197
Ares Commercial Real Estate		2,411		24,014
Arlington Asset Investment Class A		1,862		5,065
ARMOUR Residential REIT Incorporated		8,681		84,119
Blackstone Mortgage Trust Incorporated Class A		13,383		318,114
Broadmark Realty Capital Incorporated REIT		43,706		428,319
Capstead Mortgage Corporation		8,935		55,129
Cherry Hill Mortgage Investment REIT		10,371		99,147
Chimera Investment Corporation		32,505		288,969
Ellington Financial Incorporated		3,134		39,050
Ellington Residential Mortgage REIT		12,809		145,510
Exantas Capital Corporation REIT		1,289		3,003
Granite Point Mortgage Trust Incorporated		2,329		15,465
Great Ajax Corporation REIT		22,319		203,549
Hannon Armstrong Sustainable Infrastructure Capital Incorporated		13,532		574,569
Invesco Mortgage Capital Incorporated		5,687		17,061
KKR Real Estate Finance Trust		8,029		146,128
Ladder Capital Corporation		5,736		42,733
MFA Financial Incorporated		17,559		47,058
New York Mortgage Trust Incorporated		30,907		81,594
Orchid Island Capital Incorporated REIT		3,619		18,493
PennyMac Mortgage Investment Trust		5,804		99,481
Ready Capital Corporation		1,655		16,931
Redwood Trust Incorporated		4,903		33,978
TPG Real Estate Finance Trust Incorporated		3,040		26,813
Two Harbors Investment Corporation		50,719		276,419
Western Asset Mortgage Capital REIT		2,215		5,028
				3,474,642

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

18  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Thrifts & Mortgage Finance: 1.72%
Axos Financial Incorporated †		11,437	$	283,409
Bridgewater Bancshares Incorporated †		1,199		11,654
Capitol Federal Financial Incorporated		7,981		74,543
Columbia Financial Incorporated †		2,745		29,289
Essa Bancorp Incorporated		496		6,349
Essent Group Limited		8,468		302,308
Federal Agricultural Mortgage Corporation Class C		1,245		84,847
Flagstar Bancorp Incorporated		5,863		184,215
FS Bancorp Incorporated		1,731		68,582
Greene County Bancorp Incorporated		186		4,364
Hingham Institution For Savings Corporation		87		15,952
Home Bancorp Incorporated		401		9,688
Homestreet Incorporated		3,013		82,466
Kearny Financial Corporation		4,635		35,968
Luther Burbank Corporation		907		8,426
Merchants Bancorp Incorporated		2,837		57,818
Meridian Bancorp Incorporated		2,815		32,767
Meta Financial Group Incorporated		10,889		209,940
MMA Capital Management LLC †		240		5,635
Mr. Cooper Group Incorporated †		22,927		420,137
NMI Holdings Incorporated Class A †		15,671		268,758
Northfield Bancorp Incorporated		2,622		25,329
Northwest Bancshares Incorporated		5,802		58,658
OP Bancorp		681		4,154
PCSB Financial Corporation		738		9,358
PDL Community Bancorp †		350		2,839
PennyMac Financial Services Incorporated		7,929		418,017
Pioneer Bancorp Incorporated †		621		4,993
Premier Financial Corporation		2,141		39,127
Provident Bancorp Incorporated		186		1,447
Provident Financial Holdings Incorporated		258		3,073
Provident Financial Services Incorporated		4,909		64,701
Prudential Bancorp Incorporated		404		3,996
Radian Group Incorporated		15,037		232,171
Riverview Bancorp Incorporated		11,683		48,251
Southern Missouri Bancorp		371		8,785
Standard AVB Financial Corporation		219		4,041
Sterling Bancorp Incorporated		4,146		12,314
Territorial Bancorp Incorporated		437		9,247
Timberland Bancorp Incorporated		428		7,486
Trustco Bank Corporation		10,919		65,077
Walker & Dunlop Incorporated		4,853		265,847
Washington Federal Incorporated		4,903		114,975
Waterstone Financial Incorporated		1,311		20,307
Western New England Bancorp		1,107		5,668
WSFS Financial Corporation		6,804		199,357
				3,826,333
Health Care: 19.65%
Biotechnology: 9.43%
Acorda Therapeutics Incorporated †		2,323		1,292
Adamas Pharmaceuticals Incorporated †		1,265		6,553
ADMA Biologics Incorporated †		7,733		19,719
Aduro Biotech Incorporated †		35,778		110,912
Adverum Biotechnologies Incorporated †		89		1,086
Aeglea BioTherapeutics Incorporated †		12,074		87,838

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

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  19

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Biotechnology (continued)
Affimed NV †		27,668	$	95,455
Agenus Incorporated †		38,252		166,587
AIM ImmunoTech Incorporated †		1,788		4,023
Akcea Therapeutics Incorporated †		2,413		44,110
Akebia Therapeutics Incorporated †		30,473		317,224
Akero Therapeutics Incorporated †		237		7,726
Albireo Pharma Incorporated †		879		24,454
Alector Incorporated †		2,017		26,060
Allakos Incorporated †		406		36,369
Allogene Therapeutics Incorporated †		1,386		49,411
AMAG Pharmaceuticals Incorporated †		2,857		29,599
Amicus Therapeutics Incorporated †		22,885		334,121
AnaptysBio Incorporated †		1,002		17,365
Anavex Life Sciences Corporation †		5,498		23,312
Anika Therapeutics Incorporated †		1,908		73,134
Apellis Pharmaceuticals Incorporated †		261		8,047
Applied Genetic Technologies Corporation †		1,131		5,813
Aptinyx Incorporated †		1,429		4,730
Aravive Incorporated †		4,679		26,670
Arcturus Therapeutics Holdings Incorporated †		2,753		132,805
Arcus Biosciences Incorporated †		10,596		252,185
Ardelyx Incorporated †		6,057		34,767
Arena Pharmaceuticals Incorporated †		6,720		469,190
Arrowhead Pharmaceuticals Incorporated †		6,140		259,354
Artara Therapeutics Incorporated †		4,599		98,419
Atara Biotherapeutics Incorporated †		1,821		24,547
Athenex Incorporated †		8,296		95,321
Athersys Incorporated †		44,856		97,786
Atreca Incorporated Class A †		314		4,465
Aveo Pharmaceuticals Incorporated †		19,693		93,739
Avid Bioservices Incorporated †		7,788		65,341
BeyondSpring Incorporated †		1,555		19,329
Biocryst Pharmaceuticals Incorporated †		22,944		95,218
Biohaven Pharmaceutical Holding Company †		2,369		150,171
BioSpecifics Technologies Corporation †		2,230		143,835
Bioxcel Therapeutics Incorporated †		75		3,056
Blueprint Medicines Corporation †		1,654		128,069
Brainstorm Cell Therapeutics Incorporated †		1,612		20,327
BridgeBio Pharma Incorporated †		1,825		54,495
Calyxt Incorporated †		6,328		34,393
CareDx Incorporated †		5,640		192,606
Casi Pharmaceuticals Incorporated †		25,997		44,455
Cassava Sciences Incorporated †		6,731		21,135
Castle Biosciences Incorporated †		3,262		149,171
Catabasis Pharmaceuticals Incorporated †		962		6,349
Catalyst Biosciences Incorporated †		5,106		26,653
Catalyst Pharmaceuticals Incorporated †		13,477		44,205
Cel-Sci Corporation †		2,098		27,127
Cellular Biomedicine Group Class I †		793		14,734
Checkpoint Therapeutics Incorporated †		3,808		8,301
Chemocentryx Incorporated †		8,391		448,919
Chimerix Incorporated †		21,019		59,063
Cidara Therapeutics Incorporated †		7,504		23,863
Clovis Oncology Incorporated †		6,463		33,672
Cohbar Incorporated †		89,541		83,542
Coherus Biosciences Incorporated †		9,780		185,527
Constellation Pharmaceuticals Incorporated †		2,186		46,015

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

20  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Biotechnology (continued)
Contrafect Corporation †		5,097	$	27,881
Corbus Pharmaceuticals Holdings †		28,328		263,025
Crinetics Pharmaceuticals Incorporated †		334		5,354
Cue Biopharma Incorporated †		3,316		59,257
Cytokinetics Incorporated †		8,117		194,483
CytomX Therapeutics Incorporated †		9,299		67,883
Deciphera Pharmaceuticals Incorporated †		4,223		190,077
Denali Therapeutics Incorporated †		3,943		125,782
DermTech Incorporated †		750		8,828
Dicerna Pharmaceuticals Incorporated †		8,290		153,531
Dyadic International Incorporated †		2,330		18,524
Dynavax Technologies Corporation †		12,762		76,317
Eagle Pharmaceuticals Incorporated †		3,838		152,292
Editas Medicine Incorporated †		2,865		100,934
Eidos Therapeutics Incorporated †		1,860		80,501
Eiger BioPharmaceuticals Incorporated †		1,619		18,084
Emergent BioSolutions Incorporated †		5,664		645,979
Enanta Pharmaceuticals Incorporated †		3,443		179,690
Enochian Biosciences Incorporated †		2,045		8,344
Epizyme Incorporated †		5,277		68,601
Esperion Therapeutics Incorporated †		3,476		125,484
Evelo Biosciences Incorporated †		864		3,836
Exicure Incorporated †		4,031		8,022
Fate Therapeutics Incorporated †		2,879		104,796
Fennec Pharmaceuticals Incorporated †		20,587		112,817
Fibrogen Incorporated †		4,767		213,705
Five Prime Therapeutics Incorporated †		5,716		24,407
Flexion Therapeutics Incorporated †		9,045		105,465
Fortress Biotech Incorporated †		15,832		62,616
Frequency Therapeutics Incorporated †		2,252		43,554
G1 Therapeutics Incorporated †		2,603		39,956
Geron Corporation †		6,099		12,503
Gossamer Bio Incorporated †		892		12,399
Halozyme Therapeutics Incorporated †		12,958		375,717
Harpoon Therapeutics Incorporated †		1,700		23,392
Heron Therapeutics Incorporated †		12,636		180,695
Hookipa Pharma Incorporated †		3,163		28,277
iBio Incorporated †		6,196		12,950
Immunic Incorporated †		2,556		41,024
Immunogen Incorporated †		60,727		224,690
Immunovant Incorporated †		6,067		206,035
Inovio Pharmaceuticals Incorporated †		19,642		235,508
Insmed Incorporated †		6,103		172,044
Intellia Therapeutics Incorporated †		7,531		162,519
Intercept Pharmaceuticals Incorporated †		1,651		82,352
Invitae Corporation †		5,709		199,587
Ironwood Pharmaceuticals Incorporated †		44,251		446,935
Iveric Bio Incorporated †		9,522		42,754
Jounce Therapeutics Incorporated †		19,236		93,102
Kadmon Holdings Incorporated †		47,851		239,255
KalVista Pharmaceuticals Incorporated †		3,410		44,671
Karuna Therapeutics Incorporated †		286		21,850
Karyopharm Therapeutics Incorporated †		12,570		191,190
Keros Therapeutics Incorporated †		299		16,008
Kezar Life Sciences Incorporated †		2,256		10,964
Kindred Biosciences Incorporated †		4,841		24,011
Kiniksa Pharmaceuticals Limited Class A †		5,119		90,453

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

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  21

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Biotechnology (continued)
Kodiak Sciences Incorporated †		1,121	$	58,953
Krystal Biotech Incorporated †		816		39,013
Kura Oncology Incorporated †		347		8,637
La Jolla Pharmaceutical Company †		1,355		5,691
Lexicon Pharmaceuticals Incorporated †		3,290		5,758
Ligand Pharmaceuticals Incorporated †		3,641		371,382
Lineage Cell Therapeutics Incorporated †		5,133		4,697
Macrogenics Incorporated †		9,080		262,775
Madrigal Pharmaceuticals Incorporated †		982		105,761
Mannkind Corporation †		102,419		178,209
Marker Therapeutics Incorporated †		3,276		5,897
Matinas BioPharma Holdings Incorporated Class I †		11,047		8,640
Medicinova Incorporated †		1,931		10,118
Mei Pharma Incorporated †		14,608		39,734
Mersana Therapeutics Incorporated †		9,996		191,523
Minerva Neurosciences Incorporated †		4,227		13,442
Mirati Therapeutics Incorporated †		619		92,460
Molecular Templates Incorporated †		6,048		70,217
Moleculin Biotech Incorporated †		3,239		2,840
Momenta Pharmaceuticals Incorporated †		11,015		574,653
Morphic Holding Incorporated †		1,121		29,707
Myriad Genetics Incorporated †		10,712		143,219
Nantkwest Incorporated †		8,250		60,225
Natera Incorporated †		4,429		282,172
Neoleukin Therapeutics Incorporated †		1,142		14,515
Neubase Therapeutics Incorporated †		11,459		92,016
Neurobo Pharmaceuticals Incorporated †		244		1,484
NextCure Incorporated †		2,313		20,794
Novavax Incorporated †		8,228		907,834
Nymox Pharmaceutical Corporation †		11,072		27,901
OPKO Health Incorporated †		75,060		243,194
Organogenesis Holdings Incorporated †		6,133		26,403
Orgenesis Incorporated †		7,936		41,823
ORIC Pharmaceuticals Incorporated †		884		22,144
Otonomy Incorporated †		1,484		5,669
Ovid Therapeutics Incorporated †		7,985		45,834
Palatin Technologies Incorporated †		10,195		5,635
PDL BioPharma Incorporated		17,463		58,501
Pfenex Incorporated †		4,376		54,831
Pieris Pharmaceuticals Incorporated †		40,826		116,762
Precigen Incorporated †		2,018		12,209
Precision BioSciences Incorporated †		2,043		11,523
Principia Biopharma Incorporated †		3,815		381,538
Protagonist Therapeutics Incorporated †		329		7,370
Proteostasis Therapeutics Incorporated †		2,585		3,490
PTC Therapeutics Incorporated †		3,555		175,706
Puma Biotechnology Incorporated †		17,654		181,660
Radius Health Incorporated †		9,527		117,944
REGENXBIO Incorporated †		3,114		95,039
Retrophin Incorporated †		10,790		211,376
Revolution Medicines Incorporated †		816		23,125
Rigel Pharmaceuticals Incorporated †		90,693		225,826
Sangamo Therapeutics Incorporated †		18,783		207,270
Savara Incorporated †		2,339		3,415
Scholar Rock Holding Corporation †		4,833		72,978
Selecta Biosciences Incorporated †		8,784		22,838
Seres Therapeutics Incorporated †		16,269		430,966

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

22  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Biotechnology (continued)
Soleno Therapeutics Incorporated †		15,851	$	33,921
Sorrento Therapeutics Incorporated †		33,446		267,902
Spectrum Pharmaceuticals Incorporated †		1,408		5,928
Spero Therapeutics Incorporated †		1,210		13,153
Springworks Therapeutics Incorporated †		48		2,132
Sutro Biopharma Incorporated †		7,190		71,972
Syndax Pharmaceuticals Incorporated †		2,368		38,622
Syros Pharmaceuticals Incorporated †		2,236		29,627
T2 Biosystems Incorporated †		3,735		5,827
TCR2 Therapeutics Incorporated †		1,895		38,317
TG Therapeutics Incorporated †		7,052		174,925
Translate Bio Incorporated †		5,619		79,172
Turning Point Therapeutics Incorporated †		282		22,047
Twist Bioscience Corporation †		3,437		240,349
Tyme Technologies Incorporated †		4,334		4,377
Ultragenyx Pharmaceutical Incorporated †		3,339		284,015
Unity Biotechnology Incorporated †		366		1,149
Vanda Pharmaceuticals Incorporated †		8,363		86,055
Vaxart Incorporated †		10,128		60,059
VBI Vaccines Incorporated †		21,084		89,818
Veracyte Incorporated †		6,725		224,010
Verastem Incorporated †		38,426		48,417
Vericel Corporation †		13,436		212,961
Viela Bio Incorporated †		1,485		50,030
Viking Therapeutics Incorporated †		10,748		71,904
Vir Biotechnology Incorporated †		1,587		64,242
Voyager Therapeutics Incorporated †		6,771		79,830
vTv Therapeutics Incorporated Class A †		64,430		134,014
Xbiotech Incorporated †		4,152		78,556
Xencor Incorporated †		7,662		273,917
XOMA Corporation †		1,153		21,930
Y-mAbs Therapeutics Incorporated †		1,536		66,094
				21,005,277
Health Care Equipment & Supplies: 3.47%
Accuray Incorporated †		18,519		43,149
Alphatec Holdings Incorporated †		3,178		19,036
AngioDynamics Incorporated †		2,195		20,556
Antares Pharma Incorporated †		32,769		92,736
Apyx Medical Corporation †		1,513		6,945
Aspira Women’s Health Incorporated †		2,274		6,515
Atricure Incorporated †		3,637		162,683
Atrion Corporation		228		144,032
Avanos Medical Incorporated †		6,860		222,264
Axogen Incorporated †		3,451		40,963
Bellerophon Therapeutics Incorporated †		3,054		32,953
BioLife Solutions Incorporated †		7,461		159,069
Biomerica Incorporated †		632		4,588
Cantel Medical Corporation		4,208		220,836
Cardiovascular Systems Incorporated †		4,921		160,769
Cerus Corporation †		11,647		74,191
Chembio Diagnostics Incorporated †		878		3,600
Co-Diagnostics Incorporated †		4,575		49,868
ConforMIS Incorporated †		3,893		2,764
CONMED Corporation		5,149		444,410
CryoLife Incorporated †		4,357		88,099

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

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  23

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Health Care Equipment & Supplies (continued)
Cryoport Incorporated †		3,278	$	181,863
Cutera Incorporated †		6,823		111,693
Cytosorbents Corporation †		3,219		27,168
Electromed Incorporated †		916		11,340
Fonar Corporation †		4,578		116,144
Genmark Diagnostics Incorporated †		6,616		85,810
Heska Corporation †		417		43,201
Inogen Incorporated †		2,814		85,067
Integer Holdings Corporation †		5,822		403,232
Intricon Corporation †		5,722		69,465
Invacare Corporation		2,616		17,736
IRadimed Corporation †		3,942		83,570
iRhythm Technologies Incorporated †		1,112		244,840
Lantheus Holdings Incorporated †		15,622		209,647
LeMaitre Vascular Incorporated		5,591		180,477
LivaNova plc †		3,962		185,818
Meridian Bioscience Incorporated †		8,628		122,000
Merit Medical Systems Incorporated †		7,862		386,024
Mesa Laboratories Incorporated		309		75,989
Milestone Scientific Incorporated †		55,083		82,625
Misonix Incorporated †		867		11,436
Natus Medical Incorporated †		7,907		143,591
Neogen Corporation †		4,441		338,404
Nevro Corporation †		2,145		295,023
NuVasive Incorporated †		4,774		248,869
Nuvectra Corporation †(a)		3,733		0
OraSure Technologies Incorporated †		16,086		188,528
Orthofix Medical Incorporated †		2,112		64,078
Orthopediatrics Corporation †		1,013		51,055
Oxford Immunotec Global plc †		1,336		18,183
Repro-Med Systems Incorporated †		12,061		104,810
Retractable Technologies Incorporated †		20,800		131,456
Rockwell Medical Incorporated †		3,848		5,041
Seaspine Holdings Corporation †		1,231		16,385
SI-BONE Incorporated †		1,304		28,453
Silk Road Medical Incorporated †		2,122		129,400
SmileDirectClub Incorporated †		4,398		35,712
STAAR Surgical Company †		6,235		298,968
Stereotaxis Incorporated †		2,793		9,831
Surgalign Holdings Incorporated †		8,666		19,239
Surmodics Incorporated †		2,197		99,414
Tactile Systems Technology Class I †		3,696		142,037
TransMedics Group Incorporated †		1,274		22,715
Utah Medical Products Incorporated		2,085		171,283
Vapotherm Incorporated †		756		23,519
Varex Imaging Corporation †		5,430		60,219
Venus Concept Incorporated †		1,451		4,164
Wright Medical Group NV †		8,656		261,671
Zynex Incorporated †		6,064		89,747
				7,736,966
Health Care Providers & Services: 2.51%
AdaptHealth Corporation †		575		12,207
Addus Homecare Corporation †		1,995		186,852
American Renal Associates Holdings †		728		4,907
AMN Healthcare Services Incorporated †		5,978		321,856

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

24  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Health Care Providers & Services (continued)
Apollo Medical Holdings Incorporated †		1,752	$	33,095
BioTelemetry Incorporated †		2,154		85,255
Community Health Systems Incorporated †		10,315		53,329
CorVel Corporation †		598		49,646
Covetrus Incorporated †		5,909		135,375
Cross Country Healthcare Incorporated †		2,768		17,688
Enzo Biochem Incorporated †		15,909		33,886
Exagen Incorporated †		338		4,874
Five Star Senior Living Incorporated †		54,694		282,768
Fulgent Genetics Incorporated †		712		21,047
Genesis Healthcare Incorporated †		4,052		2,690
Hanger Incorporated †		5,611		110,873
HealthEquity Incorporated †		1,599		91,911
InfuSystem Holdings Incorporated †		3,048		44,348
LHC Group Incorporated †		1,296		270,138
Magellan Health Services Incorporated †		3,226		243,434
MEDNAX Incorporated †		4,044		75,138
National Healthcare Corporation		1,161		73,956
National Research Corporation Class A		2,361		132,216
Ontrak Incorporated †		664		48,439
Option Care Health Incorporated †		97		1,127
Owens & Minor Incorporated		25,347		420,253
Patterson Companies Incorporated		13,841		401,527
PetIQ Incorporated †		1,813		63,781
Premier Incorporated Class A		4,334		141,939
Providence Service Corporation †		1,887		174,717
R1 RCM Incorporated †		14,769		214,151
RadNet Incorporated †		4,830		69,649
Select Medical Holdings Corporation †		23,920		480,074
Sharps Compliance Corporation †		4,168		31,823
Tenet Healthcare Corporation †		21,479		605,278
The Ensign Group Incorporated		8,127		475,755
The Joint Corporation †		953		17,021
The Pennant Group Incorporated †		1,317		48,782
Triple-S Management Corporation Class B †		793		14,750
U.S. Physical Therapy Incorporated		982		87,300
Viemed Healthcare Incorporated †		907		9,859
				5,593,714
Health Care Technology: 1.24%
Allscripts Healthcare Solutions Incorporated †		19,447		173,662
Castlight Health Incorporated Class B †		4,980		6,872
Computer Programs & Systems Incorporated		9,471		259,127
Evolent Health Incorporated Class A †		10,802		154,793
Health Catalyst Incorporated †		1,303		40,628
HealthStream Incorporated †		4,478		92,762
HMS Holdings Corporation †		12,479		348,039
iCAD Incorporated †		1,122		12,151
Inovalon Holdings Incorporated Class A †		15,996		395,821
Inspire Medical Systems Incorporated †		3,667		438,023
NantHealth Incorporated †		1,510		4,802
NextGen Healthcare Incorporated †		3,615		47,935
Omnicell Incorporated †		3,877		258,518
OptimizeRx Corporation †		998		20,120
Phreesia Incorporated †		1,126		35,514
Simulations Plus Incorporated		4,163		248,032

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

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  25

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Health Care Technology (continued)
Tabula Rasa Healthcare Incorporated †		3,414	$	172,748
Vocera Communications Incorporated †		1,926		53,909
				2,763,456
Life Sciences Tools & Services: 0.81%
Accelerate Diagnostics Incorporated †		88		1,072
Champions Oncology Incorporated †		9,777		80,954
Chromadex Corporation †		9,904		49,025
Codexis Incorporated †		4,795		66,171
Harvard Bioscience Incorporated †		47,552		159,299
Luminex Corporation		9,337		249,205
Medpace Holdings Incorporated †		5,251		681,527
Nanostring Technologies Incorporated †		2,820		114,154
Neogenomics Incorporated †		7,555		294,267
Personalis Incorporated †		1,495		34,116
Quanterix Corporation †		2,049		72,944
				1,802,734
Pharmaceuticals: 2.19%
Akorn Incorporated †		5,696		196
Amneal Pharmaceuticals Incorporated †		47,232		194,124
Amphastar Pharmaceuticals Incorporated †		12,238		249,410
Ampio Pharmaceuticals Incorporated †		10,184		7,292
ANI Pharmaceuticals Incorporated †		1,371		42,995
Aquestive Therapeutics Incorporated †		9,338		73,397
Arvinas Incorporated †		1,951		50,628
Assembly Biosciences Incorporated †		4,623		101,105
Assertio Holdings Incorporated †		5,117		4,145
Avenue Therapeutics Incorporated †		8,062		89,730
Axsome Therapeutics Incorporated †		465		34,089
Aytu Bioscience Incorporated †		5,407		5,731
BioDelivery Sciences International Incorporated †		29,056		113,609
Cerecor Incorporated †		14,065		34,600
Clearside Biomedical Incorporated †		1,818		3,127
Collegium Pharmaceutical Incorporated †		9,802		186,826
Corcept Therapeutics Incorporated †		29,261		371,615
Dova Pharmaceuticals Incorporated †(a)		2,458		0
Durect Corporation †		35,084		60,871
Endo International plc †		14,412		43,380
Eton Pharmaceuticals Incorporated †		701		5,496
Eyepoint Pharmaceuticals Incorporated †		5,050		2,702
Harrow Health Incorporated †		2,990		20,601
Innoviva Incorporated †		33,334		390,341
Intersect ENT Incorporated †		4,182		83,975
Kala Pharmaceuticals Incorporated †		2,875		25,588
Lannett Company Incorporated †		4,155		21,855
Liquidia Technologies Incorporated †		2,533		12,969
Mallinckrodt plc †		5,517		8,717
MyoKardia Incorporated †		3,605		394,531
Nabriva Therapeutics plc †		7,160		4,435
NGM Biopharmaceuticals Incorporated †		1,001		18,669
Ocular Therapeutix Incorporated †		6,509		56,628
Omeros Corporation †		7,312		87,378
Optinose Incorporated †		1,763		8,022
Osmotica Pharmaceuticals plc †		10,211		60,653
Pacira Pharmaceuticals Incorporated †		7,286		455,521

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

26  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Pharmaceuticals (continued)
Paratek Pharmaceuticals Incorporated †		3,968	$	18,253
Phibro Animal Health Corporation Class A		12,828		275,289
Prestige Consumer Healthcare Incorporated †		14,183		516,687
Recro Pharma Incorporated		2,698		7,420
Relmada Therapeutics Incorporated †		665		23,727
Scpharmaceuticals Incorporated †		600		5,136
Siga Technologies Incorporated †		17,812		123,793
Strongbridge Biopharma plc †		18,768		72,069
Supernus Pharmaceuticals Incorporated †		15,425		339,196
Theravance Biopharma Incorporated †		9,219		168,984
				4,875,505
Industrials: 14.12%
Aerospace & Defense: 0.96%
AAR Corporation		6,005		121,181
Aerojet Rocketdyne Holdings Incorporated †		6,427		265,885
AeroVironment Incorporated †		3,056		233,448
Astronics Corporation †		1,100		9,944
Cubic Corporation		3,000		141,240
Ducommun Incorporated †		2,743		102,506
Kratos Defense & Security Solutions Incorporated †		3,102		60,644
Maxar Technologies Incorporated		12,373		286,435
Moog Incorporated Class A		5,285		318,633
National Presto Industries Incorporated		1,041		93,617
PAE Incorporated †		9,104		80,434
Park Aerospace Corporation		1,078		11,955
Parsons Corporation †		2,600		86,476
Spirit AeroSystems Holdings Incorporated Class A		4,669		95,995
Vectrus Incorporated †		5,075		220,306
				2,128,699
Air Freight & Logistics: 0.34%
Air Transport Services Group Incorporated †		8,153		207,249
Atlas Air Worldwide Holdings Incorporated †		731		41,221
Echo Global Logistics Incorporated †		4,735		129,360
Forward Air Corporation		1,612		95,092
Hub Group Incorporated Class A †		5,036		271,138
Radiant Logistics Incorporated †		2,057		10,861
				754,921
Airlines: 0.25%
Allegiant Travel Company		528		67,901
Hawaiian Holdings Incorporated		2,293		30,818
Mesa Air Group Incorporated †		36,936		135,186
SkyWest Incorporated		6,519		219,364
Spirit Airlines Incorporated †		6,013		107,512
				560,781
Building Products: 1.54%
Aaon Incorporated		5,099		290,286
Alpha Pro Tech Limited †		1,168		16,387
American Woodmark Corporation †		1,952		170,800
Apogee Enterprises Incorporated		2,851		59,671
Builders FirstSource Incorporated †		19,850		607,807
Cornerstone Building Brands Incorporated †		3,046		24,246

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

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  27

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Building Products (continued)
CSW Industrials Incorporated		2,465	$	178,096
Gibraltar Industries Incorporated †		4,796		299,486
Griffon Corporation		7,182		156,065
Insteel Industries Incorporated		1,941		35,792
JELD-WEN Holding Incorporated †		5,477		115,291
Masonite International Corporation †		2,122		193,717
Patrick Industries Incorporated		4,131		232,204
PGT Incorporated †		6,577		119,241
Quanex Building Products Corporation		1,756		29,518
Resideo Technologies Incorporated †		1,577		21,069
Simpson Manufacturing Company Incorporated		2,835		278,794
UFP Industries Incorporated		10,111		600,088
				3,428,558
Commercial Services & Supplies: 1.97%
ABM Industries Incorporated		9,085		346,502
ACCO Brands Corporation		37,419		242,475
Acme United Corporation		142		3,130
Advanced Disposal Services Incorporated †		3,927		118,321
Brady Corporation Class A		7,264		340,609
Casella Waste Systems Incorporated Class A †		4,658		261,547
Ceco Environmental Corporation †		2,118		17,950
Cimpress plc †		2,651		245,748
Deluxe Corporation		1,101		31,268
Ennis Incorporated		3,895		71,395
Healthcare Services Group Incorporated		10,601		220,501
Heritage Crystal Clean Incorporated †		984		14,445
Herman Miller Incorporated		7,392		176,151
HNI Corporation		7,745		246,678
Interface Incorporated		8,076		61,055
KAR Auction Services Incorporated		17,185		297,988
Kimball International Incorporated Class B		2,588		29,011
Knoll Incorporated		5,747		73,964
Matthews International Corporation Class A		1,867		40,887
McGrath RentCorp		3,766		249,912
Perma-Fix Environmental Services Incorporated †		637		4,555
PICO Holdings Incorporated †		699		6,214
Pitney Bowes Incorporated		11,780		64,672
Quad Graphics Incorporated		1,656		5,779
RR Donnelley & Sons Company		3,416		4,509
SP Plus Corporation †		3,341		68,524
Steelcase Incorporated Class A		18,214		190,336
TEAM Incorporated †		2,002		12,753
Tetra Tech Incorporated		3,060		282,469
The Brink’s Company		1,711		82,744
UniFirst Corporation		1,966		378,691
US Ecology Incorporated		2,275		84,471
Viad Corporation		1,055		22,609
VSE Corporation		3,398		98,644
				4,396,507
Construction & Engineering: 1.25%
Aegion Corporation †		1,739		28,146
Ameresco Incorporated Class A †		3,383		115,496
APi Group Corporation 144A†		11,517		162,850
Arcosa Incorporated		5,364		248,300

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

28  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Construction & Engineering (continued)
Comfort Systems Incorporated		3,792	$	192,141
Concrete Pumping Holdings Incorporated †		1,313		4,766
Construction Partners Incorporated Class A †		2,626		49,080
Dycom Industries Incorporated †		2,825		173,766
EMCOR Group Incorporated		2,733		205,002
Fluor Corporation		18,215		173,407
Goldfield Corporation †		1,274		5,567
Granite Construction Incorporated		6,543		121,634
Great Lakes Dredge & Dock Company †		8,932		83,693
HC2 Holdings Incorporated †		1,873		4,683
IES Holdings Incorporated †		474		13,665
MasTec Incorporated †		10,449		482,848
MYR Group Incorporated †		2,925		113,519
Northwest Pipe Company †		2,398		67,935
Orion Marine Group Incorporated †		1,586		4,139
Primoris Services Corporation		8,113		154,634
Sterling Construction Company Incorporated †		5,071		71,704
Tutor Perini Corporation †		1,915		24,033
Valmont Industries Incorporated		1,282		162,878
WillScot Mobile Mini Holdings Corporation Class A †		6,272		112,269
				2,776,155
Electrical Equipment: 1.07%
Allied Motion Technologies Incorporated		1,519		64,694
Atkore International Incorporated †		12,498		334,072
AZZ Incorporated		4,470		155,243
Bloom Energy Corporation Class A †		4,228		66,210
Encore Wire Corporation		3,276		169,074
EnerSys		6,063		436,415
GrafTech International Limited		3,578		23,829
LSI Industries Incorporated		3,437		23,578
Orion Energy Systems Incorporated †		36,449		232,545
Plug Power Incorporated †		7,369		95,650
Powell Industries Incorporated		1,459		39,378
Preformed Line Products Company		54		2,938
Sunrun Incorporated †		3,225		182,390
Thermon Group Holdings Incorporated †		2,754		36,243
TPI mposites Incorporated †		4,033		123,853
Ultralife Batteries Incorporated †		598		3,779
Vertiv Holdings Corporation †		10,190		165,384
Vicor Corporation †		2,564		223,145
				2,378,420
Industrial Conglomerates: 0.05%
Raven Industries Incorporated		4,704		116,894
Machinery: 3.47%
Alamo Group Incorporated		1,135		125,872
Albany International Corporation Class A		4,069		211,181
Altra Industrial Motion Corporation		3,890		151,905
Astec Industries Incorporated		4,232		223,111
Barnes Group Incorporated		3,679		145,688
Blue Bird Corporation †		5,849		66,562
Briggs & Stratton Corporation		1,838		268
Chart Industries Incorporated †		1,200		78,864
Circor International Incorporated †		920		27,278

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

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  29

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Machinery (continued)
Columbus McKinnon Corporation		2,612	$	95,012
Douglas Dynamics Incorporated		2,906		111,561
Eastern Company		276		6,044
Enerpac Tool Group Corporation		4,442		92,394
ESCO Technologies Incorporated		2,641		237,479
Evoqua Water Technologies Company †		12,274		251,126
Federal Signal Corporation		8,877		285,129
Foster Company Class A †		1,283		19,181
Franklin Electric Company Incorporated		6,999		415,461
Gates Industrial Corporation plc †		2,439		27,536
Gencor Industries Incorporated †		479		6,040
Gorman Rupp Company		2,893		92,431
Graham Corporation		492		6,460
Helios Technologies Incorporated		1,824		74,985
Hurco Companies Incorporated		381		10,775
Hyster Yale Materials Handeling Incorporated		2,216		89,393
John Bean Technologies Corporation		1,231		126,190
Kadant Incorporated		2,075		241,613
Kennametal Incorporated		6,146		178,357
Lindsay Manufacturing Company		1,278		127,711
Lydall Incorporated †		765		14,367
Manitex International Incorporated †		831		3,748
Manitowoc Company Incorporated †		4,739		44,641
Meritor Incorporated †		18,033		410,431
Miller Industries Incorporated		1,621		50,851
Mueller Industries Incorporated		8,538		253,579
Mueller Water Products Incorporated Class A		23,855		257,634
Navistar International Corporation †		8,339		266,681
NN Incorporated		2,148		9,773
Omega Flex Incorporated		1,481		195,107
Park Ohio Holdings Corporation		1,145		18,114
Proto Labs Incorporated †		1,529		224,763
RBC Bearings Incorporated †		971		128,211
REV Group Incorporated		1,420		11,005
Rexnord Corporation		7,133		206,572
SPX Corporation †		7,101		297,035
SPX FLOW Incorporated †		2,961		128,744
Standex International Corporation		1,959		113,309
Tennant Company		2,161		143,642
Terex Corporation		9,761		191,023
The ExOne Company †		801		9,788
The Greenbrier Companies Incorporated		4,884		132,796
The Shyft Group Incorporated		13,333		266,260
The Timken Company		3,839		208,035
Titan International Incorporated		2,348		5,588
Trimas Corporation †		2,582		65,273
Trinity Industries Incorporated		4,715		96,516
Twin Disc Incorporated †		613		3,709
Wabash National Corporation		3,070		37,485
Watts Water Technologies Incorporated		3,054		292,421
Welbilt Incorporated †		16,356		120,707
				7,733,415
Marine: 0.15%
Costamare Incorporated		26,121		131,911
Genco Shipping & Trading Limited		1,059		7,529

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

30  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Marine (continued)
Matson Incorporated		3,596	$	144,092
Pangaea Logistics Solutions Limited		18,979		46,499
Scorpio Bulkers Incorporated		314		4,387
				334,418
Professional Services: 0.97%
Akerna Corporation †		367		2,220
ASGN Incorporated †		4,101		294,329
Barrett Business Services Incorporated		1,529		88,025
BG Staffing Incorporated		10,016		93,950
CBIZ Incorporated †		5,418		131,766
CRA International Incorporated		762		32,393
Exponent Incorporated		3,895		313,372
Franklin Covey Company †		593		11,706
GP Strategies Corporation †		1,763		17,031
Heidrick & Struggles International Incorporated		1,148		24,831
Hill International Incorporated †		2,241		3,294
Huron Consulting Group Incorporated †		1,441		62,511
ICF International Incorporated		1,552		106,017
InnerWorkings Incorporated †		2,080		5,907
Insperity Incorporated		4,550		306,534
Kelly Services Incorporated Class A		3,553		67,471
Kforce Incorporated		6,309		216,651
Korn Ferry International		5,293		161,437
Mistras Group Incorporated †		1,327		6,317
Red Violet Incorporated †		217		4,511
Resources Connection Incorporated		1,722		21,163
TriNet Group Incorporated †		2,007		136,155
TrueBlue Incorporated †		2,097		35,481
Willdan Group Incorporated †		1,001		28,208
				2,171,280
Road & Rail: 0.76%
Arcbest Corporation		2,623		88,710
Avis Budget Group Incorporated †		5,153		175,769
Covenant Transport Incorporated Class A †		1,247		22,858
Heartland Express Incorporated		5,280		109,217
Marten Transport Limited		12,066		219,119
P.A.M. Transportation Services Incorporated †		105		3,833
Saia Incorporated †		3,481		467,150
Schneider National Incorporated Class B		3,560		96,334
Universal Logistics Holdings Incorporated		962		20,683
US Xpress Enterprises Incorporated Class A †		3,629		34,730
Werner Enterprises Incorporated		9,899		455,453
YRC Worldwide Incorporated †		1,490		6,213
				1,700,069
Trading Companies & Distributors: 1.34%
Alta Equipment Group Incorporated †		717		5,987
Applied Industrial Technologies Incorporated		4,252		256,013
Beacon Roofing Supply Incorporated †		526		17,826
BMC Stock Holdings Incorporated †		10,260		409,579
CAI International Incorporated †		3,033		66,150
DXP Enterprises Incorporated †		2,607		50,159
EVI Industries Incorporated †		162		3,979

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

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  31

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Trading Companies & Distributors (continued)
Foundation Building Materials Incorporated †		2,799	$	45,428
GATX Corporation		722		48,287
General Finance Corporation †		770		4,990
GMS Incorporated †		9,945		263,443
H&E Equipment Services Incorporated		3,977		80,574
Herc Holdings Incorporated †		1,461		59,828
Kaman Corporation		390		18,038
Lawson Products Incorporated †		1,009		36,223
MRC Global Incorporated †		4,596		26,151
Rush Enterprises Incorporated		5,692		275,037
Rush Enterprises Incorporated Class B		3,735		156,086
SiteOne Landscape Supply Incorporated †		2,301		287,740
Systemax Incorporated		4,208		93,376
Textainer Group Holdings Limited †		328		3,851
Titan Machinery Incorporated †		1,088		14,688
Transcat Incorporated †		377		11,088
Triton International Limited		7,311		263,635
Veritiv Corporation †		4,060		70,563
WESCO International Incorporated †		8,796		412,093
Willis Lease Finance Corporation †		108		2,309
				2,983,121
Information Technology: 13.18%
Communications Equipment: 1.08%
Acacia Communications Incorporated †		2,915		196,704
ADTRAN Incorporated		5,702		63,235
Applied Optoelectronics Incorporated †		1,491		17,340
Calamp Corporation †		2,590		21,160
Calix Networks Incorporated †		11,089		215,681
Casa Systems Incorporated †		1,865		8,486
Clearfield Incorporated †		2,332		41,043
Comtech Telecommunications Corporation		3,349		55,593
Digi International Incorporated †		2,204		30,018
DZS Incorporated †		838		8,732
Echostar Corporation		2,873		84,409
Emcore Corporation †		1,464		5,168
Extreme Networks Incorporated †		7,696		33,632
Genasys Incorporated †		1,570		7,850
Harmonic Incorporated †		5,235		30,887
Infinera Corporation †		18,603		135,616
Inseego Corporation †		13,054		149,860
InterDigital Incorporated		4,572		279,578
KVH Industries Incorporated †		939		8,442
NETGEAR Incorporated †		7,812		260,530
NetScout Systems Incorporated †		11,245		260,209
PCTEL Incorporated		20,128		127,612
Plantronics Incorporated		2,623		32,420
Ribbon Communications Incorporated †		3,447		14,753
Ubiquiti Incorporated		493		89,603
Viavi Solutions Incorporated †		17,884		238,483
				2,417,044
Electronic Equipment, Instruments & Components: 2.23%
Airgain Incorporated †		443		5,892
Badger Meter Incorporated		4,506		277,975

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

32  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Electronic Equipment, Instruments & Components (continued)
Bel Fuse Incorporated Class B		4,252	$	51,109
Belden Incorporated		3,496		117,745
Benchmark Electronics Incorporated		6,316		123,857
CTS Corporation		1,897		39,647
Daktronics Incorporated		1,991		8,800
ePlus Incorporated †		3,765		288,851
Fabrinet †		4,273		298,170
FARO Technologies Incorporated †		637		35,991
Fitbit Incorporated Class A †		18,621		118,430
IEC Electronics Corporation †		438		3,679
II-VI Incorporated †		3,706		164,917
Insight Enterprises Incorporated †		7,031		420,489
Intellicheck Incorporated †		653		4,114
Iteris Incorporated †		3,556		16,251
Itron Incorporated †		2,740		163,222
Kimball Electronics Incorporated †		14,542		196,099
Knowles Corporation †		8,084		121,745
Luna Innovations Incorporated †		12,947		82,861
Methode Electronics Incorporated		9,259		262,122
MTS Systems Corporation		1,050		25,620
Napco Security Technologies Incorporated †		633		15,768
Novanta Incorporated †		1,659		177,795
OSI Systems Incorporated †		1,538		121,118
PC Connection Incorporated		1,887		83,575
Plexus Corporation †		5,376		408,952
PowerFleet Incorporated †		2,261		12,707
Rogers Corporation †		316		35,806
Sanmina Corporation †		13,647		386,210
ScanSource Incorporated †		7,594		187,496
TTM Technologies Incorporated †		24,010		275,155
Vishay Intertechnology Incorporated		25,475		407,345
Vishay Precision Group Incorporated †		567		14,124
Wayside Technology Group Incorporated		236		5,865
				4,959,502
IT Services: 2.12%
Alliance Data Systems Corporation		2,380		107,362
Brightcove Incorporated †		2,249		25,009
Cardtronics Incorporated Class A †		8,788		190,787
Cass Information Systems Incorporated		732		28,665
CSG Systems International Incorporated		6,266		266,744
Endurance International Group Holdings †		6,904		44,945
Evertec Incorporated		6,723		235,439
EVO Payments Incorporated Class A †		4,963		142,587
ExlService Holdings Incorporated †		4,565		290,745
GreenSky Incorporated Class A †		2,472		10,753
Grid Dynamics Holdings Incorporated †		2,838		21,058
GTT Communications Incorporated †		1,641		8,172
Hackett Group Incorporated		6,583		83,012
I3 Verticals Incorporated Class A †		248		6,917
Information Services Group Incorporated †		39,039		80,225
International Money Express Incorporated †		10,394		175,866
KBR Incorporated		9,774		244,252
Limelight Networks Incorporated †		15,391		87,267
LiveRamp Holdings Incorporated †		2,542		141,945
ManTech International Corporation Class A		5,362		401,346

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

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  33

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
IT Services (continued)
Mastech Holdings Incorporated †		8,111	$	150,054
MAXIMUS Incorporated		3,407		264,213
Moneygram International Incorporated †		6,282		18,343
NIC Incorporated		11,733		250,852
PaySign Incorporated †		1,292		8,320
Perficient Incorporated †		5,754		246,904
Perspecta Incorporated		5,952		123,623
PFSweb Incorporated †		13,917		117,599
PRGX Global Incorporated †		1,170		6,458
Sabre Corporation		12,785		89,367
ServiceSource International Incorporated †		8,326		12,531
Switch Incorporated Class A		2,431		41,813
Sykes Enterprises Incorporated †		10,628		351,840
TTEC Holdings Incorporated		1,545		87,586
Tucows Incorporated Class A †		125		7,903
Unisys Corporation †		3,584		41,789
Verra Mobility Corporation †		17,892		189,029
Virtusa Corporation †		2,936		116,089
				4,717,409
Semiconductors & Semiconductor Equipment: 2.30%
Acm Research Incorporated Class A †		632		56,128
Advanced Energy Industries Incorporated †		1,811		134,231
Alpha & Omega Semiconductor Limited †		5,405		73,238
Ambarella Incorporated †		457		24,084
Amkor Technology Incorporated †		23,065		281,278
Axcelis Technologies Incorporated †		8,653		204,470
AXT Incorporated †		2,394		13,502
Brooks Automation Incorporated		4,693		242,300
Cabot Microelectronics Corporation		1,737		264,528
Ceva Incorporated †		2,383		100,682
Cohu Incorporated		4,567		78,552
Cyberoptics Corporation †		1,140		36,537
Diodes Incorporated †		6,184		302,150
DSP Group Incorporated †		1,254		17,982
FormFactor Incorporated †		12,885		336,685
GSI Technology Incorporated †		1,035		6,583
Ichor Holdings Limited †		5,456		137,273
Lattice Semiconductor Corporation †		10,811		309,195
MACOM Technology Solutions Holdings Incorporated †		2,945		104,930
Maxeon Solar Technologies Pte Limited †		1,357		28,196
MaxLinear Incorporated Class A †		2,812		68,472
Neophotonics Corporation †		15,682		104,442
NVE Corporation		1,752		93,609
Onto Innovation Incorporated †		2,565		80,131
PDF Solutions Incorporated †		2,543		52,640
Photronics Incorporated †		8,894		89,207
Pixelworks Incorporated †		2,727		6,218
Power Integrations Incorporated		5,790		324,066
Rambus Incorporated †		5,622		75,503
Semtech Corporation †		4,711		276,300
Silicon Laboratories Incorporated †		1,547		158,428
Sitime Corporation †		259		17,063
Smart Global Holdings Incorporated †		3,617		91,148
SunPower Corporation		10,894		121,904
Synaptics Incorporated †		6,117		521,964

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

34  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Semiconductors & Semiconductor Equipment (continued)
Ultra Clean Holdings Incorporated †		9,268	$	227,251
Veeco Instruments Incorporated †		5,053		60,080
				5,120,950
Software: 5.34%
A10 Networks Incorporated †		7,009		59,927
ACI Worldwide Incorporated †		5,121		150,455
Agilysys Incorporated †		2,924		74,182
Alarm.com Holdings Incorporated †		5,270		315,515
Altair Engineering Incorporated Class A †		4,813		202,242
American Software Incorporated Class A		9,212		130,442
AppFolio Incorporated Class A †		2,447		411,169
Appian Corporation †		4,781		292,788
Asure Software Incorporated †		8,049		54,170
Avaya Holdings Corporation †		24,843		385,563
Benefitfocus Incorporated †		5,371		55,536
Blackbaud Incorporated		2,772		176,992
BlackLine Incorporated †		1,205		105,281
Bottomline Technologies (DE) Incorporated †		6,134		292,162
Box Incorporated Class A †		17,578		345,056
Cerence Incorporated †		4,779		254,243
ChannelAdvisor Corporation †		11,345		190,823
Cloudera Incorporated †		17,503		231,215
CommVault Systems Incorporated †		4,992		215,804
Cornerstone OnDemand Incorporated †		6,288		221,778
Digital Turbine Incorporated †		11,111		268,775
Domo Incorporated Class B †		2,998		122,079
Ebix Incorporated		3,554		81,991
eGain Corporation †		11,632		155,636
Envestnet Incorporated †		2,272		188,553
GTY Technology Holdings Incorporated †		2,229		7,278
Ideanomics Incorporated †		2,676		3,425
Intelligent Systems Corporation †		2,953		111,003
J2 Global Incorporated †		5,310		371,647
LivePerson Incorporated †		8,168		487,303
MicroStrategy Incorporated Class A †		2,082		300,724
Mimecast Limited †		2,621		129,058
Mitek Systems Incorporated †		7,950		100,886
MobileIron Incorporated †		8,239		53,801
Model N Incorporated †		5,459		214,648
OneSpan Incorporated †		8,654		186,494
Park City Group Incorporated †		32,104		159,236
Ping Identity Holding Corporation †		867		29,885
Progress Software Corporation		7,538		285,615
PROS Holdings Incorporated †		1,119		43,641
Q2 Holdings Incorporated †		1,213		118,013
Qad Incorporated Class A		3,669		166,866
Qualys Incorporated †		3,434		364,485
Rapid7 Incorporated †		1,395		90,075
Rimini Street Incorporated †		11,180		48,968
Rosetta Stone Incorporated †		3,060		92,963
SailPoint Technologies Holdings Incorporated †		10,389		407,560
Sapiens International Corporation		5,490		184,135
Seachange International Incorporated †		4,952		6,636
Secureworks Corporation Class A †		16,564		214,173
SharpSpring Incorporated †		677		7,433

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

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  35

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Software (continued)
Shotspotter Incorporated †		1,167	$	34,963
Smith Micro Software Incorporated †		30,233		116,095
Solarwinds Corporation †		3,427		72,070
Sprout Social Incorporated Class A †		1,017		39,409
SPS Commerce Incorporated †		6,025		481,277
SVMK Incorporated †		13,533		336,836
Synchronoss Technologies Incorporated †		3,315		14,553
TeleNav Incorporated †		1,805		8,285
Tenable Holdings Incorporated †		2,298		86,497
Upland Software Incorporated †		1,957		76,754
Varonis Systems Incorporated †		4,382		541,308
Verint Systems Incorporated †		5,889		280,081
Veritone Incorporated †		1,310		10,834
Workiva Incorporated †		1,875		110,625
Xperi Holding Corporation		20,808		260,724
Yext Incorporated †		5,156		102,398
Zix Corporation †		15,005		90,930
Zuora Incorporated †		5,210		70,804
				11,902,771
Technology Hardware, Storage & Peripherals: 0.11%
Avid Technology Incorporated †		2,057		16,662
Eastman Kodak Company †		2,268		13,563
Intevac Incorporated †		1,174		7,044
Quantum Corporation †		2,213		12,083
Super Micro Computer Incorporated †		6,884		188,553
				237,905
Materials: 3.86%
Chemicals: 1.78%
Advanced Emissions Solutions Incorporated		18,827		72,860
Advansix Incorporated †		7,016		89,314
Agrofresh Solutions Incorporated †		1,963		4,868
American Vanguard Corporation		2,904		41,092
Avient Corporation		4,691		119,714
Balchem Corporation		1,631		159,349
Cabot Corporation		2,865		106,034
Chase Corporation		477		46,541
Ferro Corporation †		13,647		170,178
Futurefuel Corporation		3,154		38,163
GCP Applied Technologies Incorporated †		1,571		40,940
Hawkins Incorporated		2,950		148,149
HB Fuller Company		7,842		377,749
Ingevity Corporation †		6,253		351,231
Innospec Incorporated		3,506		261,863
Intrepid Potash Incorporated †		743		6,940
Kooper Holdings Incorporated †		11,425		274,886
Kraton Performance Polymers Incorporated †		14,129		198,371
Kronos Worldwide Incorporated		2,321		28,989
Livent Corporation †		13,178		111,749
Minerals Technologies Incorporated		6,562		333,022
Northern Technologies International Corporation		362		3,008
Orion Engineered Carbons SA		4,721		57,360
PQ Group Holdings Incorporated †		2,460		28,659
Rayonier Advanced Materials Incorporated †		2,937		9,281

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

36  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Chemicals (continued)
Sensient Technologies Corporation		4,276	$	236,121
Stepan Company		3,427		395,099
Trecora Resources †		1,553		9,334
Tredegar Corporation		2,580		43,679
Trinseo SA		5,774		143,830
Tronox Holdings plc Class A		5,964		53,437
Venator Materials plc †		1,966		4,227
				3,966,037
Construction Materials: 0.10%
Forterra Incorporated †		4,011		53,146
Summit Materials Incorporated Class A †		8,424		125,433
United States Lime & Minerals Incorporated		126		11,608
US Concrete Incorporated †		967		25,809
				215,996
Containers & Packaging: 0.20%
Ardagh Group SA		1,012		15,403
Greif Incorporated Class A		7,060		260,161
Greif Incorporated Class B		81		3,323
Myers Industries Incorporated		5,190		79,407
O-I Glass Incorporated		2,254		24,524
Ranpak Holdings Corporation †		1,738		15,538
UFP Technologies Incorporated †		801		33,009
				431,365
Metals & Mining: 1.32%
Alcoa Corporation †		6,500		95,030
Allegheny Technologies Incorporated †		10,199		84,958
Arconic Corporation †		5,372		119,527
Caledonia Mining Corporation plc		5,478		99,590
Carpenter Technology Corporation		6,472		136,106
Cleveland Cliffs Incorporated		4,702		30,939
Coeur D’alene Mines Corporation †		12,584		106,461
Commercial Metals Company		25,052		522,835
Compass Minerals International Incorporated		5,978		340,328
Gold Resource Corporation		5,987		23,828
Haynes International Incorporated		720		13,493
Hecla Mining Company		62,686		377,370
Kaiser Aluminum Corporation		1,844		118,532
Materion Corporation		2,850		155,582
Olympic Steel Incorporated		9,170		100,870
Ryerson Holding Corporation †		10,845		59,756
Schnitzer Steel Industries Incorporated Class A		1,716		33,874
Synalloy Corporation †		441		2,783
Universal Stainless & Alloy Products Incorporated †		407		2,735
Warrior Met Coal Incorporated		15,479		239,460
Worthington Industries Incorporated		6,701		278,293
				2,942,350
Paper & Forest Products: 0.46%
Boise Cascade Company		7,718		353,484
Clearwater Paper Corporation †		2,547		85,732
Domtar Corporation		3,012		85,902
Louisiana-Pacific Corporation		5,642		185,847

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

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  37

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Paper & Forest Products (continued)
Neenah Incorporated		1,376	$	60,929
PH Glatfelter Company		2,455		36,800
Schweitzer-Mauduit International Incorporated		5,199		157,686
Verso Corporation Class A		4,963		65,065
				1,031,445
Real Estate: 6.55%
Equity REITs: 5.88%
Acadia Realty Trust		6,417		72,769
Agree Realty Corporation		4,143		277,250
Alexander & Baldwin Incorporated		832		10,076
Alexander’s Incorporated		120		30,608
Alpine Income Property Trust REIT		2,901		42,094
American Assets Trust Incorporated		3,077		78,617
American Finance Trust Incorporated		13,038		89,115
Apple Hospitality REIT Incorporated		11,057		112,450
Armada Hoffler Properties Incorporated		3,835		38,734
Ashford Hospitality Trust REIT		470		1,448
Bluerock Residential Growth REIT Incorporated		1,051		7,788
Braemar Hotels & Resorts Incorporated REIT		1,655		3,955
Brandywine Realty Trust		9,011		100,292
Brookfield Property REIT Incorporated Class A		2,950		34,014
BRT Apartments Corporation REIT		1,320		17,622
CareTrust REIT Incorporated		9,565		185,274
Cedar Shopping Centers Incorporated		3,174		2,667
Chatham Lodging Trust		3,688		25,521
CIM Commercial Trust Corporation REIT		568		5,867
Clipper Realty Incorporated		1,690		11,272
Columbia Property Trust Incorporated		3,323		39,211
Community Healthcare Trust Incorporated		2,747		128,285
CoreCivic Incorporated		31,950		297,455
CorEnergy Infrastructure Trust Incorporated		661		5,909
DiamondRock Hospitality Company		14,622		77,497
Easterly Government Properties Incorporated		11,610		280,846
EastGroup Properties Incorporated		2,803		373,247
Empire State Realty Trust Incorporated Class A		9,707		61,154
Essential Properties Realty Trust Incorporated		11,459		194,459
Farmland Partners REIT Incorporated		12,230		81,819
Four Corners Property Trust Incorporated		13,441		339,385
Franklin Street Properties Corporation		11,472		50,821
Front Yard Residential Corporation REIT		2,408		23,478
Getty Realty Corporation		7,192		210,654
Gladstone Commercial Corporation		1,894		37,141
Gladstone Land REIT Corporation		1,492		23,484
Global Medical REIT Incorporated		3,223		41,222
Global Net Lease Incorporated		10,568		184,940
Healthcare Realty Trust Incorporated		8,323		240,119
Hersha Hospitality Trust Class A		5,878		37,796
Independence Realty Trust Incorporated		15,403		180,369
Industrial Logistics Properties Trust		8,449		182,245
Innovative Industrial Properties Incorporated		1,817		223,655
Investors Real Estate Trust		3,900		277,290
iStar Financial Incorporated		5,555		68,771
Jernigan Capital Incorporated		1,015		17,499
Kite Realty Group Trust		11,271		126,686
Lexington Corporate Properties Trust		25,840		293,801

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

38  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Equity REITs (continued)
LTC Properties Incorporated		10,355	$	377,854
Mack-Cali Realty Corporation		4,421		55,837
Monmouth Real Estate Investment Corporation		8,968		130,126
National Health Investors Incorporated		5,101		317,537
National Storage Affiliates Trust		8,588		294,654
New Senior Investment Group Incorporated		3,836		16,802
New York REIT Liquidating LLC †(a)‡		4,209		67,578
NexPoint Residential Trust Incorporated		5,348		221,407
Office Properties Income Trust		8,239		196,418
One Liberty Properties Incorporated		3,027		57,997
Outfront Media Incorporated		7,401		125,299
Paramount Group Incorporated		10,554		78,100
Park Hotels & Resorts Incorporated		12,094		114,772
Pebblebrook Hotel Trust		15,180		191,572
Pennsylvania REIT		3,090		3,399
Physicians Realty Trust		12,526		227,347
Piedmont Office Realty Trust Incorporated Class A		20,856		319,305
Plymouth Industrial Incorporated		1,271		16,968
Postal Realty Trust Incorporated Class A		261		3,967
PotlatchDeltic Corporation		9,490		436,920
Preferred Apartment Communities Incorporated Class A		2,351		15,517
PS Business Parks Incorporated		1,358		171,380
QTS Realty Trust Incorporated Class A		5,014		340,049
Retail Opportunity Investment Corporation		16,886		187,941
Retail Properties of America Incorporated Class A		23,970		151,251
Retail Value Incorporated		7,834		99,570
RLJ Lodging Trust		23,663		223,379
RPT Realty		13,578		79,567
Ryman Hospitality Properties Incorporated		6,297		240,294
Sabra Health Care REIT Incorporated		17,251		255,832
Safehold Incorporated REIT		1,779		98,681
Saul Centers Incorporated		584		16,364
Service Properties Trust		6,696		54,974
SITE Centers Corporation		23,094		173,436
Spirit MTA REIT (a)		6,981		0
STAG Industrial Incorporated		8,193		264,634
Summit Hotel Properties Incorporated		19,449		114,555
Sunstone Hotel Investors Incorporated		14,866		123,834
Tanger Factory Outlet Centers Incorporated		5,909		33,622
Taubman Centers Incorporated		3,763		144,123
Terreno Realty Corporation		3,901		232,656
The Geo Group Incorporated		16,854		188,091
The Macerich Company		17,158		136,063
UMH Properties Incorporated		3,015		43,838
Uniti Group Incorporated		25,569		251,088
Universal Health Realty Income Trust		2,978		198,692
Urban Edge Properties		23,231		245,319
Urstadt Biddle Properties Incorporated		13,695		127,364
Washington Prime Group Incorporated		6,818		4,636
Washington REIT		8,338		182,936
Weingarten Realty Investors		6,161		107,633
Whitestone REIT		7,276		46,785
Xenia Hotels & Resorts Incorporated		5,227		46,938
				13,101,572

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

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  39

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Real Estate Management & Development: 0.67%
Altisource Portfolio Solutions SA †		587	$	6,615
CTO Realty Growth Incorporated		240		10,121
Cushman & Wakefield plc †		14,528		168,670
eXp World Holdings Incorporated †		3,298		146,695
Five Point Holdings LLC Class A †		2,622		13,634
Forestar Group Incorporated †		978		17,379
FRP Holdings Incorporated †		292		11,995
Kennedy Wilson Holdings Incorporated		17,566		251,018
Marcus & Millichap Incorporated †		3,270		92,247
Maui Land & Pineapple Company Incorporated †		287		3,346
Newmark Group Incorporated Class A		10,288		45,576
RE/MAX Holdings Incorporated Class A		4,226		148,502
Realogy Holdings Corporation		12,816		142,001
Redfin Corporation †		6,623		315,056
The RMR Group Incorporated Class A		2,284		64,454
The St. Joe Company †		2,483		57,630
				1,494,939
Utilities: 2.56%
Electric Utilities: 0.53%
ALLETE Incorporated		1,762		95,078
Genie Energy Limited Class B		1,824		16,124
MGE Energy Incorporated		3,962		257,490
Otter Tail Corporation		4,501		174,864
PNM Resources Incorporated		4,138		180,748
Portland General Electric Company		6,015		229,472
Spark Energy Incorporated Class A		24,921		229,024
				1,182,800
Gas Utilities: 0.75%
Brookfield Infrastructure Corporation Class A		2,817		140,625
Chesapeake Utilities Corporation		3,231		264,296
New Jersey Resources Corporation		4,351		131,139
Northwest Natural Holding Company		4,152		212,209
ONE Gas Incorporated		4,525		335,393
RGC Resources Incorporated		1,472		34,327
South Jersey Industries Incorporated		6,321		140,010
Southwest Gas Holdings Incorporated		3,468		218,033
Spire Incorporated		2,864		166,713
Star Group LP		2,201		21,570
				1,664,315
Independent Power & Renewable Electricity Producers: 0.45%
Brookfield Renewable Corporation Class A		1,336		68,029
Clearway Energy Incorporated Class A		9,172		221,504
Clearway Energy Incorporated Class C		13,918		355,048
Ormat Technologies Incorporated		6,081		370,150
				1,014,731
Multi-Utilities: 0.34%
Avista Corporation		5,450		200,887
Black Hills Corporation		4,666		261,669
Northwestern Corporation		4,429		228,714
Unitil Corporation		1,573		66,381
				757,651

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

40  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

						Shares		Value
Water Utilities: 0.49%
American States Water Company							3,147	$	239,424
Artesian Resources Corporation Class A							1,062		37,372
Cadiz Incorporated †							1,246		13,033
California Water Service Group							5,537		251,048
Consolidated Water Company							3,025		36,391
Global Water Resources Incorporated							886		9,790
Middlesex Water Company							2,535		162,570
Pure Cycle Corporation †							1,250		12,200
SJW Corporation							2,922		182,713
York Water Company							3,211		146,454
									1,090,995
Total Common Stocks (Cost $192,695,021)									216,640,783
				Expiration date
Rights: 0.00%
Financials: 0.00%
Thrifts & Mortgage Finance: 0.00%
NewStar Financial Incorporated †(a)					12-26-2027		9,129		0
Health Care: 0.00%
Pharmaceuticals: 0.00%
Elanco Animal Health Incorporated †(a)					12-31-2021		8,956		0
Total Rights (Cost $225)									0
Warrants: 0.00%
Energy: 0.00%
Energy Equipment & Services: 0.00%
Parker Drilling Company †(a)					9-16-2024		373		0
Oil, Gas & Consumable Fuels: 0.00%
Battalion Oil Corporation †(a)					10-8-2022		375		0
Battalion Oil Corporation †(a)					10-8-2022		300		0
Battalion Oil Corporation †(a)					10-8-2022		482		0
									0
Total Warrants (Cost $0)									0
	Yield
Short-Term Investments: 4.03%
Investment Companies: 4.03%
Wells Fargo Government Money Market Fund Select Class (l)(u)		0.06	%				8,970,027		8,970,027
Total Short-Term Investments (Cost $8,970,027)									8,970,027

Total investments in securities (Cost $201,665,273)	101.27	%		225,610,810
Other assets and liabilities, net	(1.27	)		(2,827,022	)
Total net assets	100.00	%	$	222,783,788

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

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  41

Portfolio of investments—August 31, 2020 (unaudited)

† Non-income-earning security

(a) The security is fair valued in accordance with procedures approved by the Board of Trustees.

‡ Security is valued using significant unobservable inputs.

144A The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933.

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

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

Abbreviations:

REIT Real estate investment trust

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost		Notional value		Unrealized gains		Unrealized losses
Long
E-Mini Russell 2000 Index		70		9-18-2020	$	5,328,379	$	5,464,550	$	136,171	$	0

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:

	Value, beginning of period		Purchases		Sales proceeds			Net realized gains (losses)		Net change in unrealized gains (losses)		Income from affiliated securities		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class	$	6,867,519	$	74,456,859	$	(72,354,351	)	$	0	$	0	$	12,833	$	8,970,027		4.03	%

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

42  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

Statement of assets and liabilities—August 31, 2020 (unaudited)

Assets
Investments in unaffiliated securities, at value (cost $192,695,246)	$	216,640,783
Investments in affiliated securities, at value (cost 8,970,027)		8,970,027
Segregated cash for futures contracts		543,440
Receivable for investments sold		192,179
Receivable for dividends		165,045
Total assets		226,511,474
Liabilities
Payable for investments purchased		3,552,251
Payable for daily variation margin on open futures contracts		50,400
Advisory fee payable		17,650
Trustees’ fees and expenses payable		1,876
Accrued expenses and other liabilities		105,509
Total liabilities		3,727,686
Total net assets	$	222,783,788

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

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  43

Statement of operations—six months ended August 31, 2020 (unaudited)

Investment income
Dividends (net of foreign withholding taxes of $1,442)	$	1,837,549
Income from affiliated securities		12,833
Total investment income		1,850,382
Expenses
Advisory fee		161,740
Custody and accounting fees		28,176
Professional fees		22,488
Shareholder report expenses		3,881
Trustees’ fees and expenses		9,898
Other fees and expenses		10,544
Total expenses		236,727
Less: Fee waivers and/or expense reimbursements		(61,642	)
Net expenses		175,085
Net investment income		1,675,297
Realized and unrealized gains (losses) on investments
Net realized losses on
Unaffiliated securities		(18,515,674	)
Futures contracts		(729,694	)
Net realized losses on investments		(19,245,368	)
Net change in unrealized gains (losses) on
Unaffiliated securities		27,662,928
Futures contracts		1,166,422
Net change in unrealized gains (losses) on investments		28,829,350
Net realized and unrealized gains (losses) on investments		9,583,982
Net increase in net assets resulting from operations	$	11,259,279

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

44  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

Statement of changes in net assets

	Six months ended August 31, 2020 (unaudited)			Year ended February 29, 2020
Operations
Net investment income	$	1,675,297		$	3,637,096
Net realized gains (losses) on investments		(19,245,368	)		7,452,037
Net change in unrealized gains (losses) on investments		28,829,350			(23,775,422	)
Net increase (decrease) in net assets resulting from operations		11,259,279			(12,686,289	)
Capital transactions
Transactions in investors’ beneficial interests
Contributions		66,820,820			31,716,956
Withdrawals		(84,863,556	)		(67,498,202	)
Net decrease in net assets resulting from capital transactions		(18,042,736	)		(35,781,246	)
Total decrease in net assets		(6,783,457	)		(48,467,535	)
Net assets
Beginning of period		229,567,245			278,034,780
End of period	$	222,783,788		$	229,567,245

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

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  45

Financial highlights

	Six months ended August 31, 2020 (unaudited)			Year ended February 29, 2020			Year ended February 28
							2019			20181
Total return2		3.00	%		(5.94	)%		7.05	%		8.75	%
Ratios to average net assets (annualized)
Gross expenses		0.22	%		0.23	%		0.21	%		0.19	%
Net expenses		0.16	%		0.18	%		0.19	%		0.19	%
Net investment income		1.55	%		1.35	%		1.29	%		1.23	%
Supplemental data
Portfolio turnover rate		62	%		40	%		37	%		85	%

¹  For the period from May 23, 2017 (commencement of operations) to February 28, 2018

²  Returns for periods of less than one year are not annualized.

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

46  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity 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 Factor Enhanced U.S. Small Cap Equity Portfolio (formerly, Wells Fargo Factor Enhanced Small Cap Portfolio) (the “Portfolio”) which is a diversified series of the Trust.

Interests in the Portfolio are available solely through private placement transactions that do not involve any “public offering” within the meaning of Section 4(2) of the Investment Company Act of 1933.

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 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.

Futures contracts

Futures contracts are agreements between the Portfolio and a counterparty to buy or sell a specific amount of a commodity, financial instrument or currency at a specified price and on a specified date. The Portfolio may buy and sell futures contracts in order to gain exposure to, or protect against, changes in security values and is subject to equity price risk. The primary risks associated with the use of futures contracts are the imperfect correlation between changes in market values of securities held by the Portfolio and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange. With futures contracts, there is minimal counterparty risk to the Portfolio since futures contracts are exchange traded and the exchange’s clearinghouse, as the counterparty to all exchange traded futures, guarantees the futures contracts against default.

Upon entering into 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.

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Notes to financial statements (unaudited)

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 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 income, 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 income 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 August 31, 2020, the aggregate cost of all investments for federal income tax purposes was $207,859,215 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	37,183,201
Gross unrealized losses		(19,295,435	)
Net unrealized gains	$	17,887,766

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)

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of August 31, 2020:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Common stocks
Communication services	$	5,904,670	$	0	$	39,458	$	5,944,128
Consumer discretionary		28,077,215		0		0		28,077,215
Consumer staples		7,911,017		0		0		7,911,017
Energy		5,722,076		0		0		5,722,076
Financials		35,495,680		0		0		35,495,680
Health care		43,777,652		0		0		43,777,652
Industrials		31,463,238		0		0		31,463,238
Information technology		29,355,581		0		0		29,355,581
Materials		8,587,193		0		0		8,587,193
Real estate		14,528,933		0		67,578		14,596,511
Utilities		5,710,492		0		0		5,710,492
Rights
Financials		0		0		0		0
Health Care		0		0		0		0
Warrants
Energy		0		0		0		0
Short-term investments
Investment companies		8,970,027		0		0		8,970,027
		225,503,774		0		107,036		225,610,810
Futures contracts		136,171		0		0		136,171
Total assets	$	225,639,945	$	0	$	107,036	$	225,746,981

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.

For the six months ended August 31, 2020, the Portfolio had 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 & 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 at the following annual rate based on the Portfolio’s average daily net assets:

Average daily net assets	Advisory fee
First $5 billion		0.15	%
Next $5 billion		0.13
Over $10 billion		0.11

For the six months ended August 31, 2020, the advisory fee was equivalent to an annual rate of 0.15% of the Portfolio’s average daily net assets.

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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. 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 0.08% and declining to 0.05% as the average daily net assets of the Portfolio increase.

Funds Management has voluntarily waived and/or reimbursed advisory fees to reduce 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 August 31, 2020 were $130,005,440 and $140,010,841, respectively.

6. DERIVATIVE TRANSACTIONS

During the six months ended August 31, 2020, the Portfolio entered into futures contracts to gain market exposure. The Portfolio had an average notional amount of $9,185,735 in long futures contracts during the six months ended August 31, 2020.

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

The Trust, along with Wells Fargo Variable Trust and Wells Fargo Funds Trust (excluding the money market funds), are parties to a $350,000,000 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 August 31, 2020, there were no borrowings by the Portfolio under the agreement.

8. INDEMNIFICATION

Under the Portfolio’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 Portfolio. The Portfolio has entered into a separate agreement with each Trustee that converts indemnification rights currently existing under the Portfolio’s organizational documents into contractual rights that cannot be changed in the future without the consent of the Trustee. Additionally, in the normal course of business, the Portfolio may enter into contracts with service providers that contain a variety of indemnification clauses. The Portfolio’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 on fair value measurements in Topic 820, Fair Value Measurements. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has adopted this guidance which did not have a material impact on the financial statements.

10. CORONAVIRUS (COVID-19) PANDEMIC

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

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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 wfam.com, or visiting the SEC website at sec.gov. Information regarding how the proxies related to portfolio securities were voted during the most recent 12-month period ended June 30 is available on the website at wfam.com or by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS INFORMATION

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

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

Independent Trustees

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

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

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

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Other information (unaudited)

Officers

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

¹  Jeremy DePalma acts as Treasurer of 77 funds and Assistant Treasurer of 65 funds in the Fund Complex.

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

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Other information (unaudited)

BOARD CONSIDERATION OF INVESTMENT MANAGEMENT, ADVISORY AND SUB-ADVISORY AGREEMENTS:

Wells Fargo Emerging Markets Bond Fund, Wells Fargo High Yield Corporate Bond Fund, Wells Fargo International Government Bond Fund, Wells Fargo U.S. Core Bond Fund, Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, Wells Fargo Emerging Markets Bond Portfolio, Wells Fargo Factor Enhanced International Equity Portfolio, Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, Wells Fargo International Government Bond Portfolio, Wells Fargo Investment Grade Corporate Bond Portfolio, Wells Fargo High Yield Corporate Bond Portfolio, Wells Fargo Strategic Retirement Bond Portfolio, and Wells Fargo U.S. REIT Portfolio

Under the Investment Company Act of 1940 (the “1940 Act”), the Board of Trustees (each, a “Board” and collectively, the “Boards”) of each of Wells Fargo Funds Trust (“Funds Trust”) and Wells Fargo Master Trust (“Master Trust”) (collectively, the “Trusts”) must determine annually whether to approve the continuation of the Trusts’ investment management, advisory and sub-advisory agreements, as applicable. In this regard, at a meeting held on May 26, 2020 and May 28, 2020 (together, the “Meeting”), the Board of Funds Trust, all the members of which have no direct or indirect interest in the investment management agreement and are not “interested persons” of the Trusts, as defined in the 1940 Act (the “Independent Trustees”), reviewed and approved for each of the funds of Funds Trust identified in the table below (individually, an “Index Fund” and collectively, the “Index Funds”) an investment management agreement (the “Management Agreement”) with Wells Fargo Funds Management, LLC (“Funds Management”).

Index Funds

Wells Fargo Emerging Markets Bond Fund

Wells Fargo High Yield Corporate Bond Fund

Wells Fargo International Government Bond Fund

Wells Fargo U.S. Core Bond Fund

In addition, the Funds Trust Board reviewed and approved an investment sub-advisory agreement with Wells Capital Management Incorporated (“WellsCap”) for the U.S. Core Bond Fund (the “Core Bond Fund Sub-Advisory Agreement”).

At the Meeting, the Board of Master Trust, all the members of which have no direct or indirect interest in the investment advisory and sub-advisory agreements and are Independent Trustees, reviewed and approved for each of the portfolios of Master Trust identified in the table below (individually, a “Master Portfolio” and collectively, the “Master Portfolios”): (i) an investment advisory agreement (the “Master Portfolio Advisory Agreement”) with Funds Management; and (ii) an investment sub-advisory agreement (each, a “Master Portfolio Sub-Advisory Agreement”, and collectively, the “Master Portfolio Sub-Advisory Agreements”) with the sub-adviser(s) identified in the chart below (each, a “Sub-Adviser”, and collectively, the “Sub-Advisers”) for the corresponding Master Portfolio identified.

Master Portfolios	Sub-Advisers
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio	WellsCap
Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio	WellsCap
Wells Fargo Emerging Markets Bond Portfolio	Wells Fargo Asset Management (International), Limited (“WFAM International”))
Wells Fargo Factor Enhanced International Equity Portfolio	WellsCap
Wells Fargo Factor Enhanced U.S. Large Cap Portfolio	WellsCap
Wells Fargo Factor Enhanced U.S. Small Cap Portfolio	WellsCap
Wells Fargo International Government Bond Portfolio	WFAM International
Wells Fargo Investment Grade Corporate Bond Portfolio	WellsCap
Wells Fargo High Yield Corporate Bond Portfolio	WellsCap
Wells Fargo Strategic Retirement Bond Portfolio	WellsCap
Wells Fargo U.S. REIT Portfolio	WellsCap

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Other information (unaudited)

The Index Funds and the Master Portfolios are collectively referred to as the “Funds.” The Management Agreement, the Core Bond Fund Sub-Advisory Agreement, the Master Portfolio Advisory Agreement and the Master Portfolio Sub-Advisory Agreements are collectively referred to as the “Advisory Agreements.”

The Boards noted that each of the Index Funds is a feeder fund that invests all of its assets in its corresponding Master Portfolio, with the exception of the U.S. Core Bond Fund, which invests in multiple Master Portfolios. Information provided to the Boards regarding the Index Funds is also applicable to the Master Portfolios identified above, as relevant.

At the Meeting, the Boards considered the factors and reached the conclusions described below relating to the selection of Funds Management and the Sub-Advisers and the approval of the Advisory Agreements. Prior to the Meeting, including at a Board meeting held in April 2020, the Trustees conferred extensively among themselves and with representatives of Funds Management about these matters. Also, the Boards have adopted a team-based approach, with each team consisting of a sub-set of Trustees, to assist the full Boards in the discharge of their duties in reviewing investment performance and other matters throughout the year. The Independent Trustees were assisted in their evaluation of the Advisory Agreements by independent legal counsel, from whom they received separate legal advice and with whom they met separately.

In providing information to the Boards, Funds Management and the Sub-Advisers were guided by a detailed set of requests for information submitted to them by independent legal counsel on behalf of the Independent Trustees at the start of the Boards’ annual contract renewal process earlier in 2020. In considering and approving the Advisory Agreements, the Trustees considered the information they believed relevant, including but not limited to the information discussed below. The Boards considered not only the specific information presented in connection with the Meeting, but also the knowledge gained over time through interaction with Funds Management and the Sub-Advisers about various topics. In this regard, the Boards reviewed reports of Funds Management at each of their quarterly meetings, which included, among other things, portfolio reviews and investment performance reports. In addition, the Boards and the teams mentioned above confer with portfolio managers at various times throughout the year. The Boards did not identify any particular information or consideration that was all-important or controlling, and each individual Trustee may have attributed different weights to various factors.

After its deliberations, the Board of Funds Trust unanimously approved the continuation of the Management Agreement and the Core Bond Fund Sub-Advisory Agreement for a one-year period. Additionally, after its deliberations, the Board of Master Trust unanimously approved the continuation of the Master Portfolio Advisory Agreement and each Master Portfolio Sub-Advisory Agreement for a one-year term. The Boards also determined that the compensation or the absence of compensation payable to Funds Management and to each of the Sub-Advisers under each of the Advisory Agreements was reasonable. The Boards considered the approval of the Advisory Agreements for the Funds as part of their consideration of agreements for funds across the complex, but their approvals were made on a fund-by-fund basis. The following summarizes a number of important, but not necessarily all, factors considered by the Boards in support of their approvals.

Nature, extent and quality of services

The Boards received and considered various information regarding the nature, extent and quality of services provided to the Funds by Funds Management and the Sub-Advisers under the Advisory Agreements. This information included a description of the investment advisory services and Fund-level administrative services covered by the Advisory Agreements, as well as, among other things, a summary of the background and experience of senior management of Wells Fargo Asset Management (“WFAM”), of which Funds Management and the Sub-Advisers are a part, and a summary of investments made in the business of WFAM. The Boards also received a description of Funds Management’s and the Sub-Advisers’ business continuity plans and of their approaches to data privacy and cybersecurity, and related testing. The Boards also received and reviewed information about Funds Management’s role as administrator of the Funds’ liquidity risk management program, Funds Management’s approach to risk management, and Funds Management’s intermediary and vendor oversight program.

The Boards also considered the qualifications, background, tenure and responsibilities of each of the portfolio managers primarily responsible for the day-to-day portfolio management of the Funds. The Board of Master Trust noted that each of the Master Portfolios replicates the performance of a proprietary index provided by an affiliate of Funds Management, except that the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Emerging Markets Bond Portfolio, and the Wells Fargo Strategic Retirement Bond Portfolio track the performance of third-party indexes. The Boards evaluated the ability of Funds Management and the Sub-Advisers to attract and retain qualified investment professionals, including research, advisory and supervisory personnel. The Boards further considered the compliance programs and compliance records of Funds Management and the Sub-Advisers. In addition, the Boards took into account the full range of services provided to the Funds by Funds Management and its affiliates.

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Other information (unaudited)

Fund investment performance and expenses

The Boards considered the investment performance results for each of the Master Portfolios for the one-year period ended December 31, 2019. The Boards also considered more current results for the one-year period ended March 31, 2020. The Boards considered these results in comparison to the investment performance of funds in a universe that was determined by Broadridge Inc. (“Broadridge”) to be similar to the respective Master Portfolios (each, a “Universe”), and in comparison to each Master Portfolio’s benchmark index and to other comparative data. Broadridge is an independent provider of investment company data. The Boards received a description of the methodology used by Broadridge to select the mutual funds in each performance Universe.

The Boards noted the short performance history of the Master Portfolios. For the one-year period ended December 31, 2019, the Boards noted that the investment performance of each Master Portfolio relative to its respective Universe was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio and the Wells Fargo Investment Grade Corporate Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective Universe; and (ii) the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo International Government Bond Portfolio, the Wells Fargo Strategic Retirement Bond Portfolio and the Wells Fargo U.S. REIT Portfolio was lower than the average investment performance of such Master Portfolio’s respective Universe. For the one-year period ended March 31, 2020, the Boards noted that the investment performance of each Master Portfolio relative to its respective Universe was as follows: (i) the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo International Government Bond Portfolio, and the Wells Fargo Investment Grade Corporate Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective Universe, and (ii) the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio, the Wells Fargo Strategic Retirement Bond Portfolio and the Wells Fargo U.S. REIT Portfolio was lower than the average investment performance of such Master Portfolio’s respective Universe.

The Boards also noted that the investment performance of each Master Portfolio to its respective benchmark index for the one-year period ended December 31, 2019, was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio, the Wells Fargo U.S. REIT Portfolio and the Wells Fargo Strategic Retirement Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective benchmark, and (ii) the investment performance of each of the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo International Government Bond Portfolio and the Wells Fargo Investment Grade Corporate Bond Portfolio was lower than the average investment performance of such Master Portfolio’s respective benchmark. For the one-year period ended March 31, 2020, the Boards also noted that the investment performance of each Master Portfolio to its respective benchmark index, was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo U.S. REIT Portfolio, the Wells Fargo Investment Grade Corporate Bond Portfolio and the Wells Fargo Strategic Retirement Bond Portfolio was higher than, equal to or in range of the average investment performance of such Master Portfolio’s respective benchmark, and (ii) the investment performance of each of the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio and the Wells Fargo International Government Bond Portfolio was lower than the average investment performance of such Master Portfolio’s respective benchmark.

The Boards received information concerning, and discussed factors contributing to, the underperformance of certain Master Portfolios, relative to the Universe and benchmark index, for the periods identified above. The Board took note of the explanations for the relative underperformance during these periods, including with respect to investment decisions and market factors that affected the Fund’s investment performance.

The Board of Funds Trust took note of the investment performance of the Master Portfolios in the context of reviewing the investment performance of the Index Funds. The Board of Funds Trust also received and considered information regarding the “zero fee and expense” structure of each Index Fund. Specifically, the Funds Trust Board noted that each Index Fund’s gross operating expense ratio and each of its various components, including management fees, administration fees, custody fees,

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  57

Other information (unaudited)

Rule 12b-1 fees, and other fees, are zero. The Funds Trust Board also noted that Funds Management assumes and pays or reimburses all of the ordinary operating expenses of each Index Fund, including acquired fund fees and expenses, pursuant to an agreement with each of the Index Funds (the “Fee and Expense Agreement”). The Funds Trust Board further noted that Funds Management receives a fee from Wells Fargo Wealth and Investment Management (“WIM”) pursuant to an intercompany agreement equal to the Master Portfolio fees and expenses absorbed by Funds Management through its Fee and Expense Agreement with each of the Index Funds.

With respect to the Master Portfolios, the Board of Master Trust received and considered information regarding the fee rates that are payable to Funds Management for investment advisory services (as discussed below), which are the only fees charged at the Master Portfolio level, relative to corresponding class-specific expense groups that were determined by Broadridge to be similar to the Funds (the “Groups”). The Boards received a description of the methodology used by Broadridge to select the mutual funds in the expense Groups and an explanation of how funds comprising expense groups and their expense ratios may vary from year-to-year.

The Boards took into account the Funds’ expense information and the Master Portfolios’ performance information provided to them among the factors considered in deciding to re-approve the Advisory Agreements.

Investment management, advisory and sub-advisory fee rates

The Board of Funds Trust reviewed and considered that the contractual investment management fee rate payable by each Index Fund to Funds Management for investment management services zero, and also reviewed and considered that each Fund’s other expenses would normally be zero, because of Funds Management’s commitment to assume and pay or reimburse all of the ordinary operating expenses of each Fund, including acquired fund fees and expenses, under the Fee and Expense Agreement. The Board of Funds Trust also reviewed and considered that the contractual investment sub-advisory fee rate payable by Funds Management to WellsCap for investment sub-advisory services for the U.S. Core Bond Fund is also zero.

The Board of Master Trust reviewed and considered the contractual fee rates payable by the Master Portfolios to Funds Management under the Master Portfolio Advisory Agreement (the “Advisory Agreement Rates”). The Board of Master Trust also reviewed and considered the contractual investment sub-advisory fee rates that are payable by Funds Management to the Sub-Advisers for investment sub-advisory services (the “Sub-Advisory Agreement Rates”).

The Board of Master Trust reviewed a comparison of the Advisory Agreement Rates of each Master Portfolio with those of other funds in each Master Portfolio’s respective expense Groups at a common asset level. The Board of Master Trust noted that the Advisory Agreement Rates of each Master Portfolio were lower than or equal to the median rate for such Master Portfolio’s expense Groups.

The Boards also received and considered information about the portions of the total management fees that were retained by Funds Management after payment of the fees to the Sub-Advisers for sub-advisory services. In assessing the reasonableness of these amounts, the Boards received and evaluated information about the nature and extent of responsibilities retained and risks assumed by Funds Management and not delegated to or assumed by the Sub-Advisers, and about Funds Management’s on-going oversight services. Given the affiliation between Funds Management and the Sub-Advisers, the Boards ascribed limited relevance to the allocation of fees between them.

The Boards also received and considered information about the nature and extent of services offered and fee rates charged by Funds Management and the Sub-Advisers to other types of clients with investment strategies similar to those of certain Funds. In this regard, the Boards received information about the significantly greater scope of services, and compliance, reporting and other legal burdens and risks of managing proprietary mutual funds compared with those associated with managing assets of other types of clients, including third-party sub-advised fund clients and non-mutual fund clients such as institutional separate accounts.

Based on its consideration of the factors and information it deemed relevant, including those described here, the Board of Fund Trust determined that the compensation received by Funds Management from WIM pursuant to the intercompany agreement, and the absence of compensation payable by the Funds to Funds Management pursuant to the Management Agreement or to WellsCap pursuant to the Core Bond Fund Sub-Advisory Agreement, was reasonable. Based on its consideration of the factors and information it deemed relevant, including those described here, the Board of Master Trust determined that the Advisory Agreement Rates and the Sub-Advisory Agreement Rates for each Master Portfolio were reasonable.

Profitability

The Boards received and considered information concerning the profitability of Funds Management, as well as the profitability of both WFAM and Wells Fargo & Co. (“Wells Fargo”) from providing services to the fund family as a whole. The Boards noted that the Sub-Advisers’ profitability information with respect to providing services to the Funds and other funds in the family was subsumed in the WFAM and Wells Fargo profitability analysis.

58  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

Other information (unaudited)

Funds Management reported on the methodologies and estimates used in calculating profitability, including a description of the methodology used to allocate certain expenses. Among other things, the Boards noted that the levels of profitability reported on a fund-by-fund basis varied widely, depending on factors such as the size, type and age of fund.

Based on its review, the Boards did not deem the profits reported by Funds Management, WFAM or Wells Fargo from services provided to the Funds to be at a level that would prevent them from approving the continuation of the Advisory Agreements.

Economies of scale

The Boards received and considered information about the potential for Funds Management to experience economies of scale in the provision of management services to the Funds, the difficulties of calculating economies of scale at an individual fund level, and the extent to which potential scale benefits are shared with shareholders. The Boards noted the existence of breakpoints in the each Master Portfolio’s advisory fee structure and each Index Fund’s management fee structure, which operate generally to reduce the Funds’ expense ratios as the Funds grow in size, and the size of the Funds in relation to such breakpoints. The Boards considered that in addition to management fee breakpoints, Funds Management shares potential economies of scale from its management business in a variety of ways, including through fee waiver and expense reimbursement arrangements, services that benefit shareholders, competitive management fee rates set at the outset without regard to breakpoints, and investments in the business intended to enhance services available to shareholders.

The Boards concluded that Funds Management’s arrangements with respect to the Funds, including contractual breakpoints, constituted a reasonable approach to sharing potential economies of scale with the Funds and their shareholders.

Other benefits to Funds Management and the Sub-Advisers

The Boards received and considered information regarding potential “fall-out” or ancillary benefits received by Funds Management and its affiliates, including WellsCap and WFAM International, as a result of their relationships with the Funds. Ancillary benefits could include, among others, benefits directly attributable to other relationships with the Funds and benefits potentially derived from an increase in Funds Management’s and the Sub-Advisers’ business as a result of their relationships with the Funds. The Boards noted that various affiliates of Funds Management may receive distribution-related fees, shareholder servicing payments and sub-transfer agency fees in respect of shares sold or held through them and services provided.

The Boards also reviewed information about soft dollar credits earned and utilized by the Sub-Advisers, fees earned by Funds Management and WellsCap from managing a private investment vehicle for the fund family’s securities lending collateral, and commissions earned by an affiliated broker from portfolio transactions.

Based on their consideration of the factors and information they deemed relevant, including those described here, the Boards did not find that any ancillary benefits received by Funds Management and its affiliates, including WellsCap and WFAM International, were unreasonable.

Conclusion

At the Meeting, after considering the above-described factors and based on its deliberations and its evaluation of the information described above, the Funds Trust Board unanimously approved the continuation of the Management Agreement and the Core Bond Fund Sub-Advisory Agreement for a one-year period. Additionally, after its deliberations, the Master Trust Board unanimously approved the continuation of the Master Portfolio Advisory Agreement and each Master Portfolio Sub-Advisory Agreement for a one-year term. The Boards also determined that the compensation or the absence of compensation payable to Funds Management and to each of the Sub-Advisers was reasonable.

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio  |  59

Other information (unaudited)

LIQUIDITY RISK MANAGEMENT PROGRAM

In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), Wells Fargo Master Trust (the “Trust”) has adopted and implemented a liquidity risk management program (the “Program”) on behalf of each of its series, including each Portfolio, which is reasonably designed to assess and manage the Portfolio’s liquidity risk. “Liquidity risk” is defined as the risk that a Portfolio is unable to meet redemption requests without significantly diluting remaining investors’ interests in the Portfolio. The Trust’s Board of Trustees (the “Board”) previously approved the designation of Wells Fargo Funds Management, LLC (“Funds Management”), each Portfolio’s investment adviser, as the administrator of the Program, and Funds Management has established a Liquidity Risk Management Council composed of personnel from multiple departments within Funds Management and its affiliates to assist Funds Management in the implementation and on-going administration of the Program.

The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Portfolio’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Portfolio’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under the Liquidity Rule); (4) to the extent a Portfolio does not invest primarily in “highly liquid investments” (as defined under the Liquidity Rule), the determination of a minimum percentage of the Portfolio’s assets that generally will be invested in highly liquid investments (an “HLIM”); (5) if a Portfolio has established an HLIM, the periodic review (no less frequently than annually) of the HLIM and the adoption of policies and procedures for responding to a shortfall of the Portfolio’s “highly liquid investments” below its HLIM; and (6) periodic reporting to the Board.

At a meeting of the Board held on May 26 and 28, 2020, the Board received a written report (the “Report”) from Funds Management that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation. The Report covered the initial period from December 1, 2018 through December 31, 2019 (the “Reporting Period”). No significant liquidity events impacting any Portfolio were noted in the Report. There were no material changes to the Program during the Reporting Period. The Report concluded that the Program is operating effectively to assess and manage each Portfolio’s liquidity risk, and that the Program has been and continues to be adequately and effectively implemented to monitor and, as applicable, respond to the Portfolio’s liquidity developments.

60  |  Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

For more information

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

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: wfam.com

Individual investors: 1-800-222-8222

Retail investment professionals: 1-888-877-9275

Institutional investment professionals: 1-866-765-0778

This report and the financial statements contained herein are submitted for the general information of the shareholders of the Portfolio. 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 Portfolio’s website at wfam.com. Read the prospectus carefully before you invest or send money.

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

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

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

© 2020 Wells Fargo & Company. All rights reserved.

Semi-Annual Report

August 31, 2020

Wells Fargo

High Yield Corporate Bond Portfolio

Contents

Portfolio information	2
Portfolio of investments	3
Financial statements
Statement of assets and liabilities	15
Statement of operations	16
Statement of changes in net assets	17
Financial highlights	18
Notes to financial statements	19
Other information	22

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

Wells Fargo High Yield Corporate Bond Portfolio  |  1

Portfolio information (unaudited)

Investment objective

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

Adviser

Wells Fargo Funds Management, LLC

Subadviser

Wells Capital Management Incorporated

Portfolio managers

Manjunath Boraiah^†

Janet S. Rilling, CFA^®‡, CPA

Michael J. Schueller, CFA^®‡

Ten largest holdings (%) as of August 31, 20201
New Red Finance Incorporated, 5.00%, 10-15-2025	0.73
Apache Corporation, 5.10%, 9-1-2040	0.69
Calpine Corporation, 5.00%, 2-1-2031	0.69
Post Holdings Incorporated, 5.75%, 3-1-2027	0.64
EQT Corporation, 7.88%, 2-1-2025	0.63
Deutsche Bank AG, 4.88%, 12-1-2032	0.62
L Brands Incorporated, 6.88%, 11-1-2035	0.62
International Game Technology plc, 6.25%, 1-15-2027	0.60
Uniti Group Incorporated, 8.25%, 10-15-2023	0.60
Ball Corporation, 4.88%, 3-15-2026	0.60

Credit quality as of August 31, 2020²

^†  Mr. Boraiah became a portfolio manager of the Portfolio on August 28, 2020.

^‡  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  The credit quality distribution of portfolio holdings reflected in the chart is based on ratings from Standard & Poor’s, Moody’s Investors Service, and/or Fitch Ratings Ltd. Credit quality ratings apply to the underlying holdings of the affiliated master portfolio and not to the Fund itself. The percentages of the Fund’s portfolio with the ratings depicted in the chart are calculated based on the total market value of fixed income securities held by the affiliated master portfolio. If a security was rated by all three rating agencies, the middle rating was utilized. If rated by two of three rating agencies, the lower rating was utilized, and if rated by one of the rating agencies, that rating was utilized. Standard & Poor’s rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Ratings from A to CCC may be modified by the addition of a plus (+) or minus (-) sign to show relative standing within the rating categories. Standard & Poor’s rates the creditworthiness of short-term notes from SP-1 (highest) to SP-3 (lowest). Moody’s rates the creditworthiness of bonds, ranging from Aaa (highest) to C (lowest). Ratings Aa to B may be modified by the addition of a number 1 (highest) to 3 (lowest) to show relative standing within the ratings categories. Moody’s rates the creditworthiness of short-term U.S. tax-exempt municipal securities from MIG 1/VMIG 1 (highest) to SG (lowest). Fitch rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Credit quality distribution is subject to change and may have changed since the date specified.

2  |  Wells Fargo High Yield Corporate Bond Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Corporate Bonds and Notes: 80.61%
Communication Services: 11.90%
Diversified Telecommunication Services: 1.74%
CenturyLink Incorporated		5.80	%		3-15-2022	$	240,000	$	250,780
CenturyLink Incorporated		6.75			12-1-2023		800,000		886,008
Level 3 Financing Incorporated		5.25			3-15-2026		900,000		938,340
Level 3 Financing Incorporated		5.38			1-15-2024		200,000		202,250
Zayo Group LLC 144A		4.00			3-1-2027		900,000		889,875
									3,167,253
Entertainment: 1.07%
AMC Entertainment Holdings Incorporated 144A		12.00			6-15-2026		195,000		72,189
Live Nation Entertainment Incorporated 144A		4.88			11-1-2024		800,000		786,080
Netflix Incorporated		4.88			4-15-2028		220,000		254,650
Netflix Incorporated		5.50			2-15-2022		800,000		842,000
									1,954,919
Interactive Media & Services: 0.29%
Match Group Incorporated 144A		5.00			12-15-2027		500,000		533,125
Media: 7.12%
AMC Networks Incorporated		4.75			8-1-2025		300,000		310,500
CCO Holdings LLC 144A		4.00			3-1-2023		800,000		811,000
CCO Holdings LLC 144A		5.88			5-1-2027		300,000		315,375
Clear Channel Worldwide Holdings Incorporated 144A		9.25			2-15-2024		540,000		529,200
CSC Holdings LLC 144A		5.50			4-15-2027		200,000		213,292
CSC Holdings LLC 144A		5.75			1-15-2030		900,000		981,000
Diamond Sports Group LLC 144A		5.38			8-15-2026		1,080,000		842,400
DISH DBS Corporation		5.00			3-15-2023		1,000,000		1,035,000
DISH DBS Corporation		5.88			7-15-2022		200,000		211,100
DISH DBS Corporation		5.88			11-15-2024		200,000		211,395
Gray Television Incorporated 144A		5.88			7-15-2026		200,000		207,500
Gray Television Incorporated 144A		7.00			5-15-2027		570,000		618,450
Grubhub Holdings Incorporated 144A		5.50			7-1-2027		400,000		418,500
iHeartCommunications Incorporated		6.38			5-1-2026		340,000		353,600
iHeartCommunications Incorporated		8.38			5-1-2027		1,000,000		1,005,000
Lamar Media Corporation		5.00			5-1-2023		100,000		101,125
Meredith Corporation		6.88			2-1-2026		200,000		173,738
Nexstar Broadcasting Incorporated 144A		5.63			7-15-2027		600,000		633,000
Outfront Media Capital Corporation 144A		4.63			3-15-2030		200,000		193,500
QVC Incorporated		4.75			2-15-2027		800,000		851,256
Sinclair Television Group Incorporated 144A		5.50			3-1-2030		200,000		195,440
Sirius XM Radio Incorporated 144A		4.63			7-15-2024		700,000		728,000
Sirius XM Radio Incorporated 144A		5.00			8-1-2027		300,000		318,204
Tegna Incorporated 144A		4.63			3-15-2028		900,000		909,000
Univision Communications Incorporated 144A		5.13			2-15-2025		800,000		805,000
									12,971,575
Wireless Telecommunication Services: 1.68%
Connect U.S. Finco LLC 144A		6.75			10-1-2026		800,000		826,000
Sprint Capital Corporation		6.88			11-15-2028		200,000		255,848
Sprint Corporation		7.88			9-15-2023		900,000		1,046,813
T-Mobile USA Incorporated		4.50			2-1-2026		900,000		929,079
									3,057,740

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

Wells Fargo High Yield Corporate Bond Portfolio  |  3

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Consumer Discretionary: 15.64%
Auto Components: 2.66%
Adient US LLC 144A		9.00	%		4-15-2025	$	500,000	$	555,000
Allison Transmission Incorporated 144A		5.00			10-1-2024		600,000		606,018
Allison Transmission Incorporated 144A		5.88			6-1-2029		200,000		219,000
American Axle & Manufacturing Incorporated		6.25			3-15-2026		910,000		927,497
Clarios Global LP 144A		6.25			5-15-2026		940,000		996,988
Dana Incorporated		5.63			6-15-2028		610,000		643,550
Goodyear Tire & Rubber Company		5.13			11-15-2023		900,000		902,259
									4,850,312
Automobiles: 0.96%
Ford Motor Company		4.75			1-15-2043		330,000		305,663
Ford Motor Company		8.50			4-21-2023		800,000		884,324
Ford Motor Company		9.00			4-22-2025		300,000		351,080
Tesla Incorporated 144A		5.30			8-15-2025		200,000		207,776
									1,748,843
Commercial Services & Supplies: 0.75%
Aramark Services Incorporated 144A		5.00			2-1-2028		530,000		530,663
Aramark Services Incorporated		4.75			6-1-2026		300,000		298,257
Verscend Technologies Incorporated 144A		9.75			8-15-2026		500,000		542,500
									1,371,420
Diversified Consumer Services: 0.68%
Prime Security Services Borrower LLC 144A		5.25			4-15-2024		960,000		1,017,600
Service Corporation International		4.63			12-15-2027		200,000		215,500
									1,233,100
Hotels, Restaurants & Leisure: 5.44%
Boyd Gaming Corporation		4.75			12-1-2027		800,000		797,000
Boyd Gaming Corporation		6.00			8-15-2026		200,000		209,750
Caesars Resort Collection LLC 144A		5.25			10-15-2025		200,000		191,474
Caesars Resort Collection LLC 144A		5.75			7-1-2025		790,000		827,525
Cedar Fair LP		5.25			7-15-2029		200,000		193,824
Cedar Fair LP		5.38			4-15-2027		700,000		696,073
Golden Nugget Incorporated 144A		6.75			10-15-2024		300,000		256,500
Hilton Domestic Operating Company		4.25			9-1-2024		200,000		200,250
Hilton Domestic Operating Company		4.88			1-15-2030		600,000		618,000
KFC Holding Company 144A		5.00			6-1-2024		300,000		309,534
MGM Resorts International		4.63			9-1-2026		154,000		156,695
MGM Resorts International		6.75			5-1-2025		700,000		749,000
Scientific Games International Incorporated 144A		7.25			11-15-2029		200,000		198,044
Scientific Games International Incorporated 144A		8.25			3-15-2026		700,000		721,091
Six Flags Entertainment Company 144A		4.88			7-31-2024		200,000		193,940
Wyndham Destinations Incorporated		4.25			3-1-2022		200,000		201,944
Wyndham Destinations Incorporated 144A		4.63			3-1-2030		780,000		733,200
Wynn Las Vegas LLC 144A		5.25			5-15-2027		1,000,000		974,000
Wynn Las Vegas LLC 144A		5.50			3-1-2025		200,000		198,000
Wynn Resorts Finance LLC 144A		5.13			10-1-2029		600,000		585,000
Yum! Brands Incorporated 144A		7.75			4-1-2025		800,000		893,000
									9,903,844

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

4  |  Wells Fargo High Yield Corporate Bond Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Household Durables: 1.70%
Lennar Corporation		4.13	%		1-15-2022	$	800,000	$	818,000
Lennar Corporation		4.50			4-30-2024		300,000		321,750
Newell Brands Incorporated		4.35			4-1-2023		290,000		306,675
Newell Brands Incorporated		6.00			4-1-2046		700,000		787,500
PulteGroup Incorporated		5.50			3-1-2026		200,000		229,756
Toll Brothers Finance Corporation		5.88			2-15-2022		600,000		625,500
									3,089,181
Household Products: 0.33%
Avon International Operations Incorporated 144A		7.88			8-15-2022		600,000		607,272
Leisure Products: 0.75%
Mattel Incorporated 144A		5.88			12-15-2027		700,000		761,320
Mattel Incorporated 144A		6.75			12-31-2025		200,000		212,250
Sabre Global Corporation 144A		5.25			11-15-2023		400,000		397,000
									1,370,570
Multiline Retail: 0.40%
Macy’s Retail Holdings Incorporated		3.88			1-15-2022		800,000		732,000
Specialty Retail: 1.77%
ABC Supply Company Incorporated 144A		4.00			1-15-2028		200,000		206,000
L Brands Incorporated		6.88			11-1-2035		1,100,000		1,124,970
PetSmart Incorporated 144A		7.13			3-15-2023		200,000		201,478
PetSmart Incorporated 144A		8.88			6-1-2025		700,000		726,600
Staples Incorporated 144A		7.50			4-15-2026		210,000		186,942
The Gap Incorporated 144A		8.63			5-15-2025		700,000		781,375
									3,227,365
Textiles, Apparel & Luxury Goods: 0.20%
HanesBrands Incorporated 144A		4.63			5-15-2024		200,000		210,000
Wolverine World Wide Incorporated 144A		8.50			11-15-2024		200,000		154,000
									364,000
Consumer Staples: 3.97%
Food & Staples Retailing: 1.07%
Albertsons Companies Incorporated 144A		4.63			1-15-2027		940,000		993,242
Albertsons Companies Incorporated		6.63			6-15-2024		500,000		516,100
Albertsons Companies Incorporated 144A		7.50			3-15-2026		200,000		223,460
Performance Food Group Company 144A		5.50			10-15-2027		200,000		208,500
									1,941,302
Food Products: 2.56%
B&G Foods Incorporated		5.25			9-15-2027		200,000		213,874
Kraft Foods Group Incorporated		5.00			6-4-2042		200,000		220,629
Kraft Heinz Foods Company		4.38			6-1-2046		400,000		408,476
Kraft Heinz Foods Company		4.63			1-30-2029		740,000		837,739
Lamb Weston Holdings Incorporated 144A		4.88			11-1-2026		200,000		209,276
Pilgrim’s Pride Corporation 144A		5.88			9-30-2027		800,000		850,000
Post Holdings Incorporated 144A		5.50			12-15-2029		230,000		252,126
Post Holdings Incorporated 144A		5.75			3-1-2027		1,100,000		1,161,875
US Foods Incorporated 144A		5.88			6-15-2024		500,000		507,500
									4,661,495

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

Wells Fargo High Yield Corporate Bond Portfolio  |  5

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Tobacco: 0.34%
Vector Group Incorporated 144A		10.50	%		11-1-2026	$	600,000	$	623,526
Energy: 11.77%
Energy Equipment & Services: 0.22%
Hilcorp Energy Company 144A		5.75			10-1-2025		200,000		188,000
USA Compression Partners LP		6.88			4-1-2026		200,000		206,000
									394,000
Oil, Gas & Consumable Fuels: 11.55%
Antero Midstream Partners LP 144A		5.75			1-15-2028		200,000		176,790
Antero Resources Corporation		5.00			3-1-2025		900,000		620,190
Apache Corporation		5.10			9-1-2040		1,300,000		1,264,497
Buckeye Partners LP		4.15			7-1-2023		1,000,000		1,000,000
Buckeye Partners LP		5.85			11-15-2043		200,000		194,116
Callon Petroleum Company		6.13			10-1-2024		500,000		163,281
Callon Petroleum Company		6.25			4-15-2023		500,000		176,885
Cheniere Energy Partners LP		4.50			10-1-2029		800,000		831,656
Cheniere Energy Partners LP		5.25			10-1-2025		200,000		204,648
Continental Resources Incorporated		3.80			6-1-2024		250,000		246,490
Continental Resources Incorporated		4.50			4-15-2023		700,000		704,375
Crestwood Midstream Partners LP		6.25			4-1-2023		700,000		689,353
CrownRock LP 144A		5.63			10-15-2025		200,000		198,000
CVR Energy Incorporated 144A		5.25			2-15-2025		560,000		529,676
DCP Midstream Operating LP		3.88			3-15-2023		200,000		202,500
DCP Midstream Operating LP (3 Month LIBOR +3.85%) 144A±		5.85			5-21-2043		800,000		619,000
EnLink Midstream Partners LP		4.15			6-1-2025		700,000		623,854
EnLink Midstream Partners LP		5.45			6-1-2047		350,000		228,830
EQM Midstream Partners LP		4.75			7-15-2023		1,000,000		1,019,010
EQT Corporation		7.88			2-1-2025		1,000,000		1,147,930
Genesis Energy Company		6.25			5-15-2026		210,000		177,530
Genesis Energy Company		6.50			10-1-2025		700,000		605,290
Gulfport Energy Corporation		6.38			1-15-2026		900,000		526,500
Moss Creek Resources Holdings Incorporated 144A		10.50			5-15-2027		1,000,000		708,180
Murphy Oil Corporation		6.88			8-15-2024		200,000		203,060
Nabors Industries Incorporated		5.75			2-1-2025		200,000		57,500
NuStar Logistics LP		6.00			6-1-2026		600,000		627,942
Oasis Petroleum Incorporated		6.88			3-15-2022		190,000		36,931
Occidental Petroleum Corporation		2.70			2-15-2023		800,000		769,392
Occidental Petroleum Corporation		4.30			8-15-2039		1,000,000		770,000
Parsley Energy LLC 144A		5.63			10-15-2027		500,000		517,500
Peabody Energy Corporation 144A		6.38			3-31-2025		200,000		67,000
Range Resources Corporation		4.88			5-15-2025		200,000		186,500
SM Energy Company		6.75			9-15-2026		200,000		98,000
Southwestern Energy Company		7.50			4-1-2026		700,000		703,500
Southwestern Energy Company		7.75			10-1-2027		200,000		204,520
Sunoco LP		4.88			1-15-2023		210,000		213,425
Sunoco LP		6.00			4-15-2027		700,000		745,143
Tallgrass Energy Partners LP 144A		5.50			1-15-2028		200,000		183,000
Targa Resources Partners LP		4.25			11-15-2023		200,000		201,256
Targa Resources Partners LP		5.13			2-1-2025		200,000		204,254
Targa Resources Partners LP		5.38			2-1-2027		610,000		629,825
Western Gas Partners LP		4.65			7-1-2026		610,000		623,725
Western Midstream Operating LP		5.05			2-1-2030		220,000		225,544
WPX Energy Incorporated		5.25			9-15-2024		900,000		917,550
									21,044,148

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

6  |  Wells Fargo High Yield Corporate Bond Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Financials: 4.21%
Banks: 0.11%
CIT Group Incorporated		5.00	%		8-1-2023	$	200,000	$	211,760
Capital Markets: 1.20%
Banff Merger Subordinate Incorporated 144A		9.75			9-1-2026		800,000		853,080
MSCI Incorporated 144A		5.38			5-15-2027		500,000		539,858
MSCI Incorporated 144A		3.88			2-15-2031		490,000		517,563
MSCI Incorporated 144A		4.75			8-1-2026		260,000		270,400
									2,180,901
Consumer Finance: 1.39%
Curo Group Holdings Corporation 144A		8.25			9-1-2025		400,000		330,000
Navient Corporation		5.00			3-15-2027		530,000		511,906
Navient Corporation		5.88			10-25-2024		200,000		205,750
Navient Corporation		6.75			6-25-2025		200,000		208,500
OneMain Finance Corporation		5.63			3-15-2023		800,000		848,000
OneMain Finance Corporation		7.13			3-15-2026		370,000		424,573
									2,528,729
Diversified Financial Services: 0.35%
Refinitiv U.S Holdings Company 144A		6.25			5-15-2026		600,000		644,250
Insurance: 0.34%
Acrisure LLC 144A		7.00			11-15-2025		200,000		203,000
Genworth Holdings Incorporated		7.63			9-24-2021		200,000		204,500
HUB International Limited 144A		7.00			5-1-2026		200,000		207,500
									615,000
Mortgage REITs: 0.11%
Starwood Property Trust Incorporated		5.00			12-15-2021		200,000		203,000
Thrifts & Mortgage Finance: 0.71%
Nationstar Mortgage Holdings Incorporated 144A		9.13			7-15-2026		200,000		217,564
Quicken Loans Incorporated 144A		5.25			1-15-2028		200,000		213,251
Quicken Loans Incorporated 144A		5.75			5-1-2025		600,000		618,000
Radian Group Incorporated		6.63			3-15-2025		230,000		247,250
									1,296,065
Health Care: 5.73%
Health Care Equipment & Supplies: 0.11%
Hologic Incorporated 144A		4.38			10-15-2025		200,000		204,130
Health Care Providers & Services: 5.15%
Centene Corporation		4.75			1-15-2025		800,000		822,864
Centene Corporation 144A		5.25			4-1-2025		200,000		207,500
Community Health Systems Incorporated		6.25			3-31-2023		960,000		962,400
Community Health Systems Incorporated 144A		6.63			2-15-2025		400,000		408,000
Encompass Health Corporation		5.75			11-1-2024		116,000		116,579
Envision Healthcare Corporation 144A		8.75			10-15-2026		200,000		88,000
HCA Incorporated		5.88			5-1-2023		220,000		240,900
HCA Incorporated		5.88			2-15-2026		700,000		801,500
Lifepoint Health Incorporated 144A		6.75			4-15-2025		700,000		756,000
MEDNAX Incorporated 144A		6.25			1-15-2027		900,000		954,000
MPH Acquisition Holdings LLC 144A		7.13			6-1-2024		900,000		913,770

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

Wells Fargo High Yield Corporate Bond Portfolio  |  7

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Health Care Providers & Services (continued)
MPT Operating Partnership LP		4.63	%		8-1-2029	$	1,000,000	$	1,067,460
MPT Operating Partnership LP		5.00			10-15-2027		200,000		211,500
RegionalCare Hospital Partners 144A		9.75			12-1-2026		200,000		216,738
Tenet Healthcare Corporation		5.13			5-1-2025		300,000		306,000
Tenet Healthcare Corporation 144A		6.25			2-1-2027		220,000		231,000
Tenet Healthcare Corporation		8.13			4-1-2022		1,000,000		1,079,500
									9,383,711
Health Care Technology: 0.12%
IQVIA Incorporated 144A		5.00			5-15-2027		200,000		210,521
Life Sciences Tools & Services: 0.17%
Avantor Incorporated 144A		6.00			10-1-2024		300,000		314,250
Pharmaceuticals: 0.18%
Bausch Health Companies Incorporated 144A		8.50			1-31-2027		300,000		330,000
Industrials: 7.39%
Aerospace & Defense: 2.10%
Signature Aviation US Holdings Incorporated 144A		4.00			3-1-2028		600,000		586,614
Spirit AeroSystems Holdings Incorporated		4.60			6-15-2028		1,000,000		785,000
SSL Robotics LLC 144A		9.75			12-31-2023		500,000		565,000
TransDigm Group Incorporated		6.38			6-15-2026		200,000		204,466
TransDigm Group Incorporated		6.50			7-15-2024		200,000		201,000
TransDigm Group Incorporated		6.50			5-15-2025		900,000		906,750
Triumph Group Incorporated 144A		6.25			9-15-2024		700,000		572,607
									3,821,437
Air Freight & Logistics: 0.41%
XPO Logistics Incorporated 144A		6.25			5-1-2025		700,000		747,250
Airlines: 0.79%
American Airlines Group Company 144A		5.00			6-1-2022		910,000		586,950
Delta Air Lines Incorporated		2.90			10-28-2024		700,000		642,775
Delta Air Lines Incorporated		3.80			4-19-2023		220,000		212,646
									1,442,371
Building Products: 0.36%
Builders FirstSource Incorporated 144A		6.75			6-1-2027		600,000		654,000
Commercial Services & Supplies: 0.66%
ADT Corporation		3.50			7-15-2022		700,000		717,178
ADT Corporation		4.13			6-15-2023		200,000		209,003
APTIM Corporation 144A		7.75			6-15-2025		200,000		102,000
West Corporation Company 144A		8.50			10-15-2025		200,000		177,063
									1,205,244
Construction & Engineering: 0.60%
AECOM		5.88			10-15-2024		700,000		779,625
United Rentals North America Incorporated		5.50			5-15-2027		300,000		320,955
									1,100,580
Electrical Equipment: 0.43%
Allied Universal Security Services 144A		9.75			7-15-2027		700,000		775,250

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

8  |  Wells Fargo High Yield Corporate Bond Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Electronic Equipment, Instruments & Components: 0.51%
Wesco Distribution Incorporated Company 144A		7.13	%		6-15-2025	$	850,000	$	934,091
Machinery: 0.56%
Navistar International Corporation 144A		6.63			11-1-2025		1,000,000		1,020,700
Road & Rail: 0.64%
Uber Technologies Incorporated 144A		7.50			9-15-2027		500,000		524,175
Uber Technologies Incorporated 144A		8.00			11-1-2026		600,000		635,754
									1,159,929
Trading Companies & Distributors: 0.33%
Beacon Escrow Corporation 144A		4.88			11-1-2025		200,000		198,274
FXI Holdings Incorporated 144A		7.88			11-1-2024		200,000		194,000
Herc Holdings Incorporated 144A		5.50			7-15-2027		200,000		209,500
									601,774
Information Technology: 3.58%
Communications Equipment: 0.83%
CommScope Incorporated 144A		6.00			3-1-2026		200,000		212,500
CommScope Incorporated 144A		8.25			3-1-2027		550,000		595,370
CommScope Technologies Finance LLC 144A		5.00			3-15-2027		200,000		198,500
CommScope Technologies Finance LLC 144A		6.00			6-15-2025		280,000		287,059
Viasat Incorporated 144A		5.63			4-15-2027		200,000		212,000
									1,505,429
Electronic Equipment, Instruments & Components: 0.53%
CDW LLC		4.25			4-1-2028		710,000		741,950
CDW LLC		5.50			12-1-2024		200,000		221,937
									963,887
IT Services: 0.12%
VeriSign Incorporated		5.25			4-1-2025		200,000		224,000
Semiconductors & Semiconductor Equipment: 0.29%
Qorvo Incorporated		4.38			10-15-2029		500,000		536,250
Software: 0.86%
CDK Global Incorporated 144A		5.25			5-15-2029		200,000		218,184
Open Text Corporation 144A		4.13			2-15-2030		900,000		933,093
Solera Finance Incorporated 144A		10.50			3-1-2024		200,000		209,750
SS&C Technologies Incorporated 144A		5.50			9-30-2027		200,000		214,220
									1,575,247
Technology Hardware, Storage & Peripherals: 0.95%
EMC Corporation		3.38			6-1-2023		760,000		784,700
NCR Corporation 144A		5.75			9-1-2027		200,000		210,000
Western Digital Corporation		4.75			2-15-2026		200,000		216,428
Xerox Corporation		4.13			3-15-2023		500,000		513,240
									1,724,368

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

Wells Fargo High Yield Corporate Bond Portfolio  |  9

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Materials: 7.62%
Chemicals: 1.97%
Calumet Specialty Products Partners LP		7.63	%		1-15-2022	$	176,000	$	174,240
Calumet Specialty Products Partners LP 144A		9.25			7-15-2024		324,000		344,655
CF Industries Incorporated		3.45			6-1-2023		900,000		935,739
CF Industries Incorporated		4.95			6-1-2043		200,000		236,000
Chemours Company		5.38			5-15-2027		700,000		703,500
Chemours Company		6.63			5-15-2023		200,000		200,998
Olin Corporation		5.00			2-1-2030		200,000		193,000
Olin Corporation		5.63			8-1-2029		600,000		600,000
Tronox Incorporated 144A		6.50			4-15-2026		200,000		205,932
									3,594,064
Construction Materials: 0.46%
Standard Industries Incorporated 144A		5.00			2-15-2027		300,000		313,257
Standard Industries Incorporated 144A		4.75			1-15-2028		500,000		526,250
									839,507
Containers & Packaging: 2.59%
Ardagh Packaging Finance plc 144A		5.25			8-15-2027		200,000		208,076
Ball Corporation		4.88			3-15-2026		970,000		1,086,400
Ball Corporation		5.25			7-1-2025		200,000		226,654
Berry Global Incorporated 144A		4.88			7-15-2026		900,000		956,250
Berry Global Incorporated 144A		5.63			7-15-2027		200,000		211,500
Crown Americas Capital Corporation IV		4.50			1-15-2023		200,000		210,004
Flex Acquisition Company Incorporated 144A		6.88			1-15-2025		200,000		203,860
Mauser Packaging Solutions Holding Company 144A		5.50			4-15-2024		210,000		213,150
Mauser Packaging Solutions Holding Company 144A		7.25			4-15-2025		1,000,000		972,210
Reynolds Group Holding Limited 144A		5.13			7-15-2023		200,000		202,940
Sealed Air Corporation 144A		5.50			9-15-2025		200,000		224,000
									4,715,044
Metals & Mining: 2.04%
Cleveland-Cliffs Incorporated		5.75			3-1-2025		200,000		186,000
Cleveland-Cliffs Incorporated 144A		6.75			3-15-2026		900,000		919,125
Freeport-McMoRan Incorporated		5.00			9-1-2027		700,000		740,688
Freeport-McMoRan Incorporated		5.40			11-14-2034		200,000		226,078
Kaiser Aluminum Corporation 144A		4.63			3-1-2028		560,000		553,907
Novelis Corporation 144A		4.75			1-30-2030		200,000		202,694
Novelis Corporation 144A		5.88			9-30-2026		700,000		731,360
United States Steel Corporation		6.88			8-15-2025		200,000		146,500
									3,706,352
Paper & Forest Products: 0.56%
Vertical US Newco Incorporated 144A		5.25			7-15-2027		980,000		1,020,425
Real Estate: 4.85%
Equity REITs: 4.16%
ESH Hospitality Incorporated 144A		5.25			5-1-2025		700,000		710,500
Iron Mountain Incorporated 144A		4.88			9-15-2029		600,000		623,400
Iron Mountain Incorporated 144A		5.00			7-15-2028		440,000		456,500
Iron Mountain Incorporated 144A		5.25			3-15-2028		260,000		273,489
iStar Incorporated		4.25			8-1-2025		200,000		194,000
iStar Incorporated		5.25			9-15-2022		700,000		710,010

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

10  |  Wells Fargo High Yield Corporate Bond Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Equity REITs (continued)
MGM Growth Properties Operating Partnership LP		4.50	%		9-1-2026	$	300,000	$	315,000
SBA Communications Corporation		4.88			9-1-2024		1,000,000		1,027,200
Service Properties Trust Company		4.38			2-15-2030		1,100,000		951,500
Uniti Group Incorporated 144A		6.00			4-15-2023		200,000		202,050
Uniti Group Incorporated		8.25			10-15-2023		1,100,000		1,089,000
VICI Properties Incorporated 144A		4.25			12-1-2026		1,000,000		1,022,500
									7,575,149
Real Estate Management & Development: 0.58%
Icahn Enterprises Company		6.25			2-1-2022		300,000		303,375
Icahn Enterprises Company		5.25			5-15-2027		700,000		743,750
									1,047,125
Real Estate Management & Development: 0.11%
Realogy Group LLC 144A		9.38			4-1-2027		200,000		208,000
Utilities: 3.95%
Electric Utilities: 1.76%
DPL Incorporated 144A		4.13			7-1-2025		500,000		527,500
NextEra Energy Operating Partners LP 144A		4.50			9-15-2027		770,000		841,225
NRG Energy Incorporated 144A		5.25			6-15-2029		700,000		763,000
NRG Energy Incorporated		5.75			1-15-2028		200,000		217,500
PG&E Corporation		5.25			7-1-2030		720,000		718,157
Talen Energy Supply LLC		6.50			6-1-2025		200,000		139,250
									3,206,632
Gas Utilities: 0.26%
AmeriGas Partners LP		5.63			5-20-2024		200,000		218,354
Ferrellgas LP		6.75			6-15-2023		300,000		259,500
									477,854
Independent Power & Renewable Electricity Producers: 1.93%
Calpine Corporation 144A		5.00			2-1-2031		1,200,000		1,254,264
Calpine Corporation 144A		5.13			3-15-2028		230,000		241,500
Calpine Corporation 144A		5.25			6-1-2026		600,000		626,310
TerraForm Power Operating LLC 144A		4.75			1-15-2030		220,000		235,400
The AES Corporation		5.50			4-15-2025		200,000		206,017
Vistra Operations Company LLC 144A		5.63			2-15-2027		900,000		951,750
									3,515,241
Total Corporate Bonds and Notes (Cost $142,944,831)									146,866,507
Yankee Corporate Bonds and Notes: 17.03%
Communication Services: 4.14%
Diversified Telecommunication Services: 0.96%
Altice France SA 144A		7.38			5-1-2026		300,000		318,495
Telecom Italia Capital SpA 144A		5.30			5-30-2024		700,000		772,772
Telecom Italia Capital SpA		6.00			9-30-2034		200,000		243,000
Virgin Media Finance plc 144A		4.50			8-15-2030		390,000		410,573
									1,744,840

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

Wells Fargo High Yield Corporate Bond Portfolio  |  11

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Media: 2.81%
Altice Finco SA 144A		5.00	%		1-15-2028	$	800,000	$	822,000
Altice Finco SA 144A		10.50			5-15-2027		900,000		1,031,625
Nielsen Holding and Finance BV 144A		5.00			2-1-2025		920,000		936,100
Quebecor Media Incorporated		5.75			1-15-2023		900,000		965,250
Videotron Limited 144A		5.13			4-15-2027		200,000		211,500
Ziggo BV 144A		4.88			1-15-2030		200,000		212,142
Ziggo BV 144A		5.13			2-28-2030		900,000		954,000
									5,132,617
Wireless Telecommunication Services: 0.37%
C&W Senior Financing Designated Activity Company 144A		6.88			9-15-2027		200,000		209,450
VEON Holdings BV 144A		4.00			4-9-2025		210,000		218,400
Vodafone Group plc (USD Swap Semi Annual (vs. 3 Month LIBOR) 5 Year +4.87%) ±		7.00			4-4-2079		200,000		240,629
									668,479
Consumer Discretionary: 2.39%
Auto Components: 0.10%
Adient Global Holdings Limited 144A		4.88			8-15-2026		200,000		187,500
Automobiles: 0.35%
Fiat Chrysler Automobiles NV		5.25			4-15-2023		200,000		212,000
IHO Verwaltungs GmbH (PIK at 7.13%) 144A¥		6.38			5-15-2029		240,000		257,088
Jaguar Land Rover Automotive plc 144A		4.50			10-1-2027		200,000		168,000
									637,088
Hotels, Restaurants & Leisure: 1.85%
International Game Technology plc 144A		6.25			1-15-2027		1,000,000		1,095,700
International Game Technology plc 144A		6.50			2-15-2025		200,000		217,500
Melco Resorts & Entertainment Limited 144A		5.38			12-4-2029		200,000		204,800
MGM China Holdings Limited 144A		5.88			5-15-2026		220,000		232,980
Royal Caribbean Cruises LTD		5.25			11-15-2022		700,000		626,500
Wynn Macau Limited 144A		5.13			12-15-2029		1,000,000		982,500
									3,359,980
Leisure Products: 0.09%
VOC Escrow Limited 144A		5.00			2-15-2028		200,000		166,000
Consumer Staples: 0.66%
Food Products: 0.66%
JBS USA Finance Incorporated 144A		5.75			6-15-2025		300,000		309,750
JBS USA Finance Incorporated 144A		6.75			2-15-2028		800,000		886,000
									1,195,750
Energy: 2.81%
Energy Equipment & Services: 0.46%
Alcoa Nederland Holding Company BV 144A		6.75			9-30-2024		800,000		827,504
Oil, Gas & Consumable Fuels: 2.35%
Cenovus Energy Incorporated		5.40			6-15-2047		900,000		804,084
Cenovus Energy Incorporated		4.25			4-15-2027		230,000		220,807
Husky Energy Incorporated (PIK at 13.75%) 144A¥		13.00			2-15-2025		500,000		527,500
MEG Energy Corporation 144A		7.00			3-31-2024		700,000		694,750

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

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Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Oil, Gas & Consumable Fuels (continued)
Seven Generations Energy Company 144A		6.88	%		6-30-2023	$	800,000	$	809,776
Transocean Incorporated		6.80			3-15-2038		300,000		59,250
Transocean Poseidon Limited 144A		6.88			2-1-2027		600,000		498,000
Weatherford International Limited 144A		11.00			12-1-2024		1,000,000		670,000
									4,284,167
Financials: 3.16%
Banks: 1.48%
Deutsche Bank AG (USD ICE Swap Rate 11:00am NY 5 Year +2.55%) ±		4.88			12-1-2032		1,130,000		1,125,333
Intesa Sanpaolo SpA 144A		5.02			6-26-2024		500,000		539,091
Intesa Sanpaolo SpA 144A		5.71			1-15-2026		260,000		288,881
UniCredit SpA (USD ICE Swap Rate 11:00am NY 5 Year +3.70%) 144A±		5.86			6-19-2032		700,000		742,892
									2,696,197
Diversified Financial Services: 1.68%
Global Aircraft Leasing Company Limited 144A		6.50			9-15-2024		1,000,000		589,550
Intelsat Jackson Holdings SA 144A		8.00			2-15-2024		200,000		204,000
New Red Finance Incorporated 144A		5.00			10-15-2025		1,300,000		1,334,975
New Red Finance Incorporated 144A		3.88			1-15-2028		200,000		205,000
Trivium Packaging Finance BV 144A		8.50			8-15-2027		200,000		220,000
Tronox Finance plc 144A		5.75			10-1-2025		500,000		506,355
									3,059,880
Health Care: 1.40%
Pharmaceuticals: 1.40%
Bausch Health Companies Incorporated 144A		5.25			1-30-2030		800,000		795,192
Bausch Health Companies Incorporated 144A		7.25			5-30-2029		720,000		790,200
Endo Limited 144A		6.00			7-15-2023		200,000		160,500
Endo Limited 144A		9.50			7-31-2027		750,000		811,875
									2,557,767
Industrials: 1.20%
Aerospace & Defense: 0.14%
Bombardier Incorporated 144A		6.00			10-15-2022		300,000		255,000
Commercial Services & Supplies: 0.29%
GFL Environmental Incorporated 144A		5.13			12-15-2026		500,000		527,919
Electrical Equipment: 0.48%
Sensata Technologies BV 144A		5.00			10-1-2025		200,000		217,340
Sensata Technologies BV 144A		5.63			11-1-2024		600,000		654,000
									871,340
Metals & Mining: 0.29%
FMG Resources Proprietary Limited 144A		5.13			5-15-2024		500,000		540,000
Information Technology: 0.42%
Communications Equipment: 0.30%
Nokia OYJ		4.38			6-12-2027		500,000		547,250
Software: 0.12%
Open Text Corporation 144A		5.88			6-1-2026		200,000		210,000

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

Wells Fargo High Yield Corporate Bond Portfolio  |  13

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Materials: 0.75%
Chemicals: 0.11%
Ineos Group Limited 144A		5.63	%		8-1-2024	$	200,000	$	202,433
Containers & Packaging: 0.23%
Ardagh Packaging Finance plc 144A		5.25			8-15-2027		400,000		416,152
Metals & Mining: 0.41%
ArcelorMittal SA		4.55			3-11-2026		420,000		460,572
FMG Resources Proprietary Limited 144A		5.13			3-15-2023		280,000		294,419
									754,991
Real Estate: 0.10%
Real Estate Management & Development: 0.10%
Brookfield Property Partners LP 144A		4.88			2-15-2030		200,000		187,374
Total Yankee Corporate Bonds and Notes (Cost $30,389,362)									31,030,228
	Yield					Shares
Short-Term Investments: 0.81%
Investment Companies: 0.81%
Wells Fargo Government Money Market Fund Select Class (l)(u)		0.06					1,476,214		1,476,214
Total Short-Term Investments (Cost $1,476,214)									1,476,214

Total investments in securities (Cost $174,810,407)	98.45	%		179,372,949
Other assets and liabilities, net	1.55			2,831,850
Total net assets	100.00	%	$	182,204,799

144A The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933.

± Variable rate investment. The rate shown is the rate in effect at period end.

¥ A payment-in-kind (PIK) security is a security in which the issuer may make interest or dividend payments in cash or additional securities or a combination of both. The rate shown is the rate in effect at period end.

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

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

Abbreviations:

LIBOR London Interbank Offered Rate

REIT Real estate investment trust

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:

	Value, beginning of period		Purchases		Sales proceeds			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	$	1,339,300	$	139,453,469	$	(139,316,555	)	$	0	$	0	$	3,181	$	1,476,214		0.81	%

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

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Statement of assets and liabilities—August 31, 2020 (unaudited)

Assets
Investments in unaffiliated securities, at value (cost $173,334,193)	$	177,896,735
Investments in affiliated securities, at value (cost $1,476,214)		1,476,214
Cash		1,333
Receivable for interest		2,877,241
Prepaid expenses and other assets		669
Total assets		182,252,192
Liabilities
Advisory fee payable		33,128
Professional fees payable		9,452
Custody and accounting fees payable		2,937
Trustees’ fees and expenses payable		1,876
Total liabilities		47,393
Total net assets	$	182,204,799

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

Wells Fargo High Yield Corporate Bond Portfolio  |  15

Statement of operations—six months ended August 31, 2020 (unaudited)

Investment income
Interest (net of foreign withholding taxes of $5,248)	$	3,420,945
Income from affiliated securities		3,181
Total investment income		3,424,126
Expenses
Advisory fee		144,125
Custody and accounting fees		4,978
Professional fees		27,665
Shareholder report expenses		4,208
Trustees’ fees and expenses		9,898
Other fees and expenses		4,642
Total expenses		195,516
Less: Fee waivers and/or expense reimbursements		(37,957	)
Net expenses		157,559
Net investment income		3,266,567
Realized and unrealized gains (losses) on investments
Net realized losses on investments		(2,137,468	)
Net change in unrealized gains (losses) on investments		6,236,762
Net realized and unrealized gains (losses) on investments		4,099,294
Net increase in net assets resulting from operations	$	7,365,861

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

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Statement of changes in net assets

	Six months ended August 31, 2020 (unaudited)			Year ended February 29, 2020
Operations
Net investment income	$	3,266,567		$	3,528,771
Net realized losses on investments		(2,137,468	)		(1,300,689	)
Net change in unrealized gains (losses) on investments		6,236,762			811,481
Net increase in net assets resulting from operations		7,365,861			3,039,563
Capital transactions
Transactions in investors’ beneficial interests
Contributions		133,553,085			8,823,305
Withdrawals		(12,703,179	)		(45,182,920	)
Net increase (decrease) in net assets resulting from capital transactions		120,849,906			(36,359,615	)
Total increase (decrease) in net assets		128,215,767			(33,320,052	)
Net assets
Beginning of period		53,989,032			87,309,084
End of period	$	182,204,799		$	53,989,032

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

Wells Fargo High Yield Corporate Bond Portfolio  |  17

Financial highlights

	Six months ended August 31, 2020 (unaudited)			Year ended February 29, 2020			Year ended February 28
							2019			20181
Total return2		0.74	%		3.97	%		3.70	%		0.49	%
Ratios to average net assets (annualized)
Gross expenses		0.34	%		0.42	%		0.34	%		0.37	%
Net expenses		0.27	%		0.30	%		0.32	%		0.37	%
Net investment income		5.67	%		5.54	%		6.06	%		5.36	%
Supplemental data
Portfolio turnover rate		20	%		52	%		47	%		122	%

¹  For the period from May 23, 2017 (commencement of operations) to February 28, 2018

²  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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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 High Yield Corporate Bond Portfolio (the “Portfolio”) which is a diversified series of the Trust.

Interests in the Portfolio are available solely through private placement transactions that do not involve any “public offering” within the meaning of Section 4(2) of the Investment Company Act of 1933.

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.

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.

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 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 income, 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 income 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.

Wells Fargo High Yield Corporate Bond Portfolio  |  19

Notes to financial statements (unaudited)

As of August 31, 2020, the aggregate cost of all investments for federal income tax purposes was $174,885,665 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	7,027,339
Gross unrealized losses		(2,540,055	)
Net unrealized gains	$	4,487,284

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 August 31, 2020:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Corporate bonds and notes	$	0	$	146,866,507	$	0	$	146,866,507
Yankee corporate bonds and notes		0		31,030,228		0		31,030,228
Short-term investments
Investment companies		1,476,214		0		0		1,476,214
Total assets	$	1,476,214	$	177,896,735	$	0	$	179,372,949

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

For the six months ended August 31, 2020, 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 & 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 at the following annual rate based on the Portfolio’s average daily net assets:

Average daily net assets	Advisory fee
First $5 billion		0.25	%
Next $5 billion		0.23
Over $10 billion		0.21

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Notes to financial statements (unaudited)

For the six months ended August 31, 2020, 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 0.09% and declining to 0.07% as the average daily net assets of the Portfolio increase.

Funds Management has voluntarily waived and/or reimbursed advisory fees to reduce 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 August 31, 2020 were $147,318,027 and $23,610,344, respectively.

6. BANK BORROWINGS

The Trust, along with Wells Fargo Variable Trust and Wells Fargo Funds Trust (excluding the money market funds), are parties to a $350,000,000 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 August 31, 2020, there were no borrowings by the Portfolio under the agreement.

7. INDEMNIFICATION

Under the Portfolio’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 Portfolio. The Portfolio has entered into a separate agreement with each Trustee that converts indemnification rights currently existing under the Portfolio’s organizational documents into contractual rights that cannot be changed in the future without the consent of the Trustee. Additionally, in the normal course of business, the Portfolio may enter into contracts with service providers that contain a variety of indemnification clauses. The Portfolio’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 on fair value measurements in Topic 820, Fair Value Measurements. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has adopted this guidance which did not have a material impact on the financial statements.

9. CORONAVIRUS (COVID-19) PANDEMIC

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

Wells Fargo High Yield Corporate Bond Portfolio  |  21

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 wfam.com, or visiting the SEC website at sec.gov. Information regarding how the proxies related to portfolio securities were voted during the most recent 12-month period ended June 30 is available on the website at wfam.com or by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS INFORMATION

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

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

Independent Trustees

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

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

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

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Other information (unaudited)

Officers

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

¹  Jeremy DePalma acts as Treasurer of 77 funds and Assistant Treasurer of 65 funds in the Fund Complex.

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

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Other information (unaudited)

BOARD CONSIDERATION OF INVESTMENT MANAGEMENT, ADVISORY AND SUB-ADVISORY AGREEMENTS:

Wells Fargo Emerging Markets Bond Fund, Wells Fargo High Yield Corporate Bond Fund, Wells Fargo International Government Bond Fund, Wells Fargo U.S. Core Bond Fund, Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, Wells Fargo Emerging Markets Bond Portfolio, Wells Fargo Factor Enhanced International Equity Portfolio, Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, Wells Fargo International Government Bond Portfolio, Wells Fargo Investment Grade Corporate Bond Portfolio, Wells Fargo High Yield Corporate Bond Portfolio, Wells Fargo Strategic Retirement Bond Portfolio, and Wells Fargo U.S. REIT Portfolio

Under the Investment Company Act of 1940 (the “1940 Act”), the Board of Trustees (each, a “Board” and collectively, the “Boards”) of each of Wells Fargo Funds Trust (“Funds Trust”) and Wells Fargo Master Trust (“Master Trust”) (collectively, the “Trusts”) must determine annually whether to approve the continuation of the Trusts’ investment management, advisory and sub-advisory agreements, as applicable. In this regard, at a meeting held on May 26, 2020 and May 28, 2020 (together, the “Meeting”), the Board of Funds Trust, all the members of which have no direct or indirect interest in the investment management agreement and are not “interested persons” of the Trusts, as defined in the 1940 Act (the “Independent Trustees”), reviewed and approved for each of the funds of Funds Trust identified in the table below (individually, an “Index Fund” and collectively, the “Index Funds”) an investment management agreement (the “Management Agreement”) with Wells Fargo Funds Management, LLC (“Funds Management”).

Index Funds

Wells Fargo Emerging Markets Bond Fund

Wells Fargo High Yield Corporate Bond Fund

Wells Fargo International Government Bond Fund

Wells Fargo U.S. Core Bond Fund

In addition, the Funds Trust Board reviewed and approved an investment sub-advisory agreement with Wells Capital Management Incorporated (“WellsCap”) for the U.S. Core Bond Fund (the “Core Bond Fund Sub-Advisory Agreement”).

At the Meeting, the Board of Master Trust, all the members of which have no direct or indirect interest in the investment advisory and sub-advisory agreements and are Independent Trustees, reviewed and approved for each of the portfolios of Master Trust identified in the table below (individually, a “Master Portfolio” and collectively, the “Master Portfolios”): (i) an investment advisory agreement (the “Master Portfolio Advisory Agreement”) with Funds Management; and (ii) an investment sub-advisory agreement (each, a “Master Portfolio Sub-Advisory Agreement”, and collectively, the “Master Portfolio Sub-Advisory Agreements”) with the sub-adviser(s) identified in the chart below (each, a “Sub-Adviser”, and collectively, the “Sub-Advisers”) for the corresponding Master Portfolio identified.

Master Portfolios	Sub-Advisers
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio	WellsCap
Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio	WellsCap
Wells Fargo Emerging Markets Bond Portfolio	Wells Fargo Asset Management (International), Limited (“WFAM International”)
Wells Fargo Factor Enhanced International Equity Portfolio	WellsCap
Wells Fargo Factor Enhanced U.S. Large Cap Portfolio	WellsCap
Wells Fargo Factor Enhanced U.S. Small Cap Portfolio	WellsCap
Wells Fargo International Government Bond Portfolio	WFAM International
Wells Fargo Investment Grade Corporate Bond Portfolio	WellsCap
Wells Fargo High Yield Corporate Bond Portfolio	WellsCap
Wells Fargo Strategic Retirement Bond Portfolio	WellsCap
Wells Fargo U.S. REIT Portfolio	WellsCap

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Other information (unaudited)

The Index Funds and the Master Portfolios are collectively referred to as the “Funds.” The Management Agreement, the Core Bond Fund Sub-Advisory Agreement, the Master Portfolio Advisory Agreement and the Master Portfolio Sub-Advisory Agreements are collectively referred to as the “Advisory Agreements.”

The Boards noted that each of the Index Funds is a feeder fund that invests all of its assets in its corresponding Master Portfolio, with the exception of the U.S. Core Bond Fund, which invests in multiple Master Portfolios. Information provided to the Boards regarding the Index Funds is also applicable to the Master Portfolios identified above, as relevant.

At the Meeting, the Boards considered the factors and reached the conclusions described below relating to the selection of Funds Management and the Sub-Advisers and the approval of the Advisory Agreements. Prior to the Meeting, including at a Board meeting held in April 2020, the Trustees conferred extensively among themselves and with representatives of Funds Management about these matters. Also, the Boards have adopted a team-based approach, with each team consisting of a sub-set of Trustees, to assist the full Boards in the discharge of their duties in reviewing investment performance and other matters throughout the year. The Independent Trustees were assisted in their evaluation of the Advisory Agreements by independent legal counsel, from whom they received separate legal advice and with whom they met separately.

In providing information to the Boards, Funds Management and the Sub-Advisers were guided by a detailed set of requests for information submitted to them by independent legal counsel on behalf of the Independent Trustees at the start of the Boards’ annual contract renewal process earlier in 2020. In considering and approving the Advisory Agreements, the Trustees considered the information they believed relevant, including but not limited to the information discussed below. The Boards considered not only the specific information presented in connection with the Meeting, but also the knowledge gained over time through interaction with Funds Management and the Sub-Advisers about various topics. In this regard, the Boards reviewed reports of Funds Management at each of their quarterly meetings, which included, among other things, portfolio reviews and investment performance reports. In addition, the Boards and the teams mentioned above confer with portfolio managers at various times throughout the year. The Boards did not identify any particular information or consideration that was all-important or controlling, and each individual Trustee may have attributed different weights to various factors.

After its deliberations, the Board of Funds Trust unanimously approved the continuation of the Management Agreement and the Core Bond Fund Sub-Advisory Agreement for a one-year period. Additionally, after its deliberations, the Board of Master Trust unanimously approved the continuation of the Master Portfolio Advisory Agreement and each Master Portfolio Sub-Advisory Agreement for a one-year term. The Boards also determined that the compensation or the absence of compensation payable to Funds Management and to each of the Sub-Advisers under each of the Advisory Agreements was reasonable. The Boards considered the approval of the Advisory Agreements for the Funds as part of their consideration of agreements for funds across the complex, but their approvals were made on a fund-by-fund basis. The following summarizes a number of important, but not necessarily all, factors considered by the Boards in support of their approvals.

Nature, extent and quality of services

The Boards received and considered various information regarding the nature, extent and quality of services provided to the Funds by Funds Management and the Sub-Advisers under the Advisory Agreements. This information included a description of the investment advisory services and Fund-level administrative services covered by the Advisory Agreements, as well as, among other things, a summary of the background and experience of senior management of Wells Fargo Asset Management (“WFAM”), of which Funds Management and the Sub-Advisers are a part, and a summary of investments made in the business of WFAM. The Boards also received a description of Funds Management’s and the Sub-Advisers’ business continuity plans and of their approaches to data privacy and cybersecurity, and related testing. The Boards also received and reviewed information about Funds Management’s role as administrator of the Funds’ liquidity risk management program, Funds Management’s approach to risk management, and Funds Management’s intermediary and vendor oversight program.

The Boards also considered the qualifications, background, tenure and responsibilities of each of the portfolio managers primarily responsible for the day-to-day portfolio management of the Funds. The Board of Master Trust noted that each of the Master Portfolios replicates the performance of a proprietary index provided by an affiliate of Funds Management, except that the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Emerging Markets Bond Portfolio, and the Wells Fargo Strategic Retirement Bond Portfolio track the performance of third-party indexes. The Boards evaluated the ability of Funds Management and the Sub-Advisers to attract and retain qualified investment professionals, including research, advisory and supervisory personnel. The Boards further considered the compliance programs and compliance records of Funds Management and the Sub-Advisers. In addition, the Boards took into account the full range of services provided to the Funds by Funds Management and its affiliates.

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Other information (unaudited)

Fund investment performance and expenses

The Boards considered the investment performance results for each of the Master Portfolios for the one-year period ended December 31, 2019. The Boards also considered more current results for the one-year period ended March 31, 2020. The Boards considered these results in comparison to the investment performance of funds in a universe that was determined by Broadridge Inc. (“Broadridge”) to be similar to the respective Master Portfolios (each, a “Universe”), and in comparison to each Master Portfolio’s benchmark index and to other comparative data. Broadridge is an independent provider of investment company data. The Boards received a description of the methodology used by Broadridge to select the mutual funds in each performance Universe.

The Boards noted the short performance history of the Master Portfolios. For the one-year period ended December 31, 2019, the Boards noted that the investment performance of each Master Portfolio relative to its respective Universe was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio and the Wells Fargo Investment Grade Corporate Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective Universe; and (ii) the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo International Government Bond Portfolio, the Wells Fargo Strategic Retirement Bond Portfolio and the Wells Fargo U.S. REIT Portfolio was lower than the average investment performance of such Master Portfolio’s respective Universe. For the one-year period ended March 31, 2020, the Boards noted that the investment performance of each Master Portfolio relative to its respective Universe was as follows: (i) the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo International Government Bond Portfolio, and the Wells Fargo Investment Grade Corporate Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective Universe, and (ii) the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio, the Wells Fargo Strategic Retirement Bond Portfolio and the Wells Fargo U.S. REIT Portfolio was lower than the average investment performance of such Master Portfolio’s respective Universe.

The Boards also noted that the investment performance of each Master Portfolio to its respective benchmark index for the one-year period ended December 31, 2019, was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio, the Wells Fargo U.S. REIT Portfolio and the Wells Fargo Strategic Retirement Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective benchmark, and (ii) the investment performance of each of the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo International Government Bond Portfolio and the Wells Fargo Investment Grade Corporate Bond Portfolio was lower than the average investment performance of such Master Portfolio’s respective benchmark. For the one-year period ended March 31, 2020, the Boards also noted that the investment performance of each Master Portfolio to its respective benchmark index, was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo U.S. REIT Portfolio, the Wells Fargo Investment Grade Corporate Bond Portfolio and the Wells Fargo Strategic Retirement Bond Portfolio was higher than, equal to or in range of the average investment performance of such Master Portfolio’s respective benchmark, and (ii) the investment performance of each of the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio and the Wells Fargo International Government Bond Portfolio was lower than the average investment performance of such Master Portfolio’s respective benchmark.

The Boards received information concerning, and discussed factors contributing to, the underperformance of certain Master Portfolios, relative to the Universe and benchmark index, for the periods identified above. The Board took note of the explanations for the relative underperformance during these periods, including with respect to investment decisions and market factors that affected the Fund’s investment performance.

The Board of Funds Trust took note of the investment performance of the Master Portfolios in the context of reviewing the investment performance of the Index Funds. The Board of Funds Trust also received and considered information regarding the “zero fee and expense” structure of each Index Fund. Specifically, the Funds Trust Board noted that each Index Fund’s gross operating expense ratio and each of its various components, including management fees, administration fees, custody fees, Rule 12b-1 fees, and other fees, are zero. The Funds Trust Board also noted that Funds Management assumes and pays or reimburses all of the ordinary operating expenses of each Index Fund, including acquired fund fees and expenses, pursuant to an

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Other information (unaudited)

agreement with each of the Index Funds (the “Fee and Expense Agreement”). The Funds Trust Board further noted that Funds Management receives a fee from Wells Fargo Wealth and Investment Management (“WIM”) pursuant to an intercompany agreement equal to the Master Portfolio fees and expenses absorbed by Funds Management through its Fee and Expense Agreement with each of the Index Funds.

With respect to the Master Portfolios, the Board of Master Trust received and considered information regarding the fee rates that are payable to Funds Management for investment advisory services (as discussed below), which are the only fees charged at the Master Portfolio level, relative to corresponding class-specific expense groups that were determined by Broadridge to be similar to the Funds (the “Groups”). The Boards received a description of the methodology used by Broadridge to select the mutual funds in the expense Groups and an explanation of how funds comprising expense groups and their expense ratios may vary from year-to-year.

The Boards took into account the Funds’ expense information and the Master Portfolios’ performance information provided to them among the factors considered in deciding to re-approve the Advisory Agreements.

Investment management, advisory and sub-advisory fee rates

The Board of Funds Trust reviewed and considered that the contractual investment management fee rate payable by each Index Fund to Funds Management for investment management services zero, and also reviewed and considered that each Fund’s other expenses would normally be zero, because of Funds Management’s commitment to assume and pay or reimburse all of the ordinary operating expenses of each Fund, including acquired fund fees and expenses, under the Fee and Expense Agreement. The Board of Funds Trust also reviewed and considered that the contractual investment sub-advisory fee rate payable by Funds Management to WellsCap for investment sub-advisory services for the U.S. Core Bond Fund is also zero.

The Board of Master Trust reviewed and considered the contractual fee rates payable by the Master Portfolios to Funds Management under the Master Portfolio Advisory Agreement (the “Advisory Agreement Rates”). The Board of Master Trust also reviewed and considered the contractual investment sub-advisory fee rates that are payable by Funds Management to the Sub-Advisers for investment sub-advisory services (the “Sub-Advisory Agreement Rates”).

The Board of Master Trust reviewed a comparison of the Advisory Agreement Rates of each Master Portfolio with those of other funds in each Master Portfolio’s respective expense Groups at a common asset level. The Board of Master Trust noted that the Advisory Agreement Rates of each Master Portfolio were lower than or equal to the median rate for such Master Portfolio’s expense Groups.

The Boards also received and considered information about the portions of the total management fees that were retained by Funds Management after payment of the fees to the Sub-Advisers for sub-advisory services. In assessing the reasonableness of these amounts, the Boards received and evaluated information about the nature and extent of responsibilities retained and risks assumed by Funds Management and not delegated to or assumed by the Sub-Advisers, and about Funds Management’s on-going oversight services. Given the affiliation between Funds Management and the Sub-Advisers, the Boards ascribed limited relevance to the allocation of fees between them.

The Boards also received and considered information about the nature and extent of services offered and fee rates charged by Funds Management and the Sub-Advisers to other types of clients with investment strategies similar to those of certain Funds. In this regard, the Boards received information about the significantly greater scope of services, and compliance, reporting and other legal burdens and risks of managing proprietary mutual funds compared with those associated with managing assets of other types of clients, including third-party sub-advised fund clients and non-mutual fund clients such as institutional separate accounts.

Based on its consideration of the factors and information it deemed relevant, including those described here, the Board of Fund Trust determined that the compensation received by Funds Management from WIM pursuant to the intercompany agreement, and the absence of compensation payable by the Funds to Funds Management pursuant to the Management Agreement or to WellsCap pursuant to the Core Bond Fund Sub-Advisory Agreement, was reasonable. Based on its consideration of the factors and information it deemed relevant, including those described here, the Board of Master Trust determined that the Advisory Agreement Rates and the Sub-Advisory Agreement Rates for each Master Portfolio were reasonable.

Profitability

The Boards received and considered information concerning the profitability of Funds Management, as well as the profitability of both WFAM and Wells Fargo & Co. (“Wells Fargo”) from providing services to the fund family as a whole. The Boards noted that the Sub-Advisers’ profitability information with respect to providing services to the Funds and other funds in the family was subsumed in the WFAM and Wells Fargo profitability analysis.

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Other information (unaudited)

Funds Management reported on the methodologies and estimates used in calculating profitability, including a description of the methodology used to allocate certain expenses. Among other things, the Boards noted that the levels of profitability reported on a fund-by-fund basis varied widely, depending on factors such as the size, type and age of fund.

Based on its review, the Boards did not deem the profits reported by Funds Management, WFAM or Wells Fargo from services provided to the Funds to be at a level that would prevent them from approving the continuation of the Advisory Agreements.

Economies of scale

The Boards received and considered information about the potential for Funds Management to experience economies of scale in the provision of management services to the Funds, the difficulties of calculating economies of scale at an individual fund level, and the extent to which potential scale benefits are shared with shareholders. The Boards noted the existence of breakpoints in the each Master Portfolio’s advisory fee structure and each Index Fund’s management fee structure, which operate generally to reduce the Funds’ expense ratios as the Funds grow in size, and the size of the Funds in relation to such breakpoints. The Boards considered that in addition to management fee breakpoints, Funds Management shares potential economies of scale from its management business in a variety of ways, including through fee waiver and expense reimbursement arrangements, services that benefit shareholders, competitive management fee rates set at the outset without regard to breakpoints, and investments in the business intended to enhance services available to shareholders.

The Boards concluded that Funds Management’s arrangements with respect to the Funds, including contractual breakpoints, constituted a reasonable approach to sharing potential economies of scale with the Funds and their shareholders.

Other benefits to Funds Management and the Sub-Advisers

The Boards received and considered information regarding potential “fall-out” or ancillary benefits received by Funds Management and its affiliates, including WellsCap and WFAM International, as a result of their relationships with the Funds. Ancillary benefits could include, among others, benefits directly attributable to other relationships with the Funds and benefits potentially derived from an increase in Funds Management’s and the Sub-Advisers’ business as a result of their relationships with the Funds. The Boards noted that various affiliates of Funds Management may receive distribution-related fees, shareholder servicing payments and sub-transfer agency fees in respect of shares sold or held through them and services provided.

The Boards also reviewed information about soft dollar credits earned and utilized by the Sub-Advisers, fees earned by Funds Management and WellsCap from managing a private investment vehicle for the fund family’s securities lending collateral, and commissions earned by an affiliated broker from portfolio transactions.

Based on their consideration of the factors and information they deemed relevant, including those described here, the Boards did not find that any ancillary benefits received by Funds Management and its affiliates, including WellsCap and WFAM International, were unreasonable.

Conclusion

At the Meeting, after considering the above-described factors and based on its deliberations and its evaluation of the information described above, the Funds Trust Board unanimously approved the continuation of the Management Agreement and the Core Bond Fund Sub-Advisory Agreement for a one-year period. Additionally, after its deliberations, the Master Trust Board unanimously approved the continuation of the Master Portfolio Advisory Agreement and each Master Portfolio Sub-Advisory Agreement for a one-year term. The Boards also determined that the compensation or the absence of compensation payable to Funds Management and to each of the Sub-Advisers was reasonable.

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Other information (unaudited)

LIQUIDITY RISK MANAGEMENT PROGRAM

In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), Wells Fargo Master Trust (the “Trust”) has adopted and implemented a liquidity risk management program (the “Program”) on behalf of each of its series, including each Portfolio, which is reasonably designed to assess and manage the Portfolio’s liquidity risk. “Liquidity risk” is defined as the risk that a Portfolio is unable to meet redemption requests without significantly diluting remaining investors’ interests in the Portfolio. The Trust’s Board of Trustees (the “Board”) previously approved the designation of Wells Fargo Funds Management, LLC (“Funds Management”), each Portfolio’s investment adviser, as the administrator of the Program, and Funds Management has established a Liquidity Risk Management Council composed of personnel from multiple departments within Funds Management and its affiliates to assist Funds Management in the implementation and on-going administration of the Program.

The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Portfolio’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Portfolio’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under the Liquidity Rule); (4) to the extent a Portfolio does not invest primarily in “highly liquid investments” (as defined under the Liquidity Rule), the determination of a minimum percentage of the Portfolio’s assets that generally will be invested in highly liquid investments (an “HLIM”); (5) if a Portfolio has established an HLIM, the periodic review (no less frequently than annually) of the HLIM and the adoption of policies and procedures for responding to a shortfall of the Portfolio’s “highly liquid investments” below its HLIM; and (6) periodic reporting to the Board.

At a meeting of the Board held on May 26 and 28, 2020, the Board received a written report (the “Report”) from Funds Management that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation. The Report covered the initial period from December 1, 2018 through December 31, 2019 (the “Reporting Period”). No significant liquidity events impacting any Portfolio were noted in the Report. There were no material changes to the Program during the Reporting Period. The Report concluded that the Program is operating effectively to assess and manage each Portfolio’s liquidity risk, and that the Program has been and continues to be adequately and effectively implemented to monitor and, as applicable, respond to the Portfolio’s liquidity developments.

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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 Portfolio’s website, or call:

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: wfam.com

Individual investors: 1-800-222-8222

Retail investment professionals: 1-888-877-9275

Institutional investment professionals: 1-866-765-0778

This report and the financial statements contained herein are submitted for the general information of the shareholders of the Portfolio. 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 Portfolio’s website at wfam.com. Read the prospectus carefully before you invest or send money.

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

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

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

© 2020 Wells Fargo & Company. All rights reserved.

Semi-Annual Report

August 31, 2020

Wells Fargo

Investment Grade Corporate Bond Portfolio

Contents

Portfolio information	2
Portfolio of investments	3
Financial statements
Statement of assets and liabilities	23
Statement of operations	24
Statement of changes in net assets	25
Financial highlights	26
Notes to financial statements	27
Other information	30

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

Wells Fargo Investment Grade Corporate Bond Portfolio  |  1

Portfolio information (unaudited)

Investment objective

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

Adviser

Wells Fargo Funds Management, LLC

Subadviser

Wells Capital Management Incorporated

Portfolio managers

Manjunath Boraiah^†

Mark Clegg, CFA^®‡

Janet S. Rilling, CFA^®‡

Michael J. Schueller, CFA^®‡

Noah M. Wise, CFA^®‡

Ten largest holdings (%) as of August 31, 20201
Goldman Sachs Group Incorporated, 4.75%, 10-21-2045	0.90
CVS Caremark Corporation, 5.05%, 3-25-2048	0.76
Home Depot Incorporated, 2.70%, 4-15-2030	0.65
Mitsubishi UFJ Financial Group Incorporated, 3.22%, 3-7-2022	0.60
Broadcom Incorporated, 3.63%, 10-15-2024	0.59
Blackrock Incorporated, 3.25%, 4-30-2029	0.58
Walmart Incorporated, 3.95%, 6-28-2038	0.56
Credit Suisse Group Funding Limited, 4.55%, 4-17-2026	0.50
ING Banking Group plc, 4.55%, 10-2-2028	0.49
T Mobile US Incorporated, 4.38%, 4-15-2040	0.49

Portfolio composition as of August 31, 2020²

^†  Mr. Boraiah became a portfolio manager of the Portfolio on August 28, 2020.

^‡  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.

2  |  Wells Fargo Investment Grade Corporate Bond Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Corporate Bonds and Notes: 80.00%
Communication Services: 4.27%
Diversified Telecommunication Services: 1.45%
AT&T Incorporated		4.30	%		12-15-2042	$	350,000	$	397,115
AT&T Incorporated		4.50			5-15-2035		230,000		274,942
AT&T Incorporated		4.90			6-15-2042		36,000		43,718
T Mobile US Incorporated 144A		4.38			4-15-2040		900,000		1,082,394
Verizon Communications Incorporated		3.85			11-1-2042		260,000		309,379
Verizon Communications Incorporated		4.13			3-16-2027		200,000		235,958
Verizon Communications Incorporated		4.67			3-15-2055		655,000		889,699
									3,233,205
Entertainment: 0.32%
TWDC Enterprises 18 Corporation		2.55			2-15-2022		175,000		180,606
TWDC Enterprises 18 Corporation		4.13			12-1-2041		175,000		207,751
Walt Disney Company		2.20			1-13-2028		300,000		317,955
									706,312
Interactive Media & Services: 0.04%
Alphabet Incorporated		3.38			2-25-2024		87,000		95,896
Media: 2.46%
CBS Corporation		3.70			8-15-2024		350,000		383,919
CBS Corporation		4.85			7-1-2042		140,000		156,215
CBS Corporation		4.90			8-15-2044		350,000		392,942
Charter Communications Operating LLC		4.46			7-23-2022		400,000		426,236
Charter Communications Operating LLC		4.91			7-23-2025		400,000		465,389
Comcast Corporation		2.35			1-15-2027		210,000		225,478
Comcast Corporation		4.00			11-1-2049		200,000		241,517
Comcast Corporation		4.40			8-15-2035		210,000		267,628
Comcast Corporation		4.75			3-1-2044		262,000		345,483
Discovery Communications LLC		6.35			6-1-2040		175,000		234,543
Discovery Communications LLC		3.95			3-20-2028		400,000		452,477
Omnicom Group Incorporated		3.63			5-1-2022		175,000		183,821
Time Warner Cable Incorporated		5.50			9-1-2041		210,000		256,956
Time Warner Cable Incorporated		6.55			5-1-2037		300,000		400,281
Time Warner Cable Incorporated		8.38			3-15-2023		175,000		208,060
Time Warner Entertainment Company LP		8.38			7-15-2033		210,000		326,301
Viacom Incorporated		5.50			5-15-2033		140,000		166,509
Viacom Incorporated		6.88			4-30-2036		238,000		325,822
									5,459,577
Consumer Discretionary: 4.43%
Automobiles: 0.28%
General Motors Company		6.25			10-2-2043		175,000		203,390
General Motors Company		6.60			4-1-2036		350,000		419,162
									622,552
Hotels, Restaurants & Leisure: 0.94%
GLP Capital LP		5.30			1-15-2029		400,000		442,392
McDonald’s Corporation		2.63			1-15-2022		250,000		257,968
McDonald’s Corporation		3.38			5-26-2025		245,000		273,356
McDonald’s Corporation		4.60			5-26-2045		175,000		218,467

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

Wells Fargo Investment Grade Corporate Bond Portfolio  |  3

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Hotels, Restaurants & Leisure (continued)
McDonald’s Corporation		6.30	%		10-15-2037	$	210,000	$	307,727
Starbucks Corporation		4.00			11-15-2028		500,000		588,910
									2,088,820
Household Durables: 0.11%
Whirlpool Corporation		4.00			3-1-2024		87,000		94,813
Whirlpool Corporation		4.70			6-1-2022		140,000		149,518
									244,331
Internet & Direct Marketing Retail: 0.79%
Amazon.com Incorporated		4.05			8-22-2047		400,000		517,083
Amazon.com Incorporated		4.25			8-22-2057		400,000		544,482
Amazon.com Incorporated		4.95			12-5-2044		300,000		428,150
eBay Incorporated		4.00			7-15-2042		175,000		193,585
Expedia Incorporated		4.50			8-15-2024		70,000		73,540
									1,756,840
Leisure Products: 0.06%
Hasbro Incorporated		6.35			3-15-2040		108,000		129,328
Multiline Retail: 0.46%
Dollar General Corporation		3.25			4-15-2023		245,000		260,317
Kohl’s Corporation		3.25			2-1-2023		105,000		105,158
Nordstrom Incorporated		4.00			10-15-2021		175,000		174,947
Nordstrom Incorporated		5.00			1-15-2044		70,000		49,262
Target Corporation		2.90			1-15-2022		175,000		181,294
Target Corporation		3.63			4-15-2046		210,000		258,440
									1,029,418
Specialty Retail: 1.72%
AutoZone Incorporated		2.88			1-15-2023		175,000		183,634
AutoZone Incorporated		3.13			7-15-2023		105,000		112,165
Home Depot Incorporated		2.70			4-15-2030		1,300,000		1,439,440
Home Depot Incorporated		3.50			9-15-2056		260,000		308,024
Home Depot Incorporated		3.75			2-15-2024		350,000		387,147
Lowe’s Companies Incorporated		2.50			4-15-2026		350,000		380,507
Lowe’s Companies Incorporated		3.12			4-15-2022		140,000		145,363
Lowe’s Companies Incorporated		3.88			9-15-2023		175,000		191,798
Lowe’s Companies Incorporated		4.25			9-15-2044		175,000		207,534
Lowe’s Companies Incorporated		4.38			9-15-2045		200,000		243,903
O’Reilly Automotive Incorporated		3.80			9-1-2022		105,000		110,908
O’Reilly Automotive Incorporated		4.63			9-15-2021		105,000		108,204
									3,818,627
Textiles, Apparel & Luxury Goods: 0.07%
Nike Incorporated		2.25			5-1-2023		70,000		73,366
Nike Incorporated		3.63			5-1-2043		70,000		82,834
									156,200
Consumer Staples: 6.74%
Beverages: 2.00%
Anheuser-Busch InBev Finance Company		4.00			1-17-2043		210,000		228,650
Anheuser-Busch InBev Finance Company		4.63			2-1-2044		245,000		288,247

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

4  |  Wells Fargo Investment Grade Corporate Bond Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Beverages (continued)
Anheuser-Busch InBev Worldwide Incorporated		3.75	%		7-15-2042	$	252,000	$	268,669
Anheuser-Busch InBev Worldwide Incorporated		4.75			4-15-2058		400,000		494,805
Constellation Brands Incorporated		3.15			8-1-2029		300,000		326,113
Constellation Brands Incorporated		4.25			5-1-2023		360,000		394,097
Keurig Dr Pepper Incorporated		4.60			5-25-2028		700,000		845,468
PepsiCo Incorporated		2.75			3-5-2022		259,000		268,655
PepsiCo Incorporated		3.60			8-13-2042		285,000		348,711
PepsiCo Incorporated		4.00			3-5-2042		175,000		221,140
PepsiCo Incorporated		4.25			10-22-2044		140,000		181,020
The Coca-Cola Company		2.88			10-27-2025		200,000		221,537
The Coca-Cola Company		3.20			11-1-2023		280,000		304,775
The Coca-Cola Company		3.30			9-1-2021		49,000		50,525
									4,442,412
Food & Staples Retailing: 1.85%
Sysco Corporation		3.30			7-15-2026		200,000		216,563
Sysco Corporation		5.38			9-21-2035		200,000		244,897
The Kroger Company		3.40			4-15-2022		175,000		181,931
The Kroger Company		3.85			8-1-2023		175,000		190,096
The Kroger Company		5.00			4-15-2042		175,000		221,947
The Kroger Company		5.15			8-1-2043		105,000		134,829
The Kroger Company		6.90			4-15-2038		210,000		305,338
Wal-Mart Stores Incorporated		3.95			6-28-2038		1,000,000		1,245,158
Wal-Mart Stores Incorporated		4.88			7-8-2040		175,000		237,730
Wal-Mart Stores Incorporated		5.63			4-1-2040		180,000		264,098
Wal-Mart Stores Incorporated		5.88			4-5-2027		70,000		91,454
Walgreens Boots Alliance Incorporated		3.45			6-1-2026		200,000		219,815
Walgreens Boots Alliance Incorporated		3.80			11-18-2024		200,000		220,823
Walgreens Boots Alliance Incorporated		4.80			11-18-2044		300,000		328,818
									4,103,497
Food Products: 0.97%
Archer-Daniels-Midland Company		4.54			3-26-2042		175,000		233,128
Campbell Soup Company		2.50			8-2-2022		85,000		88,087
Conagra Brands Incorporated		4.60			11-1-2025		200,000		232,418
Conagra Brands Incorporated		8.25			9-15-2030		84,000		126,448
General Mills Incorporated		3.65			2-15-2024		175,000		192,273
J.M. Smucker Company		3.50			10-15-2021		210,000		217,310
Mead Johnson Nutrition Company		5.90			11-1-2039		70,000		100,322
Tyson Foods Incorporated		4.35			3-1-2029		300,000		361,949
Tyson Foods Incorporated		4.50			6-15-2022		350,000		371,887
Tyson Foods Incorporated		4.88			8-15-2034		175,000		229,310
									2,153,132
Household Products: 0.44%
Clorox Company		3.05			9-15-2022		113,000		118,505
Clorox Company		3.50			12-15-2024		140,000		154,870
Colgate-Palmolive Company		2.30			5-3-2022		350,000		361,923
Kimberly-Clark Corporation		2.40			6-1-2023		105,000		110,692
Kimberly-Clark Corporation		6.63			8-1-2037		140,000		224,802
									970,792
Personal Products: 0.09%
Estee Lauder Companies Incorporated		6.00			5-15-2037		140,000		202,614

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

Wells Fargo Investment Grade Corporate Bond Portfolio  |  5

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Tobacco: 1.39%
Altria Group Incorporated		4.00	%		1-31-2024	$	62,000	$	68,551
Altria Group Incorporated		4.25			8-9-2042		350,000		370,032
Altria Group Incorporated		4.50			5-2-2043		175,000		191,198
Philip Morris International Incorporated		2.50			8-22-2022		175,000		182,587
Philip Morris International Incorporated		2.63			3-6-2023		122,000		128,493
Philip Morris International Incorporated		3.25			11-10-2024		210,000		232,772
Philip Morris International Incorporated		4.13			3-4-2043		210,000		247,648
Philip Morris International Incorporated		4.25			11-10-2044		210,000		255,370
Philip Morris International Incorporated		4.50			3-20-2042		140,000		171,306
Reynolds American Incorporated		4.00			6-12-2022		280,000		296,688
Reynolds American Incorporated		4.45			6-12-2025		350,000		398,443
Reynolds American Incorporated		5.70			8-15-2035		210,000		259,701
Reynolds American Incorporated		6.15			9-15-2043		87,000		108,998
Reynolds American Incorporated		7.25			6-15-2037		140,000		187,443
									3,099,230
Energy: 6.58%
Energy Equipment & Services: 0.50%
Halliburton Company		3.50			8-1-2023		350,000		373,021
Halliburton Company		3.80			11-15-2025		350,000		383,889
Halliburton Company		4.50			11-15-2041		175,000		175,752
Halliburton Company		4.75			8-1-2043		175,000		181,747
									1,114,409
Oil, Gas & Consumable Fuels: 6.08%
Boardwalk Pipelines LP		3.38			2-1-2023		70,000		71,625
BP Capital Markets America Incorporated		3.94			9-21-2028		200,000		233,816
Chevron Corporation		2.36			12-5-2022		525,000		546,220
Columbia Pipeline Group Incorporated		5.80			6-1-2045		140,000		178,367
ConocoPhillips Company		4.30			11-15-2044		210,000		266,069
ConocoPhillips Company		5.90			10-15-2032		175,000		242,289
ConocoPhillips Company		6.95			4-15-2029		210,000		293,326
Devon Energy Corporation		7.95			4-15-2032		150,000		194,585
Enbridge Energy Partners LP		5.50			9-15-2040		140,000		170,353
Energy Transfer Partners LP		4.75			1-15-2026		280,000		305,410
Energy Transfer Partners LP		4.90			2-1-2024		210,000		226,221
Energy Transfer Partners LP		5.95			10-1-2043		140,000		137,213
Energy Transfer Partners LP		7.50			7-1-2038		70,000		82,138
Enterprise Products Operating LLC		4.45			2-15-2043		355,000		389,235
Enterprise Products Operating LLC		4.85			3-15-2044		280,000		322,474
Enterprise Products Operating LLC		5.70			2-15-2042		140,000		176,506
Enterprise Products Operating LLC		5.95			2-1-2041		70,000		89,089
Enterprise Products Operating LLC		7.55			4-15-2038		70,000		97,238
Exxon Mobil Corporation		2.71			3-6-2025		350,000		379,345
Exxon Mobil Corporation		3.04			3-1-2026		500,000		556,783
Hess Corporation		7.30			8-15-2031		269,000		331,163
Kinder Morgan Energy Partners LP		3.45			2-15-2023		175,000		183,924
Kinder Morgan Energy Partners LP		5.00			8-15-2042		175,000		194,933
Kinder Morgan Energy Partners LP		5.00			3-1-2043		157,000		177,232
Kinder Morgan Energy Partners LP		5.50			3-1-2044		210,000		252,923
Kinder Morgan Energy Partners LP		5.80			3-15-2035		70,000		86,565
Magellan Midstream Partners LP		5.15			10-15-2043		140,000		164,072
Marathon Oil Corporation		3.85			6-1-2025		245,000		254,228
Marathon Oil Corporation		5.20			6-1-2045		140,000		139,128

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

6  |  Wells Fargo Investment Grade Corporate Bond Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Oil, Gas & Consumable Fuels (continued)
Marathon Petroleum Corporation		3.63	%		9-15-2024	$	350,000	$	377,333
Marathon Petroleum Corporation		3.80			4-1-2028		385,000		422,438
MPLX LP		4.13			3-1-2027		200,000		221,221
MPLX LP		4.88			6-1-2025		200,000		228,451
MPLX LP		5.20			3-1-2047		220,000		248,900
Noble Energy Incorporated		3.90			11-15-2024		210,000		232,937
ONEOK Incorporated		4.00			7-13-2027		200,000		208,766
ONEOK Incorporated		4.55			7-15-2028		500,000		531,595
ONEOK Partners LP		3.38			10-1-2022		350,000		364,563
Ovintiv Incorporated		6.50			8-15-2034		200,000		194,440
Phillips 66		4.65			11-15-2034		140,000		170,442
Plains All American Pipeline LP		3.60			11-1-2024		210,000		219,781
Plains All American Pipeline LP		3.85			10-15-2023		350,000		370,449
Plains All American Pipeline LP		4.90			2-15-2045		175,000		167,151
Plains All American Pipeline LP		6.65			1-15-2037		140,000		158,019
Sabine Pass Liquefaction LLC		5.00			3-15-2027		400,000		454,580
Sabine Pass Liquefaction LLC		5.63			3-1-2025		200,000		232,752
Sabine Pass Liquefaction LLC		5.88			6-30-2026		200,000		240,456
Spectra Energy Partners LP		3.38			10-15-2026		300,000		330,527
Spectra Energy Partners LP		4.75			3-15-2024		245,000		275,125
Sunoco Logistics Partner LP		3.45			1-15-2023		140,000		144,586
Sunoco Logistics Partner LP		4.95			1-15-2043		105,000		95,152
Sunoco Logistics Partner LP		5.35			5-15-2045		140,000		133,815
Tennessee Gas Pipeline Company		7.00			10-15-2028		175,000		226,034
Williams Partners LP		3.35			8-15-2022		175,000		182,501
Williams Partners LP		6.30			4-15-2040		273,000		343,198
									13,517,682
Financials: 17.43%
Banks: 5.51%
ABB Finance (USA) Incorporated		4.38			5-8-2042		26,000		33,199
Bank of America Corporation		3.25			10-21-2027		525,000		584,384
Bank of America Corporation (3 Month LIBOR +1.19%) ±		3.95			1-23-2049		200,000		244,212
Bank of America Corporation		4.18			11-25-2027		560,000		645,604
Bank of America Corporation		4.25			10-22-2026		280,000		323,926
Bank One Corporation		7.63			10-15-2026		168,000		225,323
BBVA USA		3.88			4-10-2025		250,000		268,731
Citigroup Incorporated		2.75			4-25-2022		200,000		207,211
Citigroup Incorporated		4.60			3-9-2026		200,000		232,244
Citigroup Incorporated		4.65			7-30-2045		300,000		386,326
Citigroup Incorporated		4.75			5-18-2046		300,000		383,245
Citizens Financial Group Incorporated		4.30			12-3-2025		200,000		230,083
Discover Bank		4.20			8-8-2023		310,000		341,217
Discover Bank		4.25			3-13-2026		250,000		283,718
Discover Bank		4.65			9-13-2028		250,000		292,722
Fifth Third Bank		2.88			10-1-2021		300,000		307,270
Fifth Third Bank		3.95			3-14-2028		400,000		470,646
Huntington Bancshares Incorporated		2.30			1-14-2022		300,000		307,516
JPMorgan Chase & Company		2.95			10-1-2026		325,000		359,990
JPMorgan Chase & Company		3.20			1-25-2023		200,000		213,183
JPMorgan Chase & Company		4.13			12-15-2026		500,000		584,013
JPMorgan Chase & Company (3 Month LIBOR +1.58%) ±		4.26			2-22-2048		240,000		303,771
Key Bank NA		3.18			10-15-2027		250,000		260,984
Key Bank NA		3.30			6-1-2025		250,000		280,309
KeyCorp Incorporated		4.10			4-30-2028		400,000		469,353

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

Wells Fargo Investment Grade Corporate Bond Portfolio  |  7

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Banks (continued)
MUFG Americas Holdings Corporation		3.50	%		6-18-2022	$	140,000	$	147,364
People’s United Financial Incorporated		3.65			12-6-2022		105,000		111,548
PNC Bank NA		2.95			1-30-2023		300,000		316,395
PNC Bank NA		3.30			10-30-2024		500,000		553,571
PNC Bank NA		4.20			11-1-2025		250,000		291,507
Santander Holdings USA Incorporated		4.50			7-17-2025		350,000		387,059
Truist Bank		3.30			5-15-2026		200,000		225,525
Truist Bank		2.85			10-26-2024		500,000		546,231
Truist Bank		3.80			10-30-2026		400,000		465,821
US Bancorp		2.38			7-22-2026		190,000		208,076
US Bancorp		3.00			3-15-2022		350,000		363,935
US Bancorp		3.60			9-11-2024		350,000		389,483
									12,245,695
Capital Markets: 4.21%
Bank of New York Mellon Corporation		2.95			1-29-2023		300,000		317,897
Bank of New York Mellon Corporation		3.40			1-29-2028		300,000		348,502
Bank of New York Mellon Corporation		3.55			9-23-2021		420,000		433,354
Blackrock Incorporated		3.25			4-30-2029		1,100,000		1,287,484
CME Group Incorporated		4.15			6-15-2048		200,000		261,724
Goldman Sachs Group Incorporated		3.75			5-22-2025		350,000		391,971
Goldman Sachs Group Incorporated		4.75			10-21-2045		1,500,000		1,992,330
Goldman Sachs Group Incorporated		6.13			2-15-2033		200,000		282,884
Jefferies Group Incorporated		5.13			1-20-2023		175,000		191,349
Jefferies Group Incorporated		6.45			6-8-2027		105,000		126,236
Legg Mason Incorporated		4.75			3-15-2026		190,000		225,879
Moody’s Corporation		4.50			9-1-2022		175,000		187,646
Moody’s Corporation		5.25			7-15-2044		210,000		288,514
Morgan Stanley		4.30			1-27-2045		350,000		456,496
Morgan Stanley		5.00			11-24-2025		200,000		235,176
Morgan Stanley		6.25			8-9-2026		300,000		386,256
Morgan Stanley		7.25			4-1-2032		329,000		502,228
Northern Trust Corporation		3.95			10-30-2025		175,000		202,907
PPL Capital Funding Incorporated		3.10			5-15-2026		100,000		111,207
PPL Capital Funding Incorporated		4.20			6-15-2022		140,000		147,950
PPL Capital Funding Incorporated		4.70			6-1-2043		87,000		107,218
S&P Global Incorporated		4.00			6-15-2025		227,000		259,908
State Street Corporation		2.65			5-19-2026		400,000		442,847
TD Ameritrade Holding Corporation		3.63			4-1-2025		140,000		157,427
									9,345,390
Consumer Finance: 2.48%
American Express Company		2.50			8-1-2022		400,000		415,204
American Express Company		2.65			12-2-2022		402,000		421,956
American Express Company		4.20			11-6-2025		200,000		233,810
American Honda Finance Corporation		2.90			2-16-2024		200,000		214,506
American Honda Finance Corporation		3.45			7-14-2023		200,000		215,944
Capital One Financial Corporation		3.75			7-28-2026		525,000		575,721
Caterpillar Financial Services Corporation		2.63			3-1-2023		260,000		274,361
Caterpillar Financial Services Corporation		3.25			12-1-2024		200,000		221,280
Caterpillar Financial Services Corporation		3.75			11-24-2023		175,000		193,489
Discover Financial Services		3.95			11-6-2024		200,000		220,166
General Motors Financial Company Incorporated		3.70			5-9-2023		380,000		398,171
Synchrony Financial		3.70			8-4-2026		200,000		208,529
Synchrony Financial		5.15			3-19-2029		900,000		1,028,801

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

8  |  Wells Fargo Investment Grade Corporate Bond Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Consumer Finance (continued)
Toyota Motor Credit Corporation		2.60	%		1-11-2022	$	300,000	$	309,298
Toyota Motor Credit Corporation		2.63			1-10-2023		310,000		325,449
Toyota Motor Credit Corporation		3.40			9-15-2021		245,000		252,771
									5,509,456
Diversified Financial Services: 0.08%
National Rural Utilities Cooperative Finance Corporation		4.02			11-1-2032		140,000		171,590
Insurance: 4.46%
Allstate Corporation (3 Month LIBOR +2.12%) ±		6.50			5-15-2067		140,000		180,750
American International Group Incorporated		4.50			7-16-2044		300,000		351,908
American International Group Incorporated		4.88			6-1-2022		600,000		645,495
American International Group Incorporated (3 Month LIBOR +2.87%) ±		5.75			4-1-2048		200,000		220,702
Aon Corporation		6.25			9-30-2040		70,000		103,038
Arch Capital Group Limited		5.14			11-1-2043		147,000		189,301
Berkshire Hathaway Finance Corporation		4.40			5-15-2042		180,000		233,360
Berkshire Hathaway Finance Corporation		5.75			1-15-2040		175,000		266,870
Berkshire Hathaway Incorporated		3.00			2-11-2023		75,000		79,982
Berkshire Hathaway Incorporated		3.13			3-15-2026		525,000		588,063
Berkshire Hathaway Incorporated		3.40			1-31-2022		175,000		182,761
Berkshire Hathaway Incorporated		4.50			2-11-2043		275,000		370,628
Chubb Corporation		6.00			5-11-2037		196,000		289,905
Chubb INA Holdings Incorporated		2.70			3-13-2023		280,000		294,476
Chubb INA Holdings Incorporated		3.15			3-15-2025		200,000		222,831
Chubb INA Holdings Incorporated		3.35			5-15-2024		350,000		385,007
Hartford Financial Services Group Incorporated		4.30			4-15-2043		30,000		35,079
Lincoln National Corporation		4.00			9-1-2023		175,000		191,306
Loews Corporation		2.63			5-15-2023		105,000		110,651
Loews Corporation		4.13			5-15-2043		140,000		158,130
MetLife Incorporated		3.05			12-15-2022		190,000		201,375
MetLife Incorporated		4.13			8-13-2042		210,000		256,409
MetLife Incorporated		4.37			9-15-2023		400,000		446,431
MetLife Incorporated		4.72			12-15-2044		175,000		228,326
MetLife Incorporated		6.38			6-15-2034		196,000		300,599
MetLife Incorporated		6.40			12-15-2066		200,000		249,921
MetLife Incorporated		6.50			12-15-2032		140,000		211,425
Principal Financial Group Incorporated		3.30			9-15-2022		175,000		184,179
Principal Financial Group Incorporated		3.40			5-15-2025		140,000		155,626
Progressive Corporation		6.25			12-1-2032		252,000		373,589
Prudential Financial Incorporated		3.91			12-7-2047		155,000		175,428
Prudential Financial Incorporated		3.94			12-7-2049		200,000		227,296
Prudential Financial Incorporated		4.50			11-16-2021		175,000		183,529
Prudential Financial Incorporated		4.60			5-15-2044		350,000		431,718
Prudential Financial Incorporated (3 Month LIBOR +3.04%) ±		5.20			3-15-2044		175,000		185,184
Prudential Financial Incorporated		5.75			7-15-2033		350,000		483,243
Prudential Financial Incorporated		6.63			12-1-2037		45,000		67,724
Transatlantic Holdings Incorporated		8.00			11-30-2039		70,000		108,874
Travelers Companies Incorporated		5.35			11-1-2040		245,000		342,305
									9,913,424
Mortgage REITs: 0.69%
CC Holdings GS V LLC		3.85			4-15-2023		350,000		377,755
ERP Operating LP		4.00			8-1-2047		400,000		488,535
Ventas Realty LP		4.40			1-15-2029		600,000		672,153
									1,538,443

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

Wells Fargo Investment Grade Corporate Bond Portfolio  |  9

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Health Care: 11.13%
Biotechnology: 2.18%
AbbVie Incorporated		3.20	%		5-14-2026	$	420,000	$	467,251
AbbVie Incorporated 144A		3.85			6-15-2024		350,000		386,121
AbbVie Incorporated		4.45			5-14-2046		200,000		241,085
AbbVie Incorporated 144A		4.85			6-15-2044		350,000		438,254
Amgen Incorporated 144A		2.77			9-1-2053		319,000		311,973
Amgen Incorporated		3.63			5-15-2022		200,000		209,600
Amgen Incorporated		3.63			5-22-2024		350,000		386,031
Amgen Incorporated		3.88			11-15-2021		165,714		171,143
Baxalta Incorporated		5.25			6-23-2045		280,000		385,751
Biogen Incorporated		2.25			5-1-2030		700,000		717,447
Gilead Sciences Incorporated		3.65			3-1-2026		350,000		399,785
Gilead Sciences Incorporated		4.50			2-1-2045		200,000		259,653
Gilead Sciences Incorporated		4.75			3-1-2046		350,000		468,541
									4,842,635
Health Care Equipment & Supplies: 1.09%
Abbott Laboratories		6.00			4-1-2039		105,000		161,345
Abbott Laboratories		6.15			11-30-2037		166,000		256,038
Becton Dickinson & Company		2.89			6-6-2022		500,000		519,077
Becton Dickinson & Company		3.13			11-8-2021		210,000		216,184
Boston Scientific Corporation		3.85			5-15-2025		200,000		227,148
Medtronic Incorporated		3.15			3-15-2022		350,000		365,212
Medtronic Incorporated		3.50			3-15-2025		200,000		225,051
Stryker Corporation		4.63			3-15-2046		350,000		458,595
									2,428,650
Health Care Providers & Services: 4.21%
Aetna Incorporated		4.13			11-15-2042		175,000		198,482
Aetna Incorporated		4.50			5-15-2042		200,000		238,165
AmerisourceBergen Corporation		4.25			3-1-2045		175,000		201,223
Anthem Incorporated		3.13			5-15-2022		350,000		365,833
Anthem Incorporated		3.30			1-15-2023		200,000		212,991
Anthem Incorporated		4.38			12-1-2047		200,000		250,252
Anthem Incorporated		4.65			1-15-2043		315,000		399,556
Anthem Incorporated		4.65			8-15-2044		50,000		63,669
Anthem Incorporated		5.85			1-15-2036		200,000		270,292
Cardinal Health Incorporated		2.62			6-15-2022		400,000		413,517
Cigna Corporation 144A		3.00			7-15-2023		300,000		320,210
Cigna Corporation 144A		4.80			7-15-2046		210,000		268,878
Cigna Corporation 144A		6.13			11-15-2041		175,000		253,099
CommonSpirit Health		4.35			11-1-2042		175,000		192,268
CVS Caremark Corporation		2.75			12-1-2022		350,000		366,324
CVS Caremark Corporation		5.05			3-25-2048		1,300,000		1,687,517
CVS Caremark Corporation		5.30			12-5-2043		210,000		274,337
HCA Incorporated		5.50			6-15-2047		500,000		631,976
Humana Incorporated		3.15			12-1-2022		210,000		220,896
Kaiser Foundation Hospitals		4.88			4-1-2042		175,000		241,147
Laboratory Corporation of America Holdings		3.75			8-23-2022		39,000		41,172
Laboratory Corporation of America Holdings		4.00			11-1-2023		105,000		115,048
McKesson Corporation		2.85			3-15-2023		140,000		147,024
The Upjohn Company 144A		3.85			6-22-2040		300,000		325,071
Unitedhealth Group Incorporated		4.20			1-15-2047		200,000		252,474
UnitedHealth Group Incorporated		4.25			3-15-2043		175,000		222,378

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

10  |  Wells Fargo Investment Grade Corporate Bond Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Health Care Providers & Services (continued)
UnitedHealth Group Incorporated		4.25	%		4-15-2047	$	300,000	$	385,250
UnitedHealth Group Incorporated		4.25			6-15-2048		300,000		384,776
UnitedHealth Group Incorporated		5.80			3-15-2036		175,000		252,316
UnitedHealth Group Incorporated		6.63			11-15-2037		105,000		164,495
									9,360,636
Life Sciences Tools & Services: 0.38%
Agilent Technologies Incorporated		3.88			7-15-2023		105,000		114,005
Thermo Fisher Scientific Incorporated		3.00			4-15-2023		200,000		212,360
Thermo Fisher Scientific Incorporated		4.15			2-1-2024		280,000		310,886
Thermo Fisher Scientific Incorporated		5.30			2-1-2044		140,000		196,308
									833,559
Pharmaceuticals: 3.27%
Bristol-Myers Squibb Company 144A		3.25			8-15-2022		350,000		369,653
Bristol-Myers Squibb Company		3.25			11-1-2023		109,000		118,960
Bristol-Myers Squibb Company		3.25			8-1-2042		175,000		204,284
Bristol-Myers Squibb Company 144A		3.88			8-15-2025		175,000		201,456
Bristol-Myers Squibb Company		4.50			3-1-2044		200,000		271,783
Bristol-Myers Squibb Company		4.63			5-15-2044		240,000		326,356
Eli Lilly & Company		2.75			6-1-2025		70,000		76,986
Eli Lilly & Company		3.95			3-15-2049		600,000		768,702
GlaxoSmithKline Capital Incorporated		2.80			3-18-2023		140,000		148,394
GlaxoSmithKline Capital Incorporated		5.38			4-15-2034		210,000		295,812
Johnson & Johnson		3.38			12-5-2023		300,000		331,366
Johnson & Johnson		3.70			3-1-2046		175,000		216,548
Johnson & Johnson		4.38			12-5-2033		200,000		263,811
Johnson & Johnson		4.85			5-15-2041		140,000		198,093
Johnson & Johnson		4.95			5-15-2033		126,000		174,552
Merck & Company Incorporated		2.35			2-10-2022		250,000		257,635
Merck & Company Incorporated		2.75			2-10-2025		270,000		294,165
Merck & Company Incorporated		3.70			2-10-2045		200,000		242,903
Mylan Incorporated		4.20			11-29-2023		200,000		219,881
Novartis Capital Corporation		2.40			9-21-2022		350,000		364,972
Novartis Capital Corporation		3.70			9-21-2042		175,000		211,546
Pfizer Incorporated		3.00			12-15-2026		400,000		454,918
Pfizer Incorporated		3.90			3-15-2039		200,000		247,016
Pfizer Incorporated		4.30			6-15-2043		210,000		269,939
Schering-Plough Corporation		6.50			12-1-2033		175,000		273,239
Zoetis Incorporated		4.70			2-1-2043		350,000		462,030
									7,265,000
Industrials: 8.67%
Aerospace & Defense: 2.34%
General Dynamics Corporation		2.25			11-15-2022		350,000		363,067
Lockheed Martin Corporation		3.35			9-15-2021		97,000		100,081
Lockheed Martin Corporation		4.07			12-15-2042		229,000		288,272
Lockheed Martin Corporation		4.70			5-15-2046		350,000		477,080
Lockheed Martin Corporation		6.15			9-1-2036		122,000		181,783
Northrop Grumman Corporation		4.03			10-15-2047		400,000		487,133
Northrop Grumman Corporation		5.05			11-15-2040		70,000		92,950
Northrop Grumman Corporation		7.75			2-15-2031		210,000		320,370
Precision Castparts Corporation		2.50			1-15-2023		175,000		183,046
Precision Castparts Corporation		3.90			1-15-2043		140,000		160,439

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

Wells Fargo Investment Grade Corporate Bond Portfolio  |  11

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Aerospace & Defense (continued)
Raytheon Technologies Corporation 144A		2.50	%		12-15-2022	$	245,000	$	255,062
Raytheon Technologies Corporation 144A		3.70			12-15-2023		245,000		267,425
Raytheon Technologies Corporation		3.75			11-1-2046		200,000		230,342
Raytheon Technologies Corporation 144A		4.80			12-15-2043		175,000		224,119
Raytheon Technologies Corporation 144A		7.20			8-15-2027		84,000		114,772
Raytheon Technologies Corporation		7.50			9-15-2029		400,000		583,944
Textron Incorporated		4.30			3-1-2024		140,000		150,867
The Boeing Company		2.60			10-30-2025		300,000		298,831
The Boeing Company		2.80			3-1-2023		200,000		203,984
The Boeing Company		3.20			3-1-2029		200,000		198,191
The Boeing Company		5.88			2-15-2040		21,000		23,873
									5,205,631
Air Freight & Logistics: 0.99%
FedEx Corporation		3.88			8-1-2042		140,000		151,098
FedEx Corporation		4.00			1-15-2024		203,000		225,133
FedEx Corporation		4.55			4-1-2046		350,000		414,473
FedEx Corporation		4.90			1-15-2034		175,000		224,008
FedEx Corporation		5.10			1-15-2044		210,000		265,696
United Parcel Service Incorporated		2.35			5-16-2022		300,000		309,631
United Parcel Service Incorporated		2.45			10-1-2022		280,000		292,034
United Parcel Service Incorporated		6.20			1-15-2038		206,000		312,475
									2,194,548
Airlines: 0.14%
American Airlines Incorporated		3.20			12-15-2029		51,584		48,282
American Airlines Incorporated		3.38			11-1-2028		24,076		20,111
Delta Air Lines Incorporated		6.82			2-10-2024		29,321		29,282
United Airlines Incorporated		4.30			2-15-2027		161,645		150,476
US Airways Group Incorporated		3.95			5-15-2027		64,760		53,376
									301,527
Building Products: 0.10%
Masco Corporation		4.38			4-1-2026		190,000		222,658
Commercial Services & Supplies: 0.54%
Cintas Corporation No. 2		3.25			6-1-2022		70,000		72,897
Republic Services Incorporated		2.90			7-1-2026		260,000		288,940
Republic Services Incorporated		5.25			11-15-2021		35,000		37,011
Waste Management Incorporated		4.10			3-1-2045		650,000		790,643
									1,189,491
Industrial Conglomerates: 1.02%
3M Company		5.70			3-15-2037		227,000		330,322
General Electric Company		3.10			1-9-2023		300,000		316,254
General Electric Company		4.13			10-9-2042		400,000		401,182
General Electric Company		4.50			3-11-2044		200,000		206,432
General Electric Company		5.88			1-14-2038		200,000		230,962
Honeywell International Incorporated		3.35			12-1-2023		140,000		153,331
Honeywell International Incorporated		3.81			11-21-2047		500,000		634,553
									2,273,036
Machinery: 0.96%
Caterpillar Incorporated		3.80			8-15-2042		105,000		128,588
Caterpillar Incorporated		4.75			5-15-2064		300,000		425,555

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

12  |  Wells Fargo Investment Grade Corporate Bond Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Machinery (continued)
Deere & Company		2.60	%		6-8-2022	$	350,000	$	362,687
Deere & Company		5.38			10-16-2029		210,000		277,547
Dover Corporation		5.38			10-15-2035		140,000		187,757
Illinois Tool Works Incorporated		3.38			9-15-2021		84,000		85,959
Illinois Tool Works Incorporated		3.90			9-1-2042		214,000		268,078
Parker Hannifin Corporation		3.50			9-15-2022		70,000		74,056
Parker Hannifin Corporation		6.25			5-15-2038		42,000		58,917
Stanley Black & Decker Incorporated		2.90			11-1-2022		245,000		258,228
									2,127,372
Professional Services: 0.08%
Verisk Analytics Incorporated		4.13			9-12-2022		175,000		186,971
Road & Rail: 2.25%
Burlington Northern Santa Fe LLC		3.00			3-15-2023		210,000		223,063
Burlington Northern Santa Fe LLC		3.40			9-1-2024		210,000		232,802
Burlington Northern Santa Fe LLC		4.55			9-1-2044		210,000		276,938
Burlington Northern Santa Fe LLC		4.95			9-15-2041		140,000		188,457
Burlington Northern Santa Fe LLC		5.15			9-1-2043		210,000		295,265
CSX Corporation		3.40			8-1-2024		278,000		308,475
CSX Corporation		4.50			8-1-2054		350,000		458,715
CSX Corporation		4.75			5-30-2042		161,000		207,594
CSX Corporation		6.22			4-30-2040		140,000		206,581
Kansas City Southern		3.00			5-15-2023		51,000		52,476
Kansas City Southern		4.30			5-15-2043		140,000		144,172
Norfolk Southern Corporation		2.90			6-15-2026		250,000		277,666
Norfolk Southern Corporation		2.90			2-15-2023		400,000		421,382
Norfolk Southern Corporation		3.15			6-1-2027		300,000		332,273
Norfolk Southern Corporation		3.85			1-15-2024		140,000		153,963
Union Pacific Corporation		2.75			4-15-2023		200,000		210,878
Union Pacific Corporation		3.25			1-15-2025		175,000		191,006
Union Pacific Corporation		3.75			3-15-2024		140,000		153,818
Union Pacific Corporation		3.80			10-1-2051		200,000		239,377
Union Pacific Corporation		4.15			1-15-2045		175,000		213,265
Union Pacific Corporation		4.30			6-15-2042		175,000		212,877
									5,001,043
Trading Companies & Distributors: 0.25%
Air Lease Corporation		3.25			3-1-2025		200,000		203,229
W.W. Grainger Incorporated		4.60			6-15-2045		280,000		361,650
									564,879
Information Technology: 6.15%
Communications Equipment: 0.48%
Cisco Systems Incorporated		2.20			9-20-2023		300,000		316,239
Cisco Systems Incorporated		2.95			2-28-2026		340,000		383,659
Cisco Systems Incorporated		3.00			6-15-2022		340,000		356,791
									1,056,689
Electronic Equipment, Instruments & Components: 0.15%
Corning Incorporated		5.75			8-15-2040		105,000		141,516
Keysight Technologies Incorporated		4.55			10-30-2024		175,000		197,635
									339,151

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

Wells Fargo Investment Grade Corporate Bond Portfolio  |  13

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
IT Services: 1.28%
Fidelity National Information Services Incorporated		3.00	%		8-15-2026	$	400,000	$	447,197
Fidelity National Information Services Incorporated		3.50			4-15-2023		49,000		52,297
Fiserv Incorporated		3.85			6-1-2025		210,000		238,220
Global Payments Incoporated		3.75			6-1-2023		105,000		112,844
IBM Corporation		1.88			8-1-2022		280,000		288,648
IBM Corporation		3.38			8-1-2023		210,000		228,126
IBM Corporation		5.88			11-29-2032		175,000		254,589
IBM Corporation		7.00			10-30-2025		210,000		274,873
Mastercard Incorporated		3.50			2-26-2028		400,000		468,487
Visa Incorporated		2.75			9-15-2027		300,000		333,017
Western Union Company		6.20			11-17-2036		122,000		144,833
									2,843,131
Semiconductors & Semiconductor Equipment: 1.94%
Analog Devices Incorporated		2.88			6-1-2023		105,000		111,114
Applied Materials Incorporated		5.85			6-15-2041		140,000		214,702
Broadcom Incorporated		3.63			10-15-2024		1,200,000		1,314,999
Broadcom Incorporated		3.88			1-15-2027		300,000		332,440
Intel Corporation		2.60			5-19-2026		220,000		241,764
Intel Corporation		4.10			5-19-2046		300,000		371,374
Intel Corporation		4.25			12-15-2042		175,000		220,160
Intel Corporation		4.90			7-29-2045		230,000		314,258
Qualcomm Incorporated 144A		1.65			5-20-2032		793,000		791,264
Qualcomm Incorporated		3.25			5-20-2027		200,000		225,750
Texas Instruments Incorporated		2.25			5-1-2023		175,000		183,269
									4,321,094
Software: 1.23%
Autodesk Incorporated		3.60			12-15-2022		175,000		186,001
Microsoft Corporation		2.53			6-1-2050		33,000		34,524
Microsoft Corporation		4.50			2-6-2057		750,000		1,068,754
Microsoft Corporation		5.20			6-1-2039		77,000		111,647
Oracle Corporation		3.40			7-8-2024		200,000		219,945
Oracle Corporation		4.00			7-15-2046		350,000		410,297
Oracle Corporation		4.30			7-8-2034		175,000		217,879
Oracle Corporation		4.38			5-15-2055		200,000		250,694
Salesforce.com Incorporated		3.70			4-11-2028		200,000		233,878
									2,733,619
Technology Hardware, Storage & Peripherals: 1.07%
Apple Incorporated		3.35			2-9-2027		200,000		228,887
Apple Incorporated		3.75			11-13-2047		400,000		482,989
Apple Incorporated		4.38			5-13-2045		350,000		459,370
Apple Incorporated		4.65			2-23-2046		200,000		273,747
Dell International LLC 144A		8.10			7-15-2036		400,000		531,496
Hewlett-Packard Enterprise Company		6.00			9-15-2041		332,000		406,638
									2,383,127
Materials: 2.41%
Chemicals: 1.16%
Air Products & Chemicals Incorporated		3.00			11-3-2021		175,000		180,346
Dow Chemical Company		3.50			10-1-2024		200,000		218,742
Dow Chemical Company		4.25			10-1-2034		175,000		206,760
Dow Chemical Company		5.25			11-15-2041		175,000		212,783

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

14  |  Wells Fargo Investment Grade Corporate Bond Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Chemicals (continued)
Eastman Chemical Company		4.80	%		9-1-2042	$	140,000	$	165,667
Ecolab Incorporated		4.35			12-8-2021		286,000		300,419
Mosaic Company		3.75			11-15-2021		80,000		82,101
Mosaic Company		5.63			11-15-2043		175,000		200,969
Praxair Incorporated		2.45			2-15-2022		140,000		143,577
Praxair Incorporated		2.70			2-21-2023		105,000		110,089
The Sherwin-Williams Company		4.50			6-1-2047		600,000		758,252
									2,579,705
Containers & Packaging: 0.50%
International Paper Company		3.00			2-15-2027		200,000		220,016
International Paper Company		3.65			6-15-2024		350,000		387,123
International Paper Company		7.30			11-15-2039		175,000		254,059
Packaging Corporation of America		3.65			9-15-2024		175,000		192,035
WestRock MWV LLC		7.95			2-15-2031		35,000		50,316
									1,103,549
Metals & Mining: 0.67%
Barrick Gold Finance Company LLC		5.70			5-30-2041		210,000		296,023
Newmont Goldcorp Corporation		3.70			3-15-2023		210,000		221,214
Nucor Corporation		4.00			8-1-2023		132,000		143,922
Nucor Corporation		5.20			8-1-2043		140,000		182,904
Nucor Corporation		6.40			12-1-2037		140,000		200,044
Southern Copper Corporation		6.75			4-16-2040		308,000		442,768
									1,486,875
Paper & Forest Products: 0.08%
Georgia-Pacific LLC		8.00			1-15-2024		140,000		174,838
Real Estate: 3.75%
Equity REITs: 3.75%
Alexandria Real Estate Equities Incorporated		4.70			7-1-2030		400,000		495,509
American Campus Communities Incorporated		3.75			4-15-2023		70,000		73,396
American Tower Corporation		3.50			1-31-2023		295,000		315,178
American Tower Corporation		4.00			6-1-2025		350,000		397,515
American Tower Corporation		5.00			2-15-2024		245,000		279,348
AvalonBay Communities Incorporated		3.45			6-1-2025		140,000		156,902
AvalonBay Communities Incorporated		4.20			12-15-2023		175,000		193,378
Boston Properties LP		2.75			10-1-2026		500,000		539,921
Boston Properties LP		3.13			9-1-2023		105,000		111,509
Boston Properties LP		3.80			2-1-2024		300,000		326,078
Boston Properties LP		3.85			2-1-2023		200,000		213,490
Crown Castle International Corporation		3.70			6-15-2026		350,000		395,733
Crown Castle International Corporation		5.25			1-15-2023		350,000		388,046
Essex Portfolio LP		3.25			5-1-2023		70,000		74,071
Federal Realty Investment Trust		4.50			12-1-2044		175,000		201,082
HCP Incorporated		6.75			2-1-2041		95,000		136,291
Health Care REIT Incorporated		4.00			6-1-2025		210,000		236,490
Health Care REIT Incorporated		4.50			1-15-2024		140,000		153,463
Host Hotels & Resorts Company		3.75			10-15-2023		70,000		72,642
Kilroy Realty Corporation		3.80			1-15-2023		175,000		182,056
Kimco Realty Corporation		2.80			10-1-2026		350,000		367,220
Mid-America Apartments LP		4.30			10-15-2023		35,000		38,263
National Retail Properties Incorporated		3.30			4-15-2023		70,000		73,567

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

Wells Fargo Investment Grade Corporate Bond Portfolio  |  15

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Equity REITs (continued)
Plum Creek Timberlands LP		3.25	%		3-15-2023	$	192,000	$	202,629
Realty Income Corporation		4.65			8-1-2023		210,000		233,192
Regency Centers Corporation		3.75			11-15-2022		175,000		186,271
Simon Property Group LP		3.30			1-15-2026		410,000		447,992
Simon Property Group LP		3.75			2-1-2024		175,000		189,787
Simon Property Group LP		4.75			3-15-2042		175,000		205,147
Ventas Realty LP		3.50			2-1-2025		400,000		430,855
VEREIT Operating Partnership LP		4.60			2-6-2024		98,000		105,419
VEREIT Operating Partnership LP		4.88			6-1-2026		119,000		132,788
Welltower Incorporated		4.95			9-1-2048		400,000		481,591
Weyerhaeuser Company		7.38			3-15-2032		200,000		290,623
									8,327,442
Utilities: 8.44%
Electric Utilities: 6.18%
Alabama Power Company		3.55			12-1-2023		175,000		191,299
Alabama Power Company		3.85			12-1-2042		140,000		165,869
Alabama Power Company		4.15			8-15-2044		105,000		129,021
American Electric Power Company Incorporated		2.95			12-15-2022		300,000		315,015
Appalachian Power Company		3.40			6-1-2025		175,000		192,004
Appalachian Power Company		4.45			6-1-2045		175,000		211,221
Appalachian Power Company		7.00			4-1-2038		70,000		104,584
Arizona Public Service Company		3.15			5-15-2025		105,000		115,805
Arizona Public Service Company		4.50			4-1-2042		70,000		87,402
Baltimore Gas & Electric Company		3.50			8-15-2046		50,000		57,644
Berkshire Hathaway Energy Company		5.95			5-15-2037		210,000		303,551
Berkshire Hathaway Energy Company		6.13			4-1-2036		140,000		202,056
Berkshire Hathaway Energy Company		6.75			12-30-2031		105,000		159,822
Carolina Power & Light Company		2.80			5-15-2022		175,000		181,681
CenterPoint Energy Houston		3.55			8-1-2042		175,000		201,027
CenterPoint Energy Houston		4.50			4-1-2044		175,000		230,644
Commonwealth Edison Company		3.80			10-1-2042		70,000		83,530
Commonwealth Edison Company		5.90			3-15-2036		175,000		254,071
Connecticut Light & Power Company		4.15			6-1-2045		87,000		109,078
Consolidated Edison Company of New York Incorporated Series 07-A		6.30			8-15-2037		175,000		256,759
Consolidated Edison Company of New York Incorporated Series 14-C		4.63			12-1-2054		300,000		389,234
Consolidated Edison Company of New York Incorporated Series 16-C		4.30			12-1-2056		245,000		301,889
DTE Electric Company		3.65			3-15-2024		105,000		115,075
Duke Energy Corporation		3.05			8-15-2022		70,000		73,095
Duke Energy Corporation		3.95			10-15-2023		140,000		153,448
Duke Energy Florida Incorporated		3.85			11-15-2042		70,000		83,260
Duke Energy Indiana Incorporated		4.90			7-15-2043		105,000		140,354
Duke Energy Indiana Incorporated		6.45			4-1-2039		45,000		68,879
Duke Energy Progress Incorporated		4.10			3-15-2043		105,000		127,621
Emera US Finance LP		3.55			6-15-2026		200,000		224,138
Entergy Arkansas Incorporated		3.70			6-1-2024		175,000		193,029
Entergy Gulf States Louisiana LLC		5.59			10-1-2024		84,000		99,939
Evergy Metro Incorporated		3.15			3-15-2023		140,000		148,333
Eversource Energy		2.80			5-1-2023		122,000		128,441
Exelon Corporation		4.95			6-15-2035		140,000		170,594
Exelon Generation Company LLC		4.25			6-15-2022		157,000		166,297
FirstEnergy Corporation		4.25			3-15-2023		168,000		178,189
Florida Power & Light Company		4.05			6-1-2042		175,000		218,661
Florida Power & Light Company		5.95			2-1-2038		224,000		340,182
Florida Power & Light Company		5.96			4-1-2039		175,000		263,163

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

16  |  Wells Fargo Investment Grade Corporate Bond Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Electric Utilities (continued)
Florida Power Corporation		5.65	%		4-1-2040	$	87,000	$	124,998
Georgia Power Company		4.30			3-15-2042		175,000		206,781
Interstate Power & Light Company		6.25			7-15-2039		21,000		30,490
Northern States Power Company of Minnesota		2.15			8-15-2022		175,000		179,446
Northern States Power Company of Minnesota		2.60			5-15-2023		105,000		109,949
Northern States Power Company of Minnesota		3.40			8-15-2042		175,000		198,973
Northern States Power Company of Minnesota		5.35			11-1-2039		28,000		41,046
NSTAR Electric Company		2.38			10-15-2022		140,000		145,122
NSTAR Electric Company		5.50			3-15-2040		70,000		99,010
Oglethorpe Power Corporation		5.95			11-1-2039		105,000		137,014
Ohio Edison Company		6.88			7-15-2036		175,000		248,399
Ohio Power Company		5.38			10-1-2021		45,000		47,461
Oncor Electric Delivery Company LLC		4.55			12-1-2041		140,000		178,982
Oncor Electric Delivery Company LLC		7.00			5-1-2032		122,000		181,180
PacifiCorp		3.60			4-1-2024		175,000		192,321
PacifiCorp		4.10			2-1-2042		70,000		85,751
PacifiCorp		5.75			4-1-2037		175,000		247,386
Potomac Electric Power Company		3.60			3-15-2024		175,000		190,969
Potomac Electric Power Company		6.50			11-15-2037		140,000		212,345
PPL Electric Utilities		4.75			7-15-2043		105,000		140,979
PPL Electric Utilities		6.25			5-15-2039		31,000		45,865
PSEG Power LLC		8.63			4-15-2031		75,000		110,553
Public Service Company of Colorado		2.25			9-15-2022		70,000		72,011
Public Service Electric & Gas Company		2.38			5-15-2023		140,000		146,456
Public Service Electric & Gas Company		3.65			9-1-2042		175,000		207,428
Public Service Electric & Gas Company		3.80			1-1-2043		140,000		168,158
Public Service Electric & Gas Company		3.95			5-1-2042		70,000		85,723
Public Service Electric & Gas Company		5.80			5-1-2037		70,000		100,739
South Carolina Electric & Gas Company		5.10			6-1-2065		100,000		152,245
Southern California Edison Company		3.90			3-15-2043		105,000		113,127
Southern California Edison Company		5.35			7-15-2035		126,000		167,174
Southern California Edison Company		5.50			3-15-2040		140,000		177,662
Southern California Edison Company		6.00			1-15-2034		70,000		94,552
Southern Company		2.95			7-1-2023		200,000		212,607
Southwestern Electric Power Company		6.20			3-15-2040		35,000		48,103
TXU Electric Delivery Company		7.25			1-15-2033		52,000		79,017
Union Electric Company		3.90			9-15-2042		175,000		206,346
Union Electric Company		8.45			3-15-2039		56,000		94,529
Virginia Electric & Power Company		3.10			5-15-2025		70,000		77,216
Virginia Electric & Power Company		3.45			2-15-2024		105,000		114,054
Virginia Electric & Power Company		4.20			5-15-2045		105,000		133,558
Virginia Electric & Power Company		4.45			2-15-2044		105,000		136,821
Virginia Electric & Power Company		6.00			1-15-2036		70,000		97,882
Westar Energy Incorporated		4.10			4-1-2043		210,000		254,779
Wisconsin Electric Power Company		5.63			5-15-2033		70,000		95,869
Wisconsin Electric Power Company		5.70			12-1-2036		105,000		148,809
Wisconsin Power & Light Company		6.38			8-15-2037		175,000		262,335
									13,738,124
Gas Utilities: 0.50%
Atmos Energy Corporation		4.13			10-15-2044		245,000		303,346
Atmos Energy Corporation		5.50			6-15-2041		42,000		59,298
CenterPoint Energy Resources Corporation		5.85			1-15-2041		77,000		104,563
National Fuel Gas Company		3.75			3-1-2023		218,000		225,561
One Gas Incorporated		3.61			2-1-2024		70,000		76,401
One Gas Incorporated		4.66			2-1-2044		35,000		45,183

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

Wells Fargo Investment Grade Corporate Bond Portfolio  |  17

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Gas Utilities (continued)
Piedmont Natural Gas Company		4.65	%		8-1-2043	$	35,000	$	44,749
Southern California Gas Company		5.13			11-15-2040		70,000		94,182
Southern Company Gas Capital Corporation		4.40			6-1-2043		140,000		165,638
									1,118,921
Multi-Utilities: 1.66%
Black Hills Corporation		4.25			11-30-2023		210,000		230,729
CMS Energy Corporation		5.05			3-15-2022		245,000		258,278
Consumers Energy Company		3.95			5-15-2043		140,000		173,139
Dominion Resources Incorporated		2.75			9-15-2022		210,000		218,105
Dominion Resources Incorporated		4.90			8-1-2041		42,000		54,514
Dominion Resources Incorporated		5.95			6-15-2035		157,000		215,686
DTE Energy Company		3.30			6-15-2022		70,000		72,904
DTE Energy Company		3.85			12-1-2023		170,000		185,750
Entergy Louisiana LLC		4.20			4-1-2050		500,000		648,150
NiSource Finance Corporation		5.65			2-1-2045		140,000		192,754
Puget Energy Incorporated		3.65			5-15-2025		140,000		149,778
Puget Energy Incorporated		6.00			9-1-2021		175,000		184,141
Sempra Energy		2.88			10-1-2022		140,000		145,478
Sempra Energy		3.25			6-15-2027		300,000		332,618
Sempra Energy		4.00			2-1-2048		400,000		463,390
WEC Energy Group Incorporated		3.55			6-15-2025		140,000		157,205
									3,682,619
Water Utilities: 0.10%
American Water Capital Corporation		3.40			3-1-2025		210,000		233,194
Total Corporate Bonds and Notes (Cost $155,869,291)									177,788,586
Yankee Corporate Bonds and Notes: 16.45%
Communication Services: 1.48%
Diversified Telecommunication Services: 0.51%
British Telecommunications plc		9.63			12-15-2030		200,000		325,581
Telefonica Emisiones SA		4.90			3-6-2048		300,000		353,815
Telefonica Europe BV		8.25			9-15-2030		294,000		447,977
									1,127,373
Wireless Telecommunication Services: 0.97%
America Movil SAB de CV		4.38			4-22-2049		500,000		623,633
Rogers Communications Incorporated		4.35			5-1-2049		300,000		373,290
Vodafone Group plc		2.95			2-19-2023		190,000		201,085
Vodafone Group plc		4.38			2-19-2043		350,000		409,544
Vodafone Group plc		6.25			11-30-2032		210,000		286,708
Vodafone Group plc		7.88			2-15-2030		175,000		256,134
									2,150,394
Consumer Discretionary: 0.51%
Auto Components: 0.09%
Magna International Incorporated		4.15			10-1-2025		175,000		199,487
Internet & Direct Marketing Retail: 0.42%
Alibaba Group Holding Limited		3.13			11-28-2021		250,000		257,395
Alibaba Group Holding Limited		3.40			12-6-2027		400,000		452,587
Alibaba Group Holding Limited		3.60			11-28-2024		200,000		221,138
									931,120

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

18  |  Wells Fargo Investment Grade Corporate Bond Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Consumer Staples: 0.18%
Beverages: 0.18%
Diageo Capital plc		2.63	%		4-29-2023	$	210,000	$	220,812
Diageo Capital plc		5.88			9-30-2036		122,000		175,423
									396,235
Energy: 1.46%
Oil, Gas & Consumable Fuels: 1.46%
BP Capital Markets plc		3.81			2-10-2024		350,000		386,065
Canadian Natural Resources Limited		3.85			6-1-2027		200,000		216,566
Canadian Natural Resources Limited		3.90			2-1-2025		210,000		228,862
Canadian Natural Resources Limited		4.95			6-1-2047		200,000		232,070
Canadian Natural Resources Limited		6.75			2-1-2039		110,000		142,006
Husky Energy Incorporated		6.80			9-15-2037		70,000		85,817
Petro-Canada		5.95			5-15-2035		140,000		175,218
Suncor Energy Incorporated		5.95			12-1-2034		52,000		63,317
Total Capital Canada Limited		2.75			7-15-2023		245,000		262,176
Total Capital International SA		2.70			1-25-2023		385,000		405,956
Total Capital International SA		2.88			2-17-2022		175,000		181,530
Total Capital International SA		3.75			4-10-2024		350,000		388,990
TransCanada PipeLines Limited		3.75			10-16-2023		175,000		190,933
TransCanada PipeLines Limited		6.10			6-1-2040		210,000		288,090
									3,247,596
Financials: 10.43%
Banks: 7.84%
Australia & New Zealand Banking Group Limited		2.55			11-23-2021		250,000		256,904
Australia & New Zealand Banking Group Limited		2.63			5-19-2022		300,000		311,942
Bank of Montreal		2.35			9-11-2022		200,000		208,421
Bank of Montreal (USD Swap Semi Annual (vs. 3 Month LIBOR) 5 Year +1.43%) ±		3.80			12-15-2032		600,000		664,992
Bank of Nova Scotia		2.45			9-19-2022		300,000		313,280
Bank of Nova Scotia		4.50			12-16-2025		500,000		581,039
Barclays plc		4.38			1-12-2026		200,000		227,418
Barclays plc		5.25			8-17-2045		400,000		548,358
BNP Paribas		4.25			10-15-2024		400,000		445,635
BPCE SA		2.75			12-2-2021		330,000		339,709
Cooperatieve Rabobank UA		3.75			7-21-2026		780,000		879,303
Credit Suisse Group Funding Limited		4.55			4-17-2026		950,000		1,114,095
Deutsche Bank		3.95			2-27-2023		300,000		316,963
HSBC Holdings plc		4.00			3-30-2022		200,000		210,790
HSBC Holdings plc (3 Month LIBOR +1.53%) ±		4.58			6-19-2029		400,000		466,974
ING Banking Group plc		4.55			10-2-2028		900,000		1,099,257
Lloyds Banking Group plc		4.58			12-10-2025		250,000		281,431
Lloyds Banking Group plc		5.30			12-1-2045		300,000		415,182
Mitsubishi UFJ Financial Group Incorporated		2.19			9-13-2021		600,000		611,135
Mitsubishi UFJ Financial Group Incorporated		3.22			3-7-2022		1,300,000		1,354,098
Mitsubishi UFJ Financial Group Incorporated		3.68			2-22-2027		200,000		227,610
Mizuho Financial Group		3.17			9-11-2027		600,000		665,546
National Australia Bank Limited		2.50			7-12-2026		800,000		872,814
NatWest Group plc		3.88			9-12-2023		300,000		325,527
NatWest Group plc		4.80			4-5-2026		400,000		469,937
Rabobank Nederland NV		3.88			2-8-2022		250,000		262,745
Royal Bank of Canada		4.65			1-27-2026		700,000		828,900
Santander UK plc		4.00			3-13-2024		200,000		221,425

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

Wells Fargo Investment Grade Corporate Bond Portfolio  |  19

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Banks (continued)
Sumitomo Mitsui Banking Corporation		3.95	%		7-19-2023	$	250,000	$	272,742
Sumitomo Mitsui Financial Group		3.01			10-19-2026		655,000		725,638
Toronto Dominion Bank		3.50			7-19-2023		300,000		327,548
Toronto Dominion Bank (USD Swap Semi Annual (vs. 3 Month LIBOR) 5 Year +2.21%) ±		3.63			9-15-2031		525,000		597,025
Westpac Banking Corporation		2.50			6-28-2022		200,000		208,028
Westpac Banking Corporation		2.85			5-13-2026		700,000		777,285
									17,429,696
Capital Markets: 0.09%
Invesco Finance plc		4.00			1-30-2024		175,000		191,692
Diversified Financial Services: 2.26%
AerCap Ireland Capital DAC		3.95			2-1-2022		520,000		526,563
Barrick Australian Finance Proprietary Limited		5.95			10-15-2039		135,000		192,394
BHP Billiton Finance USA Limited		3.85			9-30-2023		200,000		221,160
Brookfield Finance Incorporated		4.25			6-2-2026		200,000		228,217
ConocoPhillips Canada Funding Company		5.95			10-15-2036		210,000		293,129
DH Europe Finance II		3.25			11-15-2039		900,000		1,009,822
GE Capital International Funding Company		3.37			11-15-2025		550,000		582,870
Medtronic Global Holdings Company		3.35			4-1-2027		300,000		343,691
Shell International Finance BV		2.25			1-6-2023		175,000		183,313
Shell International Finance BV		2.38			8-21-2022		175,000		181,949
Shell International Finance BV		2.88			5-10-2026		230,000		255,957
Shell International Finance BV		3.25			5-11-2025		350,000		390,981
Shell International Finance BV		3.40			8-12-2023		175,000		190,089
Shell International Finance BV		3.63			8-21-2042		175,000		193,791
WPP Finance Limited 2010		3.75			9-19-2024		200,000		219,359
									5,013,285
Insurance: 0.24%
Aon plc		3.88			12-15-2025		200,000		229,316
Aon plc		4.00			11-27-2023		105,000		115,126
XLIT Limited		5.25			12-15-2043		140,000		190,521
									534,963
Health Care: 0.77%
Health Care Equipment & Supplies: 0.12%
Koninklijke Philips Electronics NV		6.88			3-11-2038		175,000		266,665
Pharmaceuticals: 0.65%
AstraZeneca plc		3.38			11-16-2025		500,000		563,681
AstraZeneca plc		4.38			11-16-2045		200,000		263,268
Shire plc		3.20			9-23-2026		560,000		627,124
									1,454,073
Industrials: 0.52%
Machinery: 0.17%
Trane Technologies Luxembourg Finance SA		4.50			3-21-2049		300,000		375,918
Professional Services: 0.16%
Thomson Reuters Corporation		4.30			11-23-2023		210,000		230,839
Thomson Reuters Corporation		5.85			4-15-2040		94,000		125,511
									356,350

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

20  |  Wells Fargo Investment Grade Corporate Bond Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Road & Rail: 0.19%
Canadian National Railway Company		6.20	%		6-1-2036	$	140,000	$	213,317
Canadian Pacific Railway Company		4.45			3-15-2023		140,000		151,789
Canadian Pacific Railway Company		5.95			5-15-2037		45,000		66,599
									431,705
Information Technology: 0.17%
Technology Hardware, Storage & Peripherals: 0.17%
Seagate HDD		4.75			1-1-2025		350,000		381,670
Materials: 0.93%
Chemicals: 0.55%
LyondellBasell Industries NV		4.63			2-26-2055		350,000		398,609
Nutrien Limited		3.63			3-15-2024		200,000		218,249
Nutrien Limited		5.00			4-1-2049		200,000		260,580
Nutrien Limited		5.63			12-1-2040		140,000		178,653
Nutrien Limited		6.13			1-15-2041		115,000		152,313
									1,208,404
Metals & Mining: 0.38%
Rio Tinto Finance (USA) Limited		4.13			8-21-2042		175,000		222,162
Vale Overseas Limited		6.88			11-21-2036		382,000		507,434
Vale Overseas Limited		6.88			11-10-2039		91,000		122,736
									852,332
Total Yankee Corporate Bonds and Notes (Cost $32,445,253)									36,548,958
	Yield					Shares
Short-Term Investments: 3.98%
Investment Companies: 3.98%
Wells Fargo Government Money Market Fund Select Class (l)(u)		0.06					8,837,670		8,837,670
Total Short-Term Investments (Cost $8,837,670)									8,837,670

Total investments in securities (Cost $197,152,214)	100.43	%		223,175,214
Other assets and liabilities, net	(0.43	)		(946,909	)
Total net assets	100.00	%	$	222,228,305

144A The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933.

± Variable rate investment. The rate shown is the rate in effect at period end.

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

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

Abbreviations:

LIBOR London Interbank Offered Rate

REIT Real estate investment trust

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

Wells Fargo Investment Grade Corporate Bond Portfolio  |  21

Portfolio of investments—August 31, 2020 (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:

	Value, beginning of period		Purchases		Sales proceeds			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	$	289,733	$	38,780,166	$	(30,232,229	)	$	0	$	0	$	1,649	$	8,837,670		3.98	%

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

22  |  Wells Fargo Investment Grade Corporate Bond Portfolio

Statement of assets and liabilities—August 31, 2020 (unaudited)

Assets
Investments in unaffiliated securities, at value (cost $188,314,544)	$	214,337,544
Investments in affiliated securities, at value (cost $8,837,670)		8,837,670
Receivable for investments sold		179,792
Receivable for interest		2,086,923
Prepaid expenses and other assets		4,612
Total assets		225,446,541
Liabilities
Payable for investments purchased		3,092,526
Advisory fee payable		992
Trustees’ fees and expenses payable		1,966
Accrued expenses and other liabilities		122,752
Total liabilities		3,218,236
Total net assets	$	222,228,305

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

Wells Fargo Investment Grade Corporate Bond Portfolio  |  23

Statement of operations—six months ended August 31, 2020 (unaudited)

Investment income
Interest	$	3,736,400
Income from affiliated securities		1,649
Total investment income		3,738,049
Expenses
Advisory fee		54,490
Custody and accounting fees		11,345
Professional fees		22,434
Shareholder report expenses		4,253
Trustees’ fees and expenses		9,898
Other fees and expenses		8,311
Total expenses		110,731
Less: Fee waivers and/or expense reimbursements		(45,094	)
Net expenses		65,637
Net investment income		3,672,412
Realized and unrealized gains (losses) on investments
Net realized gains on investments		1,815,765
Net change in unrealized gains (losses) on investments		(130,299	)
Net realized and unrealized gains (losses) on investments		1,685,466
Net increase in net assets resulting from operations	$	5,357,878

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

24  |  Wells Fargo Investment Grade Corporate Bond Portfolio

Statement of changes in net assets

	Six months ended August 31, 2020 (unaudited)			Year ended February 29, 2020
Operations
Net investment income	$	3,672,412		$	9,435,352
Net realized gains on investments		1,815,765			3,167,122
Net change in unrealized gains (losses) on investments		(130,299	)		25,957,585
Net increase in net assets resulting from operations		5,357,878			38,560,059
Capital transactions
Transactions in investors’ beneficial interests
Contributions		25,891,576			29,912,651
Withdrawals		(70,937,006	)		(70,686,869	)
Net decrease in net assets resulting from capital transactions		(45,045,430	)		(40,774,218	)
Total decrease in net assets		(39,687,552	)		(2,214,159	)
Net assets
Beginning of period		261,915,857			264,130,016
End of period	$	222,228,305		$	261,915,857

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

Wells Fargo Investment Grade Corporate Bond Portfolio  |  25

Financial highlights

	Six months ended August 31, 2020 (unaudited)			Year ended February 29, 2020			Year ended February 28
							2019			20181
Total return2		2.71	%		15.72	%		2.29	%		(0.12	)%
Ratios to average net assets (annualized)
Gross expenses		0.10	%		0.10	%		0.09	%		0.08	%
Net expenses		0.06	%		0.07	%		0.08	%		0.08	%
Net investment income		3.37	%		3.59	%		3.74	%		3.48	%
Supplemental data
Portfolio turnover rate		11	%		18	%		25	%		61	%

¹  For the period from May 23, 2017 (commencement of operations) to February 28, 2018

²  Returns for periods of less than one year are not annualized.

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

26  |  Wells Fargo Investment Grade Corporate Bond 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 Investment Grade Corporate Bond Portfolio (the “Portfolio”) which is a diversified series of the Trust.

Interests in the Portfolio are available solely through private placement transactions that do not involve any “public offering” within the meaning of Section 4(2) of the Investment Company Act of 1933.

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.

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.

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 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 income, 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 income 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.

Wells Fargo Investment Grade Corporate Bond Portfolio  |  27

Notes to financial statements (unaudited)

As of August 31, 2020, the aggregate cost of all investments for federal income tax purposes was $197,152,214 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	26,206,855
Gross unrealized losses		(183,855	)
Net unrealized gains	$	26,023,000

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 August 31, 2020:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Corporate bonds and notes	$	0	$	177,788,586	$	0	$	177,788,586
Yankee corporate bonds and notes		0		36,548,958		0		36,548,958
Short-term investments
Investment companies		8,837,670		0		0		8,837,670
Total assets	$	8,837,670	$	214,337,544	$	0	$	223,175,214

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

For the six months ended August 31, 2020, 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 & 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 advisory fee at the following annual rate based on the Portfolio’s average daily net assets:

Average daily net assets	Advisory fee
First $5 billion		0.05	%
Next $5 billion		0.04
Over $10 billion		0.03

For the six months ended August 31, 2020, the advisory fee was equivalent to an annual rate of 0.05% of the Portfolio’s average daily net assets.

28  |  Wells Fargo Investment Grade Corporate 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. 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 0.04% and declining to 0.03% as the average daily net assets of the Portfolio increase.

Funds Management has voluntarily waived and/or reimbursed advisory fees to reduce 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 August 31, 2020 were $23,049,423 and $67,498,743, respectively.

6. BANK BORROWINGS

The Trust, along with Wells Fargo Variable Trust and Wells Fargo Funds Trust (excluding the money market funds), are parties to a $350,000,000 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 August 31, 2020, there were no borrowings by the Portfolio under the agreement.

7. CONCENTRATION RISK

Concentration risks result from exposure to a limited number of sectors. As of the end of the period, the Fund invested a concentration of its portfolio in the financials sector. 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 fund whose investments are not heavily weighted in any sector.

8. INDEMNIFICATION

Under the Portfolio’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 Portfolio. The Portfolio has entered into a separate agreement with each Trustee that converts indemnification rights currently existing under the Portfolio’s organizational documents into contractual rights that cannot be changed in the future without the consent of the Trustee. Additionally, in the normal course of business, the Portfolio may enter into contracts with service providers that contain a variety of indemnification clauses. The Portfolio’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 on fair value measurements in Topic 820, Fair Value Measurements. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has adopted this guidance which did not have a material impact on the financial statements.

10. CORONAVIRUS (COVID-19) PANDEMIC

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

Wells Fargo Investment Grade Corporate Bond Portfolio  |  29

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 wfam.com, or visiting the SEC website at sec.gov. Information regarding how the proxies related to portfolio securities were voted during the most recent 12-month period ended June 30 is available on the website at wfam.com or by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS INFORMATION

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

30  |  Wells Fargo Investment Grade Corporate Bond Portfolio

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

Independent Trustees

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

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

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

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Other information (unaudited)

Officers

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

¹ Jeremy DePalma acts as Treasurer of 77 funds and Assistant Treasurer of 65 funds in the Fund Complex.

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

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Other information (unaudited)

BOARD CONSIDERATION OF INVESTMENT MANAGEMENT, ADVISORY AND SUB-ADVISORY AGREEMENTS:

Wells Fargo Emerging Markets Bond Fund, Wells Fargo High Yield Corporate Bond Fund, Wells Fargo International Government Bond Fund, Wells Fargo U.S. Core Bond Fund, Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, Wells Fargo Emerging Markets Bond Portfolio, Wells Fargo Factor Enhanced International Equity Portfolio, Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, Wells Fargo International Government Bond Portfolio, Wells Fargo Investment Grade Corporate Bond Portfolio, Wells Fargo High Yield Corporate Bond Portfolio, Wells Fargo Strategic Retirement Bond Portfolio, and Wells Fargo U.S. REIT Portfolio

Under the Investment Company Act of 1940 (the “1940 Act”), the Board of Trustees (each, a “Board” and collectively, the “Boards”) of each of Wells Fargo Funds Trust (“Funds Trust”) and Wells Fargo Master Trust (“Master Trust”) (collectively, the “Trusts”) must determine annually whether to approve the continuation of the Trusts’ investment management, advisory and sub-advisory agreements, as applicable. In this regard, at a meeting held on May 26, 2020 and May 28, 2020 (together, the “Meeting”), the Board of Funds Trust, all the members of which have no direct or indirect interest in the investment management agreement and are not “interested persons” of the Trusts, as defined in the 1940 Act (the “Independent Trustees”), reviewed and approved for each of the funds of Funds Trust identified in the table below (individually, an “Index Fund” and collectively, the “Index Funds”) an investment management agreement (the “Management Agreement”) with Wells Fargo Funds Management, LLC (“Funds Management”).

Index Funds

Wells Fargo Emerging Markets Bond Fund

Wells Fargo High Yield Corporate Bond Fund

Wells Fargo International Government Bond Fund

Wells Fargo U.S. Core Bond Fund

In addition, the Funds Trust Board reviewed and approved an investment sub-advisory agreement with Wells Capital Management Incorporated (“WellsCap”) for the U.S. Core Bond Fund (the “Core Bond Fund Sub-Advisory Agreement”).

At the Meeting, the Board of Master Trust, all the members of which have no direct or indirect interest in the investment advisory and sub-advisory agreements and are Independent Trustees, reviewed and approved for each of the portfolios of Master Trust identified in the table below (individually, a “Master Portfolio” and collectively, the “Master Portfolios”): (i) an investment advisory agreement (the “Master Portfolio Advisory Agreement”) with Funds Management; and (ii) an investment sub-advisory agreement (each, a “Master Portfolio Sub-Advisory Agreement”, and collectively, the “Master Portfolio Sub-Advisory Agreements”) with the sub-adviser(s) identified in the chart below (each, a “Sub-Adviser”, and collectively, the “Sub-Advisers”) for the corresponding Master Portfolio identified.

Master Portfolios	Sub-Advisers
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio	WellsCap
Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio	WellsCap
Wells Fargo Emerging Markets Bond Portfolio	Wells Fargo Asset Management (International), Limited (“WFAM International”)
Wells Fargo Factor Enhanced International Equity Portfolio	WellsCap
Wells Fargo Factor Enhanced U.S. Large Cap Portfolio	WellsCap
Wells Fargo Factor Enhanced U.S. Small Cap Portfolio	WellsCap
Wells Fargo International Government Bond Portfolio	WFAM International
Wells Fargo Investment Grade Corporate Bond Portfolio	WellsCap
Wells Fargo High Yield Corporate Bond Portfolio	WellsCap
Wells Fargo Strategic Retirement Bond Portfolio	WellsCap
Wells Fargo U.S. REIT Portfolio	WellsCap

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Other information (unaudited)

The Index Funds and the Master Portfolios are collectively referred to as the “Funds.” The Management Agreement, the Core Bond Fund Sub-Advisory Agreement, the Master Portfolio Advisory Agreement and the Master Portfolio Sub-Advisory Agreements are collectively referred to as the “Advisory Agreements.”

The Boards noted that each of the Index Funds is a feeder fund that invests all of its assets in its corresponding Master Portfolio, with the exception of the U.S. Core Bond Fund, which invests in multiple Master Portfolios. Information provided to the Boards regarding the Index Funds is also applicable to the Master Portfolios identified above, as relevant.

At the Meeting, the Boards considered the factors and reached the conclusions described below relating to the selection of Funds Management and the Sub-Advisers and the approval of the Advisory Agreements. Prior to the Meeting, including at a Board meeting held in April 2020, the Trustees conferred extensively among themselves and with representatives of Funds Management about these matters. Also, the Boards have adopted a team-based approach, with each team consisting of a sub-set of Trustees, to assist the full Boards in the discharge of their duties in reviewing investment performance and other matters throughout the year. The Independent Trustees were assisted in their evaluation of the Advisory Agreements by independent legal counsel, from whom they received separate legal advice and with whom they met separately.

In providing information to the Boards, Funds Management and the Sub-Advisers were guided by a detailed set of requests for information submitted to them by independent legal counsel on behalf of the Independent Trustees at the start of the Boards’ annual contract renewal process earlier in 2020. In considering and approving the Advisory Agreements, the Trustees considered the information they believed relevant, including but not limited to the information discussed below. The Boards considered not only the specific information presented in connection with the Meeting, but also the knowledge gained over time through interaction with Funds Management and the Sub-Advisers about various topics. In this regard, the Boards reviewed reports of Funds Management at each of their quarterly meetings, which included, among other things, portfolio reviews and investment performance reports. In addition, the Boards and the teams mentioned above confer with portfolio managers at various times throughout the year. The Boards did not identify any particular information or consideration that was all-important or controlling, and each individual Trustee may have attributed different weights to various factors.

After its deliberations, the Board of Funds Trust unanimously approved the continuation of the Management Agreement and the Core Bond Fund Sub-Advisory Agreement for a one-year period. Additionally, after its deliberations, the Board of Master Trust unanimously approved the continuation of the Master Portfolio Advisory Agreement and each Master Portfolio Sub-Advisory Agreement for a one-year term. The Boards also determined that the compensation or the absence of compensation payable to Funds Management and to each of the Sub-Advisers under each of the Advisory Agreements was reasonable. The Boards considered the approval of the Advisory Agreements for the Funds as part of their consideration of agreements for funds across the complex, but their approvals were made on a fund-by-fund basis. The following summarizes a number of important, but not necessarily all, factors considered by the Boards in support of their approvals.

Nature, extent and quality of services

The Boards received and considered various information regarding the nature, extent and quality of services provided to the Funds by Funds Management and the Sub-Advisers under the Advisory Agreements. This information included a description of the investment advisory services and Fund-level administrative services covered by the Advisory Agreements, as well as, among other things, a summary of the background and experience of senior management of Wells Fargo Asset Management (“WFAM”), of which Funds Management and the Sub-Advisers are a part, and a summary of investments made in the business of WFAM. The Boards also received a description of Funds Management’s and the Sub-Advisers’ business continuity plans and of their approaches to data privacy and cybersecurity, and related testing. The Boards also received and reviewed information about Funds Management’s role as administrator of the Funds’ liquidity risk management program, Funds Management’s approach to risk management, and Funds Management’s intermediary and vendor oversight program.

The Boards also considered the qualifications, background, tenure and responsibilities of each of the portfolio managers primarily responsible for the day-to-day portfolio management of the Funds. The Board of Master Trust noted that each of the Master Portfolios replicates the performance of a proprietary index provided by an affiliate of Funds Management, except that the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Emerging Markets Bond Portfolio, and the Wells Fargo Strategic Retirement Bond Portfolio track the performance of third-party indexes. The Boards evaluated the ability of Funds Management and the Sub-Advisers to attract and retain qualified investment professionals, including research, advisory and supervisory personnel. The Boards further considered the compliance programs and compliance records of Funds Management and the Sub-Advisers. In addition, the Boards took into account the full range of services provided to the Funds by Funds Management and its affiliates.

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Other information (unaudited)

Fund investment performance and expenses

The Boards considered the investment performance results for each of the Master Portfolios for the one-year period ended December 31, 2019. The Boards also considered more current results for the one-year period ended March 31, 2020. The Boards considered these results in comparison to the investment performance of funds in a universe that was determined by Broadridge Inc. (“Broadridge”) to be similar to the respective Master Portfolios (each, a “Universe”), and in comparison to each Master Portfolio’s benchmark index and to other comparative data. Broadridge is an independent provider of investment company data. The Boards received a description of the methodology used by Broadridge to select the mutual funds in each performance Universe.

The Boards noted the short performance history of the Master Portfolios. For the one-year period ended December 31, 2019, the Boards noted that the investment performance of each Master Portfolio relative to its respective Universe was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio and the Wells Fargo Investment Grade Corporate Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective Universe; and (ii) the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo International Government Bond Portfolio, the Wells Fargo Strategic Retirement Bond Portfolio and the Wells Fargo U.S. REIT Portfolio was lower than the average investment performance of such Master Portfolio’s respective Universe. For the one-year period ended March 31, 2020, the Boards noted that the investment performance of each Master Portfolio relative to its respective Universe was as follows: (i) the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo International Government Bond Portfolio, and the Wells Fargo Investment Grade Corporate Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective Universe, and (ii) the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio, the Wells Fargo Strategic Retirement Bond Portfolio and the Wells Fargo U.S. REIT Portfolio was lower than the average investment performance of such Master Portfolio’s respective Universe.

The Boards also noted that the investment performance of each Master Portfolio to its respective benchmark index for the one-year period ended December 31, 2019, was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio, the Wells Fargo U.S. REIT Portfolio and the Wells Fargo Strategic Retirement Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective benchmark, and (ii) the investment performance of each of the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo International Government Bond Portfolio and the Wells Fargo Investment Grade Corporate Bond Portfolio was lower than the average investment performance of such Master Portfolio’s respective benchmark. For the one-year period ended March 31, 2020, the Boards also noted that the investment performance of each Master Portfolio to its respective benchmark index, was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo U.S. REIT Portfolio, the Wells Fargo Investment Grade Corporate Bond Portfolio and the Wells Fargo Strategic Retirement Bond Portfolio was higher than, equal to or in range of the average investment performance of such Master Portfolio’s respective benchmark, and (ii) the investment performance of each of the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio and the Wells Fargo International Government Bond Portfolio was lower than the average investment performance of such Master Portfolio’s respective benchmark.

The Boards received information concerning, and discussed factors contributing to, the underperformance of certain Master Portfolios, relative to the Universe and benchmark index, for the periods identified above. The Board took note of the explanations for the relative underperformance during these periods, including with respect to investment decisions and market factors that affected the Fund’s investment performance.

The Board of Funds Trust took note of the investment performance of the Master Portfolios in the context of reviewing the investment performance of the Index Funds. The Board of Funds Trust also received and considered information regarding the “zero fee and expense” structure of each Index Fund. Specifically, the Funds Trust Board noted that each Index Fund’s gross operating expense ratio and each of its various components, including management fees, administration fees, custody fees,

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Other information (unaudited)

Rule 12b-1 fees, and other fees, are zero. The Funds Trust Board also noted that Funds Management assumes and pays or reimburses all of the ordinary operating expenses of each Index Fund, including acquired fund fees and expenses, pursuant to an agreement with each of the Index Funds (the “Fee and Expense Agreement”). The Funds Trust Board further noted that Funds Management receives a fee from Wells Fargo Wealth and Investment Management (“WIM”) pursuant to an intercompany agreement equal to the Master Portfolio fees and expenses absorbed by Funds Management through its Fee and Expense Agreement with each of the Index Funds.

With respect to the Master Portfolios, the Board of Master Trust received and considered information regarding the fee rates that are payable to Funds Management for investment advisory services (as discussed below), which are the only fees charged at the Master Portfolio level, relative to corresponding class-specific expense groups that were determined by Broadridge to be similar to the Funds (the “Groups”). The Boards received a description of the methodology used by Broadridge to select the mutual funds in the expense Groups and an explanation of how funds comprising expense groups and their expense ratios may vary from year-to-year.

The Boards took into account the Funds’ expense information and the Master Portfolios’ performance information provided to them among the factors considered in deciding to re-approve the Advisory Agreements.

Investment management, advisory and sub-advisory fee rates

The Board of Funds Trust reviewed and considered that the contractual investment management fee rate payable by each Index Fund to Funds Management for investment management services zero, and also reviewed and considered that each Fund’s other expenses would normally be zero, because of Funds Management’s commitment to assume and pay or reimburse all of the ordinary operating expenses of each Fund, including acquired fund fees and expenses, under the Fee and Expense Agreement. The Board of Funds Trust also reviewed and considered that the contractual investment sub-advisory fee rate payable by Funds Management to WellsCap for investment sub-advisory services for the U.S. Core Bond Fund is also zero.

The Board of Master Trust reviewed and considered the contractual fee rates payable by the Master Portfolios to Funds Management under the Master Portfolio Advisory Agreement (the “Advisory Agreement Rates”). The Board of Master Trust also reviewed and considered the contractual investment sub-advisory fee rates that are payable by Funds Management to the Sub-Advisers for investment sub-advisory services (the “Sub-Advisory Agreement Rates”).

The Board of Master Trust reviewed a comparison of the Advisory Agreement Rates of each Master Portfolio with those of other funds in each Master Portfolio’s respective expense Groups at a common asset level. The Board of Master Trust noted that the Advisory Agreement Rates of each Master Portfolio were lower than or equal to the median rate for such Master Portfolio’s expense Groups.

The Boards also received and considered information about the portions of the total management fees that were retained by Funds Management after payment of the fees to the Sub-Advisers for sub-advisory services. In assessing the reasonableness of these amounts, the Boards received and evaluated information about the nature and extent of responsibilities retained and risks assumed by Funds Management and not delegated to or assumed by the Sub-Advisers, and about Funds Management’s on-going oversight services. Given the affiliation between Funds Management and the Sub-Advisers, the Boards ascribed limited relevance to the allocation of fees between them.

The Boards also received and considered information about the nature and extent of services offered and fee rates charged by Funds Management and the Sub-Advisers to other types of clients with investment strategies similar to those of certain Funds. In this regard, the Boards received information about the significantly greater scope of services, and compliance, reporting and other legal burdens and risks of managing proprietary mutual funds compared with those associated with managing assets of other types of clients, including third-party sub-advised fund clients and non-mutual fund clients such as institutional separate accounts.

Based on its consideration of the factors and information it deemed relevant, including those described here, the Board of Fund Trust determined that the compensation received by Funds Management from WIM pursuant to the intercompany agreement, and the absence of compensation payable by the Funds to Funds Management pursuant to the Management Agreement or to WellsCap pursuant to the Core Bond Fund Sub-Advisory Agreement, was reasonable. Based on its consideration of the factors and information it deemed relevant, including those described here, the Board of Master Trust determined that the Advisory Agreement Rates and the Sub-Advisory Agreement Rates for each Master Portfolio were reasonable.

Profitability

The Boards received and considered information concerning the profitability of Funds Management, as well as the profitability of both WFAM and Wells Fargo & Co. (“Wells Fargo”) from providing services to the fund family as a whole. The Boards noted that the Sub-Advisers’ profitability information with respect to providing services to the Funds and other funds in the family was subsumed in the WFAM and Wells Fargo profitability analysis.

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Other information (unaudited)

Funds Management reported on the methodologies and estimates used in calculating profitability, including a description of the methodology used to allocate certain expenses. Among other things, the Boards noted that the levels of profitability reported on a fund-by-fund basis varied widely, depending on factors such as the size, type and age of fund.

Based on its review, the Boards did not deem the profits reported by Funds Management, WFAM or Wells Fargo from services provided to the Funds to be at a level that would prevent them from approving the continuation of the Advisory Agreements.

Economies of scale

The Boards received and considered information about the potential for Funds Management to experience economies of scale in the provision of management services to the Funds, the difficulties of calculating economies of scale at an individual fund level, and the extent to which potential scale benefits are shared with shareholders. The Boards noted the existence of breakpoints in the each Master Portfolio’s advisory fee structure and each Index Fund’s management fee structure, which operate generally to reduce the Funds’ expense ratios as the Funds grow in size, and the size of the Funds in relation to such breakpoints. The Boards considered that in addition to management fee breakpoints, Funds Management shares potential economies of scale from its management business in a variety of ways, including through fee waiver and expense reimbursement arrangements, services that benefit shareholders, competitive management fee rates set at the outset without regard to breakpoints, and investments in the business intended to enhance services available to shareholders.

The Boards concluded that Funds Management’s arrangements with respect to the Funds, including contractual breakpoints, constituted a reasonable approach to sharing potential economies of scale with the Funds and their shareholders.

Other benefits to Funds Management and the Sub-Advisers

The Boards received and considered information regarding potential “fall-out” or ancillary benefits received by Funds Management and its affiliates, including WellsCap and WFAM International, as a result of their relationships with the Funds. Ancillary benefits could include, among others, benefits directly attributable to other relationships with the Funds and benefits potentially derived from an increase in Funds Management’s and the Sub-Advisers’ business as a result of their relationships with the Funds. The Boards noted that various affiliates of Funds Management may receive distribution-related fees, shareholder servicing payments and sub-transfer agency fees in respect of shares sold or held through them and services provided.

The Boards also reviewed information about soft dollar credits earned and utilized by the Sub-Advisers, fees earned by Funds Management and WellsCap from managing a private investment vehicle for the fund family’s securities lending collateral, and commissions earned by an affiliated broker from portfolio transactions.

Based on their consideration of the factors and information they deemed relevant, including those described here, the Boards did not find that any ancillary benefits received by Funds Management and its affiliates, including WellsCap and WFAM International, were unreasonable.

Conclusion

At the Meeting, after considering the above-described factors and based on its deliberations and its evaluation of the information described above, the Funds Trust Board unanimously approved the continuation of the Management Agreement and the Core Bond Fund Sub-Advisory Agreement for a one-year period. Additionally, after its deliberations, the Master Trust Board unanimously approved the continuation of the Master Portfolio Advisory Agreement and each Master Portfolio Sub-Advisory Agreement for a one-year term. The Boards also determined that the compensation or the absence of compensation payable to Funds Management and to each of the Sub-Advisers was reasonable.

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Other information (unaudited)

LIQUIDITY RISK MANAGEMENT PROGRAM

In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), Wells Fargo Master Trust (the “Trust”) has adopted and implemented a liquidity risk management program (the “Program”) on behalf of each of its series, including each Portfolio, which is reasonably designed to assess and manage the Portfolio’s liquidity risk. “Liquidity risk” is defined as the risk that a Portfolio is unable to meet redemption requests without significantly diluting remaining investors’ interests in the Portfolio. The Trust’s Board of Trustees (the “Board”) previously approved the designation of Wells Fargo Funds Management, LLC (“Funds Management”), each Portfolio’s investment adviser, as the administrator of the Program, and Funds Management has established a Liquidity Risk Management Council composed of personnel from multiple departments within Funds Management and its affiliates to assist Funds Management in the implementation and on-going administration of the Program.

The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Portfolio’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Portfolio’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under the Liquidity Rule); (4) to the extent a Portfolio does not invest primarily in “highly liquid investments” (as defined under the Liquidity Rule), the determination of a minimum percentage of the Portfolio’s assets that generally will be invested in highly liquid investments (an “HLIM”); (5) if a Portfolio has established an HLIM, the periodic review (no less frequently than annually) of the HLIM and the adoption of policies and procedures for responding to a shortfall of the Portfolio’s “highly liquid investments” below its HLIM; and (6) periodic reporting to the Board.

At a meeting of the Board held on May 26 and 28, 2020, the Board received a written report (the “Report”) from Funds Management that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation. The Report covered the initial period from December 1, 2018 through December 31, 2019 (the “Reporting Period”). No significant liquidity events impacting any Portfolio were noted in the Report. There were no material changes to the Program during the Reporting Period. The Report concluded that the Program is operating effectively to assess and manage each Portfolio’s liquidity risk, and that the Program has been and continues to be adequately and effectively implemented to monitor and, as applicable, respond to the Portfolio’s liquidity developments.

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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 Portfolio’s website, or call:

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: wfam.com

Individual investors: 1-800-222-8222

Retail investment professionals: 1-888-877-9275

Institutional investment professionals: 1-866-765-0778

This report and the financial statements contained herein are submitted for the general information of the shareholders of the Portfolio. 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 Portfolio’s website at wfam.com. Read the prospectus carefully before you invest or send money.

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

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

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

© 2020 Wells Fargo & Company. All rights reserved.

Semi-Annual Report

August 31, 2020

Wells Fargo

Strategic Retirement Bond Portfolio

Contents

Portfolio information	2
Portfolio of investments	3
Financial statements
Statement of assets and liabilities	6
Statement of operations	7
Statement of changes in net assets	8
Financial highlights	9
Notes to financial statements	10
Other information	13

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

Wells Fargo Strategic Retirement Bond Portfolio  |  1

Portfolio information (unaudited)

Investment objective

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

Adviser

Wells Fargo Funds Management, LLC

Subadviser

Wells Capital Management Incorporated

Portfolio managers

Jay N. Mueller, CFA^®‡

Janet S. Rilling, CFA^®‡, CPA

Michal Stanczyk

Ten largest holdings (%) as of August 31, 20201
TIPS, 0.13%, 4-15-2022	2.72
TIPS, 0.38%, 1-15-2027	2.51
TIPS, 0.13%, 1-15-2023	2.45
TIPS, 0.50%, 1-15-2028	2.42
TIPS, 0.13%, 7-15-2024	2.40
TIPS, 0.38%, 7-15-2025	2.35
TIPS, 0.13%, 1-15-2022	2.35
TIPS, 2.38%, 1-15-2025	2.16
TIPS, 0.13%, 1-15-2030	2.14
TIPS, 0.63%, 1-15-2024	2.13

Portfolio composition as of August 31, 2020²

^‡  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.

2  |  Wells Fargo Strategic Retirement Bond Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Agency Securities: 2.15%
FHLB		2.00	%		9-9-2022	$	200,000	$	207,498
FHLB		2.13			6-9-2023		35,000		36,798
FHLB		2.38			9-10-2021		200,000		204,585
FHLB		2.75			12-13-2024		20,000		22,006
FHLB		3.25			6-9-2023		50,000		54,093
FNMA		0.38			7-21-2025		95,000		94,738
FNMA		1.38			10-7-2021		295,000		298,931
FNMA		1.88			9-24-2026		135,000		145,634
FNMA		2.13			4-24-2026		28,000		30,571
FNMA		2.63			9-6-2024		100,000		109,335
FNMA		2.88			9-12-2023		175,000		188,977
Total Agency Securities (Cost $1,346,525)									1,393,166
U.S. Treasury Securities: 97.45%
TIPS		0.13			1-15-2022		1,491,841		1,522,144
TIPS		0.13			4-15-2022		1,725,436		1,764,561
TIPS		0.13			7-15-2022		748,721		772,440
TIPS		0.13			1-15-2023		1,534,305		1,590,343
TIPS		0.13			7-15-2024		1,457,853		1,553,895
TIPS		0.13			10-15-2024		1,150,290		1,230,900
TIPS		0.13			4-15-2025		1,122,604		1,206,032
TIPS		0.13			7-15-2026		658,084		720,126
TIPS		0.13			1-15-2030		1,242,257		1,388,222
TIPS		0.13			7-15-2030		422,230		475,726
TIPS		0.25			1-15-2025		772,643		831,271
TIPS		0.25			7-15-2029		599,552		678,032
TIPS		0.38			7-15-2023		1,129,721		1,193,356
TIPS		0.38			7-15-2025		1,391,232		1,523,046
TIPS		0.38			1-15-2027		1,467,166		1,630,188
TIPS		0.38			7-15-2027		532,113		596,788
TIPS		0.50			4-15-2024		638,738		683,387
TIPS		0.50			1-15-2028		1,384,546		1,566,781
TIPS		0.63			4-15-2023		1,208,897		1,272,813
TIPS		0.63			1-15-2024		1,288,034		1,378,674
TIPS		0.63			1-15-2026		775,603		862,162
TIPS		0.75			7-15-2028		764,988		889,822
TIPS		0.88			1-15-2029		964,647		1,134,289
TIPS		1.75			1-15-2028		725,901		891,327
TIPS		2.00			1-15-2026		863,602		1,026,843
TIPS		2.38			1-15-2025		1,195,116		1,401,344
TIPS		2.38			1-15-2027		585,379		729,128
TIPS		2.50			1-15-2029		582,252		768,254
TIPS		3.63			4-15-2028		79,681		110,248
TIPS		3.88			4-15-2029		744,753		1,082,786
U.S. Treasury Bond		1.50			2-15-2030		475,000		511,052
U.S. Treasury Bond		2.88			5-15-2028		645,000		758,127
U.S. Treasury Bond		6.13			11-15-2027		215,000		301,277
U.S. Treasury Bond		6.13			8-15-2029		115,000		170,438
U.S. Treasury Bond		6.38			8-15-2027		125,000		175,693
U.S. Treasury Bond		6.88			8-15-2025		20,000		26,494
U.S. Treasury Note		0.50			6-30-2027		320,000		320,450
U.S. Treasury Note		1.13			9-30-2021		510,000		515,259
U.S. Treasury Note		1.25			10-31-2021		513,000		519,493
U.S. Treasury Note		1.25			7-31-2023		488,000		503,555
U.S. Treasury Note		1.38			6-30-2023		489,000		505,848

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

Wells Fargo Strategic Retirement Bond Portfolio  |  3

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
U.S. Treasury Securities (continued)
U.S. Treasury Note		1.38	%		8-31-2023	$	490,000	$	507,896
U.S. Treasury Note		1.38			9-30-2023		339,000		351,660
U.S. Treasury Note		1.38			8-31-2026		380,000		402,102
U.S. Treasury Note		1.50			3-31-2023		40,000		41,398
U.S. Treasury Note		1.50			8-15-2026		325,000		346,176
U.S. Treasury Note		1.63			8-15-2022		365,000		375,594
U.S. Treasury Note		1.63			11-15-2022		20,000		20,653
U.S. Treasury Note		1.63			4-30-2023		483,000		501,999
U.S. Treasury Note		1.63			5-31-2023		435,000		452,655
U.S. Treasury Note		1.63			10-31-2023		486,000		508,421
U.S. Treasury Note		1.63			2-15-2026		663,000		709,151
U.S. Treasury Note		1.63			5-15-2026		54,000		57,850
U.S. Treasury Note		1.63			11-30-2026		410,000		440,462
U.S. Treasury Note		1.75			2-28-2022		483,000		494,584
U.S. Treasury Note		1.75			3-31-2022		484,000		496,232
U.S. Treasury Note		1.75			5-31-2022		507,000		521,200
U.S. Treasury Note		1.75			6-30-2022		305,000		313,936
U.S. Treasury Note		1.75			9-30-2022		420,000		434,126
U.S. Treasury Note		1.75			1-31-2023		10,000		10,389
U.S. Treasury Note		1.75			5-15-2023		130,000		135,601
U.S. Treasury Note		1.75			11-15-2029		85,000		93,354
U.S. Treasury Note		1.88			2-28-2022		450,000		461,637
U.S. Treasury Note		1.88			4-30-2022		505,000		519,499
U.S. Treasury Note		1.88			8-31-2022		417,000		431,448
U.S. Treasury Note		1.88			8-31-2024		160,000		170,569
U.S. Treasury Note		1.88			7-31-2026		20,000		21,748
U.S. Treasury Note		2.00			10-31-2021		479,000		489,254
U.S. Treasury Note		2.00			2-15-2022		10,000		10,267
U.S. Treasury Note		2.00			7-31-2022		190,000		196,746
U.S. Treasury Note		2.00			11-30-2022		10,000		10,417
U.S. Treasury Note		2.00			2-15-2023		285,000		297,981
U.S. Treasury Note		2.00			4-30-2024		10,000		10,657
U.S. Treasury Note		2.00			5-31-2024		269,000		287,042
U.S. Treasury Note		2.00			6-30-2024		185,000		197,661
U.S. Treasury Note		2.00			2-15-2025		597,000		643,431
U.S. Treasury Note		2.00			8-15-2025		645,000		699,649
U.S. Treasury Note		2.00			11-15-2026		520,000		570,436
U.S. Treasury Note		2.13			12-31-2021		474,000		486,424
U.S. Treasury Note		2.13			12-31-2022		510,000		533,508
U.S. Treasury Note		2.13			2-29-2024		378,000		403,530
U.S. Treasury Note		2.13			3-31-2024		500,000		534,531
U.S. Treasury Note		2.13			5-15-2025		75,000		81,524
U.S. Treasury Note		2.25			12-31-2023		472,000		504,468
U.S. Treasury Note		2.25			1-31-2024		474,000		507,384
U.S. Treasury Note		2.25			4-30-2024		235,000		252,625
U.S. Treasury Note		2.25			10-31-2024		490,000		531,191
U.S. Treasury Note		2.25			11-15-2024		10,000		10,848
U.S. Treasury Note		2.25			2-15-2027		485,000		540,908
U.S. Treasury Note		2.25			8-15-2027		480,000		537,975
U.S. Treasury Note		2.25			11-15-2027		650,000		730,285
U.S. Treasury Note		2.38			5-15-2027		453,000		510,191
U.S. Treasury Note		2.50			1-15-2022		585,000		603,807
U.S. Treasury Note		2.50			5-15-2024		455,000		493,728
U.S. Treasury Note		2.63			12-31-2023		375,000		405,454
U.S. Treasury Note		2.63			3-31-2025		345,000		382,303
U.S. Treasury Note		2.63			1-31-2026		445,000		499,930

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

4  |  Wells Fargo Strategic Retirement Bond Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
U.S. Treasury Securities (continued)
U.S. Treasury Note		2.75	%		9-15-2021	$	560,000	$	575,050
U.S. Treasury Note		2.75			8-31-2023		15,000		16,162
U.S. Treasury Note		2.75			11-15-2023		76,000		82,255
U.S. Treasury Note		2.75			2-15-2024		585,000		636,759
U.S. Treasury Note		2.75			8-31-2025		325,000		364,838
U.S. Treasury Note		2.75			2-15-2028		520,000		604,500
U.S. Treasury Note		2.88			4-30-2025		470,000		527,134
U.S. Treasury Note		2.88			5-31-2025		490,000		550,484
U.S. Treasury Note		2.88			11-30-2025		125,000		141,714
U.S. Treasury Note		2.88			8-15-2028		390,000		459,926
U.S. Treasury Note		3.13			11-15-2028		370,000		445,127
U.S. Treasury Note		6.00			2-15-2026		146,000		190,781
U.S. Treasury Note		6.50			11-15-2026		30,000		41,256
U.S. Treasury Note		6.63			2-15-2027		235,000		327,917
U.S. Treasury Note		6.75			8-15-2026		220,000		302,827
U.S. Treasury Note		8.00			11-15-2021		331,000		362,342
Total U.S. Treasury Securities (Cost $59,178,306)									63,196,181
	Yield					Shares
Short-Term Investments: 0.63%
Investment Companies: 0.63%
Wells Fargo Government Money Market Fund Select Class (l)(u)		0.06					412,639		412,639
Total Short-Term Investments (Cost $412,639)									412,639

Total investments in securities (Cost $60,937,470)	100.23	%		65,001,986
Other assets and liabilities, net	(0.23	)		(150,590	)
Total net assets	100.00	%	$	64,851,396

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

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

Abbreviations:

FHLB Federal Home Loan Bank

FNMA Federal National Mortgage Association

TIPS Treasury inflation-protected securities

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:

	Value, beginning of period		Purchases		Sales proceeds			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	$	281,311	$	5,032,522	$	(4,901,194	)	$	0	$	0	$	308	$	412,639		0.63	%

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

Wells Fargo Strategic Retirement Bond Portfolio  |  5

Statement of assets and liabilities—August 31, 2020 (unaudited)

Assets
Investments in unaffiliated securities, at value (cost $60,524,831)	$	64,589,347
Investments in affiliated securities, at value (cost $412,639)		412,639
Receivable for investments sold		324,094
Receivable for interest		172,533
Receivable from adviser		4,153
Prepaid expenses and other assets		188
Total assets		65,502,954
Liabilities
Payable for investments purchased		606,156
Trustees’ fees and expenses payable		1,876
Accrued expenses and other liabilities		43,526
Total liabilities		651,558
Total net assets	$	64,851,396

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

6  |  Wells Fargo Strategic Retirement Bond Portfolio

Statement of operations—six months ended August 31, 2020 (unaudited)

Investment income
Interest	$	438,939
Income from affiliated securities		308
Total investment income		439,247
Expenses
Advisory fee		16,097
Custody and accounting fees		4,560
Professional fees		22,434
Shareholder report expenses		4,107
Trustees’ fees and expenses		9,898
Other fees and expenses		4,165
Total expenses		61,261
Less: Fee waivers and/or expense reimbursements		(36,082	)
Net expenses		25,179
Net investment income		414,068
Realized and unrealized gains (losses) on investments
Net realized gains on investments		789,425
Net change in unrealized gains (losses) on investments		1,135,903
Net realized and unrealized gains (losses) on investments		1,925,328
Net increase in net assets resulting from operations	$	2,339,396

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

Wells Fargo Strategic Retirement Bond Portfolio  |  7

Statement of changes in net assets

	Six months ended August 31, 2020 (unaudited)			Year ended February 29, 2020
Operations
Net investment income	$	414,068		$	1,640,300
Net realized gains on investments		789,425			168,387
Net change in unrealized gains (losses) on investments		1,135,903			3,638,073
Net increase in net assets resulting from operations		2,339,396			5,446,760
Capital transactions
Transactions in investors’ beneficial interests
Contributions		6,024,384			11,312,659
Withdrawals		(19,415,720	)		(13,995,099	)
Net decrease in net assets resulting from capital transactions		(13,391,336	)		(2,682,440	)
Total increase (decrease) in net assets		(11,051,940	)		2,764,320
Net assets
Beginning of period		75,903,336			73,139,016
End of period	$	64,851,396		$	75,903,336

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

8  |  Wells Fargo Strategic Retirement Bond Portfolio

Financial highlights

	Six months ended August 31, 2020 (unaudited)			Year ended February 29, 2020			Year ended February 28
							2019			20181
Total return2		3.77	%		7.75	%		2.47	%		(1.40	)%
Ratios to average net assets (annualized)
Gross expenses		0.19	%		0.18	%		0.16	%		0.17	%
Net expenses		0.08	%		0.11	%		0.14	%		0.17	%
Net investment income		1.29	%		2.27	%		2.23	%		1.45	%
Supplemental data
Portfolio turnover rate		16	%		41	%		23	%		193	%

¹  For the period from May 23, 2017 (commencement of operations) to February 28, 2018

²  Returns for periods of less than one year are not annualized.

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

Wells Fargo Strategic Retirement Bond Portfolio  |  9

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 Strategic Retirement Bond Portfolio (the “Portfolio”) which is a diversified series of the Trust.

Interests in the Portfolio are available solely through private placement transactions that do not involve any “public offering” within the meaning of Section 4(2) of the Investment Company Act of 1933.

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.

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.

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 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 income, 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 income 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.

10  |  Wells Fargo Strategic Retirement Bond Portfolio

Notes to financial statements (unaudited)

As of August 31, 2020, the aggregate cost of all investments for federal income tax purposes was $60,942,500 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	4,066,639
Gross unrealized losses		(7,153	)
Net unrealized gains	$	4,059,486

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 August 31, 2020:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Agency securities	$	0	$	1,393,166	$	0	$	1,393,166
U.S. Treasury securities		63,196,181		0		0		63,196,181
Short-term investments
Investment companies		412,639		0		0		412,639
Total assets	$	63,608,820	$	1,393,166	$	0	$	65,001,986

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

For the six months ended August 31, 2020, 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 & 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 advisory fee at the following annual rate based on the Portfolio’s average daily net assets:

Average daily net assets	Advisory fee
First $5 billion		0.05	%
Next $5 billion		0.04
Over $10 billion		0.03

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Notes to financial statements (unaudited)

For the six months ended August 31, 2020, the advisory fee was equivalent to an annual rate of 0.05% 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 0.04% and declining to 0.03% as the average daily net assets of the Portfolio increase.

Funds Management has voluntarily waived and/or reimbursed advisory fees to reduce 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 August 31, 2020 were as follows:

Purchases at cost		Sales proceeds
U.S. government	Non-U.S. government	U.S. government	Non-U.S. government
$10,263,539	$94,738	$23,287,950	$0

6. BANK BORROWINGS

The Trust, along with Wells Fargo Variable Trust and Wells Fargo Funds Trust (excluding the money market funds), are parties to a $350,000,000 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 August 31, 2020, there were no borrowings by the Portfolio under the agreement.

7. INDEMNIFICATION

Under the Portfolio’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 Portfolio. The Portfolio has entered into a separate agreement with each Trustee that converts indemnification rights currently existing under the Portfolio’s organizational documents into contractual rights that cannot be changed in the future without the consent of the Trustee. Additionally, in the normal course of business, the Portfolio may enter into contracts with service providers that contain a variety of indemnification clauses. The Portfolio’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 on fair value measurements in Topic 820, Fair Value Measurements. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has adopted this guidance which did not have a material impact on the financial statements.

9. CORONAVIRUS (COVID-19) PANDEMIC

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

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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 wfam.com, or visiting the SEC website at sec.gov. Information regarding how the proxies related to portfolio securities were voted during the most recent 12-month period ended June 30 is available on the website at wfam.com or by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS INFORMATION

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

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

Independent Trustees

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

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

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

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Other information (unaudited)

Officers

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

¹  Jeremy DePalma acts as Treasurer of 77 funds and Assistant Treasurer of 65 funds in the Fund Complex.

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

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Other information (unaudited)

BOARD CONSIDERATION OF INVESTMENT MANAGEMENT, ADVISORY AND SUB-ADVISORY AGREEMENTS:

Wells Fargo Emerging Markets Bond Fund, Wells Fargo High Yield Corporate Bond Fund, Wells Fargo International Government Bond Fund, Wells Fargo U.S. Core Bond Fund, Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, Wells Fargo Emerging Markets Bond Portfolio, Wells Fargo Factor Enhanced International Equity Portfolio, Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, Wells Fargo International Government Bond Portfolio, Wells Fargo Investment Grade Corporate Bond Portfolio, Wells Fargo High Yield Corporate Bond Portfolio, Wells Fargo Strategic Retirement Bond Portfolio, and Wells Fargo U.S. REIT Portfolio

Under the Investment Company Act of 1940 (the “1940 Act”), the Board of Trustees (each, a “Board” and collectively, the “Boards”) of each of Wells Fargo Funds Trust (“Funds Trust”) and Wells Fargo Master Trust (“Master Trust”) (collectively, the “Trusts”) must determine annually whether to approve the continuation of the Trusts’ investment management, advisory and sub-advisory agreements, as applicable. In this regard, at a meeting held on May 26, 2020 and May 28, 2020 (together, the “Meeting”), the Board of Funds Trust, all the members of which have no direct or indirect interest in the investment management agreement and are not “interested persons” of the Trusts, as defined in the 1940 Act (the “Independent Trustees”), reviewed and approved for each of the funds of Funds Trust identified in the table below (individually, an “Index Fund” and collectively, the “Index Funds”) an investment management agreement (the “Management Agreement”) with Wells Fargo Funds Management, LLC (“Funds Management”).

Index Funds

Wells Fargo Emerging Markets Bond Fund

Wells Fargo High Yield Corporate Bond Fund

Wells Fargo International Government Bond Fund

Wells Fargo U.S. Core Bond Fund

In addition, the Funds Trust Board reviewed and approved an investment sub-advisory agreement with Wells Capital Management Incorporated (“WellsCap”) for the U.S. Core Bond Fund (the “Core Bond Fund Sub-Advisory Agreement”).

At the Meeting, the Board of Master Trust, all the members of which have no direct or indirect interest in the investment advisory and sub-advisory agreements and are Independent Trustees, reviewed and approved for each of the portfolios of Master Trust identified in the table below (individually, a “Master Portfolio” and collectively, the “Master Portfolios”): (i) an investment advisory agreement (the “Master Portfolio Advisory Agreement”) with Funds Management; and (ii) an investment sub-advisory agreement (each, a “Master Portfolio Sub-Advisory Agreement”, and collectively, the “Master Portfolio Sub-Advisory Agreements”) with the sub-adviser(s) identified in the chart below (each, a “Sub-Adviser”, and collectively, the “Sub-Advisers”) for the corresponding Master Portfolio identified.

Master Portfolios	Sub-Advisers
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio	WellsCap
Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio	WellsCap
Wells Fargo Emerging Markets Bond Portfolio	Wells Fargo Asset Management (International), Limited (“WFAM International”)
Wells Fargo Factor Enhanced International Equity Portfolio	WellsCap
Wells Fargo Factor Enhanced U.S. Large Cap Portfolio	WellsCap
Wells Fargo Factor Enhanced U.S. Small Cap Portfolio	WellsCap
Wells Fargo International Government Bond Portfolio	WFAM International
Wells Fargo Investment Grade Corporate Bond Portfolio	WellsCap
Wells Fargo High Yield Corporate Bond Portfolio	WellsCap
Wells Fargo Strategic Retirement Bond Portfolio	WellsCap
Wells Fargo U.S. REIT Portfolio	WellsCap

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Other information (unaudited)

The Index Funds and the Master Portfolios are collectively referred to as the “Funds.” The Management Agreement, the Core Bond Fund Sub-Advisory Agreement, the Master Portfolio Advisory Agreement and the Master Portfolio Sub-Advisory Agreements are collectively referred to as the “Advisory Agreements.”

The Boards noted that each of the Index Funds is a feeder fund that invests all of its assets in its corresponding Master Portfolio, with the exception of the U.S. Core Bond Fund, which invests in multiple Master Portfolios. Information provided to the Boards regarding the Index Funds is also applicable to the Master Portfolios identified above, as relevant.

At the Meeting, the Boards considered the factors and reached the conclusions described below relating to the selection of Funds Management and the Sub-Advisers and the approval of the Advisory Agreements. Prior to the Meeting, including at a Board meeting held in April 2020, the Trustees conferred extensively among themselves and with representatives of Funds Management about these matters. Also, the Boards have adopted a team-based approach, with each team consisting of a sub-set of Trustees, to assist the full Boards in the discharge of their duties in reviewing investment performance and other matters throughout the year. The Independent Trustees were assisted in their evaluation of the Advisory Agreements by independent legal counsel, from whom they received separate legal advice and with whom they met separately.

In providing information to the Boards, Funds Management and the Sub-Advisers were guided by a detailed set of requests for information submitted to them by independent legal counsel on behalf of the Independent Trustees at the start of the Boards’ annual contract renewal process earlier in 2020. In considering and approving the Advisory Agreements, the Trustees considered the information they believed relevant, including but not limited to the information discussed below. The Boards considered not only the specific information presented in connection with the Meeting, but also the knowledge gained over time through interaction with Funds Management and the Sub-Advisers about various topics. In this regard, the Boards reviewed reports of Funds Management at each of their quarterly meetings, which included, among other things, portfolio reviews and investment performance reports. In addition, the Boards and the teams mentioned above confer with portfolio managers at various times throughout the year. The Boards did not identify any particular information or consideration that was all-important or controlling, and each individual Trustee may have attributed different weights to various factors.

After its deliberations, the Board of Funds Trust unanimously approved the continuation of the Management Agreement and the Core Bond Fund Sub-Advisory Agreement for a one-year period. Additionally, after its deliberations, the Board of Master Trust unanimously approved the continuation of the Master Portfolio Advisory Agreement and each Master Portfolio Sub-Advisory Agreement for a one-year term. The Boards also determined that the compensation or the absence of compensation payable to Funds Management and to each of the Sub-Advisers under each of the Advisory Agreements was reasonable. The Boards considered the approval of the Advisory Agreements for the Funds as part of their consideration of agreements for funds across the complex, but their approvals were made on a fund-by-fund basis. The following summarizes a number of important, but not necessarily all, factors considered by the Boards in support of their approvals.

Nature, extent and quality of services

The Boards received and considered various information regarding the nature, extent and quality of services provided to the Funds by Funds Management and the Sub-Advisers under the Advisory Agreements. This information included a description of the investment advisory services and Fund-level administrative services covered by the Advisory Agreements, as well as, among other things, a summary of the background and experience of senior management of Wells Fargo Asset Management (“WFAM”), of which Funds Management and the Sub-Advisers are a part, and a summary of investments made in the business of WFAM. The Boards also received a description of Funds Management’s and the Sub-Advisers’ business continuity plans and of their approaches to data privacy and cybersecurity, and related testing. The Boards also received and reviewed information about Funds Management’s role as administrator of the Funds’ liquidity risk management program, Funds Management’s approach to risk management, and Funds Management’s intermediary and vendor oversight program.

The Boards also considered the qualifications, background, tenure and responsibilities of each of the portfolio managers primarily responsible for the day-to-day portfolio management of the Funds. The Board of Master Trust noted that each of the Master Portfolios replicates the performance of a proprietary index provided by an affiliate of Funds Management, except that the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Emerging Markets Bond Portfolio, and the Wells Fargo Strategic Retirement Bond Portfolio track the performance of third-party indexes. The Boards evaluated the ability of Funds Management and the Sub-Advisers to attract and retain qualified investment professionals, including research, advisory and supervisory personnel. The Boards further considered the compliance programs and compliance records of Funds Management and the Sub-Advisers. In addition, the Boards took into account the full range of services provided to the Funds by Funds Management and its affiliates.

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Other information (unaudited)

Fund investment performance and expenses

The Boards considered the investment performance results for each of the Master Portfolios for the one-year period ended December 31, 2019. The Boards also considered more current results for the one-year period ended March 31, 2020. The Boards considered these results in comparison to the investment performance of funds in a universe that was determined by Broadridge Inc. (“Broadridge”) to be similar to the respective Master Portfolios (each, a “Universe”), and in comparison to each Master Portfolio’s benchmark index and to other comparative data. Broadridge is an independent provider of investment company data. The Boards received a description of the methodology used by Broadridge to select the mutual funds in each performance Universe.

The Boards noted the short performance history of the Master Portfolios. For the one-year period ended December 31, 2019, the Boards noted that the investment performance of each Master Portfolio relative to its respective Universe was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio and the Wells Fargo Investment Grade Corporate Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective Universe; and (ii) the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo International Government Bond Portfolio, the Wells Fargo Strategic Retirement Bond Portfolio and the Wells Fargo U.S. REIT Portfolio was lower than the average investment performance of such Master Portfolio’s respective Universe. For the one-year period ended March 31, 2020, the Boards noted that the investment performance of each Master Portfolio relative to its respective Universe was as follows: (i) the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo International Government Bond Portfolio, and the Wells Fargo Investment Grade Corporate Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective Universe, and (ii) the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio, the Wells Fargo Strategic Retirement Bond Portfolio and the Wells Fargo U.S. REIT Portfolio was lower than the average investment performance of such Master Portfolio’s respective Universe.

The Boards also noted that the investment performance of each Master Portfolio to its respective benchmark index for the one-year period ended December 31, 2019, was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio, the Wells Fargo U.S. REIT Portfolio and the Wells Fargo Strategic Retirement Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective benchmark, and (ii) the investment performance of each of the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo International Government Bond Portfolio and the Wells Fargo Investment Grade Corporate Bond Portfolio was lower than the average investment performance of such Master Portfolio’s respective benchmark. For the one-year period ended March 31, 2020, the Boards also noted that the investment performance of each Master Portfolio to its respective benchmark index, was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo U.S. REIT Portfolio, the Wells Fargo Investment Grade Corporate Bond Portfolio and the Wells Fargo Strategic Retirement Bond Portfolio was higher than, equal to or in range of the average investment performance of such Master Portfolio’s respective benchmark, and (ii) the investment performance of each of the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio and the Wells Fargo International Government Bond Portfolio was lower than the average investment performance of such Master Portfolio’s respective benchmark.

The Boards received information concerning, and discussed factors contributing to, the underperformance of certain Master Portfolios, relative to the Universe and benchmark index, for the periods identified above. The Board took note of the explanations for the relative underperformance during these periods, including with respect to investment decisions and market factors that affected the Fund’s investment performance.

The Board of Funds Trust took note of the investment performance of the Master Portfolios in the context of reviewing the investment performance of the Index Funds. The Board of Funds Trust also received and considered information regarding the “zero fee and expense” structure of each Index Fund. Specifically, the Funds Trust Board noted that each Index Fund’s gross operating expense ratio and each of its various components, including management fees, administration fees, custody fees, Rule 12b-1 fees, and other fees, are zero. The Funds Trust Board also noted that Funds Management assumes and pays or

Wells Fargo Strategic Retirement Bond Portfolio  |  19

Other information (unaudited)

reimburses all of the ordinary operating expenses of each Index Fund, including acquired fund fees and expenses, pursuant to an agreement with each of the Index Funds (the “Fee and Expense Agreement”). The Funds Trust Board further noted that Funds Management receives a fee from Wells Fargo Wealth and Investment Management (“WIM”) pursuant to an intercompany agreement equal to the Master Portfolio fees and expenses absorbed by Funds Management through its Fee and Expense Agreement with each of the Index Funds.

With respect to the Master Portfolios, the Board of Master Trust received and considered information regarding the fee rates that are payable to Funds Management for investment advisory services (as discussed below), which are the only fees charged at the Master Portfolio level, relative to corresponding class-specific expense groups that were determined by Broadridge to be similar to the Funds (the “Groups”). The Boards received a description of the methodology used by Broadridge to select the mutual funds in the expense Groups and an explanation of how funds comprising expense groups and their expense ratios may vary from year-to-year.

The Boards took into account the Funds’ expense information and the Master Portfolios’ performance information provided to them among the factors considered in deciding to re-approve the Advisory Agreements.

Investment management, advisory and sub-advisory fee rates

The Board of Funds Trust reviewed and considered that the contractual investment management fee rate payable by each Index Fund to Funds Management for investment management services zero, and also reviewed and considered that each Fund’s other expenses would normally be zero, because of Funds Management’s commitment to assume and pay or reimburse all of the ordinary operating expenses of each Fund, including acquired fund fees and expenses, under the Fee and Expense Agreement. The Board of Funds Trust also reviewed and considered that the contractual investment sub-advisory fee rate payable by Funds Management to WellsCap for investment sub-advisory services for the U.S. Core Bond Fund is also zero.

The Board of Master Trust reviewed and considered the contractual fee rates payable by the Master Portfolios to Funds Management under the Master Portfolio Advisory Agreement (the “Advisory Agreement Rates”). The Board of Master Trust also reviewed and considered the contractual investment sub-advisory fee rates that are payable by Funds Management to the Sub-Advisers for investment sub-advisory services (the “Sub-Advisory Agreement Rates”).

The Board of Master Trust reviewed a comparison of the Advisory Agreement Rates of each Master Portfolio with those of other funds in each Master Portfolio’s respective expense Groups at a common asset level. The Board of Master Trust noted that the Advisory Agreement Rates of each Master Portfolio were lower than or equal to the median rate for such Master Portfolio’s expense Groups.

The Boards also received and considered information about the portions of the total management fees that were retained by Funds Management after payment of the fees to the Sub-Advisers for sub-advisory services. In assessing the reasonableness of these amounts, the Boards received and evaluated information about the nature and extent of responsibilities retained and risks assumed by Funds Management and not delegated to or assumed by the Sub-Advisers, and about Funds Management’s on-going oversight services. Given the affiliation between Funds Management and the Sub-Advisers, the Boards ascribed limited relevance to the allocation of fees between them.

The Boards also received and considered information about the nature and extent of services offered and fee rates charged by Funds Management and the Sub-Advisers to other types of clients with investment strategies similar to those of certain Funds. In this regard, the Boards received information about the significantly greater scope of services, and compliance, reporting and other legal burdens and risks of managing proprietary mutual funds compared with those associated with managing assets of other types of clients, including third-party sub-advised fund clients and non-mutual fund clients such as institutional separate accounts.

Based on its consideration of the factors and information it deemed relevant, including those described here, the Board of Fund Trust determined that the compensation received by Funds Management from WIM pursuant to the intercompany agreement, and the absence of compensation payable by the Funds to Funds Management pursuant to the Management Agreement or to WellsCap pursuant to the Core Bond Fund Sub-Advisory Agreement, was reasonable. Based on its consideration of the factors and information it deemed relevant, including those described here, the Board of Master Trust determined that the Advisory Agreement Rates and the Sub-Advisory Agreement Rates for each Master Portfolio were reasonable.

Profitability

The Boards received and considered information concerning the profitability of Funds Management, as well as the profitability of both WFAM and Wells Fargo & Co. (“Wells Fargo”) from providing services to the fund family as a whole. The Boards noted that the Sub-Advisers’ profitability information with respect to providing services to the Funds and other funds in the family was subsumed in the WFAM and Wells Fargo profitability analysis.

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Other information (unaudited)

Funds Management reported on the methodologies and estimates used in calculating profitability, including a description of the methodology used to allocate certain expenses. Among other things, the Boards noted that the levels of profitability reported on a fund-by-fund basis varied widely, depending on factors such as the size, type and age of fund.

Based on its review, the Boards did not deem the profits reported by Funds Management, WFAM or Wells Fargo from services provided to the Funds to be at a level that would prevent them from approving the continuation of the Advisory Agreements.

Economies of scale

The Boards received and considered information about the potential for Funds Management to experience economies of scale in the provision of management services to the Funds, the difficulties of calculating economies of scale at an individual fund level, and the extent to which potential scale benefits are shared with shareholders. The Boards noted the existence of breakpoints in the each Master Portfolio’s advisory fee structure and each Index Fund’s management fee structure, which operate generally to reduce the Funds’ expense ratios as the Funds grow in size, and the size of the Funds in relation to such breakpoints. The Boards considered that in addition to management fee breakpoints, Funds Management shares potential economies of scale from its management business in a variety of ways, including through fee waiver and expense reimbursement arrangements, services that benefit shareholders, competitive management fee rates set at the outset without regard to breakpoints, and investments in the business intended to enhance services available to shareholders.

The Boards concluded that Funds Management’s arrangements with respect to the Funds, including contractual breakpoints, constituted a reasonable approach to sharing potential economies of scale with the Funds and their shareholders.

Other benefits to Funds Management and the Sub-Advisers

The Boards received and considered information regarding potential “fall-out” or ancillary benefits received by Funds Management and its affiliates, including WellsCap and WFAM International, as a result of their relationships with the Funds. Ancillary benefits could include, among others, benefits directly attributable to other relationships with the Funds and benefits potentially derived from an increase in Funds Management’s and the Sub-Advisers’ business as a result of their relationships with the Funds. The Boards noted that various affiliates of Funds Management may receive distribution-related fees, shareholder servicing payments and sub-transfer agency fees in respect of shares sold or held through them and services provided.

The Boards also reviewed information about soft dollar credits earned and utilized by the Sub-Advisers, fees earned by Funds Management and WellsCap from managing a private investment vehicle for the fund family’s securities lending collateral, and commissions earned by an affiliated broker from portfolio transactions.

Based on their consideration of the factors and information they deemed relevant, including those described here, the Boards did not find that any ancillary benefits received by Funds Management and its affiliates, including WellsCap and WFAM International, were unreasonable.

Conclusion

At the Meeting, after considering the above-described factors and based on its deliberations and its evaluation of the information described above, the Funds Trust Board unanimously approved the continuation of the Management Agreement and the Core Bond Fund Sub-Advisory Agreement for a one-year period. Additionally, after its deliberations, the Master Trust Board unanimously approved the continuation of the Master Portfolio Advisory Agreement and each Master Portfolio Sub-Advisory Agreement for a one-year term. The Boards also determined that the compensation or the absence of compensation payable to Funds Management and to each of the Sub-Advisers was reasonable.

Wells Fargo Strategic Retirement Bond Portfolio  |  21

Other information (unaudited)

LIQUIDITY RISK MANAGEMENT PROGRAM

In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), Wells Fargo Master Trust (the “Trust”) has adopted and implemented a liquidity risk management program (the “Program”) on behalf of each of its series, including each Portfolio, which is reasonably designed to assess and manage the Portfolio’s liquidity risk. “Liquidity risk” is defined as the risk that a Portfolio is unable to meet redemption requests without significantly diluting remaining investors’ interests in the Portfolio. The Trust’s Board of Trustees (the “Board”) previously approved the designation of Wells Fargo Funds Management, LLC (“Funds Management”), each Portfolio’s investment adviser, as the administrator of the Program, and Funds Management has established a Liquidity Risk Management Council composed of personnel from multiple departments within Funds Management and its affiliates to assist Funds Management in the implementation and on-going administration of the Program.

The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Portfolio’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Portfolio’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under the Liquidity Rule); (4) to the extent a Portfolio does not invest primarily in “highly liquid investments” (as defined under the Liquidity Rule), the determination of a minimum percentage of the Portfolio’s assets that generally will be invested in highly liquid investments (an “HLIM”); (5) if a Portfolio has established an HLIM, the periodic review (no less frequently than annually) of the HLIM and the adoption of policies and procedures for responding to a shortfall of the Portfolio’s “highly liquid investments” below its HLIM; and (6) periodic reporting to the Board.

At a meeting of the Board held on May 26 and 28, 2020, the Board received a written report (the “Report”) from Funds Management that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation. The Report covered the initial period from December 1, 2018 through December 31, 2019 (the “Reporting Period”). No significant liquidity events impacting any Portfolio were noted in the Report. There were no material changes to the Program during the Reporting Period. The Report concluded that the Program is operating effectively to assess and manage each Portfolio’s liquidity risk, and that the Program has been and continues to be adequately and effectively implemented to monitor and, as applicable, respond to the Portfolio’s liquidity developments.

22  |  Wells Fargo Strategic Retirement Bond Portfolio

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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 Portfolio’s website, or call:

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: wfam.com

Individual investors: 1-800-222-8222

Retail investment professionals: 1-888-877-9275

Institutional investment professionals: 1-866-765-0778

This report and the financial statements contained herein are submitted for the general information of the shareholders of the Portfolio. 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 Portfolio’s website at wfam.com. Read the prospectus carefully before you invest or send money.

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

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

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

© 2020 Wells Fargo & Company. All rights reserved.

Semi-Annual Report

August 31, 2020

Wells Fargo U.S. REIT Portfolio

Contents

Portfolio information	2
Portfolio of investments	3
Financial statements
Statement of assets and liabilities	6
Statement of operations	7
Statement of changes in net assets	8
Financial highlights	9
Notes to financial statements	10
Other information	13

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

Wells Fargo U.S. REIT Portfolio  |  1

Portfolio information (unaudited)

Investment objective

The Portfolio seeks to replicate the total return of the Wells Fargo US REIT Index before fees and expenses.

Adviser

Wells Fargo Funds Management, LLC

Subadviser

Wells Capital Management Incorporated

Portfolio manager

Petros N. Bocray, CFA^®‡

Ten largest holdings (%) as of August 31, 20201
Prologis Incorporated	11.20
Digital Realty Trust Incorporated	6.25
Public Storage Incorporated	4.82
Welltower Incorporated	3.67
AvalonBay Communities Incorporated	3.34
Alexandria Real Estate Equities Incorporated	3.32
Equity Residential	3.14
Simon Property Group Incorporated	3.09
Invitation Homes Incorporated	2.38
Ventas Incorporated	2.32

^‡  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  |  Wells Fargo U.S. REIT Portfolio

Portfolio of investments—August 31, 2020 (unaudited)

	Shares		Value
Common Stocks: 99.44%
Real Estate: 99.44%
Equity REITs: 99.44%
Acadia Realty Trust		3,062	$	34,723
Alexandria Real Estate Equities Incorporated		4,779		804,688
American Assets Trust Incorporated		1,777		45,402
American Campus Communities Incorporated		4,923		166,890
American Homes 4 Rent Class A		9,263		265,292
Americold Realty Trust		7,153		274,318
Apartment Investment & Management Company Class A		5,389		194,166
Apple Hospitality REIT Incorporated		7,832		79,651
AvalonBay Communities Incorporated		5,116		808,635
Boston Properties Incorporated		5,087		441,908
Brandywine Realty Trust		6,048		67,314
Brixmor Property Group Incorporated		10,589		124,950
Brookfield Property REIT Class A		1,885		21,734
Camden Property Trust		3,594		326,838
Colony Capital Incorporated		17,120		46,395
Columbia Property Trust Incorporated		4,035		47,613
Community Healthcare Trust Incorporated		758		35,399
CoreCivic Incorporated		4,322		40,238
Corporate Office Properties Trust		4,031		99,324
Cousins Properties Incorporated		5,339		159,369
CubeSmart		7,004		221,466
DiamondRock Hospitality		7,319		38,791
Digital Realty Trust Incorporated		9,741		1,516,187
Diversified Healthcare Trust		8,526		32,399
Douglas Emmett Incorporated		6,025		168,218
Duke Realty Corporation		13,466		519,114
Easterly Government Properties Incorporated		2,694		65,168
EastGroup Properties Incorporated		1,378		183,494
Empire State Realty Trust Incorporated Class A		6,404		40,345
Equity Commonwealth		4,283		134,443
Equity Lifestyle Properties Incorporated		6,154		407,949
Equity Residential		13,465		760,099
Essential Properties Realty		3,283		55,713
Essex Property Trust Incorporated		2,391		517,675
Extra Space Storage Incorporated		4,616		491,835
Federal Realty Investment Trust		2,728		216,167
First Industrial Realty Trust Incorporated		4,561		194,527
Gaming and Leisure Properties Incorporated		7,442		270,517
Healthcare Realty Trust Incorporated		4,943		142,606
Healthcare Trust of America Incorporated Class A		7,971		210,355
Healthpeak Properties Incorporated		19,562		540,694
Highwoods Properties Incorporated		3,717		138,495
Host Hotels & Resorts Incorporated		25,741		289,071
Hudson Pacific Properties Incorporated		5,430		127,496
Independence Realty Trust Incorporated		3,370		39,463
Industrial Logistics Properties Trust		2,307		49,762
Innovative Industrial Properties Incorporated		744		91,579
Investors Real Estate Trust		439		31,213
Invitation Homes Incorporated		20,137		576,522
Iron Mountain Incorporated		10,441		314,170
JBG Smith Properties		4,306		119,147
Kilroy Realty Corporation		4,096		239,698
Kimco Realty Corporation		15,185		182,068
Kite Realty Group Trust		2,994		33,653
Lamar Advertising Company Class A		3,158		218,628

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

Wells Fargo U.S. REIT Portfolio  |  3

Portfolio of investments—August 31, 2020 (unaudited)

				Shares		Value
Equity REITs (continued)
Life Storage Incorporated					1,687	$	177,860
LTC Properties Incorporated					1,414		51,597
Mack-Cali Realty Corporation					2,797		35,326
Mid-America Apartment Communities Incorporated					4,154		486,516
National Health Investors Incorporated					1,540		95,865
National Storage Affiliates Trust					1,935		66,390
NexPoint Residential Trust Incorporated					741		30,677
Office Properties Income Trust					1,689		40,266
Outfront Media Incorporated					5,241		88,730
Paramount Group Incorporated					6,881		50,919
Park Hotels & Resorts Incorporated					8,728		82,829
Pebblebrook Hotel Trust					4,830		60,955
Piedmont Office Realty Trust Incorporated Class A					4,466		68,374
Prologis Incorporated					26,665		2,716,097
PS Business Parks Incorporated					730		92,126
Public Storage Incorporated					5,504		1,169,050
Regency Centers Corporation					6,030		239,451
Retail Opportunity Investment Corporation					4,126		45,922
Rexford Industrial Realty Incorporated					4,473		214,615
RLJ Lodging Trust					6,141		57,971
RPT Realty					2,797		16,390
Ryman Hospitality Properties Incorporated					1,843		70,329
Seritage Growth Property Class A †					1,204		16,892
Service Properties Trust					6,051		49,679
Simon Property Group Incorporated					11,035		748,725
SITE Centers Corporation					5,430		40,779
SL Green Realty Corporation					2,648		123,820
STAG Industrial Incorporated					5,385		173,936
Summit Hotel Properties Incorporated					3,886		22,889
Sun Communities Incorporated					3,457		515,370
Sunstone Hotel Investors Incorporated					7,806		65,024
Tanger Factory Outlet Centers Incorporated					3,332		18,959
Taubman Centers Incorporated					2,164		82,881
Terreno Realty Corporation					2,375		141,645
The Geo Group Incorporated					4,327		48,289
The Macerich Company					5,083		40,308
UDR Incorporated					10,618		369,613
Uniti Group Incorporated					6,873		67,493
Urban Edge Properties					4,043		42,694
Ventas Incorporated					13,622		561,363
VICI Properties Incorporated					20,544		458,953
Vornado Realty Trust					6,257		224,188
Washington REIT					2,939		64,482
Weingarten Realty Investors					4,387		76,641
Welltower Incorporated					15,481		890,467
Xenia Hotels & Resorts Incorporated					4,228		37,967
Total Common Stocks (Cost $22,680,320)							24,104,886
	Yield
Short-Term Investments: 0.33%
Investment Companies: 0.33%
Wells Fargo Government Money Market Fund Select Class (l)(u)		0.06	%		80,646		80,646
Total Short-Term Investments (Cost $80,646)							80,646
Total investments in securities (Cost $22,760,966)		99.77	%				24,185,532
Other assets and liabilities, net		0.23					56,219
Total net assets		100.00	%			$	24,241,751

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

4  |  Wells Fargo U.S. REIT Portfolio

Portfolio of investments—August 31, 2020 (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.

Abbreviations:

REIT Real estate investment trust

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Value, beginning of period		Purchases		Sales proceed			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	$	239,974	$	10,159,793	$	(10,319,121	)	$	0	$	0	$	312	$	80,646		0.33	%

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

Wells Fargo U.S. REIT Portfolio  |  5

Statement of assets and liabilities—August 31, 2020 (unaudited)

Assets
Investments in unaffiliated securities, at value (cost $22,680,320)	$	24,104,886
Investments in affiliated securities, at value (cost $80,646)		80,646
Receivable for investments sold		59,443
Receivable for dividends		11,529
Receivable from adviser		4,854
Prepaid expenses and other assets		37,409
Total assets		24,298,767
Liabilities
Payable for investments purchased		15,526
Professional fees payable		39,614
Trustees’ fees and expenses payable		1,876
Total liabilities		57,016
Total net assets	$	24,241,751

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

6  |  Wells Fargo U.S. REIT Portfolio

Statement of operations—six months ended August 31, 2020 (unaudited)

Investment income
Dividends	$	465,864
Income from affiliated securities		312
Total investment income		466,176
Expenses
Advisory fee		11,984
Custody and accounting fees		13,802
Professional fees		16,411
Shareholder report expenses		3,598
Trustees’ fees and expenses		9,898
Other fees and expenses		2,891
Total expenses		58,584
Less: Fee waivers and/or expense reimbursements		(40,258	)
Net expenses		18,326
Net investment income		447,850
Realized and unrealized gains (losses) on investments
Net realized losses on investments		(1,760,430	)
Net change in unrealized gains (losses) on investments		(700,205	)
Net realized and unrealized gains (losses) on investments		(2,460,635	)
Net decrease in net assets resulting from operations	$	(2,012,785	)

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

Wells Fargo U.S. REIT Portfolio  |  7

Statement of changes in net assets

	Six months ended August 31, 2020 (unaudited)			Year ended February 29, 2020
Operations
Net investment income	$	447,850		$	908,484
Net realized gains (losses) on investments		(1,760,430	)		3,095,201
Net change in unrealized gains (losses) on investments		(700,205	)		(2,169,132	)
Net increase (decrease) in net assets resulting from operations		(2,012,785	)		1,834,553
Capital transactions
Transactions in investors’ beneficial interests
Contributions		7,598,211			5,390,330
Withdrawals		(6,954,296	)		(25,181,044	)
Net increase (decrease) in net assets resulting from capital transactions		643,915			(19,790,714	)
Total decrease in net assets		(1,368,870	)		(17,956,161	)
Net assets
Beginning of period		25,610,621			43,566,782
End of period	$	24,241,751		$	25,610,621

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

8  |  Wells Fargo U.S. REIT Portfolio

Financial highlights

	Six months ended August 31, 2020 (unaudited)			Year ended February 29 2020			Year ended February 28
							2019			20181
Total return2		(10.60	)%		2.65	%		19.52	%		(8.74	)%
Ratios to average net assets (annualized)
Gross expenses		0.49	%		0.43	%		0.26	%		0.33	%
Net expenses		0.15	%		0.19	%		0.23	%		0.32	%
Net investment income		3.74	%		2.73	%		2.91	%		2.53	%
Supplemental data
Portfolio turnover rate		43	%		26	%		20	%		51	%

¹  For the period from May 23, 2017 (commencement of operations) to February 28, 2018

²  Returns for periods of less than one year are not annualized.

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

Wells Fargo U.S. REIT Portfolio  |  9

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 U.S. REIT Portfolio (the “Portfolio”) which is a diversified series of the Trust.

Interests in the Portfolio are available solely through private placement transactions that do not involve any “public offering” within the meaning of Section 4(2) of the Investment Company Act of 1933.

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.

Federal and other taxes

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 income, 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 income 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 Auguat 31, 2020, the aggregate cost of all investments for federal income tax purposes was $20,195,050 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	2,781,263
Gross unrealized losses		1,209,219
Net unrealized gains	$	3,990,482

10  |  Wells Fargo U.S. REIT 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 August 31, 2020:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Common stocks
Real estate	$	24,104,886	$	0	$	0	$	24,104,886
Short-term investments
Investment companies		80,646		0		0		80,646
Total assets	$	24,185,532	$	0	$	0	$	24,185,532

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

For the six months ended August 31, 2020, 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 & 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 advisory fee at the following annual rate based on the Portfolio’s average daily net assets:

Average daily net assets	Advisory fee
First $5 billion		0.10	%
Next $5 billion		0.08
Over $10 billion		0.06

For the six months ended August 31, 2020, the advisory fee was equivalent to an annual rate of 0.10% 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 0.06% and declining to 0.04% as the average daily net assets of the Portfolio increase.

Wells Fargo U.S. REIT Portfolio  |  11

Notes to financial statements (unaudited)

Funds Management has voluntarily waived and/or reimbursed advisory fees to reduce 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 August 31, 2020 were $11,560,320 and $10,469,048, respectively.

6. BANK BORROWINGS

The Trust, along with Wells Fargo Variable Trust and Wells Fargo Funds Trust (excluding the money market funds), are parties to a $350,000,000 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 August 31, 2020, there were no borrowings by the Portfolio under the agreement.

7. CONCENTRATION RISK

Concentration risks result from exposure to a limited number of sectors. As of the end of the period, the Portfolio invested a concentration of its portfolio in the real estate sector. 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 Portfolio’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 Portfolio. The Portfolio has entered into a separate agreement with each Trustee that converts indemnification rights currently existing under the Portfolio’s organizational documents into contractual rights that cannot be changed in the future without the consent of the Trustee. Additionally, in the normal course of business, the Portfolio may enter into contracts with service providers that contain a variety of indemnification clauses. The Portfolio’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 on fair value measurements in Topic 820, Fair Value Measurements. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has adopted this guidance which did not have a material impact on the financial statements.

10. CORONAVIRUS (COVID-19) PANDEMIC

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

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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 wfam.com, or visiting the SEC website at sec.gov. Information regarding how the proxies related to portfolio securities were voted during the most recent 12-month period ended June 30 is available on the website at wfam.com or by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS INFORMATION

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

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

Independent Trustees

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

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

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

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Other information (unaudited)

Officers

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

¹  Jeremy DePalma acts as Treasurer of 77 funds and Assistant Treasurer of 65 funds in the Fund Complex.

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

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Other information (unaudited)

BOARD CONSIDERATION OF INVESTMENT MANAGEMENT, ADVISORY AND SUB-ADVISORY AGREEMENTS:

Wells Fargo Emerging Markets Bond Fund, Wells Fargo High Yield Corporate Bond Fund, Wells Fargo International Government Bond Fund, Wells Fargo U.S. Core Bond Fund, Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, Wells Fargo Emerging Markets Bond Portfolio, Wells Fargo Factor Enhanced International Equity Portfolio, Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, Wells Fargo International Government Bond Portfolio, Wells Fargo Investment Grade Corporate Bond Portfolio, Wells Fargo High Yield Corporate Bond Portfolio, Wells Fargo Strategic Retirement Bond Portfolio, and Wells Fargo U.S. REIT Portfolio

Under the Investment Company Act of 1940 (the “1940 Act”), the Board of Trustees (each, a “Board” and collectively, the “Boards”) of each of Wells Fargo Funds Trust (“Funds Trust”) and Wells Fargo Master Trust (“Master Trust”) (collectively, the “Trusts”) must determine annually whether to approve the continuation of the Trusts’ investment management, advisory and sub-advisory agreements, as applicable. In this regard, at a meeting held on May 26, 2020 and May 28, 2020 (together, the “Meeting”), the Board of Funds Trust, all the members of which have no direct or indirect interest in the investment management agreement and are not “interested persons” of the Trusts, as defined in the 1940 Act (the “Independent Trustees”), reviewed and approved for each of the funds of Funds Trust identified in the table below (individually, an “Index Fund” and collectively, the “Index Funds”) an investment management agreement (the “Management Agreement”) with Wells Fargo Funds Management, LLC (“Funds Management”).

Index Funds

Wells Fargo Emerging Markets Bond Fund

Wells Fargo High Yield Corporate Bond Fund

Wells Fargo International Government Bond Fund

Wells Fargo U.S. Core Bond Fund

In addition, the Funds Trust Board reviewed and approved an investment sub-advisory agreement with Wells Capital Management Incorporated (“WellsCap”) for the U.S. Core Bond Fund (the “Core Bond Fund Sub-Advisory Agreement”).

At the Meeting, the Board of Master Trust, all the members of which have no direct or indirect interest in the investment advisory and sub-advisory agreements and are Independent Trustees, reviewed and approved for each of the portfolios of Master Trust identified in the table below (individually, a “Master Portfolio” and collectively, the “Master Portfolios”): (i) an investment advisory agreement (the “Master Portfolio Advisory Agreement”) with Funds Management; and (ii) an investment sub-advisory agreement (each, a “Master Portfolio Sub-Advisory Agreement”, and collectively, the “Master Portfolio Sub-Advisory Agreements”) with the sub-adviser(s) identified in the chart below (each, a “Sub-Adviser”, and collectively, the “Sub-Advisers”) for the corresponding Master Portfolio identified.

Master Portfolios	Sub-Advisers
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio	WellsCap
Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio	WellsCap
Wells Fargo Emerging Markets Bond Portfolio	Wells Fargo Asset Management (International), Limited (“WFAM International”))
Wells Fargo Factor Enhanced International Equity Portfolio	WellsCap
Wells Fargo Factor Enhanced U.S. Large Cap Portfolio	WellsCap
Wells Fargo Factor Enhanced U.S. Small Cap Portfolio	WellsCap
Wells Fargo International Government Bond Portfolio	WFAM International
Wells Fargo Investment Grade Corporate Bond Portfolio	WellsCap
Wells Fargo High Yield Corporate Bond Portfolio	WellsCap
Wells Fargo Strategic Retirement Bond Portfolio	WellsCap
Wells Fargo U.S. REIT Portfolio	WellsCap

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Other information (unaudited)

The Index Funds and the Master Portfolios are collectively referred to as the “Funds.” The Management Agreement, the Core Bond Fund Sub-Advisory Agreement, the Master Portfolio Advisory Agreement and the Master Portfolio Sub-Advisory Agreements are collectively referred to as the “Advisory Agreements.”

The Boards noted that each of the Index Funds is a feeder fund that invests all of its assets in its corresponding Master Portfolio, with the exception of the U.S. Core Bond Fund, which invests in multiple Master Portfolios. Information provided to the Boards regarding the Index Funds is also applicable to the Master Portfolios identified above, as relevant.

At the Meeting, the Boards considered the factors and reached the conclusions described below relating to the selection of Funds Management and the Sub-Advisers and the approval of the Advisory Agreements. Prior to the Meeting, including at a Board meeting held in April 2020, the Trustees conferred extensively among themselves and with representatives of Funds Management about these matters. Also, the Boards have adopted a team-based approach, with each team consisting of a sub-set of Trustees, to assist the full Boards in the discharge of their duties in reviewing investment performance and other matters throughout the year. The Independent Trustees were assisted in their evaluation of the Advisory Agreements by independent legal counsel, from whom they received separate legal advice and with whom they met separately.

In providing information to the Boards, Funds Management and the Sub-Advisers were guided by a detailed set of requests for information submitted to them by independent legal counsel on behalf of the Independent Trustees at the start of the Boards’ annual contract renewal process earlier in 2020. In considering and approving the Advisory Agreements, the Trustees considered the information they believed relevant, including but not limited to the information discussed below. The Boards considered not only the specific information presented in connection with the Meeting, but also the knowledge gained over time through interaction with Funds Management and the Sub-Advisers about various topics. In this regard, the Boards reviewed reports of Funds Management at each of their quarterly meetings, which included, among other things, portfolio reviews and investment performance reports. In addition, the Boards and the teams mentioned above confer with portfolio managers at various times throughout the year. The Boards did not identify any particular information or consideration that was all-important or controlling, and each individual Trustee may have attributed different weights to various factors.

After its deliberations, the Board of Funds Trust unanimously approved the continuation of the Management Agreement and the Core Bond Fund Sub-Advisory Agreement for a one-year period. Additionally, after its deliberations, the Board of Master Trust unanimously approved the continuation of the Master Portfolio Advisory Agreement and each Master Portfolio Sub-Advisory Agreement for a one-year term. The Boards also determined that the compensation or the absence of compensation payable to Funds Management and to each of the Sub-Advisers under each of the Advisory Agreements was reasonable. The Boards considered the approval of the Advisory Agreements for the Funds as part of their consideration of agreements for funds across the complex, but their approvals were made on a fund-by-fund basis. The following summarizes a number of important, but not necessarily all, factors considered by the Boards in support of their approvals.

Nature, extent and quality of services

The Boards received and considered various information regarding the nature, extent and quality of services provided to the Funds by Funds Management and the Sub-Advisers under the Advisory Agreements. This information included a description of the investment advisory services and Fund-level administrative services covered by the Advisory Agreements, as well as, among other things, a summary of the background and experience of senior management of Wells Fargo Asset Management (“WFAM”), of which Funds Management and the Sub-Advisers are a part, and a summary of investments made in the business of WFAM. The Boards also received a description of Funds Management’s and the Sub-Advisers’ business continuity plans and of their approaches to data privacy and cybersecurity, and related testing. The Boards also received and reviewed information about Funds Management’s role as administrator of the Funds’ liquidity risk management program, Funds Management’s approach to risk management, and Funds Management’s intermediary and vendor oversight program.

The Boards also considered the qualifications, background, tenure and responsibilities of each of the portfolio managers primarily responsible for the day-to-day portfolio management of the Funds. The Board of Master Trust noted that each of the Master Portfolios replicates the performance of a proprietary index provided by an affiliate of Funds Management, except that the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Emerging Markets Bond Portfolio, and the Wells Fargo Strategic Retirement Bond Portfolio track the performance of third-party indexes. The Boards evaluated the ability of Funds Management and the Sub-Advisers to attract and retain qualified investment professionals, including research, advisory and supervisory personnel. The Boards further considered the compliance programs and compliance records of Funds Management and the Sub-Advisers. In addition, the Boards took into account the full range of services provided to the Funds by Funds Management and its affiliates.

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Other information (unaudited)

Fund investment performance and expenses

The Boards considered the investment performance results for each of the Master Portfolios for the one-year period ended December 31, 2019. The Boards also considered more current results for the one-year period ended March 31, 2020. The Boards considered these results in comparison to the investment performance of funds in a universe that was determined by Broadridge Inc. (“Broadridge”) to be similar to the respective Master Portfolios (each, a “Universe”), and in comparison to each Master Portfolio’s benchmark index and to other comparative data. Broadridge is an independent provider of investment company data. The Boards received a description of the methodology used by Broadridge to select the mutual funds in each performance Universe.

The Boards noted the short performance history of the Master Portfolios. For the one-year period ended December 31, 2019, the Boards noted that the investment performance of each Master Portfolio relative to its respective Universe was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio and the Wells Fargo Investment Grade Corporate Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective Universe; and (ii) the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo International Government Bond Portfolio, the Wells Fargo Strategic Retirement Bond Portfolio and the Wells Fargo U.S. REIT Portfolio was lower than the average investment performance of such Master Portfolio’s respective Universe. For the one-year period ended March 31, 2020, the Boards noted that the investment performance of each Master Portfolio relative to its respective Universe was as follows: (i) the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo International Government Bond Portfolio, and the Wells Fargo Investment Grade Corporate Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective Universe, and (ii) the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio, the Wells Fargo Strategic Retirement Bond Portfolio and the Wells Fargo U.S. REIT Portfolio was lower than the average investment performance of such Master Portfolio’s respective Universe.

The Boards also noted that the investment performance of each Master Portfolio to its respective benchmark index for the one-year period ended December 31, 2019, was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio, the Wells Fargo U.S. REIT Portfolio and the Wells Fargo Strategic Retirement Bond Portfolio was higher than or in range of the average investment performance of such Master Portfolio’s respective benchmark, and (ii) the investment performance of each of the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo International Government Bond Portfolio and the Wells Fargo Investment Grade Corporate Bond Portfolio was lower than the average investment performance of such Master Portfolio’s respective benchmark. For the one-year period ended March 31, 2020, the Boards also noted that the investment performance of each Master Portfolio to its respective benchmark index, was as follows: (i) the investment performance of each of the Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Credit Portfolio, the Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio, the Wells Fargo Factor Enhanced International Equity Portfolio, the Wells Fargo Factor Enhanced U.S. Large Cap Portfolio, the Wells Fargo Factor Enhanced U.S. Small Cap Portfolio, the Wells Fargo U.S. REIT Portfolio, the Wells Fargo Investment Grade Corporate Bond Portfolio and the Wells Fargo Strategic Retirement Bond Portfolio was higher than, equal to or in range of the average investment performance of such Master Portfolio’s respective benchmark, and (ii) the investment performance of each of the Wells Fargo Emerging Markets Bond Portfolio, the Wells Fargo High Yield Corporate Bond Portfolio and the Wells Fargo International Government Bond Portfolio was lower than the average investment performance of such Master Portfolio’s respective benchmark.

The Boards received information concerning, and discussed factors contributing to, the underperformance of certain Master Portfolios, relative to the Universe and benchmark index, for the periods identified above. The Board took note of the explanations for the relative underperformance during these periods, including with respect to investment decisions and market factors that affected the Fund’s investment performance.

The Board of Funds Trust took note of the investment performance of the Master Portfolios in the context of reviewing the investment performance of the Index Funds. The Board of Funds Trust also received and considered information regarding the “zero fee and expense” structure of each Index Fund. Specifically, the Funds Trust Board noted that each Index Fund’s gross operating expense ratio and each of its various components, including management fees, administration fees, custody fees, Rule 12b-1 fees, and other fees, are zero. The Funds Trust Board also noted that Funds Management assumes and pays or

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Other information (unaudited)

reimburses all of the ordinary operating expenses of each Index Fund, including acquired fund fees and expenses, pursuant to an agreement with each of the Index Funds (the “Fee and Expense Agreement”). The Funds Trust Board further noted that Funds Management receives a fee from Wells Fargo Wealth and Investment Management (“WIM”) pursuant to an intercompany agreement equal to the Master Portfolio fees and expenses absorbed by Funds Management through its Fee and Expense Agreement with each of the Index Funds.

With respect to the Master Portfolios, the Board of Master Trust received and considered information regarding the fee rates that are payable to Funds Management for investment advisory services (as discussed below), which are the only fees charged at the Master Portfolio level, relative to corresponding class-specific expense groups that were determined by Broadridge to be similar to the Funds (the “Groups”). The Boards received a description of the methodology used by Broadridge to select the mutual funds in the expense Groups and an explanation of how funds comprising expense groups and their expense ratios may vary from year-to-year.

The Boards took into account the Funds’ expense information and the Master Portfolios’ performance information provided to them among the factors considered in deciding to re-approve the Advisory Agreements.

Investment management, advisory and sub-advisory fee rates

The Board of Funds Trust reviewed and considered that the contractual investment management fee rate payable by each Index Fund to Funds Management for investment management services zero, and also reviewed and considered that each Fund’s other expenses would normally be zero, because of Funds Management’s commitment to assume and pay or reimburse all of the ordinary operating expenses of each Fund, including acquired fund fees and expenses, under the Fee and Expense Agreement. The Board of Funds Trust also reviewed and considered that the contractual investment sub-advisory fee rate payable by Funds Management to WellsCap for investment sub-advisory services for the U.S. Core Bond Fund is also zero.

The Board of Master Trust reviewed and considered the contractual fee rates payable by the Master Portfolios to Funds Management under the Master Portfolio Advisory Agreement (the “Advisory Agreement Rates”). The Board of Master Trust also reviewed and considered the contractual investment sub-advisory fee rates that are payable by Funds Management to the Sub-Advisers for investment sub-advisory services (the “Sub-Advisory Agreement Rates”).

The Board of Master Trust reviewed a comparison of the Advisory Agreement Rates of each Master Portfolio with those of other funds in each Master Portfolio’s respective expense Groups at a common asset level. The Board of Master Trust noted that the Advisory Agreement Rates of each Master Portfolio were lower than or equal to the median rate for such Master Portfolio’s expense Groups.

The Boards also received and considered information about the portions of the total management fees that were retained by Funds Management after payment of the fees to the Sub-Advisers for sub-advisory services. In assessing the reasonableness of these amounts, the Boards received and evaluated information about the nature and extent of responsibilities retained and risks assumed by Funds Management and not delegated to or assumed by the Sub-Advisers, and about Funds Management’s on-going oversight services. Given the affiliation between Funds Management and the Sub-Advisers, the Boards ascribed limited relevance to the allocation of fees between them.

The Boards also received and considered information about the nature and extent of services offered and fee rates charged by Funds Management and the Sub-Advisers to other types of clients with investment strategies similar to those of certain Funds. In this regard, the Boards received information about the significantly greater scope of services, and compliance, reporting and other legal burdens and risks of managing proprietary mutual funds compared with those associated with managing assets of other types of clients, including third-party sub-advised fund clients and non-mutual fund clients such as institutional separate accounts.

Based on its consideration of the factors and information it deemed relevant, including those described here, the Board of Fund Trust determined that the compensation received by Funds Management from WIM pursuant to the intercompany agreement, and the absence of compensation payable by the Funds to Funds Management pursuant to the Management Agreement or to WellsCap pursuant to the Core Bond Fund Sub-Advisory Agreement, was reasonable. Based on its consideration of the factors and information it deemed relevant, including those described here, the Board of Master Trust determined that the Advisory Agreement Rates and the Sub-Advisory Agreement Rates for each Master Portfolio were reasonable.

Profitability

The Boards received and considered information concerning the profitability of Funds Management, as well as the profitability of both WFAM and Wells Fargo & Co. (“Wells Fargo”) from providing services to the fund family as a whole. The Boards noted that the Sub-Advisers’ profitability information with respect to providing services to the Funds and other funds in the family was subsumed in the WFAM and Wells Fargo profitability analysis.

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Other information (unaudited)

Funds Management reported on the methodologies and estimates used in calculating profitability, including a description of the methodology used to allocate certain expenses. Among other things, the Boards noted that the levels of profitability reported on a fund-by-fund basis varied widely, depending on factors such as the size, type and age of fund.

Based on its review, the Boards did not deem the profits reported by Funds Management, WFAM or Wells Fargo from services provided to the Funds to be at a level that would prevent them from approving the continuation of the Advisory Agreements.

Economies of Scale

The Boards received and considered information about the potential for Funds Management to experience economies of scale in the provision of management services to the Funds, the difficulties of calculating economies of scale at an individual fund level, and the extent to which potential scale benefits are shared with shareholders. The Boards noted the existence of breakpoints in the each Master Portfolio’s advisory fee structure and each Index Fund’s management fee structure, which operate generally to reduce the Funds’ expense ratios as the Funds grow in size, and the size of the Funds in relation to such breakpoints. The Boards considered that in addition to management fee breakpoints, Funds Management shares potential economies of scale from its management business in a variety of ways, including through fee waiver and expense reimbursement arrangements, services that benefit shareholders, competitive management fee rates set at the outset without regard to breakpoints, and investments in the business intended to enhance services available to shareholders.

The Boards concluded that Funds Management’s arrangements with respect to the Funds, including contractual breakpoints, constituted a reasonable approach to sharing potential economies of scale with the Funds and their shareholders.

Other benefits to Funds Management and the Sub-Advisers

The Boards received and considered information regarding potential “fall-out” or ancillary benefits received by Funds Management and its affiliates, including WellsCap and WFAM International, as a result of their relationships with the Funds. Ancillary benefits could include, among others, benefits directly attributable to other relationships with the Funds and benefits potentially derived from an increase in Funds Management’s and the Sub-Advisers’ business as a result of their relationships with the Funds. The Boards noted that various affiliates of Funds Management may receive distribution-related fees, shareholder servicing payments and sub-transfer agency fees in respect of shares sold or held through them and services provided.

The Boards also reviewed information about soft dollar credits earned and utilized by the Sub-Advisers, fees earned by Funds Management and WellsCap from managing a private investment vehicle for the fund family’s securities lending collateral, and commissions earned by an affiliated broker from portfolio transactions.

Based on their consideration of the factors and information they deemed relevant, including those described here, the Boards did not find that any ancillary benefits received by Funds Management and its affiliates, including WellsCap and WFAM International, were unreasonable.

Conclusion

At the Meeting, after considering the above-described factors and based on its deliberations and its evaluation of the information described above, the Funds Trust Board unanimously approved the continuation of the Management Agreement and the Core Bond Fund Sub-Advisory Agreement for a one-year period. Additionally, after its deliberations, the Master Trust Board unanimously approved the continuation of the Master Portfolio Advisory Agreement and each Master Portfolio Sub-Advisory Agreement for a one-year term. The Boards also determined that the compensation or the absence of compensation payable to Funds Management and to each of the Sub-Advisers was reasonable.

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Other information (unaudited)

LIQUIDITY RISK MANAGEMENT PROGRAM

In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), Wells Fargo Master Trust (the “Trust”) has adopted and implemented a liquidity risk management program (the “Program”) on behalf of each of its series, including each Portfolio, which is reasonably designed to assess and manage the Portfolio’s liquidity risk. “Liquidity risk” is defined as the risk that a Portfolio is unable to meet redemption requests without significantly diluting remaining investors’ interests in the Portfolio. The Trust’s Board of Trustees (the “Board”) previously approved the designation of Wells Fargo Funds Management, LLC (“Funds Management”), each Portfolio’s investment adviser, as the administrator of the Program, and Funds Management has established a Liquidity Risk Management Council composed of personnel from multiple departments within Funds Management and its affiliates to assist Funds Management in the implementation and on-going administration of the Program.

The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Portfolio’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Portfolio’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under the Liquidity Rule); (4) to the extent a Portfolio does not invest primarily in “highly liquid investments” (as defined under the Liquidity Rule), the determination of a minimum percentage of the Portfolio’s assets that generally will be invested in highly liquid investments (an “HLIM”); (5) if a Portfolio has established an HLIM, the periodic review (no less frequently than annually) of the HLIM and the adoption of policies and procedures for responding to a shortfall of the Portfolio’s “highly liquid investments” below its HLIM; and (6) periodic reporting to the Board.

At a meeting of the Board held on May 26 and 28, 2020, the Board received a written report (the “Report”) from Funds Management that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation. The Report covered the initial period from December 1, 2018 through December 31, 2019 (the “Reporting Period”). No significant liquidity events impacting any Portfolio were noted in the Report. There were no material changes to the Program during the Reporting Period. The Report concluded that the Program is operating effectively to assess and manage each Portfolio’s liquidity risk, and that the Program has been and continues to be adequately and effectively implemented to monitor and, as applicable, respond to the Portfolio’s liquidity developments.

22  |  Wells Fargo U.S. REIT Portfolio

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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 Portfolio’s website, or call:

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: wfam.com

Individual investors: 1-800-222-8222

Retail investment professionals: 1-888-877-9275

Institutional investment professionals: 1-866-765-0778

This report and the financial statements contained herein are submitted for the general information of the shareholders of the Portfolio. 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 Portfolio’s website at wfam.com. Read the prospectus carefully before you invest or send money.

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

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

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

© 2020 Wells Fargo & Company. All rights reserved.

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 MANAGEMEENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees that have been implemented since the registrant’s last provided disclosure in response to the requirements of this Item.

ITEM 11. CONTROLS AND PROCEDURES

(a) The President and Treasurer have concluded that the Wells Fargo Master Trust disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) provide reasonable

assurances that material information relating to the registrant is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing of this report.

(b) There were no significant changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the most recent fiscal half-year of the period covered by this report that materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 12. DISCLOSURES OF SECURITIES LENDING ACTIVITES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES

Not applicable.

ITEM 13. EXHIBITS

(a)(1)	Not applicable.
(a)(2)	Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
(b)	Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Wells Fargo Master Trust
By:
	/s/ Andrew Owen
	Andrew Owen
	President
Date:	October 28, 2020

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the date indicated.

Wells Fargo Master Trust
By:
	/s/ Andrew Owen
	Andrew Owen
	President
	Date: October 28, 2020
By:
	/s/ Jeremy DePalma
	Jeremy DePalma
	Treasurer
Date:	October 28, 2020