Allspring Special Mid Cap Value Fund (WFMDX) N-CSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORMN-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number:811-09253

Wells Fargo Funds Trust

(Exact name of registrant as specified in charter)

525 Market St., San Francisco, CA 94105

(Address of principal executive offices) (Zip code)

Alexander Kymn

Wells Fargo Funds Management, LLC

525 Market St., San Francisco, CA 94105

(Name and address of agent for service)

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

Date of fiscal year end: May 31

Registrant is making a filing for 16 of its series:

Wells Fargo Growth Balanced Fund, Wells Fargo Moderate Balanced Fund, Wells Fargo C&B Large Cap Value Fund, Wells Fargo Diversified Equity Fund, Wells Fargo Emerging Growth Fund, Wells Fargo Index Fund, Wells Fargo International Value Fund, Wells Fargo Small Company Growth Fund, Wells Fargo Small Company Value Fund, Wells Fargo Core Bond Fund, Wells Fargo Real Return Fund, Wells Fargo WealthBuilder Conservative Allocation Fund, Wells Fargo WealthBuilder Growth Allocation Fund, Wells Fargo WealthBuilder Growth Balanced Fund, Wells Fargo WealthBuilder Moderate Balanced Fund, Wells Fargo WealthBuilder Equity Fund.

Date of reporting period: May 31, 2019

ITEM 1. REPORT TO STOCKHOLDERS

Annual Report

May 31, 2019

Wells Fargo Growth Balanced Fund

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

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

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

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Sign up for electronic delivery of prospectuses and shareholder reports atwellsfargo.com/advantagedelivery

Contents

Letter to shareholders	2
Performance highlights	6
Fund expenses	10
Portfolio of investments	11
Financial statements
Statement of assets and liabilities	13
Statement of operations	14
Statement of changes in net assets	15
Financial highlights	16
Notes to financial statements	19
Report of independent registered public accounting firm	26
Other information	27

The views expressed and any forward-looking statements are as of May 31, 2019, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Asset Management. Discussions of individual securities, or the markets generally, or any Wells Fargo Fund are not intended as individual recommendations. Future events or results may vary significantly from those expressed in any forward-looking statements. The views expressed are subject to change at any time in response to changing circumstances in the market. Wells Fargo Asset Management and the Fund disclaim any obligation to publicly update or revise any views expressed or forward-looking statements.

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

2 Wells Fargo Growth Balanced Fund Letter to shareholders (unaudited)

Andrew Owen

President

Wells Fargo Funds

Dear Shareholder:

We are pleased to offer you this annual report for the Wells Fargo Growth Balanced Fund for the 12-month period that ended May 31, 2019. Highershort-term interest rates, inflation concerns, trade tensions, and geopolitical events drove investment market volatility for much of 2018, particularly for international stocks. Early 2019 saw stocks and bonds gain with renewed business and investor confidence, but volatility returned late in the period as global growth slowed and geopolitical concerns persisted.

For the period, U.S. stocks, based on the S&P 500 Index,¹ gained 3.78% and international stocks, as measured by the MSCI ACWI ex USA Index (Net),² fell 6.26%. Based on the MSCI EM Index (Net),³ emerging market stocks fell 8.70%. Bond investors saw the Bloomberg Barclays U.S. Aggregate Bond Index⁴ add 6.40% while the Bloomberg Barclays Global Aggregate ex-USD Index⁵ rose 0.39%. The Bloomberg Barclays Municipal Bond Index⁶ added 6.40%, and the ICE BofAML U.S. High Yield Index⁷ was up 5.37%.

Results for investment indices reflected global concerns.

Global trade tensions escalated during the second quarter of 2018. A tit-for-tat tariff spat intensified between the U.S. and other governments. The U.S. Federal Reserve (Fed) raised the federal funds rate by 25 basis points (bps; 100 bps equal 1.00%) to a target range of between 1.75% and 2.00% in June. Market index results reflected the global concerns. The MSCI ACWI ex USA Index (Net) lost 2.61%, while the Bloomberg Barclays Global Aggregate ex-USD Index dropped 4.76%.

Not all news was bad. The U.S. Bureau of Economic Analysis reported second-quarter annualized gross domestic product (GDP) growth of 4.2%. Hiring improved. Unemployment declined. Consumer confidence and spending increased. The S&P 500 Index recorded a 3.43% second-quarter gain. Stocks of companies with smaller capitalizations did even better, as measured by the Russell 2000^® Index,⁸ adding 7.75%.

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

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

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

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

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

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

⁷  The ICE BofAML U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2019. ICE Data Indices, LLC. All rights reserved.

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

Letter to shareholders (unaudited) Wells Fargo Growth Balanced Fund 3

Investors appeared to shake off lingering concerns during the third quarter.

Favorable third-quarter economic indicators and corporate earnings reports encouraged domestic stock investors. U.S. trade negotiations with Mexico and Canada progressed. The Conference Board Consumer Confidence Index^®9 reached its highest level in 18 years during September 2018. The Fed raised the federal funds rate by 25 bps to a target range of between 2.00% and 2.25% in September. For the quarter that ended September 30, 2018, the S&P 500 Index added 7.71%.

Investors in international markets were not as confident. Tensions between the U.S. and China increased. The U.S. imposed $200 billion in tariffs on Chinese goods. China reacted with $60 billion in tariffs on U.S. goods. Economic growth in China caused concern. The Bank of England (BoE) raised its monetary policy rate to 0.75% in August 2018. During the quarter, the MSCI ACWI ex USA Index (Net) gained 0.71%. The MSCI EM Index (Net) declined 1.09%. In fixed-income markets, U.S. bonds were flat, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index. The Bloomberg Barclays Global Aggregate ex-USD Index fell 1.74%.

Conflicting data unsettled markets during the fourth quarter.

November’s U.S. midterm elections shifted control of the House of Representatives from Republicans to Democrats, presaging potential partisan clashes. Third-quarter U.S. GDP was announced at an annualized 3.4% rate, lower than the second-quarter rate. Brexit efforts stalled ahead of the March 2019 deadline. The People’s Bank of China cut reserve requirement ratios, accelerated infrastructure spending, and cut taxes even as the value of the yuan declined to low levels last seen in 2008.

December’s S&P 500 Index performance was the worst since 1931. Globally,fixed-income investments fared better than stocks during the last two months of the year. The Fed increased the federal funds rate by 25 bps in December 2018 to a target range of between 2.25% and 2.50%.

The market climbs a wall of worry.

Investors entered 2019 with reasons to be concerned. A partial U.S. government shutdown driven by partisan policy disputes extended into January. Investment returns appeared to reaffirm the adage that markets climb a wall of worry. The S&P 500 Index gained 8.01% for the month of January, the best monthly performance in 30 years. Returns for the MSCI ACWI ex USA Index (Net), the Bloomberg Barclays U.S. Aggregate Bond Index, and the Bloomberg Barclays Global Aggregate ex-USD Index also were positive. The Fed indicated that it would pause its program of regular rate increases during 2019 as inflation remained low.

In February 2019, concerns over slowing global growth reemerged. The Bureau of Economic Analysis announced fourth-quarter 2018 GDP grew at an annualized 2.2% rate, down from levels of the prior two quarters. In a February report, the BoE forecast the slowest growth since the financial crisis for 2019. China and the U.S. continued to wrangle over trade issues.

By the end of March 2019, the combination of dovish Fed sentiment and consistent, if not spectacular, economic and business metrics reinforced investors’ confidence. Monthly job creation data regained momentum. Corporate profits, while lower than 2018’s lofty levels, remained solid. China announced a roughly $300 billion stimulus package through tax and fee cuts intended to reinvigorate economic growth.

December’s S&P 500 Index performance was the worst since 1931.

The S&P 500 Index gained 8.01% for the month of January, the best monthly performance in 30 years.

⁹  The Conference Board Consumer Confidence Index^® measures the degree of optimism on the state of the U.S. economy that consumers are expressing through their activities of saving and spending. You cannot invest directly in an index.

4 Wells Fargo Growth Balanced Fund Letter to shareholders (unaudited)

During April 2019, several broad-based U.S. equity indices reached or approached highs as investors drew confidence from favorable economic projections, sustained low inflation, and solid employment data. First-quarter GDP showed the economy grew at an annualized rate of 3.2% on improvement in business investment and exports. Favorable sentiment extended to foreign markets as the MSCI ACWI ex USA Index (Net) gained 2.64% and the MSCI EM Index (Net) added 2.11% for the month.

May 2019 presented investors with mixed signals in the economy, in the markets, and politically. In the U.S., partisan wrangling ramped up as Democrats and Republicans set their sights on 2020 presidential politics. In the U.K., the Brexit stalemate resulted in the resignation of Prime Minister Theresa May. The European Commission downgraded the 2019 growth forecast for the block of countries to 1.2%. The U.S. increased tariffs on products from China, China responded, and then talks broke down. Ending the month, equities, as measured by the MSCI ACWI (Net),¹⁰ dropped 5.93% while bonds, often considered a less risky investment, gained 1.04%, as measured by the Bloomberg Barclays Global Aggregate ex-USD Index.

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

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

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

Sincerely,

Andrew Owen

President

Wells Fargo Funds

For further information about your Fund, contact your investment professional, visit our website atwfam.com, or call us directly at1-800-222-8222.

¹⁰  The MSCI ACWI (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. You cannot invest directly in an index.

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6 Wells Fargo Growth Balanced Fund Performance highlights (unaudited)

Investment objective

The Fund seeks total return, consisting of capital appreciation and current income.

Manager

Wells Fargo Funds Management, LLC

Subadviser

Wells Capital Management Incorporated

Portfolio managers

Kandarp R. Acharya, CFA^®‡, FRM

Petros N. Bocray, CFA^®‡, FRM

Christian L. Chan, CFA^®‡

Average annual total returns (%) as of May 31, 2019

		Including sales charge						Excluding sales charge						Expense ratios1 (%)
	Inception date	1 year		5 year		10 year		1 year		5 year		10 year		Gross		Net2
Class A (WFGBX)	10-14-1998		-5.24		3.97		9.05		0.53		5.21		9.70		1.35		1.13
Class C (WFGWX)	10-1-1998		-1.23		4.43		8.88		-0.23		4.43		8.88		2.10		1.88
Administrator Class (NVGBX)	11-11-1994		–		–		–		0.70		5.46		9.96		1.27		0.95
Growth Balanced Blended Index3	–		–		–		–		2.43		6.08		9.66		–		–
Bloomberg Barclays U.S. Aggregate Bond Index4	–		–		–		–		6.40		2.70		3.83		–		–
MSCI ACWI ex USA Index (Net)5	–		–		–		–		-6.26		1.31		5.80		–		–
Russell 3000® Index6	–		–		–		–		2.50		9.25		13.93		–		–

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

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

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

Balanced funds may invest in stocks and bonds. Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. The use of derivatives may reduce returns and/or increase volatility. Certain investment strategies tend to increase the total risk of an investment (relative to the broader market). Bond values fluctuate in response to the financial condition of individual issuers, general market and economic conditions, and changes in interest rates. Changes in market conditions and government policies may lead to periods of heightened volatility in the bond market and reduced liquidity for certain bonds held by the Fund. In general, when interest rates rise, bond values fall and investors may lose principal value. Interest rate changes and their impact on the Fund and its share price can be sudden and unpredictable. The Fund is exposed to foreign investment risk, mortgage- and asset-backed securities risk, and smaller-company securities risk. Consult the Fund’s prospectus for additional information on these and other risks.

Please see footnotes on page 7.

Performance highlights (unaudited) Wells Fargo Growth Balanced Fund 7

Growth of $10,000 investment as of May 31, 2019⁷

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

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.51% in acquired fund fees and expenses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which do not include acquired fund fees and expenses.

²  The manager has contractually committed through September 30, 2019, to waive fees and/or reimburse expenses to the extent necessary to cap the expenses of each class after fee waivers at the amounts shown. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios and funds invest and from any money market funds, and extraordinary expenses are excluded from the expense cap. All other acquired fund fees and expenses from the affiliated master portfolios and funds are included in the expense caps. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Without this cap, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  Source: Wells Fargo Funds Management, LLC. The Growth Balanced Blended Index is composed 45% of the Russell 3000^® Index, 35% of the Bloomberg Barclays U.S. Aggregate Bond Index, and 20% of the MSCI ACWI ex USA Index (Net). Prior to November 30, 2017, the Growth Balanced Blended Index was composed 35% of the Bloomberg Barclays U.S. Aggregate Bond Index, 16.25% of the Russell 1000^® Growth Index, 16.25% of the Russell 1000^® Value Index, 16.25% of the S&P 500 Index, 9.75% of the MSCI EAFE Index (Net), and 6.50% of the Russell 2000^® Index. You cannot invest directly in an index.

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

⁵  The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the U.S. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index.

⁶  The Russell 3000^® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. You cannot invest directly in an index.

⁷  The chart compares the performance of Class A shares for the most recent ten years with the Growth Balanced Blended Index, the Bloomberg Barclays U.S. Aggregate Bond Index, the MSCI ACWI ex USA Index (Net), and the Russell 3000^® Index. The chart assumes a hypothetical $10,000 investment in Class A and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

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

⁹  Effective allocation includes the effect of any tactical futures overlay that may be in place. Effective cash is comprised of the net impact of long and/or short futures contracts held as part of a dynamic risk management strategy. These amounts are subject to change and may have changed since the date specified.

8 Wells Fargo Growth Balanced Fund Performance highlights (unaudited)

MANAGER’S DISCUSSION

Fund highlights

∎ The Fund underperformed the Growth Balanced Blended Index for the 12-month period that ended May 31, 2019.

∎ Relative underperformance by two of the underlying domestic equity investments and one of the underlying international equity investments was the most significant detractor from performance over the period.

∎ On a relative basis, one-third of underlying investments outperformed their respective benchmarks.

∎ The tactical asset allocation (TAA) overlay, a futures strategy, added to performance through the period.

Positive economic data and increased market volatility ruled most of the period.

The 12-month period that ended May 31, 2019, saw the U.S. economy continue on a positive trajectory, producing moderate average gross domestic product growth of 3.1% with a core inflation rate of 2.0%, while unemployment reached a low of 3.6%, the lowest level since 1969.

Over the last 12 months, the financial markets experienced more volatility than the favorable economic environment might have suggested. Looking back at the financial markets, we saw equities experience a significant decline during the fourth quarter of 2018, as concerns over a partial U.S. government shutdown, central bank tightening, trade tensions, and slowing economic growth shook investors’ confidence. The market volatility of the fourth quarter gave way to a first-quarter 2019 rebound where both equity and fixed-income markets rallied. The two markets seemed joined at the hip as the Federal Reserve’s (Fed’s) updated script signaled an easier policy path for the balance of 2019. Market participants were caught offside by this evolution in the projected policy path, which has resulted in a broader opportunity set for sector rotation in equities and yield curve trades. We saw a return of volatility toward the end of the 12-month period as concerns over trade (primarily with China and Mexico) caused concerns over global growth to weigh on investors’ minds.

Ten largest holdings (%) as of May 31, 20198
Wells Fargo Managed Fixed Income Portfolio	25.56
Wells Fargo Disciplined U.S. Core Fund Class R6	12.55
Wells Fargo Large Company Value Portfolio	10.02
Wells Fargo International Value Portfolio	9.83
Wells Fargo Diversified Large Cap Growth Portfolio	9.50
Wells Fargo International Growth Portfolio	9.03
Wells Fargo Core Bond Portfolio	7.30
Wells Fargo Real Return Portfolio	3.64
Wells Fargo C&B Large Cap Value Portfolio	2.97
Wells Fargo Small Company Value Portfolio	2.68

Portfolio management addressed Fund allocations throughout the period.

Over the period, we made one significant change to the underlying portfolios used within the Fund. In the fourth quarter of 2018, we added three dedicated emerging market holdings to the portfolio. This change reflects our belief that gaining direct emerging market exposure from dedicated emerging market portfolio managers is preferable to relying on our developed market managers alone.

Within the Fund’s underlying holdings, the fixed-income holdings were the strongest contributors to performance on both a relative and an absolute basis. The Managed Fixed Income Portfolio is the largest fixed-income

holding in the portfolio. It returned more than 7% and outperformed the Bloomberg Barclays U.S. Aggregate Bond Index by 82 basis points (bps; 100 bps equal 1.00%). The underlying developed market international equity funds produced negative absolute returns and mixed relative performance results. The U.S. equity funds tended to produce positive absolute performance with mixed relative performance results. Poor relative performance from two U.S.-focused and two international equity managers was the primary detractor from performance.

Allocations (%) as of May 31, 2019
	Effective allocation9		Neutral allocation
Bonds		35		35
Stocks		60		65
Effective Cash		5		0

At the start of the period, the Fund’s targeted TAA overlay was 5.00% long in the S&P 500 futures contract. Due to volatility concerns, in early September, 2018, we reduced the position by 2.50%. In October, 2018, we added a total of 2.50%, bringing the position back to 5.00% long. During early November, 2018, we covered 1.25%. In early December, 2018, we added 2.50%, bringing the position

Please see footnotes on page 7.

Performance highlights (unaudited) Wells Fargo Growth Balanced Fund 9

to 6.25%. As January, 2019, drew to a close, we covered 2.50%. In early February, 2019, we covered the remaining 3.75% and exited the position. With respect to the 10-year Treasury contract activity, we started the period short 2.50% and covered the position in early October, 2018. In mid-December, 2018, we established a new 2.50% short position and exited it in early March, 2019.

Looking ahead, we are somewhat cautiously optimistic.

Our macroeconomic view is that growth will remain positive but it will be slower over the next 12 months than it was over the preceding 12 months. However, we still hold that absent an exogenous shock—likely an implemented shift in trade policy—a U.S. recession is unlikely in 2019. As always, that view could change with new data. We are concerned about growth prospects in Europe and in the rest of the world but are most concerned about the U.S. trade negotiations with major trading partners. Until the trade negotiations move toward détente and more certainty builds to invoke more aggressive business planning resulting in further growth, we are taking a bit more of a cautious approach to the markets and have started to reduce some risks in the portfolios. Like the Fed, we remain very data dependent and acknowledge that while the U.S. economy may be softening, the levels of growth remain robust and 2019 should remain a target rich environment for investors.

10 Wells Fargo Growth Balanced Fund Fund expenses (unaudited)

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

The example is based on an investment of $1,000 invested at the beginning of the six-month period and held for the entire period from December 1, 2018 to May 31, 2019.

Actual expenses

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

Hypothetical example for comparison purposes

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

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

	Beginning account value 12-1-2018		Ending account value 5-31-2019		Expenses paid during the period1,2		Annualized net expense ratio1
Class A
Actual	$	1,000.00	$	1,021.79	$	5.36		1.06	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,019.63	$	5.36		1.06	%
Class C
Actual	$	1,000.00	$	1,018.14	$	9.14		1.82	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,015.88	$	9.13		1.82	%
Administrator Class
Actual	$	1,000.00	$	1,022.79	$	4.46		0.88	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,020.52	$	4.45		0.88	%

¹ Amounts reflect net expenses allocated from the affiliated Master Portfolios in which the Fund invests.

² Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one-half-year period).

Portfolio of investments—May 31, 2019 Wells Fargo Growth Balanced Fund 11

Security name						Shares		Value
Exchange-Traded Funds: 2.38%
Consumer Staples Select Sector SPDR Fund							93,876	$	5,220,443
Total Exchange-Traded Funds (Cost $4,729,969)									5,220,443
Investment Companies: 99.38%
Affiliated Master Portfolios: 84.13%
Wells Fargo C&B Large Cap Value Portfolio									6,498,849
Wells Fargo Core Bond Portfolio									15,999,064
Wells Fargo Diversified Large Cap Growth Portfolio									20,815,550
Wells Fargo Emerging Growth Portfolio									2,466,780
Wells Fargo Factor Enhanced Emerging Markets Portfolio									2,966,177
Wells Fargo International Growth Portfolio									19,771,348
Wells Fargo International Value Portfolio									21,532,496
Wells Fargo Large Company Value Portfolio									21,943,619
Wells Fargo Managed Fixed Income Portfolio									55,996,700
Wells Fargo Real Return Portfolio									7,970,523
Wells Fargo Small Company Growth Portfolio									2,445,424
Wells Fargo Small Company Value Portfolio									5,876,983
									184,283,513
Affiliated Stock Funds: 15.25%
Wells Fargo Disciplined U.S. Core Fund Class R6							1,688,112		27,499,351
Wells Fargo Emerging Markets Equity Fund Class R6							123,717		2,927,150
Wells Fargo Emerging Markets Equity Income Fund Class R6							279,883		2,983,558
									33,410,059
Total Investment Companies (Cost $197,877,832)									217,693,572
	Yield			Maturity date		Principal
Short-Term Investments: 0.31%
U.S. Treasury Securities: 0.31%
U.S. Treasury Bill #(z)		2.07	%		6-25-2019	$	677,000		676,055
Total Short-Term Investments (Cost $676,030)									676,055

Total investments in securities (Cost $203,283,831)	102.07	%		223,590,070
Other assets and liabilities, net	(2.07	)		(4,535,530	)
Total net assets	100.00	%	$	219,054,540

# All or a portion of this security is segregated as collateral for investments in derivative instruments.

(z) Zero coupon security. The rate represents the current yield to maturity.

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost			Notional value			Unrealized gains		Unrealized losses
Long
Japanese Yen Futures		101		6-17-2019	$	11,487,452		$	11,661,082		$	173,630	$	0
Short
S&P 500 E-Mini Index		(73)		6-21-2019		(10,266,808	)		(10,046,990	)		219,818		0
											$	393,448	$	0

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

12 Wells Fargo Growth Balanced Fund Portfolio of investments—May 31, 2019

Investments in Affiliates

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

	Shares, beginning of period		Shares purchased		Shares sold		Shares, end of period		Net realized gains (losses) on affiliated Underlying Funds			Net realized gains (losses) on capital gain distributions from affiliated Underlying Funds		Net change in unrealized gains (losses) on affiliated Underlying Funds			Dividends from affiliated Underlying Funds		Value, end of period		% of net assets
Investment Companies
Affiliated Stock Funds
Wells Fargo Disciplined U.S. Core Fund Class R6		1,767,866		283,947		363,701		1,688,112	$	(394,227	)	$	1,412,734	$	(1,306,671	)	$	481,806	$	27,499,351
Wells Fargo Emerging Markets Equity Fund Class R6		0		137,838		14,121		123,717		37,670			0		208,150			0		2,927,150
Wells Fargo Emerging Markets Equity Income Fund Class R6		0		298,160		18,277		279,883		16,810			0		100,213			16,044		2,983,558
									$	(339,747	)	$	1,412,734	$	(998,308	)	$	497,850	$	33,410,059		15.25	%

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses)  on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses)  on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliates Master Portfolios		Value, end of period		% of net assets
Wells Fargo C&B Large Cap Value Portfolio		1.66	%		1.85	%	$	1,047,347		$	(946,873	)	$	0	$	125,668	$	3,313	$	6,498,849
Wells Fargo Core Bond Portfolio		0.29			0.27			(67,198	)		554,143			528,512		0		6,187		15,999,064
Wells Fargo Diversified Large Cap Growth Portfolio		32.89			8.30			1,721,188			(1,845,418	)		0		319,716		7,801		20,815,550
Wells Fargo Emerging Growth Portfolio		0.41			0.30			520,363			(619,815	)		0		3,929		3,996		2,466,780
Wells Fargo Factor Enhanced Emerging Markets Portfolio		0.00			1.17			55,790			(14,788	)		225		30,930		1,037		2,966,177
Wells Fargo International Growth Portfolio		58.68			9.46			(1,522,924	)		734,497			0		477,782		31,846		19,771,348
Wells Fargo International Value Portfolio		2.89			2.01			(618,057	)		(3,092,202	)		0		973,155		36,132		21,532,496
Wells Fargo Large Company Value Portfolio		34.77			8.81			(210,528	)		(404,708	)		1,501		574,882		7,571		21,943,619
Wells Fargo Managed Fixed Income Portfolio		54.46			9.61			(19,151	)		2,038,948			1,997,788		0		90,349		55,996,700
Wells Fargo Real Return Portfolio		5.72			4.36			(56,479	)		92,383			187,013		33,937		1,838		7,970,523
Wells Fargo Small Company Growth Portfolio		0.18			0.14			593,689			(874,013	)		0		18,810		3,320		2,445,424
Wells Fargo Small Company Value Portfolio		4.45			4.60			(457,710	)		(661,401	)		0		100,120		4,941		5,876,983
							$	986,330		$	(5,039,247	)	$	2,715,039	$	2,658,929	$	198,331	$	184,283,513		84.13	%

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

Statement of assets and liabilities—May 31, 2019 Wells Fargo Growth Balanced Fund 13

Assets
Investments in affiliated Master Portfolios, at value (cost $162,666,261)	$	184,283,513
Investments in affiliated Underlying Funds, at value (cost $35,211,571)		33,410,059
Investments in unaffiliated securities, at value (cost $5,405,999)		5,896,498
Receivable for daily variation margin on open futures contracts		261,064
Cash		50,000
Receivable for Fund shares sold		24,937
Receivable from manager		5,909
Prepaid expenses and other assets		23,180
Total assets		223,955,160
Liabilities
Payable for Fund shares redeemed		4,766,010
Administration fees payable		32,607
Distribution fee payable		7,870
Accrued expenses and other liabilities		94,133
Total liabilities		4,900,620
Total net assets	$	219,054,540
NET ASSETS CONSIST OF
Paid-in capital	$	200,244,086
Total distributable earnings		18,810,454
Total net assets	$	219,054,540
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARE
Net assets – Class A	$	68,831,779
Shares outstanding – Class A1		1,524,570
Net asset value per share – Class A		$45.15
Maximum offering price per share – Class A²		$47.90
Net assets – Class C	$	11,434,364
Shares outstanding – Class C1		293,589
Net asset value per share – Class C		$38.95
Net assets – Administrator Class	$	138,788,397
Shares outstanding – Administrator Class1		3,475,835
Net asset value per share – Administrator Class		$39.93

¹  The Fund has an unlimited number of authorized shares.

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

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

14 Wells Fargo Growth Balanced Fund Statement of operations—year ended May 31, 2019

Investment income
Interest allocated from affiliated Master Portfolios (net of foreign withholding taxes of $207)	$	2,715,039
Dividends allocated from affiliated Master Portfolios (net of foreign withholding taxes of $210,572)		2,658,929
Dividends from affiliated Underlying Funds		497,850
Affiliated income allocated from affiliated Master Portfolios		198,331
Dividends		35,684
Interest		11,565
Expenses allocated from affiliated Master Portfolios		(1,158,816	)
Waivers allocated from affiliated Master Portfolios		54,439
Total investment income		5,013,021
Expenses
Management fee		698,979
Administration fees
Class A		138,253
Class C		32,823
Administrator Class		196,987
Shareholder servicing fees
Class A		164,587
Class C		39,075
Administrator Class		378,312
Distribution fee
Class C		117,225
Custody and accounting fees		10,588
Professional fees		29,890
Registration fees		71,291
Shareholder report expenses		66,941
Trustees’ fees and expenses		21,301
Other fees and expenses		15,825
Total expenses		1,982,077
Less: Fee waivers and/or expense reimbursements		(747,371	)
Net expenses		1,234,706
Net investment income		3,778,315
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS
Net realized gains (losses) on:
Securities transactions allocated from affiliated Master Portfolios		986,330
Affiliated Underlying Funds		(339,747	)
Capital gain distributions from affiliated Underlying Funds		1,412,734
Unaffiliated securities		4,982
Futures contracts		264,697
Net realized gains on investments		2,328,996
Net change in unrealized gains (losses) on:
Securities transactions allocated from affiliated Master Portfolios		(5,039,247	)
Affiliated Underlying Funds		(998,308	)
Unaffiliated securities		490,494
Futures contracts		802,726
Net change in unrealized gains (losses) on investments		(4,744,335	)
Net realized and unrealized gains (losses) on investments		(2,415,339	)
Net increase in net assets resulting from operations	$	1,362,976

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

Statement of changes in net assets Wells Fargo Growth Balanced Fund 15

	Year ended May 31, 2019						Year ended May 31, 2018¹
Operations
Net investment income				$	3,778,315					$	3,364,678
Net realized gains on investments					2,328,996						20,771,494
Net change in unrealized gains (losses) on investments					(4,744,335	)					(4,196,293	)
Net increase in net assets resulting from operations					1,362,976						19,939,879
Distributions to shareholders from net investment income and net realized gains
Class A					(2,868,465	)					(642,776	)
Class C					(821,665	)					(65,094	)
Administrator Class					(8,192,333	)					(2,153,514	)
Total distributions to shareholders					(11,882,463	)					(2,861,384	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		351,190			16,023,191			115,548			5,374,981
Class C		127,101			5,033,403			58,262			2,349,912
Administrator Class		235,971			9,699,484			446,522			18,569,677
					30,756,078						26,294,570
Reinvestment of distributions
Class A		65,968			2,829,512			13,522			633,356
Class C		21,059			783,461			1,496			60,971
Administrator Class		215,612			8,181,819			51,482			2,148,876
					11,794,792						2,843,203
Payment for shares redeemed
Class A		(218,329	)		(9,976,679	)		(295,375	)		(13,781,479	)
Class C		(262,051	)		(10,188,823	)		(83,888	)		(3,339,189	)
Administrator Class		(731,787	)		(29,822,377	)		(890,059	)		(36,753,685	)
					(49,987,879	)					(53,874,353	)
Net decrease in net assets resulting from capital share transactions					(7,437,009	)					(24,736,580	)
Total decrease in net assets					(17,956,496	)					(7,658,085	)
Net assets
Beginning of period					237,011,036						244,669,121
End of period				$	219,054,540					$	237,011,036

¹  Effective for all fillings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Undistributed net investment income at May 31, 2018 was $3,562,101. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 8,Distributions to Shareholders, in the notes to the financial statements.

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

16 Wells Fargo Growth Balanced Fund Financial highlights

(For a share outstanding throughout each period)

	Year ended May 31
CLASS A	2019			2018			2017			2016			2015
Net asset value, beginning of period		$47.12			$43.91			$39.99			$40.80			$37.96
Net investment income		0.72	1		0.53			0.41			0.46			0.36
Net realized and unrealized gains (losses) on investments		(0.60	)		3.13			3.93			(0.94	)		2.65
Total from investment operations		0.12			3.66			4.34			(0.48	)		3.01
Distributions to shareholders from
Net investment income		(1.26	)		(0.45	)		(0.42	)		(0.33	)		(0.17	)
Net realized gains		(0.83	)		0.00			0.00			0.00			0.00
Total distributions to shareholders		(2.09	)		(0.45	)		(0.42	)		(0.33	)		(0.17	)
Net asset value, end of period		$45.15			$47.12			$43.91			$39.99			$40.80
Total return2		0.53	%		8.34	%		10.93	%		(1.14	)%		7.94	%
Ratios to average net assets (annualized)
Gross expenses3		1.33	%		1.35	%		1.34	%		1.35	%		1.40	%
Net expenses3		1.07	%		1.17	%		1.20	%		1.20	%		1.20	%
Net investment income3		1.55	%		1.27	%		1.10	%		1.10	%		0.97	%
Supplemental data
Portfolio turnover rate4		149	%		114	%		114	%		79	%		75	%
Net assets, end of period (000s omitted)		$68,832			$62,473			$65,514			$65,866			$64,223

¹  Calculated based upon average shares outstanding

²  Total return calculations do not include any sales charges.

³  Ratios include only the net expenses allocated from the affiliated Master Portfolios and do not include expenses from any other Underlying Funds. Net expenses allocated from the affiliated Master Portfolios included in the ratios were as follows:

Year ended May 31, 2019	0.47	%
Year ended May 31, 2018	0.51	%
Year ended May 31, 2017	0.50	%
Year ended May 31, 2016	0.51	%
Year ended May 31, 2015	0.51	%

⁴  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in the respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. These purchases and sales amounts are aggregated with the direct purchases and sales in the affiliated Underlying Funds and unaffiliated securities and included in the portfolio turnover calculation.

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

Financial highlights Wells Fargo Growth Balanced Fund 17

(For a share outstanding throughout each period)

	Year ended May 31
CLASS C	2019			2018			2017			2016			2015
Net asset value, beginning of period		$40.86			$38.14			$34.82			$35.63			$33.33
Net investment income		0.37	1		0.14			0.13	1		0.12	1		0.08	1
Net realized and unrealized gains (losses) on investments		(0.56	)		2.74			3.38			(0.79	)		2.30
Total from investment operations		(0.19	)		2.88			3.51			(0.67	)		2.38
Distributions to shareholders from
Net investment income		(0.89	)		(0.16	)		(0.19	)		(0.14	)		(0.08	)
Net realized gains		(0.83	)		0.00			0.00			0.00			0.00
Total distributions to shareholders		(1.72	)		(0.16	)		(0.19	)		(0.14	)		(0.08	)
Net asset value, end of period		$38.95			$40.86			$38.14			$34.82			$35.63
Total return2		(0.23	)%		7.55	%		10.10	%		(1.88	)%		7.13	%
Ratios to average net assets (annualized)
Gross expenses3		2.08	%		2.10	%		2.09	%		2.10	%		2.15	%
Net expenses3		1.82	%		1.92	%		1.95	%		1.95	%		1.95	%
Net investment income3		0.93	%		0.52	%		0.35	%		0.36	%		0.22	%
Supplemental data
Portfolio turnover rate4		149	%		114	%		114	%		79	%		75	%
Net assets, end of period (000s omitted)		$11,434			$16,649			$16,463			$16,225			$14,349

¹  Calculated based upon average shares outstanding

²  Total return calculations do not include any sales charges.

³  Ratios include only the net expenses allocated from the affiliated Master Portfolios and do not include expenses from any other Underlying Funds. Net expenses allocated from the affiliated Master Portfolios included in the ratios were as follows:

Year ended May 31, 2019	0.48	%
Year ended May 31, 2018	0.51	%
Year ended May 31, 2017	0.50	%
Year ended May 31, 2016	0.50	%
Year ended May 31, 2015	0.51	%

⁴  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in the respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. These purchases and sales amounts are aggregated with the direct purchases and sales in the affiliated Underlying Funds and unaffiliated securities and included in the portfolio turnover calculation.

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

18 Wells Fargo Growth Balanced Fund Financial highlights

(For a share outstanding throughout each period)

	Year ended May 31
ADMINISTRATOR CLASS	2019			2018			2017			2016			2015
Net asset value, beginning of period		$42.04			$39.22			$35.78			$36.54			$33.98
Net investment income		1.05			0.75			0.50	1		0.49			0.45
Net realized and unrealized gains (losses) on investments		(0.90	)		2.63			3.47			(0.82	)		2.32
Total from investment operations		0.15			3.38			3.97			(0.33	)		2.77
Distributions to shareholders from
Net investment income		(1.43	)		(0.56	)		(0.53	)		(0.43	)		(0.21	)
Net realized gains		(0.83	)		0.00			0.00			0.00			0.00
Total distributions to shareholders		(2.26	)		(0.56	)		(0.53	)		(0.43	)		(0.21	)
Net asset value, end of period		$39.93			$42.04			$39.22			$35.78			$36.54
Total return		0.70	%		8.63	%		11.19	%		(0.86	)%		8.16	%
Ratios to average net assets (annualized)
Gross expenses2		1.25	%		1.27	%		1.26	%		1.27	%		1.24	%
Net expenses2		0.89	%		0.92	%		0.95	%		0.95	%		0.95	%
Net investment income2		1.72	%		1.51	%		1.34	%		1.35	%		1.22	%
Supplemental data
Portfolio turnover rate3		149	%		114	%		114	%		79	%		75	%
Net assets, end of period (000s omitted)		$138,788			$157,889			$162,693			$175,715			$182,373

¹  Calculated based upon average shares outstanding

²  Ratios include only the net expenses allocated from the affiliated Master Portfolios and do not include expenses from any other Underlying Funds. Net expenses allocated from the affiliated Master Portfolios included in the ratios were as follows:

Year ended May 31, 2019	0.47	%
Year ended May 31, 2018	0.51	%
Year ended May 31, 2017	0.50	%
Year ended May 31, 2016	0.50	%
Year ended May 31, 2015	0.51	%

³  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in the respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. These purchases and sales amounts are aggregated with the direct purchases and sales in the affiliated Underlying Funds and unaffiliated securities and included in the portfolio turnover calculation.

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

Notes to financial statements Wells Fargo Growth Balanced Fund 19

1. ORGANIZATION

Wells Fargo Funds Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As an investment company, the Trust follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statements report on the Wells Fargo Growth Balanced Fund (the “Fund”) which is a diversified series of the Trust.

The Fund is a fund-of-funds that invests in various affiliated mutual funds (“Underlying Funds”) employing a multi-asset, multi-style investment approach designed to reduce the price and return volatility of the Fund and to provide more consistent returns. The Underlying Funds incur separate expenses in seeking to achieve their investment objectives. Investments in affiliated Underlying Funds may also include investments in one or more separate diversified portfolios (collectively, the “affiliated Master Portfolios”) of Wells Fargo Master Trust, a registered open-end management investment company. Each affiliated Master Portfolio directly acquires portfolio securities, and the Fund acquires an indirect interest in those securities. The Fund accounts for its investments in the affiliated Master Portfolios as partnership investments and records on a daily basis its share of each affiliated Master Portfolio’s income, expense and realized and unrealized gains and losses. The financial statements of the affiliated Master Portfolios are presented in separate financial statements and may be obtained free of charge by contacting Investor Services or by visiting the SEC website at sec.gov. The financial statements of the affiliated Master Portfolios are filed with the SEC under Wells Fargo Master Trust. The financial statements for all other Underlying Funds are also publicly available on the SEC website at sec.gov.

2. SIGNIFICANT ACCOUNTING POLICIES

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

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Fund may deviate from this calculation time under unusual or unexpected circumstances.

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

Investments in underlying mutual funds are valued at net asset per share as reported by the Underlying Funds as of the close of the regular trading on the New York Stock Exchange on each day the exchange is open for trading.

Debt securities are valued at the evaluated bid price provided by an independent pricing service (e.g. taking into account various factors, including yields, maturities, or credit ratings) or, if a reliable price is not available, the quoted bid price from an independent broker-dealer.

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

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 Fund. 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 Fund and a counterparty to buy or sell a specific amount of a commodity, financial instrument or currency at specified price and on a specified date. The Fund may buy and sell futures contracts in order to gain exposure to, or protect against, changes in interest rates, security values, and foreign exchange rates and is

20 Wells Fargo Growth Balanced Fund Notes to financial statements

subject to interest rate risk, equity price risk, and foreign currency risk. The primary risks associated with the use of futures contracts are the imperfect correlation between changes in market values of securities held by the Fund and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange. With futures contracts, there is minimal counterparty risk to the Fund since futures contracts are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures contracts against default.

Upon entering into a futures contracts, the Fund is required to deposit either cash or securities (initial margin) with the broker in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are paid to or from the broker each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains or losses and, if any, shown as variation margin receivable (payable) in the Statement of Assets and Liabilities. Should the Fund fail to make requested variation margin payments, the broker can gain access to the initial margin to satisfy the Fund’s payment obligations. When the contracts are closed, a realized gain or loss is recorded in the Statement of Operations.

Investment transactions, income and expenses

Investments in the affiliated Master Portfolios are recorded on a trade basis. The Fund records daily its proportionate share of each affiliated Master Portfolio’s interest and dividend income, expenses, and realized and unrealized gains or losses. The Fund also accrues its own expenses.

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.

Securities transactions are recorded on a trade date basis. Realized gains or losses are recorded on the basis of identified cost.

Income dividends and capital gain distributions from investment companies are recorded on the ex-dividend date. Capital gain distributions from investment companies are treated as realized gains.

Distributions to shareholders

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

Federal and other taxes

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

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

As of May 31, 2019, the aggregate cost of all investments for federal income tax purposes was $204,381,429 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	24,382,280
Gross unrealized losses		(4,780,191	)
Net unrealized gains	$	19,602,089

Reclassifications are made to the Fund’s capital accounts for permanent tax differences to reflect income and gains available for distribution (or available capital loss carryforwards) under federal income tax regulations. U.S. generally accepted accounting principles require that certain components of net assets be adjusted to reflect permanent

Notes to financial statements Wells Fargo Growth Balanced Fund 21

differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. At May 31, 2019, as a result of permanent book-to-tax differences, the following reclassification adjustments were made on the Statement of Assets and Liabilities:

Paid-in capital	Total distributable earnings
$3,505	$(3,505)

As of May 31, 2019, the Fund had current year deferred post-October capital losses consisting of $1,995,047 in short-term losses and $978,854 in long-term gains which will be recognized on the first day of the following fiscal year.

Class allocations

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

3. FAIR VALUATION MEASUREMENTS

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

∎ Level 1 – quoted prices in active markets for identical securities

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

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

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

The following is a summary of the inputs used in valuing the Fund’s assets and liabilities as of May 31, 2019:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Exchange-traded funds	$	5,220,443	$	0	$	0	$	5,220,443
Investment companies		33,410,059		0		0		33,410,059
Short-term investments
U.S. Treasury securities		676,055		0		0		676,055
Investments measured at net asset value*								184,283,513
		39,306,557		0		0		223,590,070
Futures contracts		393,448		0		0		393,448
Total assets	$	39,700,005	$	0	$	0	$	223,983,518

* Investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amount presented in the table is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. The Fund’s investments in the affiliated Master Portfolios are valued at $184,283,513. Each affiliated Master Portfolio does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.

22 Wells Fargo Growth Balanced Fund Notes to financial statements

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

At May 31, 2019, the Fund did not have any transfers into/out of Level 3.

The investment objective of each affiliated Master Portfolio is as follows:

Affiliated Master Portfolio	Investment objective
Wells Fargo C&B Large Cap Value Portfolio	Seeks maximum long-term total return (current income and capital appreciation), consistent with minimizing risk to principal
Wells Fargo Core Bond Portfolio	Seeks total return, consisting of income and capital appreciation
Wells Fargo Diversified Large Cap Growth Portfolio	Seeks long-term capital appreciation
Wells Fargo Emerging Growth Portfolio	Seeks long-term capital appreciation
Wells Fargo Factor Enhanced Emerging Markets Portfolio	Seeks long-term capital appreciation
Wells Fargo International Growth Portfolio	Seeks long-term capital appreciation
Wells Fargo International Value Portfolio	Seeks long-term capital appreciation
Wells Fargo Large Company Value Portfolio	Seeks long-term capital appreciation
Wells Fargo Managed Fixed Income Portfolio	Seeks consistent fixed-income returns
Wells Fargo Real Return Portfolio	Seeks returns that exceed the rate of inflation over the long-term
Wells Fargo Small Company Growth Portfolio	Seeks long-term capital appreciation
Wells Fargo Small Company Value Portfolio	Seeks long-term capital appreciation

4. TRANSACTIONS WITH AFFILIATES

Management fee

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

Average daily net assets	Management fee
First $500 million		0.30	%
Next $500 million		0.28
Next $2 billion		0.26
Next $2 billion		0.24
Next $5 billion		0.23
Over $10 billion		0.22

For the year ended May 31, 2019, the management fee was equivalent to an annual rate of 0.30% of the Fund’s average daily net assets.

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

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Fund. 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 Fund and is entitled to receive a fee from Funds Management at an annual rate starting at 0.10% and declining to 0.05% as the average daily net assets of the Fund increase.

Notes to financial statements Wells Fargo Growth Balanced Fund 23

Administration fees

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

	Class-level administration fee
Class A, Class C		0.21	%
Administrator Class		0.13

Funds Management has contractually waived and/or reimbursed management and administration fees to the extent necessary to maintain certain net operating expense ratios for the Fund. When each class of the Fund has exceeded its expense cap, Funds Management has waived fees and/or reimbursed expenses from fund level expenses on a proportionate basis and then from class specific expenses. When only certain classes exceed their expense caps, waivers and/or reimbursements are applied against class specific expenses before fund level expenses. Net expenses from the affiliated Master Portfolios are included in the expense caps. Funds Management has committed through September 30, 2019 to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’s expenses at 1.13% for Class A shares, 1.88% for Class C shares, and 0.95% for Administrator Class shares. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Funds Management voluntarily waived additional expenses of the Fund. Prior to June 15, 2018, the Fund’s expenses were capped at 1.20% for Class A shares and 1.95% for Class C shares.

Distribution fee

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

In addition, Funds Distributor is entitled to receive the front-end sales charge from the purchase of Class A shares and a contingent deferred sales charge on the redemption of certain Class A shares. Funds Distributor is also entitled to receive the contingent deferred sales charges from redemptions of Class C shares. For the year ended May 31, 2019, Funds Distributor received $8,442 from the sale of Class A shares and $13 in contingent deferred sales charges from redemptions of Class C shares. No contingent deferred sales charges were incurred by Class A shares for the year ended May 31, 2019.

Shareholder servicing fees

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

5. INVESTMENT PORTFOLIO TRANSACTIONS

The Fund seeks to achieve its investment objective by investing substantially all of its investable assets in multiple affiliated Master Portfolios. Purchases and sales related to these investments have been calculated by aggregating the results of multiplying the Fund’s ownership percentage in the respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. Purchases and sales of unaffiliated securities in which the Fund invests are actual purchases and sale of those securities. Purchases and sales of investments, excluding short-term securities, for the year ended May 31, 2019 were as follows:

Purchases at cost		Sales proceeds
U.S. government	Non-U.S. government	U.S. government	Non-U.S. government
$218,104,149	$237,084,571	$203,152,883	$154,781,763

6. DERIVATIVE TRANSACTIONS

During the year ended May 31, 2019, the Fund entered into futures contracts to gain market exposure to certain asset classes consistent with an active asset allocation strategy. The Fund had an average notional amount of $10,141,536 in long futures contracts and $5,199,570 in short futures contracts during the year ended May 31, 2019.

A summary of the location of derivative instruments on the financial statements by risk is outlined in the following tables.

24 Wells Fargo Growth Balanced Fund Notes to financial statements

The fair value of derivative instruments as of May 31, 2019 was as follows for the Fund:

	Asset derivatives				Liability derivatives
	Statement of Assets and Liabilities location	Fair value			Statement of Assets and Liabilities location	Fair value
Equity risk	Unrealized gains on futures contracts	$	219,818	*	Unrealized losses on futures contracts	$	0	*
Foreign currency risk	Unrealized gains on futures contracts		173,630	*	Unrealized losses on futures contracts		0	*
		$	393,448			$	0

* Amount represents cumulative unrealized gains (losses) as reported in the table following the Portfolio of Investments. Only the current day’s variation margin as of May 31, 2019 is reported separately on the Statement of Assets and Liabilities.

The effect of derivative instruments on the Statement of Operations for the year ended May 31, 2019 was as follows for the Fund:

	Amount of realized gains on derivatives		Change in unrealized gains (losses) on derivatives
Equity risk	$	168,406	$	586,958
Interest rate risk		80,377		42,138
Foreign currency risk		15,914		173,630
	$	264,697	$	802,726

7. BANK BORROWINGS

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

For the year ended May 31, 2019, there were no borrowings by the Fund under the agreement.

8. DISTRIBUTIONS TO SHAREHOLDERS

The tax character of distributions paid during the years ended May 31, 2019 and May 31, 2018 were as follows:

	Year ended May 31
	2019		2018
Ordinary income	$	8,735,539	$	2,861,384
Long-term capital gain		3,146,924		0

As of May 31, 2019, the components of distributable earnings on a tax basis were as follows:

Undistributed ordinary income	Undistributed long-term gain	Unrealized gains	Post-October capital losses deferred
$213,521	$11,037	$19,602,089	$(1,016,193)

Effective for all filings after November 4, 2018, the Securities and Exchange Commission eliminated the requirement to separately state the components of distributions to shareholders under U.S. generally accepted accounting principles. The amounts of distributions to shareholders for the year ended May 31, 2018 were as follows:

	Net investment income
Class A		$   642,776
Class C		65,094
Administrator Class		2,153,514

Notes to financial statements Wells Fargo Growth Balanced Fund 25

9. INDEMNIFICATION

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

10. NEW ACCOUNTING PRONOUNCEMENT

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

26 Wells Fargo Growth Balanced Fund Report of independent registered public accounting firm

TO THE SHAREHOLDERS OF THE FUND AND BOARD OF TRUSTEES OF WELLS FARGO FUNDS TRUST:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Wells Fargo Growth Balanced Fund (the Fund), one of the funds constituting Wells Fargo Funds Trust, including the portfolio of investments, as of May 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of May 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of May 31, 2019, by correspondence with the custodian, brokers and transfer agents, or by other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

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

Boston, Massachusetts

July 26, 2019

Other information (unaudited) Wells Fargo Growth Balanced Fund 27

TAX INFORMATION

For corporate shareholders, pursuant to Section 854 of the Internal Revenue Code, 25.50% of ordinary income dividends qualify for the corporate dividends-received deduction for the fiscal year ended May 31, 2019.

Pursuant to Section 852 of the Internal Revenue Code, $3,146,924 was designated as a 20% rate gain distribution for the fiscal year ended May 31, 2019.

Pursuant to Section 854 of the Internal Revenue Code, $4,665,650 of income dividends paid during the fiscal year ended May 31, 2019 has been designated as qualified dividend income (QDI).

For the fiscal year ended May 31, 2019, $3,256,307 has been designated as interest-related dividends for nonresident alien shareholders pursuant to Section 871 of the Internal Revenue Code.

For the fiscal year ended May 31, 2019, $1,348,767 has been designated as short-term capital gain dividends for nonresident alien shareholders pursuant to Section 871 of the Internal Revenue Code.

For the fiscal year ended May 31, 2019, 5.96% of the ordinary income distributed was derived from interest on U.S. government securities.

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 calling1-800-222-8222, visiting our website at wfam.com, or visiting the SEC website at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent12-month period ended June 30 is available on the Fund’s website atwfam.comor by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS

The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

28 Wells Fargo Growth Balanced Fund Other information (unaudited)

BOARD OF TRUSTEES AND OFFICERS

Each of the Trustees and Officers¹ listed in the table below acts in identical capacities for each fund in the Wells Fargo family of funds, which consists of 151 mutual funds comprising the Wells Fargo Funds Trust, Wells Fargo Variable Trust, Wells Fargo Master Trust and four closed-end funds (collectively the “Fund Complex”). This table should be read in conjunction with the Prospectus and the Statement of Additional Information². The mailing address of each Trustee and Officer is 525 Market Street, 12th Floor, San Francisco, CA 94105. Each Trustee and Officer serves an indefinite term, however, each Trustee serves such term until reaching the mandatory retirement age established by the Trustees.

Independent Trustees

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

Other information (unaudited) Wells Fargo Growth Balanced Fund 29

Name and year of birth	Position held and length of service*	Principal occupations during past five years or longer	Current other public company or investment company directorships
David F. Larcker (Born 1950)	Trustee, since 2009	James Irvin Miller Professor of Accounting at the Graduate School of Business, Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005.	N/A
Olivia S. Mitchell (Born 1953)	Trustee, since 2006; Nominating and Governance Committee Chairman, since 2018	International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993.	N/A
Timothy J. Penny (Born 1951)	Trustee, since 1996; Chairman, since 2018	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

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

30 Wells Fargo Growth Balanced Fund Other information (unaudited)

Officers

Name and year of birth	Position held and length of service	Principal occupations during past five years or longer
Andrew Owen (Born 1960)	President, since 2017	Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014.
Jeremy DePalma1 (Born 1974)	Treasurer, since 2012	Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010.
Alexander Kymn (Born 1973)	Secretary and Chief Legal Officer, since 2018	Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.
Michael H. Whitaker (Born 1967)	Chief Compliance Officer, since 2016	Senior Vice President and Chief Compliance Officer since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016.
David Berardi (Born 1975)	Assistant Treasurer, since 2009	Vice President of Wells Fargo Funds Management, LLC since 2009. Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010. Manager of Fund Reporting and Control for Evergreen Investment Management Company, LLC from 2004 to 2010.

¹ Jeremy DePalma acts as Treasurer of 86 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 atwfam.com.

Other information (unaudited) Wells Fargo Growth Balanced Fund 31

BOARD CONSIDERATION OF INVESTMENT MANAGEMENT AND SUB-ADVISORY AGREEMENTS:

Wells Fargo Growth Balanced Fund

Under the Investment Company Act of 1940 (the “1940 Act”), the Board of Trustees (the “Board”) of Wells Fargo Funds Trust (the “Trust”) must determine annually whether to approve the continuation of the Trust’s investment management and sub-advisory agreements. In this regard, at an in-person meeting held on May 21-22, 2019 (the “Meeting”), the Board, all the members of which have no direct or indirect interest in the investment management and sub-advisory agreements and are not “interested persons” of the Trust, as defined in the 1940 Act (the “Independent Trustees”), reviewed and approved for Wells Fargo Growth Balanced Fund (the “Fund”): (i) an investment management agreement (the “Management Agreement”) with Wells Fargo Funds Management, LLC (“Funds Management”); and (ii) an investment sub-advisory agreement (the “Sub-Advisory Agreement”) with Wells Capital Management Incorporated (the “Sub-Adviser”), an affiliate of Funds Management. The Management Agreement and the Sub-Advisory Agreement are collectively referred to as the “Advisory Agreements.” The Fund is a fund-of-funds that invests all of its assets in multiple portfolios of Wells Fargo Master Trust.

At the Meeting, the Board considered the factors and reached the conclusions described below relating to the selection of Funds Management and the Sub-Adviser and the approval of the Advisory Agreements. Prior to the Meeting, including at an in-person meeting in April 2019, the Trustees conferred extensively among themselves and with representatives of Funds Management about these matters. Also, the Board has adopted a team-based approach, with each team consisting of asub-set of Trustees, to assist the full Board in the discharge of its 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 Board, Funds Management and the Sub-Adviser 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 Board’s annual contract renewal process earlier in 2019. 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 Board 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-Adviser about various topics. In this regard, the Board reviewed reports of Funds Management at each of its quarterly meetings, which included, among other things, portfolio reviews and investment performance reports. In addition, the Board and the teams mentioned above confer with portfolio managers at various times throughout the year. The Board 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 unanimously approved the continuation of the Advisory Agreements for a one-year term and determined that the compensation payable to Funds Management and the Sub-Adviser under each of the Advisory Agreements was reasonable. The Board considered the approval of the Advisory Agreements for the Fund as part of its consideration of agreements for funds across the complex, but its approvals were made on a fund-by-fund basis. The following summarizes a number of important, but not necessarily all, factors considered by the Board in support of its approvals.

Nature, extent and quality of services

The Board received and considered various information regarding the nature, extent and quality of services provided to the Fund by Funds Management and the Sub-Adviser under the Advisory Agreements. This information included a description of the investment advisory services and Fund-level administrative services covered by the Management Agreement, 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-Adviser are a part, a summary of investments made in the business of WFAM, a summary of certain organizational and personnel changes involving Funds Management and the Sub-Adviser, and a description of Funds Management’s and the Sub-Adviser’s business continuity planning programs and of their approaches to data privacy and cybersecurity. The Board received and reviewed information about Funds Management’s role as administrator of the Fund’s liquidity risk management program. The Board 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 Fund.

The Board evaluated the ability of Funds Management and the Sub-Adviser to attract and retain qualified investment professionals, including research, advisory and supervisory personnel. The Board further considered the compliance programs and compliance records of Funds Management and the Sub-Adviser. In addition, the Board took into account the full range of services provided to the Fund by Funds Management and its affiliates.

32 Wells Fargo Growth Balanced Fund Other information (unaudited)

Fund investment performance and expenses

The Board considered the investment performance results for the Fund over various time periods ended December 31, 2018. The Board 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 Fund (the “Universe”), and in comparison to the Fund’s benchmark index and to other comparative data. Broadridge is an independent provider of investment company data. The Board received a description of the methodology used by Broadridge to select the mutual funds in the performance Universe. The Board noted that the investment performance of the Fund (Administrator Class) was higher than the average investment performance of the Universe for the one-, five- and ten-year periods under review, and lower than the average investment performance of the Universe for the three-year period under review. The Board also noted that the investment performance of the Fund was lower than its benchmark index, the Growth Balanced Blended Index, for the one-, three- and five-year periods under review, but higher than its benchmark for the ten-year period under review.

The Board received information concerning, and discussed factors contributing to, the underperformance of the Fund relative to the Universe and benchmark 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 also took note of the Fund’s outperformance relative to the Universe and benchmark over the longer time periods under review.

The Board also received and considered information regarding the Fund’s net operating expense ratios and their various components, including actual management fees, custodian and other non-management fees, and Rule 12b-1 and non-Rule 12b-1 shareholder service fees. The Board considered these ratios in comparison to the median ratios of funds in class-specific expense groups that were determined by Broadridge to be similar to the Fund (the “Groups”). The Board 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. Based on the Broadridge reports, the Board noted that the net operating expense ratios of the Fund were lower than the median net operating expense ratios of the expense Groups for each share class.

The Board took into account the Fund’s investment performance and expense information provided to it among the factors considered in deciding to re-approve the Advisory Agreements.

Investment management and sub-advisory fee rates

The Board reviewed and considered the contractual fee rates payable by the Fund to Funds Management under the Management Agreement, as well as the contractual fee rates payable by the Fund to Funds Management for class-level administrative services under a Class-Level Administration Agreement, which include, among other things, class-level transfer agency and sub-transfer agency costs (collectively, the “Management Rates”). The Board also reviewed and considered the contractual investment sub-advisory fee rates that are payable by Funds Management to the Sub-Adviser for investment sub-advisory services.

Among other information reviewed by the Board was a comparison of the Fund’s Management Rates, which include the advisory fees paid at the master portfolio level, with the average contractual investment management fee rates of funds in the expense Groups at a common asset level as well as transfer agency costs of the funds in the expense Groups. The Board noted that the Management Rates of the Fund were lower than the sum of these average rates for the Fund’s expense Groups for all share classes.

The Board also received and considered information about the portion of the total management fee that was retained by Funds Management after payment of the fee to the Sub-Adviser for sub-advisory services. In assessing the reasonableness of this amount, the Board 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-Adviser, and about Funds Management’son-going oversight services. Given the affiliation between Funds Management and the Sub-Adviser, the Board ascribed limited relevance to the allocation of fees between them.

The Board also received and considered information about the nature and extent of services offered and fee rates charged by Funds Management and the Sub-Adviser to other types of clients with investment strategies similar to those of the Fund. In this regard, the Board 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 determined that the compensation payable to Funds Management under the Management Agreement and to theSub-Adviser under the Sub-Advisory Agreement was reasonable.

Other information (unaudited) Wells Fargo Growth Balanced Fund 33

Profitability

The Board 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 Board noted that the Sub-Adviser’s profitability information with respect to providing services to the Fund 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 Board 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 Board did not deem the profits reported by Funds Management, WFAM or Wells Fargo from services provided to the Fund to be at a level that would prevent it from approving the continuation of the Advisory Agreements.

Economies of scale

The Board received and considered information about the potential for Funds Management to experience economies of scale in the provision of management services to the Fund, 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 Board noted the existence of breakpoints in the Fund’s management fee structure, which operate generally to reduce the Fund’s expense ratios as the Fund grows in size. The Board 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 Board concluded that Funds Management’s arrangements with respect to the Fund, including contractual breakpoints, constituted a reasonable approach to sharing potential economies of scale with the Fund and its shareholders.

Other benefits to Funds Management and the Sub-Adviser

The Board received and considered information regarding potential “fall-out” or ancillary benefits received by Funds Management and its affiliates, including the Sub-Adviser, as a result of their relationships with the Fund. Ancillary benefits could include, among others, benefits directly attributable to other relationships with the Fund and benefits potentially derived from an increase in Funds Management’s and the Sub-Adviser’s business as a result of their relationships with the Fund. The Board 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 Board also reviewed information about soft dollar credits earned and utilized by the Sub-Adviser, fees earned by Funds Management and the Sub-Adviser 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 its consideration of the factors and information it deemed relevant, including those described here, the Board did not find that any ancillary benefits received by Funds Management and its affiliates, including the Sub-Adviser, 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 Board unanimously approved the continuation of the Advisory Agreements for a one-year term and determined that the compensation payable to Funds Management and the Sub-Adviser under each of the Advisory Agreements was reasonable.

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For more information

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

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: 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 Fund. If this report is used for promotional purposes, distribution of the report must be accompanied or preceded by a current prospectus. Before investing, please consider the investment objectives, risks, charges, and expenses of the investment. For a current prospectus and, if available, a summary prospectus, containing this information, call1-800-222-8222 or visit the Fund’s website atwfam.com. Read the prospectus carefully before you invest or send money.

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

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

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

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

403192 07-19 A278/AR278 05-19

Annual Report

May 31, 2019

Wells Fargo Moderate Balanced Fund

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

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

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

Reduce clutter. Save trees.

Sign up for electronic delivery of prospectuses and shareholder reports atwellsfargo.com/advantagedelivery

Contents

Letter to shareholders	2
Performance highlights	6
Fund expenses	10
Portfolio of investments	11
Financial statements
Statement of assets and liabilities	13
Statement of operations	14
Statement of changes in net assets	15
Financial highlights	16
Notes to financial statements	20
Report of independent registered public accounting firm	27
Other information	28

The views expressed and any forward-looking statements are as of May 31, 2019, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Asset Management. Discussions of individual securities, or the markets generally, or any Wells Fargo Fund are not intended as individual recommendations. Future events or results may vary significantly from those expressed in any forward-looking statements. The views expressed are subject to change at any time in response to changing circumstances in the market. Wells Fargo Asset Management and the Fund disclaim any obligation to publicly update or revise any views expressed or forward-looking statements.

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

2 Wells Fargo Moderate Balanced Fund Letter to shareholders (unaudited)

Andrew Owen

President

Wells Fargo Funds

Dear Shareholder:

We are pleased to offer you this annual report for the Wells Fargo Moderate Balanced Fund for the 12-month period that ended May 31, 2019. Highershort-term interest rates, inflation concerns, trade tensions, and geopolitical events drove investment market volatility for much of 2018, particularly for international stocks. Early 2019 saw stocks and bonds gain with renewed business and investor confidence, but volatility returned late in the period as global growth slowed and geopolitical concerns persisted.

For the period, U.S. stocks, based on the S&P 500 Index,¹ gained 3.78% and international stocks, as measured by the MSCI ACWI ex USA Index (Net),² fell 6.26%. Based on the MSCI EM Index (Net),³ emerging market stocks fell 8.70%. Bond investors saw the Bloomberg Barclays U.S. Aggregate Bond Index⁴ add 6.40% while the Bloomberg Barclays Global Aggregate ex-USD Index⁵ rose 0.39%. The Bloomberg Barclays Municipal Bond Index⁶ added 6.40%, and the ICE BofAML U.S. High Yield Index⁷ was up 5.37%.

Results for investment indices reflected global concerns.

Global trade tensions escalated during the second quarter of 2018. A tit-for-tat tariff spat intensified between the U.S. and other governments. The U.S. Federal Reserve (Fed) raised the federal funds rate by 25 basis points (bps; 100 bps equal 1.00%) to a target range of between 1.75% and 2.00% in June. Market index results reflected the global concerns. The MSCI ACWI ex USA Index (Net) lost 2.61%, while the Bloomberg Barclays Global Aggregate ex-USD Index dropped 4.76%.

Not all news was bad. The U.S. Bureau of Economic Analysis reported second-quarter annualized gross domestic product (GDP) growth of 4.2%. Hiring improved. Unemployment declined. Consumer confidence and spending increased. The S&P 500 Index recorded a 3.43% second-quarter gain. Stocks of companies with smaller capitalizations did even better, as measured by the Russell 2000^® Index,⁸ adding 7.75%.

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

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

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

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

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

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

⁷  The ICE BofAML U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2019. ICE Data Indices, LLC. All rights reserved.

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

Letter to shareholders (unaudited) Wells Fargo Moderate Balanced Fund 3

Investors appeared to shake off lingering concerns during the third quarter.

Favorable third-quarter economic indicators and corporate earnings reports encouraged domestic stock investors. U.S. trade negotiations with Mexico and Canada progressed. The Conference Board Consumer Confidence Index^®9 reached its highest level in 18 years during September 2018. The Fed raised the federal funds rate by 25 bps to a target range of between 2.00% and 2.25% in September. For the quarter that ended September 30, 2018, the S&P 500 Index added 7.71%.

Investors in international markets were not as confident. Tensions between the U.S. and China increased. The U.S. imposed $200 billion in tariffs on Chinese goods. China reacted with $60 billion in tariffs on U.S. goods. Economic growth in China caused concern. The Bank of England (BoE) raised its monetary policy rate to 0.75% in August 2018. During the quarter, the MSCI ACWI ex USA Index (Net) gained 0.71%. The MSCI EM Index (Net) declined 1.09%. In fixed-income markets, U.S. bonds were flat, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index. The Bloomberg Barclays Global Aggregate ex-USD Index fell 1.74%.

Conflicting data unsettled markets during the fourth quarter.

November’s U.S. midterm elections shifted control of the House of Representatives from Republicans to Democrats, presaging potential partisan clashes. Third-quarter U.S. GDP was announced at an annualized 3.4% rate, lower than the second-quarter rate. Brexit efforts stalled ahead of the March 2019 deadline. The People’s Bank of China cut reserve requirement ratios, accelerated infrastructure spending, and cut taxes even as the value of the yuan declined to low levels last seen in 2008.

December’s S&P 500 Index performance was the worst since 1931. Globally,fixed-income investments fared better than stocks during the last two months of the year. The Fed increased the federal funds rate by 25 bps in December 2018 to a target range of between 2.25% and 2.50%.

The market climbs a wall of worry.

Investors entered 2019 with reasons to be concerned. A partial U.S. government shutdown driven by partisan policy disputes extended into January. Investment returns appeared to reaffirm the adage that markets climb a wall of worry. The S&P 500 Index gained 8.01% for the month of January, the best monthly performance in 30 years. Returns for the MSCI ACWI ex USA Index (Net), the Bloomberg Barclays U.S. Aggregate Bond Index, and the Bloomberg Barclays Global Aggregate ex-USD Index also were positive. The Fed indicated that it would pause its program of regular rate increases during 2019 as inflation remained low.

In February 2019, concerns over slowing global growth reemerged. The Bureau of Economic Analysis announced fourth-quarter 2018 GDP grew at an annualized 2.2% rate, down from levels of the prior two quarters. In a February report, the BoE forecast the slowest growth since the financial crisis for 2019. China and the U.S. continued to wrangle over trade issues.

By the end of March 2019, the combination of dovish Fed sentiment and consistent, if not spectacular, economic and business metrics reinforced investors’ confidence. Monthly job creation data regained momentum. Corporate profits, while lower than 2018’s lofty levels, remained solid. China announced a roughly $300 billion stimulus package through tax and fee cuts intended to reinvigorate economic growth.

December’s S&P 500 Index performance was the worst since 1931.

The S&P 500 Index gained 8.01% for the month of January, the best monthly performance in 30 years.

⁹  The Conference Board Consumer Confidence Index^® measures the degree of optimism on the state of the U.S. economy that consumers are expressing through their activities of saving and spending. You cannot invest directly in an index.

4 Wells Fargo Moderate Balanced Fund Letter to shareholders (unaudited)

During April, several broad-based U.S. equity indices reached or approached highs as investors drew confidence from favorable economic projections, sustained low inflation, and solid employment data. First-quarter GDP showed the economy grew at an annualized rate of 3.2% on improvement in business investment and exports. Favorable sentiment extended to foreign markets as the MSCI ACWI ex USA Index (Net) gained 2.64% and the MSCI EM Index (Net) added 2.11% for the month.

May 2019 presented investors with mixed signals in the economy, in the markets, and politically. In the U.S., partisan wrangling ramped up as Democrats and Republicans set their sights on 2020 presidential politics. In the U.K., the Brexit stalemate resulted in the resignation of Prime Minister Theresa May. The European Commission downgraded the 2019 growth forecast for the block of countries to 1.2%. The U.S. increased tariffs on products from China, China responded, and then talks broke down. Ending the month, equities, as measured by the MSCI ACWI (Net),¹⁰ dropped 5.93% while bonds, often considered a less risky investment, gained 1.04%, as measured by the Bloomberg Barclays Global Aggregate ex-USD Index.

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

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

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

Sincerely,

Andrew Owen

President

Wells Fargo Funds

For further information about your Fund, contact your investment professional, visit our website atwfam.com, or call us directly at1-800-222-8222.

¹⁰  The MSCI ACWI (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. You cannot invest directly in an index.

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6 Wells Fargo Moderate Balanced Fund Performance highlights (unaudited)

Investment objective

The Fund seeks total return, consisting of current income and capital appreciation.

Manager

Wells Fargo Funds Management, LLC

Subadviser

Wells Capital Management Incorporated

Portfolio managers

Kandarp R. Acharya, CFA^®‡ , FRM

Petros N. Bocray, CFA^®‡ , FRM

Christian L. Chan, CFA^®‡

Average annual total returns (%) as of May 31, 2019

		Including sales charge						Excluding sales charge						Expense ratios1 (%)
	Inception date	1 year		5 year		10 year		1 year		5 year		10 year		Gross		Net2
Class A (WFMAX)	1-30-2004		-3.22		3.06		6.94		2.68		4.29		7.58		1.32		1.15
Class C (WFBCX)	1-30-2004		0.90		3.50		6.76		1.90		3.50		6.76		2.07		1.90
Administrator Class (NVMBX)	11-11-1994		–		–		–		2.95		4.55		7.83		1.24		0.90
Institutional Class (WFMYX)3	7-31-2018		–		–		–		3.05		4.57		7.85		0.99		0.80
Moderate Balanced Blended Index4	–		–		–		–		3.99		4.73		7.07		–		–
Bloomberg Barclays U.S. Aggregate Bond Index5	–		–		–		–		6.40		2.70		3.83		–		–
Bloomberg Barclays U.S. Short Treasury 9-12 Months Index6	–		–		–		–		2.62		0.98		0.71		–		–
MSCI EAFE Index (Net)7	–		–		–		–		-5.75		1.27		6.23		–		–
Russell 1000® Growth Index8	–		–		–		–		5.39		12.33		15.64		–		–
Russell 1000® Value Index9	–		–		–		–		1.45		6.53		12.33		–		–
Russell 2000® Index10	–		–		–		–		-9.04		6.71		12.84		–		–
S&P 500 Index11	–		–		–		–		3.78		9.66		13.95		–		–

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

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

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

Balanced funds may invest in stocks and bonds. Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. Bond values fluctuate in response to the financial condition of individual issuers, general market and economic conditions, and changes in interest rates. Changes in market conditions and government policies may lead to periods of heightened volatility in the bond market and reduced liquidity for certain bonds held by the Fund. In general, when interest rates rise, bond values fall and investors may lose principal value. Interest rate changes and their impact on the fund and its share price can be sudden and unpredictable. The use of derivatives may reduce returns and/or increase volatility. Certain investment strategies tend to increase the total risk of an investment (relative to the broader market). The Fund is exposed to mortgage- and asset-backed securities risk. Consult the Fund’s prospectus for additional information on these and other risks.

Please see footnotes on page 7.

Performance highlights (unaudited) Wells Fargo Moderate Balanced Fund 7

Growth of $10,000 investment as of May 31, 2019¹¹

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

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.44% in acquired fund fees and expenses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which do not include acquired fund fees and expenses.

²  The manager has contractually committed through September 30, 2019, to waive fees and/or reimburse expenses to the extent necessary to cap the expenses of each class after fee waivers at the amounts shown. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios and funds invest and from any money market funds, and extraordinary expenses are excluded from the expense cap. All other acquired fund fees and expenses from the affiliated master portfolios and funds are included in the expense caps. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Without this cap, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  Historical performance shown for the Institutional Class shares prior to their inception reflects the performance of the Administrator Class shares, and is not adjusted to reflect Institutional Class share expenses. If these expenses had been included, returns for Institutional Class shares would be higher. The Administrator Class annual returns are substantially similar to what the Institutional Class annual returns would be because the Administrator and Institutional Class shares are invested in the same portfolio and their returns differ only to the extent that they do not have the same expenses.

⁴  Source: Wells Fargo Funds Management, LLC. The Moderate Balanced Blended Index is composed 45% of the Bloomberg Barclays U.S. Aggregate Bond Index, 15% of the Bloomberg Barclays U.S. Short Treasury 9-12 Months Index, 10% of the Russell 1000^® Growth Index, 10% of the Russell 1000^® Value Index, 10% of the S&P 500 Index, 6% of the MSCI EAFE Index (Net), and 4% of the Russell 2000^® Index. You cannot invest directly in an index.

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

⁶  The Bloomberg Barclays U.S. Short Treasury 9–12 Months Index is an unmanaged index that includes aged U.S. Treasury bills, notes, and bonds with a remaining maturity from 9 up to (but not including) 12 months. It excludes zero-coupon STRIPS. You cannot invest directly in an index.

⁷  The Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE) Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. Source: MSCI. MSCI makes no representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index.

⁸  The Russell 1000^® Growth Index measures the performance of those Russell 1000 companies with higher price/book ratios and higher forecasted growth values. You cannot invest directly in an index.

⁹  The Russell 1000^® Value Index measures the performance of those Russell 1000 companies with lower price/book ratios and lower forecasted growth values. You cannot invest directly in an index.

¹⁰  The Russell 2000^® Index measures the performance of the 2,000 smallest companies in the Russell 3000^® Index, which represents approximately 8% of the total market capitalization of the Russell 3000^® Index. You cannot invest directly in an index.

¹¹  The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock’s weight in the index proportionate to its market value. You cannot invest directly in an index.

¹²  The chart compares the performance of Class A shares for the most recent ten years with the Moderate Balanced Blended Index, the Bloomberg Barclays U.S. Aggregate Bond Index, Bloomberg Barclays U.S. Short Treasury 9–12 Months Index, the MSCI EAFE Index (Net), the Russell 1000^® Growth Index, the Russell 1000^® Value Index, the Russell 2000^® Index, and the S&P 500 Index. The chart assumes a hypothetical $10,000 investment in Class A and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

¹³  The ten largest holdings, excluding cash and cash equivalents and any money market funds, are calculated based on the value of the investments divided by the total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

¹⁴  Effective allocation includes the effect of any tactical futures overlay that may be in place. Effective cash is comprised of the net impact of long and/or short futures contracts held as part of a dynamic risk management strategy. These amounts are subject to change and may have changed since the date specified.

8 Wells Fargo Moderate Balanced Fund Performance highlights (unaudited)

MANAGER’S DISCUSSION

Fund highlights

∎ The Fund underperformed the Moderate Balanced Blended Index for the 12-month period that ended May 31, 2019.

∎ Relative underperformance by two of the underlying domestic equity investments and one of the underlying international equity investments were the most significant detractors from performance over the period.

∎ On a relative basis, one-third of underlying investments outperformed their respective benchmarks.

∎ The tactical asset allocation (TAA) overlay, a futures strategy, added to performance through the period.

Positive economic data and increased market volatility ruled most of the period.

The 12-month period that ended May 31, 2019, saw the U.S. economy continue on a positive trajectory, producing moderate average gross domestic product growth of 3.1% with a core inflation rate of 2.0%, while unemployment reached a low of 3.6%, the lowest level since 1969.

Over the last 12 months, the financial markets experienced more volatility than the favorable economic environment might have suggested. Looking back at the financial markets, we saw equities experience a significant decline during the fourth quarter of 2018, as concerns over a partial U.S. government shutdown, central bank tightening, trade tensions, and slowing economic growth shook investors’ confidence. The market volatility of the fourth quarter gave way to a first-quarter 2019 rebound where both equity and fixed-income markets rallied. The two markets seemed joined at the hip as the Federal Reserve’s (Fed’s) updated script signaled an easier policy path for the balance of 2019. Market participants were caught offside by this evolution in the projected policy path, which has resulted in a broader opportunity set for sector rotation in equities and yield curve trades. We saw a return of volatility toward the end of the 12-month period as concerns over trade (primarily with China and Mexico) caused concerns over global growth to weigh on investors’ minds.

Ten largest holdings (%) as of May 31, 201913
Wells Fargo Managed Fixed Income Portfolio	32.00
Wells Fargo Conservative Income Fund Institutional Class	15.10
Wells Fargo Disciplined Large Cap Portfolio	9.40
Wells Fargo Core Bond Portfolio	9.14
Wells Fargo Diversified Large Cap Growth Portfolio	6.68
Wells Fargo Large Company Value Portfolio	6.46
Wells Fargo Real Return Portfolio	4.56
Wells Fargo C&B Large Cap Value Portfolio	3.21
Wells Fargo International Growth Portfolio	2.98
Wells Fargo International Value Portfolio	2.94

Allocations (%) as of May 31, 2019
	Effective allocation14		Neutral allocation
Bonds		60		60
Stocks		36		40
Effective Cash		4		0

Portfolio management addressed Fund allocations throughout the period.

Over the period, we made one significant change to the underlying portfolios used within the Fund. In the fourth quarter of 2018, we added three dedicated emerging market holdings to the portfolio. This change reflects our belief that gaining direct emerging market exposure from dedicated emerging market portfolio managers is preferable to relying on our developed market managers alone.

Within the Fund’s underlying holdings, the fixed-income holdings were the strongest contributors to performance on both a relative and an absolute basis. The Managed Fixed Income Portfolio is the largest single underlying holding in the portfolio. It returned more than 7% and outperformed its benchmark by 82 basis points (bps; 100 bps equal 1.00%). The underlying developed market international equity funds produced negative absolute returns and mixed relative performance results. The U.S. equity funds tended to produce positive absolute performance with mixed relative performance results. Poor relative performance from two U.S.-focused and two international equity managers was the primary detractor from performance.

Please see footnotes on page 7.

Performance highlights (unaudited) Wells Fargo Moderate Balanced Fund 9

At the start of the period, the Fund’s targeted TAA overlay was 5.00% long in the S&P 500 futures contract. Due to volatility concerns, in early September, 2018, we reduced the position by 2.50%. In October, 2018, we added a total of 2.50%, bringing the position back to 5.00% long. During early November, 2018, we covered 1.25%. In early December, 2018, we added 2.50%, bringing the position to 6.25%. As January, 2019, drew to a close, we covered 2.50%. In early February, 2019, we covered the remaining 3.75% and exited the position. With respect to the 10-year Treasury contract activity, we started the period short 2.50% and covered the position in early October, 2018. In mid-December, 2018, we established a new 2.50% short position and exited it in early March, 2019.

Looking ahead, we are somewhat cautiously optimistic.

Our macroeconomic view is that growth will remain positive but it will be slower over the next 12 months than it was over the preceding 12 months. However, we still hold that absent an exogenous shock—likely an implemented shift in trade policy—a U.S. recession is unlikely in 2019. As always, that view could change with new data. We are concerned about growth prospects in Europe and in the rest of the world but are most concerned about the U.S. trade negotiations with major trading partners. Until the trade negotiations move toward détente and more certainty builds to invoke more aggressive business planning resulting in further growth, we are taking a bit more of a cautious approach to the markets and have started to reduce some risks in the portfolios. Like the Fed, we remain very data dependent and acknowledge that while the U.S. economy may be softening, the levels of growth remain robust and 2019 should remain a target-rich environment for investors.

10 Wells Fargo Moderate Balanced Fund Fund expenses (unaudited)

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

The example is based on an investment of $1,000 invested at the beginning of the six-month period and held for the entire period from December 1, 2018 to May 31, 2019.

Actual expenses

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

Hypothetical example for comparison purposes

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

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

	Beginning account value 12-1-2018		Ending account value 5-31-2019		Expenses paid during the period1,2		Annualized net expense ratio1
Class A
Actual	$	1,000.00	$	1,031.79	$	5.59		1.10	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,019.43	$	5.56		1.10	%
Class C
Actual	$	1,000.00	$	1,027.82	$	9.37		1.85	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,015.69	$	9.32		1.85	%
Administrator Class
Actual	$	1,000.00	$	1,033.12	$	4.33		0.85	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,020.67	$	4.30		0.85	%
Institutional Class
Actual	$	1,000.00	$	1,033.69	$	3.82		0.75	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.17	$	3.80		0.75	%

¹ Amounts reflect net expenses allocated from the affiliated Master Portfolios in which the Fund invests.

² Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one-half-year period).

Portfolio of investments—May 31, 2019 Wells Fargo Moderate Balanced Fund 11

Security name						Shares		Value
Exchange-Traded Funds: 0.78%
Consumer Staples Select Sector SPDR Fund							17,718	$	985,298
Total Exchange-Traded Funds (Cost $899,457)									985,298
Investment Companies: 98.76%
Affiliated Master Portfolios: 82.02%
Wells Fargo C&B Large Cap Value Portfolio									4,032,490
Wells Fargo Core Bond Portfolio									11,494,859
Wells Fargo Disciplined Large Cap Portfolio									11,818,312
Wells Fargo Diversified Large Cap Growth Portfolio									8,395,498
Wells Fargo Emerging Growth Portfolio									1,221,632
Wells Fargo Factor Enhanced Emerging Markets Portfolio									1,044,370
Wells Fargo International Growth Portfolio									3,752,691
Wells Fargo International Value Portfolio									3,690,039
Wells Fargo Large Company Value Portfolio									8,121,273
Wells Fargo Managed Fixed Income Portfolio									40,231,988
Wells Fargo Real Return Portfolio									5,731,509
Wells Fargo Small Company Growth Portfolio									1,202,070
Wells Fargo Small Company Value Portfolio									2,380,550
									103,117,281
Affiliated Stock Funds: 16.74%
Wells Fargo Conservative Income Fund Institutional Class							1,900,364		18,984,634
Wells Fargo Emerging Markets Equity Fund Class R6							43,068		1,019,000
Wells Fargo Emerging Markets Equity Income Fund Class R6							97,693		1,041,406
									21,045,040
Total Investment Companies (Cost $115,404,819)									124,162,321
	Yield			Maturity date		Principal
Short-Term Investments: 0.30%
U.S. Treasury Securities: 0.30%
U.S. Treasury Bill #(z)		2.07	%		6-25-2019	$	379,000		378,471
Total Short-Term Investments (Cost $378,457)									378,471

Total investments in securities (Cost $116,682,733)	99.84	%		125,526,090
Other assets and liabilities, net	0.16			195,349
Total net assets	100.00	%	$	125,721,439

# All or a portion of this security is segregated as collateral for investments in derivative instruments.

(z) Zero coupon security. The rate represents the current yield to maturity.

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost			Notional value			Unrealized gains		Unrealized losses
Long
Japanese Yen Futures		56		6-17-2019	$	6,369,280		$	6,465,550		$	96,270	$	0
Short
S&P 500 E-Mini Index		(41)		6-21-2019		(5,765,455	)		(5,642,830	)		122,625		0
											$	218,895	$	0

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

12 Wells Fargo Moderate Balanced Fund Portfolio of investments—May 31, 2019

Investments in Affiliates

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

	Shares, beginning of period		Shares purchased		Shares sold		Shares, end of period		Net realized gains (losses) on affiliated Underlying Funds			Net change in unrealized gains (losses) on affiliated Underlying Funds		Dividends from affiliated Underlying Funds		Value, end of period		% of net assets
Investment Companies
Affiliated Stock Funds
Wells Fargo Conservative Income Fund Institutional Class		0		2,548,674		648,310		1,900,364	$	(11,988	)	$	3,231	$	377,440	$	18,984,634
Wells Fargo Disciplined U.S. Core Fund Class R6*		884,580		0		884,580		0		59,788			400,035		0		0
Wells Fargo Emerging Markets Equity Fund Class R6		0		48,919		5,851		43,068		11,170			71,948		0		1,019,000
Wells Fargo Emerging Markets Equity Income Fund Class R6		0		107,473		9,780		97,693		5,421			34,647		5,557		1,041,406
									$	64,391		$	509,861	$	382,997	$	21,045,040		16.74	%

* No longer held at the end of the period.

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Wells Fargo C&B Large Cap Value Portfolio		1.21	%		1.15	%	$	482,138		$	(400,246	)	$	0	$	84,889	$	2,218	$	4,032,490
Wells Fargo Core Bond Portfolio		0.24			0.20			(114,768	)		428,669			411,276		0		4,771		11,494,859
Wells Fargo Disciplined Large Cap Portfolio		0.00			3.78			(445,015	)		(52,056	)		0		284,186		2,309		11,818,312
Wells Fargo Diversified Large Cap Growth Portfolio		16.77			3.35			778,723			(823,916	)		0		148,126		3,596		8,395,498
Wells Fargo Emerging Growth Portfolio		0.17			0.15			241,474			(202,643	)		0		1,596		1,739		1,221,632
Wells Fargo Factor Enhanced Emerging Markets Portfolio		0.00			0.41			19,639			(5,692	)		79		10,914		366		1,044,370
Wells Fargo International Growth Portfolio		13.50			1.79			(175,160	)		(23,746	)		0		96,958		6,536		3,752,691
Wells Fargo International Value Portfolio		0.66			0.35			(24,702	)		(773,682	)		0		188,091		7,090		3,690,039
Wells Fargo Large Company Value Portfolio		15.34			3.26			(28,660	)		(147,354	)		588		230,118		3,093		8,121,273
Wells Fargo Managed Fixed Income Portfolio		45.54			6.90			(2,806	)		1,303,881			1,546,371		0		73,573		40,231,988
Wells Fargo Real Return Portfolio		4.78			3.14			(47,111	)		41,641			146,984		26,316		1,460		5,731,509
Wells Fargo Small Company Growth Portfolio		0.07			0.07			278,562			(327,178	)		0		7,893		1,424		1,202,070
Wells Fargo Small Company Value Portfolio		1.80			1.87			(120,043	)		(284,356	)		0		40,165		1,992		2,380,550
Wells Fargo Stable Income Portfolio*		100.00			0.00			173,323			(207,605	)		164,693		0		3,616		0
							$	1,015,594		$	(1,474,283	)	$	2,269,991	$	1,119,252	$	113,783	$	103,117,281		82.02	%

* No longer held at the end of the period

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

Statement of assets and liabilities—May 31, 2019 Wells Fargo Moderate Balanced Fund 13

Assets
Investments in affiliated Master Portfolios, at value (cost 94,469,605)	$	103,117,281
Investments in affiliated Underlying Funds, at value (cost $20,935,214)		21,045,040
Investments in unaffiliated securities, at value (cost $1,277,914)		1,363,769
Cash		18,446
Receivable for investments sold		6,554
Receivable for Fund shares sold		158,430
Receivable for dividends		44,776
Receivable for daily variation margin on open futures contracts		145,740
Receivable from manager		2,091
Prepaid expenses and other assets		31,284
Total assets		125,933,411
Liabilities
Payable for Fund shares redeemed		120,846
Shareholder report expenses payable		32,966
Shareholder servicing fees payable		26,744
Administration fees payable		17,784
Distribution fee payable		5,894
Accrued expenses and other liabilities		7,738
Total liabilities		211,972
Total net assets	$	125,721,439
NET ASSETS CONSIST OF
Paid-in capital	$	114,869,173
Total distributable earnings		10,852,266
Total net assets	$	125,721,439
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARE
Net assets – Class A	$	30,132,202
Shares outstanding – Class A1		1,480,902
Net asset value per share – Class A		$20.35
Maximum offering price per share – Class A2		$21.59
Net assets – Class C	$	8,509,303
Shares outstanding – Class C1		429,673
Net asset value per share – Class C		$19.80
Net assets – Administrator Class	$	78,209,082
Shares outstanding – Administrator Class1		3,803,335
Net asset value per share – Administrator Class		$20.56
Net assets – Institutional Class	$	8,870,852
Shares outstanding – Institutional Class1		430,613
Net asset value per share – Institutional Class		$20.60

¹  The Fund has an unlimited number of authorized shares.

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

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

14 Wells Fargo Moderate Balanced Fund Statement of operations—year ended May 31, 2019

Investment income
Interest allocated from affiliated Master Portfolios (net of foreign withholding taxes of $175)	$	2,269,991
Dividends allocated from affiliated Master Portfolios (net of foreign withholding taxes of $45,704)		1,119,252
Dividends from affiliated Underlying Funds		382,997
Affiliated income allocated from affiliated Master Portfolios		113,783
Dividends		7,637
Interest		7,078
Expenses allocated from affiliated Master Portfolios		(620,653	)
Waivers allocated from affiliated Master Portfolios		49,348
Total investment income		3,329,433
Expenses
Management fee		424,590
Administration fees
Class A		66,551
Class C		20,818
Administrator Class		124,411
Institutional Class		5,492	1
Shareholder servicing fees
Class A		79,228
Class C		24,784
Administrator Class		238,352
Distribution fee
Class C		74,351
Custody and accounting fees		8,658
Professional fees		31,448
Registration fees		67,810
Shareholder report expenses		61,050
Trustees’ fees and expenses		22,321
Other fees and expenses		14,176
Total expenses		1,264,040
Less: Fee waivers and/or expense reimbursements		(432,478	)
Net expenses		831,562
Net investment income		2,497,871
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS
Net realized gains on:
Securities transactions allocated from affiliated Master Portfolios		1,015,594
Affiliated Underlying Funds		64,391
Unaffiliated securities		1,832
Futures contracts		176,527
Net realized gains on investments		1,258,344
Net change in unrealized gains (losses) on:
Securities transactions allocated from affiliated Master Portfolios		(1,474,283	)
Affiliated Underlying Funds		509,861
Unaffiliated securities		85,852
Futures contracts		483,916
Net change in unrealized gains (losses) on investments		(394,654	)
Net realized and unrealized gains (losses) on investments		863,690
Net increase in net assets resulting from operations	$	3,361,561

¹  For the period from July 31, 2018 (commencement of class operations) to May 31, 2019

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

Statement of changes in net assets Wells Fargo Moderate Balanced Fund 15

	Year ended May 31, 2019						Year ended May 31, 20181
Operations
Net investment income				$	2,497,871					$	2,427,369
Net realized gains on investments					1,258,344						9,722,121
Net change in unrealized gains (losses) on investments					(394,654	)					(3,671,454	)
Net increase in net assets resulting from operations					3,361,561						8,478,036
Distributions to shareholders from net investment income and net realized gains
Class A					(3,737,616	)					(2,929,431	)
Class C					(1,254,911	)					(881,207	)
Administrator Class					(10,246,697	)					(9,288,417	)
Institutional Class					(1,267,462	)2					N/A
Total distributions to shareholders					(16,506,686	)					(13,099,055	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		444,234			9,499,182			241,519			5,649,474
Class C		144,391			2,961,750			45,422			1,038,170
Administrator Class		387,699			8,499,230			612,499			14,353,555
Institutional Class		503,047	2		11,157,702	2		N/A			N/A
					32,117,864						21,041,199
Reinvestment of distributions
Class A		179,435			3,535,133			120,671			2,760,491
Class C		63,450			1,215,365			36,950			823,717
Administrator Class		512,778			10,216,092			399,782			9,238,735
Institutional Class		63,414	2		1,264,356	2		N/A			N/A
					16,230,946						12,822,943
Payment for shares redeemed
Class A		(550,017	)		(11,776,841	)		(517,571	)		(12,019,030	)
Class C		(240,319	)		(4,860,142	)		(150,464	)		(3,420,001	)
Administrator Class		(1,991,930	)		(44,740,421	)		(882,642	)		(20,956,867	)
Institutional Class		(135,848	)2		(2,646,480	)2		N/A			N/A
					(64,023,884	)					(36,395,898	)
Net decrease in net assets resulting from capital share transactions					(15,675,074	)					(2,531,756	)
Total decrease in net assets					(28,820,199	)					(7,152,775	)
Net assets
Beginning of period					154,541,638						161,694,413
End of period				$	125,721,439					$	154,541,638

¹  Effective for all fillings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Undistributed net investment income at May 31, 2018 was $1,221,521. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 8,Distributions to Shareholders, in the notes to the financial statements.

²  For the period from July 31, 2018 (commencement of class operations) to May 31, 2019

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

16 Wells Fargo Moderate Balanced Fund Financial highlights

(For a share outstanding throughout each period)

	Year ended May 31
CLASS A	2019			2018			2017			2016			2015
Net asset value, beginning of period		$22.73			$23.47			$22.51			$23.57			$23.19
Net investment income		0.36	1		0.29			0.28			0.28	1		0.32
Net realized and unrealized gains (losses) on investments		0.11			0.97			1.34			(0.23	)		1.01
Total from investment operations		0.47			1.26			1.62			0.05			1.33
Distributions to shareholders from
Net investment income		(0.42	)		(0.32	)		(0.29	)		(0.26	)		(0.44	)
Net realized gains		(2.43	)		(1.68	)		(0.37	)		(0.85	)		(0.51	)
Total distributions to shareholders		(2.85	)		(2.00	)		(0.66	)		(1.11	)		(0.95	)
Net asset value, end of period		$20.35			$22.73			$23.47			$22.51			$23.57
Total return2		2.68	%		5.38	%		7.33	%		0.34	%		5.87	%
Ratios to average net assets (annualized)
Gross expenses3		1.31	%		1.33	%		1.32	%		1.32	%		1.36	%
Net expenses3		1.12	%		1.13	%		1.15	%		1.15	%		1.15	%
Net investment income3		1.65	%		1.42	%		1.25	%		1.26	%		1.14	%
Supplemental data
Portfolio turnover rate4		191	%		113	%		114	%		87	%		84	%
Net assets, end of period (000s omitted)		$30,132			$31,980			$36,679			$35,993			$20,782

¹  Calculated based upon average shares outstanding

²  Total return calculations do not include any sales charges.

³  Ratios include only the net expenses allocated from the affiliated Master Portfolios and do not include expenses from any other Underlying Funds. Net expenses allocated from the affiliated Master Portfolios included in the ratios were as follows:

Year ended May 31, 2019	0.40	%
Year ended May 31, 2018	0.44	%
Year ended May 31, 2017	0.46	%
Year ended May 31, 2016	0.47	%
Year ended May 31, 2015	0.47	%

⁴  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in the respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. These purchases and sales amounts are aggregated with the direct purchases and sales in the affiliated Underlying Funds and unaffiliated securities and included in the portfolio turnover calculation.

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

Financial highlights Wells Fargo Moderate Balanced Fund 17

(For a share outstanding throughout each period)

	Year ended May 31
CLASS C	2019			2018			2017			2016			2015
Net asset value, beginning of period		$22.20			$22.97			$22.05			$23.18			$22.79
Net investment income		0.12			0.10			0.11	1		0.11	1		0.09	1
Net realized and unrealized gains (losses) on investments		0.18			0.95			1.32			(0.23	)		1.04
Total from investment operations		0.30			1.05			1.43			(0.12	)		1.13
Distributions to shareholders from
Net investment income		(0.27	)		(0.14	)		(0.14	)		(0.16	)		(0.23	)
Net realized gains		(2.43	)		(1.68	)		(0.37	)		(0.85	)		(0.51	)
Total distributions to shareholders		(2.70	)		(1.82	)		(0.51	)		(1.01	)		(0.74	)
Net asset value, end of period		$19.80			$22.20			$22.97			$22.05			$23.18
Total return2		1.90	%		4.56	%		6.56	%		(0.44	)%		5.06	%
Ratios to average net assets (annualized)
Gross expenses3		2.06	%		2.08	%		2.07	%		2.07	%		2.11	%
Net expenses3		1.87	%		1.88	%		1.90	%		1.90	%		1.90	%
Net investment income3		0.89	%		0.66	%		0.50	%		0.51	%		0.40	%
Supplemental data
Portfolio turnover rate4		191	%		113	%		114	%		87	%		84	%
Net assets, end of period (000s omitted)		$8,509			$10,260			$12,180			$12,501			$6,042

¹  Calculated based upon average shares outstanding

²  Total return calculations do not include any sales charges.

³  Ratios include only the net expenses allocated from the affiliated Master Portfolios and do not include expenses from any other Underlying Funds. Net expenses allocated from the affiliated Master Portfolios included in the ratios were as follows:

Year ended May 31, 2019	0.40	%
Year ended May 31, 2018	0.44	%
Year ended May 31, 2017	0.46	%
Year ended May 31, 2016	0.47	%
Year ended May 31, 2015	0.47	%

⁴  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in the respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. These purchases and sales amounts are aggregated with the direct purchases and sales in the affiliated Underlying Funds and unaffiliated securities and included in the portfolio turnover calculation.

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

18 Wells Fargo Moderate Balanced Fund Financial highlights

(For a share outstanding throughout each period)

	Year ended May 31
ADMINISTRATOR CLASS	2019			2018			2017			2016			2015
Net asset value, beginning of period		$22.94			$23.68			$22.70			$23.75			$23.38
Net investment income		0.41	1		0.38			0.35	1		0.32			0.33	1
Net realized and unrealized gains (losses) on investments		0.12			0.94			1.35			(0.21	)		1.07
Total from investment operations		0.53			1.32			1.70			0.11			1.40
Distributions to shareholders from
Net investment income		(0.48	)		(0.38	)		(0.35	)		(0.31	)		(0.52	)
Net realized gains		(2.43	)		(1.68	)		(0.37	)		(0.85	)		(0.51	)
Total distributions to shareholders		(2.91	)		(2.06	)		(0.72	)		(1.16	)		(1.03	)
Net asset value, end of period		$20.56			$22.94			$23.68			$22.70			$23.75
Total return		2.95	%		5.59	%		7.62	%		0.59	%		6.13	%
Ratios to average net assets (annualized)
Gross expenses2		1.23	%		1.25	%		1.24	%		1.23	%		1.20	%
Net expenses2		0.87	%		0.88	%		0.90	%		0.90	%		0.90	%
Net investment income2		1.88	%		1.67	%		1.49	%		1.48	%		1.39	%
Supplemental data
Portfolio turnover rate3		191	%		113	%		114	%		87	%		84	%
Net assets, end of period (000s omitted)		$78,209			$112,302			$112,835			$156,915			$153,457

¹  Calculated based upon average shares outstanding

²  Ratios include only the net expenses allocated from the affiliated Master Portfolios and do not include expenses from any other Underlying Funds. Net expenses allocated from the affiliated Master Portfolios included in the ratios were as follows:

Year ended May 31, 2019	0.41	%
Year ended May 31, 2018	0.44	%
Year ended May 31, 2017	0.46	%
Year ended May 31, 2016	0.47	%
Year ended May 31, 2015	0.47	%

³  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in the respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. These purchases and sales amounts are aggregated with the direct purchases and sales in the affiliated Underlying Funds and unaffiliated securities and included in the portfolio turnover calculation.

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

Financial highlights Wells Fargo Moderate Balanced Fund 19

(For a share outstanding throughout the period)

INSTITUTIONAL CLASS	Year ended May 31, 20191
Net asset value, beginning of period		$23.24
Net investment income		0.37	1
Net realized and unrealized gains (losses) on investments		(0.12	)
Total from investment operations		0.25
Distributions to shareholders from
Net investment income		(0.46	)
Net realized gains		(2.43	)
Total distributions to shareholders		(2.89	)
Net asset value, end of period		$20.60
Total return3		1.72	%
Ratios to average net assets (annualized)
Gross expenses4		0.98	%
Net expenses4		0.75	%
Net investment income4		2.15	%
Supplemental data
Portfolio turnover rate5		191	%
Net assets, end of period (000s omitted)		$8,871

¹  For the period from July 31, 2018 (commencement of class operations) to May 31, 2019

²  Calculated based upon average shares outstanding

³  Returns for periods of less than one year are not annualized.

⁴  Ratios include only the net expenses allocated from the affiliated Master Portfolios and do not include expenses from any other Underlying Funds. Net expenses allocated from the affiliated Master Portfolios included in the ratios was 0.38%.

⁵  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in the respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. These purchases and sales amounts are aggregated with the direct purchases and sales in the affiliated Underlying Funds and unaffiliated securities and included in the portfolio turnover calculation.

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

20 Wells Fargo Moderate Balanced Fund Notes to financial statements

1. ORGANIZATION

Wells Fargo Funds Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As an investment company, the Trust follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statements report on the Wells Fargo Moderate Balanced Fund (the “Fund”) which is a diversified series of the Trust.

The Fund is a fund-of-funds that invests in various affiliated mutual funds (“Underlying Funds”) employing a multi-asset, multi-style investment approach designed to reduce the price and return volatility of the Fund and to provide more consistent returns. The Underlying Funds incur separate expenses in seeking to achieve their investment objectives. Investments in affiliated Underlying Funds may also include investments in one or more separate diversified portfolios (collectively, the “affiliated Master Portfolios”) of Wells Fargo Master Trust, a registered open-end management investment company. Each affiliated Master Portfolio directly acquires portfolio securities, and the Fund acquires an indirect interest in those securities. The Fund accounts for its investments in the affiliated Master Portfolios as partnership investments and records on a daily basis its share of each affiliated Master Portfolio’s income, expense and realized and unrealized gains and losses. The financial statements of the affiliated Master Portfolios are presented in separate financial statements and may be obtained free of charge by contacting Investor Services or by visiting the SEC website at sec.gov. The financial statements of the affiliated Master Portfolios are filed with the SEC under Wells Fargo Master Trust. The financial statements for all other Underlying Funds are also publicly available on the SEC website at sec.gov.

2. SIGNIFICANT ACCOUNTING POLICIES

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

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Fund may deviate from this calculation time under unusual or unexpected circumstances.

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

Investments in underlying mutual funds are valued at net asset per share as reported by the Underlying Funds as of the close of the regular trading on the New York Stock Exchange on each day the exchange is open for trading.

Debt securities are valued at the evaluated bid price provided by an independent pricing service (e.g. taking into account various factors, including yields, maturities, or credit ratings) or, if a reliable price is not available, the quoted bid price from an independent broker-dealer.

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

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 Fund. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC (“Funds Management”). The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.

Futures contracts

The Fund is subject to interest rate risk, equity price risk and foreign currency risk in the normal course of pursuing its investment objectives. Futures contracts are agreements between the Fund and a counterparty to buy or sell a specific amount of a commodity, financial instrument or currency at specified price and on a specified date. The Fund may buy

Notes to financial statements Wells Fargo Moderate Balanced Fund 21

and sell futures contracts in order to gain exposure to, or protect against, changes in interest rates, security values and foreign exchange rates. The primary risks associated with the use of futures contracts are the imperfect correlation between changes in market values of securities held by the Fund and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange. With futures contracts, there is minimal counterparty risk to the Fund since futures contracts are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures contracts against default.

Upon entering into a futures contracts, the Fund is required to deposit either cash or securities (initial margin) with the broker in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are paid to or from the broker each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains or losses and, if any, shown as variation margin receivable (payable) in the Statement of Assets and Liabilities. Should the Fund fail to make requested variation margin payments, the broker can gain access to the initial margin to satisfy the Fund’s payment obligations. When the contracts are closed, a realized gain or loss is recorded in the Statement of Operations.

Investment transactions, income and expenses

Investments in the affiliated Master Portfolios are recorded on a trade basis. The Fund records daily its proportionate share of each affiliated Master Portfolio’s interest and dividend income, expenses and realized and unrealized gains or losses. The Fund also accrues its own expenses.

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 dividends and capital gain distributions from investment companies are recorded on the ex-dividend date. Capital gain distributions from investment companies are treated as realized gains.

Distributions to shareholders

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

Federal and other taxes

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

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

As of May 31, 2019, the aggregate cost of all investments for federal income tax purposes was $115,951,759 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	9,793,226
Gross unrealized losses		0
Net unrealized gains	$	9,793,226

Reclassifications are made to the Fund’s capital accounts for permanent tax differences to reflect income and gains available for distribution (or available capital loss carryforwards) under federal income tax regulations. U.S. generally accepted accounting principles require that certain components of net assets be adjusted to reflect permanent

22 Wells Fargo Moderate Balanced Fund Notes to financial statements

differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. The primary permanent difference causing such reclassification is due to redemption of partnership interest. At May 31, 2019, as a result of permanent book-to-tax differences, the following reclassification adjustments were made on the Statement of Assets and Liabilities:

Paid-in capital	Total distributable earnings
$(49,046)	$49,046

As of May 31, 2019, the Fund had current year deferred post-October capital losses consisting of $522,478 in short-term losses which will be recognized on the first day of the following fiscal year.

Class allocations

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

3. FAIR VALUATION MEASUREMENTS

Fair value measurements of investments are determined within a framework that has established a fair value hierarchy based upon the various data inputs utilized in determining the value of the Fund’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Fund’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

∎ Level 1 – quoted prices in active markets for identical securities

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

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

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

The following is a summary of the inputs used in valuing the Fund’s assets and liabilities as of May 31, 2019:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Exchange-traded funds	$	985,298	$	0	$	0	$	985,298
Investment companies		21,045,040		0		0		21,045,040
Short-term investments
U.S. Treasury securities		378,471		0		0		378,471
Investments measured at net asset value*								103,117,281
		22,408,809		0		0		125,526,090
Futures contracts		218,895		0		0		218,895
Total assets	$	22,627,704	$	0	$	0	$	125,744,985

* Investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amount presented in the table is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. The Fund’s investment in the affiliated Master Portfolios are valued at $103,117,281 does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.

Notes to financial statements Wells Fargo Moderate Balanced Fund 23

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

At May 31, 2019, the Fund did not have any transfers into/out of Level 3.

The investment objective of each affiliated Master Portfolio is as follows:

Affiliated Master Portfolio	Investment objective
Wells Fargo C&B Large Cap Value Portfolio	Seeks maximum long-term total return (current income and capital appreciation), consistent with minimizing risk to principal
Wells Fargo Core Bond Portfolio	Seeks total return, consisting of income and capital appreciation
Wells Fargo Disciplined Large Cap Portfolio	Seeks long-term capital appreciation
Wells Fargo Diversified Large Cap Growth Portfolio	Seeks long-term capital appreciation
Wells Fargo Emerging Growth Portfolio	Seeks long-term capital appreciation
Wells Fargo Factor Enhanced Emerging Markets Portfolio	Seeks to replicate the total return of the Wells Fargo Factor Enhanced Emerging Markets Index (Net), before fees and expenses
Wells Fargo International Growth Portfolio	Seeks long-term capital appreciation
Wells Fargo International Value Portfolio	Seeks long-term capital appreciation
Wells Fargo Large Company Value Portfolio	Seeks long-term capital appreciation
Wells Fargo Managed Fixed Income Portfolio	Seeks consistent fixed-income returns
Wells Fargo Real Return Portfolio	Seeks returns that exceed the rate of inflation over the long-term
Wells Fargo Small Company Growth Portfolio	Seeks long-term capital appreciation
Wells Fargo Small Company Value Portfolio	Seeks long-term capital appreciation

4. TRANSACTIONS WITH AFFILIATES

Management fee

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

Average daily net assets	Management fee
First $500 million		0.30	%
Next $500 million		0.28
Next $2 billion		0.26
Next $2 billion		0.24
Next $5 billion		0.23
Over $10 billion		0.22

For the year ended May 31, 2019, the management fee was equivalent to an annual rate of 0.30% of the Fund’s average daily net assets.

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

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Fund. 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 Fund and is entitled to receive a fee from Funds Management at an annual rate starting at 0.10% and declining to 0.05% as the average daily net assets of the Fund increase.

24 Wells Fargo Moderate Balanced Fund Notes to financial statements

Administration fees

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

	Class-level administration fee
Class A, Class C		0.21	%
Administrator Class, Institutional Class		0.13

Funds Management has contractually waived and/or reimbursed management and administration fees to the extent necessary to maintain certain net operating expense ratios for the Fund. When each class of the Fund has exceeded its expense cap, Funds Management has waived fees and/or reimbursed expenses from fund level expenses on a proportionate basis and then from class specific expenses. When only certain classes exceed their expense caps, waivers and/or reimbursements are applied against class specific expenses before fund level expenses. Net expenses from the affiliated Master Portfolios are included in the expense caps. Funds Management has committed through September 30, 2019 to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’s expenses at 1.15% for Class A shares, 1.90% for Class C shares, 0.90% for Administrator Class shares, and 0.80% for Institutional Class shares. Funds Management voluntarily waived additional expenses of the Fund. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees.

Distribution fee

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

In addition, Funds distributor is entitled to receive the front-end sales charge from the purchase of Class A shares and a contingent deferred sales charge on the redemption of certain Class A shares. Funds Distributor is also entitled to receive the contingent deferred sales charges from redemptions of Class C shares. For the year ended May 31, 2019, Funds Distributor received $6,089 from the sale of Class A shares. No contingent deferred sales charges were incurred by Class A and Class C shares for the year ended May 31, 2019.

Shareholder servicing fees

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

5. INVESTMENT PORTFOLIO TRANSACTIONS

The Fund seeks to achieve its investment objective by investing substantially all of its investable assets in multiple affiliated Master Portfolios. Purchases and sales related to these investments have been calculated by aggregating the results of multiplying the Fund’s ownership percentage in the respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. Purchases and sales of unaffiliated securities in which the Fund invests are actual purchases and sale of those securities. Purchases and sales of investments, excluding short-term securities, for the year ended May 31, 2019 were as follows:

Purchases at cost		Sales proceeds
U.S. government	Non-U.S. government	U.S. government	Non-U.S. government
$175,363,713	$128,699,671	$171,757,730	$90,724,090

6. DERIVATIVE TRANSACTIONS

During the year ended May 31, 2019, the Fund entered into futures contracts to gain market exposure to certain asset classes consistent with an active allocation strategy. The Fund had an average notional amount of $6,210,110 in long futures contracts and $2,671,733 in short futures contracts during the year ended May 31, 2019.

A summary of the location of derivative instruments on the financial statements by risk is outlined in the following tables.

Notes to financial statements Wells Fargo Moderate Balanced Fund 25

The fair value of derivative instruments as of May 31, 2019 by risk type was as follows for the Fund:

	Asset derivatives				Liability derivatives
	Statements of Assets and Liabilities location	Fair value			Statements of Assets and Liabilities location	Fair value
Equity risk	Unrealized gains on futures contracts	$	122,625	*	Unrealized losses on futures contracts	$	0	*
Foreign currency risk	Unrealized gains on futures contracts		96,270	*	Unrealized losses on futures contracts		0	*
		$	218,895			$	0

* Amount represents cumulative unrealized gains (losses) on futures contracts as reported in the table following the Portfolio of Investments. Only the current day’s variation margin as of May 31, 2019 is reported separately on the Statement of Assets and Liabilities.

The effect of derivative instruments on the Statement of Operations for the year ended May 31, 2019 was as follows for the Fund:

	Amount of realized gains on derivatives		Change in unrealized gains (losses) on derivatives
Equity risk	$	118,251	$	96,270
Interest rate risk		54,453		27,214
Foreign currency risk		3,823		360,432
	$	176,527	$	483,916

7. BANK BORROWINGS

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

For the year ended May 31, 2019, there were no borrowings by the Fund under the agreement.

8. DISTRIBUTIONS TO SHAREHOLDERS

The tax character of distributions paid during the years ended May 31, 2019 and May 31, 2018 were as follows:

	Year ended May 31
	2019		2018
Ordinary income	$	4,099,500	$	3,632,554
Long-term capital gain		12,407,186		9,556,501

As of May 31, 2019, the components of distributable earnings on a tax basis were as follows:

Undistributed ordinary income	Undistributed long-term gain	Unrealized gains	Post-October capital losses deferred
$989,341	$592,177	$9,793,226	$(522,478)

26 Wells Fargo Moderate Balanced Fund Notes to financial statements

Effective for all filings after November 4, 2018, the Securities and Exchange Commission eliminated the requirement to separately state the components of distributions to shareholders U.S. generally accepted accounting principles. The amounts of distributions to shareholders for the year ended May 31, 2018 were as follows:

	Net investment income		Net realized gains
Class A	$	489,991	$	2,439,440
Class C		71,963		809,244
Administrator Class		1,794,197		7,494,220

9. INDEMNIFICATION

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

10. NEW ACCOUNTING PRONOUNCEMENT

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

Report of independent registered public accounting firm Wells Fargo Moderate Balanced Fund 27

TO THE SHAREHOLDERS OF THE FUND AND BOARD OF TRUSTEES OF WELLS FARGO FUNDS TRUST:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Wells Fargo Moderate Balanced Fund (the Fund), one of the funds constituting Wells Fargo Funds Trust, including the portfolio of investments, as of May 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years or periods in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of May 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of May 31, 2019, by correspondence with the custodian, brokers and transfer agents, or by other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

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

Boston, Massachusetts

July 26, 2019

28 Wells Fargo Moderate Balanced Fund Other information (unaudited)

TAX INFORMATION

For corporate shareholders, pursuant to Section 854 of the Internal Revenue Code, 18.18% of ordinary income dividends qualify for the corporate dividends-received deduction for the fiscal year ended May 31, 2019.

Pursuant to Section 852 of the Internal Revenue Code, $12,407,186 was designated as a 20% rate gain distribution for the fiscal year ended May 31, 2019.

Pursuant to Section 854 of the Internal Revenue Code, $1,107,545 of income dividends paid during the fiscal year ended May 31, 2019 has been designated as qualified dividend income (QDI).

For the fiscal year ended May 31, 2019, $1,853,552 has been designated as interest-related dividends for nonresident alien shareholders pursuant to Section 871 of the Internal Revenue Code.

For the fiscal year ended May 31, 2019, $1,295,741 has been designated as short-term capital gain dividends for nonresident alien shareholders pursuant to Section 871 of the Internal Revenue Code.

For the fiscal year ended May 31, 2019, 6.60% of the dividends distributed was derived from interest on U.S. government securities.

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 calling1-800-222-8222, visiting our website atwfam.com, or visiting the SEC website at sec.gov. Information regarding how the proxies related to portfolio securities were voted during the most recent12-month period ended June 30 is available on the website atwfam.comor by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS

The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Other information (unaudited) Wells Fargo Moderate Balanced Fund 29

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

Independent Trustees

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

30 Wells Fargo Moderate Balanced Fund Other information (unaudited)

Name and year of birth	Position held and length of service*	Principal occupations during past five years or longer	Current other public company or investment company directorships
David F. Larcker (Born 1950)	Trustee, since 2009	James Irvin Miller Professor of Accounting at the Graduate School of Business, Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005.	N/A
Olivia S. Mitchell (Born 1953)	Trustee, since 2006; Nominating and Governance Committee Chairman, since 2018	International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993.	N/A
Timothy J. Penny (Born 1951)	Trustee, since 1996; Chairman, since 2018	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

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

Other information (unaudited) Wells Fargo Moderate Balanced Fund 31

Officers

Name and year of birth	Position held and length of service	Principal occupations during past five years or longer
Andrew Owen (Born 1960)	President, since 2017	Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014.
Jeremy DePalma1 (Born 1974)	Treasurer, since 2012	Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010.
Alexander Kymn (Born 1973)	Secretary and Chief Legal Officer, since 2018	Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.
Michael H. Whitaker (Born 1967)	Chief Compliance Officer, since 2016	Senior Vice President and Chief Compliance Officer since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016.
David Berardi (Born 1975)	Assistant Treasurer, since 2009	Vice President of Wells Fargo Funds Management, LLC since 2009. Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010. Manager of Fund Reporting and Control for Evergreen Investment Management Company, LLC from 2004 to 2010.

¹ Jeremy DePalma acts as Treasurer of 86 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 calling1-800-222-8222 or by visiting the website atwfam.com.

32 Wells Fargo Moderate Balanced Fund Other information (unaudited)

BOARD CONSIDERATION OF INVESTMENT MANAGEMENT AND SUB-ADVISORY AGREEMENTS:

Wells Fargo Moderate Balanced Fund

Under the Investment Company Act of 1940 (the “1940 Act”), the Board of Trustees (the “Board”) of Wells Fargo Funds Trust (the “Trust”) must determine annually whether to approve the continuation of the Trust’s investment management and sub-advisory agreements. In this regard, at an in-person meeting held on May 21-22, 2019 (the “Meeting”), the Board, all the members of which have no direct or indirect interest in the investment management and sub-advisory agreements and are not “interested persons” of the Trust, as defined in the 1940 Act (the “Independent Trustees”), reviewed and approved for Wells Fargo Moderate Balanced Fund (the “Fund”): (i) an investment management agreement (the “Management Agreement”) with Wells Fargo Funds Management, LLC (“Funds Management”); and (ii) an investment sub-advisory agreement (the “Sub-Advisory Agreement”) with Wells Capital Management Incorporated (the “Sub-Adviser”), an affiliate of Funds Management. The Management Agreement and the Sub-Advisory Agreement are collectively referred to as the “Advisory Agreements.” The Fund is a fund-of-funds that invests all of its assets in multiple portfolios of Wells Fargo Master Trust.

At the Meeting, the Board considered the factors and reached the conclusions described below relating to the selection of Funds Management and the Sub-Adviser and the approval of the Advisory Agreements. Prior to the Meeting, including at an in-person meeting in April 2019, the Trustees conferred extensively among themselves and with representatives of Funds Management about these matters. Also, the Board has adopted a team-based approach, with each team consisting of a sub-set of Trustees, to assist the full Board in the discharge of its 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 Board, Funds Management and the Sub-Adviser 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 Board’s annual contract renewal process earlier in 2019. 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 Board 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-Adviser about various topics. In this regard, the Board reviewed reports of Funds Management at each of its quarterly meetings, which included, among other things, portfolio reviews and investment performance reports. In addition, the Board and the teams mentioned above confer with portfolio managers at various times throughout the year. The Board 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 unanimously approved the continuation of the Advisory Agreements for a one-year term and determined that the compensation payable to Funds Management and the Sub-Adviser under each of the Advisory Agreements was reasonable. The Board considered the approval of the Advisory Agreements for the Fund as part of its consideration of agreements for funds across the complex, but its approvals were made on a fund-by-fund basis. The following summarizes a number of important, but not necessarily all, factors considered by the Board in support of its approvals.

Nature, extent and quality of services

The Board received and considered various information regarding the nature, extent and quality of services provided to the Fund by Funds Management and the Sub-Adviser under the Advisory Agreements. This information included a description of the investment advisory services and Fund-level administrative services covered by the Management Agreement, 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-Adviser are a part, a summary of investments made in the business of WFAM, a summary of certain organizational and personnel changes involving Funds Management and the Sub-Adviser, and a description of Funds Management’s and the Sub-Adviser’s business continuity planning programs and of their approaches to data privacy and cybersecurity. The Board received and reviewed information about Funds Management’s role as administrator of the Fund’s liquidity risk management program. The Board 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 Fund.

The Board evaluated the ability of Funds Management and the Sub-Adviser to attract and retain qualified investment professionals, including research, advisory and supervisory personnel. The Board further considered the compliance

Other information (unaudited) Wells Fargo Moderate Balanced Fund 33

programs and compliance records of Funds Management and the Sub-Adviser. In addition, the Board took into account the full range of services provided to the Fund by Funds Management and its affiliates.

Fund investment performance and expenses

The Board considered the investment performance results for the Fund over various time periods ended December 31, 2018. The Board 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 Fund (the “Universe”), and in comparison to the Fund’s benchmark index and to other comparative data. Broadridge is an independent provider of investment company data. The Board received a description of the methodology used by Broadridge to select the mutual funds in the performance Universe. The Board noted that the investment performance of the Fund (Administrator Class) was higher than the average investment performance of the Universe for the one-, five- and ten-year periods under review, and lower than the average investment performance of the Universe for the three-year period under review. The Board also noted that the investment performance of the Fund was lower than its benchmark index, the Moderate Balanced Blended Index, for the one-, three- and five-year periods under review, but higher than its benchmark for the ten-year period under review.

The Board received information concerning, and discussed factors contributing to, the underperformance of the Fund relative to the Universe and benchmark 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 also took note of the Fund’s outperformance relative to the Universe and benchmark over the longer time periods under review.

The Board also received and considered information regarding the Fund’s net operating expense ratios and their various components, including actual management fees, custodian and other non-management fees, and Rule 12b-1 and non-Rule 12b-1 shareholder service fees. The Board considered these ratios in comparison to the median ratios of funds in class-specific expense groups that were determined by Broadridge to be similar to the Fund (the “Groups”). The Board 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. Based on the Broadridge reports, the Board noted that the net operating expense ratios of the Fund were lower than the median net operating expense ratios of the expense Groups for each share class.

The Board took into account the Fund’s investment performance and expense information provided to it among the factors considered in deciding to re-approve the Advisory Agreements.

Investment management and sub-advisory fee rates

The Board reviewed and considered the contractual fee rates payable by the Fund to Funds Management under the Management Agreement, as well as the contractual fee rates payable by the Fund to Funds Management for class-level administrative services under a Class-Level Administration Agreement, which include, among other things, class-level transfer agency and sub-transfer agency costs (collectively, the “Management Rates”). The Board also reviewed and considered the contractual investment sub-advisory fee rates that are payable by Funds Management to the Sub-Adviser for investment sub-advisory services.

Among other information reviewed by the Board was a comparison of the Fund’s Management Rates, which include the advisory fees paid at the master portfolio level, with the average contractual investment management fee rates of funds in the expense Groups at a common asset level as well as transfer agency costs of the funds in the expense Groups. The Board noted that the Management Rates of the Fund were lower than the sum of these average rates for the Fund’s expense Groups for all share classes.

The Board also received and considered information about the portion of the total management fee that was retained by Funds Management after payment of the fee to the Sub-Adviser for sub-advisory services. In assessing the reasonableness of this amount, the Board 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-Adviser, and about Funds Management’s on-going oversight services. Given the affiliation between Funds Management and the Sub-Adviser, the Board ascribed limited relevance to the allocation of fees between them.

The Board also received and considered information about the nature and extent of services offered and fee rates charged by Funds Management and the Sub-Adviser to other types of clients with investment strategies similar to those of the Fund. In this regard, the Board 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.

34 Wells Fargo Moderate Balanced Fund Other information (unaudited)

Based on its consideration of the factors and information it deemed relevant, including those described here, the Board determined that the compensation payable to Funds Management under the Management Agreement and to the Sub-Adviser under the Sub-Advisory Agreement was reasonable.

Profitability

The Board 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 Board noted that the Sub-Adviser’s profitability information with respect to providing services to the Fund 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 Board 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 Board did not deem the profits reported by Funds Management, WFAM or Wells Fargo from services provided to the Fund to be at a level that would prevent it from approving the continuation of the Advisory Agreements.

Economies of scale

The Board received and considered information about the potential for Funds Management to experience economies of scale in the provision of management services to the Fund, 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 Board noted the existence of breakpoints in the Fund’s management fee structure, which operate generally to reduce the Fund’s expense ratios as the Fund grows in size. The Board 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 Board concluded that Funds Management’s arrangements with respect to the Fund, including contractual breakpoints, constituted a reasonable approach to sharing potential economies of scale with the Fund and its shareholders.

Other benefits to Funds Management and the Sub-Adviser

The Board received and considered information regarding potential “fall-out” or ancillary benefits received by Funds Management and its affiliates, including the Sub-Adviser, as a result of their relationships with the Fund. Ancillary benefits could include, among others, benefits directly attributable to other relationships with the Fund and benefits potentially derived from an increase in Funds Management’s and the Sub-Adviser’s business as a result of their relationships with the Fund. The Board 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 Board also reviewed information about soft dollar credits earned and utilized by the Sub-Adviser, fees earned by Funds Management and the Sub-Adviser 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 its consideration of the factors and information it deemed relevant, including those described here, the Board did not find that any ancillary benefits received by Funds Management and its affiliates, including the Sub-Adviser, 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 Board unanimously approved the continuation of the Advisory Agreements for aone-year term and determined that the compensation payable to Funds Management and the Sub-Adviser under each of the Advisory Agreements was reasonable.

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For more information

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

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: 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 Fund. If this report is used for promotional purposes, distribution of the report must be accompanied or preceded by a current prospectus. Before investing, please consider the investment objectives, risks, charges, and expenses of the investment. For a current prospectus and, if available, a summary prospectus, containing this information, call1-800-222-8222 or visit the Fund’s website atwfam.com. Read the prospectus carefully before you invest or send money.

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

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

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

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

403193 07-19 A279/AR279 05-19

Annual Report

May 31, 2019

Multi-Asset Funds

∎ Wells Fargo WealthBuilder Conservative Allocation Fund

∎ Wells Fargo WealthBuilder Growth Allocation Fund

∎ Wells Fargo WealthBuilder Growth Balanced Fund

∎ Wells Fargo WealthBuilder Moderate Balanced Fund

∎ Wells Fargo WealthBuilder Equity Fund

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

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

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

Reduce clutter. Save trees.

Sign up for electronic delivery of prospectuses and shareholder reports atwellsfargo.com/advantagedelivery

Contents

Letter to shareholders	2
Performance highlights
Wells Fargo WealthBuilder Conservative Allocation Fund	6
Wells Fargo WealthBuilder Equity Fund	10
Wells Fargo WealthBuilder Growth Allocation Fund	14
Wells Fargo WealthBuilder Growth Balanced Fund	18
Wells Fargo WealthBuilder Moderate Balanced Fund	22
Fund expenses	26
Portfolio of investments
Wells Fargo WealthBuilder Conservative Allocation Fund	28
Wells Fargo WealthBuilder Equity Fund	32
Wells Fargo WealthBuilder Growth Allocation Fund	36
Wells Fargo WealthBuilder Growth Balanced Fund	40
Wells Fargo WealthBuilder Moderate Balanced Fund	44
Financial statements
Statements of assets and liabilities	48
Statements of operations	50
Statements of changes in net assets	52
Financial highlights	58
Notes to financial statements	68
Report of independent registered public accounting firm	80
Other information	81

The views expressed and any forward-looking statements are as of May 31, 2019, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Asset Management. Discussions of individual securities, or the markets generally, or any Wells Fargo Fund are not intended as individual recommendations. Future events or results may vary significantly from those expressed in any forward-looking statements. The views expressed are subject to change at any time in response to changing circumstances in the market. Wells Fargo Asset Management and the Fund disclaim any obligation to publicly update or revise any views expressed or forward-looking statements.

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

2 Multi-Asset Funds Letter to shareholders (unaudited)

Andrew Owen

President

Wells Fargo Funds

Dear Shareholder:

We are pleased to offer you this annual report for the Wells Fargo WealthBuilder Funds for the12-month period that ended May 31, 2019. Higher short-term interest rates, inflation concerns, trade tensions, and geopolitical events drove investment market volatility for much of 2018, particularly for international stocks. Early 2019 saw stocks and bonds gain with renewed business and investor confidence, but volatility returned late in the period as global growth slowed and geopolitical concerns persisted.

For the period, U.S. stocks, based on the S&P 500 Index,¹ gained 3.78% and international stocks, as measured by the MSCI ACWI ex USA Index (Net),² fell 6.26%. Based on the MSCI EM Index (Net),³ emerging market stocks fell 8.70%. Bond investors saw the Bloomberg Barclays U.S. Aggregate Bond Index⁴ add 6.40% while the Bloomberg Barclays Global Aggregateex-USD Index⁵ rose 0.39%. The Bloomberg Barclays Municipal Bond Index⁶ added 6.40%, and the ICE BofAML U.S. High Yield Index⁷ was up 5.37%.

Results for investment indices reflected global concerns.

Global trade tensions escalated during the second quarter of 2018. Atit-for-tat tariff spat intensified between the U.S. and other governments. The U.S. Federal Reserve (Fed) raised the federal funds rate by 25 basis points (bps; 100 bps equal 1.00%) to a target range of between 1.75% and 2.00% in June. Market index results reflected the global concerns. The MSCI ACWI ex USA Index (Net) lost 2.61%, while the Bloomberg Barclays Global Aggregateex-USD Index dropped 4.76%.

Not all news was bad. The U.S. Bureau of Economic Analysis reported second-quarter annualized gross domestic product (GDP) growth of 4.2%. Hiring improved. Unemployment declined. Consumer confidence and spending increased. The S&P 500 Index recorded a 3.43% second-quarter gain. Stocks of companies with smaller capitalizations did even better, as measured by the Russell 2000^® Index,⁸ adding 7.75%.

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

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

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

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

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

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

⁷  The ICE BofAML U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2019. ICE Data Indices, LLC. All rights reserved.

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

Letter to shareholders (unaudited) Multi-Asset Funds 3

Investors appeared to shake off lingering concerns during the third quarter.

Favorable third-quarter economic indicators and corporate earnings reports encouraged domestic stock investors. U.S. trade negotiations with Mexico and Canada progressed. The Conference Board Consumer Confidence Index^®9 reached its highest level in 18 years during September 2018. The Fed raised the federal funds rate by 25 bps to a target range of between 2.00% and 2.25% in September. For the quarter that ended September 30, 2018, the S&P 500 Index added 7.71%.

Investors in international markets were not as confident. Tensions between the U.S. and China increased. The U.S. imposed $200 billion in tariffs on Chinese goods. China reacted with $60 billion in tariffs on U.S. goods. Economic growth in China caused concern. The Bank of England (BoE) raised its monetary policy rate to 0.75% in August 2018. During the quarter, the MSCI ACWI ex USA Index (Net) gained 0.71%. The MSCI EM Index (Net) declined 1.09%. In fixed-income markets, U.S. bonds were flat, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index. The Bloomberg Barclays Global Aggregateex-USD Index fell 1.74%.

Conflicting data unsettled markets during the fourth quarter.

November’s U.S. midterm elections shifted control of the House of Representatives from Republicans to Democrats, presaging potential partisan clashes. Third-quarter U.S. GDP was announced at an annualized 3.4% rate, lower than the second-quarter rate. Brexit efforts stalled ahead of the March 2019 deadline. The People’s Bank of China cut reserve requirement ratios, accelerated infrastructure spending, and cut taxes even as the value of the yuan declined to low levels last seen in 2008.

December’s S&P 500 Index performance was the worst since 1931. Globally, fixed-income investments fared better than stocks during the last two months of the year. The Fed increased the federal funds rate by 25 bps in December 2018 to a target range of between 2.25% and 2.50%.

The market climbs a wall of worry.

Investors entered 2019 with reasons to be concerned. A partial U.S. government shutdown driven by partisan policy disputes extended into January. Investment returns appeared to reaffirm the adage that markets climb a wall of worry. The S&P 500 Index gained 8.01% for the month of January, the best monthly performance in 30 years. Returns for the MSCI ACWI ex USA Index (Net), the Bloomberg Barclays U.S. Aggregate Bond Index, and the Bloomberg Barclays Global Aggregateex-USD Index also were positive. The Fed indicated that it would pause its program of regular rate increases during 2019 as inflation remained low.

In February 2019, concerns over slowing global growth reemerged. The Bureau of Economic Analysis announced fourth-quarter 2018 GDP grew at an annualized 2.2% rate, down from levels of the prior two quarters. In a February report, the BoE forecast the slowest growth since the financial crisis for 2019. China and the U.S. continued to wrangle over trade issues.

By the end of March 2019, the combination of dovish Fed sentiment and consistent, if not spectacular, economic and business metrics reinforced investors’ confidence. Monthly job creation data regained momentum. Corporate profits, while lower than 2018’s lofty levels, remained solid. China announced a roughly $300 billion stimulus package through tax and fee cuts intended to reinvigorate economic growth.

December’s S&P 500 Index performance was the worst since 1931.

The S&P 500 Index gained 8.01% for the month of January, the best monthly performance in 30 years.

⁹  The Conference Board Consumer Confidence Index^® measures the degree of optimism on the state of the U.S. economy that consumers are expressing through their activities of saving and spending. You cannot invest directly in an index.

4 Multi-Asset Funds Letter to shareholders (unaudited)

During April 2019, several broad-based U.S. equity indices reached or approached highs as investors drew confidence from favorable economic projections, sustained low inflation, and solid employment data. First-quarter GDP showed the economy grew at an annualized rate of 3.2% on improvement in business investment and exports. Favorable sentiment extended to foreign markets as the MSCI ACWI ex USA Index (Net) gained 2.64% and the MSCI EM Index (Net) added 2.11% for the month.

May 2019 presented investors with mixed signals in the economy, in the markets, and politically. In the U.S., partisan wrangling ramped up as Democrats and Republicans set their sights on 2020 presidential politics. In the U.K., the Brexit stalemate resulted in the resignation of Prime Minister Theresa May. The European Commission downgraded the 2019 growth forecast for the block of countries to 1.2%. The U.S. increased tariffs on products from China, China responded, and then talks broke down. Ending the month, equities, as measured by the MSCI ACWI (Net),¹⁰ dropped 5.93% while bonds, often considered a less risky investment, gained 1.04%, as measured by the Bloomberg Barclays Global Aggregateex-USD Index.

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

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

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

Sincerely,

Andrew Owen

President

Wells Fargo Funds

For further information about your Fund, contact your investment professional, visit our website atwfam.com, or call us directly at1-800-222-8222.

¹⁰  The MSCI ACWI (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. You cannot invest directly in an index.

This page is intentionally left blank.

6 Multi-Asset Funds Performance highlights (unaudited)

Wells Fargo WealthBuilder Conservative Allocation Fund

Investment objective

The Fund seeks current income with a secondary emphasis on capital appreciation.

Manager

Wells Fargo Funds Management, LLC

Subadviser

Wells Capital Management Incorporated

Portfolio managers

Kandarp R. Acharya, CFA^®‡, FRM

Christian L. Chan, CFA^®‡

Travis L. Keshemberg, CFA^®‡*, CIPM, FRM

Average annual total returns (%) as of May 31, 2019

		Including sales charge						Excluding sales charge						Expense ratios1 (%)
	Inception date	1 year		5 year		10 year		1 year		5 year		10 year		Gross		Net2
Class A (WCAFX)3	2-10-2017		-2.14		1.03		3.58		3.84		2.24		4.19		1.18		1.16
Class C (WCCFX)4	9-30-2004		1.89		1.85		3.99		2.89		1.85		3.99		1.93		1.91
Institutional Class (WCYFX)5	7-31-2018		–		–		–		3.97		2.26		4.21		0.83		0.83
WealthBuilder Conservative Allocation Blended Index6	–		–		–		–		5.31		3.65		5.48		–		–
Bloomberg Barclays U.S. Aggregate Bond Index7	–		–		–		–		6.40		2.70		3.83		–		–
MSCI ACWI ex USA Index (Net)8	–		–		–		–		-6.26		1.31		5.80		–		–
Russell 3000® Index9	–		–		–		–		2.50		9.25		13.93		–		–

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

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

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

Balanced funds may invest in stocks and bonds. Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. Bond values fluctuate in response to the financial condition of individual issuers, general market and economic conditions, and changes in interest rates. Changes in market conditions and government policies may lead to periods of heightened volatility in the bond market and reduced liquidity for certain bonds held by the Fund. In general, when interest rates rise, bond values fall and investors may lose principal value. Interest rate changes and their impact on the Fund and its share price can be sudden and unpredictable. The use of derivatives may reduce returns and/or increase volatility. The Fund will indirectly be exposed to all of the risks of an investment in the underlying funds and will indirectly bear expenses of the underlying funds. Certain investment strategies tend to increase the total risk of an investment (relative to the broader market). The Fund is exposed to alternative investment risk, foreign investment risk, high-yield securities risk, mortgage- and asset-backed securities risk, and smaller-company investment risk. Consult the Fund’s prospectus for additional information on these and other risks.

Please see footnotes on page 7.

Performance highlights (unaudited) Multi-Asset Funds 7

Wells Fargo WealthBuilder Conservative Allocation Fund (continued)

Growth of $10,000 investment as of May 31, 2019¹⁰

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

* Mr. Keshemberg became a portfolio manager of the Fund on October 26, 2018.

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.41% of acquired fund fees and expenses. Net expenses from affiliated master portfolios are included in the acquired fund fees and expense amount. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which do not include acquired fund fees and expenses.

²  The manager has contractually committed through September 30, 2019, to waive fees and/or reimburse expenses to the extent necessary to cap the expenses of each class after fee waivers at 0.75% for Class A, 1.50% for Class C, and 0.42% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), net expenses from affiliated master portfolios, and extraordinary expenses are excluded from the expense cap. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Without this cap, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  Historical performance for Class A shares prior to their inception reflects the performance of Class C shares and includes the higher expenses applicable to Class C shares. If these expenses had not been included, returns for Class A shares would be higher.

⁴  Prior to February 13, 2017, historical performance shown for Class C shares reflects the performance of the Fund’s predecessor WealthBuilder Portfolio share class and does not reflect thefront-end sales load previously attributable to the predecessor class. The expenses for Class C shares and the predecessor share class are similar.

⁵  Historical performance shown for Institutional Class shares prior to their inception reflects the performance of Class A shares adjusted to reflect that Institutional Class shares do not have a sales load but not adjusted to reflect Institutional Class expenses. If these expenses had been included, returns for Institutional Class shares would be higher.

⁶  Source: Wells Fargo Funds Management, LLC. The WealthBuilder Conservative Allocation Blended Index is composed 80% of Bloomberg Barclays U.S. Aggregate Bond Index, 14% of the Russell 3000^® Index, and 6% of the MSCI ACWI ex USA Index (Net). You cannot invest directly in an index.

⁷  The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar–denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index.

⁸  The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the U.S. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indexes or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index.

⁹  The Russell 3000^® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. You cannot invest directly in an index.

¹⁰  The chart compares the performance of Class A shares for the most recent ten years with the WealthBuilder Conservative Allocation Blended Index, the Bloomberg Barclays U.S. Aggregate Bond Index, the MSCI ACWI ex USA Index (Net) and the Russell 3000^® Index. The chart assumes a hypothetical $10,000 investment and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

¹¹  The ten largest holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

¹²  Effective allocation includes the effect of any tactical futures overlay that may be in place. Effective cash is comprised of the net impact of long and/or short futures contracts held as part of a dynamic risk management strategy. The amounts are subject to change and may have changed since the date specified.

8 Multi-Asset Funds Performance highlights (unaudited)

Wells Fargo WealthBuilder Conservative Allocation Fund (continued)

MANAGER’S DISCUSSION

Fund highlights

∎ The Fund underperformed the WealthBuilder Conservative Allocation Blended Index for the12-month period that ended May 31, 2019. The Fund is a fund-of-funds that invests in various affiliated mutual funds, unaffiliated mutual funds, and exchange-traded funds.

∎ On a relative basis, the actively managed international investments underperformed their respective style-specific benchmarks.

∎ The tactical asset allocation (TAA) overlay, a futures overlay, added to performance through the period.

Positive economic data ruled most of the period.

The12-month period that ended May 31, 2019, saw the U.S. economy continue on a positive trajectory, producing moderate average gross domestic product growth of 3.1% with a core inflation rate of 2.0%, while unemployment reached a low of 3.6%, the lowest level since 1969.

Over the past 12 months, the financial markets experienced more volatility than the favorable economic environment might have suggested. Looking back at the financial markets, we saw equities experience a significant decline during the fourth quarter of 2018, as concerns over a partial U.S. government shutdown, central bank tightening, trade tensions, and slowing economic growth shook investors’ confidence. The market volatility of the fourth quarter of 2018 gave way to a first-quarter 2019 rebound where both equity and fixed-income markets rallied. The two markets seemed joined at the hip as the Federal Reserve’s (Fed’s) updated script signaled an easier policy path for the balance of 2019. Market participants were caught off balance by this evolution in the projected policy path, which has resulted in a broader opportunity set for sector rotation in equities and yield curve trades. We saw a return of volatility toward the end of the12-month period as concerns over trade (primarily with China and Mexico) caused concerns over global growth to weigh on investors’ minds.

Portfolio management addressed Fund allocations throughout the period.

Over the period, we made relatively few changes to the underlying mutual funds in which the Fund invests. The most significant change was the addition of a flexible-mandate fixed-income fund with the ability to shift assets among different fixed-income sectors such as high-yield, asset-backed, and foreign securities that the portfolio managers find attractive. In the fourth quarter of 2018, we reduced our direct high-yield exposure to fund this new investment. Also in the fourth quarter of 2018, to reduce the overall equity risk in the Fund, we introduced a dedicated equity investment in the U.S. consumer staples sector.

At the start of the period, the Fund’s targeted TAA overlay was 5.00% long in the S&P 500 futures contract. Due to volatility concerns, in early September, 2018, we reduced the position by 2.50%. In October, 2018, we added a total of 2.50%, bringing the position back to 5.00% long. During early November, 2018, we covered 1.25%. In early December, 2018, we added 2.50%, bringing the position to 6.25%. As January, 2019, drew to a close, we covered 2.50%. In early February, 2019, we covered the remaining 3.75% and exited the position. With respect to the 10-year Treasury contract activity, we started the period short 2.50% and covered the position in early October, 2018. In mid-December, 2018, we established a new 2.50% short position and exited it in early March, 2019.

Please see footnotes on page 7.

Performance highlights (unaudited) Multi-Asset Funds 9

Wells Fargo WealthBuilder Conservative Allocation Fund (continued)

Ten largest holdings (%) as of May 31, 201911
Wells Fargo Core Bond Portfolio	24.17
Wells Fargo Strategic Income Fund Institutional Class	13.51
Wells Fargo Bloomberg Barclays US Aggregateex-Corporate Portfolio	11.33
Vanguard Intermediate-Term Corporate Bond ETF	7.55
Vanguard Short-Term Bond ETF	6.78
Wells Fargo Disciplined Large Cap Portfolio	4.86
Wells Fargo Real Return Portfolio	4.53
Wells Fargo Factor Enhanced Large Cap Portfolio	4.32
Wells Fargo Factor Enhanced International Portfolio	2.65
Wells Fargo High Yield Corporate Bond Portfolio	2.12

Allocations (%) as of May 31, 2019
	Effective allocation12		Neutral allocation
Alternative Investments		5		5
Bonds		73		75
Stocks		16		20
Effective Cash		6		0

Over the entire period, TAA activity contributed about 47 basis points (bps; 100 bps equal 1.00%) to performance.

The Fund’s holdings in underlying funds that employ various factor-based strategies performed well on a relative basis over the period. The Wells Fargo Factor Enhanced Large Cap Portfolio outperformed its market benchmark by 328 bps, the Wells Fargo Factor Enhanced Small Cap Portfolio outperformed its market benchmark by 80 bps, the Wells Fargo Factor Enhanced International Portfolio outperformed its market benchmark by 172 bps, and the Wells Fargo Factor Enhanced Emerging Markets Portfolio outperformed its market benchmark by 43 bps.

While the factor-enhanced international strategies did well on a relative basis, the remainder of the actively managed international equity mutual funds held within the Fund did not, and this was the most significant detractor from performance over the period. Underperformance in the three international funds ranged from 205 bps to 966 bps.

On average, over the 12 months that ended May 31, 2019,

the equity portion of the portfolio was hedged an average of 9.4%. The maximum daily hedge was 36.1% on December 12, 2018. The hedge detracted 15 bps from performance over the entire period.

Looking ahead, we are cautiously optimistic.

Our macroeconomic view is that growth will remain positive but it will be slower over the next 12 months than it was over the preceding 12 months. However, we still hold that absent an exogenous shock—likely an implemented shift in trade policy—a U.S. recession is unlikely in 2019. As always, that view could change with new data. We are concerned about growth prospects in Europe and in the rest of the world but are most concerned about the U.S. trade negotiations with major trading partners. Until the trade negotiations move toward détente and more certainty builds to invoke more aggressive business planning resulting in further growth, we are taking a bit more of a cautious approach to the markets and have started to reduce some risks in the portfolios. Like the Fed, we remain very data dependent and acknowledge that while the U.S. economy may be softening, the levels of growth remain robust and 2019 should remain a target-rich environment for investors.

Please see footnotes on page 7.

10 Multi-Asset Funds Performance highlights (unaudited)

Wells Fargo WealthBuilder Equity Fund

Investment objective

The Fund seeks long-term capital appreciation with no emphasis on income.

Manager

Wells Fargo Funds Management, LLC

Subadviser

Wells Capital Management Incorporated

Portfolio managers

Kandarp R. Acharya, CFA^®‡, FRM

Christian L. Chan, CFA^®‡

Travis L. Keshemberg, CFA^®‡*, CIPM, FRM

Average annual total returns (%) as of May 31, 2019

		Including sales charge						Excluding sales charge						Expense ratios1 (%)
	Inception date	1 year		5 year		10 year		1 year		5 year		10 year		Gross		Net2
Class A (WEAFX)3	2-10-2017		-7.97		4.20		9.31		-2.35		5.44		9.96		1.25		1.25
Class C (WEACX)4	10-1-1997		-4.16		5.06		9.76		-3.16		5.06		9.76		2.00		2.00
Institutional Class (WEAYX)5	7-31-2018		–		–		–		-2.08		5.50		9.99		0.92		0.92
WealthBuilder Equity Blended Index6	–		–		–		–		-0.14		6.87		11.50		–		–
MSCI ACWI ex USA Index (Net)7	–		–		–		–		-6.26		1.31		5.80		–		–
Russell 3000® Index8	–		–		–		–		2.50		9.25		13.93		–		–

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

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

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

Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. The Fund will indirectly be exposed to all of the risks of an investment in the underlying funds and will indirectly bear expenses of the underlying funds. The use of derivatives may reduce returns and/or increase volatility. Certain investment strategies tend to increase the total risk of an investment (relative to the broader market). The Fund is exposed to alternative investment risk, foreign investment risk and smaller-company investment risk. Consult the Fund’s prospectus for additional information on these and other risks.

Please see footnotes on page 11.

Performance highlights (unaudited) Multi-Asset Funds 11

Wells Fargo WealthBuilder Equity Fund (continued)

Growth of $10,000 investment as of May 31, 2019⁹

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

* Mr. Keshemberg became a portfolio manager of the Fund on October 26, 2018.

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.50% of acquired fund fees and expenses. Net expenses from affiliated master portfolios are included in the acquired fund fees and expense amount. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which do not include acquired fund fees and expenses.

² The manager has contractually committed through September 30, 2019, to waive fees and/or reimburse expenses to the extent necessary to cap the expenses of each class after fee waivers at 0.75% for Class A, 1.50% for Class C, and 0.42% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), net expenses from affiliated master portfolios, and extraordinary expenses are excluded from the expense cap. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Without this cap, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  Historical performance for Class A shares prior to their inception reflects the performance of Class C shares and includes the higher expenses applicable to Class C shares. If these expenses had not been included, returns for Class A shares would be higher.

⁴  Prior to February 13, 2017, historical performance shown for Class C shares reflects the performance of the Fund’s predecessor WealthBuilder Portfolio share class and does not reflect thefront-end sales load previously attributable to the predecessor class. The expenses for Class C shares and the predecessor share class are similar.

⁵  Historical performance shown for Institutional Class shares prior to their inception reflects the performance of Class A shares adjusted to reflect that Institutional Class shares do not have a sales load but not adjusted to reflect Institutional Class expenses. If these expenses had been included, returns for Institutional Class shares would be higher.

⁶  Source: Wells Fargo Funds Management, LLC. The WealthBuilder Equity Blended Index is composed 70% of the Russell 3000^® Index and 30% of the MSCI ACWI ex USA Index (Net). You cannot invest directly in an index.

⁷  The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization- weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the U.S. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indexes or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index.

⁸ The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. You cannot invest directly in an index.

⁹ The chart compares the performance of Class A shares for the most recent ten years with the WealthBuilder Equity Blended Index, the MSCI ACWI ex USA Index (Net), and the Russell 3000^® Index. The chart assumes a hypothetical $10,000 investment and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

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

¹¹  Effective allocation includes the effect of any tactical futures overlay that may be in place. Effective cash is comprised of the net impact of long and/or short futures contracts held as part of a dynamic risk management strategy. The amounts are subject to change and may have changed since the date specified.

12 Multi-Asset Funds Performance highlights (unaudited)

Wells Fargo WealthBuilder Equity Fund (continued)

MANAGER’S DISCUSSION

Fund highlights

∎ The Fund underperformed the WealthBuilder Equity Blended Index for the12-month period that ended May 31, 2019. The Fund is a fund-of-funds that invests in various affiliated mutual funds, unaffiliated mutual funds, and exchange-traded funds.

∎ On a relative basis, the actively managed international investments underperformed their respective style-specific benchmarks.

∎ The Put Replication Overlay (PRO), a futures overlay, added to performance through the period.

Positive economic data ruled most of the period.

The12-month period that ended May 31, 2019, saw the U.S. economy continue on a positive trajectory, producing moderate average gross domestic product growth of 3.1% with a core inflation rate of 2.0%, while unemployment reached a low of 3.6%, the lowest level since 1969.

Over the last 12 months, the financial markets experienced more volatility than the favorable economic environment might have suggested. Looking back at the financial markets, we saw equities experience a significant decline during the fourth quarter of 2018, as concerns over a partial U.S. government shutdown, central bank tightening, trade tensions, and slowing economic growth shook investors’ confidence. The market volatility of the fourth quarter gave way to a first-quarter 2019 rebound where both equity and fixed-income markets rallied. The two markets seemed joined at the hip as the Federal Reserve’s (Fed’s) updated script signaled an easier policy path for the balance of 2019. Market participants were caught off balance by this evolution in the projected policy path, which has resulted in a broader opportunity set for sector rotation in equities and yield curve trades. We saw a return of volatility toward the end of the12-month period as concerns over trade (primarily with China and Mexico) caused concerns over global growth to weigh on investors’ minds.

Ten largest holdings (%) as of May 31, 201910
Wells Fargo Disciplined Large Cap Portfolio	25.26
Wells Fargo Factor Enhanced Large Cap Portfolio	22.31
Wells Fargo Factor Enhanced International Portfolio	13.60
Wells Fargo Factor Enhanced Emerging Markets Portfolio	5.54
Dodge & Cox International Stock Fund	4.92
Wells Fargo Endeavor Select Fund Institutional Class	4.52
Wells Fargo Large Cap Growth Fund Class R6	4.47
Wells Fargo Factor Enhanced Small Cap Portfolio	4.37
Wells Fargo Emerging Growth Portfolio	3.48
Consumer Staples Select Sector SPDR Fund	2.99

Over the period, we made only one change to the Fund. In the fourth quarter of 2018, to reduce the overall equity risk in the Fund, we introduced a dedicated equity investment in the U.S. consumer staples sector.

The Fund’s holdings in underlying funds that employ various factor-based strategies performed well on a relative basis over the period. The Wells Fargo Factor Enhanced Large Cap Portfolio outperformed its market benchmark by 328 basis points (bps; 100 bps equal 1.00%), the Wells Fargo Factor Enhanced Small Cap Portfolio outperformed its market benchmark by 80 bps, the Wells Fargo Factor Enhanced International Portfolio outperformed its market benchmark by 172 bps, and the Wells Fargo Factor Enhanced Emerging Markets Portfolio outperformed its market benchmark by 43 bps.

The Fund also employs various actively managed equity strategies and a few of them also performed well over the period. The twolarge-cap U.S. growth mutual funds outperformed their market benchmarks by 146 bps and 586 bps, respectively, over the period.     

Please see footnotes on page 11.

Performance highlights (unaudited) Multi-Asset Funds 13

Wells Fargo WealthBuilder Equity Fund (continued)

Allocations (%) as of May 31, 2019
	Effective allocation11		Neutral allocation
U.S. Large Cap Equities		60		60
U.S. Small Cap Equities		10		10
International Equities		30		30

While the factor-enhanced international strategies did well on a relative basis, the remainder of the actively managed international equity mutual funds held within the Fund did not, and this was the most significant detractor from performance over the period. Underperformance in the three international funds ranged from 205 bps to 966 bps.

On average, over the 12 months that ended May 31, 2019, the equity portion of the portfolio was hedged an average of 9.6%. The maximum daily hedge was 41.2% on December 12, 2018. The hedge detracted 115 bps from performance over the entire period.

Looking ahead, we are cautiously optimistic.

Our macroeconomic view is that growth will remain positive but it will be slower over the next 12 months than it was over the preceding 12 months. However, we still hold that absent an exogenous shock—likely an implemented shift in trade policy—a U.S. recession is unlikely in 2019. As always, that view could change with new data. We are concerned about growth prospects in Europe and in the rest of the world but are most concerned about the U.S. trade negotiations with major trading partners. Until the trade negotiations move toward détente and more certainty builds to invoke more aggressive business planning resulting in further growth, we are taking a bit more of a cautious approach to the markets and have started to reduce some risks in the portfolios. Like the Fed, we remain very data dependent and acknowledge that while the U.S. economy may be softening, the levels of growth remain robust and 2019 should remain a target-rich environment for investors.

Please see footnotes on page 11.

14 Multi-Asset Funds Performance highlights (unaudited)

Wells Fargo WealthBuilder Growth Allocation Fund

Investment objective

The Fund seeks capital appreciation with a secondary emphasis on current income.

Manager

Wells Fargo Funds Management, LLC

Subadviser

Wells Capital Management Incorporated

Portfolio managers

Kandarp R. Acharya, CFA^®‡, FRM

Christian L. Chan, CFA^®‡

Travis L. Keshemberg, CFA^®‡*, CIPM, FRM

Average annual total returns (%) as of May 31, 2019

		Including sales charge						Excluding sales charge						Expense ratios1 (%)
	Inception date	1 year		5 year		10 year		1 year		5 year		10 year		Gross		Net2
Class A (WGAFX)3	2-10-2017		-6.11		3.64		8.58		-0.38		4.87		9.22		1.27		1.26
Class C (WGCFX)4	9-30-2004		-2.12		4.52		9.04		-1.12		4.52		9.04		2.02		2.01
Institutional Class (WGAYX)5	7-31-2018		–		–		–		-0.23		4.90		9.24		0.94		0.93
WealthBuilder Growth Allocation Blended Index6	–		–		–		–		1.38		6.15		10.09		–		–
Bloomberg Barclays U.S. Aggregate Bond Index7	–		–		–		–		6.40		2.70		3.83		–		–
MSCI ACWI ex USA Index (Net)8	–		–		–		–		-6.26		1.31		5.80		–		–
Russell 3000® Index9	–		–		–		–		2.50		9.25		13.93		–		–

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

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

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

Balanced funds may invest in stocks and bonds. Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. Bond values fluctuate in response to the financial condition of individual issuers, general market and economic conditions, and changes in interest rates. Changes in market conditions and government policies may lead to periods of heightened volatility in the bond market and reduced liquidity for certain bonds held by the Fund. In general, when interest rates rise, bond values fall and investors may lose principal value. Interest rate changes and their impact on the Fund and its share price can be sudden and unpredictable. The use of derivatives may reduce returns and/or increase volatility. The Fund will indirectly be exposed to all of the risks of an investment in the underlying funds and will indirectly bear expenses of the underlying funds. Certain investment strategies tend to increase the total risk of an investment (relative to the broader market). The Fund is exposed to alternative investment risk, foreign investment risk, high-yield securities risk, mortgage- and asset-backed securities risk, and smaller-company investment risk. Consult the Fund’s prospectus for additional information on these and other risks.

Please see footnotes on page 15.

Performance highlights (unaudited) Multi-Asset Funds 15

Wells Fargo WealthBuilder Growth Allocation Fund (continued)

Growth of $10,000 investment as of May 31, 2019¹⁰

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

* Mr. Keshemberg became a portfolio manager of the Fund on October 26, 2018.

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.51% of acquired fund fees and expenses. Net expenses from affiliated master portfolios are included in the acquired fund fees and expense amount. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which do not include acquired fund fees and expenses.

²  The manager has contractually committed through September 30, 2019, to waive fees and/or reimburse expenses to the extent necessary to cap the expenses of each class after fee waivers at 0.75% for Class A, 1.50% for Class C, and 0.42% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), net expenses from affiliated master portfolios, and extraordinary expenses are excluded from the expense cap. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Without this cap, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  Historical performance for Class A shares prior to their inception reflects the performance of Class C shares and includes the higher expenses applicable to Class C shares. If these expenses had not been included, returns for Class A shares would be higher.

⁴  Prior to February 13, 2017, historical performance shown for Class C shares reflects the performance of the Fund’s predecessor WealthBuilder Portfolio share class and does not reflect thefront-end sales load previously attributable to the predecessor class. The expenses for Class C shares and the predecessor share class are similar.

⁵  Historical performance shown for Institutional Class shares prior to their inception reflects the performance of Class A shares adjusted to reflect that Institutional Class shares do not have a sales load but not adjusted to reflect Institutional Class expenses. If these expenses had been included, returns for Institutional Class shares would be higher.

⁶  Source: Wells Fargo Funds Management, LLC. The WealthBuilder Growth Allocation Blended Index is composed 56% of the Russell 3000^® Index, 24% of the MSCI ACWI ex USA Index (Net), and 20% of the Bloomberg Barclays U.S. Aggregate Bond Index. You cannot invest directly in an index.

⁷  The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar–denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index.

⁸  The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the U.S. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indexes or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index.

⁹  The Russell 3000^® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. You cannot invest directly in an index.

¹⁰  The chart compares the performance of Class A shares for the most recent ten years with the WealthBuilder Growth Allocation Blended Index, the Bloomberg Barclays U.S. Aggregate Bond Index, the MSCI ACWI ex USA Index (Net), and the Russell 3000^® Index. The chart assumes a hypothetical $10,000 investment and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

¹¹  The ten largest holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

¹²  Effective allocation includes the effect of any tactical futures overlay that may be in place. Effective cash is comprised of the net impact of long and/or short futures contracts held as part of a dynamic risk management strategy. The amounts are subject to change and may have changed since the date specified.

16 Multi-Asset Funds Performance highlights (unaudited)

Wells Fargo WealthBuilder Growth Allocation Fund (continued)

MANAGER’S DISCUSSION

Fund highlights

∎ The Fund underperformed the WealthBuilder Growth Allocation Blended Index for the12-month period that ended May 31, 2019. The Fund is a fund-of-funds that invests in various affiliated mutual funds, unaffiliated mutual funds, and exchange-traded funds.

∎ On a relative basis, the actively managed international investments underperformed their respective style-specific benchmarks.

∎ The tactical asset allocation (TAA) overlay, a futures overlay, added to performance through the period.

Positive economic data ruled most of the period.

The12-month period that ended May 31, 2019, saw the U.S. economy continue on a positive trajectory, producing moderate average gross domestic product growth of 3.1% with a core inflation rate of 2.0%, while unemployment reached a low of 3.6%, the lowest level since 1969.

Over the last 12 months, the financial markets experienced more volatility than the favorable economic environment might have suggested. Looking back at the financial markets, we saw equities experience a significant decline during the fourth quarter of 2018, as concerns over a partial U.S. government shutdown, central bank tightening, trade tensions, and slowing economic growth shook investors’ confidence. The market volatility of the fourth quarter gave way to a first-quarter 2019 rebound where both equity and fixed-income markets rallied. The two markets seemed joined at the hip as the Federal Reserve’s (the Fed’s) updated script signaled an easier policy path for the balance of 2019. Market participants were caught off balance by this evolution in the projected policy path, which has resulted in a broader opportunity set for sector rotation in equities and yield curve trades. We saw a return of volatility toward the end of the12-month period as concerns over trade (primarily with China and Mexico) caused concerns over global growth to weigh on investors’ minds.

Ten largest holdings (%) as of May 31, 201911
Wells Fargo Disciplined Large Cap Portfolio	20.10
Wells Fargo Factor Enhanced Large Cap Portfolio	17.79
Wells Fargo Factor Enhanced International Portfolio	10.89
Wells Fargo Core Bond Portfolio	4.86
Wells Fargo Factor Enhanced Emerging Markets Portfolio	4.46
Dodge & Cox International Stock Fund	3.95
Wells Fargo Endeavor Select Fund Institutional Class	3.63
Wells Fargo Large Cap Growth Fund Class R6	3.57
Wells Fargo Factor Enhanced Small Cap Portfolio	3.48
Wells Fargo Emerging Growth Portfolio	2.78

Over the period, we made relatively few changes to the underlying mutual funds in which the Fund invests. The most significant change was the addition of a flexible-mandate fixed-income fund with the ability to shift assets among different fixed-income sectors such as high-yield, asset-backed, and foreign securities that the portfolio managers find attractive. In the fourth quarter of 2018, we reduced our direct high-yield exposure to fund this new investment. Also in the fourth quarter of 2018, to reduce the overall equity risk in the Fund, we introduced a dedicated equity investment in the U.S. consumer staples sector.

At the start of the period, the Fund’s targeted TAA overlay was 5.00% long in the S&P 500 futures contract. Due to volatility concerns, in early September, 2018, we reduced the position by 2.50%. In October, 2018, we added a total of 2.50%, bringing the position back to 5.00% long. During early November, 2018, we covered 1.25%. In early December, 2018, we added 2.50%, bringing the position to 6.25%. As January, 2019, drew to a close, we covered 2.50%. In early February, 2019, we covered the remaining 3.75% and exited the position. With respect to the 10-year Treasury contract activity, we started the period short 2.50% and covered the position in early October, 2018. In mid-December, 2018, we established a new 2.50% short position and exited it in early March, 2019.

Please see footnotes on page 15.

Performance highlights (unaudited) Multi-Asset Funds 17

Wells Fargo WealthBuilder Growth Allocation Fund (continued)

Allocations (%) as of May 31, 2019
	Effective allocation12		Neutral allocation
Alternative Investments		5		5
Bonds		15		15
Stocks		75		80
Effective Cash		5		0

Over the entire period, TAA activity contributed about 47 basis points (bps; 100 bps equal 1.00%) to performance.

The Fund’s holdings in underlying funds that employ various factor-based strategies performed well on a relative basis over the period. Wells Fargo Factor Enhanced Large Cap Portfolio outperformed its market benchmark by 328 bps, the Wells Fargo Factor Enhanced Small Cap Portfolio outperformed its market benchmark

by 80 bps, the Wells Fargo Factor Enhanced International Portfolio outperformed its market benchmark by 172 bps, and the Wells Fargo Factor Enhanced Emerging Markets Portfolio outperformed its market benchmark by 43 bps.

While the factor-enhanced international strategies did well on a relative basis, the remainder of the actively managed international equity mutual funds held within the Fund did not, and this was the most significant detractor from performance over the period. Underperformance in the three international funds ranged from 205 bps to 966 bps.

On average, over the 12 months that ended May 31, 2019, the equity portion of the portfolio was hedged an average of 9.4%. The maximum daily hedge was 36.1% on December 12, 2018. The hedge detracted 67 bps from performance over the entire period.

Looking ahead, we are cautiously optimistic.

Our macroeconomic view is that growth will remain positive but it will be slower over the next 12 months than it was over the preceding 12 months. However, we still hold that absent an exogenous shock—likely an implemented shift in trade policy—a U.S. recession is unlikely in 2019. As always, that view could change with new data. We are concerned about growth prospects in Europe and in the rest of the world but are most concerned about the U.S. trade negotiations with major trading partners. Until the trade negotiations move toward détente and more certainty builds to invoke more aggressive business planning resulting in further growth, we are taking a bit more of a cautious approach to the markets and have started to reduce some risks in the portfolios. Like the Fed, we remain very data dependent and acknowledge that while the U.S. economy may be softening, the levels of growth remain robust and 2019 should remain a target-rich environment for investors.

Please see footnotes on page 15.

18 Multi-Asset Funds Performance highlights (unaudited)

Wells Fargo WealthBuilder Growth Balanced Fund

Investment objective

The Fund seeks a combination of capital appreciation and current income.

Manager

Wells Fargo Funds Management, LLC

Subadviser

Wells Capital Management Incorporated

Portfolio managers

Kandarp R. Acharya, CFA^®‡, FRM

Christian L. Chan, CFA^®‡

Travis L. Keshemberg, CFA^®‡*, CIPM, FRM

Average annual total returns (%) as of May 31, 2019

		Including sales charge						Excluding sales charge						Expense ratios1 (%)
	Inception date	1 year		5 year		10 year		1 year		5 year		10 year		Gross		Net2
Class A (WGBAX)3	2-10-2017		-4.79		2.93		7.58		1.02		4.16		8.22		1.23		1.23
Class C (WGBFX)4	9-30-2004		-0.69		3.80		8.04		0.31		3.80		8.04		1.98		1.98
Institutional Class (WGBIX)5	7-31-2018		–		–		–		1.25		4.20		8.25		0.89		0.89
WealthBuilder Growth Balanced Blended Index6	–		–		–		–		2.80		5.37		8.62		–		–
Bloomberg Barclays U.S. Aggregate Bond Index7	–		–		–		–		6.40		2.70		3.83		–		–
MSCI ACWI ex USA Index (Net)8	–		–		–		–		-6.26		1.31		5.80		–		–
Russell 3000® Index9	–		–		–		–		2.50		9.25		13.93		–		–

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

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

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

Balanced funds may invest in stocks and bonds. Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. Bond values fluctuate in response to the financial condition of individual issuers, general market and economic conditions, and changes in interest rates. Changes in market conditions and government policies may lead to periods of heightened volatility in the bond market and reduced liquidity for certain bonds held by the Fund. In general, when interest rates rise, bond values fall and investors may lose principal value. Interest rate changes and their impact on the Fund and its share price can be sudden and unpredictable. The use of derivatives may reduce returns and/or increase volatility. The Fund will indirectly be exposed to all of the risks of an investment in the underlying funds and will indirectly bear expenses of the underlying funds. Certain investment strategies tend to increase the total risk of an investment (relative to the broader market). The Fund is exposed to alternative investment risk, foreign investment risk, high-yield securities risk, mortgage- and asset-backed securities risk, and smaller-company investment risk. Consult the Fund’s prospectus for additional information on these and other risks.

Please see footnotes on page 19.

Performance highlights (unaudited) Multi-Asset Funds 19

Wells Fargo WealthBuilder Growth Balanced Fund (continued)

Growth of $10,000 investment as of May 31, 2019¹⁰

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

* Mr. Keshemberg became a portfolio manager of the Fund on October 26, 2018.

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.48% of acquired fund fees and expenses. Net expenses from affiliated master portfolios are included in the acquired fund fees and expense amount. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which do not include acquired fund fees and expenses.

²  The manager has contractually committed through September 30, 2019, to waive fees and/or reimburse expenses to the extent necessary to cap the expenses of each class after fee waivers at 0.75% for Class A, 1.50% for Class C, and 0.42% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), net expenses from affiliated master portfolios, and extraordinary expenses are excluded from the expense cap. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Without this cap, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  Historical performance for Class A shares prior to their inception reflects the performance of Class C shares and includes the higher expenses applicable to Class C shares. If these expenses had not been included, returns for Class A shares would be higher.

⁴  Prior to February 13, 2017, historical performance shown for Class C shares reflects the performance of the Fund’s predecessor WealthBuilder Portfolio share class and does not reflect thefront-end sales load previously attributable to the predecessor class. The expenses for Class C shares and the predecessor share class are similar.

⁵  Historical performance shown for Institutional Class shares prior to their inception reflects the performance of Class A shares adjusted to reflect that Institutional Class shares do not have a sales load but not adjusted to reflect Institutional Class expenses. If these expenses had been included, returns for Institutional Class shares would be higher.

⁶  Source: Wells Fargo Funds Management, LLC. The WealthBuilder Growth Balanced Blended Index is composed 42% of the Russell 3000^® Index, 40% of the Bloomberg Barclays U.S. Aggregate Bond Index, and 18% of the MSCI ACWI ex USA Index (Net). You cannot invest directly in an index.

⁷  The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar–denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index.

⁸  The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization- weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the U.S. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indexes or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index.

⁹  The Russell 3000^® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. You cannot invest directly in an index.

¹⁰  The chart compares the performance of Class A shares for the most recent ten years with the WealthBuilder Growth Balanced Blended Index, the Bloomberg Barclays U.S. Aggregate Bond Index, the MSCI ACWI ex USA (Net), and the Russell 3000^® Index. The chart assumes a hypothetical $10,000 investment and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

¹¹  The ten largest holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

¹²  Effective allocation includes the effect of any tactical futures overlay that may be in place. Effective cash is comprised of the net impact of long and/or short futures contracts held as part of a dynamic risk management strategy. The amounts are subject to change and may have changed since the date specified.

20 Multi-Asset Funds Performance highlights (unaudited)

Wells Fargo WealthBuilder Growth Balanced Fund (continued)

MANAGER’S DISCUSSION

Fund highlights

∎ The Fund underperformed the WealthBuilder Growth Balanced Blended Index for the12-month period that ended May 31, 2019. The Fund is a fund-of-funds that invests in various affiliated mutual funds, unaffiliated mutual funds, and exchange-traded funds.

∎ On a relative basis, the actively managed international investments underperformed their respective style-specific benchmarks.

∎ The tactical asset allocation (TAA) overlay, a futures overlay, added to performance through the period.

Positive economic data ruled most of the period.

The12-month period that ended May 31, 2019, saw the U.S. economy continue on a positive trajectory, producing moderate average gross domestic product growth of 3.1% with a core inflation rate of 2.0%, while unemployment reached a low of 3.6%, the lowest level since 1969.

Over the last 12 months, the financial markets experienced more volatility than the favorable economic environment might have suggested. Looking back at the financial markets, we saw equities experience a significant decline during the fourth quarter of 2018, as concerns over a partial U.S. government shutdown, central bank tightening, trade tensions, and slowing economic growth shook investors’ confidence. The market volatility of the fourth quarter gave way to a first-quarter 2019 rebound where both equity and fixed-income markets rallied. The two markets seemed joined at the hip as the Federal Reserve’s (Fed’s) updated script signaled an easier policy path for the balance of 2019. Market participants were caught off balance by this evolution in the projected policy path, which has resulted in a broader opportunity set for sector rotation in equities and yield curve trades. We saw a return of volatility toward the end of the12-month period as concerns over trade (primarily with China and Mexico) caused concerns over global growth to weigh on investors’ minds.

Ten largest holdings (%) as of May 31, 201911
Wells Fargo Disciplined Large Cap Portfolio	14.93
Wells Fargo Factor Enhanced Large Cap Portfolio	13.30
Wells Fargo Core Bond Portfolio	11.39
Wells Fargo Factor Enhanced International Portfolio	8.14
Wells Fargo Strategic Income Fund Institutional Class	6.37
Wells Fargo Bloomberg Barclays US Aggregateex-Corporate Portfolio	5.34
Vanguard Intermediate-Term Corporate Bond ETF	3.56
Wells Fargo Factor Enhanced Emerging Markets Portfolio	3.27
Vanguard Short-Term Bond ETF	3.20
Dodge & Cox International Stock Fund	2.91

Over the period, we made relatively few changes to the underlying mutual funds in which the Fund invests. The most significant change was the addition of a flexible-mandate fixed-income fund with the ability to shift assets among different fixed-income sectors such as high-yield, asset-backed, and foreign securities that the portfolio managers find attractive. In the fourth quarter of 2018, we reduced our direct high-yield exposure to fund this new investment. Also in the fourth quarter of 2018, to reduce the overall equity risk in the Fund, we introduced a dedicated equity investment in the U.S. consumer staples sector.

At the start of the period, the Fund’s targeted TAA overlay was 5.00% long in the S&P 500 futures contract. Due to volatility concerns, in early September, 2018, we reduced

the position by 2.50%. In October, 2018, we added a total of 2.50%, bringing the position back to 5.00% long. During early November, 2018, we covered 1.25%. In early December, 2018, we added 2.50%, bringing the position to 6.25%. As January, 2019, drew to a close, we covered 2.50%. In early February, 2019, we covered the remaining 3.75% and exited the position. With respect to the 10-year Treasury contract activity, we started the period short 2.50% and covered the position in early October, 2018. In mid-December, 2018, we established a new 2.50% short position and exited it in early March, 2019.

Please see footnotes on page 19.

Performance highlights (unaudited) Multi-Asset Funds 21

Wells Fargo WealthBuilder Growth Balanced Fund (continued)

Allocations (%) as of May 31, 2019
	Effective allocation12		Neutral allocation
Alternative Investments		5		5
Bonds		34		35
Stocks		56		60
Effective Cash		5		0

Over the entire period, TAA activity contributed about 47 basis points (bps; 100 bps equal 1.00%) to performance.

The Fund’s holdings in underlying funds that employ various factor-based strategies performed well on a relative basis over the period. Wells Fargo Factor Enhanced Large Cap Portfolio outperformed its market benchmark by 328 bps, the Wells Fargo Factor Enhanced Small Cap Portfolio outperformed its market benchmark

by 80 bps, the Wells Fargo Factor Enhanced International Portfolio outperformed its market benchmark by 172 bps, and the Wells Fargo Factor Enhanced Emerging Markets Portfolio outperformed its market benchmark by 43 bps.

While the factor-enhanced international strategies did well on a relative basis, the remainder of the actively managed international equity mutual funds held within the Fund did not, and this was the most significant detractor from performance over the period. Underperformance in the three international funds ranged from 205 bps to 966 bps.

On average, over the 12 months that ended May 31, 2019, the equity portion of the portfolio was hedged an average of 9.4%. The maximum daily hedge was 36.1% on December 12, 2018. The hedge detracted 48 bps from performance over the entire period.

Looking ahead, we are cautiously optimistic.

Our macroeconomic view is that growth will remain positive but it will be slower over the next 12 months than it was over the preceding 12 months. However, we still hold that absent an exogenous shock—likely an implemented shift in trade policy—a U.S. recession is unlikely in 2019. As always, that view could change with new data. We are concerned about growth prospects in Europe and in the rest of the world but are most concerned about the U.S. trade negotiations with major trading partners. Until the trade negotiations move toward détente and more certainty builds to invoke more aggressive business planning resulting in further growth, we are taking a bit more of a cautious approach to the markets and have started to reduce some risks in the portfolios. Like the Fed, we remain very data dependent and acknowledge that while the U.S. economy may be softening, the levels of growth remain robust and 2019 should remain a target-rich environment for investors.

Please see footnotes on page 19.

22 Multi-Asset Funds Performance highlights (unaudited)

Wells Fargo WealthBuilder Moderate Balanced Fund

Investment objective

The Fund seeks a combination of current income and capital appreciation.

Manager

Wells Fargo Funds Management, LLC

Subadviser

Wells Capital Management Incorporated

Portfolio managers

Kandarp R. Acharya, CFA^®‡, FRM

Christian L. Chan, CFA^®‡

Travis L. Keshemberg, CFA^®‡*, CIPM, FRM

Average annual total returns (%) as of May 31, 2019

		Including sales charge						Excluding sales charge						Expense ratios1 (%)
	Inception date	1 year		5 year		10 year		1 year		5 year		10 year		Gross		Net2
Class A (WMBGX)3	2-10-2017		-3.49		2.08		5.49		2.40		3.29		6.12		1.22		1.22
Class C (WMBFX)	9-30-2004		0.58		2.92		5.93		1.58		2.92		5.93		1.97		1.97
Institutional Class (WMBZX)4	7-31-2018		–		–		–		2.76		3.37		6.15		0.88		0.88
WealthBuilder Moderate Balanced Blended Index5	–		–		–		–		4.11		4.54		7.08		–		–
Bloomberg Barclays U.S. Aggregate Bond Index6	–		–		–		–		6.40		2.70		3.83		–		–
MSCI ACWI ex USA Index (Net)7	–		–		–		–		-6.26		1.31		5.80		–		–
Russell 3000® Index8	–		–		–		–		2.50		9.25		13.93		–		–

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

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

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

Balanced funds may invest in stocks and bonds. Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. Bond values fluctuate in response to the financial condition of individual issuers, general market and economic conditions, and changes in interest rates. Changes in market conditions and government policies may lead to periods of heightened volatility in the bond market and reduced liquidity for certain bonds held by the Fund. In general, when interest rates rise, bond values fall and investors may lose principal value. Interest-rate changes and their impact on the Fund and its share price can be sudden and unpredictable. The use of derivatives may reduce returns and/or increase volatility. The Fund will indirectly be exposed to all of the risks of an investment in the underlying funds and will indirectly bear expenses of the underlying funds. Certain investment strategies tend to increase the total risk of an investment (relative to the broader market). The Fund is exposed to alternative investment risk, foreign investment risk, high-yield securities risk,mortgage-and asset-backed securities risk, and smaller-company investment risk. Consult the Fund’s prospectus for additional information on these and other risks.

Please see footnotes on page 23.

Performance highlights (unaudited) Multi-Asset Funds 23

Wells Fargo WealthBuilder Moderate Balanced Fund (continued)

Growth of $10,000 investment as of May 31, 2019⁹

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

* Mr. Keshemberg became a portfolio manager of the Fund on October 26, 2018.

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.47% of acquired fund fees and expenses. Net expenses from affiliated master portfolios are included in the acquired fund fees and expense amount. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which do not include acquired fund fees and expenses.

²  The manager has contractually committed through September 30, 2019, to waive fees and/or reimburse expenses to the extent necessary to cap the expenses of each class after fee waivers at 0.75% for Class A, 1.50% for Class C, and 0.42% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), net expenses from affiliated master portfolios, and extraordinary expenses are excluded from the expense cap. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Without this cap, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  Historical performance for Class A shares prior to their inception reflects the performance of Class C shares and includes the higher expenses applicable to Class C shares. If these expenses had not been included, returns for Class A shares would be higher.

⁴  Prior to February 13, 2017, historical performance shown for Class C shares reflects the performance of the Fund’s predecessor WealthBuilder Portfolio share class and does not reflect thefront-end sales load previously attributable to the predecessor class. The expenses for Class C shares and the predecessor share class are similar.

⁵  Source: Wells Fargo Funds Management, LLC. The WealthBuilder Moderate Balanced Blended Index is composed 60% of the Bloomberg Barclays U.S. Aggregate Bond Index, 28% of the Russell 3000^® Index, and 12% of the MSCI ACWI ex USA Index (Net). You cannot invest directly in an index.

⁶  The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar–denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index.

⁷  The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization- weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the U.S. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indexes or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index.

⁸  The Russell 3000^® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. You cannot invest directly in an index.

⁹  The chart compares the performance of Class A shares for the most recent ten years with the WealthBuilder Moderate Blended Blended Index, the Bloomberg Barclays U.S. Aggregate Bond Index, the MSCI ACWI ex USA Index (Net), and the Russell 3000^® Index. The chart assumes a hypothetical $10,000 investment and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

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

¹¹  Effective allocation includes the effect of any tactical futures overlay that may be in place. Effective cash is comprised of the net impact of long and/or short futures contracts held as part of a dynamic risk management strategy. The amounts are subject to change and may have changed since the date specified.

24 Multi-Asset Funds Performance highlights (unaudited)

Wells Fargo WealthBuilder Moderate Balanced Fund (continued)

MANAGER’S DISCUSSION

Fund highlights

∎ The Fund underperformed the WealthBuilder Moderate Balanced Blended Index for the12-month period that ended May 31, 2019. The Fund is a fund-of-funds that invests in various affiliated mutual funds, unaffiliated mutual funds, and exchange-traded funds.

∎ On a relative basis, the actively managed international investments underperformed their respective style-specific benchmarks.

∎ The tactical asset allocation (TAA) overlay, a futures strategy, added to performance through the period.

Positive economic data ruled most of the period.

The12-month period that ended May 31, 2019, saw the U.S. economy continue on a positive trajectory, producing moderate average gross domestic product growth of 3.1% with a core inflation rate of 2.0%, while unemployment reached a low of 3.6%, the lowest level since 1969.

Over the last 12 months, the financial markets experienced more volatility than the favorable economic environment might have suggested. Looking back at the financial markets, we saw equities experience a significant decline during the fourth quarter of 2018, as concerns over a partial U.S. government shutdown, central bank tightening, trade tensions, and slowing economic growth shook investors’ confidence. The market volatility of the fourth quarter of 2018 gave way to a first-quarter 2019 rebound where both equity and fixed-income markets rallied. The two markets seemed joined at the hip as the Federal Reserve’s (Fed’s) updated script signaled an easier policy path for the balance of 2019. Market participants were caught off balance by this evolution in the projected policy path, which has resulted in a broader opportunity set for sector rotation in equities and yield curve trades. We saw a return of volatility toward the end of the12-month period as concerns over trade (primarily with China and Mexico) caused concerns over global growth to weigh on investors’ minds.

Portfolio management addressed Fund allocations throughout the period.

Over the period, we made relatively few changes to the underlying mutual funds in which the Fund invests. The most significant change was the addition of a flexible mandate fixed-income fund with the ability to shift assets among different fixed-income sectors such as high-yield, asset-backed, and foreign securities that the portfolio managers find attractive. In the fourth quarter of 2018, we reduced our direct high-yield exposure to fund this new investment. Also in the fourth quarter of 2018, to reduce the overall equity risk in the Fund, we introduced a dedicated equity investment in the U.S. consumer staples sector.

At the start of the period, the Fund’s targeted TAA overlay was 5.00% long in the S&P 500 futures contract. Due to volatility concerns, in early September, 2018, we reduced the position by 2.50%. In October, 2018, we added a total of 2.50%, bringing the position back to 5.00% long. During early November, 2018, we covered 1.25%. In early December, 2018, we added 2.50%, bringing the position to 6.25%. As January, 2019, drew to a close, we covered 2.50%. In early February, 2019, we covered the remaining 3.75% and exited the position. With respect to the 10-year Treasury contract activity, we started the period short 2.50% and covered the position in early October, 2018. In mid-December, 2018, we established a new 2.50% short position and exited it in early March, 2019.

Please see footnotes on page 23.

Performance highlights (unaudited) Multi-Asset Funds 25

Wells Fargo WealthBuilder Moderate Balanced Fund (continued)

Ten largest holdings (%) as of May 31, 201910
Wells Fargo Core Bond Portfolio	17.81
Wells Fargo Strategic Income Fund Institutional Class	9.96
Wells Fargo Disciplined Large Cap Portfolio	9.87
Wells Fargo Factor Enhanced Large Cap Portfolio	8.81
Wells Fargo Bloomberg Barclays US Aggregateex-Corporate Portfolio	8.36
Vanguard Intermediate-Term Corporate Bond ETF	5.57
Wells Fargo Factor Enhanced International Portfolio	5.39
Vanguard Short-Term Bond ETF	5.00
Wells Fargo Real Return Portfolio	3.34
Wells Fargo Factor Enhanced Emerging Markets Portfolio	2.17

Allocations (%) as of May 31, 2019
	Effective allocation11		Neutral allocation
Alternative Investments		5		5
Bonds		54		55
Stocks		35		40
Effective Cash		6		0

Over the entire period, TAA activity contributed about 47 basis points (bps; 100 bps equal 1.00%) to performance.

The Fund’s holdings in underlying funds that employ various factor-based strategies performed well on a relative basis over the period. Wells Fargo Factor Enhanced Large Cap Portfolio outperformed its market benchmark by 328 bps, the Wells Fargo Factor Enhanced Small Cap Portfolio outperformed its market benchmark by 80 bps, the Wells Fargo Factor Enhanced International Portfolio outperformed its market benchmark by 172 bps, and the Wells Fargo Factor Enhanced Emerging Markets Portfolio outperformed its market benchmark by 43 bps.

While the factor-enhanced international strategies did well on a relative basis, the remainder of the actively managed international equity mutual funds held within the Fund did not, and this was the most significant detractor from performance over the period. Underperformance in the three international funds ranged from 205 bps to 966 bps.

On average, over the 12 months that ended May 31, 2019, the equity portion of the portfolio was hedged 9.4%. The maximum daily hedge was 36.1% on December 12, 2018. The hedge detracted 31 bps from performance over the entire period.

Looking ahead, we are cautiously optimistic.

Our macroeconomic view is that growth will remain positive but it will be slower over the next 12 months than it was over the preceding 12 months. However, we still hold that absent an exogenous shock—likely an implemented shift in trade policy—a U.S. recession is unlikely in 2019. As always, that view could change with new data. We are concerned about growth prospects in Europe and in the rest of the world but are most concerned about the U.S. trade negotiations with major trading partners. Until the trade negotiations move toward détente and more certainty builds to invoke more aggressive business planning resulting in further growth, we are taking a bit more of a cautious approach to the markets and have started to reduce some risks in the portfolios. Like the Fed, we remain very data dependent and acknowledge that while the U.S. economy may be softening, the levels of growth remain robust and 2019 should remain a target-rich environment for investors.

Please see footnotes on page 23.

26 Multi-Asset Funds Fund expenses (unaudited)

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

The example is based on an investment of $1,000 invested at the beginning of thesix-month period and held for the entire period from December 1, 2018 to May 31, 2019.

Actual expenses

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

Hypothetical example for comparison purposes

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

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

WealthBuilder Conservative Allocation Fund	Beginning account value 12-1-2018		Ending account value 5-31-2019		Expenses paid during the period¹		Annualized net expense ratio
Class A
Actual	$	1,000.00	$	1,045.37	$	3.86		0.75	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.16	$	3.81		0.75	%
Class C
Actual	$	1,000.00	$	1,040.42	$	7.63		1.50	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.45	$	7.54		1.50	%
Institutional Class
Actual	$	1,000.00	$	1,046.12	$	2.15		0.42	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.83	$	2.12		0.42	%
WealthBuilder Equity Fund
Class A
Actual	$	1,000.00	$	1,000.31	$	3.74		0.75	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.19	$	3.78		0.75	%
Class C
Actual	$	1,000.00	$	995.86	$	7.46		1.50	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.45	$	7.54		1.50	%
Institutional Class
Actual	$	1,000.00	$	1,001.60	$	2.09		0.42	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.84	$	2.12		0.42	%

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

Fund expenses (unaudited) Multi-Asset Funds 27

WealthBuilder Growth Allocation Fund	Beginning account value 12-1-2018		Ending account value 5-31-2019		Expenses paid during the period¹		Annualized net expense ratio
Class A
Actual	$	1,000.00	$	1,011.47	$	3.76		0.75	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.19	$	3.78		0.75	%
Class C
Actual	$	1,000.00	$	1,007.48	$	7.51		1.50	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.45	$	7.54		1.50	%
Institutional Class
Actual	$	1,000.00	$	1,013.80	$	2.11		0.42	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.83	$	2.12		0.42	%
WealthBuilder Growth Balanced Fund
Class A
Actual	$	1,000.00	$	1,021.75	$	3.78		0.75	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.19	$	3.78		0.75	%
Class C
Actual	$	1,000.00	$	1,018.33	$	7.55		1.50	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.45	$	7.54		1.50	%
Institutional Class
Actual	$	1,000.00	$	1,024.08	$	2.12		0.42	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.84	$	2.12		0.42	%
WealthBuilder Moderate Balanced Fund
Class A
Actual	$	1,000.00	$	1,033.11	$	3.80		0.75	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.19	$	3.78		0.75	%
Class C
Actual	$	1,000.00	$	1,029.40	$	7.59		1.50	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.45	$	7.54		1.50	%
Institutional Class
Actual	$	1,000.00	$	1,035.74	$	2.13		0.42	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.84	$	2.11		0.42	%

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

28 Multi-Asset Funds Portfolio of investments—May 31, 2019

WEALTHBUILDER CONSERVATIVE ALLOCATION FUND

Security name	Shares		Value
Exchange-Traded Funds: 14.92%
Consumer Staples Select Sector SPDR Fund		26,762	$	1,488,235
Vanguard Intermediate-Term Corporate Bond ETF		217,694		19,172,311
Vanguard Short-Term Bond ETF		214,755		17,208,318
Total Exchange-Traded Funds (Cost $37,389,349)				37,868,864
Investment Companies: 84.46%
Affiliated Master Portfolios: 57.57%
Wells Fargo Bloomberg Barclays US Aggregateex-Corporate Portfolio				28,756,061
Wells Fargo Core Bond Portfolio				61,343,555
Wells Fargo Disciplined Large Cap Portfolio				12,335,224
Wells Fargo Emerging Growth Portfolio				1,713,046
Wells Fargo Factor Enhanced Emerging Markets Portfolio				2,745,921
Wells Fargo Factor Enhanced International Portfolio				6,719,940
Wells Fargo Factor Enhanced Large Cap Portfolio				10,977,377
Wells Fargo Factor Enhanced Small Cap Portfolio				2,126,238
Wells Fargo High Yield Corporate Bond Portfolio				5,378,678
Wells Fargo Real Return Portfolio				11,496,458
Wells Fargo U.S. REIT Portfolio				2,530,888
				146,123,386
Alternative Investment Funds: 2.95%
AQR Managed Futures Strategy Fund Class R6 †		294,958		2,521,895
PIMCO CommodityRealReturn Strategy Fund Institutional Class		419,151		2,435,265
The Arbitrage Fund Class I		190,821		2,539,824
				7,496,984
Bond Funds: 18.71%
Federated Institutional High Yield Bond Fund Class R6		490,322		4,726,708
Invesco Oppenheimer International Bond Fund Class R6		870,635		4,718,842
Wells Fargo High Yield Bond Fund Institutional Class (l)		1,172,624		3,764,124
Wells Fargo Strategic Income Fund Institutional Class (l)		3,643,713		34,287,336
				47,497,010
Stock Funds: 5.23%
Calamos Market Neutral Income Fund Class I		194,376		2,534,665
DFA International Small Cap Value Portfolio Institutional Class		55,931		963,691
Dodge & Cox International Stock Fund		62,156		2,424,068
T. Rowe Price International Discovery Fund Institutional Class		16,076		983,701
Wells Fargo Emerging Markets Equity Fund Class R6 (l)		40,832		966,082
Wells Fargo Endeavor Select Fund Institutional Class †(l)		252,589		2,245,515
Wells Fargo Large Cap Growth Fund Class R6 (l)		51,334		2,200,187
Wells Fargo Small Cap Value Fund Class R6 †(l)		69,476		946,962
				13,264,871
Total Investment Companies (Cost $215,271,033)				214,382,251

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

Portfolio of investments—May 31, 2019 Multi-Asset Funds 29

WEALTHBUILDER CONSERVATIVE ALLOCATION FUND

Security name	Yield					Shares		Value
Short-Term Investments: 0.64%
Investment Companies: 0.32%
Wells Fargo Government Money Market Fund Select Class (l)(u)		2.30	%				799,593	$	799,593
				Maturity date		Principal
U.S. Treasury Securities: 0.32%
U.S. Treasury Bill (z)#		2.07			6-25-2019	$	818,000		816,858
Total Short-Term Investments (Cost $1,616,419)									1,616,451

Total investments in securities (Cost $254,276,801)	100.02	%		253,867,566
Other assets and liabilities, net	(0.02	)		(38,633	)
Total net assets	100.00	%	$	253,828,933

† Non-income-earning security

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

(u) The rate represents the7-day annualized yield at period end.

(z) Zero coupon security. The rate represents the current yield to maturity.

# All or a portion of this security is segregated as collateral for investments in derivative instruments.

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost			Notional value			Unrealized gains		Unrealized losses
Long
Japanese Yen Futures		116		6-17-2019	$	13,193,509		$	13,392,925		$	199,416	$	0
Short
E-Mini Russell 2000 Index		(3)		6-21-2019		(226,783	)		(219,975	)		6,808		0
MSCI EAFE Index		(4)		6-21-2019		(365,280	)		(363,580	)		1,700		0
MSCI Emerging Markets Index		(2)		6-21-2019		(98,411	)		(100,020	)		0		(1,609	)
S&P 500E-Mini Index		(87)		6-21-2019		(12,232,996	)		(11,973,810	)		259,186		0
											$	467,110	$	(1,609	)

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

30 Multi-Asset Funds Portfolio of investments—May 31, 2019

WEALTHBUILDER CONSERVATIVE ALLOCATION FUND

Investments in Affiliates

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

	Shares, end of period		Net realized gains (losses) on affiliated Underlying Funds				Net realized gain (losses) on capital gain distributions from affiliated Underlying Funds		Net change in unrealized gains (losses) on affiliated Underlying Funds			Dividends from affiliated Underlying Funds		Value, end of period		% of net assets
Investment Companies
Bond Funds
Wells Fargo High Yield Bond Fund Institutional Class		1,172,624	$	(75,073	)		$	0	$	9,301		$	203,002	$	3,764,124
Wells Fargo Strategic Income Fund Institutional Class		3,643,713		(5,921	)			0		260,858			684,808		34,287,336
															38,051,460		14.99	%
Stock Funds
Wells Fargo Emerging Markets Equity Fund Class R6		40,832		36,970				0		(136,099	)		9,361		966,082
Wells Fargo Endeavor Select Fund Institutional Class †		252,589		181,440				489,556		(378,014	)		0		2,245,515
Wells Fargo Large Cap Growth Fund Class R6		51,334		97,990				528,414		(425,726	)		1,124		2,200,187
Wells Fargo Small Cap Value Fund Class R6 †		69,476		(271,069	)			190,754		(73,908	)		0		946,962
															6,358,746		2.51
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		799,593		0		��		0		0			17,647		799,593		0.32
Affiliated securities no longer held at end of period				69,296				0		77,656			65,297
			$	33,633			$	1,208,724	($	665,932	)	$	981,239	$	45,209,799		17.82	%

For the year ended May 31, 2019, investment activity in affiliates of the Fund was as follows:

	Shares, beginning of period		Shares purchased		Shares sold		Shares, end of period
Investment Companies
Bond Funds
Wells Fargo High Yield Bond Fund Institutional Class		1,500,708		91,633		419,717		1,172,624
Wells Fargo Short-Term High Yield Bond Fund Institutional Class *		612,276		10,952		623,228		0
Wells Fargo Strategic Income Fund Institutional Class		0		4,037,467		393,754		3,643,713
Stock Funds
Wells Fargo Disciplined U.S. Core Fund Class R6 *		293,037		0		293,037		0
Wells Fargo Emerging Markets Equity Fund Class R6		48,798		4,014		11,980		40,832
Wells Fargo Endeavor Select Fund Institutional Class †		288,513		80,951		116,875		252,589
Wells Fargo Large Cap Growth Fund Class R6		56,180		18,825		23,671		51,334
Wells Fargo Small Cap Value Fund Class R6 †		65,600		26,636		22,760		69,476
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		48,023		25,458,904		24,707,334		799,593

† Non-income-earning security

* No longer held at the end of the period.

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

Portfolio of investments—May 31, 2019 Multi-Asset Funds 31

WEALTHBUILDER CONSERVATIVE ALLOCATION FUND

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		3.92	%		4.65	%	$	(261,540	)	$	1,267,460		$	784,588	$	0	$	13,070	$	28,756,061
Wells Fargo Core Bond Portfolio		1.37			1.05			(560,168	)		2,482,739			2,187,091		0		25,402		61,343,555
Wells Fargo Disciplined Large Cap Portfolio		0.00			3.95			(510,046	)		(108,301	)		0		308,846		2,551		12,335,224
Wells Fargo Emerging Growth Portfolio		0.26			0.21			533,661			(463,463	)		0		2,126		2,445		1,713,046
Wells Fargo Factor Enhanced Emerging Markets Portfolio		1.06			1.08			(397,053	)		59,363			355		84,063		2,057		2,745,921
Wells Fargo Factor Enhanced International Portfolio		0.82			0.99			(729,559	)		67,911			403		219,578		4,794		6,719,940
Wells Fargo Factor Enhanced Large Cap Portfolio		0.81			0.98			100,742			515,611			983		268,662		7,043		10,977,377
Wells Fargo Factor Enhanced Small Cap Portfolio		0.67			0.81			70,036			(249,009	)		249		34,509		1,766		2,126,238
Wells Fargo High Yield Corporate Bond Portfolio		12.24			8.64			(319,594	)		339,746			703,140		0		2,812		5,378,678
Wells Fargo Real Return Portfolio		10.06			6.29			(232,219	)		279,025			291,965		52,694		2,935		11,496,458
Wells Fargo U.S. REIT Portfolio		5.16			5.84			135,816			139,526			0		79,856		211		2,530,888
							$	(2,169,924	)	$	4,330,608		$	3,968,774	$	1,050,334	$	65,086	$	146,123,386		57.57	%

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

32 Multi-Asset Funds Portfolio of investments—May 31, 2019

WEALTHBUILDER EQUITY FUND

Security name						Shares		Value
Exchange-Traded Funds: 2.99%
Consumer Staples Select Sector SPDR Fund							214,518	$	11,929,346
Total Exchange-Traded Funds (Cost $10,799,489)									11,929,346
Investment Companies: 96.32%
Affiliated Master Portfolios: 74.56%
Wells Fargo Disciplined Large Cap Portfolio									100,954,269
Wells Fargo Emerging Growth Portfolio									13,908,531
Wells Fargo Factor Enhanced Emerging Markets Portfolio									22,118,283
Wells Fargo Factor Enhanced International Portfolio									54,346,141
Wells Fargo Factor Enhanced Large Cap Portfolio									89,163,428
Wells Fargo Factor Enhanced Small Cap Portfolio									17,445,728
									297,936,380
Stock Funds: 21.76%
DFA International Small Cap Value Portfolio Institutional Class							453,101		7,806,925
Dodge & Cox International Stock Fund							504,439		19,673,114
T. Rowe Price International Discovery Fund Institutional Class							131,285		8,033,301
Wells Fargo Emerging Markets Equity Fund Class R6 (l)							328,988		7,783,861
Wells Fargo Endeavor Select Fund Institutional Class †(l)							2,032,274		18,066,914
Wells Fargo Large Cap Growth Fund Class R6 (l)							417,126		17,878,033
Wells Fargo Small Cap Value Fund Class R6 †(l)							566,720		7,724,397
									86,966,545
Total Investment Companies (Cost $385,072,845)									384,902,925
	Yield
Short-Term Investments: 0.76%
Investment Companies: 0.57%
Wells Fargo Government Money Market Fund Select Class (l)(u)		2.30	%				2,277,831		2,277,831
				Maturity date		Principal
U.S. Treasury Securities: 0.19%
U.S. Treasury Bill (z)#		2.07			6-25-2019	$	757,000		755,943
Total Short-Term Investments (Cost $3,033,739)									3,033,774

Total investments in securities (Cost $398,906,073)	100.07	%		399,866,045
Other assets and liabilities, net	(0.07	)		(269,462	)
Total net assets	100.00	%	$	399,596,583

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

† Non-income earning security

(u) The rate represents the7-day annualized yield at period end.

(z) Zero coupon security. The rate represents the current yield to maturity.

# All or a portion of this security is segregated as collateral for investments in derivative instruments.

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

Portfolio of investments—May 31, 2019 Multi-Asset Funds 33

WEALTHBUILDER EQUITY FUND

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost			Notional value			Unrealized gains		Unrealized losses
Long
Japanese Yen Futures		187		6-17-2019	$	21,268,847		$	21,590,319		$	321,472	$	0
Short
E-Mini Russell 2000 Index		(22)		6-21-2019		(1,633,720	)		(1,613,150	)		20,570		0
MSCI EAFE		(34)		6-21-2019		(3,097,287	)		(3,090,430	)		6,857		0
MSCI Emerging Markets Index		(16)		6-21-2019		(787,283	)		(800,160	)		0		(12,877	)
S&P 500E-Mini Index		(37)		6-21-2019		(5,150,136	)		(5,092,310	)		57,826		0
											$	406,725	$	(12,877	)

Investments in Affiliates

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

	Shares, end of period		Net realized gains (losses) on affiliated Underlying Funds			Net realized gain (losses) on capital gain distributions from affiliated Underlying Funds		Net change in unrealized gains (losses) on affiliated Underlying Funds			Dividends from affiliated Underlying Funds		Value, end of period		% of net assets
Investment Companies
Stock Funds
Wells Fargo Emerging Markets Equity Fund Class R6		328,988	$	72,597		$	0	$	(1,717,280	)	$	70,597	$	7,783,861
Wells Fargo Endeavor Select Fund Institutional Class †		2,032,274		(12,029	)		4,037,919		(926,934	)		0		18,066,914
Wells Fargo Large Cap Growth Fund Class R6		417,126		(2,023,834	)		4,372,609		(939,174	)		8,974		17,878,033
Wells Fargo Small Cap Value Fund Class R6 †		566,720		(1,202,256	)		1,561,665		(1,860,416	)		0		7,724,397
														51,453,205		12.88	%
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		2,277,831		0			0		0			48,486		2,277,831		0.57
Affiliated securities no longer held at end of period				937,711			0		236,882			0
			($	2,227,811	)	$	9,972,193	($	5,206,922	)	$	128,057	$	53,731,036		13.45	%

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

34 Multi-Asset Funds Portfolio of investments—May 31, 2019

WEALTHBUILDER EQUITY FUND

For the year ended May 31, 2019, investment activity in affiliates of the Fund was as follows:

	Shares, beginning of period		Shares purchased		Shares sold		Shares, end of period
Investment Companies
Bond Funds
Wells Fargo Disciplined U.S. Core Fund Class R6 *		2,260,514		0		2,260,514		0
Wells Fargo Emerging Markets Equity Fund Class R6		371,461		39,691		82,164		328,988
Wells Fargo Endeavor Select Fund Institutional Class †		2,226,503		616,338		810,567		2,032,274
Wells Fargo Large Cap Growth Fund Class R6		433,975		136,451		153,300		417,126
Wells Fargo Small Cap Value Fund Class R6 †		507,134		178,489		118,903		566,720
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		2,816,736		46,136,552		46,675,457		2,277,831

† Non-income-earning security

* No longer held at the end of the period

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

Portfolio of investments—May 31, 2019 Multi-Asset Funds 35

WEALTHBUILDER EQUITY FUND

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Affiliated Master Portfolios
Wells Fargo Disciplined Large Cap Portfolio		0.00	%		32.30	%	$	(4,194,993	)	$	(1,515,877	)	$	0	$	2,495,741	$	20,357	$	100,954,269
Wells Fargo Emerging Growth Portfolio		2.00			1.70			2,500,930			(2,141,805	)		0		17,350		19,994		13,908,531
Wells Fargo Factor Enhanced Emerging Markets Portfolio		8.01			8.69			(3,236,924	)		369,472			2,838		669,890		16,438		22,118,283
Wells Fargo Factor Enhanced International Portfolio		6.32			7.99			(6,207,400	)		625,988			3,241		1,774,260		38,525		54,346,141
Wells Fargo Factor Enhanced Large Cap Portfolio		6.26			7.92			532,148			3,878,508			7,953		2,170,215		56,915		89,163,428
Wells Fargo Factor Enhanced Small Cap Portfolio		5.18			6.68			349,632			(2,016,139	)		2,011		278,323		14,279		17,445,728
							$	(10,256,607	)	$	(799,853	)	$	16,043	$	7,405,779	$	166,508	$	297,936,380		74.56	%

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

36 Multi-Asset Funds Portfolio of investments—May 31, 2019

WEALTHBUILDER GROWTH ALLOCATION FUND

Security name	Shares		Value
Exchange-Traded Funds: 5.26%
Consumer Staples Select Sector SPDR Fund		122,150	$	6,792,762
Vanguard Intermediate-Term Corporate Bond ETF		49,218		4,334,629
Vanguard Short-Term Bond ETF		48,652		3,898,485
Total Exchange-Traded Funds (Cost $14,287,136)				15,025,876
Investment Companies: 94.15%
Affiliated Master Portfolios: 68.95%
Wells Fargo Bloomberg Barclays US Aggregateex-Corporate Portfolio				6,510,542
Wells Fargo Core Bond Portfolio				13,882,275
Wells Fargo Disciplined Large Cap Portfolio				57,454,263
Wells Fargo Emerging Growth Portfolio				7,947,674
Wells Fargo Factor Enhanced Emerging Markets Portfolio				12,736,023
Wells Fargo Factor Enhanced International Portfolio				31,141,357
Wells Fargo Factor Enhanced Large Cap Portfolio				50,849,638
Wells Fargo Factor Enhanced Small Cap Portfolio				9,944,463
Wells Fargo High Yield Corporate Bond Portfolio				1,115,848
Wells Fargo Real Return Portfolio				2,603,900
Wells Fargo U.S. REIT Portfolio				2,889,904
				197,075,887
Alternative Investment Funds: 2.99%
AQR Managed Futures Strategy Fund Class R6 †		335,654		2,869,840
PIMCO CommodityRealReturn Strategy Fund Institutional Class		483,704		2,810,318
The Arbitrage Fund Class I		216,440		2,880,817
				8,560,975
Bond Funds: 3.77%
Federated Institutional High Yield Bond Fund Class R6		111,471		1,074,580
Invesco Oppenheimer International Bond Fund Class R6		199,065		1,078,933
Wells Fargo High Yield Bond Fund Institutional Class (l)		267,234		857,820
Wells Fargo Strategic Income Fund Institutional Class (l)		825,704		7,769,878
				10,781,211
Stock Funds: 18.44%
Calamos Market Neutral Income Fund Class I		220,581		2,876,374
DFA International Small Cap Value Portfolio Institutional Class		260,859		4,494,596
Dodge & Cox International Stock Fund		289,280		11,281,933
T. Rowe Price International Discovery Fund Institutional Class		74,944		4,585,801
Wells Fargo Emerging Markets Equity Fund Class R6 (l)		189,463		4,482,692
Wells Fargo Endeavor Select Fund Institutional Class †(l)		1,166,335		10,368,722
Wells Fargo Large Cap Growth Fund Class R6 (l)		237,810		10,192,520
Wells Fargo Small Cap Value Fund Class R6 †(l)		324,257		4,419,623
				52,702,261
Total Investment Companies (Cost $271,384,101)				269,120,334

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

Portfolio of investments—May 31, 2019 Multi-Asset Funds 37

WEALTHBUILDER GROWTH ALLOCATION FUND

Security name	Yield					Shares		Value
Short-Term Investments: 0.60%
Investment Companies: 0.22%
Wells Fargo Government Money Market Fund Select Class (l)(u)		2.30	%				615,530	$	615,530
				Maturity date		Principal
U.S. Treasury Securities: 0.38%
U.S. Treasury Bill (z)#		2.07			6-25-2019	$	1,104,000		1,102,458
Total Short-Term Investments (Cost $1,717,946)									1,717,988

Total investments in securities (Cost $287,389,183)	100.01	%		285,864,198
Other assets and liabilities, net	(0.01	)		(22,929	)
Total net assets	100.00	%	$	285,841,269

† Non-income-earning security

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

(u) The rate represents the7-day annualized yield at period end.

(z) Zero coupon security. The rate represents the current yield to maturity.

# All or a portion of this security is segregated as collateral for investments in derivative instruments.

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost			Notional value			Unrealized gains		Unrealized losses
Long
Japanese Yen Futures		133		6-17-2019	$	15,127,040		$	15,355,681		$	228,641	$	0
Short
E-Mini Russell 2000 Index		(12)		6-21-2019		(899,346	)		(879,900	)		19,446		0
MSCI EAFE Index		(19)		6-21-2019		(1,739,110	)		(1,727,005	)		12,105		0
MSCI Emerging Markets Index		(9)		6-21-2019		(449,470	)		(450,090	)		0		(620	)
S&P 500E-Mini Index		(115)		6-21-2019		(16,161,769	)		(15,827,450	)		334,319		0
											$	594,511	$	(620	)

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

38 Multi-Asset Funds Portfolio of investments—May 31, 2019

WEALTHBUILDER GROWTH ALLOCATION FUND

Investments in Affiliates

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

	Shares, end of period		Net realized gains (losses) on affiliated Underlying Funds			Net realized gains (losses) on capital gain distributions from affiliated Underlying Funds		Net change in unrealized gains (losses) on affiliated Underlying Funds			Dividends from affiliated Underlying Funds		Value, end of period		% of net assets
Investment Companies
Bond Funds
Wells Fargo High Yield Bond Fund Institutional Class		267,234	$	(21,652	)	$	0	$	4,417		$	46,148	$	857,820
Wells Fargo Strategic Income Fund Institutional Class		825,704		(11,449	)		0		62,666			152,616		7,769,878
														8,627,698		3.02	%
Stock Funds
Wells Fargo Emerging Markets Equity Fund Class R6		189,463		94,623			0		(560,821	)		42,057		4,482,692
Wells Fargo Endeavor Select Fund Institutional Class †		1,166,335		38,406			2,301,502		(1,070,342	)		0		10,368,722
Wells Fargo Large Cap Growth Fund Class R6		237,810		(73,813	)		2,484,233		(1,575,658	)		5,141		10,192,520
Wells Fargo Small Cap Value Fund Class R6 †		324,257		(468,064	)		885,934		(1,180,441	)		0		4,419,623
														29,463,557		10.31
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		615,530		0			0		0			16,352		615,530		0.22
Affiliated securities no longer held at end of period				517,579			0		157,180			14,842
			$	75,630		$	5,671,669	$	(4,162,999	)	$	277,156	$	38,706,785		13.55	%

For the year ended May 31, 2019, investment activity in affiliates of the Fund was as follows:

	Shares, beginning of period		Shares purchased		Shares sold		Shares, end of period
Investment Companies
Bond Funds
Wells Fargo High Yield Bond Fund Institutional Class		326,928		38,423		98,117		267,234
Wells Fargo Strategic Income Fund Institutional Class		0		961,413		135,709		825,704
Wells Fargo Short-Term High Yield Bond Fund Institutional Class *		133,613		4,268		137,881		0
Stock Funds
Wells Fargo Disciplined U.S. Core Fund Class R6 *		1,301,297		0		1,301,297		0
Wells Fargo Emerging Markets Equity Fund Class R6		215,735		13,457		39,729		189,463
Wells Fargo Endeavor Select Fund Institutional Class †		1,281,318		329,389		444,372		1,166,335
Wells Fargo Large Cap Growth Fund Class R6		249,632		74,246		86,068		237,810
Wells Fargo Small Cap Value Fund Class R6 †		291,878		91,503		59,124		324,257
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		163,691		26,548,757		26,096,918		615,530

† Non-income-earning security

* No longer held at the end of the period.

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

Portfolio of investments—May 31, 2019 Multi-Asset Funds 39

WEALTHBUILDER GROWTH ALLOCATION FUND

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		0.86	%		1.05	%	$	(39,629	)	$	281,768		$	176,544	$	0	$	2,940	$	6,510,542
Wells Fargo Core Bond Portfolio		0.30			0.24			(82,995	)		545,074			492,077		0		5,724		13,882,275
Wells Fargo Disciplined Large Cap Portfolio		0.00			18.38			(2,384,728	)		(804,039	)		0		1,425,831		11,654		57,454,263
Wells Fargo Emerging Growth Portfolio		1.15			0.97			1,617,095			(1,400,782	)		0		9,751		11,405		7,947,674
Wells Fargo Factor Enhanced Emerging Markets Portfolio		4.65			5.01			(1,812,833	)		244,644			1,611		378,022		9,311		12,736,023
Wells Fargo Factor Enhanced International Portfolio		3.64			4.58			(3,515,416	)		369,610			1,854		1,013,603		22,044		31,141,357
Wells Fargo Factor Enhanced Large Cap Portfolio		3.61			4.52			324,071			2,288,729			4,547		1,239,705		32,540		50,849,638
Wells Fargo Factor Enhanced Small Cap Portfolio		2.98			3.81			223,885			(1,144,976	)		1,150		158,903		8,159		9,944,463
Wells Fargo High Yield Corporate Bond Portfolio		2.68			1.79			(68,974	)		75,248			159,068		0		631		1,115,848
Wells Fargo Real Return Portfolio		2.21			1.42			(48,932	)		61,039			66,379		11,846		662		2,603,900
Wells Fargo U.S. REIT Portfolio		5.71			6.67			154,370			159,095			0		91,137		242		2,889,904
							$	(5,634,086	)	$	675,410		$	903,230	$	4,328,798	$	105,312	$	197,075,887		68.95	%

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

40 Multi-Asset Funds Portfolio of investments—May 31, 2019

WEALTHBUILDER GROWTH BALANCED FUND

Security name	Shares		Value
Exchange-Traded Funds: 8.44%
Consumer Staples Select Sector SPDR Fund		177,396	$	9,864,992
Vanguard Intermediate-Term Corporate Bond ETF		237,269		20,896,281
Vanguard Short-Term Bond ETF		234,329		18,776,783
Total Exchange-Traded Funds (Cost $48,415,328)				49,538,056
Investment Companies: 90.88%
Affiliated Master Portfolios: 65.12%
Wells Fargo Bloomberg Barclays US Aggregateex-Corporate Portfolio				31,353,040
Wells Fargo Core Bond Portfolio				66,875,316
Wells Fargo Disciplined Large Cap Portfolio				87,630,295
Wells Fargo Emerging Growth Portfolio				12,069,672
Wells Fargo Factor Enhanced Emerging Markets Portfolio				19,212,830
Wells Fargo Factor Enhanced International Portfolio				47,772,707
Wells Fargo Factor Enhanced Large Cap Portfolio				78,041,798
Wells Fargo Factor Enhanced Small Cap Portfolio				15,109,617
Wells Fargo High Yield Corporate Bond Portfolio				5,544,515
Wells Fargo Real Return Portfolio				12,530,964
Wells Fargo U.S. REIT Portfolio				5,982,035
				382,122,789
Alternative Investment Funds: 3.00%
AQR Managed Futures Strategy Fund Class R6 †		688,217		5,884,256
PIMCO CommodityRealReturn Strategy Fund Institutional Class		994,841		5,780,025
The Arbitrage Fund Class I		446,123		5,937,892
				17,602,173
Bond Funds: 8.83%
Federated Institutional High Yield Bond Fund Class R6		535,014		5,157,534
Invesco Oppenheimer International Bond Fund Class R6		954,770		5,174,852
Wells Fargo High Yield Bond Fund Institutional Class (l)		1,280,953		4,111,858
Wells Fargo Strategic Income Fund Institutional Class (l)		3,972,769		37,383,754
				51,827,998
Stock Funds: 13.93%
Calamos Market Neutral Income Fund Class I		454,105		5,921,531
DFA International Small Cap Value Portfolio Institutional Class		393,225		6,775,261
Dodge & Cox International Stock Fund		437,429		17,059,714
T. Rowe Price International Discovery Fund Institutional Class		114,086		6,980,896
Wells Fargo Emerging Markets Equity Fund Class R6 (l)		285,791		6,761,811
Wells Fargo Endeavor Select Fund Institutional Class †(l)		1,795,342		15,960,593
Wells Fargo Large Cap Growth Fund Class R6 (l)		363,032		15,559,535
Wells Fargo Small Cap Value Fund Class R6 †(l)		492,391		6,711,294
				81,730,635
Total Investment Companies (Cost 538,876,455)				533,283,595

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

Portfolio of investments—May 31, 2019 Multi-Asset Funds 41

WEALTHBUILDER GROWTH BALANCED FUND

Security name	Yield					Shares		Value
Short-Term Investments: 0.74%
Investment Companies: 0.38%
Wells Fargo Government Money Market Fund Select Class (l)(u)		2.30	%				2,225,222	$	2,225,222
				Maturity date		Principal
U.S. Treasury Securities: 0.36%
U.S. Treasury Bill (z)#		2.07			6-25-2019	$	2,132,000		2,129,023
Total Short-Term Investments (Cost $4,354,162)									4,354,245

Total investments in securities (Cost $591,645,945)	100.06	%		587,175,896
Other assets and liabilities, net	(0.06	)		(377,090	)
Total net assets	100.00	%	$	586,798,806

† Non-income-earning security

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

(u) The rate represents the7-day annualized yield at period end.

(z) Zero coupon security. The rate represents the current yield to maturity.

# All or a portion of this security is segregated as collateral for investments in derivative instruments.

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost			Notional value			Unrealized gains		Unrealized losses
Long
Japanese Yen Futures		271		6-17-2019	$	30,822,766		$	31,288,643		$	465,877	$	0
Short
E-Mini Russell 2000 Index		(19)		6-21-2019		(1,410,573	)		(1,393,175	)		17,398		0
MSCI EAFE Index		(29)		6-21-2019		(2,641,389	)		(2,635,955	)		5,434		0
MSCI Emerging Markets Index		(14)		6-21-2019		(688,883	)		(700,140	)		0		(11,257	)
S&P 500E-Mini Index		(224)		6-21-2019		(31,547,743	)		(30,829,120	)		718,623		0
											$	1,207,332	$	(11,257	)

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

42 Multi-Asset Funds Portfolio of investments—May 31, 2019

WEALTHBUILDER GROWTH BALANCED FUND

Investments in Affiliates

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

	Shares, end of period		Net realized gains (losses) on affiliated Underlying Funds			Net realized gain (losses) on capital gain distributions from affiliated Underlying Funds		Net change in unrealized gains (losses) on affiliated Underlying Funds			Dividends from affiliated Underlying Funds		Value, end of period		% of net assets
Investment Companies
Bond Funds
Wells Fargo High Yield Bond Fund Institutional Class		1,280,953	$	(86,654	)	$	0	$	6,125		$	222,560	$	4,111,858
Wells Fargo Strategic Income Fund Institutional Class		3,972,769		(34,146	)		0		291,143			736,866		37,383,754
														41,495,612		7.07	%
Stock Funds
Wells Fargo Emerging Markets Equity Fund Class R6		285,791		183,923			0		(878,601	)		65,396		6,761,811
Wells Fargo Endeavor Select Fund Institutional Class †		1,795,342		262,783			3,520,971		(1,789,321	)		0		15,960,593
Wells Fargo Large Cap Growth Fund Class R6		363,032		620,782			3,802,349		(3,102,506	)		7,952		15,559,535
Wells Fargo Small Cap Value Fund Class R6 †		492,391		(1,274,737	)		1,372,741		(1,264,477	)		0		6,711,294
														44,993,233		7.67
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		2,225,222		0			0		0			44,256		2,225,222		0.38
Affiliated securities no longer held at end of period				780,361			0		257,663			71,530
			$	452,312		$	8,696,061	($	6,479,974	)	$	1,148,560	$	88,714,067		15.12	%

For the year ended May 31, 2019, investment activity in affiliates of the Fund was as follows:

	Shares, beginning of period		Shares purchased		Shares sold		Shares, end of period
Investment Companies
Bond Funds
Wells Fargo High Yield Bond Fund Institutional Class		1,584,935		108,601		412,583		1,280,953
Wells Fargo Short-Term High Yield Bond Fund Institutional Class *		645,811		13,919		659,730		0
Wells Fargo Strategic Income Fund Institutional Class		0		4,423,285		450,516		3,972,769
Stock Funds
Wells Fargo Disciplined U.S. Core Fund Class R6 *		2,010,249		0		2,010,249		0
Wells Fargo Emerging Markets Equity Fund Class R6		333,632		22,120		69,961		285,791
Wells Fargo Endeavor Select Fund Institutional Class †		1,978,166		535,419		718,243		1,795,342
Wells Fargo Large Cap Growth Fund Class R6		385,409		113,156		135,533		363,032
Wells Fargo Small Cap Value Fund Class R6 †		450,814		138,517		96,940		492,391
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		790,414		49,869,219		48,434,411		2,225,222

† Non-income-earning security

* No longer held at the end of the period.

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

Portfolio of investments—May 31, 2019 Multi-Asset Funds 43

WEALTHBUILDER GROWTH BALANCED FUND

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		4.16	%		5.07	%	$	(216,788	)	$	1,377,469		$	852,109	$	0	$	14,184	$	31,353,040
Wells Fargo Core Bond Portfolio		1.45			1.15			(484,439	)		2,700,634			2,377,029		0		27,607		66,875,316
Wells Fargo Disciplined Large Cap Portfolio		0.00			28.04			(3,709,924	)		(1,357,947	)		0		2,203,411		17,963		87,630,295
Wells Fargo Emerging Growth Portfolio		1.78			1.47			2,757,752			(2,393,803	)		0		15,154		17,548		12,069,672
Wells Fargo Factor Enhanced Emerging Markets Portfolio		7.20			7.55			(2,745,155	)		392,699			2,488		582,155		14,350		19,212,830
Wells Fargo Factor Enhanced International Portfolio		5.64			7.02			(5,339,226	)		581,924			2,860		1,559,578		34,003		47,772,707
Wells Fargo Factor Enhanced Large Cap Portfolio		5.57			6.93			539,342			3,608,666			6,997		1,912,613		50,150		78,041,798
Wells Fargo Factor Enhanced Small Cap Portfolio		4.60			5.78			338,962			(1,731,888	)		1,770		244,998		12,579		15,109,617
Wells Fargo High Yield Corporate Bond Portfolio		12.94			8.90			(337,943	)		396,128			769,265		0		3,060		5,544,515
Wells Fargo Real Return Portfolio		10.68			6.86			(242,795	)		304,934			319,115		57,284		3,184		12,530,964
Wells Fargo U.S. REIT Portfolio		11.74			13.80			308,975			339,698			0		187,877		498		5,982,035
							$	(9,131,239	)	$	4,218,514		$	4,331,633	$	6,763,070	$	195,126	$	382,122,789		65.12	%

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

44 Multi-Asset Funds Portfolio of investments—May 31, 2019

WEALTHBUILDER MODERATE BALANCED FUND

Security name	Shares		Value
Exchange-Traded Funds: 11.72%
Consumer Staples Select Sector SPDR Fund		88,195	$	4,904,524
Vanguard Intermediate-Term Corporate Bond ETF		271,388		23,901,141
Vanguard Short-Term Bond ETF		268,017		21,476,202
Total Exchange-Traded Funds (Cost $49,454,355)				50,281,867
Investment Companies: 87.70%
Affiliated Master Portfolios: 61.38%
Wells Fargo Bloomberg Barclays US Aggregateex-Corporate Portfolio				35,856,012
Wells Fargo Core Bond Portfolio				76,414,275
Wells Fargo Disciplined Large Cap Portfolio				42,349,970
Wells Fargo Emerging Growth Portfolio				5,833,267
Wells Fargo Factor Enhanced Emerging Markets Portfolio				9,299,925
Wells Fargo Factor Enhanced International Portfolio				23,111,128
Wells Fargo Factor Enhanced Large Cap Portfolio				37,806,519
Wells Fargo Factor Enhanced Small Cap Portfolio				7,293,388
Wells Fargo High Yield Corporate Bond Portfolio				6,723,026
Wells Fargo Real Return Portfolio				14,334,555
Wells Fargo U.S. REIT Portfolio				4,370,976
				263,393,041
Alternative Investment Funds: 2.98%
AQR Managed Futures Strategy Fund Class R6 †		500,321		4,277,748
PIMCO CommodityRealReturn Strategy Fund Institutional Class		718,761		4,176,002
The Arbitrage Fund Class I		324,464		4,318,620
				12,772,370
Bond Funds: 13.80%
Federated Institutional High Yield Bond Fund Class R6		612,908		5,908,432
Invesco Oppenheimer International Bond Fund Class R6		1,088,898		5,901,827
Wells Fargo High Yield Bond Fund Institutional Class (l)		1,463,296		4,697,181
Wells Fargo Strategic Income Fund Institutional Class (l)		4,541,647		42,736,903
				59,244,343
Stock Funds: 9.54%
Calamos Market Neutral Income Fund Class I		330,031		4,303,598
DFA International Small Cap Value Portfolio Institutional Class		190,098		3,275,396
Dodge & Cox International Stock Fund		211,201		8,236,824
T. Rowe Price International Discovery Fund Institutional Class		54,774		3,351,626
Wells Fargo Emerging Markets Equity Fund Class R6 (l)		137,771		3,259,654
Wells Fargo Endeavor Select Fund Institutional Class †(l)		871,727		7,749,655
Wells Fargo Large Cap Growth Fund Class R6 (l)		175,467		7,520,532
Wells Fargo Small Cap Value Fund Class R6 †(l)		237,364		3,235,272
				40,932,557
Total Investment Companies (Cost $379,220,092)				376,342,311

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

Portfolio of investments—May 31, 2019 Multi-Asset Funds 45

WEALTHBUILDER MODERATE BALANCED FUND

Security name	Yield					Shares		Value
Short-Term Investments: 0.56%
Investment Companies: 0.20%
Wells Fargo Government Money Market Fund Select Class (l)(u)		2.30	%				884,814	$	884,814
				Maturity date		Principal
U.S. Treasury Securities: 0.36%
U.S. Treasury Bill (z)#		2.07			6-25-2019	$	1,536,000		1,533,855
Total Short-Term Investments (Cost $2,418,610)									2,418,669

Total investments in securities (Cost $431,093,057)	99.98	%		429,042,847
Other assets and liabilities, net	0.02			85,801
Total net assets	100.00	%	$	429,128,648

† Non-income-earning security

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

(u) The rate represents the7-day annualized yield at period end.

(z) Zero coupon security. The rate represents the current yield to maturity.

# All or a portion of this security is segregated as collateral for investments in derivative instruments.

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost			Notional value			Unrealized gains		Unrealized losses
Long
Japanese Yen Futures		198		6-17-2019	$	22,519,955		$	22,860,338		$	340,383	$	0
Short
E-Mini Russell 2000 Index		(9)		6-21-2019		(676,199	)		(659,925	)		16,274		0
MSCI EAFE Index		(14)		6-21-2019		(1,282,212	)		(1,272,530	)		9,682		0
MSCI Emerging Markets Index		(7)		6-21-2019		(348,345	)		(350,070	)		0		(1,725	)
S&P 500E-Mini Index		(155)		6-21-2019		(21,786,374	)		(21,332,650	)		453,724		0
											$	820,063	$	(1,725	)

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

46 Multi-Asset Funds Portfolio of investments—May 31, 2019

WEALTHBUILDER MODERATE BALANCED FUND

Investments in Affiliates

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

	Shares, end of period		Net realized gains (losses) on affiliated Underlying Funds			Net realized gains (losses) on capital gain distributions from affiliated Underlying Funds		Net change in unrealized gains (losses) on affiliated Underlying Funds			Dividends from affiliated Underlying Funds		Value, end of period		% of net assets
Investment Companies
Bond Funds
Wells Fargo High Yield Bond Fund Institutional Class		1,463,296	$	(99,497	)	$	0	$	9,135		$	259,747	$	4,697,181
Wells Fargo Strategic Income Fund Institutional Class		4,541,647		(19,495	)		0		329,264			860,566		42,736,903
														47,434,084		11.05	%
Stock Funds
Wells Fargo Emerging Markets Equity Fund Class R6		137,771		119,414			0		(472,516	)		32,176		3,259,654
Wells Fargo Endeavor Select Fund Institutional Class †		871,727		427,067			1,718,320		(1,152,544	)		0		7,749,655
Wells Fargo Large Cap Growth Fund Class R6		175,467		353,874			1,854,853		(1,539,642	)		3,917		7,520,532
Wells Fargo Small Cap Value Fund Class R6 †		237,364		(765,351	)		672,818		(475,185	)		0		3,235,272
														21,765,113		5.07
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		884,814		0			0		0			18,215		884,814		0.20
Affiliated securities no longer held at end of period				358,962			0		165,221			84,694
			$	374,974		$	4,245,991	$	(3,136,267	)	$	1,259,315	$	70,084,011		16.32	%

For the year ended May 31, 2019, investment activity in affiliates of the Fund was as follows:

	Shares, beginning of period		Shares purchased		Shares sold		Shares, end of period
Investment Companies
Bond Funds
Wells Fargo High Yield Bond Fund Institutional Class		1,911,953		81,229		529,886		1,463,296
Wells Fargo Strategic Income Fund Institutional Class		0		5,205,982		664,335		4,541,647
Wells Fargo Short-Term High Yield Bond Fund Insitutional Class *		780,008		9,566		789,574		0
Stock Funds
Wells Fargo Disciplined U.S. Core Fund Class R6 *		1,021,404		0		1,021,404		0
Wells Fargo Emerging Markets Equity Fund Class R6		170,189		6,872		39,290		137,771
Wells Fargo Endeavor Select Fund Institutional Class †		1,008,976		248,575		385,824		871,727
Wells Fargo Large Cap Growth Fund Class R6		196,506		54,602		75,641		175,467
Wells Fargo Small Cap Value Fund Class R6 †		228,776		69,877		61,289		237,364
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		0		35,431,659		34,546,845		884,814

† Non-income-earning security

* No longer held at the end of the period

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

Portfolio of investments—May 31, 2019 Multi-Asset Funds 47

WEALTHBUILDER MODERATE BALANCED FUND

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Interest allocated from affiliated Master Portfolios		Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio		5.00	%		5.80	%	$	(305,821	)	$	1,595,161		$	999,281	$	0	$	16,696	$	35,856,012
Wells Fargo Core Bond Portfolio		1.75			1.31			(721,554	)		3,174,570			2,785,641		0		32,289		76,414,275
Wells Fargo Disciplined Large Cap Portfolio		0.00			13.55			(1,820,288	)		(520,484	)		0		1,088,660		8,987		42,349,970
Wells Fargo Emerging Growth Portfolio		0.90			0.71			1,581,993			(1,398,959	)		0		7,466		8,610		5,833,267
Wells Fargo Factor Enhanced Emerging Markets Portfolio		3.67			3.66			(1,385,836	)		198,005			1,230		291,226		7,127		9,299,925
Wells Fargo Factor Enhanced International Portfolio		2.85			3.40			(2,578,999	)		238,035			1,409		766,013		16,768		23,111,128
Wells Fargo Factor Enhanced Large Cap Portfolio		2.83			3.36			340,398			1,769,015			3,433		943,749		24,660		37,806,519
Wells Fargo Factor Enhanced Small Cap Portfolio		2.34			2.79			207,696			(874,562	)		870		121,467		6,194		7,293,388
Wells Fargo High Yield Corporate Bond Portfolio		15.60			10.80			(408,573	)		444,006			900,616		0		3,583		6,723,026
Wells Fargo Real Return Portfolio		12.84			7.84			(297,405	)		352,101			373,324		67,113		3,754		14,334,555
Wells Fargo U.S. REIT Portfolio		9.01			10.09			233,325			252,362			0		140,971		369		4,370,976
							$	(5,155,064	)	$	5,229,250		$	5,065,804	$	3,426,665	$	129,037	$	263,393,041		61.38	%

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

48 Multi-Asset Funds Statements of assets and liabilities—May 31, 2019

	WealthBuilder Conservative Allocation Fund		WealthBuilder Equity Fund
Assets
Investments in affiliated Master Portfolios, at value (see cost below)	$	146,123,386	$	297,936,380
Investments in unaffiliated Underlying Funds and securities, at value (see cost below)		62,534,381		48,198,629
Investments in affiliated Underlying Funds, at value (see cost below)		45,209,799		53,731,036
Cash		30,560		0
Receivable for investments sold		269,791		122,120
Receivable for Fund shares sold		98,772		19,802
Receivable for dividends		65,660		0
Receivable for daily variation margin on open futures contracts		305,739		299,227
Prepaid expenses and other assets		71,857		42,994
Total assets		254,709,945		400,350,188
Liabilities
Payable for Fund shares redeemed		513,979		184,835
Distribution fee payable		162,392		249,856
Shareholder servicing fees payable		57,853		93,492
Administration fees payable		48,654		78,672
Management fee payable		48,032		88,537
Custodian and accounting fees payable		43,245		43,491
Payable for daily variation margin on open futures contracts		1,858		13,549
Accrued expenses and other liabilities		4,999		1,173
Total liabilities		881,012		753,605
Total net assets	$	253,828,933	$	399,596,583
NET ASSETS CONSIST OF
Paid-in capital	$	253,267,386	$	388,993,854
Total distributable earnings		561,547		10,602,729
Total net assets	$	253,828,933	$	399,596,583
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARE
Net assets – Class A	$	16,242,186	$	42,588,051
Shares outstanding – Class A1		1,653,877		2,578,202
Net asset value per share – Class A		$9.82		$16.52
Maximum offering price per share – Class A2		$10.42		$17.53
Net assets – Class C	$	237,153,020	$	355,837,023
Shares outstanding – Class C1		24,179,563		21,709,185
Net asset value per share – Class C		$9.81		$16.39
Net assets – Institutional Class	$	433,727	$	1,171,509
Shares outstanding – Institutional Class1		44,280		70,798
Net asset value per share – Institutional Class		$9.80		$16.55
Investments in affiliated Master Portfolios, at cost	$	146,729,414	$	300,132,013
Investments in unaffiliated Underlying Funds and securities, at cost	$	62,355,477	$	43,868,789
Investments in affiliated Underlying Funds, at cost	$	45,191,910	$	54,905,271

¹  Each Fund has an unlimited number of authorized shares.

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

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

Statements of assets and liabilities—May 31, 2019 Multi-Asset Funds 49

WealthBuilder Growth Allocation Fund		WealthBuilder Growth Balanced Fund		WealthBuilder Moderate Balanced Fund
$	197,075,887	$	382,122,789	$	263,393,041
	50,081,526		116,339,040		95,565,795
	38,706,785		88,714,067		70,084,011
	37,564		72,241		50,517
	313,861		354,672		345,367
	31,874		147,606		21,641
	15,096		71,992		82,295
	378,158		754,323		534,569
	93,797		5,510		106,062
	286,734,548		588,582,240		430,183,298
	495,060		933,320		468,118
	182,648		373,849		270,902
	66,452		135,461		98,147
	55,908		113,910		82,672
	59,142		131,615		93,510
	23,243		56,263		24,257
	7,343		11,929		5,965
	3,483		27,087		11,079
	893,279		1,783,434		1,054,650
$	285,841,269	$	586,798,806	$	429,128,648
$	279,869,245	$	577,794,654	$	421,774,059
	5,972,024		9,004,152		7,354,589
$	285,841,269	$	586,798,806	$	429,128,648
$	23,420,216	$	46,380,316	$	34,104,012
	2,024,541		3,983,301		3,311,819
	$11.57		$11.64		$10.30
	$12.28		$12.35		$10.93
$	261,722,049	$	539,351,772	$	393,207,242
	22,221,879		45,507,624		37,454,728
	$11.78		$11.85		$10.50
$	699,004	$	1,066,718	$	1,817,394
	60,398		91,551		176,173
	$11.57		$11.65		$10.32
$	198,428,834	$	386,161,994	$	265,630,502
$	48,118,626	$	113,464,642	$	94,131,512
$	40,841,723	$	92,019,309	$	71,331,043

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

50 Multi-Asset Funds Statements of operations—year ended May 31, 2019

	WealthBuilder Conservative Allocation Fund			WealthBuilder Equity Fund
Investment income
Interest allocated from affiliated Master Portfolios	$	3,968,774		$	16,043
Dividends from unaffiliated Underlying Funds		2,603,614			1,317,610
Dividends allocated from affiliated Master Portfolios*		1,050,334			7,405,779
Dividends from affiliated Underlying Funds		981,239			128,057
Interest		18,978			26,952
Affiliated income allocated from affiliated Master Portfolios		65,086			166,508
Expenses allocated from affiliated Master Portfolios		(483,602	)		(922,094	)
Waivers allocated from affiliated Master Portfolios		27,399			85,017
Total investment income		8,231,822			8,223,872
Expenses
Management fee		706,992			1,134,255
Administration fees
Class A		24,524			63,548
Class C		568,715			887,815
Institutional Class		392	1		874	1
Shareholder servicing fees
Class A		29,195			75,653
Class C		677,042			1,056,922
Distribution fee
Class C		2,030,975			3,170,245
Custody and accounting fees		65,060			69,579
Professional fees		29,155			33,778
Registration fees		55,545			52,841
Shareholder report expenses		30,714			39,850
Trustees’ fees and expenses		20,979			21,063
Other fees and expenses		12,133			13,612
Total expenses		4,251,421			6,620,035
Less: Fee waivers and/or expense reimbursements		(100,468	)		(48,720	)
Net expenses		4,150,953			6,571,315
Net investment income		4,080,869			1,652,557
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS
Net realized gains (losses) on:
Securities transactions allocated from affiliated Master Portfolios		(2,169,924	)		(10,256,607	)
Unaffiliated Underlying Funds		(746,366	)		6,502,994
Affiliated Underlying Funds		33,633			(2,227,811	)
Futures contracts		(9,893	)		(4,989,772	)
Capital gain distributions from unaffiliated Underlying Funds		116,831			286,107
Capital gain distributions from affiliated Underlying Funds		1,208,724			9,972,193
Net realized gain (losses) on investments		(1,566,995	)		(712,896	)
Net change in unrealized gains (losses) on:
Securities transactions allocated from affiliated Master Portfolios		4,330,608			(799,853	)
Unaffiliated Underlying Funds		422,478			(9,268,371	)
Affiliated Underlying Funds		(665,932	)		(5,206,922	)
Futures contracts		1,024,624			288,181
Net change in unrealized gains (losses) on investments		5,111,778			(14,986,965	)
Net realized and unrealized gains (losses) on investments		3,544,783			(15,699,861	)
Net increase (decrease) in net assets resulting from operations	$	7,625,652		$	(14,047,304	)
* Net of foreign dividend withholding taxes allocated from affiliated Master Portfolios in the amount of		$40,754			$315,336

¹  For the period from July 31, 2018 (commencement of class operations) to May 31, 2019

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

Statements of operations—year ended May 31, 2019 Multi-Asset Funds 51

WealthBuilder Growth Allocation Fund			WealthBuilder Growth Balanced Fund			WealthBuilder Moderate Balanced Fund
$	903,230		$	4,331,633		$	5,065,804
	1,532,853			4,140,055			3,815,447
	4,328,798			6,763,070			3,426,665
	277,156			1,148,560			1,259,315
	25,777			53,685			29,388
	105,312			195,126			129,037
	(616,952	)		(1,223,441	)		(875,480	)
	54,076			95,610			59,113
	6,610,250			15,504,298			12,909,289
	806,296			1,656,627			1,229,599
	33,001			67,090			47,664
	643,607			1,323,442			983,167
	421	1		641	1		1,258	1
	39,287			79,868			56,742
	766,199			1,575,526			1,170,437
	2,298,269			4,726,342			3,511,192
	54,709			78,230			61,759
	28,648			28,652			29,155
	48,635			68,515			51,538
	42,862			76,890			51,138
	20,981			20,981			20,797
	9,530			16,196			17,480
	4,792,445			9,719,000			7,231,926
	(76,032	)		(25,159	)		(35,136	)
	4,716,413			9,693,841			7,196,790
	1,893,837			5,810,457			5,712,499
	(5,634,086	)		(9,131,239	)		(5,155,064	)
	3,217,340			4,010,567			791,367
	75,630			452,312			374,974
	(1,501,664	)		(1,832,978	)		(792,306	)
	252,647			439,200			263,820
	5,671,669			8,696,061			4,245,991
	2,081,536			2,633,923			(271,218	)
	675,410			4,218,514			5,229,250
	(5,201,947	)		(7,131,078	)		(2,312,681	)
	(4,162,999	)		(6,479,974	)		(3,136,267	)
	1,178,937			2,410,018			1,764,889
	(7,510,599	)		(6,982,520	)		1,545,191
	(5,429,063	)		(4,348,597	)		1,273,973
$	(3,535,226	)	$	1,461,860		$	6,986,472
	$179,841			$277,929			$138,343

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

52 Multi-Asset Funds Statements of changes in net assets

	WealthBuilder Conservative Allocation Fund
	Year ended May 31, 2019						Year ended May 31, 20181
Operations
Net investment income				$	4,080,869					$	3,989,573
Net realized gains (losses) on investments					(1,566,995	)					29,758,281
Net change in unrealized gains (losses) on investments					5,111,778						(27,795,953	)
Net increase in net assets resulting from operations					7,625,652						5,951,901
Distributions to shareholders from net investment income and net realized gains
Class A					(740,750	)					(229,050	)
Class C					(13,613,959	)					(20,206,237	)
Institutional Class					(19,276	)2					N/A
Total distributions to shareholders					(14,373,985	)					(20,435,287	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		1,700,659			16,886,758			441,853			4,609,365
Class C		1,017,500			9,885,420			1,397,260			14,441,414
Institutional Class		164,577	2		1,588,897	2		N/A			N/A
					28,361,075						19,050,779
Reinvestment of distributions
Class A		77,627			739,314			21,609			222,354
Class C		1,428,610			13,593,433			1,968,929			20,172,596
Institutional Class		1,871	2		17,747	2		N/A			N/A
					14,350,494						20,394,950
Payment for shares redeemed
Class A		(575,232	)		(5,636,147	)		(437,464	)		(4,671,561	)
Class C		(10,033,613	)		(99,336,835	)		(12,071,518	)		(126,129,049	)
Institutional Class		(122,168	)2		(1,191,536	)2		N/A			N/A
					(106,164,518	)					(130,800,610	)
Net decrease in net assets resulting from capital share transactions					(63,452,949	)					(91,354,881	)
Total decrease in net assets					(70,201,282	)					(105,838,267	)
Net assets
Beginning of period					324,030,215						429,868,482
End of period				$	253,828,933					$	324,030,215

¹  Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Undistributed net investment income at May 31, 2018 was $722,443. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 8,Distributions to Shareholders, in the notes to the financial statements.

²  For the period from July 31, 2018 (commencement of class operations) to May 31, 2019

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

Statements of changes in net assets Multi-Asset Funds 53

	WealthBuilder Equity Fund
	Year ended May 31, 2019						Year ended May 31, 20181
Operations
Net investment income (loss)				$	1,652,557					$	(544,542	)
Net realized gains (losses) on investments					(712,896	)					158,196,375
Net change in unrealized gains (losses) on investments					(14,986,965	)					(97,817,126	)
Net increase (decrease) in net assets resulting from operations					(14,047,304	)					59,834,707
Distributions to shareholders from net investment income and net realized gains
Class A					(6,781,481	)					(502,275	)
Class C					(65,563,410	)					(79,982,709	)
Institutional Class					(167,781	)2					N/A
Total distributions to shareholders					(72,512,672	)					(80,484,984	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		2,426,481			48,555,252			131,029			2,846,777
Class C		945,150			17,736,143			637,060			13,677,332
Institutional Class		178,964	2		3,217,616	2		N/A			N/A
					69,509,011						16,524,109
Reinvestment of distributions
Class A		422,258			6,777,270			24,274			497,866
Class C		4,131,618			65,508,147			3,925,023			79,874,225
Institutional Class		10,174	2		163,731	2		N/A			N/A
					72,449,148						80,372,091
Payment for shares redeemed
Class A		(464,860	)		(8,044,037	)		(38,943	)		(846,144	)
Class C		(7,536,636	)		(141,072,542	)		(5,316,752	)		(114,225,285	)
Institutional Class		(118,340	)2		(1,982,012	)2		N/A			N/A
					(151,098,591	)					(115,071,429	)
Net decrease in net assets resulting from capital share transactions					(9,140,432	)					(18,175,229	)
Total decrease in net assets					(95,700,408	)					(38,825,506	)
Net assets
Beginning of period					495,296,991						534,122,497
End of period				$	399,596,583					$	495,296,991

¹  Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Accumulated net investment loss at May 31, 2018 was $(247,963). The disaggregated distributions information for the year ended May 31, 2018 is included in Note 8,Distributions to Shareholders, in the notes to the financial statements.

²  For the period from July 31, 2018 (commencement of class operations) to May 31, 2019

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

54 Multi-Asset Funds Statements of changes in net assets

	WealthBuilder Growth Allocation Fund
	Year ended May 31, 2019						Year ended May 31, 20181
Operations
Net investment income				$	1,893,837					$	1,049,334
Net realized gains on investments					2,081,536						87,783,129
Net change in unrealized gains (losses) on investments					(7,510,599	)					(52,289,593	)
Net increase (decrease) in net assets resulting from operations					(3,535,226	)					36,542,870
Distributions to shareholders from net investment income and net realized gains
Class A					(3,138,679	)					(206,167	)
Class C					(42,918,189	)					(48,737,139	)
Institutional Class					(61,181	)2					N/A
Total distributions to shareholders					(46,118,049	)					(48,943,306	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		2,036,222			27,117,968			131,674			1,942,532
Class C		847,864			10,888,924			1,149,221			16,940,690
Institutional Class		265,048	2		3,276,689	2		N/A			N/A
					41,283,581						18,883,222
Reinvestment of distributions
Class A		279,666			3,134,820			14,554			202,164
Class C		3,772,440			42,874,982			3,459,661			48,677,424
Institutional Class		5,132	2		57,371	2		N/A			N/A
					46,067,173						48,879,588
Payment for shares redeemed
Class A		(436,105	)		(5,180,494	)		(25,928	)		(381,384	)
Class C		(7,662,224	)		(100,301,573	)		(6,993,305	)		(102,141,480	)
Institutional Class		(209,782	)2		(2,567,803	)2		N/A			N/A
					(108,049,870	)					(102,522,864	)
Net decrease in net assets resulting from capital share transactions					(20,699,116	)					(34,760,054	)
Total decrease in net assets					(70,352,391	)					(47,160,490	)
Net assets
Beginning of period					356,193,660						403,354,150
End of period				$	285,841,269					$	356,193,660

¹  Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Undistributed net investment income at May 31, 2018 was $1,065,126. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 8,Distributions to Shareholders, in the notes to the financial statements.

²  For the period from July 31, 2018 (commencement of class operations) to May 31, 2019

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

Statements of changes in net assets Multi-Asset Funds 55

	WealthBuilder Growth Balanced Fund
	Year ended May 31, 2019						Year ended May 31, 20181
Operations
Net investment income				$	5,810,457					$	4,643,783
Net realized gains on investments					2,633,923						155,068,922
Net change in unrealized gains (losses) on investments					(6,982,520	)					(104,030,093	)
Net increase in net assets resulting from operations					1,461,860						55,682,612
Distributions to shareholders from net investment income and net realized gains
Class A					(5,344,460	)					(357,125	)
Class C					(69,709,208	)					(95,884,883	)
Institutional Class					(77,211	)2					N/A
Total distributions to shareholders					(75,130,879	)					(96,242,008	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		4,148,800			54,057,256			169,082			2,407,771
Class C		1,419,289			17,942,360			1,968,361			27,821,771
Institutional Class		336,006	2		4,026,264	2		N/A			N/A
					76,025,880						30,229,542
Reinvestment of distributions
Class A		474,395			5,341,393			26,490			353,378
Class C		6,102,231			69,643,294			7,084,829			95,786,890
Institutional Class		6,601	2		74,079	2		N/A			N/A
					75,058,766						96,140,268
Payment for shares redeemed
Class A		(868,338	)		(10,442,394	)		(69,946	)		(999,776	)
Class C		(16,626,587	)		(212,253,060	)		(15,518,833	)		(218,962,882	)
Institutional Class		(251,056	)2		(2,984,069	)2		N/A			N/A
					(225,679,523	)					(219,962,658	)
Net decrease in net assets resulting from capital share transactions					(74,594,877	)					(93,592,848	)
Total decrease in net assets					(148,263,896	)					(134,152,244	)
Net assets
Beginning of period					735,062,702						869,214,946
End of period				$	586,798,806					$	735,062,702

¹  Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Undistributed net investment income at May 31, 2018 was $1,130,399. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 8,Distributions to Shareholders, in the notes to the financial statements.

²  For the period from July 31, 2018 (commencement of class operations) to May 31, 2019

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

56 Multi-Asset Funds Statements of changes in net assets

	WealthBuilder Moderate Balanced Fund
	Year ended May 31, 2019						Year ended May 31, 20181
Operations
Net investment income				$	5,712,499					$	5,243,262
Net realized gains (losses) on investments					(271,218	)					83,896,886
Net change in unrealized gains (losses) on investments					1,545,191						(61,583,718	)
Net increase in net assets resulting from operations					6,986,472						27,556,430
Distributions to shareholders from net investment income and net realized gains
Class A					(2,146,382	)					(321,280	)
Class C					(30,232,848	)					(62,978,713	)
Institutional Class					(74,178	)2					N/A
Total distributions to shareholders					(32,453,408	)					(63,300,993	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		3,677,957			39,561,183			265,285			3,112,449
Class C		1,228,264			13,112,373			1,532,312			17,999,411
Institutional Class		569,268	2		5,892,542	2		N/A			N/A
					58,566,098						21,111,860
Reinvestment of distributions
Class A		214,360			2,144,579			28,649			319,076
Class C	��	2,974,197			30,204,676			5,537,712			62,820,690
Institutional Class		7,289	2		72,276	2		N/A			N/A
					32,421,531						63,139,766
Payment for shares redeemed
Class A		(829,255	)		(8,576,195	)		(112,799	)		(1,291,924	)
Class C		(17,126,410	)		(185,476,591	)		(16,475,285	)		(193,483,340	)
Institutional Class		(400,384	)2		(4,155,113	)2		N/A			N/A
					(198,207,899	)					(194,775,264	)
Net decrease in net assets resulting from capital share transactions					(107,220,270	)					(110,523,638	)
Total decrease in net assets					(132,687,206	)					(146,268,201	)
Net assets
Beginning of period					561,815,854						708,084,055
End of period				$	429,128,648					$	561,815,854

¹  Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Undistributed net investment income at May 31, 2018 was $1,433,310. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 8,Distributions to Shareholders, in the notes to the financial statements.

²  For the period from July 31, 2018 (commencement of class operations) to May 31, 2019

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

This page is intentionally left blank.

58 Multi-Asset Funds Financial highlights

WealthBuilder Conservative Allocation Fund	Beginning net asset value per share		Net investment income			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Class A
Year ended May 31, 2019	$	10.05		0.18			0.18			(0.19	)		(0.40	)	$	9.82
Year ended May 31, 2018	$	10.52		0.20			0.02			(0.19	)		(0.50	)	$	10.05
Year ended May 31, 20174	$	10.34		0.04			0.18			(0.04	)		0.00		$	10.52
Class C5
Year ended May 31, 2019	$	10.06		0.14	6		0.13			(0.12	)		(0.40	)	$	9.81
Year ended May 31, 2018	$	10.51		0.11			0.04			(0.10	)		(0.50	)	$	10.06
Year ended May 31, 2017	$	10.33		0.07			0.38			(0.10	)		(0.17	)	$	10.51
Year ended May 31, 2016	$	10.82		0.07			(0.20	)		(0.08	)		(0.28	)	$	10.33
Year ended May 31, 2015	$	10.92		0.04			0.15			(0.05	)		(0.24	)	$	10.82
Institutional Class
Year ended May 31, 20197	$	10.15		0.15			0.12			(0.22	)		(0.40	)	$	9.80

¹  Ratios do not include expenses of the Underlying Funds. Including net expenses allocated from the affiliated Master Portfolios, the expense ratios would be increased by the following amounts:

	Year ended May 31
	2019			2018			2017			2016			2015
Class A		0.16	%		0.13	%		0.11	%4		N/A			N/A
Class C5		0.16	%		0.13	%		0.11	%		0.11	%		0.11	%
Institutional Class		0.16	%7		N/A			N/A			N/A			N/A

²  Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

³  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in the respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. These purchase and sale amounts are aggregated with the direct purchases and sales in Underlying Funds and included in the portfolio turnover calculation.

⁴  For the period from February 10, 2017 (commencement of class operations) to May 31, 2017

⁵  Effective at the close of business on February 10, 2017, the Fund’s existing share class, WealthBuilder Portfolio shares, was renamed Class C.

⁶  Calculated based upon average shares outstanding

⁷  For the period from July 31, 2018 (commencement of class operations) to May 31, 2019

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

Financial highlights Multi-Asset Funds 59

Ratio to average net assets (annualized)									Total return2			Portfolio turnover rate3			Net assets at end of period (000s omitted)
Net investment income			Gross expenses1			Net expenses1
	2.15	%		0.79	%		0.75	%		3.84	%		183	%	$	16,242
	1.81	%		0.77	%		0.75	%		2.05	%		192	%	$	4,532
	1.34	%		0.76	%		0.75	%		2.14	%		175	%	$	4,468
	1.41	%		1.54	%		1.50	%		2.89	%		183	%	$	237,153
	1.05	%		1.52	%		1.50	%		1.37	%		192	%	$	319,498
	0.72	%		1.50	%		1.50	%		4.42	%		175	%	$	425,400
	0.68	%		1.51	%		1.50	%		(1.11	)%		198	%	$	523,832
	0.34	%		1.55	%		1.50	%		1.75	%		169	%	$	545,059
	1.61	%		0.46	%		0.42	%		2.95	%		183	%	$	434

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

60 Multi-Asset Funds Financial highlights

WealthBuilder Equity Fund	Beginning net asset value per share		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Class A
Year ended May 31, 2019	$	20.55		0.17	4		(0.81	)		(0.26	)		(3.13	)	$	16.52
Year ended May 31, 2018	$	21.41		0.10			2.59			0.00			(3.55	)	$	20.55
Year ended May 31, 20175	$	20.15		(0.02	)4		1.28			0.00			0.00		$	21.41
Class C6
Year ended May 31, 2019	$	20.33		0.06			(0.82	)		(0.05	)		(3.13	)	$	16.39
Year ended May 31, 2018	$	21.36		(0.02	)4		2.54			0.00			(3.55	)	$	20.33
Year ended May 31, 2017	$	18.25		(0.07	)		3.19			0.00			(0.01	)	$	21.36
Year ended May 31, 2016	$	19.44		(0.08	)		(1.11	)		0.00			0.00		$	18.25
Year ended May 31, 2015	$	18.07		(0.08	)		1.45			0.00			0.00		$	19.44
Institutional Class
Year ended May 31, 20197	$	21.08		0.14			(1.26	)		(0.28	)		(3.13	)	$	16.55

¹  Ratios do not include expenses of the Underlying Funds. Including net expenses allocated from the affiliated Master Portfolios, the expense ratios would be increased by the following amounts:

	Year ended May 31
	2019			2018			2017			2016			2015
Class A		0.18	%		0.12	%		0.12	%4		N/A			N/A
Class C6		0.18	%		0.12	%		0.12	%		0.12	%		0.12	%
Institutional Class		0.18	%7		N/A			N/A			N/A			N/A

²  Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

³  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in the respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. These purchase and sale amounts are aggregated with the direct purchases and sales in Underlying Funds and included in the portfolio turnover calculation.

⁴  Calculated based upon average shares outstanding

⁵  For the period from February 10, 2017 (commencement of class operations) to May 31, 2017

⁶  Effective at the close of business on February 10, 2017, the Fund’s existing share class, WealthBuilder Portfolio shares, was renamed Class C.

⁷  For the period from July 31, 2018 (commencement of class operations) to May 31, 2019

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

Financial highlights Multi-Asset Funds 61

Ratio to average net assets (annualized)									Total return2			Portfolio turnover rate3			Net assets at end of period (000s omitted)
Net investment income (loss)			Gross expenses1			Net expenses1
	0.97	%		0.76	%		0.75	%		(2.35	)%		78	%	$	42,588
	0.75	%		0.75	%		0.75	%		12.61	%		63	%	$	3,993
	(0.30	)%		0.75	%		0.75	%		6.25	%		30	%	$	1,669
	0.32	%		1.51	%		1.50	%		(3.16	)%		78	%	$	355,837
	(0.10	)%		1.50	%		1.50	%		11.80	%		63	%	$	491,304
	(0.37	)%		1.50	%		1.50	%		17.07	%		30	%	$	532,454
	(0.46	)%		1.51	%		1.50	%		(6.12	)%		27	%	$	423,109
	(0.44	)%		1.55	%		1.50	%		7.58	%		27	%	$	452,296
	0.49	%		0.43	%		0.42	%		(4.54	)%		78	%	$	1,172

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

62 Multi-Asset Funds Financial highlights

WealthBuilder Growth Allocation Fund	Beginning net asset value per share		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Class A
Year ended May 31, 2019	$	13.88		0.14	4		(0.30	)		(0.23	)		(1.92	)	$	11.57
Year ended May 31, 2018	$	14.60		0.12			1.39			(0.30	)		(1.93	)	$	13.88
Year ended May 31, 20175	$	13.92		0.01	4		0.67			0.00			0.00		$	14.60
Class C6
Year ended May 31, 2019	$	14.02		0.08			(0.33	)		(0.07	)		(1.92	)	$	11.78
Year ended May 31, 2018	$	14.58		0.04			1.34			(0.01	)		(1.93	)	$	14.02
Year ended May 31, 2017	$	13.39		(0.01	)4		1.84			0.00			(0.64	)	$	14.58
Year ended May 31, 2016	$	14.92		(0.01	)		(0.71	)		(0.04	)		(0.77	)	$	13.39
Year ended May 31, 2015	$	14.78		(0.02	)		0.89			(0.12	)		(0.61	)	$	14.92
Institutional Class
Year ended May 31, 20197	$	14.20		0.18			(0.65	)		(0.24	)		(1.92	)	$	11.57

¹  Ratios do not include expenses of the Underlying Funds. Including net expenses allocated from the affiliated Master Portfolios, the expense ratios would be increased by the following amounts:

	Year ended May 31
	2019			2018			2017			2016			2015
Class A		0.17	%		0.12	%		0.11	%5		N/A			N/A
Class C6		0.17	%		0.12	%		0.11	%		0.11	%		0.11	%
Institutional Class		0.17	%7		N/A			N/A			N/A			N/A

²  Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

³  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in the respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. These purchase and sale amounts are aggregated with the direct purchases and sales in Underlying Funds and included in the portfolio turnover calculation.

⁴  Calculated based upon average shares outstanding

⁵  For the period from February 10, 2017 (commencement of class operations) to May 31, 2017

⁶  Effective at the close of business on February 10, 2017, the Fund’s existing share class, WealthBuilder Portfolio shares, was renamed Class C.

⁷  For the period from July 31, 2018 (commencement of class operations) to May 31, 2019

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

Financial highlights Multi-Asset Funds 63

Ratio to average net assets (annualized)									Total return2			Portfolio turnover rate3			Net assets at end of period (000s omitted)
Net investment income (loss)			Gross expenses1			Net expenses1
	1.20	%		0.78	%		0.75	%		(0.38	)%		97	%	$	23,420
	1.07	%		0.76	%		0.75	%		10.33	%		93	%	$	2,009
	0.16	%		0.76	%		0.75	%		4.89	%		58	%	$	357
	0.56	%		1.52	%		1.50	%		(1.12	)%		97	%	$	261,722
	0.26	%		1.51	%		1.50	%		9.45	%		93	%	$	354,185
	(0.06	)%		1.51	%		1.50	%		14.05	%		58	%	$	402,997
	(0.06	)%		1.51	%		1.50	%		(4.79	)%		59	%	$	429,628
	(0.20	)%		1.55	%		1.50	%		6.14	%		53	%	$	451,139
	1.84	%		0.45	%		0.42	%		(2.47	)%		97	%	$	699

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

64 Multi-Asset Funds Financial highlights

WealthBuilder Growth Balanced Fund	Beginning net asset value per share		Net investment income			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Class A
Year ended May 31, 2019	$	13.27		0.18	4		(0.14	)		(0.23	)		(1.44	)	$	11.64
Year ended May 31, 2018	$	14.24		0.19	4		0.89			(0.42	)		(1.63	)	$	13.27
Year ended May 31, 20175	$	13.68		0.01			0.55			0.00			0.00		$	14.24
Class C6
Year ended May 31, 2019	$	13.40		0.11			(0.14	)		(0.08	)		(1.44	)	$	11.85
Year ended May 31, 2018	$	14.21		0.09			0.87			(0.14	)		(1.63	)	$	13.40
Year ended May 31, 2017	$	13.29		0.05			1.40			0.00			(0.53	)	$	14.21
Year ended May 31, 2016	$	14.52		0.03			(0.53	)		(0.06	)		(0.67	)	$	13.29
Year ended May 31, 2015	$	14.42		0.01			0.67			(0.10	)		(0.48	)	$	14.52
Institutional Class
Year ended May 31, 20197	$	13.52		0.15			(0.33	)		(0.25	)		(1.44	)	$	11.65

¹  Ratios do not include expenses of the Underlying Funds. Including net expenses allocated from the affiliated Master Portfolios, the expense ratios would be increased by the following amounts:

	Year ended May 31
	2019			2018			2017			2016			2015
Class A		0.17	%		0.12	%		0.11	%5		N/A			N/A
Class C6		0.17	%		0.12	%		0.11	%		0.11	%		0.11	%
Institutional Class		0.16	%7		N/A			N/A			N/A			N/A

²  Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

³  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in the respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. These purchase and sale amounts are aggregated with the direct purchases and sales in Underlying Funds and included in the portfolio turnover calculation.

⁴  Calculated based upon average shares outstanding

⁵  For the period from February 10, 2017 (commencement of class operations) to May 31, 2017

⁶  Effective at the close of business on February 10, 2017, the Fund’s existing share class, WealthBuilder Portfolio shares, was renamed Class C.

⁷  For the period from July 31, 2018 (commencement of class operations) to May 31, 2019

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

Financial highlights Multi-Asset Funds 65

Ratio to average net assets (annualized)									Total return2			Portfolio turnover rate3			Net assets at end of period (000s omitted)
Net investment income			Gross expenses1			Net expenses1
	1.51	%		0.76	%		0.75	%		1.02	%		126	%	$	46,380
	1.33	%		0.75	%		0.75	%		7.51	%		129	%	$	3,031
	0.54	%		0.74	%		0.74	%		4.09	%		102	%	$	1,464
	0.84	%		1.50	%		1.50	%		0.31	%		126	%	$	539,352
	0.56	%		1.50	%		1.50	%		6.65	%		129	%	$	732,031
	0.30	%		1.49	%		1.49	%		11.14	%		102	%	$	867,751
	0.26	%		1.49	%		1.49	%		(3.39	)%		100	%	$	966,932
	0.06	%		1.54	%		1.50	%		4.89	%		89	%	$	1,018,411
	1.38	%		0.43	%		0.42	%		(0.62	)%		126	%	$	1,067

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

66 Multi-Asset Funds Financial highlights

WealthBuilder Moderate Balanced Fund	Beginning net asset value per share		Net investment income			Net realized and unrealized gains (losses) on investments			Distributions from net investment income			Distributions from net realized gains			Ending net asset value per share
Class A
Year ended May 31, 2019	$	10.90		0.19	4		0.03			(0.18	)		(0.64	)	$	10.30
Year ended May 31, 2018	$	11.83		0.18	4		0.40			(0.50	)		(1.01	)	$	10.90
Year ended May 31, 20175	$	11.56		0.07			0.28			(0.08	)		0.00		$	11.83
Class C6
Year ended May 31, 2019	$	11.10		0.12	4		0.02			(0.10	)		(0.64	)	$	10.50
Year ended May 31, 2018	$	11.83		0.09			0.41			(0.22	)		(1.01	)	$	11.10
Year ended May 31, 2017	$	11.40		0.06			0.80			(0.08	)		(0.35	)	$	11.83
Year ended May 31, 2016	$	12.19		0.05			(0.30	)		(0.07	)		(0.47	)	$	11.40
Year ended May 31, 2015	$	12.21		0.03			0.39			(0.07	)		(0.37	)	$	12.19
Institutional Class
Year ended May 31, 20197	$	11.06		0.14			(0.04	)		(0.20	)		(0.64	)	$	10.32

¹  Ratios do not include expenses of the Underlying Funds. Including net expenses allocated from the affiliated Master Portfolios, the expense ratios would be increased by the following amounts:

	Year ended May 31
	2019			2018			2017			2016			2015
Class A		0.16	%		0.13	%		0.11	%5		N/A			N/A
Class C6		0.17	%		0.13	%		0.11	%		0.11	%		0.11	%
Institutional Class		0.16	%7		N/A			N/A			N/A			N/A

²  Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.

³  Portfolio turnover rate is calculated by multiplying the Fund’s ownership percentage in the respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. These purchase and sale amounts are aggregated with the direct purchases and sales in Underlying Funds and included in the portfolio turnover calculation.

⁴  Calculated based upon average shares outstanding

⁵  For the period from February 10, 2017 (commencement of class operations) to May 31, 2017

⁶  Effective at the close of business on February 10, 2017, the Fund’s existing share class, WealthBuilder Portfolio shares, was renamed Class C.

⁷  For the period from July 31, 2018 (commencement of class operations) to May 31, 2019

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

Financial highlights Multi-Asset Funds 67

Ratio to average net assets (annualized)									Total return2			Portfolio turnover rate3			Net assets at end of period (000s omitted)
Net investment income			Gross expenses1			Net expenses1
	1.81	%		0.76	%		0.75	%		2.40	%		155	%	$	34,104
	1.58	%		0.75	%		0.75	%		4.87	%		161	%	$	2,712
	1.03	%		0.74	%		0.74	%		3.06	%		136	%	$	800
	1.13	%		1.51	%		1.50	%		1.58	%		155	%	$	393,207
	0.81	%		1.50	%		1.50	%		4.11	%		161	%	$	559,104
	0.52	%		1.49	%		1.49	%		7.75	%		136	%	$	707,284
	0.48	%		1.49	%		1.49	%		(2.02	)%		150	%	$	833,218
	0.21	%		1.55	%		1.50	%		3.44	%		129	%	$	893,175
	1.37	%		0.43	%		0.42	%		1.28	%		155	%	$	1,817

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

68 Multi-Asset Funds Notes to financial statements

1. ORGANIZATION

Wells Fargo Funds Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is anopen-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 BoardAccounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statements report on the following funds: Wells Fargo WealthBuilder Conservative Allocation Fund (“WealthBuilder Conservative Allocation Fund”), Wells Fargo WealthBuilder Equity Fund (“WealthBuilder Equity Fund”), Wells Fargo WealthBuilder Growth Allocation Fund (“WealthBuilder Growth Allocation Fund”), Wells Fargo WealthBuilder Growth Balanced Fund (“WealthBuilder Growth Balanced Fund”) and Wells Fargo WealthBuilder Moderate Balanced Fund (“WealthBuilder Moderate Balanced Fund”) (each, a “Fund”, collectively, the “Funds”). Each Fund is a diversified series of the Trust.

Each Fund is afund-of-funds that may invest in various affiliated mutual funds, unaffiliated mutual funds and exchange-traded funds (collectively, the “Underlying Funds”) to pursue its investment objective. The Underlying Funds incur separate expenses in seeking to achieve their investment objectives. Investments in affiliated mutual funds may also include investments in one or more separate diversified portfolios (each, an “affiliated Master Portfolio”, collectively, the “affiliated Master Portfolios”) of Wells Fargo Master Trust, a registeredopen-end management investment company. Each affiliated Master Portfolio directly acquires portfolio securities, and each Fund investing in an affiliated Master Portfolio acquires an indirect interest in those securities. Each Fund accounts for its investment in the affiliated Master Portfolios as partnership investments and records on a daily basis its share of the affiliated Master Portfolio’s income, expense and realized and unrealized gains and losses. The financial statements for the Underlying Funds are presented in separate financial statements and may be obtained by contacting Investor Services for the affiliated mutual funds or by contacting the servicing agent of the unaffiliated mutual funds. The financial statements of the affiliated Master Portfolios are available by visiting the SEC website at sec.gov and are filed with the SEC under Wells Fargo Master Trust. The financial statements for all other Underlying Funds are also publicly available on the SEC website at sec.gov.

2. SIGNIFICANT ACCOUNTING POLICIES

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

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Funds may deviate from this calculation time under unusual or unexpected circumstances.

Investments in underlying mutual funds are valued at net asset per share as reported by the Underlying Funds as of the close of the regular trading on the New York Stock Exchange on each day the exchange is open for trading. Investments in affiliated Master Portfolios are valued daily based on each Fund’s proportionate share of each affiliated Master Portfolio’s net assets, which are also valued daily.

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

Debt securities are valued at the evaluated bid price provided by an independent pricing service (e.g. taking into account various factors, including yields, maturities, or credit ratings) or, if a reliable price is not available, the quoted bid price from an independent broker-dealer.

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

Notes to financial statements Multi-Asset Funds 69

Futures contracts

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

Upon entering into a futures contracts, the Fund is required to deposit either cash or securities (initial margin) with the broker in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are paid to or from the broker each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains or losses and, if any, shown as variation margin receivable (payable) in the Statements of Assets and Liabilities. Should the Fund fail to make requested variation margin payments, the broker can gain access to the initial margin to satisfy the Fund’s payment obligations. When the contracts are closed, a realized gain or loss is recorded in the Statements of Operations.

Security transactions and income recognition

Securities transactions are recorded on a trade date basis. Realized gains or losses are recorded on the basis of identified cost.

Income dividends and capital gain distributions from Underlying Funds are recorded on theex-dividend date. Capital gain distributions from Underlying Funds are treated as realized gains.

Interest income is accrued daily and bond discounts are accreted and premiums are amortized daily. To the extent debt obligations are placed onnon-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 fromnon-accrual status.

Each Fund records on a daily basis its proportionate share of each affiliated Master Portfolio’s interest and dividend income, in addition to expenses and realized and unrealized gains and losses. Income from foreign securities in each affiliated Master Portfolio is recorded net of foreign taxes withheld where recovery of such taxes is not assured.

Distributions to shareholders

Distributions to shareholders from net investment income and any net realized gains are recorded on theex-dividend date for each Fund as follows:

	Net investment income		Net realized gains
WealthBuilder Conservative Allocation Fund		Monthly		Annually
WealthBuilder Equity Fund		Annually		Annually
WealthBuilder Growth Allocation Fund		Annually		Annually
WealthBuilder Growth Balanced Fund		Annually		Annually
WealthBuilder Moderate Balanced Fund		Quarterly		Annually

Federal and other taxes

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

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

70 Multi-Asset Funds Notes to financial statements

As of May 31, 2019, the aggregate cost of all investments for federal income tax purposes and the unrealized gains (losses) were as follows:

	Tax cost		Gross unrealized gains		Gross unrealized losses			Net unrealized gains
WealthBuilder Conservative Allocation Fund	$	253,640,768	$	3,569,864	$	(2,877,565	)	$	692,299
WealthBuilder Equity Fund		386,989,034		19,977,388		(6,706,529	)		13,270,859
WealthBuilder Growth Allocation Fund		280,001,311		10,368,460		(3,911,682	)		6,456,778
WealthBuilder Growth Balanced Fund		579,801,003		17,009,658		(8,438,690	)		8,570,968
WealthBuilder Moderate Balanced Fund		424,783,036		9,923,050		(4,844,901	)		5,078,149

Reclassifications are made to each Fund’s capital accounts for permanent tax differences to reflect income and gains available for distribution (or available capital loss carryforwards) under federal income tax regulations. U.S. generally accepted accounting principles require that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. At May 31, 2019, as a result of permanentbook-to-tax differences, the following reclassification adjustments were made on the Statements of Assets and Liabilities:

	Paid-in capital			Total distributable earnings
WealthBuilder Conservative Allocation Fund	$	(8,381	)	$	8,381
WealthBuilder Equity Fund		(345	)		345
WealthBuilder Growth Allocation Fund		150			(150	)
WealthBuilder Growth Balanced Fund		(14,290	)		14,290
WealthBuilder Moderate Balanced Fund		(10,994	)		10,994

As of May 31, 2019, WealthBuilder Conservative Allocation Fund had capital loss carryforwards which consist of $756,938 in short-term capital losses.

At May 31, 2019, current year deferred post-October capital losses and late-year ordinary losses, which will be recognized on the first day of the following fiscal year were as follows:

	Deferred post-October capital losses					Late-year ordinary losses deferred
	Short-term			Long-term
WealthBuilder Equity Fund	$	(7,816,764	)	$	5,585,661	$	(1,351,065	)
WealthBuilder Growth Allocation Fund		(3,958,981	)		3,407,391		(94,718	)
WealthBuilder Growth Balanced Fund		(5,236,106	)		4,982,014		0
WealthBuilder Moderate Balanced Fund		(1,776,270	)		0		0

Class allocations

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

3. FAIR VALUATION MEASUREMENTS

Fair value measurements of investments are determined within a framework that has established a fair value hierarchy based upon the various data inputs utilized in determining the value of each Fund’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). Each Fund’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

Notes to financial statements Multi-Asset Funds 71

∎ Level 1 – quoted prices in active markets for identical securities

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

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

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

The following is a summary of the inputs used in valuing each Fund’s assets and liabilities as of May 31, 2019:

WealthBuilder Conservative Allocation Fund	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Exchange-traded funds	$	37,868,864	$	0	$	0	$	37,868,864
Investment companies		68,258,865		0		0		68,258,865
Short-term investments
Investment companies		799,593		0		0		799,593
U.S. Treasury securities		816,858		0		0		816,858
Investments measured at net asset value*								146,123,386
		107,744,180		0		0		253,867,566
Futures contracts		467,110		0		0		467,110
Total assets	$	108,211,290	$	0	$	0	$	254,334,676
Liabilities
Futures contracts	$	1,609	$	0	$	0	$	1,609
Total liabilities	$	1,609	$	0	$	0	$	1,609

* Investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amount presented in the table is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. The Fund’s investments in the affiliated Master Portfolios are valued at $146,123,386. Each affiliated Master Portfolio does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.

WealthBuilder Equity Fund	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Exchange-traded funds	$	11,929,346	$	0	$	0	$	11,929,346
Investment companies		86,966,545		0		0		86,966,545
Short-term investments
Investment companies		2,277,831		0		0		2,277,831
U.S. Treasury securities		755,943		0		0		755,943
Investments measured at net asset value*								297,936,380
		101,929,665		0		0		399,866,045
Futures contracts		406,725		0		0		406,725
Total assets	$	102,336,390	$	0	$	0	$	400,272,770
Liabilities
Futures contracts	$	12,877	$	0	$	0	$	12,877
Total liabilities	$	12,877	$	0	$	0	$	12,877

* Investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amount presented in the table is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. The Fund’s investments in the affiliated Master Portfolios are valued at $297,936,380. Each affiliated Master Portfolio does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.

72 Multi-Asset Funds Notes to financial statements

WealthBuilder Growth Allocation Fund	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Exchange-traded funds	$	15,025,876	$	0	$	0	$	15,025,876
Investment companies		72,044,447		0		0		72,044,447
Short-term investments
Investment companies		615,530		0		0		615,530
U.S. Treasury securities		1,102,458		0		0		1,102,458
Investments measured at net asset value*								197,075,887
		88,788,311		0		0		285,864,198
Futures contracts		594,511		0		0		594,511
Total assets	$	89,382,822	$	0	$	0	$	286,458,709
Liabilities
Futures contracts	$	620	$	0	$	0	$	620
Total liabilities	$	620	$	0	$	0	$	620

* Investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amount presented in the table is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. The Fund’s investments in the affiliated Master Portfolios are valued at $197,075,887. Each affiliated Master Portfolio does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.

WealthBuilder Growth Balanced Fund	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Exchange-traded funds	$	49,538,056	$	0	$	0	$	49,538,056
Investment companies		151,160,806		0		0		151,160,806
Short-term investments
Investment companies		2,225,222		0		0		2,225,222
U.S. Treasury securities		2,129,023		0		0		2,129,023
Investments measured at net asset value*								382,122,789
		205,053,107		0		0		587,175,896
Futures contracts		1,207,332		0		0		1,207,332
Total assets	$	206,260,439	$	0	$	0	$	588,383,228
Liabilities
Futures contracts	$	11,257	$	0	$	0	$	11,257
Total liabilities	$	11,257	$	0	$	0	$	11,257

* Investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amount presented in the table is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. The Fund’s investments in the affiliated Master Portfolios are valued at $382,122,789. Each affiliated Master Portfolio does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.

Notes to financial statements Multi-Asset Funds 73

WealthBuilder Moderate Balanced Fund	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Exchange-traded funds	$	50,281,867	$	0	$	0	$	50,281,867
Investment companies		112,949,270		0		0		112,949,270
Short-term investments
Investment companies		884,814		0		0		884,814
U.S. Treasury securities		1,533,855		0		0		1,533,855
Investments measured at net asset value*								263,393,041
		165,649,806		0		0		429,042,847
Futures contracts		820,063		0		0		820,063
Total assets	$	166,469,869	$	0	$	0	$	429,862,910
Liabilities
Futures contracts	$	1,725	$	0	$	0	$	1,725
Total liabilities	$	1,725	$	0	$	0	$	1,725

* Investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amount presented in the table is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. The Fund’s investments in the affiliated Master Portfolios are valued at $263,393,041. Each affiliated Master Portfolio does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.

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

At May 31, 2019, the Funds did not have any transfers into/out of Level 3.

The investment objective of each affiliated Master Portfolio is as follows:

Affiliated Master Portfolio	Investment objective
Wells Fargo Bloomberg Barclays US Aggregateex-Corporate Portfolio	Seeks to replicate the total return of the Bloomberg Barclays USex-Corporate Index, before fees and expenses
Wells Fargo Core Bond Portfolio	Seeks total return, consisting of income and capital appreciation
Wells Fargo Disciplined Large Cap Portfolio	Seeks long-term capital appreciation
Wells Fargo Emerging Growth Portfolio	Seeks long-term capital appreciation
Wells Fargo Factor Enhanced Emerging Markets Portfolio	Seeks to replicate the total return of the Wells Fargo Factor Enhanced Emerging Markets Index, before fees and expenses
Wells Fargo Factor Enhanced International Portfolio	Seeks to replicate the total return of the Wells Fargo Factor Enhanced International Index, before fees and expenses
Wells Fargo Factor Enhanced Large Cap Portfolio	Seeks to replicate the total return of the Wells Fargo Factor Enhanced Large Cap Index, before fees and expenses
Wells Fargo Factor Enhanced Small Cap Portfolio	Seeks to replicate the total return of the Wells Fargo Factor Enhanced Small Cap Index, before fees and expenses
Wells Fargo High Yield Corporate Bond Portfolio	Seeks to replicate the total return of the Wells Fargo U.S. High Yield Bond Index, before fees and expenses
Wells Fargo Real Return Portfolio	Seeks returns that exceed the rate of inflation over the long-term
Wells Fargo U.S. REIT Portfolio	Seeks to replicate the total return of the Wells Fargo U.S. REIT Index, before fees and expenses

74 Multi-Asset Funds Notes to financial statements

4. TRANSACTIONS WITH AFFILIATES

Management fee

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

Average daily net assets	Management fee
First $1 billion	0.250%
Next $4 billion	0.225
Next $5 billion	0.190
Over $10 billion	0.180

For the year ended May 31, 2019, the management fee was equivalent to an annual rate of 0.25% of each Fund’s average daily net assets.

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Funds. The fee for subadvisory services is borne by Funds Management. Wells Capital Management Incorporated, an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo, is the subadviser to each Fund and is an annual subadvisory fee of 0.15% of each Fund’s average daily net assets.

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

Administration fees

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

	Class-level administration fee
Class A, Class C		0.21	%
Institutional Class		0.13

Funds Management has contractually waived and/or reimbursed management and administration fees to the extent necessary to maintain certain net operating expense ratios for each Fund. When each class of a Fund has exceeded its expense cap, Funds Management has waived fees and/or reimbursed expenses from fund level expenses on a proportionate basis and then from class specific expenses. When only certain classes exceed their expense caps, waivers and/or reimbursements are applied against class specific expenses before fund level expenses. Funds Management has committed through September 30, 2019 to waive fees and/or reimburse expenses to the extent necessary to cap each Fund’s expenses at 0.75% for Class A shares, 1.50% for Class C shares and 0.42% for Institutional Class shares. Acquired fund fees and expenses (including net expenses from affiliated Master Portfolios) are excluded from the expense caps. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees.

Distribution fee

The Trust has adopted a Distribution Plan for Class C shares of the Funds pursuant to Rule12b-1 under the 1940 Act. A distribution fee is charged to Class C shares and paid to Wells Fargo Funds Distributor, LLC (“Funds Distributor”), the principal underwriter of each Fund, at an annual rate of 0.75% of the average daily net assets of Class C.

In addition, Funds Distributor is entitled to receive thefront-end sales charge from the purchase of Class A shares and a contingent deferred sales charge on the redemption of certain Class A shares. Funds Distributor is also entitled to receive the contingent deferred sales charges from redemptions of Class C shares. For the year ended May 31, 2019, Funds Distributor received the following amounts infront-end sales charges and contingent deferred sales charges.

Notes to financial statements Multi-Asset Funds 75

	Front-end sales charges		Contingent deferred sales charges
	Class A		Class C
WealthBuilder Conservative Allocation Fund	$	1,293	$	1,497
WealthBuilder Equity Fund		6,834		3,046
WealthBuilder Growth Allocation Fund		4,978		1,382
WealthBuilder Growth Balanced Fund		5,934		1,428
WealthBuilder Moderate Balanced Fund		2,382		4,775

No contingent deferred sales charges were incurred by Class A shares of each Fund for the year ended May 31, 2019.

Shareholder servicing fees

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

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments, excluding short-term securities, for the year ended May 31, 2019 were as follows:

	Purchases at cost*				Sales proceeds*
	U.S. government		Non-U.S. government		U.S. government		Non-U.S. government
WealthBuilder Conservative Allocation Fund	$	340,860,517	$	175,571,087	$	350,507,236	$	215,647,065
WealthBuilder Equity Fund		0		342,185,513		0		457,099,556
WealthBuilder Growth Allocation Fund		77,145,329		227,590,399		79,329,528		302,487,462
WealthBuilder Growth Balanced Fund		371,507,795		443,416,211		382,027,259		576,686,420
WealthBuilder Moderate Balanced Fund		424,654,880		327,406,489		436,686,546		417,941,754

* The Funds seek to achieve their investment objectives by investing some of their investable assets in affiliated Master Portfolios. Purchases and sales related to these investments have been calculated by aggregating the results of multiplying each Fund’s ownership percentage in the respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. Purchases and sales in Underlying Funds in which the Funds invest are actual aggregate purchases and sales of those investments.

6. DERIVATIVE TRANSACTIONS

During the year ended May 31, 2019, the Funds entered into futures contracts to gain market exposure to certain asset classes consistent with an active asset allocation strategy.

	Average notional balance
	Long futures		Short futures
WealthBuilder Conservative Allocation Fund	$	13,236,938	$	7,886,361
WealthBuilder Equity Fund		6,189,368		17,830,745
WealthBuilder Growth Allocation Fund		15,498,295		15,241,211
WealthBuilder Growth Balanced Fund		31,497,011		26,840,265
WealthBuilder Moderate Balanced Fund		23,260,497		16,678,374

A summary of the location of derivative instruments on the financial statements by primary risk exposure is outlined following tables.

76 Multi-Asset Funds Notes to financial statements

The fair value of derivative instruments as of May 31, 2019 was as follows for WealthBuilder Conservative Allocation Fund:

	Asset derivatives				Liability derivatives
	Statements of Assets and Liabilities location	Fair value			Statements of Assets and Liabilities location	Fair value
Equity risk	Unrealized gains on futures contracts	$	267,694	*	Unrealized losses on futures contracts	$	1,609	*
Foreign currency risk	Unrealized gains on futures contracts		199,416	*	Unrealized losses on futures contracts		0	*
		$	467,110			$	1,609

* Amount represents cumulative unrealized gains (losses) on futures contracts as reported in the table following the Portfolio of Investments. Only the current day’s variation margin as of May 31, 2019 is reported separately on the Statements of Assets and Liabilities.

The effect of derivative instruments on the Statements of Operations for the year ended May 31, 2019 was as follows:

	Amount of realized gains (losses) on derivatives			Change in unrealized gains (losses) on derivatives
Equity risk	$	(100,196	)	$	787,591
Interest rate risk		90,303			60,474
Foreign currency risk		0			176,559
	$	(9,893	)	$	1,024,624

The fair value of derivative instruments as of May 31, 2019 was as follows for WealthBuilder Equity Fund:

	Asset derivatives				Liability derivatives
	Statements of Assets and Liabilities location	Fair value			Statements of Assets and Liabilities location	Fair value
Equity risk	Unrealized gains on futures contracts	$	85,253	*	Unrealized losses on futures contracts	$	12,877	*
Foreign currency risk	Unrealized gains on futures contracts		321,472	*	Unrealized losses on futures contracts		0	*
		$	406,725			$	12,877

* Amount represents cumulative unrealized gains (losses) on futures contracts as reported in the table following the Portfolio of Investments. Only the current day’s variation margin as of May 31, 2019 is reported separately on the Statements of Assets and Liabilities.

The effect of derivative instruments on the Statements of Operations for the year ended May 31, 2019 was as follows:

	Amount of realized gains (losses) on derivatives			Change in unrealized gains (losses) on derivatives
Equity risk	$	(5,256,916	)	$	72,376
Foreign currency risk		267,144			215,805
	$	(4,989,772	)	$	288,181

The fair value of derivative instruments as of May 31, 2019 was as follows for WealthBuilder Growth Allocation Fund:

	Asset derivatives				Liability derivatives
	Statements of Assets and Liabilities location	Fair value			Statements of Assets and Liabilities location	Fair value
Equity risk	Unrealized gains on futures contracts	$	365,870	*	Unrealized losses on futures contracts	$	620	*
Foreign currency risk	Unrealized gains on futures contracts		228,641	*	Unrealized losses on futures contracts		0	*
		$	594,511			$	620

* Amount represents cumulative unrealized gains (losses) on futures contracts as reported in the table following the Portfolio of Investments. Only the current day’s variation margin as of May 31, 2019 is reported separately on the Statements of Assets and Liabilities.

Notes to financial statements Multi-Asset Funds 77

The effect of derivative instruments on the Statements of Operations for the year ended May 31, 2019 was as follows:

	Amount of realized losses on derivatives			Change in unrealized gains (losses) on derivatives
Equity risk	$	(1,180,224	)	$	953,509
Interest rate risk		(22,049	)		65,733
Foreign currency risk		(299,391	)		159,695
	$	(1,501,664	)	$	1,178,937

The fair value of derivative instruments as of May 31, 2019 was as follows for WealthBuilder Growth Balanced Fund:

	Asset derivatives				Liability derivatives
	Statements of Assets and Liabilities location	Fair value			Statements of Assets and Liabilities location	Fair value
Equity risk	Unrealized gains on futures contracts	$	741,455	*	Unrealized losses on futures contracts	$	11,257	*
Foreign currency risk	Unrealized gains on futures contracts		465,877	*	Unrealized losses on futures contracts		0	*
		$	1,207,332			$	11,257

* Amount represents cumulative unrealized gains (losses) on futures contracts as reported in the table following the Portfolio of Investments. Only the current day’s variation margin as of May 31, 2019 is reported separately on the Statements of Assets and Liabilities.

The effect of derivative instruments on the Statements of Operations for the year ended May 31, 2019 was as follows:

	Amount of realized gains (losses) on derivatives			Change in unrealized gains (losses) on derivatives
Equity risk	$	(2,357,366	)	$	1,927,577
Interest rate risk		225,035			134,971
Foreign currency risk		299,353			347,470
	$	(1,832,978	)	$	2,410,018

The fair value of derivative instruments as of May 31, 2019 was as follows for WealthBuilder Moderate Balanced Fund:

	Asset derivatives				Liability derivatives
	Statements of Assets and Liabilities location	Fair value			Statements of Assets and Liabilities location	Fair value
Equity risk	Unrealized gains on futures contracts	$	479,680	*	Unrealized losses on futures contracts	$	1,725	*
Foreign currency risk	Unrealized gains on futures contracts		340,383	*	Unrealized losses on futures contracts		0	*
		$	820,063			$	1,725

* Amount represents cumulative unrealized gains (losses) on futures contracts as reported in the table following the Portfolio of Investments. Only the current day’s variation margin as of May 31, 2019 is reported separately on the Statements of Assets and Liabilities.

The effect of derivative instruments on the Statements of Operations for the year ended May 31, 2019 was as follows:

	Amount of realized gains (losses) on derivatives			Change in unrealized gains (losses) on derivatives
Equity risk	$	(652,062	)	$	1,387,861
Interest rate risk		162,714			104,467
Foreign currency risk		(297,278	)		272,561
	$	(792,306	)	$	1,764,889

78 Multi-Asset Funds Notes to financial statements

7. BANK BORROWINGS

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

For the year ended May 31, 2019, there were no borrowings by the Funds under the agreement.

8. DISTRIBUTIONS TO SHAREHOLDERS

The tax character of distributions paid during the years ended May 31, 2019 and May 31, 2018, were as follows:

	Ordinary income				Long-term capital gain
	2019		2018		2019		2018
WealthBuilder Conservative Allocation Fund	$	3,531,157	$	4,750,610	$	10,842,828	$	15,684,677
WealthBuilder Equity Fund		6,940,355		0		65,572,317		80,484,984
WealthBuilder Growth Allocation Fund		5,766,814		2,466,393		40,351,235		46,676,913
WealthBuilder Growth Balanced Fund		9,607,448		12,231,217		65,523,431		84,010,791
WealthBuilder Moderate Balanced Fund		5,300,505		7,332,686		27,152,903		55,968,307

As of May 31, 2019, the components of distributable earnings on a tax basis were as follows:

	Undistributed ordinary income		Undistributed long-term gain		Unrealized gains		Late-year ordinary losses deferred			Post-October capital losses deferred			Capital loss carryforward
WealthBuilder Conservative Allocation Fund	$	626,186	$	0	$	692,299	$	0		$	0		$	(756,938	)
WealthBuilder Equity Fund		0		914,038		13,270,859		(1,351,065	)		(2,231,103	)		0
WealthBuilder Growth Allocation Fund		0		161,554		6,456,778		(94,718	)		(551,590	)		0
WealthBuilder Growth Balanced Fund		379,868		307,408		8,570,968		0			(254,092	)		0
WealthBuilder Moderate Balanced Fund		1,114,284		2,938,426		5,078,149		0			(1,776,270	)		0

Effective for all filings after November 4, 2018, the Securities and Exchange Commission eliminated the requirement to separately state the components of distributions to shareholders under U.S. generally accepted accounting principles. The amounts of distributions to shareholders for the year ended May 31, 2018 were as follows:

	WealthBuilder Conservative Allocation Fund				WealthBuilder Equity Fund
	Net investment income		Net realized gains		Net investment income	Net realized gains
Class A	$	84,981	$	114,069	$0	$	502,275
Class C		3,383,508		16,822,729	0		79,982,709

	WealthBuilder Moderate Balanced Fund				WealthBuilder Growth Balanced Fund				WealthBuilder Growth Allocation Fund
	Net investment income		Net realized gains		Net investment income		Net realized gains		Net investment income		Net realized gains
Class A	$	27,480	$	178,687	$	73,232	$	283,893	$	104,006	$	218,274
Class C		311,968		48,425,171		7,654,876		88,230,007		11,319,272		51,659,441

Notes to financial statements Multi-Asset Funds 79

9. INDEMNIFICATION

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

10. NEW ACCOUNTING PRONOUNCEMENT

In August 2018, FASB issued Accounting Standards Update (“ASU”)No. 2018-13, Fair Value Measurement (Topic 820)Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement. ASU2018-13 updates the disclosure requirements for fair value measurements by modifying or removing certain disclosures and adding certain new disclosures. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Early adoption is permitted. Management has adopted the removal and modification of disclosures early, as permitted, and will adopt the additional new disclosures at the effective date.

80 Multi-Asset Funds Report of independent registered public accounting firm

TO THE SHAREHOLDERS OF THE FUNDS AND BOARD OF TRUSTEES OF WELLS FARGO FUNDS TRUST:

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of Wells Fargo WealthBuilder Conservative Allocation Fund, Wells Fargo WealthBuilder Equity Fund, Wells Fargo WealthBuilder Growth Allocation Fund, Wells Fargo WealthBuilder Growth Balanced Fund, and Wells Fargo WealthBuilder Moderate Balanced Fund (the Funds), five of the funds constituting Wells Fargo Funds Trust, including the portfolios of investments, as of May 31, 2019, the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years or periods in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of May 31, 2019, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of May 31, 2019, by correspondence with the transfer agents, custodian and brokers, or by other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

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

Boston, Massachusetts

July 26, 2019

Other information (unaudited) Multi-Asset Funds 81

TAX INFORMATION

For corporate shareholders, pursuant to Section 854 of the Internal Revenue Code, the percentage of ordinary income dividends qualifying for the corporate dividends-received deduction was as follows for the fiscal year ended May 31, 2019:

	Dividends-received deduction
WealthBuilder Conservative Allocation Fund		13.96	%
WealthBuilder Equity Fund		64.05
WealthBuilder Growth Allocation Fund		44.37
WealthBuilder Growth Balanced Fund		39.79
WealthBuilder Moderate Balanced Fund		31.06

Pursuant to Section 852 of the Internal Revenue Code, the following amounts were designated as a 20% rate gain distribution for the fiscal year ended May 31, 2019:

	20% rate gain distribution
WealthBuilder Conservative Allocation Fund	$	10,842,828
WealthBuilder Equity Fund		65,572,317
WealthBuilder Growth Allocation Fund		40,351,235
WealthBuilder Growth Balanced Fund		65,523,431
WealthBuilder Moderate Balanced Fund		27,152,903

Pursuant to Section 854 of the Internal Revenue Code, the following amounts of income dividends paid during the fiscal year ended May 31, 2019 have been designated as qualified dividend income (QDI):

	QDI
WealthBuilder Conservative Allocation Fund	$	785,695
WealthBuilder Equity Fund		6,940,355
WealthBuilder Growth Allocation Fund		4,051,741
WealthBuilder Growth Balanced Fund		6,047,624
WealthBuilder Moderate Balanced Fund		2,615,951

For the fiscal year ended May 31, 2019, the following amounts have been designated as interest-related dividends for nonresident alien shareholders pursuant to Section 871 of the Internal Revenue Code:

	Interest-related dividends
WealthBuilder Conservative Allocation Fund	$	1,361,967
WealthBuilder Equity Fund		98,063
WealthBuilder Growth Allocation Fund		451,635
WealthBuilder Growth Balanced Fund		1,702,000
WealthBuilder Moderate Balanced Fund		1,575,556

82 Multi-Asset Funds Other information (unaudited)

For the fiscal year ended May 31, 2019, the following amounts have been designated as short-term capital gain dividends for nonresident alien shareholders pursuant to Section 871 of the Internal Revenue Code:

	Short-term capital gain dividends
WealthBuilder Equity Fund	$	5,570,758
WealthBuilder Growth Allocation Fund		3,570,148
WealthBuilder Growth Balanced Fund		4,777,710
WealthBuilder Moderate Balanced Fund		442,176

For the fiscal year ended May 31, 2019, the percentage of ordinary income distributed which was derived from interest on U.S. government securities was as follows:

	% of U.S. government income
WealthBuilder Conservative Allocation Fund		12.08	%
WealthBuilder Growth Allocation Fund		1.21
WealthBuilder Growth Balanced Fund		3.60
WealthBuilder Moderate Balanced Fund		8.85

PROXY VOTING INFORMATION

A description of the policies and procedures used to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling1-800-222-8222, visiting our website atwfam.com, or visiting the SEC website at sec.gov. Information regarding how the proxies related to portfolio securities were voted during the most recent12-month period ended June 30 is available on the website atwfam.comor by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS

Each Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Other information (unaudited) Multi-Asset Funds 83

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

Independent Trustees

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

84 Multi-Asset Funds Other information (unaudited)

Name and year of birth	Position held and length of service*	Principal occupations during past five years or longer	Current other public company or investment company directorships
David F. Larcker (Born 1950)	Trustee, since 2009	James Irvin Miller Professor of Accounting at the Graduate School of Business, Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005.	N/A
Olivia S. Mitchell (Born 1953)	Trustee, since 2006; Nominating and Governance Committee Chairman, since 2018	International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993.	N/A
Timothy J. Penny (Born 1951)	Trustee, since 1996; Chairman, since 2018	President and Chief Executive Officer of Southern Minnesota Initiative Foundation, anon-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., anon-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, anon-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

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

Other information (unaudited) Multi-Asset Funds 85

Officers

Name and year of birth	Position held and length of service	Principal occupations during past five years or longer
Andrew Owen (Born 1960)	President, since 2017	Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014.
Jeremy DePalma1 (Born 1974)	Treasurer, since 2012	Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010.
Alexander Kymn (Born 1973)	Secretary and Chief Legal Officer, since 2018	Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.
Michael H. Whitaker(Born 1967)	Chief Compliance Officer, since 2016	Senior Vice President and Chief Compliance Officer since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016.
David Berardi (Born 1975)	Assistant Treasurer, since 2009	Vice President of Wells Fargo Funds Management, LLC since 2009. Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010. Manager of Fund Reporting and Control for Evergreen Investment Management Company, LLC from 2004 to 2010.

¹ Jeremy DePalma acts as Treasurer of 86 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 calling1-800-222-8222 or by visiting the website atwfam.com.

86 Multi-Asset Funds Other information (unaudited)

BOARD CONSIDERATION OF INVESTMENT MANAGEMENT ANDSUB-ADVISORY AGREEMENTS:

Wells Fargo WealthBuilder Conservative Allocation Fund, Wells Fargo WealthBuilder Equity Fund, Wells Fargo WealthBuilder Growth Allocation Fund, Wells Fargo WealthBuilder Growth Balanced Fund and Wells Fargo WealthBuilder Moderate Balanced Fund

Under the Investment Company Act of 1940 (the “1940 Act”), the Board of Trustees (the “Board”) of Wells Fargo Funds Trust (the “Trust”) must determine annually whether to approve the continuation of the Trust’s investment management andsub-advisory agreements. In this regard, at anin-person meeting held on May21-22, 2019 (the “Meeting”), the Board, all the members of which have no direct or indirect interest in the investment management andsub-advisory agreements and are not “interested persons” of the Trust, as defined in the 1940 Act (the “Independent Trustees”), reviewed and approved for each of the funds of the Trust identified above (each, a “Fund” and collectively, the “Funds”): (i) an investment management agreement (the “Management Agreement”) with Wells Fargo Funds Management, LLC (“Funds Management”); and (ii) an investmentsub-advisory agreement (the“Sub-Advisory Agreement”) with Wells Capital Management Incorporated (the“Sub-Adviser”), an affiliate of Funds Management. The Management Agreement and theSub-Advisory Agreement are collectively referred to as the “Advisory Agreements.”

At the Meeting, the Board considered the factors and reached the conclusions described below relating to the selection of Funds Management and theSub-Adviser and the approval of the Advisory Agreements. Prior to the Meeting, including at anin-person meeting in April 2019, the Trustees conferred extensively among themselves and with representatives of Funds Management about these matters. Also, the Board has adopted a team-based approach, with each team consisting of asub-set of Trustees, to assist the full Board in the discharge of its 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 Board, Funds Management and theSub-Adviser 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 Board’s annual contract renewal process earlier in 2019. 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 Board 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 theSub-Adviser about various topics. In this regard, the Board reviewed reports of Funds Management at each of its quarterly meetings, which included, among other things, portfolio reviews and investment performance reports. In addition, the Board and the teams mentioned above confer with portfolio managers at various times throughout the year. The Board did not identify any particular information or consideration that wasall-important or controlling, and each individual Trustee may have attributed different weights to various factors.

After its deliberations, the Board unanimously approved the continuation of the Advisory Agreements for aone-year term and determined that the compensation payable to Funds Management and theSub-Adviser under each of the Advisory Agreements was reasonable. The Board considered the approval of the Advisory Agreements for the Funds as part of its consideration of agreements for funds across the complex, but its approvals were made on afund-by-fund basis. The following summarizes a number of important, but not necessarily all, factors considered by the Board in support of its approvals.

Nature, extent and quality of services

The Board received and considered various information regarding the nature, extent and quality of services provided to the Funds by Funds Management and theSub-Adviser under the Advisory Agreements. This information included a description of the investment advisory services and Fund-level administrative services covered by the Management Agreement, 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 theSub-Adviser are a part, a summary of investments made in the business of WFAM, a summary of certain organizational and personnel changes involving Funds Management and theSub-Adviser, and a description of Funds Management’s and theSub-Adviser’s business continuity planning programs and of their approaches to data privacy and cybersecurity. The Board received and reviewed information about Funds Management’s role as administrator of the Funds’ liquidity risk management program.The Board also considered the qualifications, background, tenure and responsibilities of each of the portfolio managers primarily responsible for theday-to-day portfolio management of the Funds.

At the Meeting, the Board also received and considered a presentation that the Trustees had requested from Funds Management, which reviewed, among other things, the Funds and their investment strategies, the Funds’ tactical asset allocation process, a volatility analysis, an assessment of performance and the process of evaluating and selecting unaffiliated underlying mutual funds.

Other information (unaudited) Multi-Asset Funds 87

The Board evaluated the ability of Funds Management and theSub-Adviser to attract and retain qualified investment professionals, including research, advisory and supervisory personnel. The Board further considered the compliance programs and compliance records of Funds Management and theSub-Adviser. In addition, the Board took into account the full range of services provided to the Funds by Funds Management and its affiliates.

Fund investment performance and expenses

The Board considered the investment performance results for each of the Funds over various time periods ended December 31, 2018. The Board 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 Funds (each, a “Universe”), and in comparison to each Fund’s benchmark index and to other comparative data. Broadridge is an independent provider of investment company data. The Board received a description of the methodology used by Broadridge to select the mutual funds in each performance Universe.

The Board noted that the investment performance of each Fund (Class A) relative to its respective Universe was as follows: (i) the investment performance of the WealthBuilder Conservative Allocation Fund was higher than the average investment performance of its Universe for theone-year period under review, but lower than the average investment performance of its Universe for the three-, five- andten-year periods under review; (ii) the investment performance of the WealthBuilder Equity Fund was higher than or in range of the average investment performance of its Universe for all periods under review; (iii) the investment performance of the WealthBuilder Growth Allocation Fund was higher than or in range of the average investment performance of its Universe for the three-, five- andten-year periods under review, but lower than the average investment performance of its Universe for theone-year period under review; (iv) the investment performance of the WealthBuilder Growth Balanced Fund was higher than or in range of the average investment performance of its Universe for theone-, three- andten-year periods under review, but lower than the average investment performance of its Universe for the five-year period under review; and (v) the investment performance of the WealthBuilder Moderate Balanced Fund was higher than the average investment performance of its Universe for theone-year period under review, but lower than the average investment performance of its Universe for the three-, five- andten-year periods under review.

The Board also noted that the investment performance of each Fund relative to its respective benchmark index was as follows: (i) the investment performance of the WealthBuilder Conservative Allocation Fund was lower than its benchmark index, the WealthBuilder Conservative Allocation Blended Index, which is a proprietary index used by the Board to help it assess the Fund’s relative performance, for all periods under review; (ii) the investment performance of the WealthBuilder Equity Fund was lower than its benchmark index, the WealthBuilder Equity Blended Index, which is a proprietary index used by the Board to help it assess the Fund’s relative performance, for all periods under review; (iii) the investment performance of the WealthBuilder Growth Allocation Fund was in range of its benchmark index, the WealthBuilder Growth Allocation Blended Index, which is a proprietary index used by the Board to help it assess the Fund’s relative performance, for theten-year period under review, but lower than its benchmark index for theone-, three- and five-year periods under review; (iv) the investment performance of the WealthBuilder Growth Balanced Fund was higher than its benchmark index, the WealthBuilder Growth Balanced Blended Index, which is a proprietary index used by the Board to help it assess the Fund’s relative performance, for theten-year period under review, but lower than its benchmark index for theone-, three- and five-year periods under review; and (v) the investment performance of the WealthBuilder Moderate Balanced Fund was lower than its benchmark index, the WealthBuilder Moderate Balanced Blended Index, which is a proprietary index used by the Board to help it assess the Fund’s relative performance, for all periods under review.

The Board received information concerning, and discussed factors contributing to, the underperformance of the Wells Fargo WealthBuilder Conservative Allocation Fund, Wells Fargo WealthBuilder Growth Balanced Fund and Wells Fargo WealthBuilder Moderate Balanced Fund 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 such Funds’ investment performance. The Board also took note of the changes to such Funds’ investment process that were implemented in 2018.

The Board also received and considered information regarding each Fund’s net operating expense ratios and their various components, including actual management fees, custodian and othernon-management fees, and Rule12b-1 andnon-Rule12b-1 shareholder service fees. The Board considered these ratios for each Fund in comparison to the median ratios of funds in expense groups that were determined by Broadridge to be similar to the Fund (the “Groups”). The Board 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 fromyear-to-year.

Based on the Broadridge reports, the Board noted that: (i) the net operating expense ratio of the WealthBuilder Conservative Allocation Fund, including underlying mutual fund expenses, was in range of the median net operating

88 Multi-Asset Funds Other information (unaudited)

expense ratio of its expense Group for all share classes; and (ii) the net operating expense ratio of each of the WealthBuilder Equity Fund, WealthBuilder Growth Allocation Fund, WealthBuilder Growth Balanced Fund, and WealthBuilder Moderate Balanced Fund, including underlying mutual fund expenses, was lower than the median net operating expense ratio of such Fund’s respective expense Group for all share classes. The Board noted that the Funds invest in both affiliated and unaffiliated underlying mutual funds, while most of the funds included in each expense Group, and all of the funds identified by Funds Management as being in a competitorsub-group, invest only in affiliated funds. The Board also considered that the Funds are designed to offer exposure to a wide range of investment styles, including alternatives, while maintaining a low investment minimum.

The Board took into account the Funds’ investment performance and expense information provided to it among the factors considered in deciding tore-approve the Advisory Agreements.

Investment management andsub-advisory fee rates

The Board reviewed and considered the contractual fee rates payable by each Fund to Funds Management under the Management Agreement, as well as the contractual fee rates payable by each Fund to Funds Management for class-level administrative services under a Class-Level Administration Agreement, which include, among other things, class-level transfer agency andsub-transfer agency costs (collectively, the “Management Rates”). The Board also reviewed and considered the contractual investmentsub-advisory fee rates that are payable by Funds Management to theSub-Adviser for investmentsub-advisory services.

Among other information reviewed by the Board was a comparison of each Fund’s Management Rates with the average contractual investment management fee rates of funds in the expense Groups at a common asset level, as well as transfer agency costs of the funds in the expense Groups. The Board noted that the Management Rates of each Fund were higher than the average rates for the Fund’s expense Groups for all share classes, except Institutional Class of the Wells Fargo WealthBuilder Moderate Balanced Fund, which was in range of the average rate for the Fund’s expense Group. The Board noted that the net operating expense ratio of the each Fund, including underlying mutual fund expenses, was lower than or in range of the median net operating expense ratio of the Fund’s expense Group for all share classes. The Board also noted that the Funds are among the fewfunds-of-funds utilizing both affiliated and unaffiliated underlying funds, and received information from Funds Management about the process and resources required to evaluate and select unaffiliated underlying mutual funds.

The Board also received and considered information about the portion of the total management fee that was retained by Funds Management after payment of the fee to theSub-Adviser forsub-advisory services. In assessing the reasonableness of this amount, the Board 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 theSub-Adviser, and about Funds Management’son-going oversight services. Given the affiliation between Funds Management and theSub-Adviser, the Board ascribed limited relevance to the allocation of the fees between them.

Based on its consideration of the factors and information it deemed relevant, including those described here, the Board determined that the compensation payable to Funds Management under the Management Agreement and to theSub-Adviser under theSub-Advisory Agreement was reasonable.

Profitability

The Board 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 Board noted that theSub-Adviser’s 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 Board noted that the levels of profitability reported on afund-by-fund basis varied widely, depending on factors such as the size, type and age of fund. Based on its review, the Board 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 it from approving the continuation of the Advisory Agreements.

Economies of scale

The Board 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 Board noted the

Other information (unaudited) Multi-Asset Funds 89

existence of breakpoints in each Fund’s management fee structure, which operate generally to reduce the Fund’s expense ratios as the Fund grows in size. The Board 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 Board 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 theSub-Adviser

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

The Board also reviewed information about soft dollar credits earned and utilized by theSub-Adviser, fees earned by Funds Management and theSub-Adviser 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 its consideration of the factors and information it deemed relevant, including those described here, the Board did not find that any ancillary benefits received by Funds Management and its affiliates, including theSub-Adviser, 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 Board unanimously approved the continuation of the Advisory Agreements for aone-year term and determined that the compensation payable to Funds Management and theSub-Adviser under each of the Advisory Agreements was reasonable.

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For more information

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

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: wfam.com

Individual investors: 1-800-222-8222

Retail investment professionals: 1-888-877-9275

Institutional investment professionals: 1-866-765-0778

This report and the financial statements contained herein are submitted for the general information of the shareholders of Wells Fargo Funds. If this report is used for promotional purposes, distribution of the report must be accompanied or preceded by a current prospectus. Before investing, please consider the investment objectives, risks, charges, and expenses of the investment. For a current prospectus and, if available, a summary prospectus, containing this information, call1-800-222-8222 or visit the Funds’ website atwfam.com. Read the prospectus carefully before you invest or send money.

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

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

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

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

403203 07-19 AWBP/AR102 05-19

Annual Report

May 31, 2019

Wells Fargo C&B Large Cap Value Fund

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

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

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

Reduce clutter. Save trees.

Sign up for electronic delivery of prospectuses and shareholder reports atwellsfargo.com/advantagedelivery

Contents

Letter to shareholders	2
Performance highlights	6
Fund expenses	10
Wells Fargo C&B Large Cap Value Fund
Portfolio of investments	11
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	20
Report of independent registered public accounting firm	24
Wells Fargo C&B Large Cap Value Portfolio
Portfolio of investments	25
Financial statements
Statement of assets and liabilities	29
Statement of operations	30
Statement of changes in net assets	31
Financial highlights	32
Notes to financial statements	33
Report of independent registered public accounting firm	37
Other information	38

The views expressed and any forward-looking statements are as of May 31, 2019, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Asset Management. Discussions of individual securities, or the markets generally, or any Wells Fargo Fund are not intended as individual recommendations. Future events or results may vary significantly from those expressed in any forward-looking statements. The views expressed are subject to change at any time in response to changing circumstances in the market. Wells Fargo Asset Management and the Fund disclaim any obligation to publicly update or revise any views expressed or forward-looking statements.

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

2 Wells Fargo C&B Large Cap Value Fund Letter to shareholders (unaudited)

Andrew Owen

President

Wells Fargo Funds

Dear Shareholder:

We are pleased to offer you this annual report for the Wells Fargo C&B Large Cap Value Fund for the 12-month period that ended May 31, 2019. Higher short-term interest rates, inflation concerns, trade tensions, and geopolitical events drove investment market volatility for much of 2018, particularly for international stocks. Early 2019 saw stocks and bonds gain with renewed business and investor confidence, but volatility returned late in the period as global growth slowed and geopolitical concerns persisted.

For the period, U.S. stocks, based on the S&P 500 Index,¹ gained 3.78% and international stocks, as measured by the MSCI ACWI ex USA Index (Net),² fell 6.26%. Based on the MSCI EM Index (Net),³ emerging market stocks fell 8.70%. Bond investors saw the Bloomberg Barclays U.S. Aggregate Bond Index⁴ add 6.40% while the Bloomberg Barclays Global Aggregate ex-USD Index⁵ rose 0.39%. The Bloomberg Barclays Municipal Bond Index⁶ added 6.40%, and the ICE BofAML U.S. High Yield Index⁷ was up 5.37%.

Results for investment indices reflected global concerns.

Global trade tensions escalated during the second quarter of 2018. A tit-for-tat tariff spat intensified between the U.S. and other governments. The U.S. Federal Reserve (Fed) raised the federal funds rate by 25 basis points (bps; 100 bps equal 1.00%) to a target range of between 1.75% and 2.00% in June. Market index results reflected the global concerns. The MSCI ACWI ex USA Index (Net) lost 2.61%, while the Bloomberg Barclays Global Aggregate ex-USD Index dropped 4.76%.

Not all news was bad. The U.S. Bureau of Economic Analysis reported second-quarter annualized gross domestic product (GDP) growth of 4.2%. Hiring improved. Unemployment declined. Consumer confidence and spending increased. The S&P 500 Index recorded a 3.43% second-quarter gain. Stocks of companies with smaller capitalizations did even better, as measured by the Russell 2000^® Index,⁸ adding 7.75%.

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

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

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

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

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

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

⁷  The ICE BofAML U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2019. ICE Data Indices, LLC. All rights reserved.

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

Letter to shareholders (unaudited) Wells Fargo C&B Large Cap Value Fund 3

Investors appeared to shake off lingering concerns during the third quarter.

Favorable third-quarter economic indicators and corporate earnings reports encouraged domestic stock investors. U.S. trade negotiations with Mexico and Canada progressed. The Conference Board Consumer Confidence Index^®9 reached its highest level in 18 years during September 2018. The Fed raised the federal funds rate by 25 bps to a target range of between 2.00% and 2.25% in September. For the quarter that ended September 30, 2018, the S&P 500 Index added 7.71%.

Investors in international markets were not as confident. Tensions between the U.S. and China increased. The U.S. imposed $200 billion in tariffs on Chinese goods. China reacted with $60 billion in tariffs on U.S. goods. Economic growth in China caused concern. The Bank of England (BoE) raised its monetary policy rate to 0.75% in August 2018. During the quarter, the MSCI ACWI ex USA Index (Net) gained 0.71%. The MSCI EM Index (Net) declined 1.09%. In fixed-income markets, U.S. bonds were flat, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index. The Bloomberg Barclays Global Aggregate ex-USD Index fell 1.74%.

Conflicting data unsettled markets during the fourth quarter.

November’s U.S. midterm elections shifted control of the House of Representatives from Republicans to Democrats, presaging potential partisan clashes. Third-quarter U.S. GDP was announced at an annualized 3.4% rate, lower than the second-quarter rate. Brexit efforts stalled ahead of the March 2019 deadline. The People’s Bank of China cut reserve requirement ratios, accelerated infrastructure spending, and cut taxes even as the value of the yuan declined to low levels last seen in 2008.

December’s S&P 500 Index performance was the worst since 1931. Globally,fixed-income investments fared better than stocks during the last two months of the year. The Fed increased the federal funds rate by 25 bps in December 2018 to a target range of between 2.25% and 2.50%.

The market climbs a wall of worry.

Investors entered 2019 with reasons to be concerned. A partial U.S. government shutdown driven by partisan policy disputes extended into January. Investment returns appeared to reaffirm the adage that markets climb a wall of worry. The S&P 500 Index gained 8.01% for the month of January, the best monthly performance in 30 years. Returns for the MSCI ACWI ex USA Index (Net), the Bloomberg Barclays U.S. Aggregate Bond Index, and the Bloomberg Barclays Global Aggregate ex-USD Index also were positive. The Fed indicated that it would pause its program of regular rate increases during 2019 as inflation remained low.

In February 2019, concerns over slowing global growth reemerged. The Bureau of Economic Analysis announced fourth-quarter 2018 GDP grew at an annualized 2.2% rate, down from levels of the prior two quarters. In a February report, the BoE forecast the slowest growth since the financial crisis for 2019. China and the U.S. continued to wrangle over trade issues.

By the end of March 2019, the combination of dovish Fed sentiment and consistent, if not spectacular, economic and business metrics reinforced investors’ confidence. Monthly job creation data regained momentum. Corporate profits, while lower than 2018’s lofty levels, remained solid. China announced a roughly $300 billion stimulus package through tax and fee cuts intended to reinvigorate economic growth.

December’s S&P 500 Index performance was the worst since 1931.

The S&P 500 Index gained 8.01% for the month of January, the best monthly performance in 30 years.

⁹  The Conference Board Consumer Confidence Index^® measures the degree of optimism on the state of the U.S. economy that consumers are expressing through their activities of saving and spending. You cannot invest directly in an index.

4 Wells Fargo C&B Large Cap Value Fund Letter to shareholders (unaudited)

During April 2019, several broad-based U.S. equity indices reached or approached highs as investors drew confidence from favorable economic projections, sustained low inflation, and solid employment data. First-quarter GDP showed the economy grew at an annualized rate of 3.2% on improvement in business investment and exports. Favorable sentiment extended to foreign markets as the MSCI ACWI ex USA Index (Net) gained 2.64% and the MSCI EM Index (Net) added 2.11% for the month.

May 2019 presented investors with mixed signals in the economy, in the markets, and politically. In the U.S., partisan wrangling ramped up as Democrats and Republicans set their sights on 2020 presidential politics. In the U.K., the Brexit stalemate resulted in the resignation of Prime Minister Theresa May. The European Commission downgraded the 2019 growth forecast for the block of countries to 1.2%. The U.S. increased tariffs on products from China, China responded, and then talks broke down. Ending the month, equities, as measured by the MSCI ACWI (Net),¹⁰ dropped 5.93% while bonds, often considered a less risky investment, gained 1.04%, as measured by the Bloomberg Barclays Global Aggregate ex-USD Index.

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

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

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

Sincerely,

Andrew Owen

President

Wells Fargo Funds

For further information about your Fund, contact your investment professional, visit our website atwfam.com, or call us directly at1-800-222-8222.

¹⁰  The MSCI ACWI (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. You cannot invest directly in an index.

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6 Wells Fargo C&B Large Cap Value Fund¹ Performance highlights (unaudited)

Investment objective

The Fund seeks maximum long-term total return (current income and capital appreciation), consistent with minimizing risk to principal.

Manager

Wells Fargo Funds Management, LLC

Subadviser for the affiliated master portfolio

Cooke & Bieler, L.P.

Portfolio managers

Andrew Armstrong, CFA^®‡

Steve Lyons, CFA^®‡

Michael M. Meyer, CFA^®‡

Edward W. O’Connor, CFA^®‡

R. James O’Neil, CFA^®‡

Mehul Trivedi, CFA^®‡

William Weber, CFA^®‡

Average annual total returns (%) as of May 31, 2019

		Including sales charge						Excluding sales charge						Expense ratios2 (%)
	Inception date	1 year		5 year		10 year		1 year		5 year		10 year		Gross		Net3
Class A (CBEAX)	7-26-2004		-4.50		5.72		11.11		1.33		6.98		11.77		1.21		1.08
Class C (CBECX)	7-26-2004		-0.39		6.18		10.94		0.61		6.18		10.94		1.96		1.83
Class R6 (CBEJX)4	10-31-2016		–		–		–		1.74		7.36		12.17		0.78		0.65
Administrator Class (CBLLX)	7-26-2004		–		–		–		1.44		7.13		11.95		1.13		1.00
Institutional Class (CBLSX)	7-26-2004		–		–		–		1.64		7.36		12.24		0.88		0.75
Russell 1000® Value Index5	–		–		–		–		1.45		6.53		12.33		–		–

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

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

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

Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. Consult the Fund’s prospectus for additional information on these and other risks.

Please see footnotes on page 7.

Performance highlights (unaudited) Wells Fargo C&B Large Cap Value Fund 7

Growth of $10,000 investment as of May 31, 2019⁶

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

¹  The Fund is a gateway feeder fund that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with a substantially identical investment objective and substantially similar investment strategies. References to the investment activities of the Fund are intended to refer to the investment activities of the affiliated master portfolio in which it invests.

²  Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

³  The manager has contractually committed through September 30, 2019, to waive fees and/or reimburse expenses to the extent necessary to cap the expenses of each class after fee waivers at the amounts shown. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolio invests, and extraordinary expenses are excluded from the expense cap. Net expenses from the affiliated master portfolio are included in the expense cap. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Without this cap, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

⁴  Historical performance shown for Class R6 shares prior to their inception reflects the performance of the Institutional Class shares adjusted to reflect the higher expenses applicable to Class R6 shares. If these expenses had been included, returns for Class R6 shares would be higher.

⁵  The Russell 1000^® Value Index measures the performance of those Russell 1000 companies with lower price/book ratios and lower forecasted growth values. You cannot invest directly in an index.

⁶  The chart compares the performance of Class A shares for the most recent ten years with the Russell 1000^® Value Index. The chart assumes a hypothetical $10,000 investment in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁷  The ten largest holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the securities of the affiliated master portfolio allocable to the Fund divided by the total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁸  Amounts represent the sector distribution of the affiliated master portfolio which are calculated based on the total long-term investments of the affiliated master portfolio. These amounts are subject to change and may have changed since the date specified.

* The security was no longer held at the end of the period.

8 Wells Fargo C&B Large Cap Value Fund Performance highlights (unaudited)

MANAGER’S DISCUSSION

Fund highlights

∎ The Fund (Class A, excluding sales charges) posted a positive return but underperformed its benchmark, the Russell 1000^® Value Index, for the 12-month period that ended May 31, 2019.

∎ Sector positioning detracted from performance, particularly from underweights in utilities, consumer staples, and real estate, as well as an overweight in materials.

∎ Stock selection contributed to performance, mainly due to the Fund’s holdings in the financials and materials sectors.

Over the past year, investors were beset by increasing uncertainty, concerns about the direction of the economy, and rising oil prices. Stocks were being driven more by sentiment than underlying fundamentals. Although our commitment to investing in quality companies and bottom-up fundamental stock selection process were additive, the Fund underperformed its benchmark as investors sought the perceived safety of utilities, consumer staples, and real estate.

Ten largest holdings (%) as of May 31, 20197
Fidelity National Financial Incorporated	3.53
Synchrony Financial	3.24
Chubb Limited	3.04
Arrow Electronics Incorporated	3.00
State Street Corporation	2.78
Intercontinental Exchange Incorporated	2.76
Brookfield Asset Management Incorporated Class A	2.71
JPMorgan Chase & Company	2.68
AerCap Holdings NV	2.57
Amdocs Limited	2.53

Sector positioning was the primary reason for the underperformance mainly due to the underweights in three of the best-performing sectors for the Russell 1000^® Value Index—utilities, consumer staples, and real estate, as well as the overweight in materials. Offsetting that was the contribution from our underweight in energy, the worst-performing sector for the index.

The largest stock detractors from the Fund’s performance were State Street Corporation, Schlumberger Limited, and AerCap Holdings N.V. State Street experienced lower fee income, a rise in expenses, and a decline in assets under custody and administration. Schlumberger, an oil-services provider, suffered due to a decline in oil prices. AerCap Holdings, a commercial airplane leasing

company, was punished for its perceived economic sensitivity despite its solid fundamentals as weakening global macroeconomic conditions could affect demand growth and airline credit quality. In each case, our ongoing research tells us that they have durable and competitively advantaged franchises that historically have sustained above-average returns on invested capital, growth, and free cash flow generation over time.

Stock selection contributed to performance particularly as a result of holdings in the financials and materials sectors. The top contributors to the Fund’s performance were: Crown Holdings, Incorporated; Gildan Activewear Incorporated; and Verizon Communications Incorporated. Crown Holdings, a leading manufacturer of beverage, food, and aerosol cans, reported solid results with strong free cash flow generation, creating confidence in its outlook and longer-term earnings power after weak performance in early 2018. Gildan Activewear, a Canadian manufacturer of branded clothing, experienced strong performance in activewear. Verizon Communications, the largest U.S. wireless telecommunication company, continued to benefit from good underlying wireless growth and solid profitability.

We took advantage of opportunities during the volatile 12-month period.

During the year, we took advantage of opportunities created by the volatile market environment. In addition to adding to existing holdings, we initiated positions in Bermuda-based specialty property and casualty and mortgage insurer Arch Capital Group Limited; semiconductor capital equipment manufacturer Applied Materials, Incorporated; the largest metals service center in North America, Reliance Steel & Aluminum Company; and American food company The Kraft Heinz Company*.

To make room for these positions, we trimmed some existing holdings and eliminated Accenture plc; Analog Devices, Incorporated; Markel Corporation; Twenty-First Century Fox, Incorporated; Ball Corporation; and Unilever N.V., all of which reached our price targets or offered significantly less appreciation potential than recently purchased stocks.

Please see footnotes on page 7.

Performance highlights (unaudited) Wells Fargo C&B Large Cap Value Fund 9

Sector distribution as of May 31, 2019⁸

Understanding of fundamentals and a disciplined approach continues to be imperative.

Our market outlook for the remainder of this year is somewhat guarded. Amid growing uncertainty, we see a mixed environment, likely including increasing volatility. In view of the trade war and the ongoing uncertainty of its effect, along with other economic fears, an understanding of fundamentals and a disciplined approached is imperative. We continue to assess and reassess the investment thesis of every portfolio holding, subjecting each of them to the objective scrutiny embedded in our rigorous research effort and accountability system. Given our active, disciplined, long-term, bottom-up, fundamental approach, we remain confident in our time-tested investment process and in our team’s ability to practice it successfully.

Please see footnotes on page 7.

10 Wells Fargo C&B Large Cap Value Fund Fund expenses (unaudited)

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

The example is based on an investment of $1,000 invested at the beginning of the six-month period and held for the entire period from December 1, 2018 to May 31, 2019.

Actual expenses

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

Hypothetical example for comparison purposes

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

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

	Beginning account value 12-1-2018		Ending account value 5-31-2019		Expenses paid during the period1,2		Annualized net expense ratio1
Class A
Actual	$	1,000.00	$	990.55	$	5.35		1.08	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,019.56	$	5.43		1.08	%
Class C
Actual	$	1,000.00	$	986.77	$	9.05		1.83	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,015.82	$	9.18		1.83	%
Class R6
Actual	$	1,000.00	$	992.53	$	3.22		0.65	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.70	$	3.26		0.65	%
Administrator Class
Actual	$	1,000.00	$	990.93	$	4.95		1.00	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,019.96	$	5.02		1.00	%
Institutional Class
Actual	$	1,000.00	$	992.21	$	3.71		0.75	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.20	$	3.77		0.75	%

¹  Amounts reflect net expenses allocated from the affiliated Master Portfolio in which the Fund invests.

²  Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one-half-year period).

Portfolio of investments—May 31, 2019 Wells Fargo C&B Large Cap Value Fund 11

Security name	Value
Investment Companies: 99.92%
Affiliated Master Portfolio: 99.92%
Wells Fargo C&B Large Cap Value Portfolio	$	270,294,844
Total Investment Companies (Cost $223,590,685)		270,294,844

Total investments in securities (Cost $223,590,685)	99.92	%		270,294,844
Other assets and liabilities, net	0.08			226,924
Total net assets	100.00	%	$	270,521,768

Transactions with the affiliated Master Portfolio were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolio		Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio			Dividends allocated from affiliated Master Portfolio		Affiliated income allocated from affiliated Master Portfolio		Value, end of period		% of net assets
Wells Fargo C&B Large Cap Value Portfolio		93	%		77	%	$	22,450,835	$	(20,286,156	)	$	6,073,585	$	150,882	$	270,294,844		99.92	%

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

12 Wells Fargo C&B Large Cap Value Fund Statement of assets and liabilities—May 31, 2019

Assets
Investments in affiliated Master Portfolio, at value (cost $223,590,685)	$	270,294,844
Receivable for Fund shares sold		454,438
Receivable from manager		34,791
Prepaid expenses and other assets		110,802
Total assets		270,894,875
Liabilities
Payable for Fund shares redeemed		313,701
Administration fees payable		33,038
Distribution fee payable		4,055
Shareholder servicing fees payable		22,313
Total liabilities		373,107
Total net assets	$	270,521,768
NET ASSETS CONSIST OF
Paid-in capital	$	212,055,796
Total distributable earnings		58,465,972
Total net assets	$	270,521,768
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARE
Net assets – Class A	$	79,171,520
Shares outstanding – Class A1		6,084,169
Net asset value per share – Class A		$13.01
Maximum offering price per share – Class A2		$13.80
Net assets – Class C	$	5,097,967
Shares outstanding – Class C1		396,138
Net asset value per share – Class C		$12.87
Net assets – Class R6	$	68,365,579
Shares outstanding – Class R61		5,233,484
Net asset value per share – Class R6		$13.06
Net assets – Administrator Class	$	9,273,799
Shares outstanding – Administrator Class1		711,749
Net asset value per share – Administrator Class		$13.03
Net assets – Institutional Class	$	108,612,903
Shares outstanding – Institutional Class1		8,320,628
Net asset value per share – Institutional Class		$13.05

¹  The Fund has an unlimited number of authorized shares.

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

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

Statement of operations—year ended May 31, 2019 Wells Fargo C&B Large Cap Value Fund 13

Investment income
Dividends allocated from affiliated Master Portfolio (net of foreign withholding taxes of $232,604)	$	6,073,585
Affiliated income allocated from affiliated Master Portfolio		150,882
Expenses allocated from affiliated Master Portfolio		(2,184,347	)
Waivers allocated from affiliated Master Portfolio		87,249
Total investment income		4,127,369
Expenses
Management fee		162,402
Administration fees
Class A		172,972
Class C		19,347
Class R6		30,111
Administrator Class		13,942
Institutional Class		158,769
Shareholder servicing fees
Class A		205,919
Class C		23,031
Administrator Class		26,812
Distribution fee
Class C		69,095
Custody and accounting fees		13,737
Professional fees		28,862
Registration fees		105,746
Shareholder report expenses		45,883
Trustees’ fees and expenses		21,120
Other fees and expenses		14,899
Total expenses		1,112,647
Less: Fee waivers and/or expense reimbursements		(479,703	)
Net expenses		632,944
Net investment income		3,494,425
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS
Net realized gains on securities transactions allocated from affiliated Master Portfolio		22,450,835
Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio		(20,286,156	)
Net realized and unrealized gains (losses) on investments		2,164,679
Net increase in net assets resulting from operations	$	5,659,104

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

14 Wells Fargo C&B Large Cap Value Fund Statement of changes in net assets

	Year ended May 31, 2019						Year ended May 31, 2018¹
Operations
Net investment income				$	3,494,425					$	3,023,151
Net realized gains on investments					22,450,835						30,034,249
Net change in unrealized gains (losses) on investments					(20,286,156	)					(11,845,354	)
Net increase in net assets resulting from operations					5,659,104						21,212,046
Distributions to shareholders from net investment income and net realized gains
Class A					(5,854,644	)					(9,243,548	)
Class C					(663,292	)					(1,063,860	)
Class R6					(8,273,383	)					(453,208	)
Administrator Class					(729,387	)					(1,533,377	)
Institutional Class					(9,537,075	)					(27,982,031	)
Total distributions to shareholders					(25,057,781	)					(40,276,024	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		598,330			7,944,833			919,384			13,795,201
Class C		153,872			1,981,780			281,614			4,187,818
Class R6		709,584			9,759,366			7,863,006			110,525,989
Administrator Class		63,073			881,388			297,700			4,486,264
Institutional Class		2,556,786			34,874,000			6,201,334			92,921,657
					55,441,367						225,916,929
Reinvestment of distributions
Class A		463,313			5,752,084			629,729			9,080,968
Class C		53,533			657,661			73,825			1,051,272
Class R6		40,613			506,108			31,033			449,875
Administrator Class		45,134			561,040			87,651			1,265,630
Institutional Class		755,134			9,401,667			1,065,954			15,442,909
					16,878,560						27,290,654
Payment for shares redeemed
Class A		(1,139,570	)		(15,660,154	)		(1,094,969	)		(16,239,579	)
Class C		(613,403	)		(8,120,776	)		(110,207	)		(1,620,229	)
Class R6		(3,440,746	)		(46,779,401	)		(212,138	)		(3,029,866	)
Administrator Class		(311,921	)		(4,389,568	)		(257,513	)		(3,725,510	)
Institutional Class		(4,670,529	)		(62,677,183	)		(12,692,000	)		(180,616,185	)
					(137,627,082	)					(205,231,369	)
Net increase (decrease) in net assets resulting from capital share transactions					(65,307,155	)					47,976,214
Total increase (decrease) in net assets					(84,705,832	)					28,912,236
Net assets
Beginning of period					355,227,600						326,315,364
End of period				$	270,521,768					$	355,227,600

¹  Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Undistributed net investment income at May 31, 2018 was $1,304,663. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 7,Distributions to Shareholders,in the notes to the financial statements.

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

Financial highlights Wells Fargo C&B Large Cap Value Fund 15

(For a share outstanding throughout each period)

	Year ended May 31
CLASS A	2019			2018			2017			2016			2015
Net asset value, beginning of period		$13.91			$14.54			$12.55			$13.07			$11.99
Net investment income		0.11			0.09	1		0.08			0.11	1		0.10
Net realized and unrealized gains (losses) on investments		0.02			0.87			2.23			(0.14	)		1.07
Total from investment operations		0.13			0.96			2.31			(0.03	)		1.17
Distributions to shareholders from
Net investment income		(0.12	)		(0.06	)		(0.08	)		(0.10	)		(0.09	)
Net realized gains		(0.91	)		(1.53	)		(0.24	)		(0.39	)		0.00
Total distributions to shareholders		(1.03	)		(1.59	)		(0.32	)		(0.49	)		(0.09	)
Net asset value, end of period		$13.01			$13.91			$14.54			$12.55			$13.07
Total return2		1.33	%		6.29	%		18.62	%		(0.08	)%		9.78	%
Ratios to average net assets (annualized)
Gross expenses3		1.23	%		1.21	%		1.24	%		1.25	%		1.29	%
Net expenses3		1.08	%		1.10	%		1.15	%		1.15	%		1.15	%
Net investment income3		0.83	%		0.58	%		0.62	%		0.89	%		0.73	%
Supplemental data
Portfolio turnover rate4		47	%		42	%		89	%		29	%		35	%
Net assets, end of period (000s omitted)		$79,172			$85,707			$83,016			$88,387			$27,085

¹  Calculated based upon average shares outstanding

²  Total return calculations do not include any sales charges.

³  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.65	%
Year ended May 31, 2018	0.66	%
Year ended May 31, 2017	0.68	%
Year ended May 31, 2016	0.68	%
Year ended May 31, 2015	0.68	%

⁴  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

16 Wells Fargo C&B Large Cap Value Fund Financial highlights

(For a share outstanding throughout each period)

	Year ended May 31
CLASS C	2019			2018			2017			2016			2015
Net asset value, beginning of period		$13.75			$14.44			$12.48			$13.01			$11.95
Net investment income (loss)		0.01	1		(0.02	)1		(0.02	)		0.01			(0.00	)2
Net realized and unrealized gains (losses) on investments		0.03			0.86			2.22			(0.14	)		1.07
Total from investment operations		0.04			0.84			2.20			(0.13	)		1.07
Distributions to shareholders from
Net investment income		(0.01	)		0.00			0.00			(0.01	)		(0.01	)
Net realized gains		(0.91	)		(1.53	)		(0.24	)		(0.39	)		0.00
Total distributions to shareholders		(0.92	)		(1.53	)		(0.24	)		(0.40	)		(0.01	)
Net asset value, end of period		$12.87			$13.75			$14.44			$12.48			$13.01
Total return3		0.61	%		5.46	%		17.73	%		(0.82	)%		8.93	%
Ratios to average net assets (annualized)
Gross expenses4		1.97	%		1.96	%		1.99	%		2.00	%		2.04	%
Net expenses4		1.83	%		1.85	%		1.90	%		1.90	%		1.90	%
Net investment income (loss) 4		0.07	%		(0.16	)%		(0.13	)%		0.11	%		(0.02	)%
Supplemental data
Portfolio turnover rate5		47	%		42	%		89	%		29	%		35	%
Net assets, end of period (000s omitted)		$5,098			$11,031			$8,043			$7,282			$7,654

¹  Calculated based upon average shares outstanding

²  Amount is more than $(0.005).

³  Total return calculations do not include any sales charges.

⁴  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.65	%
Year ended May 31, 2018	0.66	%
Year ended May 31, 2017	0.68	%
Year ended May 31, 2016	0.68	%
Year ended May 31, 2015	0.68	%

⁵  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

Financial highlights Wells Fargo C&B Large Cap Value Fund 17

(For a share outstanding throughout each period)

	Year ended May 31
CLASS R6	2019			2018			20171
Net asset value, beginning of period		$13.97			$14.59			$12.73
Net investment income		0.18	2		0.18	2		0.16
Net realized and unrealized gains (losses) on investments		0.00	3		0.85			2.06
Total from investment operations		0.18			1.03			2.22
Distributions to shareholders from
Net investment income		(0.18	)		(0.12	)		(0.12	)
Net realized gains		(0.91	)		(1.53	)		(0.24	)
Total distributions to shareholders		(1.09	)		(1.65	)		(0.36	)
Net asset value, end of period		$13.06			$13.97			$14.59
Total return4		1.74	%		6.76	%		17.65	%
Ratios to average net assets (annualized)
Gross expenses5		0.79	%		0.77	%		0.81	%
Net expenses5		0.65	%		0.65	%		0.70	%
Net investment income5		1.27	%		1.28	%		1.04	%
Supplemental data
Portfolio turnover rate6		47	%		42	%		89	%
Net assets, end of period (000s omitted)		$68,366			$110,665			$3,532

¹  For the period from October 31, 2016 (commencement of class operations) to March 31, 2017

²  Calculated based upon average shares outstanding

³  Amount is less than $0.005.

⁴  Returns for periods of less than one year are not annualized.

⁵  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.65	%
Year ended May 31, 2018	0.65	%
Year ended May 31, 20171	0.68	%

⁶  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

18 Wells Fargo C&B Large Cap Value Fund Financial highlights

(For a share outstanding throughout each period)

	Year ended May 31
ADMINISTRATOR CLASS	2019			2018			2017			2016			2015
Net asset value, beginning of period		$13.92			$14.56			$12.54			$13.07			$12.00
Net investment income		0.12	1		0.10	1		0.10	1		0.13	1		0.13
Net realized and unrealized gains (losses) on investments		0.02			0.87			2.24			(0.15	)		1.06
Total from investment operations		0.14			0.97			2.34			(0.02	)		1.19
Distributions to shareholders from
Net investment income		(0.12	)		(0.08	)		(0.08	)		(0.12	)		(0.12	)
Net realized gains		(0.91	)		(1.53	)		(0.24	)		(0.39	)		0.00
Total distributions to shareholders		(1.03	)		(1.61	)		(0.32	)		(0.51	)		(0.12	)
Net asset value, end of period		$13.03			$13.92			$14.56			$12.54			$13.07
Total return		1.44	%		6.36	%		18.82	%		0.11	%		9.93	%
Ratios to average net assets (annualized)
Gross expenses2		1.15	%		1.13	%		1.16	%		1.16	%		1.13	%
Net expenses2		1.00	%		1.00	%		1.00	%		0.98	%		0.95	%
Net investment income2		0.90	%		0.69	%		0.77	%		1.03	%		0.92	%
Supplemental data
Portfolio turnover rate3		47	%		42	%		89	%		29	%		35	%
Net assets, end of period (000s omitted)		$9,274			$12,742			$11,467			$23,210			$55,705

¹  Calculated based upon average shares outstanding

²  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.65	%
Year ended May 31, 2018	0.66	%
Year ended May 31, 2017	0.68	%
Year ended May 31, 2016	0.68	%
Year ended May 31, 2015	0.68	%

³  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

Financial highlights Wells Fargo C&B Large Cap Value Fund 19

(For a share outstanding throughout each period)

	Year ended May 31
INSTITUTIONAL CLASS	2019			2018			2017			2016			2015
Net asset value, beginning of period		$13.96			$14.58			$12.58			$13.11			$12.03
Net investment income		0.14			0.13	1		0.14			0.16			0.15
Net realized and unrealized gains (losses) on investments		0.02			0.89			2.22			(0.14	)		1.08
Total from investment operations		0.16			1.02			2.36			0.02			1.23
Distributions to shareholders from
Net investment income		(0.16	)		(0.11	)		(0.12	)		(0.16	)		(0.15	)
Net realized gains		(0.91	)		(1.53	)		(0.24	)		(0.39	)		0.00
Total distributions to shareholders		(1.07	)		(1.64	)		(0.36	)		(0.55	)		(0.15	)
Net asset value, end of period		$13.05			$13.96			$14.58			$12.58			$13.11
Total return		1.64	%		6.68	%		19.05	%		0.33	%		10.15	%
Ratios to average net assets (annualized)
Gross expenses2		0.90	%		0.88	%		0.91	%		0.92	%		0.86	%
Net expenses2		0.75	%		0.77	%		0.80	%		0.77	%		0.70	%
Net investment income2		1.17	%		0.87	%		0.96	%		1.25	%		1.18	%
Supplemental data
Portfolio turnover rate3		47	%		42	%		89	%		29	%		35	%
Net assets, end of period (000s omitted)		$108,613			$135,082			$220,257			$133,632			$132,768

¹  Calculated based upon average shares outstanding

²  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.65	%
Year ended May 31, 2018	0.66	%
Year ended May 31, 2017	0.68	%
Year ended May 31, 2016	0.68	%
Year ended May 31, 2015	0.68	%

³  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

20 Wells Fargo C&B Large Cap Value Fund Notes to financial statements

1. ORGANIZATION

Wells Fargo Funds Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As an investment company, the Trust follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statements report on the Wells Fargo C&B Large Cap Value Fund (the “Fund”) which is a diversified series of the Trust.

The Fund is a feeder fund in a master-feeder structure that invests substantially all of its assets in a single master portfolio with a substantially identical investment objective and substantially similar investment strategies. The Fund seeks to achieve its investment objective by investing all investable assets in a separate diversified portfolio (the “affiliated Master Portfolio”) of Wells Fargo Master Trust, a registered open-end management investment company. The affiliated Master Portfolio directly acquires portfolio securities and the Fund acquires an indirect interest in those securities. The Fund accounts for its investment in the affiliated Master Portfolio as a partnership investment and records on a daily basis its share of the affiliated Master Portfolio’s income, expense and realized and unrealized gains and losses. The financial statements of the affiliated Master Portfolio for the year ended May 31, 2019 are included in this report and should be read in conjunction with the Fund’s financial statements. As of May 31, 2019, the Fund owned 77% of Wells Fargo C&B Large Cap Value Portfolio.

2. SIGNIFICANT ACCOUNTING POLICIES

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

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Fund may deviate from this calculation time under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of the affiliated Master Portfolio’s net assets, which are also valued daily. Securities held in the affiliated Master Portfolio are valued as discussed in the Notes to Financial Statements of the affiliated Master Portfolio, which are included elsewhere in this report.

Investment transactions, income and expenses

Investments in the affiliated Master Portfolio are recorded on a trade basis. The Fund records daily its proportionate share of the affiliated Master Portfolio’s dividend income, expenses and realized and unrealized gains or losses. The Fund also accrues its own expenses.

Distributions to shareholders

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

Federal and other taxes

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

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

Notes to financial statements Wells Fargo C&B Large Cap Value Fund 21

As of May 31, 2019, the aggregate cost of all investments for federal income tax purposes was $225,754,002 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	44,540,842
Gross unrealized losses		0
Net unrealized gains	$	44,540,842

Class allocations

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

3. FAIR VALUATION MEASUREMENTS

At May 31, 2019, the affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective and the value of the affiliate Master Portfolio was as follows:

Affiliated Master Portfolio	Investment objective	Value of affiliated Master Portfolio
Wells Fargo C&B Large Cap Value Portfolio	Seeks maximum long-term total return (current income and capital appreciation), consistent with minimizing risk to principal		$270,294,844

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

4. TRANSACTIONS WITH AFFILIATES

Management fee

Wells Fargo Funds Management, LLC (“Funds Management”), an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”), is the manager of the Fund and provides advisory and fund-level administrative services under an investment management agreement. Under the investment management agreement, Funds Management is responsible for, among other services, implementing the investment objectives and strategies of the Fund and providing fund-level administrative services in connection with the Fund’s operations. As long as the Fund continues to invest substantially all of its assets in a single affiliated Master Portfolio, the Fund pays Funds Management an investment management fee only for fund-level administrative services at the following annual rate based on the Fund’s average daily net assets:

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

For the year ended May 31, 2019, the management fee was equivalent to an annual rate of 0.05% of the Fund’s average daily net assets.

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

Administration fees

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

	Class-level administration fee
Class A, Class C		0.21	%
Class R6		0.03
Administrator Class, Institutional Class		0.13

22 Wells Fargo C&B Large Cap Value Fund Notes to financial statements

Funds Management has contractually waived and/or reimbursed management and administration fees to the extent necessary to maintain certain net operating expense ratios for the Fund. When each class of the Fund has exceeded its expense cap, Funds Management has waived fees and/or reimbursed expenses from fund level expenses on a proportionate basis and then from class specific expenses. When only certain classes exceed their expense caps, waivers and/or reimbursements are applied against class specific expenses before fund level expenses. Net expenses from the affiliated Master Portfolio are included in the expense caps. Funds Management has committed through September 30, 2019 to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’s expenses at 1.08% for Class A shares, 1.83% for Class C shares, 0.65% for Class R6 shares, 1.00% for Administrator Class shares, and 0.75% for Institutional Class shares. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees.

Distribution fee

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

In addition, Funds Distributor is entitled to receive the front-end sales charge from the purchase of Class A shares and a contingent deferred sales charge on the redemption of certain Class A shares. Funds Distributor is also entitled to receive the contingent deferred sales charges from redemptions of Class C shares. For the year ended May 31, 2019, Funds Distributor received $1,621 from the sale of Class A shares, and $29 in contingent deferred sales charges from redemptions of Class C shares. No contingent deferred sales charges were incurred by Class A shares for the year ended May 31, 2019.

Shareholder servicing fees

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

5. INVESTMENT PORTFOLIO TRANSACTIONS

The Fund seeks to achieve its investment objective by investing substantially all of its assets in a single affiliated Master Portfolio. Purchases and sales have been calculated by multiplying the Fund’s ownership percentage of the affiliated Master Portfolio by the affiliated Master Portfolio’s purchases and sales. Purchases and sales of investments, excluding U.S. government obligations (if any) and short-term securities, for the year ended May 31, 2019 were $143,545,693 and $172,356,302, respectively.

6. BANK BORROWINGS

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

For the year ended May 31, 2019, there were no borrowings by the Fund under the agreement.

7. DISTRIBUTIONS TO SHAREHOLDERS

The tax character of distributions paid during the years ended May 31, 2019 and May 31, 2018 were as follows:

	Year ended May 31
	2019		2018
Ordinary income	$	8,378,114	$	9,020,097
Long-term capital gain		16,679,667		31,255,927

As of May 31, 2019, the components of distributable earnings on a tax basis were as follows:

Undistributed ordinary income	Undistributed long-term gain	Unrealized gains
$1,772,703	$12,152,427	$44,540,842

Notes to financial statements Wells Fargo C&B Large Cap Value Fund 23

Effective for all filings after November 4, 2018, the Securities and Exchange Commission eliminated the requirement to separately state the components of distributions to shareholders under U.S. generally accepted accounting principles. The amounts of distributions to shareholders for the year ended May 31, 2018 were as follows:

	Net investment income		Net realized gains
Class A	$	403,349	$	8,840,199
Class C		0		1,063,860
Class R6		36,739		416,469
Administrator Class		86,666		1,446,711
Institutional Class		2,028,817		25,953,214

8. CONCENTRATION RISK

Concentration risk result from exposure to a limited number of sectors. Through its investment in the affiliated Master Portfolio which may invest a substantial portion of its assets in any sector, the Fund may in turn be more affected by changes in that sector than a fund whose investments are not heavily weighted in any sector.

9. INDEMNIFICATION

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

10. NEW ACCOUNTING PRONOUNCEMENT

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

24 Wells Fargo C&B Large Cap Value Fund Report of independent registered public accounting firm

TO THE SHAREHOLDERS OF THE FUND AND BOARD OF TRUSTEES OF WELLS FARGO FUNDS TRUST:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Wells Fargo C&B Large Cap Value Fund (the Fund), one of the funds constituting Wells Fargo Funds Trust, including the portfolio of investments, as of May 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years or periods in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of May 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of May 31, 2019, by correspondence with the transfer agent. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

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

Boston, Massachusetts

July 26, 2019

Portfolio of investments—May 31, 2019 Wells Fargo C&B Large Cap Value Portfolio 25

Security name	Shares		Value
Common Stocks: 95.94%
Communication Services: 4.55%
Diversified Telecommunication Services: 2.51%
Verizon Communications Incorporated		161,700	$	8,788,395
Media: 2.04%
Omnicom Group Incorporated		92,600		7,163,536
Consumer Discretionary: 7.75%
Hotels, Restaurants & Leisure: 2.36%
Carnival Corporation		161,600		8,272,304
Household Durables: 1.48%
Whirlpool Corporation		45,200		5,192,576
Textiles, Apparel & Luxury Goods: 3.91%
Gildan Activewear Incorporated		220,086		7,936,301
HanesBrands Incorporated		389,900		5,790,015
				13,726,316
Consumer Staples: 2.49%
Beverages: 0.41%
Diageo plc ADR		8,580		1,441,955
Tobacco: 2.08%
Philip Morris International Incorporated		94,500		7,288,785
Energy: 4.71%
Energy Equipment & Services: 1.16%
Schlumberger Limited		117,700		4,083,013
Oil, Gas & Consumable Fuels: 3.55%
Exxon Mobil Corporation		117,200		8,294,244
World Fuel Services Corporation		142,600		4,155,364
				12,449,608
Financials: 28.81%
Banks: 5.20%
JPMorgan Chase & Company		88,900		9,419,844
PNC Financial Services Group Incorporated		69,200		8,806,392
				18,226,236
Capital Markets: 8.25%
Brookfield Asset Management Incorporated Class A		207,500		9,513,875
Intercontinental Exchange Incorporated		117,900		9,692,559
State Street Corporation		176,300		9,740,575
				28,947,009

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

26 Wells Fargo C&B Large Cap Value Portfolio Portfolio of investments—May 31, 2019

Security name	Shares		Value
Consumer Finance: 3.24%
Synchrony Financial		338,000	$	11,366,940
Diversified Financial Services: 1.97%
Berkshire Hathaway Incorporated Class B †		35,000		6,909,700
Insurance: 10.15%
Arch Capital Group Limited †		252,900		8,707,347
Chubb Limited		73,000		10,663,110
Fidelity National Financial Incorporated		321,400		12,389,970
The Progressive Corporation		48,800		3,868,864
				35,629,291
Health Care: 13.02%
Health Care Equipment & Supplies: 4.02%
Becton Dickinson & Company		24,800		5,789,312
Medtronic plc		90,000		8,332,200
				14,121,512
Health Care Providers & Services: 4.39%
Laboratory Corporation of America Holdings †		42,300		6,878,403
UnitedHealth Group Incorporated		35,200		8,511,360
				15,389,763
Pharmaceuticals: 4.61%
Allergan plc		65,400		7,972,914
Johnson & Johnson		62,700		8,223,105
				16,196,019
Industrials: 16.48%
Air Freight & Logistics: 2.03%
United Parcel Service Incorporated Class B		76,600		7,117,672
Building Products: 2.05%
Johnson Controls International plc		186,500		7,183,980
Electrical Equipment: 4.14%
AMETEK Incorporated		75,600		6,190,884
Eaton Corporation plc		112,100		8,350,329
				14,541,213
Industrial Conglomerates: 1.47%
3M Company		32,300		5,159,925
Machinery: 4.22%
Colfax Corporation †		297,477		7,466,673
Snap-on Incorporated		47,000		7,328,240
				14,794,913
Trading Companies & Distributors: 2.57%
AerCap Holdings NV †		201,500		9,031,230

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

Portfolio of investments—May 31, 2019 Wells Fargo C&B Large Cap Value Portfolio 27

Security name				Shares		Value
Information Technology: 10.83%
Electronic Equipment, Instruments & Components: 4.82%
Arrow Electronics Incorporated †					167,800	$	10,514,348
TE Connectivity Limited					75,900		6,393,057
							16,907,405
IT Services: 4.79%
Alliance Data Systems Corporation					26,700		3,671,250
Amdocs Limited					149,300		8,871,406
Leidos Holdings Incorporated					56,840		4,281,757
							16,824,413
Semiconductors & Semiconductor Equipment: 1.22%
Applied Materials Incorporated					110,700		4,282,983
Materials: 5.46%
Chemicals: 1.67%
Axalta Coating Systems Limited †					249,000		5,853,990
Containers & Packaging: 2.15%
Crown Holdings Incorporated †					136,110		7,544,577
Metals & Mining: 1.64%
Reliance Steel & Aluminum Company					69,100		5,753,957
Real Estate: 1.84%
Real Estate Management & Development: 1.84%
CBRE Group Incorporated Class A †					141,600		6,471,120
Total Common Stocks (Cost $280,431,435)							336,660,336
	Yield
Short-Term Investments: 3.38%
Investment Companies: 3.38%
Wells Fargo Government Money Market Fund Select Class (l)(u)		2.30	%		11,857,445		11,857,445
Total Short-Term Investments (Cost $11,857,445)							11,857,445

Total investments in securities (Cost $292,288,880)	99.32	%		348,517,781
Other assets and liabilities, net	0.68			2,377,295
Total net assets	100.00	%	$	350,895,076

† Non-income-earning security

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

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

Abbreviations:

ADR American depositary receipt

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

28 Wells Fargo C&B Large Cap Value Portfolio Portfolio of investments—May 31, 2019

Investments in Affiliates

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

	Shares, beginning of period		Shares purchased		Shares sold		Shares, end of period		Net realized gains (losses)		Net change in unrealized gains (losses)			Income from affiliated securities		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Securities Lending Cash Investments LLC *		10,765,440		41,129,061		51,894,501		0	$	2,788	$	(49	)	$	61,028	$	0
Wells Fargo Government Money Market Fund Select Class		11,494,258		159,702,909		159,339,722		11,857,445		0		0			190,959		11,857,445
									$	2,788	$	(49	)	$	251,987	$	11,857,445		3.38	%

* No longer held at the end of the period

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

Statement of assets and liabilities—May 31, 2019 Wells Fargo C&B Large Cap Value Portfolio 29

Assets
Investments in unaffiliated securities, at value (cost $280,431,435)	$	336,660,336
Investments in affiliated securities, at value (cost $11,857,445)		11,857,445
Receivable for investments sold		1,606,725
Receivable for dividends		724,058
Receivable for dividends tax reclaim		245,897
Prepaid expenses and other assets		28,795
Total assets		351,123,256
Liabilities
Advisory fee payable		203,220
Custodian and accounting fees payable		24,960
Total liabilities		228,180
Total net assets	$	350,895,076

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

30 Wells Fargo C&B Large Cap Value Portfolio Statement of operations—year ended May 31, 2019

Investment income
Dividends (net of foreign withholding taxes of $300,486)	$	7,665,759
Income from affiliated securities		200,411
Total investment income		7,866,170
Expenses
Advisory fee		2,670,020
Custody and accounting fees		22,752
Professional fees		39,017
Shareholder report expenses		1,064
Trustees’ fees and expenses		21,000
Other fees and expenses		9,129
Total expenses		2,762,982
Less: Fee waivers and/or expense reimbursements		(110,776	)
Net expenses		2,652,206
Net investment income		5,213,964
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS
Net realized gains on:
Unaffiliated securities		23,336,840
Affiliated securities		2,788
Net realized gains on investments		23,339,628
Net change in unrealized gains (losses) on:
Unaffiliated securities		(19,831,968	)
Affiliated securities		(49	)
Net change in unrealized gains (losses) on investments		(19,832,017	)
Net realized and unrealized gains (losses) on investments		3,507,611
Net increase in net assets resulting from operations	$	8,721,575

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

Statement of changes in net assets Wells Fargo C&B Large Cap Value Portfolio 31

	Year ended May 31, 2019			Year ended May 31, 2018
Operations
Net investment income	$	5,213,964		$	4,162,366
Net realized gains on investments		23,339,628			34,247,156
Net change in unrealized gains (losses) on investments		(19,832,017	)		(13,968,164	)
Net increase in net assets resulting from operations		8,721,575			24,441,358
Capital transactions
Transactions in investors’ beneficial interests
Contributions		105,704,905			67,670,834
Withdrawals		(145,734,521	)		(73,762,455	)
Net decrease in net assets resulting from capital transactions		(40,029,616	)		(6,091,621	)
Total increase (decrease) in net assets		(31,308,041	)		18,349,737
Net assets
Beginning of period		382,203,117			363,853,380
End of period	$	350,895,076		$	382,203,117

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

32 Wells Fargo C&B Large Cap Value Portfolio Financial highlights

	Year ended May 31
	2019			2018			2017			2016			2015
Total return		1.80	%		6.65	%		19.17	%		0.35	%		10.29	%
Ratios to average net assets (annualized)
Gross expenses		0.67	%		0.67	%		0.68	%		0.68	%		0.68	%
Net expenses		0.65	%		0.66	%		0.68	%		0.68	%		0.68	%
Net investment income		1.27	%		1.02	%		1.09	%		1.33	%		1.20	%
Supplemental data
Portfolio turnover rate		47	%		42	%		89	%		29	%		35	%

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

Notes to financial statements Wells Fargo C&B Large Cap Value Portfolio 33

1. ORGANIZATION

Wells Fargo Master Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As an investment company, the Trust follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statements report on the Wells Fargo C&B Large Cap Value Portfolio (the “Portfolio”) which is a diversified series of the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

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

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Portfolio may deviate from this calculation time under unusual or unexpected circumstances.

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

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

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Portfolio. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC (“Funds Management”). The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.

Securities lending

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

The Portfolio lends its securities through an unaffiliated securities lending agent. Cash collateral received in connection with its securities lending transactions is invested in Securities Lending Cash Investments, LLC (the “Securities Lending Fund”). The Securities Lending Fund is exempt from registration under Section 3(c)(7) of the 1940 Act and is managed by Funds Management and is subadvised by Wells Capital Management Incorporated (“WellsCap”), an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”). Funds Management receives an advisory fee starting at 0.05% and declining to 0.01% as the average daily net assets of the Securities Lending Fund increase. All of the fees received by Funds Management are paid to WellsCap for its services as subadviser. The Securities Lending Fund seeks to provide a positive return compared to the daily Fed Funds Open Rate by investing in

34 Wells Fargo C&B Large Cap Value Portfolio Notes to financial statements

high-quality, U.S. dollar-denominated short-term money market instruments. Securities Lending Fund investments are valued at the evaluated bid price provided by an independent pricing service. Income earned from investment in the Securities Lending Fund (net of fees and rebates), if any, is included in income from affiliated securities on the Statement of Operations.

Security transactions and income recognition

Securities transactions are recorded on a trade date basis. Realized gains or losses are recorded on the basis of identified cost.

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

Federal and other taxes

The Portfolio is treated as a separate entity for federal income tax purposes. The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains as it is treated as a partnership for federal income tax purposes. All dividends, gains and losses of the Portfolio are deemed to have been “passed through” to the interest holders in proportion to their holdings of the Portfolio regardless of whether such 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 May 31, 2019, the aggregate cost of all investments for federal income tax purposes was $296,233,310 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	70,332,959
Gross unrealized losses		(18,048,488	)
Net unrealized gains	$	52,284,471

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.

Notes to financial statements Wells Fargo C&B Large Cap Value Portfolio 35

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of May 31, 2019:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Common stocks
Communication services	$	15,951,931	$	0	$	0	$	15,951,931
Consumer discretionary		27,191,196		0		0		27,191,196
Consumer staples		8,730,740		0		0		8,730,740
Energy		16,532,621		0		0		16,532,621
Financials		101,079,176		0		0		101,079,176
Health care		45,707,294		0		0		45,707,294
Industrials		57,828,933		0		0		57,828,933
Information technology		38,014,801		0		0		38,014,801
Materials		19,152,524		0		0		19,152,524
Real estate		6,471,120		0		0		6,471,120
Short-term investments
Investment companies		11,857,445		0		0		11,857,445
Total assets	$	348,517,781	$	0	$	0	$	348,517,781

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

At May 31, 2019, the Portfolio did not have any transfers into/out of Level 3.

4. TRANSACTIONS WITH AFFILIATES AND OTHER EXPENSES

Advisory fee

The Trust has entered into an advisory contract with Funds Management, an indirect wholly owned subsidiary of Wells Fargo. The adviser is responsible for implementing investment policies and guidelines and for supervising the subadviser, who is responsible for day-to-day portfolio management of the Portfolio. Pursuant to the contract, Funds Management is entitled to receive an annual advisory fee at the following annual rate based on the Portfolio’s average daily net assets:

Average daily net assets	Advisory fee
First $500 million		0.650	%
Next $500 million		0.625
Next $1 billion		0.600
Next $2 billion		0.575
Next $4 billion		0.550
Next $4 billion		0.525
Next $4 billion		0.500
Over $16 billion		0.475

For the year ended May 31, 2019, the advisory fee was equivalent to an annual rate of 0.65% of the Portfolio’s average daily net assets.

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Portfolio. The fee for subadvisory services is borne by Funds Management. Cooke & Bieler, L.P., which is not an affiliate of Funds Management, is also a subadviser to the Portfolio and is entitled to receive a fee from Funds Management at an annual rate starting at 0.38% and declining to 0.30% as the average daily net assets of the Portfolio increase.

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

36 Wells Fargo C&B Large Cap Value Portfolio Notes to financial statements

Interfund transactions

The Portfolio may purchase or sell portfolio investment securities to certain other Wells Fargo affiliates pursuant toRule 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. Pursuant to these procedures, the Portfolio had $62,835,601 and $0 in interfund purchases and sales, respectively, during the year ended May 31, 2019.

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments, excluding U.S. government obligations (if any) and short-term securities, for the year ended May 31, 2019 were $186,350,121 and $223,751,874, respectively.

6. BANK BORROWINGS

Effective August 28, 2018, the Trust, along with Wells Fargo Variable Trust and Wells Fargo Funds Trust (excluding the money market funds), are parties to a $280,000,000 revolving credit agreement whereby the Portfolio is permitted to use bank borrowings for temporary or emergency purposes, such as to fund shareholder redemption requests. Interest under the credit agreement is charged to the Portfolio based on a borrowing rate equal to the higher of the Federal Funds rate in effect on that day plus 1.25% or the overnight LIBOR rate in effect on that day plus 1.25%. In addition, an annual commitment fee equal to 0.25% of the unused balance is allocated to each participating fund.

For the year ended May 31, 2019, there were no borrowings by the Portfolio under the agreement.

7. CONCENTRATION RISK

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

8. INDEMNIFICATION

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

9. NEW ACCOUNTING PRONOUNCEMENT

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

Report of independent registered public accounting firm Wells Fargo C&B Large Cap Value Portfolio 37

TO THE SHAREHOLDERS OF THE PORTFOLIO AND BOARD OF TRUSTEES OF WELLS FARGO MASTER TRUST:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Wells Fargo C&B Large Cap Value Portfolio (the Portfolio), one of the portfolios constituting Wells Fargo Master Trust, including the portfolio of investments, as of May 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Portfolio as of May 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of May 31, 2019, by correspondence with the custodian or by other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

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

Boston, Massachusetts

July 26, 2019

38 Wells Fargo C&B Large Cap Value Fund Other information (unaudited)

TAX INFORMATION

For corporate shareholders, pursuant to Section 854 of the Internal Revenue Code, 65.17% of ordinary income dividends qualify for the corporate dividends-received deduction for the fiscal year ended May 31, 2019.

Pursuant to Section 852 of the Internal Revenue Code, $16,679,667 was designated as a 20% rate gain distribution for the fiscal year ended May 31, 2019.

Pursuant to Section 854 of the Internal Revenue Code, $7,415,167 of income dividends paid during the fiscal year ended May 31, 2019 has been designated as qualified dividend income (QDI).

For the fiscal year ended May 31, 2019, $140,112 has been designated as interest-related dividends for nonresident alien shareholders pursuant to Section 871 of the Internal Revenue Code.

For the fiscal year ended May 31, 2019, $4,736,778 has been designated as short-term capital gain dividends for nonresident alien shareholders pursuant to Section 871 of the Internal Revenue Code.

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 calling1-800-222-8222, visiting our website at wfam.com, or visiting the SEC website at sec.gov. Information regarding how the voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website atwfam.comor by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS

The Fund and Portfolio file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Other information (unaudited) Wells Fargo C&B Large Cap Value Fund 39

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

Independent Trustees

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

40 Wells Fargo C&B Large Cap Value Fund Other information (unaudited)

Name and year of birth	Position held and length of service*	Principal occupations during past five years or longer	Current other public company or investment company directorships
David F. Larcker (Born 1950)	Trustee, since 2009	James Irvin Miller Professor of Accounting at the Graduate School of Business, Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005.	N/A
Olivia S. Mitchell (Born 1953)	Trustee, since 2006; Nominating and Governance Committee Chairman, since 2018	International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993.	N/A
Timothy J. Penny (Born 1951)	Trustee, since 1996; Chairman, since 2018	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

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

Other information (unaudited) Wells Fargo C&B Large Cap Value Fund 41

Officers

Name and year of birth	Position held and length of service	Principal occupations during past five years or longer
Andrew Owen (Born 1960)	President, since 2017	Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014.
Nancy Wiser1 (Born 1967)	Treasurer, since 2012	Executive Vice President of Wells Fargo Funds Management, LLC since 2011. Chief Operating Officer and Chief Compliance Officer at LightBox Capital Management LLC, from 2008 to 2011.
Alexander Kymn (Born 1973)	Secretary and Chief Legal Officer, since 2018	Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.
Michael H. Whitaker (Born 1967)	Chief Compliance Officer, since 2016	Senior Vice President and Chief Compliance Officer since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016.
David Berardi (Born 1975)	Assistant Treasurer, since 2009	Vice President of Wells Fargo Funds Management, LLC since 2009. Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010. Manager of Fund Reporting and Control for Evergreen Investment Management Company, LLC from 2004 to 2010.
Jeremy DePalma1 (Born 1974)	Assistant Treasurer, since 2009	Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010.

¹ Nancy Wiser acts as Treasurer of 65 funds in the Fund Complex. Jeremy DePalma acts as Treasurer of 86 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 atwfam.com.

42 Wells Fargo C&B Large Cap Value Fund Other information (unaudited)

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

Wells Fargo C&B Large Cap Value Fund and Wells Fargo C&B Large Cap Value 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”, and 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 an in-person meeting held on May 21-22, 2019 (the “Meeting”), the Funds Trust Board, 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 Wells Fargo C&B Large Cap Value Fund (the “Gateway Fund”) an investment management agreement (the “Gateway Fund Management Agreement”) with Wells Fargo Funds Management, LLC (“Funds Management”).

At the Meeting, the Master Trust Board, 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: (i) an investment advisory agreement (the “Master Portfolio Advisory Agreement”) with Funds Management for Wells Fargo C&B Large Cap Value Portfolio, a portfolio of Master Trust (the “Master Portfolio”); and (ii) an investment sub-advisory agreement (the “Sub-Advisory Agreement”) with Cooke & Bieler L.P. (the “Sub-Adviser”).

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

The Gateway Fund is a gateway feeder fund that invest substantially all of its assets in the Master Portfolio. The Master Portfolio has a substantially similar investment objective and substantially similar investment strategies to the Gateway Fund. Information provided to the Boards regarding the Gateway Fund is also applicable to the Master Portfolio, 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-Adviser and the approval of the Advisory Agreements. Prior to the Meeting, including at an in-person meeting in April 2019, 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-Adviser 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 2019. 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-Adviser 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 Funds Trust Board unanimously approved the continuation of the Gateway Fund Management 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 the Sub-Advisory Agreement, each for a one-year term. The Boards also determined that the compensation payable to Funds Management and the Sub-Adviser 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.

Other information (unaudited) Wells Fargo C&B Large Cap Value Fund 43

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-Adviser under the Advisory Agreements. This information included a description of the investment advisory services and Fund-level administrative services, 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 is a part, a summary of investments made in the business of WFAM, a summary of certain organizational and personnel changes involving Funds Management, and a description of Funds Management’s and the Sub-Adviser’s business continuity planning programs and of their approaches to data privacy and cybersecurity. The Boards received and reviewed information about Funds Management’s role as administrator of the Funds’ liquidity risk management 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 Boards evaluated the ability of Funds Management and the Sub-Adviser 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-Adviser. 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 Funds over various time periods ended December 31, 2018. 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 Gateway Fund (the “Universe”), and in comparison to the Gateway Fund’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 the performance Universe. The Funds Trust Board noted that the investment performance of the Gateway Fund (Administrator Class) was higher than the average investment performance of its Universe for the three-, five- and ten-year periods under review, but lower than the average investment performance of its Universe for the one-year period under review. The Funds Trust Board also noted that the investment performance of the Gateway Fund was in range of its benchmark index, the Russell 1000® Value Index, for the ten-year period under review, but lower than its benchmark index for the one-, three- and five-year periods under review.

The Master Trust Board took note of the investment performance of the Master Portfolio in the context of reviewing the investment performance of the Gateway Fund.

The Funds Trust Board received information concerning, and discussed factors contributing to, the underperformance of the Gateway Fund relative to the Universe and benchmark for the periods identified above. The Funds Trust 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 Gateway Fund’s investment performance. The Board also took note of the Gateway Fund’s outperformance relative to the Universe over the long-term.

The Funds Trust Board also received and considered information regarding the Gateway Fund’s net operating expense ratios, which include fees and expenses of the Master Portfolio, and their various components, including actual management fees assessed at the Gateway Fund and Master Portfolio levels, custodian and other non-management fees, and Rule 12b-1 and non-Rule 12b-1 shareholder service fees. The Funds Trust Board considered these ratios in comparison to the median ratios of funds in class-specific expense groups that were determined by Broadridge to be similar to the Gateway Fund (the “Groups”). The Funds Trust Board 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. Based on the Broadridge reports, the Funds Trust Board noted that the net operating expense ratios of the Gateway Fund were lower than or equal to the median net operating expense ratios of its expense Groups for each share class.

With respect to the Master Portfolio, the Master Trust Board reviewed 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 a corresponding expense Group.

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

44 Wells Fargo C&B Large Cap Value Fund Other information (unaudited)

Investment management, advisory and sub-advisory fee rates

The Funds Trust Board noted that Funds Management receives no advisory fees from the Gateway Fund as long as the Gateway Fund continues to invest all (or substantially all) of its assets in a single master portfolio. If the Gateway Fund were to change its investment structure so that it began investing in two or more master portfolios (a fund-of-funds), Funds Management would be entitled to receive an annual fee of 0.25% of the Gateway Fund’s average daily net assets for providing investment advisory services to the Gateway Fund, including allocating the Gateway Fund’s assets to the Master Portfolio.

The Funds Trust Board reviewed and considered the contractual fee rates that are payable by the Gateway Fund to Funds Management under the Gateway Fund Management Agreement, as well as the contractual fee rates payable by the Gateway Fund to Funds Management for class-level administrative services under a Class-Level Administration Agreement, which include, among other things, class-level transfer agency and sub-transfer agency costs (collectively, the “Management Rates”).

The Master Trust Board reviewed and considered the contractual investment advisory fee rate that is payable by the Master Portfolio to Funds Management for investment advisory services under the Master Portfolio Advisory Agreement (the “Advisory Agreement Rate”). The Master Trust Board also reviewed and considered the contractual investment sub-advisory fee rate that is payable by Funds Management to the Sub-Adviser for investment sub-advisory services (the “Sub-Advisory Agreement Rate”).

Among other information reviewed by the Funds Trust Board was a comparison of the Gateway Fund’s Management Rate, which include the advisory fees paid at the Master Portfolio level, with the average contractual investment management fee rates of funds in the expense Groups at a common asset level as well as transfer agency costs of the funds in the expense Groups. The Funds Trust Board noted that the Management Rates of the Gateway Fund were in range of the sum of these average rates for the Gateway Fund’s expense Groups for each share class except the Administrator Class. However, the Board noted that the net operating expense ratios of the Gateway Fund were lower than or equal to the median net operating expense ratios of the expense Groups for each share class, including for the Administrator Class.

The Master Trust Board reviewed a comparison of the Advisory Agreement Rate of the Master Portfolio with those of other funds in the Master Portfolio’s expense Group at a common asset level. The Master Trust Board noted that the Advisory Agreement Rate of the Master Portfolio was in range of the median rate for the Master Portfolio’s expense Group.

The Master Trust Board 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-Adviser for sub-advisory services. The Master Trust Board considered these amounts in comparison to the median amount retained by advisers to funds in a sub-advised expense universe that was determined by Broadridge to be similar to the Master Portfolio. In assessing the reasonableness of these amounts, the Master Trust Board 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-Adviser, and about Funds Management’s on-going oversight services. The Master Trust Board also considered that the sub-advisory fees paid to the Sub-Adviser had been negotiated by Funds Management on an arm’s length basis.

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-Adviser to other types of clients with investment strategies similar to those of the 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 Funds Trust Board determined that the compensation payable to Funds Management under the Gateway Fund Management Agreement was reasonable, and the Master Trust Board determined that the compensation payable to Funds Management under the Master Portfolio Advisory Agreement and to the Sub-Adviser under the Sub-Advisory Agreement was 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.

Other information (unaudited) Wells Fargo C&B Large Cap Value Fund 45

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. The Boards did not consider profitability with respect to the Sub-Adviser, as the sub-advisory fees paid to the Sub-Adviser had been negotiated by Funds Management on an arm’s-length basis.

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 the Boards 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 Master Portfolio’s advisory fee structure and the Gateway Fund’s management fee structure, which operate generally to reduce the Funds’ expense ratios as the Funds grow in size. 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 each Fund, 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-Adviser

The Boards received and considered information regarding potential “fall-out” or ancillary benefits received by Funds Management, the Sub-Adviser, and their affiliates 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-Adviser’s 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-Adviser, fees earned by Funds Management and its affiliate 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, the Sub-Adviser, and their affiliates 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 Gateway Fund Management Agreement for a one-year period. Additionally, after considering the above-described factors and based on its deliberations and its evaluation of the information described above, the Master Trust Board unanimously approved the continuation of the Master Portfolio Advisory Agreement and the Sub-Advisory Agreement, each for a one-year term. The Boards also determined that the compensation payable to Funds Management and the Sub-Adviser was reasonable.

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For more information

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

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: 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 Fund. If this report is used for promotional purposes, distribution of the report must be accompanied or preceded by a current prospectus. Before investing, please consider the investment objectives, risks, charges, and expenses of the investment. For a current prospectus and, if available, a summary prospectus, containing this information, call1-800-222-8222 or visit the Fund’s website atwfam.com. Read the prospectus carefully before you invest or send money.

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

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

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

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

403194 07-19 A280/AR280 05-19

Annual Report

May 31, 2019

Wells Fargo Diversified Equity Fund

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

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

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

Reduce clutter. Save trees.

Sign up for electronic delivery of prospectuses and shareholder reports atwellsfargo.com/advantagedelivery

Contents

Letter to shareholders	2
Performance highlights	6
Fund expenses	10
Portfolio of investments	11
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	18
Report of independent registered public accounting firm	22
Other information	23

The views expressed and any forward-looking statements are as of May 31, 2019, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Asset Management. Discussions of individual securities, or the markets generally, or any Wells Fargo Fund are not intended as individual recommendations. Future events or results may vary significantly from those expressed in any forward-looking statements. The views expressed are subject to change at any time in response to changing circumstances in the market. Wells Fargo Asset Management and the Fund disclaim any obligation to publicly update or revise any views expressed or forward-looking statements.

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

2 Wells Fargo Diversified Equity Fund Letter to shareholders (unaudited)

Andrew Owen

President

Wells Fargo Funds

Dear Shareholder:

We are pleased to offer you this annual report for the Wells Fargo Diversified Equity Fund for the 12-month period that ended May 31, 2019. Higher short-term interest rates, inflation concerns, trade tensions, and geopolitical events drove investment market volatility for much of 2018, particularly for international stocks. Early 2019 saw stocks and bonds gain with renewed business and investor confidence, but volatility returned late in the period as global growth slowed and geopolitical concerns persisted.

For the period, U.S. stocks, based on the S&P 500 Index,¹ gained 3.78% and international stocks, as measured by the MSCI ACWI ex USA Index (Net),² fell 6.26%. Based on the MSCI EM Index (Net),³ emerging market stocks fell 8.70%. Bond investors saw the Bloomberg Barclays U.S. Aggregate Bond Index⁴ add 6.40% while the Bloomberg Barclays Global Aggregate ex-USD Index⁵ rose 0.39%. The Bloomberg Barclays Municipal Bond Index⁶ added 6.40%, and the ICE BofAML U.S. High Yield Index⁷ was up 5.37%.

Results for investment indices reflected global concerns.

Global trade tensions escalated during the second quarter of 2018. A tit-for-tat tariff spat intensified between the U.S. and other governments. The U.S. Federal Reserve (Fed) raised the federal funds rate by 25 basis points (bps; 100 bps equal 1.00%) to a target range of between 1.75% and 2.00% in June. Market index results reflected the global concerns. The MSCI ACWI ex USA Index (Net) lost 2.61%, while the Bloomberg Barclays Global Aggregate ex-USD Index dropped 4.76%.

Not all news was bad. The U.S. Bureau of Economic Analysis reported second-quarter annualized gross domestic product (GDP) growth of 4.2%. Hiring improved. Unemployment declined. Consumer confidence and spending increased. The S&P 500 Index recorded a 3.43% second-quarter gain. Stocks of companies with smaller capitalizations did even better, as measured by the Russell 2000^® Index,⁸ adding 7.75%.

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

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

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

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

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

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

⁷  The ICE BofAML U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2019. ICE Data Indices, LLC. All rights reserved.

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

Letter to shareholders (unaudited) Wells Fargo Diversified Equity Fund 3

Investors appeared to shake off lingering concerns during the third quarter.

Favorable third-quarter economic indicators and corporate earnings reports encouraged domestic stock investors. U.S. trade negotiations with Mexico and Canada progressed. The Conference Board Consumer Confidence Index^®9 reached its highest level in 18 years during September 2018. The Fed raised the federal funds rate by 25 bps to a target range of between 2.00% and 2.25% in September. For the quarter that ended September 30, 2018, the S&P 500 Index added 7.71%.

Investors in international markets were not as confident. Tensions between the U.S. and China increased. The U.S. imposed $200 billion in tariffs on Chinese goods. China reacted with $60 billion in tariffs on U.S. goods. Economic growth in China caused concern. The Bank of England (BoE) raised its monetary policy rate to 0.75% in August 2018. During the quarter, the MSCI ACWI ex USA Index (Net) gained 0.71%. The MSCI EM Index (Net) declined 1.09%. In fixed-income markets, U.S. bonds were flat, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index. The Bloomberg Barclays Global Aggregate ex-USD Index fell 1.74%.

Conflicting data unsettled markets during the fourth quarter.

November’s U.S. midterm elections shifted control of the House of Representatives from Republicans to Democrats, presaging potential partisan clashes. Third-quarter U.S. GDP was announced at an annualized 3.4% rate, lower than the second-quarter rate. Brexit efforts stalled ahead of the March 2019 deadline. The People’s Bank of China cut reserve requirement ratios, accelerated infrastructure spending, and cut taxes even as the value of the yuan declined to low levels last seen in 2008.

December’s S&P 500 Index performance was the worst since 1931. Globally,fixed-income investments fared better than stocks during the last two months of the year. The Fed increased the federal funds rate by 25 bps in December 2018 to a target range of between 2.25% and 2.50%.

The market climbs a wall of worry.

Investors entered 2019 with reasons to be concerned. A partial U.S. government shutdown driven by partisan policy disputes extended into January. Investment returns appeared to reaffirm the adage that markets climb a wall of worry. The S&P 500 Index gained 8.01% for the month of January, the best monthly performance in 30 years. Returns for the MSCI ACWI ex USA Index (Net), the Bloomberg Barclays U.S. Aggregate Bond Index, and the Bloomberg Barclays Global Aggregate ex-USD Index also were positive. The Fed indicated that it would pause its program of regular rate increases during 2019 as inflation remained low.

In February 2019, concerns over slowing global growth reemerged. The Bureau of Economic Analysis announced fourth-quarter 2018 GDP grew at an annualized 2.2% rate, down from levels of the prior two quarters. In a February report, the BoE forecast the slowest growth since the financial crisis for 2019. China and the U.S. continued to wrangle over trade issues.

By the end of March 2019, the combination of dovish Fed sentiment and consistent, if not spectacular, economic and business metrics reinforced investors’ confidence. Monthly job creation data regained momentum. Corporate profits, while lower than 2018’s lofty levels, remained solid. China announced a roughly $300 billion stimulus package through tax and fee cuts intended to reinvigorate economic growth.

December’s S&P 500 Index performance was the worst since 1931.

The S&P 500 Index gained 8.01% for the month of January, the best monthly performance in 30 years.

⁹  The Conference Board Consumer Confidence Index^® measures the degree of optimism on the state of the U.S. economy that consumers are expressing through their activities of saving and spending. You cannot invest directly in an index.

4 Wells Fargo Diversified Equity Fund Letter to shareholders (unaudited)

During April 2019, several broad-based U.S. equity indices reached or approached highs as investors drew confidence from favorable economic projections, sustained low inflation, and solid employment data. First-quarter GDP showed the economy grew at an annualized rate of 3.2% on improvement in business investment and exports. Favorable sentiment extended to foreign markets as the MSCI ACWI ex USA Index (Net) gained 2.64% and the MSCI EM Index (Net) added 2.11% for the month.

May 2019 presented investors with mixed signals in the economy, in the markets, and politically. In the U.S., partisan wrangling ramped up as Democrats and Republicans set their sights on 2020 presidential politics. In the U.K., the Brexit stalemate resulted in the resignation of Prime Minister Theresa May. The European Commission downgraded the 2019 growth forecast for the block of countries to 1.2%. The U.S. increased tariffs on products from China, China responded, and then talks broke down. Ending the month, equities, as measured by the MSCI ACWI (Net),¹⁰ dropped 5.93% while bonds, often considered a less risky investment, gained 1.04%, as measured by the Bloomberg Barclays Global Aggregate ex-USD Index.

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

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

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

Sincerely,

Andrew Owen

President

Wells Fargo Funds

For further information about your Fund, contact your investment professional, visit our website atwfam.com, or call us directly at1-800-222-8222.

¹⁰  The MSCI ACWI (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. You cannot invest directly in an index.

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6 Wells Fargo Diversified Equity Fund Performance highlights (unaudited)

Investment objective

The Fund seeks long-term total capital appreciation.

Manager

Wells Fargo Funds Management, LLC

Portfolio managers

Thomas C. Biwer, CFA^®‡

Aldo Ceccarelli, CFA^®‡

Average annual total returns (%) as of May 31, 2019

		Including sales charge						Excluding sales charge						Expense ratios1 (%)
	Inception date	1 year		5 year		10 year		1 year		5 year		10 year		Gross		Net2
Class A (NVDAX)	5-2-1996		-6.29		5.41		10.73		-0.57		6.66		11.38		1.38		1.25
Class C (WFDEX)	10-1-1998		-2.34		5.87		10.55		-1.34		5.87		10.55		2.13		2.00
Administrator Class (NVDEX)	11-11-1994		–		–		–		-0.35		6.93		11.66		1.30		1.00
Diversified Equity Blended Index3	–		–		–		–		0.87		8.04		12.76		–		–
MSCI EAFE Index (Net)4	–		–		–		–		-5.75		1.27		6.23		–		–
Russell 1000® Growth Index5	–		–		–		–		5.39		12.33		15.64		–		–
Russell 1000® Value Index6	–		–		–		–		1.45		6.53		12.33		–		–
Russell 2000® Index7	–		–		–		–		-9.04		6.71		12.84		–		–
S&P 500 Index8	–		–		–		–		3.78		9.66		13.95		–		–

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

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

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

Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. The use of derivatives may reduce returns and/or increase volatility. Certain investment strategies tend to increase the total risk of an investment (relative to the broader market). The Fund is exposed to foreign investment risk and smaller-company securities risk. Consult the Fund’s prospectus for additional information on these and other risks.

Please see footnotes on page 7.

Performance highlights (unaudited) Wells Fargo Diversified Equity Fund 7

Growth of $10,000 investment as of May 31, 2019⁹

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

¹  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.53% in acquired fund fees and expenses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

²  The manager has contractually committed through September 30, 2019, to waive fees and/or reimburse expenses to the extent necessary to cap the expenses of each class after fee waivers at the amounts shown. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolios and funds invest and from any money market funds, and extraordinary expenses are excluded from the expense cap. All other acquired fund fees and expenses from the affiliated master portfolios and funds are included in the expense caps. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Without this cap, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

³  Source: Wells Fargo Funds Management, LLC. The Diversified Equity Blended Index is composed 25% of the S&P 500 Index, 25% of the Russell 1000^® Growth Index, 25% of the Russell 1000^® Value Index, 15% of the MSCI EAFE Index (Net), and 10% of the Russell 2000^® Index. You cannot invest directly in an index.

⁴  The Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE) Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. Source: MSCI. MSCI makes no express or implied representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indexes or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index.

⁵  The Russell 1000^® Growth Index measures the performance of those Russell 1000 companies with higher price/book ratios and higher forecasted growth values. You cannot invest directly in an index.

⁶  The Russell 1000^® Value Index measures the performance of those Russell 1000 companies with lower price/book ratios and lower forecasted growth values. You cannot invest directly in an index.

⁷  The Russell 2000^® Index measures the performance of the 2,000 smallest companies in the Russell 3000^® Index, which represents approximately 8% of the total market capitalization of the Russell 3000^® Index. You cannot invest directly in an index.

⁸  The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock’s weight in the index proportionate to its market value. You cannot invest directly in an index.

⁹  The chart compares the performance of Class A shares for the most recent ten years with the Diversified Equity Blended Index, the MSCI EAFE Index (Net), the Russell 1000^® Growth Index, the Russell 1000^® Value Index, the Russell 2000^® Index, and the S&P 500 Index. The chart assumes a hypothetical $10,000 investment in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

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

¹¹  Current target allocation is subject to change and may have changed since the date specified.

8 Wells Fargo Diversified Equity Fund Performance highlights (unaudited)

MANAGER’S DISCUSSION

Fund highlights

∎ The Fund underperformed its benchmark, the Diversified Equity Blended Index, for the 12-month period that ended May 31, 2019.

∎ Relative underperformance by two of the domestic underlying equity investments and one of the underlying international equity managers were the most significant detractors from performance over the period.

∎ Of the nine underlying investments, four outperformed their respective benchmarks while five lagged.

Positive economic data and increased market volatility ruled most of the period.

The 12-month period that ended May 31, 2019, saw the U.S. economy continue on a positive trajectory, producing moderate average gross domestic product growth of 3.1% with a core inflation rate of 2.0%, while unemployment reached a low of 3.6%, the lowest level since 1969.

Over the past 12 months, the financial markets experienced more volatility than the favorable economic environment might have suggested. We saw equities experience a significant decline during the fourth quarter of 2018, as concerns over a partial U.S. government shutdown, central bank tightening, trade tensions, and slowing economic growth shook investors’ confidence. The market volatility of the fourth quarter gave way to a first-quarter 2019 rebound where both equity and fixed-income markets rallied. The two markets seemed joined at the hip as the Federal Reserve’s (Fed’s) updated script signaled an easier policy path for the balance of 2019. Market participants were caught off guard by this evolution in the projected policy path, resulting in a broader opportunity set for sector rotation in equities and yield curve trades. We saw a return of volatility toward the end of the 12-month period as concerns over trade—primarily with China and Mexico—caused concerns over global growth to weigh on investors’ minds.

For the 12-month period, the broad U.S. equity market delivered a modest positive return while foreign markets declined. Among the Fund’s underlying holdings, U.S. equity funds as a group produced positive absolute returns despite declines in the small-cap segment, but they lagged their respective benchmarks on balance. International equity funds suffered negative absolute returns but narrowly outperformed their respective benchmarks on balance.

There were no changes to the Fund’s strategic composition.

The Fund’s overall asset allocation among the underlying funds remains aligned with the composition of its blended benchmark: 25% in U.S. large-cap value portfolios, 25% in U.S. large-cap blend portfolios, 25% in U.S. large-cap growth portfolios, 10% in U.S. small-cap portfolios, and 15% in international portfolios.

Fund holdings (%) as of May 31, 201910
Wells Fargo Diversified Large Cap Growth Portfolio	25.13%
Wells Fargo Index Portfolio	25.07%
Wells Fargo Large Company Value Portfolio	16.71%
Wells Fargo C&B Large Cap Value Portfolio	8.31%
Wells Fargo International Growth Portfolio	7.57%
Wells Fargo International Value Portfolio	7.37%
Wells Fargo Small Company Value Portfolio	4.88%
Wells Fargo Emerging Growth Portfolio	2.52%
Wells Fargo Small Company Growth Portfolio	2.48%

Looking ahead, we are cautiously optimistic.

Our macroeconomic view is that growth will remain positive but it will be slower over the next 12 months than it was over the preceding 12 months. However, we still hold that absent an exogenous shock—like an implemented shift in trade policy—a U.S. recession is unlikely in 2019. As always, that view could change with new data. We are concerned about growth prospects in Europe and the rest of the world but are most concerned about the U.S. trade negotiations with major trading partners. Until trade negotiations move toward détente and more certainty fosters more aggressive business planning resulting in further growth, we believe markets will remain volatile. We acknowledge that while the U.S. economy may be softening, the level of growth remains robust and 2019 should remain a target-rich environment for investors.

Please see footnotes on page 7.

Performance highlights (unaudited) Wells Fargo Diversified Equity Fund 9

Neutral target allocation

Current target allocation as of May 31, 2019¹¹

Please see footnotes on page 7.

10 Wells Fargo Diversified Equity Fund Fund expenses (unaudited)

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

The example is based on an investment of $1,000 invested at the beginning of the six-month period and held for the entire period from December 1, 2018 to May 31, 2019.

Actual expenses

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

Hypothetical example for comparison purposes

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

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

	Beginning account value 12-1-2018		Ending account value 5-31-2019		Expenses paid during the period1,2		Annualized net expense ratio1
Class A
Actual	$	1,000.00	$	1,002.58	$	6.24		1.25	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,018.70	$	6.29		1.25	%
Class C
Actual	$	1,000.00	$	998.87	$	9.96		2.00	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,014.97	$	10.04		2.00	%
Administrator Class
Actual	$	1,000.00	$	1,003.66	$	4.99		1.00	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,019.95	$	5.03		1.00	%

¹ Amounts reflect net expenses allocated from the affiliated Master Portfolios in which the Fund invests.

² Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one-half-year period).

Portfolio of investments—May 31, 2019 Wells Fargo Diversified Equity Fund 11

Security name	Value
Investment Companies: 100.06%
Affiliated Master Portfolios: 100.06%
Wells Fargo C&B Large Cap Value Portfolio	$	12,534,851
Wells Fargo Diversified Large Cap Growth Portfolio		37,898,451
Wells Fargo Emerging Growth Portfolio		3,806,629
Wells Fargo Index Portfolio		37,799,057
Wells Fargo International Growth Portfolio		11,420,978
Wells Fargo International Value Portfolio		11,118,224
Wells Fargo Large Company Value Portfolio		25,200,984
Wells Fargo Small Company Growth Portfolio		3,736,437
Wells Fargo Small Company Value Portfolio		7,359,729
Total Investment Companies (Cost $139,101,893)		150,875,340

Total investments in securities (Cost $139,101,893)	100.06	%		150,875,340
Other assets and liabilities, net	(0.06	)		(93,135	)
Total net assets	100.00	%	$	150,782,205

Transactions with the affiliated Master Portfolios were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios			Dividends allocated from affiliated Master Portfolios		Affiliated income allocated from affiliated Master Portfolios		Interest allocated from affiliated Master Portfolios		Value, end of period		% of net assets
Wells Fargo C&B Large Cap Value Portfolio		3.64	%		3.57	%	$	1,660,939		$	(1,582,965	)	$	255,346	$	6,725	$	0	$	12,534,851
Wells Fargo Diversified Large Cap Growth Portfolio		50.34			15.12			2,649,403			(1,397,741	)		522,855		12,778		0		37,898,451
Wells Fargo Emerging Growth Portfolio		0.50			0.46			758,020			(689,740	)		4,355		5,263		0		3,806,629
Wells Fargo Index Portfolio		2.60			3.16			9,621,582			(8,855,189	)		797,020		18,637		1,408		37,799,057
Wells Fargo International Growth Portfolio		27.82			5.46			(43,596	)		(179,178	)		262,971		17,298		0		11,420,978
Wells Fargo International Value Portfolio		1.37			1.04			304,005			(2,098,741	)		492,337		18,169		0		11,118,224
Wells Fargo Large Company Value Portfolio		46.00			10.11			(418,278	)		(420,315	)		698,278		9,272		1,796		25,200,984
Wells Fargo Small Company Growth Portfolio		0.22			0.21			833,763			(1,028,283	)		23,740		4,285		0		3,736,437
Wells Fargo Small Company Value Portfolio		5.44			5.77			(409,312	)		(858,468	)		121,413		5,986		0		7,359,729
							$	14,956,526		$	(17,110,620	)	$	3,178,315	$	98,413	$	3,204	$	150,875,340		100.06	%

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

12 Wells Fargo Diversified Equity Fund Statement of assets and liabilities—May 31, 2019

Assets
Investments in affiliated Master Portfolios, at value (cost $139,101,893)	$	150,875,340
Receivable for Fund shares sold		72,776
Prepaid expenses and other assets		24,468
Total assets		150,972,584
Liabilities
Payable for Fund shares redeemed		99,952
Shareholder servicing fees payable		40,652
Administration fees payable		23,266
Custodian and accounting fees payable		15,762
Management fee payable		9,384
Distribution fee payable		999
Professional fees payable		364
Total liabilities		190,379
Total net assets	$	150,782,205
NET ASSETS CONSIST OF
Paid-in capital	$	136,349,904
Total distributable earnings		14,432,301
Total net assets	$	150,782,205
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARE
Net assets – Class A	$	61,691,580
Shares outstanding – Class A1		2,888,311
Net asset value per share – Class A		$21.36
Maximum offering price per share – Class A2		$22.66
Net assets – Class C	$	1,425,479
Shares outstanding – Class C1		77,252
Net asset value per share – Class C		$18.45
Net assets – Administrator Class	$	87,665,146
Shares outstanding – Administrator Class1		4,082,800
Net asset value per share – Administrator Class		$21.47

¹  The Fund has an unlimited number of authorized shares.

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

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

Statement of operations—year ended May 31, 2019 Wells Fargo Diversified Equity Fund 13

Investment income
Dividends allocated from affiliated Master Portfolios (net of foreign withholding taxes of $119,989)	$	3,178,315
Affiliated income allocated from affiliated Master Portfolios		98,413
Interest allocated from affiliated Master Portfolios		3,204
Expenses allocated from affiliated Master Portfolios		(876,143	)
Waivers allocated from affiliated Master Portfolios		49,071
Total investment income		2,452,860
Expenses
Management fee		492,329
Administration fees
Class A		140,025
Class C		4,242
Administrator Class		124,035
Shareholder servicing fees
Class A		166,696
Class C		5,050
Administrator Class		237,831
Distribution fee
Class C		15,145
Custody and accounting fees		8,874
Professional fees		27,397
Registration fees		67,308
Shareholder report expenses		31,100
Trustees’ fees and expenses		21,586
Other fees and expenses		12,983
Total expenses		1,354,601
Less: Fee waivers and/or expense reimbursements		(354,079	)
Net expenses		1,000,522
Net investment income		1,452,338
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS
Net realized gains on securities transactions allocated from affiliated Master Portfolios		14,956,526
Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolios		(17,110,620	)
Net realized and unrealized gains (losses) on investments		(2,154,094	)
Net decrease in net assets resulting from operations	$	(701,756	)

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

14 Wells Fargo Diversified Equity Fund Statement of changes in net assets

	Year ended May 31, 2019						Year ended May 31, 20181
Operations
Net investment income				$	1,452,338					$	1,206,178
Net realized gains on investments					14,956,526						35,307,459
Net change in unrealized gains (losses) on investments					(17,110,620	)					(11,548,765	)
Net increase (decrease) in net assets resulting from operations					(701,756	)					24,964,872
Distributions to shareholders from net investment income and net realized gains
Class A					(11,767,492	)					(15,394,697	)
Class C					(402,680	)					(556,741	)
Administrator Class					(17,449,901	)					(22,994,201	)
Total distributions to shareholders					(29,620,073	)					(38,945,639	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		139,473			3,178,936			55,115			1,529,167
Class C		53,240			885,112			5,348			134,858
Administrator Class		235,991			5,636,176			235,053			6,684,802
					9,700,224						8,348,827
Reinvestment of distributions
Class A		570,354			11,702,541			592,560			15,300,796
Class C		22,549		��	399,109			23,873			547,166
Administrator Class		839,325			17,324,595			878,963			22,817,521
					29,426,245						38,665,483
Payment for shares redeemed
Class A		(456,015	)		(10,838,098	)		(351,795	)		(9,977,926	)
Class C		(93,775	)		(1,785,908	)		(21,669	)		(542,415	)
Administrator Class		(702,090	)		(16,078,144	)		(1,474,444	)		(42,759,421	)
					(28,702,150	)					(53,279,762	)
Net increase (decrease) in net assets resulting from capital share transactions					10,424,319						(6,265,452	)
Total decrease in net assets					(19,897,510	)					(20,246,219	)
Net assets
Beginning of period					170,679,715						190,925,934
End of period				$	150,782,205					$	170,679,715

¹  Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Overdistributed net investment income at May 31, 2018 was $230,980. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 7,Distributions to Shareholders, in the notes to the financial statements.

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

Financial highlights Wells Fargo Diversified Equity Fund 15

(For a share outstanding throughout each period)

	Year ended May 31
CLASS A	2019			2018			2017			2016			2015
Net asset value, beginning of period		$26.48			$29.37			$27.30			$32.37			$32.78
Net investment income		0.18	1		0.16	1		0.13			0.16			0.14
Net realized and unrealized gains (losses) on investments		(0.55	)		3.93			3.94			(1.55	)		2.79
Total from investment operations		(0.37	)		4.09			4.07			(1.39	)		2.93
Distributions to shareholders from
Net investment income		(0.13	)		(0.17	)		(0.22	)		(0.08	)		(0.15	)
Net realized gains		(4.62	)		(6.81	)		(1.78	)		(3.60	)		(3.19	)
Total distributions to shareholders		(4.75	)		(6.98	)		(2.00	)		(3.68	)		(3.34	)
Net asset value, end of period		$21.36			$26.48			$29.37			$27.30			$32.37
Total return2		(0.57	)%		14.68	%		15.59	%		(4.24	)%		9.39	%
Ratios to average net assets (annualized)
Gross expenses3		1.37	%		1.38	%		1.40	%		1.41	%		1.44	%
Net expenses3		1.25	%		1.25	%		1.25	%		1.25	%		1.25	%
Net investment income3		0.75	%		0.55	%		0.63	%		0.60	%		0.44	%
Supplemental data
Portfolio turnover rate4		91	%		70	%		90	%		39	%		38	%
Net assets, end of period (000s omitted)		$61,692			$69,766			$68,678			$67,597			$81,502

¹  Calculated based upon average shares outstanding

²  Total return calculations do not include any sales charges.

³  Ratios include net expenses allocated from the affiliated Master Portfolios which were as follows:

Year ended May 31, 2019	0.50	%
Year ended May 31, 2018	0.53	%
Year ended May 31, 2017	0.57	%
Year ended May 31, 2016	0.59	%
Year ended May 31, 2015	0.59	%

⁴  Portfolio turnover rate is calculated by multiplying each affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the respective affiliated Master Portfolio’s portfolio turnover rate.

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

16 Wells Fargo Diversified Equity Fund Financial highlights

(For a share outstanding throughout each period)

	Year ended May 31
CLASS C	2019			2018			2017			2016			2015
Net asset value, beginning of period		$23.58			$26.86			$25.12			$30.22			$30.88
Net investment loss		(0.01	)1		(0.05	)1		(0.03	)1		(0.05	)1		(0.12	)
Net realized and unrealized gains (losses) on investments		(0.50	)		3.58			3.57			(1.45	)		2.65
Total from investment operations		(0.51	)		3.53			3.54			(1.50	)		2.53
Distributions to shareholders from
Net investment income		0.00			(0.00	)2		(0.02	)		0.00			0.00
Net realized gains		(4.62	)		(6.81	)		(1.78	)		(3.60	)		(3.19	)
Total distributions to shareholders		(4.62	)		(6.81	)		(1.80	)		(3.60	)		(3.19	)
Net asset value, end of period		$18.45			$23.58			$26.86			$25.12			$30.22
Total return3		(1.34	)%		13.89	%		14.71	%		(4.96	)%		8.58	%
Ratios to average net assets (annualized)
Gross expenses4		2.11	%		2.13	%		2.15	%		2.16	%		2.19	%
Net expenses4		2.00	%		2.00	%		2.00	%		2.00	%		2.00	%
Net investment loss4		(0.04	)%		(0.21	)%		(0.13	)%		(0.17	)%		(0.31	)%
Supplemental data
Portfolio turnover rate5		91	%		70	%		90	%		39	%		38	%
Net assets, end of period (000s omitted)		$1,425			$2,245			$2,355			$2,846			$4,165

¹  Calculated based upon average shares outstanding

²  Amount is less than $0.005.

³  Total return calculations do not include any sales charges.

⁴  Ratios include net expenses allocated from the affiliated Master Portfolios which were as follows:

Year ended May 31, 2019	0.50	%
Year ended May 31, 2018	0.53	%
Year ended May 31, 2017	0.57	%
Year ended May 31, 2016	0.59	%
Year ended May 31, 2015	0.59	%

⁵  Portfolio turnover rate is calculated by multiplying each affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the respective affiliated Master Portfolio’s portfolio turnover rate.

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

Financial highlights Wells Fargo Diversified Equity Fund 17

(For a share outstanding throughout each period)

	Year ended May 31
ADMINISTRATOR CLASS	2019			2018			2017			2016			2015
Net asset value, beginning of period		$26.60			$29.46			$27.38			$32.45			$32.84
Net investment income		0.24	1		0.23	1		0.24	1		0.24			0.22	1
Net realized and unrealized gains (losses) on investments		(0.57	)		3.95			3.91			(1.55	)		2.81
Total from investment operations		(0.33	)		4.18			4.15			(1.31	)		3.03
Distributions to shareholders from
Net investment income		(0.18	)		(0.23	)		(0.29	)		(0.16	)		(0.23	)
Net realized gains		(4.62	)		(6.81	)		(1.78	)		(3.60	)		(3.19	)
Total distributions to shareholders		(4.80	)		(7.04	)		(2.07	)		(3.76	)		(3.42	)
Net asset value, end of period2		$21.47			$26.60			$29.46			$27.38			$32.45
Total return		(0.35	)%		14.99	%		15.86	%		(3.98	)%		9.65	%
Ratios to average net assets (annualized)
Gross expenses2		1.29	%		1.30	%		1.32	%		1.33	%		1.28	%
Net expenses2		1.00	%		1.00	%		1.00	%		1.00	%		1.00	%
Net investment income2		1.00	%		0.79	%		0.87	%		0.85	%		0.67	%
Supplemental data
Portfolio turnover rate3		91	%		70	%		90	%		39	%		38	%
Net assets, end of period (000s omitted)		$87,665			$98,668			$119,893			$140,963			$167,371

¹  Calculated based upon average shares outstanding

²  Ratios include net expenses allocated from the affiliated Master Portfolios which were as follows:

Year ended May 31, 2019	0.50	%
Year ended May 31, 2018	0.53	%
Year ended May 31, 2017	0.57	%
Year ended May 31, 2016	0.59	%
Year ended May 31, 2015	0.59	%

³  Portfolio turnover rate is calculated by multiplying each affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the respective affiliated Master Portfolio’s portfolio turnover rate.

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

18 Wells Fargo Diversified Equity Fund Notes to financial statements

1. ORGANIZATION

Wells Fargo Funds Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As an investment company, the Trust follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statements report on the Wells Fargo Diversified Equity Fund (the “Fund”) which is a diversified series of the Trust.

The Fund is a fund-of-funds that invests in various affiliated mutual funds employing a multi-style equity investment approach designed to reduce the price and return volatility of the Fund and to provide more consistent returns. The Fund invests in multiple diversified portfolios (collectively, the “affiliated Master Portfolios”) of Wells Fargo Master Trust, a registered open-end management investment company. Each affiliated Master Portfolio directly acquires portfolio securities, and the Fund acquires an indirect interest in those securities. The Fund accounts for its investment in the affiliated Master Portfolios as partnership investments and records on a daily basis its share of each affiliated Master Portfolio’s income, expense and realized and unrealized gains and losses. The financial statements of the affiliated Master Portfolios are presented in separate financial statements and may be obtained free of charge by contacting Investor Services or by visiting the SEC website at sec.gov. The financial statements of the affiliated Master Portfolios are filed with the SEC under Wells Fargo Master Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

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

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Fund may deviate from this calculation time under unusual or unexpected circumstances.

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

Investment transactions, income and expenses

Investments in the affiliated Master Portfolios are recorded on a trade basis. The Fund records daily its proportionate share of each affiliated Master Portfolio’s interest and dividend income, expenses, and realized and unrealized gains or losses. The Fund also accrues its own expenses.

Distributions to shareholders

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

Federal and other taxes

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

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

Notes to financial statements Wells Fargo Diversified Equity Fund 19

As of May 31, 2019, the aggregate cost of all investments for federal income tax purposes was $14,560,855 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	5,314,485
Gross unrealized losses		0
Net unrealized gains	$	5,314,485

As of May 31, 2019, the Fund had current year deferred post-October capital losses consisting of $719,989 in short-term losses which will be recognized on the first day of the following fiscal year.

Class allocations

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

3. FAIR VALUATION MEASUREMENTS

At May 31, 2019, the affiliated Master Portfolios were measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The aggregate value of the affiliated Master Portfolios was $150,875,340. The investment objective of each affiliated Master Portfolio is as follows:

Affiliated Master Portfolio	Investment objective
Wells Fargo C&B Large Cap Value Portfolio	Seeks maximum long-term total return (current income and capital appreciation), consistent with minimizing risk to principal
Wells Fargo Diversified Large Cap Growth Portfolio	Seeks long-term capital appreciation
Wells Fargo Emerging Growth Portfolio	Seeks long-term capital appreciation
Wells Fargo Index Portfolio	Seeks to replicate the total return of the S&P 500 Index, before fees and expenses
Wells Fargo International Growth Portfolio	Seeks long-term capital appreciation
Wells Fargo International Value Portfolio	Seeks long-term capital appreciation
Wells Fargo Large Company Value Portfolio	Seeks long-term capital appreciation
Wells Fargo Small Company Growth Portfolio	Seeks long-term capital appreciation
Wells Fargo Small Company Value Portfolio	Seeks long-term capital appreciation

The affiliated Master Portfolios do not have a redemption period notice, can be redeemed daily and do not have any unfunded commitments.

4. TRANSACTIONS WITH AFFILIATES

Management fee

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

Average daily net assets	Management fee
First $500 million		0.30	%
Next $500 million		0.28
Next $2 billion		0.26
Next $2 billion		0.24
Next $5 billion		0.23
Over $10 billion		0.22

20 Wells Fargo Diversified Equity Fund Notes to financial statements

For the year ended May 31, 2019, the management fee was equivalent to an annual rate of 0.30% of the Fund’s average daily net assets.

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

Administration fees

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

	Class-level administration fee
Class A, Class C		0.21	%
Administrator Class		0.13

Funds Management has contractually waived and/or reimbursed management and administration fees to the extent necessary to maintain certain net operating expense ratios for the Fund. When each class of the Fund has exceeded its expense cap, Funds Management has waived fees and/or reimbursed expenses from fund level expenses on a proportionate basis and then from class specific expenses. When only certain classes exceed their expense caps, waivers and/or reimbursements are applied against class specific expenses before fund level expenses. Net expenses from the affiliated Master Portfolios are included in the expense caps. Funds Management has committed through September 30, 2019 to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’s expenses at 1.25% for Class A shares, 2.00% for Class C shares, and 1.00% for Administrator Class shares. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees.

Distribution fee

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

In addition, Funds Distributor is entitled to receive the front-end sales charge from the purchase of Class A shares and a contingent deferred sales charge on the redemption of certain Class A shares. Funds Distributor is also entitled to receive the contingent deferred sales charges from redemptions of Class C shares. For the year ended May 31, 2019, Funds Distributor received $2,456 from the sale of Class A shares. No contingent deferred sales charges were incurred by Class A and Class C shares for the year ended May 31, 2019.

Shareholder servicing fees

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

5. INVESTMENT PORTFOLIO TRANSACTIONS

The Fund seeks to achieve its investment objective by investing substantially all of its investable assets in multiple affiliated Master Portfolios. Purchases and sales related to these investments have been calculated by aggregating the results of multiplying the Fund’s ownership percentage in the respective affiliated Master Portfolio by the corresponding affiliated Master Portfolio’s purchases and sales. Purchases and sales of investments, excluding U.S. government obligations (if any) and short-term securities, for the year ended May 31, 2019 were $208,257,256 and $169,276,746, respectively.

6. BANK BORROWINGS

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

Notes to financial statements Wells Fargo Diversified Equity Fund 21

For the year ended May 31, 2019, there were no borrowings by the Fund under the agreement.

7. DISTRIBUTIONS TO SHAREHOLDERS

The tax character of distributions paid during the years ended May 31, 2019 and May 31, 2018 were as follows:

	Year ended May 31
	2019		2018
Ordinary income	$	5,593,514	$	5,645,545
Long-term capital gain		24,026,559		33,300,094

As of May 31, 2019, the components of distributable earnings on a tax basis were as follows:

Undistributed ordinary income	Undistributed long-term gain	Unrealized gains	Post-October capital losses deferred
$794,132	$9,043,673	$5,314,485	$(719,989)

Effective for all filings after November 4, 2018, the Securities and Exchange Commission eliminated the requirement to separately state the components of distributions to shareholders under U.S. generally accepted accounting principles. The amounts of distributions to shareholders for the year ended May 31, 2018 were as follows:

	Net investment income		Net realized gains
Class A		$460,860		$14,933,837
Class C		406		556,335
Administrator Class		931,700		22,062,501

8. INDEMNIFICATION

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

9. NEW ACCOUNTING PRONOUNCEMENT

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

22 Wells Fargo Diversified Equity Fund Report of independent registered public accounting firm

TO THE SHAREHOLDERS OF THE FUND AND BOARD OF TRUSTEES OF WELLS FARGO FUNDS TRUST:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Wells Fargo Diversified Equity Fund (the Fund), one of the funds constituting Wells Fargo Funds Trust, including the portfolio of investments, as of May 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of May 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of May 31, 2019, by correspondence with the transfer agent. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

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

Boston, Massachusetts

July 26, 2019

Other information (unaudited) Wells Fargo Diversified Equity Fund 23

TAX INFORMATION

For corporate shareholders, pursuant to Section 854 of the Internal Revenue Code, 48.54% of ordinary income dividends qualify for the corporate dividends-received deduction for the fiscal year ended May 31, 2019.

Pursuant to Section 852 of the Internal Revenue Code, $24,026,559 was designated as a 20% rate gain distribution for the fiscal year ended May 31, 2019.

Pursuant to Section 854 of the Internal Revenue Code, $3,759,582 of income dividends paid during the fiscal year ended May 31, 2019 has been designated as qualified dividend income (QDI).

For the fiscal year ended May 31, 2019, $28,576 has been designated as interest-related dividends for nonresident alien shareholders pursuant to Section 871 of the Internal Revenue Code.

For the fiscal year ended May 31, 2019, $4,410,221 has been designated as short-term capital gain dividends for nonresident alien shareholders pursuant to Section 871 of the Internal Revenue Code.

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 calling1-800-222-8222, visiting our website atwfam.com, or visiting the SEC website at sec.gov. Information regarding how the proxies related to portfolio securities were voted during the most recent12-month period ended June 30 is available on the website atwfam.com or by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS

The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

24 Wells Fargo Diversified Equity Fund Other information (unaudited)

BOARD OF TRUSTEES AND OFFICERS

Each of the Trustees and Officers¹ listed in the table below acts in identical capacities for each fund in the Wells Fargo family of funds, which consists of 151 mutual funds comprising the Wells Fargo Funds Trust, Wells Fargo Variable Trust, Wells Fargo Master Trust and four closed-end funds (collectively the “Fund Complex”). This table should be read in conjunction with the Prospectus and the Statement of Additional Information². The mailing address of each Trustee and Officer is 525 Market Street, 12th Floor, San Francisco, CA 94105. Each Trustee and Officer serves an indefinite term, however, each Trustee serves such term until reaching the mandatory retirement age established by the Trustees.

Independent Trustees

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

Other information (unaudited) Wells Fargo Diversified Equity Fund 25

Name and year of birth	Position held and length of service*	Principal occupations during past five years or longer	Current other public company or investment company directorships
David F. Larcker (Born 1950)	Trustee, since 2009	James Irvin Miller Professor of Accounting at the Graduate School of Business, Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005.	N/A
Olivia S. Mitchell (Born 1953)	Trustee, since 2006; Nominating and Governance Committee Chairman, since 2018	International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993.	N/A
Timothy J. Penny (Born 1951)	Trustee, since 1996; Chairman, since 2018	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

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

26 Wells Fargo Diversified Equity Fund Other information (unaudited)

Officers

Name and year of birth	Position held and length of service	Principal occupations during past five years or longer
Andrew Owen (Born 1960)	President, since 2017	Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014.
Nancy Wiser1 (Born 1967)	Treasurer, since 2012	Executive Vice President of Wells Fargo Funds Management, LLC since 2011. Chief Operating Officer and Chief Compliance Officer at LightBox Capital Management LLC, from 2008 to 2011.
Alexander Kymn (Born 1973)	Secretary and Chief Legal Officer, since 2018	Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.
Michael H. Whitaker (Born 1967)	Chief Compliance Officer, since 2016	Senior Vice President and Chief Compliance Officer since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016.
David Berardi (Born 1975)	Assistant Treasurer, since 2009	Vice President of Wells Fargo Funds Management, LLC since 2009. Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010. Manager of Fund Reporting and Control for Evergreen Investment Management Company, LLC from 2004 to 2010.
Jeremy DePalma1 (Born 1974)	Assistant Treasurer, since 2009	Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010.

¹ Nancy Wiser acts as Treasurer of 65 funds in the Fund Complex. Jeremy DePalma acts as Treasurer of 86 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 calling1-800-222-8222 or by visiting the website atwfam.com.

Other information (unaudited) Wells Fargo Diversified Equity Fund 27

BOARD CONSIDERATION OF INVESTMENT MANAGEMENT AGREEMENT:

Wells Fargo Diversified Equity Fund

Under the Investment Company Act of 1940 (the “1940 Act”), the Board of Trustees (the “Board”) of Wells Fargo Funds Trust (the “Trust”) must determine annually whether to approve the continuation of the Trust’s investment management agreement. In this regard, at anin-person meeting held on May21-22, 2019 (the “Meeting”), the Board, all the members of which have no direct or indirect interest in the investment management agreement and are not “interested persons” of the Trust, as defined in the 1940 Act (the “Independent Trustees”), reviewed and approved for Wells Fargo Diversified Equity Fund (the “Fund”) an investment management agreement (the “Management Agreement”) with Wells Fargo Funds Management, LLC (“Funds Management”). The Fund is afund-of-funds that invests all of its assets in multiple portfolios of Wells Fargo Master Trust (the “Master Portfolios”).

At the Meeting, the Board considered the factors and reached the conclusions described below relating to the selection of Funds Management and the approval of the Management Agreement. Prior to the Meeting, including at anin-person meeting in April 2019, the Trustees conferred extensively among themselves and with representatives of Funds Management about these matters. Also, the Board has adopted a team-based approach, with each team consisting of asub-set of Trustees, to assist the full Board in the discharge of its duties in reviewing investment performance and other matters throughout the year. The Independent Trustees were assisted in their evaluation of the Management Agreement by independent legal counsel, from whom they received separate legal advice and with whom they met separately.

In providing information to the Board, Funds Management was guided by a detailed set of requests for information submitted to it by independent legal counsel on behalf of the Independent Trustees at the start of the Board’s annual contract renewal process earlier in 2019. In considering and approving the Management Agreement, the Trustees considered the information they believed relevant, including but not limited to the information discussed below. The Board considered not only the specific information presented in connection with the Meeting, but also the knowledge gained over time through interaction with Funds Management about various topics. In this regard, the Board reviewed reports of Funds Management at each of its quarterly meetings, which included, among other things, portfolio reviews and investment performance reports. In addition, the Board and the teams mentioned above confer with portfolio managers at various times throughout the year. The Board did not identify any particular information or consideration that wasall-important or controlling, and each individual Trustee may have attributed different weights to various factors.

After its deliberations, the Board unanimously approved the continuation of the Management Agreement for aone-year term and determined that the compensation payable to Funds Management was reasonable. The Board considered the approval of the Management Agreement for the Fund as part of its consideration of agreements for funds across the complex, but its approval was made on afund-by-fund basis. The following summarizes a number of important, but not necessarily all, factors considered by the Board in support of its approvals.

Nature, extent and quality of services

The Board received and considered various information regarding the nature, extent and quality of services provided to the Fund by Funds Management under the Management Agreement. This information included a description of the investment advisory services and Fund-level administrative services covered by the Management Agreement, 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 is a part, a summary of investments made in the business of WFAM, a summary of certain organizational and personnel changes involving Funds Management, and a description of Funds Management’s business continuity planning programs and of their approaches to data privacy and cybersecurity. The Board received and reviewed information about Funds Management’s role as administrator of the Fund’s liquidity risk management program. The Board also considered the qualifications, background, tenure and responsibilities of each of the portfolio managers primarily responsible for theday-to-day portfolio management of the Fund.    

The Board evaluated the ability of Funds Management to attract and retain qualified investment professionals, including research, advisory and supervisory personnel. The Board further considered the compliance programs and compliance records of Funds Management. In addition, the Board took into account the full range of services provided to the Fund by Funds Management and its affiliates.

Fund investment performance and expenses

The Board considered the investment performance results for the Fund over various time periods ended December 31, 2018. The Board 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 Fund (the “Universe”), and in comparison to the Fund’s

28 Wells Fargo Diversified Equity Fund Other information (unaudited)

benchmark index and to other comparative data. Broadridge is an independent provider of investment company data. The Board received a description of the methodology used by Broadridge to select the mutual funds in the performance Universe. The Board noted that the investment performance of the Fund (Administrator Class) was higher than or in range of the average investment performance of its Universe for theone-, three- and five-year periods under review, but lower than the average investment performance of its Universe for theten-year period under review. The Board also noted that the investment performance of the Fund was lower than its benchmark index, the Diversified Equity Blended Index, which is a proprietary index used by the Board to help it assess the Fund’s relative performance, for all periods under review.

The Board also received and considered information regarding the Fund’s net operating expense ratios, which include fees and expenses of the Master Portfolios, and their various components, including actual management fees assessed at the Fund and Master Portfolio levels, custodian and othernon-management fees, and Rule12b-1 andnon-Rule12b-1 shareholder service fees. The Board considered these ratios in comparison to the median ratios of funds in class-specific expense groups that were determined by Broadridge to be similar to the Fund (the “Groups”). The Board 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 fromyear-to-year. Based on the Broadridge reports, the Board noted that the net operating expense ratios of the Fund were lower than the median net operating expense ratios of the expense Groups for all share classes.

The Board took into account the Fund’s investment performance and expense information provided to it among the factors considered in deciding tore-approve the Management Agreement.

Investment management fee rates

The Board noted that the Fund is afund-of-funds that invests in multiple Master Portfolios and therefore Funds Management is entitled to receive an annual fee of 0.25% of the Fund’s average daily net assets for providing investment advisory services to the Fund, including allocating the Fund’s assets among the various Master Portfolios. The Board reviewed and considered the contractual fee rates that are payable by the Fund to Funds Management under the Management Agreement, as well as the contractual fee rates payable by the Fund to Funds Management for class-level administrative services under a Class-Level Administration Agreement, which include, among other things, class-level transfer agency andsub-transfer agency costs (collectively, the “Management Rates”).

Among other information reviewed by the Board was a comparison of the Fund’s Management Rates with the average contractual investment management fee rates of funds in the expense Groups at a common asset level as well as transfer agency costs of the funds in the expense Groups. The Board noted that the Management Rates of the Fund were lower than the sum of these average rates for the Fund’s expense Groups for all share classes.

The Board also received and considered information about the nature and extent of services offered and fee rates charged by Funds Management to other types of clients with investment strategies similar to those of the Fund. In this regard, the Board 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-partysub-advised fund clients andnon-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 determined that the compensation payable to Funds Management under the Management Agreement was reasonable.

Profitability

The Board 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.

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 Board noted that the levels of profitability reported on afund-by-fund basis varied widely, depending on factors such as the size, type and age of fund.

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

Other information (unaudited) Wells Fargo Diversified Equity Fund 29

Economies of scale

The Board received and considered information about the potential for Funds Management to experience economies of scale in the provision of management services to the Fund, 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 Board noted the existence of breakpoints in the Fund’s management fee structure, which operate generally to reduce the Fund’s expense ratios as the Fund grows in size. The Board 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 Board concluded that Funds Management’s arrangements with respect to the Fund, including contractual breakpoints, constituted a reasonable approach to sharing potential economies of scale with the Fund and its shareholders.

Other benefits to Funds Management

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

The Board also reviewed information about fees earned by Funds Management and its affiliate 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 its consideration of the factors and information it deemed relevant, including those described here, the Board did not find that any ancillary benefits received by Funds Management and its affiliates 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 Board unanimously approved the continuation of the Management Agreement for aone-year term and determined that the compensation payable to Funds Management was reasonable.

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For more information

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

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: 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 Fund. If this report is used for promotional purposes, distribution of the report must be accompanied or preceded by a current prospectus. Before investing, please consider the investment objectives, risks, charges, and expenses of the investment. For a current prospectus and, if available, a summary prospectus, containing this information, call1-800-222-8222 or visit the Fund’s website atwfam.com. Read the prospectus carefully before you invest or send money.

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

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

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

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

403195 07-19 A281/AR281 05-19

Annual Report

May 31, 2019

Wells Fargo Emerging Growth Fund

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

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

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

Reduce clutter. Save trees.

Sign up for electronic delivery of prospectuses and shareholder reports atwellsfargo.com/advantagedelivery

Contents

Letter to shareholders	2
Performance highlights	6
Fund expenses	10
Wells Fargo Emerging Growth Fund
Portfolio of investments	11
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	20
Report of independent registered public accounting firm	24
Wells Fargo Emerging Growth Portfolio
Portfolio of investments	25
Financial statements
Statement of assets and liabilities	30
Statement of operations	31
Statement of changes in net assets	32
Financial highlights	33
Notes to financial statements	34
Report of independent registered public accounting firm	38
Other information	39

The views expressed and any forward-looking statements are as of May 31, 2019, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Asset Management. Discussions of individual securities, or the markets generally, or any Wells Fargo Fund are not intended as individual recommendations. Future events or results may vary significantly from those expressed in any forward-looking statements. The views expressed are subject to change at any time in response to changing circumstances in the market. Wells Fargo Asset Management and the Fund disclaim any obligation to publicly update or revise any views expressed or forward-looking statements.

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

2 Wells Fargo Emerging Growth Fund Letter to shareholders (unaudited)

Andrew Owen

President

Wells Fargo Funds

Dear Shareholder:

We are pleased to offer you this annual report for the Wells Fargo Emerging Growth Fund for the 12-month period that ended May 31, 2019. Higher short-term interest rates, inflation concerns, trade tensions, and geopolitical events drove investment market volatility for much of 2018, particularly for international stocks. Early 2019 saw stocks and bonds gain with renewed business and investor confidence, but volatility returned late in the period as global growth slowed and geopolitical concerns persisted.

For the period, U.S. stocks, based on the S&P 500 Index,¹ gained 3.78% and international stocks, as measured by the MSCI ACWI ex USA Index (Net),² fell 6.26%. Based on the MSCI EM Index (Net),³ emerging market stocks fell 8.70%. Bond investors saw the Bloomberg Barclays U.S. Aggregate Bond Index⁴ add 6.40% while the Bloomberg Barclays Global Aggregate ex-USD Index⁵ rose 0.39%. The Bloomberg Barclays Municipal Bond Index⁶ added 6.40%, and the ICE BofAML U.S. High Yield Index⁷ was up 5.37%.

Results for investment indices reflected global concerns.

Global trade tensions escalated during the second quarter of 2018. A tit-for-tat tariff spat intensified between the U.S. and other governments. The U.S. Federal Reserve (Fed) raised the federal funds rate by 25 basis points (bps; 100 bps equal 1.00%) to a target range of between 1.75% and 2.00% in June. Market index results reflected the global concerns. The MSCI ACWI ex USA Index (Net) lost 2.61%, while the Bloomberg Barclays Global Aggregate ex-USD Index dropped 4.76%.

Not all news was bad. The U.S. Bureau of Economic Analysis reported second-quarter annualized gross domestic product (GDP) growth of 4.2%. Hiring improved. Unemployment declined. Consumer confidence and spending increased. The S&P 500 Index recorded a 3.43% second-quarter gain. Stocks of companies with smaller capitalizations did even better, as measured by the Russell 2000^® Index,⁸ adding 7.75%.

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

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

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

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

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

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

⁷  The ICE BofAML U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2019. ICE Data Indices, LLC. All rights reserved.

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

Letter to shareholders (unaudited) Wells Fargo Emerging Growth Fund 3

Investors appeared to shake off lingering concerns during the third quarter.

Favorable third-quarter economic indicators and corporate earnings reports encouraged domestic stock investors. U.S. trade negotiations with Mexico and Canada progressed. The Conference Board Consumer Confidence Index^®9 reached its highest level in 18 years during September 2018. The Fed raised the federal funds rate by 25 bps to a target range of between 2.00% and 2.25% in September. For the quarter that ended September 30, 2018, the S&P 500 Index added 7.71%.

Investors in international markets were not as confident. Tensions between the U.S. and China increased. The U.S. imposed $200 billion in tariffs on Chinese goods. China reacted with $60 billion in tariffs on U.S. goods. Economic growth in China caused concern. The Bank of England (BoE) raised its monetary policy rate to 0.75% in August 2018. During the quarter, the MSCI ACWI ex USA Index (Net) gained 0.71%. The MSCI EM Index (Net) declined 1.09%. In fixed-income markets, U.S. bonds were flat, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index. The Bloomberg Barclays Global Aggregate ex-USD Index fell 1.74%.

Conflicting data unsettled markets during the fourth quarter.

November’s U.S. midterm elections shifted control of the House of Representatives from Republicans to Democrats, presaging potential partisan clashes. Third-quarter U.S. GDP was announced at an annualized 3.4% rate, lower than the second-quarter rate. Brexit efforts stalled ahead of the March 2019 deadline. The People’s Bank of China cut reserve requirement ratios, accelerated infrastructure spending, and cut taxes even as the value of the yuan declined to low levels last seen in 2008.

December’s S&P 500 Index performance was the worst since 1931. Globally,fixed-income investments fared better than stocks during the last two months of the year. The Fed increased the federal funds rate by 25 bps in December 2018 to a target range of between 2.25% and 2.50%.

The market climbs a wall of worry.

Investors entered 2019 with reasons to be concerned. A partial U.S. government shutdown driven by partisan policy disputes extended into January. Investment returns appeared to reaffirm the adage that markets climb a wall of worry. The S&P 500 Index gained 8.01% for the month of January, the best monthly performance in 30 years. Returns for the MSCI ACWI ex USA Index (Net), the Bloomberg Barclays U.S. Aggregate Bond Index, and the Bloomberg Barclays Global Aggregate ex-USD Index also were positive. The Fed indicated that it would pause its program of regular rate increases during 2019 as inflation remained low.

In February 2019, concerns over slowing global growth reemerged. The Bureau of Economic Analysis announced fourth-quarter 2018 GDP grew at an annualized 2.2% rate, down from levels of the prior two quarters. In a February report, the BoE forecast the slowest growth since the financial crisis for 2019. China and the U.S. continued to wrangle over trade issues.

By the end of March 2019, the combination of dovish Fed sentiment and consistent, if not spectacular, economic and business metrics reinforced investors’ confidence. Monthly job creation data regained momentum. Corporate profits, while lower than 2018’s lofty levels, remained solid. China announced a roughly $300 billion stimulus package through tax and fee cuts intended to reinvigorate economic growth.

December’s S&P 500 Index performance was the worst since 1931.

The S&P 500 Index gained 8.01% for the month of January, the best monthly performance in 30 years.

⁹  The Conference Board Consumer Confidence Index^® measures the degree of optimism on the state of the U.S. economy that consumers are expressing through their activities of saving and spending. You cannot invest directly in an index.

4 Wells Fargo Emerging Growth Fund Letter to shareholders (unaudited)

During April 2019, several broad-based U.S. equity indices reached or approached highs as investors drew confidence from favorable economic projections, sustained low inflation, and solid employment data. First-quarter GDP showed the economy grew at an annualized rate of 3.2% on improvement in business investment and exports. Favorable sentiment extended to foreign markets as the MSCI ACWI ex USA Index (Net) gained 2.64% and the MSCI EM Index (Net) added 2.11% for the month.

May 2019 presented investors with mixed signals in the economy, in the markets, and politically. In the U.S., partisan wrangling ramped up as Democrats and Republicans set their sights on 2020 presidential politics. In the U.K., the Brexit stalemate resulted in the resignation of Prime Minister Theresa May. The European Commission downgraded the 2019 growth forecast for the block of countries to 1.2%. The U.S. increased tariffs on products from China, China responded, and then talks broke down. Ending the month, equities, as measured by the MSCI ACWI (Net),¹⁰ dropped 5.93% while bonds, often considered a less risky investment, gained 1.04%, as measured by the Bloomberg Barclays Global Aggregate ex-USD Index.

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

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

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

Sincerely,

Andrew Owen

President

Wells Fargo Funds

For further information about your Fund, contact your investment professional, visit our website atwfam.com, or call us directly at1-800-222-8222.

¹⁰  The MSCI ACWI (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. You cannot invest directly in an index.

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6 Wells Fargo Emerging Growth Fund¹ Performance highlights (unaudited)

Investment objective

The Fund seeks long-term capital appreciation.

Manager

Wells Fargo Funds Management, LLC

Subadviser for the affiliated master portfolio

Wells Capital Management Incorporated

Portfolio managers

Joseph M. Eberhardy, CFA^®‡, CPA

Thomas C. Ognar, CFA^®‡

Average annual total returns (%) as of May 31, 2019

		Including sales charge						Excluding sales charge						Expense ratios2 (%)
	Inception date	1 year		5 year		10 year		1 year		5 year		10 year		Gross		Net3
Class A (WEMAX)	3-31-2008		-6.54		9.96		14.74		-0.84		11.27		15.42		1.36		1.28
Class C (WEMCX)	3-31-2008		-2.55		10.43		14.56		-1.55		10.43		14.56		2.11		2.03
Class R6 (WEGRX)4	7-31-2018		–		–		–		-0.22		11.81		15.98		0.93		0.85
Administrator Class (WFGDX)	1-31-2007		–		–		–		-0.75		11.42		15.60		1.28		1.20
Institutional Class (WEMIX)	3-31-2008		–		–		–		-0.42		11.76		15.95		1.03		0.90
Russell 2000® Growth Index5	–		–		–		–		-6.88		8.32		13.93		–		–

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

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

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

Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. Smaller-company stocks tend to be more volatile and less liquid than those of larger companies. Certain investment strategies tend to increase the total risk of an investment (relative to the broader market). The Fund is exposed to foreign investment risk. Consult the Fund’s prospectus for additional information on these and other risks.

Please see footnotes on page 7.

Performance highlights (unaudited) Wells Fargo Emerging Growth Fund 7

Growth of $10,000 investment as of May 31, 2019⁶

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

¹  The Fund is a gateway feeder fund that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with a substantially identical investment objective and substantially similar investment strategies. References to the investment activities of the Fund are intended to refer to the investment activities of the affiliated master portfolio in which it invests.

²  Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

³  The manager has contractually committed through September 30, 2019, to waive fees and/or reimburse expenses to the extent necessary to cap the expenses of each class after fee waivers at the amounts shown. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolio invests, and extraordinary expenses are excluded from the expense cap. Net expenses from the affiliated master portfolio are included in the expense caps. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Without this cap, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

⁴  Historical performance shown for Class R6 shares prior to their inception reflects the performance of Institutional Class shares, and includes the higher expenses applicable to Institutional Class shares. If these expenses had not been included, returns for Class R6 shares would be higher.

⁵  The Russell 2000^® Growth Index measures the performance of those Russell 2000 companies with higher price/book ratios and higher forecasted growth values. You cannot invest directly in an index.

⁶  The chart compares the performance of Class A shares for the most recent ten years with the Russell 2000^® Growth Index. The chart assumes a hypothetical $10,000 investment in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁷  The ten largest holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the securities of the affiliated master portfolio allocable to the Fund divided by the total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁸  Amounts represent the sector distribution of the affiliated master portfolio which are calculated based on the total long-term investments of the affiliated master portfolio. These amounts are subject to change and may have changed since the date specified.

* The security was no longer held at the end of the period.

8 Wells Fargo Emerging Growth Fund Performance highlights (unaudited)

MANAGER’S DISCUSSION

Fund highlights

∎ The Fund outperformed the Russell 2000^® Growth Index for the 12-month period that ended May 31, 2019.

∎ Relative performance contributions came from the information technology (IT), consumer discretionary, and financials sectors.

∎ The health care and industrials sectors served as detractors during the period.

Equity markets demonstrated strong consistency and low volatility during the period.

U.S. stocks rallied earlier in the 12-month period on the backdrop of solid economic conditions but have been plagued by a series of negative events, which include tariff and trade tensions with China, fears of weaker economic growth, and a flattening yield curve, which has stifled investor sentiment in recent months. As the ongoing trade dispute between the U.S. and China lingers and with the durability of economic conditions in question, a more dovish Federal Reserve could mollify investor trepidation regarding future interest rate hikes. While a cautious lens is warranted, most economic indicators are not signaling a recession. Rather, the economy stands on solid footing with unemployment still meandering on a 50-year low. This backdrop, along with accommodative fiscal and monetary policy, steady wage inflation, and lower energy prices is fostering a healthy landscape for the consumer.

Notable strength from the IT sector, particularly within the software-as-a-service area, aided relative performance as companies such as Q2 Holdings, Incorporated, and Five9, Incorporated, have delivered accelerating billings growth and other strong growth metrics while generating market share penetration and margin expansion within their respective markets. Strength within the consumer discretionary sector also boosted the portfolio’s relative returns as companies like Planet Fitness, Incorporated, and Ollie’s Bargain Outlet Holdings, Incorporated, captured strong sales trends and benefited from their well-executed store-expansion strategies. We believe Ollie’s represents a unique growth opportunity as a retailer of closeout inventory offering a wide array of merchandise at prices well below department stores and mass-market retailers. Elsewhere within consumer discretionary, Chegg, Incorporated, rallied sharply after its student-learning platform generated strong subscriber growth. Going forward, we believe the company has the propensity to expand its presence outside the U.S. college student market into areas overseas.

Ten largest holdings (%) as of May 31, 20197
InterXion Holding NV	3.08
Q2 Holdings Incorporated	2.89
ASGN Incorporated	2.75
MasTec Incorporated	2.68
Kinsale Capital Group Incorporated	2.61
Rapid7 Incorporated	2.59
Envestnet Incorporated	2.55
Novanta Incorporated	2.35
Codexis Incorporated	2.21
Mercury Computer Systems Incorporated	2.19

Holdings within the industrials sector hindered relative performance. Consumer-directed benefits market provider WageWorks, Incorporated, delayed a regulatory filing after concluding material weakness in its internal financial reporting controls. We believe the issue is tied to a previous acquisition from 2016. Due to the remaining uncertainty, we exited our position based on the potential risk that remains given that there are a number of unknowns at this point with limited visibility to the nature and scope of the underlying issues. Other weakness in the portfolio came mainly from stocks within the health care sector. Biotech holding Ligand Pharmaceuticals Incorporated* was pressured by negative third-party reports calling its pipeline into question. Additionally, the company announced the sale

of its largest royalty-generating asset, exacerbating negative sentiment. Other weakness came from medical technology holding AxoGen, Incorporated, which offers nerve-repair solutions. During the period, the company issued disappointing guidance citing higher costs associated with an increase in sales representatives. The company also delayed a key study, which was expected to conclude in 2018, until 2020 or later.

IT remains the largest sector weight in the portfolio. We remain diversified within the sector with exposure to electronic equipment instruments, software, semiconductors, and data centers. We continue to witness strong revenue, cash flow, and earnings growth from our technology companies, particularly within the software industry. Next-generation cloud platforms continue to garner a disproportionate share of new business at the expense of legacy solutions. Software holdings such as Five9; Q2 Holdings; and Envestnet, Incorporated, have delivered strong growth metrics while generating market share

Please see footnotes on page 7.

Performance highlights (unaudited) Wells Fargo Emerging Growth Fund 9

penetration and margin expansion within their respective industry verticals. The economy has witnessed favorable unemployment trends and, with strength from the consumer over the past few years, we remain underweight the consumer discretionary sector mainly due to changing spending patterns and the e-commerce effect on many brick and mortar retailers. However, we do find opportunities in companies whose business models are resistant to internet and e-commerce competition in industries like discount fitness centers, off-price retailers, as well as select companies with unique concepts in the fast-casual restaurant space.

Sector distribution as of May 31, 2019⁸

Growth stocks are the core of our investment focus.

The market volatility in late 2018 enabled us to opportunistically add to positions in stocks with strong secular drivers whose absolute and relative valuations were trading at attractive levels. We continue to take advantage of the widening and narrowing of the valuation gap of our stocks and seek out additional opportunities to upgrade the portfolio. We believe the economic outlook for equites remains attractive given the strong labor market, low interest rate environment, and reasonable valuations. We remain comfortable with our positioning and are positive on market segments that have been productive for the portfolio: software as a service (SaaS), cloud services, online retail, digital

payments, and the internet of things, as well as our most recent addition to the acronym, innovation (SCODIi). We continue to witness a scarcity of growth stock opportunities within the investing universe, which could favor the companies that we currently own and those that we are seeking to add. Going forward, given the favorable economic backdrop currently in the market, the faster-growing stocks emphasized in our investment process should augur well for the future of the portfolio.

Please see footnotes on page 7.

10 Wells Fargo Emerging Growth Fund Fund expenses (unaudited)

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

The example is based on an investment of $1,000 invested at the beginning of the six-month period and held for the entire period from December 1, 2018 to May 31, 2019.

Actual expenses

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

Hypothetical example for comparison purposes

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

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

	Beginning account value 12-1-2018		Ending account value 5-31-2019		Expenses paid during the period1,2		Annualized net expense ratio1
Class A
Actual	$	1,000.00	$	1,003.94	$	6.39		1.28	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,018.55	$	6.44		1.28	%
Class C
Actual	$	1,000.00	$	1,000.26	$	10.11		2.03	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,014.82	$	10.18		2.03	%
Class R6
Actual	$	1,000.00	$	1,007.73	$	4.26		0.85	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,020.69	$	4.28		0.85	%
Administrator Class
Actual	$	1,000.00	$	1,003.95	$	5.99		1.20	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,018.95	$	6.04		1.20	%
Institutional Class
Actual	$	1,000.00	$	1,005.69	$	4.50		0.90	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,020.44	$	4.53		0.90	%

¹ Amounts reflect net expenses allocated from the affiliated Master Portfolio in which the Fund invests.

²  Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one-half-year period).

Portfolio of investments—May 31, 2019 Wells Fargo Emerging Growth Fund 11

Security name	Value
Investment Companies: 99.95%
Affiliated Master Portfolio: 99.95%
Wells Fargo Emerging Growth Portfolio	$	748,894,497
Total Investment Companies (Cost $531,396,231)		748,894,497

Total investments in securities (Cost $531,396,231)	99.95	%		748,894,497
Other assets and liabilities, net	0.05			409,363
Total net assets	100.00	%	$	749,303,860

Transactions with the affiliated Master Portfolio were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolio		Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio			Dividends allocated from affiliated Master Portfolio		Securities lending income allocated from affiliated Master Portfolio		Affiliated income allocated from affiliated Master Portfolio		Value, end of period		% of net assets
Wells Fargo Emerging Growth Portfolio		93	%		91	%	$	97,676,529	$	(97,747,120	)	$	863,685	$	708,730	$	318,659	$	748,894,497		99.95	%

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

12 Wells Fargo Emerging Growth Fund Statement of assets and liabilities—May 31, 2019

Assets
Investments in affiliated Master Portfolio, at value (cost $531,396,231)	$	748,894,497
Receivable for Fund shares sold		948,682
Receivable from manager		41,299
Prepaid expenses and other assets		55,399
Total assets		749,939,877
Liabilities
Payable for Fund shares redeemed		369,605
Administration fees payable		101,707
Custodian and accounting fees payable		52,967
Shareholder report expenses payable		52,952
Shareholder servicing fees payable		39,956
Distribution fee payable		1,214
Accrued expenses and other liabilities		17,616
Total liabilities		636,017
Total net assets	$	749,303,860
NET ASSETS CONSIST OF
Paid-in capital	$	519,498,936
Total distributable earnings		229,804,924
Total net assets	$	749,303,860
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARE
Net assets – Class A	$	145,898,070
Shares outstanding – Class A1		10,798,968
Net asset value per share – Class A		$13.51
Maximum offering price per share – Class A2		$14.33
Net assets – Class C	$	1,760,837
Shares outstanding – Class C1		152,030
Net asset value per share – Class C		$11.58
Net assets – Class R6	$	22,408
Shares outstanding – Class R61		1,508
Net asset value per share – Class R6		$14.86
Net assets – Administrator Class	$	23,549,445
Shares outstanding – Administrator Class1		1,679,646
Net asset value per share – Administrator Class		$14.02
Net assets – Institutional Class	$	578,073,100
Shares outstanding – Institutional Class1		38,985,343
Net asset value per share – Institutional Class		$14.83

¹  The Fund has an unlimited number of authorized shares.

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

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

Statement of operations—year ended May 31, 2019 Wells Fargo Emerging Growth Fund 13

Investment income
Dividends allocated from affiliated Master Portfolio	$	863,685
Securities lending income allocated from affiliated Master Portfolio		708,730
Affiliated income allocated from affiliated Master Portfolio		318,659
Expenses allocated from affiliated Master Portfolio		(6,472,704	)
Total investment income		(4,581,630	)
Expenses
Management fee		401,662
Administration fees
Class A		320,362
Class C		7,467
Class R6		31	1
Administrator Class		55,179
Institutional Class		786,066
Shareholder servicing fees
Class A		381,384
Class C		8,889
Administrator Class		105,490
Distribution fee
Class C		26,667
Custody and accounting fees		28,182
Professional fees		27,524
Registration fees		72,522
Shareholder report expenses		103,015
Trustees’ fees and expenses		20,930
Other fees and expenses		20,439
Total expenses		2,365,809
Less: Fee waivers and/or expense reimbursements		(844,005	)
Net expenses		1,521,804
Net investment loss		(6,103,434	)
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS
Net realized gains on securities transactions allocated from affiliated Master Portfolio		97,676,529
Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio		(97,747,120	)
Net realized and unrealized gains (losses) on investments		(70,591	)
Net decrease in net assets resulting from operations	$	(6,174,025	)

¹  For the period from July 31, 2018 (commencement of class operations) to May 31, 2019

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

14 Wells Fargo Emerging Growth Fund Statement of changes in net assets

	Year ended May 31, 2019						Year ended May 31, 20181
Operations
Net investment loss				$	(6,103,434	)				$	(5,006,023	)
Net realized gains on investments					97,676,529						111,281,986
Net change in unrealized gains (losses) on investments					(97,747,120	)					111,090,852
Net increase (decrease) in net assets resulting from operations					(6,174,025	)					217,366,815
Distributions to shareholders from net investment income and net realized gains
Class A					(28,101,143	)					(16,172,743	)
Class C					(901,234	)					(446,164	)
Class R6					(42,849	)2					N/A
Administrator Class					(8,840,125	)					(5,883,416	)
Institutional Class					(102,793,991	)					(62,422,402	)
Total distributions to shareholders					(140,679,342	)					(84,924,725	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		862,093			13,135,712			304,935			4,820,337
Class C		77,032			1,001,064			26,206			364,560
Class R6		14,756	2		297,716	2		N/A			N/A
Administrator Class		429,821			7,044,106			418,055			6,747,014
Institutional Class		9,474,160			157,333,266			5,505,435			91,822,139
					178,811,864						103,754,050
Reinvestment of distributions
Class A		2,156,211			27,319,193			1,097,179			15,689,654
Class C		82,682			901,234			34,857			446,164
Class R6		2,781	2		38,603	2		N/A			N/A
Administrator Class		670,663			8,812,510			398,600			5,863,399
Institutional Class		7,302,150			101,353,848			3,940,125			60,402,110
					138,425,388						82,401,327
Payment for shares redeemed
Class A		(1,230,646	)		(18,738,814	)		(1,293,442	)		(20,049,449	)
Class C		(283,432	)		(3,327,781	)		(35,973	)		(509,745	)
Class R6		(16,029	)2		(224,477	)2		N/A			N/A
Administrator Class		(2,404,440	)		(34,455,016	)		(1,240,005	)		(19,665,862	)
Institutional Class		(10,946,323	)		(181,113,056	)		(10,895,635	)		(180,356,163	)
					(237,859,144	)					(220,581,219	)
Net increase (decrease) in net assets resulting from capital share transactions					79,378,108						(34,425,842	)
Total increase (decrease) in net assets					(67,475,259	)					98,016,248
Net assets
Beginning of period					816,779,119						718,762,871
End of period				$	749,303,860					$	816,779,119

¹  Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Accumulated net investment loss at May 31, 2018 was $1,472,576. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 7,Distributions to Shareholders, in the notes to the financial statements.

²  For the period from July 31, 2018 (commencement of class operations) to May 31, 2019

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

Financial highlights Wells Fargo Emerging Growth Fund 15

(For a share outstanding throughout each period)

	Year ended May 31
CLASS A	2019			2018			2017			2016			2015
Net asset value, beginning of period		$17.04			$14.57			$12.55			$16.70			$14.61
Net investment loss		(0.16	)1		(0.15	)		(0.10	)1		(0.13	)1		(0.22	)
Net realized and unrealized gains (losses) on investments		(0.19	)		4.57			2.96			(2.28	)		3.51
Total from investment operations		(0.35	)		4.42			2.86			(2.41	)		3.29
Distributions to shareholders from
Net realized gains		(3.18	)		(1.95	)		(0.84	)		(1.74	)		(1.20	)
Net asset value, end of period		$13.51			$17.04			$14.57			$12.55			$16.70
Total return2		(0.84	)%		32.91	%		23.39	%		(14.94	)%		23.32	%
Ratios to average net assets (annualized)
Gross expenses3		1.35	%		1.36	%		1.36	%		1.35	%		1.39	%
Net expenses3		1.29	%		1.35	%		1.35	%		1.35	%		1.37	%
Net investment loss3		(1.06	)%		(1.01	)%		(0.72	)%		(0.92	)%		(1.20	)%
Supplemental data
Portfolio turnover rate4		71	%		47	%		115	%		68	%		56	%
Net assets, end of period (000s omitted)		$145,898			$153,526			$129,724			$127,154			$131,638

¹  Calculated based upon average shares outstanding

²  Total return calculations do not include any sales charges.

³  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.81	%
Year ended May 31, 2018	0.81	%
Year ended May 31, 2017	0.81	%
Year ended May 31, 2016	0.80	%
Year ended May 31, 2015	0.80	%

⁴  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

16 Wells Fargo Emerging Growth Fund Financial highlights

(For a share outstanding throughout each period)

	Year ended May 31
CLASS C	2019			2018			2017			2016			2015
Net asset value, beginning of period		$15.19			$13.28			$11.58			$15.67			$13.88
Net investment loss		(0.25	)1		(0.25	)1		(0.19	)1		(0.21	)		(0.33	)
Net realized and unrealized gains (losses) on investments		(0.18	)		4.11			2.73			(2.14	)		3.32
Total from investment operations		(0.43	)		3.86			2.54			(2.35	)		2.99
Distributions to shareholders from
Net realized gains		(3.18	)		(1.95	)		(0.84	)		(1.74	)		(1.20	)
Net asset value, end of period		$11.58			$15.19			$13.28			$11.58			$15.67
Total return2		(1.55	)%		31.82	%		22.56	%		(15.59	)%		22.35	%
Ratios to average net assets (annualized)
Gross expenses3		2.10	%		2.11	%		2.11	%		2.10	%		2.14	%
Net expenses3		2.04	%		2.10	%		2.10	%		2.10	%		2.12	%
Net investment loss3		(1.78	)%		(1.76	)%		(1.46	)%		(1.70	)%		(1.95	)%
Supplemental data
Portfolio turnover rate4		71	%		47	%		115	%		68	%		56	%
Net assets, end of period (000s omitted)		$1,761			$4,190			$3,328			$3,815			$5,101

¹  Calculated based upon average shares outstanding

²  Total return calculations do not include any sales charges.

³  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.81	%
Year ended May 31, 2018	0.81	%
Year ended May 31, 2017	0.81	%
Year ended May 31, 2016	0.80	%
Year ended May 31, 2015	0.80	%

⁴  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

Financial highlights Wells Fargo Emerging Growth Fund 17

(For a share outstanding throughout the period)

CLASS R6	Year ended May 31, 20191
Net asset value, beginning of period		$18.70
Net investment loss		(0.07	)2
Net realized and unrealized gains (losses) on investments		(0.59	)
Total from investment operations		(0.66	)
Distributions to shareholders from
Net realized gains		(3.18	)
Net asset value, end of period		$14.86
Total return3		(2.35	)%
Ratios to average net assets (annualized)
Gross expenses4		0.92	%
Net expenses4		0.85	%
Net investment loss4		(0.51	)%
Supplemental data
Portfolio turnover rate5		71	%
Net assets, end of period (000s omitted)		$22

¹  For the period from July, 31, 2018 (commencement of class operations) to May 31, 2019

²  Calculated based upon average shares outstanding

³  Returns for periods of less than one year are not annualized.

⁴  Ratio includes net expenses allocated from the affiliated Master Portfolio in the amount of 0.81%.

⁵  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

18 Wells Fargo Emerging Growth Fund Financial highlights

(For a share outstanding throughout each period)

	Year ended May 31
ADMINISTRATOR CLASS	2019			2018			2017			2016			2015
Net asset value, beginning of period		$17.54			$14.93			$12.82			$17.00			$14.83
Net investment loss		(0.15	)1		(0.14	)1		(0.07	)1		(0.12	)1		(0.16	)1
Net realized and unrealized gains (losses) on investments		(0.19	)		4.70			3.02			(2.32	)		3.53
Total from investment operations		(0.34	)		4.56			2.95			(2.44	)		3.37
Distributions to shareholders from
Net realized gains		(3.18	)		(1.95	)		(0.84	)		(1.74	)		(1.20	)
Net asset value, end of period		$14.02			$17.54			$14.93			$12.82			$17.00
Total return		(0.75	)%		33.06	%		23.60	%		(14.80	)%		23.45	%
Ratios to average net assets (annualized)
Gross expenses2		1.27	%		1.28	%		1.26	%		1.23	%		1.21	%
Net expenses2		1.20	%		1.20	%		1.20	%		1.20	%		1.20	%
Net investment loss2		(0.94	)%		(0.86	)%		(0.48	)%		(0.80	)%		(1.03	)%
Supplemental data
Portfolio turnover rate3		71	%		47	%		115	%		68	%		56	%
Net assets, end of period (000s omitted)		$23,549			$52,335			$50,865			$99,792			$159,813

¹  Calculated based upon average shares outstanding

²  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.81	%
Year ended May 31, 2018	0.81	%
Year ended May 31, 2017	0.81	%
Year ended May 31, 2016	0.80	%
Year ended May 31, 2015	0.80	%

³  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

Financial highlights Wells Fargo Emerging Growth Fund 19

(For a share outstanding throughout each period)

	Year ended May 31
INSTITUTIONAL CLASS	2019			2018			2017			2016			2015
Net asset value, beginning of period		$18.30			$15.46			$13.20			$17.40			$15.11
Net investment loss		(0.13	)		(0.09	)		(0.04	)1		(0.07	)		(0.12	)
Net realized and unrealized gains (losses) on investments		(0.16	)		4.88			3.14			(2.39	)		3.61
Total from investment operations		(0.29	)		4.79			3.10			(2.46	)		3.49
Distributions to shareholders from
Net realized gains		(3.18	)		(1.95	)		(0.84	)		(1.74	)		(1.20	)
Net asset value, end of period		$14.83			$18.30			$15.46			$13.20			$17.40
Total return		(0.42	)%		33.44	%		24.08	%		(14.62	)%		23.89	%
Ratios to average net assets (annualized)
Gross expenses2		1.02	%		1.03	%		1.03	%		1.01	%		0.96	%
Net expenses2		0.90	%		0.90	%		0.90	%		0.90	%		0.90	%
Net investment loss2		(0.67	)%		(0.56	)%		(0.24	)%		(0.50	)%		(0.73	)%
Supplemental data
Portfolio turnover rate3		71	%		47	%		115	%		68	%		56	%
Net assets, end of period (000s omitted)		$578,073			$606,729			$534,846			$583,843			$723,946

¹  Calculated based upon average shares outstanding

²  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.81	%
Year ended May 31, 2018	0.81	%
Year ended May 31, 2017	0.81	%
Year ended May 31, 2016	0.80	%
Year ended May 31, 2015	0.80	%

³  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

20 Wells Fargo Emerging Growth Fund Notes to financial statements

1. ORGANIZATION

Wells Fargo Funds Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As an investment company, the Trust follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statements report on the Wells Fargo Emerging Growth Fund (the “Fund”) which is a diversified series of the Trust.

The Fund is a feeder fund in a master-feeder structure that invests substantially all of its assets in a single master portfolio with a substantially identical investment objective and substantially similar investment strategies. The Fund seeks to achieve its investment objective by investing substantially all of its assets in a separate diversified portfolio (the “affiliated Master Portfolio”) of Wells Fargo Master Trust, a registered open-end management investment company. The affiliated Master Portfolio directly acquires portfolio securities and the Fund acquires an indirect interest in those securities. The Fund accounts for its investment in the affiliated Master Portfolio as a partnership investment and records on a daily basis its share of the affiliated Master Portfolio’s income, expense and realized and unrealized gains and losses. The financial statements of the affiliated Master Portfolio for the year ended May 31, 2019 are included in this report and should be read in conjunction with the Fund’s financial statements. As of May 31, 2019, the Fund owned 91% of Wells Fargo Emerging Growth Portfolio.

2. SIGNIFICANT ACCOUNTING POLICIES

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

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Fund may deviate from this calculation time under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of the affiliated Master Portfolio’s net assets, which are also valued daily. Securities held in the affiliated Master Portfolio are valued as discussed in the Notes to Financial Statements of the affiliated Master Portfolio, which are included elsewhere in this report.

Investment transactions, income and expenses

Investments in the affiliated Master Portfolio are recorded on a trade basis. The Fund records daily its proportionate share of the affiliated Master Portfolio’s dividend income, expenses and realized and unrealized gains or losses. The Fund also accrues its own expenses.

Distributions to shareholders

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

Federal and other taxes

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

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

As of May 31, 2019, the aggregate cost of all investments for federal income tax purposes was $530,124,897 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	218,769,600
Gross unrealized losses		0
Net unrealized gains	$	218,769,600

Notes to financial statements Wells Fargo Emerging Growth Fund 21

As of May 31, 2019, the Fund had current year deferred post-October capital losses and a qualified late-year ordinary loss which will both be recognized on the first day of the following fiscal year in the following amounts:

Deferred post-October capital losses	Late-year ordinary losses deferred
Short-term
$(24,372,603)	$(2,341,222)

Class allocations

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

3. FAIR VALUATION MEASUREMENTS

At May 31, 2019, the affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective and the value of the affiliate Master Portfolio was as follows:

Affiliated Master Portfolio	Investment objective	Value of affiliated Master Portfolio
Wells Fargo Emerging Growth Portfolio	Seeks long-term capital appreciation	$748,894,497

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

4. TRANSACTIONS WITH AFFILIATES

Management fee

Wells Fargo Funds Management, LLC (“Funds Management”), an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”), is the manager of the Fund and provides advisory and fund-level administrative services under an investment management agreement. Under the investment management agreement, Funds Management is responsible for, among other services, implementing the investment objectives and strategies of the Fund and providing fund-level administrative services in connection with the Fund’s operations. As long as the Fund continues to invest substantially all of its assets in a single affiliated Master Portfolio, the Fund pays Funds Management an investment management fee only for fund-level administrative services at the following annual rate based on the Fund’s average daily net assets:

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

For the year ended May 31, 2019, the management fee was equivalent to an annual rate of 0.05% of the Fund’s average daily net assets.

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

22 Wells Fargo Emerging Growth Fund Notes to financial statements

Administration fees

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

	Class-level administration fee
Class A, Class C		0.21	%
Class R6		0.03
Administrator Class, Institutional Class		0.13

Funds Management has contractually waived and/or reimbursed management and administration fees to the extent necessary to maintain certain net operating expense ratios for the Fund. When each class of the Fund has exceeded its expense cap, Funds Management has waived fees and/or reimbursed expenses from fund level expenses on a proportionate basis and then from class specific expenses. When only certain classes exceed their expense caps, waivers and/or reimbursements are applied against class specific expenses before fund level expenses. Net expenses from the affiliated Master Portfolio are included in the expense caps. Funds Management has committed through September 30, 2019 to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’s expenses at 1.28% for Class A shares, 2.03% for Class C shares, 0.85% for Class R6 shares, 1.20% for Administrator Class shares, and 0.90% for Institutional Class shares. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Prior to August 1, 2018, the Fund’s expenses were capped at 1.35% for Class A shares and 2.10% for Class C shares.

Distribution fee

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

In addition, Funds Distributor is entitled to receive the front-end sales charge from the purchase of Class A shares and a contingent deferred sales charge on the redemption of certain Class A shares. Funds Distributor is also entitled to receive the contingent deferred sales charges from redemptions of Class C shares. For the year ended May 31, 2019, Funds Distributor received $3,144 from the sale of Class A shares. No contingent deferred sales charges were incurred by Class A and Class C shares for the year ended May 31, 2019.

Shareholder servicing fees

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

5. INVESTMENT PORTFOLIO TRANSACTIONS

The Fund seeks to achieve its investment objective by investing substantially all of its assets in a single affiliated Master Portfolio. Purchases and sales have been calculated by multiplying the Fund’s ownership percentage of the affiliated Master Portfolio by the affiliated Master Portfolio’s purchases and sales. Purchases and sales of investments, excluding short-term securities, for the year ended May 31, 2019 were $563,678,269 and $615,266,379, respectively.

6. BANK BORROWINGS

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

For the year ended May 31, 2019, there were no borrowings by the Fund under the agreement.

Notes to financial statements Wells Fargo Emerging Growth Fund 23

7. DISTRIBUTIONS TO SHAREHOLDERS

The tax character of distributions paid during the years ended May 31, 2019 and May 31, 2018 were as follows:

	Year ended May 31
	2019		2018
Ordinary income	$	14,567,564	$	114,038
Long-term capital gain		126,111,778		84,810,687

As of May 31, 2019, the components of distributable earnings on a tax basis were as follows:

Undistributed long-term gain	Unrealized gains	Late-year ordinary losses deferred	Post-October capital losses deferred
$37,749,149	$218,769,600	$(2,341,222)	$(24,372,603)

Effective for all filings after November 4, 2018, the Securities and Exchange Commission eliminated the requirement to separately state the components of distributions to shareholders under U.S. generally accepted accounting principles. The amounts of distributions to shareholders for the year ended May 31, 2018 were as follows:

	Net realized gains
Class A		$16,172,743
Class C		446,164
Administrator Class		5,883,416
Institutional Class		62,422,402

8. CONCENTRATION RISK

Concentration risk results from exposure to a limited number of sectors. Through its investment in the affiliated Master Portfolio which may invest a substantial portion of its assets in any sector, the Fund may in turn be more affected by changes in that sector than a fund whose investments are not heavily weighted in any sector.

9. INDEMNIFICATION

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

10. NEW ACCOUNTING PRONOUNCEMENT

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

24 Wells Fargo Emerging Growth Fund Report of independent registered public accounting firm

TO THE SHAREHOLDERS OF THE FUND AND BOARD OF TRUSTEES OF WELLS FARGO FUNDS TRUST:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Wells Fargo Emerging Growth Fund (the Fund), one of the funds constituting Wells Fargo Funds Trust, including the portfolio of investments, as of May 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years or periods in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of May 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of May 31, 2019, by correspondence with the transfer agent. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

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

Boston, Massachusetts

July 26, 2019

Portfolio of investments—May 31, 2019 Wells Fargo Emerging Growth Portfolio 25

Security name	Shares		Value
Common Stocks: 99.51%
Communication Services: 0.70%
Entertainment: 0.19%
SciPlay Corporation Class A †		95,634	$	1,530,144
Media: 0.51%
Nexstar Media Group Incorporated Class A		42,200		4,226,330
Consumer Discretionary: 13.30%
Auto Components: 0.81%
Fox Factory Holding Corporation †		98,500		6,601,470
Diversified Consumer Services: 2.06%
Chegg Incorporated †		299,114		11,204,810
Grand Canyon Education Incorporated †		47,360		5,676,570
				16,881,380
Hotels, Restaurants & Leisure: 4.56%
Dine Brands Global Incorporated		38,500		3,635,170
Eldorado Resorts Incorporated †		126,300		6,210,171
Planet Fitness Incorporated Class A †		197,660		15,115,060
Wingstop Incorporated		155,918		12,423,546
				37,383,947
Internet & Direct Marketing Retail: 0.24%
Farfetch Limited Class A Ǡ		97,822		1,961,331
Leisure Products: 0.87%
Mastercraft Boat Holdings Incorporated †		134,816		2,677,446
Yeti Holdings Incorporated Ǡ		187,148		4,476,580
				7,154,026
Multiline Retail: 2.15%
Ollie’s Bargain Outlet Holdings Incorporated †		178,660		17,637,315
Specialty Retail: 2.19%
Five Below Incorporated †		55,697		7,169,875
Lithia Motors Incorporated Class A		94,780		10,819,137
				17,989,012
Textiles, Apparel & Luxury Goods: 0.42%
Deckers Outdoor Corporation †		22,500		3,422,250
Consumer Staples: 3.42%
Beverages: 0.69%
Boston Beer Company Incorporated †		18,000		5,657,400
Food & Staples Retailing: 0.84%
The Chef’s Warehouse Incorporated †		218,000		6,904,060

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

26 Wells Fargo Emerging Growth Portfolio Portfolio of investments—May 31, 2019

Security name	Shares		Value
Food Products: 1.14%
Freshpet Incorporated †		200,812	$	9,331,734
Personal Products: 0.75%
Inter Parfums Incorporated		94,300		6,108,754
Energy: 1.01%
Energy Equipment & Services: 0.47%
Cactus Incorporated Class A †		119,199		3,879,927
Oil, Gas & Consumable Fuels: 0.54%
Matador Resources Company †		141,236		2,321,920
PDC Energy Incorporated †		67,290		2,053,691
				4,375,611
Financials: 7.73%
Capital Markets: 1.96%
Stifel Financial Corporation		300,000		16,089,000
Insurance: 3.73%
Goosehead Insurance Incorporated Class A		101,163		3,705,601
Kinsale Capital Group Incorporated		255,179		21,381,448
Trupanion Incorporated Ǡ		185,300		5,434,849
				30,521,898
Thrifts & Mortgage Finance: 2.04%
LendingTree Incorporated †		44,532		16,732,454
Health Care: 21.93%
Biotechnology: 3.84%
Audentes Therapeutics Incorporated †		34,342		1,206,091
CareDx Incorporated †		337,926		10,685,220
Natera Incorporated †		150,427		3,444,778
Repligen Corporation †		231,840		16,105,925
				31,442,014
Health Care Equipment & Supplies: 8.49%
Axogen Incorporated †		159,377		3,335,761
Glaukos Corporation †		88,739		5,721,891
Inogen Incorporated †		52,750		3,400,793
iRhythm Technologies Incorporated †		134,262		9,191,577
Merit Medical Systems Incorporated †		290,900		15,019,167
Neuronetics Incorporated †		186,718		2,150,991
Orthopediatrics Corporation †		85,101		3,306,174
Shockwave Medical Incorporated Ǡ		61,908		3,701,479
SI-BONE Incorporated †		257,997		4,331,770
Silk Road Medical Incorporated †		38,433		1,639,552
STAAR Surgical Company †		122,300		2,833,691
Tactile Systems Technology Class I †		110,773		5,320,427
Tandem Diabetes Care Incorporated †		77,900		5,340,824
Vapotherm Incorporated †		254,808		4,285,871
				69,579,968

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

Portfolio of investments—May 31, 2019 Wells Fargo Emerging Growth Portfolio 27

Security name	Shares		Value
Health Care Providers & Services: 3.22%
Amedisys Incorporated †		128,800	$	14,465,528
BioTelemetry Incorporated †		48,200		2,306,852
HealthEquity Incorporated †		146,912		9,602,168
				26,374,548
Health Care Technology: 3.32%
Tabula Rasa Healthcare Incorporated Ǡ		152,900		6,906,493
Teladoc Incorporated Ǡ		204,679		11,895,943
Vocera Communications Incorporated †		259,000		8,381,240
				27,183,676
Life Sciences Tools & Services: 2.64%
Codexis Incorporated †		999,938		18,098,878
Neogenomics Incorporated †		165,354		3,589,835
				21,688,713
Pharmaceuticals: 0.42%
MyoKardia Incorporated †		74,400		3,465,552
Industrials: 17.82%
Aerospace & Defense: 2.40%
Kratos Defense & Security Solutions Incorporated †		79,100		1,744,155
Mercury Computer Systems Incorporated †		260,745		17,928,826
				19,672,981
Airlines: 1.94%
SkyWest Incorporated		271,030		15,914,882
Commercial Services & Supplies: 3.10%
Advanced Disposal Services Incorporated †		344,402		11,069,080
Casella Waste Systems Incorporated Class A †		369,600		14,310,912
				25,379,992
Construction & Engineering: 2.82%
Granite Construction Incorporated		28,450		1,143,406
MasTec Incorporated †		472,500		21,966,525
				23,109,931
Electrical Equipment: 0.28%
Bloom Energy Corporation Class A Ǡ		215,501		2,327,411
Machinery: 3.13%
Milacron Holdings Corporation †		502,858		5,772,810
RBC Bearings Incorporated †		17,500		2,490,250
Rexnord Corporation †		661,910		17,414,852
				25,677,912

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

28 Wells Fargo Emerging Growth Portfolio Portfolio of investments—May 31, 2019

Security name	Shares		Value
Professional Services: 3.52%
ASGN Incorporated †		445,043	$	22,577,031
Korn/Ferry International		145,600		6,272,448
				28,849,479
Trading Companies & Distributors: 0.63%
SiteOne Landscape Supply Incorporated Ǡ		79,100		5,131,217
Information Technology: 31.74%
Electronic Equipment, Instruments & Components: 2.77%
nLight Incorporated Ǡ		184,261		3,443,838
Novanta Incorporated †		240,920		19,278,418
				22,722,256
IT Services: 5.21%
Endava plc Sponsored ADR †		146,882		5,499,262
EVO Payments Incorporated Class A †		272,277		8,015,835
InterXion Holding NV †		342,920		25,276,633
Wix.com Limited †		28,310		3,888,095
				42,679,825
Semiconductors & Semiconductor Equipment: 2.88%
Diodes Incorporated †		217,031		6,712,769
Monolithic Power Systems Incorporated		32,180		3,747,361
Semtech Corporation †		182,100		7,253,043
Silicon Laboratories Incorporated †		62,500		5,848,125
				23,561,298
Software: 20.88%
Altair Engineering Incorporated Class A †		272,253		10,375,562
Anaplan Incorporated †		188,556		8,204,072
BlackLine Incorporated †		133,623		6,869,558
Cision Limited †		601,050		6,599,529
Envestnet Incorporated †		312,992		20,942,295
Everbridge Incorporated †		39,100		3,074,824
Five9 Incorporated †		307,760		15,803,476
ForeScout Technologies Incorporated †		65,700		2,110,284
Globant SA †		73,100		6,786,604
Proofpoint Incorporated †		35,230		3,958,443
Q2 Holdings Incorporated †		323,543		23,696,289
Rapid7 Incorporated †		406,136		21,220,606
RealPage Incorporated †		148,500		8,660,520
SailPoint Technologies Holdings Incorporated †		265,847		4,670,932
Shotspotter Incorporated †		233,743		10,752,178
SPS Commerce Incorporated †		60,448		6,161,465
Talend SA ADR †		240,818		11,231,752
				171,118,389

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

Portfolio of investments—May 31, 2019 Wells Fargo Emerging Growth Portfolio 29

Security name				Shares		Value
Materials: 1.86%
Chemicals: 1.37%
Ingevity Corporation †					56,400	$	4,946,280
PQ Group Holdings Incorporated †					413,820		6,269,373
							11,215,653
Metals & Mining: 0.49%
Mayville Engineering Company Incorporated †					247,645		4,036,612
Total Common Stocks (Cost $564,606,267)							815,520,352
	Yield
Short-Term Investments: 6.28%
Investment Companies: 6.28%
Securities Lending Cash Investments LLC (l)(r)(u)		2.51	%		41,141,098		41,145,212
Wells Fargo Government Money Market Fund Select Class (l)(u)		2.30			10,281,602		10,281,602
Total Short-Term Investments (Cost $51,425,748)							51,426,814

Total investments in securities (Cost $616,032,015)	105.79	%		866,947,166
Other assets and liabilities, net	(5.79	)		(47,456,752	)
Total net assets	100.00	%	$	819,490,414

† Non-income-earning security

« All or a portion of this security is on loan.

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

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

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

Abbreviations:

ADR American depositary receipt

Investments in Affiliates

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

	Shares, beginning of period		Shares purchased		Shares sold		Shares, end of period		Net realized gains (losses)		Net change in unrealized gains (losses)			Income from affiliated securities		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Securities Lending Cash Investments LLC		46,370,791		419,624,074		424,853,767		41,141,098	$	12,866	$	(1,227	)	$	988,961	$	41,145,212
Wells Fargo Government Money Market Fund Select Class		2,952,741		413,296,407		405,967,546		10,281,602		0		0			352,764		10,281,602
									$	12,866	$	(1,227	)	$	1,341,725	$	51,426,814		6.28	%

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

30 Wells Fargo Emerging Growth Portfolio Statement of assets and liabilities—May 31, 2019

Assets
Investments in unaffiliated securities (including $39,310,167 of securities loaned), at value (cost $564,606,267)	$	815,520,352
Investments in affiliated securities, at value (cost $51,425,748)		51,426,814
Receivable for investments sold		888,099
Receivable for dividends		100,819
Receivable for securities lending income, net		98,935
Total assets		868,035,019
Liabilities
Payable upon receipt of securities loaned		41,123,073
Payable for investments purchased		6,715,452
Advisory fee payable		602,803
Accrued expenses and other liabilities		103,277
Total liabilities		48,544,605
Total net assets	$	819,490,414

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

Statement of operations—year ended May 31, 2019 Wells Fargo Emerging Growth Portfolio 31

Investment income
Dividends	$	963,041
Securities lending income from affiliates, net		782,643
Income from affiliated securities		352,764
Total investment income		2,098,448
Expenses
Advisory fee		7,007,473
Custody and accounting fees		52,011
Professional fees		43,115
Shareholder report expenses		4,536
Trustees’ fees and expenses		20,983
Other fees and expenses		29,429
Net expenses		7,157,547
Net investment loss		(5,059,099	)
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS
Net realized gains on:
Unaffiliated securities		101,579,794
Affiliated securities		12,866
Net realized gains on investments		101,592,660
Net change in unrealized gains (losses) on:
Unaffiliated securities		(103,570,324	)
Affiliated securities		(1,227	)
Net change in unrealized gains (losses) on investments		(103,571,551	)
Net realized and unrealized gains (losses) on investments		(1,978,891	)
Net decrease in net assets resulting from operations	$	(7,037,990	)

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

32 Wells Fargo Emerging Growth Portfolio Statement of changes in net assets

	Year ended May 31, 2019			Year ended May 31, 2018
Operations
Net investment loss	$	(5,059,099	)	$	(3,833,027	)
Net realized gains on investments		101,592,660			122,582,157
Net change in unrealized gains (losses) on investments		(103,571,551	)		120,331,062
Net increase (decrease) in net assets resulting from operations		(7,037,990	)		239,080,192
Capital transactions
Transactions in investors’ beneficial interests
Contributions		113,603,214			20,933,192
Withdrawals		(166,578,053	)		(175,150,153	)
Net decrease in net assets resulting from capital transactions		(52,974,839	)		(154,216,961	)
Total increase (decrease) in net assets		(60,012,829	)		84,863,231
Net assets
Beginning of period		879,503,243			794,640,012
End of period	$	819,490,414		$	879,503,243

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

Financial highlights Wells Fargo Emerging Growth Portfolio 33

	Year ended May 31
	2019			2018			2017			2016			2015
Total return		(0.28	)%		33.60	%		23.97	%		(14.47	)%		24.02	%
Ratios to average net assets (annualized)
Gross expenses		0.81	%		0.81	%		0.81	%		0.80	%		0.80	%
Net expenses		0.81	%		0.81	%		0.81	%		0.80	%		0.80	%
Net investment loss		(0.57	)%		(0.47	)%		(0.15	)%		(0.40	)%		(0.63	)%
Supplemental data
Portfolio turnover rate		71	%		47	%		115	%		66	%		56	%

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

34 Wells Fargo Emerging Growth Portfolio Notes to financial statements

1. ORGANIZATION

Wells Fargo Master Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As an investment company, the Trust follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statements report on the Wells Fargo Emerging Growth Portfolio (the “Portfolio”) which is a diversified series of the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

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

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Portfolio may deviate from this calculation time under unusual or unexpected circumstances.

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

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

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Portfolio. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC (“Funds Management”). The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.

Securities lending

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

The Portfolio lends its securities through an unaffiliated securities lending agent. Cash collateral received in connection with its securities lending transactions is invested in Securities Lending Cash Investments, LLC (the “Securities Lending Fund”). The Securities Lending Fund is exempt from registration under Section 3(c)(7) of the 1940 Act and is managed by Funds Management and is subadvised by Wells Capital Management Incorporated (“WellsCap”), an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”). Funds Management receives an advisory fee starting at 0.05% and declining to 0.01% as the average daily net assets of the Securities Lending Fund increase. All of the fees received by Funds Management are paid to WellsCap for its services as subadviser. The Securities Lending Fund seeks to provide a positive return compared to the daily Fed Funds Open Rate by investing in

Notes to financial statements Wells Fargo Emerging Growth Portfolio 35

high-quality, U.S. dollar-denominated short-term money market instruments. Securities Lending Fund investments are valued at the evaluated bid price provided by an independent pricing service. Income earned from investment in the Securities Lending Fund (net of fees and rebates), if any, is included in income from affiliated securities on the Statement of Operations.

Security transactions and income recognition

Securities transactions are recorded on a trade date basis. Realized gains or losses are recorded on the basis of identified cost.

Dividend income is recognized on the ex-dividend date.

Federal and other taxes

The Portfolio is treated as a separate entity for federal income tax purposes. The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains as it is treated as a partnership for federal income tax purposes. All dividends, gains and losses of the Portfolio are deemed to have been “passed through” to the interest holders in proportion to their holdings of the Portfolio regardless of whether such 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 May 31, 2019, the aggregate cost of all investments for federal income tax purposes was $617,386,850 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	280,994,400
Gross unrealized losses		(31,434,084	)
Net unrealized gains	$	249,560,316

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.

36 Wells Fargo Emerging Growth Portfolio Notes to financial statements

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of May 31, 2019:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Common stocks
Communication services	$	5,756,474	$	0	$	0	$	5,756,474
Consumer discretionary		109,030,731		0		0		109,030,731
Consumer staples		28,001,948		0		0		28,001,948
Energy		8,255,538		0		0		8,255,538
Financials		63,343,352		0		0		63,343,352
Health care		179,734,471		0		0		179,734,471
Industrials		146,063,805		0		0		146,063,805
Information technology		260,081,768		0		0		260,081,768
Materials		15,252,265		0		0		15,252,265
Short-term investments
Investment companies		10,281,602		41,145,212		0		51,426,814
Total assets	$	825,801,954	$	41,145,212	$	0	$	866,947,166

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

At May 31, 2019, 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 $500 million	0.800%
Next $500 million	0.775
Next $1 billion	0.750
Next $1 billion	0.725
Next $1 billion	0.700
Over $4 billion	0.680

For the year ended May 31, 2019, the advisory fee was equivalent to an annual rate of 0.79% of the Portfolio’s average daily net assets.

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Portfolio. The fee for subadvisory services is borne by Funds Management. WellsCap is the subadviser to the Portfolio and is entitled to receive a fee from Funds Management at an annual rate starting at 0.55% and declining to 0.40% as the average daily net assets of the Portfolio increase.

Interfund transactions

The Portfolio may purchase or sell portfolio investment securities to certain other Wells Fargo affiliates pursuant to Rule 17a-7 under the 1940 Act and under procedures adopted by the Board of Trustees. The procedures have been designed to ensure that these interfund transactions, which do not incur broker commissions, are effected at current market prices.

Notes to financial statements Wells Fargo Emerging Growth Portfolio 37

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments, excluding U.S. government obligations (if any) and short-term securities, for the year ended May 31, 2019 were $616,814,437 and $673,265,596, respectively.

6. BANK BORROWINGS

Effective August 28, 2018, the Trust, along with Wells Fargo Variable Trust and Wells Fargo Funds Trust (excluding the money market funds), are parties to a $280,000,000 revolving credit agreement whereby the Portfolio is permitted to use bank borrowings for temporary or emergency purposes, such as to fund shareholder redemption requests. Interest under the credit agreement is charged to the Portfolio based on a borrowing rate equal to the higher of the Federal Funds rate in effect on that day plus 1.25% or the overnight LIBOR rate in effect on that day plus 1.25%. In addition, an annual commitment fee equal to 0.25% of the unused balance is allocated to each participating fund.

For the year ended May 31, 2019, there were no borrowings by the Portfolio under the agreement.

7. CONCENTRATION RISK

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

9. NEW ACCOUNTING PRONOUNCEMENT

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

38 Wells Fargo Emerging Growth Portfolio Report of independent registered public accounting firm

TO THE SHAREHOLDERS OF THE PORTFOLIO AND BOARD OF TRUSTEES OF WELLS FARGO MASTER TRUST:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Wells Fargo Emerging Growth Portfolio (the Portfolio), one of the portfolios constituting Wells Fargo Master Trust, including the portfolio of investments, as of May 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Portfolio as of May 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of May 31, 2019, by correspondence with the custodian and brokers, or by other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

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

Boston, Massachusetts

July 26, 2019

Other information (unaudited) Wells Fargo Emerging Growth Fund 39

TAX INFORMATION

For corporate shareholders, pursuant to Section 854 of the Internal Revenue Code, 5.64% of ordinary income dividends qualify for the corporate dividends-received deduction for the fiscal year ended May 31, 2019.

Pursuant to Section 852 of the Internal Revenue Code, $126,111,778 was designated as a 20% rate gain distribution for the fiscal year ended May 31, 2019.

Pursuant to Section 854 of the Internal Revenue Code, $821,264 of income dividends paid during the fiscal year ended May 31, 2019 has been designated as qualified dividend income (QDI).

For the fiscal year ended May 31, 2019, $14,567,564 has been designated as short-term capital gain dividends for nonresident alien shareholders pursuant to Section 871 of the Internal Revenue Code.

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 calling1-800-222-8222, visiting our website atwfam.com, or visiting the SEC website at sec.gov. Information regarding how the proxies related to portfolio securities were voted during the most recent12-month period ended June 30 is available on the website atwfam.com or by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS

The Fund and Portfolio file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

40 Wells Fargo Emerging Growth Fund Other information (unaudited)

BOARD OF TRUSTEES AND OFFICERS

Each of the Trustees and Officers¹ listed in the table below acts in identical capacities for each fund in the Wells Fargo family of funds, which consists of 151 mutual funds comprising the Wells Fargo Funds Trust, Wells Fargo Variable Trust, Wells Fargo Master Trust and four closed-end funds (collectively the “Fund Complex”). This table should be read in conjunction with the Prospectus and the Statement of Additional Information². The mailing address of each Trustee and Officer is 525 Market Street, 12th Floor, San Francisco, CA 94105. Each Trustee and Officer serves an indefinite term, however, each Trustee serves such term until reaching the mandatory retirement age established by the Trustees.

Independent Trustees

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

Other information (unaudited) Wells Fargo Emerging Growth Fund 41

Name and year of birth	Position held and length of service*	Principal occupations during past five years or longer	Current other public company or investment company directorships
David F. Larcker (Born 1950)	Trustee, since 2009	James Irvin Miller Professor of Accounting at the Graduate School of Business, Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005.	N/A
Olivia S. Mitchell (Born 1953)	Trustee, since 2006; Nominating and Governance Committee Chairman, since 2018	International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993.	N/A
Timothy J. Penny (Born 1951)	Trustee, since 1996; Chairman, since 2018	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

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

42 Wells Fargo Emerging Growth Fund Other information (unaudited)

Officers

Name and year of birth	Position held and length of service	Principal occupations during past five years or longer
Andrew Owen (Born 1960)	President, since 2017	Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014.
Nancy Wiser1 (Born 1967)	Treasurer, since 2012	Executive Vice President of Wells Fargo Funds Management, LLC since 2011. Chief Operating Officer and Chief Compliance Officer at LightBox Capital Management LLC, from 2008 to 2011.
Alexander Kymn (Born 1973)	Secretary and Chief Legal Officer, since 2018	Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.
Michael H. Whitaker (Born 1967)	Chief Compliance Officer, since 2016	Senior Vice President and Chief Compliance Officer since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016.
David Berardi (Born 1975)	Assistant Treasurer, since 2009	Vice President of Wells Fargo Funds Management, LLC since 2009. Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010. Manager of Fund Reporting and Control for Evergreen Investment Management Company, LLC from 2004 to 2010.
Jeremy DePalma1 (Born 1974)	Assistant Treasurer, since 2009	Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010.

¹ Nancy Wiser acts as Treasurer of 65 funds in the Fund Complex. Jeremy DePalma acts as Treasurer of 86 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 calling1-800-222-8222 or by visiting the website atwfam.com.

Other information (unaudited) Wells Fargo Emerging Growth Fund 43

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

Wells Fargo Emerging Growth Fund and Wells Fargo Emerging Growth 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”, and 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 an in-person meeting held on May 21-22, 2019 (the “Meeting”), the Funds Trust Board, 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 Wells Fargo Emerging Growth Fund (the “Gateway Fund”) an investment management agreement (the “Gateway Fund Management Agreement”) with Wells Fargo Funds Management, LLC (“Funds Management”).

At the Meeting, the Master Trust Board, 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: (i) an investment advisory agreement (the “Master Portfolio Advisory Agreement”) with Funds Management for Wells Fargo Emerging Growth Portfolio, a portfolio of Master Trust (the “Master Portfolio”); and (ii) an investment sub-advisory agreement (the “Sub-Advisory Agreement”) with Wells Capital Management Incorporated (the “Sub-Adviser”), an affiliate of Funds Management.

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

The Gateway Fund is a gateway feeder fund that invest substantially all of its assets in the Master Portfolio. The Master Portfolio has a substantially similar investment objective and substantially similar investment strategies to the Gateway Fund. Information provided to the Boards regarding the Gateway Fund is also applicable to the Master Portfolio, 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-Adviser and the approval of the Advisory Agreements. Prior to the Meeting, including at an in-person meeting in April 2019, 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-Adviser 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 2019. 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-Adviser 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 Funds Trust Board unanimously approved the continuation of the Gateway Fund Management 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 the Sub-Advisory Agreement, each for a one-year term. The Boards also determined that the compensation payable to Funds Management and the Sub-Adviser 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-Adviser under the Advisory Agreements. This information included a

44 Wells Fargo Emerging Growth Fund Other information (unaudited)

description of the investment advisory services and Fund-level administrative services, 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-Adviser are a part, a summary of investments made in the business of WFAM, a summary of certain organizational and personnel changes involving Funds Management and the Sub-Adviser, and a description of Funds Management’s and the Sub-Adviser’s business continuity planning programs and of their approaches to data privacy and cybersecurity. The Boards received and reviewed information about Funds Management’s role as administrator of the Funds’ liquidity risk management 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 Boards evaluated the ability of Funds Management and the Sub-Adviser 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-Adviser. 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 Funds over various time periods ended December 31, 2018. 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 Gateway Fund (the “Universe”), and in comparison to the Gateway Fund’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 the performance Universe. The Funds Trust Board noted that the investment performance of the Gateway Fund (Administrator Class) was higher than the average investment performance of its Universe for all periods under review. The Funds Trust Board also noted that the investment performance of the Gateway Fund was higher than its benchmark, the Russell 2000® Growth Index, for all periods under review.

The Master Trust Board took note of the investment performance of the Master Portfolio in the context of reviewing the investment performance of the Gateway Fund.

The Funds Trust Board also received and considered information regarding the Gateway Fund’s net operating expense ratios, which include fees and expenses of the Master Portfolio, and their various components, including actual management fees assessed at the Gateway Fund and Master Portfolio levels, custodian and other non-management fees, and Rule 12b-1 and non-Rule 12b-1 shareholder service fees. The Funds Trust Board considered these ratios in comparison to the median ratios of funds in class-specific expense groups that were determined by Broadridge to be similar to the Gateway Fund (the “Groups”). The Funds Trust Board 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. Based on the Broadridge reports, the Funds Trust Board noted that the net operating expense ratios of the Gateway Fund were lower than, equal to or in range of the median net operating expense ratios of its expense Groups for all share classes.

With respect to the Master Portfolio, the Master Trust Board reviewed 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 a corresponding expense Group.

The Boards took into account the Funds’ investment performance and expense 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 Funds Trust Board noted that Funds Management receives no advisory fees from the Gateway Fund as long as the Gateway Fund continues to invest all (or substantially all) of its assets in a single master portfolio. If the Gateway Fund were to change its investment structure so that it began investing in two or more master portfolios (a fund-of-funds), Funds Management would be entitled to receive an annual fee of 0.25% of the Gateway Fund’s average daily net assets for providing investment advisory services to the Gateway Fund, including allocating the Gateway Fund’s assets to the Master Portfolio.

The Funds Trust Board reviewed and considered the contractual fee rates that are payable by the Gateway Fund to Funds Management under the Gateway Fund Management Agreement, as well as the contractual fee rates payable by the Gateway Fund to Funds Management for class-level administrative services under a Class-Level Administration Agreement, which include, among other things, class-level transfer agency and sub-transfer agency costs (collectively, the “Management Rates”).

Other information (unaudited) Wells Fargo Emerging Growth Fund 45

The Master Trust Board reviewed and considered the contractual investment advisory fee rate that is payable by the Master Portfolio to Funds Management for investment advisory services under the Master Portfolio Advisory Agreement (the “Advisory Agreement Rate”). The Master Trust Board also reviewed and considered the contractual investment sub-advisory fee rate that is payable by Funds Management to the Sub-Adviser for investment sub-advisory services (the “Sub-Advisory Agreement Rate”).

Among other information reviewed by the Funds Trust Board was a comparison of the Gateway Fund’s Management Rate, which include the advisory fees paid at the Master Portfolio level, with the average contractual investment management fee rates of funds in the expense Groups at a common asset level as well as transfer agency costs of the funds in the expense Groups. The Funds Trust Board noted that the Management Rates of the Gateway Fund were equal to or in range of the sum of these average rates for the Gateway Fund’s expense Groups for all share classes.

The Master Trust Board reviewed a comparison of the Advisory Agreement Rate of the Master Portfolio with those of other funds in the Master Portfolio’s expense Group at a common asset level. The Master Trust Board noted that the Advisory Agreement Rate of the Master Portfolio was lower than the median rate for the Master Portfolio’s expense Group.

The Master Trust Board 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-Adviser for sub-advisory services. In assessing the reasonableness of these amounts, the Master Trust Board 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-Adviser, and about Funds Management’s on-going oversight services. Given the affiliation between Funds Management and the Sub-Adviser, the Master Trust Board 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-Adviser to other types of clients with investment strategies similar to those of the 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 Funds Trust Board determined that the compensation payable to Funds Management under the Gateway Fund Management Agreement was reasonable, and the Master Trust Board determined that the compensation payable to Funds Management under the Master Portfolio Advisory Agreement and to the Sub-Adviser under the Sub-Advisory Agreement was 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-Adviser’s profitability with respect to providing services to the Master Portfolio 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 the Boards 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 Master Portfolio’s advisory fee structure and the Gateway Fund’s management fee structure, which operate generally to reduce the Funds’ expense ratios as the Funds grow in size. 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.

46 Wells Fargo Emerging Growth Fund Other information (unaudited)

The Boards concluded that Funds Management’s arrangements with respect to each Fund, 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-Adviser

The Boards received and considered information regarding potential “fall-out” or ancillary benefits received by Funds Management and its affiliates, including the Sub-Adviser, 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-Adviser’s 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-Adviser, fees earned by Funds Management and the Sub-Adviser 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 the Sub-Adviser, 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 Gateway Fund Management Agreement for a one-year period. Additionally, after considering the above-described factors and based on its deliberations and its evaluation of the information described above, the Master Trust Board unanimously approved the continuation of the Master Portfolio Advisory Agreement and the Sub-Advisory Agreement, each for a one-year term. The Boards also determined that the compensation payable to Funds Management and the Sub-Adviser was reasonable.

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For more information

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

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: 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 Fund. If this report is used for promotional purposes, distribution of the report must be accompanied or preceded by a current prospectus. Before investing, please consider the investment objectives, risks, charges, and expenses of the investment. For a current prospectus and, if available, a summary prospectus, containing this information, call1-800-222-8222 or visit the Fund’s website atwfam.com. Read the prospectus carefully before you invest or send money.

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

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

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

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

403196 07-19 A282/AR282 05-19

Annual Report

May 31, 2019

Wells Fargo Index Fund

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

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

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

Reduce clutter. Save trees.

Sign up for electronic delivery of prospectuses and shareholder reports atwellsfargo.com/advantagedelivery

Contents

Letter to shareholders	2
Performance highlights	6
Fund expenses	10
Wells Fargo Index Fund
Portfolio of investments	11
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	18
Report of independent registered public accounting firm	22
Wells Fargo Index Portfolio
Portfolio of investments	23
Financial statements
Statement of assets and liabilities	39
Statement of operations	40
Statement of changes in net assets	41
Financial highlights	42
Notes to financial statements	43
Report of independent registered public accounting firm	48
Other information	49

The views expressed and any forward-looking statements are as of May 31, 2019, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Asset Management. Discussions of individual securities, or the markets generally, or any Wells Fargo Fund are not intended as individual recommendations. Future events or results may vary significantly from those expressed in any forward-looking statements. The views expressed are subject to change at any time in response to changing circumstances in the market. Wells Fargo Asset Management and the Fund disclaim any obligation to publicly update or revise any views expressed or forward-looking statements.

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

2 Wells Fargo Index Fund Letter to shareholders (unaudited)

Andrew Owen

President

Wells Fargo Funds

Dear Shareholder:

We are pleased to offer you this annual report for the Wells Fargo Index Fund for the 12-month period that ended May 31, 2019. Higher short-term interest rates, inflation concerns, trade tensions, and geopolitical events drove investment market volatility for much of 2018, particularly for international stocks. Early 2019 saw stocks and bonds gain with renewed business and investor confidence, but volatility returned late in the period as global growth slowed and geopolitical concerns persisted.

For the period, U.S. stocks, based on the S&P 500 Index,¹ gained 3.78% and international stocks, as measured by the MSCI ACWI ex USA Index (Net),² fell 6.26%. Based on the MSCI EM Index (Net),³ emerging market stocks fell 8.70%. Bond investors saw the Bloomberg Barclays U.S. Aggregate Bond Index⁴ add 6.40% while the Bloomberg Barclays Global Aggregate ex-USD Index⁵ rose 0.39%. The Bloomberg Barclays Municipal Bond Index⁶ added 6.40%, and the ICE BofAML U.S. High Yield Index⁷ was up 5.37%.

Results for investment indices reflected global concerns.

Global trade tensions escalated during the second quarter of 2018. A tit-for-tat tariff spat intensified between the U.S. and other governments. The U.S. Federal Reserve (Fed) raised the federal funds rate by 25 basis points (bps; 100 bps equal 1.00%) to a target range of between 1.75% and 2.00% in June. Market index results reflected the global concerns. The MSCI ACWI ex USA Index (Net) lost 2.61%, while the Bloomberg Barclays Global Aggregate ex-USD Index dropped 4.76%.

Not all news was bad. The U.S. Bureau of Economic Analysis reported second-quarter annualized gross domestic product (GDP) growth of 4.2%. Hiring improved. Unemployment declined. Consumer confidence and spending increased. The S&P 500 Index recorded a 3.43% second-quarter gain. Stocks of companies with smaller capitalizations did even better, as measured by the Russell 2000^® Index,⁸ adding 7.75%.

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

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

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

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

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

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

⁷  The ICE BofAML U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2019. ICE Data Indices, LLC. All rights reserved.

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

Letter to shareholders (unaudited) Wells Fargo Index Fund 3

Investors appeared to shake off lingering concerns during the third quarter.

Favorable third-quarter economic indicators and corporate earnings reports encouraged domestic stock investors. U.S. trade negotiations with Mexico and Canada progressed. The Conference Board Consumer Confidence Index^®9 reached its highest level in 18 years during September 2018. The Fed raised the federal funds rate by 25 bps to a target range of between 2.00% and 2.25% in September. For the quarter that ended September 30, 2018, the S&P 500 Index added 7.71%.

Investors in international markets were not as confident. Tensions between the U.S. and China increased. The U.S. imposed $200 billion in tariffs on Chinese goods. China reacted with $60 billion in tariffs on U.S. goods. Economic growth in China caused concern. The Bank of England (BoE) raised its monetary policy rate to 0.75% in August 2018. During the quarter, the MSCI ACWI ex USA Index (Net) gained 0.71%. The MSCI EM Index (Net) declined 1.09%. In fixed-income markets, U.S. bonds were flat, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index. The Bloomberg Barclays Global Aggregate ex-USD Index fell 1.74%.

Conflicting data unsettled markets during the fourth quarter.

November’s U.S. midterm elections shifted control of the House of Representatives from Republicans to Democrats, presaging potential partisan clashes. Third-quarter U.S. GDP was announced at an annualized 3.4% rate, lower than the second-quarter rate. Brexit efforts stalled ahead of the March 2019 deadline. The People’s Bank of China cut reserve requirement ratios, accelerated infrastructure spending, and cut taxes even as the value of the yuan declined to low levels last seen in 2008.

December’s S&P 500 Index performance was the worst since 1931. Globally,fixed-income investments fared better than stocks during the last two months of the year. The Fed increased the federal funds rate by 25 bps in December 2018 to a target range of between 2.25% and 2.50%.

The market climbs a wall of worry.

Investors entered 2019 with reasons to be concerned. A partial U.S. government shutdown driven by partisan policy disputes extended into January. Investment returns appeared to reaffirm the adage that markets climb a wall of worry. The S&P 500 Index gained 8.01% for the month of January, the best monthly performance in 30 years. Returns for the MSCI ACWI ex USA Index (Net), the Bloomberg Barclays U.S. Aggregate Bond Index, and the Bloomberg Barclays Global Aggregate ex-USD Index also were positive. The Fed indicated that it would pause its program of regular rate increases during 2019 as inflation remained low.

In February 2019, concerns over slowing global growth reemerged. The Bureau of Economic Analysis announced fourth-quarter 2018 GDP grew at an annualized 2.2% rate, down from levels of the prior two quarters. In a February report, the BoE forecast the slowest growth since the financial crisis for 2019. China and the U.S. continued to wrangle over trade issues.

By the end of March 2019, the combination of dovish Fed sentiment and consistent, if not spectacular, economic and business metrics reinforced investors’ confidence. Monthly job creation data regained momentum. Corporate profits, while lower than 2018’s lofty levels, remained solid. China announced a roughly $300 billion stimulus package through tax and fee cuts intended to reinvigorate economic growth.

December’s S&P 500 Index performance was the worst since 1931.

The S&P 500 Index gained 8.01% for the month of January, the best monthly performance in 30 years.

⁹  The Conference Board Consumer Confidence Index^® measures the degree of optimism on the state of the U.S. economy that consumers are expressing through their activities of saving and spending. You cannot invest directly in an index.

4 Wells Fargo Index Fund Letter to shareholders (unaudited)

During April, several broad-based U.S. equity indices reached or approached highs as investors drew confidence from favorable economic projections, sustained low inflation, and solid employment data. First-quarter GDP showed the economy grew at an annualized rate of 3.2% on improvement in business investment and exports. Favorable sentiment extended to foreign markets as the MSCI ACWI ex USA Index (Net) gained 2.64% and the MSCI EM Index (Net) added 2.11% for the month.

May 2019 presented investors with mixed signals in the economy, in the markets, and politically. In the U.S., partisan wrangling ramped up as Democrats and Republicans set their sights on 2020 presidential politics. In the U.K., the Brexit stalemate resulted in the resignation of Prime Minister Theresa May. The European Commission downgraded the 2019 growth forecast for the block of countries to 1.2%. The U.S. increased tariffs on products from China, China responded, and then talks broke down. Ending the month, equities, as measured by the MSCI ACWI (Net),¹⁰ dropped 5.93% while bonds, often considered a less risky investment, gained 1.04%, as measured by the Bloomberg Barclays Global Aggregate ex-USD Index.

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

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

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

Sincerely,

Andrew Owen

President

Wells Fargo Funds

For further information about your Fund, contact your investment professional, visit our website atwfam.com, or call us directly at1-800-222-8222.

¹⁰  The MSCI ACWI (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. You cannot invest directly in an index.

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6 Wells Fargo Index Fund¹ Performance highlights (unaudited)

Investment objective

The Fund seeks to replicate the total return of the S&P 500 Index, before fees and expenses.

Manager

Wells Fargo Funds Management, LLC

Subadviser for the affiliated master portfolio

Wells Capital Management Incorporated

Portfolio managers

John R. Campbell, CFA^®‡

David Neal, CFA^®‡

Robert M. Wicentowski, CFA^®‡

Average annual total returns (%) as of May 31, 2019

		Including sales charge						Excluding sales charge						Expense ratios2 (%)
	Inception date	1 year		5 year		10 year		1 year		5 year		10 year		Gross		Net3
Class A (WFILX)4	11-4-1998		-2.61		7.86		12.71		3.32		9.15		13.38		0.63		0.45
Class C (WFINX)4	4-30-1999		1.54		8.33		12.53		2.54		8.33		12.53		1.38		1.20
Administrator Class (WFIOX)4	2-14-1985		–		–		–		3.52		9.40		13.68		0.40		0.25
S&P 500 Index5	–		–		–		–		3.78		9.66		13.95		–		–

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

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

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

Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. The use of derivatives may reduce returns and/or increase volatility. Consult the Fund’s prospectus for additional information on these and other risks.

Please see footnotes on page 7.

Performance highlights (unaudited) Wells Fargo Index Fund 7

Growth of $10,000 investment as of May 31, 2019⁶

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

¹  The Fund is a gateway feeder fund that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with a substantially identical investment objective and substantially similar investment strategies. References to the investment activities of the Fund are intended to refer to the investment activities of the affiliated master portfolio in which it invests.

²  Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

³  The manager has contractually committed through September 30, 2019, to waive fees and/or reimburse expenses to the extent necessary to cap the expenses of each class after fee waivers at the amounts shown. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolio invests, and extraordinary expenses are excluded from the expense caps. Net expenses from the affiliated master portfolio are included in the expense cap. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Without this cap, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

⁴  Historical performance shown prior to July 19, 2010, is based on the performance of the Fund’s predecessor, Evergreen Equity Index Fund.

⁵  The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock’s weight in the index proportionate to its market value. You cannot invest directly in an index.

⁶  The chart compares the performance of Class A shares for the most recent ten years with the S&P 500 Index. The chart assumes a hypothetical $10,000 investment in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁷  The ten largest holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the securities of the affiliated master portfolio allocable to the Fund divided by the total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁸  Amounts represent the sector distribution of the affiliated master portfolio which are calculated based on the total long-term investments of the affiliated master portfolio. These amounts are subject to change and may have changed since the date specified.

8 Wells Fargo Index Fund Performance highlights (unaudited)

MANAGER’S DISCUSSION

Fund highlights

∎ For the 12-month period that ended May 31, 2019, the Fund underperformed its S&P 500 Index benchmark.

∎ The energy, materials, financials, and industrials sectors declined.

∎ The real estate, utilities, and consumer staples sectors posted the highest returns in the S&P 500 Index.

The Fund’s management team rebalances the portfolio to reflect the ongoing changes in the constituents and their weightings within the index. One cannot invest directly in the benchmark, and timing of cash flows and other practical issues affect the Fund’s tracking error, which is a measure of how closely a portfolio tracks the index to which it is benchmarked. The team uses an investment process designed to control trading and implementation costs and reduce tracking error to the benchmark as much as possible.

Ten largest holdings (%) as of May 31, 20197
Microsoft Corporation	4.04
Apple Incorporated	3.34
Amazon.com Incorporated	3.12
Facebook Incorporated Class A	1.80
Berkshire Hathaway Incorporated Class B	1.63
Johnson & Johnson	1.49
JPMorgan Chase & Company	1.48
Alphabet Incorporated Class C	1.44
Alphabet Incorporated Class A	1.41
Exxon Mobil Corporation	1.28

Despite weakness in the fourth quarter of 2018 and a weak May 2019, the S&P 500 Index delivered a positive return over the period.

The period began with reports of solid economic growth and strong corporate profit growth. Later reports signaled that growth was slowing. As the Federal Open Market Committee (FOMC) raised the federal funds target rate throughout the first half of 2018, concerns began to surface that the rate was rising too quickly. The FOMC took a dovish pivot later during the reporting period, holding rates steady since December. Tensions with China rose throughout the period, and what market participants seemed to largely ignore initially was taken more seriously as tensions escalated with each passing month.

Sector distribution as of May 31, 2019⁸

The real estate, utilities, and consumer staples sectors were the top performers within the S&P 500 Index.

Real estate, utilities, and consumer staples are relatively interest rate dependent or are viewed as proxies for fixed-income securities. The pause in hikes to the U.S. federal funds rate since December and the fact that many market participants now expect rates to move in the opposite direction are favorable conditions for these sectors. Strength was broad among real estate investment trusts in the real estate sector and among utilities. Within consumer staples, household products companies, soft drink companies, and discount retailers were particularly strong.

Energy, materials, financials, and industrials declined for the period.

Energy companies were under pressure over much of the period as the price for a barrel of West Texas Intermediate crude oil fell from a high of around $75.00 in October 2018 to a low of around $42.50 in January 2019 before finishing the period around $53.50. Nearly every company in the sector finished the period lower than it began. Materials weakness was broad and led by metals and mining companies. Financials weakness was most concentrated among capital markets companies and banks. Industrials weakness was driven by the airfreight and logistics industry, including notable detractors FedEx Corporation and United Parcel Service, Incorporated.

Please see footnotes on page 7.

Performance highlights (unaudited) Wells Fargo Index Fund 9

The economy is likely to present continued opportunities for growth, but with elevated risks.

We expect the U.S. economy to maintain the trend established over the past several years with steady growth, low unemployment, high consumer confidence, and growth in personal incomes. Corporate fundamentals have deteriorated somewhat as the earnings outlook has weakened. However, investment spending and corporate balance sheets remain healthy. We believe the largest source of risk to earnings is linked to uncertainty regarding trade disputes, which have the potential to result in higher input costs, higher labor costs, and profit-margin compression. The risk of slow economic growth for several quarters or an economic downturn has increased. However, the combination of weak core inflation and slower economic growth will likely keep the FOMC on hold in 2019 with a bias toward loosening monetary policy.

10 Wells Fargo Index Fund Fund expenses (unaudited)

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

The example is based on an investment of $1,000 invested at the beginning of the six-month period and held for the entire period from December 1, 2018 to May 31, 2019.

Actual expenses

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

Hypothetical example for comparison purposes

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

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

	Beginning account value 12-1-2018		Ending account value 5-31-2019		Expenses paid during the period1,2		Annualized net expense ratio1
Class A
Actual	$	1,000.00	$	1,005.30	$	2.25		0.45	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.68	$	2.27		0.45	%
Class C
Actual	$	1,000.00	$	1,001.47	$	5.98		1.20	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,018.96	$	6.03		1.20	%
Administrator Class
Actual	$	1,000.00	$	1,006.17	$	1.25		0.25	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.68	$	1.26		0.25	%

¹ Amounts reflect net expenses allocated from the affiliated Master Portfolio in which the Fund invests.

² Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one-half-year period).

Portfolio of investments—May 31, 2019 Wells Fargo Index Fund 11

Security name	Value
Investment Companies: 100.09%
Affiliated Master Portfolio: 100.09%
Wells Fargo Index Portfolio	$	1,157,587,475
Total Investment Companies (Cost $210,203,507)		1,157,587,475

Total investments in securities (Cost $210,203,507)	100.09	%		1,157,587,475
Other assets and liabilities, net	(0.09	)		(996,708	)
Total net assets	100.00	%	$	1,156,590,767

Transactions with the affiliated Master Portfolio were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolio		Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio			Dividends allocated from affiliated Master Portfolio		Affiliated income allocated from affiliated Master Portfolio		Interest allocated from affiliated Master Portfolio		Value, end of period		% of net assets
Wells Fargo Index Portfolio		97	%		97	%	$	306,741,725	$	(284,064,839	)	$	26,960,730	$	1,079,067	$	49,485	$	1,157,587,475		100.09	%

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

12 Wells Fargo Index Fund Statement of assets and liabilities—May 31, 2019

Assets
Investments in affiliated Master Portfolio, at value (cost $210,203,507)	$	1,157,587,475
Receivable for Fund shares sold		481,931
Receivable from manager		165,862
Prepaid expenses and other assets		185,112
Total assets		1,158,420,380
Liabilities
Payable for Fund shares redeemed		1,275,885
Shareholder servicing fees payable		207,153
Administration fees payable		194,588
Distribution fee payable		13,628
Accrued expenses and other liabilities		138,359
Total liabilities		1,829,613
Total net assets	$	1,156,590,767
NET ASSETS CONSIST OF
Paid-in capital	$	(5,230,480	)
Total distributable earnings		1,161,821,247
Total net assets	$	1,156,590,767
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARE
Net assets – Class A	$	676,511,407
Shares outstanding – Class A1		13,673,192
Net asset value per share – Class A		$49.48
Maximum offering price per share – Class A2		$52.50
Net assets – Class C	$	19,145,683
Shares outstanding – Class C1		382,727
Net asset value per share – Class C		$50.02
Net assets – Administrator Class	$	460,933,677
Shares outstanding – Administrator Class1		9,174,186
Net asset value per share – Administrator Class		$50.24

¹  The Fund has an unlimited number of authorized shares.

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

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

Statement of operations—year ended May 31, 2019 Wells Fargo Index Fund 13

Investment income
Dividends allocated from affiliated Master Portfolio (net of foreign withholding taxes of $15,537)	$	26,960,730
Affiliated income allocated from affiliated Master Portfolio		1,079,067
Interest allocated from affiliated Master Portfolio		49,485
Expenses allocated from affiliated Master Portfolio		(1,551,650	)
Total investment income		26,537,632
Expenses
Management fee		714,769
Administration fees
Class A		1,475,634
Class C		105,083
Administrator Class		879,861
Shareholder servicing fees
Class A		1,756,707
Class C		125,100
Administrator Class		658,783
Distribution fee
Class C		375,281
Custody and accounting fees		75,029
Professional fees		32,467
Registration fees		86,724
Shareholder report expenses		97,432
Trustees’ fees and expenses		20,505
Other fees and expenses		82,259
Total expenses		6,485,634
Less: Fee waivers and/or expense reimbursements		(2,579,567	)
Net expenses		3,906,067
Net investment income		22,631,565
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS
Net realized gains on securities transactions allocated from affiliated Master Portfolio		306,741,725
Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio		(284,064,839	)
Net realized and unrealized gains (losses) on investments		22,676,886
Net increase in net assets resulting from operations	$	45,308,451

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

14 Wells Fargo Index Fund Statement of changes in net assets

	Year ended May 31, 2019						Year ended May 31, 20181
Operations
Net investment income				$	22,631,565					$	28,480,595
Net realized gains on investments					306,741,725						342,171,321
Net change in unrealized gains (losses) on investments					(284,064,839	)					(126,133,995	)
Net increase in net assets resulting from operations					45,308,451						244,517,921
Distributions to shareholders from net investment income and net realized gains
Class A					(163,505,563	)					(123,045,671	)
Class C					(13,933,913	)					(11,221,352	)
Administrator Class					(171,863,037	)					(188,746,345	)
Total distributions to shareholders					(349,302,513	)					(323,013,368	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		1,215,528			63,105,358			473,086			31,179,127
Class C		101,602			5,479,223			87,293			5,748,674
Administrator Class		1,223,311			69,577,734			1,710,651			115,109,719
					138,162,315						152,037,520
Reinvestment of distributions
Class A		3,265,381			156,770,222			1,867,730			117,353,642
Class C		255,848			12,342,496			157,810			9,921,751
Administrator Class		2,487,498			121,257,092			1,928,218			122,530,422
					290,369,810						249,805,815
Payment for shares redeemed
Class A		(1,902,710	)		(106,045,189	)		(1,478,098	)		(97,820,940	)
Class C		(1,013,120	)		(51,601,044	)		(215,384	)		(14,322,037	)
Administrator Class		(7,480,787	)		(408,288,013	)		(7,771,521	)		(516,434,208	)
					(565,934,246	)					(628,577,185	)
Net decrease in net assets resulting from capital share transactions					(137,402,121	)					(226,733,850	)
Total decrease in net assets					(441,396,183	)					(305,229,297	)
Net assets
Beginning of period					1,597,986,950						1,903,216,247
End of period				$	1,156,590,767					$	1,597,986,950

¹  Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Undistributed net investment income at May 31, 2018 was $10,188,054. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 7,Distributions to Shareholders,in the notes to the financial statements.

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

Financial highlights Wells Fargo Index Fund 15

(For a share outstanding throughout each period)

	Year ended May 31
CLASS A	2019			2018			2017			2016			2015
Net asset value, beginning of period		$63.35			$66.85			$62.85			$67.32			$62.14
Net investment income		0.82			0.99	1		1.05			0.81			1.00
Net realized and unrealized gains (losses) on investments		0.54			7.99			9.09			(0.17	)		5.91
Total from investment operations		1.36			8.98			10.14			0.64			6.91
Distributions to shareholders from
Net investment income		(0.90	)		(1.02	)		(1.16	)		(1.08	)		(0.96	)
Net realized gains		(14.33	)		(11.46	)		(4.98	)		(4.03	)		(0.77	)
Total distributions to shareholders		(15.23	)		(12.48	)		(6.14	)		(5.11	)		(1.73	)
Net asset value, end of period		$49.48			$63.35			$66.85			$62.85			$67.32
Total return2		3.32	%		13.87	%		16.94	%		1.24	%		11.21	%
Ratios to average net assets (annualized)
Gross expenses3		0.65	%		0.63	%		0.62	%		0.63	%		0.68	%
Net expenses3		0.45	%		0.45	%		0.45	%		0.48	%		0.56	%
Net investment income3		1.51	%		1.49	%		1.68	%		1.78	%		1.50	%
Supplemental data
Portfolio turnover rate4		4	%		3	%		9	%		4	%		4	%
Net assets, end of period (000s omitted)		$676,511			$702,866			$684,004			$639,496			$445,088

¹  Calculated based upon average shares outstanding

²  Total return calculations do not include any sales charges.

³  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.11	%
Year ended May 31, 2018	0.10	%
Year ended May 31, 2017	0.10	%
Year ended May 31, 2016	0.10	%
Year ended May 31, 2015	0.11	%

⁴  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

16 Wells Fargo Index Fund Financial highlights

(For a share outstanding throughout each period)

	Year ended May 31
CLASS C	2019			2018			2017			2016			2015
Net asset value, beginning of period		$63.67			$67.11			$63.12			$67.55			$62.37
Net investment income		0.46	1		0.50	1		0.66			0.62	1		0.50
Net realized and unrealized gains (losses) on investments		0.52			8.00			9.02			(0.45	)		5.94
Total from investment operations		0.98			8.50			9.68			0.17			6.44
Distributions to shareholders from
Net investment income		(0.30	)		(0.48	)		(0.71	)		(0.57	)		(0.49	)
Net realized gains		(14.33	)		(11.46	)		(4.98	)		(4.03	)		(0.77	)
Total distributions to shareholders		(14.63	)		(11.94	)		(5.69	)		(4.60	)		(1.26	)
Net asset value, end of period		$50.02			$63.67			$67.11			$63.12			$67.55
Total return2		2.54	%		13.02	%		16.07	%		0.48	%		10.38	%
Ratios to average net assets (annualized)
Gross expenses3		1.39	%		1.38	%		1.37	%		1.38	%		1.43	%
Net expenses3		1.20	%		1.20	%		1.20	%		1.24	%		1.31	%
Net investment income3		0.77	%		0.72	%		0.93	%		0.99	%		0.75	%
Supplemental data
Portfolio turnover rate4		4	%		3	%		9	%		4	%		4	%
Net assets, end of period (000s omitted)		$19,146			$66,117			$67,691			$79,858			$83,718

¹  Calculated based upon average shares outstanding

²  Total return calculations do not include any sales charges.

³  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.11	%
Year ended May 31, 2018	0.10	%
Year ended May 31, 2017	0.10	%
Year ended May 31, 2016	0.10	%
Year ended May 31, 2015	0.11	%

⁴  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

Financial highlights Wells Fargo Index Fund 17

(For a share outstanding throughout each period)

	Year ended May 31
ADMINISTRATOR CLASS	2019			2018			2017			2016			2015
Net asset value, beginning of period		$64.04			$67.43			$63.33			$67.80			$62.56
Net investment income		1.02	1		1.26			1.41			1.31			1.27
Net realized and unrealized gains (losses) on investments		0.48			7.94			8.94			(0.51	)		5.90
Total from investment operations		1.50			9.20			10.35			0.80			7.17
Distributions to shareholders from
Net investment income		(0.97	)		(1.13	)		(1.27	)		(1.24	)		(1.16	)
Net realized gains		(14.33	)		(11.46	)		(4.98	)		(4.03	)		(0.77	)
Total distributions to shareholders		(15.30	)		(12.59	)		(6.25	)		(5.27	)		(1.93	)
Net asset value, end of period		$50.24			$64.04			$67.43			$63.33			$67.80
Total return		3.52	%		14.10	%		17.18	%		1.49	%		11.56	%
Ratios to average net assets (annualized)
Gross expenses2		0.41	%		0.40	%		0.39	%		0.40	%		0.37	%
Net expenses2		0.25	%		0.25	%		0.25	%		0.25	%		0.25	%
Net investment income2		1.72	%		1.70	%		1.88	%		1.97	%		1.81	%
Supplemental data
Portfolio turnover rate3		4	%		3	%		9	%		4	%		4	%
Net assets, end of period (000s omitted)		$460,934			$829,004			$1,151,522			$1,502,276			$1,832,814

¹  Calculated based upon average shares outstanding

²  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.11	%
Year ended May 31, 2018	0.10	%
Year ended May 31, 2017	0.10	%
Year ended May 31, 2016	0.10	%
Year ended May 31, 2015	0.11	%

³  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

18 Wells Fargo Index Fund Notes to financial statements

1. ORGANIZATION

Wells Fargo Funds Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As an investment company, the Trust follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statements report on the Wells Fargo Index Fund (the “Fund”) which is a diversified series of the Trust.

The Fund is a feeder fund in a master-feeder structure that invests substantially all of its assets in a single master portfolio with a substantially identical investment objective and substantially similar investment strategies. The Fund seeks to achieve its investment objective by investing substantially all of its assets in a separate diversified portfolio (the “affiliated Master Portfolio”) of Wells Fargo Master Trust, a registered open-end management investment company. The affiliated Master Portfolio directly acquires portfolio securities and the Fund acquires an indirect interest in those securities. The Fund accounts for its investment in the affiliated Master Portfolio as a partnership investment and records on a daily basis its share of the affiliated Master Portfolio’s income, expense and realized and unrealized gains and losses. The financial statements of the affiliated Master Portfolio for the year ended May 31, 2019 are included in this report and should be read in conjunction with the Fund’s financial statements. As of May 31, 2019, the Fund owned 97% of Wells Fargo Index Portfolio.

2. SIGNIFICANT ACCOUNTING POLICIES

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

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Fund may deviate from this calculation time under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of the affiliated Master Portfolio’s net assets, which are also valued daily. Securities held in the affiliated Master Portfolio are valued as discussed in the Notes to Financial Statements of the affiliated Master Portfolio, which are included elsewhere in this report.

Investment transactions, income and expenses

Investments in the affiliated Master Portfolio are recorded on a trade basis. The Fund records daily its proportionate share of the affiliated Master Portfolio’s interest and dividend income, expenses and realized and unrealized gains or losses. The Fund also accrues its own expenses.

Distributions to shareholders

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

Federal and other taxes

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

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

Notes to financial statements Wells Fargo Index Fund 19

As of May 31, 2019, the aggregate cost of all investments for federal income tax purposes was $215,793,647 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	941,793,828
Gross unrealized losses		0
Net unrealized gains	$	941,793,828

Class allocations

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

3. FAIR VALUATION MEASUREMENTS

At May 31, 2019, the affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective and the value of the affiliate Master Portfolio was as follows:

Affiliated Master Portfolio	Investment objective	Value of affiliated Master Portfolio
Wells Fargo Index Portfolio	Seeks to replicate the total return of the S&P 500 Index, before fees and expenses		$1,157,587,475

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

4. TRANSACTIONS WITH AFFILIATES

Management fee

Wells Fargo Funds Management, LLC (“Funds Management”), an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”), is the manager of the Fund and provides advisory and fund-level administrative services under an investment management agreement. Under the investment management agreement, Funds Management is responsible for, among other services, implementing the investment objectives and strategies of the Fund and providing fund-level administrative services in connection with the Fund’s operations. As long as the Fund continues to invest substantially all of its assets in a single affiliated Master Portfolio, the Fund pays Funds Management an investment management fee only for fund-level administrative services at the following annual rate based on the Fund’s average daily net assets:

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

For the year ended May 31, 2019, the management fee was equivalent to an annual rate of 0.05% of the Fund’s average daily net assets.

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

Administration fees

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

	Class-level administration fee
Class A, Class C		0.21	%
Administrator Class		0.13

20 Wells Fargo Index Fund Notes to financial statements

Funds Management has contractually waived and/or reimbursed management and administration fees to the extent necessary to maintain certain net operating expense ratios for the Fund. When each class of the Fund has exceeded its expense cap, Funds Management has waived fees and/or reimbursed expenses from fund level expenses on a proportionate basis and then from class specific expenses. When only certain classes exceed their expense caps, waivers and/or reimbursements are applied against class specific expenses before fund level expenses. Net expenses from the affiliated Master Portfolio are included in the expense caps. Funds Management has committed through September 30, 2019 to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’s expenses at 0.45% for Class A shares, 1.20% for Class C shares, and 0.25% for Administrator Class shares. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees.

Distribution fee

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

In addition, Funds Distributor is entitled to receive the front-end sales charge from the purchase of Class A shares and a contingent deferred sales charge on the redemption of certain Class A shares. Funds Distributor is also entitled to receive the contingent deferred sales charges from redemptions of Class C shares. For the year ended May 31, 2019, Funds Distributor received $10,524 from the sale of Class A shares and $92 in contingent deferred sales charges from redemptions of Class C shares. No contingent deferred sales charges were incurred by Class A shares for the year ended May 31, 2019.

Shareholder servicing fees

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

5. INVESTMENT PORTFOLIO TRANSACTIONS

The Fund seeks to achieve its investment objective by investing substantially all of its assets in a single affiliated Master Portfolio. Purchases and sales have been calculated by multiplying the Fund’s ownership percentage of the affiliated Master Portfolio by the affiliated Master Portfolio’s purchases and sales. Purchases and sales of investments, excluding short-term securities, for the year ended May 31, 2019 were $48,714,178 and $495,402,094 respectively.

6. BANK BORROWINGS

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

For the year ended May 31, 2019, there were no borrowings by the Fund under the agreement.

7. DISTRIBUTIONS TO SHAREHOLDERS

The tax character of distributions paid during the years ended May 31, 2019 and May 31, 2018 were as follows:

	Year ended May 31
	2019		2018
Ordinary income	$	26,860,120	$	34,215,926
Long-term capital gain		322,442,393		288,797,442

As of May 31, 2019, the components of distributable earnings on a tax basis were as follows:

Undistributed ordinary income	Undistributed long-term gain	Unrealized gains
$7,451,967	$212,591,329	$941,793,828

Notes to financial statements Wells Fargo Index Fund 21

Effective for all filings after November 4, 2018, the Securities and Exchange Commission eliminated the requirement to separately state the components of distributions to shareholders under U.S. generally accepted accounting principles. The amounts of distributions to shareholders for the year ended May 31, 2018 were as follows:

	Net investment income		Net realized gains
Class A		$11,646,335		$111,399,336
Class C		516,619		10,704,733
Administrator Class		18,709,889		170,036,456

8. INDEMNIFICATION

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

9. NEW ACCOUNTING PRONOUNCEMENT

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

22 Wells Fargo Index Fund Report of independent registered public accounting firm

TO THE SHAREHOLDERS OF THE FUND AND BOARD OF TRUSTEES OF WELLS FARGO FUNDS TRUST:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Wells Fargo Index Fund (the Fund), one of the funds constituting Wells Fargo Funds Trust, including the portfolio of investments, as of May 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of May 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of May 31, 2019, by correspondence with the transfer agent. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

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

Boston, Massachusetts

July 26, 2019

Portfolio of investments—May 31, 2019 Wells Fargo Index Portfolio 23

Security name	Shares		Value
Common Stocks: 97.56%
Communication Services: 10.14%
Diversified Telecommunication Services: 1.95%
AT&T Incorporated		370,412	$	11,327,188
CenturyLink Incorporated		48,356		505,320
Verizon Communications Incorporated		210,108		11,419,370
				23,251,878
Entertainment: 1.97%
Activision Blizzard Incorporated		38,840		1,684,491
Electronic Arts Incorporated †		15,234		1,417,981
Netflix Incorporated †		22,201		7,621,159
Take-Two Interactive Software Incorporated †		5,754		622,295
The Walt Disney Company		88,795		11,724,492
Viacom Incorporated Class B		17,982		522,017
				23,592,435
Interactive Media & Services: 4.78%
Alphabet Incorporated Class A †		15,222		16,843,143
Alphabet Incorporated Class C †		15,630		17,249,737
Facebook Incorporated Class A †		121,301		21,527,288
TripAdvisor Incorporated †		5,226		220,903
Twitter Incorporated †		37,042		1,349,810
				57,190,881
Media: 1.44%
CBS Corporation Class B		17,679		853,542
Charter Communications Incorporated Class A †		8,823		3,324,506
Comcast Corporation Class A		229,659		9,416,019
Discovery Communications Incorporated Class A †		7,984		217,644
Discovery Communications Incorporated Class C †		18,328		469,930
DISH Network Corporation Class A †		11,667		421,295
Fox Corporation Class A		17,940		632,026
Fox Corporation Class B		8,256		286,566
Interpublic Group of Companies Incorporated		19,572		415,318
News Corporation Class A		19,593		223,164
News Corporation Class B		6,294		73,325
Omnicom Group Incorporated		11,374		879,893
				17,213,228
Consumer Discretionary: 9.93%
Auto Components: 0.10%
Aptiv plc		13,222		846,737
BorgWarner Incorporated		10,561		374,704
				1,221,441

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

24 Wells Fargo Index Portfolio Portfolio of investments—May 31, 2019

Security name	Shares		Value
Automobiles: 0.37%
Ford Motor Company		198,702	$	1,891,643
General Motors Company		66,653		2,222,211
Harley-Davidson Incorporated		8,113		265,457
				4,379,311
Distributors: 0.10%
Genuine Parts Company		7,421		733,937
LKQ Corporation †		16,006		410,554
				1,144,491
Diversified Consumer Services: 0.02%
H&R Block Incorporated		10,451		274,339
Hotels, Restaurants & Leisure: 1.90%
Carnival Corporation		20,360		1,042,228
Chipotle Mexican Grill Incorporated †		1,238		817,043
Darden Restaurants Incorporated		6,280		730,490
Hilton Worldwide Holdings Incorporated		14,891		1,331,851
Marriott International Incorporated Class A		14,336		1,789,706
McDonald’s Corporation		38,915		7,715,677
MGM Resorts International		25,936		643,732
Norwegian Cruise Line Holdings Limited †		11,067		605,476
Royal Caribbean Cruises Limited		8,722		1,061,991
Starbucks Corporation		63,236		4,809,730
Wynn Resorts Limited		4,926		528,708
Yum! Brands Incorporated		15,581		1,594,715
				22,671,347
Household Durables: 0.30%
D.R. Horton Incorporated		17,279		738,850
Garmin Limited		6,166		471,576
Leggett & Platt Incorporated		6,665		236,674
Lennar Corporation Class A		14,540		722,056
Mohawk Industries Incorporated †		3,125		423,594
Newell Rubbermaid Incorporated		19,779		265,434
Pulte Group Incorporated		12,965		401,915
Whirlpool Corporation		3,235		371,637
				3,631,736
Internet & Direct Marketing Retail: 3.62%
Amazon.com Incorporated †		20,981		37,242,744
Booking Holdings Incorporated †		2,289		3,791,088
eBay Incorporated		43,729		1,571,183
Expedia Group Incorporated		5,945		683,675
				43,288,690

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

Portfolio of investments—May 31, 2019 Wells Fargo Index Portfolio 25

Security name	Shares		Value
Leisure Products: 0.06%
Hasbro Incorporated		5,887	$	560,089
Mattel Incorporated †«		17,563		172,996
				733,085
Multiline Retail: 0.50%
Dollar General Corporation		13,367		1,701,352
Dollar Tree Incorporated †		12,100		1,229,239
Kohl’s Corporation		8,397		414,140
Macy’s Incorporated		15,636		321,633
Nordstrom Incorporated		5,449		170,554
Target Corporation		26,535		2,134,741
				5,971,659
Specialty Retail: 2.27%
Advance Auto Parts Incorporated		3,644		564,820
AutoZone Incorporated †		1,269		1,303,403
Best Buy Company Incorporated		11,905		746,086
CarMax Incorporated †		8,649		677,044
Foot Locker Incorporated		5,740		225,869
L Brands Incorporated		11,612		260,806
Lowe’s Companies Incorporated		40,730		3,799,294
O’Reilly Automotive Incorporated †		3,985		1,479,909
Ross Stores Incorporated		18,844		1,752,304
The Gap Incorporated		10,861		202,883
The Home Depot Incorporated		57,435		10,904,035
The TJX Companies Incorporated		62,927		3,164,599
Tiffany & Company		5,516		491,531
Tractor Supply Company		6,167		621,510
ULTA Beauty Incorporated †		2,865		955,134
				27,149,227
Textiles, Apparel & Luxury Goods: 0.69%
Capri Holdings Limited †		7,761		252,077
HanesBrands Incorporated		18,378		272,913
Nike Incorporated Class B		64,007		4,937,500
PVH Corporation		3,851		328,067
Ralph Lauren Corporation		2,682		281,959
Tapestry Incorporated		14,745		421,117
Under Armour Incorporated Class A †		9,549		217,717
Under Armour Incorporated Class C †		9,790		198,052
VF Corporation		16,495		1,350,611
				8,260,013
Consumer Staples: 7.23%
Beverages: 1.88%
Brown-Forman Corporation Class B		8,456		422,631
Constellation Brands Incorporated Class A		8,469		1,494,355
Molson Coors Brewing Company Class B		9,542		524,619

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

26 Wells Fargo Index Portfolio Portfolio of investments—May 31, 2019

Security name	Shares		Value
Beverages(continued)
Monster Beverage Corporation †		19,885	$	1,230,086
PepsiCo Incorporated		71,427		9,142,656
The Coca-Cola Company		195,656		9,612,579
				22,426,926
Food & Staples Retailing: 1.45%
Costco Wholesale Corporation		22,398		5,366,113
Sysco Corporation		24,020		1,653,056
The Kroger Company		40,564		925,265
Wal-Mart Stores Incorporated		72,387		7,342,937
Walgreens Boots Alliance Incorporated		40,777		2,011,937
				17,299,308
Food Products: 1.14%
Archer Daniels Midland Company		28,480		1,091,354
Campbell Soup Company «		9,796		355,693
ConAgra Foods Incorporated		24,693		661,032
General Mills Incorporated		30,344		1,500,207
Hormel Foods Corporation «		13,864		547,489
Kellogg Company		12,765		670,928
Lamb Weston Holdings Incorporated		7,449		441,353
McCormick & Company Incorporated		6,234		972,753
Mondelez International Incorporated Class A		73,434		3,734,119
The Hershey Company		7,070		932,957
The J.M. Smucker Company		5,784		703,103
The Kraft Heinz Company		31,623		874,376
Tyson Foods Incorporated Class A		15,013		1,139,337
				13,624,701
Household Products: 1.70%
Church & Dwight Company Incorporated		12,504		930,423
Colgate-Palmolive Company		43,815		3,050,400
Kimberly-Clark Corporation		17,514		2,239,865
The Clorox Company		6,517		969,795
The Procter & Gamble Company		127,202		13,090,358
				20,280,841
Personal Products: 0.16%
Coty Incorporated Class A		15,280		188,555
The Estee Lauder Companies Incorporated Class A		11,098		1,787,111
				1,975,666
Tobacco: 0.90%
Altria Group Incorporated		95,312		4,676,007
Philip Morris International Incorporated		79,046		6,096,818
				10,772,825

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

Portfolio of investments—May 31, 2019 Wells Fargo Index Portfolio 27

Security name	Shares		Value
Energy: 4.81%
Energy Equipment & Services: 0.42%
Baker Hughes Incorporated		26,105	$	558,908
Halliburton Company		44,368		944,595
Helmerich & Payne Incorporated		5,563		272,086
National Oilwell Varco Incorporated		19,497		406,512
Schlumberger Limited		70,475		2,444,778
TechnipFMC plc		21,635		450,008
				5,076,887
Oil, Gas & Consumable Fuels: 4.39%
Anadarko Petroleum Corporation		25,403		1,787,609
Apache Corporation		19,089		497,650
Cabot Oil & Gas Corporation		21,528		538,631
Chevron Corporation		96,616		10,999,732
Cimarex Energy Company		5,159		295,043
Concho Resources Incorporated		10,200		999,702
ConocoPhillips		57,683		3,400,990
Devon Energy Corporation		21,115		531,253
Diamondback Energy Incorporated		7,857		770,457
EOG Resources Incorporated		29,495		2,415,051
Exxon Mobil Corporation		215,446		15,247,113
Hess Corporation		12,943		722,996
HollyFrontier Corporation		7,989		303,422
Kinder Morgan Incorporated		98,990		1,974,851
Marathon Oil Corporation		41,620		547,303
Marathon Petroleum Corporation		34,253		1,575,295
Noble Energy Incorporated		24,590		526,226
Occidental Petroleum Corporation		38,113		1,896,884
ONEOK Incorporated		20,930		1,331,567
Phillips 66		21,332		1,723,626
Pioneer Natural Resources Company		8,561		1,215,320
The Williams Companies Incorporated		61,577		1,624,401
Valero Energy Corporation		21,235		1,494,944
				52,420,066
Financials: 12.84%
Banks: 5.37%
Bank of America Corporation		456,756		12,149,710
BB&T Corporation		38,831		1,815,349
Citigroup Incorporated		119,572		7,431,400
Citizens Financial Group Incorporated		23,410		762,698
Comerica Incorporated		8,085		556,410
Fifth Third Bancorp		39,141		1,037,237
First Republic Bank		8,379		812,931
Huntington Bancshares Incorporated		53,229		673,347
JPMorgan Chase & Company		166,491		17,641,386
KeyCorp		51,296		819,197
M&T Bank Corporation		7,044		1,124,222

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

28 Wells Fargo Index Portfolio Portfolio of investments—May 31, 2019

Security name	Shares		Value
Banks(continued)
People’s United Financial Incorporated		19,994	$	307,308
PNC Financial Services Group Incorporated		23,066		2,935,379
Regions Financial Corporation		51,750		715,703
SunTrust Banks Incorporated		22,539		1,352,565
SVB Financial Group †		2,676		538,946
US Bancorp		76,506		3,840,601
Wells Fargo & Company (l)		208,199		9,237,790
Zions Bancorporation		9,466		407,701
				64,159,880
Capital Markets: 2.63%
Affiliated Managers Group Incorporated		2,647		221,872
Ameriprise Financial Incorporated		6,890		952,405
Bank of New York Mellon Corporation		44,668		1,906,877
BlackRock Incorporated		6,188		2,571,485
CBOE Holdings Incorporated		5,705		619,221
CME Group Incorporated		18,192		3,495,047
E*TRADE Financial Corporation		12,525		561,120
Franklin Resources Incorporated		15,027		478,159
Intercontinental Exchange Incorporated		28,907		2,376,444
Invesco Limited		20,191		394,532
Moody’s Corporation		8,450		1,545,336
Morgan Stanley		66,036		2,687,005
MSCI Incorporated		4,288		943,403
Northern Trust Corporation		11,106		949,785
Raymond James Financial Incorporated		6,454		532,971
S&P Global Incorporated		12,641		2,703,657
State Street Corporation		19,254		1,063,784
T. Rowe Price Group Incorporated		12,014		1,215,096
The Charles Schwab Corporation		60,321		2,509,957
The Goldman Sachs Group Incorporated		17,415		3,178,063
The NASDAQ OMX Group Incorporated		5,888		533,688
				31,439,907
Consumer Finance: 0.71%
American Express Company		35,165		4,033,777
Capital One Financial Corporation		23,791		2,042,933
Discover Financial Services		16,698		1,244,836
Synchrony Financial		33,208		1,116,785
				8,438,331
Diversified Financial Services: 1.65%
Berkshire Hathaway Incorporated Class B †		98,878		19,520,495
Jefferies Financial Group Incorporated		13,373		236,301
				19,756,796
Insurance: 2.48%
AFLAC Incorporated		38,153		1,957,249
American International Group Incorporated		44,212		2,257,907

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

Portfolio of investments—May 31, 2019 Wells Fargo Index Portfolio 29

Security name	Shares		Value
Insurance(continued)
Aon plc		12,204	$	2,197,574
Arthur J. Gallagher & Company		9,359		788,028
Assurant Incorporated		3,137		313,575
Chubb Limited		23,308		3,404,600
Cincinnati Financial Corporation		7,705		756,939
Everest Reinsurance Group Limited		2,068		512,161
Lincoln National Corporation		10,388		617,567
Loews Corporation		13,930		715,445
Marsh & McLennan Companies Incorporated		25,684		2,455,390
MetLife Incorporated		48,676		2,249,318
Principal Financial Group Incorporated		13,161		678,713
Prudential Financial Incorporated		20,797		1,921,227
The Allstate Corporation		16,880		1,612,209
The Hartford Financial Services Group Incorporated		18,279		962,572
The Progressive Corporation		29,690		2,353,823
The Travelers Companies Incorporated		13,393		1,949,619
Torchmark Corporation		5,157		440,975
Unum Group		10,913		343,650
Willis Towers Watson plc		6,565		1,152,158
				29,640,699
Health Care: 13.88%
Biotechnology: 2.17%
AbbVie Incorporated		75,006		5,753,710
Alexion Pharmaceuticals Incorporated †		11,363		1,291,746
Amgen Incorporated		31,642		5,274,721
Biogen Idec Incorporated †		10,002		2,193,339
Celgene Corporation †		35,714		3,349,616
Gilead Sciences Incorporated		64,858		4,037,411
Incyte Corporation †		9,034		710,343
Regeneron Pharmaceuticals Incorporated †		3,985		1,202,354
Vertex Pharmaceuticals Incorporated †		13,000		2,160,340
				25,973,580
Health Care Equipment & Supplies: 3.38%
Abbott Laboratories		89,307		6,798,942
ABIOMED Incorporated †		2,293		600,583
Align Technology Incorporated †		3,701		1,052,379
Baxter International Incorporated		24,238		1,780,039
Becton Dickinson & Company		13,682		3,193,926
Boston Scientific Corporation †		70,474		2,706,906
Danaher Corporation		31,948		4,217,455
Dentsply Sirona Incorporated		11,897		640,891
Edwards Lifesciences Corporation †		10,565		1,803,446
Hologic Incorporated †		13,617		599,284
IDEXX Laboratories Incorporated †		4,373		1,092,244
Intuitive Surgical Incorporated †		5,822		2,706,357
Medtronic plc		68,196		6,313,586
ResMed Incorporated		7,287		831,592

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

30 Wells Fargo Index Portfolio Portfolio of investments—May 31, 2019

Security name	Shares		Value
Health Care Equipment & Supplies(continued)
Stryker Corporation		15,728	$	2,881,999
Teleflex Incorporated		2,340		674,622
The Cooper Companies Incorporated		2,509		747,155
Varian Medical Systems Incorporated †		4,616		582,816
Zimmer Biomet Holdings Incorporated		10,395		1,184,302
				40,408,524
Health Care Providers & Services: 2.69%
AmerisourceBergen Corporation		7,943		618,442
Anthem Incorporated		13,069		3,632,921
Cardinal Health Incorporated		15,154		637,529
Centene Corporation †		21,009		1,213,270
Cigna Corporation		19,326		2,860,635
CVS Health Corporation		65,955		3,454,063
DaVita HealthCare Partners Incorporated †		6,431		279,234
HCA Holdings Incorporated		13,579		1,642,516
Henry Schein Incorporated		7,699		496,278
Humana Incorporated		6,893		1,687,820
Laboratory Corporation of America Holdings †		5,014		815,327
McKesson Corporation		9,754		1,191,354
Quest Diagnostics Incorporated		6,827		654,778
UnitedHealth Group Incorporated		48,791		11,797,664
Universal Health Services Incorporated Class B		4,247		507,729
WellCare Health Plans Incorporated †		2,542		702,075
				32,191,635
Health Care Technology: 0.10%
Cerner Corporation †		16,493		1,154,015
Life Sciences Tools & Services: 1.01%
Agilent Technologies Incorporated		16,150		1,082,858
Illumina Incorporated †		7,475		2,294,152
IQVIA Holdings Incorporated †		8,046		1,093,049
Mettler-Toledo International Incorporated †		1,261		911,816
PerkinElmer Incorporated		5,634		486,440
Thermo Fisher Scientific Incorporated		20,470		5,465,081
Waters Corporation †		3,636		729,782
				12,063,178
Pharmaceuticals: 4.53%
Allergan plc		15,898		1,938,125
Bristol-Myers Squibb Company		83,020		3,766,617
Eli Lilly & Company		43,917		5,091,737
Johnson & Johnson		135,417		17,759,940
Merck & Company Incorporated		131,252		10,396,471
Mylan NV †		26,219		440,479
Nektar Therapeutics †		8,853		277,276
Perrigo Company plc		6,356		267,079
Pfizer Incorporated		282,302		11,721,179
Zoetis Incorporated		24,345		2,460,062
				54,118,965

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

Portfolio of investments—May 31, 2019 Wells Fargo Index Portfolio 31

Security name	Shares		Value
Industrials: 9.11%
Aerospace & Defense: 2.55%
Arconic Incorporated		20,504	$	449,038
General Dynamics Corporation		13,777		2,215,617
Harris Corporation		5,998		1,122,766
Huntington Ingalls Industries Incorporated		2,112		433,213
L-3 Technologies Incorporated		4,033		976,228
Lockheed Martin Corporation		12,500		4,231,750
Northrop Grumman Corporation		8,631		2,617,351
Raytheon Company		14,352		2,504,424
Textron Incorporated		11,933		540,565
The Boeing Company		26,718		9,127,136
TransDigm Group Incorporated †		2,475		1,091,351
United Technologies Corporation		41,218		5,205,833
				30,515,272
Air Freight & Logistics: 0.53%
C.H. Robinson Worldwide Incorporated		6,959		554,145
Expeditors International of Washington Incorporated		8,729		607,451
FedEx Corporation		12,212		1,884,067
United Parcel Service Incorporated Class B		35,390		3,288,439
				6,334,102
Airlines: 0.39%
Alaska Air Group Incorporated		6,260		364,332
American Airlines Group Incorporated		20,322		553,368
Delta Air Lines Incorporated		31,417		1,617,976
Southwest Airlines Company		25,293		1,203,947
United Continental Holdings Incorporated †		11,393		884,666
				4,624,289
Building Products: 0.29%
A.O. Smith Corporation		7,211		292,046
Allegion plc		4,803		466,131
Fortune Brands Home & Security Incorporated		7,147		343,485
Johnson Controls International plc		46,410		1,787,713
Masco Corporation		14,975		522,927
				3,412,302
Commercial Services & Supplies: 0.42%
Cintas Corporation		4,306		955,200
Copart Incorporated †		10,212		729,954
Republic Services Incorporated		10,957		926,853
Rollins Incorporated		7,495		281,587
Waste Management Incorporated		19,825		2,167,864
				5,061,458

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

32 Wells Fargo Index Portfolio Portfolio of investments—May 31, 2019

Security name	Shares		Value
Construction & Engineering: 0.07%
Fluor Corporation		7,097	$	196,729
Jacobs Engineering Group Incorporated		5,959		448,653
Quanta Services Incorporated		7,188		249,855
				895,237
Electrical Equipment: 0.45%
AMETEK Incorporated		11,549		945,748
Eaton Corporation plc		21,540		1,604,515
Emerson Electric Company		31,253		1,882,681
Rockwell Automation Incorporated		6,079		904,859
				5,337,803
Industrial Conglomerates: 1.40%
3M Company		29,279		4,677,320
General Electric Company		442,643		4,178,550
Honeywell International Incorporated		37,073		6,091,465
Roper Industries Incorporated		5,268		1,811,771
				16,759,106
Machinery: 1.48%
Caterpillar Incorporated		29,266		3,506,359
Cummins Incorporated		7,360		1,109,594
Deere & Company		16,195		2,270,053
Dover Corporation		7,370		658,952
Flowserve Corporation		6,660		309,357
Fortive Corporation		14,974		1,140,270
Illinois Tool Works Incorporated		15,349		2,143,334
Ingersoll-Rand plc		12,314		1,457,239
Paccar Incorporated		17,630		1,160,407
Parker-Hannifin Corporation		6,578		1,001,961
Pentair plc		8,017		279,152
Snap-on Incorporated		2,828		440,942
Stanley Black & Decker Incorporated		7,696		979,085
Wabtec Corporation «		8,064		503,032
Xylem Incorporated		9,130		677,629
				17,637,366
Professional Services: 0.31%
Equifax Incorporated		6,137		741,963
IHS Markit Limited †		18,481		1,060,625
Nielsen Holdings plc		18,074		410,822
Robert Half International Incorporated		6,055		324,911
Verisk Analytics Incorporated		8,314		1,163,960
				3,702,281
Road & Rail: 1.06%
CSX Corporation		39,400		2,934,118
J.B. Hunt Transport Services Incorporated		4,423		376,574
Kansas City Southern		5,133		581,466

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

Portfolio of investments—May 31, 2019 Wells Fargo Index Portfolio 33

Security name	Shares		Value
Road & Rail(continued)
Norfolk Southern Corporation		13,600	$	2,653,904
Union Pacific Corporation		36,757		6,130,332
				12,676,394
Trading Companies & Distributors: 0.16%
Fastenal Company		29,102		890,230
United Rentals Incorporated †		4,047		445,575
W.W. Grainger Incorporated		2,293		600,055
				1,935,860
Information Technology: 20.63%
Communications Equipment: 1.20%
Arista Networks Incorporated †		2,657		649,876
Cisco Systems Incorporated		223,838		11,646,291
F5 Networks Incorporated †		3,023		399,278
Juniper Networks Incorporated		17,691		435,376
Motorola Solutions Incorporated		8,333		1,249,533
				14,380,354
Electronic Equipment, Instruments & Components: 0.44%
Amphenol Corporation Class A		15,157		1,318,659
Corning Incorporated		40,006		1,153,773
FLIR Systems Incorporated		6,888		332,897
IPG Photonics Corporation †		1,804		225,807
Keysight Technologies Incorporated †		9,547		717,266
TE Connectivity Limited		17,230		1,451,283
				5,199,685
IT Services: 5.25%
Accenture plc Class A		32,413		5,771,783
Akamai Technologies Incorporated †		8,299		625,413
Alliance Data Systems Corporation		2,318		318,725
Automatic Data Processing Incorporated		22,151		3,546,818
Broadridge Financial Solutions Incorporated		5,882		734,485
Cognizant Technology Solutions Corporation Class A		29,243		1,811,019
DXC Technology Company		13,641		648,493
Fidelity National Information Services Incorporated		16,420		1,975,326
Fiserv Incorporated †		19,912		1,709,644
FleetCor Technologies Incorporated †		4,366		1,127,345
Gartner Incorporated †		4,562		690,231
Global Payments Incorporated		8,014		1,234,477
International Business Machines Corporation		45,249		5,746,171
Jack Henry & Associates Incorporated		3,924		514,907
MasterCard Incorporated Class A		45,900		11,543,391
Paychex Incorporated		16,250		1,394,088
PayPal Holdings Incorporated †		59,656		6,547,246
Total System Services Incorporated		8,276		1,022,334
VeriSign Incorporated †		5,357		1,044,508

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

34 Wells Fargo Index Portfolio Portfolio of investments—May 31, 2019

Security name	Shares		Value
IT Services(continued)
Visa Incorporated Class A		88,994	$	14,357,402
Western Union Company		22,165		430,001
				62,793,807
Semiconductors & Semiconductor Equipment: 3.46%
Advanced Micro Devices Incorporated †		44,798		1,227,913
Analog Devices Incorporated		18,728		1,809,499
Applied Materials Incorporated		48,275		1,867,760
Broadcom Incorporated		20,141		5,068,281
Intel Corporation		228,667		10,070,495
KLA-Tencor Corporation		8,400		865,788
Lam Research Corporation		7,759		1,354,799
Maxim Integrated Products Incorporated		13,902		731,106
Microchip Technology Incorporated «		12,050		964,362
Micron Technology Incorporated †		57,004		1,858,900
NVIDIA Corporation		30,814		4,174,064
Qorvo Incorporated †		6,244		382,008
QUALCOMM Incorporated		61,543		4,112,303
Skyworks Solutions Incorporated		8,851		589,742
Texas Instruments Incorporated		47,721		4,977,778
Xilinx Incorporated		12,873		1,317,037
				41,371,835
Software: 6.56%
Adobe Systems Incorporated †		24,800		6,718,320
Ansys Incorporated †		4,260		764,670
Autodesk Incorporated †		11,136		1,791,894
Cadence Design Systems Incorporated †		14,257		906,317
Citrix Systems Incorporated		6,363		598,886
Fortinet Incorporated †		7,375		534,540
Intuit Incorporated		13,174		3,225,654
Microsoft Corporation		390,123		48,250,413
Oracle Corporation		129,569		6,556,191
Red Hat Incorporated †		8,988		1,656,488
Salesforce.com Incorporated †		38,899		5,889,698
Symantec Corporation		32,503		608,781
Synopsys Incorporated †		7,611		886,225
				78,388,077
Technology Hardware, Storage & Peripherals: 3.72%
Apple Incorporated		227,778		39,877,094
Hewlett Packard Enterprise Company		70,017		960,633
HP Incorporated		77,977		1,456,610
NetApp Incorporated		12,558		743,434
Seagate Technology plc		13,037		545,598
Western Digital Corporation		14,789		550,447
Xerox Corporation		10,163		311,089
				44,444,905

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

Portfolio of investments—May 31, 2019 Wells Fargo Index Portfolio 35

Security name	Shares		Value
Materials: 2.55%
Chemicals: 1.89%
Air Products & Chemicals Incorporated		11,168	$	2,273,693
Albemarle Corporation		5,377		340,364
Celanese Corporation Series A		6,514		618,374
CF Industries Holdings Incorporated		11,334		456,080
Dow Incorporated		38,217		1,787,027
DowDuPont Incorporated		114,652		3,499,179
Eastman Chemical Company		7,107		461,386
Ecolab Incorporated		12,881		2,371,263
FMC Corporation		6,847		502,912
International Flavors & Fragrances Incorporated «		5,151		697,548
Linde plc		28,020		5,059,011
LyondellBasell Industries NV Class A		15,476		1,149,093
PPG Industries Incorporated		11,995		1,255,277
The Mosaic Company		18,033		387,169
The Sherwin-Williams Company		4,149		1,740,298
				22,598,674
Construction Materials: 0.13%
Martin Marietta Materials Incorporated		3,175		668,338
Vulcan Materials Company		6,703		837,272
				1,505,610
Containers & Packaging: 0.29%
Avery Dennison Corporation		4,270		444,336
Ball Corporation		17,001		1,043,691
International Paper Company		20,352		843,997
Packaging Corporation of America		4,805		428,029
Sealed Air Corporation		7,914		331,597
WestRock Company		12,985		423,311
				3,514,961
Metals & Mining: 0.24%
Freeport-McMoRan Incorporated		73,682		715,452
Newmont Mining Corporation		41,554		1,375,022
Nucor Corporation		15,528		745,344
				2,835,818
Real Estate: 3.11%
Equity REITs: 3.05%
Alexandria Real Estate Equities Incorporated		5,732		839,222
American Tower Corporation		22,431		4,682,920
Apartment Investment & Management Company Class A		7,904		394,805
AvalonBay Communities Incorporated		7,043		1,429,799
Boston Properties Incorporated		7,857		1,027,931
Crown Castle International Corporation		21,131		2,747,241
Digital Realty Trust Incorporated		10,568		1,244,065
Duke Realty Corporation		18,267		549,654

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

36 Wells Fargo Index Portfolio Portfolio of investments—May 31, 2019

Security name	Shares		Value
Equity REITs(continued)
Equinix Incorporated		4,237	$	2,058,292
Equity Residential Company Limited		18,811		1,440,358
Essex Property Trust Incorporated		3,340		974,412
Extra Space Storage Incorporated		6,473		693,647
Federal Realty Investment Trust		3,781		494,290
HCP Incorporated		24,294		770,363
Host Hotels & Resorts Incorporated		37,652		681,878
Iron Mountain Incorporated		14,561		446,295
Kimco Realty Corporation		21,427		372,830
Mid-America Apartment Communities Incorporated		5,791		661,216
Prologis Incorporated		32,053		2,361,345
Public Storage Incorporated		7,631		1,815,262
Realty Income Corporation		15,447		1,082,526
Regency Centers Corporation		8,517		561,781
SBA Communications Corporation †		5,725		1,238,947
Simon Property Group Incorporated		15,710		2,546,434
SL Green Realty Corporation		4,255		365,930
The Macerich Company		5,383		195,564
UDR Incorporated		14,014		627,547
Ventas Incorporated		18,112		1,164,602
Vornado Realty Trust		8,817		583,950
Welltower Incorporated		19,646		1,595,648
Weyerhaeuser Company		37,960		865,488
				36,514,242
Real Estate Management & Development: 0.06%
CBRE Group Incorporated Class A †		15,881		725,762
Utilities: 3.33%
Electric Utilities: 2.00%
Alliant Energy Corporation		12,004		569,710
American Electric Power Company Incorporated		25,083		2,160,148
Duke Energy Corporation		36,968		3,164,830
Edison International		16,567		983,583
Entergy Corporation		9,640		935,755
Evergy Incorporated		12,948		752,797
Eversource Energy		16,118		1,190,153
Exelon Corporation		49,310		2,370,825
FirstEnergy Corporation		25,610		1,056,156
NextEra Energy Incorporated		24,314		4,819,278
Pinnacle West Capital Corporation		5,703		535,569
PPL Corporation		36,659		1,090,972
The Southern Company		52,606		2,814,421
Xcel Energy Incorporated		26,147		1,499,269
				23,943,466
Gas Utilities: 0.05%
Atmos Energy Corporation		5,944		605,099

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

Portfolio of investments—May 31, 2019 Wells Fargo Index Portfolio 37

Security name						Shares		Value
Independent Power & Renewable Electricity Producers: 0.08%
AES Corporation							33,677	$	532,097
NRG Energy Incorporated							14,288		486,364
									1,018,461
Multi-Utilities: 1.11%
Ameren Corporation							12,440		912,350
CenterPoint Energy Incorporated							25,485		724,793
CMS Energy Corporation							14,411		808,601
Consolidated Edison Incorporated							16,326		1,408,934
Dominion Energy Incorporated							40,644		3,055,616
DTE Energy Company							9,251		1,160,723
NiSource Incorporated							18,941		527,507
Public Service Enterprise Group Incorporated							25,702		1,510,250
Sempra Energy							13,935		1,831,756
WEC Energy Group Incorporated							16,040		1,292,022
									13,232,552
Water Utilities: 0.09%
American Water Works Company Incorporated							9,191		1,038,767
Total Common Stocks (Cost $383,304,766)									1,166,200,036
	Yield
Short-Term Investments: 2.48%
Investment Companies: 2.29%
Securities Lending Cash Investments LLC (l)(r)(u)		2.51	%				3,129,501		3,129,814
Wells Fargo Government Money Market Fund Select Class (l)(u)		2.30					24,217,403		24,217,403
									27,347,217
				Maturity date		Principal
U.S. Treasury Securities: 0.19%
U.S. Treasury Bill (z)#		1.83			6-13-2019	$	2,268,000		2,266,500
Total Short-Term Investments (Cost $29,613,568)									29,613,717

Total investments in securities (Cost $412,918,334)	100.04	%		1,195,813,753
Other assets and liabilities, net	(0.04	)		(427,221	)
Total net assets	100.00	%	$	1,195,386,532

† Non-income-earning security

« All or a portion of this security is on loan.

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

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

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

(z) Zero coupon security. The rate represents the current yield to maturity.

# All or a portion of this security is segregated as collateral for investments in derivative instruments.

Abbreviations:

REIT Real estate investment trust

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

38 Wells Fargo Index Portfolio Portfolio of investments—May 31, 2019

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost		Notional value		Unrealized gains		Unrealized losses
Long
S&P 500 Index		41		6-20-2019	$	29,747,405	$	28,214,150	$	0	$	(1,533,255	)

Investments in Affiliates

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

	Shares, beginning of period		Shares purchased		Shares sold		Shares, end of period		Net realized gains (losses)		Net change in unrealized gains (losses)			Income from affiliated securities		Value, end of period		% of net assets
Common Stocks
Financials
Banks
Wells Fargo & Company		308,208		890		100,899		208,199	$	2,349,943	$	(4,708,807	)	$	449,938	$	9,237,790		0.77	%
Short-Term Investments
Investment Companies
Securities Lending Cash Investments LLC		6,535,529		51,479,964		54,885,992		3,129,501		141		(207	)		77,452		3,129,814
Wells Fargo Government Money Market Fund Select Class		17,497,109		318,604,274		311,883,980		24,217,403		0		0			604,782		24,217,403
																	27,347,217		2.29	%
									$	2,350,084	$	(4,709,014	)	$	1,132,172	$	36,585,007		3.06	%

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

Statement of assets and liabilities—May 31, 2019 Wells Fargo Index Portfolio 39

Assets
Investments in unaffiliated securities (including $3,025,927 of securities loaned), at value (cost $380,664,056)	$	1,159,228,746
Investments in affiliated securities, at value (cost $32,254,278)		36,585,007
Receivable for dividends		2,448,106
Receivable for tax reclaims		624,323
Receivable for securities lending income, net		636
Prepaid expenses and other assets		186,800
Total assets		1,199,073,618
Liabilities
Payable upon receipt of securities loaned		3,127,781
Payable for daily variation margin on open futures contracts		387,450
Advisory fee payable		107,208
Accrued expenses and other liabilities		64,647
Total liabilities		3,687,086
Total net assets	$	1,195,386,532

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

40 Wells Fargo Index Portfolio Statement of operations—year ended May 31, 2019

Investment income
Dividends (net of foreign dividend withholding taxes of $16,043)	$	27,744,211
Income from affiliated securities		1,112,974
Interest		50,937
Total investment income		28,908,122
Expenses
Advisory fee		1,354,919
Custody and accounting fees		133,001
Professional fees		60,889
Shareholder report expenses		7,142
Trustees’ fees and expenses		20,971
Other fees and expenses		19,813
Net expenses		1,596,735
Net investment income		27,311,387
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS
Net realized gains on:
Unaffiliated securities		313,083,728
Affiliated securities		2,350,084
Futures contracts		903,750
Net realized gains on investments		316,337,562
Net change in unrealized gains (losses) on:
Unaffiliated securities		(286,211,751	)
Affiliated securities		(4,709,014	)
Futures contracts		(2,000,615	)
Net change in unrealized gains (losses) on investments		(292,921,380	)
Net realized and unrealized gains (losses) on investments		23,416,182
Net increase in net assets resulting from operations	$	50,727,569

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

Statement of changes in net assets Wells Fargo Index Portfolio 41

	Year ended May 31, 2019			Year ended May 31, 2018
Operations
Net investment income	$	27,311,387		$	34,477,983
Net realized gains on investments		316,337,562			356,446,608
Net change in unrealized gains (losses) on investments		(292,921,380	)		(130,957,468	)
Net increase in net assets resulting from operations		50,727,569			259,967,123
Capital transactions
Transactions in investors’ beneficial interests
Contributions		3,884,910			15,647,891
Withdrawals		(513,193,862	)		(637,181,697	)
Net decrease in net assets resulting from capital transactions		(509,308,952	)		(621,533,806	)
Total decrease in net assets		(458,581,383	)		(361,566,683	)
Net assets
Beginning of period		1,653,967,915			2,015,534,598
End of period	$	1,195,386,532		$	1,653,967,915

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

42 Wells Fargo Index Portfolio Financial highlights

	Year ended May 31
	2019			2018			2017			2016			2015
Total return		3.67	%		14.27	%		17.36	%		1.62	%		11.69	%
Ratios to average net assets (annualized)
Gross expenses		0.11	%		0.10	%		0.10	%		0.11	%		0.11	%
Net expenses		0.11	%		0.10	%		0.10	%		0.10	%		0.11	%
Net investment income		1.86	%		1.84	%		2.03	%		2.12	%		1.96	%
Supplemental data
Portfolio turnover rate		4	%		3	%		9	%		4	%		4	%

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

Notes to financial statements Wells Fargo Index Portfolio 43

1. ORGANIZATION

Wells Fargo Master Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As an investment company, the Trust follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statements report on the Wells Fargo Index Portfolio (the “Portfolio”) which is a diversified series of the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

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

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Portfolio may deviate from this calculation time under unusual or unexpected circumstances.

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

Debt securities are valued at the evaluated bid price provided by an independent pricing service service (e.g. taking into account various factors, including yields, maturities, or credit ratings) or, if a reliable price is not available, the quoted bid price from an independent broker-dealer.

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

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Portfolio. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC (“Funds Management”). The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.

Securities lending

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

The Portfolio lends its securities through an unaffiliated securities lending agent. Cash collateral received in connection with its securities lending transactions is invested in Securities Lending Cash Investments, LLC (the “Securities Lending Fund”). The Securities Lending Fund is exempt from registration under Section 3(c)(7) of the 1940 Act and is managed by Funds Management and is subadvised by Wells Capital Management Incorporated (“WellsCap”), an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”). Funds Management

44 Wells Fargo Index Portfolio Notes to financial statements

receives an advisory fee starting at 0.05% and declining to 0.01% as the average daily net assets of the Securities Lending Fund increase. All of the fees received by Funds Management are paid to WellsCap for its services as subadviser. The Securities Lending Fund seeks to provide a positive return compared to the daily Fed Funds Open Rate by investing in high-quality, U.S. dollar-denominated short-term money market instruments. Securities Lending Fund investments are valued at the evaluated bid price provided by an independent pricing service. Income earned from investment in the Securities Lending Fund (net of fees and rebates), if any, is included in income from affiliated securities on the Statement of Operations.

Futures contracts

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

Upon entering into a futures contracts, the Portfolio is required to deposit either cash or securities (initial margin) with the broker in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are paid to or from the broker each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains or losses and, if any, shown as variation margin receivable (payable) in the Statement of Assets and Liabilities. Should the Portfolio fail to make requested variation margin payments, the broker can gain access to the initial margin to satisfy the Portfolio’s payment obligations. When the contracts are closed, a realized gain or loss is recorded in the Statement of Operations.

Security transactions and income recognition

Securities transactions are recorded on a trade date basis. Realized gains or losses are recorded on the basis of identified cost.

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

Interest income is accrued daily and bond discounts are accreted and premiums are amortized daily. To the extent debt obligations are placed on non-accrual status, any related interest income may be reduced by writing off interest receivables when the collection of all or a portion of interest has been determined to be doubtful based on consistently applied procedures and the fair value has decreased. If the issuer subsequently resumes interest payments or when the collectability of interest is reasonably assured, the debt obligation is removed from non-accrual status.

Federal and other taxes

The Portfolio is treated as a separate entity for federal income tax purposes. The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains as it is treated as a partnership for federal income tax purposes. All interest, dividends, gains and losses of the Portfolio are deemed to have been “passed through” to the interest holders in proportion to their holdings of the Portfolio regardless of whether such interest, dividends and gains have been distributed by the Portfolio.

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

As of May 31, 2019, the aggregate cost of all investments for federal income tax purposes was $433,782,316 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	797,914,415
Gross unrealized losses		(37,416,233	)
Net unrealized gains	$	760,498,182

Notes to financial statements Wells Fargo Index Portfolio 45

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 May 31, 2019:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Common stocks
Communication services	$	121,248,422	$	0	$	0	$	121,248,422
Consumer discretionary		118,725,339		0		0		118,725,339
Consumer staples		86,380,267		0		0		86,380,267
Energy		57,496,953		0		0		57,496,953
Financials		153,435,613		0		0		153,435,613
Health care		165,909,897		0		0		165,909,897
Industrials		108,891,470		0		0		108,891,470
Information technology		246,578,663		0		0		246,578,663
Materials		30,455,063		0		0		30,455,063
Real estate		37,240,004		0		0		37,240,004
Utilities		39,838,345		0		0		39,838,345
Short-term investments
Investment companies		24,217,403		3,129,814		0		27,347,217
U.S. Treasury securities		2,266,500		0		0		2,266,500
Total assets	$	1,192,683,939	$	3,129,814	$	0	$	1,195,813,753
Liabilities
Futures contracts	$	1,533,255	$	0	$	0	$	1,533,255
Total liabilities	$	1,533,255	$	0	$	0	$	1,533,255

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

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

At May 31, 2019, the Portfolio did not have any transfers into/out of Level 3.

46 Wells Fargo Index Portfolio Notes to financial statements

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 $500 million	0.100%
Next $500 million	0.100
Next $2 billion	0.075
Next $2 billion	0.075
Over $5 billion	0.050

For the year ended May 31, 2019, the advisory fee was equivalent to an annual rate of 0.09% of the Portfolio’s average daily net assets.

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Portfolio. The fee for subadvisory services is borne by Funds Management. WellsCap is the subadviser to the Portfolio and is entitled to receive a fee from Funds Management at an annual rate starting at 0.05% and declining to 0.02% as the average daily net assets of the Portfolio increase.

Interfund transactions

The Portfolios may purchase or sell portfolio investment securities to certain other Wells Fargo affiliates pursuant to Rule 17a-7 of the 1940 Act and under procedures adopted by the Board of Trustees. The procedures have been designed to ensure that these interfund transactions, which do not incur broker commissions, are effected at current market prices.

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments, excluding U.S. government obligations (if any) and short-term securities, for the year ended May 31, 2019 were $50,304,857 and $511,578,610, respectively.

6. DERIVATIVE TRANSACTIONS

During the year ended May 31, 2019, the Portfolio entered into futures contracts for to gain market exposure. The Portfolio had an average notional amount of $35,004,303 in long futures contracts during the year ended May 31, 2019.

The fair value, realized gains or losses and change in unrealized gains or losses, if any, on derivative instruments are reflected in the corresponding financial statement captions.

7. BANK BORROWINGS

Effective August 28, 2018, the Trust, along with Wells Fargo Variable Trust and Wells Fargo Funds Trust (excluding the money market funds), are parties to a $280,000,000 revolving credit agreement whereby the Portfolio is permitted to use bank borrowings for temporary or emergency purposes, such as to fund shareholder redemption requests. Interest under the credit agreement is charged to the Portfolio based on a borrowing rate equal to the higher of the Federal Funds rate in effect on that day plus 1.25% or the overnight LIBOR rate in effect on that day plus 1.25%. In addition, an annual commitment fee equal to 0.25% of the unused balance is allocated to each participating fund.

For the year ended May 31, 2019, there were no borrowings by the Portfolio under the agreement.

8. INDEMNIFICATION

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

Notes to financial statements Wells Fargo Index Portfolio 47

9. NEW ACCOUNTING PRONOUNCEMENT

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

48 Wells Fargo Index Portfolio Report of independent registered public accounting firm

TO THE SHAREHOLDERS OF THE PORTFOLIO AND BOARD OF TRUSTEES OF WELLS FARGO MASTER TRUST:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Wells Fargo Index Portfolio (the Portfolio), one of the portfolios constituting Wells Fargo Master Trust, including the portfolio of investments, as of May 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Portfolio as of May 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of May 31, 2019, by correspondence with the custodian and brokers, or by other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

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

Boston, Massachusetts

July 26, 2019

Other information (unaudited) Wells Fargo Index Fund 49

TAX INFORMATION

For corporate shareholders, pursuant to Section 854 of the Internal Revenue Code, 100% of ordinary income dividends qualify for the corporate dividends-received deduction for the fiscal year ended May 31, 2019.

Pursuant to Section 852 of the Internal Revenue Code, $322,442,393 was designated as a 20% rate gain distribution for the fiscal year ended May 31, 2019.

Pursuant to Section 854 of the Internal Revenue Code, $26,860,120 of income dividends paid during the fiscal year ended May 31, 2019 has been designated as qualified dividend income (QDI).

For the fiscal year ended May 31, 2019, $439,456 has been designated as interest-related dividends for nonresident alien shareholders pursuant to Section 871 of the Internal Revenue Code.

For the fiscal year ended May 31, 2019, $1,476,587 has been designated as short-term capital gain dividends for nonresident alien shareholders pursuant to Section 871 of the Internal Revenue Code.

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 calling1-800-222-8222, visiting our website atwfam.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 atwfam.com or by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS

The Fund and Portfolio file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

50 Wells Fargo Index Fund Other information (unaudited)

BOARD OF TRUSTEES AND OFFICERS

Each of the Trustees and Officers¹ listed in the table below acts in identical capacities for each fund in the Wells Fargo family of funds, which consists of 151 mutual funds comprising the Wells Fargo Funds Trust, Wells Fargo Variable Trust, Wells Fargo Master Trust and four closed-end funds (collectively the “Fund Complex”). This table should be read in conjunction with the Prospectus and the Statement of Additional Information². The mailing address of each Trustee and Officer is 525 Market Street, 12th Floor, San Francisco, CA 94105. Each Trustee and Officer serves an indefinite term, however, each Trustee serves such term until reaching the mandatory retirement age established by the Trustees.

Independent Trustees

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

Other information (unaudited) Wells Fargo Index Fund 51

Name and year of birth	Position held and length of service*	Principal occupations during past five years or longer	Current other public company or investment company directorships
David F. Larcker (Born 1950)	Trustee, since 2009	James Irvin Miller Professor of Accounting at the Graduate School of Business, Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005.	N/A
Olivia S. Mitchell (Born 1953)	Trustee, since 2006; Nominating and Governance Committee Chairman, since 2018	International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993.	N/A
Timothy J. Penny (Born 1951)	Trustee, since 1996; Chairman, since 2018	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

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

52 Wells Fargo Index Fund Other information (unaudited)

Officers

Name and year of birth	Position held and length of service	Principal occupations during past five years or longer
Andrew Owen (Born 1960)	President, since 2017	Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014.
Nancy Wiser1 (Born 1967)	Treasurer, since 2012	Executive Vice President of Wells Fargo Funds Management, LLC since 2011. Chief Operating Officer and Chief Compliance Officer at LightBox Capital Management LLC, from 2008 to 2011.
Alexander Kymn (Born 1973)	Secretary and Chief Legal Officer, since 2018	Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.
Michael H. Whitaker (Born 1967)	Chief Compliance Officer, since 2016	Senior Vice President and Chief Compliance Officer since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016.
David Berardi (Born 1975)	Assistant Treasurer, since 2009	Vice President of Wells Fargo Funds Management, LLC since 2009. Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010. Manager of Fund Reporting and Control for Evergreen Investment Management Company, LLC from 2004 to 2010.
Jeremy DePalma1 (Born 1974)	Assistant Treasurer, since 2009	Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010.

¹ Nancy Wiser acts as Treasurer of 65 funds in the Fund Complex. Jeremy DePalma acts as Treasurer of 86 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 calling1-800-222-8222 or by visiting the website atwfam.com.

Other information (unaudited) Wells Fargo Index Fund 53

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

Wells Fargo Index Fund and Wells Fargo Index 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”, and 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 an in-person meeting held on May 21-22, 2019 (the “Meeting”), the Funds Trust Board, 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 Wells Fargo Index Fund (the “Gateway Fund”) an investment management agreement (the “Gateway Fund Management Agreement”) with Wells Fargo Funds Management, LLC (“Funds Management”).

At the Meeting, the Master Trust Board, 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: (i) an investment advisory agreement (the “Master Portfolio Advisory Agreement”) with Funds Management for Wells Fargo Index Portfolio, a portfolio of Master Trust (the “Master Portfolio”); and (ii) an investment sub-advisory agreement (the “Sub-Advisory Agreement”) with Wells Capital Management Incorporated (the “Sub-Adviser”), an affiliate of Funds Management.

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

The Gateway Fund is a gateway feeder fund that invest substantially all of its assets in the Master Portfolio. The Master Portfolio has a substantially similar investment objective and substantially similar investment strategies to the Gateway Fund. Information provided to the Boards regarding the Gateway Fund is also applicable to the Master Portfolio, 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-Adviser and the approval of the Advisory Agreements. Prior to the Meeting, including at an in-person meeting in April 2019, 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-Adviser 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 2019. 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-Adviser 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 Funds Trust Board unanimously approved the continuation of the Gateway Fund Management 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 the Sub-Advisory Agreement, each for a one-year term. The Boards also determined that the compensation payable to Funds Management and the Sub-Adviser 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-Adviser under the Advisory Agreements. This information included a

54 Wells Fargo Index Fund Other information (unaudited)

description of the investment advisory services and Fund-level administrative services, 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-Adviser are a part, a summary of investments made in the business of WFAM, a summary of certain organizational and personnel changes involving Funds Management and the Sub-Adviser, and a description of Funds Management’s and the Sub-Adviser’s business continuity planning programs and of their approaches to data privacy and cybersecurity. The Boards received and reviewed information about Funds Management’s role as administrator of the Funds’ liquidity risk management 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 Boards evaluated the ability of Funds Management and the Sub-Adviser 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-Adviser. 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 Funds over various time periods ended December 31, 2018. 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 Gateway Fund (the “Universe”), and in comparison to the Gateway Fund’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 the performance Universe. The Funds Trust Board noted that the investment performance of the Gateway Fund (Administrator Class) was higher than the average investment performance of its Universe for all periods under review. The Funds Trust Board also noted that the investment performance of the Gateway Fund was in range of its benchmark, the S&P 500 Index, for all periods under review.

The Master Trust Board took note of the investment performance of the Master Portfolio in the context of reviewing the investment performance of the Gateway Fund.

The Funds Trust Board also received and considered information regarding the Gateway Fund’s net operating expense ratios, which include fees and expenses of the Master Portfolio, and their various components, including actual management fees assessed at the Gateway Fund and Master Portfolio levels, custodian and other non-management fees, and Rule 12b-1 and non-Rule 12b-1 shareholder service fees. The Funds Trust Board considered these ratios in comparison to the median ratios of funds in class-specific expense groups that were determined by Broadridge to be similar to the Gateway Fund (the “Groups”). The Funds Trust Board 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. Based on the Broadridge reports, the Funds Trust Board noted that the net operating expense ratios of the Gateway Fund were lower than the median net operating expense ratios of its expense Groups for each share class.

With respect to the Master Portfolio, the Master Trust Board reviewed 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 a corresponding expense Group.

The Boards took into account the Funds’ investment performance and expense 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 Funds Trust Board noted that Funds Management receives no advisory fees from the Gateway Fund as long as the Gateway Fund continues to invest all (or substantially all) of its assets in a single master portfolio. If the Gateway Fund were to change its investment structure so that it began investing in two or more master portfolios (a fund-of-funds), Funds Management would be entitled to receive an annual fee of 0.25% of the Gateway Fund’s average daily net assets for providing investment advisory services to the Gateway Fund, including allocating the Gateway Fund’s assets to the Master Portfolio.

The Funds Trust Board reviewed and considered the contractual fee rates that are payable by the Gateway Fund to Funds Management under the Gateway Fund Management Agreement, as well as the contractual fee rates payable by the Gateway Fund to Funds Management for class-level administrative services under a Class-Level Administration Agreement, which include, among other things, class-level transfer agency and sub-transfer agency costs (collectively, the “Management Rates”).

Other information (unaudited) Wells Fargo Index Fund 55

The Master Trust Board reviewed and considered the contractual investment advisory fee rate that is payable by the Master Portfolio to Funds Management for investment advisory services under the Master Portfolio Advisory Agreement (the “Advisory Agreement Rate”). The Master Trust Board also reviewed and considered the contractual investment sub-advisory fee rate that is payable by Funds Management to the Sub-Adviser for investment sub-advisory services (the “Sub-Advisory Agreement Rate”).

Among other information reviewed by the Funds Trust Board was a comparison of the Gateway Fund’s Management Rate, which include the advisory fees paid at the Master Portfolio level, with the average contractual investment management fee rates of funds in the expense Groups at a common asset level as well as transfer agency costs of the funds in the expense Groups. The Funds Trust Board noted that the Management Rates of the Gateway Fund were in range of the sum of these average rates for the Gateway Fund’s expense Groups for all share classes.

The Master Trust Board reviewed a comparison of the Advisory Agreement Rate of the Master Portfolio with those of other funds in the Master Portfolio’s expense Group at a common asset level. The Master Trust Board noted that the Advisory Agreement Rate of the Master Portfolio was lower than the median rate for the Master Portfolio’s expense Group.

The Master Trust Board 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-Adviser for sub-advisory services. In assessing the reasonableness of these amounts, the Master Trust Board 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-Adviser, and about Funds Management’s on-going oversight services. Given the affiliation between Funds Management and the Sub-Adviser, the Master Trust Board 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-Adviser to other types of clients with investment strategies similar to those of the 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 Funds Trust Board determined that the compensation payable to Funds Management under the Gateway Fund Management Agreement was reasonable, and the Master Trust Board determined that the compensation payable to Funds Management under the Master Portfolio Advisory Agreement and to the Sub-Adviser under the Sub-Advisory Agreement was 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-Adviser’s profitability with respect to providing services to the Master Portfolio 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 the Boards 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 Master Portfolio’s advisory fee structure and the Gateway Fund’s management fee structure, which operate generally to reduce the Funds’ expense ratios as the Funds grow in size. 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.

56 Wells Fargo Index Fund Other information (unaudited)

The Boards concluded that Funds Management’s arrangements with respect to each Fund, 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-Adviser

The Boards received and considered information regarding potential “fall-out” or ancillary benefits received by Funds Management and its affiliates, including the Sub-Adviser, 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-Adviser’s 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-Adviser, fees earned by Funds Management and the Sub-Adviser 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 the Sub-Adviser, 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 Gateway Fund Management Agreement for a one-year period. Additionally, after considering the above-described factors and based on its deliberations and its evaluation of the information described above, the Master Trust Board unanimously approved the continuation of the Master Portfolio Advisory Agreement and the Sub-Advisory Agreement, each for a one-year term. The Boards also determined that the compensation payable to Funds Management and the Sub-Adviser was reasonable.

For more information

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

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: 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 Fund. If this report is used for promotional purposes, distribution of the report must be accompanied or preceded by a current prospectus. Before investing, please consider the investment objectives, risks, charges, and expenses of the investment. For a current prospectus and, if available, a summary prospectus, containing this information, call1-800-222-8222 or visit the Fund’s website atwfam.com. Read the prospectus carefully before you invest or send money.

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

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

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

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

403197 07-19 A283/AR283 05-19

Annual Report

May 31, 2019

Wells Fargo International Value Fund

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

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

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

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Sign up for electronic delivery of prospectuses and shareholder reports atwellsfargo.com/advantagedelivery

Contents

Letter to shareholders	2
Performance highlights	6
Fund expenses	10
Wells Fargo International Value Fund
Portfolio of investments	11
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	20
Report of independent registered public accounting firm	24
Wells Fargo International Value Portfolio
Portfolio of investments	25
Financial statements
Statement of assets and liabilities	34
Statement of operations	35
Statement of changes in net assets	36
Financial highlights	37
Notes to financial statements	38
Report of independent registered public accounting firm	43
Other information	44

The views expressed and any forward-looking statements are as of May 31, 2019, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Asset Management. Discussions of individual securities, or the markets generally, or any Wells Fargo Fund are not intended as individual recommendations. Future events or results may vary significantly from those expressed in any forward-looking statements. The views expressed are subject to change at any time in response to changing circumstances in the market. Wells Fargo Asset Management and the Fund disclaim any obligation to publicly update or revise any views expressed or forward-looking statements.

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

2 Wells Fargo International Value Fund Letter to shareholders (unaudited)

Andrew Owen

President

Wells Fargo Funds

Dear Shareholder:

We are pleased to offer you this annual report for the Wells Fargo International Value Fund for the 12-month period that ended May 31, 2019. Higher short-term interest rates, inflation concerns, trade tensions, and geopolitical events drove investment market volatility for much of 2018, particularly for international stocks. Early 2019 saw stocks and bonds gain with renewed business and investor confidence, but volatility returned late in the period as global growth slowed and geopolitical concerns persisted.

For the period, U.S. stocks, based on the S&P 500 Index,¹ gained 3.78% and international stocks, as measured by the MSCI ACWI ex USA Index (Net),² fell 6.26%. Based on the MSCI EM Index (Net),³ emerging market stocks fell 8.70%. Bond investors saw the Bloomberg Barclays U.S. Aggregate Bond Index⁴ add 6.40% while the Bloomberg Barclays Global Aggregate ex-USD Index⁵ rose 0.39%. The Bloomberg Barclays Municipal Bond Index⁶ added 6.40%, and the ICE BofAML U.S. High Yield Index⁷ was up 5.37%.

Results for investment indices reflected global concerns.

Global trade tensions escalated during the second quarter of 2018. A tit-for-tat tariff spat intensified between the U.S. and other governments. The U.S. Federal Reserve (Fed) raised the federal funds rate by 25 basis points (bps; 100 bps equal 1.00%) to a target range of between 1.75% and 2.00% in June. Market index results reflected the global concerns. The MSCI ACWI ex USA Index (Net) lost 2.61%, while the Bloomberg Barclays Global Aggregate ex-USD Index dropped 4.76%.

Not all news was bad. The U.S. Bureau of Economic Analysis reported second-quarter annualized gross domestic product (GDP) growth of 4.2%. Hiring improved. Unemployment declined. Consumer confidence and spending increased. The S&P 500 Index recorded a 3.43% second-quarter gain. Stocks of companies with smaller capitalizations did even better, as measured by the Russell 2000^® Index,⁸ adding 7.75%.

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

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

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

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

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

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

⁷  The ICE BofAML U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2019. ICE Data Indices, LLC. All rights reserved.

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

Letter to shareholders (unaudited) Wells Fargo International Value Fund 3

Investors appeared to shake off lingering concerns during the third quarter.

Favorable third-quarter economic indicators and corporate earnings reports encouraged domestic stock investors. U.S. trade negotiations with Mexico and Canada progressed. The Conference Board Consumer Confidence Index^®9 reached its highest level in 18 years during September 2018. The Fed raised the federal funds rate by 25 bps to a target range of between 2.00% and 2.25% in September. For the quarter that ended September 30, 2018, the S&P 500 Index added 7.71%.

Investors in international markets were not as confident. Tensions between the U.S. and China increased. The U.S. imposed $200 billion in tariffs on Chinese goods. China reacted with $60 billion in tariffs on U.S. goods. Economic growth in China caused concern. The Bank of England (BoE) raised its monetary policy rate to 0.75% in August 2018. During the quarter, the MSCI ACWI ex USA Index (Net) gained 0.71%. The MSCI EM Index (Net) declined 1.09%. In fixed-income markets, U.S. bonds were flat, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index. The Bloomberg Barclays Global Aggregate ex-USD Index fell 1.74%.

Conflicting data unsettled markets during the fourth quarter.

November’s U.S. midterm elections shifted control of the House of Representatives from Republicans to Democrats, presaging potential partisan clashes. Third-quarter U.S. GDP was announced at an annualized 3.4% rate, lower than the second-quarter rate. Brexit efforts stalled ahead of the March 2019 deadline. The People’s Bank of China cut reserve requirement ratios, accelerated infrastructure spending, and cut taxes even as the value of the yuan declined to low levels last seen in 2008.

December’s S&P 500 Index performance was the worst since 1931. Globally,fixed-income investments fared better than stocks during the last two months of the year. The Fed increased the federal funds rate by 25 bps in December 2018 to a target range of between 2.25% and 2.50%.

The market climbs a wall of worry.

Investors entered 2019 with reasons to be concerned. A partial U.S. government shutdown driven by partisan policy disputes extended into January. Investment returns appeared to reaffirm the adage that markets climb a wall of worry. The S&P 500 Index gained 8.01% for the month of January, the best monthly performance in 30 years. Returns for the MSCI ACWI ex USA Index (Net), the Bloomberg Barclays U.S. Aggregate Bond Index, and the Bloomberg Barclays Global Aggregate ex-USD Index also were positive. The Fed indicated that it would pause its program of regular rate increases during 2019 as inflation remained low.

In February 2019, concerns over slowing global growth reemerged. The Bureau of Economic Analysis announced fourth-quarter 2018 GDP grew at an annualized 2.2% rate, down from levels of the prior two quarters. In a February report, the BoE forecast the slowest growth since the financial crisis for 2019. China and the U.S. continued to wrangle over trade issues.

By the end of March 2019, the combination of dovish Fed sentiment and consistent, if not spectacular, economic and business metrics reinforced investors’ confidence. Monthly job creation data regained momentum. Corporate profits, while lower than 2018’s lofty levels, remained solid. China announced a roughly $300 billion stimulus package through tax and fee cuts intended to reinvigorate economic growth.

December’s S&P 500 Index performance was the worst since 1931.

The S&P 500 Index gained 8.01% for the month of January, the best monthly performance in 30 years.

⁹  The Conference Board Consumer Confidence Index^® measures the degree of optimism on the state of the U.S. economy that consumers are expressing through their activities of saving and spending. You cannot invest directly in an index.

4 Wells Fargo International Value Fund Letter to shareholders (unaudited)

During April 2019, several broad-based U.S. equity indices reached or approached highs as investors drew confidence from favorable economic projections, sustained low inflation, and solid employment data. First-quarter GDP showed the economy grew at an annualized rate of 3.2% on improvement in business investment and exports. Favorable sentiment extended to foreign markets as the MSCI ACWI ex USA Index (Net) gained 2.64% and the MSCI EM Index (Net) added 2.11% for the month.

May 2019 presented investors with mixed signals in the economy, in the markets, and politically. In the U.S., partisan wrangling ramped up as Democrats and Republicans set their sights on 2020 presidential politics. In the U.K., the Brexit stalemate resulted in the resignation of Prime Minister Theresa May. The European Commission downgraded the 2019 growth forecast for the block of countries to 1.2%. The U.S. increased tariffs on products from China, China responded, and then talks broke down. Ending the month, equities, as measured by the MSCI ACWI (Net),¹⁰ dropped 5.93% while bonds, often considered a less risky investment, gained 1.04%, as measured by the Bloomberg Barclays Global Aggregate ex-USD Index.

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

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

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

Sincerely,

Andrew Owen

President

Wells Fargo Funds

For further information about your Fund, contact your investment professional, visit our website atwfam.com, or call us directly at1-800-222-8222.

¹⁰  The MSCI ACWI (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. You cannot invest directly in an index.

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6 Wells Fargo International Value Fund¹ Performance highlights (unaudited)

Investment objective

The Fund seeks long-term capital appreciation.

Manager

Wells Fargo Funds Management, LLC

Subadviser for the affiliated master portfolio

LSV Asset Management

Portfolio managers

Josef Lakonishok

Puneet Mansharamani, CFA^®‡

Menno Vermeulen, CFA^®‡

Average annual total returns (%) as of May 31, 2019    

		Including sales charge						Excluding sales charge						Expense ratios2 (%)
	Inception date	1 year		5 year		10 year		1 year		5 year		10 year		Gross		Net3
Class A (WFFAX)	10-31-2003		-16.51		-1.74		4.02		-11.42		-0.57		4.64		1.35		1.35
Class C (WFVCX)	4-8-2005		-13.10		-1.33		3.84		-12.10		-1.33		3.84		2.10		2.10
Class R6 (WFRVX)4	7-31-2018		–		–		–		-11.08		-0.21		5.05		0.92		0.90
Administrator Class (WFVDX)	4-8-2005		–		–		–		-11.33		-0.49		4.80		1.27		1.25
Institutional Class (WFVIX)	8-31-2006		–		–		–		-11.13		-0.22		5.05		1.02		1.00
MSCI EAFE Value Index (Net)5	–		–		–		–		-8.23		-0.75		4.85		–		–

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

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

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

Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. Foreign investments are especially volatile and can rise or fall dramatically due to differences in the political and economic conditions of the host country. These risks are generally intensified in emerging markets. The use of derivatives may reduce returns and/or increase volatility. Certain investment strategies tend to increase the total risk of an investment (relative to the broader market). The Fund is exposed to smaller-company securities risk. Consult the Fund’s prospectus for additional information on these and other risks.

Please see footnotes on page 7.

Performance highlights (unaudited) Wells Fargo International Value Fund 7

Growth of $10,000 investment as of May 31, 2019⁶

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

¹  The Fund is a gateway feeder fund that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with a substantially identical investment objective and substantially similar investment strategies. References to the investment activities of the Fund are intended to refer to the investment activities of the affiliated master portfolio in which it invests.

²  Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

³  The manager has contractually committed through September 30, 2019, to waive fees and/or reimburse expenses to the extent necessary to cap the expenses of each class after fee waivers at the amounts shown. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolio invests, and extraordinary expenses are excluded from the expense cap. Net expenses from the affiliated master portfolio are included in the expense cap. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Without this cap, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

⁴  Historical performance shown for the Class R6 shares prior to their inception reflects the performance of the Institutional Class shares, and is not adjusted to reflect Class R6 expenses. If these expenses had been included, returns for Class R6 shares would be higher.

⁵  The Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE) Value Index (Net) is a free-float-adjusted market capitalization-weighted index that is designed to measure the equity market performance of value securities within developed equity markets, excluding the U.S. and Canada. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index.

⁶  The chart compares the performance of Class A shares for the most recent ten years with the MSCI EAFE Value Index (Net). The chart assumes a hypothetical $10,000 investment in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁷  The MSCI EAFE Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. You cannot invest directly in an index.

⁸  The MSCI Emerging Markets (EM) Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure large- andmid-cap equity market performance of emerging markets. You cannot invest directly in an index.

⁹  The ten largest holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the securities of the affiliated master portfolio allocable to the Fund divided by the total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

¹⁰  Amounts represent the sector distribution of the affiliated master portfolio which are calculated based on the total long-term investments of the affiliated master portfolio. These amounts are subject to change and may have changed since the date specified.

* The security was no longer held at the end of the period.

8 Wells Fargo International Value Fund Performance highlights (unaudited)

MANAGER’S DISCUSSION    

Fund highlights    

∎ The Fund underperformed its benchmark, the MSCI EAFE Value Index (Net), for the12-month period that ended May 31, 2019.

∎ The difficult environment for value stocks contributed to the underperformance given the Fund’s emphasis on deeper value stocks. The Fund’s underweight to utilities and overweight to consumer discretionary stocks relative to the benchmark also had a negative impact on results. While stock selection was strong in the consumer staples and financials sectors, this was offset by poor selection in the materials, industrials, and information technology (IT) sectors.

∎ From a portfolio composition perspective, changes to sector exposures during the period included an increase in consumer staples and health care stocks and a decrease in materials and consumer discretionary stocks. The Fund is overweight the industrials, consumer staples, and health care sectors relative to the value benchmark and underweight the financials, utilities, and real estate sectors.

International developed stock markets declined over the past 12 months.

International developed stock markets declined over the past 12 months, with the MSCI EAFE Index (Net)⁷ falling 5.75%. Value stocks trailed growth stocks in the period, as the MSCI EAFE Value Index (Net) declined 8.23%. Economically sensitive sectors including consumer discretionary, materials, and energy struggled over the past 12 months, while defensive sectors including utilities, consumer staples, and health care held up well in the down market. Emerging markets lagged developed markets over the reporting period, with the MSCI EM Index (Net)⁸ falling 8.70%, although value stocks held up better in emerging markets than in developed markets.

Ten largest holdings (%) as of May 31, 20199
Roche Holding AG	2.55
Royal Dutch Shell plc Class B	2.16
Sanofi SA	1.79
GlaxoSmithKline plc	1.74
Total SA	1.60
Nippon Telegraph & Telephone Corporation	1.36
KDDI Corporation	1.30
BP plc	1.28
Swiss Life Holding AG	1.03
Enel SpA	0.99

The difficult environment for value stocks contributed to the underperformance given the Fund’s emphasis on deeper value stocks. The Fund’s exposure to emerging markets also had a negative impact on results, as emerging markets lagged developed markets. However, stock selection within the emerging market portion of the portfolio added value. The Fund’s underweight to utilities and overweight to consumer discretionary stocks relative to the value benchmark also had a negative impact on results. While stock selection was strong in the consumer staples and financials sectors, this was offset by poor selection in the materials, industrials, and IT sectors.

Top-contributing positions included Swiss pharmaceutical company Roche Holding Limited AG, which advanced

nearly 30%, and financial holding Swiss Life Holding Limited, which was up nearly 40%. Emerging market holdings in Brazil and Russia added value, including Brazilian stocks JBS S.A., the largest meat processing company in the world; electric power company Companhia Energética de Minas Gerais SA (CEMIG)*; and Banco do Estado do Rio Grande do Sul, S.A. Russian oil and gas holdings LUKOIL PJSC and Gazprom Neft also added value. Underweights to Bayer AG and British American Tobacco plc* contributed positively in the period, as both stocks lagged. Detractors included German holdings Covestro AG in the materials sector and Leoni AG, a German manufacturing company in the consumer discretionary sector. Japanese holding Mitsubishi Gas Chemical Company, Incorporated, also detracted, while underweights to defensive stocks Novartis AG* and Nestle S.A.* in Switzerland, Commonwealth Bank of Australia*, and materials companies Rio Tinto Limited and BHP Billiton Limited* also had negative effects on results.

Please see footnotes on page 7.

Performance highlights (unaudited) Wells Fargo International Value Fund 9

Sector distribution as of May 31, 2019¹⁰

Country allocation as of May 31, 2019¹⁰

The most significant changes to sector exposures during the period included an increase in consumer staples and health care stocks and a decrease in materials and consumer discretionary stocks. The Fund initiated a position in Imperial Brands PLC*, a U.K.-based tobacco company and added to Korean tobacco holding KT&G Corporation. The Fund also increased its exposure to several food companies and supermarkets, including Loblaw Companies Limited, METRO AG, Tate & Lyle PLC, and Carrefour S.A. The Fund added to holdings Astellas Pharma Incorporated, Roche, Sanofi S.A., and Sawai Pharmaceutical Company Limited in the pharmaceuticals industry and is now overweight health care stocks.

The Fund reduced its overweight to the consumer discretionary sector and is now equal to the value benchmark. The Fund sold Aoyama Trading Company Limited and DCM Holdings Company Limited in Japan, Automotive Holdings Group Limited and Retail Food Group Limited in Australia, and Ceconomy AG in Germany. The Fund also reduced its exposure to the materials sector by selling Petra Diamonds Limited in the U.K., Sumitomo Osaka Cement Company Limited in Japan, and Norwegian chemical company Yara International ASA and trimming its exposure to German chemical holding BASF SE, which had done well.

The Fund is overweight the industrials, consumer staples, and health care sectors relative to the value benchmark and underweight the financials, utilities, and real estate sectors.

We believe that the Fund remains attractive based on valuation.

While the Fund has struggled given the difficult environment for deep value stocks recently, we believe it remains attractively positioned from a valuation standpoint. The Fund holds a diversified portfolio of high-quality companies that are generating strong cash flow and earnings, with many paying attractive dividends yet trading at extremely attractive prices.

Please see footnotes on page 7.

10 Wells Fargo International Value Fund Fund expenses (unaudited)

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

The example is based on an investment of $1,000 invested at the beginning of thesix-month period and held for the entire period from December 1, 2018 to May 31, 2019.

Actual expenses

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

Hypothetical example for comparison purposes

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

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

	Beginning account value 12-1-2018		Ending account value 5-31-2019		Expenses paid during the period1,2		Annualized net expense ratio1
Class A
Actual	$	1,000.00	$	973.31	$	6.62		1.34	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,018.23	$	6.77		1.34	%
Class C
Actual	$	1,000.00	$	969.28	$	10.27		2.09	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,014.50	$	10.51		2.09	%
Class R6
Actual	$	1,000.00	$	974.80	$	4.43		0.90	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,020.45	$	4.53		0.90	%
Administrator Class
Actual	$	1,000.00	$	973.82	$	6.15		1.25	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,018.70	$	6.29		1.25	%
Institutional Class
Actual	$	1,000.00	$	975.03	$	4.92		1.00	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,019.95	$	5.03		1.00	%

¹ Amounts reflect net expenses allocated from the affiliated Master Portfolio in which the Fund invests.

² Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect theone-half-year period).

Portfolio of investments—May 31, 2019 Wells Fargo International Value Fund 11

Security name	Value
Investment Companies: 99.75%
Affiliated Master Portfolio: 99.75%
Wells Fargo International Value Portfolio	$	846,306,646
Total Investment Companies (Cost $911,697,342)		846,306,646

Total investments in securities (Cost $911,697,342)	99.75	%		846,306,646
Other assets and liabilities, net	0.25			2,083,567
Total net assets	100.00	%	$	848,390,213

Transactions with the affiliated Master Portfolio were as follows:     

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses)  on securities transactions allocated from affiliated Master Portfolio			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio			Dividends allocated from affiliated Master Portfolio		Affiliated income allocated from affiliated Master Portfolio		Value, end of period		% of net assets
Wells Fargo International Value Portfolio		95	%		79	%	$	(1,507,425	)	$	(128,322,670	)	$	37,136,085	$	1,334,691	$	846,306,646		99.75	%

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

12 Wells Fargo International Value Fund Statement of assets and liabilities—May 31, 2019

Assets
Investments in affiliated Master Portfolio, at value (cost $911,697,342)	$	846,306,646
Receivable for Fund shares sold		10,063,771
Prepaid expenses and other assets		386,596
Total assets		856,757,013
Liabilities
Payable for Fund shares redeemed		8,200,978
Administration fees payable		106,325
Custody and accounting fee		30,560
Shareholder serving fee		15,527
Management fee payable		12,922
Distribution fee payable		488
Total liabilities		8,366,800
Total net assets	$	848,390,213
NET ASSETS CONSIST OF
Paid-in capital	$	900,986,185
Total distributable loss		(52,595,972	)
Total net assets	$	848,390,213
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARE
Net assets – Class A	$	57,427,156
Shares outstanding – Class A1		4,238,135
Net asset value per share – Class A		$13.55
Maximum offering price per share – Class A2		$14.38
Net assets – Class C	$	675,283
Shares outstanding – Class C1		51,152
Net asset value per share – Class C		$13.20
Net assets – Class R6	$	328,788
Shares outstanding – Class R61		24,557
Net asset value per share – Class R6		$13.39
Net assets – Administrator Class	$	3,375,132
Shares outstanding – Administrator Class1		247,083
Net asset value per share – Administrator Class		$13.66
Net assets – Institutional Class	$	786,583,854
Shares outstanding – Institutional Class1		58,735,894
Net asset value per share – Institutional Class		$13.39

¹  The Fund has an unlimited number of authorized shares.

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

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

Statement of operations—year ended May 31, 2019 Wells Fargo International Value Fund 13

Investment income
Dividends allocated from affiliated Master Portfolio (net of foreign withholding taxes of $5,178,150)	$	37,136,085
Affiliated income allocated from affiliated Master Portfolio		1,334,691
Expenses allocated from affiliated Master Portfolio		(7,016,491	)
Total investment income		31,454,285
Expenses
Management fee		441,541
Administration fees
Class A		117,503
Class C		2,121
Class R6		17	1
Administrator Class		5,273
Institutional Class		1,068,609
Shareholder servicing fees
Class A		139,885
Class C		2,525
Administrator Class		10,139
Distribution fee
Class C		7,573
Custody and accounting fees		26,072
Professional fees		31,123
Registration fees		104,723
Shareholder report expenses		99,819
Trustees’ fees and expenses		20,993
Other fees and expenses		16,232
Total expenses		2,094,148
Less: Fee waivers and/or expense reimbursements		(113,975	)
Net expenses		1,980,173
Net investment income		29,474,112
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS
Net realized losses on securities transactions allocated from affiliated Master Portfolio		(1,507,425	)
Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio		(128,322,670	)
Net realized and unrealized gains (losses) on investments		(129,830,095	)
Net decrease in net assets resulting from operations	$	(100,355,983	)

¹  For the period from July 31, 2018 (commencement of class operations) to May 31, 2019

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

14 Wells Fargo International Value Fund Statement of changes in net assets

	Year ended May 31, 2019						Year ended May 31, 20181
Operations
Net investment income				$	29,474,112					$	19,745,024
Net realized gains (losses) on investments					(1,507,425	)					14,310,484
Net change in unrealized gains (losses) on investments					(128,322,670	)					21,273,653
Net increase (decrease) in net assets resulting from operations					(100,355,983	)					55,329,161
Distributions to shareholders from net investment income and net realized gains
Class A					(1,313,945	)					(53,028	)
Class C					(14,168	)					(19,938	)
Class R6					(596	)2					N/A
Administrator Class					(77,201	)					(104,265	)
Institutional Class					(20,194,351	)					(22,325,915	)
Total distributions to shareholders					(21,600,261	)					(22,503,146	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		3,672,486			53,518,580			2,633,442			42,441,930
Class C		16,692			242,225			31,890			496,381
Class R6		24,567	2		344,146	2		N/A			N/A
Administrator Class		32,361			477,105			150,614			2,424,464
Institutional Class		18,526,386			265,263,060			18,051,179			284,422,225
					319,845,116						329,785,000
Reinvestment of distributions
Class A		100,957			1,313,445			3,299			52,993
Class C		1,114			14,168			1,271			19,890
Administrator Class		5,827			76,387			6,369			102,738
Institutional Class		1,565,162			20,081,032			1,408,571			22,297,672
					21,485,032						22,473,293
Payment for shares redeemed
Class A		(2,002,351	)		(28,345,901	)		(342,547	)		(5,580,817	)
Class C		(41,168	)		(575,161	)		(15,622	)		(244,651	)
Class R6		(10	)2		(134	)2		N/A			N/A
Administrator Class		(169,343	)		(2,557,464	)		(138,280	)		(2,200,897	)
Institutional Class		(14,671,752	)		(210,525,992	)		(14,341,542	)		(228,026,971	)
					(242,004,652	)					(236,053,336	)
Net increase in net assets resulting from capital share transactions					99,325,496						116,204,957
Total increase (decrease) in net assets					(22,630,748	)					149,030,972
Net assets
Beginning of period					871,020,961						721,989,989
End of period				$	848,390,213					$	871,020,961

¹  Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Undistributed net investment income at May 31, 2018 was $9,444,288. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 7,Distributions to Shareholders, in the notes to the financial statements.

² For the period from July 31, 2018 (commencement of class operations) to May 31, 2019

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

Financial highlights Wells Fargo International Value Fund 15

(For a share outstanding throughout each period)

	Year ended May 31
CLASS A	2019			2018			2017			2016			2015
Net asset value, beginning of period		$15.68			$14.88			$12.83			$14.85			$15.45
Net investment income		0.47	1		0.72	1		0.09	1		0.26			0.26	1
Net realized and unrealized gains (losses) on investments		(2.27	)		0.35			2.26			(2.08	)		(0.53	)
Total from investment operations		(1.80	)		1.07			2.35			(1.82	)		(0.27	)
Distributions to shareholders from
Net investment income		(0.33	)		(0.27	)		(0.30	)		(0.20	)		(0.33	)
Net asset value, end of period		$13.55			$15.68			$14.88			$12.83			$14.85
Total return2		(11.42	)%		7.12	%		18.65	%		(12.31	)%		(1.55	)%
Ratios to average net assets (annualized)
Gross expenses3		1.34	%		1.34	%		1.39	%		1.46	%		1.50	%
Net expenses3		1.33	%		1.34	%		1.35	%		1.39	%		1.49	%
Net investment income3		3.22	%		4.48	%		0.69	%		1.98	%		1.80	%
Supplemental data
Portfolio turnover rate4		13	%		15	%		41	%		14	%		18	%
Net assets, end of period (000s omitted)		$57,427			$38,677			$2,571			$4,981			$5,768

¹  Calculated based upon average shares outstanding

²  Total return calculations do not include any sales charges.

³  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.80	%
Year ended May 31, 2018	0.81	%
Year ended May 31, 2017	0.85	%
Year ended May 31, 2016	0.91	%
Year ended May 31, 2015	0.91	%

⁴  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

16 Wells Fargo International Value Fund Financial highlights

(For a share outstanding throughout each period)

	Year ended May 31
CLASS C	2019			2018			2017			2016			2015
Net asset value, beginning of period		$15.24			$14.60			$12.56			$14.54			$15.16
Net investment income		0.36			0.21			0.23			0.17			0.13
Net realized and unrealized gains (losses) on investments		(2.21	)		0.73			1.97			(2.05	)		(0.51	)
Total from investment operations		(1.85	)		0.94			2.20			(1.88	)		(0.38	)
Distributions to shareholders from
Net investment income		(0.19	)		(0.30	)		(0.16	)		(0.10	)		(0.24	)
Net asset value, end of period		$13.20			$15.24			$14.60			$12.56			$14.54
Total return1		(12.10	)%		6.36	%		17.69	%		(12.95	)%		(2.37	)%
Ratios to average net assets (annualized)
Gross expenses2		2.08	%		2.10	%		2.16	%		2.21	%		2.25	%
Net expenses2		2.08	%		2.10	%		2.10	%		2.14	%		2.24	%
Net investment income2		1.92	%		1.40	%		1.57	%		1.25	%		1.07	%
Supplemental data
Portfolio turnover rate3		13	%		15	%		41	%		14	%		18	%
Net assets, end of period (000s omitted)		$675			$1,135			$832			$783			$920

¹  Total return calculations do not include any sales charges.

² Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.79	%
Year ended May 31, 2018	0.82	%
Year ended May 31, 2017	0.87	%
Year ended May 31, 2016	0.91	%
Year ended May 31, 2015	0.91	%

³  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

Financial highlights Wells Fargo International Value Fund 17

(For a share outstanding throughout the period)

CLASS R6	Year ended May 31, 20191
Net asset value, beginning of period		$15.44
Net investment income		0.51
Net realized and unrealized gains (losses) on investments		(2.19	)
Total from investment operations		(1.68	)
Distributions to shareholders from
Net investment income		(0.37	)
Net asset value, end of period		$13.39
Total return2		(10.85	)%
Ratios to average net assets (annualized)
Gross expenses3		0.92	%
Net expenses3		0.89	%
Net investment income3		7.19	%
Supplemental data
Portfolio turnover rate4		13	%
Net assets, end of period (000s omitted)		$329

¹  For the period from July 31, 2018 (commencement of class operations) to May 31, 2019

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

³  Ratios include net expenses allocated from the affiliated Master Portfolio in the amount of 0.79%.

⁴  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

18 Wells Fargo International Value Fund Financial highlights

(For a share outstanding throughout each period)

	Year ended May 31
ADMINISTRATOR CLASS	2019			2018			2017			2016			2015
Net asset value, beginning of period		$15.76			$15.04			$12.91			$14.73			$15.35
Net investment income		0.43	1		0.37	1		0.33	1		0.14	1		0.28
Net realized and unrealized gains (losses) on investments		(2.23	)		0.73			2.05			(1.96	)		(0.52	)
Total from investment operations		(1.80	)		1.10			2.38			(1.82	)		(0.24	)
Distributions to shareholders from
Net investment income		(0.30	)		(0.38	)		(0.25	)		0.00			(0.38	)
Net asset value, end of period		$13.66			$15.76			$15.04			$12.91			$14.73
Total return		(11.33	)%		7.25	%		18.66	%		(12.36	)%		(1.35	)%
Ratios to average net assets (annualized)
Gross expenses2		1.25	%		1.27	%		1.33	%		1.36	%		1.34	%
Net expenses2		1.24	%		1.25	%		1.25	%		1.25	%		1.25	%
Net investment income2		2.92	%		2.30	%		2.46	%		0.99	%		2.12	%
Supplemental data
Portfolio turnover rate3		13	%		15	%		41	%		14	%		18	%
Net assets, end of period (000s omitted)		$3,375			$5,961			$5,407			$11,873			$487,582

¹  Calculated based upon average shares outstanding

²  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.79	%
Year ended May 31, 2018	0.82	%
Year ended May 31, 2017	0.87	%
Year ended May 31, 2016	0.91	%
Year ended May 31, 2015	0.91	%

³  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

Financial highlights Wells Fargo International Value Fund 19

(For a share outstanding throughout each period)

	Year ended May 31
INSTITUTIONAL CLASS	2019			2018			2017			2016			2015
Net asset value, beginning of period		$15.48			$14.80			$12.73			$14.75			$15.38
Net investment income		0.48	1		0.41			0.39			0.36			0.29
Net realized and unrealized gains (losses) on investments		(2.22	)		0.71			1.99			(2.12	)		(0.51	)
Total from investment operations		(1.74	)		1.12			2.38			(1.76	)		(0.22	)
Distributions to shareholders from
Net investment income		(0.35	)		(0.44	)		(0.31	)		(0.26	)		(0.41	)
Net asset value, end of period		$13.39			$15.48			$14.80			$12.73			$14.75
Total return		(11.13	)%		7.51	%		19.04	%		(11.98	)%		(1.19	)%
Ratios to average net assets (annualized)
Gross expenses2		1.01	%		1.02	%		1.07	%		1.13	%		1.07	%
Net expenses2		0.99	%		1.00	%		1.00	%		1.00	%		1.05	%
Net investment income2		3.35	%		2.43	%		2.95	%		2.81	%		2.42	%
Supplemental data
Portfolio turnover rate3		13	%		15	%		41	%		14	%		18	%
Net assets, end of period (000s omitted)		$786,584			$825,247			$713,180			$456,239			$3,793

¹  Calculated based upon average shares outstanding

²  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.79	%
Year ended May 31, 2018	0.82	%
Year ended May 31, 2017	0.86	%
Year ended May 31, 2016	0.91	%
Year ended May 31, 2015	0.91	%

³  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

20 Wells Fargo International Value Fund Notes to financial statements

1. ORGANIZATION

Wells Fargo Funds Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is anopen-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As an investment company, the Trust follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”)Accounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statements report on the Wells Fargo International Value Fund (the “Fund”) which is a diversified series of the Trust.

The Fund is a feeder fund in a master-feeder structure that invests substantially all of its assets in a single master portfolio with a substantially identical investment objective and substantially similar investment strategies. The Fund seeks to achieve its investment objective by investing substantially all of its assets in a separate diversified portfolio (the “affiliated Master Portfolio”) of Wells Fargo Master Trust, a registeredopen-end management investment company. The affiliated Master Portfolio directly acquires portfolio securities and the Fund acquires an indirect interest in those securities. The Fund accounts for its investment in the affiliated Master Portfolio as a partnership investment and records on a daily basis its share of the affiliated Master Portfolio’s income, expense and realized and unrealized gains and losses. The financial statements of the affiliated Master Portfolio for the year ended May 31, 2019 are included in this report and should be read in conjunction with the Fund’s financial statements. As of May 31, 2019, the Fund owned 79% of Wells Fargo International Value Portfolio.

2. SIGNIFICANT ACCOUNTING POLICIES

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

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Fund may deviate from this calculation time under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of the affiliated Master Portfolio’s net assets, which are also valued daily. Securities held in the affiliated Master Portfolio are valued as discussed in the Notes to Financial Statements of the affiliated Master Portfolio, which are included elsewhere in this report.

Investment transactions, income and expenses

Investments in the affiliated Master Portfolio are recorded on a trade basis. The Fund records daily its proportionate share of the affiliated Master Portfolio’s dividend income, expenses and realized and unrealized gains or losses. The Fund also accrues its own expenses.

Distributions to shareholders

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

Federal and other taxes

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

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

As of May 31, 2019, the aggregate cost of all investments for federal income tax purposes was $915,995,508 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	0
Gross unrealized losses		(69,688,862	)
Net unrealized losses	$	(69,688,862	)

Notes to financial statements Wells Fargo International Value Fund 21

Reclassifications are made to the Fund’s capital accounts for permanent tax differences to reflect income and gains available for distribution (or available capital loss carryforwards) under federal income tax regulations. U.S. generally accepted accounting principles require that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. The primary permanent difference causing such reclassification is due to expiration of capital loss carryforwards. At May 31, 2019, as a result of permanentbook-to-tax differences, the following reclassification adjustments were made on the Statement of Assets and Liabilities:

Paid-in capital	Total distributable loss
$(4,561,591)	$4,561,591

As of May 31, 2019, the Fund had capital loss carryforwards which consist of $873,586 in short-term capital losses and $2,121,084 in long-term capital losses.

Class allocations

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

3. FAIR VALUATION MEASUREMENTS

At May 31, 2019, the affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective and the value of the affiliate Master Portfolio was as follows:

Affiliated Master Portfolio	Investment objective	Value of affiliated Master Portfolio
Wells Fargo International Value Portfolio	Seek long-term capital appreciation		$846,306,646

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

4. TRANSACTIONS WITH AFFILIATES

Management fee

Wells Fargo Funds Management, LLC (“Funds Management”), an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”), is the manager of the Fund and provides advisory and fund-level administrative services under an investment management agreement. Under the investment management agreement, Funds Management is responsible for, among other services, implementing the investment objectives and strategies of the Fund and providing fund-level administrative services in connection with the Fund’s operations. As long as the Fund continues to invest substantially all of its assets in a single affiliated Master Portfolio, the Fund pays Funds Management an investment management fee only for fund-level administrative services at the following annual rate based on the Fund’s average daily net assets:

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

22 Wells Fargo International Value Fund Notes to financial statements

For the year ended May 31, 2019, the management fee was equivalent to an annual rate of 0.05% of the Fund’s average daily net assets.

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

Administration fees

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

	Class-level administration fee
Class A, Class C		0.21	%
Class R6		0.03
Administrator Class, Institutional Class		0.13

Funds Management has contractually waived and/or reimbursed management and administration fees to the extent necessary to maintain certain net operating expense ratios for the Fund. When each class of the Fund has exceeded its expense cap, Funds Management has waived fees and/or reimbursed expenses from fund level expenses on a proportionate basis and then from class specific expenses. When only certain classes exceed their expense caps, waivers and/or reimbursements are applied against class specific expenses before fund level expenses. Net expenses from the affiliated Master Portfolio are included in the expense caps. Funds Management has committed through September 30, 2019 to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’s expenses at 1.35% for Class A shares, 2.10% for Class C shares, 0.90% for Class R6 shares, 1.25% for Administrator Class shares, and 1.00% for Institutional Class shares. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees.

Distribution fee

The Trust has adopted a distribution plan for Class C shares of the Fund pursuant to Rule12b-1 under the 1940 Act. A distribution fee is charged to Class C shares and paid to Wells Fargo Funds Distributor, LLC (“Funds Distributor”), the principal underwriter, at an annual rate of 0.75% of the average daily net assets of Class C shares.

In addition, Funds Distributor is entitled to receive thefront-end sales charge from the purchase of Class A shares and a contingent deferred sales charge on the redemption of certain Class A shares. Funds Distributor is also entitled to receive the contingent deferred sales charges from redemptions of Class C shares. For the year ended May 31, 2019, Funds Distributor received $986 from the sale of Class A shares. No contingent deferred sales charges were incurred by Class A and Class C shares for the year ended May 31, 2019.

Shareholder servicing fees

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

5. INVESTMENT PORTFOLIO TRANSACTIONS

The Fund seeks to achieve its investment objective by investing substantially all of its assets in a single affiliated Master Portfolio. Purchases and sales have been calculated by multiplying the Fund’s ownership percentage of the affiliated Master Portfolio by the affiliated Master Portfolio’s purchases and sales. Purchases and sales of investments, excluding U.S. government obligations (if any) and short-term securities, for the year ended May 31, 2019 were $367,772,058 and $111,522,356, respectively.

6. BANK BORROWINGS

The Trust (excluding the money market funds), Wells Fargo Master Trust and Wells Fargo Variable Trust are parties to a $280,000,000 revolving credit agreement whereby the Fund is permitted to use bank borrowings for temporary or emergency purposes, such as to fund shareholder redemption requests. Interest under the credit agreement is charged

Notes to financial statements Wells Fargo International Value Fund 23

to the Fund based on a borrowing rate equal to the higher of the Federal Funds rate in effect on that day plus 1.25% or the overnight LIBOR rate in effect on that day plus 1.25%. In addition, an annual commitment fee equal to 0.25% of the unused balance is allocated to each participating fund.

For the year ended May 31, 2019, there were no borrowings by the Fund under the agreement.

7. DISTRIBUTIONS TO SHAREHOLDERS

The tax character of distributions paid was $21,600,261 and $22,503,146 of ordinary income for the years ended May 31, 2019 And May 31, 2018, respectively.

As of May 31, 2019, the components of distributable earnings on a tax basis were as follows:

Undistributed ordinary income	Unrealized losses	Capital loss carryforward
$20,087,560	$(69,688,862)	$(2,994,670)

Effective for all filings after November 4, 2018, the Securities and Exchange Commission eliminated the requirement to separately state the components of distributions to shareholders under U.S. generally accepted accounting principles. The amounts of distributions to shareholders for the year ended May 31, 2018 were as follows:

	Net investment income
Class A	$	53,028
Class C		19,938
Administrator Class		104,265
Institutional Class		22,325,915

8. INDEMNIFICATION

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

9. NEW ACCOUNTING PRONOUNCEMENT

In August 2018, FASB issued Accounting Standards Update (“ASU”)No. 2018-13, Fair Value Measurement (Topic 820)Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement. ASU2018-13 updates the disclosure requirements for fair value measurements by modifying or removing certain disclosures and adding certain new disclosures. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Early adoption is permitted. Management has adopted the removal and modification of disclosures early, as permitted, and will adopt the additional new disclosures at the effective date.

24 Wells Fargo International Value Fund Report of independent registered public accounting firm

TO THE SHAREHOLDERS OF THE FUND AND BOARD OF TRUSTEES OF WELLS FARGO FUNDS TRUST:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Wells Fargo International Value Fund (the Fund), one of the funds constituting Wells Fargo Funds Trust, including the portfolio of investments, as of May 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years or periods in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of May 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of May 31, 2019, by correspondence with the transfer agent. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

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

Boston, Massachusetts

July 26, 2019

Portfolio of investments—May 31, 2019 Wells Fargo International Value Portfolio 25

Security name	Shares		Value
Common Stocks: 96.06%
Australia: 5.59%
AGL Energy Limited (Utilities, Multi-Utilities)		263,700	$	3,759,185
Asaleo Care Limited (Consumer Staples, Personal Products) †		713,500		433,086
BlueScope Steel Limited (Materials, Metals & Mining)		266,242		1,946,655
Coca-Cola Amatil Limited (Consumer Staples, Beverages)		960,600		6,350,491
CSR Limited (Materials, Construction Materials)		897,866		2,485,171
Fortescue Metals Group Limited (Materials, Metals & Mining)		927,200		5,177,750
Harvey Norman Holdings Limited (Consumer Discretionary, Multiline Retail) «		1,226,186		3,538,519
Lendlease Corporation Limited (Real Estate, Real Estate Management & Development)		407,700		4,030,207
Macquarie Group Limited (Financials, Capital Markets)		47,800		3,989,343
Metcash Limited (Consumer Staples, Food & Staples Retailing)		1,164,200		2,382,437
Mineral Resources Limited (Materials, Metals & Mining)		300,500		3,131,023
Mirvac Group (Real Estate, Equity REITs)		2,065,070		4,340,594
Myer Holdings Limited (Consumer Discretionary, Multiline Retail) †		1,702,400		791,240
Qantas Airways Limited (Industrials, Airlines)		1,142,785		4,399,763
Rio Tinto Limited (Materials, Metals & Mining)		134,687		9,371,269
South32 Limited (Materials, Metals & Mining)		1,583,900		3,647,856
				59,774,589
Austria: 0.81%
OMV AG (Energy, Oil, Gas & Consumable Fuels)		89,986		4,231,217
Raiffeisen Bank International AG (Financials, Banks)		111,330		2,589,431
Voestalpine AG (Materials, Metals & Mining)		69,168		1,805,824
				8,626,472
Belgium: 0.62%
Bpost SA (Industrials, Air Freight & Logistics)		68,200		670,316
UCB SA (Health Care, Pharmaceuticals)		77,200		5,905,987
				6,576,303
Brazil: 1.17%
Banco de Brasil SA (Financials, Banks)		268,900		3,553,171
Companhia de Saneamento de Minas Gerais SA (Utilities, Water Utilities)		282,500		4,473,694
JBS SA (Consumer Staples, Food Products)		805,600		4,487,931
				12,514,796
Canada: 1.00%
Loblaw Companies Limited (Consumer Staples, Food & Staples Retailing)		80,100		4,110,488
Magna International Incorporated (Consumer Discretionary, Auto Components)		90,400		3,871,897
WestJet Airlines Limited (Industrials, Airlines)		120,000		2,680,379
				10,662,764
China: 3.42%
Agile Property Holdings Limited (Real Estate, Real Estate Management & Development)		1,900,000		2,406,643
China Communications Services Corporation Limited H Shares (Industrials, Construction & Engineering)		2,836,000		2,123,505
China Petroleum & Chemical Corporation H Shares (Energy, Oil, Gas & Consumable Fuels)		6,634,000		4,417,279
China Railway Construction Corporation Limited H Shares (Industrials, Construction & Engineering)		3,201,500		3,744,827
China Resources Cement Holdings Limited (Materials, Construction Materials)		4,106,000		3,561,531

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

26 Wells Fargo International Value Portfolio Portfolio of investments—May 31, 2019

Security name	Shares		Value
China(continued)
China Telecom Corporation Limited H Shares (Communication Services, Diversified Telecommunication Services)		10,590,000	$	5,322,321
Dongfeng Motor Group Company Limited H Shares (Consumer Discretionary, Automobiles)		3,154,000		2,598,981
Nine Dragons Paper Holdings Limited (Materials, Paper & Forest Products)		3,216,000		2,563,923
PICC Property & Casualty Company Limited H Shares (Financials, Insurance)		4,298,000		4,643,642
Shanghai Pharmaceuticals Holding Company Limited H Shares (Health Care, Health Care Providers & Services)		1,061,600		2,096,239
Shenzhen International Holdings Limited H Shares (Industrials, Transportation Infrastructure)		1,777,300		3,124,056
				36,602,947
Denmark: 0.62%
Danske Bank AS (Financials, Banks)		150,300		2,463,251
DFDS AS (Industrials, Marine)		59,227		2,253,127
Sydbank AS (Financials, Banks)		102,782		1,927,005
				6,643,383
Finland: 0.60%
Nordea Bank AB (Financials, Banks)		203,700		1,438,466
Outokumpu Oyj (Materials, Metals & Mining) «		695,100		2,043,829
UPM-Kymmene Oyj (Materials, Paper & Forest Products)		118,000		2,955,487
				6,437,782
France: 8.99%
AirFrance-KLM (Industrials, Airlines) †		288,100		2,489,839
Arkema SA (Materials, Chemicals)		42,992		3,607,902
AXA SA (Financials, Insurance)		282,700		6,973,268
BNP Paribas SA (Financials, Banks) «		123,579		5,643,050
Carrefour SA (Consumer Staples, Food & Staples Retailing)		149,000		2,803,108
Compagnie de Saint-Gobain SA (Industrials, Building Products) «		152,637		5,527,354
Compagnie Generale des Etablissements Michelin SCA (Consumer Discretionary, Auto Components) «		32,700		3,760,846
Credit Agricole SA (Financials, Banks)		219,328		2,506,578
Engie SA (Utilities, Multi-Utilities) «		328,900		4,574,511
Natixis SA (Financials, Capital Markets) «		1,250,400		5,739,797
Neopost SA (Information Technology, Technology Hardware, Storage & Peripherals)		66,600		1,459,027
Orange SA (Communication Services, Diversified Telecommunication Services) «		586,700		9,202,263
Renault SA (Consumer Discretionary, Automobiles)		55,900		3,367,233
Sanofi SA (Health Care, Pharmaceuticals)		238,389		19,238,686
SCOR SE (Financials, Insurance)		9,900		407,332
Societe Generale SA (Financials, Banks) «		63,400		1,590,781
Total SA (Energy, Oil, Gas & Consumable Fuels)		329,000		17,142,174
				96,033,749
Germany: 7.48%
Allianz AG (Financials, Insurance)		44,428		9,869,966
Aurubis AG (Materials, Metals & Mining)		43,296		1,896,514
BASF SE (Materials, Chemicals)		108,900		7,185,099
Bayer AG (Health Care, Pharmaceuticals)		90,600		5,346,112
Bayerische Motoren Werke AG (Consumer Discretionary, Automobiles)		91,500		6,339,636
Covestro AG (Materials, Chemicals) 144A		132,837		5,821,687
Daimler AG (Consumer Discretionary, Automobiles)		106,990		5,550,091
Deutsche Lufthansa AG (Industrials, Airlines)		223,600		4,259,000

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

Portfolio of investments—May 31, 2019 Wells Fargo International Value Portfolio 27

Security name	Shares		Value
Germany(continued)
Deutsche Post AG (Industrials, Air Freight & Logistics)		85,100	$	2,507,932
Kloeckner & Company SE (Industrials, Trading Companies & Distributors) «		344,100		1,841,330
Leoni AG (Consumer Discretionary, Auto Components) Ǡ		72,900		1,140,978
Metro AG (Consumer Staples, Food & Staples Retailing)		368,900		5,814,965
Muenchener Rueckversicherungs Gesellschaft AG (Financials, Insurance)		28,119		6,788,379
Rheinmetall AG (Industrials, Industrial Conglomerates)		30,300		3,225,871
Siemens AG (Industrials, Industrial Conglomerates)		34,200		3,875,670
Siltronic AG (Information Technology, Semiconductors & Semiconductor Equipment)		27,422		1,875,443
Volkswagen AG (Consumer Discretionary, Automobiles)		41,837		6,641,498
				79,980,171
Hong Kong: 2.66%
China Water Affairs Group Limited (Utilities, Water Utilities)		1,965,000		1,904,956
Kingboard Laminates Holdings Limited (Information Technology, Electronic Equipment, Instruments & Components)		3,948,000		3,369,086
Lee & Man Paper Manufacturing Limited (Materials, Paper & Forest Products)		3,155,000		2,052,478
Sinotruk Hong Kong Limited (Industrials, Machinery) «		3,095,000		5,866,625
Skyworth Digital Holdings Limited (Consumer Discretionary, Household Durables)		8,404,000		2,208,321
WH Group Limited (Consumer Staples, Food Products) 144A		4,355,500		3,922,397
Wheelock & Company Limited (Real Estate, Real Estate Management & Development)		379,000		2,509,085
Xinyi Glass Holdings Limited (Consumer Discretionary, Auto Components)		2,816,000		2,819,754
Yue Yuen Industrial Holdings Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		1,364,000		3,819,071
				28,471,773
India: 0.52%
REC Limited (Financials, Diversified Financial Services)		1,086,900		2,254,392
Tech Mahindra Limited (Information Technology, IT Services)		307,494		3,354,841
				5,609,233
Ireland: 0.68%
C&C Group plc (Consumer Staples, Beverages)		240,000		977,283
Grafton Group plc (Industrials, Trading Companies & Distributors)		248,800		2,675,208
Smurfit Kappa Group plc (Materials, Containers & Packaging)		130,200		3,607,232
				7,259,723
Israel: 0.33%
Bank Hapoalim Limited (Financials, Banks)		320,800		2,310,203
Teva Pharmaceutical Industries Limited (Health Care, Pharmaceuticals) †		136,844		1,179,068
				3,489,271
Italy: 2.49%
A2A SpA (Utilities, Multi-Utilities)		2,121,107		3,458,423
Enel SpA (Utilities, Electric Utilities)		1,706,600		10,619,361
Leonardo-Finmeccanica SpA (Industrials, Aerospace & Defense)		342,737		3,806,679
Mediobanca SpA (Financials, Banks)		371,363		3,431,789
UnipolSai Assicurazioni SpA (Financials, Insurance) «		2,160,500		5,266,480
				26,582,732

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

28 Wells Fargo International Value Portfolio Portfolio of investments—May 31, 2019

Security name	Shares		Value
Japan: 21.66%
Adeka Corporation (Materials, Chemicals)		203,500	$	2,852,549
Aisin Seiki Company Limited (Consumer Discretionary, Auto Components)		119,800		3,985,410
Aozora Bank Limited (Financials, Banks)		64,900		1,580,502
Asahi Glass Company Limited (Industrials, Building Products)		121,800		3,928,307
Astellas Pharma Incorporated (Health Care, Pharmaceuticals)		278,500		3,758,651
Brother Industries Limited (Information Technology, Technology Hardware, Storage & Peripherals)		200,800		3,452,133
Central Glass Company Limited (Industrials, Building Products)		68,000		1,500,374
Credit Saison Company Limited (Financials, Consumer Finance)		329,900		3,561,879
Denka Company Limited (Materials, Chemicals)		99,700		2,861,321
DIC Incorporated (Materials, Chemicals)		124,900		3,048,590
Dowa Mining Company Limited (Materials, Metals & Mining)		56,900		1,780,012
Fujikura Limited (Industrials, Electrical Equipment)		435,200		1,437,748
Geo Holdings Corporation (Consumer Discretionary, Specialty Retail)		133,700		1,686,595
Hitachi Capital Corporation (Financials, Consumer Finance)		93,300		1,979,391
Hitachi Limited (Information Technology, Electronic Equipment, Instruments & Components)		165,800		5,639,633
Idemitsu Kosan Company Limited (Energy, Oil, Gas & Consumable Fuels)		59,614		1,691,626
Isuzu Motors Limited (Consumer Discretionary, Automobiles)		434,600		4,812,625
Itochu Corporation (Industrials, Trading Companies & Distributors)		530,100		9,778,711
Japan Airlines Company Limited (Industrials, Airlines)		108,600		3,420,401
JFE Holdings Incorporated (Materials, Metals & Mining)		263,600		3,668,240
JTEKT Corporation (Industrials, Machinery)		322,100		3,424,161
JXTG Holdings Incorporated (Energy, Oil, Gas & Consumable Fuels)		754,900		3,612,012
Kaken Pharmaceutical Company Limited (Health Care, Pharmaceuticals)		44,700		2,120,223
KDDI Corporation (Communication Services, Wireless Telecommunication Services)		544,200		14,003,618
Keihin Corporation (Consumer Discretionary, Auto Components)		180,400		2,348,954
Komatsu Limited (Industrials, Machinery)		236,900		5,282,786
Maeda Road Construction Company Limited (Industrials, Construction & Engineering)		148,000		2,984,174
Makino Milling Machine Company Limited (Industrials, Machinery)		79,400		2,754,985
Marubeni Corporation (Industrials, Trading Companies & Distributors)		1,051,700		6,632,509
Mazda Motor Corporation (Consumer Discretionary, Automobiles)		283,200		2,774,113
Mitsubishi Electric Corporation (Industrials, Electrical Equipment)		292,500		3,672,277
Mitsubishi Gas Chemical Company Incorporated (Materials, Chemicals)		195,500		2,444,540
Mitsubishi UFJ Financial Group Incorporated (Financials, Banks)		921,500		4,261,188
Mitsubishi UFJ Lease & Finance Company Limited (Financials, Diversified Financial Services)		699,300		3,497,629
Mitsui Chemicals Incorporated (Materials, Chemicals)		177,100		3,901,054
Mixi Incorporated (Communication Services, Interactive Media & Services)		54,400		1,150,600
Mizuho Financial Group Incorporated (Financials, Banks)		3,425,200		4,858,148
Morinaga Milk Industry Company Limited (Consumer Staples, Food Products)		134,500		4,896,438
Nippon Telegraph & Telephone Corporation (Communication Services, Diversified Telecommunication Services)		324,200		14,557,811
Nissan Motor Company Limited (Consumer Discretionary, Automobiles)		587,500		3,982,628
Nisshinbo Holdings Incorporated (Industrials, Industrial Conglomerates)		82,500		574,032
NTN Corporation (Industrials, Machinery)		1,133,600		2,991,829
NTT DOCOMO Incorporated (Communication Services, Wireless Telecommunication Services)		98,600		2,270,625
ORIX Corporation (Financials, Diversified Financial Services)		469,600		6,651,926
Resona Holdings Incorporated (Financials, Banks)		1,348,600		5,723,445
Ryobi Limited (Industrials, Machinery)		117,400		2,149,417
Sawai Pharmaceutical Company Limited (Health Care, Pharmaceuticals)		81,600		4,209,330
Sojitz Corporation (Industrials, Trading Companies & Distributors)		1,855,500		5,975,818
Sompo Holdings Incorporated NKSJ Holdings Inc(Financials, Insurance)		85,400		3,240,574
Sumitomo Heavy Industries Limited (Industrials, Machinery)		140,900		4,479,311

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

Portfolio of investments—May 31, 2019 Wells Fargo International Value Portfolio 29

Security name	Shares		Value
Japan(continued)
Sumitomo Mitsui Financial Group Incorporated (Financials, Banks)		173,200	$	6,046,377
Teijin Limited (Materials, Chemicals)		279,600		4,574,639
The Keiyo Bank Limited (Financials, Banks)		224,300		1,293,660
The Yokohama Rubber Company Limited (Consumer Discretionary, Auto Components)		172,900		2,894,298
Toho Holdings Company Limited (Health Care, Health Care Providers & Services)		63,000		1,412,144
Tokyo Electron Limited (Information Technology, Semiconductors & Semiconductor Equipment)		2,700		368,505
Toyo Ink SC Holding Company Limited (Materials, Chemicals)		75,000		1,565,542
Toyo Tire & Rubber Company Limited (Consumer Discretionary, Auto Components)		165,400		2,068,168
Toyota Boshoku Corporation (Consumer Discretionary, Auto Components)		180,900		2,223,585
UBE Industries Limited (Materials, Chemicals)		149,300		2,867,100
ULVAC Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		107,300		3,084,386
West Japan Railway Company (Industrials, Road & Rail)		67,100		5,263,231
				231,512,488
Liechtenstein: 0.02%
VP Bank AG (Financials, Capital Markets)		1,379		216,508
Malaysia: 0.30%
Tenaga Nasional Bhd (Utilities, Electric Utilities)		1,062,400		3,219,778
Netherlands: 2.88%
ABN AMRO Group NV (Financials, Banks) 144A		161,500		3,417,149
Aegon NV (Financials, Insurance) «		566,623		2,592,780
ASR Nederland NV (Financials, Insurance)		83,831		3,180,415
ING Groep NV (Financials, Banks)		282,500		3,059,692
Koninklijke Ahold Delhaize NV (Consumer Staples, Food & Staples Retailing)		437,386		9,838,479
Philips Lighting NV (Industrials, Electrical Equipment) 144A		161,000		4,309,473
RHI Magnesita NV (Materials, Construction Materials)		64,721		3,940,517
X5 Retail Group NV GDR (Consumer Staples, Food & Staples Retailing)		14,352		422,236
				30,760,741
Norway: 1.41%
Den Norske Bank ASA (Financials, Banks)		221,600		3,757,606
Grieg Seafood ASA (Consumer Staples, Food Products)		336,787		4,779,522
Leroy Seafood Group ASA (Consumer Staples, Food Products) «		558,599		3,829,649
Mowi ASA (Consumer Staples, Food Products)		117,900		2,734,749
				15,101,526
Poland: 0.12%
Asseco Poland SA (Information Technology, Software)		93,400		1,245,268
Russia: 1.57%
Gazprom Neft ADR (Energy, Oil, Gas & Consumable Fuels)		136,114		3,852,026
Gazprom Neft ADR (Energy, Oil, Gas & Consumable Fuels)		886		25,286
Gazprom PAO ADR (Energy, Oil, Gas & Consumable Fuels)		781,547		5,134,764
Lukoil OAO ADR (Energy, Oil, Gas & Consumable Fuels) «		46,800		3,731,364
Lukoil PJSC ADR (Energy, Oil, Gas & Consumable Fuels)		50,101		4,036,137
				16,779,577

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

30 Wells Fargo International Value Portfolio Portfolio of investments—May 31, 2019

Security name	Shares		Value
Singapore: 0.60%
DBS Group Holdings Limited (Financials, Banks)		185,700	$	3,283,579
United Overseas Bank Limited (Financials, Banks)		184,100		3,149,414
				6,432,993
South Africa: 0.30%
Absa Group Limited (Financials, Banks)		274,900		3,189,434
South Korea: 2.22%
BNK Financial Group Incorporated (Financials, Banks)		440,300		2,551,071
E-MART Incorporated (Consumer Staples, Food & Staples Retailing)		8,500		1,027,794
Industrial Bank of Korea (Financials, Banks)		264,500		3,076,098
JB Financial Group Company Limited (Financials, Banks)		25,418		119,097
KB Financial Group Incorporated (Financials, Banks)		79,300		2,916,567
KT&G Corporation (Consumer Staples, Tobacco)		38,400		3,256,697
LG Uplus Corporation (Communication Services, Diversified Telecommunication Services)		351,800		4,120,925
SK Telecom Company Limited (Communication Services, Wireless Telecommunication Services)		17,400		3,660,005
Woori Financial Group Incorporated (Financials, Banks)		254,400		2,969,317
				23,697,571
Spain: 1.78%
Banco Santander Central Hispano SA (Financials, Banks)		731,000		3,227,348
Distribuidora Internacional SA (Consumer Staples, Food & Staples Retailing)		391,000		257,715
Iberdrola SA (Utilities, Electric Utilities)		389,400		3,616,741
International Consolidated Airlines Group SA (Industrials, Airlines)		548,044		3,125,512
Repsol YPF SA (Energy, Oil, Gas & Consumable Fuels)		542,137		8,757,675
				18,984,991
Sweden: 2.03%
Boliden AB (Materials, Metals & Mining)		102,400		2,334,829
Boliden AB (Materials, Metals & Mining) †(a)		102,400		45,876
Electrolux AB Class B (Consumer Discretionary, Household Durables)		162,100		3,525,176
Sandvik AB (Industrials, Machinery)		240,700		3,718,437
Skandinaviska Enskilda Banken AB Class A (Financials, Banks)		272,700		2,422,173
Volvo AB Class B (Industrials, Machinery)		689,107		9,643,169
				21,689,660
Switzerland: 7.06%
Baloise Holding AG (Financials, Insurance)		39,946		6,646,695
Credit Suisse Group AG (Financials, Capital Markets)		168,600		1,917,957
Helvetia Holding AG (Financials, Insurance)		31,465		3,871,648
Roche Holding AG (Health Care, Pharmaceuticals)		104,400		27,433,348
Swiss Life Holding AG (Financials, Insurance)		24,300		11,059,685
Swiss Reinsurance AG (Financials, Insurance)		91,400		8,672,160
UBS Group AG (Financials, Capital Markets)		424,002		4,891,109
Valiant Holding AG (Financials, Banks)		17,400		1,859,476
Zurich Insurance Group AG (Financials, Insurance)		27,970		9,073,314
				75,425,392

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

Portfolio of investments—May 31, 2019 Wells Fargo International Value Portfolio 31

Security name	Shares		Value
Taiwan: 0.56%
Catcher Technology Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		328,000	$	1,992,123
Pegatron Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		600,000		977,461
Powertech Technology Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		1,283,000		3,015,481
				5,985,065
Thailand: 1.00%
Bangchak Corporation PCL (Energy, Oil, Gas & Consumable Fuels)		2,321,100		2,163,597
Krung Thai Bank PCL ADR (Financials, Banks)		5,181,900		3,127,397
Quality Houses PCL (Real Estate, Real Estate Management & Development)		15,516,900		1,480,718
Thai Oil PCL (Energy, Oil, Gas & Consumable Fuels)		744,000		1,392,906
Thanachart Capital PCL		1,481,500		2,481,065
				10,645,683
Turkey: 0.49%
Koç Holding AS (Industrials, Industrial Conglomerates)		1,184,300		3,299,492
TAV Havalimanlari Holding AS (Industrials, Transportation Infrastructure)		439,000		1,917,116
				5,216,608
United Kingdom: 15.08%
3i Group plc (Financials, Capital Markets)		364,800		4,847,194
Anglo American plc (Materials, Metals & Mining)		267,586		6,410,700
Aviva plc (Financials, Insurance)		704,391		3,603,069
Babcock International Group plc (Industrials, Commercial Services & Supplies)		331,300		1,875,592
BAE Systems plc (Industrials, Aerospace & Defense)		1,687,100		9,649,310
Barclays plc (Financials, Banks)		715,000		1,349,942
Barratt Developments plc (Consumer Discretionary, Household Durables)		480,975		3,393,044
Bellway plc (Consumer Discretionary, Household Durables)		80,100		2,775,712
Bovis Homes Group plc (Consumer Discretionary, Household Durables)		244,800		3,028,343
BP plc (Energy, Oil, Gas & Consumable Fuels)		2,015,036		13,759,094
BT Group plc (Communication Services, Diversified Telecommunication Services)		1,099,700		2,693,836
Centrica plc (Utilities, Multi-Utilities)		2,517,300		2,976,270
Crest Nicholson Holdings plc (Consumer Discretionary, Household Durables)		345,400		1,600,839
Debenhams plc (Consumer Discretionary, Multiline Retail) «(a)†		395,800		0
Firstgroup plc (Industrials, Road & Rail) †		952,400		1,388,294
GlaxoSmithKline plc (Health Care, Pharmaceuticals)		965,207		18,633,410
Highland Gold Mining Limited (Materials, Metals & Mining) «		1,280,734		2,691,056
Imperial Tobacco Group plc (Consumer Staples, Tobacco)		283,391		6,861,004
Inchcape plc (Consumer Discretionary, Distributors)		423,425		3,136,945
J Sainsbury plc (Consumer Staples, Food & Staples Retailing)		1,270,500		3,214,065
Kingfisher plc (Consumer Discretionary, Specialty Retail)		1,323,253		3,578,381
Legal & General Group plc (Financials, Insurance)		2,314,194		7,507,395
Lloyds Banking Group plc (Financials, Banks)		8,916,700		6,454,883
Marks & Spencer Group plc (Consumer Discretionary, Multiline Retail)		705,000		2,007,199
Marston’s plc (Consumer Discretionary, Hotels, Restaurants & Leisure)		893,000		1,209,132
Mitchells & Butlers plc (Consumer Discretionary, Hotels, Restaurants & Leisure) †		367,200		1,285,924
Paragon Group of Companies plc (Financials, Thrifts & Mortgage Finance)		501,100		2,754,525
Petrofac Limited (Energy, Energy Equipment & Services)		522,047		2,733,051
Premier Foods plc (Consumer Staples, Food Products) †		73,926		33,179
QinetiQ Group plc (Industrials, Aerospace & Defense)		773,800		2,850,697

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

32 Wells Fargo International Value Portfolio Portfolio of investments—May 31, 2019

Security name						Shares		Value
United Kingdom(continued)
Quilter plc (Financials, Capital Markets)							615,246	$	1,028,751
Redrow plc (Consumer Discretionary, Household Durables)							420,064		2,894,308
Royal Dutch Shell plc Class B (Energy, Oil, Gas & Consumable Fuels)							740,200		23,146,954
Royal Mail plc (Industrials, Air Freight & Logistics)							539,626		1,399,920
Tate & Lyle plc (Consumer Staples, Food Products)							497,300		4,540,553
The Berkeley Group Holdings plc (Consumer Discretionary, Household Durables)							75,800		3,350,221
The Restaurant Group plc (Consumer Discretionary, Hotels, Restaurants & Leisure)							338,594		558,628
									161,221,420
Total Common Stocks (Cost $1,117,875,331)									1,026,590,391
	Dividend yield
Preferred Stocks: 0.99%
Brazil: 0.99%
Banco do Estado do Rio Grande do Sul SA Class B (Financials, Banks)		0.37	%				957,800		5,797,156
Itaúsa Investimentos Itaú SA (Financials, Banks)		6.02					1,524,600		4,813,974
Total Preferred Stocks (Cost $8,754,221)									10,611,130
				Expiration date
Rights: 0.01%
United Kingdom: 0.01%
Marks & Spencer Group plc (Consumer Discretionary, Multiline Retail) †					11-6-2019		141,000		69,521
Total Rights (Cost $0)									69,521
	Yield
Short-Term Investments: 6.64%
Investment Companies: 6.64%
Securities Lending Cash Investments LLC (l)(r)(u)		2.51					64,602,214		64,608,675
Wells Fargo Government Money Market Fund Select Class (l)(u)		2.30					6,351,554		6,351,554
Total Short-Term Investments (Cost $70,959,934)									70,960,229

Total investments in securities (Cost $1,197,589,486)	103.70	%		1,108,231,271
Other assets and liabilities, net	(3.70	)		(39,490,518	)
Total net assets	100.00	%	$	1,068,740,753

† Non-income-earning security

« All or a portion of this security is on loan.

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

(r) The investment is anon-registered investment company purchased with cash collateral received from securities on loan.

(u) The rate represents the7-day annualized yield at period end.

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.

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

Portfolio of investments—May 31, 2019 Wells Fargo International Value Portfolio 33

Abbreviations:

ADR American depositary receipt

GDR Global depositary receipt

REIT Real estate investment trust

The following table shows the percent of total long-term investments by sector as of May 31, 2019:

Financials	24.19	%
Industrials	15.86
Materials	10.40
Consumer Discretionary	10.18
Energy	9.62
Health Care	8.81
Consumer Staples	7.42
Communication Services	5.50
Utilities	3.72
Information Technology	2.88
Real Estate	1.42
	100.00	%

Investments in Affiliates

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

	Shares, beginning of period		Shares purchased		Shares sold		Shares, end of period		Net realized gains (losses)		Net change in unrealized gains (losses)		Income from affiliated securities		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Securities Lending Cash Investments LLC		25,301,762		423,232,972		383,932,520		64,602,214	$	1,929	$	0	$	681,812	$	64,608,675
Wells Fargo Government Money Market Fund Select Class		22,685,533		145,511,964		161,845,943		6,351,554		0		0		211,473		6,351,554
									$	1,929	$	0	$	893,285	$	70,960,229		6.64	%

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

34 Wells Fargo International Value Portfolio Statement of assets and liabilities—May 31, 2019

Assets
Investments in unaffiliated securities (including $60,224,944 of securities loaned), at value (cost $1,126,629,552)	$	1,037,271,042
Investments in affiliated securities, at value ($70,959,934)		70,960,229
Foreign currency, at value (cost $14,555,542)		14,255,493
Receivable for investments sold		929,976
Receivable for dividends		11,744,738
Receivable for securities lending income, net		565,987
Prepaid expenses and other assets		15,141
Total assets		1,135,742,606
Liabilities
Payable upon receipt of securities loaned		64,604,389
Payable for investments purchased		1,463,921
Advisory fee payable		758,280
Accrued expenses and other liabilities		175,263
Total liabilities		67,001,853
Total net assets	$	1,068,740,753

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

Statement of operations—year ended May 31, 2019 Wells Fargo International Value Portfolio 35

Investment income
Dividends (net of foreign withholding taxes of $6,569,923)	$	47,548,301
Income from affiliated securities		1,719,287
Total investment income		49,267,588
Expenses
Advisory fee		8,720,811
Custody and accounting fees		196,418
Professional fees		60,999
Shareholder report expenses		2,653
Trustees’ fees and expenses		20,997
Interest expense		6,773
Other fees and expenses		48,085
Total expenses		9,056,736
Net investment income		40,210,852
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS
Net realized gains (losses) on:
Unaffiliated securities		(6,399,421	)
Affiliated securities		1,929
Net realized losses on investments		(6,397,492	)
Net change in unrealized gains (losses) on investments		(155,017,981	)
Net realized and unrealized gains (losses) on investments		(161,415,473	)
Net decrease in net assets resulting from operations	$	(121,204,621	)

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

36 Wells Fargo International Value Portfolio Statement of changes in net assets

	Year ended May 31, 2019			Year ended May 31, 2018
Operations
Net investment income	$	40,210,852		$	22,286,555
Net realized gains (losses) on investments		(6,397,492	)		15,107,292
Net change in unrealized gains (losses) on investments		(155,017,981	)		21,851,248
Net increase (decrease) in net assets resulting from operations		(121,204,621	)		59,245,095
Capital transactions
Transactions in investors’ beneficial interests
Contributions		527,916,476			197,415,479
Withdrawals		(237,901,170	)		(109,368,233	)
Net increase in net assets resulting from capital transactions		290,015,306			88,047,246
Total increase in net assets		168,810,685			147,292,341
Net assets
Beginning of period		899,930,068			752,637,727
End of period	$	1,068,740,753		$	899,930,068

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

Financial highlights Wells Fargo International Value Portfolio 37

	Year ended May 31
	2019			2018			2017			2016			2015
Total return		(10.98	)%		7.74	%		19.16	%		(11.85	)%		(1.04	)%
Ratios to average net assets (annualized)
Gross expenses		0.80	%		0.82	%		0.87	%		0.91	%		0.91	%
Net expenses		0.80	%		0.82	%		0.87	%		0.91	%		0.91	%
Net investment income		3.53	%		2.65	%		3.03	%		2.50	%		2.45	%
Supplemental data
Portfolio turnover rate		13	%		15	%		41	%		14	%		18	%

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

38 Wells Fargo International Value Portfolio Notes to financial statements

1. ORGANIZATION

Wells Fargo Master Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is anopen-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As an investment company, the Trust follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”)Accounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statements report on the Wells Fargo International Value Portfolio (the “Portfolio”) which is a diversified series of the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

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

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Portfolio may deviate from this calculation time under unusual or unexpected circumstances.

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

The values of securities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC (“Funds Management”).

Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore may not fully reflect trading or events that occur after the close of the principal exchange in which the foreign securities are traded, but before the close of the New York Stock Exchange. If such trading or events are expected to materially affect the value of such securities, then fair value pricing procedures approved by the Board of Trustees of the Portfolio are applied. These procedures take into account multiple factors including movements in U.S. securities markets after foreign exchanges close. Foreign securities that are fair valued under these procedures are categorized as Level 2 and the application of these procedures may result in transfers between Level 1 and Level 2. Depending on market activity, such fair valuations may be frequent. Such fair value pricing may result in net asset values that are higher or lower than net asset values based on the last reported sales price or latest quoted bid price. On May 31, 2019, such fair value pricing was used in pricing certain foreign securities.

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

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee. The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.

Foreign currency translation

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

Notes to financial statements Wells Fargo International Value Portfolio 39

Securities lending

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

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

Security transactions and income recognition

Securities transactions are recorded on a trade date basis. Realized gains or losses are recorded on the basis of identified cost.

Dividend income is recognized on theex-dividend date, except for certain dividends from foreign securities, which are recorded as soon as the custodian verifies theex-dividend date. Dividend income from foreign securities is recorded net of foreign taxes withheld where recovery of such taxes is not assured.

Federal and other taxes

The Portfolio is treated as a separate entity for federal income tax purposes. The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains as it is treated as a partnership for federal income tax purposes. All dividends, gains and losses of the Portfolio are deemed to have been “passed through” to the interest holders in proportion to their holdings of the Portfolio regardless of whether such 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 May 31, 2019, the aggregate cost of all investments for federal income tax purposes was $1,201,886,158 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	81,744,116
Gross unrealized losses		(175,399,003	)
Net unrealized losses	$	(93,654,887	)

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:

40 Wells Fargo International Value Portfolio Notes to financial statements

∎ 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 May 31, 2019:

	Quoted prices (Level 1)		Other significant observable Inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Common stocks
Australia	$	59,774,589	$	0	$	0	$	59,774,589
Austria		8,626,472		0		0		8,626,472
Belgium		6,576,303		0		0		6,576,303
Brazil		12,514,796		0		0		12,514,796
Canada		10,662,764		0		0		10,662,764
China		36,602,947		0		0		36,602,947
Denmark		0		6,643,383		0		6,643,383
Finland		6,437,782		0		0		6,437,782
France		96,033,749		0		0		96,033,749
Germany		79,980,171		0		0		79,980,171
Hong Kong		28,471,773		0		0		28,471,773
India		5,609,233		0		0		5,609,233
Ireland		7,259,723		0		0		7,259,723
Israel		0		3,489,271		0		3,489,271
Italy		26,582,732		0		0		26,582,732
Japan		231,512,488		0		0		231,512,488
Liechtenstein		216,508		0		0		216,508
Malaysia		3,219,778		0		0		3,219,778
Netherlands		30,760,741		0		0		30,760,741
Norway		15,101,526		0		0		15,101,526
Poland		1,245,268		0		0		1,245,268
Russia		16,779,577		0		0		16,779,577
Singapore		6,432,993		0		0		6,432,993
South Africa		3,189,434		0		0		3,189,434
South Korea		23,697,571		0		0		23,697,571
Spain		18,984,991		0		0		18,984,991
Sweden		21,643,784		45,876		0		21,689,660
Switzerland		75,425,392		0		0		75,425,392
Taiwan		5,985,065		0		0		5,985,065
Thailand		10,645,683		0		0		10,645,683
Turkey		5,216,608		0		0		5,216,608
United Kingdom		161,221,420		0		0		61,221,420
Preferred stocks
Brazil		10,611,130		0		0		10,611,130
Rights
United Kingdom		0		69,521		0		69,521
Short-term investments
Investment companies		6,351,554		64,608,675		0		70,960,229
Total assets	$	1,033,374,545	$	74,856,726	$	0	$	1,108,231,271

Notes to financial statements Wells Fargo International Value Portfolio 41

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

At May 31, 2019, the Portfolio did not have any transfers into/out of Level 3.

4. TRANSACTIONS WITH AFFILIATES AND OTHER EXPENSES

Advisory fee

The Trust has entered into an advisory contract with Funds Management, an indirect wholly owned subsidiary of Wells Fargo. The adviser is responsible for implementing investment policies and guidelines and for supervising the subadviser, who is responsible forday-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 $500 million	0.800%
Next $500 million	0.750
Next $1 billion	0.700
Next $2 billion	0.675
Over $4 billion	0.650

For the year ended May 31, 2019, the advisory fee was equivalent to an annual rate of 0.77% of the Portfolio’s average daily net assets.

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Portfolio. The fee for subadvisory services is borne by Funds Management. LSV Asset Management, which is not an affiliate of the Funds Management, is the subadviser to the Portfolio and is entitled to receive a fee from Funds Management at an annual rate starting at 0.35% and declining to 0.30% as the average daily net assets of the Portfolio increase.

Interfund transactions

The Portfolio may purchase or sell portfolio investment securities to certain other Wells Fargo affiliates pursuant toRule 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. Pursuant to these procedures, the Portfolio had $268,840,363 and $0 in interfund purchases and sales, respectively, during the year ended May 31, 2019.

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments, excluding U.S. government obligations (if any) and short-term securities, for the year ended May 31, 2019 were $464,433,298 and $140,833,689, respectively.

6. BANK BORROWINGS

Effective August 28, 2018, the Trust, along with Wells Fargo Variable Trust and Wells Fargo Funds Trust (excluding the money market funds), are parties to a $280,000,000 revolving credit agreement whereby the Portfolio is permitted to use bank borrowings for temporary or emergency purposes, such as to fund shareholder redemption requests. Interest under the credit agreement is charged to the Portfolio based on a borrowing rate equal to the higher of the Federal Funds rate in effect on that day plus 1.25% or the overnight LIBOR rate in effect on that day plus 1.25%. In addition, an annual commitment fee equal to 0.25% of the unused balance is allocated to each participating fund.

During the year ended May 31, 2019, the Portfolio had average borrowings outstanding of $180,613 at an average rate of 3.75% and paid interest in the amount of $6,773.

7. INDEMNIFICATION

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

42 Wells Fargo International Value Portfolio Notes to financial statements

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. ASU2018-13 updates the disclosure requirements for fair value measurements by modifying or removing certain disclosures and adding certain new disclosures. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Early adoption is permitted. Management has adopted the removal and modification of disclosures early, as permitted, and will adopt the additional new disclosures at the effective date.

Report of independent registered public accounting firm Wells Fargo International Value Portfolio 43

TO THE SHAREHOLDERS OF THE PORTFOLIO AND BOARD OF TRUSTEES OF WELLS FARGO MASTER TRUST:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Wells Fargo International Value Portfolio (the Portfolio), one of the portfolios constituting Wells Fargo Master Trust, including the portfolio of investments, as of May 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Portfolio as of May 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of May 31, 2019, by correspondence with the custodian and brokers, or by other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

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

Boston, Massachusetts

July 26, 2019

44 Wells Fargo International Value Fund Other information (unaudited)

TAX INFORMATION

Pursuant to Section 854 of the Internal Revenue Code, $21,427,508 of income dividends paid during the fiscal year ended May 31, 2019 has been designated as qualified dividend income (QDI).

Pursuant to Section 853 of the Internal Revenue Code, the Fund expects to designate amounts as foreign taxes paid for the fiscal year ended May 31, 2019. Additional details will be available in the semiannual report.

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 calling1-800-222-8222, visiting our website atwfam.com, or visiting the SEC website at sec.gov. Information regarding how the proxies related to portfolio securities were voted during the most recent12-month period ended June 30 is available on the website atwfam.comor by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS

The Fund and Portfolio file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Other information (unaudited) Wells Fargo International Value Fund 45

BOARD OF TRUSTEES AND OFFICERS

Each of the Trustees and Officers¹ listed in the table below acts in identical capacities for each fund in the Wells Fargo family of funds, which consists of 151 mutual funds comprising the Wells Fargo Funds Trust, Wells Fargo Variable Trust, Wells Fargo Master Trust and fourclosed-end funds (collectively the “Fund Complex”). This table should be read in conjunction with the Prospectus and the Statement of Additional Information². The mailing address of each Trustee and Officer is 525 Market Street, 12th Floor, San Francisco, CA 94105. Each Trustee and Officer serves an indefinite term, however, each Trustee serves such term until reaching the mandatory retirement age established by the Trustees.

Independent Trustees

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

46 Wells Fargo International Value Fund Other information (unaudited)

Name and year of birth	Position held and length of service*	Principal occupations during past five years or longer	Current other public company or investment company directorships
David F. Larcker (Born 1950)	Trustee, since 2009	James Irvin Miller Professor of Accounting at the Graduate School of Business, Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005.	N/A
Olivia S. Mitchell (Born 1953)	Trustee, since 2006; Nominating and Governance Committee Chairman, since 2018	International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993.	N/A
Timothy J. Penny (Born 1951)	Trustee, since 1996; Chairman, since 2018	President and Chief Executive Officer of Southern Minnesota Initiative Foundation, anon-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., anon-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, anon-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

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

Other information (unaudited) Wells Fargo International Value Fund 47

Officers

Name and year of birth	Position held and length of service	Principal occupations during past five years or longer
Andrew Owen (Born 1960)	President, since 2017	Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014.
Jeremy DePalma1 (Born 1974)	Treasurer, since 2012	Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010.
Alexander Kymn (Born 1973)	Secretary and Chief Legal Officer, since 2018	Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.
Michael H. Whitaker (Born 1967)	Chief Compliance Officer, since 2016	Senior Vice President and Chief Compliance Officer since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016.
David Berardi (Born 1975)	Assistant Treasurer, since 2009	Vice President of Wells Fargo Funds Management, LLC since 2009. Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010. Manager of Fund Reporting and Control for Evergreen Investment Management Company, LLC from 2004 to 2010.

¹ Jeremy DePalma acts as Treasurer of 86 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 calling1-800-222-8222 or by visiting the website atwfam.com.

48 Wells Fargo International Value Fund Other information (unaudited)

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

Wells Fargo International Value Fund and Wells Fargo International Value 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”, and 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 an in-person meeting held on May 21-22, 2019 (the “Meeting”), the Funds Trust Board, 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 Wells Fargo International Value Fund (the “Gateway Fund”) an investment management agreement (the “Gateway Fund Management Agreement”) with Wells Fargo Funds Management, LLC (“Funds Management”).

At the Meeting, the Master Trust Board, 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: (i) an investment advisory agreement (the “Master Portfolio Advisory Agreement”) with Funds Management for Wells Fargo International Value Portfolio, a portfolio of Master Trust (the “Master Portfolio”); and (ii) an investment sub-advisory agreement (the “Sub-Advisory Agreement”) with LSV Asset Management (the “Sub-Adviser”).

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

The Gateway Fund is a gateway feeder fund that invest substantially all of its assets in the Master Portfolio. The Master Portfolio has a substantially similar investment objective and substantially similar investment strategies to the Gateway Fund. Information provided to the Boards regarding the Gateway Fund is also applicable to the Master Portfolio, 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-Adviser and the approval of the Advisory Agreements. Prior to the Meeting, including at an in-person meeting in April 2019, 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-Adviser 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 2019. 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-Adviser 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 Funds Trust Board unanimously approved the continuation of the Gateway Fund Management 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 the Sub-Advisory Agreement, each for a one-year term. The Boards also determined that the compensation payable to Funds Management and the Sub-Adviser 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.

Other information (unaudited) Wells Fargo International Value Fund 49

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-Adviser under the Advisory Agreements. This information included a description of the investment advisory services and Fund-level administrative services, 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 is a part, a summary of investments made in the business of WFAM, a summary of certain organizational and personnel changes involving Funds Management, and a description of Funds Management’s and the Sub-Adviser’s business continuity planning programs and of their approaches to data privacy and cybersecurity. The Boards received and reviewed information about Funds Management’s role as administrator of the Funds’ liquidity risk management 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 Boards evaluated the ability of Funds Management and the Sub-Adviser 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-Adviser. 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 Funds over various time periods ended December 31, 2018. 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 Gateway Fund (the “Universe”), and in comparison to the Gateway Fund’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 the performance Universe. The Funds Trust Board noted that the investment performance of the Gateway Fund (Administrator Class) was higher than the average investment performance of its Universe for all periods under review. The Funds Trust Board also noted that the investment performance of the Gateway Fund was higher than or in range of its benchmark, the MSCI EAFE Value Index (Net), for the three-, five- and ten-year periods under review, but lower than its benchmark for the one-year period under review.

The Master Trust Board took note of the investment performance of the Master Portfolio in the context of reviewing the investment performance of the Gateway Fund.

The Funds Trust Board also received and considered information regarding the Gateway Fund’s net operating expense ratios, which include fees and expenses of the Master Portfolio, and their various components, including actual management fees assessed at the Gateway Fund and Master Portfolio levels, custodian and other non-management fees, and Rule 12b-1 and non-Rule 12b-1 shareholder service fees. The Funds Trust Board considered these ratios in comparison to the median ratios of funds in class-specific expense groups that were determined by Broadridge to be similar to the Gateway Fund (the “Groups”). The Funds Trust Board 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. Based on the Broadridge reports, the Funds Trust Board noted that the net operating expense ratios of the Gateway Fund were equal to or in range of the median net operating expense ratios of its expense Groups for each share class.

With respect to the Master Portfolio, the Master Trust Board reviewed 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 a corresponding expense Group.

The Boards took into account the Funds’ investment performance and expense 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 Funds Trust Board noted that Funds Management receives no advisory fees from the Gateway Fund as long as the Gateway Fund continues to invest all (or substantially all) of its assets in a single master portfolio. If the Gateway Fund were to change its investment structure so that it began investing in two or more master portfolios (a fund-of-funds), Funds Management would be entitled to receive an annual fee of 0.25% of the Gateway Fund’s average daily net assets for providing investment advisory services to the Gateway Fund, including allocating the Gateway Fund’s assets to the Master Portfolio.

50 Wells Fargo International Value Fund Other information (unaudited)

The Funds Trust Board reviewed and considered the contractual fee rates that are payable by the Gateway Fund to Funds Management under the Gateway Fund Management Agreement, as well as the contractual fee rates payable by the Gateway Fund to Funds Management for class-level administrative services under a Class-Level Administration Agreement, which include, among other things, class-level transfer agency and sub-transfer agency costs (collectively, the “Management Rates”).

The Master Trust Board reviewed and considered the contractual investment advisory fee rate that is payable by the Master Portfolio to Funds Management for investment advisory services under the Master Portfolio Advisory Agreement (the “Advisory Agreement Rate”). The Master Trust Board also reviewed and considered the contractual investment sub-advisory fee rate that is payable by Funds Management to the Sub-Adviser for investment sub-advisory services (the “Sub-Advisory Agreement Rate”).

Among other information reviewed by the Funds Trust Board was a comparison of the Gateway Fund’s Management Rate, which include the advisory fees paid at the Master Portfolio level, with the average contractual investment management fee rates of funds in the expense Groups at a common asset level as well as transfer agency costs of the funds in the expense Groups. The Funds Trust Board noted that the Management Rates of the Gateway Fund were lower than, equal to or in range of the sum of these average rates for the Gateway Fund’s expense Groups for all share classes. The Funds Trust Board also noted that the net operating expense ratio caps for all classes of the Gateway Fund would be reduced.

The Master Trust Board reviewed a comparison of the Advisory Agreement Rate of the Master Portfolio with those of other funds in the Master Portfolio’s expense Group at a common asset level. The Master Trust Board noted that the Advisory Agreement Rate of the Master Portfolio was in range of the median rate for the Master Portfolio’s expense Group.

The Master Trust Board 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-Adviser for sub-advisory services. The Master Trust Board considered these amounts in comparison to the median amount retained by advisers to funds in a sub-advised expense universe that was determined by Broadridge to be similar to the Master Portfolio. In assessing the reasonableness of these amounts, the Master Trust Board 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-Adviser, and about Funds Management’s on-going oversight services. The Master Trust Board also considered that the sub-advisory fees paid to the Sub-Adviser had been negotiated by Funds Management on an arm’s length basis.

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-Adviser to other types of clients with investment strategies similar to those of the 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 Funds Trust Board determined that the compensation payable to Funds Management under the Gateway Fund Management Agreement was reasonable, and the Master Trust Board determined that the compensation payable to Funds Management under the Master Portfolio Advisory Agreement and to the Sub-Adviser under the Sub-Advisory Agreement was 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.

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. The Boards did not consider profitability with respect to the Sub-Adviser, as the sub-advisory fees paid to the Sub-Adviser had been negotiated by Funds Management on an arm’s-length basis.

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 the Boards from approving the continuation of the Advisory Agreements.

Other information (unaudited) Wells Fargo International Value Fund 51

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 Master Portfolio’s advisory fee structure and the Gateway Fund’s management fee structure, which operate generally to reduce the Funds’ expense ratios as the Funds grow in size. 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 each Fund, 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-Adviser

The Boards received and considered information regarding potential “fall-out” or ancillary benefits received by Funds Management, the Sub-Adviser, and their affiliates 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-Adviser’s 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-Adviser, fees earned by Funds Management and its affiliate 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, the Sub-Adviser, and their affiliates 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 Gateway Fund Management Agreement for a one-year period. Additionally, after considering the above-described factors and based on its deliberations and its evaluation of the information described above, the Master Trust Board unanimously approved the continuation of the Master Portfolio Advisory Agreement and the Sub-Advisory Agreement, each for a one-year term. The Boards also determined that the compensation payable to Funds Management and the Sub-Adviser was reasonable.

This page is intentionally left blank.

For more information

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

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: 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 Fund. If this report is used for promotional purposes, distribution of the report must be accompanied or preceded by a current prospectus. Before investing, please consider the investment objectives, risks, charges, and expenses of the investment. For a current prospectus and, if available, a summary prospectus, containing this information, call1-800-222-8222 or visit the Fund’s website atwfam.com. Read the prospectus carefully before you invest or send money.

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

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

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

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

403198 07-19 A284/AR284 05-19

Annual Report

May 31, 2019

Wells Fargo Small Company Growth Fund

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

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

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

Reduce clutter. Save trees.

Sign up for electronic delivery of prospectuses and shareholder reports atwellsfargo.com/advantagedelivery

Contents

Letter to shareholders	2
Performance highlights	6
Fund expenses	10
Wells Fargo Small Company Growth Fund
Portfolio of investments	11
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	20
Report of independent registered public accounting firm	24
Wells Fargo Small Company Growth Portfolio
Portfolio of investments	25
Financial statements
Statement of assets and liabilities	31
Statement of operations	32
Statement of changes in net assets	33
Financial highlights	34
Notes to financial statements	35
Report of independent registered public accounting firm	39
Other information	40

The views expressed and any forward-looking statements are as of May 31, 2019, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Asset Management. Discussions of individual securities, or the markets generally, or any Wells Fargo Fund are not intended as individual recommendations. Future events or results may vary significantly from those expressed in any forward-looking statements. The views expressed are subject to change at any time in response to changing circumstances in the market. Wells Fargo Asset Management and the Fund disclaim any obligation to publicly update or revise any views expressed or forward-looking statements.

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

2 Wells Fargo Small Company Growth Fund Letter to shareholders (unaudited)

Andrew Owen

President

Wells Fargo Funds

Dear Shareholder:

We are pleased to offer you this annual report for the Wells Fargo Small Company Growth Fund for the 12-month period that ended May 31, 2019. Higher short-term interest rates, inflation concerns, trade tensions, and geopolitical events drove investment market volatility for much of 2018, particularly for international stocks. Early 2019 saw stocks and bonds gain with renewed business and investor confidence, but volatility returned late in the period as global growth slowed and geopolitical concerns persisted.

For the period, U.S. stocks, based on the S&P 500 Index,¹ gained 3.78% and international stocks, as measured by the MSCI ACWI ex USA Index (Net),² fell 6.26%. Based on the MSCI EM Index (Net),³ emerging market stocks fell 8.70%. Bond investors saw the Bloomberg Barclays U.S. Aggregate Bond Index⁴ add 6.40% while the Bloomberg Barclays Global Aggregate ex-USD Index⁵ rose 0.39%. The Bloomberg Barclays Municipal Bond Index⁶ added 6.40%, and the ICE BofAML U.S. High Yield Index⁷ was up 5.37%.

Results for investment indices reflected global concerns.

Global trade tensions escalated during the second quarter of 2018. A tit-for-tat tariff spat intensified between the U.S. and other governments. The U.S. Federal Reserve (Fed) raised the federal funds rate by 25 basis points (bps; 100 bps equal 1.00%) to a target range of between 1.75% and 2.00% in June. Market index results reflected the global concerns. The MSCI ACWI ex USA Index (Net) lost 2.61%, while the Bloomberg Barclays Global Aggregate ex-USD Index dropped 4.76%.

Not all news was bad. The U.S. Bureau of Economic Analysis reported second-quarter annualized gross domestic product (GDP) growth of 4.2%. Hiring improved. Unemployment declined. Consumer confidence and spending increased. The S&P 500 Index recorded a 3.43% second-quarter gain. Stocks of companies with smaller capitalizations did even better, as measured by the Russell 2000^® Index,⁸ adding 7.75%.

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

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

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

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

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

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

⁷  The ICE BofAML U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2019. ICE Data Indices, LLC. All rights reserved.

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

Letter to shareholders (unaudited) Wells Fargo Small Company Growth Fund 3

Investors appeared to shake off lingering concerns during the third quarter.

Favorable third-quarter economic indicators and corporate earnings reports encouraged domestic stock investors. U.S. trade negotiations with Mexico and Canada progressed. The Conference Board Consumer Confidence Index^®9 reached its highest level in 18 years during September 2018. The Fed raised the federal funds rate by 25 bps to a target range of between 2.00% and 2.25% in September. For the quarter that ended September 30, 2018, the S&P 500 Index added 7.71%.

Investors in international markets were not as confident. Tensions between the U.S. and China increased. The U.S. imposed $200 billion in tariffs on Chinese goods. China reacted with $60 billion in tariffs on U.S. goods. Economic growth in China caused concern. The Bank of England (BoE) raised its monetary policy rate to 0.75% in August 2018. During the quarter, the MSCI ACWI ex USA Index (Net) gained 0.71%. The MSCI EM Index (Net) declined 1.09%. In fixed-income markets, U.S. bonds were flat, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index. The Bloomberg Barclays Global Aggregate ex-USD Index fell 1.74%.

Conflicting data unsettled markets during the fourth quarter.

November’s U.S. midterm elections shifted control of the House of Representatives from Republicans to Democrats, presaging potential partisan clashes. Third-quarter U.S. GDP was announced at an annualized 3.4% rate, lower than the second-quarter rate. Brexit efforts stalled ahead of the March 2019 deadline. The People’s Bank of China cut reserve requirement ratios, accelerated infrastructure spending, and cut taxes even as the value of the yuan declined to low levels last seen in 2008.

December’s S&P 500 Index performance was the worst since 1931. Globally,fixed-income investments fared better than stocks during the last two months of the year. The Fed increased the federal funds rate by 25 bps in December 2018 to a target range of between 2.25% and 2.50%.

The market climbs a wall of worry.

Investors entered 2019 with reasons to be concerned. A partial U.S. government shutdown driven by partisan policy disputes extended into January. Investment returns appeared to reaffirm the adage that markets climb a wall of worry. The S&P 500 Index gained 8.01% for the month of January, the best monthly performance in 30 years. Returns for the MSCI ACWI ex USA Index (Net), the Bloomberg Barclays U.S. Aggregate Bond Index, and the Bloomberg Barclays Global Aggregate ex-USD Index also were positive. The Fed indicated that it would pause its program of regular rate increases during 2019 as inflation remained low.

In February 2019, concerns over slowing global growth reemerged. The Bureau of Economic Analysis announced fourth-quarter 2018 GDP grew at an annualized 2.2% rate, down from levels of the prior two quarters. In a February report, the BoE forecast the slowest growth since the financial crisis for 2019. China and the U.S. continued to wrangle over trade issues.

By the end of March 2019, the combination of dovish Fed sentiment and consistent, if not spectacular, economic and business metrics reinforced investors’ confidence. Monthly job creation data regained momentum. Corporate profits, while lower than 2018’s lofty levels, remained solid. China announced a roughly $300 billion stimulus package through tax and fee cuts intended to reinvigorate economic growth.

December’s S&P 500 Index performance was the worst since 1931.

The S&P 500 Index gained 8.01% for the month of January, the best monthly performance in 30 years.

⁹  The Conference Board Consumer Confidence Index^® measures the degree of optimism on the state of the U.S. economy that consumers are expressing through their activities of saving and spending. You cannot invest directly in an index.

4 Wells Fargo Small Company Growth Fund Letter to shareholders (unaudited)

During April, several broad-based U.S. equity indices reached or approached highs as investors drew confidence from favorable economic projections, sustained low inflation, and solid employment data. First-quarter GDP showed the economy grew at an annualized rate of 3.2% on improvement in business investment and exports. Favorable sentiment extended to foreign markets as the MSCI ACWI ex USA Index (Net) gained 2.64% and the MSCI EM Index (Net) added 2.11% for the month.

May 2019 presented investors with mixed signals in the economy, in the markets, and politically. In the U.S., partisan wrangling ramped up as Democrats and Republicans set their sights on 2020 presidential politics. In the U.K., the Brexit stalemate resulted in the resignation of Prime Minister Theresa May. The European Commission downgraded the 2019 growth forecast for the block of countries to 1.2%. The U.S. increased tariffs on products from China, China responded, and then talks broke down. Ending the month, equities, as measured by the MSCI ACWI (Net),¹⁰ dropped 5.93% while bonds, often considered a less risky investment, gained 1.04%, as measured by the Bloomberg Barclays Global Aggregate ex-USD Index.

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

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

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

Sincerely,

Andrew Owen

President

Wells Fargo Funds

For further information about your Fund, contact your investment professional, visit our website atwfam.com, or call us directly at1-800-222-8222.

¹⁰  The MSCI ACWI (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. You cannot invest directly in an index.

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6 Wells Fargo Small Company Growth Fund¹ Performance highlights (unaudited)

The Fund is currently closed to most new investors.²

Investment objective

The Fund seeks long-term capital appreciation.

Manager

Wells Fargo Funds Management, LLC

Subadviser for the affiliated master portfolio

Peregrine Capital Management, LLC

Portfolio managers

William A. Grierson, CFA^®‡

Daniel J. Hagen, CFA^®‡

Paul E. von Kuster, CFA^®‡

Average annual total returns (%) as of May 31, 2019

		Including sales charge						Excluding sales charge						Expense ratios3 (%)
	Inception date	1 year		5 year		10 year		1 year		5 year		10 year		Gross		Net4
Class A (WFSAX)	1-30-2004		-11.53		6.04		14.09		-6.13		7.30		14.77		1.33		1.33
Class C (WSMCX)	1-30-2004		-7.82		6.50		13.93		-6.82		6.50		13.93		2.08		2.08
Class R6 (WSCRX)5	10-31-2014		–		–		–		-5.73		7.78		15.31		0.90		0.90
Administrator Class (NVSCX)	11-11-1994		–		–		–		-6.02		7.47		15.01		1.25		1.20
Institutional Class (WSCGX)	3-31-2008		–		–		–		-5.77		7.73		15.28		1.00		0.95
Russell 2000® Growth Index6	–		–		–		–		-6.88		8.32		13.93		–		–

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

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

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

Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. Smaller-company stocks tend to be more volatile and less liquid than those of larger companies. Certain investment strategies tend to increase the total risk of an investment (relative to the broader market). The Fund is exposed to foreign investment risk. Consult the Fund’s prospectus for additional information on these and other risks.

Please see footnotes on page 7.

Performance highlights (unaudited) Wells Fargo Small Company Growth Fund 7

Growth of $10,000 investment as of May 31, 2019⁷

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

¹  The Fund is a gateway feeder fund that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with a substantially identical investment objective and substantially similar investment strategies. References to the investment activities of the Fund are intended to refer to the investment activities of the affiliated master portfolio in which it invests.

²  Please see the Fund’s current Statement of Additional Information for further details.

³  Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.01% in acquired fund fees and expenses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

⁴  The manager has contractually committed through September 30, 2019, to waive fees and/or reimburse expenses to the extent necessary to cap the expense of each class after fee waivers at 1.35% for Class A, 2.10% for Class C, 0.90% for Class R6, 1.20% for Administrator Class, and 0.95% for Institutional Class shares. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolio invests, and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Without this cap, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

⁵  Historical performance shown for Class R6 shares prior to their inception reflects the performance of Institutional Class shares, and includes the higher expenses applicable to Institutional Class shares. If these expenses had not been included, returns for Class R6 shares would be higher.

⁶  The Russell 2000^® Growth Index measures the performance shown of those Russell 2000 companies with higher price/book ratios and higher forecasted growth values. You cannot invest directly in an index.

⁷  The chart compares the performance of Class A shares for the most recent ten years with the Russell 2000^® Growth Index. The chart assumes a hypothetical $10,000 investment in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁸  The ten largest holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the securities of the affiliated master portfolio allocable to the Fund divided by the total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

⁹  Amounts represent the sector distribution of the affiliated master portfolio which are calculated based on the total long-term investments of the affiliated master portfolio. These amounts are subject to change and may have changed since the date specified.

* The security was no longer held at the end of the period.

8 Wells Fargo Small Company Growth Fund Performance highlights (unaudited)

MANAGER’S DISCUSSION

Fund highlights

∎ The Fund outperformed the Russell 2000^® Growth Index for the 12-month period that ended May 31, 2019.

∎ Strong stock selection in core growth sectors of health care and information technology (IT) drove relative outperformance.

∎ Stock selection within industrials detracted from overall performance.

Small-cap growth stocks delivered two very different environments over the past year, which resulted a small net decline in overall returns in the contrasting market dynamics. Strong company fundamentals continued to manifest throughout 2018 as a growing number of companies exceeded both sales and earnings expectations. This, when combined with a supportive macroeconomic backdrop, resulted in a robust environment for overall returns in small-cap growth. Beginning later in the third quarter of 2018, signs of slowing economic activity began to negatively affect investor sentiments. Company fundamentals slowed in this more tepid backdrop, leading to a deceleration in earnings growth rates, which was incorporated into forward expectations to drive negative small-cap returns. Capping off 2018, the U.S. Federal Reserve (Fed) acknowledged some downside risks to the economic backdrop while continuing to signal additional interest rate increases in a seemingly contradictory policy position. Trade tensions between the U.S. and China, locked in a stalemate through much of 2018, reemerged in the fourth quarter of 2018 and continued into 2019 with growing prominence. The impact of this escalating tit-for-tat trade approach, which has begun to affect overall growth and company fundamentals, has mattered little in 2019. Renewed market optimism has been driven instead by the abrupt reversal in policy positions by the Fed, driving real expectations of interest rate cuts following the most recent tightening cycle and propelling markets higher.

Last year offered many opportunities for the Fund to demonstrate the core tenets of its investment philosophy. For example, our well-diversified portfolio provided significant upside through the positive return environment of the first three quarters of 2018. Of equal importance, during the sharply negative fourth-quarter environment, principal was somewhat protected on the downside and again the Fund outperformed. While 2019 returns have experienced a higher degree of macro-driven variability, construction and strong stock selection drove outperformance above the Russell 2000^® Growth Index for the totality of the trailing 12-month period.

Ten largest holdings (%) as of May 31, 20198
Copart Incorporated	1.55
ICON plc ADR	1.54
SS&C Technologies Holdings Incorporated	1.47
Essent Group Limited	1.46
RealPage Incorporated	1.43
PTC Incorporated	1.42
Cypress Semiconductor Corporation	1.40
Eldorado Resorts Incorporated	1.34
Argo Group International Holdings Limited	1.34
Evercore Partners Incorporated Class A	1.31

Health care and IT were the top-contributing sectors for the year. Positive outperformance in health care was driven primarily by stock selection within biotechnology. The top contributor to returns was Array BioPharma Incorporated, a leader in developing targeted therapeutics used in oncology, which has begun to successfully commercialize corporate-owned assets that have seen broad initial uptake and expanding uses, leading the stock to outperform. Within IT, software was the top-contributing industry. Leaders in this space include LiveRamp Holdings, Incorporated, which enables more targeted digital advertising that has benefited from strong demand for its offerings and improved profitably following a divestiture.

The industrials sector was the largest detractor from performance for the year. Headline concerns surrounding the potential for slowing economic growth led to moderating demand trends across the sector. This led to underperformance in the more economically sensitive building products and construction industry groups, which was the key source of adverse stock selection. Rising tariffs and increased raw material costs negatively affected margins at companies such as Cornerstone Building Brands, Incorporated*, and JELD-WEN Holding, Incorporated*, while project delays led to reduced earnings visibility at Granite Construction Incorporated and Dycom Industries Incorporated. Encouragingly, more recent results have benefited from heightened merger and acquisition activity in the machinery industry as both CIRCOR International, Incorporated, and Gardner Denver Holdings, Incorporated, have received offers from strategic acquirers.

Please see footnotes on page 7.

Performance highlights (unaudited) Wells Fargo Small Company Growth Fund 9

We remain focused on consistent application of our disciplined process.

Our team has employed the same bottom-up style for more than 30 years. We believe the combination of our disciplined investment process and experienced team has been the key to the performance of this investment style over time. Looking ahead, we remain focused on identifying what we believe are attractive growth companies with underappreciated opportunities relative to their valuations. In our opinion, these stocks ultimately may be rewarded by the marketplace, which could lead to outperformance and may add value to the Fund.

Sector distribution as of May 31, 2019⁹

Please see footnotes on page 7.

10 Wells Fargo Small Company Growth Fund Fund expenses (unaudited)

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

The example is based on an investment of $1,000 invested at the beginning of the six-month period and held for the entire period from December 1, 2018 to May 31, 2019.

Actual expenses

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

Hypothetical example for comparison purposes

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

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

	Beginning account value 12-1-2018		Ending account value 5-31-2019		Expenses paid during the period1,2		Net annual expense ratio1
Class A
Actual	$	1,000.00	$	969.49	$	6.47		1.32	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,018.36	$	6.63		1.32	%
Class C
Actual	$	1,000.00	$	965.88	$	10.13		2.07	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,014.63	$	10.38		2.07	%
Class R6
Actual	$	1,000.00	$	971.54	$	4.36		0.89	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,020.51	$	4.47		0.89	%
Administrator Class
Actual	$	1,000.00	$	970.15	$	5.89		1.20	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,018.95	$	6.04		1.20	%
Institutional Class
Actual	$	1,000.00	$	971.30	$	4.67		0.95	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,020.20	$	4.78		0.95	%

¹ Amounts reflect net expenses allocated from the affiliated Master Portfolio in which the Fund invests.

² Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one-half-year period).

Portfolio of investments—May 31, 2019 Wells Fargo Small Company Growth Fund 11

Security name	Value
Investment Companies: 100.00%
Affiliated Master Portfolio: 100.00%
Wells Fargo Small Company Growth Portfolio	$	1,778,405,869
Total Investment Companies (Cost $1,462,501,226)		1,778,405,869

Total investments in securities (Cost $1,462,501,226)	100.00	%		1,778,405,869
Other assets and liabilities, net	0.00			(6,883	)
Total net assets	100.00	%	$	1,778,398,986

Transactions with the affiliated Master Portfolio were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolio		Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio			Dividends allocated from affiliated Master Portfolio		Affiliated income allocated from affiliated Master Portfolio		Value, end of period		% of net assets
Wells Fargo Small Company Growth Portfolio		99	%		98	%	$	211,071,257	$	(317,347,617	)	$	11,492,739	$	2,054,875	$	1,778,405,869		100.00	%

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

12 Wells Fargo Small Company Growth Fund Statement of assets and liabilities—May 31, 2019

Assets
Investment in affiliated Master Portfolio, at value (cost $1,462,501,226)	$	1,778,405,869
Receivable for Fund shares sold		2,000,051
Prepaid expenses and other assets		19,595
Total assets		1,780,425,515
Liabilities
Payable for Fund shares redeemed		1,583,077
Administration fees payable		171,717
Shareholder report expenses payable		114,773
Management fee payable		45,147
Distribution fee payable		9,972
Accrued expenses and other liabilities		101,843
Total liabilities		2,026,529
Total net assets	$	1,778,398,986
NET ASSETS CONSIST OF
Paid-in capital	$	1,402,143,319
Total distributable earnings		376,255,667
Total net assets	$	1,778,398,986
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARE
Net assets – Class A	$	64,182,450
Shares outstanding – Class A1		1,310,285
Net asset value per share – Class A		$48.98
Maximum offering price per share – Class A2		$51.97
Net assets – Class C	$	13,968,201
Shares outstanding – Class C1		326,762
Net asset value per share – Class C		$42.75
Net assets – Class R6	$	564,516,228
Shares outstanding – Class R61		10,722,187
Net asset value per share – Class R6		$52.65
Net assets – Administrator Class	$	87,849,502
Shares outstanding – Administrator Class1		1,719,251
Net asset value per share – Administrator Class		$51.10
Net assets – Institutional Class	$	1,047,882,605
Shares outstanding – Institutional Class1		19,956,482
Net asset value per share – Institutional Class		$52.51

¹  The Fund has an unlimited number of authorized shares.

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

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

Statement of operations—year ended May 31, 2019 Wells Fargo Small Company Growth Fund 13

Investment income
Dividends allocated from affiliated Master Portfolio (net of foreign withholding taxes of $87,921)	$	11,492,739
Affiliated income allocated from affiliated Master Portfolio		2,054,875
Expenses allocated from affiliated Master Portfolio		(15,326,425	)
Total investment income		(1,778,811	)
Expenses
Management fee		986,734
Administration fees
Class A		146,993
Class C		36,845
Class R6		190,290
Administrator Class		143,175
Institutional Class		1,483,937
Shareholder servicing fees
Class A		174,992
Class C		43,863
Administrator Class		275,337
Distribution fee
Class C		131,572
Custody and accounting fees		66,563
Professional fees		29,302
Registration fees		166,815
Shareholder report expenses		217,433
Trustees’ fees and expenses		22,392
Other fees and expenses		39,092
Total expenses		4,155,335
Less: Fee waivers and/or expense reimbursements		(429,092	)
Net expenses		3,726,243
Net investment loss		(5,505,054	)
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS
Net realized gains on securities transactions allocated from affiliated Master Portfolio		211,071,257
Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio		(317,347,617	)
Net realized and unrealized gains (losses) on investments		(106,276,360	)
Net decrease in net assets resulting from operations	$	(111,781,414	)

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

14 Wells Fargo Small Company Growth Fund Statement of changes in net assets

	Year ended May 31, 2019						Year ended May 31, 2018¹
Operations
Net investment loss				$	(5,505,054	)				$	(6,731,559	)
Net realized gains on investments					211,071,257						118,893,213
Net change in unrealized gains (losses) on investments					(317,347,617	)					342,601,168
Net increase (decrease) in net assets resulting from operations					(111,781,414	)					454,762,822
Distributions to shareholders from net realized income and net realized gains
Class A					(4,812,269	)					0
Class C					(1,472,490	)					0
Class R6					(43,353,220	)					0
Administrator Class					(7,628,191	)					0
Institutional Class					(79,166,580	)					0
Total distributions to shareholders					(136,432,750	)					0
Capital share transactions		Shares									Shares
Proceeds from shares sold
Class A		438,493			23,606,902			418,324			20,519,628
Class C		11,566			528,806			16,011			676,399
Class R6		3,125,212			184,297,448			3,523,131			188,048,494
Administrator Class		504,790			28,496,503			359,239			18,697,115
Institutional Class		5,840,084			335,266,742			5,366,558			285,015,561
					572,196,401						512,957,197
Reinvestment of distributions
Class A		92,633			4,427,868			0			0
Class C		31,746			1,328,867			0			0
Class R6		735,766			37,730,057			0			0
Administrator Class		152,980			7,624,565			0			0
Institutional Class		1,201,482			61,455,772			0			0
					112,567,129						0
Payment for shares redeemed
Class A		(563,233	)		(31,063,522	)		(795,177	)		(39,090,958	)
Class C		(113,094	)		(5,236,576	)		(184,692	)		(8,044,725	)
Class R6		(3,393,805	)		(197,814,217	)		(2,181,955	)		(117,000,267	)
Administrator Class		(882,997	)		(49,514,482	)		(1,253,278	)		(62,203,048	)
Institutional Class		(6,511,614	)		(373,073,185	)		(7,602,523	)		(404,594,261	)
					(656,701,982	)					(630,933,259	)
Net increase (decrease) in net assets resulting from capital share transactions					28,061,548						(117,976,062	)
Total increase (decrease) in net assets					(220,152,616	)					336,786,760
Net assets
Beginning of period					1,998,551,602						1,661,764,842
End of period				$	1,778,398,986					$	1,998,551,602

¹ Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Accumulated net investment loss at May 31, 2018 was $3,054,501.

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

Financial highlights Wells Fargo Small Company Growth Fund 15

(For a share outstanding throughout each period)

	Year ended May 31
CLASS A	2019			2018			2017			2016			2015
Net asset value, beginning of period		$56.66			$44.26			$37.69			$44.23			$39.44
Net investment loss		(0.36	)		(0.35	)1		(0.28	)1		(0.22	)1		(0.37	)1
Net realized and unrealized gains (losses) on investments		(3.22	)		12.75			6.85			(6.05	)		7.08
Total from investment operations		(3.58	)		12.40			6.57			(6.27	)		6.71
Distributions to shareholders from
Net realized gains		(4.10	)		0.00			0.00			(0.27	)		(1.92	)
Net asset value, end of period		$48.98			$56.66			$44.26			$37.69			$44.23
Total return2		(6.13	)%		28.02	%		17.43	%		(14.20	)%		17.51	%
Ratios to average net assets (annualized)
Gross expenses3		1.31	%		1.32	%		1.33	%		1.34	%		1.41	%
Net expenses3		1.31	%		1.32	%		1.33	%		1.34	%		1.40	%
Net investment loss3		(0.63	)%		(0.71	)%		(0.68	)%		(0.57	)%		(0.90	)%
Supplemental data
Portfolio turnover rate4		54	%		37	%		82	%		49	%		58	%
Net assets, end of period (000s omitted)		$64,182			$76,065			$76,087			$128,675			$85,588

¹  Calculated based upon average shares outstanding

²  Total return calculations do not include any sales charges.

³  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.78	%
Year ended May 31, 2018	0.78	%
Year ended May 31, 2017	0.78	%
Year ended May 31, 2016	0.80	%
Year ended May 31, 2015	0.81	%

⁴  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

16 Wells Fargo Small Company Growth Fund Financial highlights

(For a share outstanding throughout each period)

	Year ended May 31
CLASS C	2019			2018			2017			2016			2015
Net asset value, beginning of period		$50.38			$39.65			$34.02			$40.25			$36.32
Net investment loss		(0.66	)1		(0.64	)1		(0.54	)1		(0.46	)1		(0.63	)1
Net realized and unrealized gains (losses) on investments		(2.87	)		11.37			6.17			(5.50	)		6.48
Total from investment operations		(3.53	)		10.73			5.63			(5.96	)		5.85
Distributions to shareholders from
Net realized gains		(4.10	)		0.00			0.00			(0.27	)		(1.92	)
Net asset value, end of period		$42.75			$50.38			$39.65			$34.02			$40.25
Total return2		(6.82	)%		27.06	%		16.55	%		(14.84	)%		16.62	%
Ratios to average net assets (annualized)
Gross expenses3		2.06	%		2.07	%		2.08	%		2.09	%		2.16	%
Net expenses3		2.06	%		2.07	%		2.08	%		2.09	%		2.15	%
Net investment loss3		(1.38	)%		(1.47	)%		(1.43	)%		(1.32	)%		(1.64	)%
Supplemental data
Portfolio turnover rate4		54	%		37	%		82	%		49	%		58	%
Net assets, end of period (000s omitted)		$13,968			$19,979			$22,410			$26,946			$17,334

¹  Calculated based upon average shares outstanding

²  Total return calculations do not include any sales charges.

³  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.78	%
Year ended May 31, 2018	0.78	%
Year ended May 31, 2017	0.78	%
Year ended May 31, 2016	0.80	%
Year ended May 31, 2015	0.81	%

⁴  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

Financial highlights Wells Fargo Small Company Growth Fund 17

(For a share outstanding throughout each period)

	Year ended May 31
CLASS R6	2019			2018			2017			2016			20151
Net asset value, beginning of period		$60.31			$46.91			$39.77			$46.45			$42.98
Net investment loss		(0.12	)		(0.14	)		(0.11	)		(0.03	)		(0.09	)2
Net realized and unrealized gains (losses) on investments		(3.44	)		13.54			7.25			(6.38	)		5.48
Total from investment operations		(3.56	)		13.40			7.14			(6.41	)		5.39
Distributions to shareholders from
Net realized gains		(4.10	)		0.00			0.00			(0.27	)		(1.92	)
Net asset value, end of period		$52.65			$60.31			$46.91			$39.77			$46.45
Total return3		(5.73	)%		28.59	%		17.95	%		(13.83	)%		13.00	%
Ratios to average net assets (annualized)
Gross expenses4		0.88	%		0.89	%		0.90	%		0.91	%		0.91	%
Net expenses4		0.88	%		0.89	%		0.90	%		0.90	%		0.90	%
Net investment loss4		(0.20	)%		(0.29	)%		(0.25	)%		(0.09	)%		(0.34	)%
Supplemental data
Portfolio turnover rate5		54	%		37	%		82	%		49	%		58	%
Net assets, end of period (000s omitted)		$564,516			$618,523			$418,111			$229,391			$644

¹  For the period from October 31, 2014 (commencement of class operations) to May 31, 2015

²  Calculated based upon average shares outstanding

³  Returns for periods of less than one year are not annualized.

⁴  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.78	%
Year ended May 31, 2018	0.78	%
Year ended May 31, 2017	0.78	%
Year ended May 31, 2016	0.80	%
Year ended May 31, 20151	0.81	%

⁵  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

18 Wells Fargo Small Company Growth Fund Financial highlights

(For a share outstanding throughout each period)

	Year ended May 31
ADMINISTRATOR CLASS	2019			2018			2017			2016			2015
Net asset value, beginning of period		$58.85			$45.91			$39.05			$45.73			$40.64
Net investment loss		(0.29	)1		(0.30	)1		(0.24	)1		(0.19	)1		(0.30	)1
Net realized and unrealized gains (losses) on investments		(3.36	)		13.24			7.10			(6.22	)		7.31
Total from investment operations		(3.65	)		12.94			6.86			(6.41	)		7.01
Distributions to shareholders from
Net realized gains		(4.10	)		0.00			0.00			(0.27	)		(1.92	)
Net asset value, end of period		$51.10			$58.85			$45.91			$39.05			$45.73
Total return		(6.02	)%		28.19	%		17.57	%		(14.04	)%		17.73	%
Ratios to average net assets (annualized)
Gross expenses2		1.23	%		1.24	%		1.25	%		1.25	%		1.24	%
Net expenses2		1.20	%		1.20	%		1.20	%		1.20	%		1.20	%
Net investment loss2		(0.51	)%		(0.60	)%		(0.55	)%		(0.46	)%		(0.70	)%
Supplemental data
Portfolio turnover rate3		54	%		37	%		82	%		49	%		58	%
Net assets, end of period (000s omitted)		$87,850			$114,429			$130,311			$130,104			$185,267

¹  Calculated based upon average shares outstanding

²  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.78	%
Year ended May 31, 2018	0.78	%
Year ended May 31, 2017	0.78	%
Year ended May 31, 2016	0.80	%
Year ended May 31, 2015	0.81	%

³  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

Financial highlights Wells Fargo Small Company Growth Fund 19

(For a share outstanding throughout each period)

	Year ended May 31
INSTITUTIONAL CLASS	2019			2018			2017			2016			2015
Net asset value, beginning of period		$60.20			$46.85			$39.75			$46.44			$41.14
Net investment loss		(0.15	)		(0.19	)		(0.15	)		(0.09	)		(0.20	)1
Net realized and unrealized gains (losses) on investments		(3.44	)		13.54			7.25			(6.33	)		7.42
Total from investment operations		(3.59	)		13.35			7.10			(6.42	)		7.22
Distributions to shareholders from
Net realized gains		(4.10	)		0.00			0.00			(0.27	)		(1.92	)
Net asset value, end of period		$52.51			$60.20			$46.85			$39.75			$46.44
Total return		(5.77	)%		28.50	%		17.86	%		(13.85	)%		18.03	%
Ratios to average net assets (annualized)
Gross expenses2		0.98	%		0.99	%		1.00	%		1.01	%		0.98	%
Net expenses2		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment loss2		(0.26	)%		(0.35	)%		(0.31	)%		(0.18	)%		(0.45	)%
Supplemental data
Portfolio turnover rate3		54	%		37	%		82	%		49	%		58	%
Net assets, end of period (000s omitted)		$1,047,883			$1,169,555			$1,014,847			$678,699			$457,542

¹  Calculated based upon average shares outstanding

²  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.78	%
Year ended May 31, 2018	0.78	%
Year ended May 31, 2017	0.78	%
Year ended May 31, 2016	0.80	%
Year ended May 31, 2015	0.81	%

³  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

20 Wells Fargo Small Company Growth Fund Notes to financial statements

1. ORGANIZATION

Wells Fargo Funds Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As an investment company, the Trust follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statements report on the Wells Fargo Small Company Growth Fund (the “Fund”) which is a diversified series of the Trust.

The Fund is a feeder fund in a master-feeder structure that invests substantially all of its assets in a single master portfolio with a substantially identical investment objective and substantially similar investment strategies. The Fund seeks to achieve its investment objective by investing substantially all of its assets in a separate diversified portfolio (the “affiliated Master Portfolio”) of Wells Fargo Master Trust, a registered open-end management investment company. The affiliated Master Portfolio directly acquires portfolio securities and the Fund acquires an indirect interest in those securities. The Fund accounts for its investment in the affiliated Master Portfolio as a partnership investment and records on a daily basis its share of the affiliated Master Portfolio’s income, expense and realized and unrealized gains and losses. The financial statements of the affiliated Master Portfolio for the year ended May 31, 2019 are included in this report and should be read in conjunction with the Fund’s financial statements. As of May 31, 2019, the Fund owned 98% of Wells Fargo Small Company Growth Portfolio.

2. SIGNIFICANT ACCOUNTING POLICIES

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

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Fund may deviate from this calculation time under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of the affiliated Master Portfolio’s net assets, which are also valued daily. Securities held in the affiliated Master Portfolio are valued as discussed in the Notes to Financial Statements of the affiliated Master Portfolio, which are included elsewhere in this report.

Investment transactions, income and expenses

Investments in the affiliated Master Portfolio are recorded on a trade basis. The Fund records daily its proportionate share of the affiliated Master Portfolio’s dividend income, expenses and realized and unrealized gains or losses. The Fund also accrues its own expenses.

Distributions to shareholders

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

Federal and other taxes

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

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

Notes to financial statements Wells Fargo Small Company Growth Fund 21

As of May 31, 2019, the aggregate cost of all investments for federal income tax purposes was $1,480,431,828 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	297,974,041
Gross unrealized losses		0
Net unrealized gains	$	297,974,041

As of May 31, 2019, the Fund had current year deferred post-October capital losses consisting of $6,988,693 in short-term losses which will be recognized on the first day of the following fiscal year.

As of May 31, 2019, the Fund had a qualified late-year ordinary loss of $1,877,655 which will be recognized on the first day of the following fiscal year.

Class allocations

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

3. FAIR VALUATION MEASUREMENTS

At May 31, 2019, the affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective and the value of the affiliate Master Portfolio was as follows:

Affiliated Master Portfolio	Investment objective		Value of affiliated Master Portfolio
Wells Fargo Small Company Growth Portfolio		Seeks long-term capital appreciation	$	1,778,405,869

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

4. TRANSACTIONS WITH AFFILIATES

Management fee

Wells Fargo Funds Management, LLC (“Funds Management”), an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”), is the manager of the Fund and provides advisory and fund-level administrative services under an investment management agreement. Under the investment management agreement, Funds Management is responsible for, among other services, implementing the investment objectives and strategies of the Fund and providing fund-level administrative services in connection with the Fund’s operations. As long as the Fund continues to invest substantially all of its assets in a single affiliated Master Portfolio, the Fund pays Funds Management an investment management fee only for fund-level administrative services at the following annual rate based on the Fund’s average daily net assets:

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

For the year ended May 31, 2019, the management fee was equivalent to an annual rate of 0.05% of the Fund’s average daily net assets.

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

Administration fees

Under a class-level administration agreement, Funds Management provides class-level administrative services to the Fund, which includes paying fees and expenses for services provided by the transfer agent, sub-transfer agents, omnibus

22 Wells Fargo Small Company Growth Fund Notes to financial statements

account servicers and record-keepers. As compensation for its services under the class-level administration agreement, Funds Management receives an annual fee which is calculated based on the average daily net assets of each class as follows:

	Class-level administration fee
Class A, Class C		0.21	%
Class R6		0.03
Administrator Class, Institutional Class		0.13

Funds Management has contractually waived and/or reimbursed management and administration fees to the extent necessary to maintain certain net operating expense ratios for the Fund. When each class of the Fund has exceeded its expense cap, Funds Management has waived fees and/or reimbursed expenses from fund level expenses on a proportionate basis and then from class specific expenses. When only certain classes exceed their expense caps, waivers and/or reimbursements are applied against class specific expenses before fund level expenses. Net expenses from the affiliated Master Portfolio are included in the expense caps. Funds Management has committed through September 30, 2019 to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’s expenses at 1.35% for Class A shares, 2.10% for Class C shares, 0.90% for Class R6 shares, 1.20% for Administrator Class shares, and 0.95% for Institutional Class shares. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees.

Distribution fee

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

In addition, Funds Distributor is entitled to receive the front-end sales charge from the purchase of Class A shares and a contingent deferred sales charge on the redemption of certain Class A shares. Funds Distributor is also entitled to receive the contingent deferred sales charges from redemptions of Class C shares. For the year ended May 31, 2019, Funds Distributor received $1,321 from the sale of Class A shares and $11 in contingent deferred sales charges from redemptions of Class C shares. No contingent deferred sales charges were incurred by Class A shares for the year ended May 31, 2019.

Shareholder servicing fees

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

5. INVESTMENT PORTFOLIO TRANSACTIONS

The Fund seeks to achieve its investment objective by investing substantially all of its assets in a single affiliated Master Portfolio. Purchases and sales have been calculated by multiplying the Fund’s ownership percentage of the affiliated Master Portfolio by the affiliated Master Portfolio’s purchases and sales. Purchases and sales of investments, excluding short-term securities, for year ended May 31, 2019 were $1,021,292,647 and $1,077,854,047, respectively.

6. BANK BORROWINGS

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

For the year ended May 31, 2019, there were no borrowings by the Fund under the agreement.

Notes to financial statements Wells Fargo Small Company Growth Fund 23

7. DISTRIBUTIONS TO SHAREHOLDERS

The tax character of distributions paid during the years ended May 31, 2019 and May 31, 2018 were as follows:

	Year ended May 31
	2019		2018
Ordinary income	$	30,719,230	$	0
Long-term capital gain		105,713,520		0

As of May 31, 2019, the components of distributable earnings on a tax basis were as follows:

Undistributed long-term gain	Unrealized gains	Late-year ordinary losses deferred	Post-October capital losses deferred
$87,147,974	$297,974,041	$(1,877,655)	$(6,988,693)

8. CONCENTRATION RISK

Concentration risk result from exposure to a limited number of sectors. Through its investment in the affiliated Master Portfolio which may invest a substantial portion of its assets in any sector, the Fund may in turn be more affected by changes in that sector than a fund whose investments are not heavily weighted in any sector.

9. INDEMNIFICATION

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

10. NEW ACCOUNTING PRONOUNCEMENT

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

24 Wells Fargo Small Company Growth Fund Report of independent registered public accounting firm

TO THE SHAREHOLDERS OF THE FUND AND BOARD OF TRUSTEES OF WELLS FARGO FUNDS TRUST:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Wells Fargo Small Company Growth Fund (the Fund), one of the funds constituting Wells Fargo Funds Trust, including the portfolio of investments, as of May 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years or periods in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of May 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of May 31, 2019, by correspondence with the transfer agent. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

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

Boston, Massachusetts

July 26, 2019

Portfolio of investments—May 31, 2019 Wells Fargo Small Company Growth Portfolio 25

Security name	Shares		Value
Common Stocks: 95.60%
Communication Services: 0.57%
Entertainment: 0.57%
Lions Gate Entertainment Class B		754,343	$	10,379,760
Consumer Discretionary: 11.73%
Auto Components: 0.98%
Fox Factory Holding Corporation †		263,576		17,664,864
Diversified Consumer Services: 1.32%
Houghton Mifflin Harcourt Company †		1,161,448		6,550,567
Strategic Education Incorporated		98,221		17,285,914
				23,836,481
Hotels, Restaurants & Leisure: 4.35%
Dave & Buster’s Entertainment Incorporated		282,809		14,066,920
Eldorado Resorts Incorporated †		494,043		24,292,094
Extended Stay America Incorporated		1,361,460		23,335,424
International Game Technology «		1,297,722		16,870,387
				78,564,825
Household Durables: 0.86%
Skyline Champion Corporation		667,838		15,620,731
Leisure Products: 0.45%
Callaway Golf Company		549,731		8,081,046
Specialty Retail: 3.23%
At Home Group Incorporated Ǡ		589,330		11,226,737
Burlington Stores Incorporated †		106,962		16,748,110
Children’s Place Retail Stores Incorporated «		175,610		16,272,023
Monro Muffler Brake Incorporated		177,971		14,186,068
				58,432,938
Textiles, Apparel & Luxury Goods: 0.54%
G-III Apparel Group Limited †		378,281		9,733,170
Consumer Staples: 2.61%
Food & Staples Retailing: 1.27%
Performance Food Group Company †		581,653		22,888,046
Household Products: 1.34%
Central Garden & Pet Company Class A †		536,717		13,723,854
Energizer Holdings Incorporated		257,662		10,543,529
				24,267,383

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

26 Wells Fargo Small Company Growth Portfolio Portfolio of investments—May 31, 2019

Security name	Shares		Value
Energy: 1.59%
Oil, Gas & Consumable Fuels: 1.59%
Berry Petroleum Corporation		517,373	$	5,561,760
GasLog Limited		728,637		10,492,373
Parsley Energy Incorporated Class A †		715,336		12,754,441
				28,808,574
Financials: 9.51%
Banks: 1.17%
SVB Financial Group †		59,865		12,056,811
Triumph Bancorp Incorporated †		323,826		9,089,796
				21,146,607
Capital Markets: 4.12%
Evercore Partners Incorporated Class A		306,283		23,654,236
Focus Financial Partners Class A †		219,468		6,156,077
Stifel Financial Corporation		382,778		20,528,384
Virtu Financial Incorporated Class A «		498,768		11,481,639
Virtus Investment Partners Incorporated		124,412		12,639,015
				74,459,351
Consumer Finance: 0.85%
FirstCash Financial Services Incorporated		162,453		15,387,548
Insurance: 1.91%
Argo Group International Holdings Limited		342,903		24,171,232
Goosehead Insurance Incorporated Class A «		282,181		10,336,290
				34,507,522
Thrifts & Mortgage Finance: 1.46%
Essent Group Limited †		561,838		26,378,294
Health Care: 23.46%
Biotechnology: 6.94%
ACADIA Pharmaceuticals Incorporated Ǡ		404,531		9,704,699
Alnylam Pharmaceuticals Incorporated †		175,207		11,829,977
Array BioPharma Incorporated †		589,135		15,564,947
CareDx Incorporated †		370,108		11,702,815
Emergent BioSolutions Incorporated †		243,089		9,704,113
Flexion Therapeutics Incorporated Ǡ		568,225		6,267,522
Galapagos NV †		58,277		6,622,598
Intercept Pharmaceuticals Incorporated Ǡ		97,123		8,043,727
Invitae Corporation †		528,662		9,225,152
Ionis Pharmaceuticals Incorporated †		140,534		9,219,030
Iovance Biotherapeutics Incorporated †		522,539		8,543,513
Ironwood Pharmaceuticals Incorporated		926,983		10,131,924
Portola Pharmaceuticals Incorporated Ǡ		316,083		8,815,555
				125,375,572

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

Portfolio of investments—May 31, 2019 Wells Fargo Small Company Growth Portfolio 27

Security name	Shares		Value
Health Care Equipment & Supplies: 7.40%
Atricure Incorporated †		590,435	$	17,299,746
Axogen Incorporated †		396,736		8,303,684
Cerus Corporation †		1,446,112		6,782,265
DexCom Incorporated †		170,984		20,740,359
Glaukos Corporation †		184,991		11,928,220
Inogen Incorporated †		122,056		7,868,950
Merit Medical Systems Incorporated †		299,178		15,446,560
Novocure Limited †		170,122		9,036,881
Tactile Systems Technology Class I †		349,683		16,795,274
Wright Medical Group NV †		633,490		19,460,813
				133,662,752
Health Care Providers & Services: 2.15%
AMN Healthcare Services Incorporated †		291,288		14,109,991
HealthEquity Incorporated †		184,500		12,058,920
PetIQ Incorporated Ǡ		485,597		12,737,209
				38,906,120
Health Care Technology: 3.89%
Allscripts Healthcare Solutions Incorporated †		1,004,514		9,773,921
Evolent Health Incorporated Class A †		836,282		8,898,040
Medidata Solutions Incorporated †		202,077		18,419,319
Tabula Rasa Healthcare Incorporated Ǡ		253,397		11,445,942
Teladoc Incorporated Ǡ		236,459		13,742,997
Vocera Communications Incorporated †		247,715		8,016,057
				70,296,276
Life Sciences Tools & Services: 2.64%
ICON plc ADR †		196,373		27,798,562
Syneos Health Incorporated †		482,541		19,895,165
				47,693,727
Pharmaceuticals: 0.44%
Pacira Pharmaceuticals Incorporated †		182,444		7,938,138
Industrials: 18.51%
Aerospace & Defense: 1.51%
AAR Corporation		295,335		8,886,630
Kratos Defense & Security Solutions Incorporated †		834,997		18,411,684
				27,298,314
Air Freight & Logistics: 0.59%
Hub Group Incorporated Class A †		276,521		10,773,258
Building Products: 1.84%
A.O. Smith Corporation		341,731		13,840,106
Masonite International Corporation †		192,982		9,176,294
PGT Incorporated †		682,681		10,212,908
				33,229,308

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

28 Wells Fargo Small Company Growth Portfolio Portfolio of investments—May 31, 2019

Security name	Shares		Value
Commercial Services & Supplies: 2.63%
Copart Incorporated †		392,875	$	28,082,705
KAR Auction Services Incorporated		345,674		19,433,792
				47,516,497
Construction & Engineering: 1.33%
Dycom Industries Incorporated †		130,089		6,786,743
Granite Construction Incorporated		429,268		17,252,281
				24,039,024
Electrical Equipment: 0.58%
GrafTech International Limited «		1,057,544		10,480,261
Machinery: 5.73%
AGCO Corporation		202,550		13,481,728
Circor International Incorporated †		300,924		12,717,048
Gardner Denver Holdings Incorporated †		686,909		23,334,299
Gates Industrial Corporation plc †		890,461		10,044,400
SPX Corporation †		620,901		18,465,596
Wabash National Corporation		721,279		9,744,479
Woodward Governor Company		144,367		15,724,454
				103,512,004
Professional Services: 1.78%
ASGN Incorporated †		367,425		18,639,470
ICF International Incorporated		185,213		13,500,176
				32,139,646
Road & Rail: 2.52%
Genesee & Wyoming Incorporated Class A †		234,404		22,319,949
Knight-Swift Transportation Holdings Incorporated «		378,597		10,464,421
Schneider National Incorporated Class B		760,653		12,778,970
				45,563,340
Information Technology: 23.40%
Communications Equipment: 2.02%
Ciena Corporation †		577,078		20,163,105
Lumentum Holdings Incorporated †		403,348		16,323,494
				36,486,599
Electronic Equipment, Instruments & Components: 0.69%
Tech Data Corporation †		136,789		12,399,923
IT Services: 2.40%
LiveRamp Holdings incorporated †		453,040		23,277,195
WEX Incorporated †		106,294		20,083,188
				43,360,383

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

Portfolio of investments—May 31, 2019 Wells Fargo Small Company Growth Portfolio 29

Security name	Shares		Value
Semiconductors & Semiconductor Equipment: 4.30%
Cabot Microelectronics Corporation		116,319	$	11,337,613
Cypress Semiconductor Corporation		1,414,669		25,209,402
FormFactor Incorporated †		606,213		8,705,219
Nanometrics Incorporated †		225,981		6,429,159
Silicon Motion Technology Corporation ADR		281,394		10,723,925
Teradyne Incorporated		362,327		15,268,460
				77,673,778
Software: 13.99%
Benefitfocus Incorporated †		300,165		8,512,679
Box Incorporated Class A †		930,369		17,202,523
Carbon Black Incorporated †		875,815		13,181,016
Cloudera Incorporated †		1,189,802		10,910,484
Cornerstone OnDemand Incorporated †		393,650		20,953,990
CyberArk Software Limited †		148,616		19,624,743
Mimecast Limited †		262,971		11,938,883
New Relic Incorporated †		162,647		16,316,747
Nuance Communications Incorporated †		1,028,901		17,666,230
PTC Incorporated †		305,152		25,651,077
RealPage Incorporated †		444,551		25,926,214
SS&C Technologies Holdings Incorporated		476,968		26,543,269
Talend SA ADR †		163,154		7,609,503
Tufin Software Technologies Limited †		172,273		3,876,143
Zendesk Incorporated †		203,373		17,134,175
Zuora Incorporated †		701,403		9,812,628
				252,860,304
Materials: 3.32%
Chemicals: 1.47%
Element Solutions Incorporated †		1,427,500		13,504,150
Orion Engineered Carbons SA		746,090		13,116,262
				26,620,412
Construction Materials: 0.73%
US Concrete Incorporated Ǡ		283,190		13,188,158
Metals & Mining: 0.52%
Steel Dynamics Incorporated		374,695		9,423,579
Paper & Forest Products: 0.60%
Boise Cascade Company		483,636		10,736,719
Real Estate: 0.90%
Equity REITs: 0.90%
QTS Realty Trust Incorporated Class A		351,021		16,206,640
Total Common Stocks (Cost $1,358,851,046)				1,727,537,872

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

30 Wells Fargo Small Company Growth Portfolio Portfolio of investments—May 31, 2019

Security name				Expiration date		Shares		Value
Rights: 0.00%
Consumer Discretionary: 0.00%
Media: 0.00%
Media General Incorporated †(a)					12-31-2020		347,897	$	0
Total Rights (Cost $0)									0
	Yield
Short-Term Investments: 10.80%
Investment Companies: 10.80%
Securities Lending Cash Investments LLC (l)(r)(u)		2.51	%				117,789,132		117,800,911
Wells Fargo Government Money Market Fund Select Class (l)(u)		2.30					77,449,512		77,449,512
Total Short-Term Investments (Cost $195,244,459)									195,250,423

Total investments in securities (Cost $1,554,095,505)	106.40	%		1,922,788,295
Other assets and liabilities, net	(6.40	)		(115,703,677	)
Total net assets	100.00	%	$	1,807,084,618

† Non-income-earning security

« All or a portion of this security is on loan.

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

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

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

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

Abbreviations:

ADR American depositary receipt

REIT Real estate investment trust

Investments in Affiliates

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

	Shares, beginning of period		Shares purchased		Shares sold		Shares, end of period		Net realized gains (losses)		Net change in unrealized gains (losses)			Income from affiliated securities			Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Securities Lending Cash Investments LLC		217,573,353		749,511,278		849,295,499		117,789,132	$	6,228	$	(6,902	)	$	3,182,700	��	$	117,800,911
Wells Fargo Government Money Market Fund Select Class		48,273,067		753,595,762		724,419,317		77,449,512		0		0			1,558,272			77,449,512
									$	6,228	$	(6,902	)	$	4,740,972		$	195,250,423		10.80	%

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

Statement of assets and liabilities—May 31, 2019 Wells Fargo Small Company Growth Portfolio 31

Assets
Investments in unaffiliated securities (including $113,683,501 of securities loaned), at value (cost $1,358,851,046)	$	1,727,537,872
Investments in affiliated securities, at value (cost $195,244,459)		195,250,423
Receivable for investments sold		2,050,713
Receivable for dividends		1,362,716
Receivable for securities lending income, net		26,923
Prepaid expenses and other assets		21,988
Total assets		1,926,250,635
Liabilities
Payable upon receipt of securities loaned		117,783,752
Advisory fee payable		1,320,016
Accrued expenses and other liabilities		62,249
Total liabilities		119,166,017
Total net assets	$	1,807,084,618

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

32 Wells Fargo Small Company Growth Portfolio Statement of operations—year ended May 31, 2019

Investment income
Dividends (net of foreign withholding taxes of $89,815)	$	11,721,275
Income from affiliated securities		2,094,920
Total investment income		13,816,195
Expenses
Advisory fee		15,439,896
Custody and accounting fees		91,405
Professional fees		43,727
Shareholder report expenses		1,989
Trustees’ fees and expenses		20,975
Other fees and expenses		25,100
Total expenses		15,623,092
Net investment loss		(1,806,897	)
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS
Net realized gains on:
Unaffiliated securities		201,425,264
Affiliated securities		6,228
Net realized gains on investments		201,431,492
Net change in unrealized gains (losses) on:
Unaffiliated securities		(312,373,288	)
Affiiliated securities		(6,902	)
Net change in unrealized gains (losses) on investments		(312,380,190	)
Net realized and unrealized gains (losses) on investments		(110,948,698	)
Net decrease in net assets resulting from operations	$	(112,755,595	)

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

Statements of changes in net assets Wells Fargo Small Company Growth Portfolio 33

	Year ended May 31, 2019			Year ended May 31, 2018
Operations
Net investment loss	$	(1,806,897	)	$	(3,185,500	)
Net realized gains on investments		201,431,492			120,175,795
Net change in unrealized gains (losses) on investments		(312,380,190	)		344,244,383
Net increase (decrease) in net assets resulting from operations		(112,755,595	)		461,234,678
Capital transactions
Transactions in investors’ beneficial interests
Contributions		200,173,324			105,533,154
Withdrawals		(288,826,821	)		(231,798,568	)
Net decrease in net assets resulting from capital transactions		(88,653,497	)		(126,265,414	)
Total increase (decrease) in net assets		(201,409,092	)		334,969,264
Net assets
Beginning of period		2,008,493,710			1,673,524,446
End of period	$	1,807,084,618		$	2,008,493,710

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

34 Wells Fargo Small Company Growth Portfolio Financial highlights

	Year ended May 31
	2019			2018			2017			2016			2015
Total return		(5.64	)%		28.74	%		18.15	%		(13.86	)%		18.07	%
Ratios to average net assets (annualized)
Gross expenses		0.78	%		0.78	%		0.79	%		0.80	%		0.82	%
Net expenses		0.78	%		0.78	%		0.79	%		0.80	%		0.82	%
Net investment loss		(0.09	)%		(0.18	)%		(0.14	)%		(0.03	)%		(0.32	)%
Supplemental data
Portfolio turnover rate		54	%		37	%		82	%		49	%		58	%

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

Notes to financial statements Wells Fargo Small Company Growth Portfolio 35

1. ORGANIZATION

Wells Fargo Master Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As an investment company, the Trust follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statements report on the Wells Fargo Small Company Growth Portfolio (the “Portfolio”) which is a diversified series of the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

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

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Portfolio may deviate from this calculation time under unusual or unexpected circumstances.

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

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

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Portfolio. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC (“Funds Management”). The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.

Securities lending

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

The Portfolio lends its securities through an unaffiliated securities lending agent. Cash collateral received in connection with its securities lending transactions is invested in Securities Lending Cash Investments, LLC (the “Securities Lending Fund”). The Securities Lending Fund is exempt from registration under Section 3(c)(7) of the 1940 Act and is managed by Funds Management and is subadvised by Wells Capital Management Incorporated (“WellsCap”), an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”). Funds Management receives an advisory fee starting at 0.05% and declining to 0.01% as the average daily net assets of the Securities Lending Fund increase. All of the fees received by Funds Management are paid to WellsCap for its services as subadviser. The Securities Lending Fund seeks to provide a positive return compared to the daily Fed Funds Open Rate by investing in

36 Wells Fargo Small Company Growth Portfolio Notes to financial statements

high-quality, U.S. dollar-denominated short-term money market instruments. Securities Lending Fund investments are valued at the evaluated bid price provided by an independent pricing service. Income earned from investment in the Securities Lending Fund (net of fees and rebates), if any, is included in income from affiliated securities on the Statement of Operations.

Security transactions and income recognition

Securities transactions are recorded on a trade date basis. Realized gains or losses are recorded on the basis of identified cost.

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

Federal and other taxes

The Portfolio is treated as a separate entity for federal income tax purposes. The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains as it is treated as a partnership for federal income tax purposes. All dividends, gains and losses of the Portfolio are deemed to have been “passed through” to the interest holders in proportion to their holdings of the Portfolio regardless of whether such 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 May 31, 2019, the aggregate cost of all investments for federal income tax purposes was $1,579,784,531 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	490,303,387
Gross unrealized losses		(147,299,623	)
Net unrealized gains	$	343,003,764

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.

Notes to financial statements Wells Fargo Small Company Growth Portfolio 37

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of May 31, 2019:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Common stocks
Communication services	$	10,379,760	$	0	$	0	$	10,379,760
Consumer discretionary		211,934,055		0		0		211,934,055
Consumer staples		47,155,429		0		0		47,155,429
Energy		28,808,574		0		0		28,808,574
Financials		171,879,322		0		0		171,879,322
Health care		423,872,585		0		0		423,872,585
Industrials		334,551,652		0		0		334,551,652
Information technology		422,780,987		0		0		422,780,987
Materials		59,968,868		0		0		59,968,868
Real estate		16,206,640		0		0		16,206,640
Rights
Consumer discretionary		0		0		0		0
Short-term investments
Investment companies		77,449,512		117,800,911		0		195,250,423
Total assets	$	1,804,987,384	$	117,800,911	$	0	$	1,922,788,295

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

At May 31, 2019, the Portfolio did not have any transfers into/out of Level 3.

4. TRANSACTIONS WITH AFFILIATES AND OTHER EXPENSES

Advisory fee

The Trust has entered into an advisory contract with Funds Management, an indirect wholly owned subsidiary of Wells Fargo. The adviser is responsible for implementing investment policies and guidelines and for supervising the subadviser, who is responsible for day-to-day portfolio management of the Portfolio. Pursuant to the contract, Funds Management is entitled to receive an annual advisory fee at the following annual rate based on the Portfolio’s average daily net assets:

Average daily net assets	Advisory fee
First $500 million		0.800	%
Next $500 million		0.775
Next $1 billion		0.750
Next $1 billion		0.725
Next $1 billion		0.700
Over $4 billion		0.680

For the year ended May 31, 2019, the advisory fee was equivalent to an annual rate of 0.77% of the Portfolio’s average daily net assets.

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Portfolio. The fee for subadvisory services is borne by Funds Management. Peregrine Capital Management, LLC, which is not an affiliate of Funds Management, is the subadviser to the Portfolio and is entitled to receive a fee from Funds Management at an annual rate starting at 0.50% and declining to 0.45% as the average daily net assets of the Portfolio increase.

Interfund transactions

The Portfolio may purchase or sell portfolio investment securities to certain other Wells Fargo affiliates pursuant to Rule 17a-7 under the 1940 Act and under procedures adopted by the Board of Trustees. The procedures have been designed to ensure that these interfund transactions, which do not incur broker commissions, are effected at current market prices.

38 Wells Fargo Small Company Growth Portfolio Notes to financial statements

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments, excluding U.S. government obligations (if any) and short-term securities, for the year ended May 31, 2019 were $1,037,762,113 and $1,095,235,628, respectively.

6. BANK BORROWINGS

Effective August 28, 2018, the Trust, along with Wells Fargo Variable Trust and Wells Fargo Funds Trust (excluding the money market funds), are parties to a $280,000,000 revolving credit agreement whereby the Portfolio is permitted to use bank borrowings for temporary or emergency purposes, such as to fund shareholder redemption requests. Interest under the credit agreement is charged to the Portfolio based on a borrowing rate equal to the higher of the Federal Funds rate in effect on that day plus 1.25% or the overnight LIBOR rate in effect on that day plus 1.25%. In addition, an annual commitment fee equal to 0.25% of the unused balance is allocated to each participating fund.

For the year ended May 31, 2019, there were no borrowings by the Portfolio under the agreement.

7. CONCENTRATION RISK

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

9. NEW ACCOUNTING PRONOUNCEMENT

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

Report of independent registered public accounting firm Wells Fargo Small Company Growth Portfolio 39

TO THE SHAREHOLDERS OF THE PORTFOLIO AND BOARD OF TRUSTEES OF WELLS FARGO MASTER TRUST:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Wells Fargo Small Company Growth Portfolio (the Portfolio), one of the portfolios constituting Wells Fargo Master Trust, including the portfolio of investments, as of May 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Portfolio as of May 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of May 31, 2019, by correspondence with the custodian or by other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

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

Boston, Massachusetts

July 26, 2019

40 Wells Fargo Small Company Growth Fund Other information (unaudited)

TAX INFORMATION

For corporate shareholders, pursuant to Section 854 of the Internal Revenue Code, 22.43% of ordinary income dividends qualify for the corporate dividends-received deduction for the fiscal year ended May 31, 2019.

Pursuant to Section 852 of the Internal Revenue Code, $105,713,520 was designated as a 20% rate gain distribution for the fiscal year ended May 31, 2019.

Pursuant to Section 854 of the Internal Revenue Code, $8,526,216 of income dividends paid during the fiscal year ended May 31, 2019 has been designated as qualified dividend income (QDI).

For the fiscal year ended May 31, 2019, $30,719,230 has been designated as short-term capital gain dividends for nonresident alien shareholders pursuant to Section 871 of the Internal Revenue Code.

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 calling1-800-222-8222, visiting our website atwfam.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 atwfam.com or by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS

The Fund and Portfolio file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Other information (unaudited) Wells Fargo Small Company Growth Fund 41

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

Independent Trustees

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

42 Wells Fargo Small Company Growth Fund Other information (unaudited)

Name and year of birth	Position held and length of service*	Principal occupations during past five years or longer	Current other public company or investment company directorships
David F. Larcker (Born 1950)	Trustee, since 2009	James Irvin Miller Professor of Accounting at the Graduate School of Business, Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005.	N/A
Olivia S. Mitchell (Born 1953)	Trustee, since 2006; Nominating and Governance Committee Chairman, since 2018	International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993.	N/A
Timothy J. Penny (Born 1951)	Trustee, since 1996; Chairman, since 2018	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

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

Other information (unaudited) Wells Fargo Small Company Growth Fund 43

Officers

Name and year of birth	Position held and length of service	Principal occupations during past five years or longer
Andrew Owen (Born 1960)	President, since 2017	Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014.
Nancy Wiser1 (Born 1967)	Treasurer, since 2012	Executive Vice President of Wells Fargo Funds Management, LLC since 2011. Chief Operating Officer and Chief Compliance Officer at LightBox Capital Management LLC, from 2008 to 2011.
Alexander Kymn (Born 1973)	Secretary and Chief Legal Officer, since 2018	Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.
Michael H. Whitaker (Born 1967)	Chief Compliance Officer, since 2016	Senior Vice President and Chief Compliance Officer since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016.
David Berardi (Born 1975)	Assistant Treasurer, since 2009	Vice President of Wells Fargo Funds Management, LLC since 2009. Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010. Manager of Fund Reporting and Control for Evergreen Investment Management Company, LLC from 2004 to 2010.
Jeremy DePalma1 (Born 1974)	Assistant Treasurer, since 2009	Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010.

¹ Nancy Wiser acts as Treasurer of 65 funds in the Fund Complex. Jeremy DePalma acts as Treasurer of 86 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 calling1-800-222-8222 or by visiting the website atwfam.com.

44 Wells Fargo Small Company Growth Fund Other information (unaudited)

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

Wells Fargo Small Company Growth Fund and Wells Fargo Small Company Growth 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”, and 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 an in-person meeting held on May 21-22, 2019 (the “Meeting”), the Funds Trust Board, 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 Wells Fargo Small Company Growth Fund (the “Gateway Fund”) an investment management agreement (the “Gateway Fund Management Agreement”) with Wells Fargo Funds Management, LLC (“Funds Management”).

At the Meeting, the Master Trust Board, 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: (i) an investment advisory agreement (the “Master Portfolio Advisory Agreement”) with Funds Management for Wells Fargo Small Company Growth Portfolio, a portfolio of Master Trust (the “Master Portfolio”); and (ii) an investment sub-advisory agreement (the “Sub-Advisory Agreement”) with Peregrine Capital Management, LLC (the “Sub-Adviser”).

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

The Gateway Fund is a gateway feeder fund that invest substantially all of its assets in the Master Portfolio. The Master Portfolio has a substantially similar investment objective and substantially similar investment strategies to the Gateway Fund. Information provided to the Boards regarding the Gateway Fund is also applicable to the Master Portfolio, 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-Adviser and the approval of the Advisory Agreements. Prior to the Meeting, including at an in-person meeting in April 2019, 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-Adviser 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 2019. 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-Adviser 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 Funds Trust Board unanimously approved the continuation of the Gateway Fund Management 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 the Sub-Advisory Agreement, each for a one-year term. The Boards also determined that the compensation payable to Funds Management and the Sub-Adviser 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-Adviser under the Advisory Agreements. This information included a description of the investment advisory services and Fund-level administrative services, as well as, among other things, a

Other information (unaudited) Wells Fargo Small Company Growth Fund 45

summary of the background and experience of senior management of Wells Fargo Asset Management (“WFAM”), of which Funds Management is a part, a summary of investments made in the business of WFAM, a summary of certain organizational and personnel changes involving Funds Management, and a description of Funds Management’s and the Sub-Adviser’s business continuity planning programs and of their approaches to data privacy and cybersecurity. The Boards received and reviewed information about Funds Management’s role as administrator of the Funds’ liquidity risk management 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 Boards evaluated the ability of Funds Management and the Sub-Adviser 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-Adviser. 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 Funds over various time periods ended December 31, 2018. 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 Gateway Fund (the “Universe”), and in comparison to the Gateway Fund’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 the performance Universe. The Funds Trust Board noted that the investment performance of the Gateway Fund (Administrator Class) was higher than or in range of the average investment performance of its Universe for the one-, five- and ten-year periods under review, but lower than the average investment performance of its Universe for the three-year period under review. The Funds Trust Board also noted that the investment performance of the Gateway Fund was higher than or equal to its benchmark, the Russell 2000® Growth Index, for all periods under review.

The Master Trust Board took note of the investment performance of the Master Portfolio in the context of reviewing the investment performance of the Gateway Fund.

The Funds Trust Board received information concerning, and discussed factors contributing to, the underperformance of the Gateway Fund relative to the Universe and benchmark for the periods identified above. The Funds Trust 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 Gateway Fund’s investment performance.

The Funds Trust Board also received and considered information regarding the Gateway Fund’s net operating expense ratios, which include fees and expenses of the Master Portfolio, and their various components, including actual management fees assessed at the Gateway Fund and Master Portfolio levels, custodian and other non-management fees, and Rule 12b-1 and non-Rule 12b-1 shareholder service fees. The Funds Trust Board considered these ratios in comparison to the median ratios of funds in class-specific expense groups that were determined by Broadridge to be similar to the Gateway Fund (the “Groups”). The Funds Trust Board 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. Based on the Broadridge reports, the Funds Trust Board noted that the net operating expense ratios of the Gateway Fund were lower than, equal to, or in range of the median net operating expense ratios of its expense Groups for each share class.

With respect to the Master Portfolio, the Master Trust Board reviewed 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 a corresponding expense Group.

The Boards took into account the Funds’ investment performance and expense 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 Funds Trust Board noted that Funds Management receives no advisory fees from the Gateway Fund as long as the Gateway Fund continues to invest all (or substantially all) of its assets in a single master portfolio. If the Gateway Fund were to change its investment structure so that it began investing in two or more master portfolios (a fund-of-funds), Funds Management would be entitled to receive an annual fee of 0.25% of the Gateway Fund’s average daily net assets for providing investment advisory services to the Gateway Fund, including allocating the Gateway Fund’s assets to the Master Portfolio.

46 Wells Fargo Small Company Growth Fund Other information (unaudited)

The Funds Trust Board reviewed and considered the contractual fee rates that are payable by the Gateway Fund to Funds Management under the Gateway Fund Management Agreement, as well as the contractual fee rates payable by the Gateway Fund to Funds Management for class-level administrative services under a Class-Level Administration Agreement, which include, among other things, class-level transfer agency and sub-transfer agency costs (collectively, the “Management Rates”).

The Master Trust Board reviewed and considered the contractual investment advisory fee rate that is payable by the Master Portfolio to Funds Management for investment advisory services under the Master Portfolio Advisory Agreement (the “Advisory Agreement Rate”). The Master Trust Board also reviewed and considered the contractual investment sub-advisory fee rate that is payable by Funds Management to the Sub-Adviser for investment sub-advisory services (the “Sub-Advisory Agreement Rate”).

Among other information reviewed by the Funds Trust Board was a comparison of the Gateway Fund’s Management Rate, which include the advisory fees paid at the Master Portfolio level, with the average contractual investment management fee rates of funds in the expense Groups at a common asset level as well as transfer agency costs of the funds in the expense Groups. The Funds Trust Board noted that the Management Rates of the Gateway Fund were in range of the sum of these average rates for the Gateway Fund’s expense Groups for the Institutional Class and Class R6, but higher than the sum of these average rates for the Gateway Fund’s expense Groups for Class A and the Administrator Class. The Funds Trust Board noted that the net operating expense ratio cap for Class A of the Gateway Fund would be reduced. The Funds Trust Board also noted that the net operating expense ratios of the Gateway Fund were lower than, equal to, or in range of the median net operating expense ratios of its expense Groups for each share class.

The Master Trust Board reviewed a comparison of the Advisory Agreement Rate of the Master Portfolio with those of other funds in the Master Portfolio’s expense Group at a common asset level. The Master Trust Board noted that the Advisory Agreement Rate of the Master Portfolio was lower than the median rate for the Master Portfolio’s expense Group.

The Master Trust Board 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-Adviser for sub-advisory services. The Master Trust Board considered these amounts in comparison to the median amount retained by advisers to funds in a sub-advised expense universe that was determined by Broadridge to be similar to the Master Portfolio. In assessing the reasonableness of these amounts, the Master Trust Board 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-Adviser, and about Funds Management’s on-going oversight services. The Master Trust Board also considered that the sub-advisory fees paid to the Sub-Adviser had been negotiated by Funds Management on an arm’s length basis.

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-Adviser to other types of clients with investment strategies similar to those of the 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 Funds Trust Board determined that the compensation payable to Funds Management under the Gateway Fund Management Agreement was reasonable, and the Master Trust Board determined that the compensation payable to Funds Management under the Master Portfolio Advisory Agreement and to the Sub-Adviser under the Sub-Advisory Agreement was 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.

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. The Boards did not consider profitability with respect to the Sub-Adviser, as the sub-advisory fees paid to the Sub-Adviser had been negotiated by Funds Management on an arm’s-length basis.

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 the Boards from approving the continuation of the Advisory Agreements.

Other information (unaudited) Wells Fargo Small Company Growth Fund 47

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 Master Portfolio’s advisory fee structure and the Gateway Fund’s management fee structure, which operate generally to reduce the Funds’ expense ratios as the Funds grow in size. 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 each Fund, 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-Adviser

The Boards received and considered information regarding potential “fall-out” or ancillary benefits received by Funds Management, the Sub-Adviser, and their affiliates 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-Adviser’s 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-Adviser, fees earned by Funds Management and its affiliate 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, the Sub-Adviser, and their affiliates 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 Gateway Fund Management Agreement for a one-year period. Additionally, after considering the above-described factors and based on its deliberations and its evaluation of the information described above, the Master Trust Board unanimously approved the continuation of the Master Portfolio Advisory Agreement and the Sub-Advisory Agreement, each for a one-year term. The Boards also determined that the compensation payable to Funds Management and the Sub-Adviser was reasonable.

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For more information

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

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: 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 Fund. If this report is used for promotional purposes, distribution of the report must be accompanied or preceded by a current prospectus. Before investing, please consider the investment objectives, risks, charges, and expenses of the investment. For a current prospectus and, if available, a summary prospectus, containing this information, call1-800-222-8222 or visit the Fund’s website atwfam.com. Read the prospectus carefully before you invest or send money.

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

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

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

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

403199 07-19 A285/AR285 05-19

Annual Report

May 31, 2019

Wells Fargo Small Company Value Fund

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

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

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

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Sign up for electronic delivery of prospectuses and shareholder reports atwellsfargo.com/advantagedelivery

Contents

Letter to shareholders	2
Performance highlights	6
Fund expenses	10
Wells Fargo Small Company Value Fund
Portfolio of investments	11
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	20
Report of independent registered public accounting firm	24
Wells Fargo Small Company Value Portfolio
Portfolio of investments	25
Financial statements
Statement of assets and liabilities	32
Statement of operations	33
Statement of changes in net assets	34
Financial highlights	35
Notes to financial statements	36
Report of independent registered public accounting firm	40
Other information	41

The views expressed and any forward-looking statements are as of May 31, 2019, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Asset Management. Discussions of individual securities, or the markets generally, or any Wells Fargo Fund are not intended as individual recommendations. Future events or results may vary significantly from those expressed in any forward-looking statements. The views expressed are subject to change at any time in response to changing circumstances in the market. Wells Fargo Asset Management and the Fund disclaim any obligation to publicly update or revise any views expressed or forward-looking statements.

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

2 Wells Fargo Small Company Value Fund Letter to shareholders (unaudited)

Andrew Owen

President

Wells Fargo Funds

Dear Shareholder:

We are pleased to offer you this annual report for the Wells Fargo Small Company Value Fund for the12-month period that ended May 31, 2019. Higher short-term interest rates, inflation concerns, trade tensions, and geopolitical events drove investment market volatility for much of 2018, particularly for international stocks. Early 2019 saw stocks and bonds gain with renewed business and investor confidence, but volatility returned late in the period as global growth slowed and geopolitical concerns persisted.

For the period, U.S. stocks, based on the S&P 500 Index,¹ gained 3.78% and international stocks, as measured by the MSCI ACWI ex USA Index (Net),² fell 6.26%. Based on the MSCI EM Index (Net),³ emerging market stocks fell 8.70%. Bond investors saw the Bloomberg Barclays U.S. Aggregate Bond Index⁴ add 6.40% while the Bloomberg Barclays Global Aggregateex-USD Index⁵ rose 0.39%. The Bloomberg Barclays Municipal Bond Index⁶ added 6.40%, and the ICE BofAML U.S. High Yield Index⁷ was up 5.37%.

Results for investment indices reflected global concerns.

Global trade tensions escalated during the second quarter of 2018. Atit-for-tat tariff spat intensified between the U.S. and other governments. The U.S. Federal Reserve (Fed) raised the federal funds rate by 25 basis points (bps; 100 bps equal 1.00%) to a target range of between 1.75% and 2.00% in June. Market index results reflected the global concerns. The MSCI ACWI ex USA Index (Net) lost 2.61%, while the Bloomberg Barclays Global Aggregateex-USD Index dropped 4.76%.

Not all news was bad. The U.S. Bureau of Economic Analysis reported second-quarter annualized gross domestic product (GDP) growth of 4.2%. Hiring improved. Unemployment declined. Consumer confidence and spending increased. The S&P 500 Index recorded a 3.43% second-quarter gain. Stocks of companies with smaller capitalizations did even better, as measured by the Russell 2000^® Index,⁸ adding 7.75%.

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

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

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

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

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

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

⁷  The ICE BofAML U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2019. ICE Data Indices, LLC. All rights reserved.

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

Letter to shareholders (unaudited) Wells Fargo Small Company Value Fund 3

Investors appeared to shake off lingering concerns during the third quarter.

Favorable third-quarter economic indicators and corporate earnings reports encouraged domestic stock investors. U.S. trade negotiations with Mexico and Canada progressed. The Conference Board Consumer Confidence Index^®9 reached its highest level in 18 years during September 2018. The Fed raised the federal funds rate by 25 bps to a target range of between 2.00% and 2.25% in September. For the quarter that ended September 30, 2018, the S&P 500 Index added 7.71%.

Investors in international markets were not as confident. Tensions between the U.S. and China increased. The U.S. imposed $200 billion in tariffs on Chinese goods. China reacted with $60 billion in tariffs on U.S. goods. Economic growth in China caused concern. The Bank of England (BoE) raised its monetary policy rate to 0.75% in August 2018. During the quarter, the MSCI ACWI ex USA Index (Net) gained 0.71%. The MSCI EM Index (Net) declined 1.09%. In fixed-income markets, U.S. bonds were flat, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index. The Bloomberg Barclays Global Aggregateex-USD Index fell 1.74%.

Conflicting data unsettled markets during the fourth quarter.

November’s U.S. midterm elections shifted control of the House of Representatives from Republicans to Democrats, presaging potential partisan clashes. Third-quarter U.S. GDP was announced at an annualized 3.4% rate, lower than the second-quarter rate. Brexit efforts stalled ahead of the March 2019 deadline. The People’s Bank of China cut reserve requirement ratios, accelerated infrastructure spending, and cut taxes even as the value of the yuan declined to low levels last seen in 2008.

December’s S&P 500 Index performance was the worst since 1931. Globally, fixed-income investments fared better than stocks during the last two months of the year. The Fed increased the federal funds rate by 25 bps in December 2018 to a target range of between 2.25% and 2.50%.

The market climbs a wall of worry.

Investors entered 2019 with reasons to be concerned. A partial U.S. government shutdown driven by partisan policy disputes extended into January. Investment returns appeared to reaffirm the adage that markets climb a wall of worry. The S&P 500 Index gained 8.01% for the month of January, the best monthly performance in 30 years. Returns for the MSCI ACWI ex USA Index (Net), the Bloomberg Barclays U.S. Aggregate Bond Index, and the Bloomberg Barclays Global Aggregateex-USD Index also were positive. The Fed indicated that it would pause its program of regular rate increases during 2019 as inflation remained low.

In February 2019, concerns over slowing global growth reemerged. The Bureau of Economic Analysis announced fourth-quarter 2018 GDP grew at an annualized 2.2% rate, down from levels of the prior two quarters. In a February report, the BoE forecast the slowest growth since the financial crisis for 2019. China and the U.S. continued to wrangle over trade issues.

By the end of March 2019, the combination of dovish Fed sentiment and consistent, if not spectacular, economic and business metrics reinforced investors’ confidence. Monthly job creation data regained momentum. Corporate profits, while lower than 2018’s lofty levels, remained solid. China announced a roughly $300 billion stimulus package through tax and fee cuts intended to reinvigorate economic growth.

December’s S&P 500 Index performance was the worst since 1931.

The S&P 500 Index gained 8.01% for the month of January, the best monthly performance in 30 years.

⁹  The Conference Board Consumer Confidence Index^® measures the degree of optimism on the state of the U.S. economy that consumers are expressing through their activities of saving and spending. You cannot invest directly in an index.

4 Wells Fargo Small Company Value Fund Letter to shareholders (unaudited)

During April, several broad-based U.S. equity indices reached or approached highs as investors drew confidence from favorable economic projections, sustained low inflation, and solid employment data. First-quarter GDP showed the economy grew at an annualized rate of 3.2% on improvement in business investment and exports. Favorable sentiment extended to foreign markets as the MSCI ACWI ex USA Index (Net) gained 2.64% and the MSCI EM Index (Net) added 2.11% for the month.

May 2019 presented investors with mixed signals in the economy, in the markets, and politically. In the U.S., partisan wrangling ramped up as Democrats and Republicans set their sights on 2020 presidential politics. In the U.K., the Brexit stalemate resulted in the resignation of Prime Minister Theresa May. The European Commission downgraded the 2019 growth forecast for the block of countries to 1.2%. The U.S. increased tariffs on products from China, China responded, and then talks broke down. Ending the month, equities, as measured by the MSCI ACWI (Net),¹⁰ dropped 5.93% while bonds, often considered a less risky investment, gained 1.04%, as measured by the Bloomberg Barclays Global Aggregateex-USD Index.

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

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

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

Sincerely,

Andrew Owen

President

Wells Fargo Funds

For further information about your Fund, contact your investment professional, visit our website atwfam.com, or call us directly at1-800-222-8222.

¹⁰  The MSCI ACWI (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. You cannot invest directly in an index.

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6 Wells Fargo Small Company Value Fund¹ Performance highlights (unaudited)

Investment objective

The Fund seeks long-term capital appreciation.

Manager

Wells Fargo Funds Management, LLC

Subadviser for the affiliated master portfolio

Wells Capital Management Incorporated

Portfolio managers

Jeff Goverman

Garth R. Nisbet, CFA^®‡

Craig Pieringer, CFA^®‡

Average annual total returns (%) as of May 31, 2019

		Including sales charge						Excluding sales charge						Expense ratios2 (%)
	Inception date	1 year		5 year		10 year		1 year		5 year		10 year		Gross		Net3
Class A (SCVAX)	1-31-2002		-19.63		2.84		11.19		-14.72		4.07		11.85		1.46		1.15
Class C (SCVFX)	8-30-2002		-16.73		3.29		11.05		-15.37		3.29		11.05		2.21		1.90
Class R6 (SCVJX)4	10-31-2016		–		–		–		-14.38		4.48		12.22		1.03		0.75
Administrator Class (SCVIX)	1-31-2002		–		–		–		-14.65		4.23		12.10		1.38		1.05
Institutional Class (SCVNX)5	7-30-2010		–		–		–		-14.46		4.43		12.30		1.13		0.85
Russell 2000® Value Index6	–		–		–		–		-11.32		5.00		11.67		–		–

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

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

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

Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. Smaller-company stocks tend to be more volatile and less liquid than those of larger companies. Certain investment strategies tend to increase the total risk of an investment (relative to the broader market). Consult the Fund’s prospectus for additional information on these and other risks.

Please see footnotes on page 7.

Performance highlights (unaudited) Wells Fargo Small Company Value Fund 7

Growth of $10,000 investment as of May 31, 2019⁷

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

¹  The Fund is a gateway feeder fund that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with a substantially identical investment objective and substantially similar investment strategies. References to the investment activities of the Fund are intended to refer to the investment activities of the affiliated master portfolio in which it invests.

²  Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

³  The manager has contractually committed through September 30, 2019, to waive fees and/or reimburse expenses to the extent necessary to cap the expenses of each class after fee waivers at the amounts shown. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolio invests and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Net expenses from the affiliated master portfolio are included in the expense cap. Without this cap, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

⁴  Historical performance shown for the Class R6 shares prior to their inception reflects the performance of the Institutional Class shares and includes the higher expenses applicable to Institutional Class shares. If these expenses had been included, returns for Class R6 shares would be higher.

⁵  Historical performance shown for Institutional Class shares prior to their inception reflects the performance of Administrator Class shares and includes the higher expenses applicable to Administrator Class shares. If these expenses had not been included, returns for Institutional Class shares would be higher.

⁶  The Russell 2000^® Value Index measures the performance of those Russell 2000 companies with lower price/book ratios and lower forecasted growth values. You cannot invest directly in an index.

⁷  The chart compares the performance of Class A shares for the most recent ten years with the Russell 2000^® Value Index. The chart assumes a hypothetical $10,000 investment in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%.

⁸  The Russell 1000^® Value Index measures the performance of the 1,000 largest companies in the Russell 3000^® Index, which represents approximately 92% of the total market capitalization of the Russell 3000^® Index. You cannot invest directly in an index.

⁹  The Russell Midcap^® Value Index measures the performance of those Russell Midcap companies with lower price/book ratios and lower forecasted growth values. The stocks are also members of the Russell 1000^® Value Index. You cannot invest directly in an index.

¹⁰  The Russell 1000^® Index measures the performance of the 1,000 largest companies in the Russell 3000^® Index, which represents approximately 92% of the total market capitalization of the Russell 3000^® Index. You cannot invest directly in an index.

¹¹  The Russell 2000^® Index measures the performance of the 2,000 smallest companies in the Russell 3000^® Index, which represents approximately 8% of the total market capitalization of the Russell 3000^® Index. You cannot invest directly in an index.

¹²  The Russell 2000^® Growth Index measures the performance of those Russell 2000 companies with higher price/book ratios and higher forecasted growth values. You cannot invest directly in an index.

¹³  The ten largest holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the securities of the affiliated master portfolio allocable to the Fund divided by the total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

¹⁴  Amounts represent the sector distribution of the affiliated master portfolio which are calculated based on the total long-term investments of the affiliated master portfolio. These amounts are subject to change and may have changed since the date specified.

* The security was no longer held at the end of the period.

8 Wells Fargo Small Company Value Fund Performance highlights (unaudited)

MANAGER’S DISCUSSION

Fund highlights

∎ The Fund underperformed the Russell 2000^® Value Index for the12-month period that ended May 31, 2019.

∎ Stock selection within the consumer discretionary and financials sectors detracted from relative results. Within consumer discretionary, investments in an auto supplier and a specialty retailer were the main detractors, while investments in a regional bank and an online financial services provider were the main detractors in the financials sector.

∎ Stock selection in the health care and consumer staples sectors contributed to relative return. Within health care, the Fund’s health care service provider holdings were contributors, while relative strength in the consumer staples sector was led by the Fund’s investment in one of the largest chicken producers in the U.S.

During the period, investors were confronted with higher volatility.

After a period of relative calm, investors were confronted with new challenges that brought increased volatility. Talk of trade wars, an unknown Brexit outcome, a government shutdown, and a hawkish U.S. Federal Reserve (Fed) all affected the market with varying intensities.Large-cap stocks fared the best, rallying to twoall-time highs, with a deep December correction in between. Performance dispersion by market capitalization was significant, withlarge-cap value stocks, as measured by the Russell 1000^® Value Index⁸, outperforming microcap value stocks, as measured by the Russell Midcap^® Value Index⁹, by 16.25%.

Over the reporting period,large-cap stocks, as measured by the Russell 1000^® Index¹⁰, were up whilesmall-cap stocks, as measured by the Russell 2000^® Index¹¹, declined, for a relative outperformance by large caps of 12.52%. Within small caps, growth stocks, as measured by the Russell 2000^® Growth Index¹², outperformed value stocks, as measured by the Russell 2000^® Value Index, by 4.44%. It was a difficult period forsmall-cap value, as many of the metrics associated with value, including low price/earnings, low price/book, and long-term reversal ratios, were not rewarded.

We favored more defensive sectors of the economy and smaller-capitalization stocks.

Due to increased volatility, we lowered exposure to risk-sensitive sectors of the economy, including consumer discretionary and energy, and increased exposure to more defensive sectors, including consumer staples and utilities. In light of the period’s underperformance by the smallest market cap stocks, we increased the portfolio weighting of stocks under $1 billion in market capitalization.

Ten largest holdings(%) as of May 31, 201913
Northwest Natural Holding Company	1.22
Otter Tail Corporation	1.19
Hawaiian Electric Industries Incorporated	1.16
Armada Hoffler Properties Incorporated	1.15
Independence Realty Trust Incorporated	1.13
Dine Brands Global Incorporated	1.12
One Liberty Properties Incorporated	1.12
Great Southern Bancorp Incorporated	1.09
MDU Resources Group Incorporated	1.08
Hostess Brands Incorporated	1.06

Sector distribution as of May 31, 2019¹⁴

Stock selection led to the Fund’s underperformance.

The Fund underperformed its benchmark for the12-month period. Stock selection in health care and consumer staples aided relative performance, while consumer discretionary and financials investments detracted.

Please see footnotes on page 7.

Performance highlights (unaudited) Wells Fargo Small Company Value Fund 9

In health care, investments in two health care service providers, The Ensign Group, Incorporated, and Molina Healthcare*, Incorporated, were key contributors to performance. Shares of Ensign Group, a skilled nursing operator, outperformed after posting solid occupancy gains, stable reimbursement rates, and improvements in underperforming facilities. Molina Healthcare, which provides managed care services for government-sponsored programs, rose as the company executed on key initiatives to simplify and turn around the business. Operating margins and market share gains improved quicker than expected. Stock selection in the consumer staples sector—notably, Pilgrim’s Pride Corporation—contributed to performance. Pilgrim’s Pride, the second-largest chicken processor in the U.S., outperformed as supply and demand imbalances shifted in the company’s favor, leading to market expectations of improved product pricing.

Within consumer discretionary, Cooper-Standard Holdings Incorporated* and Tailored Brands, Incorporated*, were the main detractors from performance. Cooper-Standard, a global supplier to the automotive industry, underperformed as the company faced weaker demand from Europe and China and expects higher costs associated with international trade uncertainty and tariffs. Tailored Brands, a men’s clothing retailer, continues to struggle with negative traffic trends as consumers shift to competitors with more establishede-commerce capabilities. Customers Bancorp, Incorporated, and Enova International, Incorporated, led to the relative underperformance in financials. Customers Bancorp, a full-service bank located in Pennsylvania, underperformed over the past year as the company faced net interest margin pressure and was unable to divest its BankMobile business. Enova, a provider of online financial services, including short-term consumer loans, continues to underperform as ongoing regulatory challenges weigh on the stock.

The stock market appears to be on a sound footing.

The U.S. economy has proven resilient. Interest rates are low, inflation remains tame, unemployment is near cycle lows, U.S. gross domestic product growth is expected to be in the 2.0% to 2.5% range, and earnings should likely grow in themid-single digits. While the current international trade conflict may drive near-term stock market sentiment, we believe the long-term outlook for the market remains sound.

Small-cap stocks are attractive due to their low valuations relative tolarge-cap stocks and should benefit if the Fed cuts rates or the U.S. dollar weakens. History also reinforces the case for value relative to growth stocks. As of May 31, 2019, the valuation gap between the Russell 2000^® Growth Index and the Russell 2000^® Value Index, usingnext-12-month price/earnings as a measure, has never been wider, at 35 times and 14 times, respectively. Similarly, the trailing10-year annualized returns for the Russell 2000^® Value Index minus the Russell 2000^® Growth Index approximate negative 2 standard deviations from the30-year historical mean, a statistical extreme that has marked past value style troughs.

10 Wells Fargo Small Company Value Fund Fund expenses (unaudited)

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

The example is based on an investment of $1,000 invested at the beginning of thesix-month period and held for the entire period from December 1, 2018 to May 31, 2019.

Actual expenses

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

Hypothetical example for comparison purposes

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

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

	Beginning account value 12-1-2018		Ending account value 5-31-2019		Expenses paid during the period¹,2		Annualized net expense ratio1
Class A
Actual	$	1,000.00	$	921.73	$	5.48		1.14	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,019.23	$	5.76		1.14	%
Class C
Actual	$	1,000.00	$	918.73	$	9.05		1.89	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,015.50	$	9.51		1.89	%
Class R6
Actual	$	1,000.00	$	924.03	$	3.57		0.74	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.22	$	3.75		0.74	%
Administrator Class
Actual	$	1,000.00	$	922.32	$	5.00		1.04	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,019.73	$	5.26		1.04	%
Institutional Class
Actual	$	1,000.00	$	923.21	$	4.02		0.84	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,020.75	$	4.23		0.84	%

¹ Amounts reflect net expenses allocated from the affiliated Master Portfolio in which the Fund invests.

² Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect theone-half-year period).

Portfolio of investments—May 31, 2019 Wells Fargo Small Company Value Fund 11

Security name	Value
Investment Companies: 99.64%
Affiliated Master Portfolio: 99.64%
Wells Fargo Small Company Value Portfolio	$	60,533,578
Total Investment Companies (Cost $73,159,441)		60,533,578

Total investments in securities (Cost $73,159,441)	99.64	%		60,533,578
Other assets and liabilities, net	0.36			218,085
Total net assets	100.00	%	$	60,751,663

Transactions with the affiliated Master Portfolio were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains on securities transactions allocated from affiliated Master Portfolio			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio			Dividends allocated from affiliated Master Portfolio		Affiliated income allocated from affiliated Master Portfolio		Securities lending income allocated from affiliated Master Portfolio		Value, end of period		% of net assets
Wells Fargo Small Company Value Portfolio		87	%		47	%	$	(4,999,289	)	$	(10,331,943	)	$	1,374,321	$	15,017	$	62,160	$	60,533,578		99.64	%

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

12 Wells Fargo Small Company Value Fund Statement of assets and liabilities—May 31, 2019

Assets
Investments in affiliated Master Portfolio, at value (cost $73,159,441)	$	60,533,578
Receivable for Fund shares sold		98,109
Receivable from manager		24,947
Prepaid expenses and other assets		125,599
Total assets		60,782,233
Liabilities
Administration fees payable		8,479
Custodian and accounting fees payable		7,066
Shareholder servicing fees payable		6,426
Payable for Fund shares redeemed		6,271
Distribution fee payable		787
Accrued expenses and other liabilities		1,541
Total liabilities		30,570
Total net assets	$	60,751,663
NET ASSETS CONSIST OF
Paid-in capital	$	82,657,477
Total distributable loss		(21,905,814	)
Total net assets	$	60,751,663
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARE
Net assets – Class A	$	11,901,502
Shares outstanding – Class A1		491,329
Net asset value per share – Class A		$24.22
Maximum offering price per share – Class A2		$25.70
Net assets – Class C	$	1,099,379
Shares outstanding – Class C1		51,183
Net asset value per share – Class C		$21.48
Net assets – Class R6	$	730,525
Shares outstanding – Class R61		29,320
Net asset value per share – Class R6		$24.92
Net assets – Administrator Class	$	13,904,607
Shares outstanding – Administrator Class1		560,678
Net asset value per share – Administrator Class		$24.80
Net assets – Institutional Class	$	33,115,650
Shares outstanding – Institutional Class1		1,332,008
Net asset value per share – Institutional Class		$24.86

¹  The Fund has an unlimited number of authorized shares.

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

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

Statement of operations—year ended May 31, 2019 Wells Fargo Small Company Value Fund 13

Investment income
Dividends allocated from affiliated Master Portfolio (net of foreign withholding taxes of $1,834)	$	1,374,321
Securities lending income allocated from affiliated Master Portfolio		62,160
Affiliated income allocated from affiliated Master Portfolio		15,017
Expenses allocated from affiliated Master Portfolio		(807,282	)
Waivers allocated from affiliated Master Portfolio		100,286
Total investment income		744,502
Expenses
Management fee		47,326
Administration fees
Class A		28,840
Class C		3,542
Class R6		149
Administrator Class		39,761
Institutional Class		62,594
Shareholder servicing fees
Class A		34,333
Class C		4,216
Administrator Class		76,260
Distribution fee
Class C		12,648
Custody and accounting fees		9,158
Professional fees		30,570
Registration fees		95,011
Shareholder report expenses		25,328
Trustees’ fees and expenses		21,813
Other fees and expenses		10,773
Total expenses		502,322
Less: Fee waivers and/or expense reimbursements		(285,980	)
Net expenses		216,342
Net investment income		528,160
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS
Net realized losses on securities transactions allocated from affiliated Master Portfolio		(4,999,289	)
Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio		(10,331,943	)
Net realized and unrealized gains (losses) on investments		(15,331,232	)
Net decrease in net assets resulting from operations	$	(14,803,072	)

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

14 Wells Fargo Small Company Value Fund Statement of changes in net assets

	Year ended May 31, 2019						Year ended May 31, 20181
Operations
Net investment income				$	528,160					$	872,024
Net realized gains (losses) on investments					(4,999,289	)					41,508,619
Net change in unrealized gains (losses) on investments					(10,331,943	)					(18,058,560	)
Net increase (decrease) in net assets resulting from operations					(14,803,072	)					24,322,083
Distributions to shareholders from net investment income and net realized gains
Class A					(82,268	)					(52,718	)
Class R6					(4,758	)					(2,568	)
Administrator Class					(80,883	)					(283,478	)
Institutional Class					(367,043	)					(383,137	)
Total distributions to shareholders					(534,952	)					(721,901	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		100,769			2,699,778			60,419			1,605,930
Class C		15,848			366,047			14,660			329,415
Class R6		25,104			690,295			15,174			412,649
Administrator Class		156,576			4,440,193			100,581			2,701,458
Institutional Class		927,734			26,194,616			431,742			11,786,334
					34,390,929						16,835,786
Reinvestment of distributions
Class A		3,218			75,882			1,785			48,755
Class R6		183			4,430			84			2,350
Administrator Class		3,347			80,761			10,156			283,362
Institutional Class		15,183			366,819			13,529			379,367
					527,892						713,834
Payment for shares redeemed
Class A		(160,314	)		(4,366,685	)		(192,694	)		(5,099,087	)
Class C		(42,700	)		(986,195	)		(28,318	)		(663,810	)
Class R6		(6,898	)		(189,905	)		(5,501	)		(154,810	)
Administrator Class		(1,664,950	)		(46,927,131	)		(392,453	)		(10,624,027	)
Institutional Class		(1,684,689	)		(45,679,163	)		(481,774	)		(13,221,590	)
					(98,149,079	)					(29,763,324	)
Net decrease in net assets resulting from capital share transactions					(63,230,258	)					(12,213,704	)
Total increase (decrease) in net assets					(78,568,282	)					11,386,478
Net assets
Beginning of period					139,319,945						127,933,467
End of period				$	60,751,663					$	139,319,945

¹  Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Undistributed net investment income at May 31, 2018 was $358,050. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 7,Distributions to Shareholders, in the notes to the financial statements

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

Financial highlights Wells Fargo Small Company Value Fund 15

(For a share outstanding throughout each period)

	Year ended May 31
CLASS A	2019			2018			2017			2016			2015
Net asset value, beginning of period		$28.60			$24.01			$20.22			$21.42			$20.08
Net investment income		0.09			0.09			0.05			0.08			0.07
Net realized and unrealized gains (losses) on investments		(4.31	)		4.58			3.75			(1.25	)		1.27
Total from investment operations		(4.22	)		4.67			3.80			(1.17	)		1.34
Distributions to shareholders from
Net investment income		(0.16	)		(0.08	)		(0.01	)		(0.03	)		0.00
Net asset value, end of period		$24.22			$28.60			$24.01			$20.22			$21.42
Total return1		(14.72	)%		19.48	%		18.86	%		(5.48	)%		6.62	%
Ratios to average net assets (annualized)
Gross expenses2		1.49	%		1.47	%		1.47	%		1.48	%		1.50	%
Net expenses2		1.15	%		1.33	%		1.35	%		1.37	%		1.40	%
Net investment income2		0.38	%		0.46	%		0.20	%		0.11	%		0.33	%
Supplemental data
Portfolio turnover rate3		168	%		144	%		110	%		72	%		54	%
Net assets, end of period (000s omitted)		$11,902			$15,665			$16,280			$23,151			$26,339

¹  Total return calculations do not include any sales charges.

²  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.75	%
Year ended May 31, 2018	0.84	%
Year ended May 31, 2017	0.84	%
Year ended May 31, 2016	0.84	%
Year ended May 31, 2015	0.84	%

³  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

16 Wells Fargo Small Company Value Fund Financial highlights

(For a share outstanding throughout each period)

	Year ended May 31
CLASS C	2019			2018			2017			2016			2015
Net asset value, beginning of period		$25.38			$21.40			$18.15			$19.34			$18.27
Net investment loss		(0.08	)1		(0.07	)1		(0.11	)1		(0.11	)1		(0.08	)1
Net realized and unrealized gains (losses) on investments		(3.82	)		4.05			3.36			(1.08	)		1.15
Total from investment operations		(3.90	)		3.98			3.25			(1.19	)		1.07
Net asset value, end of period		$21.48			$25.38			$21.40			$18.15			$19.34
Total return2		(15.37	)%		18.60	%		17.97	%		(6.20	)%		5.86	%
Ratios to average net assets (annualized)
Gross expenses3		2.22	%		2.21	%		2.22	%		2.23	%		2.26	%
Net expenses3		1.90	%		2.08	%		2.10	%		2.12	%		2.15	%
Net investment loss3		(0.35	)%		(0.29	)%		(0.54	)%		(0.62	)%		(0.42	)%
Supplemental data
Portfolio turnover rate4		168	%		144	%		110	%		72	%		54	%
Net assets, end of period (000s omitted)		$1,099			$1,980			$1,962			$2,004			$2,602

¹  Calculated based upon average shares outstanding

²  Total return calculations do not include any sales charges.

³  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.75	%
Year ended May 31, 2018	0.84	%
Year ended May 31, 2017	0.84	%
Year ended May 31, 2016	0.84	%
Year ended May 31, 2015	0.84	%

⁴  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

Financial highlights Wells Fargo Small Company Value Fund 17

(For a share outstanding throughout each period)

	Year ended May 31
CLASS R6	2019			2018			20171
Net asset value, beginning of period		$29.44			$24.69			$21.37
Net investment income		0.21	2		0.29	2		0.08
Net realized and unrealized gains (losses) on investments		(4.45	)		4.65			3.33
Total from investment operations		(4.24	)		4.94			3.41
Distributions to shareholders from
Net investment income		(0.28	)		(0.19	)		(0.09	)
Net asset value, end of period		$24.92			$29.44			$24.69
Total return3		(14.38	)%		20.03	%		15.95	%
Ratios to average net assets (annualized)
Gross expenses4		1.09	%		1.03	%		1.02	%
Net expenses4		0.75	%		0.88	%		0.90	%
Net investment income4		0.77	%		1.04	%		0.58	%
Supplemental data
Portfolio turnover rate5		168	%		144	%		110	%
Net assets, end of period (000s omitted)		$731			$322			$29

¹  For the period from October 31, 2016 (commencement of class operations) to May 31, 2017.

²  Calculated based upon average shares outstanding

³  Returns for periods of less than one year are not annualized.

⁴  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.75	%
Year ended May 31, 2018	0.84	%
Year ended May 31, 20171	0.83	%

⁵  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

18 Wells Fargo Small Company Value Fund Financial highlights

(For a share outstanding throughout each period)

	Year ended May 31
ADMINISTRATOR CLASS	2019			2018			2017			2016			2015
Net asset value, beginning of period		$29.23			$24.53			$20.66			$21.90			$20.49
Net investment income		0.14	1		0.20			0.08	1		0.13			0.11
Net realized and unrealized gains (losses) on investments		(4.43	)		4.63			3.83			(1.30	)		1.30
Total from investment operations		(4.29	)		4.83			3.91			(1.17	)		1.41
Distributions to shareholders from
Net investment income		(0.14	)		(0.13	)		(0.04	)		(0.07	)		0.00
Net asset value, end of period		$24.80			$29.23			$24.53			$20.66			$21.90
Total return		(14.65	)%		19.71	%		19.00	%		(5.36	)%		6.88	%
Ratios to average net assets (annualized)
Gross expenses2		1.35	%		1.38	%		1.39	%		1.39	%		1.34	%
Net expenses2		1.05	%		1.19	%		1.20	%		1.20	%		1.20	%
Net investment income2		0.49	%		0.59	%		0.36	%		0.28	%		0.52	%
Supplemental data
Portfolio turnover rate3		168	%		144	%		110	%		72	%		0	%
Net assets, end of period (000s omitted)		$13,905			$60,379			$57,591			$64,023			$71,034

¹  Calculated based upon average shares outstanding

²  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.75	%
Year ended May 31, 2018	0.84	%
Year ended May 31, 2017	0.84	%
Year ended May 31, 2016	0.84	%
Year ended May 31, 2015	0.84	%

³  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

Financial highlights Wells Fargo Small Company Value Fund 19

(For a share outstanding throughout each period)

	Year ended May 31
INSTITUTIONAL CLASS	2019			2018			2017			2016			2015
Net asset value, beginning of period		$29.40			$24.68			$20.77			$22.02			$20.57
Net investment income		0.19	1		0.21			0.11			0.08	1		0.14
Net realized and unrealized gains (losses) on investments		(4.45	)		4.69			3.89			(1.22	)		1.31
Total from investment operations		(4.26	)		4.90			4.00			(1.14	)		1.45
Distributions to shareholders from
Net investment income		(0.28	)		(0.18	)		(0.09	)		(0.11	)		0.00
Net asset value, end of period		$24.86			$29.40			$24.68			$20.77			$22.02
Total return		(14.46	)%		19.90	%		13.70	%		(5.13	)%		7.05	%
Ratios to average net assets (annualized)
Gross expenses2		1.14	%		1.14	%		1.14	%		1.14	%		1.07	%
Net expenses2		0.85	%		0.99	%		1.00	%		1.00	%		1.00	%
Net investment income2		0.68	%		0.78	%		0.55	%		0.40	%		0.75	%
Supplemental data
Portfolio turnover rate3		168	%		144	%		110	%		72	%		54	%
Net assets, end of period (000s omitted)		$33,116			$60,973			$52,072			$31,768			$16,850

¹  Calculated based upon average shares outstanding

²  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.75	%
Year ended May 31, 2018	0.84	%
Year ended May 31, 2017	0.84	%
Year ended May 31, 2016	0.84	%
Year ended May 31, 2015	0.84	%

³  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

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

20 Wells Fargo Small Company Value Fund Notes to financial statements

1. ORGANIZATION

Wells Fargo Funds Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is anopen-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 BoardAccounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statements report on the Wells Fargo Small Company Value Fund (the “Fund”) which is a diversified series of the Trust.

The Fund is a feeder fund in a master-feeder structure that invests substantially all of its assets in a single master portfolio with a substantially identical investment objective and substantially similar investment strategies. The Fund seeks to achieve its investment objective by investing substantially all of its assets in a separate diversified portfolio (the “affiliated Master Portfolio”) of Wells Fargo Master Trust, a registeredopen-end management investment company. The affiliated Master Portfolio directly acquires portfolio securities and the Fund acquires an indirect interest in those securities. The Fund accounts for its investment in the affiliated Master Portfolio as a partnership investment and records on a daily basis its share of the affiliated Master Portfolio’s income, expense and realized and unrealized gains and losses. The financial statements of the affiliated Master Portfolio for the year ended May 31, 2019 are included in this report and should be read in conjunction with the Fund’s financial statements. As of May 31, 2019, the Fund owned 47% of Wells Fargo Small Company Value Portfolio.

2. SIGNIFICANT ACCOUNTING POLICIES

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

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Fund may deviate from this calculation time under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of the affiliated Master Portfolio’s net assets, which are also valued daily. Securities held in the affiliated Master Portfolio are valued as discussed in the Notes to Financial Statements of the affiliated Master Portfolio, which are included elsewhere in this report.

Investment transactions, income and expenses

Investments in the affiliated Master Portfolio are recorded on a trade basis. The Fund records daily its proportionate share of the affiliated Master Portfolio’s dividend income, expenses and realized and unrealized gains or losses. The Fund also accrues its own expenses.

Distributions to shareholders

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

Federal and other taxes

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

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

Notes to financial statements Wells Fargo Small Company Value Fund 21

As of May 31, 2019, the aggregate cost of all investments for federal income tax purposes was $79,104,190 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	0
Gross unrealized losses		(18,570,612	)
Net unrealized losses	$	(18,570,612	)

As of May 31, 2019, the Fund had current year deferred post-October capital losses consisting of $3,470,691 in short-term losses and $260,535 in long-term losses which will be recognized on the first day of the following fiscal year.

Class allocations

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

3. FAIR VALUATION MEASUREMENTS

At May 31, 2019, the affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective and the value of the affiliated Master Portfolio was as follows:

Affiliated Master Portfolio	Investment objective	Value of affiliated Master Portfolio
Wells Fargo Small Company Value Portfolio	Seeks long-term capital appreciation	$	60,533,578

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

4. TRANSACTIONS WITH AFFILIATES

Management fee

Wells Fargo Funds Management, LLC (“Funds Management”), an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”), is the manager of the Fund and provides advisory and fund-level administrative services under an investment management agreement. Under the investment management agreement, Funds Management is responsible for, among other services, implementing the investment objectives and strategies of the Fund, and providing fund-level administrative services in connection with the Fund’s operations. As long as the Fund continues to invest substantially all of its assets in a single affiliated Master Portfolio, the Fund pays Funds Management an investment management fee only for fund-level administrative services at the following annual rate based on the Fund’s average daily net assets:

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

For the year ended May, 31 2019, the management fee was equivalent to an annual rate of 0.05% of the Fund’s average daily net assets.

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

22 Wells Fargo Small Company Value Fund Notes to financial statements

Administration fees

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

	Class-level administration fee
Class A, Class C		0.21	%
Class R6		0.03
Administrator Class, Institutional Class		0.13

Funds Management has contractually waived and/or reimbursed management and administration fees to the extent necessary to maintain certain net operating expense ratios for the Fund. When each class of the Fund has exceeded its expense cap, Funds Management has waived fees and/or reimbursed expenses from fund level expenses on a proportionate basis and then from class specific expenses. When only certain classes exceed their expense caps, waivers and/or reimbursements are applied against class specific expenses before fund level expenses. Net expenses from the affiliated Master Portfolio are included in the expense caps. Funds Management has committed through September 30, 2019 to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’s expenses at 1.15% for Class A shares and 1.90% for Class C shares, 0.75% for Class R6 shares, 1.05% for Administrator Class shares, and 0.85% for Institutional Class shares. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees.

Distribution fee

The Trust has adopted a distribution plan for Class C shares of the Fund pursuant to Rule12b-1 under the 1940 Act. A distribution fee is charged to Class C shares and paid to Wells Fargo Funds Distributor, LLC (“Funds Distributor”), the principal underwriter, at an annual rate of 0.75% of the average daily net assets of Class C shares.

In addition, Funds Distributor is entitled to receive thefront-end sales charge from the purchase of Class A shares and a contingent deferred sales charge on the redemption of certain Class A shares. Funds Distributor is also entitled to receive the contingent deferred sales charges from redemptions of Class C shares. For the year ended May 31, 2019, Funds Distributor received $1,375 from the sale of Class A shares and $13 in contingent deferred sales charges from redemptions of Class C shares. No contingent deferred sales charges were incurred by Class A shares for the year ended May 31, 2019.

Shareholder servicing fees

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

5. INVESTMENT PORTFOLIO TRANSACTIONS

The Fund seeks to achieve its investment objective by investing substantially all of its assets in a single affiliated Master Portfolio. Purchases and sales have been calculated by multiplying the Fund’s ownership percentage of the affiliated Master Portfolio by the affiliated Master Portfolio’s purchases and sales. Purchases and sales of investments, excluding short-term securities, for the year ended May 31, 2019 were $136,180,034 and $136,307,131, respectively.

6. BANK BORROWINGS

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

For the year ended May 31, 2019, there were no borrowings by the Fund under the agreement.

Notes to financial statements Wells Fargo Small Company Value Fund 23

7. DISTRIBUTIONS TO SHAREHOLDERS

The tax character of distributions paid was $534,952 and $721,901 of ordinary income for the years ended May 31, 2019 and May 31, 2018, respectively.

As of May 31, 2019, the components of distributable earnings on a tax basis were as follows:

Undistributed ordinary income	Unrealized losses	Post-October capital losses deferred
$396,024	$(18,570,612)	$(3,731,226)

Effective for all filings after November 4, 2018, the Securities and Exchange Commission eliminated the requirement to separately state the components of distributions to shareholders under U.S. generally accepted accounting principles. The amounts of distributions to shareholders for the year ended May 31, 2018 were as follows:

	Net investment income
Class A	$	52,718
Class R6		2,568
Administrator Class		283,478
Institutional Class		383,137

8. CONCENTRATION RISK

Concentration risks result from exposure to a limited number of sectors. Through its investment in the affiliated Master Portfolio which may invest a substantial portion of its assets in any sector, the Fund may in turn be more affected by changes in that sector than a fund whose investments are not heavily weighted in any sector.

9. INDEMNIFICATION

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

10. NEW ACCOUNTING PRONOUNCEMENT

In August 2018, FASB issued Accounting Standards Update (“ASU”)No. 2018-13, Fair Value Measurement (Topic 820)Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement. ASU2018-13 updates the disclosure requirements for fair value measurements by modifying or removing certain disclosures and adding certain new disclosures. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Early adoption is permitted. Management has adopted the removal and modification of disclosures early, as permitted, and will adopt the additional new disclosures at the effective date.

24 Wells Fargo Small Company Value Fund Report of independent registered public accounting firm

TO THE SHAREHOLDERS OF THE FUND AND BOARD OF TRUSTEES OF WELLS FARGO FUNDS TRUST:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Wells Fargo Small Company Value Fund (the Fund), one of the funds constituting Wells Fargo Funds Trust, including the portfolio of investments, as of May 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years or periods in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of May 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of May 31, 2019, by correspondence with the transfer agent. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

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

Boston, Massachusetts

July 26, 2019

Portfolio of investments—May 31, 2019 Wells Fargo Small Company Value Portfolio 25

Security name	Shares		Value
Common Stocks: 98.81%
Communication Services: 0.44%
Media: 0.44%
Entercom Communications Corporation		32,952	$	190,792
WideOpenWest Incorporated †		50,165		374,231
				565,023
Consumer Discretionary: 9.77%
Auto Components: 0.03%
Horizon Global Corporation †		8,976		36,443
Diversified Consumer Services: 0.69%
Collectors Universe Incorporated		41,800		879,472
Hotels, Restaurants & Leisure: 1.50%
Dine Brands Global Incorporated		15,229		1,437,922
El Pollo Loco Holdings Incorporated †		6,999		73,350
Noodles & Company †		35,415		256,050
Red Lion Hotels Corporation †		18,601		140,996
				1,908,318
Household Durables: 2.46%
Cavco Industries Incorporated †		5,371		771,276
Helen of Troy Limited †		9,752		1,302,965
Hooker Furniture Corporation		39,797		1,067,754
				3,141,995
Leisure Products: 1.44%
Johnson Outdoors Incorporated Class A		16,367		1,208,048
Malibu Boats Incorporated Class A †		17,536		629,542
				1,837,590
Specialty Retail: 1.64%
Dick’s Sporting Goods Incorporated		33,001		1,138,865
Shoe Carnival Incorporated «		37,087		952,765
				2,091,630
Textiles, Apparel & Luxury Goods: 2.01%
Carter’s Incorporated		10,801		908,472
Charles & Colvard Limited †		142,017		346,522
Lakeland Industries Incorporated †		24,175		294,935
Rocky Brands Incorporated		41,781		1,021,963
				2,571,892
Consumer Staples: 6.07%
Food & Staples Retailing: 0.71%
Ingles Markets Incorporated Class A		30,476		908,490

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

26 Wells Fargo Small Company Value Portfolio Portfolio of investments—May 31, 2019

Security name	Shares		Value
Food Products: 3.69%
Cal-Maine Foods Incorporated		31,328	$	1,159,763
Hostess Brands Incorporated †		101,661		1,361,241
Pilgrim’s Pride Corporation †		38,060		973,194
Sanderson Farms Incorporated		8,866		1,212,071
				4,706,269
Household Products: 1.67%
Central Garden & Pet Company «†		44,322		1,247,664
Spectrum Brands Holdings Incorporated		16,787		884,171
				2,131,835
Energy: 4.13%
Energy Equipment & Services: 1.77%
McDermott International Incorporated Ǡ		46,861		283,040
Newpark Resources Incorporated †		160,714		1,123,391
Patterson-UTI Energy Incorporated		80,380		854,439
				2,260,870
Oil, Gas & Consumable Fuels: 2.36%
Callon Petroleum Company †		130,456		815,350
Southwestern Energy Company †		269,016		965,767
Teekay Tankers Limited Class A †		466,550		522,536
W&T Offshore Incorporated †		167,621		704,008
				3,007,661
Financials: 26.19%
Banks: 15.27%
Banc of California Incorporated		46,034		609,030
Banner Corporation		24,050		1,213,563
Customers Bancorp Incorporated †		62,469		1,231,889
FB Financial Corporation		37,544		1,306,156
Fidelity Southern Corporation		43,415		1,223,001
First Foundation Incorporated		70,446		923,547
First Interstate BancSystem Class A		33,364		1,231,465
Great Southern Bancorp Incorporated		25,183		1,390,605
Heritage Financial Corporation		42,931		1,206,361
Independent Bank Corporation		58,262		1,232,241
Midland States Bancorp Incorporated		51,127		1,252,612
OFG Bancorp		56,211		1,055,643
Orrstown Financial Services Incorporated		21,624		459,294
Popular Incorporated		14,240		743,470
Triumph Bancorp Incorporated †		34,493		968,219
Umpqua Holdings Corporation		75,569		1,206,837
Univest Corporation of Pennsylvania		56,878		1,358,247
Western Alliance Bancorp †		21,206		872,627
				19,484,807

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

Portfolio of investments—May 31, 2019 Wells Fargo Small Company Value Portfolio 27

Security name	Shares		Value
Capital Markets: 1.93%
Blucora Incorporated †		20,331	$	629,651
Och Ziff Capital Managemen Group Incorporated		34,673		628,968
Piper Jaffray Companies Incorporated		17,035		1,206,419
				2,465,038
Consumer Finance: 0.19%
Enova International Incorporated †		11,633		248,365
Insurance: 3.75%
American Equity Investment Life Holding Company		45,224		1,280,291
FBL Financial Group Incorporated		18,612		1,145,755
National General Holdings Corporation		44,458		1,010,086
State Auto Financial Corporation		39,481		1,349,855
				4,785,987
Mortgage REITs: 1.96%
Invesco Mortgage Capital Incorporated		52,915		814,362
MFA Financial Incorporated		118,009		830,783
New York Mortgage Trust Incorporated		142,608		861,352
				2,506,497
Thrifts & Mortgage Finance: 3.09%
Homestreet Incorporated †		46,324		1,317,918
OceanFirst Financial Corporation		55,378		1,319,104
Walker & Dunlop Incorporated		25,896		1,301,792
				3,938,814
Health Care: 5.45%
Health Care Equipment & Supplies: 0.38%
Fonar Corporation †		15,437		296,390
LeMaitre Vascular Incorporated		7,338		189,394
				485,784
Health Care Providers & Services: 3.74%
AMN Healthcare Services Incorporated †		18,435		892,991
BioScrip Incorporated †		68,863		142,546
Brookdale Senior Living Incorporated †		72,690		449,224
Ensign Group Incorporated		20,106		1,070,846
Hanger Incorporated †		54,121		1,009,898
LHC Group Incorporated †		7,915		896,611
Tenet Healthcare Corporation †		15,809		315,548
				4,777,664
Pharmaceuticals: 1.33%
Akorn Incorporated †		46,924		193,327
Phibro Animal Health Corporation Class A		11,493		339,963
Prestige Consumer Healthcare Incorporated †		40,040		1,162,361
				1,695,651

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

28 Wells Fargo Small Company Value Portfolio Portfolio of investments—May 31, 2019

Security name	Shares		Value
Industrials: 18.44%
Aerospace & Defense: 0.24%
Ducommun Incorporated †		6,704	$	302,552
Airlines: 0.27%
Mesa Air Group Incorporated †		37,687		343,705
Building Products: 0.52%
Patrick Industries Incorporated †		16,439		670,547
Commercial Services & Supplies: 1.90%
ACCO Brands Corporation		16,937		124,487
Casella Waste Systems Incorporated Class A †		10,027		388,245
Ceco Environmental Corporation †		32,582		288,351
Ennis Incorporated		67,455		1,249,267
Hudson Technologies Incorporated †		230,921		369,474
				2,419,824
Construction & Engineering: 2.37%
Comfort Systems Incorporated		8,821		416,175
Limbach Holdings Incorporated †		23,756		214,992
MYR Group Incorporated †		39,343		1,270,385
Sterling Construction Company Incorporated †		94,080		1,123,315
				3,024,867
Electrical Equipment: 1.56%
Encore Wire Corporation		21,878		1,091,931
Generac Holdings Incorporated †		16,431		906,170
				1,998,101
Machinery: 4.09%
Columbus McKinnon Corporation		32,130		1,165,034
Federal Signal Corporation		18,472		441,296
Kadant Incorporated		10,659		865,298
Miller Industries Incorporated		32,593		865,344
NN Incorporated		30,227		234,259
Spartan Motors Incorporated		115,855		999,829
Standex International Corporation		7,995		519,995
The Greenbrier Companies Incorporated		4,559		124,050
				5,215,105
Marine: 0.38%
Seaspan Corporation «		51,703		481,355
Professional Services: 3.85%
Barrett Business Services Incorporated		7,469		537,917
BG Staffing Incorporated		13,929		237,072
CBIZ Incorporated †		66,405		1,314,819
Kelly Services Incorporated Class A		48,630		1,142,805
Korn/Ferry International		24,418		1,051,927
WageWorks Incorporated †		12,553		627,273
				4,911,813

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

Portfolio of investments—May 31, 2019 Wells Fargo Small Company Value Portfolio 29

Security name	Shares		Value
Road & Rail: 1.04%
Genesee & Wyoming Incorporated Class A †		13,970	$	1,330,223
Trading Companies & Distributors: 2.22%
CAI International Incorporated †		52,696		1,186,714
DXP Enterprises Incorporated †		33,165		1,068,576
Fly Leasing Limited ADR †		35,582		577,852
				2,833,142
Information Technology: 10.28%
Communications Equipment: 0.67%
Lumentum Holdings Incorporated †		15,098		611,016
Plantronics Incorporated		5,913		242,847
				853,863
Electronic Equipment, Instruments & Components: 3.55%
Eplus Incorporated †		14,032		991,501
Insight Enterprises Incorporated †		23,928		1,231,813
Methode Electronics Incorporated		25,881		637,449
Napco Security Technologies Incorporated †		21,326		569,831
PC Connection Incorporated		34,765		1,103,441
				4,534,035
IT Services: 2.09%
Conduent Incorporated †		103,045		917,101
Hackett Group Incorporated		36,185		582,217
TTEC Holdings Incorporated		29,513		1,171,076
				2,670,394
Semiconductors & Semiconductor Equipment: 2.69%
Cohu Incorporated		25,695		373,862
Entegris Incorporated		20,707		711,078
FormFactor Incorporated †		74,337		1,067,479
Rudolph Technologies Incorporated †		55,535		1,281,192
				3,433,611
Software: 1.28%
American Software Incorporated Class A		39,398		499,173
GlobalSCAPE Incorporated		22,751		207,944
Nuance Communications Incorporated †		53,955		926,407
				1,633,524
Materials: 4.92%
Chemicals: 1.46%
Advansix Incorporated †		22,842		556,888
Stepan Company		15,440		1,310,238
				1,867,126

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

30 Wells Fargo Small Company Value Portfolio Portfolio of investments—May 31, 2019

Security name	Shares		Value
Construction Materials: 0.85%
Eagle Materials Incorporated		12,599	$	1,084,270
Metals & Mining: 1.65%
Kaiser Aluminum Corporation		12,247		1,091,453
Schnitzer Steel Industries Incorporated Class A		47,924		1,011,676
				2,103,129
Paper & Forest Products: 0.96%
PH Glatfelter Company		18,387		268,082
Verso Corporation Class A †		55,747		959,963
				1,228,045
Real Estate: 6.77%
Equity REITs: 6.38%
Armada Hoffler Properties Incorporated		88,940		1,467,510
CareTrust REIT Incorporated		43,138		1,048,685
Global Medical REIT Incorporated		53,964		575,256
Independence Realty Trust Incorporated		131,564		1,444,573
Monmouth Real Estate Investment Corporation		88,138		1,228,644
One Liberty Properties Incorporated		50,335		1,436,561
PotlatchDeltic Corporation		27,881		938,196
				8,139,425
Real Estate Management & Development: 0.39%
Marcus & Millichap Incorporated †		16,408		501,100
Utilities: 6.35%
Electric Utilities: 2.36%
Hawaiian Electric Industries Incorporated		35,697		1,482,853
Otter Tail Corporation		30,741		1,526,905
				3,009,758
Gas Utilities: 2.23%
National Fuel Gas Company		24,001		1,279,493
Northwest Natural Holding Company		22,721		1,563,659
				2,843,152
Multi-Utilities: 1.08%
MDU Resources Group Incorporated		55,806		1,377,292
Water Utilities: 0.68%
Artesian Resources Corporation Class A		24,394		868,670
Total Common Stocks (Cost $129,787,868)				126,114,723
Exchange-Traded Funds: 0.53%
iShares Russell 2000 Index ETF		4,600		670,956
Total Exchange-Traded Funds (Cost $723,470)				670,956

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

Portfolio of investments—May 31, 2019 Wells Fargo Small Company Value Portfolio 31

Security name	Yield			Shares		Value
Short-Term Investments: 2.13%
Investment Companies: 2.13%
Securities Lending Cash Investments LLC (l)(r)(u)		2.51	%		2,006,789	$	2,006,990
Wells Fargo Government Money Market Fund Select Class (I)(u)		2.30			718,186		718,186
Total Short-Term Investments (Cost $2,724,996)							2,725,176

Total investments in securities (Cost $133,236,334)	101.47	%		129,510,855
Other assets and liabilities, net	(1.47	)		(1,880,436	)
Total net assets	100.00	%	$	127,630,419

† Non-income-earning security

« All or a portion of this security is on loan.

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

(r) The investment is anon-registered investment company purchased with cash collateral received from securities on loan.

(u) The rate represents the7-day annualized yield at period end.

Abbreviations:

ADR American depositary receipt

REIT Real estate investment trust

Investments in Affiliates

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

	Shares, beginning of period		Shares purchased		Shares sold		Shares, end of period		Net realized gains (losses)			Net change in unrealized gains (losses)			Income from affiliated securities		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Securities Lending Cash Investments LLC		5,546,867		76,423,623		79,963,701		2,006,789	$	(328	)	$	(172	)	$	134,621	$	2,006,990
Wells Fargo Government Money Market Fund Select Class		851,216		133,591,983		133,725,013		718,186		0			0			26,900		718,186
									$	(328	)	$	(172	)	$	161,521	$	2,725,176		2.13	%

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

32 Wells Fargo Small Company Value Portfolio Statement of assets and liabilities—May 31, 2019

Assets
Investments in unaffiliated securities (including $1,924,347 of security loaned), at value (cost $130,511,338)	$	126,785,679
Investments in affiliated securities, at value (cost $2,724,996)		2,725,176
Receivable for investments sold		846,926
Receivable for dividends		101,213
Receivable for securities lending income, net		3,271
Prepaid expenses and other assets		16,551
Total assets		130,478,816
Liabilities
Payable upon receipt of securities loaned		2,006,773
Payable for investments purchased		588,674
Overdraft due to custodian bank		156,444
Advisory fee payable		81,775
Accrued expenses and other liabilities		14,731
Total liabilities		2,848,397
Total net assets	$	127,630,419

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

Statement of operations—year ended May 31, 2019 Wells Fargo Small Company Value Portfolio 33

Investment income
Dividends (net of foreign withholding taxes of $3,550)	$	2,578,744
Income from affiliated securities		137,210
Total investment income		2,715,954
Expenses
Advisory fee		1,401,687
Custody and accounting fees		23,282
Professional fees		43,785
Shareholder report expenses		2,797
Trustees’ fees and expenses		20,578
Other fees and expenses		6,995
Total expenses		1,499,124
Less: Fee waivers and/or expense reimbursements		(188,541	)
Net expenses		1,310,583
Net investment income		1,405,371
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS
Net realized losses on:
Unaffiliated securities		(20,261,005	)
Affiliated securities		(328	)
Net realized losses on investments		(20,261,333	)
Net change in unrealized gains (losses) on:
Unaffiliated securities		(10,952,580	)
Affiliated securities		(172	)
Net change in unrealized gains (losses) on investments		(10,952,752	)
Net realized and unrealized gains (losses) on investments		(31,214,085	)
Net decrease in net assets resulting from operations	$	(29,808,714	)

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

34 Wells Fargo Small Company Value Portfolio Statement of changes in net assets

	Year ended May 31, 2019			Year ended May 31, 2018
Operations
Net investment income	$	1,405,371		$	1,619,419
Net realized gains (losses) on investments		(20,261,333	)		56,399,955
Net change in unrealized gains (losses) on investments		(10,952,752	)		(24,205,675	)
Net increase (decrease) in net assets resulting from operations		(29,808,714	)		33,813,699
Capital transactions
Transactions in investors’ beneficial interests
Contributions		110,246,678			10,857,996
Withdrawals		(112,205,990	)		(99,498,049	)
Net decrease in net assets resulting from capital transactions		(1,959,312	)		(88,640,053	)
Total decrease in net assets		(31,768,026	)		(54,826,354	)
Net assets
Beginning of period		159,398,445			214,224,799
End of period	$	127,630,419		$	159,398,445

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

Financial highlights Wells Fargo Small Company Value Portfolio 35

	Year ended May 31
	2019			2018			2017			2016			2015
Total return		(14.51	)%		20.10	%		19.44	%		(4.96	)%		7.29	%
Ratios to average net assets (annualized)
Gross expenses		0.86	%		0.85	%		0.84	%		0.85	%		0.84	%
Net expenses		0.75	%		0.84	%		0.84	%		0.85	%		0.84	%
Net investment income		0.80	%		0.87	%		0.72	%		0.62	%		0.89	%
Supplemental data
Portfolio turnover rate		168	%		144	%		110	%		72	%		54	%

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

36 Wells Fargo Small Company Value Portfolio Notes to financial statements

1. ORGANIZATION

Wells Fargo Master Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is anopen-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 BoardAccounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statements report on the Wells Fargo Small Company Value Portfolio (the “Portfolio”) which is a diversified series of the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

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

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Portfolio may deviate from this calculation time under unusual or unexpected circumstances.

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

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

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Portfolio. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC (“Funds Management”). The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.

Securities lending

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

The Portfolio lends its securities through an unaffiliated securities lending agent. Cash collateral received in connection with its securities lending transactions is invested in Securities Lending Cash Investments, LLC (the “Securities Lending Fund”). The Securities Lending Fund is exempt from registration under Section 3(c)(7) of the 1940 Act and is managed by Funds Management and is subadvised by Wells Capital Management Incorporated (“WellsCap”), an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”). Funds Management receives an advisory fee starting at 0.05% and declining to 0.01% as the average daily net assets of the Securities Lending Fund increase. All of the fees received by Funds Management are paid to WellsCap for its services as subadviser. The Securities Lending Fund seeks to provide a positive return compared to the daily Fed Funds Open Rate by investing in

Notes to financial statements Wells Fargo Small Company Value Portfolio 37

high-quality, U.S. dollar-denominated short-term money market instruments. Securities Lending Fund investments are valued at the evaluated bid price provided by an independent pricing service. Income earned from investment in the Securities Lending Fund (net of fees and rebates), if any, is included in income from affiliated securities on the Statement of Operations.

Security transactions and income recognition

Securities transactions are recorded on a trade date basis. Realized gains or losses are recorded on the basis of identified cost.

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

Federal and other taxes

The Portfolio is treated as a separate entity for federal income tax purposes. The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains as it is treated as a partnership for federal income tax purposes. All dividends, gains and losses of the Portfolio are deemed to have been “passed through” to the interest holders in proportion to their holdings of the Portfolio regardless of whether such 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 May 31, 2019, the aggregate cost of all investments for federal income tax purposes was $137,451,953 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	6,468,519
Gross unrealized losses		(14,409,617	)
Net unrealized losses	$	(7,941,098	)

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.

38 Wells Fargo Small Company Value Portfolio Notes to financial statements

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of May 31, 2019:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Common stocks
Communication services	$	565,023	$	0	$	0	$	565,023
Consumer discretionary		12,467,340		0		0		12,467,340
Consumer staples		7,746,594		0		0		7,746,594
Energy		5,268,531		0		0		5,268,531
Financials		33,429,508		0		0		33,429,508
Health care		6,959,099		0		0		6,959,099
Industrials		23,531,234		0		0		23,531,234
Information technology		13,125,427		0		0		13,125,427
Materials		6,282,570		0		0		6,282,570
Real estate		8,640,525		0		0		8,640,525
Utilities		8,098,872		0		0		8,098,872
Exchange-traded funds		670,956		0		0		670,956
Short-term investments
Investment companies		718,186		2,006,990		0		2,725,176
Total assets	$	127,503,865	$	2,006,990	$	0	$	129,510,855

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

At May 31, 2019, 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 forday-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 $500 million	0.800%
Next $500 million	0.775
Next $1 billion	0.750
Next $1 billion	0.725
Next $1 billion	0.700
Over $4 billion	0.680

For the year ended May 31, 2019, the advisory fee was equivalent to an annual rate of 0.80% of the Portfolio’s average daily net assets.

Notes to financial statements Wells Fargo Small Company Value Portfolio 39

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Portfolio. The fee for subadvisory services is borne by Funds Management. WellsCap is the subadviser to the Portfolio and is entitled to receive a fee from Funds Management at an annual rate starting at 0.55% and declining to 0.40% as the average daily net assets of the Portfolio increase.

Funds Management has voluntarily waived and/or reimbursed advisory fees to 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 toRule 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 year ended May 31, 2019 were $287,125,187 and $287,393,161, respectively.

6. BANK BORROWINGS

Effective August 28, 2018, the Trust, along with Wells Fargo Variable Trust and Wells Fargo Funds Trust (excluding the money market funds), are parties to a $280,000,000 revolving credit agreement whereby the Portfolio is permitted to use bank borrowings for temporary or emergency purposes, such as to fund shareholder redemption requests. Interest under the credit agreement is charged to the Portfolio based on a borrowing rate equal to the higher of the Federal Funds rate in effect on that day plus 1.25% or the overnight LIBOR rate in effect on that day plus 1.25%. In addition, an annual commitment fee equal to 0.25% of the unused balance is allocated to each participating fund.

For the year ended May 31, 2019, there were no borrowings by the Portfolio under the agreement.

7. CONCENTRATION RISK

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

9. NEW ACCOUNTING PRONOUNCEMENT

In August 2018, FASB issued Accounting Standards Update (“ASU”)No. 2018-13, Fair Value Measurement (Topic 820)Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement. ASU2018-13 updates the disclosure requirements for fair value measurements by modifying or removing certain disclosures and adding certain new disclosures. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Early adoption is permitted. Management has adopted the removal and modification of disclosures early, as permitted, and will adopt the additional new disclosures at the effective date.

40 Wells Fargo Small Company Value Portfolio Report of independent registered public accounting firm

TO THE SHAREHOLDERS OF THE PORTFOLIO AND BOARD OF TRUSTEES OF WELLS FARGO MASTER TRUST:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Wells Fargo Small Company Value Portfolio (the Portfolio), one of the portfolios constituting Wells Fargo Master Trust, including the portfolio of investments, as of May 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Portfolio as of May 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of May 31, 2019, by correspondence with the custodian and brokers, or by other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

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

Boston, Massachusetts

July 26, 2019

Other information (unaudited) Wells Fargo Small Company Value Fund 41

TAX INFORMATION

For corporate shareholders, pursuant to Section 854 of the Internal Revenue Code, 100% of ordinary income dividends qualifying for the corporate dividends-received deduction was as follows for the fiscal year ended May 31, 2019.

Pursuant to Section 854 of the Internal Revenue Code, $534,952 of income dividends paid during the fiscal year ended May 31, 2019 have been designated as qualified dividend income (QDI).

For the fiscal year ended May 31, 2019, $8,255 has been designated as interest-related dividends for nonresident alien shareholders pursuant to Section 871 of the Internal Revenue Code.

PROXY VOTING INFORMATION

A description of the policies and procedures used to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling1-800-222-8222, visiting our website atwfam.com, or visiting the SEC website at sec.gov. Information regarding how the proxies related to portfolio securities were voted during the most recent12-month period ended June 30 is available on the website atwfam.comor by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS

The Fund and Portfolio file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

42 Wells Fargo Small Company Value Fund Other information (unaudited)

BOARD OF TRUSTEES AND OFFICERS

Each of the Trustees and Officers¹ listed in the table below acts in identical capacities for each fund in the Wells Fargo family of funds, which consists of 151 mutual funds comprising the Wells Fargo Funds Trust, Wells Fargo Variable Trust, Wells Fargo Master Trust and fourclosed-end funds (collectively the “Fund Complex”). This table should be read in conjunction with the Prospectus and the Statement of Additional Information². The mailing address of each Trustee and Officer is 525 Market Street, 12th Floor, San Francisco, CA 94105. Each Trustee and Officer serves an indefinite term, however, each Trustee serves such term until reaching the mandatory retirement age established by the Trustees.

Independent Trustees

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

Other information (unaudited) Wells Fargo Small Company Value Fund 43

Name and year of birth	Position held and length of service*	Principal occupations during past five years or longer	Current other public company or investment company directorships
David F. Larcker (Born 1950)	Trustee, since 2009	James Irvin Miller Professor of Accounting at the Graduate School of Business, Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005.	N/A
Olivia S. Mitchell (Born 1953)	Trustee, since 2006; Nominating and Governance Committee Chairman, since 2018	International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993.	N/A
Timothy J. Penny (Born 1951)	Trustee, since 1996; Chairman, since 2018	President and Chief Executive Officer of Southern Minnesota Initiative Foundation, anon-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., anon-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, anon-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

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

44 Wells Fargo Small Company Value Fund Other information (unaudited)

Officers

Name and year of birth	Position held and length of service	Principal occupations during past five years or longer
Andrew Owen (Born 1960)	President, since 2017	Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014.
Nancy Wiser1(Born 1967)	Treasurer, since 2012	Executive Vice President of Wells Fargo Funds Management, LLC since 2011. Chief Operating Officer and Chief Compliance Officer at LightBox Capital Management LLC, from 2008 to 2011.
Alexander Kymn (Born 1973)	Secretary and Chief Legal Officer, since 2018	Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.
Michael H. Whitaker (Born 1967)	Chief Compliance Officer, since 2016	Senior Vice President and Chief Compliance Officer since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016.
David Berardi (Born 1975)	Assistant Treasurer, since 2009	Vice President of Wells Fargo Funds Management, LLC since 2009. Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010. Manager of Fund Reporting and Control for Evergreen Investment Management Company, LLC from 2004 to 2010.
Jeremy DePalma1 (Born 1974)	Assistant Treasurer, since 2009	Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010.

¹ Nancy Wiser acts as Treasurer of 65 funds in the Fund Complex. Jeremy DePalma acts as Treasurer of 86 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 calling1-800-222-8222 or by visiting the website atwfam.com.

Other information (unaudited) Wells Fargo Small Company Value Fund 45

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

Wells Fargo Small Company Value Fund and Wells Fargo Small Company Value 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”, and 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 an in-person meeting held on May 21-22, 2019 (the “Meeting”), the Funds Trust Board, 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 Wells Fargo Small Company Value Fund (the “Gateway Fund”) an investment management agreement (the “Gateway Fund Management Agreement”) with Wells Fargo Funds Management, LLC (“Funds Management”).

At the Meeting, the Master Trust Board, 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: (i) an investment advisory agreement (the “Master Portfolio Advisory Agreement”) with Funds Management for Wells Fargo Small Company Value Portfolio, a portfolio of Master Trust (the “Master Portfolio”); and (ii) an investment sub-advisory agreement (the “Sub-Advisory Agreement”) with Wells Capital Management Incorporated (the “Sub-Adviser”), an affiliate of Funds Management.

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

The Gateway Fund is a gateway feeder fund that invest substantially all of its assets in the Master Portfolio. The Master Portfolio has a substantially similar investment objective and substantially similar investment strategies to the Gateway Fund. Information provided to the Boards regarding the Gateway Fund is also applicable to the Master Portfolio, 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-Adviser and the approval of the Advisory Agreements. Prior to the Meeting, including at an in-person meeting in April 2019, 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-Adviser 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 2019. 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-Adviser 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 Funds Trust Board unanimously approved the continuation of the Gateway Fund Management 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 the Sub-Advisory Agreement, each for a one-year term. The Boards also determined that the compensation payable to Funds Management and the Sub-Adviser 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-Adviser under the Advisory Agreements. This information included a

46 Wells Fargo Small Company Value Fund Other information (unaudited)

description of the investment advisory services and Fund-level administrative services, 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-Adviser are a part, a summary of investments made in the business of WFAM, a summary of certain organizational and personnel changes involving Funds Management and the Sub-Adviser, and a description of Funds Management’s and the Sub-Adviser’s business continuity planning programs and of their approaches to data privacy and cybersecurity. The Boards received and reviewed information about Funds Management’s role as administrator of the Funds’ liquidity risk management 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 Boards evaluated the ability of Funds Management and the Sub-Adviser 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-Adviser. 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 Funds over various time periods ended December 31, 2018. 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 Gateway Fund (the “Universe”), and in comparison to the Gateway Fund’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 the performance Universe. The Funds Trust Board noted that the investment performance of the Gateway Fund (Administrator Class) was higher than or in range of the average investment performance of its Universe for the three-, five- and ten-year periods under review, but lower than the average investment performance of its Universe for the one-year period under review. The Funds Trust Board also noted that the investment performance of the Gateway Fund was higher than or in range of its benchmark, the Russell 2000® Value Index, for the three-, five- and ten-year periods under review, but lower than its benchmark for the one-year period under review.

The Master Trust Board took note of the investment performance of the Master Portfolio in the context of reviewing the investment performance of the Gateway Fund.

The Funds Trust Board received information concerning, and discussed factors contributing to, the underperformance of the Gateway Fund relative to the Universe and benchmark for the periods identified above. The Funds Trust 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 Gateway Fund’s investment performance.

The Funds Trust Board also received and considered information regarding the Gateway Fund’s net operating expense ratios, which include fees and expenses of the Master Portfolio, and their various components, including actual management fees assessed at the Gateway Fund and Master Portfolio levels, custodian and other non-management fees, and Rule 12b-1 and non-Rule 12b-1 shareholder service fees. The Funds Trust Board considered these ratios in comparison to the median ratios of funds in class-specific expense groups that were determined by Broadridge to be similar to the Gateway Fund (the “Groups”). The Funds Trust Board 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. Based on the Broadridge reports, the Funds Trust Board noted that the net operating expense ratios of the Gateway Fund were lower than the median net operating expense ratios of its expense Groups for each share class.

With respect to the Master Portfolio, the Master Trust Board reviewed 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 a corresponding expense Group.

The Boards took into account the Funds’ investment performance and expense 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 Funds Trust Board noted that Funds Management receives no advisory fees from the Gateway Fund as long as the Gateway Fund continues to invest all (or substantially all) of its assets in a single master portfolio. If the Gateway Fund were to change its investment structure so that it began investing in two or more master portfolios (a fund-of-funds), Funds Management would be entitled to receive an annual fee of 0.25% of the Gateway Fund’s average daily net assets for providing investment advisory services to the Gateway Fund, including allocating the Gateway Fund’s assets to the Master Portfolio.

Other information (unaudited) Wells Fargo Small Company Value Fund 47

The Funds Trust Board reviewed and considered the contractual fee rates that are payable by the Gateway Fund to Funds Management under the Gateway Fund Management Agreement, as well as the contractual fee rates payable by the Gateway Fund to Funds Management for class-level administrative services under a Class-Level Administration Agreement, which include, among other things, class-level transfer agency and sub-transfer agency costs (collectively, the “Management Rates”).

The Master Trust Board reviewed and considered the contractual investment advisory fee rate that is payable by the Master Portfolio to Funds Management for investment advisory services under the Master Portfolio Advisory Agreement (the “Advisory Agreement Rate”). The Master Trust Board also reviewed and considered the contractual investment sub-advisory fee rate that is payable by Funds Management to the Sub-Adviser for investment sub-advisory services (the “Sub-Advisory Agreement Rate”).

Among other information reviewed by the Funds Trust Board was a comparison of the Gateway Fund’s Management Rate, which include the advisory fees paid at the Master Portfolio level, with the average contractual investment management fee rates of funds in the expense Groups at a common asset level as well as transfer agency costs of the funds in the expense Groups. The Funds Trust Board noted that the Management Rates of the Gateway Fund were lower than or in range of the sum of these average rates for the Gateway Fund’s expense Groups for all share classes.

The Master Trust Board reviewed a comparison of the Advisory Agreement Rate of the Master Portfolio with those of other funds in the Master Portfolio’s expense Group at a common asset level. The Master Trust Board noted that the Advisory Agreement Rate of the Master Portfolio was lower than the median rate for the Master Portfolio’s expense Group.

The Master Trust Board 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-Adviser for sub-advisory services. In assessing the reasonableness of these amounts, the Master Trust Board 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-Adviser, and about Funds Management’s on-going oversight services. Given the affiliation between Funds Management and the Sub-Adviser, the Master Trust Board 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-Adviser to other types of clients with investment strategies similar to those of the 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 Funds Trust Board determined that the compensation payable to Funds Management under the Gateway Fund Management Agreement was reasonable, and the Master Trust Board determined that the compensation payable to Funds Management under the Master Portfolio Advisory Agreement and to the Sub-Adviser under the Sub-Advisory Agreement was 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-Adviser’s profitability information with respect to providing services to the Master Portfolio 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 the Boards 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

48 Wells Fargo Small Company Value Fund Other information (unaudited)

individual fund level, and the extent to which potential scale benefits are shared with shareholders. The Boards noted the existence of breakpoints in the Master Portfolio’s advisory fee structure and the Gateway Fund’s management fee structure, which operate generally to reduce the Funds’ expense ratios as the Funds grow in size. 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 each Fund, 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-Adviser

The Boards received and considered information regarding potential “fall-out” or ancillary benefits received by Funds Management and its affiliates, including the Sub-Adviser, 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-Adviser’s 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-Adviser, fees earned by Funds Management and the Sub-Adviser 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 the Sub-Adviser, 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 Gateway Fund Management 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 the Sub-Advisory Agreement for a one-year term. The Boards also determined that the compensation payable to Funds Management and the Sub-Adviser was reasonable.

For more information

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

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: 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 Fund. If this report is used for promotional purposes, distribution of the report must be accompanied or preceded by a current prospectus. Before investing, please consider the investment objectives, risks, charges, and expenses of the investment. For a current prospectus and, if available, a summary prospectus, containing this information, call1-800-222-8222 or visit the Fund’s website atwfam.com. Read the prospectus carefully before you invest or send money.

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

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

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

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

403200 07-19 A286/AR286 05-19

Annual Report

May 31, 2019

Wells Fargo Core Bond Fund

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

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

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

Reduce clutter. Save trees.

Sign up for electronic delivery of prospectuses and shareholder reports atwellsfargo.com/advantagedelivery

Contents

Letter to shareholders	2
Performance highlights	6
Fund expenses	10
Wells Fargo Core Bond Fund
Portfolio of investments	11
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	22
Report of independent registered public accounting firm	26
Wells Fargo Core Bond Portfolio
Portfolio of investments	27
Financial statements
Statement of assets and liabilities	50
Statement of operations	51
Statement of changes in net assets	52
Financial highlights	53
Notes to financial statements	54
Report of independent registered public accounting firm	58
Other information	59

The views expressed and any forward-looking statements are as of May 31, 2019, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Asset Management. Discussions of individual securities, or the markets generally, or any Wells Fargo Fund are not intended as individual recommendations. Future events or results may vary significantly from those expressed in any forward-looking statements. The views expressed are subject to change at any time in response to changing circumstances in the market. Wells Fargo Asset Management and the Fund disclaim any obligation to publicly update or revise any views expressed or forward-looking statements.

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

2 Wells Fargo Core Bond Fund Letter to shareholders (unaudited)

Andrew Owen

President

Wells Fargo Funds

Dear Shareholder:

We are pleased to offer you this annual report for the Wells Fargo Core Bond Fund for the 12-month period that ended May 31, 2019. Higher short-term interest rates, inflation concerns, trade tensions, and geopolitical events drove investment market volatility for much of 2018, particularly for international stocks. Early 2019 saw stocks and bonds gain with renewed business and investor confidence, but volatility returned late in the period as global growth slowed and geopolitical concerns persisted.

For the period, U.S. stocks, based on the S&P 500 Index,¹ gained 3.78% and international stocks, as measured by the MSCI ACWI ex USA Index (Net),² fell 6.26%. Based on the MSCI EM Index (Net),³ emerging market stocks fell 8.70%. Bond investors saw the Bloomberg Barclays U.S. Aggregate Bond Index⁴ add 6.40% while the Bloomberg Barclays Global Aggregate ex-USD Index⁵ rose 0.39%. The Bloomberg Barclays Municipal Bond Index⁶ added 6.40%, and the ICE BofAML U.S. High Yield Index⁷ was up 5.37%.

Results for investment indices reflected global concerns.

Global trade tensions escalated during the second quarter of 2018. A tit-for-tat tariff spat intensified between the U.S. and other governments. The U.S. Federal Reserve (Fed) raised the federal funds rate by 25 basis points (bps; 100 bps equal 1.00%) to a target range of between 1.75% and 2.00% in June. Market index results reflected the global concerns. The MSCI ACWI ex USA Index (Net) lost 2.61%, while the Bloomberg Barclays Global Aggregate ex-USD Index dropped 4.76%.

Not all news was bad. The U.S. Bureau of Economic Analysis reported second-quarter annualized gross domestic product (GDP) growth of 4.2%. Hiring improved. Unemployment declined. Consumer confidence and spending increased. The S&P 500 Index recorded a 3.43% second-quarter gain. Stocks of companies with smaller capitalizations did even better, as measured by the Russell 2000^® Index,⁸ adding 7.75%.

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

²  The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the U.S. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index.

³  The MSCI Emerging Markets (EM) Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of emerging markets. You cannot invest directly in an index.

⁴  The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S.-dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index.

⁵  The Bloomberg Barclays Global Aggregate ex-USD Index is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-income markets excluding the U.S.-dollar-denominated debt market. You cannot invest directly in an index.

⁶  The Bloomberg Barclays Municipal Bond Index is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. You cannot invest directly in an index.

⁷  The ICE BofAML U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2019. ICE Data Indices, LLC. All rights reserved.

⁸  The Russell 2000^® Index measures the performance of the 2,000 smallest companies in the Russell 3000^® Index, which represents approximately 8% of the total market capitalization of the Russell 3000^® Index. You cannot invest directly in an index.

Letter to shareholders (unaudited) Wells Fargo Core Bond Fund 3

Investors appeared to shake off lingering concerns during the third quarter.

Favorable third-quarter economic indicators and corporate earnings reports encouraged domestic stock investors. U.S. trade negotiations with Mexico and Canada progressed. The Conference Board Consumer Confidence Index^®9 reached its highest level in 18 years during September 2018. The Fed raised the federal funds rate by 25 bps to a target range of between 2.00% and 2.25% in September. For the quarter that ended September 30, 2018, the S&P 500 Index added 7.71%.

Investors in international markets were not as confident. Tensions between the U.S. and China increased. The U.S. imposed $200 billion in tariffs on Chinese goods. China reacted with $60 billion in tariffs on U.S. goods. Economic growth in China caused concern. The Bank of England (BoE) raised its monetary policy rate to 0.75% in August 2018. During the quarter, the MSCI ACWI ex USA Index (Net) gained 0.71%. The MSCI EM Index (Net) declined 1.09%. In fixed-income markets, U.S. bonds were flat, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index. The Bloomberg Barclays Global Aggregate ex-USD Index fell 1.74%.

Conflicting data unsettled markets during the fourth quarter.

November’s U.S. midterm elections shifted control of the House of Representatives from Republicans to Democrats, presaging potential partisan clashes. Third-quarter U.S. GDP was announced at an annualized 3.4% rate, lower than the second-quarter rate. Brexit efforts stalled ahead of the March 2019 deadline. The People’s Bank of China cut reserve requirement ratios, accelerated infrastructure spending, and cut taxes even as the value of the yuan declined to low levels last seen in 2008.

December’s S&P 500 Index performance was the worst since 1931. Globally,fixed-income investments fared better than stocks during the last two months of the year. The Fed increased the federal funds rate by 25 bps in December 2018 to a target range of between 2.25% and 2.50%.

The market climbs a wall of worry.

Investors entered 2019 with reasons to be concerned. A partial U.S. government shutdown driven by partisan policy disputes extended into January. Investment returns appeared to reaffirm the adage that markets climb a wall of worry. The S&P 500 Index gained 8.01% for the month of January, the best monthly performance in 30 years. Returns for the MSCI ACWI ex USA Index (Net), the Bloomberg Barclays U.S. Aggregate Bond Index, and the Bloomberg Barclays Global Aggregate ex-USD Index also were positive. The Fed indicated that it would pause its program of regular rate increases during 2019 as inflation remained low.

In February 2019, concerns over slowing global growth reemerged. The Bureau of Economic Analysis announced fourth-quarter 2018 GDP grew at an annualized 2.2% rate, down from levels of the prior two quarters. In a February report, the BoE forecast the slowest growth since the financial crisis for 2019. China and the U.S. continued to wrangle over trade issues.

By the end of March 2019, the combination of dovish Fed sentiment and consistent, if not spectacular, economic and business metrics reinforced investors’ confidence. Monthly job creation data regained momentum. Corporate profits, while lower than 2018’s lofty levels, remained solid. China announced a roughly $300 billion stimulus package through tax and fee cuts intended to reinvigorate economic growth.

December’s S&P 500 Index performance was the worst since 1931.

The S&P 500 Index gained 8.01% for the month of January, the best monthly performance in 30 years.

⁹  The Conference Board Consumer Confidence Index^® measures the degree of optimism on the state of the U.S. economy that consumers are expressing through their activities of saving and spending. You cannot invest directly in an index.

4 Wells Fargo Core Bond Fund Letter to shareholders (unaudited)

During April 2019, several broad-based U.S. equity indices reached or approached highs as investors drew confidence from favorable economic projections, sustained low inflation, and solid employment data. First-quarter GDP showed the economy grew at an annualized rate of 3.2% on improvement in business investment and exports. Favorable sentiment extended to foreign markets as the MSCI ACWI ex USA Index (Net) gained 2.64% and the MSCI EM Index (Net) added 2.11% for the month.

May 2019 presented investors with mixed signals in the economy, in the markets, and politically. In the U.S., partisan wrangling ramped up as Democrats and Republicans set their sights on 2020 presidential politics. In the U.K., the Brexit stalemate resulted in the resignation of Prime Minister Theresa May. The European Commission downgraded the 2019 growth forecast for the block of countries to 1.2%. The U.S. increased tariffs on products from China, China responded, and then talks broke down. Ending the month, equities, as measured by the MSCI ACWI (Net),¹⁰ dropped 5.93% while bonds, often considered a less risky investment, gained 1.04%, as measured by the Bloomberg Barclays Global Aggregate ex-USD Index.

Don’t let short-term uncertainty derail long-term investment goals.

Periods of investment uncertainty can present challenges, but experience has taught us that maintaining long-term investment goals can be an effective way to plan for the future. To help you create a sound strategy based on your personal goals and risk tolerance, Wells Fargo Funds offers more than 100 mutual funds spanning a wide range of asset classes and investment styles. Although diversification cannot guarantee an investment profit or prevent losses, we believe it can be an effective way to manage investment risk and potentially smooth out overall portfolio performance. We encourage investors to know their investments and to understand that appropriate levels of risk-taking may unlock opportunities.

Thank you for choosing to invest with Wells Fargo Funds. We appreciate your confidence in us and remain committed to helping you meet your financial needs.

Sincerely,

Andrew Owen

President

Wells Fargo Funds

For further information about your Fund, contact your investment professional, visit our website atwfam.com, or call us directly at1-800-222-8222.

¹⁰  The MSCI ACWI (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. You cannot invest directly in an index.

This page is intentionally left blank.

6 Wells Fargo Core Bond Fund¹ Performance highlights (unaudited)

Investment objective

The Fund seeks total return, consisting of income and capital appreciation.

Manager

Wells Fargo Funds Management, LLC

Subadviser for the affiliated master portfolio

Wells Capital Management Incorporated

Portfolio managers

Maulik Bhansali, CFA^®‡

Thomas O’Connor, CFA^®‡

Jarad Vasquez

Average annual total returns (%) as of May 31, 2019

		Including sales charge						Excluding sales charge						Expense ratios2 (%)
	Inception date	1 year		5 year		10 year		1 year		5 year		10 year		Gross		Net3
Class A (MBFAX)	10-31-2001		1.08		1.36		3.58		5.87		2.30		4.06		0.83		0.78
Class C (MBFCX)	10-31-2001		4.04		1.53		3.25		5.04		1.53		3.25		1.58		1.53
Class R (WTRRX)4	7-9-2010		–		–		–		5.61		2.04		3.76		1.08		1.03
Class R4 (MBFRX)5	11-30-2012		–		–		–		6.07		2.56		4.31		0.60		0.52
Class R6 (WTRIX)6	11-30-2012		–		–		–		6.31		2.72		4.45		0.45		0.37
Administrator Class (MNTRX)	6-30-1997		–		–		–		5.87		2.38		4.12		0.77		0.70
Institutional Class (MBFIX)	10-31-2001		–		–		–		6.18		2.65		4.40		0.50		0.42
Bloomberg Barclays U.S. Aggregate Bond Index7	–		–		–		–		6.40		2.70		3.83		–		–

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on fund distributions or the redemption of fund shares. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted, which assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website, wfam.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 4.50%. For Class C shares, the maximum contingent deferred sales charge is 1.00%. Performance including a contingent deferred sales charge assumes the sales charge for the corresponding time period. Class R, Class R4, Class R6, Administrator Class, and Institutional Class shares are sold without a front-end sales charge or contingent deferred sales charge.

Bond values fluctuate in response to the financial condition of individual issuers, general market and economic conditions, and changes in interest rates. Changes in market conditions and government policies may lead to periods of heightened volatility in the bond market and reduced liquidity for certain bonds held by the Fund. In general, when interest rates rise, bond values fall and investors may lose principal value. Interest rate changes and their impact on the Fund and its share price can be sudden and unpredictable. The use of derivatives may reduce returns and/or increase volatility. Certain investment strategies tend to increase the total risk of an investment (relative to the broader market). Securities issued by U.S. government agencies or government-sponsored entities may not be guaranteed by the U.S. Treasury. The Fund is exposed to foreign investment risk and mortgage- and asset-backed securities risk. Consult the Fund’s prospectus for additional information on these and other risks.

Please see footnotes on page 7.

Performance highlights (unaudited) Wells Fargo Core Bond Fund 7

Growth of $10,000 investment as of May 31, 2019⁸

^‡  CFA^® and Chartered Financial Analyst^® are trademarks owned by CFA Institute.

¹  The Fund is a gateway feeder fund that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with a substantially similar investment objective and substantially identical investment strategies. References to the investment activities of the Fund are intended to refer to the investment activities of the affiliated master portfolio in which it invests.

²  Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

³  The manager has contractually committed through September 30, 2019, to waive fees and/or reimburse expenses to the extent necessary to cap the expenses of each class after fee waivers at the amounts shown. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolio invests, and extraordinary expenses are excluded from the expense caps. Net expenses from the affiliated master portfolio are included in the expense cap. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Without this cap, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

⁴  Historical performance shown for Class R shares prior to their inception reflects the performance of Administrator Class shares, adjusted to reflect the higher expenses applicable to Class R shares.

⁵  Historical performance shown for Class R4 shares prior to their inception reflects the performance of Institutional Class shares, adjusted to reflect the higher expenses applicable to Class R4 shares.

⁶  Historical performance shown for Class R6 shares prior to their inception reflects the performance of Institutional Class shares and includes the higher expenses applicable to Institutional Class shares. If these expenses had not been included, returns for Class R6 shares would be higher.

⁷  The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar–denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index.

⁸  The chart compares the performance of Class A shares for the most recent ten years with the Bloomberg Barclays U.S. Aggregate Bond Index. The chart assumes a hypothetical $10,000 investment in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 4.50%.

⁹  The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock’s weight in the index proportionate to its market value. You cannot invest directly in an index.

¹⁰  The ten largest holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the securities of the affiliated master portfolio allocable to the Fund divided by the total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

¹¹  Amounts represent the portfolio allocation of the affiliated master portfolio which are calculated based on the total long-term investments of the affiliated master portfolio. These amounts are subject to change and may have changed since the date specified.

8 Wells Fargo Core Bond Fund Performance highlights (unaudited)

MANAGER’S DISCUSSION

Fund highlights

∎ The Fund underperformed its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, for the 12-month period that ended May 31, 2019.

∎ Security selection in credit and asset-backed securities (ABS), particularly within Federal Family Education Loan Program (FFELP) student loan ABS, detracted from performance, as did a small sector overweight to credit during the period.

∎ A sector overweight to ABS and commercial mortgage-backed securities (CMBS), driven by our enthusiasm for security selection opportunities in these sectors, was a contributor to performance.

The global economy and markets faced a range of issues.

Early during the period, the U.S. economy began to cool amid signals of a synchronized deceleration of global growth and weakness in China and parts of Europe. Despite this and with trade and political risks mounting, stocks rose to new highs, as market participants were keenly focused on a growing economy and monetary policy, with forecasts for rate hikes extending through 2020. Fixed-income markets also performed well, while rates trended somewhat higher, despite inflationary pressures remaining nonexistent.

Across the Pacific, President Donald Trump met with North Korean leader Kim Jong Un in Singapore as planned in the first-ever summit meeting between leaders of the contending nations. Meanwhile, The Bank of Japan (BOJ) tweaked its long-running monetary stimulus program in potentially a step toward normalization. On the trade front, as previously signaled and with the looming deadline for implementation, the Trump administration slapped tariffs on $200 billion in Chinese goods while China responded with duties of its own on $60 billion in U.S. goods.

In Europe, political risks were averted as Italy finalized its budget agreement with the European Commission, although Brexit negotiations stalled in Parliament despite the travails of Theresa May. The Turkish financial system fell under significant pressure during the summer months and the Turkish lira tumbled to new lows, exacerbating a broader slide in emerging markets. Parts of Europe are presently in recession, with the major centers of economic activity registering anemic growth.

Toward year-end, credit spreads began to widen despite solid reports of gross domestic product (GDP), earnings growth, and with the unemployment rate touching a 45-year low. Following the U.S. elections in November, Democrats seized control of the House of Representatives while Republicans held onto the Senate, in what was a national referendum on President Trump that drew a record number of voters to the polls. As anticipated, the U.S. Federal Reserve (Fed) unanimously decided to raise its key federal funds rate in December, the third hike of the year, and as it turns out, perhaps the last one for quite a while. Stocks plunged in December amid a ferocious flight to quality and following a refusal by President Trump to sign the Senate’s version of a short-term spending bill, the federal government partially shut down just prior to the Christmas holiday and remained shuttered for over a month.

As we moved into 2019, a more tepid Fed has completely reversed course, sounding off a more dovish tone. Stock and credit markets rebounded in spectacular fashion, with the S&P 500 Index⁹ posting its best January since 1987. The yield curve inverted somewhat during the first months of the year, perhaps a harbinger of the slowdown underway, a result of trade tensions between the U.S. and China. Futures markets indicated a rate cut in the intermediate term, an astounding reversal of conditions from those heading into year-end.

The return of volatility was short-lived, although these events set the stage for security selection opportunities during early 2019. Despite the reversal of stock prices and credit spreads amid the actions of Fed Chair Jay Powell and the Federal Open Market Committee, we believe that the conditions driving volatility remain firmly in place, with doubts surrounding resolution of trade and political risks, while the global economy continues to sputter. We look forward to employing our risk-constrained investment process in what could be very disorderly markets, laden with security price inefficiencies.

Please see footnotes on page 7.

Performance highlights (unaudited) Wells Fargo Core Bond Fund 9

Ten largest holdings (%) as of May 31, 201910
FNMA, 3.50%, 6-13-2049	5.26
U.S. Treasury Bond, 2.75%, 11-15-2047	2.11
U.S. Treasury Note, 2.75%, 9-20-2020	1.56
U.S. Treasury Note, 2.63%, 7-31-2020	1.55
U.S. Treasury Bond, 3.00%, 2-15-2048	1.55
U.S. Treasury Note, 2.50%, 2-28-2021	1.43
U.S. Treasury Note, 2.38%, 5-15-2029	1.34
U.S. Treasury Note, 1.63%, 2-15-2026	1.33
GNMA, 4.00%, 5-20-2049	1.33
U.S. Treasury Note, 2.13%, 2-29-2024	1.23

Portfolio allocation as of May 31, 2019¹¹

Portfolio positioning continues to be driven by our fundamental analysis and assessment of relative-value trading opportunities

We continue to favor ABS with our largest overweight because we view the core sectors of this market as possessing stable fundamentals. We have reduced our position somewhat to control our ABS exposure following its strong performance. We continue to find attractive fundamentals within the core subsectors of the market and relative-value opportunities in both the primary and secondary markets. We found opportunities for favorable security selection within the FFELP and the private student loan spaces.

During the period, we moved to an overweight position in agency mortgage-backed securities (MBS) from an underweight, seeing a healthy opportunity set emerge as market participants adjust to rapid shifts in the interest rate environment. Bottom-up security selection opportunities improved in higher-coupon Government National Mortgage Association securities, along with specified pools and collateralized mortgage obligations (CMOs). The MBS sector is a potential source of significant alpha given heightened interest rate volatility and following a pullback from the Fed, which had been a big buyer of MBS throughout the years of quantitative stimulus.

Based on our fundamental analysis and assessment of relative-value trading opportunities, we maintained a small overweight to credit and have been very close to neutral throughout the period. Although primary market volumes are off from last year, we anticipate a healthy new issuance calendar as a meaningful gateway to liquidity. Despite the tempered overall sector weight to credit, the portfolio is imbedded with dozens of security-level risk exposures, exploiting our view of pricing inefficiencies.

As always, the Fund strategy seeks to neutralize macro variables, including rates and currencies. Therefore, duration had a neutral effect on performance. Instead, the Fund seeks to capture relative value with bottom-up security selection, focused on inefficiently priced securities within our investment universe.

We believe fixed-income markets may provide opportunities in 2019.

Amid these adverse developments, markets have swiftly repriced, with Treasuries now pricing in a likelihood of multiple 25-basis-point (100 basis points equal 1.00%) rate cuts or the possibility of a smaller number of larger cuts within the next 12 months. Across the curve, Treasuries rallied in May at the fastest pace since the financial crisis, and equities had the second-worst May in over 50 years. Given that financial markets are pricing in a much different scenario than previously envisioned, market participants will need to assess if the recent economic weakness can moderate somewhat, mitigating recent deceleration and recessionary concerns. Trade headlines, which took an abrupt shift in May, could portend a more difficult period or could yet again trend toward resolution.

We believe fixed-income markets may provide superior security selection opportunities in 2019 and potentially a period of heightened volatility following upheaval late last year and amid the continued volatile interest rate environment. We will seek to add value through our bottom-up, active, relative-value investment management approach while maintaining a disciplined approach to risk management. We continue to focus on bottom-up security selection and intend to take advantage of relative-value dislocations as they arise. As always, we remain nimble and agile and stand ready to take advantage of security selection opportunities as they arise.

Please see footnotes on page 7.

10 Wells Fargo Core Bond Fund Fund expenses (unaudited)

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and contingent deferred sales charges (if any) on redemptions and (2) ongoing costs, including management fees, distribution (12b-1) and/or shareholder servicing fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the six-month period and held for the entire period from December 1, 2018 to May 31, 2019.

Actual expenses

The “Actual” line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the “Actual” line under the heading entitled “Expenses paid during period” for your applicable class of shares to estimate the expenses you paid on your account during this period.

Hypothetical example for comparison purposes

The “Hypothetical” line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) and contingent deferred sales charges. Therefore, the “Hypothetical” line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning account value 12-1-2018		Ending account value 5-31-2019		Expenses paid during the  period1,2		Annualized net expense ratio1
Class A
Actual	$	1,000.00	$	1,063.22	$	4.01		0.78	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.04	$	3.93		0.78	%
Class C
Actual	$	1,000.00	$	1,058.95	$	7.85		1.53	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.30	$	7.69		1.53	%
Class R
Actual	$	1,000.00	$	1,061.48	$	5.29		1.03	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,019.80	$	5.19		1.03	%
Class R4
Actual	$	1,000.00	$	1,064.21	$	2.68		0.52	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.34	$	2.62		0.52	%
Class R6
Actual	$	1,000.00	$	1,065.87	$	1.90		0.37	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.09	$	1.87		0.37	%
Administrator Class
Actual	$	1,000.00	$	1,063.22	$	3.60		0.70	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.44	$	3.53		0.70	%
Institutional Class
Actual	$	1,000.00	$	1,064.78	$	2.16		0.42	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.84	$	2.12		0.42	%

¹ Amounts reflect net expenses allocated from the affiliated Master Portfolio in which the Fund invests.

² Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one-half-year period).

Portfolio of investments—May 31, 2019 Wells Fargo Core Bond Fund 11

Security name	Value
Investment Companies: 100.40%
Affiliated Master Portfolio: 100.40%
Wells Fargo Core Bond Portfolio	$	5,440,706,153
Total Investment Companies (Cost $5,323,727,522)		5,440,706,153

Total investments in securities (Cost $5,323,727,522)	100.40	%		5,440,706,153
Other assets and liabilities, net	(0.40	)		(21,890,141	)
Total net assets	100.00	%	$	5,418,816,012

Transactions with the affiliated Master Portfolio were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolio			Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio		Interest allocated from affiliated Master Portfolio		Affiliated income allocated from affiliated Master Portfolio		Value, end of period		% of net assets
Wells Fargo Core Bond Portfolio		95	%		93	%	$	(17,410,516	)	$	182,530,737	$	170,926,243	$	2,009,973	$	5,440,706,153		100.40	%

The accompanying notes are an integral part of these financial statements.

12 Wells Fargo Core Bond Fund Statement of assets and liabilities—May 31, 2019

Assets
Investments in affiliated Master Portfolio, at value (cost $5,323,727,522)	$	5,440,706,153
Receivable for Fund shares sold		6,578,462
Receivable from manager		112,038
Prepaid expenses and other assets		35,246
Total assets		5,447,431,899
Liabilities
Payable for Fund shares redeemed		25,517,940
Dividends payable		2,112,242
Administration fees payable		304,339
Distribution fees payable		25,127
Accrued expenses and other liabilities		656,239
Total liabilities		28,615,887
Total net assets	$	5,418,816,012
NET ASSETS CONSIST OF
Paid-in capital	$	5,435,657,316
Total distributable loss		(16,841,304	)
Total net assets	$	5,418,816,012
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARE
Net assets – Class A	$	302,245,584
Shares outstanding – Class A1		22,766,174
Net asset value per share – Class A		$13.28
Maximum offering price per share – Class A2		$13.91
Net assets – Class C	$	34,493,565
Shares outstanding – Class C1		2,623,533
Net asset value per share – Class C		$13.15
Net assets – Class R	$	8,565,273
Shares outstanding – Class R1		660,949
Net asset value per share – Class R		$12.96
Net assets – Class R4	$	10,804,612
Share outstanding – Class R41		834,074
Net asset value per share – Class R4		$12.95
Net assets – Class R6	$	2,513,644,057
Shares outstanding – Class R61		194,157,918
Net asset value per share – Class R6		$12.95
Net assets – Administrator Class	$	205,825,349
Shares outstanding – Administrator Class1		15,882,064
Net asset value per share – Administrator Class		$12.96
Net assets – Institutional Class	$	2,343,237,572
Shares outstanding – Institutional Class1		181,051,411
Net asset value per share – Institutional Class		$12.94

¹  The Fund has an unlimited number of authorized shares.

²  Maximum offering price is computed as 100/95.50 of net asset value. On investments of $50,000 or more, the offering price is reduced.

The accompanying notes are an integral part of these financial statements.

Statement of operations—year ended May 31, 2019 Wells Fargo Core Bond Fund 13

Investment income
Interest allocated from affiliated Master Portfolio	$	170,926,243
Affiliated income allocated from affiliated Master Portfolio		2,009,973
Expenses allocated from affiliated Master Portfolio		(18,400,633	)
Total investment income		154,535,583
Expenses
Management fee		2,611,490
Administration fees
Class A		493,290
Class C		66,975
Class R		18,393
Class R4		9,017
Class R6		669,196
Administrator Class		264,161
Institutional Class		1,923,317
Shareholder servicing fees
Class A		770,765
Class C		104,649
Class R		28,499
Class R4		11,272
Administrator Class		653,486
Distribution fees
Class C		313,940
Class R		28,740
Custody and accounting fees		185,654
Professional fees		34,888
Registration fees		260,218
Shareholder report expenses		388,241
Trustees’ fees and expenses		21,324
Other fees and expenses		103,153
Total expenses		8,960,668
Less: Fee waivers and/or expense reimbursements		(3,942,997	)
Net expenses		5,017,671
Net investment income		149,517,912
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS
Net realized losses on securities transactions allocated from affiliated Master Portfolio		(17,410,516	)
Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio		182,530,737
Net realized and unrealized gains (losses) on investments		165,120,221
Net increase in net assets resulting from operations	$	314,638,133

The accompanying notes are an integral part of these financial statements.

14 Wells Fargo Core Bond Fund Statement of changes in net assets

	Year ended May 31, 2019						Year ended May 31, 20181
Operations
Net investment income				$	149,517,912					$	109,290,228
Net realized losses on investments					(17,410,516	)					(51,477,064	)
Net change in unrealized gains (losses) on investments					182,530,737						(93,493,410	)
Net increase (decrease) in net assets resulting from operations					314,638,133						(35,680,246	)
Distributions to shareholders from net investment income and net realized gains
Class A					(7,707,522	)					(6,146,453	)
Class C					(731,013	)					(561,310	)
Class R					(258,514	)					(203,058	)
Class R4					(310,999	)					(706,139	)
Class R6					(65,026,382	)					(24,689,238	)
Administrator Class					(6,822,022	)					(6,023,458	)
Institutional Class					(68,704,939	)					(70,984,919	)
Total distributions to shareholders					(149,561,391	)					(109,314,575	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		5,814,230			74,731,899			5,948,905			78,111,325
Class C		504,131			6,445,467			660,100			8,585,693
Class R		192,684			2,418,555			314,720			4,024,861
Class R4		232,839			2,916,548			636,388			8,152,388
Class R6		134,743,486			1,690,762,705			65,439,055			837,238,882
Administrator Class		7,054,319			87,991,112			6,358,669			81,613,591
Institutional Class		62,642,714			786,483,803			109,824,335			1,402,149,298
					2,651,750,089						2,419,876,038
Reinvestment of distributions
Class A		517,112			6,661,968			406,222			5,315,016
Class C		27,587			351,123			23,283			301,658
Class R		2,650			33,322			2,181			27,892
Class R4		24,725			310,703			51,321			658,202
Class R6		4,654,160			58,457,025			1,705,109			21,706,594
Administrator Class		528,027			6,640,587			457,541			5,851,867
Institutional Class		4,468,964			56,130,059			4,338,888			55,292,897
					128,584,787						89,154,126
Payment for shares redeemed
Class A		(8,462,820	)		(108,862,680	)		(8,713,141	)		(114,094,388	)
Class C		(1,664,172	)		(21,223,278	)		(1,437,868	)		(18,650,713	)
Class R		(508,524	)		(6,425,841	)		(414,247	)		(5,296,848	)
Class R4		(354,232	)		(4,433,486	)		(3,109,817	)		(39,224,105	)
Class R6		(53,758,496	)		(673,745,873	)		(20,533,471	)		(261,667,805	)
Administrator Class		(13,129,627	)		(165,688,347	)		(14,295,796	)		(183,753,304	)
Institutional Class		(150,751,229	)		(1,886,370,187	)		(95,212,522	)		(1,214,837,005	)
					(2,866,749,692	)					(1,837,524,168	)
Net increase (decrease) in net assets resulting from capital share transactions					(86,414,816	)					671,505,996
Total increase in net assets					78,661,926						526,511,175
Net assets
Beginning of period					5,340,154,086						4,813,642,911
End of period				$	5,418,816,012					$	5,340,154,086

¹  Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Overdistributed net investment income at May 31, 2018 was $140,624. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 7,Distributions to Shareholders, in the notes to the financial statements.

The accompanying notes are an integral part of these financial statements.

Financial highlights Wells Fargo Core Bond Fund 15

(For a share outstanding throughout each period)

	Year ended May 31
CLASS A	2019			2018			2017			2016			2015
Net asset value, beginning of period		$12.86			$13.22			$13.28			$13.16			$12.98
Net investment income		0.32			0.24			0.19	1		0.19	1		0.18
Net realized and unrealized gains (losses) on investments		0.42			(0.36	)		0.00			0.12			0.19
Total from investment operations		0.74			(0.12	)		0.19			0.31			0.37
Distributions to shareholders from
Net investment income		(0.32	)		(0.24	)		(0.19	)		(0.19	)		(0.19	)
Net realized gains		0.00			0.00			(0.06	)		0.00			0.00
Total distributions to shareholders		(0.32	)		(0.24	)		(0.25	)		(0.19	)		(0.19	)
Net asset value, end of period		$13.28			$12.86			$13.22			$13.28			$13.16
Total return2		5.87	%		(0.96	)%		1.48	%		2.36	%		2.85	%
Ratios to average net assets (annualized)
Gross expenses3		0.83	%		0.83	%		0.83	%		0.83	%		0.83	%
Net expenses3		0.78	%		0.78	%		0.78	%		0.78	%		0.78	%
Net investment income3		2.50	%		1.79	%		1.40	%		1.43	%		1.39	%
Supplemental data
Portfolio turnover rate4		577	%		542	%		614	%		667	%		586	%
Net assets, end of period (000s omitted)		$302,246			$320,208			$360,276			$699,273			$506,043

¹  Calculated based upon average shares outstanding

²  Total return calculations do not include any sales charges.

³  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.35	%
Year ended May 31, 2018	0.35	%
Year ended May 31, 2017	0.35	%
Year ended May 31, 2016	0.35	%
Year ended May 31, 2015	0.35	%

⁴  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

The accompanying notes are an integral part of these financial statements.

16 Wells Fargo Core Bond Fund Financial highlights

(For a share outstanding throughout each period)

	Year ended May 31
CLASS C	2019			2018			2017			2016			2015
Net asset value, beginning of period		$12.74			$13.09			$13.15			$13.03			$12.86
Net investment income		0.23			0.14			0.09			0.09			0.09
Net realized and unrealized gains (losses) on investments		0.40			(0.35	)		0.00			0.12			0.17
Total from investment operations		0.63			(0.21	)		0.09			0.21			0.26
Distributions to shareholders from
Net investment income		(0.22	)		(0.14	)		(0.09	)		(0.09	)		(0.09	)
Net realized gains		0.00			0.00			(0.06	)		0.00			0.00
Total distributions to shareholders		(0.22	)		(0.14	)		(0.15	)		(0.09	)		(0.09	)
Net asset value, end of period		$13.15			$12.74			$13.09			$13.15			$13.03
Total return1		5.04	%		(1.65	)%		0.72	%		1.61	%		2.02	%
Ratios to average net assets (annualized)
Gross expenses2		1.58	%		1.58	%		1.58	%		1.58	%		1.58	%
Net expenses2		1.53	%		1.53	%		1.53	%		1.53	%		1.53	%
Net investment income2		1.75	%		1.04	%		0.68	%		0.68	%		0.65	%
Supplemental data
Portfolio turnover rate3		577	%		542	%		614	%		667	%		586	%
Net assets, end of period (000s omitted)		$34,494			$47,843			$59,049			$66,612			$72,798

¹  Total return calculations do not include any sales charges.

²  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.35	%
Year ended May 31, 2018	0.35	%
Year ended May 31, 2017	0.35	%
Year ended May 31, 2016	0.35	%
Year ended May 31, 2015	0.35	%

³  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

The accompanying notes are an integral part of these financial statements.

Financial highlights Wells Fargo Core Bond Fund 17

(For a share outstanding throughout each period)

	Year ended May 31
CLASS R	2019			2018			2017			2016			2015
Net asset value, beginning of period		$12.55			$12.90			$12.97			$12.85			$12.67
Net investment income		0.28	1		0.20	1		0.15	1		0.15	1		0.15	1
Net realized and unrealized gains (losses) on investments		0.41			(0.35	)		(0.01	)		0.12			0.18
Total from investment operations		0.69			(0.15	)		0.14			0.27			0.33
Distributions to shareholders from
Net investment income		(0.28	)		(0.20	)		(0.15	)		(0.15	)		(0.15	)
Net realized gains		0.00			0.00			(0.06	)		0.00			0.00
Total distributions to shareholders		(0.28	)		(0.20	)		(0.21	)		(0.15	)		(0.15	)
Net asset value, end of period		$12.96			$12.55			$12.90			$12.97			$12.85
Total return		5.61	%		(1.19	)%		1.15	%		2.13	%		2.63	%
Ratios to average net assets (annualized)
Gross expenses2		1.07	%		1.08	%		1.08	%		1.08	%		1.08	%
Net expenses2		1.03	%		1.03	%		1.03	%		1.03	%		1.03	%
Net investment income2		2.25	%		1.54	%		1.18	%		1.18	%		1.15	%
Supplemental data
Portfolio turnover rate3		577	%		542	%		614	%		667	%		586	%
Net assets, end of period (000s omitted)		$8,565			$12,230			$13,826			$17,985			$16,411

¹  Calculated based upon average shared outstanding

²  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.35	%
Year ended May 31, 2018	0.35	%
Year ended May 31, 2017	0.35	%
Year ended May 31, 2016	0.35	%
Year ended May 31, 2015	0.35	%

³  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

The accompanying notes are an integral part of these financial statements.

18 Wells Fargo Core Bond Fund Financial highlights

(For a share outstanding throughout each period)

	Year ended May 31
CLASS R4	2019			2018			2017			2016			2015
Net asset value, beginning of period		$12.55			$12.89			$12.95			$12.83			$12.66
Net investment income		0.35			0.26	1		0.22			0.22			0.21
Net realized and unrealized gains (losses) on investments		0.40			(0.34	)		0.00			0.12			0.18
Total from investment operations		0.75			(0.08	)		0.22			0.34			0.39
Distributions to shareholders from
Net investment income		(0.35	)		(0.26	)		(0.22	)		(0.22	)		(0.22	)
Net realized gains		0.00			0.00			(0.06	)		0.00			0.00
Total distributions to shareholders		(0.35	)		(0.26	)		(0.28	)		(0.22	)		(0.22	)
Net asset value, end of period		$12.95			$12.55			$12.89			$12.95			$12.83
Total return		6.07	%		(0.61	)%		1.74	%		2.65	%		3.07	%
Ratios to average net assets (annualized)
Gross expenses2		0.60	%		0.60	%		0.60	%		0.60	%		0.59	%
Net expenses2		0.52	%		0.52	%		0.52	%		0.52	%		0.52	%
Net investment income2		2.76	%		2.01	%		1.70	%		1.69	%		1.53	%
Supplemental data
Portfolio turnover rate3		577	%		542	%		614	%		667	%		586	%
Net assets, end of period (000s omitted)		$10,805			$11,680			$43,205			$41,272			$49,261

¹  Calculated based upon average shared outstanding

²  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.35	%
Year ended May 31, 2018	0.35	%
Year ended May 31, 2017	0.35	%
Year ended May 31, 2016	0.35	%
Year ended May 31, 2015	0.35	%

³  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

The accompanying notes are an integral part of these financial statements.

Financial highlights Wells Fargo Core Bond Fund 19

(For a share outstanding throughout each period)

	Year ended May 31
CLASS R6	2019			2018			2017			2016			2015
Net asset value, beginning of period		$12.54			$12.89			$12.95			$12.83			$12.66
Net investment income		0.37			0.28			0.24			0.24			0.23
Net realized and unrealized gains (losses) on investments		0.41			(0.35	)		0.00			0.12			0.17
Total from investment operations		0.78			(0.07	)		0.24			0.36			0.40
Distributions to shareholders from
Net investment income		(0.37	)		(0.28	)		(0.24	)		(0.24	)		(0.23	)
Net realized gains		0.00			0.00			(0.06	)		0.00			0.00
Total distributions to shareholders		(0.37	)		(0.28	)		(0.30	)		(0.24	)		(0.23	)
Net asset value, end of period		$12.95			$12.54			$12.89			$12.95			$12.83
Total return		6.31	%		(0.54	)%		1.90	%		2.81	%		3.23	%
Ratios to average net assets (annualized)
Gross expenses1		0.45	%		0.45	%		0.45	%		0.45	%		0.45	%
Net expenses1		0.37	%		0.37	%		0.37	%		0.37	%		0.37	%
Net investment income1		2.92	%		2.24	%		1.87	%		1.84	%		1.76	%
Supplemental data
Portfolio turnover rate2		577	%		542	%		614	%		667	%		586	%
Net assets, end of period (000s omitted)		$2,513,644			$1,360,847			$797,896			$450,791			$726,165

¹  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.35	%
Year ended May 31, 2018	0.35	%
Year ended May 31, 2017	0.35	%
Year ended May 31, 2016	0.35	%
Year ended May 31, 2015	0.35	%

²  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

The accompanying notes are an integral part of these financial statements.

20 Wells Fargo Core Bond Fund Financial highlights

(For a share outstanding throughout each period)

	Year ended May 31
ADMINISTRATOR CLASS	2019			2018			2017			2016			2015
Net asset value, beginning of period		$12.56			$12.90			$12.97			$12.85			$12.67
Net investment income		0.33	1		0.24	1		0.21			0.19			0.19	1
Net realized and unrealized gains (losses) on investments		0.40			(0.34	)		(0.02	)		0.12			0.18
Total from investment operations		0.73			(0.10	)		0.19			0.31			0.37
Distributions to shareholders from
Net investment income		(0.33	)		(0.24	)		(0.20	)		(0.19	)		(0.19	)
Net realized gains		0.00			0.00			(0.06	)		0.00			0.00
Total distributions to shareholders		(0.33	)		(0.24	)		(0.26	)		(0.19	)		(0.19	)
Net asset value, end of period		$12.96			$12.56			$12.90			$12.97			$12.85
Total return		5.87	%		(0.79	)%		1.48	%		2.47	%		2.96	%
Ratios to average net assets (annualized)
Gross expenses2		0.76	%		0.77	%		0.77	%		0.77	%		0.77	%
Net expenses2		0.70	%		0.70	%		0.70	%		0.70	%		0.70	%
Net investment income2		2.58	%		1.86	%		1.50	%		1.51	%		1.47	%
Supplemental data
Portfolio turnover rate3		577	%		542	%		614	%		667	%		586	%
Net assets, end of period (000s omitted)		$205,825			$269,057			$373,042			$529,530			$487,981

¹  Calculated based upon average shared outstanding

²  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.35	%
Year ended May 31, 2018	0.35	%
Year ended May 31, 2017	0.35	%
Year ended May 31, 2016	0.35	%
Year ended May 31, 2015	0.35	%

³  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

The accompanying notes are an integral part of these financial statements.

Financial highlights Wells Fargo Core Bond Fund 21

(For a share outstanding throughout each period)

	Year ended May 31
INSTITUTIONAL CLASS	2019			2018			2017			2016			2015
Net asset value, beginning of period		$12.54			$12.88			$12.95			$12.83			$12.66
Net investment income		0.36			0.28			0.23			0.23			0.22
Net realized and unrealized gains (losses) on investments		0.40			(0.34	)		(0.01	)		0.12			0.18
Total from investment operations		0.76			(0.06	)		0.22			0.35			0.40
Distributions to shareholders from
Net investment income		(0.36	)		(0.28	)		(0.23	)		(0.23	)		(0.23	)
Net realized gains		0.00			0.00			(0.06	)		0.00			0.00
Total distributions to shareholders		(0.36	)		(0.28	)		(0.29	)		(0.23	)		(0.23	)
Net asset value, end of period		$12.94			$12.54			$12.88			$12.95			$12.83
Total return		6.18	%		(0.51	)%		1.77	%		2.76	%		3.17	%
Ratios to average net assets (annualized)
Gross expenses1		0.50	%		0.50	%		0.50	%		0.50	%		0.50	%
Net expenses1		0.42	%		0.42	%		0.42	%		0.42	%		0.42	%
Net investment income1		2.86	%		2.16	%		1.82	%		1.79	%		1.75	%
Supplemental data
Portfolio turnover rate2		577	%		542	%		614	%		667	%		586	%
Net assets, end of period (000s omitted)		$2,343,238			$3,318,290			$3,166,348			$2,102,073			$1,360,398

¹  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.35	%
Year ended May 31, 2018	0.35	%
Year ended May 31, 2017	0.35	%
Year ended May 31, 2016	0.35	%
Year ended May 31, 2015	0.35	%

²  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

The accompanying notes are an integral part of these financial statements.

22 Wells Fargo Core Bond Fund Notes to financial statements

1. ORGANIZATION

Wells Fargo Funds Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As an investment company, the Trust follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statements report on the Wells Fargo Core Bond Fund (the “Fund”) which is a diversified series of the Trust.

The Fund is a feeder fund in a master-feeder structure that invests substantially all of its assets in a single master portfolio with a substantially identical investment objective and substantially similar investment strategies. The Fund seeks to achieve its investment objective by investing substantially all of its assets in a separate diversified portfolio (the “affiliated Master Portfolio”) of Wells Fargo Master Trust, a registered open-end management investment company. The affiliated Master Portfolio directly acquires portfolio securities and the Fund acquires an indirect interest in those securities. The Fund accounts for its investment in the affiliated Master Portfolio as a partnership investment and records on a daily basis its share of the affiliated Master Portfolio’s income, expense and realized and unrealized gains and losses. The financial statements of the affiliated Master Portfolio for the year ended May 31, 2019 are included in this report and should be read in conjunction with the Fund’s financial statements. As of May 31, 2019, the Fund owned 93% of Wells Fargo Core Bond Portfolio.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the Fund, are in conformity with U.S. generally accepted accounting principles which require management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Fund may deviate from this calculation time under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of the affiliated Master Portfolio’s net assets, which are also valued daily. Securities held in the affiliated Master Portfolio are valued as discussed in the Notes to Financial Statements of the affiliated Master Portfolio, which are included elsewhere in this report.

Investment transactions, income and expenses

Investments in the affiliated Master Portfolio are recorded on a trade basis. The Fund records daily its proportionate share of the affiliated Master Portfolio’s interest income, expenses and realized and unrealized gains or losses. The Fund also accrues its own expenses.

Distributions to shareholders

Distributions to shareholders from net investment income are declared daily and paid monthly. Distributions from net realized gains, if any, are recorded on the ex-dividend date and paid at least annually. Such distributions are determined in accordance with income tax regulations and may differ from U.S. generally accepted accounting principles. Dividend sources are estimated at the time of declaration. The tax character of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributions made prior to the Fund’s fiscal year end may be categorized as a tax return of capital at year end.

Federal and other taxes

The Fund intends to continue to qualify as a regulated investment company by distributing substantially all of its investment company taxable income and any net realized capital gains (after reduction for capital loss carryforwards) sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provision for federal income taxes was required.

The Fund’s income and federal excise tax returns and all financial records supporting those returns for the prior three fiscal years are subject to examination by the federal and Delaware revenue authorities. Management has analyzed the Fund’s tax positions taken on federal, state, and foreign tax returns for all open tax years and does not believe that there are any uncertain tax positions that require recognition of a tax liability.

Notes to financial statements Wells Fargo Core Bond Fund 23

As of May 31, 2019, the aggregate cost of all investments for federal income tax purposes was $5,327,126,703 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	113,579,450
Gross unrealized losses		0
Net unrealized gains	$	113,579,450

As of May 31, 2019, the Fund had capital loss carryforwards which consist of $66,843,700 in short-term capital losses and $63,431,926 in long-term capital losses.

Class allocations

The separate classes of shares offered by the Fund differ principally in applicable sales charges, distribution, shareholder servicing, and administration fees. Class specific expenses are charged directly to that share class. Investment income, common expenses, and realized and unrealized gains (losses) on investments are allocated daily to each class of shares based on the relative proportion of net assets of each class.

3. FAIR VALUATION MEASUREMENTS

At May 31, 2019, the affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective and the value of the affiliated Master Portfolio was as follows:

Affiliated Master Portfolio	Investment objective	Value of affiliated Master Portfolio
Wells Fargo Core Bond Portfolio	Seeks total return, consisting of income and capital appreciation	$	5,440,706,153

The affiliated Master Portfolio does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.

4. TRANSACTIONS WITH AFFILIATES

Management fee

Wells Fargo Funds Management, LLC (“Funds Management”), an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”), is the manager of the Fund and provides advisory and fund-level administrative services under an investment management agreement. Under the investment management agreement, Funds Management is responsible for, among other services, implementing the investment objectives and strategies of the Fund and providing fund-level administrative services in connection with the Fund’s operations. As long as the Fund continues to invest substantially all of its assets in a single affiliated Master Portfolio, the Fund pays Funds Management an investment management fee only for fund-level administrative services at the following annual rate based on the Fund’s average daily net assets:

Average daily net assets	Management fee
First $5 billion		0.05	%
Next $5 billion		0.04
Over $10 billion		0.03

For the year ended May 31, 2019, the management fee was equivalent to an annual rate of 0.05% of the Fund’s average daily net assets.

Funds Management also serves as the adviser to the affiliated Master Portfolio and is entitled to receive a fee from the affiliated Master Portfolio for those services.

24 Wells Fargo Core Bond Fund Notes to financial statements

Administration fees

Under a class-level administration agreement, Funds Management provides class-level administrative services to the Fund, which includes paying fees and expenses for services provided by the transfer agent, sub-transfer agents, omnibus account servicers and record-keepers. As compensation for its services under the class-level administration agreement, Funds Management receives an annual fee which is calculated based on the average daily net assets of each class as follows:

	Class-level administration fee
Class A, Class C, Class R		0.16	%
Class R4, Institutional Class		0.08
Class R6		0.03
Administrator Class		0.10

Funds Management has contractually waived and/or reimbursed management and administration fees to the extent necessary to maintain certain net operating expense ratios for the Fund. When each class of the Fund has exceeded its expense cap, Funds Management has waived fees and/or reimbursed expenses from fund level expenses on a proportionate basis and then from class specific expenses. When only certain classes exceed their expense caps, waivers and/or reimbursements are applied against class specific expenses before fund level expenses. Net expenses from the affiliated Master Portfolio are included in the expense caps. Funds Management has committed through September 30, 2019 to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’s expenses at 0.78% for Class A shares, 1.53% for Class C shares, 1.03% for Class R shares, 0.52% for Class R4 shares, 0.37% for Class R6 shares, 0.70% for Administrator Class shares, and 0.42% for Institutional Class shares. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees.

Distribution fees

The Trust has adopted a distribution plan for Class C and Class R shares of the Fund pursuant to Rule 12b-1 under the 1940 Act. Distribution fees are charged to Class C and Class R shares and paid to Wells Fargo Funds Distributor, LLC (“Funds Distributor”), the principal underwriter, at an annual rate of 0.75% of the average daily net assets of Class C shares and 0.25% of the average daily net assets of Class R shares.

In addition, Funds Distributor is entitled to receive the front-end sales charge from the purchase of Class A shares and a contingent deferred sales charge on the redemption of certain Class A shares. Funds Distributor is also entitled to receive the contingent deferred sales charges from redemptions of Class C shares. For the year ended May 31, 2019, Funds Distributor received $4,814 from the sale of Class A shares. Funds Distributor did not receive any contingent deferred sales charges from Class A or Class C shares for the year ended May 31, 2019.

Shareholder servicing fees

The Trust has entered into contracts with one or more shareholder servicing agents, whereby Class A, Class C, Class R, and Administrator Class of the Fund are charged a fee at an annual rate of 0.25% of the average daily net assets of each respective class. Class R4 is charged a fee at an annual rate of 0.10% of its average daily net assets. A portion of these total shareholder servicing fees were paid to affiliates of Wells Fargo.

5. INVESTMENT PORTFOLIO TRANSACTIONS

The Fund seeks to achieve its investment objective by investing substantially all of its assets in a single affiliated Master Portfolio. Purchases and sales have been calculated by multiplying the Fund’s ownership percentage of the affiliated Master Portfolio by the affiliated Master Portfolio’s purchases and sales. Purchases and sales of investments, excluding short-term securities, for the year ended May 31, 2019 were as follows:

Purchases at cost		Sales proceeds
U.S. government	Non-U.S. government	U.S. government	Non-U.S. government
$28,336,904,435	$3,924,079,249	$28,111,421,704	$3,918,741,933

Notes to financial statements Wells Fargo Core Bond Fund 25

6. BANK BORROWINGS

The Trust (excluding the money market funds), Wells Fargo Master Trust and Wells Fargo Variable Trust are parties to a $280,000,000 revolving credit agreement whereby the Fund is permitted to use bank borrowings for temporary or emergency purposes, such as to fund shareholder redemption requests. Interest under the credit agreement is charged to the Fund based on a borrowing rate equal to the higher of the Federal Funds rate in effect on that day plus 1.25% or the overnight LIBOR rate in effect on that day plus 1.25%. In addition, an annual commitment fee equal to 0.25% of the unused balance is allocated to each participating fund.

For the year ended May 31, 2019, there were no borrowings by the Fund under the agreement.

7. DISTRIBUTIONS TO SHAREHOLDERS

The tax character of distributions paid during the years ended May 31, 2019 and May 31, 2018 were as follows:

	Year ended May 31
	2019		2018
Ordinary income	$	149,561,391	$	109,314,575

As of May 31, 2019, the components of distributable earnings on a tax basis were as follows:

Undistributed ordinary income	Unrealized gains	Capital loss carryforward
$2,068,662	$113,579,450	$(130,275,626)

Effective for all filings after November 4, 2018, the Securities and Exchange Commission eliminated the requirement to separately state the components of distributions to shareholders under U.S. generally accepted accounting principles. The amounts of distributions to shareholders for the year ended May 31, 2018 were as follows:

	Net investment income
Class A		$6,146,453
Class C		561,310
Class R		203,058
Class R4		706,139
Class R6		24,689,238
Administrator Class		6,023,458
Institutional Class		70,984,919

8. INDEMNIFICATION

Under the Trust’s organizational documents, the officers and Trustees have been granted certain indemnification rights against certain liabilities that may arise out of performance of their duties to the Trust. Additionally, in the normal course of business, the Trust may enter into contracts with service providers that contain a variety of indemnification clauses. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the Fund and, therefore, cannot be estimated.

9. NEW ACCOUNTING PRONOUNCEMENT

In August 2018, FASB issued Accounting Standards Update (“ASU”) No. 2018-13, Fair Value Measurement (Topic 820)Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement. ASU 2018-13 updates the disclosure requirements for fair value measurements by modifying or removing certain disclosures and adding certain new disclosures. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Early adoption is permitted. Management has adopted the removal and modification of disclosures early, as permitted, and will adopt the additional new disclosures at the effective date.

26 Wells Fargo Core Bond Fund Report of independent registered public accounting firm

TO THE SHAREHOLDERS OF THE FUND AND BOARD OF TRUSTEES OF WELLS FARGO FUNDS TRUST:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Wells Fargo Core Bond Fund (the Fund), one of the funds constituting Wells Fargo Funds Trust, including the portfolio of investments, as of May 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of May 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of May 31, 2019, by correspondence with the transfer agent. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

We have not been able to determine the specific year that we began serving as the auditor of one or more Wells Fargo Funds investment companies; however we are aware that we have served as the auditor of one or more Wells Fargo Funds investment companies since at least 1955.

Boston, Massachusetts

July 26, 2019

Portfolio of investments—May 31, 2019 Wells Fargo Core Bond Portfolio 27

Security name	Interest rate			Maturity date		Principal		Value
Agency Securities: 35.93%
FHLMC (1 Month LIBOR +0.30%) ±		2.74	%		8-15-2040	$	7,772,185	$	7,779,180
FHLMC		3.00			5-1-2047		2,314,921		2,322,346
FHLMC		3.00			10-15-2047		20,843,156		21,073,723
FHLMC		3.00			11-15-2047		10,630,330		10,803,519
FHLMC		3.00			6-15-2048		17,807,264		17,870,157
FHLMC		3.50			5-1-2046		12,521,125		12,976,534
FHLMC		3.50			6-1-2046		2,724,710		2,823,810
FHLMC		3.50			2-1-2048		3,454,326		3,549,475
FHLMC		3.50			2-1-2048		20,590,118		21,334,919
FHLMC		3.50			9-1-2048		2,558,774		2,619,746
FHLMC		3.50			11-1-2048		2,324,448		2,379,836
FHLMC (12 Month LIBOR +1.64%) ±		3.86			7-1-2048		3,203,203		3,334,327
FHLMC		4.00			1-1-2035		221,993		233,609
FHLMC		4.00			1-1-2036		352,087		370,514
FHLMC		4.00			10-1-2036		2,252,540		2,370,414
FHLMC		4.00			3-1-2037		536,668		561,431
FHLMC		4.00			3-1-2037		290,226		304,600
FHLMC		4.00			3-1-2037		312,360		328,024
FHLMC		4.00			4-1-2037		2,266,878		2,371,488
FHLMC		4.00			4-1-2037		2,910,994		3,063,144
FHLMC		4.00			10-1-2048		1,128,211		1,164,905
FHLMC		4.00			11-1-2048		491,604		507,119
FHLMC		4.00			5-1-2049		3,475,006		3,520,091
FHLMC		4.50			6-1-2039		255,814		280,057
FHLMC		4.50			7-1-2039		278,358		304,788
FHLMC		5.00			6-1-2044		3,209,000		3,505,463
FHLMC		5.00			5-1-2048		11,800,708		12,832,381
FHLMC		6.50			4-1-2021		273		275
FHLMC Series 1590 Class IA (1 Month LIBOR +1.05%) ±		3.49			10-15-2023		12,875		13,064
FHLMC Series 1897 Class K		7.00			9-15-2026		463		507
FHLMC Series 1935 Class FL (1 Month LIBOR +0.70%) ±		3.14			2-15-2027		1,523		1,538
FHLMC Series 2423 Class MC		7.00			3-15-2032		9,653		11,047
FHLMC Series 264 Class 30		3.00			7-15-2042		17,947,720		18,167,633
FHLMC Series 356 Class 300		3.00			9-15-2047		4,724,209		4,766,917
FHLMC Series 4705 Class A		4.50			9-15-2042		6,879,771		7,356,358
FHLMC Series 4763 Class CA		3.00			9-15-2038		1,903,478		1,959,254
FHLMC Series 4767 Class KA		3.00			3-15-2048		9,510,752		9,740,875
FHLMC Series 4786 Class DP		4.50			7-15-2042		5,321,458		5,487,563
FHLMC Series 4787 Class AK		3.00			5-15-2048		15,120,899		15,162,545
FHLMC Series 4796 Class AK		3.00			5-15-2048		18,818,508		18,870,338
FNMA		1.50			4-25-2043		1,829,865		1,720,545
FNMA (1 Month LIBOR +0.25%) ±		2.73			11-25-2048		12,726,690		12,642,706
FNMA (1 Month LIBOR +0.35%) ±		2.78			5-25-2049		7,637,601		7,622,310
FNMA (1 Month LIBOR +0.40%) ±		2.90			4-25-2059		4,776,474		4,768,354
FNMA (1 Month LIBOR +0.45%) ±		2.93			10-25-2046		15,495,075		15,509,602
FNMA (12 Month LIBOR +1.60%) ±		2.95			8-1-2047		4,031,458		4,104,842
FNMA (a)		3.00			1-1-2049		7,964,000		7,989,215
FNMA		3.00			6-1-2049		6,273,857		6,270,916
FNMA %%		3.00			6-13-2049		6,800,000		6,830,029
FNMA (12 Month LIBOR +1.62%) ±		3.13			3-1-2047		5,602,056		5,721,342

The accompanying notes are an integral part of these financial statements.

28 Wells Fargo Core Bond Portfolio Portfolio of investments—May 31, 2019

Security name	Interest rate			Maturity date		Principal		Value
Agency Securities(continued)
FNMA		3.50	%		9-1-2033	$	831,583	$	860,543
FNMA		3.50			8-1-2034		1,866,314		1,931,293
FNMA		3.50			5-1-2036		7,294,506		7,548,155
FNMA		3.50			9-1-2036		1,211,911		1,254,104
FNMA		3.50			12-1-2036		8,042,566		8,322,256
FNMA		3.50			5-1-2042		18,944,209		19,611,927
FNMA		3.50			3-1-2046		4,890,263		5,064,750
FNMA		3.50			8-1-2048		7,288,073		7,536,554
FNMA		3.50			4-1-2049		33,928,052		34,710,279
FNMA		3.50			5-1-2049		1,878,930		1,922,251
FNMA		3.50			5-1-2049		18,153,501		18,572,035
FNMA		3.50			5-1-2049		38,285,279		39,167,953
FNMA %%		3.50			6-13-2049		299,300,000		305,315,218
FNMA %%		3.50			7-15-2049		38,600,000		39,351,645
FNMA		3.50			9-1-2052		24,211,921		24,876,531
FNMA (12 Month LIBOR +1.61%) ±		3.67			12-1-2048		4,115,194		4,254,609
FNMA (12 Month LIBOR +1.62%) ±		3.75			8-1-2048		2,935,665		3,041,350
FNMA (12 Month LIBOR +1.62%) ±		3.83			9-1-2048		3,019,706		3,143,891
FNMA		4.00			7-1-2033		3,543,166		3,692,698
FNMA		4.00			9-1-2033		6,340,164		6,607,755
FNMA		4.00			7-1-2036		5,820,276		6,120,661
FNMA		4.00			9-1-2036		2,271,970		2,387,005
FNMA		4.00			11-1-2036		1,710,015		1,798,258
FNMA		4.00			12-1-2036		388,227		405,880
FNMA		4.00			10-1-2037		2,983,294		3,110,510
FNMA		4.00			5-1-2045		7,661,814		7,958,802
FNMA		4.00			8-1-2045		5,930,879		6,239,448
FNMA		4.00			9-1-2045		1,462,537		1,546,754
FNMA		4.00			9-1-2045		10,336,134		10,873,902
FNMA		4.00			11-1-2045		5,138,520		5,405,883
FNMA		4.00			10-1-2046		886,135		925,379
FNMA		4.00			12-1-2046		1,031,230		1,076,900
FNMA		4.00			4-1-2047		868,256		918,204
FNMA		4.00			4-1-2047		1,006,073		1,043,863
FNMA		4.00			4-1-2047		983,676		1,030,981
FNMA		4.00			7-1-2047		3,348,699		3,496,122
FNMA		4.00			9-1-2047		4,038,010		4,217,957
FNMA		4.00			10-1-2047		808,205		856,771
FNMA		4.00			10-1-2047		762,318		803,967
FNMA		4.00			10-1-2047		3,079,748		3,217,386
FNMA		4.00			11-1-2047		32,338,964		33,664,195
FNMA		4.00			11-1-2047		483,802		505,424
FNMA		4.00			11-1-2047		967,483		1,010,845
FNMA		4.00			8-1-2048		51,670,751		53,760,699
FNMA		4.00			9-1-2048		36,124,072		37,585,243
FNMA		4.00			3-1-2049		3,463,691		3,619,732
FNMA		4.00			4-1-2049		4,531,609		4,735,764
FNMA		4.00			5-1-2049		572,670		598,469
FNMA %%		4.00			6-13-2049		64,800,000		66,875,625
FNMA %%		4.00			7-15-2049		29,000,000		29,920,584

The accompanying notes are an integral part of these financial statements.

Portfolio of investments—May 31, 2019 Wells Fargo Core Bond Portfolio 29

Security name	Interest rate			Maturity date		Principal		Value
Agency Securities(continued)
FNMA		4.50	%		5-1-2034	$	1,730,111	$	1,839,979
FNMA		4.50			6-1-2041		313,844		336,754
FNMA		4.50			3-1-2043		3,497,155		3,752,170
FNMA		4.50			3-1-2044		1,078,543		1,156,629
FNMA		4.50			10-1-2045		5,730,221		6,145,110
FNMA		4.50			2-1-2046		144,030		154,328
FNMA		4.50			3-1-2048		2,400,742		2,551,151
FNMA		4.50			4-1-2048		5,088,841		5,407,674
FNMA		4.50			5-1-2048		3,095,520		3,289,471
FNMA		4.50			10-1-2048		3,133,454		3,329,847
FNMA		4.50			11-1-2048		21,705,404		22,812,994
FNMA		4.50			2-1-2049		17,498,127		18,912,480
FNMA		4.50			2-1-2049		9,696,433		10,480,208
FNMA		4.50			2-1-2049		13,431,592		14,381,959
FNMA		4.50			3-1-2049		25,459,580		26,755,395
FNMA		4.50			3-1-2049		4,910,631		5,228,098
FNMA		4.50			4-1-2049		3,683,752		3,914,036
FNMA		4.50			4-1-2049		4,016,638		4,341,322
FNMA		4.50			5-1-2049		1,632,397		1,734,442
FNMA		5.00			7-1-2044		633,314		679,408
FNMA		5.00			6-1-2048		12,398,461		13,571,496
FNMA		5.00			7-1-2048		360,288		389,534
FNMA		5.00			10-1-2048		191,064		207,624
FNMA		5.00			10-1-2048		8,521,437		9,327,708
FNMA		5.00			11-1-2048		15,917,063		17,414,095
FNMA		5.00			12-1-2048		5,529,603		6,052,828
FNMA		5.00			1-1-2049		12,086,243		13,067,399
FNMA		5.00			1-1-2049		1,775,970		1,929,910
FNMA		5.00			2-1-2049		7,684,921		8,412,109
FNMA		5.00			2-1-2049		16,908,378		18,373,993
FNMA		5.00			2-1-2049		32,348,387		35,409,069
FNMA		5.00			2-1-2049		13,753,389		15,054,692
FNMA		5.00			3-1-2049		8,689,914		9,443,168
FNMA		6.00			4-1-2022		4,640		5,035
FNMA		6.00			2-1-2029		5,270		5,790
FNMA		6.00			3-1-2033		36,786		41,251
FNMA		6.00			11-1-2033		13,438		15,072
FNMA Series 1999-54 Class LH		6.50			11-25-2029		8,500		9,381
FNMA Series 2005-31 Class PB		5.50			4-25-2035		70,000		77,822
FNMA Series 2017-13 Class PA		3.00			8-25-2046		5,656,477		5,801,468
FNMA Series 2017-M7 Class A2 ±±		2.96			2-25-2027		2,108,000		2,150,471
FNMA Series 2018-14 Class KC		3.00			3-25-2048		6,010,777		6,223,568
FNMA Series 2018-15 Class AB		3.00			3-25-2048		2,105,957		2,121,847
FNMA Series 2018-38 Class LA		3.00			6-25-2048		21,694,884		21,724,504
FNMA Series 2018-43 Class CT		3.00			6-25-2048		17,703,658		17,742,341
FNMA Series 2018-45 Class GA		3.00			6-25-2048		38,429,250		38,513,218
FNMA Series 2018-50 Class BA		3.00			7-25-2048		40,035,888		40,090,585
FNMA Series 2018-56 Class CH		3.00			8-25-2048		8,808,726		8,825,234
FNMA Series 2018-57 Class PT		3.00			8-25-2048		6,986,720		6,999,790
FNMA Series 2018-59 Class DA		3.00			8-25-2048		19,741,917		19,778,914

The accompanying notes are an integral part of these financial statements.

30 Wells Fargo Core Bond Portfolio Portfolio of investments—May 31, 2019

Security name	Interest rate			Maturity date		Principal		Value
Agency Securities(continued)
FNMA Series 2018-8 Class KL		2.50	%		3-25-2047	$	7,333,997	$	7,298,505
FNMA Series 414 Class A35		3.50			10-25-2042		15,790,613		16,425,866
GNMA		3.50			9-20-2045		601,411		615,362
GNMA		3.50			5-20-2046		3,806,574		3,924,262
GNMA		3.50			7-20-2046		15,912,673		16,435,132
GNMA		3.50			1-20-2047		3,217,958		3,313,151
GNMA		3.50			1-20-2048		11,376,554		11,706,006
GNMA		3.50			1-20-2048		6,596,020		6,788,998
GNMA		3.50			1-20-2048		2,121,850		2,186,730
GNMA		3.50			1-20-2048		5,856,638		6,020,854
GNMA %%		3.50			6-20-2049		32,200,000		33,095,563
GNMA		4.00			12-20-2047		18,772,716		19,460,356
GNMA		4.00			3-20-2048		2,515,863		2,610,663
GNMA		4.00			4-20-2048		3,786,190		3,928,450
GNMA		4.00			4-20-2048		2,933,071		3,047,301
GNMA		4.00			4-20-2048		1,914,122		1,991,410
GNMA		4.00			5-20-2049		3,246,669		3,381,161
GNMA		4.00			5-20-2049		74,415,462		77,029,268
GNMA %%		4.00			6-20-2049		9,502,000		9,852,990
GNMA		4.50			8-15-2047		2,184,232		2,321,446
GNMA		4.50			12-20-2048		4,258,263		4,439,380
GNMA		4.50			1-20-2049		6,771,069		7,059,393
GNMA		4.50			2-20-2049		12,727,275		13,549,317
GNMA		4.50			3-20-2049		6,241,885		6,613,605
GNMA		4.50			3-20-2049		1,470,682		1,558,262
GNMA		4.50			4-20-2049		3,279,800		3,475,141
GNMA		4.50			4-20-2049		10,570,166		11,031,162
GNMA		4.50			5-20-2049		2,793,202		2,959,539
GNMA		4.50			5-20-2049		2,546,361		2,697,995
GNMA		4.50			5-20-2049		1,968,397		2,085,616
GNMA		4.50			5-20-2049		4,155,788		4,341,521
GNMA		5.00			12-20-2039		234,653		256,320
GNMA		5.00			11-20-2045		372,761		405,941
GNMA		5.00			3-20-2048		29,981,739		31,541,292
GNMA		5.00			6-20-2048		14,568,377		15,247,540
GNMA		5.00			11-20-2048		583,826		610,700
GNMA		5.00			12-20-2048		18,821,871		19,735,604
GNMA		5.00			1-20-2049		28,304,353		29,646,316
GNMA		5.00			1-20-2049		10,167,594		10,886,369
GNMA		5.00			2-20-2049		7,736,236		8,118,569
GNMA		5.00			3-20-2049		3,855,953		4,047,825
GNMA		5.00			4-20-2049		30,791,094		32,332,887
GNMA		5.00			5-20-2049		26,852,679		28,191,898
GNMA %%		5.00			6-20-2049		3,593,325		3,777,446
GNMA Series 2012-141 Class WA ±±		4.53			11-16-2041		1,787,636		1,961,629
GNMA Series 2017-167 Class BQ		2.50			8-20-2044		8,933,074		9,045,641
GNMA Series 2019-20 Class JK		3.50			2-20-2049		21,699,274		22,104,952
Total Agency Securities (Cost $2,060,621,235)									2,092,939,090

The accompanying notes are an integral part of these financial statements.

Portfolio of investments—May 31, 2019 Wells Fargo Core Bond Portfolio 31

Security name	Interest rate			Maturity date		Principal		Value
Asset-Backed Securities: 10.42%
Avis Budget Rental Car Funding LLC Series 2017-1A Class A 144A		3.07	%		9-20-2023	$	1,620,000	$	1,640,508
Avis Budget Rental Car Funding LLC Series 2019-1A Class A 144A		3.45			3-20-2023		1,209,000		1,233,981
Avis Budget Rental Car Funding LLC Series 2019-2A Class A 144A		3.35			9-22-2025		10,161,000		10,407,626
Capital Auto Receivables Asset Trust Series 2016-1 Class A4		1.98			10-20-2020		434,813		434,469
Capital Auto Receivables Asset Trust Series 2016-2 Class A4		1.63			1-20-2021		532,377		531,330
College Avenue Student Loan Trust Series 2017-A Class A1 (1 Month LIBOR +1.65%) 144A±		4.08			11-26-2046		4,090,008		4,158,482
College Avenue Student Loan Trust Series 2018-A Class A2 144A		4.13			12-26-2047		2,749,636		2,887,691
Ford Credit Auto Owner Trust Series 2017-1 Class A 144A		2.62			8-15-2028		2,398,000		2,413,134
Ford Credit Auto Owner Trust Series 2017-2 Class A 144A		2.36			3-15-2029		13,970,000		13,994,093
Ford Credit Auto Owner Trust Series 2018-1 Class A 144A		3.19			7-15-2031		14,175,000		14,481,960
Ford Credit Auto Owner Trust Series 2018-2 Class A 144A		3.47			1-15-2030		6,304,000		6,562,710
Ford Credit Auto Owner Trust Series 2019-1 Class A 144A		3.52			7-15-2030		11,354,000		11,763,396
General Motors Trust Series 2019-1 Class A 144A		2.70			4-15-2024		5,382,000		5,430,350
GM Financial Automobile Leasing Trust Series 2019-2 Class A4		2.72			3-20-2023		3,227,000		3,257,398
Hertz Vehicle Financing LLC Series 2015-1A Class A 144A		2.73			3-25-2021		2,816,000		2,817,533
Hertz Vehicle Financing LLC Series 2015-3A Class A 144A		2.67			9-25-2021		5,139,000		5,130,967
Hertz Vehicle Financing LLC Series 2016-2A Class A2 144A		2.95			3-25-2022		4,050,000		4,062,164
Hertz Vehicle Financing LLC Series 2016-3A Class B 144A		3.11			7-25-2020		2,186,000		2,185,194
Hertz Vehicle Financing LLC Series 2016-4A Class A 144A		2.65			7-25-2022		518,000		516,831
Hertz Vehicle Financing LLC Series 2017-1A Class A 144A		2.96			10-25-2021		4,777,000		4,790,223
Hertz Vehicle Financing LLC Series 2017-2A Class A 144A		3.29			10-25-2023		4,212,000		4,265,266
Hertz Vehicle Financing LLC Series 2018-2A Class A 144A		3.65			6-27-2022		5,490,000		5,598,546
Hertz Vehicle Financing LLC Series 2018-3A Class A 144A		4.03			7-25-2024		5,685,000		5,918,296
Hertz Vehicle Financing LLC Series 2019-1A Class A 144A		3.71			3-25-2023		8,669,000		8,871,550
Hertz Vehicle Financing LLC Series 2019-2A Class A 144A		3.42			5-25-2025		15,301,000		15,396,862
Hyundai Floorplan Master Owner Trust Series 2019-1 Class A 144A		2.68			4-15-2024		9,893,000		9,981,853
Navient Student Loan Trust Series 2014-1 Class A3 (1 Month LIBOR +0.51%) ±		2.95			6-25-2031		4,722,189		4,657,416
Navient Student Loan Trust Series 2014-AA Class A3 (1 Month LIBOR +1.60%) 144A±		4.04			10-15-2031		6,169,000		6,322,467
Navient Student Loan Trust Series 2014-CTA Class A (1 Month LIBOR +0.70%) 144A±		3.14			9-16-2024		992,667		993,344
Navient Student Loan Trust Series 2015-1 Class A2 (1 Month LIBOR +0.60%) ±		3.04			4-25-2040		12,562,644		12,453,201
Navient Student Loan Trust Series 2015-CA Class B 144A		3.25			5-15-2040		1,245,931		1,245,999
Navient Student Loan Trust Series 2016-1A Class A (1 Month LIBOR +0.70%) 144A±		3.14			2-25-2070		7,591,081		7,503,738
Navient Student Loan Trust Series 2016-3A Class A2 (1 Month LIBOR +0.85%) 144A±		3.29			6-25-2065		1,994,057		2,001,975
Navient Student Loan Trust Series 2016-AA Class A2B (1 Month LIBOR +2.15%) 144A±		4.59			12-15-2045		2,715,169		2,803,206
Navient Student Loan Trust Series 2017-2A Class A (1 Month LIBOR +0.77%) 144A±		3.20			9-25-2065		8,095,551		8,008,330
Navient Student Loan Trust Series 2017-3A Class A (1 Month LIBOR +0.85%) 144A±		3.28			2-25-2066		8,277,371		8,272,828
Navient Student Loan Trust Series 2017-5A Class A (1 Month LIBOR +0.80%) 144A±		3.23			7-26-2066		3,962,600		3,942,365
Navient Student Loan Trust Series 2017-A Class A2B (1 Month LIBOR +0.90%) 144A±		3.34			12-16-2058		8,966,000		9,010,544
Navient Student Loan Trust Series 2018-A Class A2 144A		3.19			2-18-2042		2,233,000		2,258,209
Navient Student Loan Trust Series 2018-BA Class A2A 144A		3.61			12-15-2059		4,454,000		4,596,825
Navient Student Loan Trust Series 2018-CA Class A2 144A		3.52			6-16-2042		2,507,000		2,562,574
Navient Student Loan Trust Series 2018-DA Class A2A 144A		4.00			12-15-2059		10,280,000		10,710,181
Navient Student Loan Trust Series 2018-EA Class A2 144A		4.00			12-15-2059		6,822,000		7,163,011
Navient Student Loan Trust Series 2019-2A Class A2 (1 Month LIBOR +1.00%) 144A±		3.48			2-27-2068		6,311,000		6,366,542

The accompanying notes are an integral part of these financial statements.

32 Wells Fargo Core Bond Portfolio Portfolio of investments—May 31, 2019

Security name	Interest rate			Maturity date		Principal		Value
Asset-Backed Securities(continued)
Navient Student Loan Trust Series 2019-A Class A2A 144A		3.42	%		1-15-2043	$	11,950,000	$	12,246,140
Navient Student Loan Trust Series 2019-BA Class A2A 144A		3.39			12-15-2059		8,228,000		8,447,038
Navient Student Loan Trust Series 2019-CA Class A2 144A		3.13			2-15-2068		8,809,000		8,966,693
Nelnet Student Loan Trust Series 2004-4 Class A5 (3 Month LIBOR +0.16%) ±		2.74			1-25-2037		8,034,857		7,863,846
Nelnet Student Loan Trust Series 2004-5 Class A5 (3 Month LIBOR +0.18%) ±		2.76			10-27-2036		2,839,055		2,778,652
Nelnet Student Loan Trust Series 2005-1 Class A5 (3 Month LIBOR +0.11%) ±		2.69			10-25-2033		16,003,054		15,829,662
Nelnet Student Loan Trust Series 2005-2 Class A5 (3 Month LIBOR +0.10%) ±		2.71			3-23-2037		20,170,951		19,931,362
Nelnet Student Loan Trust Series 2005-3 Class A5 (3 Month LIBOR +0.12%) ±		2.73			12-24-2035		18,062,982		17,990,259
Nelnet Student Loan Trust Series 2005-4 Class A4 (3 Month LIBOR +0.18%) ±		2.79			3-22-2032		4,106,160		3,965,890
Nelnet Student Loan Trust Series 2010-2A Class A (3 Month LIBOR +0.85%) 144A±		3.45			9-25-2048		17,184,067		17,236,047
Nelnet Student Loan Trust Series 2012-4A Class A (1 Month LIBOR +0.70%) 144A±		3.13			9-27-2038		13,236,922		13,147,897
Nelnet Student Loan Trust Series 2013-1A Class A (1 Month LIBOR +0.60%) 144A±		3.03			6-25-2041		4,223,425		4,174,327
Nelnet Student Loan Trust Series 2014-1A Class A (1 Month LIBOR +0.57%) 144A±		3.00			9-25-2041		2,253,812		2,239,976
Nelnet Student Loan Trust Series 2015-2A Class A2 (1 Month LIBOR +0.60%) 144A±		3.03			9-25-2047		5,513,620		5,467,717
Nelnet Student Loan Trust Series 2016-1A Class A (1 Month LIBOR +0.80%) 144A±		3.23			9-25-2065		7,821,259		7,848,315
Nelnet Student Loan Trust Series 2018-3A Class A2 (1 Month LIBOR +0.44%) 144A±		2.93			9-27-2066		2,846,000		2,831,841
Santander Retail Auto Lease Trust Series 2019-A Class A3 144A		2.77			6-20-2022		2,936,000		2,968,833
SLC Student Loan Trust Series 2005-2 Class A4 (3 Month LIBOR +0.16%) ±		2.77			12-15-2039		5,478,000		5,301,276
SLM Student Loan Trust Series 2003-1 Class A5C (3 Month LIBOR +0.75%) 144A±		3.36			12-15-2032		3,692,307		3,631,679
SLM Student Loan Trust Series 2004-10 Class A7A (3 Month LIBOR +0.60%) 144A±		3.18			10-25-2029		12,249,000		12,191,006
SLM Student Loan Trust Series 2005-3 Class A6 (3 Month LIBOR +0.15%) ±		2.73			4-25-2040		5,328,000		5,127,834
SLM Student Loan Trust Series 2006-1 Class A5 (3 Month LIBOR +0.11%) ±		2.69			7-26-2021		11,465,566		11,290,396
SLM Student Loan Trust Series 2006-10 Class A6 (3 Month LIBOR +0.15%) ±		2.73			3-25-2044		9,462,000		9,036,185
SLM Student Loan Trust Series 2006-3 Class A5 (3 Month LIBOR +0.10%) ±		2.68			1-25-2021		6,672,960		6,595,990
SLM Student Loan Trust Series 2007-1 Class A6 (3 Month LIBOR +0.14%) ±		2.72			1-27-2042		11,518,000		10,913,285
SLM Student Loan Trust Series 2007-2 Class A4 (3 Month LIBOR +0.06%) ±		2.64			7-25-2022		11,151,452		10,845,886
SLM Student Loan Trust Series 2010-1 Class A (1 Month LIBOR +0.40%) ±		2.83			3-25-2025		1,809,335		1,755,998
SLM Student Loan Trust Series 2012-1 Class A3 (1 Month LIBOR +0.95%) ±		3.38			9-25-2028		12,785,951		12,659,479
SLM Student Loan Trust Series 2012-2 Class A (1 Month LIBOR +0.70%) ±		3.13			1-25-2029		11,032,199		10,865,619
SLM Student Loan Trust Series 2012-6 Class A3 (1 Month LIBOR +0.75%) ±		3.18			5-26-2026		2,926,238		2,902,406
SLM Student Loan Trust Series 2013-B Class A2B (1 Month LIBOR +1.10%) 144A±		3.54			6-17-2030		164,837		165,001
SMB Private Education Loan Trust Series 2015-A Class A2B (1 Month LIBOR +1.00%) 144A±		3.44			6-15-2027		3,658,189		3,678,937
SMB Private Education Loan Trust Series 2015-B Class A2A 144A		2.98			7-15-2027		661,153		665,881
SMB Private Education Loan Trust Series 2015-C Class A2B (1 Month LIBOR +1.40%) 144A±		3.84			7-15-2027		1,988,596		2,011,274
SMB Private Education Loan Trust Series 2016-A Class A2A 144A		2.70			5-15-2031		8,788,194		8,816,030
SMB Private Education Loan Trust Series 2016-A Class A2B (1 Month LIBOR +1.50%) 144A±		3.94			5-15-2031		11,555,866		11,776,497
SMB Private Education Loan Trust Series 2016-B Class A2A 144A		2.43			2-17-2032		4,190,401		4,175,251
SMB Private Education Loan Trust Series 2016-B Class A2B (1 Month LIBOR +1.45%) 144A±		3.89			2-17-2032		11,539,499		11,770,636
SMB Private Education Loan Trust Series 2016-C Class A2A 144A		2.34			9-15-2034		9,445,370		9,390,685
SMB Private Education Loan Trust Series 2016-C Class A2B (1 Month LIBOR +1.10%) 144A±		3.54			9-15-2034		4,524,082		4,556,302
SMB Private Education Loan Trust Series 2017-A Class A2B (1 Month LIBOR +0.90%) 144A±		3.34			9-15-2034		3,416,926		3,432,336
SMB Private Education Loan Trust Series 2017-B Class A2B (1 Month LIBOR +0.75%) 144A±		3.19			10-15-2035		7,998,000		7,978,923
SMB Private Education Loan Trust Series 2018-A Class A2B (1 Month LIBOR +0.80%) 144A±		3.24			2-15-2036		2,732,000		2,722,329

The accompanying notes are an integral part of these financial statements.

Portfolio of investments—May 31, 2019 Wells Fargo Core Bond Portfolio 33

Security name	Interest rate			Maturity date		Principal		Value
Asset-Backed Securities(continued)
SMB Private Education Loan Trust Series 2018-C Class A2A 144A		3.63	%		11-15-2035	$	1,872,000	$	1,950,901
SMB Private Education Loan Trust Series 2018-C Class A2B (1 Month LIBOR +0.75%) 144A±		3.19			11-15-2035		4,877,000		4,847,267
SMB Private Education Loan Trust Series 2019-A Class A2A 144A		3.44			7-15-2036		9,258,000		9,550,951
Structured Asset Securities Corporation Series 1998-2 Class A (1 Month LIBOR +0.52%) ±		2.95			2-25-2028		6,909		6,878
World Financial Network Credit Card Master Trust Series 2016-C Class A		1.72			8-15-2023		3,854,000		3,841,200
World Financial Network Credit Card Master Trust Series 2018-B Class A		3.46			7-15-2025		2,577,000		2,641,759
World Omni Auto Receivables Trust Series 2016-A Class A4		1.95			5-16-2022		6,143,000		6,110,781
Total Asset-Backed Securities (Cost $601,049,965)									606,746,521
Corporate Bonds and Notes: 19.84%
Communication Services: 2.11%
Diversified Telecommunication Services: 0.81%
AT&T Incorporated		3.40			5-15-2025		4,049,000		4,091,399
AT&T Incorporated		4.30			2-15-2030		1,414,000		1,462,720
AT&T Incorporated		4.35			3-1-2029		3,089,000		3,224,315
AT&T Incorporated		4.85			3-1-2039		1,991,000		2,043,318
AT&T Incorporated		5.15			2-15-2050		5,406,000		5,661,026
AT&T Incorporated		5.25			3-1-2037		1,184,000		1,271,194
AT&T Incorporated		5.45			3-1-2047		1,432,000		1,575,152
AT&T Incorporated		5.70			3-1-2057		1,185,000		1,330,807
Verizon Communications Incorporated 144A		4.02			12-3-2029		2,086,000		2,204,100
Verizon Communications Incorporated		4.13			8-15-2046		5,862,000		5,871,322
Verizon Communications Incorporated		4.27			1-15-2036		1,904,000		1,968,883
Verizon Communications Incorporated		4.33			9-21-2028		5,440,000		5,886,335
Verizon Communications Incorporated		4.40			11-1-2034		4,314,000		4,588,336
Verizon Communications Incorporated		4.52			9-15-2048		990,000		1,043,231
Verizon Communications Incorporated		4.67			3-15-2055		526,000		563,429
Verizon Communications Incorporated		5.01			4-15-2049		990,000		1,119,026
Verizon Communications Incorporated		5.50			3-16-2047		2,939,000		3,550,577
									47,455,170
Entertainment: 0.09%
The Walt Disney Company «		4.13			6-1-2044		1,010,000		1,100,981
The Walt Disney Company 144A		4.95			10-15-2045		1,921,000		2,345,212
Viacom Incorporated		5.85			9-1-2043		1,682,000		1,877,029
									5,323,222
Media: 1.21%
Charter Communications Operating LLC		4.46			7-23-2022		1,946,000		2,017,373
Comcast Corporation		3.30			10-1-2020		11,289,000		11,408,257
Comcast Corporation		3.45			10-1-2021		5,001,000		5,107,451
Comcast Corporation		3.70			4-15-2024		6,922,000		7,225,837
Comcast Corporation		3.95			10-15-2025		3,602,000		3,814,752
Comcast Corporation		4.00			3-1-2048		3,022,000		3,026,057
Comcast Corporation		4.15			10-15-2028		4,537,000		4,867,278
Comcast Corporation		4.60			10-15-2038		6,164,000		6,735,629
Comcast Corporation		4.70			10-15-2048		1,012,000		1,126,342

The accompanying notes are an integral part of these financial statements.

34 Wells Fargo Core Bond Portfolio Portfolio of investments—May 31, 2019

Security name	Interest rate			Maturity date		Principal		Value
Media(continued)
Comcast Corporation		4.95	%		10-15-2058	$	1,506,000	$	1,726,599
Discovery Communications LLC		4.13			5-15-2029		4,858,000		4,892,711
Discovery Communications LLC		5.20			9-20-2047		2,938,000		2,939,414
Discovery Communications LLC		5.30			5-15-2049		3,069,000		3,062,798
Fox Corporation 144A		4.03			1-25-2024		2,123,000		2,223,997
Fox Corporation 144A		4.71			1-25-2029		1,419,000		1,551,848
Fox Corporation 144A		5.58			1-25-2049		2,273,000		2,652,984
Time Warner Cable Incorporated		6.55			5-1-2037		1,408,000		1,558,547
Warner Media LLC		5.35			12-15-2043		994,000		1,072,180
Warner Media LLC		5.38			10-15-2041		1,590,000		1,718,820
Warner Media LLC		3.80			2-15-2027		1,615,000		1,647,812
									70,376,686
Consumer Discretionary: 0.44%
Automobiles: 0.09%
General Motors Company		5.95			4-1-2049		5,270,000		5,160,928
Hotels, Restaurants & Leisure: 0.13%
GLP Capital LP / GLP Financing II Incorporated		5.30			1-15-2029		2,087,000		2,220,672
McDonald’s Corporation		4.45			9-1-2048		1,197,000		1,257,128
Starbucks Corporation		3.75			12-1-2047		696,000		649,110
Starbucks Corporation		3.80			8-15-2025		211,000		220,619
Starbucks Corporation		4.45			8-15-2049		994,000		1,025,037
Starbucks Corporation		4.50			11-15-2048		2,188,000		2,274,395
									7,646,961
Specialty Retail: 0.22%
Home Depot Incorporated		4.50			12-6-2048		2,990,000		3,359,436
Lowe’s Companies Incorporated		3.65			4-5-2029		9,480,000		9,593,805
									12,953,241
Consumer Staples: 1.96%
Beverages: 0.56%
Anheuser-Busch InBev Company		3.65			2-1-2026		4,148,000		4,223,676
Anheuser-Busch InBev Company		4.90			2-1-2046		6,566,000		6,769,213
Anheuser-Busch InBev Worldwide Incorporated		4.15			1-23-2025		6,259,000		6,612,059
Anheuser-Busch InBev Worldwide Incorporated		4.90			1-23-2031		3,544,000		3,927,197
Anheuser-Busch InBev Worldwide Incorporated		5.55			1-23-2049		2,377,000		2,697,799
Constellation Brands Incorporated		3.20			2-15-2023		1,002,000		1,013,210
Constellation Brands Incorporated		3.50			5-9-2027		1,432,000		1,437,212
Constellation Brands Incorporated		3.60			2-15-2028		3,163,000		3,184,731
Constellation Brands Incorporated		3.70			12-6-2026		1,689,000		1,723,800
Constellation Brands Incorporated		4.40			11-15-2025		306,000		327,037
Constellation Brands Incorporated		4.50			5-9-2047		596,000		601,093
									32,517,027

The accompanying notes are an integral part of these financial statements.

Portfolio of investments—May 31, 2019 Wells Fargo Core Bond Portfolio 35

Security name	Interest rate			Maturity date		Principal		Value
Food & Staples Retailing: 0.61%
Costco Wholesale Corporation		2.75	%		5-18-2024	$	5,158,000	$	5,224,439
Costco Wholesale Corporation		3.00			5-18-2027		6,814,000		6,951,417
Walmart Incorporated		3.25			7-8-2029		5,380,000		5,539,873
Walmart Incorporated		3.55			6-26-2025		5,224,000		5,491,256
Walmart Incorporated		3.70			6-26-2028		10,379,000		11,050,069
Walmart Incorporated		4.05			6-29-2048		1,018,000		1,109,533
									35,366,587
Food Products: 0.52%
Kraft Heinz Foods Company		2.80			7-2-2020		6,027,000		6,028,594
Kraft Heinz Foods Company		3.00			6-1-2026		1,656,000		1,562,605
Kraft Heinz Foods Company		4.38			6-1-2046		2,909,000		2,562,778
Kraft Heinz Foods Company		5.20			7-15-2045		704,000		692,355
Mars Incorporated 144A		4.13			4-1-2054		2,560,000		2,635,262
Nestle Holdings Incorporated 144A		3.10			9-24-2021		2,280,000		2,318,240
Nestle Holdings Incorporated 144A		3.35			9-24-2023		2,988,000		3,084,227
Nestle Holdings Incorporated 144A		3.50			9-24-2025		4,705,000		4,917,765
Nestle Holdings Incorporated 144A		3.63			9-24-2028		2,289,000		2,427,207
Nestle Holdings Incorporated 144A		3.90			9-24-2038		2,254,000		2,386,749
Nestle Holdings Incorporated 144A		4.00			9-24-2048		1,810,000		1,921,032
									30,536,814
Tobacco: 0.27%
Altria Group Incorporated		4.40			2-14-2026		2,151,000		2,239,386
Altria Group Incorporated		4.80			2-14-2029		2,119,000		2,213,111
Altria Group Incorporated		5.95			2-14-2049		1,049,000		1,149,416
BAT Capital Corporation		2.30			8-14-2020		3,055,000		3,040,328
BAT Capital Corporation		3.22			8-15-2024		3,145,000		3,113,317
BAT Capital Corporation		4.54			8-15-2047		627,000		564,106
Reynolds American Incorporated		5.85			8-15-2045		3,037,000		3,150,698
									15,470,362
Energy: 1.73%
Oil, Gas & Consumable Fuels: 1.73%
Anadarko Finance Company		7.50			5-1-2031		1,049,000		1,371,204
Anadarko Petroleum Corporation		4.85			3-15-2021		1,805,000		1,864,454
Anadarko Petroleum Corporation		6.60			3-15-2046		1,053,000		1,351,932
Andeavor Logistics LP		3.50			12-1-2022		2,302,000		2,343,794
Andeavor Logistics LP		5.20			12-1-2047		2,856,000		2,911,445
BP Capital Markets America Incorporated		3.41			2-11-2026		5,489,000		5,632,860
BP Capital Markets America Incorporated		3.80			9-21-2025		6,044,000		6,343,593
BP Capital Markets America Incorporated		3.94			9-21-2028		12,407,000		13,136,632
Cimarex Energy Company		4.38			3-15-2029		5,893,000		6,149,292
Devon Energy Corporation		5.60			7-15-2041		3,287,000		3,795,609
Energy Transfer Operating Partners LP		5.25			4-15-2029		1,765,000		1,904,713
Energy Transfer Operating Partners LP		5.50			6-1-2027		3,534,000		3,824,444
Energy Transfer Operating Partners LP		5.88			1-15-2024		5,928,000		6,476,263
Energy Transfer Operating Partners LP		6.13			12-15-2045		1,005,000		1,091,380
Energy Transfer Operating Partners LP		6.25			4-15-2049		3,061,000		3,419,222

The accompanying notes are an integral part of these financial statements.

36 Wells Fargo Core Bond Portfolio Portfolio of investments—May 31, 2019

Security name	Interest rate			Maturity date		Principal		Value
Oil, Gas & Consumable Fuels(continued)
Enterprise Products Operating LLC		3.75	%		2-15-2025	$	2,004,000	$	2,076,930
Kinder Morgan Energy Partners LP		5.50			3-1-2044		1,457,000		1,550,095
Kinder Morgan Energy Partners LP		6.95			1-15-2038		1,005,000		1,239,066
Kinder Morgan Energy Partners LP		7.30			8-15-2033		310,000		394,096
Kinder Morgan Incorporated 144A		5.00			2-15-2021		6,143,000		6,356,732
Kinder Morgan Incorporated		5.55			6-1-2045		2,739,000		2,971,013
Marathon Oil Corporation		4.40			7-15-2027		2,103,000		2,182,488
Marathon Oil Corporation		5.20			6-1-2045		2,103,000		2,242,840
Marathon Oil Corporation		6.60			10-1-2037		527,000		632,080
Marathon Petroleum Corporation		4.75			9-15-2044		2,178,000		2,190,365
MPLX LP		4.13			3-1-2027		2,418,000		2,450,300
MPLX LP		4.70			4-15-2048		927,000		878,493
MPLX LP		5.50			2-15-2049		2,683,000		2,836,271
Murphy Oil Corporation		5.88			12-1-2042		220,000		194,022
Sunoco Logistics Partner LP		5.30			4-1-2044		2,579,000		2,543,037
Sunoco Logistics Partner LP		5.40			10-1-2047		985,000		994,706
Western Gas Partners LP		5.50			8-15-2048		2,097,000		2,014,235
Williams Companies Incorporated		3.90			1-15-2025		1,449,000		1,491,608
Williams Companies Incorporated		4.55			6-24-2024		2,467,000		2,617,549
Williams Companies Incorporated		5.75			6-24-2044		1,209,000		1,319,952
									100,792,715
Financials: 4.72%
Banks: 2.36%
Bank of America Corporation		3.25			10-21-2027		149,000		147,965
Bank of America Corporation (3 Month LIBOR +1.04%) ±		3.42			12-20-2028		20,677,000		20,646,838
Bank of America Corporation (3 Month LIBOR +0.97%) ±		3.46			3-15-2025		10,854,000		11,045,490
Bank of America Corporation (3 Month LIBOR +1.06%) ±		3.56			4-23-2027		6,319,000		6,436,951
Bank of America Corporation (3 Month LIBOR +1.21%) ±		3.97			2-7-2030		1,909,000		1,979,270
Bank of America Corporation (3 Month LIBOR +1.81%) ±		4.24			4-24-2038		2,219,000		2,321,044
Bank of America Corporation (3 Month LIBOR +1.31%) ±		4.27			7-23-2029		2,529,000		2,672,988
BB&T Corporation		3.05			6-20-2022		6,985,000		7,083,171
BB&T Corporation		3.88			3-19-2029		7,788,000		8,121,122
Citibank NA (3 Month LIBOR +0.60%) ±		2.84			5-20-2022		12,078,000		12,110,024
Citigroup Incorporated		3.20			10-21-2026		3,843,000		3,829,329
Citigroup Incorporated (3 Month LIBOR +0.90%) ±		3.35			4-24-2025		14,798,000		14,979,512
Citigroup Incorporated (3 Month LIBOR +1.39%) ±		3.67			7-24-2028		1,093,000		1,108,287
Citigroup Incorporated (3 Month LIBOR +1.34%) ±		3.98			3-20-2030		5,945,000		6,151,300
JPMorgan Chase & Company (3 Month LIBOR +0.70%) ±		3.21			4-1-2023		12,944,000		13,092,929
JPMorgan Chase & Company (3 Month LIBOR +1.16%) ±		3.70			5-6-2030		5,325,000		5,428,702
JPMorgan Chase & Company (3 Month LIBOR +1.36%) ±		3.88			7-24-2038		7,283,000		7,337,407
JPMorgan Chase & Company (3 Month LIBOR +1.12%) ±		4.01			4-23-2029		3,989,000		4,167,703
PNC Financial Services		3.45			4-23-2029		8,480,000		8,660,001
									137,320,033
Capital Markets: 0.76%
Blackrock Incorporated		3.25			4-30-2029		2,057,000		2,105,636
Goldman Sachs Group Incorporated (3 Month LIBOR +0.82%) ±		2.88			10-31-2022		2,201,000		2,198,627
Goldman Sachs Group Incorporated		3.50			11-16-2026		6,988,000		7,010,986

The accompanying notes are an integral part of these financial statements.

Portfolio of investments—May 31, 2019 Wells Fargo Core Bond Portfolio 37

Security name	Interest rate			Maturity date		Principal		Value
Capital Markets(continued)
Goldman Sachs Group Incorporated (3 Month LIBOR +1.43%) ±		4.41	%		4-23-2039	$	2,863,000	$	2,955,638
Lazard Group LLC		4.38			3-11-2029		634,000		657,521
Lazard Group LLC		4.50			9-19-2028		4,123,000		4,327,361
Morgan Stanley		2.75			5-19-2022		24,000		24,002
Morgan Stanley		3.70			10-23-2024		8,292,000		8,577,994
Morgan Stanley (3 Month LIBOR +1.43%) ±		4.46			4-22-2039		1,895,000		2,025,590
PPL Capital Funding Incorporated		3.10			5-15-2026		1,406,000		1,379,859
PPL Capital Funding Incorporated		3.40			6-1-2023		599,000		608,939
PPL Capital Funding Incorporated		4.00			9-15-2047		720,000		686,628
PPL Capital Funding Incorporated		4.70			6-1-2043		399,000		426,082
PPL Capital Funding Incorporated		5.00			3-15-2044		1,490,000		1,633,275
The Charles Schwab Corporation		3.25			5-22-2029		9,705,000		9,838,420
									44,456,558
Consumer Finance: 0.64%
Ally Financial Incorporated		3.88			5-21-2024		4,671,000		4,647,645
American Express Company		2.75			5-20-2022		6,619,000		6,644,577
American Express Company		3.13			5-20-2026		6,619,000		6,644,113
Ford Motor Credit Company LLC «		3.82			11-2-2027		1,887,000		1,733,918
Ford Motor Credit Company LLC		4.75			1-15-2043		8,753,000		7,225,419
Ford Motor Credit Company LLC		5.11			5-3-2029		2,054,000		2,016,869
Ford Motor Credit Company LLC		5.29			12-8-2046		917,000		805,364
Synchrony Financial		4.38			3-19-2024		1,011,000		1,039,349
Synchrony Financial		4.50			7-23-2025		2,016,000		2,063,123
Synchrony Financial		5.15			3-19-2029		4,188,000		4,345,955
									37,166,332
Insurance: 0.96%
American International Group Incorporated		4.20			4-1-2028		3,088,000		3,203,218
American International Group Incorporated		4.25			3-15-2029		2,019,000		2,100,323
American International Group Incorporated		4.38			1-15-2055		1,548,000		1,465,046
American International Group Incorporated		4.50			7-16-2044		1,697,000		1,711,658
American International Group Incorporated		6.25			5-1-2036		1,773,000		2,113,168
Aon Corporation		3.75			5-2-2029		5,775,000		5,860,182
Berkshire Hathaway Finance Corporation		4.25			1-15-2049		6,611,000		7,118,745
Liberty Mutual Group Incorporated 144A		4.25			6-15-2023		449,000		471,754
Liberty Mutual Group Incorporated 144A		4.57			2-1-2029		5,611,000		5,978,951
Markel Corporation		5.00			5-20-2049		3,026,000		3,112,584
Prudential Financial Incorporated		4.35			2-25-2050		5,925,000		6,327,939
Prudential Financial Incorporated		4.60			5-15-2044		994,000		1,095,252
Reinsurance Group of America Incorporated		3.90			5-15-2029		3,984,000		4,041,765
Torchmark Corporation		4.55			9-15-2028		6,044,000		6,547,876
Willis North America Incorporated		4.50			9-15-2028		4,604,000		4,861,983
									56,010,444
Health Care: 2.72%
Biotechnology: 0.42%
AbbVie Incorporated		2.50			5-14-2020		7,659,000		7,647,333
AbbVie Incorporated		4.25			11-14-2028		3,541,000		3,670,468

The accompanying notes are an integral part of these financial statements.

38 Wells Fargo Core Bond Portfolio Portfolio of investments—May 31, 2019

Security name	Interest rate			Maturity date		Principal		Value
Biotechnology(continued)
AbbVie Incorporated		4.88	%		11-14-2048	$	1,155,000	$	1,161,704
Celgene Corporation		2.75			2-15-2023		7,170,000		7,189,482
Celgene Corporation		2.88			2-19-2021		1,987,000		2,000,426
Celgene Corporation		3.90			2-20-2028		1,068,000		1,120,936
Celgene Corporation		4.35			11-15-2047		985,000		1,039,232
Gilead Sciences Incorporated		4.15			3-1-2047		599,000		594,725
									24,424,306
Health Care Equipment & Supplies: 0.82%
Abbott Laboratories		3.40			11-30-2023		1,118,000		1,153,396
Abbott Laboratories		3.75			11-30-2026		3,651,000		3,855,509
Abbott Laboratories		3.88			9-15-2025		828,000		875,361
Abbott Laboratories		4.90			11-30-2046		5,896,000		6,959,981
Becton Dickinson & Company		2.40			6-5-2020		6,706,000		6,681,448
Becton Dickinson & Company		3.36			6-6-2024		2,267,000		2,301,136
Becton Dickinson & Company		3.70			6-6-2027		3,370,000		3,454,274
Becton Dickinson & Company		3.73			12-15-2024		5,340,000		5,507,892
Becton Dickinson & Company		4.69			12-15-2044		3,178,000		3,420,013
Boston Scientific Corporation		3.75			3-1-2026		3,295,000		3,417,714
Boston Scientific Corporation		4.00			3-1-2028		1,974,000		2,066,756
Boston Scientific Corporation		4.00			3-1-2029		2,434,000		2,561,585
Boston Scientific Corporation		4.70			3-1-2049		2,194,000		2,399,369
Edwards Lifesciences Corporation		4.30			6-15-2028		2,891,000		3,072,243
									47,726,677
Health Care Providers & Services: 0.77%
CVS Health Corporation		3.70			3-9-2023		2,044,000		2,089,206
CVS Health Corporation		4.00			12-5-2023		2,997,000		3,099,459
CVS Health Corporation		4.10			3-25-2025		2,020,000		2,091,084
CVS Health Corporation		4.30			3-25-2028		6,624,000		6,825,997
CVS Health Corporation		4.78			3-25-2038		3,841,000		3,827,633
CVS Health Corporation		5.05			3-25-2048		3,344,000		3,399,075
Halfmoon Parent Incorporated 144A		3.40			9-17-2021		4,529,000		4,592,609
Halfmoon Parent Incorporated 144A		3.75			7-15-2023		5,589,000		5,735,166
Halfmoon Parent Incorporated 144A		4.38			10-15-2028		2,382,000		2,500,355
Halfmoon Parent Incorporated 144A		4.80			8-15-2038		439,000		449,142
Halfmoon Parent Incorporated 144A		4.90			12-15-2048		2,638,000		2,699,477
UnitedHealth Group Incorporated		3.50			2-15-2024		3,345,000		3,474,495
UnitedHealth Group Incorporated		3.70			12-15-2025		2,227,000		2,335,335
UnitedHealth Group Incorporated		4.45			12-15-2048		1,664,000		1,836,825
									44,955,858
Pharmaceuticals: 0.71%
Bristol-Myers Squibb Company 144A		2.60			5-16-2022		8,745,000		8,806,862
Bristol-Myers Squibb Company 144A		2.90			7-26-2024		4,763,000		4,825,324
Bristol-Myers Squibb Company 144A		3.20			6-15-2026		1,108,000		1,136,096
Bristol-Myers Squibb Company 144A		3.40			7-26-2029		5,100,000		5,241,448
Bristol-Myers Squibb Company 144A		4.13			6-15-2039		508,000		529,083
Bristol-Myers Squibb Company 144A		4.25			10-26-2049		400,000		422,924

The accompanying notes are an integral part of these financial statements.

Portfolio of investments—May 31, 2019 Wells Fargo Core Bond Portfolio 39

Security name	Interest rate			Maturity date		Principal		Value
Pharmaceuticals(continued)
Merck & Company Incorporated		3.40	%		3-7-2029	$	3,584,000	$	3,715,277
Merck & Company Incorporated		4.00			3-7-2049		3,377,000		3,594,807
Pfizer Incorporated		2.80			3-11-2022		1,987,000		2,016,358
Pfizer Incorporated		3.45			3-15-2029		4,405,000		4,588,334
Pfizer Incorporated		4.10			9-15-2038		1,134,000		1,220,401
Pfizer Incorporated		4.20			9-15-2048		4,877,000		5,311,386
									41,408,300
Industrials: 1.73%
Aerospace & Defense: 1.06%
Lockheed Martin Corporation		4.07			12-15-2042		3,535,000		3,702,995
Lockheed Martin Corporation		4.09			9-15-2052		1,672,000		1,752,602
Northrop Grumman Corporation		2.55			10-15-2022		6,508,000		6,485,551
Northrop Grumman Corporation		2.93			1-15-2025		290,000		290,511
Northrop Grumman Corporation		3.25			8-1-2023		6,003,000		6,144,795
Northrop Grumman Corporation		3.25			1-15-2028		2,757,000		2,759,374
The Boeing Company		2.70			5-1-2022		4,371,000		4,403,733
The Boeing Company		3.10			5-1-2026		5,648,000		5,731,929
The Boeing Company		3.20			3-1-2029		4,595,000		4,634,024
The Boeing Company		3.50			3-1-2039		2,149,000		2,094,705
The Boeing Company		3.55			3-1-2038		853,000		837,955
The Boeing Company		3.85			11-1-2048		402,000		401,933
The Boeing Company		3.90			5-1-2049		3,712,000		3,738,628
United Technologies Corporation		3.65			8-16-2023		7,708,000		7,996,722
United Technologies Corporation		3.95			8-16-2025		2,898,000		3,059,485
United Technologies Corporation		4.13			11-16-2028		3,815,000		4,046,649
United Technologies Corporation		4.45			11-16-2038		2,690,000		2,897,404
United Technologies Corporation		4.63			11-16-2048		711,000		773,448
									61,752,443
Air Freight & Logistics: 0.11%
FedEx Corporation		4.55			4-1-2046		2,219,000		2,197,583
FedEx Corporation		4.95			10-17-2048		3,767,000		3,922,515
									6,120,098
Airlines: 0.02%
Delta Air Lines Incorporated		4.38			4-19-2028		1,383,000		1,389,095
Industrial Conglomerates: 0.14%
General Electric Company		4.50			3-11-2044		5,489,000		5,169,052
General Electric Company		5.88			1-14-2038		2,492,000		2,746,642
									7,915,694
Road & Rail: 0.35%
Burlington Northern Santa Fe LLC		4.90			4-1-2044		1,134,000		1,318,178
CSX Corporation		4.25			3-15-2029		2,037,000		2,201,622
CSX Corporation		4.75			11-15-2048		1,432,000		1,591,912
Union Pacific Corporation		2.95			3-1-2022		3,643,000		3,688,069
Union Pacific Corporation		3.15			3-1-2024		2,327,000		2,371,330

The accompanying notes are an integral part of these financial statements.

40 Wells Fargo Core Bond Portfolio Portfolio of investments—May 31, 2019

Security name	Interest rate			Maturity date		Principal		Value
Road & Rail(continued)
Union Pacific Corporation		3.70	%		3-1-2029	$	4,169,000	$	4,357,691
Union Pacific Corporation		4.30			3-1-2049		4,479,000		4,736,584
									20,265,386
Transportation Infrastructure: 0.05%
Crowley Conro LLC		4.18			8-15-2043		2,908,640		3,175,341
Information Technology: 1.56%
IT Services: 0.34%
Fidelity National Information Services Incorporated		3.75			5-21-2029		3,628,000		3,705,935
Fiserv Incorporated		4.20			10-1-2028		350,000		369,906
IBM Corporation		3.30			5-15-2026		3,304,000		3,340,987
IBM Corporation		4.15			5-15-2039		1,513,000		1,551,309
IBM Corporation		4.25			5-15-2049		2,602,000		2,668,792
Mastercard Incorporated		2.95			6-1-2029		5,045,000		5,094,009
Mastercard Incorporated		3.65			6-1-2049		2,624,000		2,664,981
									19,395,919
Semiconductors & Semiconductor Equipment: 0.37%
Broadcom Incorporated 144A		4.25			4-15-2026		12,742,000		12,612,615
Broadcom Incorporated 144A		4.75			4-15-2029		1,857,000		1,830,524
KLA Tencor Corporation		4.10			3-15-2029		2,421,000		2,486,108
Lam Research Corporation		3.75			3-15-2026		3,270,000		3,360,189
Lam Research Corporation		4.88			3-15-2049		890,000		963,646
Texas Instruments Incorporated		3.88			3-15-2039		336,000		354,510
									21,607,592
Software: 0.52%
Microsoft Corporation		3.30			2-6-2027		4,049,000		4,216,472
Microsoft Corporation		3.70			8-8-2046		1,013,000		1,053,470
Microsoft Corporation		4.00			2-12-2055		2,649,000		2,854,108
Microsoft Corporation		4.10			2-6-2037		3,304,000		3,654,625
Microsoft Corporation		4.25			2-6-2047		7,063,000		8,004,264
Microsoft Corporation		4.50			2-6-2057		2,434,000		2,860,699
Oracle Corporation		2.63			2-15-2023		2,724,000		2,718,684
Oracle Corporation		2.95			11-15-2024		1,457,000		1,476,738
Oracle Corporation		3.80			11-15-2037		1,490,000		1,499,588
Oracle Corporation		4.00			11-15-2047		2,021,000		2,039,494
									30,378,142
Technology Hardware, Storage & Peripherals: 0.33%
Apple Incorporated		3.20			5-13-2025		1,217,000		1,250,973
Apple Incorporated		3.20			5-11-2027		7,543,000		7,680,854
Apple Incorporated		4.25			2-9-2047		2,781,000		2,971,068
Apple Incorporated		4.38			5-13-2045		1,863,000		2,029,685
Apple Incorporated		4.65			2-23-2046		1,970,000		2,234,253
Hewlett Packard Enterprise Company		6.35			10-15-2045		2,981,000		3,176,724
									19,343,557

The accompanying notes are an integral part of these financial statements.

Portfolio of investments—May 31, 2019 Wells Fargo Core Bond Portfolio 41

Security name	Interest rate			Maturity date		Principal		Value
Materials: 0.55%
Chemicals: 0.38%
Dow Chemical Company		4.25	%		10-1-2034	$	1,392,000	$	1,402,207
Dow Chemical Company 144A		4.80			5-15-2049		2,020,000		2,032,497
DowDuPont Incorporated		4.73			11-15-2028		2,070,000		2,261,098
DowDuPont Incorporated		4.21			11-15-2023		3,055,000		3,218,559
DowDuPont Incorporated		5.42			11-15-2048		2,277,000		2,588,681
Huntsman International LLC		4.50			5-1-2029		5,446,000		5,515,165
Huntsman International LLC		5.13			11-15-2022		1,676,000		1,749,435
Mosaic Company		4.05			11-15-2027		2,322,000		2,344,555
Westlake Chemical Corporation		3.60			8-15-2026		1,184,000		1,172,251
									22,284,448
Metals & Mining: 0.17%
Barrick Gold Finance Company LLC		5.70			5-30-2041		2,401,000		2,726,182
Barrick North America Finance LLC		5.75			5-1-2043		1,539,000		1,775,918
Southern Copper Corporation		3.88			4-23-2025		2,293,000		2,306,038
Southern Copper Corporation		5.88			4-23-2045		2,600,000		2,886,819
									9,694,957
Real Estate: 0.70%
Equity REITs: 0.70%
Crown Castle International Corporation		5.20			2-15-2049		991,000		1,083,895
DDR Corporation		4.25			2-1-2026		902,000		923,811
DDR Corporation		4.63			7-15-2022		1,755,000		1,820,659
Mid-America Apartments LP		3.60			6-1-2027		1,399,000		1,423,879
Mid-America Apartments LP		3.75			6-15-2024		4,926,000		5,078,494
Mid-America Apartments LP		3.95			3-15-2029		894,000		931,942
Mid-America Apartments LP		4.00			11-15-2025		2,525,000		2,640,722
Mid-America Apartments LP		4.30			10-15-2023		2,111,000		2,218,172
Public Storage		3.09			9-15-2027		4,347,000		4,355,885
Public Storage		3.39			5-1-2029		2,963,000		3,035,415
Regency Centers LP		4.13			3-15-2028		1,366,000		1,439,656
Store Capital Corporation		4.50			3-15-2028		7,758,000		8,043,964
Store Capital Corporation		4.63			3-15-2029		2,591,000		2,713,477
Tanger Properties LP		3.88			12-1-2023		2,691,000		2,724,225
Ventas Realty LP		4.88			4-15-2049		2,003,000		2,182,856
									40,617,052
Utilities: 1.62%
Electric Utilities: 1.20%
Commonwealth Edison Company		4.00			3-1-2049		3,833,000		3,995,199
Duke Energy Corporation		1.80			9-1-2021		4,347,000		4,276,190
Duke Energy Indiana Incorporated		3.75			5-15-2046		994,000		990,317
Duke Energy Progress LLC		3.45			3-15-2029		3,270,000		3,364,907
Entergy Arkansas LLC		4.20			4-1-2049		598,000		640,742
FirstEnergy Corporation		3.90			7-15-2027		1,187,000		1,217,373
FirstEnergy Corporation		4.25			3-15-2023		5,243,000		5,495,566
FirstEnergy Corporation		4.85			7-15-2047		2,168,000		2,370,388

The accompanying notes are an integral part of these financial statements.

42 Wells Fargo Core Bond Portfolio Portfolio of investments—May 31, 2019

Security name	Interest rate			Maturity date		Principal		Value
Electric Utilities(continued)
FirstEnergy Transmission LLC 144A		5.45	%		7-15-2044	$	836,000	$	977,856
Indiana Michigan Power Company		4.55			3-15-2046		2,028,000		2,244,621
Metropolitan Edison Company 144A		4.30			1-15-2029		3,253,000		3,469,239
Mid-Atlantic Interstate Transmission LLC 144A		4.10			5-15-2028		4,059,000		4,233,848
MidAmerica Energy Company		4.25			7-15-2049		911,000		998,602
Mississippi Power Company		3.95			3-30-2028		5,059,000		5,286,409
NSTAR Electric Company		3.25			5-15-2029		1,009,000		1,031,140
Ohio Power Company		4.00			6-1-2049		2,427,000		2,516,134
PacifiCorp		4.15			2-15-2050		2,400,000		2,587,020
Public Service Electric Company		3.20			5-15-2029		4,005,000		4,092,093
Public Service Electric Company		3.85			5-1-2049		2,807,000		2,949,764
South Carolina Edison Company		3.70			8-1-2025		2,384,000		2,442,711
South Carolina Edison Company		4.13			3-1-2048		6,617,000		6,467,689
Southern California Edison Company		4.65			10-1-2043		985,000		1,017,993
Southern California Edison Company		5.50			3-15-2040		2,565,000		2,931,351
Southwestern Electric Power Company		3.90			4-1-2045		1,325,000		1,307,915
The Southern Company		4.40			7-1-2046		2,998,000		3,044,328
									69,949,395
Multi-Utilities: 0.42%
CenterPoint Energy Incorporated		2.50			9-1-2022		414,000		411,428
CenterPoint Energy Incorporated		3.85			2-1-2024		1,391,000		1,451,517
CenterPoint Energy Incorporated		4.00			4-1-2028		145,000		153,016
CenterPoint Energy Incorporated		4.25			11-1-2028		3,006,000		3,206,381
Dominion Resources Incorporated		1.60			8-15-2019		3,809,000		3,799,906
Dominion Resources Incorporated		2.00			8-15-2021		2,898,000		2,848,634
Nextera Energy Capital Company		3.15			4-1-2024		4,317,000		4,368,728
Nextera Energy Capital Company		3.50			4-1-2029		974,000		993,822
San Diego Gas & Electric Company		4.15			5-15-2048		10,000		10,076
Sempra Energy		2.90			2-1-2023		2,347,000		2,348,587
Sempra Energy		4.00			2-1-2048		4,223,000		3,935,636
Sempra Energy		3.40			2-1-2028		1,143,000		1,126,120
									24,653,851
Total Corporate Bonds and Notes (Cost $1,115,248,300)									1,155,611,191
Foreign Corporate Bonds and Notes @: 0.04%
Energy: 0.04%
Oil, Gas & Consumable Fuels: 0.04%
EnCana Corporation (CAD)		6.63			8-15-2037		1,863,000		2,229,608
Total Foreign Corporate Bonds and Notes (Cost $2,236,203)									2,229,608
Municipal Obligations: 0.55%
California: 0.17%
GO Revenue: 0.17%
California Build America Bonds		7.60			11-1-2040	$	1,580,000		2,522,328
Los Angeles CA Community College District Build America Bonds		6.75			8-1-2049		4,670,000		7,343,715
									9,866,043

The accompanying notes are an integral part of these financial statements.

Portfolio of investments—May 31, 2019 Wells Fargo Core Bond Portfolio 43

Security name	Interest rate			Maturity date		Principal		Value
Illinois: 0.02%
GO Revenue: 0.02%
Illinois Taxable Pension		5.10	%		6-1-2033	$	1,065,000	$	1,098,835
Nevada: 0.09%
Airport Revenue: 0.09%
Clark County NV Airport Authority Build America Bonds Series C		6.82			7-1-2045		3,365,000		5,244,723
New York: 0.13%
Airport Revenue: 0.13%
Port Authority of New York & New Jersey Consolidated Bonds Series 174		4.46			10-1-2062		6,705,000		7,917,331
Ohio: 0.04%
Education Revenue: 0.04%
Ohio State University General Receipts Taxable Bonds Series A		4.80			6-1-2111		1,957,000		2,360,396
Texas: 0.10%
Transportation Revenue: 0.10%
North Texas Tollway Authority		6.72			1-1-2049		3,609,000		5,612,500
Total Municipal Obligations (Cost $25,221,477)									32,099,828
Non-Agency Mortgage-Backed Securities: 4.85%
Angel Oak Mortgage Trust Series 2019-2 Class A1 144A±±		3.63			3-25-2049		3,793,818		3,833,183
Barclays Commercial Mortgage Trust Series 2019-C3 Class A4 %%		3.58			5-15-2052		4,893,000		5,122,424
Benchmark Mortgage Trust Series 2018-B1 Class ASB ±±		3.60			1-15-2051		1,620,000		1,702,570
Benchmark Mortgage Trust Series 2019-B11 Class A5 %%		3.54			5-15-2052		2,229,000		2,337,342
Benchmark Mortgage Trust Series 2019-B9 Class A4		3.75			3-15-2052		4,399,000		4,690,350
Bunker Hill Loan Depositary Trust Series 2019-1 Class A1 144A		3.61			10-26-2048		2,525,973		2,573,810
CD Commercial Mortgage Trust Series 2016-CD1 Class A1		1.44			8-10-2049		1,042,187		1,029,295
CD Commercial Mortgage Trust Series 2016-CD1 Class ASB		2.62			8-10-2049		3,720,000		3,738,692
CD Commercial Mortgage Trust Series 2017-CD4 Class A4 ±±		3.51			5-10-2050		2,986,000		3,122,493
CD Commercial Mortgage Trust Series 2017-CD4 Class ASB		3.32			5-10-2050		2,105,000		2,174,005
CD Commercial Mortgage Trust Series 2017-CD6 Class ASB		3.33			11-13-2050		5,323,000		5,502,909
CFCRE Commercial Mortgage Trust Series 2016-C3 Class A1		1.79			1-10-2048		1,260,426		1,251,650
CFCRE Commercial Mortgage Trust Series 2016-C7 Class A2		3.59			12-10-2054		2,861,000		2,987,497
CFCRE Commercial Mortgage Trust Series 2016-C7 Class A3		3.84			12-10-2054		4,014,000		4,256,863
CFCRE Commercial Mortgage Trust Series 2017-C8 Class A1		1.96			6-15-2050		1,199,141		1,190,880
CFCRE Commercial Mortgage Trust Series 2017-C8 Class ASB		3.37			6-15-2050		2,014,000		2,083,631
Citigroup Commercial Mortgage Trust Series 2015-GC29 Class AS		3.46			4-10-2048		1,353,000		1,396,862
Colt Funding LLC Series 2019-1 Class A1 144A±±		3.71			3-25-2049		3,862,626		3,919,805
Colt Funding LLC Series 2019-2 Class A1 144A±±		3.34			5-25-2049		7,037,909		7,119,213
Commercial Mortgage Pass-Through Certificate Series 2012-CR3 Class A3		2.82			10-15-2045		2,240,762		2,255,420
Commercial Mortgage Pass-Through Certificate Series 2013-CR10 Class A2		2.97			8-10-2046		60,931		62,262
Commercial Mortgage Pass-Through Certificate Series 2013-CR12 Class A4		4.05			10-10-2046		2,289,000		2,416,815
Commercial Mortgage Pass-Through Certificate Series 2013-CR9 Class A4 ±±		4.23			7-10-2045		5,723,302		6,102,619
Commercial Mortgage Pass-Through Certificate Series 2016-C1 Class ASB		2.97			10-10-2049		2,071,000		2,095,274
Commercial Mortgage Trust Series 2012-CR4 Class A2		1.80			10-15-2045		413,500		404,662
Commercial Mortgage Trust Series 2018-COR3 Class A3		4.23			5-10-2051		3,866,000		4,238,420
Commercial Real Estate Products & Resources Estate Series 2016-C4 Class ASB		3.09			5-10-2058		2,871,000		2,930,956

The accompanying notes are an integral part of these financial statements.

44 Wells Fargo Core Bond Portfolio Portfolio of investments—May 31, 2019

Security name	Interest rate			Maturity date		Principal		Value
Non-Agency Mortgage-Backed Securities(continued)
Credit Suisse Mortgage Trust Series 2016-NSXR Class A4 ±±		3.79	%		12-15-2049	$	8,835,000	$	9,328,073
CSAIL Commercial Mortgage Trust Series 2015-C2 Class A4		3.50			6-15-2057		2,953,000		3,066,978
CSAIL Commercial Mortgage Trust Series 2015-C3 Class A4		3.72			8-15-2048		3,721,000		3,908,842
CSAIL Commercial Mortgage Trust Series 2015-C4 Class A4		3.81			11-15-2048		6,095,200		6,445,628
CSAIL Commercial Mortgage Trust Series 2016-C5 Class ASB		3.53			11-15-2048		865,000		895,223
Deutsche Bank Commercial Mortgage Trust Series 2017-C6 Class ASB		3.12			6-10-2050		1,249,000		1,278,900
GS Mortgage Securities Trust Series 2012-GCJ7 Class AAB		2.94			5-10-2045		252,564		252,774
GS Mortgage Securities Trust Series 2014-GCJ18 Class A3		3.80			1-10-2047		1,738,083		1,815,926
GS Mortgage Securities Trust Series 2015-GC34 Class A4		3.51			10-10-2048		2,820,000		2,941,299
GS Mortgage Securities Trust Series 2016-GS3 Class AAB		2.78			10-10-2049		3,117,000		3,150,283
GS Mortgage Securities Trust Series 2017-GS6 Class A3		3.43			5-10-2050		4,851,364		5,043,581
GS Mortgage Securities Trust Series 2017-GSJ7 Class A4		3.43			8-10-2050		2,986,000		3,085,521
Impact Funding LLC Series 2010-1 Class A1 144A		5.31			1-25-2051		6,934,249		7,495,701
JPMDB Commercial Mortgage Securities Series 2014-C23 Class A4		3.67			9-15-2047		2,419,000		2,529,491
JPMDB Commercial Mortgage Securities Series 2015-C33 Class A4		3.77			12-15-2048		1,554,714		1,646,812
JPMDB Commercial Mortgage Securities Series 2017-C5 A5		3.69			3-15-2050		5,010,000		5,298,611
JPMDB Commercial Mortgage Securities Series 2017-C5 Class ASB		3.49			3-15-2050		861,000		896,891
JPMDB Commercial Mortgage Securities Series 2018-C8 Class A3		3.94			6-15-2051		2,516,000		2,708,637
JPMDB Commercial Mortgage Securities Series 2018-C8 Class ASB		4.15			6-15-2051		2,714,000		2,938,608
JPMorgan Chase Commercial Mortgage Securities Corporation Series 2014-C20 Class A2		2.87			7-15-2047		343,857		343,439
JPMorgan Chase Commercial Mortgage Securities Corporation Series 2016-C1 Class A5		3.58			3-15-2049		1,992,000		2,087,841
JPMorgan Chase Commercial Mortgage Securities Corporation Series 2016-JP2 Class A1		1.32			8-15-2049		1,944,816		1,922,731
JPMorgan Chase Commercial Mortgage Securities Corporation Series 2017-JP5 Class ASB		3.55			3-15-2050		6,129,000		6,402,446
JPMorgan Chase Commercial Mortgage Securities Corporation Series 2017-JP6 Class ASB		3.28			7-15-2050		2,343,000		2,419,737
JPMorgan Chase Commercial Mortgage Securities Trust Series 2015-C28 Class A2		2.77			10-15-2048		1,730,941		1,730,008
JPMorgan Chase Commercial Mortgage Securities Trust Series 2015-C28 Class A3		2.91			10-15-2048		10,965,000		11,066,840
JPMorgan Chase Commercial Mortgage Securities Trust Series 2015-JP2 Class ASB		2.71			8-15-2049		2,765,000		2,783,071
JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-COR4 Class A5		4.03			3-10-2052		3,771,000		4,089,098
JPMorgan Mortgage Trust Series 2016-5 Class A1 144A±±		2.64			12-25-2046		2,825,774		2,813,268
JPMorgan Mortgage Trust Series 2017-5 Class A1 144A±±		3.17			10-26-2048		24,800,015		24,929,392
Morgan Stanley Bank of America Merrill Lynch Trust Series2015-C20 Class A4		3.25			2-15-2048		800,041		821,456
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C27 Class A4		3.75			12-15-2047		754,000		796,069
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30 Class A4		2.60			9-15-2049		4,774,000		4,709,882
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30 Class ASB		2.73			9-15-2049		9,888,000		9,951,739
Morgan Stanley Capital I Trust Series 2016-UB11 Class A1		1.45			8-15-2049		2,148,210		2,125,293
Morgan Stanley Capital I Trust Series 2016-UB11 Class ASB		2.61			8-15-2049		2,119,000		2,120,222
Morgan Stanley Capital I Trust Series 2016-UBS9 Class A1		1.71			3-15-2049		1,118,229		1,108,348
New Residential Mortgage Loan Trust Series 2019-NQM2 Class A1 144A±±		3.60			4-25-2049		3,662,094		3,719,169
SoFi Professional Loan Program LLC Series 2016-A Class A2 144A		2.76			12-26-2036		3,102,032		3,112,040
SoFi Professional Loan Program LLC Series 2016-D Class A1 (1 Month LIBOR +0.95%) 144A±		3.38			1-25-2039		559,758		562,005
SoFi Professional Loan Program LLC Series 2016-E Class A1 (1 Month LIBOR +0.85%) 144A±		3.28			7-25-2039		1,229,080		1,229,826
SoFi Professional Loan Program LLC Series 2017-A Class A1 (1 Month LIBOR +0.70%) 144A±		3.13			3-26-2040		1,233,437		1,235,901
SoFi Professional Loan Program LLC Series 2017-D Class A2 144A		2.65			9-25-2040		666,000		668,756

The accompanying notes are an integral part of these financial statements.

Portfolio of investments—May 31, 2019 Wells Fargo Core Bond Portfolio 45

Security name	Interest rate			Maturity date		Principal		Value
Non-Agency Mortgage-Backed Securities(continued)
SoFi Professional Loan Program LLC Series 2017-E Class A1 (1 Month LIBOR +0.50%) 144A±		2.93	%		11-26-2040	$	968,255	$	966,124
SoFi Professional Loan Program LLC Series 2017-E Class A2B 144A		2.72			11-26-2040		9,979,000		9,996,423
SoFi Professional Loan Program LLC Series 2018-B Class A2FX 144A		3.34			8-25-2047		8,978,000		9,169,339
Verus Securitization Trust Series 2019-1 Class A1 144A±±		3.40			12-25-2059		5,070,778		5,139,733
Verus Securitization Trust Series 2019-1 Class A1 144A±±		3.84			2-25-2059		3,190,075		3,241,718
Verus Securitization Trust Series 2019-2 Class A1 144A±±		3.21			4-25-2059		13,413,000		13,412,732
Visio Trust Series 2019-1 Class A1 144A±±		3.57			6-25-2054		2,758,446		2,781,361
Total Non-Agency Mortgage-Backed Securities (Cost $278,130,909)									282,723,688
U.S. Treasury Securities: 29.37%
U.S. Treasury Bond		2.75			11-15-2042		40,480,000		42,015,394
U.S. Treasury Bond		2.75			8-15-2047		55,269,000		57,203,415
U.S. Treasury Bond		2.75			11-15-2047		118,190,000		122,303,566
U.S. Treasury Bond		2.88			5-15-2049		11,761,000		12,501,575
U.S. Treasury Bond		3.00			2-15-2048		82,814,000		89,892,009
U.S. Treasury Bond		3.00			2-15-2049		20,741,000		22,581,764
U.S. Treasury Note		1.38			8-31-2020		38,599,000		38,241,658
U.S. Treasury Note		1.38			9-30-2020		39,925,000		39,541,346
U.S. Treasury Note		1.38			1-31-2021		4,749,000		4,699,469
U.S. Treasury Note		1.50			7-15-2020		22,402,000		22,232,235
U.S. Treasury Note		1.63			8-31-2022		53,681,000		53,225,970
U.S. Treasury Note		1.63			4-30-2023		10,991,000		10,869,927
U.S. Treasury Note ##		1.63			2-15-2026		79,371,000		77,411,528
U.S. Treasury Note		2.00			8-31-2021		28,403,000		28,448,489
U.S. Treasury Note		2.00			5-31-2024		69,541,000		69,804,495
U.S. Treasury Note		2.00			8-15-2025		19,423,000		19,419,965
U.S. Treasury Note		2.13			1-31-2021		29,739,000		29,792,437
U.S. Treasury Note		2.13			5-31-2021		66,635,000		66,882,278
U.S. Treasury Note		2.13			5-15-2022		6,301,000		6,343,827
U.S. Treasury Note ##		2.13			2-29-2024		70,887,000		71,493,416
U.S. Treasury Note		2.13			5-31-2026		13,050,000		13,128,504
U.S. Treasury Note		2.25			3-31-2021		18,801,000		18,891,333
U.S. Treasury Note		2.25			4-15-2022		2,208,000		2,229,821
U.S. Treasury Note		2.25			1-31-2024		12,485,000		12,659,107
U.S. Treasury Note		2.25			11-15-2024		4,078,000		4,136,303
U.S. Treasury Note		2.25			11-15-2025		21,518,000		21,820,597
U.S. Treasury Note		2.25			11-15-2027		43,953,000		44,335,698
U.S. Treasury Note		2.38			4-15-2021		27,337,000		27,536,688
U.S. Treasury Note ##		2.38			5-15-2029		76,356,000		77,984,530
U.S. Treasury Note		2.50			6-30-2020		5,281,000		5,296,678
U.S. Treasury Note		2.50			12-31-2020		54,754,000		55,149,683
U.S. Treasury Note		2.50			1-31-2021		32,970,000		33,230,154
U.S. Treasury Note ##		2.50			2-28-2021		82,256,000		82,962,888
U.S. Treasury Note ##		2.63			7-31-2020		89,499,000		89,942,999
U.S. Treasury Note		2.63			8-31-2020		18,235,000		18,341,846
U.S. Treasury Note		2.63			11-15-2020		4,403,000		4,438,774
U.S. Treasury Note ##		2.75			9-30-2020		89,791,000		90,545,104
U.S. Treasury Note		2.75			11-30-2020		28,200,000		28,486,406
U.S. Treasury Note		2.75			5-31-2023		21,377,000		22,057,557

The accompanying notes are an integral part of these financial statements.

46 Wells Fargo Core Bond Portfolio Portfolio of investments—May 31, 2019

Security name	Interest rate			Maturity date		Principal		Value
U.S. Treasury Securities(continued)
U.S. Treasury Note		2.75	%		8-31-2025	$	35,864,000	$	37,430,248
U.S. Treasury Note		2.88			5-31-2025		15,478,000		16,249,482
U.S. Treasury Note ##		2.88			8-15-2028		56,514,000		60,048,332
U.S. Treasury Note		3.13			11-15-2028		46,180,000		50,092,673
U.S. Treasury Note		6.00			2-15-2026		7,212,000		8,999,787
Total U.S. Treasury Securities (Cost $1,674,777,579)									1,710,899,955
Yankee Corporate Bonds and Notes: 3.61%
Communication Services: 0.15%
Wireless Telecommunication Services: 0.15%
America Movil SAB de CV		3.63			4-22-2029		2,665,000		2,703,189
America Movil SAB de CV		4.38			4-22-2049		2,090,000		2,148,499
Vodafone Group plc		3.75			1-16-2024		3,842,000		3,941,029
									8,792,717
Consumer Staples: 0.27%
Food Products: 0.27%
Danone SA 144A		2.59			11-2-2023		1,940,000		1,922,469
Danone SA 144A		2.95			11-2-2026		14,218,000		14,022,696
									15,945,165
Energy: 0.55%
Energy Equipment & Services: 0.07%
Schlumberger Limited 144A		2.65			11-20-2022		4,032,000		4,037,623
Oil, Gas & Consumable Fuels: 0.48%
Ecopetrol SA		5.88			5-28-2045		1,945,000		1,998,293
Enbridge Incorporated		2.90			7-15-2022		4,272,000		4,277,177
Encana Corporation		6.50			2-1-2038		2,059,000		2,452,833
Petroleos Mexicanos Company		2.38			4-15-2025		2,177,400		2,186,178
Petroleos Mexicanos Company		2.46			12-15-2025		5,645,500		5,677,017
Petroleos Mexicanos Company		6.35			2-12-2048		8,926,000		7,791,505
Petroleos Mexicanos Company		6.75			9-21-2047		3,817,000		3,450,186
									27,833,189
Financials: 2.08%
Banks: 1.74%
Banco Santander SA		3.80			2-23-2028		3,000,000		2,949,741
Barclays plc (3 Month LIBOR +1.61%) ±		3.93			5-7-2025		7,157,000		7,115,584
Barclays plc (3 Month LIBOR +1.36%) ±		4.34			5-16-2024		1,595,000		1,622,718
Barclays plc (3 Month LIBOR +1.40%) ±		4.61			2-15-2023		6,463,000		6,615,084
Barclays plc (3 Month LIBOR +1.90%) ±		4.97			5-16-2029		3,680,000		3,814,921
Canadian Imperial Bank		3.10			4-2-2024		11,169,000		11,290,485
Danske Bank A/S 144A		5.38			1-12-2024		3,344,000		3,533,546
Danske Bank A/S 144A		3.88			9-12-2023		5,959,000		5,980,793
HSBC Holdings plc (3 Month LIBOR +1.21%) ±		3.80			3-11-2025		10,619,000		10,836,658
HSBC Holdings plc (3 Month LIBOR +1.61%) ±		3.97			5-22-2030		8,663,000		8,749,404

The accompanying notes are an integral part of these financial statements.

Portfolio of investments—May 31, 2019 Wells Fargo Core Bond Portfolio 47

Security name	Interest rate			Maturity date		Principal		Value
Banks(continued)
ING Groep NV		3.55	%		4-9-2024	$	6,023,000	$	6,107,923
ING Groep NV		4.05			4-9-2029		1,238,000		1,266,017
Lloyds Banking Group plc		3.90			3-12-2024		4,775,000		4,862,961
Mitsubishi UFJ Financial Group Incorporated		3.22			3-7-2022		3,718,000		3,780,789
Mitsubishi UFJ Financial Group Incorporated		3.41			3-7-2024		9,095,000		9,317,313
Standard Chartered plc (3 Month LIBOR +1.56%) 144A±		3.79			5-21-2025		5,137,000		5,130,918
Standard Chartered plc (3 Month LIBOR +1.91%) 144A±		4.31			5-21-2030		3,572,000		3,552,258
Westpac Banking Corporation		3.30			2-26-2024		5,017,000		5,147,047
									101,674,160
Capital Markets: 0.16%
Credit Suisse Group AG 144A		4.28			1-9-2028		9,074,000		9,317,353
Consumer Finance: 0.02%
UBS Group Funding Switzerland 144A		4.25			3-23-2028		1,352,000		1,417,815
Diversified Financial Services: 0.11%
GE Capital International Funding Company		4.42			11-15-2035		1,897,000		1,803,443
Shell International Finance BV		3.25			5-11-2025		4,272,000		4,395,299
									6,198,742
Insurance: 0.05%
Enstar Group Limited		4.95			6-1-2029		2,652,000		2,644,758
Health Care: 0.10%
Pharmaceuticals: 0.10%
Sanofi SA		3.38			6-19-2023		5,539,000		5,720,956
Industrials: 0.15%
Chemicals: 0.03%
LYB International Finance II BV		3.50			3-2-2027		1,974,000		1,918,249
Professional Services: 0.12%
IHS Markit Limited		3.63			5-1-2024		3,460,000		3,485,258
IHS Markit Limited		4.25			5-1-2029		3,460,000		3,531,933
									7,017,191
Materials: 0.14%
Metals & Mining: 0.14%
Teck Resources Limited		6.25			7-15-2041		7,522,000		7,882,221
Utilities: 0.17%
Electric Utilities: 0.17%
Electricite de France SA 144A		4.50			9-21-2028		5,764,000		6,109,130
Electricite de France SA 144A		4.95			10-13-2045		1,957,000		2,091,375
Electricite de France SA 144A		5.00			9-21-2048		1,656,000		1,781,590
									9,982,095
Total Yankee Corporate Bonds and Notes (Cost $206,632,317)									210,382,234

The accompanying notes are an integral part of these financial statements.

48 Wells Fargo Core Bond Portfolio Portfolio of investments—May 31, 2019

Security name	Interest rate			Maturity date		Principal		Value
Yankee Government Bonds: 0.54%
Republic of Colombia		5.20	%		5-15-2049	$	3,313,000	$	3,536,661
Republic of Paraguay 144A		5.40			3-30-2050		2,940,000		3,075,975
Saudi International Bond 144A		5.25			1-16-2050		1,871,000		2,059,653
State of Qatar 144A		3.38			3-14-2024		3,924,000		4,012,290
United Mexican States		4.50			4-22-2029		15,049,000		15,628,536
United Mexican States		4.60			2-10-2048		3,504,000		3,429,540
Total Yankee Government Bonds (Cost $30,395,578)									31,742,655
	Yield					Shares
Short-Term Investments: 2.06%
Investment Companies: 2.06%
Securities Lending Cash Investments LLC (l)(r)(u)		2.51					2,778,863		2,779,141
Wells Fargo Government Money Market Fund Select Class (l)(u)		2.30					117,422,859		117,422,859
Total Short-Term Investments (Cost $120,202,000)									120,202,000

Total investments in securities (Cost $6,114,515,563)	107.21	%		6,245,576,770
Other assets and liabilities, net	(7.21	)		(419,831,838	)
Total net assets	100.00	%	$	5,825,744,932

± Variable rate investment. The rate shown is the rate in effect at period end.

(a) The security is fair valued in accordance with procedures approved by the Board of Trustees.

%% The security is issued on a when-issued basis.

±± The coupon of the security is adjusted based on the principal and interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages.

144A The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933.

« All or a portion of this security is on loan.

@ Foreign bond principal is denominated in the local currency of the issuer.

## All or a portion of this security is segregated for when-issued securities.

(l) The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

(r) The investment is a non-registered investment company purchased with cash collateral received from securities on loan.

(u) The rate represents the 7-day annualized yield at period end.

Abbreviations:

CAD Canadian dollar

FHLMC Federal Home Loan Mortgage Corporation

FNMA Federal National Mortgage Association

GNMA Government National Mortgage Association

GO General obligation

LIBOR London Interbank Offered Rate

REIT Real estate investment trust

The accompanying notes are an integral part of these financial statements.

Portfolio of investments—May 31, 2019 Wells Fargo Core Bond Portfolio 49

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Shares, beginning of period		Shares purchased		Shares sold		Shares, end of period		Net realized gains		Net change in unrealized gains (losses)		Income from affiliated securities		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Securities Lending Cash Investments LLC		57,959,204		518,712,870		573,893,211		2,778,863	$	19	$	0	$	437,848	$	2,779,141
Wells Fargo Government Money Market Fund Select Class		118,801,553		4,094,852,367		4,096,231,061		117,422,859		0		0		2,073,489		117,422,859
									$	19	$	0	$	2,511,337	$	120,202,000		2.06	%

The accompanying notes are an integral part of these financial statements.

50 Wells Fargo Core Bond Portfolio Statement of assets and liabilities—May 31, 2019

Assets
Investments in unaffiliated securities (including $2,704,886 of securities loaned), at value (cost $5,994,313,563)	$	6,125,374,770
Investments in affiliated securities, at value (cost $120,202,000)		120,202,000
Cash		17,794
Receivable for investments sold		610,219,668
Principal paydown receivable		5,579
Receivable for interest		28,918,836
Receivable for securities lending income, net		757
Prepaid expenses and other assets		161,156
Total assets		6,884,900,560
Liabilities
Payable for investments purchased		551,733,233
Payable for when-issued transactions		502,478,866
Payable upon receipt of securities loaned		2,773,750
Advisory fee payable		1,773,482
Cash collateral due to broker		293,000
Accrued expenses and other liabilities		103,297
Total liabilities		1,059,155,628
Total net assets	$	5,825,744,932

The accompanying notes are an integral part of these financial statements.

Statement of operations—year ended May 31, 2019 Wells Fargo Core Bond Portfolio 51

Investment income
Interest	$	184,627,443
Income from affiliated securities		2,169,425
Total investment income		186,796,868
Expenses
Advisory fee		19,495,525
Custody and accounting fees		253,103
Professional fees		78,619
Shareholder report expenses		4,077
Trustees’ fees and expenses		20,976
Other fees and expenses		23,114
Net expenses		19,875,414
Net investment income		166,921,454
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS
Net realized gains (losses) on:
Unaffiliated securities		(17,686,421	)
Affiliated securities		19
Net realized losses on investments		(17,686,402	)
Net change in unrealized gains (losses) on investments		194,869,104
Net realized and unrealized gains (losses) on investments		177,182,702
Net increase in net assets resulting from operations	$	344,104,156

The accompanying notes are an integral part of these financial statements.

52 Wells Fargo Core Bond Portfolio Statement of changes in net assets

	Year ended May 31, 2019			Year ended May 31, 2018
Operations
Net investment income	$	166,921,454		$	122,888,295
Net realized losses on investments		(17,686,402	)		(55,887,139	)
Net change in unrealized gains (losses) on investments		194,869,104			(99,688,813	)
Net increase (decrease) in net assets resulting from operations		344,104,156			(32,687,657	)
Capital transactions
Transactions in investors’ beneficial interests
Contributions		697,097,878			910,938,479
Withdrawals		(888,699,376	)		(395,554,370	)
Net increase (decrease) in net assets resulting from capital transactions		(191,601,498	)		515,384,109
Total increase in net assets		152,502,658			482,696,452
Net assets
Beginning of period		5,673,242,274			5,190,545,822
End of period	$	5,825,744,932		$	5,673,242,274

The accompanying notes are an integral part of these financial statements.

Financial highlights Wells Fargo Core Bond Portfolio 53

	Year ended May 31
	2019			2018			2017			2016			2015
Total return		6.30	%		(0.53	)%		1.89	%		2.78	%		3.22	%
Ratios to average net assets (annualized)
Gross expenses		0.35	%		0.35	%		0.35	%		0.36	%		0.37	%
Net expenses		0.35	%		0.35	%		0.35	%		0.35	%		0.35	%
Net investment income		2.93	%		2.23	%		1.87	%		1.86	%		1.82	%
Supplemental data
Portfolio turnover rate		577	%		542	%		614	%		667	%		586	%

The accompanying notes are an integral part of these financial statements.

54 Wells Fargo Core Bond Portfolio Notes to financial statements

1. ORGANIZATION

Wells Fargo Master Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As an investment company, the Trust follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statements report on the Wells Fargo Core Bond Portfolio (the “Portfolio”) which is a diversified series of the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the Portfolio, are in conformity with U.S. generally accepted accounting principles which require management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Portfolio may deviate from this calculation time under unusual or unexpected circumstances.

Debt securities are valued at the evaluated bid price provided by an independent pricing service (e.g. taking into account various factors, including yields, maturities, or credit ratings) or, if a reliable price is not available, the quoted bid price from an independent broker-dealer.

The values of securities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC (“Funds Management”).

Investments in registered open-end investment companies are valued at net asset value. Interests in non-registered investment companies that are redeemable at net asset value are fair valued normally at net asset value.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Portfolio. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee. The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.

Foreign currency translation

The accounting records of the Portfolio are maintained in U.S. dollars. The values of other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee. Purchases and sales of securities, and income and expenses are converted at the rate of exchange on the respective dates of such transactions. Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded and the U.S. dollar equivalent of the amounts actually paid or received. Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities other than investments in securities resulting from changes in exchange rates. The changes in net assets arising from changes in exchange rates of securities and the changes in net assets resulting from changes in market prices of securities are not separately presented. Such changes are included in net realized and unrealized gains or losses from investments

Securities lending

The Portfolio may lend its securities from time to time in order to earn additional income in the form of fees or interest on securities received as collateral or the investment of any cash received as collateral. When securities are on loan, the Portfolio receives interest or dividends on the securities loaned. The Portfolio receives collateral in the form of cash or securities with a value at least equal to the value of the securities on loan. The value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Portfolio on the next business day. In a securities lending transaction, the net asset value of the Portfolio will be affected by an increase or decrease in

Notes to financial statements Wells Fargo Core Bond Portfolio 55

the value of the securities loaned and by an increase or decrease in the value of the instrument in which collateral is invested. The amount of securities lending activity undertaken by the Portfolio fluctuates from time to time. In the event of default or bankruptcy by the borrower, the Portfolio may be prevented from recovering the loaned securities or gaining access to the collateral or may experience delays or costs in doing so. In addition, the investment of any cash collateral received may lose all or part of its value. The Portfolio has the right under the lending agreement to recover the securities from the borrower on demand.

The Portfolio lends its securities through an unaffiliated securities lending agent. Cash collateral received in connection with its securities lending transactions is invested in Securities Lending Cash Investments, LLC (the “Securities Lending Fund”). The Securities Lending Fund is exempt from registration under Section 3(c)(7) of the 1940 Act and is managed by Funds Management and is subadvised by Wells Capital Management Incorporated (“WellsCap”), an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”). Funds Management receives an advisory fee starting at 0.05% and declining to 0.01% as the average daily net assets of the Securities Lending Fund increase. All of the fees received by Funds Management are paid to WellsCap for its services as subadviser. The Securities Lending Fund seeks to provide a positive return compared to the daily Fed Funds Open Rate by investing in high-quality, U.S. dollar-denominated short-term money market instruments. Securities Lending Fund investments are valued at the evaluated bid price provided by an independent pricing service. Income earned from investment in the Securities Lending Fund (net of fees and rebates), if any, is included in income from affiliated securities on the Statement of Operations.

When-issued transactions

The Portfolio may purchase securities on a forward commitment or when-issued basis. The Portfolio records a when-issued transaction on the trade date and will segregate assets in an amount at least equal in value to the Portfolio’s commitment to purchase when-issued securities. Securities purchased on a when-issued basis are marked-to-market daily and the Portfolio begins earning interest on the settlement date. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract.

Security transactions and income recognition

Securities transactions are recorded on a trade date basis. Realized gains or losses are recorded on the basis of identified cost.

Interest income is accrued daily and bond discounts are accreted and premiums are amortized daily. To the extent debt obligations are placed on non-accrual status, any related interest income may be reduced by writing off interest receivables when the collection of all or a portion of interest has been determined to be doubtful based on consistently applied procedures and the fair value has decreased. If the issuer subsequently resumes interest payments or when the collectability of interest is reasonably assured, the debt obligation is removed from non-accrual status.

Federal and other taxes

The Portfolio is treated as a separate entity for federal income tax purposes. The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains as it is treated as a partnership for federal income tax purposes. All interest, gains and losses of the Portfolio are deemed to have been “passed through” to the interest holders in proportion to their holdings of the Portfolio regardless of whether such interest 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 May 31, 2019, the aggregate cost of all investments for federal income tax purposes was $6,119,860,738 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	134,431,823
Gross unrealized losses		(8,715,791	)
Net unrealized gains	$	125,716,032

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)

56 Wells Fargo Core Bond Portfolio Notes to financial statements

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 May 31, 2019:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Agency securities	$	0	$	2,092,939,090	$	0	$	2,092,939,090
Asset-backed securities		0		606,746,521		0		606,746,521
Corporate bonds and notes		0		1,155,611,191		0		1,155,611,191
Foreign corporate bonds & notes		0		2,229,608		0		2,229,608
Municipal obligations		0		32,099,828		0		32,099,828
Non-agency mortgage-back securities		0		282,723,688		0		282,723,688
U.S. Treasury securities		1,710,899,955		0		0		1,710,899,955
Yankee corporate bonds and notes		0		210,382,234		0		210,382,234
Yankee government bonds		0		31,742,655		0		31,742,655
Short-term investments
Investment companies		117,422,859		2,779,141		0		120,202,000
Total assets	$	1,828,322,814	$	4,417,253,956	$	0	$	6,245,576,770

Additional sector, industry or geographic detail is included in the Portfolio of Investments.

At May 31, 2019, 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 $500 million		0.400	%
Next $500 million		0.375
Next $2 billion		0.350
Next $2 billion		0.325
Next $5 billion		0.300
Over $10 billion		0.290

Notes to financial statements Wells Fargo Core Bond Portfolio 57

For the year ended May 31, 2019, the advisory fee was equivalent to an annual rate of 0.34% of the Portfolio’s average daily net assets.

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Portfolio. The fee for subadvisory services is borne by Funds Management. WellsCap, is the subadviser to the Portfolio and is entitled to receive a fee from Funds Management at an annual rate starting at 0.20% and declining to 0.10% as the average daily net assets of the Portfolio increase.

Interfund transactions

The Portfolio may purchase or sell portfolio investment securities to certain other Wells Fargo affiliates pursuant toRule 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 year ended May 31, 2019 were as follows:

Purchases at cost		Sales proceeds
U.S. government	Non-U.S. government	U.S. government	Non-U.S. government
$30,342,307,183	$4,201,786,341	$30,100,867,040	$4,196,071,303

6. BANK BORROWINGS

Effective August 28, 2018, the Trust, along with Wells Fargo Variable Trust and Wells Fargo Funds Trust (excluding the money market funds), are parties to a $280,000,000 revolving credit agreement whereby the Portfolio is permitted to use bank borrowings for temporary or emergency purposes, such as to fund shareholder redemption requests. Interest under the credit agreement is charged to the Portfolio based on a borrowing rate equal to the higher of the Federal Funds rate in effect on that day plus 1.25% or the overnight LIBOR rate in effect on that day plus 1.25%. In addition, an annual commitment fee equal to 0.25% of the unused balance is allocated to each participating fund.

For the year ended May 31, 2019, there were no borrowings by the Portfolio under the agreement.

7. INDEMNIFICATION

Under the Trust’s organizational documents, the officers and Trustees have been granted certain indemnification rights against certain liabilities that may arise out of performance of their duties to the Trust. Additionally, in the normal course of business, the Trust may enter into contracts with service providers that contain a variety of indemnification clauses. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the Portfolio and, therefore, cannot be estimated.

8. NEW ACCOUNTING PRONOUNCEMENTS

In August 2018, FASB issued Accounting Standards Update (“ASU”) No. 2018-13, Fair Value Measurement (Topic 820)Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement. ASU 2018-13 updates the disclosure requirements for fair value measurements by modifying or removing certain disclosures and adding certain new disclosures. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Early adoption is permitted. Management has adopted the removal and modification of disclosures early, as permitted, and will adopt the additional new disclosures at the effective date.

In March 2017, FASB issued ASU No. 2017-08,Premium Amortization on Purchased Callable Debt Securities. ASU 2017-08 shortens the amortization period for certain callable debt securities held at a premium. The amendments require the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount; the discount continues to be amortized to maturity. ASU 2017-08 is effective for fiscal years beginning after December 15, 2018 and for interim periods within those fiscal years. Management has evaluated the impact of adopting this ASU and determined that it will not result in any material changes to the disclosures in the financial statements.

58 Wells Fargo Core Bond Portfolio Report of independent registered public accounting firm

TO THE SHAREHOLDERS OF THE PORTFOLIO AND BOARD OF TRUSTEES OF WELLS FARGO MASTER TRUST:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Wells Fargo Core Bond Portfolio (the Portfolio), one of the portfolios constituting Wells Fargo Master Trust, including the portfolio of investments, as of May 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Portfolio as of May 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of May 31, 2019, by correspondence with the custodian and brokers, or by other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

We have not been able to determine the specific year that we began serving as the auditor of one or more Wells Fargo Funds investment companies; however we are aware that we have served as the auditor of one or more Wells Fargo Funds investment companies since at least 1955.

Boston, Massachusetts

July 26, 2019

Other information (unaudited) Wells Fargo Core Bond Fund 59

TAX INFORMATION

For the fiscal year ended May 31, 2019, $139,712,747 has been designated as interest-related dividends for nonresident alien shareholders pursuant to Section 871 of the Internal Revenue Code.

For the fiscal year ended May 31, 2019, 21.30% of the ordinary income distributed was derived from interest on U.S. government.

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 calling1-800-222-8222, 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 atwfam.com or by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS

The Fund and Portfolio file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

60 Wells Fargo Core Bond Fund Other information (unaudited)

BOARD OF TRUSTEES AND OFFICERS

Each of the Trustees and Officers¹ listed in the table below acts in identical capacities for each fund in the Wells Fargo family of funds, which consists of 151 mutual funds comprising the Wells Fargo Funds Trust, Wells Fargo Variable Trust, Wells Fargo Master Trust and four closed-end funds (collectively the “Fund Complex”). This table should be read in conjunction with the Prospectus and the Statement of Additional Information². The mailing address of each Trustee and Officer is 525 Market Street, 12th Floor, San Francisco, CA 94105. Each Trustee and Officer serves an indefinite term, however, each Trustee serves such term until reaching the mandatory retirement age established by the Trustees.

Independent Trustees

Name and year of birth	Position held and length of service*	Principal occupations during past five years or longer	Current other public company or investment company directorships
William R. Ebsworth (Born 1957)	Trustee, since 2015	Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder.	N/A
Jane A. Freeman (Born 1953)	Trustee, since 2015; Chair Liaison, since 2018	Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is a Board Member of The Ruth Bancroft Garden (non-profit organization). She is also an inactive Chartered Financial Analyst.	N/A
Isaiah Harris, Jr. (Born 1952)	Trustee, since 2009; Audit Committee Chairman, since 2019	Retired. Chairman of the Board of CIGNA Corporation since 2009, and Director since 2005. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Child Evangelism Fellowship (non-profit). Mr. Harris is a certified public accountant (inactive status).	CIGNA Corporation
Judith M. Johnson (Born 1949)	Trustee, since 2008; Audit Committee Chairman, from 2009 to 2018	Retired. Prior thereto, Chief Executive Officer and Chief Investment Officer of Minneapolis Employees Retirement Fund from 1996 to 2008. Ms. Johnson is an attorney, certified public accountant and a certified managerial accountant.	N/A

Other information (unaudited) Wells Fargo Core Bond Fund 61

Name and year of birth	Position held and length of service*	Principal occupations during past five years or longer	Current other public company or investment company directorships
David F. Larcker (Born 1950)	Trustee, since 2009	James Irvin Miller Professor of Accounting at the Graduate School of Business, Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005.	N/A
Olivia S. Mitchell (Born 1953)	Trustee, since 2006; Nominating and Governance Committee Chairman, since 2018	International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993.	N/A
Timothy J. Penny (Born 1951)	Trustee, since 1996; Chairman, since 2018	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

* Length of service dates reflect the Trustee’s commencement of service with the Trust’s predecessor entities, where applicable.

62 Wells Fargo Core Bond Fund Other information (unaudited)

Officers

Name and year of birth	Position held and length of service	Principal occupations during past five years or longer
Andrew Owen (Born 1960)	President, since 2017	Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014.
Nancy Wiser1 (Born 1967)	Treasurer, since 2012	Executive Vice President of Wells Fargo Funds Management, LLC since 2011. Chief Operating Officer and Chief Compliance Officer at LightBox Capital Management LLC, from 2008 to 2011.
Alexander Kymn (Born 1973)	Secretary and Chief Legal Officer, since 2018	Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.
Michael H. Whitaker (Born 1967)	Chief Compliance Officer, since 2016	Senior Vice President and Chief Compliance Officer since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016.
David Berardi (Born 1975)	Assistant Treasurer, since 2009	Vice President of Wells Fargo Funds Management, LLC since 2009. Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010. Manager of Fund Reporting and Control for Evergreen Investment Management Company, LLC from 2004 to 2010.
Jeremy DePalma1 (Born 1974)	Assistant Treasurer, since 2009	Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010.

¹ Nancy Wiser acts as Treasurer of 65 funds in the Fund Complex. Jeremy DePalma acts as Treasurer of 86 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 calling1-800-222-8222 or by visiting the website atwfam.com.

Other information (unaudited) Wells Fargo Core Bond Fund 63

BOARD CONSIDERATION OF INVESTMENT MANAGEMENT, ADVISORY AND SUB-ADVISORY AGREEMENTS:

Wells Fargo Core Bond Fund and Wells Fargo Core Bond 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”, and 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 an in-person meeting held on May 21-22, 2019 (the “Meeting”), the Funds Trust Board, 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 Wells Fargo Core Bond Fund (the “Gateway Fund”) an investment management agreement (the “Gateway Fund Management Agreement”) with Wells Fargo Funds Management, LLC (“Funds Management”).

At the Meeting, the Master Trust Board, 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: (i) an investment advisory agreement (the “Master Portfolio Advisory Agreement”) with Funds Management for Wells Fargo Core Bond Portfolio, a portfolio of Master Trust (the “Master Portfolio”); and (ii) an investment sub-advisory agreement (the “Sub-Advisory Agreement”) with Wells Capital Management Incorporated (the “Sub-Adviser”).

The Gateway Fund and the Master Portfolio are collectively referred to as the “Funds.” The Gateway Fund Management Agreement, the Master Portfolio Advisory Agreement and the Sub-Advisory Agreement are collectively referred to as the “Advisory Agreements.”

The Gateway Fund is a gateway feeder fund that invest substantially all of its assets in the Master Portfolio. The Master Portfolio has a substantially similar investment objective and substantially similar investment strategies to the Gateway Fund. Information provided to the Boards regarding the Gateway Fund is also applicable to the Master Portfolio, 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-Adviser and the approval of the Advisory Agreements. Prior to the Meeting, including at an in-person meeting in April 2019, 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-Adviser 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 2019. 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-Adviser 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 Funds Trust Board unanimously approved the continuation of the Gateway Fund Management 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 the Sub-Advisory Agreement, each for a one-year term. The Boards also determined that the compensation payable to Funds Management and the Sub-Adviser 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-Adviser under the Advisory Agreements. This information included a

64 Wells Fargo Core Bond Fund Other information (unaudited)

description of the investment advisory services and Fund-level administrative services, 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-Adviser are a part, a summary of investments made in the business of WFAM, a summary of certain organizational and personnel changes involving Funds Management and the Sub-Adviser, and a description of Funds Management’s and the Sub-Adviser’s business continuity planning programs and of their approaches to data privacy and cybersecurity. The Boards received and reviewed information about Funds Management’s role as administrator of the Funds’ liquidity risk management 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 Boards evaluated the ability of Funds Management and the Sub-Adviser 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-Adviser. 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 Funds over various time periods ended December 31, 2018. 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 Gateway Fund (the “Universe”), and in comparison to the Gateway Fund’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 the performance Universe. The Funds Trust Board noted that the investment performance of the Gateway Fund (Administrator Class) was higher than or in range of the average investment performance of its Universe for the one-, five- and ten-year periods under review, but lower than the average investment performance of its Universe for the three-year period under review. The Funds Trust Board also noted that the investment performance of the Gateway Fund was higher than its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, for the ten-year period under review, but lower than its benchmark for the one-, three- and five-year periods under review.

The Master Trust Board took note of the investment performance of the Master Portfolio in the context of reviewing the investment performance of the Gateway Fund.

The Funds Trust Board received information concerning, and discussed factors contributing to, the underperformance of the Gateway Fund relative to the Universe and benchmark for the periods identified above. The Funds Trust 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 Gateway Fund’s investment performance.

The Funds Trust Board also received and considered information regarding the Gateway Fund’s net operating expense ratios, which include fees and expenses of the Master Portfolio, and their various components, including actual management fees assessed at the Gateway Fund and Master Portfolio levels, custodian and other non-management fees, and Rule 12b-1 and non-Rule 12b-1 shareholder service fees. The Funds Trust Board considered these ratios in comparison to the median ratios of funds in class-specific expense groups that were determined by Broadridge to be similar to the Gateway Fund (the “Groups”). The Funds Trust Board 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. Based on the Broadridge reports, the Funds Trust Board noted that the net operating expense ratios of the Gateway Fund were lower than or equal to the median net operating expense ratios of its expense Groups for each share class.

With respect to the Master Portfolio, the Master Trust Board reviewed 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 a corresponding expense Group.

The Boards took into account the Funds’ investment performance and expense 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 Funds Trust Board noted that Funds Management receives no advisory fees from the Gateway Fund as long as the Gateway Fund continues to invest all (or substantially all) of its assets in a single master portfolio. If the Gateway Fund were to change its investment structure so that it began investing in two or more master portfolios (a fund-of-funds), Funds Management would be entitled to receive an annual fee of 0.25% of the Gateway Fund’s average daily net assets for providing investment advisory services to the Gateway Fund, including allocating the Gateway Fund’s assets to the Master Portfolio.

Other information (unaudited) Wells Fargo Core Bond Fund 65

The Funds Trust Board reviewed and considered the contractual fee rates that are payable by the Gateway Fund to Funds Management under the Gateway Fund Management Agreement, as well as the contractual fee rates payable by the Gateway Fund to Funds Management for class-level administrative services under a Class-Level Administration Agreement, which include, among other things, class-level transfer agency and sub-transfer agency costs (collectively, the “Management Rates”).

The Master Trust Board reviewed and considered the contractual investment advisory fee rate that is payable by the Master Portfolio to Funds Management for investment advisory services under the Master Portfolio Advisory Agreement (the “Advisory Agreement Rate”). The Master Trust Board also reviewed and considered the contractual investment sub-advisory fee rate that is payable by Funds Management to the Sub-Adviser for investment sub-advisory services (the “Sub-Advisory Agreement Rate”).

Among other information reviewed by the Funds Trust Board was a comparison of the Gateway Fund’s Management Rate, which include the advisory fees paid at the Master Portfolio level, with the average contractual investment management fee rates of funds in the expense Groups at a common asset level as well as transfer agency costs of the funds in the expense Groups. The Funds Trust Board noted that the Management Rates of the Gateway Fund were equal to or in range of the sum of these average rates for the Gateway Fund’s expense Groups for all share classes.

The Master Trust Board reviewed a comparison of the Advisory Agreement Rate of the Master Portfolio with those of other funds in the Master Portfolio’s expense Group at a common asset level. The Master Trust Board noted that the Advisory Agreement Rate of the Master Portfolio was in range of the median rate for the Master Portfolio’s expense Group.

The Master Trust Board 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-Adviser for sub-advisory services. In assessing the reasonableness of these amounts, the Master Trust Board 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-Adviser, and about Funds Management’s on-going oversight services. Given the affiliation between Funds Management and the Sub-Adviser, the Master Trust Board 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-Adviser to other types of clients with investment strategies similar to those of the 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 Funds Trust Board determined that the compensation payable to Funds Management under the Gateway Fund Management Agreement was reasonable, and the Master Trust Board determined that the compensation payable to Funds Management under the Master Portfolio Advisory Agreement and to the Sub-Adviser under the Sub-Advisory Agreement was 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-Adviser’s profitability information with respect to providing services to the Master Portfolio 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 the Boards 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

66 Wells Fargo Core Bond Fund Other information (unaudited)

individual fund level, and the extent to which potential scale benefits are shared with shareholders. The Boards noted the existence of breakpoints in the Master Portfolio’s advisory fee structure and the Gateway Fund’s management fee structure, which operate generally to reduce the Funds’ expense ratios as the Funds grow in size. 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 each Fund, 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-Adviser

The Boards received and considered information regarding potential “fall-out” or ancillary benefits received by Funds Management and its affiliates, including the Sub-Adviser, 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-Adviser’s 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-Adviser, fees earned by Funds Management and the Sub-Adviser 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 the Sub-Adviser, 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 Gateway Fund Management 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 the Sub-Advisory Agreement for a one-year term. The Boards also determined that the compensation payable to Funds Management and the Sub-Adviser was reasonable.

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For more information

More information about Wells Fargo Funds is available free upon request. To obtain literature, please write, visit the Fund’s website, or call:

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: 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 Fund. If this report is used for promotional purposes, distribution of the report must be accompanied or preceded by a current prospectus. Before investing, please consider the investment objectives, risks, charges, and expenses of the investment. For a current prospectus and, if available, a summary prospectus, containing this information, call1-800-222-8222 or visit the Fund’s website atwfam.com. Read the prospectus carefully before you invest or send money.

Wells Fargo Asset Management (WFAM) is the trade name for certain investment advisory/management firms owned by Wells Fargo & Company. These firms include but are not limited to Wells Capital Management Incorporated and Wells Fargo Funds Management, LLC. Certain products managed by WFAM entities are distributed by Wells Fargo Funds Distributor, LLC (a broker-dealer and Member FINRA).

This material is for general informational and educational purposes only and is NOT intended to provide investment advice or a recommendation of any kind—including a recommendation for any specific investment, strategy, or plan.

INVESTMENT PRODUCTS: NOT FDIC INSURED  ◾  NO BANK GUARANTEE  ◾   MAY LOSE VALUE

© 2019 Wells Fargo Funds Management, LLC. All rights reserved.

403201 07-19 A287/AR287 05-19

Annual Report

May 31, 2019

Wells Fargo Real Return Fund

Beginning on January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, paper copies of the Wells Fargo Funds’ annual and semi-annual shareholder reports issued after this date will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, by calling 1-800-222-8222 or by enrolling at wellsfargo.com/advantagedelivery.

You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call 1-800-222-8222. Your election to receive reports in paper will apply to all Wells Fargo Funds held in your account with your financial intermediary or, if you are a direct investor, to all Wells Fargo Funds that you hold.

Reduce clutter. Save trees.

Sign up for electronic delivery of prospectuses and shareholder reports atwww.wellsfargo.com/advantagedelivery

Contents

Letter to shareholders	2
Performance highlights	6
Fund expenses	10
Wells Fargo Real Return Fund
Portfolio of investments	11
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	20
Report of independent registered public accounting firm	24
Wells Fargo Real Return Portfolio
Portfolio of investments	25
Financial statements
Statement of assets and liabilities	37
Statement of operations	38
Statement of changes in net assets	39
Financial highlights	40
Notes to financial statements	41
Report of independent registered public accounting firm	47
Other information	48

The views expressed and any forward-looking statements are as of May 31, 2019, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo Asset Management. Discussions of individual securities, or the markets generally, or any Wells Fargo Fund are not intended as individual recommendations. Future events or results may vary significantly from those expressed in any forward-looking statements. The views expressed are subject to change at any time in response to changing circumstances in the market. Wells Fargo Asset Management and the Fund disclaim any obligation to publicly update or revise any views expressed or forward-looking statements.

INVESTMENT PRODUCTS: NOT FDIC INSURED  ◾  NO BANK GUARANTEE  ◾   MAY LOSE VALUE

2 Wells Fargo Real Return Fund Letter to shareholders (unaudited)

Andrew Owen

President

Wells Fargo Funds

Dear Shareholder:

We are pleased to offer you this annual report for the Wells Fargo Real Return Fund for the 12-month period that ended May 31, 2019. Higher short-term interest rates, inflation concerns, trade tensions, and geopolitical events drove investment market volatility for much of 2018, particularly for international stocks. Early 2019 saw stocks and bonds gain with renewed business and investor confidence, but volatility returned late in the period as global growth slowed and geopolitical concerns persisted.

For the period, U.S. stocks, based on the S&P 500 Index,¹ gained 3.78% and international stocks, as measured by the MSCI ACWI ex USA Index (Net),² fell 6.26%. Based on the MSCI EM Index (Net),³ emerging market stocks fell 8.70%. Bond investors saw the Bloomberg Barclays U.S. Aggregate Bond Index⁴ add 6.40% while the Bloomberg Barclays Global Aggregate ex-USD Index⁵ rose 0.39%. The Bloomberg Barclays Municipal Bond Index⁶ added 6.40%, and the ICE BofAML U.S. High Yield Index⁷ was up 5.37%.

Results for investment indices reflected global concerns.

Global trade tensions escalated during the second quarter of 2018. A tit-for-tat tariff spat intensified between the U.S. and other governments. The U.S. Federal Reserve (Fed) raised the federal funds rate by 25 basis points (bps; 100 bps equal 1.00%) to a target range of between 1.75% and 2.00% in June. Market index results reflected the global concerns. The MSCI ACWI ex USA Index (Net) lost 2.61%, while the Bloomberg Barclays Global Aggregate ex-USD Index dropped 4.76%.

Not all news was bad. The U.S. Bureau of Economic Analysis reported second-quarter annualized gross domestic product (GDP) growth of 4.2%. Hiring improved. Unemployment declined. Consumer confidence and spending increased. The S&P 500 Index recorded a 3.43% second-quarter gain. Stocks of companies with smaller capitalizations did even better, as measured by the Russell 2000^® Index,⁸ adding 7.75%.

¹  The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock’s weight in the index proportionate to its market value. You cannot invest directly in an index.

²  The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the U.S. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index.

³  The MSCI Emerging Markets (EM) Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of emerging markets. You cannot invest directly in an index.

⁴  The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S.-dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index.

⁵  The Bloomberg Barclays Global Aggregate ex-USD Index is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-income markets excluding the U.S.-dollar-denominated debt market. You cannot invest directly in an index.

⁶  The Bloomberg Barclays Municipal Bond Index is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. You cannot invest directly in an index.

⁷  The ICE BofAML U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2019. ICE Data Indices, LLC. All rights reserved.

⁸  The Russell 2000^® Index measures the performance of the 2,000 smallest companies in the Russell 3000^® Index, which represents approximately 8% of the total market capitalization of the Russell 3000^® Index. You cannot invest directly in an index.

Letter to shareholders (unaudited) Wells Fargo Real Return Fund 3

Investors appeared to shake off lingering concerns during the third quarter.

Favorable third-quarter economic indicators and corporate earnings reports encouraged domestic stock investors. U.S. trade negotiations with Mexico and Canada progressed. The Conference Board Consumer Confidence Index^®9 reached its highest level in 18 years during September 2018. The Fed raised the federal funds rate by 25 bps to a target range of between 2.00% and 2.25% in September. For the quarter that ended September 30, 2018, the S&P 500 Index added 7.71%.

Investors in international markets were not as confident. Tensions between the U.S. and China increased. The U.S. imposed $200 billion in tariffs on Chinese goods. China reacted with $60 billion in tariffs on U.S. goods. Economic growth in China caused concern. The Bank of England (BoE) raised its monetary policy rate to 0.75% in August 2018. During the quarter, the MSCI ACWI ex USA Index (Net) gained 0.71%. The MSCI EM Index (Net) declined 1.09%. In fixed-income markets, U.S. bonds were flat, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index. The Bloomberg Barclays Global Aggregate ex-USD Index fell 1.74%.

Conflicting data unsettled markets during the fourth quarter.

November’s U.S. midterm elections shifted control of the House of Representatives from Republicans to Democrats, presaging potential partisan clashes. Third-quarter U.S. GDP was announced at an annualized 3.4% rate, lower than the second-quarter rate. Brexit efforts stalled ahead of the March 2019 deadline. The People’s Bank of China cut reserve requirement ratios, accelerated infrastructure spending, and cut taxes even as the value of the yuan declined to low levels last seen in 2008.

December’s S&P 500 Index performance was the worst since 1931. Globally,fixed-income investments fared better than stocks during the last two months of the year. The Fed increased the federal funds rate by 25 bps in December 2018 to a target range of between 2.25% and 2.50%.

The market climbs a wall of worry.

Investors entered 2019 with reasons to be concerned. A partial U.S. government shutdown driven by partisan policy disputes extended into January. Investment returns appeared to reaffirm the adage that markets climb a wall of worry. The S&P 500 Index gained 8.01% for the month of January, the best monthly performance in 30 years. Returns for the MSCI ACWI ex USA Index (Net), the Bloomberg Barclays U.S. Aggregate Bond Index, and the Bloomberg Barclays Global Aggregate ex-USD Index also were positive. The Fed indicated that it would pause its program of regular rate increases during 2019 as inflation remained low.

In February 2019, concerns over slowing global growth reemerged. The Bureau of Economic Analysis announced fourth-quarter 2018 GDP grew at an annualized 2.2% rate, down from levels of the prior two quarters. In a February report, the BoE forecast the slowest growth since the financial crisis for 2019. China and the U.S. continued to wrangle over trade issues.

By the end of March 2019, the combination of dovish Fed sentiment and consistent, if not spectacular, economic and business metrics reinforced investors’ confidence. Monthly job creation data regained momentum. Corporate profits, while lower than 2018’s lofty levels, remained solid. China announced a roughly $300 billion stimulus package through tax and fee cuts intended to reinvigorate economic growth.

December’s S&P 500 Index performance was the worst since 1931.

The S&P 500 Index gained 8.01% for the month of January, the best monthly performance in 30 years.

⁹  The Conference Board Consumer Confidence Index^® measures the degree of optimism on the state of the U.S. economy that consumers are expressing through their activities of saving and spending. You cannot invest directly in an index.

4 Wells Fargo Real Return Fund Letter to shareholders (unaudited)

During April 2019, several broad-based U.S. equity indices reached or approached highs as investors drew confidence from favorable economic projections, sustained low inflation, and solid employment data. First-quarter GDP showed the economy grew at an annualized rate of 3.2% on improvement in business investment and exports. Favorable sentiment extended to foreign markets as the MSCI ACWI ex USA Index (Net) gained 2.64% and the MSCI EM Index (Net) added 2.11% for the month.

May 2019 presented investors with mixed signals in the economy, in the markets, and politically. In the U.S., partisan wrangling ramped up as Democrats and Republicans set their sights on 2020 presidential politics. In the U.K., the Brexit stalemate resulted in the resignation of Prime Minister Theresa May. The European Commission downgraded the 2019 growth forecast for the block of countries to 1.2%. The U.S. increased tariffs on products from China, China responded, and then talks broke down. Ending the month, equities, as measured by the MSCI ACWI (Net),¹⁰ dropped 5.93% while bonds, often considered a less risky investment, gained 1.04%, as measured by the Bloomberg Barclays Global Aggregate ex-USD Index.

Don’t let short-term uncertainty derail long-term investment goals.

Periods of investment uncertainty can present challenges, but experience has taught us that maintaining long-term investment goals can be an effective way to plan for the future. To help you create a sound strategy based on your personal goals and risk tolerance, Wells Fargo Funds offers more than 100 mutual funds spanning a wide range of asset classes and investment styles. Although diversification cannot guarantee an investment profit or prevent losses, we believe it can be an effective way to manage investment risk and potentially smooth out overall portfolio performance. We encourage investors to know their investments and to understand that appropriate levels of risk-taking may unlock opportunities.

Thank you for choosing to invest with Wells Fargo Funds. We appreciate your confidence in us and remain committed to helping you meet your financial needs.

Sincerely,

Andrew Owen

President

Wells Fargo Funds

For further information about your Fund, contact your investment professional, visit our website atwfam.com, or call us directly at1-800-222-8222.

¹⁰  The MSCI ACWI (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. You cannot invest directly in an index.

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6 Wells Fargo Real Return Fund¹ Performance highlights (unaudited)

Investment objective

The Fund seeks returns that exceed the rate of inflation over the long-term.

Manager

Wells Fargo Funds Management, LLC

Subadviser for the affiliated master portfolio

Wells Capital Management Incorporated

Portfolio managers

Kandarp R. Acharya, CFA^®‡, FRM

Petros N. Bocray, CFA^®‡, FRM

Michael Bradshaw, CFA^®‡

Christian L. Chan, CFA^®‡

Kayvan Malek

Garth B. Newport, CFA^®‡*

Jay N. Mueller, CFA^®‡

Thomas M. Price, CFA^®‡

Dale Winner, CFA^®‡

Average annual total returns (%) as of May 31, 2019

		Including sales charge						Excluding sales charge							Expense ratios2 (%)
	Inception date	1 year		5 year		10 year		1 year			5 year		10 year		Gross		Net3
Class A (IPBAX)	2-28-2003		-2.05		0.72		2.75		2.56			1.65		3.22		1.04		0.78
Class C (IPBCX)	2-28-2003		0.89		0.90		2.49		1.89	*		0.90		2.49		1.79		1.53
Class R6 (IPBJX)4	10-31-2016		–		–		–		2.99			1.99		3.55		0.66		0.40
Administrator Class (IPBIX)	2-28-2003		–		–		–		2.78			1.90		3.50		0.98		0.60
Institutional Class (IPBNX)5	10-31-2016		–		–		–		2.95	*		1.98		3.54		0.71		0.45
Bloomberg Barclays U.S. TIPS Index6	–		–		–		–		4.36			1.64		3.60		–		–
CPI7	–		–		–		–		1.79			1.48		1.82		–		–

* Total return differs from the return in the Financial Highlights in this report. The total return presented is calculated based on the NAV at which the shareholder transactions were processed. The NAV and total return presented in the Financial Highlights reflects certain adjustments made to the net assets of the Fund that are necessary under U.S. generally accepted accounting principles.

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on fund distributions or the redemption of fund shares. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than the performance data quoted, which assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website,wfam.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directly in an index.

For Class A shares, the maximum front-end sales charge is 4.50%. For Class C shares, the maximum contingent deferred sales charge is 1.00%. Performance including a contingent deferred sales charge assumes the sales charge for the corresponding time period. Class R6, Administrator Class, and Institutional shares are sold without a front-end sales charge or contingent deferred sales charge.

Bond values fluctuate in response to the financial condition of individual issuers, general market and economic conditions, and changes in interest rates. Changes in market conditions and government policies may lead to periods of heightened volatility in the bond market and reduced liquidity for certain bonds held by the Fund. In general, when interest rates rise, bond values fall and investors may lose principal value. Interest rate changes and their impact on the Fund and its share price can be sudden and unpredictable. Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. High-yield securities have a greater risk of default and tend to be more volatile than higher-rated debt securities. Loans are subject to risks similar to those associated with other below investment-grade bond investments, such as credit risk (for example, risk of issuer default), below-investment-grade bond risk (for example, risk of greater volatility in value), and risk that the loan may become illiquid or difficult to price. The use of derivatives may reduce returns and/or increase volatility. Foreign investments are especially volatile and can rise or fall dramatically due to differences in the political and economic conditions of the host country. These risks are generally intensified in emerging markets. The Fund is exposed to mortgage- and asset-backed securities risk and small company securities risk. Securities issued by U.S. government agencies or government-sponsored entities may not be guaranteed by the U.S. Treasury. Consult the Fund’s prospectus for additional information on these and other risks.

Please see footnotes on page 7.

Performance highlights (unaudited) Wells Fargo Real Return Fund 7

Growth of $10,000 investment as of May 31, 2019⁸

^‡  CFA^® and Chartered Financial Analyst^® are trademarks owned by CFA Institute.

* Mr. Newport became a portfolio manager effective March 1, 2019.

¹  The Fund is a gateway feeder fund that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with a substantially identical investment objective and substantially similar investment strategies. References to the investment activities of the Fund are intended to refer to the investment activities of the affiliated master portfolio in which it invests.

²  Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report.

³  The manager has contractually committed through September 30, 2019, to waive fees and/or reimburse expenses to the extent necessary to cap the expenses of each class after fee waivers at the amounts shown. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolio invests, and extraordinary expenses are excluded from the expense cap. Net expenses from the affiliated master portfolio are included in the expense cap. Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees. Without this cap, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses.

⁴  Historical performance shown for the Class R6 shares prior to their inception reflects the performance of the Administrator Class shares, and is not adjusted to reflect Class R6 expenses. If these expenses had been included, returns for Class R6 shares would be higher.

⁵  Historical performance shown for the Institutional Class shares prior to their inception reflects the performance of the Administrator Class shares, and is not adjusted to reflect Institutional Class expenses. If these expenses had been included, returns for the Institutional Class shares would be higher.

⁶  The Bloomberg Barclays U.S. Treasury Inflation-Protected Securities (TIPS) Index is an index of inflation-indexed-linked U.S. Treasury securities. You cannot invest directly in an index.

⁷  The Consumer Price Index (CPI) for All Urban Consumers in U.S. All Items is published monthly by the U.S. government as an indicator of changes in price levels (or inflation) paid by urban consumers for a representative basket of goods and services. You cannot invest directly in an index.

⁸  The chart compares the performance of Class A shares since inception with the Bloomberg Barclays U.S. TIPS Index and CPI. The chart assumes a hypothetical $10,000 investment in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 4.50%.

⁹  The ten largest holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the securities of the affiliated master portfolio allocable to the Fund divided by the total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

¹⁰  Amounts represent the portfolio allocation of the affiliated master portfolio which are calculated based on the total long-term investments of the affiliated master portfolio. These amounts are subject to change and may have changed since the date specified.

8 Wells Fargo Real Return Fund Performance highlights (unaudited)

MANAGER’S DISCUSSION

Fund highlights

∎ The Fund underperformed its benchmark, the Bloomberg Barclays U.S. Treasury Inflation-Protected Securities (TIPS) Index, for the 12-month period that ended May 31, 2019.

∎ As fixed-income investments outperformed equity investments over the period, exposure to stocks, particularly international stocks, detracted from performance.

∎ Three of six investment sleeves outperformed their respective benchmarks.

Positive economic data ruled most of the period.

The 12-month period that ended May 31, 2019, saw the U.S. economy continue on a positive trajectory, producing moderate average gross domestic product growth of 3.1% with a core inflation rate of 2.0%, while unemployment reached a low of 3.6%, the lowest level since 1969.

Ten largest holdings (%) as of May 31, 20199
TIPS, 0.38%, 7-15-2025	3.29
TIPS, 0.25%, 1-15-2025	3.26
TIPS, 0.13%, 7-15-2024	3.25
TIPS, 0.13%, 1-15-2022	3.23
TIPS, 0.63%, 7-15-2021	2.96
TIPS, 0.63%, 1-15-2026	2.93
TIPS, 0.13%, 1-15-2023	2.86
TIPS, 0.38%, 7-15-2023	2.55
TIPS, 0.63%, 1-15-2024	2.47
TIPS, 0.238%, 1-15-2025	2.40

Over the past 12 months, the financial markets experienced more volatility than the favorable economic environment might have suggested. Looking back at the financial markets, we saw equities experience a significant decline during the fourth quarter of 2018, as concerns over a partial U.S. government shutdown, central bank tightening, trade tensions, and slowing economic growth shook investors’ confidence. The market volatility of the fourth quarter gave way to a first-quarter 2019 rebound where both equity and fixed-income markets rallied. The two markets seemed joined at the hip as the Federal Reserve’s (Fed’s) updated script signaled an easier policy path for the balance of 2019. Market participants were caught offside by this evolution in the projected policy path, which has resulted in a

broader opportunity set for sector rotation in equities and yield curve trades. We saw a return of volatility toward the end of the 12-month period as concerns over trade (primarily with China and Mexico) caused concerns over global growth to weigh on investors’ minds.

The Fund uses a multi-asset-class strategy to target inflation protection.

During the 12-month period, we maintained allocations to Treasury Inflation-Protected Securities (TIPS) as well as other inflation-sensitive sectors, such as real estate investment trusts (REITs), short-term high-yield bonds, and inflation-sensitive equities. We used this multi-asset-class strategy to target greater inflation protection and real returns than a traditional inflation-hedged strategy might while seeking to achieve similar levels of volatility.

Portfolio allocation as of May 31, 2019¹⁰

Our allocation to TIPS and short-term high-yield issues contributed to performance while the contribution from the inflation-sensitive equities was mixed. REITs posted very strong returns, with earnings results in excess of 20% for the period. The remainder of the equity sleeves detracted from performance. International equities were particularly hard hit, losing more than 17% over the period.

We continue to find TIPS attractive relative to nominal Treasury bonds and notes.

Please see footnotes on page 7.

Performance highlights (unaudited) Wells Fargo Real Return Fund 9

Looking ahead, we are cautiously optimistic

Our macroeconomic view is that growth will remain positive but it will be slower over the next 12 months than it was over the preceding 12 months. However, we still hold that absent an exogenous shock—likely an implemented shift in trade policy—a U.S. recession is unlikely in 2019. As always, that view could change with new data. We are concerned about growth prospects in Europe and in the rest of the world but are most concerned about the U.S. trade negotiations with major trading partners. Until the trade negotiations move toward détente and more certainty builds to invoke more aggressive business planning resulting in further growth, we are taking a bit more of a cautious approach to the markets and have started to reduce some risks in the portfolios. Like the Fed, we remain very data dependent and acknowledge that while the U.S. economy may be softening, the levels of growth remain robust and 2019 should remain a target-rich environment for investors.

10 Wells Fargo Real Return Fund Fund expenses (unaudited)

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and contingent deferred sales charges (if any) on redemptions and (2) ongoing costs, including management fees, distribution (12b-1) and/or shareholder servicing fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the six-month period and held for the entire period from December 1, 2018 to May 31, 2019.

Actual expenses

The “Actual” line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the “Actual” line under the heading entitled “Expenses paid during period” for your applicable class of shares to estimate the expenses you paid on your account during this period.

Hypothetical example for comparison purposes

The “Hypothetical” line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) and contingent deferred sales charges. Therefore, the “Hypothetical” line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning account value 12-1-2018		Ending account value 5-31-2019		Expenses paid during the period1,2		Annualized net expense ratio1
Class A
Actual	$	1,000.00	$	1,043.64	$	3.89		0.76	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.12	$	3.85		0.76	%
Class C
Actual	$	1,000.00	$	1,040.99	$	7.69		1.51	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,017.40	$	7.60		1.51	%
Class R6
Actual	$	1,000.00	$	1,045.78	$	1.96		0.38	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.01	$	1.94		0.38	%
Administrator Class
Actual	$	1,000.00	$	1,045.43	$	2.97		0.58	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.02	$	2.94		0.58	%
Institutional Class
Actual	$	1,000.00	$	1,046.61	$	2.21		0.43	%
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.77	$	2.19		0.43	%

¹ Amounts reflect net expenses allocated from the affiliated Master Portfolio in which the Fund invests.

² Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one-half-year period).

Portfolio of investments—May 31, 2019 Wells Fargo Real Return Fund 11

Security name	Value
Investment Companies: 99.42%
Affiliated Master Portfolio: 99.42%
Wells Fargo Real Return Portfolio	$	58,938,344
Total Investment Companies (Cost $57,938,522)		58,938,344

Total investments in securities (Cost $57,938,522)	99.42	%		58,938,344
Other assets and liabilities, net	0.58			343,472
Total net assets	100.00	%	$	59,281,816

Transactions with the affiliated Master Portfolio were as follows:

	% of ownership, beginning of period			% of ownership, end of period			Net realized gains (losses)  on securities transactions allocated from affiliated Master Portfolio			Net change in unrealized gains (losses)  on securities transactions allocated from affiliated Master Portfolio		Interest allocated from affiliated Master Portfolio		Dividends allocated from affiliated Master Portfolio		Affiliated income allocated from affiliated Master Portfolio		Value, end of period		% of net assets
Wells Fargo Real Return Portfolio		53	%		32	%	$	(830,409	)	$	806,875	$	1,520,738	$	275,164	$	15,461	$	58,938,344		99.42	%

The accompanying notes are an integral part of these financial statements.

12 Wells Fargo Real Return Fund Statement of assets and liabilities—May 31, 2019

Assets
Investments in affiliated Master Portfolio, at value (cost $57,938,522)	$	58,938,344
Receivable for Fund shares sold		179,196
Receivable from manager		38,564
Prepaid expenses and other assets		209,620
Total assets		59,365,724
Liabilities
Payable for Fund shares redeemed		59,760
Shareholder servicing fees payable		7,583
Custodian and accounting fees payable		7,263
Administration fees payable		5,377
Distribution fee payable		1,770
Accrued expenses and other liabilities		2,155
Total liabilities		83,908
Total net assets	$	59,281,816
NET ASSETS CONSIST OF
Paid-in capital	$	59,004,876
Total distributable earnings		276,940
Total net assets	$	59,281,816
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARE
Net assets – Class A	$	17,715,929
Shares outstanding – Class A1		1,791,498
Net asset value per share – Class A		$9.89
Maximum offering price per share – Class A2		$10.36
Net assets – Class C	$	2,552,585
Shares outstanding – Class C1		262,275
Net asset value per share – Class C		$9.73
Net assets – Class R6	$	14,357,837
Shares outstanding – Class R61		1,437,240
Net asset value per share – Class R6		$9.99
Net assets – Administrator Class	$	13,561,609
Shares outstanding – Administrator Class1		1,352,465
Net asset value per share – Administrator Class		$10.03
Net assets – Institutional Class	$	11,093,856
Shares outstanding – Institutional Class1		1,110,085
Net asset value per share – Institutional Class		$9.99

¹  The Fund has an unlimited number of authorized shares.

²  Maximum offering price is computed as 100/95.50 of net asset value. On investments of $50,000 or more, the offering price is reduced.

The accompanying notes are an integral part of these financial statements.

Statement of operations—year ended May 31, 2019 Wells Fargo Real Return Fund 13

Investment income
Interest allocated from affiliated Master Portfolio	$	1,520,738
Dividends allocated from affiliated Master Portfolio (net of foreign withholding taxes of $7,661)		275,164
Affiliated income allocated from affiliated Master Portfolio		15,461
Expenses allocated from affiliated Master Portfolio		(298,432	)
Waivers allocated from affiliated Master Portfolio		34,574
Total investment income		1,547,505
Expenses
Management fee		33,440
Administration fees
Class A		34,312
Class C		5,293
Class R6		3,662
Administrator Class		16,653
Institutional Class		10,614
Shareholder servicing fees
Class A		53,613
Class C		8,270
Administrator Class		41,632
Distribution fee
Class C		24,807
Custody and accounting fees		6,052
Professional fees		32,632
Registration fees		112,365
Shareholder report expenses		27,385
Trustees’ fees and expenses		21,831
Other fees and expenses		11,187
Total expenses		443,748
Less: Fee waivers and/or expense reimbursements		(286,177	)
Net expenses		157,571
Net investment income		1,389,934
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS
Net realized losses on securities transactions allocated from affiliated Master Portfolio		(830,409	)
Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio		806,875
Net realized and unrealized gains (losses) on investments		(23,534	)
Net increase in net assets resulting from operations	$	1,366,400

The accompanying notes are an integral part of these financial statements.

14 Wells Fargo Real Return Fund Statement of changes in net assets

	Year ended May 31, 2019						Year ended May 31, 20181
Operations
Net investment income				$	1,389,934					$	1,558,167
Net realized gains (losses) on investments					(830,409	)					225,688
Net change in unrealized gains (losses) on investments					806,875						(853,775	)
Net increase in net assets resulting from operations					1,366,400						930,080
Distributions to shareholders from net investment income and net realized gains
Class A					(509,589	)					(582,466	)
Class C					(59,497	)					(55,795	)
Class R6					(321,376	)					(290,979	)
Administrator Class					(396,758	)					(468,083	)
Institutional Class					(349,231	)					(187,449	)
Total distributions to shareholders					(1,636,451	)					(1,584,772	)
Capital share transactions		Shares						Shares
Proceeds from shares sold
Class A		536,260			5,211,071			1,095,946			10,872,363
Class C		115,162			1,107,921			43,761			428,445
Class R6		315,330			3,110,483			459,934			4,603,532
Administrator Class		418,320			4,128,845			1,231,825			12,417,678
Institutional Class		733,768			7,248,113			946,110			9,485,356
					20,806,433						37,807,374
Reinvestment of distributions
Class A		36,976			359,276			43,842			435,779
Class C		5,600			53,596			5,160			50,665
Class R6		13,831			135,701			23,584			236,978
Administrator Class		40,010			394,108			44,920			451,385
Institutional Class		35,503			348,182			18,407			184,327
					1,290,863						1,359,134
Payment for shares redeemed
Class A		(1,429,739	)		(13,815,687	)		(1,472,315	)		(14,617,222	)
Class C		(219,827	)		(2,105,292	)		(153,785	)		(1,504,494	)
Class R6		(71,175	)		(700,914	)		(44,403	)		(444,996	)
Administrator Class		(1,441,193	)		(14,228,082	)		(1,534,899	)		(15,428,057	)
Institutional Class		(874,093	)		(8,536,165	)		(269,640	)		(2,701,769	)
					(39,386,140	)					(34,696,538	)
Net increase (decrease) in net assets resulting from capital share transactions					(17,288,844	)					4,469,970
Total increase (decrease) in net assets					(17,558,895	)					3,815,278
Net assets
Beginning of period					76,840,711						73,025,433
End of period				$	59,281,816					$	76,840,711

¹  Effective for all filings after November 4, 2018, the SEC prospectively eliminated the requirement to parenthetically disclose undistributed net investment income at the end of the period and permitted the aggregation of distributions, with the exception of tax basis returns of capital. Undistributed net investment income at May 31, 2018 was $231,384. The disaggregated distributions information for the year ended May 31, 2018 is included in Note 7,Distributions to Shareholders,in the notes to the financial statements.

The accompanying notes are an integral part of these financial statements.

Financial highlights Wells Fargo Real Return Fund 15

(For a share outstanding throughout each period)

	Year ended May 31
CLASS A	2019			2018			2017			2016			2015
Net asset value, beginning of period		$9.87			$9.96			$9.95			$10.07			$10.11
Net investment income		0.15			0.21			0.19	1		0.10	1		0.05	1
Net realized and unrealized gains (losses) on investments		0.09			(0.09	)		0.03			(0.01	)		0.07
Total from investment operations		0.24			0.12			0.22			0.09			0.12
Distributions to shareholders from
Net investment income		(0.19	)		(0.21	)		(0.20	)		(0.07	)		(0.08	)
Net realized gain		(0.03	)		0.00			(0.01	)		(0.14	)		(0.08	)
Total distributions to shareholders		(0.22	)		(0.21	)		(0.21	)		(0.21	)		(0.16	)
Net asset value, end of period		$9.89			$9.87			$9.96			$9.95			$10.07
Total return2		2.56	%		1.25	%		2.23	%		1.01	%		1.24	%
Ratios to average net assets (annualized)
Gross expenses3		1.16	%		1.04	%		1.11	%		1.20	%		1.31	%
Net expenses3		0.77	%		0.80	%		0.85	%		0.85	%		0.85	%
Net investment income3		1.95	%		2.15	%		1.92	%		0.98	%		0.47	%
Supplemental data
Portfolio turnover rate4		39	%		29	%		25	%		29	%		57	%
Net assets, end of period (000s omitted)		$17,716			$26,133			$29,678			$18,938			$12,977

¹  Calculated based upon average shares outstanding

²  Total return calculations do not include any sales charges.

³  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.39	%
Year ended May 31, 2018	0.41	%
Year ended May 31, 2017	0.44	%
Year ended May 31, 2016	0.44	%
Year ended May 31, 2015	0.44	%

⁴  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

The accompanying notes are an integral part of these financial statements.

16 Wells Fargo Real Return Fund Financial highlights

(For a share outstanding throughout each period)

	Year ended May 31
CLASS C	2019			2018			2017			2016			2015
Net asset value, beginning of period		$9.73			$9.82			$9.77			$9.92			$10.00
Net investment income (loss)		0.10	1		0.03			0.04			0.03	1		(0.03	)1
Net realized and unrealized gains (losses) on investments		0.07			0.02			0.10			(0.02	)		0.08
Total from investment operations		0.17			0.05			0.14			0.01			0.05
Distributions to shareholders from
Net investment income		(0.14	)		(0.14	)		(0.08	)		(0.02	)		(0.05	)
Net realized gain		(0.03	)		0.00			(0.01	)		(0.14	)		(0.08	)
Total distributions to shareholders		(0.17	)		(0.14	)		(0.09	)		(0.16	)		(0.13	)
Net asset value, end of period		$9.73			$9.73			$9.82			$9.77			$9.92
Total return2		1.79	%		0.53	%		1.44	%		0.21	%		0.46	%
Ratios to average net assets (annualized)
Gross expenses3		1.91	%		1.79	%		1.86	%		1.95	%		2.06	%
Net expenses3		1.52	%		1.56	%		1.60	%		1.60	%		1.60	%
Net investment income (loss)3		1.08	%		1.39	%		1.23	%		0.30	%		(0.33	)%
Supplemental data
Portfolio turnover rate4		39	%		29	%		25	%		29	%		57	%
Net assets, end of period (000s omitted)		$2,553			$3,517			$4,580			$5,654			$7,471

¹  Calculated based upon average shares outstanding

²  Total return calculations do not include any sales charges.

³  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.39	%
Year ended May 31, 2018	0.44	%
Year ended May 31, 2017	0.44	%
Year ended May 31, 2016	0.44	%
Year ended May 31, 2015	0.44	%

⁴  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

The accompanying notes are an integral part of these financial statements.

Financial highlights Wells Fargo Real Return Fund 17

(For a share outstanding throughout each period)

	Year ended May 31
CLASS R6	2019			2018			20171
Net asset value, beginning of period		$9.96			$10.05			$10.17
Net investment income		0.23	2		0.22			0.10
Net realized and unrealized gains (losses) on investments		0.06			(0.06	)		(0.07	)
Total from investment operations		0.29			0.16			0.03
Distributions to shareholders from
Net investment income		(0.23	)		(0.25	)		(0.14	)
Net realized gain		(0.03	)		0.00			(0.01	)
Total distributions to shareholders		(0.26	)		(0.25	)		(0.15	)
Net asset value, end of period		$9.99			$9.96			$10.05
Total return3		2.99	%		1.63	%		0.36	%
Ratios to average net assets (annualized)
Gross expenses4		0.82	%		0.66	%		0.69	%
Net expenses4		0.39	%		0.42	%		0.47	%
Net investment income4		2.34	%		2.52	%		1.32	%
Supplemental data
Portfolio turnover rate5		39	%		29	%		25	%
Net assets, end of period (000s omitted)		$14,358			$11,750			$7,438

¹  For the period from October 31, 2016 (commencement of class operations) to May 31, 2017

²  Calculated based upon average shares outstanding

³  Returns for periods of less than one year are not annualized.

⁴  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.39	%
Year ended May 31, 2018	0.41	%
Year ended May 31, 20171	0.44	%

⁵  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

The accompanying notes are an integral part of these financial statements.

18 Wells Fargo Real Return Fund Financial highlights

(For a share outstanding throughout each period)

	Year ended May 31
ADMINISTRATOR CLASS	2019			2018			2017			2016			2015
Net asset value, beginning of period		$9.99			$10.06			$10.03			$10.15			$10.17
Net investment income		0.21	1		0.24	1		0.22	1		0.13	1		0.10	1
Net realized and unrealized gains (losses) on investments		0.06			(0.09	)		0.02			(0.02	)		0.06
Total from investment operations		0.27			0.15			0.24			0.11			0.16
Distributions to shareholders from
Net investment income		(0.20	)		(0.22	)		(0.20	)		(0.09	)		(0.10	)
Net realized gain		(0.03	)		0.00			(0.01	)		(0.14	)		(0.08	)
Total distributions to shareholders		(0.23	)		(0.22	)		(0.21	)		(0.23	)		(0.18	)
Net asset value, end of period		$10.03			$9.99			$10.06			$10.03			$10.15
Total return		2.78	%		1.50	%		2.46	%		1.21	%		1.56	%
Ratios to average net assets (annualized)
Gross expenses2		1.10	%		0.97	%		1.04	%		1.13	%		1.27	%
Net expenses2		0.59	%		0.60	%		0.60	%		0.60	%		0.60	%
Net investment income2		2.15	%		2.39	%		2.20	%		1.30	%		0.99	%
Supplemental data
Portfolio turnover rate3		39	%		29	%		25	%		29	%		57	%
Net assets, end of period (000s omitted)		$13,562			$23,331			$26,100			$20,607			$10,679

¹  Calculated based upon average shares outstanding

²  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.39	%
Year ended May 31, 2018	0.41	%
Year ended May 31, 2017	0.44	%
Year ended May 31, 2016	0.44	%
Year ended May 31, 2015	0.44	%

³  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

The accompanying notes are an integral part of these financial statements.

Financial highlights Wells Fargo Real Return Fund 19

(For a share outstanding throughout each period)

	Year ended May 31
INSTITUTIONAL CLASS	2019			2018			20171
Net asset value, beginning of period		$9.97			$10.06			$10.17
Net investment income		0.22			0.24			0.14
Net realized and unrealized gains (losses) on investments		0.05			(0.08	)		(0.10	)
Total from investment operations		0.27			0.16			0.04
Distributions to shareholders from
Net investment income		(0.22	)		(0.25	)		(0.14	)
Net realized gain		(0.03	)		0.00			(0.01	)
Total distributions to shareholders		(0.25	)		(0.25	)		(0.15	)
Net asset value, end of period		$9.99			$9.97			$10.06
Total return2		2.84	%		1.57	%		0.41	%
Ratios to average net assets (annualized)
Gross expenses3		0.84	%		0.71	%		0.76	%
Net expenses3		0.44	%		0.47	%		0.52	%
Net investment income3		2.20	%		2.62	%		2.24	%
Supplemental data
Portfolio turnover rate4		39	%		29	%		25	%
Net assets, end of period (000s omitted)		$11,094			$12,110			$5,229

¹  For the period from October 31, 2016 (commencement of class operations) to May 31, 2017

²  Returns for periods of less than one year are not annualized.

³  Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows:

Year ended May 31, 2019	0.39	%
Year ended May 31, 2018	0.41	%
Year ended May 31, 20171	0.44	%

⁴  Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investments in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate.

The accompanying notes are an integral part of these financial statements.

20 Wells Fargo Real Return Fund Notes to financial statements

1. ORGANIZATION

Wells Fargo Funds Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As an investment company, the Trust follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statements report on the Wells Fargo Real Return Fund (the “Fund”) which is a diversified series of the Trust.

The Fund is a feeder fund in a master-feeder structure that invests substantially all of its assets in a single master portfolio with a substantially identical investment objective and substantially similar investment strategies. The Fund seeks to achieve its investment objective by investing all investable assets in a separate diversified portfolio (the “affiliated Master Portfolio”) of Wells Fargo Master Trust, a registered open-end management investment company. The affiliated Master Portfolio directly acquires portfolio securities and the Fund acquires an indirect interest in those securities. The Fund accounts for its investment in the affiliated Master Portfolio as a partnership investment and records on a daily basis its share of the affiliated Master Portfolio’s income, expense and realized and unrealized gains and losses. The financial statements of the affiliated Master Portfolio for the year ended May 31, 2019 are included in this report and should be read in conjunction with the Fund’s financial statements. As of May 31, 2019, the Fund owned 32% of Wells Fargo Real Return Portfolio.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the Fund, are in conformity with U.S. generally accepted accounting principles which require management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Fund may deviate from this calculation time under unusual or unexpected circumstances.

Investments in the affiliated Master Portfolio are valued daily based on the Fund’s proportionate share of the affiliated Master Portfolio’s net assets, which are also valued daily. Securities held in the affiliated Master Portfolio are valued as discussed in the Notes to Financial Statements of the affiliated Master Portfolio, which are included elsewhere in this report.

Investment transactions, income and expenses

Investments in the affiliated Master Portfolio are recorded on a trade basis. The Fund records daily its proportionate share of the affiliated Master Portfolio’s interest and dividend income, expenses and realized and unrealized gains or losses. The Fund also accrues its own expenses.

Distributions to shareholders

Distributions to shareholders are recorded on the ex-dividend date and paid from net investment income monthly and any net realized gains are paid at least annually. Such distributions are determined in accordance with income tax regulations and may differ from U.S. generally accepted accounting principles. Dividend sources are estimated at the time of declaration. The tax character of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributions made prior to the Fund’s fiscal year end may be categorized as a tax return of capital at year end.

Federal and other taxes

The Fund intends to continue to qualify as a regulated investment company by distributing substantially all of its investment company taxable income and any net realized capital gains (after reduction for capital loss carryforwards) sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provision for federal income taxes was required.

The Fund’s income and federal excise tax returns and all financial records supporting those returns for the prior three fiscal years are subject to examination by the federal and Delaware revenue authorities. Management has analyzed the Fund’s tax positions taken on federal, state, and foreign tax returns for all open tax years and does not believe that there are any uncertain tax positions that require recognition of a tax liability.

Notes to financial statements Wells Fargo Real Return Fund 21

As of May 31, 2019, the aggregate cost of all investments for federal income tax purposes was $57,981.505 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	956,839
Gross unrealized losses		0
Net unrealized gains (losses)	$	956,839

As of May 31, 2019, the Fund had capital loss carryforwards which consist of $229,298 in short-term capital losses and $95,581 in long-term capital losses.

As of May 31, 2019, the Fund had current year deferred post-October capital losses consisting of $426,109 in short-term losses and $148,632 in long-term losses which will be recognized on the first day of the following fiscal year.

Class allocations

The separate classes of shares offered by the Fund differ principally in applicable sales charges, distribution, shareholder servicing, and administration fees. Class specific expenses are charged directly to that share class. Investment income, common expenses, and realized and unrealized gains (losses) on investments are allocated daily to each class of shares based on the relative proportion of net assets of each class.

3. FAIR VALUATION MEASUREMENTS

At May 31, 2019, the affiliated Master Portfolio was measured at fair value using the net asset value per share (or its equivalent) as a practical expedient. The investment objective and the value of the affiliate Master Portfolio was as follows:

Affiliated Master Portfolio	Investment objective	Value of affiliated Master Portfolio
Wells Fargo Real Return Portfolio	Seeks returns that exceed the rate of inflation over the long-term		$58,938,344

The affiliated Master Portfolio does not have a redemption period notice, can be redeemed daily and does not have any unfunded commitments.

4. TRANSACTIONS WITH AFFILIATES

Management fee

Wells Fargo Funds Management, LLC (“Funds Management”), an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”), is the manager of the Fund and provides advisory and fund-level administrative services under an investment management agreement. Under the investment management agreement, Funds Management is responsible for, among other services, implementing the investment objectives and strategies of the Fund and providing fund-level administrative services in connection with the Fund’s operations. As long as the Fund continues to invest substantially all of its assets in a single affiliated Master Portfolio, the Fund pays Funds Management an investment management fee only for fund-level administrative services at the following annual rate based on the Fund’s average daily net assets:

Average daily net assets	Management fee
First $5 billion		0.05	%
Next $5 billion		0.04
Over $10 billion		0.03

For the year ended May 31, 2019, the management fee was equivalent to an annual rate of 0.05% of the Fund’s average daily net assets.

Funds Management also serves as the adviser to the affiliated Master Portfolio and is entitled to receive a fee from the affiliated Master Portfolio for those services.

Administration fees

Under a class-level administration agreement, Funds Management provides class-level administrative services to the Fund, which includes paying fees and expenses for services provided by the transfer agent, sub-transfer agents, omnibus

22 Wells Fargo Real Return Fund Notes to financial statements

account servicers and record-keepers. As compensation for its services under the class-level administration agreement, Funds Management receives an annual fee which is calculated based on the average daily net assets of each class as follows:

	Class-level administration fee
Class A, Class C		0.16	%
Class R6		0.03
Administrator Class		0.10
Institutional Class		0.08

Funds Management has contractually waived and/or reimbursed management and administration fees to the extent necessary to maintain certain net operating expense ratios for the Fund. When each class of the Fund has exceeded its expense cap, Funds Management has waived fees and/or reimbursed expenses from fund level expenses on a proportionate basis and then from class specific expenses. When only certain classes exceed their expense caps, waivers and/or reimbursements are applied against class specific expenses before fund level expenses. Net expenses from the affiliated Master Portfolio are included in the expense caps. Funds Management has committed through September 30, 2019 to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’s expenses at 0.78% for Class A shares, 1.53% for Class C shares, 0.40% for Class R6 shares, 0.60% for Administrator Class shares, and 0.45% for Institutional Class shares . Prior to or after the commitment expiration date, the cap may be increased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees.

Distribution fee

The Trust has adopted a distribution plan for Class C shares of the Fund pursuant to Rule 12b-1 under the 1940 Act. A distribution fee is charged to Class C shares and paid to Wells Fargo Funds Distributor, LLC (“Funds Distributor”), the principal underwriter, at an annual rate of 0.75% of the average daily net assets of Class C shares.

In addition, Funds Distributor is entitled to receive the front-end sales charge from the purchase of Class A shares and a contingent deferred sales charge on the redemption of certain Class A shares. Funds Distributor is also entitled to receive the contingent deferred sales charges from redemptions of Class C shares. For the year ended May 31, 2019, Funds Distributor received $244 from the sale of Class A shares. No contingent deferred sales charges were incurred by Class A and Class C shares for the year ended May 31, 2019.

Shareholder servicing fees

The Trust has entered into contracts with one or more shareholder servicing agents, whereby Class A, Class C, and Administrator Class of the Fund are charged a fee at an annual rate of 0.25% of the average daily net assets of each respective class. A portion of these total shareholder servicing fees were paid to affiliates of Wells Fargo.

5. INVESTMENT PORTFOLIO TRANSACTIONS

The Fund seeks to achieve its investment objective by investing substantially all of its assets in a single affiliated Master Portfolio. Purchases and sales have been calculated by multiplying the Fund’s ownership percentage of the affiliated Master Portfolio by the affiliated Master Portfolio’s purchases and sales. Purchases and sales of investments, excluding short-term securities, for the year ended May 31, 2019 were as follows:

Purchases at cost		Sales proceeds
U.S. government	Non-U.S. government	U.S. government	Non-U.S. government
$20,329,022	$16,681,416	$12,915,707	$11,734,243

6. BANK BORROWINGS

The Trust (excluding the money market funds), Wells Fargo Master Trust and Wells Fargo Variable Trust are parties to a $280,000,000 revolving credit agreement whereby the Fund is permitted to use bank borrowings for temporary or emergency purposes, such as to fund shareholder redemption requests. Interest under the credit agreement is charged to the Fund based on a borrowing rate equal to the higher of the Federal Funds rate in effect on that day plus 1.25% or the overnight LIBOR rate in effect on that day plus 1.25%. In addition, an annual commitment fee equal to 0.25% of the unused balance is allocated to each participating fund.

Notes to financial statements Wells Fargo Real Return Fund 23

For the year ended May 31, 2019, there were no borrowings by the Fund under the agreement.

7. DISTRIBUTIONS TO SHAREHOLDERS

The tax character of distributions paid during the years ended May 31, 2019 and May 31, 2018 were as follows:

	Year ended May 31
	2019		2018
Ordinary income	$	1,409,996	$	1,584,772
Long-term capital gain		226,455		0

As of May 31, 2019, the components of distributable earnings on a tax basis were as follows:

Undistributed ordinary income	Unrealized gains	Post-October capital losses deferred	Capital loss carryforward
$219,721	$956,839	$(574,741)	$(324,879)

Effective for all filings after November 4, 2018, the Securities and Exchange Commission eliminated the requirement to separately state the components of distributions to shareholders under U.S. generally accepted accounting principles. The amounts of distributions to shareholders for the year ended May 31, 2018 were as follows:

	Net investment income
Class A		$582,466
Class C		55,795
Class R6		290,979
Administrator Class		468,083
Institutional Class		187,449

8. INDEMNIFICATION

Under the Trust’s organizational documents, the officers and Trustees have been granted certain indemnification rights against certain liabilities that may arise out of performance of their duties to the Trust. Additionally, in the normal course of business, the Trust may enter into contracts with service providers that contain a variety of indemnification clauses. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the Fund and, therefore, cannot be estimated.

9. NEW ACCOUNTING PRONOUNCEMENT

In August 2018, FASB issued Accounting Standards Update (“ASU”) No. 2018-13, Fair Value Measurement (Topic 820)Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement. ASU 2018-13 updates the disclosure requirements for fair value measurements by modifying or removing certain disclosures and adding certain new disclosures. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Early adoption is permitted. Management has adopted the removal and modification of disclosures early, as permitted, and will adopt the additional new disclosures at the effective date.

24 Wells Fargo Real Return Fund Report of independent registered public accounting firm

TO THE SHAREHOLDERS OF THE FUND AND BOARD OF TRUSTEES OF WELLS FARGO FUNDS TRUST:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Wells Fargo Real Return Fund (the Fund), one of the funds constituting Wells Fargo Funds Trust, including the portfolio of investments, as of May 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in thetwo-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years or periods in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of May 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of May 31, 2019, by correspondence with the transfer agent. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

We have not been able to determine the specific year that we began serving as the auditor of one or more Wells Fargo Funds investment companies; however we are aware that we have served as the auditor of one or more Wells Fargo Funds investment companies since at least 1955.

Boston, Massachusetts

July 26, 2019

Portfolio of investments—May 31, 2019 Wells Fargo Real Return Portfolio 25

Security name	Shares		Value
Common Stocks: 13.33%
Consumer Staples: 3.46%
Beverages: 0.78%
Molson Coors Brewing Company Class B		5,931	$	326,086
The Coca-Cola Company		22,285		1,094,862
				1,420,948
Food & Staples Retailing: 0.68%
Costco Wholesale Corporation		1,578		378,057
Metro AG		7,735		121,927
Wal-Mart Stores Incorporated		7,347		745,280
				1,245,264
Food Products: 0.57%
Greencore Group plc		29,803		77,806
Health & Happiness (H&H) International Holdings Limited		8,000		43,676
Mondelez International Incorporated Class A		9,086		462,023
Mowi ASA		3,549		82,321
The Kraft Heinz Company		8,860		244,979
Tyson Foods Incorporated Class A		1,679		127,419
				1,038,224
Household Products: 1.02%
Church & Dwight Company Incorporated		5,796		431,280
The Clorox Company		1,461		217,411
The Procter & Gamble Company		11,818		1,216,190
				1,864,881
Personal Products: 0.03%
Ontex Group NV		3,663		62,405
Tobacco: 0.38%
Altria Group Incorporated		2,343		114,948
Philip Morris International Incorporated		7,488		577,549
				692,497
Energy: 2.63%
Energy Equipment & Services: 0.29%
Halliburton Company		10,318		219,670
John Wood Group plc		17,402		86,066
Schlumberger Limited		6,614		229,440
				535,176
Oil, Gas & Consumable Fuels: 2.34%
BP plc		37,746		937,844
Chevron Corporation		7,681		874,482
Cimarex Energy Company		5,602		320,378
Concho Resources Incorporated		5,205		510,142

The accompanying notes are an integral part of these financial statements.

26 Wells Fargo Real Return Portfolio Portfolio of investments—May 31, 2019

Security name	Shares		Value
Oil, Gas & Consumable Fuels(continued)
Cosan Limited Class A		4,018	$	50,747
Eni SpA		3,192		48,426
EOG Resources Incorporated		9,291		760,747
Noble Energy Incorporated		13,639		291,875
Origin Energy Limited		18,880		94,037
Phillips 66		4,719		381,295
				4,269,973
Industrials: 0.04%
Industrial Conglomerates: 0.04%
Keppel Corporation Limited		18,400		80,769
Materials: 2.53%
Chemicals: 0.90%
Axalta Coating Systems Limited †		11,283		265,263
Dow Incorporated		4,785		223,747
DowDuPont Incorporated		3,927		119,852
Ecolab Incorporated		990		182,249
Linde plc		2,379		429,528
OCI NV †		3,892		88,263
Sasol Limited		2,629		66,164
The Sherwin-Williams Company		662		277,676
				1,652,742
Construction Materials: 0.15%
Martin Marietta Materials Incorporated		1,277		268,809
Containers & Packaging: 0.10%
Crown Holdings Incorporated †		3,249		180,092
Metals & Mining: 1.38%
Agnico Eagle Mines Limited		5,100		222,309
B2Gold Corporation †		18,000		49,142
Barrick Gold Corporation		12,756		158,430
Detour Gold Corporation †		7,700		72,636
Endeavour Mining Corporation †		3,100		46,284
Evolution Mining Limited		26,000		69,800
Franco-Nevada Corporation		1,600		123,540
Fresnillo plc		15,563		151,108
Gold Fields Limited ADR		7,000		31,220
Kinross Gold Corporation †		27,000		88,295
Kirkland Lake Gold Limited		3,900		134,896
Lundin Mining Corporation		15,349		68,591
Mag Silver Corporation †		4,800		46,949
Newcrest Mining Limited		8,000		151,005
Newmont Mining Corporation		7,040		232,954
Northern Star Resources Limited		11,500		77,462
Royal Gold Incorporated		4,510		396,835
Semafo Incorporated †		13,000		38,954

The accompanying notes are an integral part of these financial statements.

Portfolio of investments—May 31, 2019 Wells Fargo Real Return Portfolio 27

Security name						Shares		Value
Metals & Mining(continued)
SSR Mining Incorporated †							3,000	$	35,040
Steel Dynamics Incorporated							6,818		171,473
Torex Gold Resources Incorporated †							4,400		40,367
Wheaton Precious Metals Corporation							5,300		117,207
									2,524,497
Real Estate: 4.67%
Equity REITs: 4.67%
Alexandria Real Estate Equities Incorporated							2,770		405,556
American Homes 4 Rent Class A							12,518		305,564
American Tower Corporation							4,307		899,172
Camden Property Trust							3,196		330,339
CoreSite Realty Corporation							1,239		144,616
Equinix Incorporated							1,728		839,445
Equity Residential							4,183		320,292
Four Corners Property Trust Incorporated							11,636		334,651
Healthcare Trust of America Incorporated Class A							9,696		279,148
Host Hotels & Resorts Incorporated							9,490		171,864
Hudson Pacific Properties Incorporated							7,831		261,634
Invitation Homes Incorporated							12,913		330,960
Physicians Realty Trust							26,849		491,605
Prologis Incorporated							8,769		646,012
Public Storage Incorporated							1,704		405,348
Retail Opportunity Investment Corporation							19,412		324,957
SBA Communications Corporation †							2,308		499,474
Simon Property Group Incorporated							3,725		603,785
Sun Communities Incorporated							3,300		416,691
Ventas Incorporated							3,446		221,578
VICI Properties Incorporated							13,478		298,942
									8,531,633
Total Common Stocks (Cost $22,980,733)									24,367,910
	Interest rate			Maturity date		Principal
Corporate Bonds and Notes: 12.54%
Communication Services: 2.33%
Diversified Telecommunication Services: 0.12%
Hughes Satellite Systems Corporation		6.50	%		6-15-2019	$	230,000		229,575
Entertainment: 0.25%
Netflix Incorporated		5.38			2-1-2021		450,000		462,326
Media: 1.80%
Cable One Incorporated 144A		5.75			6-15-2022		440,000		446,380
DISH DBS Corporation		7.88			9-1-2019		490,000		495,277
National CineMedia LLC		6.00			4-15-2022		350,000		353,063
Nexstar Broadcasting Group Incorporated		5.88			11-15-2022		315,000		320,418
Nexstar Broadcasting Group Incorporated 144A		6.13			2-15-2022		105,000		106,181

The accompanying notes are an integral part of these financial statements.

28 Wells Fargo Real Return Portfolio Portfolio of investments—May 31, 2019

Security name	Interest rate			Maturity date		Principal		Value
Media(continued)
Outfront Media Capital Corporation		5.25	%		2-15-2022	$	400,000	$	403,704
Sinclair Television Group Incorporated		6.13			10-1-2022		400,000		406,000
Sirius XM Radio Incorporated 144A		3.88			8-1-2022		430,000		426,775
TEGNA Incorporated		5.13			10-15-2019		27,000		27,002
TEGNA Incorporated		5.13			7-15-2020		305,000		305,000
									3,289,800
Wireless Telecommunication Services: 0.16%
Sprint Spectrum Company LLC 144A		3.36			3-20-2023		109,375		109,102
T-Mobile USA Incorporated		4.00			4-15-2022		175,000		176,313
									285,415
Consumer Discretionary: 2.13%
Auto Components: 0.03%
Cooper Tire & Rubber Company		8.00			12-15-2019		50,000		51,188
Distributors: 0.09%
LKQ Corporation		4.75			5-15-2023		170,000		170,000
Diversified Consumer Services: 0.05%
TRI Pointe Group Incorporated		4.38			6-15-2019		92,000		91,310
Hotels, Restaurants & Leisure: 0.55%
GLP Capital LP		4.88			11-1-2020		405,000		411,030
MGM Resorts International		6.63			12-15-2021		200,000		213,070
NCL Corporation Limited 144A		4.75			12-15-2021		373,000		375,798
									999,898
Household Durables: 0.63%
Lennar Corporation		4.50			6-15-2019		150,000		150,000
Lennar Corporation		4.50			11-15-2019		50,000		50,188
Lennar Corporation		6.63			5-1-2020		305,000		313,006
Pulte Group Incorporated		4.25			3-1-2021		400,000		402,000
Toll Brothers Finance Corporation		5.88			2-15-2022		225,000		235,969
									1,151,163
Specialty Retail: 0.78%
Gap Incorporated		5.95			4-12-2021		310,000		321,352
Group 1 Automotive Incorporated		5.00			6-1-2022		280,000		281,400
L Brands Incorporated		6.63			4-1-2021		365,000		380,969
Penske Auto Group Incorporated		3.75			8-15-2020		335,000		332,906
Penske Auto Group Incorporated		5.75			10-1-2022		110,000		111,100
									1,427,727
Consumer Staples: 0.29%
Food Products: 0.08%
B&G Foods Incorporated		4.63			6-1-2021		155,000		154,225

The accompanying notes are an integral part of these financial statements.

Portfolio of investments—May 31, 2019 Wells Fargo Real Return Portfolio 29

Security name	Interest rate			Maturity date		Principal		Value
Personal Products: 0.21%
Edgewell Personal Care Company		4.70	%		5-19-2021	$	380,000	$	377,682
Energy: 0.87%
Oil, Gas & Consumable Fuels: 0.87%
Andeavor Logistics LP		5.50			10-15-2019		75,000		75,509
DCP Midstream Operating LP 144A		5.35			3-15-2020		445,000		450,006
Rockies Express Pipeline LLC 144A		5.63			4-15-2020		405,000		411,063
Sabine Pass Liquefaction LLC		6.25			3-15-2022		250,000		269,935
Southern Star Central Corporation 144A		5.13			7-15-2022		375,000		378,638
									1,585,151
Financials: 1.19%
Banks: 0.17%
CIT Group Incorporated		5.00			8-15-2022		305,000		316,291
Consumer Finance: 0.98%
Ally Financial Incorporated		3.75			11-18-2019		530,000		530,265
Ford Motor Credit Company LLC		3.34			3-18-2021		160,000		159,308
Ford Motor Credit Company LLC		5.60			1-7-2022		160,000		167,440
Navient Corporation		5.00			10-26-2020		400,000		404,500
Springleaf Finance Corporation		7.75			10-1-2021		485,000		521,375
									1,782,888
Real Estate Management & Development: 0.04%
Realogy Group LLC 144A		5.25			12-1-2021		70,000		69,125
Health Care: 1.31%
Health Care Providers & Services: 1.09%
Acadia Healthcare Company Incorporated		5.13			7-1-2022		312,000		311,610
Centene Corporation		4.75			5-15-2022		435,000		439,224
DaVita HealthCare Partners Incorporated		5.75			8-15-2022		350,000		353,063
MEDNAX Incorporated 144A		5.25			12-1-2023		235,000		234,413
Molina Healthcare Incorporated		5.38			11-15-2022		200,000		203,940
Select Medical Corporation		6.38			6-1-2021		155,000		155,116
Tenet Healthcare Corporation		6.00			10-1-2020		290,000		297,917
									1,995,283
Health Care Technology: 0.22%
Quintiles IMS Holdings Incorporated 144A		4.88			5-15-2023		400,000		404,500
Industrials: 1.32%
Aerospace & Defense: 0.44%
Alcoa Incorporated		6.15			8-15-2020		350,000		359,625
Moog Incorporated 144A		5.25			12-1-2022		445,000		449,450
									809,075
Airlines: 0.42%
American Airlines Group Company 144A		5.00			6-1-2022		400,000		404,500
United Continental Holdings Incorporated		4.25			10-1-2022		360,000		360,490
									764,990

The accompanying notes are an integral part of these financial statements.

30 Wells Fargo Real Return Portfolio Portfolio of investments—May 31, 2019

Security name	Interest rate			Maturity date		Principal		Value
Commercial Services & Supplies: 0.11%
ADT Corporation		6.25	%		10-15-2021	$	200,000	$	209,000
Construction & Engineering: 0.10%
United Rentals North America Incorporated		4.63			7-15-2023		180,000		183,150
Industrial Conglomerates: 0.09%
General Electric Company		5.55			5-4-2020		165,000		169,006
Trading Companies & Distributors: 0.16%
Aircastle Limited		5.13			3-15-2021		275,000		284,024
Information Technology: 0.89%
Electronic Equipment, Instruments & Components: 0.19%
Anixter International Incorporated		5.13			10-1-2021		350,000		356,657
Software: 0.26%
CDK Global Incorporated		3.80			10-15-2019		110,000		110,000
Symantec Corporation		4.20			9-15-2020		360,000		362,172
									472,172
Technology Hardware, Storage & Peripherals: 0.44%
EMC Corporation		2.65			6-1-2020		525,000		519,335
NCR Corporation		4.63			2-15-2021		280,000		279,216
									798,551
Materials: 0.91%
Chemicals: 0.17%
Chemours Company		6.63			5-15-2023		305,000		303,856
Containers & Packaging: 0.27%
Berry Global Incorporated		5.50			5-15-2022		70,000		70,525
Reynolds Group Holdings		5.75			10-15-2020		416,716		417,362
									487,887
Metals & Mining: 0.47%
Freeport-McMoRan Copper & Gold Incorporated		3.55			3-1-2022		525,000		513,345
Steel Dynamics Incorporated		5.13			10-1-2021		351,000		351,878
									865,223
Real Estate: 0.98%
Equity REITs: 0.55%
CoreCivic Incorporated		4.13			4-1-2020		305,000		304,619
Equinix Incorporated		5.38			1-1-2022		195,000		199,388
Sabra Health Care LP		5.50			2-1-2021		483,000		489,946
VEREIT Operating Partnership LP		4.13			6-1-2021		10,000		10,223
									1,004,176
Real Estate Management & Development: 0.22%
Washington Prime Group Incorporated		3.85			4-1-2020		400,000		397,500

The accompanying notes are an integral part of these financial statements.

Portfolio of investments—May 31, 2019 Wells Fargo Real Return Portfolio 31

Security name	Interest rate			Maturity date		Principal		Value
Real Estate Management & Development: 0.21%
Taylor Morrison Communities Incorporated 144A		5.25	%		4-15-2021	$	395,000	$	392,038
Utilities: 0.32%
Independent Power & Renewable Electricity Producers: 0.32%
TerraForm Power Operating LLC 144A		4.25			1-31-2023		415,000		401,507
Vistra Energy Corporation		7.63			11-1-2024		175,000		184,091
									585,598
Total Corporate Bonds and Notes (Cost $23,028,198)									22,926,450
Loans: 3.86%
Communication Services: 0.58%
Diversified Telecommunication Services: 0.07%
Level 3 Financing Incorporated (1 Month LIBOR +2.25%) ±		4.69			2-22-2024		129,470		127,301
Entertainment: 0.08%
Live Nation Entertainment Incorporated (1 Month LIBOR +1.75%) ±		4.25			10-31-2023		137,544		137,028
Media: 0.20%
CSC Holdings LLC (1 Month LIBOR +2.50%) ±		4.94			1-25-2026		372,558		367,901
Wireless Telecommunication Services: 0.23%
SBA Senior Finance II LLC (1 Month LIBOR +2.00%) ±		4.44			4-11-2025		435,173		428,319
Consumer Discretionary: 0.24%
Auto Components: 0.10%
Allison Transmission Incorporated (2 Month LIBOR +2.00%) ±		4.48			3-30-2026		30,853		30,924
Belron Finance US LLC (3 Month LIBOR +2.50%) ±‡		4.94			11-7-2024		158,000		157,507
									188,431
Hotels, Restaurants & Leisure: 0.12%
Wyndham Hotels & Resorts Incorporated (1 Month LIBOR +1.75%) ±		4.19			5-30-2025		218,900		217,670
Household Products: 0.01%
The ServiceMaster Company LLC (1 Month LIBOR +2.50%) ±		4.94			11-8-2023		14,011		13,997
Specialty Retail: 0.01%
Sally Beauty Holdings Incorporated (1 Month LIBOR +2.25%) ±‡		4.69			7-5-2024		19,398		19,301
Consumer Staples: 0.12%
Food Products: 0.12%
Post Holdings Incorporated (1 Month LIBOR +2.00%) ±		4.44			5-24-2024		74,403		74,031
Prestige Brands Incorporated (1 Month LIBOR +2.00%) ±		4.44			1-26-2024		140,558		139,241
									213,272
Financials: 0.42%
Consumer Finance: 0.21%
TransUnion LLC (1 Month LIBOR +2.00%) ±		4.44			6-19-2025		377,150		375,804

The accompanying notes are an integral part of these financial statements.

32 Wells Fargo Real Return Portfolio Portfolio of investments—May 31, 2019

Security name	Interest rate			Maturity date		Principal		Value
Diversified Financial Services: 0.21%
Delos Finance SARL (3 Month LIBOR +1.75%) ±		4.35	%		10-6-2023	$	200,000	$	199,416
LPL Holdings Incorporated (1 Month LIBOR +2.25%) ±		4.68			9-23-2024		193,736		192,949
									392,365
Health Care: 0.23%
Health Care Providers & Services: 0.23%
HCA Incorporated (1 Month LIBOR +1.75%) ±		4.19			3-17-2023		370,820		370,513
Select Medical Corporation (1 Month LIBOR +2.50%) ±‡		4.93			3-6-2025		49,278		49,155
									419,668
Industrials: 1.05%
Airlines: 0.04%
United Airlines Incorporated (1 Month LIBOR +1.75%) ±		4.19			4-1-2024		68,600		68,193
Commercial Services & Supplies: 0.59%
Advanced Disposal Services Incorporated (1 Month LIBOR +2.25%) ±		4.64			11-10-2023		178,578		178,131
Aramark Services Incorporated (1 Month LIBOR +1.75%) ±		4.19			3-28-2024		45,322		45,038
Aramark Services Incorporated (1 Month LIBOR +1.75%) ±		4.19			3-11-2025		364,323		362,046
KAR Auction Services Incorporated (3 Month LIBOR +2.25%) ±		4.88			3-11-2021		149,050		148,678
Multi-Color Corporation (1 Month LIBOR +2.00%) ±		4.44			10-31-2024		177,750		177,083
Sensata Technologies BV (2 Month LIBOR +1.75%) ±		4.25			10-14-2021		157,883		157,940
									1,068,916
Communications Equipment: 0.30%
Charter Communications Operating LLC (1 Month LIBOR +2.00%) ±		4.44			4-30-2025		380,188		379,279
Virgin Media Bristol LLC (1 Month LIBOR +2.50%) ±		4.94			1-15-2026		175,000		173,317
									552,596
Machinery: 0.12%
Columbus McKinnon Corporation (3 Month LIBOR +2.50%) ±‡		5.10			1-31-2024		45,348		45,178
RBS Global Incorporated (1 Month LIBOR +2.00%) ±		4.44			8-21-2024		181,250		180,848
									226,026
Information Technology: 0.38%
Electronic Equipment, Instruments & Components: 0.22%
CDW LLC (1 Month LIBOR +1.75%) ±		4.19			8-17-2023		197,964		197,634
Dell Incorporated (1 Month LIBOR +2.00%) ±		4.44			9-7-2023		40,387		40,154
Zebra Technologies Corporation (1 Month LIBOR +1.75%) ±		4.23			10-27-2021		159,169		158,971
									396,759
IT Services: 0.04%
First Data Corporation (1 Month LIBOR +2.00%) ±		4.44			7-8-2022		82,643		82,495
Semiconductors & Semiconductor Equipment: 0.12%
Micron Technology Incorporated (1 Month LIBOR +1.75%) ±		4.19			4-26-2022		216,461		216,073

The accompanying notes are an integral part of these financial statements.

Portfolio of investments—May 31, 2019 Wells Fargo Real Return Portfolio 33

Security name	Interest rate			Maturity date		Principal		Value
Materials: 0.72%
Chemicals: 0.42%
Ashland LLC (1 Month LIBOR +1.75%) ±		4.19	%		5-17-2024	$	276,771	$	275,536
Ineos US Finance LLC (1 Month LIBOR +2.00%) ±		4.44			3-31-2024		494,797		487,771
									763,307
Containers & Packaging: 0.30%
Berry Plastics Group Incorporated (1 Month LIBOR +1.75%) ±		4.20			2-8-2020		383,629		382,563
Berry Plastics Group Incorporated (1 Month LIBOR +1.75%) ±		4.20			1-6-2021		180,000		179,186
									561,749
Real Estate: 0.12%
Equity REITs: 0.12%
MGM Growth Properties LLC (1 Month LIBOR +2.00%) ±		4.44			3-21-2025		220,707		218,915
Total Loans (Cost $7,117,486)									7,056,086
				Expiration date		Shares
Participation Notes: 0.03%
Financials: 0.03%
Capital Markets: 0.03%
UBS AG (Kweichow Moutai Company Limited) †(a)					8-13-2019		377		48,592
Total Participation Notes (Cost $37,201)									48,592
				Maturity date		Principal
U.S. Treasury Securities: 67.46%
TIPS		0.13			4-15-2021	$	4,054,957		4,016,601
TIPS		0.13			1-15-2022		5,970,446		5,931,511
TIPS		0.13			4-15-2022		2,639,736		2,617,510
TIPS		0.13			7-15-2022		2,929,840		2,919,372
TIPS		0.13			1-15-2023		5,298,119		5,257,344
TIPS		0.13			7-15-2024		6,012,317		5,975,282
TIPS		0.13			7-15-2026		3,601,009		3,553,898
TIPS		0.25			1-15-2025		6,027,309		6,000,314
TIPS		0.38			7-15-2023		4,659,555		4,687,353
TIPS		0.38			7-15-2025		6,025,314		6,056,764
TIPS		0.38			1-15-2027		3,131,247		3,133,948
TIPS		0.38			7-15-2027		3,596,186		3,607,152
TIPS		0.50			1-15-2028		3,293,182		3,326,091
TIPS		0.63			7-15-2021		5,403,407		5,436,777
TIPS		0.63			4-15-2023		4,043,102		4,083,096
TIPS		0.63			1-15-2024		4,478,420		4,541,448
TIPS		0.63			1-15-2026		5,291,199		5,387,166
TIPS		0.63			2-15-2043		2,029,235		1,979,848
TIPS		0.75			7-15-2028		2,243,507		2,323,269
TIPS		0.75			2-15-2042		2,739,813		2,764,190
TIPS		0.75			2-15-2045		2,386,115		2,382,049
TIPS		0.88			2-15-2047		2,006,441		2,066,650

The accompanying notes are an integral part of these financial statements.

34 Wells Fargo Real Return Portfolio Portfolio of investments—May 31, 2019

Security name	Interest rate			Maturity date		Principal		Value
U.S. Treasury Securities(continued)
TIPS		1.00	%		2-15-2046	$	2,500,137	$	2,646,684
TIPS		1.00			2-15-2048		1,732,114		1,841,420
TIPS		1.00			2-15-2049		702,214		750,221
TIPS		1.13			1-15-2021		1,789,880		1,805,187
TIPS		1.38			2-15-2044		2,214,547		2,532,306
TIPS		1.75			1-15-2028		2,324,063		2,591,749
TIPS		2.00			1-15-2026		2,882,228		3,194,960
TIPS		2.13			2-15-2040		1,223,362		1,569,617
TIPS		2.13			2-15-2041		1,561,532		2,019,740
TIPS		2.38			1-15-2025		3,958,757		4,407,409
TIPS		2.38			1-15-2027		2,136,954		2,458,368
TIPS		2.50			1-15-2029		2,238,138		2,679,294
TIPS		3.38			4-15-2032		902,399		1,230,029
TIPS		3.63			4-15-2028		1,815,602		2,322,489
TIPS		3.88			4-15-2029		2,381,733		3,174,907
Total U.S. Treasury Securities (Cost $120,394,007)									123,272,013
Yankee Corporate Bonds and Notes: 1.46%
Communication Services: 0.23%
Media: 0.23%
Nielsen Holding and Finance BV 144A		5.50			10-1-2021		425,000		423,938
Consumer Discretionary: 0.25%
Auto Components: 0.25%
IHO Verwaltungs GmbH 144A		4.13			9-15-2021		450,000		459,000
Financials: 0.06%
Diversified Financial Services: 0.06%
Virgin Media Finance plc		5.25			1-15-2021		95,000		97,584
Health Care: 0.59%
Pharmaceuticals: 0.59%
Bausch Health Companies Incorporated 144A		6.50			3-15-2022		430,000		444,603
Teva Pharmaceutical Finance BV		2.20			7-21-2021		620,000		572,074
Teva Pharmaceutical Finance BV		3.65			11-10-2021		70,000		65,450
									1,082,127
Information Technology: 0.10%
Communications Equipment: 0.10%
Nokia OYJ		3.38			6-12-2022		180,000		179,100
Materials: 0.23%
Chemicals: 0.23%
Park Aerospace Holdings Company 144A		5.25			8-15-2022		400,000		416,300
Total Yankee Corporate Bonds and Notes (Cost $2,663,243)									2,658,049

The accompanying notes are an integral part of these financial statements.

Portfolio of investments—May 31, 2019 Wells Fargo Real Return Portfolio 35

Security name	Yield					Shares		Value
Short-Term Investments: 1.20%
Investment Companies: 1.16%
Wells Fargo Government Money Market Fund Select Class (l)(u)		2.30	%				2,121,643	$	2,121,643
				Maturity date		Principal
U.S. Treasury Securities: 0.04%
U.S. Treasury Bill (z)#		1.85			6-13-2019	$	75,000		74,950
Total Short-Term Investments (Cost $2,196,593)									2,196,593

Total investments in securities (Cost $178,417,461)	99.88	%		182,525,693
Other assets and liabilities, net	0.12			212,598
Total net assets	100.00	%	$	182,738,291

† Non-income-earning security

144A The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933.

± Variable rate investment. The rate shown is the rate in effect at period end.

‡ Security is valued using significant unobservable inputs.

(a) The security is fair valued in accordance with procedures approved by the Board of Trustees.

(l) The issuer of the security is an affiliated person of the Fund/Portfolio as defined in the Investment Company Act of 1940.

(u) The rate represents the 7-day annualized yield at period end.

(z) Zero coupon security. The rate represents the current yield to maturity.

# All or portion of this security is segregated as collateral for investments in derivative instruments.

Abbreviations:

ADR American depositary receipt

GO General obligation

LIBOR London Interbank Offered Rate

TIPS Treasury inflation-protected securities

REIT Real estate investment trust

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost			Notional value			Unrealized gains		Unrealized losses
Long
2-Year U.S. Treasury Notes		18		9-30-2019	$	3,843,169		$	3,864,093		$	20,924	$	0
Short
U.S. Ultra Bond		(6)		9-19-2019		(1,028,474	)		(1,054,688	)		0		(26,214	)
5-Year U.S. Treasury Notes		(25)		9-30-2019		(2,914,804	)		(2,934,180	)		0		(19,376	)
10-Year U.S. Treasury Notes		(11)		9-19-2019		(1,380,738	)		(1,394,250	)		0		(13,512	)
											$	20,924	$	(59,102	)

The accompanying notes are an integral part of these financial statements.

36 Wells Fargo Real Return Portfolio Portfolio of investments—May 31, 2019

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Shares, beginning of period		Shares purchased		Shares sold		Shares, end of period		Net realized gains (losses)		Net change in unrealized gains (losses)		Income from affiliated securities		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Securities Lending Cash Investments LLC*		1,733,169		10,331,456		12,064,625		0	$	17	$	0	$	16,714	$	0
Wells Fargo Government Money Market Fund Select Class		2,901,798		135,872,250		136,652,405		2,121,643		0		0		38,478		2,121,643
									$	17	$	0	$	55,192	$	2,121,643		1.16	%

* No longer held at the end of the period

The accompanying notes are an integral part of these financial statements.

Statement of assets and liabilities—May 31, 2019 Wells Fargo Real Return Portfolio 37

Assets
Investments in unaffiliated securities, at value (cost $176,295,818)	$	180,404,050
Investments in affiliated securities, at value (cost $2,121,643)		2,121,643
Foreign currency, at value (cost $1,084)		1,085
Receivable for investments sold		411,514
Receivable for dividends and interest		651,878
Receivable for daily variation margin on open futures contracts		9,703
Receivable for securities lending income, net		465
Prepaid expenses and other assets		8,414
Total assets		183,608,752
Liabilities
Payable for investments purchased		779,413
Advisory fee payable		56,312
Payable for daily variation margin on open futures contracts		33,140
Accrued expenses and other liabilities		1,596
Total liabilities		870,461
Total net assets	$	182,738,291

The accompanying notes are an integral part of these financial statements.

38 Wells Fargo Real Return Portfolio Statement of operations—year ended May 31, 2019

Investment income
Interest	$	4,556,954
Dividends (net of foreign withholding taxes of $23,930)		834,122
Income from affiliated securities		46,331
Total investment income		5,437,407
Expenses
Advisory fee		810,584
Custody and accounting fees		14,405
Professional fees		48,754
Shareholder report expenses		2,439
Trustees’ fees and expenses		21,521
Other fees and expenses		8,599
Total expenses		906,302
Less: Fee waivers and/or expense reimbursements		(104,527	)
Net expenses		801,775
Net investment income		4,635,632
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS
Net realized gains (losses) on:
Unaffiliated securities		(2,777,496	)
Affiliated securities		17
Futures contracts		(167,963	)
Net realized losses on investments		(2,945,442	)
Net change in unrealized gains (losses) on:
Unaffiliated securities		3,130,436
Futures contracts		(33,442	)
Net change in unrealized gains (losses) on investments		3,096,994
Net realized and unrealized gains (losses) on investments		151,552
Net increase in net assets resulting from operations	$	4,787,184

The accompanying notes are an integral part of these financial statements.

Statement of changes in net assets Wells Fargo Real Return Portfolio 39

	Year ended May 31, 2019			Year ended May 31, 2018
Operations
Net investment income	$	4,635,632		$	2,993,334
Net realized gains (losses) on investments		(2,945,442	)		261,172
Net change in unrealized gains (losses) on investments		3,096,994			(1,297,441	)
Net increase in net assets resulting from operations		4,787,184			1,957,065
Capital transactions
Transactions in investors’ beneficial interests
Contributions		110,886,812			92,220,550
Withdrawals		(78,081,410	)		(38,625,765	)
Net increase in net assets resulting from capital transactions		32,805,402			53,594,785
Total increase in net assets		37,592,586			55,551,850
Net assets
Beginning of period		145,145,705			89,593,855
End of period	$	182,738,291		$	145,145,705

The accompanying notes are an integral part of these financial statements.

40 Wells Fargo Real Return Portfolio Financial highlights

	Year ended May 31
	2019			2018			2017			2016			2015
Total return		2.99	%		1.67	%		2.65	%		1.29	%		1.50	%
Ratios to average net assets (annualized)
Gross expenses		0.45	%		0.48	%		0.52	%		0.56	%		0.57	%
Net expenses		0.40	%		0.41	%		0.44	%		0.44	%		0.44	%
Net investment income		2.29	%		2.40	%		2.36	%		1.45	%		0.89	%
Supplemental data
Portfolio turnover rate		39	%		29	%		25	%		29	%		57	%

The accompanying notes are an integral part of these financial statements.

Notes to financial statements Wells Fargo Real Return Portfolio 41

1. ORGANIZATION

Wells Fargo Master Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As an investment company, the Trust follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statements report on the Wells Fargo Real Return Portfolio (the “Portfolio”) which is a diversified series of the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of the Portfolio, are in conformity with U.S. generally accepted accounting principles which require management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Portfolio may deviate from this calculation time under unusual or unexpected circumstances.

Debt securities are valued at the evaluated bid price provided by an independent pricing service (e.g. taking into account various factors, including yields, maturities, or credit ratings) or, if a reliable price is not available, the quoted bid price from an independent broker-dealer.

Equity securities and futures contracts that are listed on a foreign or domestic exchange or market are valued at the official closing price or, if none, the last sales price. If no sale occurs on the principal exchange or market that day, a fair value price will be determined in accordance with the Portfolio’s Valuation Procedures.

Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore may not fully reflect trading or events that occur after the close of the principal exchange in which the foreign securities are traded, but before the close of the New York Stock Exchange. If such trading or events are expected to materially affect the value of such securities, then fair value pricing procedures approved by the Board of Trustees of the Portfolio are applied. These procedures take into account multiple factors including movements in U.S. securities markets after foreign exchanges close. Foreign securities that are fair valued under these procedures are categorized as Level 2 and the application of these procedures may result in transfers between Level 1 and Level 2. Depending on market activity, such fair valuations may be frequent. Such fair value pricing may result in net asset values that are higher or lower than net asset values based on the last reported sales price or latest quoted bid price. On May 31, 2019, such fair value pricing was not used in pricing foreign securities.

Investments in registered open-end investment companies are valued at net asset value. Interests in non-registered investment companies that are redeemable at net asset value are fair valued normally at net asset value.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC (“Funds Management”). The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.

Foreign currency translation

The accounting records of the Portfolio are maintained in U.S. dollars. The values of other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee. Purchases and sales of securities, and income and expenses are converted at the rate of exchange on the respective dates of such transactions. Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded and the U.S. dollar equivalent of the amounts actually paid or

42 Wells Fargo Real Return Portfolio Notes to financial statements

received. Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities other than investments in securities resulting from changes in exchange rates. The changes in net assets arising from changes in exchange rates of securities and the changes in net assets resulting from changes in market prices of securities are not separately presented. Such changes are included in net realized and unrealized gains or losses from investments.

Participation notes

The Portfolio may invest in participation notes to gain exposure to securities in certain foreign markets. Participation notes are issued by banks or broker-dealers and are designed to offer a return linked to a particular underlying foreign security. Participation notes involve transaction costs, which may be higher than those applicable to the underlying foreign security. The holder of the participation note is entitled to receive from the bank or broker-dealer, an amount equal to the dividend paid by the issuer of the underlying foreign security; however, the holder is not entitled to the same rights (i.e., voting rights) as an owner of the underlying foreign security. Investments in participation notes involve risks beyond those normally associated with a direct investment in an underlying security. The Portfolio has no rights against the issuer of the underlying foreign security and participation notes expose the Portfolio to counterparty risk in the event the counterparty does not perform. There is also no assurance there will be a secondary trading market for the participation note or that the trading price of the participation note will equal the underlying value of the foreign security that it seeks to replicate.

Securities lending

The Portfolio may lend its securities from time to time in order to earn additional income in the form of fees or interest on securities received as collateral or the investment of any cash received as collateral. When securities are on loan, the Portfolio receives interest or dividends on the securities loaned. The Portfolio receives collateral in the form of cash or securities with a value at least equal to the value of the securities on loan. The value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Portfolio on the next business day. In a securities lending transaction, the net asset value of the Portfolio will be affected by an increase or decrease in the value of the securities loaned and by an increase or decrease in the value of the instrument in which collateral is invested. The amount of securities lending activity undertaken by the Portfolio fluctuates from time to time. In the event of default or bankruptcy by the borrower, the Portfolio may be prevented from recovering the loaned securities or gaining access to the collateral or may experience delays or costs in doing so. In addition, the investment of any cash collateral received may lose all or part of its value. The Portfolio has the right under the lending agreement to recover the securities from the borrower on demand.

The Portfolio lends its securities through an unaffiliated securities lending agent. Cash collateral received in connection with its securities lending transactions is invested in Securities Lending Cash Investments, LLC (the “Securities Lending Fund”). The Securities Lending Fund is exempt from registration under Section 3(c)(7) of the 1940 Act and is managed by Funds Management and is subadvised by Wells Capital Management Incorporated (“WellsCap”), an affiliate of Funds Management and an indirect wholly owned subsidiary of Wells Fargo & Company (“Wells Fargo”). Funds Management receives an advisory fee starting at 0.05% and declining to 0.01% as the average daily net assets of the Securities Lending Fund increase. All of the fees received by Funds Management are paid to WellsCap for its services as subadviser. The Securities Lending Fund seeks to provide a positive return compared to the daily Fed Funds Open Rate by investing in high-quality, U.S. dollar-denominated short-term money market instruments. Securities Lending Fund investments are valued at the evaluated bid price provided by an independent pricing service. Income earned from investment in the Securities Lending Fund (net of fees and rebates), if any, is included in income from affiliated securities on the Statement of Operations.

When-issued transactions

The Portfolio may purchase securities on a forward commitment or when-issued basis. A Portfolio records a when-issued transaction on the trade date and will segregate assets in an amount at least equal in value to the Portfolio’s commitment to purchase when-issued securities. Securities purchased on a when-issued basis are marked-to-market daily and the Portfolio begins earning interest on the settlement date. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract.

Loans

The Portfolio may invest in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. The loans pay interest at rates which are periodically reset by reference to a base lending rate plus a spread. Investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When the Portfolio purchases participations, it generally has no rights to enforce compliance with terms of the loan agreement with the borrower. As a result, the Portfolio assumes the credit risk of both the borrower and the lender that is selling the participation. When the Portfolio purchases assignments from lenders, it acquires direct rights against the borrower on the loan and may enforce compliance by the borrower with the terms of the loan agreement. Loans may include fully funded term loans or unfunded loan commitments, which are contractual obligations for future funding.

Notes to financial statements Wells Fargo Real Return Portfolio 43

Futures contracts

The Portfolio is subject to interest rate risk in the normal course of pursuing its investment objectives. Futures contracts are agreements between the Portfolio and a counter party to buy or sell a specific amount of a commodity, financial instrument or currency at specified price and on a specified date. The Portfolio may buy and sell futures contracts in order to gain exposure to, or protect against, changes in interest rates. The primary risks associated with the use of futures contracts are the imperfect correlation between changes in market values of securities held by the Portfolio and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange. With futures contracts, there is minimal counter party risk to the Portfolio since futures contracts are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures contracts against default.

Upon entering into a futures contracts, the Portfolio is required to deposit either cash or securities (initial margin) with the broker in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are paid to or from the broker each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains or losses and, if any, shown as variation margin receivable (payable) in the Statement of Assets and Liabilities. Should the Portfolio fail to make requested variation margin payments, the broker can gain access to the initial margin to satisfy the Portfolio’s payment obligations. When the contracts are closed, a realized gain or loss is recorded in the Statement of Operations.

Inflation-indexed bonds and TIPS

The Portfolio may invest in inflation-indexed bonds, including Treasury inflation-protected securities (TIPS). Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation falls, the principal value of inflation-indexed bonds (other than municipal inflation-indexed bonds and certain corporate inflation-indexed bonds) will be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal. The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates are tied to the relationship between nominal interest rates and the rate of inflation. If nominal interest rates increase at a faster rate than inflation, real interest rates may rise, leading to a decrease in value of inflation-indexed bonds. Inflation-indexed bonds, including TIPS, decline in value when real interest rates rise. In certain interest rate environments, such as when real interest rates are rising faster than nominal interest rates, inflation-indexed bonds may experience greater losses than other fixed income securities with similar durations.

Security transactions and income recognition

Securities transactions are recorded on a trade date basis. Realized gains or losses are recorded on the basis of identified cost.

Interest income is accrued daily and bond discounts are accreted and premiums are amortized daily. To the extent debt obligations are placed on non-accrual status, any related interest income may be reduced by writing off interest receivables when the collection of all or a portion of interest has been determined to be doubtful based on consistently applied procedures and the fair value has decreased. If the issuer subsequently resumes interest payments or when the collectability of interest is reasonably assured, the debt obligation is removed from non-accrual status.

Dividend income is recognized on the ex-dividend date, except for certain dividends from foreign securities, which are recorded as soon as the custodian verifies the ex-dividend date. Dividend income from foreign securities is recorded net of foreign taxes withheld where recovery of such taxes is not assured.

Federal and other taxes

The Portfolio is treated as a separate entity for federal income tax purposes. The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains as it is treated as a partnership for federal income tax purposes. All interest, dividends, gains and losses of the Portfolio are deemed to have been “passed through” to the interest holders in proportion to their holdings of the Portfolio regardless of whether such interest, dividends and gains have been distributed by the Portfolio.

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.

44 Wells Fargo Real Return Portfolio Notes to financial statements

As of May 31, 2019, the aggregate cost of all investments for federal income tax purposes was $178,698,746 and the unrealized gains (losses) consisted of:

Gross unrealized gains	$	6,376,057
Gross unrealized losses		(2,549,110	)
Net unrealized gains	$	3,826,947

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 May 31, 2019:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Common stocks
Consumer staples	$	6,324,219	$	0	$	0	$	6,324,219
Energy		4,805,149		0		0		4,805,149
Industrial		80,769		0		0		80,769
Materials		4,626,140		0		0		4,626,140
Real estate		8,531,633		0		0		8,531,633
Corporate bonds and notes		0		22,926,450		0		22,926,450
Loans		0		6,784,945		271,141		7,056,086
Participation notes
Financials		0		48,592		0		48,592
U.S. Treasury securities		123,272,013		0		0		123,272,013
Yankee corporate bonds and notes		0		2,658,049		0		2,658,049
Short-term investments
Investment companies		2,121,643		0		0		2,121,643
U.S. Treasury securities		74,950		0		0		74,950
		149,836,516		32,418,036		271,141		182,525,693
Futures contracts		20,924		0		0		20,924
Total assets		149,857,440	$	32,418,036	$	271,141	$	182,546,617
Liabilities
Futures contracts	$	59,102	$	0	$	0	$	59,102
Total liabilities	$	59,102	$	0	$	0	$	59,102

Notes to financial statements Wells Fargo Real Return Portfolio 45

Additional sector, industry or geographic detail is included in the Portfolio of Investments.

Futures contracts are reported at their cumulative unrealized gains (losses) at measurement date as reported in the table following the Portfolio of Investments. For futures contracts, the current day’s variation margin is reported on the Statement of assets and liabilities. All other assets and liabilities are reported at their market value at measurement date.

At May 31, 2019, 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. 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 $500 million	0.400%
Next $500 million	0.375
Next $2 billion	0.350
Next $2 billion	0.325
Next $5 billion	0.300
Over $10 billion	0.290

For the year ended May 31, 2019, the advisory fee was equivalent to an annual rate of 0.40% of the Portfolio’s average daily net assets.

Funds Management has retained the services of a subadviser to provide daily portfolio management to the Portfolio. The fee for subadvisory services is borne by Funds Management. WellsCap is the subadviser to the Portfolio and is entitled to receive a fee from Funds Management at an annual rate starting at 0.28% and declining to 0.18% as the average daily net assets of the Portfolio increase.

Funds Management has voluntarily waived and/or reimbursed advisory fees to reduce the net operating expense ratio of the Portfolio.

Interfund transactions

The Portfolios may purchase or sell portfolio investment securities to certain other Wells Fargo affiliates pursuant to Rule 17a-7 of the 1940 Act and under procedures adopted by the Board of Trustees. The procedures have been designed to ensure that these interfund transactions, which do not incur broker commissions, are effected at current market prices. Pursuant to these procedures, the Portfolio had $252,500 and $0 in interfund purchases and sales, respectively, during the year ended May 31, 2019.

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments, excluding short-term securities, for the year ended May 31, 2019 were as follows:

Purchases at cost			Sales proceeds
U.S. government	Non-U.S. government		U.S. government		Non-U.S. government
$63,030,117	$	51,720,717	$	40,045,141	$	36,382,011

6. DERIVATIVE TRANSACTIONS

During the year ended May 31, 2019, the Portfolio entered into futures contract to speculate on interest rates and to help manage the duration of its portfolio. The Fund had an average notional amount of $3,291,716 in long futures contracts and $8,151,147 in short futures contracts during the year ended May 31, 2019.

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.

46 Wells Fargo Real Return Portfolio Notes to financial statements

7. BORROWINGS

Effective August 28, 2018, the Trust, along with Wells Fargo Variable Trust and Wells Fargo Funds Trust (excluding the money market funds), are parties to a $280,000,000 revolving credit agreement whereby the Portfolio is permitted to use bank borrowings for temporary or emergency purposes, such as to fund shareholder redemption requests. Interest under the credit agreement is charged to the Portfolio based on a borrowing rate equal to the higher of the Federal Funds rate in effect on that day plus 1.25% or the overnight LIBOR rate in effect on that day plus 1.25%. In addition, an annual commitment fee equal to 0.25% of the unused balance is allocated to each participating fund.

For the year ended May 31, 2019, there were no borrowings by the Portfolio under the agreement.

8. INDEMNIFICATION

Under the Trust’s organizational documents, the officers and Trustees have been granted certain indemnification rights against certain liabilities that may arise out of performance of their duties to the Trust. Additionally, in the normal course of business, the Trust may enter into contracts with service providers that contain a variety of indemnification clauses. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the Portfolio and, therefore, cannot be estimated.

9. NEW ACCOUNTING PRONOUNCEMENTS

In August 2018, FASB issued Accounting Standards Update (“ASU”) No. 2018-13, Fair Value Measurement (Topic 820)Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement. ASU 2018-13 updates the disclosure requirements for fair value measurements by modifying or removing certain disclosures and adding certain new disclosures. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Early adoption is permitted. Management has adopted the removal and modification of disclosures early, as permitted, and will adopt the additional new disclosures at the effective date.

In March 2017, FASB issued ASU No. 2017-08,Premium Amortization on Purchased Callable Debt Securities. ASU 2017-08 shortens the amortization period for certain callable debt securities held at a premium. The amendments require the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount; the discount continues to be amortized to maturity. ASU 2017-08 is effective for fiscal years beginning after December 15, 2018 and for interim periods within those fiscal years. Management has evaluated the impact of adopting this ASU and determined that it will not result in any material changes to the disclosures in the financial statements.

Report of independent registered public accounting firm Wells Fargo Real Return Portfolio 47

TO THE SHAREHOLDERS OF THE PORTFOLIO AND BOARD OF TRUSTEES OF WELLS FARGO MASTER TRUST:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Wells Fargo Real Return Portfolio (the Portfolio), one of the portfolios constituting Wells Fargo Master Trust, including the portfolio of investments, as of May 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Portfolio as of May 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of May 31, 2019, by correspondence with the custodian and brokers, or by other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

We have not been able to determine the specific year that we began serving as the auditor of one or more Wells Fargo Funds investment companies; however we are aware that we have served as the auditor of one or more Wells Fargo Funds investment companies since at least 1955.

Boston, Massachusetts

July 26, 2019

48 Wells Fargo Real Return Fund Other information (unaudited)

TAX INFORMATION

For corporate shareholders, pursuant to Section 854 of the Internal Revenue Code, 8.64% of ordinary income dividends qualify for the corporate dividends-received deduction for the fiscal year ended May 31, 2019.

Pursuant to Section 852 of the Internal Revenue Code, $226,455 was designated as a 20% rate gain distribution for the fiscal year ended May 31, 2019.

Pursuant to Section 854 of the Internal Revenue Code, $217,908 of income dividends paid during the fiscal year ended May 31, 2019 has been designated as qualified dividend income (QDI).

For the fiscal year ended May 31, 2019, $1,144,049 has been designated as interest-related dividends for nonresident alien shareholders pursuant to Section 871 of the Internal Revenue Code.

For the fiscal year ended May 31, 2019, $4,201 has been designated as short-term capital gain dividends for nonresident alien shareholders pursuant to Section 871 of the Internal Revenue Code.

For the fiscal year ended May 31, 2019, 60.39% of the ordinary income distributed was derived from interest on U.S. government

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 calling1-800-222-8222, visiting our website atwfam.com, or visiting the SEC website at sec.gov. Information regarding how the proxies related to portfolio securities were voted during the most recent12-month period ended June 30 is available on the website atwfam.com or by visiting the SEC website at sec.gov.

QUARTERLY PORTFOLIO HOLDINGS

The Fund and Portfolio file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visiting the SEC website at sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Other information (unaudited) Wells Fargo Real Return Fund 49

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 151 mutual funds comprising the Wells Fargo Funds Trust, Wells Fargo Variable Trust, Wells Fargo Master Trust and four closed-end funds (collectively the “Fund Complex”). This table should be read in conjunction with the Prospectus and the Statement of Additional Information². The mailing address of each Trustee and Officer is 525 Market Street, 12th Floor, San Francisco, CA 94105. Each Trustee and Officer serves an indefinite term, however, each Trustee serves such term until reaching the mandatory retirement age established by the Trustees.

Independent Trustees

Name and year of birth	Position held and length of service*	Principal occupations during past five years or longer	Current other public company or investment company directorships
William R. Ebsworth (Born 1957)	Trustee, since 2015	Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder.	N/A
Jane A. Freeman (Born 1953)	Trustee, since 2015; Chair Liaison, since 2018	Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is a Board Member of The Ruth Bancroft Garden (non-profit organization). She is also an inactive Chartered Financial Analyst.	N/A
Isaiah Harris, Jr. (Born 1952)	Trustee, since 2009; Audit Committee Chairman, since 2019	Retired. Chairman of the Board of CIGNA Corporation since 2009, and Director since 2005. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Child Evangelism Fellowship (non-profit). Mr. Harris is a certified public accountant (inactive status).	CIGNA Corporation
Judith M. Johnson (Born 1949)	Trustee, since 2008; Audit Committee Chairman, from 2009 to 2018	Retired. Prior thereto, Chief Executive Officer and Chief Investment Officer of Minneapolis Employees Retirement Fund from 1996 to 2008. Ms. Johnson is an attorney, certified public accountant and a certified managerial accountant.	N/A

50 Wells Fargo Real Return Fund Other information (unaudited)

Name and year of birth	Position held and length of service*	Principal occupations during past five years or longer	Current other public company or investment company directorships
David F. Larcker (Born 1950)	Trustee, since 2009	James Irvin Miller Professor of Accounting at the Graduate School of Business, Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005.	N/A
Olivia S. Mitchell (Born 1953)	Trustee, since 2006; Nominating and Governance Committee Chairman, since 2018	International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993.	N/A
Timothy J. Penny (Born 1951)	Trustee, since 1996; Chairman, since 2018	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

* Length of service dates reflect the Trustee’s commencement of service with the Trust’s predecessor entities, where applicable.

Other information (unaudited) Wells Fargo Real Return Fund 51

Officers

Name and year of birth	Position held and length of service	Principal occupations during past five years or longer
Andrew Owen (Born 1960)	President, since 2017	Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014.
Nancy Wiser1 (Born 1967)	Treasurer, since 2012	Executive Vice President of Wells Fargo Funds Management, LLC since 2011. Chief Operating Officer and Chief Compliance Officer at LightBox Capital Management LLC, from 2008 to 2011.
Alexander Kymn (Born 1973)	Secretary and Chief Legal Officer, since 2018	Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds Management, LLC from 2008 to 2014.
Michael H. Whitaker (Born 1967)	Chief Compliance Officer, since 2016	Senior Vice President and Chief Compliance Officer since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016.
David Berardi (Born 1975)	Assistant Treasurer, since 2009	Vice President of Wells Fargo Funds Management, LLC since 2009. Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010. Manager of Fund Reporting and Control for Evergreen Investment Management Company, LLC from 2004 to 2010.
Jeremy DePalma1 (Born 1974)	Assistant Treasurer, since 2009	Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010.

¹ Nancy Wiser acts as Treasurer of 65 funds in the Fund Complex. Jeremy DePalma acts as Treasurer of 86 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 atwfam.com.

52 Wells Fargo Real Return Fund Other information (unaudited)

BOARD CONSIDERATION OF INVESTMENT MANAGEMENT, ADVISORY AND SUB-ADVISORY AGREEMENTS:

Wells Fargo Real Return Fund and Wells Fargo Real Return 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”, and 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 an in-person meeting held on May 21-22, 2019 (the “Meeting”), the Funds Trust Board, 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 Wells Fargo Real Return Fund (the “Gateway Fund”) an investment management agreement (the “Gateway Fund Management Agreement”) with Wells Fargo Funds Management, LLC (“Funds Management”).

At the Meeting, the Master Trust Board, 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: (i) an investment advisory agreement (the “Master Portfolio Advisory Agreement”) with Funds Management for Wells Fargo Real Return Portfolio, a portfolio of Master Trust (the “Master Portfolio”); and (ii) an investment sub-advisory agreement (the “Sub-Advisory Agreement”) with Wells Capital Management Incorporated (the “Sub-Adviser”).

The Gateway Fund and the Master Portfolio are collectively referred to as the “Funds.” The Gateway Fund Management Agreement, the Master Portfolio Advisory Agreement and the Sub-Advisory Agreement are collectively referred to as the “Advisory Agreements.”

The Gateway Fund is a gateway feeder fund that invest substantially all of its assets in the Master Portfolio. The Master Portfolio has a substantially similar investment objective and substantially similar investment strategies to the Gateway Fund. Information provided to the Boards regarding the Gateway Fund is also applicable to the Master Portfolio, 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-Adviser and the approval of the Advisory Agreements. Prior to the Meeting, including at an in-person meeting in April 2019, 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-Adviser 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 2019. 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-Adviser 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 Funds Trust Board unanimously approved the continuation of the Gateway Fund Management 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 the Sub-Advisory Agreement, each for a one-year term. The Boards also determined that the compensation payable to Funds Management and the Sub-Adviser 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-Adviser under the Advisory Agreements. This information included a description

Other information (unaudited) Wells Fargo Real Return Fund 53

of the investment advisory services and Fund-level administrative services, 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-Adviser are a part, a summary of investments made in the business of WFAM, a summary of certain organizational and personnel changes involving Funds Management and the Sub-Adviser, and a description of Funds Management’s and the Sub-Adviser’s business continuity planning programs and of their approaches to data privacy and cybersecurity. The Boards received and reviewed information about Funds Management’s role as administrator of the Funds’ liquidity risk management 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 Boards evaluated the ability of Funds Management and the Sub-Adviser 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-Adviser. 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 Funds over various time periods ended December 31, 2018. 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 Gateway Fund (the “Universe”), and in comparison to the Gateway Fund’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 the performance Universe. The Funds Trust Board noted that the investment performance of the Gateway Fund (Administrator Class) was higher than the average investment performance of its Universe for the three-, five- and ten-year periods under review, but lower than the average investment performance of its Universe for the one-year period under review. The Funds Trust Board also noted that the investment performance of the Gateway Fund was higher than its benchmark, the Bloomberg Barclays U.S. TIPS Index, for the three- and five-year periods under review, but lower than its benchmark for the one- and ten-year periods under review.

The Master Trust Board took note of the investment performance of the Master Portfolio in the context of reviewing the investment performance of the Gateway Fund.

The Funds Trust Board received information concerning, and discussed factors contributing to, the underperformance of the Gateway Fund relative to the Universe and benchmark for the one-year period identified above. The Funds Trust Board took note of the explanations for the relative underperformance during this period, including with respect to investment decisions and market factors that affected the Gateway Fund’s investment performance.

The Funds Trust Board also received and considered information regarding the Gateway Fund’s net operating expense ratios, which include fees and expenses of the Master Portfolio, and their various components, including actual management fees assessed at the Gateway Fund and Master Portfolio levels, custodian and other non-management fees, and Rule 12b-1 and non-Rule 12b-1 shareholder service fees. The Funds Trust Board considered these ratios in comparison to the median ratios of funds in class-specific expense groups that were determined by Broadridge to be similar to the Gateway Fund (the “Groups”). The Funds Trust Board 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. Based on the Broadridge reports, the Funds Trust Board noted that the net operating expense ratios of the Gateway Fund were lower than or equal to the median net operating expense ratios of its expense Groups for each share class.

With respect to the Master Portfolio, the Master Trust Board reviewed 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 a corresponding expense Group.

The Boards took into account the Funds’ investment performance and expense 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 Funds Trust Board noted that Funds Management receives no advisory fees from the Gateway Fund as long as the Gateway Fund continues to invest all (or substantially all) of its assets in a single master portfolio. If the Gateway Fund were to change its investment structure so that it began investing in two or more master portfolios (a fund-of-funds), Funds Management would be entitled to receive an annual fee of 0.25% of the Gateway Fund’s average daily net assets for providing investment advisory services to the Gateway Fund, including allocating the Gateway Fund’s assets to the Master Portfolio.

54 Wells Fargo Real Return Fund Other information (unaudited)

The Funds Trust Board reviewed and considered the contractual fee rates that are payable by the Gateway Fund to Funds Management under the Gateway Fund Management Agreement, as well as the contractual fee rates payable by the Gateway Fund to Funds Management for class-level administrative services under a Class-Level Administration Agreement, which include, among other things, class-level transfer agency and sub-transfer agency costs (collectively, the “Management Rates”).

The Master Trust Board reviewed and considered the contractual investment advisory fee rate that is payable by the Master Portfolio to Funds Management for investment advisory services under the Master Portfolio Advisory Agreement (the “Advisory Agreement Rate”). The Master Trust Board also reviewed and considered the contractual investmentsub-advisory fee rate that is payable by Funds Management to the Sub-Adviser for investment sub-advisory services (the “Sub-Advisory Agreement Rate”).

Among other information reviewed by the Funds Trust Board was a comparison of the Gateway Fund’s Management Rate, which include the advisory fees paid at the Master Portfolio level, with the average contractual investment management fee rates of funds in the expense Groups at a common asset level as well as transfer agency costs of the funds in the expense Groups. The Funds Trust Board noted that the Management Rates of the Gateway Fund were lower than or in range of the sum of these average rates for the Gateway Fund’s expense Groups for all share classes.

The Master Trust Board reviewed a comparison of the Advisory Agreement Rate of the Master Portfolio with those of other funds in the Master Portfolio’s expense Group at a common asset level. The Master Trust Board noted that the Advisory Agreement Rate of the Master Portfolio was in range of the median rate for the Master Portfolio’s expense Group.

The Master Trust Board 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-Adviser for sub-advisory services. In assessing the reasonableness of these amounts, the Master Trust Board 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-Adviser, and about Funds Management’s on-going oversight services. Given the affiliation between Funds Management and the Sub-Adviser, the Master Trust Board ascribed limited relevance to the allocation of fees between them.

Based on its consideration of the factors and information it deemed relevant, including those described here, the Funds Trust Board determined that the compensation payable to Funds Management under the Gateway Fund Management Agreement was reasonable, and the Master Trust Board determined that the compensation payable to Funds Management under the Master Portfolio Advisory Agreement and to the Sub-Adviser under the Sub-Advisory Agreement was 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-Adviser’s profitability information with respect to providing services to the Master Portfolio 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 the Boards 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 Master Portfolio’s advisory fee structure and the Gateway Fund’s management fee structure, which operate generally to reduce the Funds’ expense ratios as the Funds grow in size. 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.

Other information (unaudited) Wells Fargo Real Return Fund 55

The Boards concluded that Funds Management’s arrangements with respect to each Fund, 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-Adviser

The Boards received and considered information regarding potential “fall-out” or ancillary benefits received by Funds Management and its affiliates, including the Sub-Adviser, 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-Adviser’s 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-Adviser, fees earned by Funds Management and the Sub-Adviser 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 the Sub-Adviser, 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 Gateway Fund Management 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 the Sub-Advisory Agreement for a one-year term. The Boards also determined that the compensation payable to Funds Management and the Sub-Adviser was reasonable.

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For more information

More information about Wells Fargo Funds is available free upon request. To obtain literature, please write, visit the Fund’s website, or call:

Wells Fargo Funds

P.O. Box 219967

Kansas City, MO 64121-9967

Website: 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 Fund. If this report is used for promotional purposes, distribution of the report must be accompanied or preceded by a current prospectus. Before investing, please consider the investment objectives, risks, charges, and expenses of the investment. For a current prospectus and, if available, a summary prospectus, containing this information, call1-800-222-8222 or visit the Fund’s website atwfam.com. Read the prospectus carefully before you invest or send money.

Wells Fargo Asset Management (WFAM) is the trade name for certain investment advisory/management firms owned by Wells Fargo & Company. These firms include but are not limited to Wells Capital Management Incorporated and Wells Fargo Funds Management, LLC. Certain products managed by WFAM entities are distributed by Wells Fargo Funds Distributor, LLC (a broker-dealer and Member FINRA).

This material is for general informational and educational purposes only and is NOT intended to provide investment advice or a recommendation of any kind—including a recommendation for any specific investment, strategy, or plan.

INVESTMENT PRODUCTS: NOT FDIC INSURED  ◾  NO BANK GUARANTEE  ◾   MAY LOSE VALUE

© 2019 Wells Fargo Funds Management, LLC. All rights reserved.

403202 07-19 A288/AR288 05-19

ITEM 2. CODE OF ETHICS

(a) As of the end of the period covered by the report, Wells Fargo Funds Trust has adopted a code of ethics that applies to its President and Treasurer. A copy of the code of ethics is filed as an exhibit to this FormN-CSR.

(c) During the period covered by this report, there were no amendments to the provisions of the code of ethics adopted in Item 2(a) above.

(d) During the period covered by this report, there were no implicit or explicit waivers to the provisions of the code of ethics adopted in Item 2(a) above.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT

The Board of Trustees of Wells Fargo Funds Trust has determined that Judith Johnson is an audit committee financial expert, as defined in Item 3 of FormN-CSR. Mrs. Johnson is independent for purposes of Item 3 of FormN-CSR.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES

(a), (b), (c), (d) The following table presents aggregate fees billed in each of the last two fiscal years for services rendered to the Registrant by the Registrant’s principal accountant. These fees were billed to the registrant and were approved by the Registrant’s audit committee.

	Fiscal year ended May 31, 2019*		Fiscal year ended May 31, 2018
Audit fees	$	309,400	$	499,226
Audit-related fees		—		—
Tax fees(1)		63,480		102,845
All other fees		—		—
	$	372,880	$	602,071

* Amounts for the year ended May 31, 2019 exclude the Dynamic Target Date Funds which no longer have a May 31 fiscal year end.

⁽¹⁾  Tax fees consist of fees for tax compliance, tax advice, tax planning and excise tax.

(e) The Chairman of the Audit Committees is authorized topre-approve: (1) audit services for the mutual funds of Wells Fargo Funds Trust;(2) non-audit tax or compliance consulting or training services provided to the Funds by the independent auditors (“Auditors”) if the fees for any particular engagement are not anticipated to exceed $50,000; and(3) non-audit tax or compliance consulting or training services provided by the Auditors to a Fund’s investment adviser and its controlling entities (wherepre-approval is required because the engagement relates directly to the operations and financial reporting of the Fund) if the fee to the Auditors for any particular engagement is not anticipated to exceed $50,000. For any suchpre-approval sought from the Chairman, Management shall prepare a brief description of the proposed services. If the Chairman approves of such service, he or she shall sign the statement prepared by Management. Such written statement shall be presented to the full Committees at their next regularly scheduled meetings.

(f) Not applicable

(g) Not applicable

(h) Not applicable

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS

Not applicable.

ITEM 6. INVESTMENTS

A Portfolio of Investments for each series of Wells Fargo Funds Trust is included as part of the report to shareholders filed under Item 1 of this Form.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FORCLOSED-END MANAGEMENT INVESTMENT COMPANIES

Not applicable.

ITEM 8. PORTFOLIO MANAGERS OFCLOSED-END MANAGEMENT INVESTMENT COMPANIES

Not applicable.

ITEM 9. PURCHASES OF EQUITY SECURITIES BYCLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees that have been implemented since the registrant’s last provided disclosure in response to the requirements of this Item.

ITEM 11. CONTROLS AND PROCEDURES

(a) The President and Treasurer have concluded that the Wells Fargo Funds Trust disclosure controls and procedures (as defined inRule 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 Rule30a-3(d) under the Investment Company Act of 1940) that occurred during the most recent fiscal quarter of the period covered by this report that materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 12. DISCLOSURES OF SECURITIES LENDING ACTIVITES FORCLOSED-END MANAGEMENT INVESTMENT COMPANIES

Not applicable.

ITEM 13. EXHIBITS

(a)(1) Code of Ethics pursuant to Item 2 of FormN-CSR is filed and attached hereto as Exhibit COE.

(a)(2) Certification pursuant to Rule30a-2(a) under the Investment Company Act of 1940 (17 CFR270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

(b) Certification pursuant to Rule30a-2(b) under the Investment Company Act of 1940 (17 CFR270.30a-2(b)) is filed and attached hereto as Exhibit 99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Wells Fargo Funds Trust
By:
	/s/ Andrew Owen
	Andrew Owen
	President
Date:	July 26, 2019

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the date indicated.

Wells Fargo Funds Trust
By:
	/s/ Andrew Owen
	Andrew Owen
	President
Date:	July 26, 2019
By:
	/s/ Nancy Wiser
	Nancy Wiser
	Treasurer
Date:	July 26, 2019
By:
	/s/ Jeremy DePalma
	Jeremy DePalma
	Treasurer
Date:	July 26, 2019