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Form NPORT-P WELLS FARGO FUNDS TRUST For: May 31

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July 30, 2021 9:30 AM EDT 

  
    NPORT-P
    false
    
      
      
        
          0001081400
          XXXXXXXX
        
      
      
      
      
        S000049610
        C000156890
        C000156891
        C000156893
        C000156894
      
      
      
    
  
  
    
      Wells Fargo Funds Trust
      811-09253
      0001081400
      549300XROIY0CTN7RZ24
      525 Market St.
      San Francisco
      
      94105
      415-396-4184
      Dynamic Target 2045 Fund
      S000049610
      549300ISOTJT6EMLTG50
      2022-02-28
      2021-05-31
      N
    
    
      8618028.490000000000
      49304.540000000000
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      0.000000000000
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        OMXS30 IND FUTURE JUN21 XSTO 20210618
        N/A
        OMXS30 IND FUTURE JUN21 XSTO 20210618
        000000000
        
          
          
        
        7.0000000000
        NC
        
        1199.0300000000
        0.0139930987
        N/A
        DE
        NUSS
        SE
        N
        
        1
        
          
            
              Nasdaq Stockholm
              N/A
            
            Long
            
              
                OMX STOCKHOLM 30 INDEX
                OMX STOCKHOLM 30
                
                  
                  
                
              
            
            2021-06-18
            1572043.0600000000
            SEK
            1199.0300000000
          
        
        
          N
          N
          N
        
      
      
        ICE FUTURES EUROPE - FINANCIAL PRODUCTS DIVISION
        549300UF4R84F48NCH34
        S+P500 EMINI FUT  JUN21 XCME 20210618
        000000000
        
          
          
        
        1.0000000000
        NC
        USD
        11886.9700000000
        0.1387250899
        N/A
        DE
        CORP
        GB
        N
        
        1
        
          
            
              Chicago Mercantile Exchange Holdings Inc.
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                S+P 500 INDEX INDEX
                S+P 500 INDEX
                
                  
                  
                
              
            
            2021-06-18
            198233.0300000000
            USD
            11886.9700000000
          
        
        
          N
          N
          N
        
      
      
        EURO STOXX 50     JUN21 XEUR 20210618
        N/A
        EURO STOXX 50     JUN21 XEUR 20210618
        000000000
        
          
          
        
        -4.0000000000
        NC
        
        -14130.4500000000
        -0.1649072847
        N/A
        DE
        CORP
        DE
        N
        
        1
        
          
            
              Eurex Clearing
              N/A
            
            Short
            
              
                EURO STOXX 50 INDEX
                EURO STOXX 50
                
                  
                  
                
              
            
            2021-06-18
            -151052.4400000000
            EUR
            -14130.4500000000
          
        
        
          N
          N
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        HONG KONG FUTURES EXCHANGE LTD.
        N/A
        MSCI EMGMKT       JUN21 XNLI 20210618
        000000000
        
          
          
        
        1.0000000000
        NC
        USD
        1307.3400000000
        0.0152571142
        N/A
        DE
        CORP
        HK
        N
        
        1
        
          
            
              Intercontinental Exchange (ICE) US
              5493004R83R1LVX2IL36
            
            Long
            
              
                MSCI EM INDEX
                MSCI EM
                
                  
                  
                
              
            
            2021-06-18
            66737.6600000000
            USD
            1307.3400000000
          
        
        
          N
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        CME GLOBEX
        N/A
        AUDUSD CRNCY FUT  JUN21 XCME 20210614
        000000000
        
          
          
        
        -3.0000000000
        NC
        USD
        341.2800000000
        0.0039828567
        N/A
        DFE
        CORP
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange Holdings Inc.
              LCZ7XYGSLJUHFXXNXD88
            
            Short
            
              
                RKS UNDERLYING CUSIP DEFAULT FOR Australian Dollar Currency
                RKS UNDERLYING CUSIP DEFAULT FOR Australian Dollar Currency
                
                  
                  
                
              
            
            2021-06-14
            -231761.2800000000
            USD
            341.2800000000
          
        
        
          N
          N
          N
        
      
      
        BCOM COMDTY IND   JUN21 XCBT 20210616
        N/A
        BCOM COMDTY IND   JUN21 XCBT 20210616
        000000000
        
          
          
        
        11.0000000000
        NC
        USD
        1507.7700000000
        0.0175962023
        N/A
        DE
        CORP
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                BBG COMMODITY INDEX
                BBG COMMODITY
                
                  
                  
                
              
            
            2021-06-16
            100462.2300000000
            USD
            1507.7700000000
          
        
        
          N
          N
          N
        
      
      
        Wells Fargo Investment Grade Corporate Bond Portfolio
        5493001BFBPLXGF0T424
        Wells Fargo Investment Grade Corporate Bond Portfolio
        000000000
        
          
        
        260351.47
        OU
        Balance Amount = Investment in Master Portfolio
        USD
        260351.47
        3.0383925485
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Wells Fargo High Yield Corporate Bond Portfolio
        549300PINZDPHVMK2484
        Wells Fargo High Yield Corporate Bond Portfolio
        000000000
        
          
        
        42377.57
        OU
        Balance Amount = Investment in Master Portfolio
        USD
        42377.57
        0.4945610367
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Wells Fargo Bloomberg Barclays U.S. Aggregate ex-Corporate Portfolio
        5493005A0U8JNL00Z344
        Wells Fargo Bloomberg Barclays U.S. Aggregate ex-Corporate Portfolio
        000000000
        
          
        
        500454.18
        OU
        Balance Amount = Investment in Master Portfolio
        USD
        500454.18
        5.8404749986
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Wells Fargo Factor Enhanced Small Cap Portfolio
        549300JFCRSOQ3EX1006
        Wells Fargo Factor Enhanced Small Cap Portfolio
        000000000
        
          
        
        921782.38
        OU
        Balance Amount = Investment in Master Portfolio
        USD
        921782.38
        10.7575221863
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Wells Fargo Factor Enhanced Large Cap Portfolio
        549300RQO6CG3C8MZO40
        Wells Fargo Factor Enhanced Large Cap Portfolio
        000000000
        
          
        
        3696957.62
        OU
        Balance Amount = Investment in Master Portfolio
        USD
        3696957.62
        43.1447861032
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Wells Fargo Emerging Markets Bond Portfolio
        549300MZYH5H4KTRRR25
        Wells Fargo Emerging Markets Bond Portfolio
        000000000
        
          
        
        42327.42
        OU
        Balance Amount = Investment in Master Portfolio
        USD
        42327.42
        0.4939757687
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Wells Fargo Factor Enhanced International Portfolio
        549300BD8ALDMNQFRB45
        Wells Fargo Factor Enhanced International Portfolio
        000000000
        
          
        
        2334382.96
        OU
        Balance Amount = Investment in Master Portfolio
        USD
        2334382.96
        27.2430641204
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Wells Fargo Factor Enhanced Emerging Markets Portfolio
        549300GNL2STC8VRF419
        Wells Fargo Factor Enhanced Emerging Markets Portfolio
        000000000
        
          
        
        697200.32
        OU
        Balance Amount = Investment in Master Portfolio
        USD
        697200.32
        8.1365711402
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
    
    
      2021-07-29
      Wells Fargo Funds Trust
      Jeremy DePalma
      Jeremy DePalma
      Treasurer
    
  
  XXXX
          Value
Investment companies:  99.15%          
Affiliated master portfolios:  99.15%          
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio         $  500,439
Wells Fargo Emerging Markets Bond Portfolio            42,327
Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio           697,468
Wells Fargo Factor Enhanced International Equity Portfolio         2,334,472
Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio         3,696,958
Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio           921,783
Wells Fargo High Yield Corporate Bond Portfolio            42,376
Wells Fargo Investment Grade Corporate Bond Portfolio           260,333
Total Investment companies (Cost $7,010,092)         8,496,156
Total investments in securities (Cost $7,010,092) 99.15%       8,496,156
Other assets and liabilities, net 0.85          72,583
Total net assets 100.00%       $8,568,739
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 		  Value,
end of
period 		  % of
net
assets
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio 0.08% 0.09% $337   $8,429   $1,559   $0   $500,439    
Wells Fargo Emerging Markets Bond Portfolio 0.11 0.11 (687)   (714)   470   0   42,327    
Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio 0.37 0.39 23,391   10,528   0   4,489   697,468    
Wells Fargo Factor Enhanced International Equity Portfolio 0.32 0.33 123,227   (47,320)   0   30,299   2,334,472    
Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio 0.43 0.45 388,816   64,168   0   12,801   3,696,958    
Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio 0.42 0.43 101,183   70,861   0   2,200   921,783    
Wells Fargo High Yield Corporate Bond Portfolio 0.08 0.08 212   563   543   0   42,376    
Wells Fargo Investment Grade Corporate Bond Portfolio 0.11 0.11 151   5,081   1,991   0   260,333    
      $636,630   $111,596   $4,563   $49,789   $8,496,156   99.15%
Wells Fargo Dynamic Target 2045 Fund  |  1
Futures contracts
Description Number of
contracts 		Expiration
date 		Notional
cost 		Notional
value 		Unrealized
gains 		  Unrealized
losses
Long              
Bloomberg Commodity Index 11 6-16-2021 $100,462 $101,970 $1,508   $0
E-Mini S&P 500 Index 1 6-18-2021 198,233 210,120 11,887   0
MSCI Emerging Markets Index 1 6-18-2021 66,738 68,045 1,307   0
Short              
Australian Dollars Futures (3) 6-14-2021 (231,761) (231,420) 341   0
          $15,043   $0
2  |  Wells Fargo Dynamic Target 2045 Fund
Notes to portfolio of investments—May 31, 2021 (unaudited)
The Fund is a fund-of-funds which seeks to achieve its investment objective by investing in multiple diversified portfolios (collectively, the “affiliated Master Portfolios”) of Wells Fargo Master Trust, a registered open-end management investment company. Each affiliated Master Portfolio directly acquires portfolio securities and the Fund acquires an indirect interest in those securities.
Securities valuation
All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Funds may deviate from this calculation time under unusual or unexpected circumstances.
Investments in the affiliated Master Portfolios are valued daily based on each Fund’s proportionate share of each affiliated Master Portfolio’s net assets, which are also valued daily.
Futures contracts that are listed on a foreign or domestic exchange or market are valued at the official closing price or, if none, the last sales price.
Investments 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. 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 a 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 security values and foreign exchange rates and is subject to equity price risk and foreign currency risk. The primary risks associated with the use of futures contracts are the imperfect correlation between changes in market values of securities held by the Fund and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange. With futures contracts, there is minimal counterparty risk to the Fund since futures contracts are exchange traded and the exchange’s clearinghouse, as the counterparty to all exchange traded futures, guarantees the futures contracts against default.
Upon entering into 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). 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.
Fair valuation measurements
Fair value measurements of investments are determined within a framework that has established a fair value hierarchy based upon the various data inputs utilized in determining the value of each Fund’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). Each Fund’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:
■ Level 1 – quoted prices in active markets for identical securities
■ Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
■ Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.
Wells Fargo Dynamic Target 2045 Fund  |  3
Notes to portfolio of investments—May 31, 2021 (unaudited)
The following is a summary of the inputs used in valuing each Fund’s assets and liabilities as of May 31, 2021:
  Quoted prices
(Level 1) 		Other significant
observable inputs
(Level 2) 		Significant
unobservable inputs
(Level 3) 		Total
Assets        
Investments in:        
Investments measured at net asset value*       $8,496,156
Futures contracts $15,043 $0 $0 15,043
Total assets $15,043 $0 $0 $8,511,199
    
* 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 aggregated affiliated Master Portfolios valued at $8,496,156 do not have a redemption period notice, can be redeemed daily and do not have any unfunded commitments.
Futures contracts are reported at their cumulative unrealized gains (losses) at measurement date as reported in the table following the Portfolio of Investments. All other assets and liabilities are reported at their market value at measurement date.
As of May 31, 2021, $87,000 was segregated as cash collateral for open futures contracts.
For the three months ended May 31, 2021, 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 Aggregate ex-Corporate Portfolio Seeks to replicate the total return of the Bloomberg Barclays U.S. Aggregate ex-Corporate Index, before fees and expenses
Wells Fargo Emerging Markets Bond Portfolio Seeks to replicate the total return of the JP Morgan EMBI Global Diversified Index, before fees and expenses
Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio Seeks long-term capital appreciation
Wells Fargo Factor Enhanced International Equity Portfolio Seeks long-term capital appreciation
Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio Seeks long-term capital appreciation
Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio Seeks long-term capital appreciation
Wells Fargo High Yield Corporate Bond Portfolio Seeks to replicate the total return of the Wells Fargo U.S. High Yield Bond Index, before fees and expenses
Wells Fargo Investment Grade Corporate Bond Portfolio Seeks to replicate the total return of the Wells Fargo U.S. Investment Grade Corporate Bond Index, before fees and expenses
4  |  Wells Fargo Dynamic Target 2045 Fund

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