|
Additional Information about the Issuer, the Guarantor and the Securities
|
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):
|
●
|
Market Measure Supplement dated May 18, 2018:
|
https://www.sec.gov/Archives/edgar/data/72971/000119312518167616/d593569d424b2.htm
|
●
|
Prospectus Supplement dated May 18, 2018:
|
https://www.sec.gov/Archives/edgar/data/72971/000119312518167593/d523952d424b2.htm
|
●
|
Prospectus dated April 5, 2019:
|
https://www.sec.gov/Archives/edgar/data/72971/000138713119002551/wfc-424b2_040519.htm
|
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 May 17, 2022
|
|
|
Estimated Value of the Securities
|
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
will be 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 will be set forth in the final pricing supplement.
Determining the estimated value
Our affiliate, Wells Fargo Securities, LLC (“WFS”),
calculated the estimated value of the securities set forth on the cover page of this pricing supplement based on its proprietary
pricing models. Based on these pricing models and related market inputs and assumptions referred to in this section below, WFS
determined an estimated value for the securities by estimating the value of the combination of hypothetical financial instruments
that would replicate the payout on the securities, which combination consists of a non-interest bearing, fixed-income bond (the
“debt component”) and one or more derivative instruments underlying the economic terms of the securities (the
“derivative component”).
The estimated value of the debt component is based
on an internal funding rate that reflects, among other things, our and our affiliates’ view of the funding value of the securities.
This rate is used for purposes of determining the estimated value of the securities since we expect secondary market prices, if
any, for the securities that are provided by WFS or any of its affiliates to generally reflect such rate. WFS determined the estimated
value of the securities based on this internal funding rate, rather than the assumed rate that we use to determine the economic
terms of the securities, for the same reason.
WFS calculated the estimated value of the derivative
component based on a proprietary derivative-pricing model, which generated a theoretical price for the derivative instruments that
constitute the derivative component based on various inputs, including the “derivative component factors” identified
in “Risk Factors—The Value Of The Securities Prior To Stated Maturity Will Be Affected By Numerous Factors, Some Of
Which Are Related In Complex Ways.” These inputs may be market-observable or may be based on assumptions made by WFS in its
discretion.
The estimated value of the securities determined
by WFS is subject to important limitations. See “Risk Factors—The Estimated Value Of The Securities Is Determined By
Our Affiliate’s Pricing Models, Which May Differ From Those Of Other Dealers” and “—Our And The Guarantor’s
Economic Interests And Those Of Any Dealer Participating In The Offering Are Potentially Adverse To Your Interests.”
Valuation of the securities after issuance
The estimated value of the securities is not an indication
of the price, if any, at which WFS or any other person may be willing to buy the securities from you in the secondary market. The
price, if any, at which WFS or any of its affiliates may purchase the securities in the secondary market will be based upon WFS’s
proprietary pricing models and will fluctuate over the term of the securities due to changes in market conditions and other relevant
factors. However, absent changes in these market conditions and other relevant factors, except as otherwise described in the following
paragraph, any secondary market price will be lower than the estimated value on the pricing date because the secondary market price
will be reduced by a bid-offer spread, which may vary depending on the aggregate face amount of the securities to be purchased
in the secondary market transaction, and the expected cost of unwinding any related hedging transactions. Accordingly, unless market
conditions and other relevant factors change significantly in your favor, any secondary market price for the securities is likely
to be less than the original offering price.
If WFS or any of its affiliates makes a secondary
market in the securities at any time up to the issue date or during the 3-month period following the issue date, the secondary
market price offered by WFS or any of its affiliates will be increased by an amount reflecting a portion of the costs associated
with selling, structuring, hedging and issuing the securities that are included in the original offering price. Because this portion
of the costs is not fully deducted upon issuance, any secondary market price offered by WFS or any of its affiliates during this
period will be higher than it would be if it were based solely on WFS’s proprietary pricing models less the bid-offer
|
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 May 17, 2022
|
|
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.
|
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 May 17, 2022
|
|
We have designed the securities for investors
who:
|
■
|
seek 200% 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 not less than 21.00%
(to be determined on the pricing date) of the original offering price;
|
|
■
|
desire to limit downside exposure to the Index
through the 15% buffer;
|
|
■
|
understand that if the ending level is less than
the starting level by more than 15%, they will receive less, and possibly 85% less, than the original offering price per security
at maturity;
|
|
■
|
are willing to forgo interest payments on the
securities and dividends on the securities included in the Index; and
|
|
■
|
are willing to hold the securities until maturity.
|
The securities are not designed for, and may not
be a suitable investment for, investors who:
|
■
|
seek a liquid investment or are unable or unwilling
to hold the securities to maturity;
|
|
■
|
are unwilling to accept the risk that the ending
level of the Index may decrease by more than 15% from the starting level;
|
|
■
|
seek uncapped exposure to the upside performance
of the Index;
|
|
■
|
seek full return of the original offering price
of the securities at stated maturity;
|
|
■
|
are unwilling to purchase securities with an estimated
value as of the pricing date that is lower than the original offering price and that may be as low as the lower estimated value
set forth on the cover page;
|
|
■
|
are unwilling to accept the risk of exposure to
the large capitalization segment of the United States equity market;
|
|
■
|
seek exposure to the Index but are unwilling to
accept the risk/return trade-offs inherent in the maturity payment amount for the securities;
|
|
■
|
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
|
|
■
|
prefer the lower risk of fixed income investments
with comparable maturities issued by companies with comparable credit ratings.
|
|
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 May 17, 2022
|
|
|
Determining Payment at Stated Maturity
|
On the stated maturity date, you will receive
a cash payment per security (the maturity payment amount) calculated as follows:
|
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 May 17, 2022
|
|
|
Hypothetical Payout Profile
|
The following profile is based on a hypothetical
maximum return of 21.00% or $210.00 per security (the lowest possible maximum return that may be determined on the pricing date),
a participation rate of 200% and a threshold level equal to 85% of the starting level. This graph has been prepared for purposes
of illustration only. Your actual return will depend on the actual ending level, the actual maximum return and whether you hold
your securities to maturity.
|
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 May 17, 2022
|
|
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 85% 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 85% of the starting level. As a result, you may receive less, and possibly 85% 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.
|
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 May 17, 2022
|
|
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, Will Be 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
will be 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
|
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 May 17, 2022
|
|
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.
|
|
●
|
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.
|
|
|
●
|
Interest Rates. The value
of the securities may be affected by changes in the interest rates in the U.S. markets.
|
|
|
●
|
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.
|
|
|
●
|
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.
|
|
|
●
|
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.
|
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.
|
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 May 17, 2022
|
|
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.
|
|
●
|
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.
|
|
|
●
|
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
|
|
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 May 17, 2022
|
|
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.
|
|
●
|
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.
|
|
|
●
|
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.
|
|
|
●
|
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.
|
|
|
●
|
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.
|
|
|
●
|
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.
|
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
|
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 May 17, 2022
|
|
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, as of the date of this preliminary pricing supplement the securities should not be subject to withholding under Section
871(m). However, information about the application of Section 871(m) to the securities will be updated in the final pricing supplement.
Moreover, the IRS could challenge a conclusion that the securities should not be subject to withholding under Section 871(m). 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 May 17, 2022
|
|
The following table illustrates, for a hypothetical
maximum return of 21.00% or $210.00 per security (the lowest possible maximum return that may be determined on the pricing date)
and a range of hypothetical ending levels of the Index:
|
|
●
|
the hypothetical percentage change from the hypothetical starting level to the hypothetical ending
level;
|
|
|
●
|
the hypothetical maturity payment amount payable at stated maturity per security; and
|
|
|
●
|
the hypothetical pre-tax total rate of return.
|
|
Hypothetical
ending level
|
Hypothetical
percentage change
from the hypothetical
starting level to the
hypothetical ending level
|
Hypothetical
maturity payment amount
payable at
stated maturity
per security
|
Hypothetical
pre-tax total
rate of return
|
|
175.00
|
75.00%
|
$1,210.00
|
21.00%
|
|
150.00
|
50.00%
|
$1,210.00
|
21.00%
|
|
140.00
|
40.00%
|
$1,210.00
|
21.00%
|
|
130.00
|
30.00%
|
$1,210.00
|
21.00%
|
|
120.00
|
20.00%
|
$1,210.00
|
21.00%
|
|
110.50
|
10.50%
|
$1,210.00
|
21.00%
|
|
110.00
|
10.00%
|
$1,200.00
|
20.00%
|
|
105.00
|
5.00%
|
$1,100.00
|
10.00%
|
|
100.00(1)
|
0.00%
|
$1,000.00
|
0.00%
|
|
95.00
|
-5.00%
|
$1,000.00
|
0.00%
|
|
90.00
|
-10.00%
|
$1,000.00
|
0.00%
|
|
85.00
|
-15.00%
|
$1,000.00
|
0.00%
|
|
84.00
|
-16.00%
|
$990.00
|
-1.00%
|
|
80.00
|
-20.00%
|
$950.00
|
-5.00%
|
|
75.00
|
-25.00%
|
$900.00
|
-10.00%
|
|
50.00
|
-50.00%
|
$650.00
|
-35.00%
|
|
25.00
|
-75.00%
|
$400.00
|
-60.00%
|
|
(1)
|
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.
|
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, ending level and 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 May 17, 2022
|
|
|
Hypothetical Payments at Stated Maturity
|
Set forth below are four examples of payment at
stated maturity calculations, reflecting a hypothetical maximum return of 21.00% or $210.00 per security (the lowest possible maximum
return that may be determined on the pricing date) and 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:
|
(i)
|
|
|
$1,000
|
×
|
|
105.00 – 100.00
|
|
× 200%
|
|
= $100.00;
|
and
|
|
|
|
100.00
|
|
|
|
(ii)
|
the maximum return of $210.00
|
On the stated maturity date you would receive
$1,100.00 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:
|
(i)
|
|
|
$1,000
|
×
|
|
150.00 – 100.00
|
|
× 200%
|
|
= $1,000.00;
|
and
|
|
|
|
100.00
|
|
|
|
(ii)
|
the maximum return of $210.00
|
On the stated maturity date you would receive
$1,210.00 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 200% up to a certain point. However, the effect of the participation
rate will be progressively reduced for ending levels that are greater than 110.50% of the starting level (assuming a maximum return
of 21.00% or $210.00 per security, the lowest possible maximum return that may be determined on the pricing date) since your return
on the securities for any ending level greater than 110.50% 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 May 17, 2022
|
|
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: 85.00, which
is 85.00% of the hypothetical starting level
Since the hypothetical ending level is
less than the hypothetical starting level, but not by more than 15%, 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: 85.00, which
is 85% of the hypothetical starting level
Since the hypothetical ending level is
less than the hypothetical starting level by more than 15%, you would lose a portion of the original offering price of your securities
and receive the maturity payment amount equal to:
|
$1,000 -
|
|
|
$1,000
|
×
|
|
85.00 – 50.00
|
|
= $650.00
|
|
|
|
100.00
|
|
On the stated maturity date you would receive
$650.00 per security.
To the extent that the starting level, ending
level and maximum return 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 May 17, 2022
|
|
|
Additional Terms of the Securities
|
Wells Fargo Finance LLC will issue the securities
as part of a series of senior unsecured debt securities entitled “Medium-Term Notes, Series A,” which is more fully
described in the prospectus supplement. Information included in this pricing supplement supersedes information in the market measure
supplement, prospectus supplement and prospectus to the extent that it is different from that information.
Certain Definitions
A “trading day” means a day,
as determined by the calculation agent, on which (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:
|
|
●
|
determine whether a market disruption
event has occurred;
|
|
|
●
|
determine the closing level of
the Index under certain circumstances;
|
|
|
●
|
determine if adjustments are required
to the closing level of the Index under various circumstances; and
|
|
|
●
|
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.
|
All determinations made by the calculation agent
will be at the sole discretion of the calculation agent and, in the absence of manifest error, will be conclusive for all purposes
and binding on us and you. The calculation agent will have no liability for its determinations.
Market Disruption Events
A “market disruption event”
means any of the following events as determined by the calculation agent in its sole discretion:
|
|
(A)
|
The occurrence or existence of
a material suspension of or limitation imposed on trading by the relevant stock 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.
|
|
|
(B)
|
The occurrence or existence of
a material suspension of or limitation imposed on trading by any related futures or options exchange or otherwise in futures or
options contracts relating to the 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.
|
|
|
(C)
|
The occurrence or existence of
any event, other than an early closure, that materially disrupts or impairs the ability of market participants in general to effect
transactions in, or obtain market values for, 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.
|
|
|
(D)
|
The occurrence or existence of
any event, other than an early closure, that materially disrupts or impairs the ability of market participants in general to effect
transactions in, or obtain market values for, futures or options contracts relating to 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.
|
|
|
(E)
|
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 May 17, 2022
|
|
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.
|
|
(F)
|
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.
|
For purposes of determining whether a market disruption
event has occurred:
|
|
(1)
|
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;
|
|
|
(2)
|
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;
|
|
|
(3)
|
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
|
|
|
(4)
|
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.
|
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 May 17, 2022
|
|
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 May 17, 2022
|
|
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 8, 2019. The closing level on November 8, 2019 was 3093.08. 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.
|
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 May 17, 2022
|
|
|
Benefit Plan Investor Considerations
|
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:
|
|
●
|
PTCE 96-23, for specified transactions
determined by in-house asset managers;
|
|
|
●
|
PTCE 95-60, for specified transactions
involving insurance company general accounts;
|
|
|
●
|
PTCE 91-38, for specified transactions
involving bank collective investment funds;
|
|
|
●
|
PTCE 90-1, for specified transactions
involving insurance company separate accounts; and
|
|
|
●
|
PTCE 84-14, for specified transactions
determined by independent qualified professional asset managers.
|
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:
|
|
●
|
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
|
|
|
●
|
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.
|
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.
|
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 May 17, 2022
|
|
Each purchaser or holder of the securities acknowledges
and agrees that:
(i)
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;
(ii)
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;
(iii)
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;
(iv)
our interests
may be adverse to the interests of the purchaser or holder; and
(v)
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.
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.
|
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 May 17, 2022
|
|
|
United States Federal Tax Considerations
|
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:
|
|
●
|
a financial institution;
|
|
|
●
|
a “regulated investment
company”;
|
|
|
●
|
a tax-exempt entity, including
an “individual retirement account” or “Roth IRA”;
|
|
|
●
|
a dealer or trader subject to
a mark-to-market method of tax accounting with respect to the securities;
|
|
|
●
|
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;
|
|
|
●
|
a U.S. holder (as defined below)
whose functional currency is not the U.S. dollar; or
|
|
|
●
|
an entity classified as a partnership
for U.S. federal income tax purposes.
|
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, 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. Moreover, our counsel’s opinion is based on market
conditions as of the date of this preliminary pricing supplement and is subject to confirmation in the final pricing supplement.
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.”
|
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 May 17, 2022
|
|
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:
|
|
●
|
a citizen or individual resident
of the United States;
|
|
|
●
|
a corporation created or organized
in or under the laws of the United States, any state therein or the District of Columbia; or
|
|
|
●
|
an estate or trust the income
of which is subject to U.S. federal income taxation regardless of its source.
|
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:
|
|
●
|
an individual who is classified
as a nonresident alien;
|
|
|
●
|
a foreign corporation; or
|
|
|
●
|
a foreign estate or trust.
|
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
|
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 May 17, 2022
|
|
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.
This information is indicative and will be updated
in the final pricing supplement or may otherwise be updated by us in writing from time to time. Non-U.S. holders should be warned
that Section 871(m) may apply to the securities based on circumstances as of the pricing date for the securities and, therefore,
it is possible that the securities will be subject to withholding tax under Section 871(m).
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
|
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 May 17, 2022
|
|
withheld under the backup withholding rules
are not additional taxes and may be refunded or credited against your U.S. federal income tax liability, provided the relevant
information is timely furnished to the IRS.
FATCA
Legislation commonly referred to as “FATCA”
generally imposes a withholding tax of 30% on payments to certain non-U.S. entities (including financial intermediaries) with respect
to certain financial instruments, unless various U.S. information reporting and due diligence requirements have been satisfied.
An intergovernmental agreement between the United States and the non-U.S. entity’s jurisdiction may modify these requirements.
This legislation applies to certain financial instruments that are treated as paying U.S.-source interest, dividends or dividend
equivalents or other U.S.-source “fixed or determinable annual or periodical” income (“FDAP income”).
If required under FATCA, withholding applies to payments of FDAP income. While existing Treasury regulations would also require
withholding on payments of gross proceeds of the disposition (including upon retirement) of certain financial instruments treated
as paying U.S.-source interest or dividends, the U.S. Treasury Department has indicated in subsequent proposed regulations its
intent to eliminate this requirement. The U.S. Treasury Department has indicated that taxpayers may rely on these proposed
regulations pending their finalization. If the securities were treated as debt instruments or as subject to Section 871(m), the
withholding regime under FATCA would apply to the securities. If withholding applies to the securities, we will not be required
to pay any additional amounts with respect to amounts withheld. If you are a non-U.S. holder, or a U.S. holder holding securities
through a non-U.S. intermediary, you should consult your tax adviser regarding the potential application of FATCA to the securities.
The preceding discussion constitutes the full opinion
of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and disposing of the securities.
You should consult your tax adviser regarding all
aspects of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising
under the laws of any state, local or non-U.S. taxing jurisdiction.