The Principal at Risk Securities Linked to the Lowest Performing of the Class B common stock of NIKE,
Inc., the common stock of Intel Corporation and the Class B common stock of Berkshire Hathaway Inc. due July 30, 2020 are senior unsecured debt securities of Wells Fargo & Company (
Wells Fargo
) that do not
provide for fixed payments of interest, do not repay a fixed amount of principal at stated maturity and are subject to potential automatic call upon the terms described in this pricing supplement. Whether the securities pay a quarterly contingent
coupon, whether the securities are automatically called prior to stated maturity and, if they are not automatically called, whether you are repaid the original offering price of your securities at stated maturity will depend in each case upon the
stock closing price of the
lowest performing
of the Class B common stock of NIKE, Inc., the common stock of Intel Corporation and the Class B common stock of Berkshire Hathaway Inc. (each referred to as an
Underlying
Stock
) on the relevant calculation day. The lowest performing Underlying Stock on any calculation day is the Underlying Stock that has the lowest stock closing price on that calculation day as a percentage of its starting price. The
securities provide:
All payments on the securities are subject to the credit risk of Wells Fargo.
You should read this pricing supplement together with the prospectus supplement dated
March 18, 2015 and the prospectus dated March 18, 2015 for additional information about the securities. Information included in this pricing supplement supersedes information in the 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.
You may access the 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):
The original offering price of each security of $1,000 includes certain costs that are borne by you. Because of these costs, the estimated
value of the securities on the pricing date is less than the original offering price. The costs included in the original offering price relate to selling, structuring, hedging and issuing the securities, as well as to our funding considerations for
debt of this type.
The costs related to selling, structuring, hedging and issuing the securities include (i) the agent discount,
(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 our conventional debt of the same maturity, as well as our 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 funding rate that is generally lower than the interest rates implied by secondary market prices for our debt obligations and/or by other traded instruments referencing our debt obligations, which we refer to as our
secondary market rates
. As discussed below, our secondary market rates are 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 funding rate we use to
determine the economic terms of the securities were higher, the economic terms of the securities would be more favorable to you and the estimated value would be higher. The estimated value of the securities as of the pricing date is set forth on the
cover page of this pricing supplement.
The estimated value of the debt component is based on a reference interest rate, determined by WFS as of a recent date, that generally tracks
our secondary market rates. Because WFS does not continuously calculate our reference interest rate, the reference interest rate used in the calculation of the estimated value of the debt component may be higher or lower than our secondary market
rates at the time of that calculation. As noted above, we determine the economic terms of the securities based upon an assumed funding rate that is generally lower than our secondary market rates. In contrast, in determining the estimated value of
the securities, we value the debt component using a reference interest rate that generally tracks our secondary market rates. Because the reference interest rate is generally higher than the assumed funding rate, using the reference interest rate to
value the debt component generally results in a lower estimated value for the debt component, which we believe more closely approximates a market valuation of the debt component than if we had used the assumed funding rate.
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 FactorsThe 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 FactorsThe Estimated Value Of The Securities Is Determined By Our Affiliates Pricing Models, Which May Differ From Those Of Other Dealers and Our Economic Interests And Those Of Any Dealer Participating
In The Offering Are Potentially Adverse To Your Interests.
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 WFSs 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 WFSs proprietary pricing models less the
bid-offer
spread and hedging unwind costs described above. The amount of this
increase in the secondary market price will decline steadily to zero over this 3-month period. If you hold the securities through an account at WFS or any of its affiliates, we expect that this increase will also be reflected in the value indicated
for the securities on your brokerage account statement.
If WFS or any of its affiliates makes a secondary market in the securities, WFS
expects to provide those secondary market prices to any unaffiliated broker-dealers through which the securities are held and to commercial pricing vendors. If you hold your securities through an account at a broker-dealer other than WFS or any of
its affiliates, that broker-dealer may obtain market prices for the securities from WFS (directly or indirectly), but could also obtain such market prices from other sources, and may be willing to purchase the securities at any given time at a price
that differs from the price at which WFS or any of its affiliates is willing to purchase the securities. As a result, if you hold your securities through an account at a broker-dealer other than WFS or any of its affiliates, the value of the
securities on your brokerage account statement may be different than if you held your securities at WFS or any of its affiliates.
The
securities will not be listed or displayed on any securities exchange or any automated quotation system. Although WFS and/or its affiliates may buy the securities from investors, they are not obligated to do so and are not required to make a market
for the securities. There can be no assurance that a secondary market will develop.
The securities are not designed for, and may not be a suitable investment for, investors who:
On each quarterly contingent coupon payment date, you will either receive a contingent coupon payment or you
will not receive a contingent coupon payment, depending on the stock closing price of the lowest performing Underlying Stock on the related quarterly calculation day.
On the stated maturity date, if the securities have not been automatically called prior to the stated
maturity date, you will receive (in addition to the final contingent coupon payment, if any) a cash payment per security (the redemption amount) calculated as follows:
The following profile illustrates the potential payment at stated maturity on the securities (excluding the
final contingent coupon payment, if any) for a range of hypothetical performances of the lowest performing Underlying Stock on the final calculation day from its starting price to its ending price, assuming the securities have not been automatically
called prior to the stated maturity date. This graph has been prepared for purposes of illustration only. Your actual return will depend on the actual ending price of the lowest performing Underlying Stock on the final calculation day and whether
you hold your securities to stated maturity. The performance of the better performing Underlying Stocks is not relevant to your return on the securities.
The U.S. Federal Tax Consequences Of An Investment In The Securities Are Unclear.
There is no direct legal authority as to the proper U.S. federal tax treatment of the securities, and we do not intend to request a ruling from
the Internal Revenue Service (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 described in this
pricing supplement under United States Federal Tax Considerations. If the IRS were successful in asserting an alternative treatment, the tax consequences of ownership and disposition of the securities might be materially and adversely
affected.
Non-U.S.
holders should note that persons having withholding responsibility in
respect of the securities may withhold on any coupon payment paid to a
non-U.S.
holder, generally at a rate of 30%. To the extent that we have withholding responsibility in respect of the securities, we intend
to so withhold.
In addition, 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 IRS
regulations providing a general exemption for financial instruments issued in 2017 that do not have a delta of one, the securities should not be subject to withholding under Section 871(m). However, the IRS could challenge this
conclusion.
We will not be required to pay any additional amounts with respect to amounts withheld.
You should read carefully the discussion under United States Federal Tax Considerations in this pricing supplement and consult your
tax adviser regarding the U.S. federal tax consequences of an investment in the securities.
PRS-17
Market Linked SecuritiesAuto-Callable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to Lowest Performing of the Class B Common Stock of
NIKE, Inc., the Common Stock of Intel Corporation and the Class B Common Stock of Berkshire
Hathaway Inc. due July 30, 2020
If the securities are automatically called:
If the securities are automatically called prior to stated maturity, you will receive the original offering price of your securities plus a
final contingent coupon payment on the call settlement date. In the event the securities are automatically called, your total return on the securities will equal any contingent coupon payments received prior to the call settlement date and the
contingent coupon payment received on the call settlement date.
If the securities are not automatically called:
If the securities are not automatically called prior to stated maturity, the following table illustrates, for a range of hypothetical
performance factors of the lowest performing Underlying Stock on the final calculation day, the hypothetical redemption amount payable at stated maturity per security (excluding the final contingent coupon payment, if any). The performance factor of
the lowest performing Underlying Stock on the final calculation day is its ending price expressed as a percentage of its starting price (i.e., its ending price
divided by
its starting price).
|
|
|
Hypothetical performance factor of
lowest performing Underlying Stock
on final calculation day
|
|
Hypothetical payment at stated
maturity per security
|
175.00%
|
|
$1,000.00
|
160.00%
|
|
$1,000.00
|
150.00%
|
|
$1,000.00
|
140.00%
|
|
$1,000.00
|
130.00%
|
|
$1,000.00
|
120.00%
|
|
$1,000.00
|
110.00%
|
|
$1,000.00
|
100.00%
|
|
$1,000.00
|
90.00%
|
|
$1,000.00
|
80.00%
|
|
$1,000.00
|
70.00%
|
|
$1,000.00
|
65.00%
|
|
$1,000.00
|
64.00%
|
|
$640.00
|
60.00%
|
|
$600.00
|
50.00%
|
|
$500.00
|
40.00%
|
|
$400.00
|
25.00%
|
|
$250.00
|
The above figures do not take into account contingent coupon payments, if any, received during the term of the
securities. As evidenced above, in no event will you have a positive rate of return based solely on the redemption amount received at maturity; any positive return will be based solely on the contingent coupon payments, if any, received during the
term of the securities.
The above figures are for purposes of illustration only and may have been rounded for ease of analysis. If the
securities are not automatically called prior to stated maturity, the actual amount you will receive at stated maturity will depend on the actual ending price of the lowest performing Underlying Stock on the final calculation day. The performance of
the better performing Underlying Stocks is not relevant to your return on the securities.
PRS-18
Market Linked SecuritiesAuto-Callable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to Lowest Performing of the Class B Common Stock of
NIKE, Inc., the Common Stock of Intel Corporation and the Class B Common Stock of Berkshire
Hathaway Inc. due July 30, 2020
|
Hypothetical Contingent Coupon Payments
|
Set forth below are three examples that illustrate how to determine whether a contingent coupon payment will be
paid and whether the securities will be automatically called on a quarterly contingent coupon payment date prior to the stated maturity date. The examples do not reflect any specific quarterly contingent coupon payment date. The following examples
assume the hypothetical stock closing price for each Underlying Stock indicated in the examples. 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. The stock closing price of the lowest performing Underlying Stock on the relevant calculation day is greater than or equal
to its threshold price and less than its starting price. As a result, investors receive a contingent coupon payment on the applicable quarterly contingent coupon payment date and the securities are not automatically called.
|
|
|
|
|
|
|
|
|
The Class B
Common Stock of
NIKE, Inc.
|
|
The Common Stock
of Intel
Corporation
|
|
The Class B
Common Stock
of Berkshire
Hathaway Inc.
|
Starting price:
|
|
$59.39
|
|
$34.67
|
|
$172.94
|
Hypothetical stock closing price
on relevant calculation day:
|
|
$53.45
|
|
$32.94
|
|
$138.35
|
Threshold price:
|
|
$38.6035
|
|
$22.5355
|
|
$112.411
|
Performance factor (stock closing price on calculation day
divided
by
starting price):
|
|
90.00%
|
|
95.00%
|
|
80.00%
|
Step 1
: Determine which Underlying Stock is the lowest performing Underlying Stock on
the relevant calculation day.
In this example, the Class B common stock of Berkshire Hathaway Inc. has the lowest
performance factor and is, therefore, the lowest performing Underlying Stock on the relevant calculation day.
Step
2
: Determine whether a contingent coupon payment will be paid and whether the securities will be automatically called on the applicable quarterly contingent coupon payment date.
Since the hypothetical stock closing price of the lowest performing Underlying Stock on the relevant calculation day is greater
than or equal to its threshold price, but less than its starting price, you would receive a contingent coupon payment on the applicable contingent coupon payment date and the securities would not be automatically called. The contingent coupon
payment would be equal to $22.63 per security, which is the product of $1,000 × 9.05% per annum × (90/360), rounded to the nearest cent.
Example 2. The stock closing price of the lowest performing Underlying Stock on the relevant calculation day is less than its threshold price. As a
result, investors do not receive a contingent coupon payment on the applicable quarterly contingent coupon payment date and the securities are not automatically called.
|
|
|
|
|
|
|
|
|
The Class B
Common Stock of
NIKE, Inc.
|
|
The Common Stock
of Intel
Corporation
|
|
The Class B
Common Stock
of Berkshire
Hathaway Inc.
|
Starting price:
|
|
$59.39
|
|
$34.67
|
|
$172.94
|
Hypothetical stock closing price
on relevant calculation day:
|
|
$38.01
|
|
$43.34
|
|
$181.59
|
Threshold price:
|
|
$38.6035
|
|
$22.5355
|
|
$112.411
|
Performance factor (stock closing price on calculation day
divided
by
starting price):
|
|
64.00%
|
|
125.00%
|
|
105.00%
|
Step 1
: Determine which Underlying Stock is the lowest performing Underlying Stock on
the relevant calculation day.
In this example, the Class B common stock of NIKE, Inc. has the lowest performance
factor and is, therefore, the lowest performing Underlying Stock on the relevant calculation day.
PRS-19
Market Linked SecuritiesAuto-Callable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to Lowest Performing of the Class B Common Stock of
NIKE, Inc., the Common Stock of Intel Corporation and the Class B Common Stock of Berkshire
Hathaway Inc. due July 30, 2020
|
Hypothetical Contingent Coupon Payments (Continued)
|
Step 2
: Determine whether a contingent coupon payment will be paid and whether the
securities will be automatically called on the applicable quarterly contingent coupon payment date.
Since the hypothetical stock closing
price of the lowest performing Underlying Stock on the relevant calculation day is less than its threshold price, you would not receive a contingent coupon payment on the applicable contingent coupon payment date. In addition, the securities would
not be automatically called, even though the stock closing prices of the better performing Underlying Stocks on the relevant calculation day are greater than their starting prices. As this example illustrates, whether you receive a contingent coupon
payment and whether the securities are automatically called on a quarterly contingent coupon payment date will depend solely on the stock closing price of the lowest performing Underlying Stock on the relevant calculation day. The performance of the
better performing Underlying Stocks is not relevant to your return on the securities.
Example 3. The stock closing price of the
lowest performing Underlying Stock on the relevant calculation day is greater than or equal to its starting price. As a result, the securities are automatically called on the applicable quarterly contingent coupon payment date for the original
offering price plus a final contingent coupon payment.
|
|
|
|
|
|
|
|
|
The Class B
Common Stock of
NIKE, Inc.
|
|
The Common Stock
of Intel
Corporation
|
|
The Class B
Common Stock
of Berkshire
Hathaway Inc.
|
Starting price:
|
|
$59.39
|
|
$34.67
|
|
$172.94
|
Hypothetical stock closing price
on relevant calculation day:
|
|
$68.30
|
|
$36.40
|
|
$224.82
|
Threshold price:
|
|
$38.6035
|
|
$22.5355
|
|
$112.411
|
Performance factor (stock closing price on calculation day
divided
by
starting price):
|
|
115.00%
|
|
105.00%
|
|
130.00%
|
Step 1
: Determine which Underlying Stock is the lowest performing Underlying Stock on
the relevant calculation day.
In this example, the common stock of Intel Corporation has the lowest performance factor and
is, therefore, the lowest performing Underlying Stock on the relevant calculation day.
Step 2
: Determine whether a
contingent coupon payment will be paid and whether the securities will be automatically called on the applicable quarterly contingent coupon payment date.
Since the hypothetical stock closing price of the lowest performing Underlying Stock on the relevant calculation day is greater
than or equal to its starting price, the securities would be automatically called and you would receive the original offering price plus a final contingent coupon payment on the applicable contingent coupon payment date, which is also referred to as
the call settlement date. On the call settlement date, you would receive $1,022.63 per security.
If the securities are
automatically called prior to maturity, you will not receive any further payments after the call settlement date.
PRS-20
Market Linked SecuritiesAuto-Callable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to Lowest Performing of the Class B Common Stock of
NIKE, Inc., the Common Stock of Intel Corporation and the Class B Common Stock of Berkshire
Hathaway Inc. due July 30, 2020
|
Hypothetical Payment at Maturity
|
Set forth below are three examples of calculations of the redemption amount payable at stated maturity,
assuming that the securities have not been automatically called prior to stated maturity and assuming the hypothetical ending price for each Underlying Stock indicated in the examples. 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. The ending price of the lowest performing Underlying Stock on
the final calculation day is greater than its starting price, the redemption amount is equal to the original offering price of your securities at maturity and you receive a final contingent coupon payment:
|
|
|
|
|
|
|
|
|
The Class B
Common Stock of
NIKE, Inc.
|
|
The Common Stock
of Intel
Corporation
|
|
The Class B
Common Stock
of Berkshire
Hathaway Inc.
|
Starting price:
|
|
$59.39
|
|
$34.67
|
|
$172.94
|
Hypothetical ending
price:
|
|
$86.12
|
|
$46.80
|
|
$216.18
|
Threshold price:
|
|
$38.6035
|
|
$22.5355
|
|
$112.411
|
Performance factor (ending price
divided by
starting
price):
|
|
145.00%
|
|
135.00%
|
|
125.00%
|
Step 1
: Determine which Underlying Stock is the lowest performing Underlying Stock on
the final calculation day.
In this example, the Class B common stock of Berkshire Hathaway Inc. has the lowest
performance factor and is, therefore, the lowest performing Underlying Stock on the final calculation day.
Step 2
:
Determine the redemption amount based on the ending price of the lowest performing Underlying Stock on the final calculation day.
Since the hypothetical ending price of the lowest performing Underlying Stock on the final calculation day is greater than its
threshold price, the redemption amount would equal the original offering price. Although the hypothetical ending price of the lowest performing Underlying Stock on the final calculation day is significantly greater than its starting price in this
scenario, the redemption amount will not exceed the original offering price.
In addition to any contingent coupon payments
received during the term of the securities, on the stated maturity date you would receive $1,000 per security as well as a final contingent coupon payment.
Example 2. The ending price of the lowest performing Underlying Stock on the final calculation day is less than its starting price but greater than its
threshold price, the redemption amount is equal to the original offering price of your securities at maturity and you receive a final contingent coupon payment:
|
|
|
|
|
|
|
|
|
The Class B
Common Stock of
NIKE, Inc.
|
|
The Common
Stock of Intel
Corporation
|
|
The Class B
Common Stock of
Berkshire
Hathaway Inc.
|
Starting price:
|
|
$59.39
|
|
$34.67
|
|
$172.94
|
Hypothetical ending
price:
|
|
$47.51
|
|
$39.87
|
|
$190.23
|
Threshold price:
|
|
$38.6035
|
|
$22.5355
|
|
$112.411
|
Performance factor (ending price
divided by
starting
price):
|
|
80.00%
|
|
115.00%
|
|
110.00%
|
Step 1
: Determine which Underlying Stock is the lowest performing Underlying Stock on
the final calculation day.
In this example, the Class B common stock of NIKE, Inc. has the lowest performance factor
and is, therefore, the lowest performing Underlying Stock on the final calculation day.
PRS-21
Market Linked SecuritiesAuto-Callable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to Lowest Performing of the Class B Common Stock of
NIKE, Inc., the Common Stock of Intel Corporation and the Class B Common Stock of Berkshire
Hathaway Inc. due July 30, 2020
|
Hypothetical Payment at Maturity (Continued)
|
Step 2
: Determine the redemption amount based on the ending price of
the lowest performing Underlying Stock on the final calculation day.
Since the hypothetical ending price of the lowest performing
Underlying Stock is less than its starting price, but not by more than 35%, you would be repaid the original offering price of your securities at maturity.
In addition to any contingent coupon payments received during the term of the securities, on the stated maturity date you would receive $1,000
per security as well as a final contingent coupon payment.
Example 3. The ending price of the lowest performing Underlying Stock on the final
calculation day is less than its threshold price, the redemption amount is less than the original offering price of your securities at maturity and you do not receive a final contingent coupon payment:
|
|
|
|
|
|
|
|
|
The Class B
Common Stock
of NIKE, Inc.
|
|
The Common
Stock of Intel
Corporation
|
|
The Class B
Common Stock of
Berkshire
Hathaway Inc.
|
Starting price:
|
|
$59.39
|
|
$34.67
|
|
$172.94
|
Hypothetical ending
price:
|
|
$71.27
|
|
$15.60
|
|
$155.65
|
Threshold price:
|
|
$38.6035
|
|
$22.5355
|
|
$112.411
|
Performance factor (ending price
divided by
starting
price):
|
|
120.00%
|
|
45.00%
|
|
90.00%
|
Step 1
: Determine which Underlying Stock is the lowest performing Underlying Stock on
the final calculation day.
In this example, the common stock of Intel Corporation has the lowest performance factor and
is, therefore, the lowest performing Underlying Stock on the final calculation day.
Step 2
: Determine the
redemption amount based on the ending price of the lowest performing Underlying Stock on the final calculation day.
Since
the hypothetical ending price of the lowest performing Underlying Stock on the final calculation day is less than its starting price by more than 35%, you would lose a portion of the original offering price of your securities and receive the
redemption amount equal to $450.00 per security, calculated as follows:
= $1,000 × performance factor of the lowest
performing Underlying Stock on the final calculation day
= $1,000 × 45.00%
= $450.00
In addition to any contingent coupon payments received during the term of the securities, on the stated maturity date you would
receive $450.00 per security, but no final contingent coupon payment.
These examples illustrate that you will not participate in any
appreciation of any Underlying Stock, but will be fully exposed to a decrease in the lowest performing Underlying Stock if the ending price of the lowest performing Underlying Stock on the final calculation day is less than its threshold price, even
if the ending prices of the other Underlying Stocks have appreciated or have not declined below their respective threshold price.
To the
extent that the ending price of the lowest performing Underlying Stock differs from the values assumed above, the results indicated above would be different.
PRS-22
Market Linked SecuritiesAuto-Callable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to Lowest Performing of the Class B Common Stock of
NIKE, Inc., the Common Stock of Intel Corporation and the Class B Common Stock of Berkshire
Hathaway Inc. due July 30, 2020
|
Additional Terms of the Securities
|
Wells Fargo will issue the securities as part of a series of senior unsecured debt securities entitled
Medium-Term Notes, Series K, which is more fully described in the prospectus supplement. Information included in this pricing supplement supersedes information in the prospectus supplement and prospectus to the extent that it is
different from that information.
Certain Definitions
A
trading day
with respect to an Underlying Stock means a day, as determined by the calculation agent, on which trading is
generally conducted on the principal trading market for such Underlying Stock (as determined by the calculation agent, in its sole discretion), the Chicago Mercantile Exchange and the Chicago Board Options Exchange and in the
over-the-counter
market for equity securities in the United States.
The
c
losing
p
rice
for one share of any Underlying Stock (or one unit of any other security for which a
closing price must be determined) on any trading day means:
|
|
|
if such Underlying Stock (or any such other security) is listed or admitted to trading on a national
securities exchange, the official closing price on such day published by the principal United States securities exchange registered under the Exchange Act on which such Underlying Stock (or any such other security) is listed or admitted to trading;
or
|
|
|
|
if such Underlying Stock (or any such other security) is not listed or admitted to trading on any national
securities exchange but is included in the OTC Bulletin Board Service (the
OTC Bulletin Board
) operated by the Financial Industry Regulatory Authority, Inc. (
FINRA
), the last reported sale price of the principal
trading session on the OTC Bulletin Board on such day.
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If such Underlying Stock (or any such other security) is listed
or admitted to trading on any national securities exchange but the official closing price is not available pursuant to the preceding sentence, then the closing price for one share of such Underlying Stock (or one unit of any such other security) on
any trading day will mean the last reported sale price of the principal trading session on the
over-the-counter
market as reported on the OTC Bulletin Board on such day.
If the official closing price or the last reported sale price, as applicable, for such Underlying Stock (or any such other security) is
not available pursuant to either of the two preceding sentences, then the closing price per share for any trading day will be the mean, as determined by the calculation agent, of the bid price for such Underlying Stock (or any such other security)
obtained from as many recognized dealers in such security, but not exceeding three, as will make such bid prices available to the calculation agent. Bids of WFS or any of its affiliates may be included in the calculation of such mean, but only to
the extent that any such bid is the highest of the bids obtained. The term
OTC Bulletin Board Service
will include any successor service thereto or, if the OTC Bulletin Board Service is discontinued and there is no successor
service thereto, the OTC Reporting Facility operated by FINRA.
Calculation Agent
Wells Fargo Securities, LLC, one of our subsidiaries, 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 whether the securities are automatically called prior to stated maturity, the amount of the payment you
receive upon automatic call or at stated maturity and the contingent coupon payments, if any. In addition, the calculation agent will, among other things:
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determine whether a market disruption event has occurred;
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determine the closing prices of the Underlying Stocks under certain circumstances;
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determine if adjustments are required to the closing price or adjustment factor of an Underlying Stock under
various circumstances; and
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under certain circumstances, select a replacement stock for an Underlying Stock.
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All determinations made by the calculation agent will be at the sole discretion of the calculation agent and, in the absence of manifest error,
will be conclusive for all purposes and binding on us and you. The calculation agent will have no liability for its determinations.
PRS-23
Market Linked SecuritiesAuto-Callable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to Lowest Performing of the Class B Common Stock of
NIKE, Inc., the Common Stock of Intel Corporation and the Class B Common Stock of Berkshire
Hathaway Inc. due July 30, 2020
|
Additional Terms of the Securities (Continued)
|
Market Disruption Events
A
market disruption event
means, with respect to an Underlying Stock, the occurrence or existence of any of the following
events:
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a suspension, absence or material limitation of trading in such Underlying Stock on its primary market for
more than two hours of trading or during the
one-half
hour before the close of trading in that market, as determined by the calculation agent in its sole discretion;
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a suspension, absence or material limitation of trading in option or futures contracts relating to such
Underlying Stock, if available, in the primary market for those contracts for more than two hours of trading or during the
one-half
hour before the close of trading in that market, as determined by the
calculation agent in its sole discretion;
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such Underlying Stock does not trade on the New York Stock Exchange, the NASDAQ Global Select Market, the
NASDAQ Global Market or what was the primary market for such Underlying Stock, as determined by the calculation agent in its sole discretion; or
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any other event, if the calculation agent determines in its sole discretion that the event materially
interferes with our ability or the ability of any of our affiliates to unwind all or a material portion of a hedge with respect to the securities that we or our affiliates have effected or may effect.
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The following events will not be market disruption events:
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a limitation on the hours or number of days of trading in such Underlying Stock in its primary market, but
only if the limitation results from an announced change in the regular business hours of the relevant market; and
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a decision to permanently discontinue trading in the option or futures contracts relating to such Underlying
Stock.
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For this purpose, a suspension, absence or material limitation of trading in the applicable market
will not include any time when that market is itself closed for trading under ordinary circumstances. In contrast, a suspension, absence or material limitation of trading in the applicable market for such Underlying Stock or option or
futures contracts relating to such Underlying Stock, as applicable, by reason of any of:
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a price change exceeding limits set by that market;
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an imbalance of orders relating to such Underlying Stock or those contracts; or
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a disparity in bid and asked quotes relating to such Underlying Stock or those contracts
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will constitute a suspension, absence or material limitation of trading in such Underlying Stock or those
contracts, as the case may be, in the applicable market.
If a market disruption event occurs or is continuing with respect to an
Underlying Stock on any calculation day, then such calculation day for such Underlying Stock will be postponed to the first succeeding trading day for such Underlying Stock on which a market disruption event for such Underlying Stock has not
occurred and is not continuing; however, if such first succeeding trading day has not occurred as of the eighth trading day for such Underlying Stock after the originally scheduled calculation day, that eighth trading day shall be deemed to be the
calculation day for such Underlying Stock. If a calculation day has been postponed eight trading days for an Underlying Stock after the originally scheduled calculation day and a market disruption event occurs or is continuing with respect to such
Underlying Stock on such eighth trading day, the calculation agent will determine the closing price of such Underlying Stock on such eighth trading day by using its good faith estimate of the closing price that would have prevailed for such
Underlying Stock on such day. Notwithstanding the postponement of a calculation day for an Underlying Stock due to a market disruption event with respect to such Underlying Stock on such calculation day, the originally scheduled calculation day will
remain the calculation day for any Underlying Stock not affected by a market disruption event on such day.
PRS-24
Market Linked SecuritiesAuto-Callable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to Lowest Performing of the Class B Common Stock of
NIKE, Inc., the Common Stock of Intel Corporation and the Class B Common Stock of Berkshire
Hathaway Inc. due July 30, 2020
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Additional Terms of the Securities (Continued)
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Adjustment Events
The adjustment factor for each Underlying Stock is initially 1.0. However, the adjustment factor for each Underlying Stock is subject to
adjustment by the calculation agent as a result of the dilution and reorganization events described in this section. The adjustments described below do not cover all events that could affect the Underlying Stocks and, consequently, the value of your
securities, such as a tender or exchange offer by the applicable Underlying Stock Issuer for such Underlying Stock at a premium to its market price or a tender or exchange offer made by a third party for less than all outstanding shares of such
Underlying Stock. We describe the risks relating to dilution above under Risk FactorsYou Have Limited Antidilution Protection.
How
adjustments will be made
If one of the events described below occurs with respect to an Underlying Stock and the calculation agent
determines that the event has a dilutive or concentrative effect on the market price of such Underlying Stock, the calculation agent will calculate a corresponding adjustment to the adjustment factor for such Underlying Stock as the calculation
agent deems appropriate to account for that dilutive or concentrative effect. For example, if an adjustment is required because of a
two-for-one
stock split, then the
adjustment factor for such Underlying Stock will be adjusted by the calculation agent by multiplying the existing adjustment factor by a fraction whose numerator is the number of shares of such Underlying Stock outstanding immediately after the
stock split and whose denominator is the number of shares of such Underlying Stock outstanding immediately prior to the stock split. Consequently, the adjustment factor for such Underlying Stock will be adjusted to double the prior adjustment
factor, due to the corresponding decrease in the market price of such Underlying Stock. Adjustments will be made for events with an effective date or
ex-dividend
date, as applicable, from but excluding the
pricing date to and including the applicable calculation day (the
adjustment period
).
The calculation agent will also
determine the effective date of that adjustment, and the replacement of an Underlying Stock, if applicable, in the event of a consolidation or merger or certain other events in respect of the applicable Underlying Stock Issuer. Upon making any such
adjustment, the calculation agent will give notice as soon as practicable to the trustee and the paying agent, stating the adjustment to the adjustment factor of such Underlying Stock. The calculation agent will not be required to make any
adjustments to the adjustment factor for purposes of calculating the stock closing price for a calculation day after the close of business on the such calculation day;
provided that
any such adjustments to the adjustment factor will be taken
into account for purposes of determining the stock closing price for any subsequent calculation day. In no event, however, will an antidilution adjustment to the adjustment factor of any Underlying Stock during the term of the securities be deemed
to change the face amount per security.
If more than one event requiring adjustment occurs with respect to an Underlying Stock, the
calculation agent will make an adjustment for each event in the order in which the events occur, and on a cumulative basis. Thus, having made an adjustment for the first event, the calculation agent will adjust the adjustment factor for such
Underlying Stock for the second event, applying the required adjustment to the adjustment factor for such Underlying Stock as already adjusted for the first event, and so on for any subsequent events.
For any dilution event described below, other than a consolidation or merger, the calculation agent will not have to adjust the adjustment
factor for an Underlying Stock unless the adjustment would result in a change to the adjustment factor of such Underlying Stock then in effect of at least 0.10%. The adjustment factor of such Underlying Stock resulting from any adjustment will be
rounded up or down, as appropriate, to the nearest
one-hundred
thousandth.
If an event requiring
an antidilution adjustment occurs with respect to an Underlying Stock, the calculation agent will make the adjustment with a view to offsetting, to the extent practical, any change in your economic position relative to your securities that results
solely from that event. The calculation agent may, in its sole discretion, modify the antidilution adjustments as necessary to ensure an equitable result.
The calculation agent will make all determinations with respect to antidilution adjustments, including any determination as to whether an event
requiring adjustment has occurred with respect to an Underlying Stock, as to the nature of the adjustment required for such Underlying Stock and how it will be made or as to the value of any property distributed in a reorganization event, and will
do so in its sole discretion. In the absence of manifest error, those determinations will be conclusive for all purposes and will be binding on you and us, without any liability on the part of the calculation agent. You will not be entitled to any
compensation from us for any loss suffered as a result of any of these determinations by the calculation agent. The calculation agent will provide information about the adjustments that it makes upon your written request.
If any of the adjustments specified below is required to be made with respect to an amount or value of any cash or other property that is
distributed by an Underlying Stock Issuer organized outside the United States, such amount or value will be converted to U.S. dollars, as applicable, and will be reduced by any applicable foreign withholding taxes that would apply to such
distribution if such distribution were paid to a U.S. person that is eligible for the benefits of an applicable income tax treaty, if any, between the United
PRS-25
Market Linked SecuritiesAuto-Callable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to Lowest Performing of the Class B Common Stock of
NIKE, Inc., the Common Stock of Intel Corporation and the Class B Common Stock of Berkshire
Hathaway Inc. due July 30, 2020
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Additional Terms of the Securities (Continued)
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States and the jurisdiction of organization of such Underlying Stock Issuer, as determined by the calculation agent, in its sole discretion.
No adjustments will be made for certain other events, such as offerings of common stock by an Underlying Stock Issuer for cash or in connection
with the occurrence of a partial tender or exchange offer for an Underlying Stock by the Underlying Stock Issuer of such Underlying Stock or any other person.
Stock Splits and Reverse Stock Splits
A stock split is an increase in the number of a corporations outstanding shares of stock without any change in its stockholders
equity. Each outstanding share will be worth less as a result of a stock split.
A reverse stock split is a decrease in the number of a
corporations outstanding shares of stock without any change in its stockholders equity. Each outstanding share will be worth more as a result of a reverse stock split.
If an Underlying Stock is subject to a stock split or a reverse stock split, then once the split has become effective the calculation agent
will adjust the adjustment factor for such Underlying Stock to equal the product of the prior adjustment factor of such Underlying Stock and the number of shares issued in such stock split or reverse stock split with respect to one share of such
Underlying Stock.
Stock Dividends
In a stock dividend, a corporation issues additional shares of its stock to all holders of its outstanding stock in proportion to the shares
they own. Each outstanding share will be worth less as a result of a stock dividend.
If an Underlying Stock is subject to a stock dividend
payable in shares of such Underlying Stock that is given ratably to all holders of shares of such Underlying Stock, then once the dividend has become effective the calculation agent will adjust the adjustment factor for such Underlying Stock on the
ex-dividend
date to equal the sum of the prior adjustment factor for such Underlying Stock and the product of:
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the number of shares issued with respect to one share of such Underlying Stock, and
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the prior adjustment factor for such Underlying Stock.
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The
ex-dividend
date
for any dividend or other distribution is the first day on and
after which such Underlying Stock trades without the right to receive that dividend or distribution.
No Adjustments for Other Dividends and
Distributions
The adjustment factor for an Underlying Stock will not be adjusted to reflect dividends, including cash dividends,
or other distributions paid with respect to such Underlying Stock, other than:
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stock dividends described above,
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issuances of transferable rights and warrants as described in Transferable Rights and
Warrants below,
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distributions that are
spin-off
events described in
Reorganization Events below, and
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extraordinary dividends described below.
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An
extraordinary dividend
means each of (a) the full amount per share of an Underlying Stock of any cash dividend or
special dividend or distribution that is identified by the applicable Underlying Stock Issuer as an extraordinary or special dividend or distribution, (b) the excess of any cash dividend or other cash distribution (that is not otherwise
identified by the applicable Underlying Stock Issuer as an extraordinary or special dividend or distribution) distributed per share of such Underlying Stock over the immediately preceding cash dividend or other cash distribution, if any, per share
of such Underlying Stock that did not include an extraordinary or special dividend (as adjusted for any subsequent corporate event requiring an adjustment as described in this section, such as a stock split or reverse stock split) if such excess
portion of the dividend or distribution is more than 5.00% of the closing price of such Underlying Stock on the trading day preceding the
ex-dividend
date for the payment of such cash dividend or other cash
distribution (such closing price, the
extraordinary dividend base closing price
) and (c) the full cash value of any
non-cash
dividend or distribution per share of such Underlying Stock
(excluding marketable securities, as defined below).
If an Underlying Stock is subject to an extraordinary dividend, then once the
extraordinary dividend has become effective the calculation agent will adjust the adjustment factor for such Underlying Stock on the
ex-dividend
date to equal the product of:
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the prior adjustment factor for such Underlying Stock, and
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PRS-26
Market Linked SecuritiesAuto-Callable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to Lowest Performing of the Class B Common Stock of
NIKE, Inc., the Common Stock of Intel Corporation and the Class B Common Stock of Berkshire
Hathaway Inc. due July 30, 2020
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Additional Terms of the Securities (Continued)
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a fraction, the numerator of which is the extraordinary dividend base closing price of such Underlying Stock
on the trading day preceding the
ex-dividend
date and the denominator of which is the amount by which the extraordinary dividend base closing price of such Underlying Stock on the trading day preceding the ex
dividend date exceeds the extraordinary dividend.
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Notwithstanding anything herein, the initiation by an Underlying Stock
Issuer of an ordinary dividend on such Underlying Stock or any announced increase in the ordinary dividend on such Underlying Stock will not constitute an extraordinary dividend requiring an adjustment.
To the extent an extraordinary dividend is not paid in cash or is paid in a currency other than U.S. dollars, the value of the
non-cash
component or
non-U.S.
currency will be determined by the calculation agent, in its sole discretion. A distribution on an Underlying Stock that is a dividend payable
in shares of such Underlying Stock, an issuance of rights or warrants or a
spin-off
event and also an extraordinary dividend will result in an adjustment to the number of shares of such Underlying Stock only
as described in Stock Dividends above, Transferable Rights and Warrants below or Reorganization Events below, as the case may be, and not as described here.
Transferable Rights and Warrants
If an Underlying Stock Issuer issues transferable rights or warrants to all holders of such Underlying Stock to subscribe for or purchase such
Underlying Stock at an exercise price per share that is less than the closing price of such Underlying Stock on the trading day before the
ex-dividend
date for the issuance, then the adjustment factor for such
Underlying Stock will be adjusted to equal the product of:
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the prior adjustment factor for such Underlying Stock, and
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a fraction, (1) the numerator of which will be the number of shares of such Underlying Stock outstanding
at the close of trading on the trading day before the
ex-dividend
date (as adjusted for any subsequent event requiring an adjustment hereunder) plus the number of additional shares of such Underlying Stock
offered for subscription or purchase pursuant to the rights or warrants and (2) the denominator of which will be the number of shares of such Underlying Stock outstanding at the close of trading on the trading day before the
ex-dividend
date (as adjusted for any subsequent event requiring an adjustment hereunder) plus the number of additional shares of such Underlying Stock (referred to herein as the
additional
shares
) that the aggregate offering price of the total number of shares of such Underlying Stock so offered for subscription or purchase pursuant to the rights or warrants would purchase at the closing price on the trading day before the
ex-dividend
date for the issuance.
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The number of additional shares will be equal to:
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the product of (1) the total number of additional shares of such Underlying Stock offered for
subscription or purchase pursuant to the rights or warrants and (2) the exercise price of the rights or warrants, divided by
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the closing price of such Underlying Stock on the trading day before the
ex-dividend
date for the issuance.
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If the number of shares of such Underlying
Stock actually delivered in respect of the rights or warrants differs from the number of shares of such Underlying Stock offered in respect of the rights or warrants, then the adjustment factor for such Underlying Stock will promptly be readjusted
to the adjustment factor for such Underlying Stock that would have been in effect had the adjustment been made on the basis of the number of shares of such Underlying Stock actually delivered in respect of the rights or warrants.
Reorganization Events
Each of the
following is a reorganization event with respect to an Underlying Stock:
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such Underlying Stock is reclassified or changed (other than in a stock split or reverse stock split),
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the applicable Underlying Stock Issuer has been subject to a merger, consolidation or other combination and
either is not the surviving entity or is the surviving entity but all outstanding shares of such Underlying Stock are exchanged for or converted into other property,
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a statutory share exchange involving outstanding shares of such Underlying Stock and the securities of another
entity occurs, other than as part of an event described above,
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the applicable Underlying Stock Issuer sells or otherwise transfers its property and assets as an entirety or
substantially as an entirety to another entity,
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PRS-27
Market Linked SecuritiesAuto-Callable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to Lowest Performing of the Class B Common Stock of
NIKE, Inc., the Common Stock of Intel Corporation and the Class B Common Stock of Berkshire
Hathaway Inc. due July 30, 2020
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Additional Terms of the Securities (Continued)
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the applicable Underlying Stock Issuer effects a
spin-off,
other than
as part of an event described above (in a
spin-off,
a corporation issues to all holders of its common stock equity securities of another issuer), or
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the applicable Underlying Stock Issuer is liquidated, dissolved or wound up or is subject to a proceeding
under any applicable bankruptcy, insolvency or other similar law, or another entity completes a tender or exchange offer for all the outstanding shares of such Underlying Stock.
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Adjustments for Reorganization Events
If a reorganization event occurs with respect to an Underlying Stock, then the calculation agent will adjust the adjustment factor for such
Underlying Stock to reflect the amount and type of property or propertieswhether cash, securities, other property or a combination thereofthat a holder of one share of such Underlying Stock would have been entitled to receive in relation
to the reorganization event. We refer to this new property as the
reorganization property
.
Reorganization property can
be classified into two categories:
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an equity security listed on a national securities exchange, which we refer to generally as a
marketable security
and, in connection with a particular reorganization event,
new stock
, which may include any tracking stock, any stock received in a
spin-off
(
spin-off
stock
) or any marketable security received in exchange for the applicable Underlying Stock; and
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cash and any other property, assets or securities other than marketable securities (including equity
securities that are not listed, that are traded over the counter or that are listed on a
non-U.S.
securities exchange), which we refer to as
non-stock
reorganization property
.
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For the purpose of making an adjustment required by a reorganization event, the
calculation agent, in its sole discretion, will determine the value of each type of the reorganization property. For purposes of valuing any new stock, the calculation agent will use the closing price of the security on the relevant trading day. The
calculation agent will value
non-stock
reorganization property in any manner it determines, in its sole discretion, to be appropriate. In connection with a reorganization event in which reorganization property
includes new stock, for the purpose of determining the adjustment factor for any new stock as described below, the term
new stock reorganization ratio
means the product of (i) the number of shares of the new stock received
with respect to one share of such Underlying Stock and (ii) the adjustment factor for the applicable Underlying Stock on the trading day immediately prior to the effective date of the reorganization event.
If a holder of shares of the applicable Underlying Stock may elect to receive different types or combinations of types of reorganization
property in the reorganization event, the reorganization property will consist of the types and amounts of each type distributed to a holder of shares of such Underlying Stock that makes no election, as determined by the calculation agent in its
sole discretion.
If any reorganization event occurs with respect to an Underlying Stock, then on and after the effective date for such
reorganization event (or, if applicable, in the case of
spin-off
stock, the
ex-dividend
date for the distribution of such
spin-off
stock) the term
Underlying Stock
in this pricing supplement will be deemed to mean the following with respect to such Underlying Stock, and for each share of such Underlying Stock,
new stock and/or replacement stock so deemed to constitute such Underlying Stock, the adjustment factor for such Underlying Stock will be equal to the applicable number indicated:
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(a)
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if such Underlying Stock continues to be outstanding:
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(1)
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that Underlying Stock (if applicable, as reclassified upon the issuance of any tracking stock) at the
adjustment factor for such Underlying Stock in effect on the trading day immediately prior to the effective date of the reorganization event; and
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(2)
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if the reorganization property includes new stock, a number of shares of new stock equal to the new stock
reorganization ratio;
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provided
that, if any
non-stock
reorganization property is received in the reorganization event, the results of (a)(1) and (a)(2) above will each be multiplied by the
gross-up
multiplier
, which will be equal to a fraction,
the numerator of which is the closing price of the original Underlying Stock on the trading day immediately prior to the effective date of the reorganization event and the denominator of which is the amount by which such closing price of the
original Underlying Stock exceeds the value of the
non-stock
reorganization property received per share of such Underlying Stock as determined by the calculation agent as of the close of trading on such
trading day; or
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(b)
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if such Underlying Stock is surrendered for reorganization property:
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PRS-28
Market Linked SecuritiesAuto-Callable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to Lowest Performing of the Class B Common Stock of
NIKE, Inc., the Common Stock of Intel Corporation and the Class B Common Stock of Berkshire
Hathaway Inc. due July 30, 2020
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Additional Terms of the Securities (Continued)
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(1)
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that includes new stock, a number of shares of new stock equal to the new stock reorganization ratio; provided
that, if any
non-stock
reorganization property is received in the reorganization event, such number will be multiplied by the
gross-up
multiplier; or
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(2)
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that consists exclusively of
non-stock
reorganization property:
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(i)
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if the surviving entity has marketable securities outstanding following the reorganization event and either
(A) such marketable securities were in existence prior to such reorganization event or (B) such marketable securities were exchanged for previously outstanding marketable securities of the surviving entity or its predecessor
(
predecessor stock
) in connection with such reorganization event (in either case of (A) or (B), the
successor stock
), a number of shares of the successor stock determined by the calculation agent on the
trading day immediately prior to the effective date of such reorganization event equal to the adjustment factor for such Underlying Stock in effect on the trading day immediately prior to the effective date of such reorganization event multiplied by
a fraction, the numerator of which is the value of the
non-stock
reorganization property per share of such Underlying Stock on such trading day and the denominator of which is the closing price of the
successor stock on such trading day (or, in the case of predecessor stock, the closing price of the predecessor stock multiplied by the number of shares of the successor stock received with respect to one share of the predecessor stock); or
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(ii)
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if the surviving entity does not have marketable securities outstanding, or if there is no surviving entity
(in each case, a
replacement stock event
), a number of shares of replacement stock (selected as defined below) with an aggregate value on the effective date of such reorganization event equal to the value of the
non-stock
reorganization property multiplied by the adjustment factor for such Underlying Stock in effect on the trading day immediately prior to the effective date of such reorganization event.
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If a reorganization event occurs with respect to the shares of an Underlying Stock and the calculation agent adjusts the
adjustment factor of such Underlying Stock to reflect the reorganization property in the event as described above, the calculation agent will make further antidilution adjustments for any later events that affect the reorganization property, or any
component of the reorganization property, comprising the new adjustment factor of such Underlying Stock. The calculation agent will do so to the same extent that it would make adjustments if the shares of such Underlying Stock were outstanding and
were affected by the same kinds of events. If a subsequent reorganization event affects only a particular component of the number of shares of such Underlying Stock, the required adjustment will be made with respect to that component as if it alone
were the number of shares of such Underlying Stock.
For purposes of adjustments for reorganization events, in the case of a consummated
tender or exchange offer or going-private transaction involving reorganization property of a particular type, reorganization property will be deemed to include the amount of cash or other property paid by the offeror in the tender or exchange offer
with respect to such reorganization property (in an amount determined on the basis of the rate of exchange in such tender or exchange offer or going-private transaction). In the event of a tender or exchange offer or a going-private transaction with
respect to reorganization property in which an offeree may elect to receive cash or other property, reorganization property will be deemed to include the kind and amount of cash and other property received by offerees who elect to receive cash.
Replacement Stock Events
Following
the occurrence of a replacement stock event described in paragraph (b)(2)(ii) above or in Delisting of American Depositary Shares or Termination of American Depositary Receipt Facility below with respect to an Underlying Stock,
the
stock closing price of the applicable underlying stock on any calculation day on or after the effective date of the replacement stock event will be determined by reference to a replacement stock and an adjustment factor (subject to any
further antidilution adjustments) for such replacement stock as determined in accordance with the following paragraphs.
The
replacement stock
will be the stock having the closest option period volatility to the applicable original Underlying Stock among the stocks that then comprise the replacement stock selection index (or, if publication
of such index is discontinued, any successor or substitute index selected by the calculation agent in its sole discretion) with the same GICS Code (as defined below) as the applicable original Underlying Stock Issuer; provided, however, that a
replacement stock will not include (i) any stock that is subject to a trading restriction under the trading restriction policies of Wells Fargo, the hedging counterparties of Wells Fargo or any of their affiliates that would materially limit
the ability of Wells Fargo, the hedging counterparties of Wells Fargo or any of their affiliates to hedge the securities with respect to such stock or (ii) any stock for which the aggregate number of shares to be referenced by the securities
(equal to the product of (a) (i) $100
divided by
(ii) the starting price of the applicable Underlying Stock, (b) the adjustment factor that would be in effect immediately after selection of such stock as the replacement stock and
(c) (i) the aggregate
PRS-29
Market Linked SecuritiesAuto-Callable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to Lowest Performing of the Class B Common Stock of
NIKE, Inc., the Common Stock of Intel Corporation and the Class B Common Stock of Berkshire
Hathaway Inc. due July 30, 2020
|
Additional Terms of the Securities (Continued)
|
face amount outstanding
divided by
(ii) $1,000) exceeds 25% of the ADTV (as defined in Rule 100(b) of Regulation M under the Exchange Act) for such stock as of the effective date of the
replacement stock event (an
excess ADTV stock
).
If a replacement stock is selected in connection with a reorganization
event for an original Underlying Stock, the adjustment factor with respect to such replacement stock will be equal to the number of shares of such replacement stock with an aggregate value, based on the closing price on the effective date of such
reorganization event, equal to the product of (a) the value of the non stock reorganization property received per share of such original Underlying Stock and (b) the adjustment factor of such Underlying Stock in effect on the trading day
immediately prior to the effective date of such reorganization event. If a replacement stock is selected in connection with an ADS termination event (as defined below), the adjustment factor with respect to such replacement stock will be equal to
the number of shares of such replacement stock with an aggregate value, based on the closing price on the change date (as defined below), equal to the product of (x) the closing price of the original Underlying Stock on the change date and
(y) the adjustment factor in effect on the trading day immediately prior to the change date.
The
option period
volatility
means, in respect of any trading day, the volatility (calculated by referring to the closing price of the applicable Underlying Stock on its primary exchange) for a period equal to the 125 trading days immediately preceding the
announcement date of the reorganization event, as determined by the calculation agent.
GICS Code
means the Global
Industry Classification Standard (
GICS
)
sub-industry
code assigned to the applicable Underlying Stock Issuer; provided, however, if (i) there is no other stock in the replacement stock
selection index in the same GICS
sub-industry
or (ii) a replacement stock (a) for which there is no trading restriction and (b) that is not an excess ADTV stock cannot be identified from the
replacement stock selection index in the same GICS
sub-industry,
the GICS Code will mean the GICS industry code assigned to such original Underlying Stock Issuer. If no GICS Code has been assigned to such
original Underlying Stock Issuer, the applicable GICS Code will be determined by the calculation agent to be the GICS
sub-industry
code assigned to companies in the same
sub-industry
(or, subject to the proviso in the preceding sentence, industry, as applicable) as such original Underlying Stock Issuer at the time of the relevant replacement stock event.
The
replacement stock selection index
means the S&P 500
®
Index.
Delisting of American Depositary Shares or Termination of American Depositary Receipt Facility
. If an Underlying Stock is an
American Depositary Share and such Underlying Stock is no longer listed or admitted to trading on a U.S. securities exchange registered under the Exchange Act or included in the OTC Bulletin Board Service operated by FINRA, or if the American
depositary receipt facility between the applicable Underlying Stock Issuer and the depositary is terminated for any reason (each, an
ADS termination event
), then, on the last trading day on which the applicable Underlying Stock is
listed or admitted to trading or the last trading day immediately prior to the date of such termination, as applicable (the
change date
), a replacement stock event shall be deemed to occur.
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 redemption amount,
calculated as provided herein, plus a portion of a final contingent coupon payment, if any. The redemption amount and any final contingent coupon payment will be calculated as though the date of acceleration were the final calculation day. The final
contingent coupon payment, if any, will be prorated from and including the immediately preceding contingent coupon payment date to but excluding the date of acceleration.
PRS-30
Market Linked SecuritiesAuto-Callable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to Lowest Performing of the Class B Common Stock of
NIKE, Inc., the Common Stock of Intel Corporation and the Class B Common Stock of Berkshire
Hathaway Inc. due July 30, 2020
|
Information About The Underlying Stocks
|
Each Underlying Stock is registered under the Exchange Act. Companies with securities registered under the
Exchange Act are required to file periodically financial and other information specified by the SEC. Information filed with the SEC can be inspected and copied at the Public Reference Room, 100 F Street, NE, Washington, DC 20549. Copies of this
material can also be obtained from the Office of Investor Education and Advocacy of the SEC, at prescribed rates. In addition, information filed by each Underlying Stock Issuer with the SEC electronically can be reviewed through a website maintained
by the SEC. The address of the SECs website is http://www.sec.gov. Information filed with the SEC by each Underlying Stock Issuer under the Exchange Act can be located by reference to its applicable SEC file number (as set forth below).
Information about an Underlying Stock may also be obtained from other sources such as press releases, newspaper articles and other publicly disseminated documents, as well as from the applicable Underlying Stock Issuers website. None of such
publicly available information is incorporated by reference into this pricing supplement.
This pricing supplement relates only to the
securities offered hereby and does not relate to the Underlying Stocks or other securities of the Underlying Stock Issuers. In connection with the issuance of the securities, neither we nor the agent has participated in the preparation of any
Underlying Stock Issuers public filings or made any due diligence inquiry with respect to any Underlying Stock Issuer. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that would
affect the accuracy or completeness of such public filings or other publicly available information) that would affect the price of any Underlying Stock (and therefore the price of such common stock at the time we priced the securities) have been
publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning any Underlying Stock Issuer could affect any payments on the securities.
The Underlying Stock Issuers are not involved in this offering of securities in any way and will have no obligation of any kind with respect to
the securities. We, the agent and our affiliates may at present, or from time to time in the future, engage in business with an Underlying Stock Issuer, including extending loans to (and exercising creditors remedies with respect to such
loans), or making equity investments in, an Underlying Stock Issuer, and in the course of such business, we, the agent or our affiliates may have obtained or may in the future obtain material
non-public
information regarding an Underlying Stock Issuer, or any affiliate of an Underlying Stock Issuer, and none of we, the agent or any such affiliate undertakes to disclose any such information to purchasers of the securities. We, the agent and our
affiliates from time to time may publish research reports with respect to an Underlying Stock. Such research reports may or may not recommend that investors buy or hold any Underlying Stock. We, the agent and our affiliates do not undertake to
inform purchasers of the securities of any changes (positive or negative) to the recommendations contained in future research reports.
PRS-31
Market Linked SecuritiesAuto-Callable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to Lowest Performing of the Class B Common Stock of
NIKE, Inc., the Common Stock of Intel Corporation and the Class B Common Stock of Berkshire
Hathaway Inc. due July 30, 2020
According to publicly available information, NIKE, Inc. designs, develops, markets and sells athletic footwear,
apparel, equipment, accessories and services. Its SEC file number is
001-10635.
The principal U.S. exchange on which the Class B common stock of NIKE, Inc. is listed on is the New York Stock Exchange,
where it trades under the ticker symbol NKE.
Historical Information
We obtained the closing prices of the Class B common stock of NIKE, Inc. listed below from Bloomberg Financial Markets, without
independent verification. The historical prices below may have been adjusted by Bloomberg to reflect any stock splits, reverse stock splits or other corporate transactions.
The following graph sets forth daily closing prices of the Class B common stock of NIKE, Inc. for the period from January 1, 2007 to
July 25, 2017. The closing price on July 25, 2017 was $59.39. The historical performance of the Class B common stock of NIKE, Inc. should not be taken as an indication of the future performance of the Class B common stock of
NIKE, Inc. during the term of the securities.
PRS-32
Market Linked SecuritiesAuto-Callable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to Lowest Performing of the Class B Common Stock of
NIKE, Inc., the Common Stock of Intel Corporation and the Class B Common Stock of Berkshire
Hathaway Inc. due July 30, 2020
The following table sets forth the high and low closing prices, as well as
end-of-period
closing prices, of the Class B common stock of NIKE, Inc. for each quarter in the period from January 1, 2007 through June 30, 2017 and for the
period from July 1, 2017 to July 25, 2017.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
High
|
|
|
Low
|
|
|
Last
|
|
2007
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
$
|
13.66
|
|
|
$
|
11.90
|
|
|
$
|
13.28
|
|
Second Quarter
|
|
$
|
14.57
|
|
|
$
|
13.15
|
|
|
$
|
14.57
|
|
Third Quarter
|
|
$
|
14.96
|
|
|
$
|
13.30
|
|
|
$
|
14.67
|
|
Fourth Quarter
|
|
$
|
16.75
|
|
|
$
|
14.79
|
|
|
$
|
16.06
|
|
2008
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
$
|
17.27
|
|
|
$
|
14.00
|
|
|
$
|
17.00
|
|
Second Quarter
|
|
$
|
17.52
|
|
|
$
|
14.88
|
|
|
$
|
14.90
|
|
Third Quarter
|
|
$
|
16.95
|
|
|
$
|
13.92
|
|
|
$
|
16.73
|
|
Fourth Quarter
|
|
$
|
16.54
|
|
|
$
|
10.90
|
|
|
$
|
12.75
|
|
2009
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
$
|
13.36
|
|
|
$
|
9.64
|
|
|
$
|
11.72
|
|
Second Quarter
|
|
$
|
14.82
|
|
|
$
|
11.75
|
|
|
$
|
12.95
|
|
Third Quarter
|
|
$
|
16.18
|
|
|
$
|
12.77
|
|
|
$
|
16.18
|
|
Fourth Quarter
|
|
$
|
16.55
|
|
|
$
|
15.49
|
|
|
$
|
16.52
|
|
2010
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
$
|
18.67
|
|
|
$
|
15.33
|
|
|
$
|
18.38
|
|
Second Quarter
|
|
$
|
19.56
|
|
|
$
|
16.89
|
|
|
$
|
16.89
|
|
Third Quarter
|
|
$
|
20.16
|
|
|
$
|
16.80
|
|
|
$
|
20.04
|
|
Fourth Quarter
|
|
$
|
23.08
|
|
|
$
|
19.97
|
|
|
$
|
21.36
|
|
2011
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
$
|
22.47
|
|
|
$
|
18.86
|
|
|
$
|
18.93
|
|
Second Quarter
|
|
$
|
22.50
|
|
|
$
|
19.13
|
|
|
$
|
22.50
|
|
Third Quarter
|
|
$
|
23.42
|
|
|
$
|
19.65
|
|
|
$
|
21.38
|
|
Fourth Quarter
|
|
$
|
24.44
|
|
|
$
|
20.76
|
|
|
$
|
24.09
|
|
2012
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
$
|
28.03
|
|
|
$
|
24.20
|
|
|
$
|
27.11
|
|
Second Quarter
|
|
$
|
28.60
|
|
|
$
|
21.95
|
|
|
$
|
21.95
|
|
Third Quarter
|
|
$
|
25.21
|
|
|
$
|
22.21
|
|
|
$
|
23.73
|
|
Fourth Quarter
|
|
$
|
26.40
|
|
|
$
|
22.65
|
|
|
$
|
25.80
|
|
2013
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
$
|
29.78
|
|
|
$
|
25.92
|
|
|
$
|
29.51
|
|
Second Quarter
|
|
$
|
32.96
|
|
|
$
|
29.13
|
|
|
$
|
31.84
|
|
Third Quarter
|
|
$
|
36.82
|
|
|
$
|
31.17
|
|
|
$
|
36.32
|
|
Fourth Quarter
|
|
$
|
39.93
|
|
|
$
|
35.14
|
|
|
$
|
39.32
|
|
2014
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
$
|
39.82
|
|
|
$
|
35.26
|
|
|
$
|
36.93
|
|
Second Quarter
|
|
$
|
38.84
|
|
|
$
|
35.42
|
|
|
$
|
38.78
|
|
Third Quarter
|
|
$
|
44.75
|
|
|
$
|
38.18
|
|
|
$
|
44.60
|
|
Fourth Quarter
|
|
$
|
49.67
|
|
|
$
|
42.55
|
|
|
$
|
48.08
|
|
2015
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
$
|
50.99
|
|
|
$
|
45.59
|
|
|
$
|
50.17
|
|
Second Quarter
|
|
$
|
54.86
|
|
|
$
|
49.28
|
|
|
$
|
54.01
|
|
Third Quarter
|
|
$
|
62.50
|
|
|
$
|
51.77
|
|
|
$
|
61.49
|
|
Fourth Quarter
|
|
$
|
67.17
|
|
|
$
|
60.93
|
|
|
$
|
62.50
|
|
2016
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
$
|
64.90
|
|
|
$
|
55.04
|
|
|
$
|
61.47
|
|
Second Quarter
|
|
$
|
61.59
|
|
|
$
|
51.89
|
|
|
$
|
55.20
|
|
Third Quarter
|
|
$
|
60.22
|
|
|
$
|
52.16
|
|
|
$
|
52.65
|
|
Fourth Quarter
|
|
$
|
52.67
|
|
|
$
|
49.62
|
|
|
$
|
50.83
|
|
2017
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
$
|
58.75
|
|
|
$
|
51.98
|
|
|
$
|
55.73
|
|
Second Quarter
|
|
$
|
59.00
|
|
|
$
|
51.10
|
|
|
$
|
59.00
|
|
July 1, 2017 to July 25, 2017
|
|
$
|
59.95
|
|
|
$
|
57.16
|
|
|
$
|
59.39
|
|
PRS-33
Market Linked SecuritiesAuto-Callable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to Lowest Performing of the Class B Common Stock of
NIKE, Inc., the Common Stock of Intel Corporation and the Class B Common Stock of Berkshire
Hathaway Inc. due July 30, 2020
According to publicly available information, Intel Corporation delivers computer, networking and communications
platforms to original equipment manufacturers, original design manufacturers, cloud and communications service providers, as well as industrial, communications and automotive equipment manufacturers. Its SEC file number is
000-06217.
The principal U.S. exchange on which the common stock of Intel Corporation is listed on is the NASDAQ Global Select Market, where it trades under the ticker symbol INTC.
Historical Information
We obtained the
closing prices of the common stock of Intel Corporation listed below from Bloomberg Financial Markets, without independent verification. The historical prices below may have been adjusted by Bloomberg to reflect any stock splits, reverse stock
splits or other corporate transactions.
The following graph sets forth daily closing prices of the common stock of Intel Corporation for
the period from January 1, 2007 to July 25, 2017. The closing price on July 25, 2017 was $34.67. The historical performance of the common stock of Intel Corporation should not be taken as an indication of the future performance of the
common stock of Intel Corporation during the term of the securities.
PRS-34
Market Linked SecuritiesAuto-Callable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to Lowest Performing of the Class B Common Stock of
NIKE, Inc., the Common Stock of Intel Corporation and the Class B Common Stock of Berkshire
Hathaway Inc. due July 30, 2020
|
Intel Corporation (Continued)
|
The following table sets forth the high and low closing prices, as well as
end-of-period
stock closing prices, of the common stock of Intel Corporation for each quarter in the period from January 1, 2007 through June 30, 2017 and for the
period from July 1, 2017 to July 25, 2017.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
High
|
|
|
Low
|
|
|
Last
|
|
2007
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$22.30
|
|
|
|
$18.86
|
|
|
|
$19.13
|
|
Second Quarter
|
|
|
$24.28
|
|
|
|
$19.13
|
|
|
|
$23.76
|
|
Third Quarter
|
|
|
$26.27
|
|
|
|
$23.10
|
|
|
|
$25.86
|
|
Fourth Quarter
|
|
|
$27.98
|
|
|
|
$24.36
|
|
|
|
$26.66
|
|
2008
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$25.35
|
|
|
|
$18.61
|
|
|
|
$21.18
|
|
Second Quarter
|
|
|
$25.00
|
|
|
|
$20.69
|
|
|
|
$21.48
|
|
Third Quarter
|
|
|
$24.52
|
|
|
|
$17.27
|
|
|
|
$18.73
|
|
Fourth Quarter
|
|
|
$18.52
|
|
|
|
$12.23
|
|
|
|
$14.66
|
|
2009
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$15.82
|
|
|
|
$12.08
|
|
|
|
$15.05
|
|
Second Quarter
|
|
|
$16.64
|
|
|
|
$15.00
|
|
|
|
$16.55
|
|
Third Quarter
|
|
|
$20.32
|
|
|
|
$15.94
|
|
|
|
$19.57
|
|
Fourth Quarter
|
|
|
$20.83
|
|
|
|
$18.50
|
|
|
|
$20.40
|
|
2010
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$22.68
|
|
|
|
$19.01
|
|
|
|
$22.26
|
|
Second Quarter
|
|
|
$24.21
|
|
|
|
$19.45
|
|
|
|
$19.45
|
|
Third Quarter
|
|
|
$21.78
|
|
|
|
$17.72
|
|
|
|
$19.23
|
|
Fourth Quarter
|
|
|
$21.91
|
|
|
|
$18.87
|
|
|
|
$21.03
|
|
2011
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$22.14
|
|
|
|
$19.82
|
|
|
|
$20.17
|
|
Second Quarter
|
|
|
$23.87
|
|
|
|
$19.49
|
|
|
|
$22.16
|
|
Third Quarter
|
|
|
$23.23
|
|
|
|
$19.20
|
|
|
|
$21.33
|
|
Fourth Quarter
|
|
|
$25.66
|
|
|
|
$20.62
|
|
|
|
$24.25
|
|
2012
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$28.19
|
|
|
|
$24.54
|
|
|
|
$28.11
|
|
Second Quarter
|
|
|
$29.18
|
|
|
|
$25.04
|
|
|
|
$26.65
|
|
Third Quarter
|
|
|
$26.88
|
|
|
|
$22.51
|
|
|
|
$22.68
|
|
Fourth Quarter
|
|
|
$22.84
|
|
|
|
$19.36
|
|
|
|
$20.63
|
|
2013
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$22.68
|
|
|
|
$20.23
|
|
|
|
$21.85
|
|
Second Quarter
|
|
|
$25.47
|
|
|
|
$20.94
|
|
|
|
$24.22
|
|
Third Quarter
|
|
|
$24.24
|
|
|
|
$21.90
|
|
|
|
$22.92
|
|
Fourth Quarter
|
|
|
$25.96
|
|
|
|
$22.48
|
|
|
|
$25.96
|
|
2014
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$26.67
|
|
|
|
$23.52
|
|
|
|
$25.81
|
|
Second Quarter
|
|
|
$30.93
|
|
|
|
$25.82
|
|
|
|
$30.90
|
|
Third Quarter
|
|
|
$35.33
|
|
|
|
$30.79
|
|
|
|
$34.82
|
|
Fourth Quarter
|
|
|
$37.67
|
|
|
|
$30.85
|
|
|
|
$36.29
|
|
2015
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$36.91
|
|
|
|
$29.89
|
|
|
|
$31.27
|
|
Second Quarter
|
|
|
$34.46
|
|
|
|
$30.39
|
|
|
|
$30.42
|
|
Third Quarter
|
|
|
$30.56
|
|
|
|
$25.87
|
|
|
|
$30.14
|
|
Fourth Quarter
|
|
|
$35.44
|
|
|
|
$30.00
|
|
|
|
$34.45
|
|
2016
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$33.99
|
|
|
|
$28.22
|
|
|
|
$32.35
|
|
Second Quarter
|
|
|
$32.99
|
|
|
|
$29.63
|
|
|
|
$32.80
|
|
Third Quarter
|
|
|
$37.75
|
|
|
|
$32.68
|
|
|
|
$37.75
|
|
Fourth Quarter
|
|
|
$38.10
|
|
|
|
$33.61
|
|
|
|
$36.27
|
|
2017
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$37.98
|
|
|
|
$35.04
|
|
|
|
$36.07
|
|
Second Quarter
|
|
|
$37.43
|
|
|
|
$33.54
|
|
|
|
$33.74
|
|
July 1, 2017 to July 25, 2017
|
|
|
$34.75
|
|
|
|
$33.46
|
|
|
|
$34.67
|
|
PRS-35
Market Linked SecuritiesAuto-Callable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to Lowest Performing of the Class B Common Stock of
NIKE, Inc., the Common Stock of Intel Corporation and the Class B Common Stock of Berkshire
Hathaway Inc. due July 30, 2020
According to publicly available information, Berkshire Hathaway Inc. is a holding company owning subsidiaries
engaged in a number of business activities, including insurance, freight rail transportation and utility and energy generation and distribution. Its SEC file number is
001-14905.
The principal U.S. exchange on
which the Class B common stock of Berkshire Hathaway Inc. is listed on is the New York Stock Exchange, where it trades under the ticker symbol BRK.B.
Historical Information
We obtained the
stock closing prices of the Class B common stock of Berkshire Hathaway Inc. listed below from Bloomberg Financial Markets, without independent verification. The historical prices below may have been adjusted by Bloomberg to reflect any stock
splits, reverse stock splits or other corporate transactions.
The following graph sets forth daily stock closing prices of the
Class B common stock of Berkshire Hathaway Inc. for the period from January 1, 2007 to July 25, 2017. The stock closing price on July 25, 2017 was $172.94. The historical performance of the Class B common stock of Berkshire
Hathaway Inc. should not be taken as an indication of the future performance of the Class B common stock of Berkshire Hathaway Inc. during the term of the securities.
PRS-36
Market Linked SecuritiesAuto-Callable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to Lowest Performing of the Class B Common Stock of
NIKE, Inc., the Common Stock of Intel Corporation and the Class B Common Stock of Berkshire
Hathaway Inc. due July 30, 2020
|
Berkshire Hathaway Inc. (Continued)
|
The following table sets forth the high and low stock closing prices, as well as
end-of-period
stock closing prices, of the Class B common stock of Berkshire Hathaway Inc. for each quarter in the period from January 1, 2007 through June 30,
2017 and for the period from July 1, 2017 to July 25, 2017.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
High
|
|
|
Low
|
|
|
Last
|
|
2007
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$73.62
|
|
|
|
$69.58
|
|
|
|
$72.80
|
|
Second Quarter
|
|
|
$73.58
|
|
|
|
$70.81
|
|
|
|
$72.10
|
|
Third Quarter
|
|
|
$79.99
|
|
|
|
$71.76
|
|
|
|
$79.04
|
|
Fourth Quarter
|
|
|
$99.70
|
|
|
|
$79.18
|
|
|
|
$94.72
|
|
2008
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$95.90
|
|
|
|
$84.50
|
|
|
|
$89.46
|
|
Second Quarter
|
|
|
$89.96
|
|
|
|
$80.24
|
|
|
|
$80.24
|
|
Third Quarter
|
|
|
$91.90
|
|
|
|
$74.30
|
|
|
|
$87.90
|
|
Fourth Quarter
|
|
|
$93.00
|
|
|
|
$52.40
|
|
|
|
$64.28
|
|
2009
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$66.98
|
|
|
|
$46.00
|
|
|
|
$56.40
|
|
Second Quarter
|
|
|
$62.64
|
|
|
|
$55.23
|
|
|
|
$57.91
|
|
Third Quarter
|
|
|
$70.80
|
|
|
|
$54.90
|
|
|
|
$66.46
|
|
Fourth Quarter
|
|
|
$69.04
|
|
|
|
$65.22
|
|
|
|
$65.72
|
|
2010
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$83.36
|
|
|
|
$64.94
|
|
|
|
$81.27
|
|
Second Quarter
|
|
|
$81.90
|
|
|
|
$70.04
|
|
|
|
$79.69
|
|
Third Quarter
|
|
|
$83.54
|
|
|
|
$76.37
|
|
|
|
$82.68
|
|
Fourth Quarter
|
|
|
$83.72
|
|
|
|
$79.09
|
|
|
|
$80.11
|
|
2011
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$87.28
|
|
|
|
$79.40
|
|
|
|
$83.63
|
|
Second Quarter
|
|
|
$83.68
|
|
|
|
$73.83
|
|
|
|
$77.39
|
|
Third Quarter
|
|
|
$78.09
|
|
|
|
$66.00
|
|
|
|
$71.04
|
|
Fourth Quarter
|
|
|
$80.49
|
|
|
|
$70.06
|
|
|
|
$76.30
|
|
2012
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$82.34
|
|
|
|
$76.29
|
|
|
|
$81.15
|
|
Second Quarter
|
|
|
$83.33
|
|
|
|
$78.70
|
|
|
|
$83.33
|
|
Third Quarter
|
|
|
$89.54
|
|
|
|
$82.54
|
|
|
|
$88.20
|
|
Fourth Quarter
|
|
|
$90.69
|
|
|
|
$84.58
|
|
|
|
$89.70
|
|
2013
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$104.20
|
|
|
|
$93.20
|
|
|
|
$104.20
|
|
Second Quarter
|
|
|
$115.31
|
|
|
|
$103.00
|
|
|
|
$111.92
|
|
Third Quarter
|
|
|
$118.94
|
|
|
|
$111.22
|
|
|
|
$113.51
|
|
Fourth Quarter
|
|
|
$118.56
|
|
|
|
$111.37
|
|
|
|
$118.56
|
|
2014
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$125.20
|
|
|
|
$108.78
|
|
|
|
$124.97
|
|
Second Quarter
|
|
|
$129.06
|
|
|
|
$121.70
|
|
|
|
$126.56
|
|
Third Quarter
|
|
|
$141.28
|
|
|
|
$125.43
|
|
|
|
$138.14
|
|
Fourth Quarter
|
|
|
$152.67
|
|
|
|
$134.70
|
|
|
|
$150.15
|
|
2015
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$151.37
|
|
|
|
$143.03
|
|
|
|
$144.32
|
|
Second Quarter
|
|
|
$148.31
|
|
|
|
$136.11
|
|
|
|
$136.11
|
|
Third Quarter
|
|
|
$144.51
|
|
|
|
$127.74
|
|
|
|
$130.40
|
|
Fourth Quarter
|
|
|
$138.40
|
|
|
|
$129.53
|
|
|
|
$132.04
|
|
2016
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$142.46
|
|
|
|
$124.13
|
|
|
|
$141.88
|
|
Second Quarter
|
|
|
$147.60
|
|
|
|
$138.50
|
|
|
|
$144.79
|
|
Third Quarter
|
|
|
$150.72
|
|
|
|
$141.91
|
|
|
|
$144.47
|
|
Fourth Quarter
|
|
|
$166.62
|
|
|
|
$142.95
|
|
|
|
$162.98
|
|
2017
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
|
$177.28
|
|
|
|
$158.81
|
|
|
|
$166.68
|
|
Second Quarter
|
|
|
$171.55
|
|
|
|
$161.26
|
|
|
|
$169.37
|
|
July 1, 2017 to July 25, 2017
|
|
|
$172.94
|
|
|
|
$169.24
|
|
|
|
$172.94
|
|
PRS-37
Market Linked SecuritiesAuto-Callable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to Lowest Performing of the Class B Common Stock of
NIKE, Inc., the Common Stock of Intel Corporation and the Class B Common Stock of Berkshire
Hathaway Inc. due July 30, 2020
|
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 plans 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.
PRS-38
Market Linked SecuritiesAuto-Callable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to Lowest Performing of the Class B Common Stock of
NIKE, Inc., the Common Stock of Intel Corporation and the Class B Common Stock of Berkshire
Hathaway Inc. due July 30, 2020
|
Benefit Plan Investor Considerations (Continued)
|
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.
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 holders 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.
PRS-39
Market Linked SecuritiesAuto-Callable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to Lowest Performing of the Class B Common Stock of
NIKE, Inc., the Common Stock of Intel Corporation and the Class B Common Stock of Berkshire
Hathaway Inc. due July 30, 2020
|
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 at its stated principal amount and hold it as a capital asset within the meaning of Section 1221 of the Code. This discussion does not
address all of the tax consequences that may be relevant to you in light of your particular circumstances or if you are a holder subject to special rules, such as:
|
|
|
a financial institution;
|
|
|
|
a regulated investment company;
|
|
|
|
a real estate investment trust;
|
|
|
|
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.
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 or the potential
application of the Medicare tax on investment income. You should consult your tax adviser concerning the application of the 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
Due to
the absence of statutory, judicial or administrative authorities that directly address the treatment of the securities or instruments that are similar to the securities for U.S. federal income tax purposes, no assurance can be given that the IRS or
a court will agree with the tax treatment described herein. We intend to treat a security for U.S. federal income tax purposes as a prepaid derivative contract that provides for a coupon that will be treated as gross income to you at the time
received or accrued in accordance with your regular method of tax accounting. In the opinion of our counsel, Davis Polk & Wardwell LLP, this treatment of the securities is reasonable under current law; however, our counsel has advised us
that it is unable to conclude affirmatively that this treatment is more likely than not to be upheld, and that alternative treatments are possible.
You should consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities. Unless otherwise stated,
the following discussion is based on the treatment of the securities as described in the previous paragraph.
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:
PRS-40
Market Linked SecuritiesCallable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to the S&P 500
®
Index due August 29, 2031
|
United States Federal Tax Considerations (Continued)
|
|
|
|
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 thereof 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 of Coupon Payments
. Any coupon payments on the securities should be taxable as ordinary income to
you at the time received or accrued in accordance with your regular method of accounting for U.S. federal income tax purposes.
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. For this purpose, the amount realized does not include any coupon paid at retirement and may not include sale proceeds attributable to an accrued coupon, which may be treated as a coupon payment. 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 you have held the securities for more than one year at the time of the sale, exchange or retirement, and
should be short-term capital gain or loss otherwise. The ordinary income treatment of the coupon payments, in conjunction with the capital loss treatment of any loss recognized upon the sale, exchange or settlement of the securities, could result in
adverse tax consequences to holders of the securities because the deductibility of capital losses is subject to 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 event, (i) regardless of
your regular method of tax accounting, in each year that you held the securities you would be required to accrue income, subject to certain adjustments, based on our comparable yield for similar
non-contingent
debt, determined as of the time of issuance of the securities, and (ii) any gain on the sale, exchange or retirement of the securities would be treated as ordinary income. Even if the securities are treated for U.S. federal income tax purposes
as prepaid derivative contracts rather than debt instruments, the IRS could treat the timing and character of income with respect to coupon payments in a manner different from that described above.
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 investors in 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; 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; and appropriate
transition rules and effective dates. While it is not clear whether the securities would be viewed as similar to the typical prepaid forward contract described in the notice, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding the possible alternative treatments of an investment in
the securities and the issues presented by this notice.
Tax Consequences to
Non-U.S.
Holders
This section applies only to
non-U.S.
holders. You are a
non-U.S.
holder
if you are a beneficial owner of a security that is, for U.S. federal income tax purposes:
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an individual who is classified as a nonresident alien;
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a foreign corporation; or
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a foreign trust or estate.
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Market Linked SecuritiesCallable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to the S&P 500
®
Index due August 29, 2031
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United States Federal Tax Considerations (Continued)
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You are not a
non-U.S.
holder for purposes of this
discussion if you are (i) an individual who is present in the United States for 183 days or more in the taxable year of disposition of a security, (ii) a former citizen or resident of the United States or (iii) a person for whom
income or gain in respect of the securities is effectively connected with the conduct of a trade or business in the United States. If you are or may become such a person during the period in which you hold a security, you should consult your tax
adviser regarding the U.S. federal tax consequences of an investment in the securities.
Because significant aspects of the tax treatment
of the securities are uncertain, persons having withholding responsibility in respect of the securities may withhold on any coupon payment paid to you, generally at a rate of 30%. To the extent that we have (or an affiliate of ours has) withholding
responsibility in respect of the securities, we intend to so withhold. In order to claim an exemption from, or a reduction in, the 30% withholding, you may need to comply with certification requirements to establish that you are not a U.S. person
and are eligible for such an exemption or reduction under an applicable tax treaty. You should consult your tax adviser regarding the tax treatment of the securities, including the possibility of obtaining a refund of any amounts withheld and the
certification requirement described above.
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 exempt financial instruments issued in 2017 that do not have a delta of one. Based on the terms of the securities and representations provided by us, our counsel is of the opinion that the securities should not be treated
as transactions that have a delta of one within the meaning of the regulations with respect to any U.S. underlying equity and, therefore, should not be specified securities subject to withholding tax under Section 871(m).
A determination that the securities are not subject to Section 871(m) is not binding on the IRS, and the IRS may disagree with this
treatment. Moreover, Section 871(m) is complex and its application may depend on your particular circumstances. For example, if you enter into other transactions relating to a U.S. underlying equity, you could be subject to withholding tax or
income tax liability under Section 871(m) even if the securities are not specified securities subject to Section 871(m) as a general matter. You should consult your tax adviser regarding the potential application of Section 871(m) to
the securities.
In the event withholding applies, we will not be required to pay any additional amounts with respect to amounts withheld.
U.S. Federal Estate Tax
If you are
an individual
non-U.S.
holder or an entity the property of which is potentially includible in such an individuals 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, a security may be treated as U.S.-situs property subject to U.S. federal estate tax. If you
are such an individual or entity, you should consult your tax adviser regarding the U.S. federal estate tax consequences of investing in the securities.
Information Reporting and Backup Withholding
Amounts paid on the securities, and the proceeds of a sale, exchange or other disposition of the securities, may be subject to information
reporting and, if you fail to provide certain identifying information (such as an accurate taxpayer identification number if you are a U.S. holder) or meet certain other conditions, may also be subject to backup withholding at the rate specified in
the Code. If you are a
non-U.S.
holder that provides an appropriate IRS Form
W-8,
you will generally establish an exemption from backup withholding. Amounts withheld
under the backup withholding rules are not additional taxes and may be refunded or credited against your U.S. federal income tax liability, provided the relevant information is timely furnished to the IRS.
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.
entitys jurisdiction may modify these requirements.
This legislation applies to certain financial instruments that are treated as paying U.S.-
PRS-42
Market Linked SecuritiesCallable with Contingent Coupon and
Contingent Downside
Principal at Risk Securities Linked to the S&P 500
®
Index due August 29, 2031
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United States Federal Tax Considerations (Continued)
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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 and, after 2018, to payments of gross proceeds of the disposition (including upon retirement) of certain financial instruments treated as paying U.S.-source interest or dividends. While the treatment of
the securities is unclear, you should assume that the securities will be subject to the FATCA rules, at least with respect to coupon payments. 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 TAX CONSEQUENCES OF OWNING AND DISPOSING OF THE SECURITIES ARE
UNCLEAR. YOU SHOULD CONSULT YOUR TAX ADVISER REGARDING THE TAX CONSEQUENCES OF OWNING AND DISPOSING OF THE SECURITIES, INCLUDING THE TAX CONSEQUENCES UNDER STATE, LOCAL,
NON-U.S.
AND OTHER TAX LAWS AND THE
POSSIBLE EFFECTS OF CHANGES IN U.S. FEDERAL OR OTHER TAX LAWS.
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.
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