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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—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index 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
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Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index due November 4, 2021
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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 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—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index due November 4, 2021
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We have designed
the securities for investors who:
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seek
150% leveraged exposure to the upside performance of the Index if the ending level is
greater than the starting level, subject to a maximum return at maturity of 20.00% of
the original offering price;
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desire
to limit downside exposure to the Index through the 10% buffer;
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understand
that if the ending level is less than the starting level by more than 10%, they will
receive less, and possibly 90% less, than the original offering price per security at
maturity;
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are
willing to forgo interest payments on the securities and dividends on the securities
included in the Index; 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 level of the Index may decrease by more
than 10% from the starting level;
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seek
uncapped exposure to the upside performance of the Index;
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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 Index 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 Index generally, or to the exposure to the Index 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—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index 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—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index due November 4, 2021
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Hypothetical Payout Profile
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The following profile
is based on a maximum return of 20.00% or $200.00 per security, a participation rate of 150% and a threshold level equal to 90%
of the starting level. This graph has been prepared for purposes of illustration only. Your actual return will depend on the actual
ending level and whether you hold your securities to maturity.
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Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index 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.
If The Ending
Level Is Less Than The Threshold Level, You Will Receive Less, And Possibly 90% 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 level of the Index relative to the starting level and the other terms of the securities. Because
the level of the Index 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 level
is less than the threshold level, the maturity payment amount that you receive at maturity will be reduced by an amount equal
to the decline in the level of the Index to the extent it is below the threshold level (expressed as a percentage of the starting
level). The threshold level is 90% of the starting level. As a result, you may receive less, and possibly 90% less, than the original
offering price per security at maturity even if the level of the Index is greater than or equal to the starting level or the threshold
level at certain times during the term of the securities.
Even if the ending
level is greater than the starting level, 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.
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.”
Your Return Will
Be Limited To The Maximum Return And May Be Lower Than The Return On A Direct Investment In The Index.
The opportunity
to participate in the possible increases in the level of the Index through an investment in the securities will be limited because
any positive return on the securities will not exceed the maximum return. Furthermore, the effect of the participation rate will
be progressively reduced for all ending levels exceeding the ending level at which the maximum return is reached.
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 any securities included in the Index 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
the performance of any of our obligations under the securities, other than the obligations to pay principal and interest on the
securities.
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Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index due November 4, 2021
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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—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index 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 level of the Index, 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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Index
Performance. The value of the securities prior to maturity will depend substantially
on the then-current level of the Index. 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 level of the Index at such time is less than, equal
to or not sufficiently above the starting level or threshold level.
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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 Index. 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 Index
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
level of the Index. This difference will most likely reflect a discount due to expectations
and uncertainty concerning the level of the Index 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 level of the Index.
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Dividend
Yields On Securities Included In The Index. The value of the securities may be affected
by the dividend yields on securities included in the Index.
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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 level
of the Index. Because numerous factors are expected to affect the value of the securities, changes in the level of the Index may
not result in a comparable change in the value of the securities. We anticipate that the value of the securities will always be
at a discount to the original offering price plus the maximum return.
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 Securities Included In The Index.
Your return on the
securities will not reflect the return you would realize if you actually owned the securities included in the Index and received
the dividends and other payments paid on those securities. This is in part because the maturity payment amount will be determined
by reference to the ending level of the Index, which will be calculated by reference to the prices of the securities in the Index
without taking into consideration the value of dividends and other payments paid on those securities. In addition, the maturity
payment amount will not be greater than the original offering price plus the maximum return.
Historical
Levels Of The Index Should Not Be Taken As An Indication Of The Future Performance Of The Index During The Term Of The Securities.
The trading prices
of the securities included in the Index will determine the maturity payment amount payable to you at maturity. As a result, it
is impossible to predict whether the closing level of the Index will fall or rise compared to its starting level. Trading prices
of the securities included in the Index will be influenced by complex and interrelated political, economic, financial and other
factors that can affect the markets in which those securities are traded and the values of those securities themselves. Accordingly,
any historical levels of the Index do not provide an indication of the future performance of the Index.
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Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index due November 4, 2021
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Changes That
Affect The Index May Adversely Affect The Value Of The Securities And The Maturity Payment Amount You Will Receive At Maturity.
The policies of
the index sponsor concerning the calculation of the Index and the addition, deletion or substitution of securities comprising
the Index and the manner in which the index sponsor takes account of certain changes affecting such securities may affect the
level of the Index and, therefore, may affect the value of the securities and the maturity payment amount payable at maturity.
The index sponsor may discontinue or suspend calculation or dissemination of the Index or materially alter the methodology by
which it calculates the 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 Index.
Actions by any
company whose securities are included in the Index may have an adverse effect on the price of its security, the ending level and
the value of the securities. Our parent company, Wells Fargo & Company, is currently one of the companies included in the
Index, but neither we nor the Guarantor are affiliated with any of the other companies included in the Index. These unaffiliated
companies included in the Index 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 Index Sponsor And Have Not Independently Verified Its Public Disclosure Of Information.
We and our affiliates
are not affiliated in any way with the index sponsor and have no ability to control or predict its actions, including any errors
in or discontinuation of disclosure regarding the methods or policies relating to the calculation of the Index. We have derived
the information about the index sponsor and the 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 Index and the index sponsor. The index sponsor is not involved in the offering of the securities
made hereby in any way and has no obligation to consider your interests as an owner of the securities in taking any actions that
might affect the value of the securities.
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 level of the Index 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 level of the
Index 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; if the Index is discontinued, selecting
a successor equity index or, if no successor equity index is available, determining the
ending level of the Index; and determining whether to adjust the ending level of the
Index on the calculation day in the event of certain changes in or modifications to the
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
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|
Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index due November 4, 2021
|
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 level of the Index.
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 Index
or the companies whose securities are included in the 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 Index or the companies whose securities are included in the
Index could adversely affect the level of the Index and, therefore, adversely affect
the value of and your return on the securities. You are encouraged to derive information
concerning the Index 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 Index or the companies whose securities are included in the Index
published on or prior to the pricing date could result in an increase in the level of
the Index on the pricing date, which would adversely affect investors in the securities
by increasing the level at which the Index 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 Index may adversely affect the level of the Index.
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 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 level of the Index 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 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 level of the Index. 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 securities included in the Index or listed or over-the-counter derivative
or synthetic instruments related to the Index 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 any of the securities included in the Index, or derivative or
synthetic instruments related to the Index 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 Index. These hedging activities could potentially
adversely affect the level of the Index 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 level of the Index. Our affiliates or any participating dealer or
its affiliates may engage in trading in the securities included in the Index and other
instruments relating to the Index 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 level of the Index 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.
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
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Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index due November 4, 2021
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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.
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—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index due November 4, 2021
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The following table illustrates, for a range of
hypothetical ending levels of the Index:
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•
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the hypothetical percentage change from the hypothetical starting level to the hypothetical ending
level;
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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 level
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Hypothetical
percentage change
from the hypothetical
starting level to the
hypothetical ending level
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Hypothetical
maturity payment amount
payable at
stated maturity
per security
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Hypothetical
pre-tax total
rate of return
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175.00
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75.00%
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$1,200.00
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20.00%
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150.00
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50.00%
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$1,200.00
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20.00%
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140.00
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40.00%
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$1,200.00
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20.00%
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130.00
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30.00%
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$1,200.00
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20.00%
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120.00
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20.00%
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$1,200.00
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20.00%
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113.34
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13.34%
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$1,200.00
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20.00%
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110.00
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10.00%
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$1,150.00
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15.00%
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105.00
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5.00%
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$1,075.00
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7.50%
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100.00(1)
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0.00%
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$1,000.00
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0.00%
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95.00
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-5.00%
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$1,000.00
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0.00%
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90.00
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-10.00%
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$1,000.00
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0.00%
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89.00
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-11.00%
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$990.00
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-1.00%
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80.00
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-20.00%
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$900.00
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-10.00%
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75.00
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-25.00%
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$850.00
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-15.00%
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50.00
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-50.00%
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$600.00
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-40.00%
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25.00
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-75.00%
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$350.00
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-65.00%
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(1)
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The hypothetical starting level of 100.00 has been chosen for illustrative purposes only and does
not represent the actual starting level. The actual starting level is set forth under “Terms of the Securities” above.
For historical data regarding the actual closing levels of the Index, 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 level and ending level.
|
Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index due November 4, 2021
|
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Hypothetical Payments at Stated Maturity
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Set forth below are four examples of payment at
stated maturity calculations, assuming hypothetical starting levels and ending levels as indicated in the examples. The terms used
for purposes of these hypothetical examples do not represent the actual starting level or threshold level. The hypothetical starting
level of 100.00 has been chosen for illustrative purposes only and does not represent the actual starting level. The actual starting
level and threshold level are set forth under “Terms of the Securities” above. For historical data regarding the actual
closing levels of the Index, 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 and reflects a return that is less than the maximum return:
Hypothetical starting level: 100.00
Hypothetical ending level: 105.00
Because the hypothetical ending level is greater than the hypothetical starting level, the maturity payment amount per security
would be equal to the original offering price of $1,000 plus a positive return equal to the lesser of:
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(i)
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$1,000
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×
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105.00 – 100.00
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× 150%
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=
$75.00; and
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100.00
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(ii) the maximum return of $200.00
On the stated maturity date you would receive
$1,075.00 per security.
Example 2. Maturity payment amount is
greater than the original offering price and reflects a return equal to the maximum return:
Hypothetical starting level: 100.00
Hypothetical ending level: 150.00
Because the hypothetical ending level
is greater than the hypothetical starting level, the maturity payment amount per security would be equal to the original offering
price of $1,000 plus a positive return equal to the lesser of:
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(i)
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$1,000
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×
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150.00 – 100.00
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× 150%
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= $750.00; and
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100.00
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(ii) the maximum return of $200.00
On the stated maturity date you would receive
$1,200.00 per security, which is the maximum maturity payment amount.
In addition to limiting your return on the securities,
the maximum return limits the positive effect of the participation rate. If the ending level is greater than the starting level,
you will participate in the performance of the Index at a rate of 150% up to a certain point. However, the effect of the participation
rate will be progressively reduced for ending levels that are greater than approximately 113.34% of the starting level since your
return on the securities for any ending level greater than approximately 113.34% of the starting level will be limited to the maximum
return.
|
Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index due November 4, 2021
|
Example 3. Maturity payment amount is equal
to the original offering price:
Hypothetical starting level: 100.00
Hypothetical ending level: 95.00
Hypothetical threshold level: 90.00, which
is 90.00% of the hypothetical starting level
Since the hypothetical ending level is
less than the hypothetical starting level, but not by more than 10%, you would not lose any of the original offering price of your
securities.
On the stated maturity date you would receive
$1,000.00 per security.
Example 4. Maturity payment amount is less than
the original offering price:
Hypothetical starting level: 100.00
Hypothetical ending level: 50.00
Hypothetical threshold level: 90.00, which
is 90% of the hypothetical starting level
Since the hypothetical ending level is
less than the hypothetical starting level by more than 10%, you would lose a portion of the original offering price of your securities
and receive the maturity payment amount equal to:
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$ 1,000 -
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$1,000
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×
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90.00 – 50.00
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= $600.00
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100.00
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On the stated maturity date you would receive
$600.00 per security.
To the extent that the starting level and ending
level differ from the values assumed above, the results indicated above would be different.
|
Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index due November 4, 2021
|
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Additional Terms of the Securities
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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 (i) the relevant stock exchanges with respect to each security underlying the
Index are scheduled to be open for trading for their respective regular trading sessions and (ii) each related futures or options
exchange is scheduled to be open for trading for its regular trading session.
The “relevant stock exchange”
for any security underlying the Index means the primary exchange or quotation system on which such security is traded, as determined
by the calculation agent.
The “related futures or options exchange”
for the Index means an 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 Index.
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;
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•
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determine the closing level of
the Index under certain circumstances;
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•
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determine if adjustments are required
to the closing level of the Index under various circumstances; and
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•
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if publication of the Index is
discontinued, select a successor equity index (as defined below) or, if no successor equity index is available, determine the closing
level of the Index.
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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:
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(A)
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The occurrence or existence of
a material suspension of or limitation imposed on trading by the relevant stock exchanges or otherwise relating to securities which
then comprise 20% or more of the level of the Index or any successor equity index 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 those relevant stock
exchanges or otherwise.
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(B)
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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 Index or any successor equity index 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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(C)
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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, securities that then comprise 20% or more of the level of the Index or any successor
equity index on their relevant stock exchanges at any time during the one-hour period that ends at the close of trading on that
day.
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(D)
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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 the Index or any successor equity index
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)
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The closure on any exchange business
day of the relevant stock exchanges on which securities that then comprise 20% or more of the level of the Index or any successor
equity index are traded or any related futures or options exchange prior to its scheduled closing time unless the earlier closing
time is announced by the relevant stock exchange or related futures or
|
|
Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index due November 4, 2021
|
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 submission deadline for orders
to be entered into the relevant stock exchange or related futures or options exchange, as applicable, system for execution at
such actual closing time on that day.
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(F)
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The
relevant stock exchange for any security underlying the Index or successor equity index
or any related futures or options exchange fails to open for trading during its regular
trading session.
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For purposes of
determining whether a market disruption event has occurred:
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(1)
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the
relevant percentage contribution of a security to the level of the Index or any successor
equity index will be based on a comparison of (x) the portion of the level of such index
attributable to that security and (y) the overall level of the Index or successor equity
index, in each case immediately before the occurrence of the market disruption event;
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(2)
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the
“close of trading” on any trading day for the Index or any successor
equity index means the scheduled closing time of the relevant stock exchanges with respect
to the securities underlying the Index or successor equity index on such trading day;
provided that, if the actual closing time of the regular trading session of any such
relevant stock exchange is earlier than its scheduled closing time on such trading day,
then (x) for purposes of clauses (A) and (C) of the definition of “market disruption
event” above, with respect to any security underlying the Index or successor equity
index for which such relevant stock exchange is its relevant stock exchange, the “close
of trading” means such actual closing time and (y) for purposes of clauses (B)
and (D) of the definition of “market disruption event” above, with respect
to any futures or options contract relating to the Index or successor equity index, the
“close of trading” means the latest actual closing time of the regular trading
session of any of the relevant stock exchanges, but in no event later than the scheduled
closing time of the relevant stock exchanges;
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(3)
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the
“scheduled closing time” of any relevant stock exchange or related
futures or options exchange on any trading day for the Index or any successor equity
index 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; and
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(4)
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an
“exchange business day” means any trading day for the Index or any
successor equity index on which each relevant stock exchange for the securities underlying
the Index or any successor equity index and each related futures or options exchange
are open for trading during their respective regular trading sessions, notwithstanding
any such relevant stock exchange or related futures or options exchange closing prior
to its scheduled closing time.
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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 level of the Index on such eighth trading day in accordance with the formula for and method of calculating the closing
level of the Index last in effect prior to commencement of the market disruption event, using the closing price (or, with respect
to any relevant security, if a market disruption event has occurred with respect to such security, its good faith estimate of
the value of such security at the scheduled closing time of the relevant stock exchange for such security or, if earlier, the
actual closing time of the regular trading session of such relevant stock exchange) on such date of each security included in
the Index. As used herein, “closing price” means, with respect to any security on any date, the relevant stock
exchange traded or quoted price of such security as of the scheduled closing time of the relevant stock exchange for such security
or, if earlier, the actual closing time of the regular trading session of such relevant stock exchange.
Adjustments to the Index
If at any time the
method of calculating the Index or a successor equity index, or the closing level thereof, is changed in a material respect, or
if the Index or a successor equity index is in any other way modified so that such index does not, in the opinion of the calculation
agent, fairly represent the level of such index had those changes or modifications not been made, then the calculation agent will,
at the close of business in New York, New York, on each date that the closing level of such index is to be calculated, make such
calculations and adjustments as, in the good faith judgment of the calculation agent, may be necessary in order to arrive at a
level of an index comparable to the Index or successor equity index as if those changes or modifications had not been made, and
the calculation agent will calculate the closing level of the Index or successor equity index with reference to such index, as
so adjusted. Accordingly, if the method of calculating the Index or successor equity index is modified so that the level of such
index is a fraction or a multiple of what it would have been if it had not been modified (e.g., due to a split or reverse split
in such equity index), then the calculation agent will adjust the Index or successor equity index in order to arrive at a level
of such index as if it had not been modified (e.g., as if the split or reverse split had not occurred).
|
Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index due November 4, 2021
|
Discontinuance of the Index
If the sponsor or publisher of the Index (the
“index sponsor”) discontinues publication of the Index, and such index sponsor or another entity publishes a
successor or substitute equity index that the calculation agent determines, in its sole discretion, to be comparable to the Index
(a “successor equity index”), then, upon the calculation agent’s notification of that determination to
the trustee and Wells Fargo Finance LLC, the calculation agent will substitute the successor equity index as calculated by the
relevant index sponsor or any other entity and calculate the ending level as described above. Upon any selection by the calculation
agent of a successor equity index, Wells Fargo Finance LLC will cause notice to be given to holders of the securities.
In the event that the index sponsor discontinues
publication of the Index prior to, and the discontinuance is continuing on, the calculation day and the calculation agent determines
that no successor equity index is available at such time, the calculation agent will calculate a substitute closing level for the
Index in accordance with the formula for and method of calculating the Index last in effect prior to the discontinuance, but using
only those securities that comprised the Index immediately prior to that discontinuance. If a successor equity index is selected
or the calculation agent calculates a level as a substitute for the Index, the successor equity index or level will be used as
a substitute for the Index for all purposes, including the purpose of determining whether a market disruption event exists.
If on the calculation day the index sponsor fails
to calculate and announce the level of the Index, the calculation agent will calculate a substitute closing level of the Index
in accordance with the formula for and method of calculating the Index last in effect prior to the failure, but using only those
securities that comprised the Index immediately prior to that failure; provided that, if a market disruption event occurs
or is continuing on such day, then the provisions set forth above under “—Market Disruption Events” shall apply
in lieu of the foregoing.
Notwithstanding these alternative arrangements,
discontinuance of the publication of, or the failure by the index sponsor to calculate and announce the level of, the Index may
adversely affect the value of the securities.
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.
|
Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index due November 4, 2021
|
The S&P 500 Index is 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 S&P 500 Index.
See “Description of Equity Indices—The S&P Indices” in the accompanying market measure supplement for additional
information about the S&P 500 Index. 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 S&P 500 Index
may be obtained from other sources including, but not limited to, the S&P 500 Index sponsor’s website (including information
regarding the S&P 500 Index’s sector weightings). 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 S&P 500 Index is accurate or complete.
Historical Information
We obtained the closing levels of the S&P
500 Index in the graph below from Bloomberg Financial Markets, without independent verification.
The following graph sets forth daily closing
levels of the Index for the period from January 1, 2014 to November 1, 2019. The closing level on November 1, 2019 was 3066.91.
The starting level of the Index is the closing level of the Index on October 31, 2019, as specified under “Terms of the
Securities” above. The historical performance of the Index should not be taken as an indication of the future performance
of the Index during the term of the securities.
The S&P 500® Index is a product of
S&P Dow Jones Indices LLC (“SPDJI”), and has been licensed to Wells Fargo & Company (“WFC”),
our parent company, for use by WFC and certain of its affiliated or subsidiary companies (including us). Standard & Poor’s®,
S&P® and S&P 500® are registered trademarks of Standard & Poor’s Financial Services
LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow
Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by WFC. The securities
are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates, and none of such parties
make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors,
omissions, or interruptions of the S&P 500® Index.
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Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index 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—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index 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—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index 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 any of the issuers of the underlying stocks of the Index (the “underlying stocks”)
is treated as a “U.S. real property holding corporation” (“USRPHC”) within the meaning of Section
897 of the Code or as a “passive foreign investment company” (“PFIC”) within the meaning of Section
1297 of the Code. If any of the issuers of the underlying stocks were so treated, certain adverse U.S. federal income tax consequences
might apply to you, in the case of a USRPHC if you are a non-U.S. holder (as defined below) and in the case of a PFIC if you are
a 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 issuers of the underlying stocks and
consult your tax adviser regarding the possible consequences to you if any of the issuers of the underlying stocks is or becomes
a USRPHC or PFIC.
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
In the opinion of our counsel, Davis Polk &
Wardwell LLP, which is based on current market conditions, a security should be treated 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.
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. 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—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index 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. 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.
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. It is possible, for example, 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, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional
interest charge. 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.
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
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Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index due November 4, 2021
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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.
In the event withholding applies, we will not be required to pay any
additional amounts with respect to amounts 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. 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.
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Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index due November 4, 2021
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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.