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Additional Information about the Issuer, the Guarantor and the Securities
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You should read this pricing supplement together
with the market measure supplement dated May 18, 2018, the prospectus supplement dated May 18, 2018 and the prospectus dated April
5, 2019 for additional information about the securities. When you read the accompanying market measure supplement and prospectus
supplement, please note that all references in such supplements to the prospectus dated April 27, 2018, or to any sections therein,
should refer instead to the accompanying prospectus dated April 5, 2019 or to the corresponding sections of such prospectus, as
applicable. Information included in this pricing supplement supersedes information in the market measure supplement, prospectus
supplement and prospectus to the extent it is different from that information. Certain defined terms used but not defined herein
have the meanings set forth in the prospectus supplement.
When we refer to “we,” “us”
or “our” in this pricing supplement, we refer only to Wells Fargo Finance LLC and not to any of its affiliates,
including Wells Fargo & Company.
You may access the market measure supplement,
prospectus supplement and prospectus on the SEC website www.sec.gov as follows (or if such address has changed, by reviewing our
filing for the relevant date on the SEC website):
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Market Measure Supplement dated May 18, 2018:
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https://www.sec.gov/Archives/edgar/data/72971/000119312518167616/d593569d424b2.htm
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Prospectus Supplement dated May 18, 2018:
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https://www.sec.gov/Archives/edgar/data/72971/000119312518167593/d523952d424b2.htm
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Prospectus dated April 5, 2019:
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https://www.sec.gov/Archives/edgar/data/72971/000138713119002551/wfc-424b2_040519.htm
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Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
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Estimated Value of the Securities
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The original offering price of each security of
$1,000 includes certain costs that are borne by you. Because of these costs, the estimated value of the securities on the pricing
date is less than the original offering price. The costs included in the original offering price relate to selling, structuring,
hedging and issuing the securities, as well as to our funding considerations for debt of this type.
The costs related to selling, structuring, hedging
and issuing the securities include (i) the agent discount (if any), (ii) the projected profit that our hedge counterparty (which
may be one of our affiliates) expects to realize for assuming risks inherent in hedging our obligations under the securities and
(iii) hedging and other costs relating to the offering of the securities.
Our funding considerations take into account the
higher issuance, operational and ongoing management costs of market-linked debt such as the securities as compared to conventional
debt of Wells Fargo & Company of the same maturity, as well as our and our affiliates’ liquidity needs and preferences.
Our funding considerations are reflected in the fact that we determine the economic terms of the securities based on an assumed
rate that is generally lower than our internal funding rate, which is described below and is used in determining the estimated
value of the securities.
If the costs relating to selling, structuring,
hedging and issuing the securities were lower, or if the assumed rate we use to determine the economic terms of the securities
were higher, the economic terms of the securities would be more favorable to you and the estimated value would be higher. The estimated
value of the securities as of the pricing date is set forth on the cover page of this pricing supplement.
Determining the estimated value
Our affiliate, Wells Fargo Securities, LLC (“WFS”),
calculated the estimated value of the securities set forth on the cover page of this pricing supplement based on its proprietary
pricing models. Based on these pricing models and related market inputs and assumptions referred to in this section below, WFS
determined an estimated value for the securities by estimating the value of the combination of hypothetical financial instruments
that would replicate the payout on the securities, which combination consists of a non-interest bearing, fixed-income bond (the
“debt component”) and one or more derivative instruments underlying the economic terms of the securities (the
“derivative component”).
The estimated value of the debt component is based
on an internal funding rate that reflects, among other things, our and our affiliates’ view of the funding value of the securities.
This rate is used for purposes of determining the estimated value of the securities since we expect secondary market prices, if
any, for the securities that are provided by WFS or any of its affiliates to generally reflect such rate. WFS determined the estimated
value of the securities based on this internal funding rate, rather than the assumed rate that we use to determine the economic
terms of the securities, for the same reason.
WFS calculated the estimated value of the derivative
component based on a proprietary derivative-pricing model, which generated a theoretical price for the derivative instruments that
constitute the derivative component based on various inputs, including the “derivative component factors” identified
in “Risk Factors—The Value Of The Securities Prior To Stated Maturity Will Be Affected By Numerous Factors, Some Of
Which Are Related In Complex Ways.” These inputs may be market-observable or may be based on assumptions made by WFS in its
discretion.
The estimated value of the securities determined
by WFS is subject to important limitations. See “Risk Factors—The Estimated Value Of The Securities Is Determined By
Our Affiliate’s Pricing Models, Which May Differ From Those Of Other Dealers” and “—Our And The Guarantor’s
Economic Interests And Those Of Any Dealer Participating In The Offering Are Potentially Adverse To Your Interests.”
Valuation of the securities after issuance
The estimated value of the securities is not an
indication of the price, if any, at which WFS or any other person may be willing to buy the securities from you in the secondary
market. The price, if any, at which WFS or any of its affiliates may purchase the securities in the secondary market will be based
upon WFS’s proprietary pricing models and will fluctuate over the term of the securities due to changes in market conditions
and other relevant factors. However, absent changes in these market conditions and other relevant factors, except as otherwise
described in the following paragraph, any secondary market price will be lower than the estimated value on the pricing date because
the secondary market price will be reduced by a bid-offer spread, which may vary depending on the aggregate face amount of the
securities to be purchased in the secondary market transaction, and the expected cost of unwinding any related hedging transactions.
Accordingly, unless market conditions and other relevant factors change significantly in your favor, any secondary market price
for the securities is likely to be less than the original offering price.
If WFS or any of its affiliates makes a secondary
market in the securities at any time up to the issue date or during the 3-month period following the issue date, the secondary
market price offered by WFS or any of its affiliates will be increased by an amount reflecting a portion of the costs associated
with selling, structuring, hedging and issuing the securities that are included in the original offering price. Because this portion
of the costs is not fully deducted upon issuance, any secondary market price offered by WFS or any of its affiliates during this
period will be higher than it would be if it were based solely on WFS’s proprietary pricing models less the bid-offer
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Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
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spread
and hedging unwind costs described above. The amount of this increase in the secondary market price will decline steadily to zero
over this 3-month period. If you hold the securities through an account at WFS or any of its affiliates, we expect that this increase
will also be reflected in the value indicated for the securities on your brokerage account statement.
If WFS or any of its affiliates makes a secondary
market in the securities, WFS expects to provide those secondary market prices to any unaffiliated broker-dealers through which
the securities are held and to commercial pricing vendors. If you hold your securities through an account at a broker-dealer other
than WFS or any of its affiliates, that broker-dealer may obtain market prices for the securities from WFS (directly or indirectly),
but could also obtain such market prices from other sources, and may be willing to purchase the securities at any given time at
a price that differs from the price at which WFS or any of its affiliates is willing to purchase the securities. As a result, if
you hold your securities through an account at a broker-dealer other than WFS or any of its affiliates, the value of the securities
on your brokerage account statement may be different than if you held your securities at WFS or any of its affiliates.
The securities will not be listed or displayed
on any securities exchange or any automated quotation system. Although WFS and/or its affiliates may buy the securities from investors,
they are not obligated to do so and are not required to make a market for the securities. There can be no assurance that a secondary
market will develop.
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Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
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We have designed the securities for investors
who:
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seek 56% exposure to the upside performance of
the Fund if the ending price is greater than the starting price;
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desire to limit downside exposure to the Fund
through the 30% buffer;
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understand that if the ending price is less than
the starting price by more than 30%, they will receive less, and possibly 70% less, than the original offering price per security
at maturity;
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understand that they will participate on a less
than 1-for-1 basis in any appreciation in the price of the Fund and, therefore, any positive return on the securities based on
such appreciation will be less than the actual return on the Fund;
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are willing to forgo interest payments on the
securities and dividends on shares of the Fund; and
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are willing to hold the securities until maturity.
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The securities are not designed for, and may not
be a suitable investment for, investors who:
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seek a liquid investment or are unable or unwilling
to hold the securities to maturity;
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are unwilling to accept the risk that the ending
price of the Fund may decrease by more than 30% from the starting price;
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seek full return of the original offering price
of the securities at stated maturity;
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are unwilling to purchase securities with an estimated
value as of the pricing date that is lower than the original offering price, as set forth on the cover page;
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are unwilling to accept the risk of exposure to
the large capitalization segment of the United States equity market;
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seek exposure to the Fund but are unwilling to
accept the risk/return trade-offs inherent in the maturity payment amount for the securities;
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are unwilling to accept the credit risk of Wells
Fargo Finance LLC and Wells Fargo & Company to obtain exposure to the Fund generally, or to the exposure to the Fund that the
securities provide specifically; or
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prefer the lower risk of fixed income investments
with comparable maturities issued by companies with comparable credit ratings.
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Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
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Determining Payment at Stated Maturity
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On the stated maturity date, you will receive
a cash payment per security (the maturity payment amount) calculated as follows:
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Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
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Hypothetical Payout Profile
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The following profile is based on a participation
rate of 56% and a threshold price equal to 70% of the starting price. This graph has been prepared for purposes of illustration
only. Your actual return will depend on the actual ending price and whether you hold your securities to maturity.
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Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
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The securities have complex features and investing
in the securities will involve risks not associated with an investment in conventional debt securities. You should carefully consider
the risk factors set forth below as well as the other information contained in this pricing supplement and the accompanying market
measure supplement, prospectus supplement and prospectus, including the documents they incorporate by reference. As described in
more detail below, the value of the securities may vary considerably before the stated maturity date due to events that are difficult
to predict and are beyond our control. You should reach an investment decision only after you have carefully considered with your
advisors the suitability of an investment in the securities in light of your particular circumstances. The index underlying the
Fund is sometimes referred to as the “underlying index.”
If The Ending Price Is Less Than The Threshold
Price, You Will Receive Less, And Possibly 70% Less, Than The Original Offering Price Of Your Securities At Maturity.
We will not repay you a fixed amount on the securities
on the stated maturity date. The maturity payment amount will depend on the direction of and percentage change in the ending price
of the Fund relative to the starting price and the other terms of the securities. Because the price of the Fund will be subject
to market fluctuations, the maturity payment amount you receive may be more or less, and possibly significantly less, than the
original offering price of your securities.
If the ending price is less than the threshold
price, the maturity payment amount that you receive at maturity will be reduced by an amount equal to the decline in the price
of the Fund to the extent it is below the threshold price (expressed as a percentage of the starting price). The threshold price
is 70% of the starting price. As a result, you may receive less, and possibly 70% less, than the original offering price per security
at maturity even if the value of the Fund is greater than or equal to the starting price or the threshold price at certain times
during the term of the securities.
Even if the ending price is greater than the starting
price, the amount you receive at stated maturity may only be slightly greater than the original offering price, and your yield
on the securities may be less than the yield you would earn if you bought a traditional interest-bearing debt security of Wells
Fargo Finance LLC or another issuer with a similar credit rating with the same stated maturity date.
If The Fund Appreciates, The Positive Return
On Your Securities Will Be Less Than The Actual Return On The Fund.
The participation rate is 56%. Because the participation
rate will be less than 100%, you will participate on a less than 1-for-1 basis in any appreciation of the Fund. Therefore, any
positive return on the securities will be less than the return that you could have achieved on an alternative investment providing
1-to-1 exposure to the upside performance of the Fund. In addition, you will not receive the value of dividends or other distributions
paid with respect to the Fund.
No Periodic Interest Will Be Paid On The Securities.
No periodic payments of interest will be made
on the securities. However, if the agreed-upon tax treatment is successfully challenged by the Internal Revenue Service (the “IRS”),
you may be required to recognize taxable income over the term of the securities. You should review the section of this pricing
supplement entitled “United States Federal Tax Considerations.”
The Securities Are Subject To Credit Risk.
The securities are our obligations, are fully
and unconditionally guaranteed by the Guarantor and are not, either directly or indirectly, an obligation of any other third party.
Any amounts payable under the securities are subject to creditworthiness and you will have no ability to pursue the shares of the
Fund or any securities held by the Fund for payment. As a result, our and the Guarantor’s actual and perceived creditworthiness
may affect the value of the securities and, in the event we and the Guarantor were to default on the obligations under the securities
and the guarantee, you may not receive any amounts owed to you under the terms of the securities.
As A Finance Subsidiary, We Have No Independent
Operations And Will Have No Independent Assets.
As a finance subsidiary, we have no independent
operations beyond the issuance and administration of our securities and will have no independent assets available for distributions
to the holders of our securities if they make claims in respect of such securities in a bankruptcy, resolution or similar proceeding.
Accordingly, any recoveries by such holders will be limited to those available under the related guarantee by the Guarantor and
that guarantee will rank pari passu with all other unsecured, unsubordinated obligations of the Guarantor. Holders will
have recourse only to a single claim against the Guarantor and its assets under the guarantee. Holders of the securities should
accordingly assume that in any such proceedings they would not have any priority over and should be treated pari passu with
the claims of other unsecured, unsubordinated creditors of the Guarantor, including holders of unsecured, unsubordinated debt securities
issued by the Guarantor.
Holders Of The Securities Have Limited Rights
Of Acceleration.
Payment of principal on the securities may be
accelerated only in the case of payment defaults that continue for a period of 30 days, certain events of bankruptcy or insolvency
relating to Wells Fargo Finance LLC only, whether voluntary or involuntary, certain situations under which the guarantee ceases
to be in full force and effect or if the Guarantor denies or disaffirms its obligations under the guarantee. If you purchase the
securities, you will have no right to accelerate the payment of principal on the securities if we fail in
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Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
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the performance of any
of our obligations under the securities, other than the obligations to pay principal and interest on the securities. See “Description
of Debt Securities of Wells Fargo Finance LLC—Events of Default and Covenant Breaches” in the accompanying prospectus.
Holders Of The Securities Could Be At Greater
Risk For Being Structurally Subordinated If Either We Or The Guarantor Convey, Transfer Or Lease All Or Substantially All Of Our
Or Its Assets To One Or More Of The Guarantor’s Subsidiaries.
Under the indenture, we may convey, transfer or
lease all or substantially all of our assets to one or more of the Guarantor’s subsidiaries. Similarly, the Guarantor may
convey, transfer or lease all or substantially all of its assets to one or more of its subsidiaries. In either case, third-party
creditors of the Guarantor’s subsidiaries would have additional assets from which to recover on their claims while holders
of the securities would be structurally subordinated to creditors of the Guarantor’s subsidiaries with respect to such assets.
See “Description of Debt Securities of Wells Fargo Finance LLC—Consolidation, Merger or Sale” in the accompanying
prospectus.
The Securities Will Not Have The Benefit Of
Any Cross-Default Or Cross-Acceleration With Other Indebtedness Of The Guarantor; Events Of Bankruptcy, Insolvency, Receivership
Or Liquidation Relating To The Guarantor And Failure By The Guarantor To Perform Any Of Its Covenants Or Warranties (Other Than
A Payment Default Under The Guarantee) Will Not Constitute An Event Of Default With Respect To The Securities.
The securities will not have the benefit of any
cross-default or cross-acceleration with other indebtedness of the Guarantor. In addition, events of bankruptcy, insolvency, receivership
or liquidation relating to the Guarantor and failure by the Guarantor to perform any of its covenants or warranties (other than
a payment default under the guarantee) will not constitute an event of default with respect to the securities.
The Estimated Value Of The Securities On The
Pricing Date, Based On WFS’s Proprietary Pricing Models, Is Less Than The Original Offering Price.
The original offering price of the securities
includes certain costs that are borne by you. Because of these costs, the estimated value of the securities on the pricing date
is less than the original offering price. The costs included in the original offering price relate to selling, structuring, hedging
and issuing the securities, as well as to our funding considerations for debt of this type. The costs related to selling, structuring,
hedging and issuing the securities include (i) the agent discount (if any), (ii) the projected profit that our hedge counterparty
(which may be one of our affiliates) expects to realize for assuming risks inherent in hedging our obligations under the securities
and (iii) hedging and other costs relating to the offering of the securities. Our funding considerations are reflected in the fact
that we determine the economic terms of the securities based on an assumed rate that is generally lower than our internal funding
rate, which is described above under “Estimated Value of the Securities—Determining the estimated value.” If
the costs relating to selling, structuring, hedging and issuing the securities were lower, or if the assumed rate we use to determine
the economic terms of the securities were higher, the economic terms of the securities would be more favorable to you and the estimated
value would be higher.
The Estimated Value Of The Securities Is Determined
By Our Affiliate’s Pricing Models, Which May Differ From Those Of Other Dealers.
The estimated value of the securities was determined
for us by WFS using its proprietary pricing models and related market inputs and assumptions referred to above under “Estimated
Value of the Securities—Determining the estimated value.” Certain inputs to these models may be determined by WFS in
its discretion. WFS’s views on these inputs may differ from other dealers’ views, and WFS’s estimated value of
the securities may be higher, and perhaps materially higher, than the estimated value of the securities that would be determined
by other dealers in the market. WFS’s models and its inputs and related assumptions may prove to be wrong and therefore not
an accurate reflection of the value of the securities.
The Estimated Value Of The Securities Is Not
An Indication Of The Price, If Any, At Which WFS Or Any Other Person May Be Willing To Buy The Securities From You In The Secondary
Market.
The price, if any, at which WFS or any of its
affiliates may purchase the securities in the secondary market will be based on WFS’s proprietary pricing models and will
fluctuate over the term of the securities as a result of changes in the market and other factors described in the next risk factor.
Any such secondary market price for the securities will also be reduced by a bid-offer spread, which may vary depending on the
aggregate face amount of the securities to be purchased in the secondary market transaction, and the expected cost of unwinding
any related hedging transactions. Unless the factors described in the next risk factor change significantly in your favor, any
such secondary market price for the securities is likely to be less than the original offering price.
If WFS or any of its affiliates makes a secondary
market in the securities at any time up to the issue date or during the 3-month period following the issue date, the secondary
market price offered by WFS or any of its affiliates will be increased by an amount reflecting a portion of the costs associated
with selling, structuring, hedging and issuing the securities that are included in the original offering price. Because this portion
of the costs is not fully deducted upon issuance, any secondary market price offered by WFS or any of its affiliates during this
period will be higher than it would be if it were based solely on WFS’s proprietary pricing models less the bid-offer spread
and hedging unwind costs described above. The amount of this increase in the secondary market price will decline steadily to zero
over this 3-month period. If you hold the securities through an account at WFS or any of its affiliates, we expect that this increase
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Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
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will also be reflected in the value indicated for the securities on your brokerage account statement. If you hold your securities
through an account at a broker-dealer other than WFS or any of its affiliates, the value of the securities on your brokerage account
statement may be different than if you held your securities at WFS or any of its affiliates, as discussed above under “Estimated
Value of the Securities—Valuation of the securities after issuance.”
The Value Of The Securities Prior To Stated
Maturity Will Be Affected By Numerous Factors, Some Of Which Are Related In Complex Ways.
The value of the securities prior to stated maturity
will be affected by the then-current price of the Fund, interest rates at that time and a number of other factors, some of which
are interrelated in complex ways. The effect of any one factor may be offset or magnified by the effect of another factor. The
following factors, which we refer to as the “derivative component factors,” are expected to affect the value of the
securities. When we refer to the “value” of your security, we mean the value you could receive for your security if
you are able to sell it in the open market before the stated maturity date.
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Fund Performance. The value of the securities
prior to maturity will depend substantially on the then-current price of the Fund. The price at which you may be able to sell the
securities before stated maturity may be at a discount, which could be substantial, from their original offering price, if the
price of the Fund at such time is less than, equal to or not sufficiently above the starting price or threshold price.
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Interest Rates. The value of the securities
may be affected by changes in the interest rates in the U.S. markets.
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Volatility Of The Fund. Volatility is the
term used to describe the size and frequency of market fluctuations. The value of the securities may be affected if the volatility
of the Fund changes.
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Time Remaining To Maturity. The value of
the securities at any given time prior to maturity will likely be different from that which would be expected based on the then-current
price of the Fund. This difference will most likely reflect a discount due to expectations and uncertainty concerning the price
of the Fund during the period of time still remaining to the stated maturity date. In general, as the time remaining to maturity
decreases, the value of the securities will approach the amount that would be payable at maturity based on the then-current price
of the Fund.
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Dividend Yields On Securities Included In The
Fund. The value of the securities may be affected by the dividend yields on securities held by the Fund (the amount of such
dividends may influence the closing price of the shares of the Fund).
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In addition to the derivative component factors,
the value of the securities will be affected by actual or anticipated changes in our and the Guarantor’s creditworthiness.
You should understand that the impact of one of the factors specified above, such as a change in interest rates, may offset some
or all of any change in the value of the securities attributable to another factor, such as a change in the price of the Fund.
Because numerous factors are expected to affect the value of the securities, changes in the price of the Fund may not result in
a comparable change in the value of the securities.
The Securities Will Not Be Listed On Any
Securities Exchange And We Do Not Expect A Trading Market For The Securities To Develop.
The securities will not be listed or displayed
on any securities exchange or any automated quotation system. Although the agent and/or its affiliates may purchase the securities
from holders, they are not obligated to do so and are not required to make a market for the securities. There can be no assurance
that a secondary market will develop. Because we do not expect that any market makers will participate in a secondary market for
the securities, the price at which you may be able to sell your securities is likely to depend on the price, if any, at which the
agent is willing to buy your securities. If a secondary market does exist, it may be limited. Accordingly, there may be a limited
number of buyers if you decide to sell your securities prior to stated maturity. This may affect the price you receive upon such
sale. Consequently, you should be willing to hold the securities to stated maturity.
Your Return On The Securities Could Be Less
Than If You Owned The Shares Of The Fund.
Your return on the securities will not reflect
the return you would realize if you actually owned the shares of the Fund. This is in part because the maturity payment amount
will be determined by reference only to the closing price of a share of the Fund without taking into consideration the value of
dividends and other distributions paid on that share.
Historical Prices Of The Fund Or The Securities
Included In The Fund Should Not Be Taken As An Indication Of The Future Performance Of The Fund During The Term Of The Securities.
The trading price of the shares of the Fund will
determine the maturity payment amount payable to you at maturity. As a result, it is impossible to predict whether the ending price
of the Fund will fall or rise compared to the starting price. The trading price of the shares of the Fund will be influenced by
complex and interrelated political, economic, financial and other factors that can affect the markets in which the Fund and the
securities comprising the Fund are traded and the values of the Fund and such securities. Accordingly, any historical prices of
the Fund do not provide an indication of the future performance of the Fund.
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Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
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Changes That Affect The Fund Or The Underlying Index May Adversely
Affect The Value Of The Securities And The Maturity Payment Amount You Will Receive At Maturity.
The policies of the sponsor of the Fund (the “fund
sponsor”) concerning the calculation of the Fund’s net asset value, additions, deletions or substitutions of securities
in the Fund and the manner in which changes in the underlying index are reflected in the Fund, and changes in those policies, could
affect the closing price of the shares of the Fund and, therefore, may affect the value of the securities and the maturity payment
amount payable at maturity. Similarly, the policies of the sponsor of the underlying index (the “underlying index sponsor”)
concerning the calculation of the underlying index and the addition, deletion or substitution of securities comprising the underlying
index and the manner in which the underlying index sponsor takes account of certain changes affecting such securities may affect
the level of the underlying index and the closing price of the shares of the Fund and, therefore, may affect the value of the securities
and the maturity payment amount payable at maturity. The underlying index sponsor may discontinue or suspend calculation or dissemination
of the underlying index or materially alter the methodology by which it calculates the underlying index. Any such actions could
adversely affect the value of the securities.
We Cannot Control Actions By Any Of The Unaffiliated
Companies Whose Securities Are Included In The Fund Or The Underlying Index.
Actions by any company whose securities are included
in the Fund or in the underlying index may have an adverse effect on the price of its security, the ending price and the value
of the securities. Our parent company, Wells Fargo & Company, is one of the companies currently included in the Fund and its
underlying index, but neither we nor the Guarantor are affiliated with any of the other companies whose security is represented
in the Fund or the underlying index. These unaffiliated companies will not be involved in the offering of the securities and will
have no obligations with respect to the securities, including any obligation to take our or your interests into consideration for
any reason. These companies will not receive any of the proceeds of the offering of the securities and will not be responsible
for, and will not have participated in, the determination of the timing of, prices for, or quantities of, the securities to be
issued. These companies will not be involved with the administration, marketing or trading of the securities and will have no obligations
with respect to any amounts to be paid to you on the securities.
We And Our Affiliates Have No Affiliation With
The Fund Sponsor Or The Underlying Index Sponsor And Have Not Independently Verified Their Public Disclosure Of Information.
We and our affiliates are not affiliated in any
way with the fund sponsor or the underlying index sponsor (collectively, the “sponsors”) and have no ability
to control or predict their actions, including any errors in or discontinuation of disclosure regarding their methods or policies
relating to the management or calculation of the Fund or the underlying index. We have derived the information about the sponsors,
the Fund and the underlying index contained in this pricing supplement and the accompanying market measure supplement from publicly
available information, without independent verification. You, as an investor in the securities, should make your own investigation
into the Fund, the underlying index and the sponsors. The sponsors are not involved in the offering of the securities made hereby
in any way and have no obligation to consider your interests as an owner of the securities in taking any actions that might affect
the value of the securities.
An Investment Linked To The Shares Of The Fund
Is Different From An Investment Linked To The Underlying Index.
The performance of the shares of the Fund may
not exactly replicate the performance of the underlying index because the Fund may not invest in all of the securities included
in the underlying index and because the Fund will reflect transaction costs and fees that are not included in the calculation of
the underlying index. The Fund may also hold securities or derivative financial instruments not included in the underlying index.
It is also possible that the Fund may not fully replicate the performance of the underlying index due to the temporary unavailability
of certain securities in the secondary market or due to other extraordinary circumstances. In addition, because the shares of the
Fund are traded on a securities exchange and are subject to market supply and investor demand, the value of a share of the Fund
may differ from the net asset value per share of the Fund. As a result, the performance of the Fund may not correlate perfectly
with the performance of the underlying index, and the return on the securities based on the performance of the Fund will not be
the same as the return on securities based on the performance of the underlying index.
There Are
Risks Associated With The Fund.
Although the shares of the Fund are listed for
trading on a United States securities exchange and a number of similar products have been traded on such securities exchanges for
varying periods of time, there is no assurance that an active trading market will continue for the shares of the Fund or that there
will be liquidity in the trading market.
In addition, the Fund is subject to management
risk, which is the risk that the fund sponsor’s investment strategy, the implementation of which is subject to a number of
constraints, may not produce the intended results. For example, the fund sponsor may elect to invest certain Fund assets in shares
of equity securities that are not included in the underlying index. The Fund is also not actively managed and may be affected
by a general decline in market segments relating to the underlying index. Further, the fund sponsor invests in securities
included in, or representative of, the underlying index regardless of their investment merits, and the fund sponsor does not attempt
to take defensive positions in declining markets.
Further, under continuous listing standards adopted
by the relevant securities exchange, the Fund will be required to confirm on an ongoing basis that the securities included in the
underlying index satisfy the applicable listing requirements. In the event that the
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Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
|
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underlying index does not comply with
the applicable listing requirements, the Fund would be required to rectify such non-compliance by requesting that the underlying
index sponsor modify such underlying index, transitioning to a new underlying index or obtaining relief from the SEC. There can
be no assurance that the underlying index sponsor would modify the underlying index or that relief would be obtained from the SEC
and, therefore, non-compliance with the continuous listing standards may result in the Fund being delisted. If the Fund were delisted,
the calculation agent would select a successor fund or, if no successor fund is available, would determine the fund closing price
of the Fund on any date of determination.
These risks may adversely affect the price of
the shares of the Fund and, consequently, the value of the securities.
You Will Not Have Any Shareholder Rights With
Respect To The Shares Of The Fund.
You will not become a holder of shares of the
Fund or a holder of securities included in the underlying index as a result of owning a security. You will not have any voting
rights, any right to receive dividends or other distributions or any other rights with respect to such shares or securities. You
will have no right to receive delivery of any shares or securities at maturity.
Anti-dilution Adjustments Relating To The Shares
Of The Fund Do Not Address Every Event That Could Affect Such Shares.
An adjustment factor, as described herein, will
be used to determine the ending price of the Fund. The adjustment factor will be adjusted by the calculation agent for certain
events affecting the shares of the Fund. However, the calculation agent will not make an adjustment for every event that could
affect such shares. If an event occurs that does not require the calculation agent to adjust the adjustment factor, the value of
the securities may be adversely affected.
The Stated Maturity Date May Be Postponed If
The Calculation Day Is Postponed.
The calculation day will be postponed if the originally
scheduled calculation day is not a trading day or if the calculation agent determines that a market disruption event has occurred
or is continuing on the calculation day. If such a postponement occurs, the stated maturity date will be the later of (i) the
initial stated maturity date and (ii) three business days after the calculation day as postponed.
Our And The Guarantor’s Economic Interests
And Those Of Any Dealer Participating In The Offering Are Potentially Adverse To Your Interests.
You should be aware of the following ways in which
our and the Guarantor’s economic interests and those of any dealer participating in the distribution of the securities, which
we refer to as a “participating dealer,” are potentially adverse to your interests as an investor in the securities.
In engaging in certain of the activities described below, our affiliates or any participating dealer or its affiliates may take
actions that may adversely affect the value of and your return on the securities, and in so doing they will have no obligation
to consider your interests as an investor in the securities. Our affiliates or any participating dealer or its affiliates may realize
a profit from these activities even if investors do not receive a favorable investment return on the securities.
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•
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The calculation agent is our affiliate and
may be required to make discretionary judgments that affect the return you receive on the securities. WFS, which is our
affiliate, will be the calculation agent for the securities. As calculation agent, WFS will determine the ending price of the Fund
and may be required to make other determinations that affect the return you receive on the securities at maturity. In making these
determinations, the calculation agent may be required to make discretionary judgments, including determining whether a market disruption
event has occurred on the scheduled calculation day, which may result in postponement of the calculation day; determining the ending
price of the Fund if the calculation day is postponed to the last day to which it may be postponed and a market disruption event
occurs on that day; adjusting the adjustment factor and other terms of the securities in certain circumstances; if the Fund undergoes
a liquidation event, selecting a successor fund or, if no successor fund is available, determining the ending price of the Fund;
and determining whether to adjust the ending price of the Fund on the calculation day in the event of certain changes in or modifications
to the Fund or the underlying index. In making these discretionary judgments, the fact that WFS is our affiliate may cause it to
have economic interests that are adverse to your interests as an investor in the securities, and WFS’s determinations as
calculation agent may adversely affect your return on the securities.
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•
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The estimated value of the securities was
calculated by our affiliate and is therefore not an independent third-party valuation. WFS calculated the estimated value
of the securities set forth on the cover page of this pricing supplement, which involved discretionary judgments by WFS, as described
under “Risk Factors—The Estimated Value Of The Securities Is Determined By Our Affiliate’s Pricing Models, Which
May Differ From Those Of Other Dealers” above. Accordingly, the estimated value of the securities set forth on the cover
page of this pricing supplement is not an independent third-party valuation.
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•
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Research reports by our affiliates or any
participating dealer or its affiliates may be inconsistent with an investment in the securities and may adversely affect the price
of the Fund. Our affiliates or any participating dealer in the offering of the securities or its affiliates may, at present
or in the future, publish research reports on the Fund or the underlying index or the companies whose securities are included in
the Fund or the underlying index. This research is modified from time to time without notice and may, at present or in the future,
express opinions or provide recommendations that are inconsistent with purchasing or holding the securities. Any research reports
on the Fund or the underlying index or
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Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
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the companies whose securities are included in the Fund or the underlying index could adversely
affect the price of the Fund and, therefore, adversely affect the value of and your return on the securities. You are encouraged
to derive information concerning the Fund from multiple sources and should not rely on the views expressed by us or our affiliates
or any participating dealer or its affiliates. In addition, any research reports on the Fund or the underlying index or the companies
whose securities are included in the Fund or the underlying index published on or prior to the pricing date could result in an
increase in the price of the Fund on the pricing date, which would adversely affect investors in the securities by increasing the
price at which the Fund must close on the calculation day in order for investors in the securities to receive a favorable return.
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•
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Business activities of our affiliates or
any participating dealer or its affiliates with the companies whose securities are included in the Fund may adversely affect the
price of the Fund. Our affiliates or any participating dealer or its affiliates may, at present or in the future, engage
in business with the companies whose securities are included in the Fund or the underlying index, including making loans to those
companies (including exercising creditors’ remedies with respect to such loans), making equity investments in those companies
or providing investment banking, asset management or other advisory services to those companies. These business activities could
adversely affect the price of the Fund and, therefore, adversely affect the value of and your return on the securities. In addition,
in the course of these business activities, our affiliates or any participating dealer or its affiliates may acquire non-public
information about one or more of the companies whose securities are included in the Fund or the underlying index. If our affiliates
or any participating dealer or its affiliates do acquire such non-public information, we and they are not obligated to disclose
such non-public information to you.
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•
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Hedging activities by our affiliates or
any participating dealer or its affiliates may adversely affect the price of the Fund. We expect to hedge our obligations
under the securities through one or more hedge counterparties, which may include our affiliates or any participating dealer or
its affiliates. Pursuant to such hedging activities, our hedge counterparties may acquire shares of the Fund, securities included
in the Fund or the underlying index or listed or over-the-counter derivative or synthetic instruments related to the Fund or such
securities. Depending on, among other things, future market conditions, the aggregate amount and the composition of such positions
are likely to vary over time. To the extent that our hedge counterparties have a long hedge position in shares of the Fund or any
of the securities included in the Fund or the underlying index, or derivative or synthetic instruments related to the Fund or such
securities, they may liquidate a portion of such holdings at or about the time of the calculation day or at or about the time of
a change in the securities included in the Fund or the underlying index. These hedging activities could potentially adversely affect
the price of the shares of the Fund and, therefore, adversely affect the value of and your return on the securities.
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•
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Trading activities by our affiliates or
any participating dealer or its affiliates may adversely affect the price of the Fund. Our affiliates or any participating
dealer or its affiliates may engage in trading in the shares of the Fund or the securities included in the Fund or the underlying
index and other instruments relating to the Fund or such securities on a regular basis as part of their general broker-dealer and
other businesses. Any of these trading activities could potentially adversely affect the price of the shares of the Fund and, therefore,
adversely affect the value of and your return on the securities.
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•
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A
participating dealer or its affiliates may realize hedging profits projected by its proprietary pricing models in addition to
any selling concession, creating a further incentive for the participating dealer to sell the securities to you. If
any participating dealer or any of its affiliates conducts hedging activities for us in connection with the securities, that participating
dealer or its affiliates will expect to realize a projected profit from such hedging activities. If a participating dealer receives
a concession for the sale of the securities to you, this projected hedging profit will be in addition to the concession, creating
a further incentive for the participating dealer to sell the securities to you.
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The U.S. Federal Tax Consequences Of An Investment
In The Securities Are Unclear.
There is no direct legal authority regarding the
proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the IRS. Consequently, significant
aspects of the tax treatment of the securities are uncertain, and the IRS or a court might not agree with the treatment of the
securities as prepaid derivative contracts that are “open transactions” for U.S. federal income tax purposes. If the
IRS were successful in asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition
of the securities might be materially and adversely affected. In particular, due to the securities’
buffer feature, the IRS or a court could treat the securities as debt instruments subject to Treasury regulations governing contingent
payment debt instruments, in which case significant adverse consequences would result. Even if the treatment of the securities
as prepaid derivative contracts that are “open transactions” is respected, a security may be treated as a “constructive
ownership transaction,” with potentially adverse consequences described below under “United States Federal Tax Considerations.”
Furthermore, Section 871(m) of the Internal Revenue
Code of 1986, as amended (the “Code”), imposes a withholding tax of up to 30% on “dividend equivalents”
paid or deemed paid to non-U.S. investors in respect of certain financial instruments linked to U.S. equities. In light of Treasury
regulations, as modified by an IRS notice, that provide a general exemption for financial instruments issued prior to January 1,
2021 that do not have a “delta” of one, the securities should not be subject to withholding under Section 871(m). However,
the IRS could challenge this conclusion. If withholding applies to the securities, we will not be required to pay any additional
amounts with respect to amounts withheld.
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Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
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In addition, in 2007 the U.S. Treasury Department
and the IRS released a notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. Any Treasury regulations or other guidance promulgated after consideration of
these issues could materially and adversely affect the tax consequences of an investment in the securities, including the character
and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject to withholding
tax, possibly with retroactive effect. You should read carefully the discussion under “United States Federal Tax Considerations”
in this pricing supplement. You should also consult your tax adviser regarding the U.S. federal tax consequences of an investment
in the securities, as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
|
Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
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The following table illustrates, for a range of
hypothetical ending prices of the Fund:
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•
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the hypothetical percentage change from the hypothetical starting price to the hypothetical ending
price;
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•
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the hypothetical maturity payment amount payable at stated maturity per security; and
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•
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the hypothetical pre-tax total rate of return.
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Hypothetical
ending price
|
Hypothetical
percentage change
from the hypothetical
starting price to the
hypothetical ending price
|
Hypothetical
maturity payment
amount
payable at
stated maturity
per security
|
Hypothetical
pre-tax total
rate of return
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$175.00
|
75.00%
|
$1,420.00
|
42.00%
|
|
$150.00
|
50.00%
|
$1,280.00
|
28.00%
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$140.00
|
40.00%
|
$1,224.00
|
22.40%
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$130.00
|
30.00%
|
$1,168.00
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16.80%
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$120.00
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20.00%
|
$1,112.00
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11.20%
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$115.00
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15.00%
|
$1,084.00
|
8.40%
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$110.00
|
10.00%
|
$1,056.00
|
5.60%
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$105.00
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5.00%
|
$1,028.00
|
2.80%
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$100.00(1)
|
0.00%
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$1,000.00
|
0.00%
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$95.00
|
-5.00%
|
$1,000.00
|
0.00%
|
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$90.00
|
-10.00%
|
$1,000.00
|
0.00%
|
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$80.00
|
-20.00%
|
$1,000.00
|
0.00%
|
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$70.00
|
-30.00%
|
$1,000.00
|
0.00%
|
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$69.00
|
-31.00%
|
$990.00
|
-1.00%
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|
$50.00
|
-50.00%
|
$800.00
|
-20.00%
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$25.00
|
-75.00%
|
$550.00
|
-45.00%
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$0.00
|
-100.00%
|
$300.00
|
-70.00%
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(1)
|
The hypothetical starting price of $100.00 has been chosen for illustrative purposes only and does
not represent the actual starting price. The actual starting price is set forth under “Terms of the Securities” above.
For historical data regarding the actual closing prices of the Fund, see the historical information set forth herein.
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The above figures are for purposes of illustration
only and may have been rounded for ease of analysis. The actual amount you receive at stated maturity and the resulting pre-tax
rate of return will depend on the actual starting price and ending price.
|
Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
|
|
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Hypothetical Payments at Stated Maturity
|
Set forth below are three examples of payment
at stated maturity calculations, assuming hypothetical starting prices and ending prices as indicated in the examples. The terms
used for purposes of these hypothetical examples do not represent the actual starting price or threshold price. The hypothetical
starting price of $100.00 has been chosen for illustrative purposes only and does not represent the actual starting price. The
actual starting price and threshold price are set forth under “Terms of the Securities” above. For historical data
regarding the actual closing prices of the Fund, see the historical information set forth herein. These examples are for purposes
of illustration only and the values used in the examples may have been rounded for ease of analysis.
Example 1. Maturity payment amount is
greater than the original offering price:
Hypothetical starting price: $100.00
Hypothetical ending price: $130.00
Because the hypothetical ending price is greater than the hypothetical starting price, the maturity payment amount per security
would be equal to the original offering price of $1,000 plus a positive return equal to:
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$1,000
|
×
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$130.00 – $100.00
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× 56%
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= $168.00
|
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$100.00
|
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On the stated maturity date you would receive
$1,168.00 per security.
Even though the Fund increased by 30% from its
starting price to its ending price in this example, your positive return is only 16.80%, reflecting less than 1-for-1 participation
in the appreciation of the Fund.
Example 2. Maturity payment amount is equal
to the original offering price:
Hypothetical starting price: $100.00
Hypothetical ending price: $90.00
Hypothetical threshold price: $70.00, which
is 70% of the hypothetical starting price
Since the hypothetical ending price is
less than the hypothetical starting price, but not by more than 30%, you would not lose any of the original offering price of your
securities.
On the stated maturity date you would receive
$1,000.00 per security.
Example 3. Maturity payment amount is less than
the original offering price:
Hypothetical starting price: $100.00
Hypothetical ending price: $50.00
Hypothetical threshold price: $70.00, which
is 70% of the hypothetical starting price
Since the hypothetical ending price is
less than the hypothetical starting price by more than 30%, you would lose a portion of the original offering price of your securities
and receive the maturity payment amount equal to:
|
$1,000 -
|
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|
$1,000
|
×
|
|
$70.00 – $50.00
|
|
= $800.00
|
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|
|
$100.00
|
|
On the stated maturity date you would receive
$800.00 per security.
To the extent that the starting price and ending
price differ from the values assumed above, the results indicated above would be different.
|
Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
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Additional
Terms of the Securities
|
Wells Fargo Finance LLC will issue the securities
as part of a series of senior unsecured debt securities entitled “Medium-Term Notes, Series A,” which is more fully
described in the prospectus supplement. Information included in this pricing supplement supersedes information in the market measure
supplement, prospectus supplement and prospectus to the extent that it is different from that information.
Certain Definitions
A “trading day” means a day,
as determined by the calculation agent, on which the relevant stock exchange and each related futures or options exchange with
respect to the Fund or any successor thereto, if applicable, are scheduled to be open for trading for their respective regular
trading sessions.
The “relevant stock exchange”
for the Fund means the primary exchange or quotation system on which shares (or other applicable securities) of the Fund are traded,
as determined by the calculation agent.
The “related futures or options exchange”
for the Fund means each exchange or quotation system where trading has a material effect (as determined by the calculation agent)
on the overall market for futures or options contracts relating to the Fund.
Calculation Agent
Wells Fargo Securities, LLC, one of our affiliates
and a wholly owned subsidiary of Wells Fargo & Company, will act as calculation agent for the securities and may appoint agents
to assist it in the performance of its duties. Pursuant to a calculation agent agreement, we may appoint a different calculation
agent without your consent and without notifying you.
The calculation agent will determine the maturity
payment amount you receive at stated maturity. In addition, the calculation agent will, among other things:
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|
•
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determine whether a market disruption event has
occurred;
|
|
|
•
|
determine if adjustments are required to the fund
closing price of the Fund under various circumstances; and
|
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|
•
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if the Fund undergoes a liquidation event, select
a successor fund (as defined below) or, if no successor fund is available, determine the fund closing price.
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All determinations made by the calculation agent
will be at the sole discretion of the calculation agent and, in the absence of manifest error, will be conclusive for all purposes
and binding on us and you. The calculation agent will have no liability for its determinations.
Market Disruption Events
A “market disruption event”
means any of the following events as determined by the calculation agent in its sole discretion:
|
|
(A)
|
The occurrence or existence of a material suspension
of or limitation imposed on trading by the relevant stock exchange or otherwise relating to the shares (or other applicable securities)
of the Fund or any successor fund on the relevant stock exchange at any time during the one-hour period that ends at the close
of trading on such day, whether by reason of movements in price exceeding limits permitted by such relevant stock exchange or otherwise.
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|
|
(B)
|
The occurrence or existence of a material suspension
of or limitation imposed on trading by any related futures or options exchange or otherwise in futures or options contracts relating
to the shares (or other applicable securities) of the Fund or any successor fund on any related futures or options exchange at
any time during the one-hour period that ends at the close of trading on that day, whether by reason of movements in price exceeding
limits permitted by the related futures or options exchange or otherwise.
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|
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(C)
|
The occurrence or existence of any event, other
than an early closure, that materially disrupts or impairs the ability of market participants in general to effect transactions
in, or obtain market values for, shares (or other applicable securities) of the Fund or any successor fund on the relevant stock
exchange at any time during the one-hour period that ends at the close of trading on that day.
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|
(D)
|
The occurrence or existence of any event, other
than an early closure, that materially disrupts or impairs the ability of market participants in general to effect transactions
in, or obtain market values for, futures or options contracts relating to shares (or other applicable securities) of the Fund or
any successor fund on any related futures or options exchange at any time during the one-hour period that ends at the close of
trading on that day.
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|
|
(E)
|
The closure of the relevant stock exchange or
any related futures or options exchange with respect to the Fund or any successor fund prior to its scheduled closing time unless
the earlier closing time is announced by the relevant stock exchange or related futures or options exchange, as applicable, at
least one hour prior to the earlier of (1) the actual closing time for the regular trading session on such relevant stock exchange
or related futures or options exchange, as applicable, and (2) the
|
|
Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
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submission deadline for orders to be entered into the relevant
stock exchange or related futures or options exchange, as applicable, system for execution at the close of trading on that day.
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|
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(F)
|
The relevant stock exchange or any related futures
or options exchange with respect to the Fund or any successor fund fails to open for trading during its regular trading session.
|
For purposes of determining whether a market disruption
event has occurred:
|
|
(1)
|
“close of trading” means the scheduled closing time of the relevant stock exchange
with respect to the Fund or any successor fund; and
|
|
|
(2)
|
the “scheduled closing time” of the relevant stock exchange or any related futures
or options exchange on any trading day for the Fund or any successor fund means the scheduled weekday closing time of such relevant
stock exchange or related futures or options exchange on such trading day, without regard to after hours or any other trading outside
the regular trading session hours.
|
If a market disruption event occurs or is continuing
on the calculation day, then the calculation day will be postponed to the first succeeding trading day on which a market disruption
event has not occurred and is not continuing; however, if such first succeeding trading day has not occurred as of the eighth trading
day after the originally scheduled calculation day, that eighth trading day shall be deemed to be the calculation day. If the calculation
day has been postponed eight trading days after the originally scheduled calculation day and a market disruption event occurs or
is continuing on such eighth trading day, the calculation agent will determine the closing price of the Fund on such eighth trading
day based on its good faith estimate of the value of the shares (or other applicable securities) of the Fund as of the close of
trading on such eighth trading day.
Anti-dilution Adjustments Relating to the Fund;
Alternate Calculation
Anti-dilution Adjustments
The calculation agent will adjust the adjustment
factor as specified below if any of the events specified below occurs with respect to the Fund and the effective date or ex-dividend
date, as applicable, for such event is after the pricing date and on or prior to the calculation day.
The adjustments specified below do not cover all
events that could affect the Fund, and there may be other events that could affect the Fund for which the calculation agent will
not make any such adjustments, including, without limitation, an ordinary cash dividend. Nevertheless, the calculation agent may,
in its sole discretion, make additional adjustments to any terms of the securities upon the occurrence of other events that affect
or could potentially affect the market price of, or shareholder rights in, the Fund, with a view to offsetting, to the extent practical,
any such change, and preserving the relative investment risks of the securities. In addition, the calculation agent may, in its
sole discretion, make adjustments or a series of adjustments that differ from those described herein if the calculation agent determines
that such adjustments do not properly reflect the economic consequences of the events specified in this pricing supplement or would
not preserve the relative investment risks of the securities. All determinations made by the calculation agent in making any adjustments
to the terms of the securities, including adjustments that are in addition to, or that differ from, those described in this pricing
supplement, will be made in good faith and a commercially reasonable manner, with the aim of ensuring an equitable result. In determining
whether to make any adjustment to the terms of the securities, the calculation agent may consider any adjustment made by the Options
Clearing Corporation or any other equity derivatives clearing organization on options contracts on the Fund.
For any event described below, the calculation
agent will not be required to adjust the adjustment factor unless the adjustment would result in a change to the adjustment factor
then in effect of at least 0.10%. The adjustment factor resulting from any adjustment will be rounded up or down, as appropriate,
to the nearest one-hundred thousandth.
|
|
(A)
|
Stock Splits and Reverse Stock Splits
|
If a stock split or reverse stock split
has occurred, then once such split has become effective, the adjustment factor will be adjusted to equal the product of
the prior adjustment factor and the number of securities which a holder of one share (or other applicable security) of the Fund
before the effective date of such stock split or reverse stock split would have owned or been entitled to receive immediately following
the applicable effective date.
If a dividend or distribution of shares
(or other applicable securities) to which the securities are linked has been made by the Fund ratably to all holders of record
of such shares (or other applicable security), then the adjustment factor will be adjusted on the ex-dividend date to equal the
prior adjustment factor plus the product of the prior adjustment factor and the number of shares (or other applicable security)
of the Fund which a holder of one share (or other applicable security) of the Fund before the ex-dividend date would have owned
or been entitled to receive immediately following that date; provided, however, that no adjustment will be made for a distribution
for which the number of securities of the Fund paid or distributed is based on a fixed cash equivalent value.
|
Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
|
|
|
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(C)
|
Extraordinary Dividends
|
If an extraordinary dividend (as defined
below) has occurred, then the adjustment factor will be adjusted on the ex-dividend date to equal the product of the prior
adjustment factor and a fraction, the numerator of which is the closing price per share (or other applicable security) of the Fund
on the trading day preceding the ex-dividend date, and the denominator of which is the amount by which the closing price per share
(or other applicable security) of the Fund on the trading day preceding the ex-dividend date exceeds the extraordinary dividend
amount (as defined below).
For purposes of determining whether an extraordinary
dividend has occurred:
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(1)
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“extraordinary dividend” means any cash dividend or distribution (or portion
thereof) that the calculation agent determines, in its sole discretion, is extraordinary or special; and
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(2)
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“extraordinary dividend amount” with respect to an extraordinary dividend for
the securities of the Fund will equal the amount per share (or other applicable security) of the Fund of the applicable cash dividend
or distribution that is attributable to the extraordinary dividend, as determined by the calculation agent in its sole discretion.
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A distribution on the securities of the
Fund described below under the section entitled “—Reorganization Events” below that also constitutes an extraordinary
dividend will only cause an adjustment pursuant to that “—Reorganization Events” section.
If the Fund declares or makes a distribution
to all holders of the shares (or other applicable security) of the Fund of any non-cash assets, excluding dividends or distributions
described under the section entitled “—Stock Dividends” above, then the calculation agent may, in its sole discretion,
make such adjustment (if any) to the adjustment factor as it deems appropriate in the circumstances. If the calculation agent determines
to make an adjustment pursuant to this paragraph, it will do so with a view to offsetting, to the extent practical, any change
in the economic position of a holder of the securities that results solely from the applicable event.
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(E)
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Reorganization Events
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If the Fund, or any successor fund, is subject
to a merger, combination, consolidation or statutory exchange of securities with another exchange traded fund, and the Fund is
not the surviving entity (a “reorganization event”), then, on or after the date of such event, the calculation
agent shall, in its sole discretion, make an adjustment to the adjustment factor or the method of determining the maturity payment
amount or any other terms of the securities as the calculation agent determines appropriate to account for the economic effect
on the securities of such event, and determine the effective date of that adjustment. If the calculation agent determines that
no adjustment that it could make will produce a commercially reasonable result, then the calculation agent may deem such event
a liquidation event (as defined below).
Liquidation Events
If the Fund is de-listed, liquidated or otherwise
terminated (a “liquidation event”), and a successor or substitute exchange traded fund exists that the calculation
agent determines, in its sole discretion, to be comparable to the Fund, then, upon the calculation agent’s notification of
that determination to the trustee and Wells Fargo Finance LLC, any subsequent fund closing price for the Fund will be determined
by reference to the fund closing price of such successor or substitute exchange traded fund (such exchange traded fund being referred
to herein as a “successor fund”), with such adjustments as the calculation agent determines are appropriate
to account for the economic effect of such substitution on holders of the securities.
If the Fund undergoes a liquidation event prior
to, and such liquidation event is continuing on, the date that any fund closing price of the Fund is to be determined and the calculation
agent determines that no successor fund is available at such time, then the calculation agent will, in its discretion, calculate
the fund closing price for the Fund on such date by a computation methodology that the calculation agent determines will as closely
as reasonably possible replicate the Fund, provided that if the calculation agent determines in its discretion that it is not practicable
to replicate the Fund (including but not limited to the instance in which the underlying index sponsor discontinues publication
of the underlying index), then the calculation agent will calculate the fund closing price for the Fund in accordance with the
formula last used to calculate such fund closing price before such liquidation event, but using only those securities that were
held by the Fund immediately prior to such liquidation event without any rebalancing or substitution of such securities following
such liquidation event.
If a successor fund is selected or the calculation
agent calculates the fund closing price as a substitute for the Fund, such successor fund or fund closing price will be used as
a substitute for the Fund for all purposes, including for purposes of determining whether a market disruption event exists. Notwithstanding
these alternative arrangements, a liquidation event with respect to the Fund may adversely affect the value of the securities.
If any event is both a reorganization event and
a liquidation event, such event will be treated as a reorganization event for purposes of the securities unless the calculation
agent makes the determination referenced in the last sentence of the section entitled “—Anti-dilution Adjustments—Reorganization
Events” above.
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Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
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Alternate Calculation
If at any time the method of calculating the Fund
or a successor fund, or the underlying index, is changed in a material respect, or if the Fund or a successor fund is in any other
way modified so that the Fund does not, in the opinion of the calculation agent, fairly represent the price of the securities of
the Fund or such successor fund had such changes or modifications not been made, then the calculation agent may, at the close of
business in New York City on the date that any fund closing price is to be determined, make such calculations and adjustments as,
in the good faith judgment of the calculation agent, may be necessary in order to arrive at a closing price of the Fund comparable
to the Fund or such successor fund, as the case may be, as if such changes or modifications had not been made, and calculate the
fund closing price and the maturity payment amount with reference to such adjusted closing price of the Fund or such successor
fund, as applicable.
Events of Default and Acceleration
If an event of default with respect to the securities
has occurred and is continuing, the amount payable to a holder of a security upon any acceleration permitted by the securities,
with respect to each security, will be equal to the maturity payment amount, calculated as provided herein. The maturity payment
amount will be calculated as though the date of acceleration were the calculation day.
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Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
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The SPDR® S&P 500® ETF Trust
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The SPDR S&P 500 ETF Trust is an exchange traded fund that seeks to track
the S&P 500 Index, an equity index that is intended to provide an indication of the pattern of common stock price movement
in the large capitalization segment of the United States equity market. Our parent company, Wells Fargo & Company, is one of
the companies currently included in the SPDR S&P 500 ETF Trust and the S&P 500 Index. See “Description of Exchange
Traded Funds—The SPDR® S&P 500® ETF Trust” in the accompanying market measure supplement
for additional information about the SPDR S&P 500 ETF Trust. Effective February 20, 2019, to be added to the S&P 500®
Index a company must have an unadjusted company market capitalization of $8.2 billion or more (an increase from the previous requirement
of an unadjusted company market capitalization of $6.1 billion or more). A company meeting the unadjusted company market capitalization
criteria is also required to have a security level float-adjusted market capitalization that is at least $4.1 billion.
In addition, information about the SPDR S&P
500 ETF Trust may be obtained from other sources, including, but not limited to, the fund sponsor’s website (including information
regarding (a) the Fund’s top ten constituents and their weightings; (b) returns of the Fund and underlying index for certain
periods; and (c) the fees paid to the fund sponsor). We are not incorporating by reference into this pricing supplement the website
or any material it includes. Neither we nor the agent makes any representation that such publicly available information regarding
the SPDR S&P 500 ETF Trust is accurate or complete.
Historical Information
We obtained the closing prices of the SPDR S&P
500 ETF Trust in the graph below from Bloomberg Financial Markets, without independent verification.
The following graph sets forth daily closing prices
of the Fund for the period from January 1, 2014 to October 31, 2019. The closing price on October 31, 2019 was $303.33. The starting
price of the Fund is the closing price of the Fund on October 30, 2019, as specified under “Terms of the Securities”
above. The historical performance of the Fund should not be taken as an indication of the future performance of the Fund during
the term of the securities.
SPDR® and S&P 500®
are trademarks of Standard & Poor’s Financial Services LLC (“S&P Financial”). The securities are
not sponsored, endorsed, sold or promoted by the SPDR® S&P 500® ETF Trust (the “SPDR
Trust”) or S&P Financial. Neither the SPDR Trust nor S&P Financial makes any representations or warranties to
the holders of the securities or any member of the public regarding the advisability of investing in the securities. Neither the
SPDR Trust nor S&P Financial will have any obligation or liability in connection with the registration, operation, marketing,
trading or sale of the securities or in connection with Wells Fargo Finance LLC’s or Wells Fargo & Company’s use
of information about the SPDR Trust.
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Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
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Benefit Plan Investor Considerations
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Each fiduciary of a pension, profit-sharing or other
employee benefit plan to which Title I of the Employee Retirement Income Security Act of 1974 (“ERISA”) applies
(a “plan”), should consider the fiduciary standards of ERISA in the context of the plan’s particular circumstances
before authorizing an investment in the securities. Accordingly, among other factors, the fiduciary should consider whether the
investment would satisfy the prudence and diversification requirements of ERISA and would be consistent with the documents and
instruments governing the plan. When we use the term “holder” in this section, we are referring to a beneficial
owner of the securities and not the record holder.
Section 406 of ERISA and Section 4975
of the Code prohibit plans, as well as individual retirement accounts and Keogh plans to which Section 4975 of the Code applies
(also “plans”), from engaging in specified transactions involving “plan assets” with persons who
are “parties in interest” under ERISA or “disqualified persons” under the Code (collectively, “parties
in interest”) with respect to such plan. A violation of those “prohibited transaction” rules may result in
an excise tax or other liabilities under ERISA and/or Section 4975 of the Code for such persons, unless statutory or administrative
exemptive relief is available. Therefore, a fiduciary of a plan should also consider whether an investment in the securities might
constitute or give rise to a prohibited transaction under ERISA and the Code.
Employee benefit plans that are governmental plans,
as defined in Section 3(32) of ERISA, certain church plans, as defined in Section 3(33) of ERISA, and foreign plans,
as described in Section 4(b)(4) of ERISA (collectively, “Non-ERISA Arrangements”), are not subject to the
requirements of ERISA, or Section 4975 of the Code, but may be subject to similar rules under other applicable laws or regulations
(“Similar Laws”).
We and our affiliates may each be considered a
party in interest with respect to many plans. Special caution should be exercised, therefore, before the securities are purchased
by a plan. In particular, the fiduciary of the plan should consider whether statutory or administrative exemptive relief is available.
The U.S. Department of Labor has issued five prohibited transaction class exemptions (“PTCEs”) that may provide
exemptive relief for direct or indirect prohibited transactions resulting from the purchase or holding of the securities. Those
class exemptions are:
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PTCE 96-23, for specified transactions determined
by in-house asset managers;
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PTCE 95-60, for specified transactions involving
insurance company general accounts;
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PTCE 91-38, for specified transactions involving
bank collective investment funds;
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PTCE 90-1, for specified transactions involving
insurance company separate accounts; and
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PTCE 84-14, for specified transactions determined
by independent qualified professional asset managers.
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In addition, Section 408(b)(17) of ERISA
and Section 4975(d)(20) of the Code provide an exemption for transactions between a plan and a person who is a party in interest
(other than a fiduciary who has or exercises any discretionary authority or control with respect to investment of the plan assets
involved in the transaction or renders investment advice with respect thereto) solely by reason of providing services to the plan
(or by reason of a relationship to such a service provider), if in connection with the transaction of the plan receives no less,
and pays no more, than “adequate consideration” (within the meaning of Section 408(b)(17) of ERISA).
Any purchaser or holder of the securities or any
interest in the securities will be deemed to have represented by its purchase and holding that either:
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no portion of the assets
used by such purchaser or holder to acquire or purchase the securities constitutes assets of any plan or Non-ERISA Arrangement;
or
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the purchase and holding
of the securities by such purchaser or holder will not constitute a non-exempt prohibited transaction under Section 406 of
ERISA or Section 4975 of the Code or similar violation under any Similar Laws.
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Due to the complexity of these rules and the penalties
that may be imposed upon persons involved in non-exempt prohibited transactions, it is particularly important that fiduciaries
or other persons considering purchasing the securities on behalf of or with “plan assets” of any plan consult with
their counsel regarding the potential consequences under ERISA and the Code of the acquisition of the securities and the availability
of exemptive relief.
The securities are contractual financial instruments.
The financial exposure provided by the securities is not a substitute or proxy for, and is not intended as a substitute or proxy
for, individualized investment management or advice for the benefit of any purchaser or holder of the securities. The securities
have not been designed and will not be administered in a manner intended to reflect the individualized needs and objectives of
any purchaser or holder of the securities.
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Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
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Each purchaser or holder of the securities acknowledges
and agrees that:
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(i)
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the purchaser or holder or its fiduciary has made and
shall make all investment decisions for the purchaser or holder and the purchaser or holder has not relied and shall not rely
in any way upon us or our affiliates to act as a fiduciary or adviser of the purchaser or holder with respect to (a) the design
and terms of the securities, (b) the purchaser or holder’s investment in the securities, or (c) the exercise of or failure
to exercise any rights we have under or with respect to the securities;
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(ii)
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we and our affiliates have acted and will act solely
for our own account in connection with (a) all transactions relating to the securities and (b) all hedging transactions in connection
with our obligations under the securities;
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(iii)
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any and all assets and positions relating to hedging
transactions by us or our affiliates are assets and positions of those entities and are not assets and positions held for the
benefit of the purchaser or holder;
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(iv)
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our interests may be adverse to the interests of the
purchaser or holder; and
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(v)
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neither we nor any of our affiliates is a fiduciary or
adviser of the purchaser or holder in connection with any such assets, positions or transactions, and any information that we
or any of our affiliates may provide is not intended to be impartial investment advice.
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Purchasers of the securities have the exclusive
responsibility for ensuring that their purchase, holding and subsequent disposition of the securities does not violate the fiduciary
or prohibited transaction rules of ERISA, the Code or any Similar Law. Nothing herein shall be construed as a representation that
an investment in the securities would be appropriate for, or would meet any or all of the relevant legal requirements with respect
to investments by, plans or Non-ERISA Arrangements generally or any particular plan or Non-ERISA Arrangement.
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Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
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United States Federal Tax Considerations
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The following is a discussion
of the material U.S. federal income and certain estate tax consequences of the ownership and disposition of the securities. It
applies to you only if you purchase a security for cash in the initial offering at the “issue price,” which is the
first price at which a substantial amount of the securities is sold to the public, and hold the security as a capital asset within
the meaning of Section 1221 of the Code. It does not address all of the tax consequences that may be relevant to you in light of
your particular circumstances or if you are an investor subject to special rules, such as:
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a financial institution;
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a “regulated investment company”;
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a tax-exempt entity, including an “individual
retirement account” or “Roth IRA”;
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a dealer or trader subject to a mark-to-market
method of tax accounting with respect to the securities;
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a person holding a security as part of a “straddle”
or conversion transaction or who has entered into a “constructive sale” with respect to a security;
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a U.S. holder (as defined below) whose functional
currency is not the U.S. dollar; or
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an entity classified as a partnership for U.S.
federal income tax purposes.
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If an entity that is classified
as a partnership for U.S. federal income tax purposes holds the securities, the U.S. federal income tax treatment of a partner
will generally depend on the status of the partner and the activities of the partnership. If you are a partnership holding the
securities or a partner in such a partnership, you should consult your tax adviser as to your particular U.S. federal tax consequences
of holding and disposing of the securities.
We will not attempt to ascertain
whether the Fund is treated as a “U.S. real property holding corporation” (“USRPHC”) within the
meaning of Section 897 of the Code. If the Fund were so treated, certain adverse U.S. federal income tax consequences might apply
to you, if you are a non-U.S. holder (as defined below), upon the sale, exchange or other disposition of the securities. You should
refer to information filed with the Securities and Exchange Commission or another governmental authority by the Fund and consult
your tax adviser regarding the possible consequences to you if the Fund is or becomes a USRPHC.
This discussion is based on
the Code, administrative pronouncements, judicial decisions and final, temporary and proposed Treasury regulations, all as of the
date of this pricing supplement, changes to any of which subsequent to the date of this pricing supplement may affect the tax consequences
described herein, possibly with retroactive effect. This discussion does not address the effects of any applicable state, local
or non-U.S. tax laws, any alternative minimum tax consequences, the potential application of the Medicare tax on investment income
or the consequences to taxpayers subject to special tax accounting rules under Section 451(b) of the Code. You should consult your
tax adviser concerning the application of U.S. federal income and estate tax laws to your particular situation (including the possibility
of alternative treatments of the securities), as well as any tax consequences arising under the laws of any state, local or non-U.S.
jurisdiction.
Tax Treatment of the Securities
We intend to treat a security as a prepaid derivative contract that is an
“open transaction” for U.S. federal income tax purposes. By purchasing a security, you agree (in the absence of an
administrative determination or judicial ruling to the contrary) to this treatment. In the
opinion of our counsel, Davis Polk & Wardwell LLP, which is based on current market conditions, this treatment of the securities
is reasonable under current law; however, our counsel has advised us that it is unable to conclude affirmatively that this treatment
is more likely than not to be upheld, and that alternative treatments are possible.
Due to the absence of statutory,
judicial or administrative authorities that directly address the U.S. federal tax treatment of the securities or similar instruments,
significant aspects of the treatment of an investment in the securities are uncertain. We do not plan to request a ruling from
the IRS, and the IRS or a court might not agree with the treatment described below. In particular,
there is a significant risk that the securities could be treated as contingent payment debt instruments, as discussed further below.
Accordingly, you should consult your tax adviser regarding all aspects of the U.S. federal income and estate tax consequences of
an investment in the securities. Unless otherwise indicated, the following discussion is based on the treatment of the securities
as prepaid derivative contracts that are “open transactions.”
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Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
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Tax Consequences to U.S.
Holders
This section applies only to
U.S. holders. You are a “U.S. holder” if you are a beneficial owner of a security that is, for U.S. federal
income tax purposes:
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a citizen or individual resident of the United
States;
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a corporation created or organized in or under
the laws of the United States, any state therein or the District of Columbia; or
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an estate or trust the income of which is subject
to U.S. federal income taxation regardless of its source.
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Tax Treatment Prior to Maturity.
You should not be required to recognize income over the term of the securities prior to maturity, other than pursuant to a sale,
exchange or retirement as described below.
Sale, Exchange or Retirement
of the Securities. Upon a sale, exchange or retirement of the securities, you should recognize gain or loss equal to the difference
between the amount realized on the sale, exchange or retirement and your tax basis in the securities that are sold, exchanged or
retired. Your tax basis in the securities should equal the amount you paid to acquire them. Subject to the discussion below concerning
the potential application of the “constructive ownership” rules under Section 1260 of the Code, this gain or loss should
be long-term capital gain or loss if at the time of the sale, exchange or retirement you held the securities for more than one
year, and short-term capital gain or loss otherwise. Long-term capital gains recognized by non-corporate U.S. holders are generally
subject to taxation at reduced rates. The deductibility of capital losses is subject to certain limitations.
Potential Application of
Section 1260 of the Code. There is a risk that your purchase of a security may be treated as entry into a “constructive
ownership transaction,” within the meaning of Section 1260 of the Code, with respect to the Fund. In that case, all or a
portion of any long-term capital gain you would otherwise recognize in respect of your securities would be recharacterized as ordinary
income to the extent such gain exceeded the “net underlying long-term capital gain.” Any long-term capital gain recharacterized
as ordinary income under Section 1260 would be treated as accruing at a constant rate over the period you held your securities,
and you would be subject to an interest charge in respect of the deemed tax liability on the income treated as accruing in prior
tax years. Due to the lack of governing authority under Section 1260, our counsel is not able to opine as to whether or how Section
1260 applies to the securities, including how the “net underlying long-term capital gain” should be computed if Section
1260 does apply. You should consult your tax adviser regarding the potential application of the “constructive ownership”
rule.
Possible Alternative
Tax Treatments of an Investment in the Securities
Alternative U.S. federal income
tax treatments of the securities are possible that, if applied, could materially and adversely affect the timing and/or character
of income, gain or loss with respect to them. In particular, due to the securities’
buffer feature, there is a significant risk that the securities could be treated as debt instruments governed by Treasury
regulations relating to the taxation of contingent payment debt instruments. In that case, regardless of your method of tax accounting
for U.S. federal income tax purposes, you generally would be required to accrue income based on our comparable yield for similar
non-contingent debt, determined as of the time of issuance of the securities, in each year that you held the securities, even though
we are not required to make any payment with respect to the securities prior to maturity. In addition, any gain on the sale, exchange
or retirement of the securities would be treated as ordinary income.
Other possible U.S. federal
income tax treatments of the securities could also affect the timing and character of income or loss with respect to the securities.
In 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment
of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require holders
of these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics,
including the character of income or loss with respect to these instruments; whether short-term instruments should be subject to
any such accrual regime; the relevance of factors such as the exchange-traded status of the instruments and the nature of the underlying
property to which the instruments are linked; and whether these instruments are or should be subject to the “constructive
ownership” regime, described above. While the notice requests comments on appropriate transition rules and effective dates,
any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect
the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser
regarding the possible alternative treatments of an investment in the securities and the issues presented by this notice.
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Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
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Tax Consequences to Non-U.S.
Holders
This section applies only to
non-U.S. holders. You are a “non-U.S. holder” if you are a beneficial owner of a security that is, for U.S.
federal income tax purposes:
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an individual who is classified as a nonresident
alien;
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a foreign corporation; or
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a foreign estate or trust.
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You are not a non-U.S. holder
for purposes of this discussion if you are (i) an individual who is present in the United States for 183 days or more in the taxable
year of disposition or (ii) a former citizen or resident of the United States. If you are or may become such a person during the
period in which you hold a security, you should consult your tax adviser regarding the U.S. federal tax consequences of an investment
in the securities.
Sale, Exchange or Retirement of the Securities.
Subject to the possible application of Section 897 of the Code and the discussion below regarding Section 871(m), you generally
should not be subject to U.S. federal income or withholding tax in respect of amounts paid to you, provided that income in respect
of the securities is not effectively connected with your conduct of a trade or business in the United States.
If you are engaged in a U.S. trade or business, and
if income from the securities is effectively connected with the conduct of that trade or business, you generally will be subject
to regular U.S. federal income tax with respect to that income in the same manner as if you were a U.S. holder, unless an applicable
income tax treaty provides otherwise. If you are such a holder and you are a corporation, you should also consider the potential
application of a 30% (or lower treaty rate) branch profits tax.
Tax Consequences Under Possible
Alternative Treatments. If all or any portion of a security were recharacterized as a debt instrument, subject to the possible
application of Section 897 of the Code and the discussions below regarding FATCA and Section 871(m), any payment made to you with
respect to the security generally should not be subject to U.S. federal withholding or income tax, provided that: (i) income or
gain in respect of the security is not effectively connected with your conduct of a trade or business in the United States, and
(ii) you provide an appropriate IRS Form W-8 certifying under penalties of perjury that you are not a United States person.
Other U.S. federal income tax
treatments of the securities are also possible. In 2007, the U.S. Treasury Department and the IRS released a notice requesting
comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. Among the
issues addressed in the notice is the degree, if any, to which income with respect to instruments such as the securities should
be subject to U.S. withholding tax. While the notice requests comments on appropriate transition rules and effective dates, it
is possible that any Treasury regulations or other guidance promulgated after consideration of these issues might materially and
adversely affect the withholding tax consequences of an investment in the securities, possibly with retroactive effect. Accordingly,
you should consult your tax adviser regarding the issues presented by the notice.
Possible Withholding Under Section 871(m) of
the Code. Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”)
generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to non-U.S. holders with respect to certain
financial instruments linked to U.S. equities (“U.S. underlying equities”) or indices that include U.S. underlying
equities. Section 871(m) generally applies to instruments that substantially replicate the economic performance of one or more
U.S. underlying equities, as determined based on tests set forth in the applicable Treasury regulations (a “specified
security”). However, the regulations, as modified by an IRS notice, exempt financial instruments issued prior to January
1, 2021 that do not have a “delta” of one. Based on the terms of the securities and representations provided by us,
our counsel is of the opinion that the securities should not be treated as transactions that have a “delta” of one
within the meaning of the regulations with respect to any U.S. underlying equity and, therefore, should not be specified securities
subject to withholding tax under Section 871(m).
A determination that the securities are not subject
to Section 871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex
and its application may depend on your particular circumstances. For example, if you enter into other transactions relating to
a U.S. underlying equity, you could be subject to withholding tax or income tax liability under Section 871(m) even if the securities
are not specified securities subject to Section 871(m) as a general matter. You should consult your tax adviser regarding the potential
application of Section 871(m) to the securities.
If withholding tax applies to the securities,
we will not be required to pay any additional amounts with respect to amounts so withheld.
U.S. Federal Estate Tax
If you are an individual non-U.S.
holder or an entity the property of which is potentially includible in such an individual’s gross estate for U.S. federal
estate tax purposes (for example, a trust funded by such an individual and with respect to which the individual has retained certain
interests or powers), you should note that, absent an applicable treaty exemption, the securities may be treated as U.S.
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Market Linked Securities—Partial Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due November 4, 2021
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situs
property subject to U.S. federal estate tax. If you are such an individual or entity, you should consult your tax adviser regarding
the U.S. federal estate tax consequences of investing in the securities.
Information Reporting and
Backup Withholding
Amounts paid on the securities, and the proceeds of
a sale, exchange or other disposition of the securities, may be subject to information reporting and, if you fail to provide certain
identifying information (such as an accurate taxpayer identification number if you are a U.S. holder) or meet certain other conditions,
may also be subject to backup withholding at the rate specified in the Code. If you are a non-U.S. holder that provides an appropriate
IRS Form W-8, you will generally establish an exemption from backup withholding. Amounts withheld under the backup withholding
rules are not additional taxes and may be refunded or credited against your U.S. federal income tax liability, provided the relevant
information is timely furnished to the IRS.
FATCA
Legislation commonly referred to as “FATCA”
generally imposes a withholding tax of 30% on payments to certain non-U.S. entities (including financial intermediaries) with respect
to certain financial instruments, unless various U.S. information reporting and due diligence requirements have been satisfied.
An intergovernmental agreement between the United States and the non-U.S. entity’s jurisdiction may modify these requirements.
This legislation applies to certain financial instruments that are treated as paying U.S.-source interest, dividends or dividend
equivalents or other U.S.-source “fixed or determinable annual or periodical” income (“FDAP income”).
If required under FATCA, withholding applies to payments of FDAP income. While existing Treasury regulations would also require
withholding on payments of gross proceeds of the disposition (including upon retirement) of certain financial instruments treated
as paying U.S.-source interest or dividends, the U.S. Treasury Department has indicated in subsequent proposed regulations its
intent to eliminate this requirement. The U.S. Treasury Department has indicated that taxpayers may rely on these proposed regulations
pending their finalization. If the securities were treated as debt instruments or as subject to Section 871(m), the withholding
regime under FATCA would apply to the securities. If withholding applies to the securities, we will not be required to pay any
additional amounts with respect to amounts withheld. If you are a non-U.S. holder, or a U.S. holder holding securities through
a non-U.S. intermediary, you should consult your tax adviser regarding the potential application of FATCA to the securities.
The preceding discussion constitutes the full opinion
of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and disposing of the securities.
You should consult your tax adviser regarding
all aspects of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences
arising under the laws of any state, local or non-U.S. taxing jurisdiction.