Wells Fargo Bank, N.A. Collective Investment Funds

Transcription

1 Wells Fargo Bank, N.A. Collective Investment Funds Annual Report 2016

2 WELLS FARGO STABLE RETURN FUND F WELLS FARGO STABLE RETURN FUND N WELLS FARGO STABLE RETURN FUND N15 WELLS FARGO STABLE RETURN FUND N25 WELLS FARGO STABLE RETURN FUND N35 WELLS FARGO STABLE RETURN FUND N60 WELLS FARGO STABLE RETURN FUND TR Financial Statements (With Independent Auditors Report Thereon)

3 WELLS FARGO STABLE RETURN FUNDS F, N, N15, N25, N35, N60, TR Table of Contents Page Independent Auditors Report 1 Financial Statements Wells Fargo Stable Return Fund F 3 Wells Fargo Stable Return Fund N 7 Wells Fargo Stable Return Fund N15 11 Wells Fargo Stable Return Fund N25 15 Wells Fargo Stable Return Fund N35 19 Wells Fargo Stable Return Fund N60 23 Wells Fargo Stable Return Fund TR 27 Notes to Financial Statements 31

4 KPMG LLP 4200 Wells Fargo Center 90 South Seventh Street Minneapolis, MN Independent Auditors Report The Board of Directors Wells Fargo Bank, N.A.: We have audited the accompanying financial statements of Wells Fargo Stable Return Fund F, Wells Fargo Stable Return Fund N, Wells Fargo Stable Return Fund N15, Wells Fargo Stable Return Fund N25, Wells Fargo Stable Return Fund N35, Wells Fargo Stable Return Fund N60, and Wells Fargo Stable Return Fund TR, which comprise the statements of assets and liabilities, including the schedules of investments, as of, and the related statements of operations and changes in net assets for the year then ended, and the related notes to the financial statements. Management s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with U.S. generally accepted accounting principles; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditors Responsibility Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditors judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. KPMG LLP is a Delaware limited liability partnership and the U.S. member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative ( KPMG International ), a Swiss entity.

5 Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Wells Fargo Stable Return Fund F, Wells Fargo Stable Return Fund N, Wells Fargo Stable Return Fund N15, Wells Fargo Stable Return Fund N25, Wells Fargo Stable Return Fund N35, Wells Fargo Stable Return Fund N60, and Wells Fargo Stable Return Fund TR as of, and the results of their operations and changes in their net assets for the year then ended in accordance with U.S. generally accepted accounting principles. Minneapolis, Minnesota April 6,

6 WELLS FARGO STABLE RETURN FUND F Statement of Assets and Liabilities Assets: Investment in Wells Fargo Stable Return Fund G, at fair value (cost: $583,427,445) (note 2) $ 590,433,221 Total assets 590,433,221 Liabilities: Accrued investment management fee 47,892 Accrued 5500 filing fee 1,690 Accrued audit fee 3,590 Total liabilities 53,172 Net assets reflecting investments at fair value 590,380,049 Adjustment from fair value to contract value for underlying fully benefit-responsive investment contracts (1,178,509) Net assets, 56,107,198 units outstanding, $ unit value $ 589,201,540 3

7 WELLS FARGO STABLE RETURN FUND F Statement of Operations Year ended Realized and unrealized gains (losses) on investments: Net realized gain on investment transactions (note 2) $ 345,792 Net change in unrealized appreciation (depreciation) of investments 4,823,882 Total gain on investments 5,169,674 Expenses: Investment management fee (note 3) 276, filing fee 1,690 Audit fee 3,589 Total expenses 281,478 Net change in net assets resulting from operations $ 4,888,196 4

8 WELLS FARGO STABLE RETURN FUND F Statement of Changes in Net Assets Year ended Increase/(decrease) in net assets from operations: Net realized gain on investment transactions $ 345,792 Net change in unrealized appreciation (depreciation) of investments 4,823,882 Expenses (281,478) Net change in net assets resulting from operations 4,888,196 Participant unit transactions: Proceeds from issuance of 47,910,732 units 500,068,566 Payments for withdrawal of 3,368,698 units (35,115,374) Net change in net assets from participant unit transactions 464,953,192 Total change in net assets 469,841,388 Net assets: Beginning of year (11,565,164 units) 119,360,152 End of year (56,107,198 units) $ 589,201,540 5

9 WELLS FARGO STABLE RETURN FUND F Schedule of Investments Investment Adjustment to Number of at fair to contract Contract Name of issuer shares Cost value (a) (c) value value (a) (Percentage represents the fair value of the investment category to net assets) Collective Trust Fund (100.2%): Wells Fargo Stable Return Fund G (b) 11,003,671 $ 583,427, ,433,221 (1,178,509) 589,254,712 Total investments in securities $ 583,427, ,433,221 (1,178,509) 589,254,712 Notes to schedule of investments: (a) (b) (c) Securities are valued by procedures described in note 2 to the financial statements. Wells Fargo Stable Return Fund G is another Wells Fargo Bank, N.A.-sponsored collective trust fund. Represents the Fund s portion of the underlying fully benefit-responsive investment contracts at fair value held by Wells Fargo Stable Return Fund G. See accompanying notes to the financial statements. 6

10 WELLS FARGO STABLE RETURN FUND N Statement of Assets and Liabilities Assets: Investment in Wells Fargo Stable Return Fund G, at fair value (cost: $6,125,438,530) (note 2) $ 6,460,980,646 Total assets 6,460,980,646 Liabilities: Accrued investment management fee 581,326 Accrued 5500 filing fee 1,690 Accrued trustee fee 174,398 Accrued audit fee 3,590 Total liabilities 761,004 Net assets reflecting investments at fair value 6,460,219,642 Adjustment from fair value to contract value for underlying fully benefit-responsive investment contracts (12,896,169) Net assets, 120,979,312 units outstanding, $ unit value $ 6,447,323,473 7

11 WELLS FARGO STABLE RETURN FUND N Statement of Operations Year ended Realized and unrealized gains (losses) on investments: Net realized gain on investment transactions (note 2) $ 26,351,649 Net change in unrealized appreciation (depreciation) of investments 91,369,764 Total gain on investments 117,721,413 Expenses: Investment management fee (note 3) 6,387, filing fee 1,690 Trustee fee 1,916,197 Audit fee 3,588 Total expenses 8,308,798 Net change in net assets resulting from operations $ 109,412,615 8

12 WELLS FARGO STABLE RETURN FUND N Statement of Changes in Net Assets Year ended Increase/(decrease) in net assets from operations: Net realized gain on investment transactions $ 26,351,649 Net change in unrealized appreciation (depreciation) of investments 91,369,764 Expenses (8,308,798) Net change in net assets resulting from operations 109,412,615 Participant unit transactions: Proceeds from issuance of 16,141,793 units 851,595,770 Payments for withdrawal of 10,798,988 units (571,954,624) Net change in net assets from participant unit transactions 279,641,146 Total change in net assets 389,053,761 Net assets: Beginning of year (115,636,507 units) 6,058,269,712 End of year (120,979,312 units) $ 6,447,323,473 9

13 WELLS FARGO STABLE RETURN FUND N Schedule of Investments Investment Adjustment to Number of at fair to contract Contract Name of issuer shares Cost value (a) (c) value value (a) (Percentage represents the fair value of the investment category to net assets) Collective Trust Fund (100.2%): Wells Fargo Stable Return Fund G (b) 120,410,751 $ 6,125,438,530 6,460,980,646 (12,896,169) 6,448,084,477 Total investments in securities $ 6,125,438,530 6,460,980,646 (12,896,169) 6,448,084,477 Notes to schedule of investments: (a) (b) (c) Securities are valued by procedures described in note 2 to the financial statements. Wells Fargo Stable Return Fund G is another Wells Fargo Bank, N.A.-sponsored collective trust fund. Represents the Fund s portion of the underlying fully benefit-responsive investment contracts at fair value held by Wells Fargo Stable Return Fund G. See accompanying notes to the financial statements. 10

14 WELLS FARGO STABLE RETURN FUND N15 Statement of Assets and Liabilities Assets: Investment in Wells Fargo Stable Return Fund G, at fair value (cost: $601,970,274) (note 2) $ 646,933,675 Total assets 646,933,675 Liabilities: Accrued investment management fees 59,124 Accrued plan operations fees 88,687 Accrued 5500 filing fee 1,690 Accrued trustee fee 17,737 Accrued audit fee 3,590 Total liabilities 170,828 Net assets reflecting investments at fair value 646,762,847 Adjustment from fair value to contract value for underlying fully benefit-responsive investment contracts (1,291,285) Net assets, 54,498,337 units outstanding, $ unit value $ 645,471,562 11

15 WELLS FARGO STABLE RETURN FUND N15 Statement of Operations Year ended Realized and unrealized gains (losses) on investments: Net realized gain on investment transactions (note 2) $ 18,252,191 Net change in unrealized appreciation (depreciation) of investments (4,942,283) Total gain on investments 13,309,908 Expenses: Investment management fees (note 3) 724,355 Plan operations fees (note 3) 1,086, filing fee 1,691 Trustee fee 217,306 Audit fee 3,588 Total expenses 2,033,473 Net change in net assets resulting from operations $ 11,276,435 12

16 WELLS FARGO STABLE RETURN FUND N15 Statement of Changes in Net Assets Year ended Increase/(decrease) in net assets from operations: Net realized gain on investment transactions $ 18,252,191 Net change in unrealized appreciation (depreciation) of investments (4,942,283) Expenses (2,033,473) Net change in net assets resulting from operations 11,276,435 Participant unit transactions: Proceeds from issuance of 9,684,395 units 113,711,201 Payments for withdrawal of 24,352,797 units (286,062,331) Net change in net assets from participant unit transactions (172,351,130) Total change in net assets (161,074,695) Net assets: Beginning of year (69,166,739 units) 806,546,257 End of year (54,498,337 units) $ 645,471,562 13

17 WELLS FARGO STABLE RETURN FUND N15 Schedule of Investments Investment Adjustment Number of at fair to contract Contract Name of issuer shares Cost value (a) (c) value value (a) (Percentage represents the fair value of the investment category to net assets) Collective Trust Fund (100.2%): Wells Fargo Stable Return Fund G (b) 12,056,648 $ 601,970, ,933,675 (1,291,285) 645,642,390 Total investments in securities $ 601,970, ,933,675 (1,291,285) 645,642,390 Notes to schedule of investments: (a) (b) (c) Securities are valued by procedures described in note 2 to the financial statements. Wells Fargo Stable Return Fund G is another Wells Fargo Bank, N.A. sponsored collective trust fund. Represents the Fund s portion of the underlying fully benefit-responsive investment contracts at fair value held by Wells Fargo Stable Return Fund G. 14

18 WELLS FARGO STABLE RETURN FUND N25 Statement of Assets and Liabilities Assets: Investment in Wells Fargo Stable Return Fund G, at fair value (cost: $346,503,226) (note 2) $ 369,994,758 Total assets 369,994,758 Liabilities: Accrued investment management fees 34,559 Accrued plan operations fees 86,395 Accrued 5500 filing fee 1,690 Accrued trustee fee 10,368 Accrued audit fee 3,590 Total liabilities 136,602 Net assets reflecting investments at fair value 369,858,156 Adjustment from fair value to contract value for underlying fully benefit-responsive investment contracts (738,512) Net assets, 31,424,561 units outstanding, $ unit value $ 369,119,644 15

19 WELLS FARGO STABLE RETURN FUND N25 Statement of Operations Year ended Realized and unrealized gains (losses) on investments: Net realized gain on investment transactions (note 2) $ 12,454,212 Net change in unrealized appreciation (depreciation) of investments (4,393,489) Total gain on investments 8,060,723 Expenses: Investment management fees (note 3) 438,893 Plan operations fees (note 3) 1,097, filing fee 1,691 Trustee fee 131,669 Audit fee 3,588 Total expenses 1,673,079 Net change in net assets resulting from operations $ 6,387,644 16

20 WELLS FARGO STABLE RETURN FUND N25 Statement of Changes in Net Assets Year ended Increase/(decrease) in net assets from operations: Net realized gain on investment transactions $ 12,454,212 Net change in unrealized appreciation (depreciation) of investments (4,393,489) Expenses (1,673,079) Net change in net assets resulting from operations 6,387,644 Participant unit transactions: Proceeds from issuance of 6,113,679 units 71,260,549 Payments for withdrawal of 18,421,039 units (214,783,728) Net change in net assets from participant unit transactions (143,523,179) Total change in net assets (137,135,535) Net assets: Beginning of year (43,731,921 units) 506,255,179 End of year (31,424,561 units) $ 369,119,644 17

21 WELLS FARGO STABLE RETURN FUND N25 Schedule of Investments Investment Adjustment Number of at fair to contract Contract Name of issuer shares Cost value (a) (c) value value (a) (Percentage represents the fair value of the investment category to net assets) Collective Trust Fund (100.2%): Wells Fargo Stable Return Fund G (b) 6,895,447 $ 346,503, ,994,758 (738,512) 369,256,246 Total investments in securities $ 346,503, ,994,758 (738,512) 369,256,246 Notes to schedule of investments: (a) (b) (c) Securities are valued by procedures described in note 2 to the financial statements. Wells Fargo Stable Return Fund G is another Wells Fargo Bank, N.A. sponsored collective trust fund. Represents the Fund s portion of the underlying fully benefit-responsive investment contracts at fair value held by Wells Fargo Stable Return Fund G. 18

22 WELLS FARGO STABLE RETURN FUND N35 Statement of Assets and Liabilities Assets: Investment in Wells Fargo Stable Return Fund G, at fair value (cost: $762,862,029) (note 2) $ 900,712,353 Receivable for investment securities sold 6,954,778 Total assets 907,667,131 Liabilities: Accrued investment management fees 84,342 Accrued plan operations fees 295,194 Accrued 5500 filing fee 1,690 Accrued trustee fee 25,303 Accrued audit fee 3,590 Total liabilities 410,119 Net assets reflecting investments at fair value 907,257,012 Adjustment from fair value to contract value for underlying fully benefit-responsive investment contracts (1,797,829) Net assets, 18,163,186 units outstanding, $ unit value $ 905,459,183 19

23 WELLS FARGO STABLE RETURN FUND N35 Statement of Operations Year ended Realized and unrealized gains (losses) on investments: Net realized gain on investment transactions (note 2) $ 63,278,250 Net change in unrealized appreciation (depreciation) of investments (44,198,129) Total gain on investments 19,080,121 Expenses: Investment management fees (note 3) 1,038,209 Plan operations fees (note 3) 3,633, filing fee 1,691 Trustee fee 311,463 Audit fee 3,588 Total expenses 4,988,683 Net change in net assets resulting from operations $ 14,091,438 20

24 WELLS FARGO STABLE RETURN FUND N35 Statement of Changes in Net Assets Year ended Increase/(decrease) in net assets from operations: Net realized gain on investment transactions $ 63,278,250 Net change in unrealized appreciation (depreciation) of investments (44,198,129) Expenses (4,988,683) Net change in net assets resulting from operations 14,091,438 Participant unit transactions: Proceeds from issuance of 2,027,053 units 100,284,968 Payments for withdrawal of 8,980,487 units (444,127,444) Net change in net assets from participant unit transactions (343,842,476) Total change in net assets (329,751,038) Net assets: Beginning of year (25,116,620 units) 1,235,210,221 End of year (18,163,186 units) $ 905,459,183 21

25 WELLS FARGO STABLE RETURN FUND N35 Schedule of Investments Investment Adjustment Number of at fair to contract Contract Name of issuer shares Cost value (a) (c) value value (a) (Percentage represents the fair value of the investment category to net assets) Collective Trust Fund (99.5%): Wells Fargo Stable Return Fund G (b) 16,786,221 $ 762,862, ,712,353 (1,797,829) 898,914,524 Total investments in securities $ 762,862, ,712,353 (1,797,829) 898,914,524 Notes to schedule of investments: (a) (b) (c) Securities are valued by procedures described in note 2 to the financial statements. Wells Fargo Stable Return Fund G is another Wells Fargo Bank, N.A. sponsored collective trust fund. Represents the Fund s portion of the underlying fully benefit-responsive investment contracts at fair value held by Wells Fargo Stable Return Fund G. 22

26 WELLS FARGO STABLE RETURN FUND N60 Statement of Assets and Liabilities Assets: Investment in Wells Fargo Stable Return Fund G, at fair value (cost: $399,810,591) (note 2) $ 459,485,519 Total assets 459,485,519 Liabilities: Accrued investment management fees 42,478 Accrued plan operations fees 254,869 Accrued 5500 filing fee 1,690 Accrued trustee fee 12,743 Accrued audit fee 3,590 Total liabilities 315,370 Net assets reflecting investments at fair value 459,170,149 Adjustment from fair value to contract value for underlying fully benefit-responsive investment contracts (917,137) Net assets, 9,350,623 units outstanding, $ unit value $ 458,253,012 23

27 WELLS FARGO STABLE RETURN FUND N60 Statement of Operations Year ended Realized and unrealized gains (losses) on investments: Net realized gain on investment transactions (note 2) $ 22,089,673 Net change in unrealized appreciation (depreciation) of investments (12,718,463) Total gain on investments 9,371,210 Expenses: Investment management fees (note 3) 509,290 Plan operations fees (note 3) 3,055, filing fee 1,691 Trustee fee 152,787 Audit fee 3,587 Total expenses 3,723,093 Net change in net assets resulting from operations $ 5,648,117 24

28 WELLS FARGO STABLE RETURN FUND N60 Statement of Changes in Net Assets Year ended Increase/(decrease) in net assets from operations: Net realized gain on investment transactions $ 22,089,673 Net change in unrealized appreciation (depreciation) of investments (12,718,463) Expenses (3,723,093) Net change in net assets resulting from operations 5,648,117 Participant unit transactions: Proceeds from issuance of 1,356,815 units 66,115,623 Payments for withdrawal of 3,454,254 units (168,369,170) Net change in net assets from participant unit transactions (102,253,547) Total change in net assets (96,605,430) Net assets: Beginning of year (11,448,062 units) 554,858,442 End of year (9,350,623 units) $ 458,253,012 25

29 WELLS FARGO STABLE RETURN FUND N60 Schedule of Investments Investment Adjustment Number of at fair to contract Contract Name of issuer shares Cost value (a) (c) value value (a) (Percentage represents the fair value of the investment category to net assets) Collective Trust Fund (100.3%): Wells Fargo Stable Return Fund G (b) 8,563,251 $ 399,810, ,485,519 (917,137) 458,568,382 Total investments in securities $ 399,810, ,485,519 (917,137) 458,568,382 Notes to schedule of investments: (a) (b) (c) Securities are valued by procedures described in note 2 to the financial statements. Wells Fargo Stable Return Fund G is another Wells Fargo Bank, N.A. sponsored collective trust fund. Represents the Fund s portion of the underlying fully benefit-responsive investment contracts at fair value held by Wells Fargo Stable Return Fund G. 26

30 WELLS FARGO STABLE RETURN FUND TR Statement of Assets and Liabilities Assets: Investment in Wells Fargo Stable Return Fund G, at fair value (cost: $16,670,879) (note 2) $ 17,746,986 Receivable for investment securities sold 2,024,984 Total assets 19,771,970 Liabilities: Accrued investment management fees 2,010 Accrued program fees 6,338 Accrued audit fee 3,590 Total liabilities 11,938 Net assets reflecting investments at fair value 19,760,032 Adjustment from fair value to contract value for underlying fully benefit-responsive investment contracts (35,423) Net assets, 1,527,981 units outstanding, $ unit value $ 19,724,609 27

31 WELLS FARGO STABLE RETURN FUND TR Statement of Operations Year ended Realized and unrealized gains (losses) on investments: Net realized gain on investment transactions (note 2) $ 968,905 Net change in unrealized appreciation (depreciation) of investments (441,898) Total gain on investments 527,007 Expenses: Investment management fees (note 3) 28,710 Program fee (note 3) 90,432 Audit fee 3,588 Total expenses 122,730 Net change in net assets resulting from operations $ 404,277 28

32 WELLS FARGO STABLE RETURN FUND TR Statement of Changes in Net Assets Year ended Increase/(decrease) in net assets from operations: Net realized gain on investment transactions $ 968,905 Net change in unrealized appreciation (depreciation) of investments (441,898) Expenses (122,730) Net change in net assets resulting from operations 404,277 Participant unit transactions: Proceeds from issuance of 337,628 units 4,316,429 Payments for withdrawal of 1,188,973 units (15,280,754) Net assets: Net change in net assets from participant unit transactions (10,964,325) Total change in net assets (10,560,048) Beginning of year (2,379,326 units) 30,284,657 End of year (1,527,981 units) $ 19,724,609 29

33 WELLS FARGO STABLE RETURN FUND TR Schedule of Investments Investment Adjustment to Number of at fair to contract Contract Name of issuer shares Cost value (a) (c) value value (a) (Percentage represents the fair value of the investment category to net assets) Collective Trust Fund (90.0%): Wells Fargo Stable Return Fund G (b) 330,744 $ 16,670,879 17,746,986 (35,423) 17,711,563 Total investments in securities $ 16,670,879 17,746,986 (35,423) 17,711,563 Notes to schedule of investments: (a) (b) (c) Securities are valued by procedures described in note 2 to the financial statements. Wells Fargo Stable Return Fund G is another Wells Fargo Bank, N.A.-sponsored collective trust fund. Represents the Fund s portion of the underlying fully benefit-responsive investment contracts at fair value held by Wells Fargo Stable Return Fund G. See accompanying notes to the financial statements. 30

34 WELLS FARGO STABLE RETURN FUNDS F, N, N15, N25, N35, N60, TR Notes to Financial Statements (1) Fund Description The Wells Fargo Stable Return Fund F, Wells Fargo Stable Return Fund N, Wells Fargo Stable Return Fund N15, Wells Fargo Stable Return Fund N25, Wells Fargo Stable Return Fund N35, Wells Fargo Stable Return Fund N60 and Wells Fargo Stable Return Fund TR (the Funds) are established, operated, and maintained for the collective investment and reinvestment of monies contributed thereto by Wells Fargo Bank, N.A. (the Trustee and Manager) as advised by Galliard Capital Management, Inc. for retirement plans (the participants) qualified under Section 401(a) and tax-exempt under Section 501(a) of the Internal Revenue Code (IRC) of 1986, as amended. Investment Objective The Funds seek to provide investors with a moderate level of stable income without principal volatility. There is no assurance that the Funds will achieve their objective. (2) Summary of Significant Accounting Policies The following is a summary of significant accounting policies followed by the Trustee in the preparation of the Funds financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America and the Wells Fargo Bank Declaration of Trust Establishing Investment Funds for Employee Benefit Trusts, as amended and restated effective September 30, Each Fund is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Topic 946, Financial Services Investment Companies. (a) Investments At, the Funds have invested all their assets in Wells Fargo Stable Return Fund G, a collective trust fund sponsored by Wells Fargo Bank, N.A. The value of this investment is based on the underlying unit value reported by Wells Fargo Stable Return Fund G. As of, the Funds had ownership interests in the Wells Fargo Stable Return Fund G as follows: % Ownership interest Wells Fargo Stable Return Fund F 1.96% Wells Fargo Stable Return Fund N 21.48% Wells Fargo Stable Return Fund N % Wells Fargo Stable Return Fund N % Wells Fargo Stable Return Fund N % Wells Fargo Stable Return Fund N % Wells Fargo Stable Return Fund TR 0.06% Total 31.40% 31

35 WELLS FARGO STABLE RETURN FUNDS F, N, N15, N25, N35, N60, TR Notes to Financial Statements The Wells Fargo Stable Return Fund G invests in investment contracts and security-backed contracts. An investment contract is a contract issued by a financial institution to provide a stated rate of return to the buyer of the contract for a specified period of time. A security-backed contract has similar characteristics to a traditional investment contract and is comprised of two parts: the first part is a fixed-income security or portfolio of fixed-income securities; the second part is a contract value guarantee (wrapper) provided by a third party. Wrappers provide contract value payments for certain participant-initiated withdrawals and transfers, a floor crediting rate, and return of fully accrued contract value at maturity. There are several risks specific to investment contracts. One of the primary risks involved is credit risk of the contract issuer. Credit risk for security-backed contracts includes risks arising from the potential inability of the issuer to meet the terms of the contract wrapper and the potential default of the underlying fixed-income securities. Secondly, liquidity is limited because of the unique characteristics of investment contracts and the absence of an actively traded secondary market. Interest rate risk is also present because rates may be fixed with these products. Wells Fargo Stable Return Fund G is an investment company and follows accounting and reporting guidance under FASB ASC Topic 946, Financial Services Investment Companies. Wells Fargo Stable Return Fund G carries its investments at contract value and applies the provisions of FASB ASC Sections and for stable value investment funds. These Sections affirm contract value accounting for fully benefit-responsive investment contracts and prohibits the Wells Fargo Stable Return Fund G s acceptance of new contributions from defined benefit plans subsequent to January 15, These Subtopics also require financial statement presentations standards (i) fair value disclosure and (ii) enhanced footnote disclosures. Note 2(b) to the Wells Fargo Stable Return Fund G financial statements provides a detailed discussion of its valuation policies. The financial statements of Wells Fargo Stable Return Fund G are available upon request. The Funds do not invest directly in fully benefit-responsive contracts, and therefore are not required to include in the financial statements the disclosure requirements for stable value investment funds. However, certain information is provided to assist participating plans with their audits. The Funds are 100% invested in the Wells Fargo Stable Return Fund G. For information not included in these financial statements, refer to the financial statements of Wells Fargo Stable Return Fund G, which are available upon request. 32

36 WELLS FARGO STABLE RETURN FUNDS F, N, N15, N25, N35, N60, TR Notes to Financial Statements The fair value to contract value ratios for the Funds as of and 2015 were: 2016 Fair value to Net assets at Net assets at contract value fair value contract value ratio Wells Fargo Stable Return Fund F $ 590,380, ,201, % Wells Fargo Stable Return Fund N 6,460,219,642 6,447,323, % Wells Fargo Stable Return Fund N15 646,762, ,471, % Wells Fargo Stable Return Fund N25 369,858, ,119, % Wells Fargo Stable Return Fund N35 907,257, ,459, % Wells Fargo Stable Return Fund N60 459,170, ,253, % Wells Fargo Stable Return Fund TR 19,760,032 19,724, % 2015 Fair value to Net assets at Net assets at contract value fair value contract value ratio Wells Fargo Stable Return Fund F $ 119,982, ,360, % Wells Fargo Stable Return Fund N 6,088,564,734 6,058,269, % Wells Fargo Stable Return Fund N15 810,580, ,546, % Wells Fargo Stable Return Fund N25 508,787, ,255, % Wells Fargo Stable Return Fund N35 1,241,214,701 1,235,210, % Wells Fargo Stable Return Fund N60 557,634, ,858, % Wells Fargo Stable Return Fund TR 30,434,753 30,284, % Yield Analysis The yield earned by the Funds at and 2015 was 1.93% and 1.83%, respectively. This represents the annualized earnings of all investments in the Funds, including the earnings recorded at the underlying collective trust funds, divided by the fair value of all investments in the Funds at and 2015, respectively. The yield earned by the Funds with an adjustment to reflect the actual interest rate credited to participants in the Funds at and 2015 was 1.94% and 1.79%, respectively. This represents the annualized earnings credited to participants in the Funds, divided by the fair value of all investments in the Funds at and 2015, respectively. (b) Investment Transactions and Interest Income Investment transactions are accounted for on the trade date. Realized gains and losses are determined on the basis of average cost. Wells Fargo Stable Return Fund G does not distribute investment income to unit holders. Therefore, the appreciation or depreciation of units held and gain or loss on sale of units represent the sources of income to holders of the Wells Fargo Stable Return Fund G, such as the Funds. 33

37 WELLS FARGO STABLE RETURN FUNDS F, N, N15, N25, N35, N60, TR Notes to Financial Statements (c) Income Taxes The Funds maintain tax-exempt status by operating collective trust funds regulated by the Office of the Comptroller of the Currency, and as such no provision for income taxes is required. It is intended that the Funds be exempt from taxation under Section 501(a) of the Code and qualify as a group trust under Revenue Ruling and other applicable Internal Revenue Service rules and regulations. The Funds follow accounting policies under ASC 740, Income Taxes, regarding how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. Management has analyzed the Funds tax positions taken in all potential open tax years and has concluded that as of, there were no positions which would call into question the Funds tax exempt status. As such, the Funds do not have an accrual for uncertain tax positions. The Funds federal and state fiduciary and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired (open tax years: December 31, 2013; December 31, 2014; December 31, 2015; and ) are subject to examination by the Internal Revenue Service and state jurisdictions. As of and during the year ended December 31, 2016, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statement of Operations. During the year, the Funds did not incur any interest or penalties. Management is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next 12 months. (d) (e) (f) Unit Issues, Redemptions, and Distributions In accordance with the terms of the Trust, the net asset value of the Funds is calculated daily and net investment income and realized and unrealized gains on investments are not distributed but rather reinvested and reflected in the net asset value of the fund. Units of the Funds are issued and redeemed at the current net asset value. Redemptions by participating plans occur at net asset value following the 12-month notice period. Use of Estimates The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increase and decrease in net assets from operations during the reporting period. Actual results could differ from those estimates. Fair Value Classifications Fair value measurement guidance establishes an authoritative definition of fair value, sets out a framework for measuring fair value, and requires disclosure about fair value measurement. As described in 2(a), the Funds have invested all assets in Wells Fargo Stable Return Fund G, a collective trust fund. The investments held by Wells Fargo Stable Return Fund G have separate fair value hierarchy level categorizations which can be found in its financial statements. 34

38 WELLS FARGO STABLE RETURN FUNDS F, N, N15, N25, N35, N60, TR Notes to Financial Statements The investment in a collective trust fund is valued as a practical expedient utilizing the net asset valuation, exclusive of the adjustment to contract value. The use of net asset value as fair value is deemed appropriate as the collective trust fund does not have a finite life, unfunded commitments relating to these types of investments, or significant restrictions on redemptions. The practical expedient is used for valuation, unless it is probable that the Funds will sell a portion of the investment at an amount different from the net asset valuation. As of, the fair value of the investment of each Fund is detailed in the schedule below. Fair Value of Investment Wells Fargo Stable Return Fund F $ 590,433,221 Wells Fargo Stable Return Fund N 6,460,980,646 Wells Fargo Stable Return Fund N15 646,933,675 Wells Fargo Stable Return Fund N25 369,994,758 Wells Fargo Stable Return Fund N35 900,712,353 Wells Fargo Stable Return Fund N60 459,485,519 Wells Fargo Stable Return Fund TR 17,746,986 (3) Expenses The Funds listed pay investment management and trustee fees equal to an annual rate as a percentage of average daily net assets as detailed in the schedule below: Investment management fees Trustee fees Wells Fargo Stable Return Fund F 0.100% - Wells Fargo Stable Return Fund N 0.100% 0.030% Wells Fargo Stable Return Fund N % 0.030% Wells Fargo Stable Return Fund N % 0.030% Wells Fargo Stable Return Fund N % 0.030% Wells Fargo Stable Return Fund N % 0.030% Wells Fargo Stable Return Fund TR 0.100% - In addition, the Funds listed paid plan operations fees equal to an annual rate as a percentage of average net assets as detailed in the schedule below: 35

39 WELLS FARGO STABLE RETURN FUNDS F, N, N15, N25, N35, N60, TR Notes to Financial Statements Plan operations fee Wells Fargo Stable Return Fund F Wells Fargo Stable Return Fund N Wells Fargo Stable Return Fund N % Wells Fargo Stable Return Fund N % Wells Fargo Stable Return Fund N % Wells Fargo Stable Return Fund N % The Target My Retirement SM program is a managed retirement solution that provides participants with professional investment advice, based on a personalized investment strategy. Wells Fargo has retained Morningstar Associates, LLC, as an independent financial expert to provide investment advice for the Target My Retirement SM program. Morningstar receives 0.065% for their investment advice and Wells Fargo receives 0.25% as program manager based on annualized net assets in the program. Expenses were charged to participant accounts adopting the program. Fees are accrued on a daily basis and TR unit values are net of program fees and expenses. This program is only applicable to Wells Fargo Stable Return Fund TR. The Funds financial statements and financial highlights exclude the impact of any ancillary expense arrangements that are paid outside the Funds. For further discussion on fees, the Funds disclosure books are available upon request. (4) Securities Transactions Investment transactions in Wells Fargo Stable Return Fund G for the year ended are as follows: Purchases Cost of investments Investment: Wells Fargo Stable Return Fund G: Wells Fargo Stable Return Fund F $ 494,947,526 Wells Fargo Stable Return Fund N 851,595,770 Wells Fargo Stable Return Fund N15 113,740,524 Wells Fargo Stable Return Fund N25 71,260,549 Wells Fargo Stable Return Fund N35 100,284,968 Wells Fargo Stable Return Fund N60 66,115,622 Wells Fargo Stable Return Fund TR 4,542,023 36

40 WELLS FARGO STABLE RETURN FUNDS F, N, N15, N25, N35, N60, TR Notes to Financial Statements Sales Proceeds from sales Net realized gain Investment: Wells Fargo Stable Return Fund G: Wells Fargo Stable Return Fund F $ 35,359, ,792 Wells Fargo Stable Return Fund N 580,237,111 26,351,649 Wells Fargo Stable Return Fund N15 288,168,798 18,252,191 Wells Fargo Stable Return Fund N25 216,504,447 12,454,212 Wells Fargo Stable Return Fund N35 421,346,549 63,278,250 Wells Fargo Stable Return Fund N60 172,160,272 22,089,673 Wells Fargo Stable Return Fund TR 17,376, ,905 A detailed transaction schedule is available upon request. (5) Financial Highlights Selected data for a participant unit outstanding for the year ended for Stable Return Funds F, N, N15, N25, N35, N60 and TR are as follows: Total expenses* Net realized and unrealized gains* Net increase in unit value from operations Unit value at beginning of year Unit value at end of year Wells Fargo Wells Fargo Wells Fargo Wells Fargo Wells Fargo Wells Fargo Wells Fargo Stable Return Stable Return Stable Return Stable Return Stable Return Stable Return Stable Return Fund F Fund N Fund N15 Fund N25 Fund N35 Fund N60 Fund TR $ (0.011) (0.069) (0.032) (0.043) (0.237) (0.354) (0.055) $ Total return 1.74% 1.72% 1.57% 1.47% 1.37% 1.12% 1.42% Net assets at end of year (in millions) $ 589 6, Ratio of expenses to average daily net assets** 0.103% 0.130% 0.280% 0.380% 0.479% 0.729% 0.426% Ratio of net investment loss to average daily net assets** (0.103%) (0.130%) (0.280%) (0.380%) (0.479%) (0.729%) (0.426%) * The per-share unit amounts for total expenses and net realized and unrealized gains are calculated based on a daily average of units outstanding for the year. ** Ratio does not include the impact of expenses charged by the Wells Fargo Stable Return Fund G equal to 0.136% of the Wells Fargo Stable Return Fund G s average daily net assets. 37

41 WELLS FARGO STABLE RETURN FUNDS F, N, N15, N25, N35, N60, TR Notes to Financial Statements (6) Subsequent Events Evaluation The Funds have evaluated the need for disclosures and/or adjustments resulting from subsequent events through April 6, 2017, the date the financial statements were available to be issued. This evaluation did not result in any subsequent events that necessitated disclosures and/or adjustments. 38

42 WELLS FARGO STABLE RETURN FUNDS F, N, N15, N25, N35, N60, TR Notes to Financial Statements Regulatory Statement (unaudited) Participation requirements. Participation in each Fund is available to employee benefit accounts which meet the following conditions: The participating account is part of a plan and related trust qualified under Section 401(a) of the Internal Revenue Code (IRC), and which is exempt from tax under IRC Section 501 (a) or is part of a governmental plan as defined by IRC Section 818(a)(6). The participating plan or trust instrument of qualified plans adopts documents establishing Wells Fargo Bank s collective investment funds. Wells Fargo Bank, N.A. serves in a fiduciary capacity with respect to a participating account. Filing of Annual Report with Department of Labor. A plan administrator receiving this Annual Report may be eligible for a simplified reporting procedure described in Department of Labor Regulations for a plan year ending on or after the end of a Fund s fiscal year. The fiscal year end for each Fund is December 31. To such eligible plan administrators, Wells Fargo Bank, N.A. as Trustee for the Funds certifies that the statements of assets and liabilities included in the Annual Report were filed with the Department of Labor on or before the date upon which the annual report of such plans is required to be filed by the plan administrators in accordance with Department of Labor Regulation The Employer Identification Number of each Fund is as follows: EIN Wells Fargo Stable Return Fund F Wells Fargo Stable Return Fund N Wells Fargo Stable Return Fund N Wells Fargo Stable Return Fund N Wells Fargo Stable Return Fund N Wells Fargo Stable Return Fund N Wells Fargo Stable Return Fund TR Regulatory requirement. Collective funds are authorized under the Comptroller of the Currency s Regulation 9.18(a)(2) and are subject to other pertinent provisions of Regulation 9 as promulgated by the Comptroller of the Currency. In compliance with this Regulation, the Trustee will provide detail of investment transactions upon request and without charge. 39