Filed Pursuant to Rule 424(b)(2)
File No. 333-180728
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| Title of Each Class of
Securities Offered |
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Maximum Aggregate
Offering Price |
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Amount of
Registration Fee(1) |
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| Medium Term Notes, Series K, Principal at Risk Securities Linked to the S&P
500® Index due March 29, 2021 |
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$6,971,000 |
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$810.03 |
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The total filing fee of $810.03 is calculated in accordance with Rule 457(r) of the Securities Act of 1933 (the “Securities Act”) and
will be paid by wire transfer within the time required by Rule 456(b) of the Securities Act. |
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| PRICING SUPPLEMENT No. 483 dated March 20, 2015 (To Product
Supplement No. 2 dated May 2, 2012, Prospectus Supplement dated April 13, 2012
and Prospectus dated April 13, 2012) |
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Wells Fargo & Company
Medium-Term Notes, Series K
Equity Linked Securities |
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Market Linked Securities—Upside Participation with Contingent Minimum Return and Contingent
Downside Principal at Risk Securities Linked to the S&P 500® Index
due March 29, 2021 |
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Linked to the S&P 500® Index |
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Unlike ordinary debt securities, the securities do not pay interest or repay a fixed amount of principal at maturity. Instead, the
securities provide for a payment at maturity that may be greater than, equal to or less than the original offering price of the securities, depending on the performance of the Index from its starting level to its ending level. The payment at
maturity will reflect the following terms: |
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If the level of the Index increases, you will receive the original offering price plus the greater of (i) the contingent minimum return of 42% of
the original offering price and (ii) 100% participation in the upside performance of the Index |
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If the level of the Index decreases but the decrease is not more than 30%, you will be repaid the original offering price |
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If the level of the Index decreases by more than 30%, you will have full downside exposure to the decrease in the level of the Index from the
starting level, and you will lose more than 30%, and possibly all, of the original offering price of your securities |
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Investors may lose some, or all, of the original offering price |
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All payments on the securities are subject to the credit risk of Wells Fargo & Company, and you will have no ability to pursue any
securities included in the Index for payment; if Wells Fargo & Company defaults on its obligations, you could lose some or all of your investment |
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No periodic interest payments or dividends |
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No exchange listing; designed to be held to maturity
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On the date of this pricing supplement, the estimated value of the securities is $943.03 per security. The estimated
value of the securities was determined for us by Wells Fargo Securities, LLC using its proprietary pricing models. It is not an indication of actual profit to us or to Wells Fargo Securities, LLC or any of our other affiliates, nor is it an
indication of the price, if any, at which Wells Fargo Securities, LLC or any other person may be willing to buy the securities from you at any time after issuance. See “Investment Description” in this pricing supplement.
The securities have complex features and investing in the securities involves risks not associated with an investment in conventional debt securities.
See “Selected Risk Considerations” herein on page PRS-10 and “Risk Factors” in the accompanying product supplement.
The
securities are unsecured obligations of Wells Fargo & Company and all payments on the securities are subject to the credit risk of Wells Fargo & Company. The securities are not deposits or other obligations of a depository
institution and are not insured by the Federal Deposit Insurance Corporation, the Deposit Insurance Fund or any other governmental agency of the United States or any other jurisdiction.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these securities or determined if
this pricing supplement or the accompanying product supplement, prospectus supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
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Original Offering Price |
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Agent Discount(1) |
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Proceeds to Wells Fargo |
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$1,000.00 |
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$32.50 |
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$967.50 |
| Total |
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$6,971,000 |
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$226,557.50 |
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$6,744,442.50 |
| (1) |
Wells Fargo Securities, LLC, a wholly owned subsidiary of Wells Fargo & Company, is the agent for the distribution of the securities and is
acting as principal. See “Investment Description” in this pricing supplement for further information. |
Wells Fargo
Securities
Market Linked Securities—Upside Participation with Contingent
Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due March 29, 2021
The Principal at Risk Securities Linked to the S&P
500® Index due March 29, 2021 are senior unsecured debt securities of Wells Fargo & Company that do not pay interest or repay a fixed amount of principal at
maturity. Instead, the securities provide for a payment at maturity that may be greater than, equal to or less than the original offering price of the securities depending on the performance of the S&P 500® Index (the “Index”) from its starting level to its ending level. The securities provide:
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the possibility of a return at maturity, if the level of the Index increases from its starting level to its ending level, in an amount equal to the
greater of (a) the contingent minimum return of 42% of the original offering price, and (b) 100% of the percentage increase in the level of the Index from the starting level to the ending level; |
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(ii) |
repayment of principal if, and only if, the ending level of the Index is not less than the starting level by more than 30%; and
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(iii) |
full exposure to the decrease in the level of the Index from the starting level if the ending level is less than the starting level by more than
30%. |
If the ending level is less than the starting level by more than 30%, you will lose more than 30%, and possibly
all, of the original offering price of your securities at maturity. All payments on the securities are subject to the credit risk of Wells Fargo.
The Index is an equity index that is intended to provide an indication of the pattern of common stock price movement in the large
capitalization segment of the United States equity market.
You should read this pricing supplement together with product supplement
no. 2 dated May 2, 2012, the prospectus supplement dated April 13, 2012 and the prospectus dated April 13, 2012 for additional information about the securities. Information included in this pricing supplement supersedes
information in the product supplement, prospectus supplement and prospectus to the extent it is different from that information. Certain defined terms used but not defined herein have the meanings set forth in the product supplement.
You may access the product supplement, prospectus supplement and prospectus on the SEC website www.sec.gov as follows (or if such address has
changed, by reviewing our filing for the relevant date on the SEC website):
The S&P 500 Index is a product of S&P Dow Jones Indices LLC (“SPDJI”), and has been licensed for use by Wells Fargo &
Company (“WFC”). Standard & Poor’s®, S&P® and S&P
500® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a
registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by WFC. The securities are not sponsored, endorsed, sold or promoted by
SPDJI, Dow Jones, S&P, their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the
S&P 500 Index.
PRS-2
Market Linked Securities—Upside Participation with Contingent
Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due March 29, 2021
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| Investment Description (Continued) |
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.
Determining the estimated value
Our affiliate, Wells Fargo Securities, LLC (“WFS”), calculated the estimated value of the securities set forth on the cover
page of this pricing supplement based on its proprietary pricing models. Based on these pricing models and related market inputs and assumptions referred to in this section below, WFS determined an estimated value for the securities by estimating
the value of the combination of hypothetical financial instruments that would replicate the payout on the securities, which combination consists of a non-interest bearing, fixed-income bond (the “debt component”) and one or more
derivative instruments underlying the economic terms of the securities (the “derivative component”).
The estimated value
of the debt component is based on 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 “Selected Risk Considerations—The Value Of The Securities Prior To Stated Maturity Will Be Affected By Numerous Factors, Some Of Which Are Related In Complex Ways.” These inputs may be market-observable or
may be based on assumptions made by WFS in its discretion.
The estimated value of the securities determined by WFS is subject to important
limitations. See “Selected Risk Considerations—The Estimated Value Of The Securities Is Determined By Our Affiliate’s 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.”
PRS-3
Market Linked Securities—Upside Participation with Contingent
Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due March 29, 2021
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| Investment Description (Continued) |
Valuation of the securities after issuance
The estimated value of the securities is not an indication of the price, if any, at which WFS or any other person may be willing to buy the
securities from you in the secondary market. The price, if any, at which WFS or any of its affiliates may purchase the securities in the secondary market will be based upon WFS’s proprietary pricing models and will fluctuate over the term of
the securities due to changes in market conditions and other relevant factors. However, absent changes in these market conditions and other relevant factors, except as otherwise described in the following paragraph, any secondary market price will
be lower than the estimated value on the pricing date because the secondary market price will be reduced by a bid-offer spread, which may vary depending on the aggregate face amount of the securities to be purchased in the secondary market
transaction, and the expected cost of unwinding any related hedging transactions. Accordingly, unless market conditions and other relevant factors change significantly in your favor, any secondary market price for the securities is likely to be less
than the original offering price.
If WFS or any of its affiliates makes a secondary market in the securities at any time up to the issue
date or during the 6-month period following the issue date, the secondary market price offered by WFS or any of its affiliates will be increased by an amount reflecting a portion of the costs associated with selling, structuring, hedging and issuing
the securities that are included in the original offering price. Because this portion of the costs is not fully deducted upon issuance, any secondary market price offered by WFS or any of its affiliates during this period will be higher than it
would be if it were based solely on WFS’s proprietary pricing models less the bid-offer spread and hedging unwind costs described above. The amount of this increase in the secondary market price will decline steadily to zero over this 6-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.
PRS-4
Market Linked Securities—Upside Participation with Contingent
Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due March 29, 2021
We have designed the securities for investors who:
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seek a contingent minimum return at maturity of 42% of the original offering price, if the ending level is equal to or greater than the starting
level; |
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seek the possibility of a return at maturity greater than the contingent minimum return if the percentage increase in the level of the Index from
the starting level to the ending level is greater than the contingent minimum return; |
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desire repayment of the original offering price at maturity so long as the ending level is not less than the starting level by more than 30%;
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understand that if the ending level is less than the starting level by more than 30%, they will be fully exposed to the decrease in the Index from
the starting level, and will lose more than 30%, and possibly all, of the original offering price of the securities at maturity; |
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are willing to forgo interest payments on the securities and dividends on securities included in the Index; and |
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are willing to hold the securities until maturity. |
The securities are not designed for, and may not be a suitable investment for, investors who:
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seek a liquid investment or are unable or unwilling to hold the securities to maturity; |
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are unwilling to accept the risk that the ending level of the Index may decrease by more than 30% from the starting level; |
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are unwilling to purchase securities with an estimated value as of the pricing date that is lower than the original offering price, as set forth on
the cover page; |
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seek a greater contingent minimum return at maturity; |
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seek full return of the original offering price of the securities at maturity; |
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are unwilling to accept the risk of exposure to the large capitalization segment of the United States equity market; |
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seek exposure to the Index but are unwilling to accept the risk/return trade-offs inherent in the payment at stated maturity for the securities;
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are unwilling to accept the credit risk of Wells Fargo to obtain exposure to the Index generally, or to the exposure to the Index that the
securities provide specifically; or |
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prefer the lower risk of fixed income investments with comparable maturities issued by companies with comparable credit ratings.
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PRS-5
Market Linked Securities—Upside Participation with Contingent
Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due March 29, 2021
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| Market Measure:
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S&P 500 Index
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| Pricing Date:
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March 20, 2015
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| Issue Date:
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March 27, 2015 (T+5)
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| Original Offering
Price: |
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$1,000 per security. References in this pricing supplement to a “security” are to a security
with a face amount of $1,000. |
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| Redemption
Amount: |
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The “redemption amount” per security will equal: |
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if the ending level is greater than or equal to the starting level: $1,000 plus the greater of: |
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(i) |
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the contingent minimum return; and |
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(ii) |
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$1,000 x |
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ending level – starting level |
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x participation rate |
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starting level |
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if the ending level is less than the starting level, but greater than or equal to the threshold level: $1,000; or |
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if the ending level is less than the threshold level: $1,000 minus: |
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$1,000 x |
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starting level – ending level |
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starting level |
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If the ending level is less than the threshold level, you will lose more than 30%, and possibly all, of the original offering price of your
securities at maturity. |
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All calculations with respect to the redemption amount will be rounded to the nearest one hundred-thousandth,
with five one-millionths rounded upwards (e.g., 0.000005 would be rounded to 0.00001); and the redemption amount will be rounded to the nearest cent, with one-half cent rounded upward.
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| Stated Maturity
Date: |
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March 29, 2021. If the calculation day is postponed, the stated maturity date will be postponed to the later
of (i) March 29, 2021 and (ii) the third business day after the calculation day as postponed. |
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| Starting Level:
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2108.10, the closing level of the Index on the pricing date.
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| Ending Level:
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The “ending level” will be the closing level of the Index on the calculation day.
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| Closing Level:
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The “closing level” of the Index on any trading day means the official closing level of the
Index reported by the index sponsor on such trading day, as obtained by the calculation agent on such trading day from the licensed third-party market data vendor contracted by the calculation agent at such time, taking into account the decimal
precision and/or rounding convention employed by such licensed third-party market data vendor on such date. Currently, the calculation agent obtains market data from Thomson Reuters Ltd., but the calculation agent may change its market data
vendor at any time without notice. The foregoing provisions of this definition of “closing level” are subject to the provisions set forth in the accompanying product supplement under “Description of the Securities—Market
Disruption Event,” “—Adjustments to a Market Measure” and “—Discontinuance of a Market Measure.” |
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| Threshold Level:
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1475.67, which is equal to 70% of the starting level.
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| Contingent
Minimum Return: |
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The “contingent minimum return” is 42% of the original offering price per security ($420 per
security) so long as the ending level is greater than or equal to the starting level. |
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| Participation Rate:
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100% |
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| Calculation Day: |
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March 22, 2021. If such day is not a trading day, the calculation day will be postponed to the next
succeeding trading day. The calculation day is also subject to postponement due to the occurrence of a market disruption event. |
PRS-6
Market Linked Securities—Upside Participation with Contingent
Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due March 29, 2021
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| Terms of the Securities (Continued) |
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| Calculation Agent:
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Wells Fargo Securities, LLC
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| Material Tax
Consequences: |
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For a discussion of the material U.S. federal income tax consequences of the ownership and disposition of the securities
see “United States Federal Tax Considerations” below. |
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| Agent:
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Wells Fargo Securities, LLC, a wholly owned subsidiary of Wells Fargo & Company. The agent may resell the
securities to other securities dealers at the original offering price of the securities less a concession not in excess of $32.50 per security. Such securities dealers may include Wells Fargo Advisors, LLC, one of our affiliates.
The agent or another affiliate of ours expects to realize
hedging profits projected by its proprietary pricing models to the extent it assumes the risks inherent in hedging our obligations under the securities. If any dealer participating in the distribution of the securities or any of its affiliates
conducts hedging activities for us in connection with the securities, that dealer or its affiliate will expect to realize a profit projected by its proprietary pricing models from such hedging activities. Any such projected profit will be in
addition to the discount or concession received in connection with the sale of the securities to you. |
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| Denominations:
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$1,000 and any integral multiple of $1,000.
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| CUSIP:
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94986RWC1 |
PRS-7
Market Linked Securities—Upside Participation with Contingent
Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due March 29, 2021
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| Determining Payment at Stated Maturity |
On the stated maturity date, you will receive a cash payment per security (the redemption amount) calculated as
follows:
PRS-8
Market Linked Securities—Upside Participation with Contingent
Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due March 29, 2021
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| Hypothetical Payout Profile |
The following profile is based on a contingent minimum return of 42.00% or $420.00 per security, a
participation rate of 100% and a threshold level equal to 70% of the starting level. This graph has been prepared for purposes of illustration only. Your actual return will depend on the actual ending level and whether you hold your securities to
maturity.
PRS-9
Market Linked Securities—Upside Participation with Contingent
Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due March 29, 2021
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| Selected Risk Considerations |
The securities have complex features and investing in the securities will involve risks not associated with an
investment in conventional debt securities. These risks are explained in more detail in the “Risk Factors” section in the product supplement. You should reach an investment decision only after you have carefully considered with your
advisors the suitability of an investment in the securities in light of your particular circumstances.
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If The Ending Level Is Less Than The Threshold Level, You Will Lose More Than 30%, And Possibly All, Of The Original Offering Price Of Your
Securities At Stated Maturity. If the ending level is less than the threshold level, the redemption amount that you receive at stated maturity will be reduced by an amount equal to the decline in the level of the Index to
the extent it is below the starting level (expressed as a percentage of the starting level). The threshold level is 70% of the starting level. For example, if the Index has declined by 30.1% from the starting level to the ending level, you will not
receive any benefit of the contingent downside feature and you will lose 30.1% of the original offering price per security. As a result, you will not receive any protection if the level of the Index declines significantly and you may lose more than
30%, and possibly all, of the original offering price per security at stated maturity, even if the level of the Index is greater than or equal to the starting level or the threshold level at certain times during the term of the securities.
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No Periodic Interest Will Be Paid On The Securities. No periodic payments of interest will be made on the securities.
However, if the agreed-upon tax treatment is successfully challenged by the Internal Revenue Service (the “IRS”), you may be required to recognize taxable income over the term of the securities. You should review the section of this
pricing supplement entitled “United States Federal Tax Considerations.” |
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The Securities Are Subject To The Credit Risk Of Wells Fargo. The securities are our obligations and are not, either
directly or indirectly, an obligation of any third party. Any amounts payable under the securities are subject to our creditworthiness, and you will have no ability to pursue any securities included in the Index for payment. As a result, our actual
and perceived creditworthiness may affect the value of the securities and, in the event we were to default on our obligations, you may not receive any amounts owed to you under the terms of the securities. |
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The Estimated Value Of The Securities On The Pricing Date, Based On WFS’s Proprietary Pricing Models, Is Less Than The Original Offering
Price. The original offering price of the securities includes certain costs that are borne by you. Because of these costs, the estimated value of the securities on the pricing date is less than the original offering price.
The costs included in the original offering price relate to selling, structuring, hedging and issuing the securities, as well as to our funding considerations for debt of this type. The costs related to selling, structuring, hedging and issuing the
securities include (i) the agent discount, (ii) the projected profit that our hedge counterparty (which may be one of our affiliates) expects to realize for assuming risks inherent in hedging our obligations under the securities and
(iii) hedging and other costs relating to the offering of the securities. Our funding considerations are reflected in the fact that we determine the economic terms of the securities based on an assumed funding rate that is generally lower than
our secondary market rates. 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 Is Determined By Our Affiliate’s Pricing Models, Which May Differ From Those Of Other
Dealers. The estimated value of the securities was determined for us by WFS using its proprietary pricing models and related market inputs and assumptions referred to above under “Investment
Description—Determining the estimated value.” Certain inputs to these models may be determined by WFS in its discretion. WFS’s views on these inputs may differ from other dealers’ views, and WFS’s estimated value of the
securities may be higher, and perhaps materially higher, than the estimated value of the securities that would be determined by other dealers in the market. WFS’s models and its inputs and related assumptions may prove to be wrong and therefore
not an accurate reflection of the value of the securities. |
| • |
|
The Estimated Value Of The Securities Is Not An Indication Of The Price, If Any, At Which WFS Or Any Other Person May Be Willing To Buy The
Securities From You In The Secondary Market. The price, if any, at which WFS or any of its affiliates may purchase the securities in the secondary market will be based on WFS’s proprietary pricing models and will
fluctuate over the term of the securities as a result of changes in the market and other factors described in the next risk consideration. Any such secondary market price for the securities will also be reduced by a bid-offer spread, which may vary
depending on the aggregate face amount of the securities to be purchased in the secondary market transaction, and the expected cost of unwinding any related hedging transactions. Unless the factors described in the next risk consideration change
significantly in your favor, any such secondary market price for the securities is likely to be less than the original offering price. |
PRS-10
Market Linked Securities—Upside Participation with Contingent
Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due March 29, 2021
|
| Selected Risk Considerations (Continued) |
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 6-month period following the issue date, the secondary market price offered by WFS or any of its affiliates will be increased by an amount reflecting a portion of the costs associated with selling,
structuring, hedging and issuing the securities that are included in the original offering price. Because this portion of the costs is not fully deducted upon issuance, any secondary market price offered by WFS or any of its affiliates during this
period will be higher than it would be if it were based solely on WFS’s proprietary pricing models less the bid-offer spread and hedging unwind costs described above. The amount of this increase in the secondary market price will decline
steadily to zero over this 6-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 you hold your securities through an account at a broker-dealer other than WFS or any of its affiliates, the value of the securities on your brokerage account statement may be different than if you held your securities at WFS or any of
its affiliates, as discussed above under “Investment Description.”
| • |
|
The Value Of The Securities Prior To Stated Maturity Will Be Affected By Numerous Factors, Some Of Which Are Related In Complex
Ways. The value of the securities prior to stated maturity will be affected by the level of the Index at that time, interest rates at that time and a number of other factors, some of which are interrelated in complex ways.
The effect of any one factor may be offset or magnified by the effect of another factor. The following factors, which we refer to as the “derivative component factors,” are expected to affect the value of the securities: Index
performance; interest rates; volatility of the Index; time remaining to maturity; and dividend yields on the securities included in the Index. In addition to the derivative component factors, the value of the securities will be affected by actual or
anticipated changes in our creditworthiness, as reflected in our secondary market rates. Because numerous factors are expected to affect the value of the securities, changes in the level of the Index may not result in a comparable change in the
value of the securities. |
| • |
|
You Will Receive The Contingent Minimum Return Only If The Ending Level Is Equal To Or Greater Than The Starting Level.
|
| • |
|
The Securities Will Not Be Listed On Any Securities Exchange And We Do Not Expect A Trading Market For The Securities To
Develop. The securities will not be listed or displayed on any securities exchange or any automated quotation system. Although the agent and/or its affiliates may purchase the securities from holders, they are not
obligated to do so and are not required to make a market for the securities. There can be no assurance that a secondary market will develop. Because we do not expect that any market makers will participate in a secondary market for the securities,
the price at which you may be able to sell your securities is likely to depend on the price, if any, at which the agent is willing to buy your securities. If a secondary market does exist, it may be limited. Accordingly, there may be a limited
number of buyers if you decide to sell your securities prior to stated maturity. This may affect the price you receive upon such sale. Consequently, you should be willing to hold the securities to stated maturity. |
| • |
|
The Amount You Receive On The Securities Will Depend Upon The Performance Of The Index And Therefore The Securities Are Subject To The Following
Risks, As Discussed In More Detail In The Product Supplement: |
| |
• |
|
Your Return On The Securities Could Be Less Than If You Owned Securities Included In The Index. Your return on the
securities will not reflect the return you would realize if you actually owned the securities included in the Index because, among other reasons, the redemption amount will be determined by reference to the ending level of the Index, which will be
calculated by reference to the prices of the securities in the Index without taking into consideration the value of dividends paid on those securities. |
| |
• |
|
Historical Levels Of The Index Should Not Be Taken As An Indication Of The Future Performance Of The Index During The Term Of The
Securities. |
| |
• |
|
Changes That Affect The Index May Adversely Affect The Value Of The Securities And The Amount You Will Receive At Stated Maturity.
|
| |
• |
|
We Cannot Control Actions By Any Of The Unaffiliated Companies Whose Securities Are Included In The Index. |
| |
• |
|
We And Our Affiliates Have No Affiliation With The Index Sponsor And Have Not Independently Verified Its Public Disclosure Of Information.
|
| • |
|
The Stated Maturity Date May Be Postponed If The Calculation Day Is Postponed. The calculation day will be postponed
if the originally scheduled calculation day is not a trading day or if the calculation agent determines that a market disruption event has occurred or is continuing on the calculation day. If such a postponement occurs, the stated maturity date will
be the later of (i) the initial stated maturity date and (ii) three business days after the postponed calculation day. |
PRS-11
Market Linked Securities—Upside Participation with Contingent
Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due March 29, 2021
|
| Selected Risk Considerations (Continued) |
| • |
|
Our Economic Interests And Those Of Any Dealer Participating In The Offering Are Potentially Adverse To Your
Interests. You should be aware of the following ways in which our economic interests and those of any dealer participating in the distribution of the securities, which we refer to as a “participating
dealer,” are potentially adverse to your interests as an investor in the securities. In engaging in certain of the activities described below, our affiliates or any participating dealer or its affiliates may take actions that may adversely
affect the value of and your return on the securities, and in so doing they will have no obligation to consider your interests as an investor in the securities. Our affiliates or any participating dealer or its affiliates may realize a profit from
these activities even if investors do not receive a favorable investment return on the securities. |
| |
• |
|
The calculation agent is our affiliate and may be required to make discretionary judgments that affect the return you receive on the
securities. WFS, which is our affiliate, will be the calculation agent for the securities. As calculation agent, WFS will determine the ending level of the Index and may be required to make other determinations that
affect the return you receive on the securities at maturity. In making these determinations, the calculation agent may be required to make discretionary judgments, including determining whether a market disruption event has occurred on the scheduled
calculation day, which may result in postponement of the calculation day; determining the ending level of the Index if the calculation day is postponed to the last day to which it may be postponed and a market disruption event occurs on that day; if
the Index is discontinued, selecting a successor index or, if no successor index is available, determining the ending level of the Index; and determining whether to adjust the ending level of the Index on the calculation day in the event of certain
changes in or modifications to the Index. In making these discretionary judgments, the fact that WFS is our affiliate may cause it to have economic interests that are adverse to your interests as an investor in the securities, and WFS’s
determinations as calculation agent may adversely affect your return on the securities. |
| |
• |
|
The estimated value of the securities was calculated by our affiliate and is therefore not an independent third-party
valuation. WFS calculated the estimated value of the securities set forth on the cover page of this pricing supplement, which involved discretionary judgments by WFS, as described under “Selected Risk
Considerations—The Estimated Value Of The Securities Is Determined By Our Affiliate’s Pricing Models, Which May Differ From Those Of Other Dealers” above. Accordingly, the estimated value of the securities set forth on the cover page
of this pricing supplement is not an independent third-party valuation. |
| |
• |
|
Research reports by our affiliates or any participating dealer or its affiliates may be inconsistent with an investment in the securities and
may adversely affect the level of the Index. Our affiliates or any dealer participating in the offering of the securities or its affiliates may, at present or in the future, publish research reports on the Index or the
companies whose securities are included in the Index. This research is modified from time to time without notice and may, at present or in the future, express opinions or provide recommendations that are inconsistent with purchasing or holding the
securities. Any research reports on the Index or the companies whose securities are included in the Index could adversely affect the level of the Index and, therefore, adversely affect the value of and your return on the securities. You are
encouraged to derive information concerning the Index from multiple sources and should not rely on the views expressed by us or our affiliates or any participating dealer or its affiliates. In addition, any research reports on the Index or the
companies whose securities are included in the Index published on or prior to the pricing date could result in an increase in the level of the Index on the pricing date, which would adversely affect investors in the securities by increasing the
level at which the Index must close on the calculation day in order for investors in the securities to receive a favorable return. |
| |
• |
|
Business activities of our affiliates or any participating dealer or its affiliates with the companies whose securities are included in the
Index may adversely affect the level of the Index. Our affiliates or any participating dealer or its affiliates may, at present or in the future, engage in business with the companies whose securities are included in
the Index, including making loans to those companies (including exercising creditors’ remedies with respect to such loans), making equity investments in those companies or providing investment banking, asset management or other advisory
services to those companies. These business activities could adversely affect the level of the Index and, therefore, adversely affect the value of and your return on the securities. In addition, in the course of these business activities, our
affiliates or any participating dealer or its affiliates may acquire non-public information about one or more of the companies whose securities are included in the Index. If our affiliates or any participating dealer or its affiliates do acquire
such non-public information, we and they are not obligated to disclose such non-public information to you. |
PRS-12
Market Linked Securities—Upside Participation with Contingent
Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due March 29, 2021
|
| Selected Risk Considerations (Continued) |
| |
• |
|
Hedging activities by our affiliates or any participating dealer or its affiliates may adversely affect the level of the
Index. We expect to hedge our obligations under the securities through one or more hedge counterparties, which may include our affiliates or any participating dealer or its affiliates. Pursuant to such hedging
activities, our hedge counterparties may acquire securities included in the Index or listed or over-the-counter derivative or synthetic instruments related to the Index or such securities. Depending on, among other things, future market conditions,
the aggregate amount and the composition of such positions are likely to vary over time. To the extent that our hedge counterparties have a long hedge position in any of the securities included in the Index, or derivative or synthetic instruments
related to the Index or such securities, they may liquidate a portion of such holdings at or about the time of the calculation day or at or about the time of a change in the securities included in the Index. These hedging activities could
potentially adversely affect the level of the Index and, therefore, adversely affect the value of and your return on the securities. |
| |
• |
|
Trading activities by our affiliates or any participating dealer or its affiliates may adversely affect the level of the
Index. Our affiliates or any participating dealer or its affiliates may engage in trading in the securities included in the Index and other instruments relating to the Index or such securities on a regular basis as
part of their general broker-dealer and other businesses. Any of these trading activities could potentially adversely affect the level of the Index and, therefore, adversely affect the value of and your return on the securities.
|
| |
• |
|
A participating dealer or its affiliates may realize hedging profits projected by its proprietary pricing models in addition to any selling
concession, creating a further incentive for the participating dealer to sell the securities to you. If any participating dealer or any of its affiliates conducts hedging activities for us in connection with the
securities, that participating dealer or its affiliates will expect to realize a projected profit from such hedging activities and this projected profit will be in addition to the concession that the participating dealer realizes for the sale of the
securities to you. This additional projected profit may create a further incentive for the participating dealer to sell the securities to you. |
| • |
|
The U.S. Federal Tax Consequences Of An Investment In The Securities Are Unclear. There is no direct legal authority
regarding the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the IRS. Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or a court might not agree
with the treatment of the securities as prepaid derivative contracts that are “open transactions” for U.S. federal income tax purposes. If the IRS were successful in asserting an alternative treatment of the securities, the tax
consequences of the ownership and disposition of the securities might be materially and adversely affected. In addition, in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S.
federal income tax treatment of “prepaid forward contracts” and similar instruments. Any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of
an investment in the securities, including the character and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject to withholding tax, possibly with retroactive effect. You should read
carefully the discussion under “United States Federal Tax Considerations” in this pricing supplement. You should also consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax
consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction. |
PRS-13
Market Linked Securities—Upside Participation with Contingent
Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due March 29, 2021
The following table illustrates, for a range of hypothetical ending levels of the Index:
| |
• |
|
the hypothetical percentage change from the starting level to the hypothetical ending level; |
| |
• |
|
the hypothetical redemption amount payable at stated maturity per security; |
| |
• |
|
the hypothetical total pre-tax rate of return; and |
| |
• |
|
the hypothetical pre-tax annualized rate of return. |
|
|
|
|
|
|
|
|
|
| Hypothetical
ending level |
|
Hypothetical
percentage change
from the
starting level to the
hypothetical ending level |
|
Hypothetical
redemption amount
payable at stated
maturity per security |
|
Hypothetical
pre-tax total
rate of return |
|
Hypothetical
pre-tax
annualized
rate of return(1) |
| 3689.18 |
|
75.00% |
|
$1,750.00 |
|
75.00% |
|
9.53% |
| 3162.15 |
|
50.00% |
|
$1,500.00 |
|
50.00% |
|
6.86% |
| 2951.34 |
|
40.00% |
|
$1,420.00 |
|
42.00% |
|
5.92% |
| 2740.53 |
|
30.00% |
|
$1,420.00 |
|
42.00% |
|
5.92% |
| 2529.72 |
|
20.00% |
|
$1,420.00 |
|
42.00% |
|
5.92% |
| 2318.91 |
|
10.00% |
|
$1,420.00 |
|
42.00% |
|
5.92% |
| 2213.51 |
|
5.00% |
|
$1,420.00 |
|
42.00% |
|
5.92% |
| 2108.10(2) |
|
0.00% |
|
$1,420.00 |
|
42.00% |
|
5.92% |
| 1897.29 |
|
-10.00% |
|
$1,000.00 |
|
0.00% |
|
0.00% |
| 1791.89 |
|
-15.00% |
|
$1,000.00 |
|
0.00% |
|
0.00% |
| 1686.48 |
|
-20.00% |
|
$1,000.00 |
|
0.00% |
|
0.00% |
| 1475.67 |
|
-30.00% |
|
$1,000.00 |
|
0.00% |
|
0.00% |
| 1454.59 |
|
-31.00% |
|
$690.00 |
|
-31.00% |
|
-6.08% |
| 1054.05 |
|
-50.00% |
|
$500.00 |
|
-50.00% |
|
-11.21% |
| 527.03 |
|
-75.00% |
|
$250.00 |
|
-75.00% |
|
-21.78% |
| (1) |
The annualized rates of return are calculated on a semi-annual bond equivalent basis with compounding. |
The above figures are for purposes of illustration only and may have been rounded for ease of analysis. The actual amount you receive at stated
maturity and the resulting pre-tax rate of return will depend on the actual ending level.
PRS-14
Market Linked Securities—Upside Participation with Contingent
Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due March 29, 2021
|
| Hypothetical Payments at Stated Maturity |
Set forth below are four examples of payment at stated maturity calculations (rounded to two decimal places),
assuming hypothetical ending levels as indicated in the examples.
Example 1. Redemption amount is greater than the original
offering price and reflects a return greater than the contingent minimum return:
Starting level: 2108.10
Hypothetical ending level: 3162.15
Since the hypothetical ending level is greater than the starting level by more than 42.00%, the redemption amount would equal:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $1,000 + |
|
|
|
$1,000 x |
|
|
|
3162.15 – 2108.10 |
|
|
|
x 100% |
|
|
|
= $1,500.00 |
|
|
|
|
|
|
2108.10 |
|
|
|
|
|
|
On the stated maturity date you would receive $1,500.00 per security.
Example 2. Redemption amount is greater than the original offering price and reflects a return equal to the contingent minimum return:
Starting level: 2108.10
Hypothetical ending level: 2529.67
Since the hypothetical ending level is greater than the starting level but not by more than 42.00%, the redemption amount would
equal the original offering price plus the contingent minimum return.
On the stated maturity date you would receive $1,420.00 per
security.
Example 3. Redemption amount is equal to the original offering price:
Starting level: 2108.10
Hypothetical ending level: 1897.25
Threshold level: 1475.67, which is 70% of the starting level
Since the hypothetical ending level is less than the starting level, but not by more than 30%, you would not lose any of the
original offering price of your securities.
On the stated maturity date you would receive $1,000.00 per security.
Example 4. Redemption amount is less than the original offering price:
Starting level: 2108.10
Hypothetical ending level: 1054.05
Threshold level: 1475.67, which is 70% of the starting level
Since the hypothetical ending level is less than the starting level by more than 30%, you would lose a portion of the original
offering price of your securities and receive the redemption amount equal to:
|
|
|
|
|
|
|
|
|
|
|
| $1,000 – |
|
|
|
$1,000 x |
|
2108.10 – 1054.05 |
|
|
|
= $500.00 |
|
|
|
|
2108.10 |
|
|
|
On the stated maturity date you would receive $500.00 per security.
To the extent that the ending level differs from the values assumed above, the results indicated above would be different.
PRS-15
Market Linked Securities—Upside Participation with Contingent
Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due March 29, 2021
The S&P 500 Index is an equity index that is intended to provide an indication of the pattern of common
stock price movement in the large capitalization segment of the United States equity market. According to publicly available information, on July 2, 2012, The McGraw-Hill Companies, Inc. (“McGraw-Hill”), which owned the S&P
Indices business, and CME Group, Inc., which is a 90% owner of the joint venture that owned the Dow Jones Indexes business, announced the launch of a new joint venture, S&P Dow Jones Indices LLC (“S&P Dow Jones Indices” or
“S&P”). S&P Dow Jones Indices owns the S&P Indices business, including the S&P 500 Index, and the Dow Jones Indexes. The information about the S&P 500 Index contained herein updates the information under
“The S&P 500 Index” in Annex A to the product supplement. Wells Fargo & Company is one of the companies currently included in the S&P 500 Index.
Historical Information
We obtained the
closing levels listed below from Bloomberg Financial Markets, without independent verification.
The following graph sets forth daily
closing levels of the Index for the period from January 1, 2005 to March 20, 2015. The closing level on March 20, 2015 was 2108.10. The historical performance of the Index should not be taken as an indication of the future performance
of the Index during the term of the securities.
S&P 500® Index Daily
Closing Levels
PRS-16
Market Linked Securities—Upside Participation with Contingent
Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due March 29, 2021
|
| The S&P 500 Index (Continued) |
The following table sets forth the high and low closing levels, as well as end-of-period
closing levels, of the Index for each quarter in the period from January 1, 2005 through December 31, 2014 and for the period from January 1, 2015 to March 20, 2015.
|
|
|
|
|
|
|
| |
|
High |
|
Low |
|
Last |
| 2005 |
|
|
|
|
|
|
| First Quarter |
|
1225.31 |
|
1163.75 |
|
1180.59 |
| Second Quarter |
|
1216.96 |
|
1137.50 |
|
1191.33 |
| Third Quarter |
|
1245.04 |
|
1194.44 |
|
1228.81 |
| Fourth Quarter |
|
1272.74 |
|
1176.84 |
|
1248.29 |
| 2006 |
|
|
|
|
|
|
| First Quarter |
|
1307.25 |
|
1254.78 |
|
1294.83 |
| Second Quarter |
|
1325.76 |
|
1223.69 |
|
1270.20 |
| Third Quarter |
|
1339.15 |
|
1234.49 |
|
1335.85 |
| Fourth Quarter |
|
1427.09 |
|
1331.32 |
|
1418.30 |
| 2007 |
|
|
|
|
|
|
| First Quarter |
|
1459.68 |
|
1374.12 |
|
1420.86 |
| Second Quarter |
|
1539.18 |
|
1424.55 |
|
1503.35 |
| Third Quarter |
|
1553.08 |
|
1406.70 |
|
1526.75 |
| Fourth Quarter |
|
1565.15 |
|
1407.22 |
|
1468.36 |
| 2008 |
|
|
|
|
|
|
| First Quarter |
|
1447.16 |
|
1273.37 |
|
1322.70 |
| Second Quarter |
|
1426.63 |
|
1278.38 |
|
1280.00 |
| Third Quarter |
|
1305.32 |
|
1106.39 |
|
1166.36 |
| Fourth Quarter |
|
1161.06 |
|
752.44 |
|
903.25 |
| 2009 |
|
|
|
|
|
|
| First Quarter |
|
934.70 |
|
676.53 |
|
797.87 |
| Second Quarter |
|
946.21 |
|
811.08 |
|
919.32 |
| Third Quarter |
|
1071.66 |
|
879.13 |
|
1057.08 |
| Fourth Quarter |
|
1127.78 |
|
1025.21 |
|
1115.10 |
| 2010 |
|
|
|
|
|
|
| First Quarter |
|
1174.17 |
|
1056.74 |
|
1169.43 |
| Second Quarter |
|
1217.28 |
|
1030.71 |
|
1030.71 |
| Third Quarter |
|
1148.67 |
|
1022.58 |
|
1141.20 |
| Fourth Quarter |
|
1259.78 |
|
1137.03 |
|
1257.64 |
| 2011 |
|
|
|
|
|
|
| First Quarter |
|
1343.01 |
|
1256.88 |
|
1325.83 |
| Second Quarter |
|
1363.61 |
|
1265.42 |
|
1320.64 |
| Third Quarter |
|
1353.22 |
|
1119.46 |
|
1131.42 |
| Fourth Quarter |
|
1285.09 |
|
1099.23 |
|
1257.60 |
| 2012 |
|
|
|
|
|
|
| First Quarter |
|
1416.51 |
|
1277.06 |
|
1408.47 |
| Second Quarter |
|
1419.04 |
|
1278.04 |
|
1362.16 |
| Third Quarter |
|
1465.77 |
|
1334.76 |
|
1440.67 |
| Fourth Quarter |
|
1461.40 |
|
1353.33 |
|
1426.19 |
| 2013 |
|
|
|
|
|
|
| First Quarter |
|
1569.19 |
|
1457.15 |
|
1569.19 |
| Second Quarter |
|
1669.16 |
|
1541.61 |
|
1606.28 |
| Third Quarter |
|
1725.52 |
|
1614.08 |
|
1681.55 |
| Fourth Quarter |
|
1848.36 |
|
1655.45 |
|
1848.36 |
| 2014 |
|
|
|
|
|
|
| First Quarter |
|
1878.04 |
|
1741.89 |
|
1872.34 |
| Second Quarter |
|
1962.87 |
|
1815.69 |
|
1960.23 |
| Third Quarter |
|
2011.36 |
|
1909.57 |
|
1972.29 |
| Fourth Quarter |
|
2090.57 |
|
1862.49 |
|
2058.90 |
| 2015 |
|
|
|
|
|
|
| January 1, 2015 to March 20, 2015 |
|
2117.39 |
|
1992.67 |
|
2108.10 |
PRS-17
Market Linked Securities—Upside Participation with Contingent
Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due March 29, 2021
|
| The S&P 500 Index (Continued) |
License Agreement
We and S&P Dow Jones Indices LLC have entered into a non-transferable, non-exclusive license agreement providing for the sublicense to us,
in exchange for a fee, of the right to use the S&P 500 Index in connection with the issuance of the securities.
The license agreement
between us and S&P Dow Jones Indices LLC provides that the following language must be stated in this pricing supplement:
The S&P
500 Index is a product of S&P Dow Jones Indices LLC (“SPDJI”), and has been licensed for use by Wells Fargo & Company (“WFC”). Standard &
Poor’s®, S&P® and S&P 500® are registered trademarks of
Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”);
and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by WFC. The securities are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or any of their respective affiliates (collectively,
“S&P Dow Jones Indices”). S&P Dow Jones Indices makes no representation or warranty, express or implied, to the owners of the securities or any member of the public regarding the advisability of investing in securities generally or
in the securities particularly or the ability of the S&P 500 Index to track general market performance. S&P Dow Jones Indices’ only relationship to WFC with respect to the S&P 500 Index is the licensing of the S&P 500 Index and
certain trademarks, service marks and/or trade names of S&P Dow Jones Indices or its licensors. The S&P 500 Index is determined, composed and calculated by S&P Dow Jones Indices without regard to WFC or the securities. S&P Dow Jones
Indices has no obligation to take the needs of WFC or the owners of the securities into consideration in determining, composing or calculating the S&P 500 Index. S&P Dow Jones Indices is not responsible for and has not participated in the
determination of the prices and amount of the securities or the timing of the issuance or sale of the securities or in the determination or calculation of the equation by which the securities are to be converted into cash, surrendered or redeemed,
as the case may be. S&P Dow Jones Indices has no obligation or liability in connection with the administration, marketing or trading of the securities. There is no assurance that investment products based on the S&P 500 Index will accurately
track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security within the S&P 500 Index is not a recommendation by S&P Dow Jones Indices to buy, sell, or
hold such security, nor is it considered to be investment advice. Notwithstanding the foregoing, CME Group Inc. and its affiliates may independently issue and/or sponsor financial products unrelated to the securities currently being issued by WFC,
but which may be similar to and competitive with the securities. In addition, CME Group Inc. and its affiliates may trade financial products which are linked to the performance of the S&P 500 Index.
S&P DOW JONES INDICES DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE S&P 500 INDEX OR ANY DATA
RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS,
OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY WFC, OWNERS OF
THE SECURITIES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P 500 INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY
INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE OR CONSEQUENTIAL DAMAGES, INCLUDING BUT NOT LIMITED TO LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT,
STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND WFC, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
PRS-18
Market Linked Securities—Upside Participation with Contingent
Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due March 29, 2021
|
| United States Federal Tax Considerations |
Prospective investors should note that the discussion under the section called “United States Federal
Income Tax Considerations” in the accompanying product supplement does not apply to the securities issued under this pricing supplement and is superseded by the following discussion.
The following is a discussion of the material U.S. federal income and certain estate tax consequences of the ownership and disposition of the
securities. It applies to you only if you purchase a security for cash in the initial offering at the “issue price,” which is the first price at which a substantial amount of the securities is sold to the public, and hold the security as a
capital asset within the meaning of Section 1221 of the Internal Revenue Code of 1986, as amended (the “Code”). It does not address all of the tax consequences that may be relevant to you in light of your particular
circumstances, including alternative minimum tax consequences, or if you are an investor subject to special rules, such as:
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a financial institution; |
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a “regulated investment company”; |
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a tax-exempt entity, including an “individual retirement account” or “Roth IRA”; |
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a dealer or trader in securities subject to a mark-to-market method of tax accounting with respect to the securities; |
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a person holding a security as part of a “straddle” or conversion transaction or who has entered into a “constructive sale”
with respect to a security; |
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• |
|
a U.S. holder (as defined below) whose functional currency is not the U.S. dollar; or |
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• |
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an entity classified as a partnership for U.S. federal income tax purposes. |
If an entity that is classified as a partnership for U.S. federal income tax purposes holds the securities, the U.S. federal income tax
treatment of a partner will generally depend on the status of the partner and the activities of the partnership. If you are a partnership holding the securities or a partner in such a partnership, you should consult your tax adviser as to your
particular U.S. federal tax consequences of holding and disposing of the securities.
We will not attempt to ascertain whether any of the
issuers of the underlying stocks of the S&P 500® Index (the “underlying stocks”) is treated as a “U.S. real property holding corporation” (“USRPHC”)
within the meaning of Section 897 of the Code or as a “passive foreign investment company” (“PFIC”) within the meaning of Section 1297 of the Code. If any of the issuers of the underlying stocks were so treated,
certain adverse U.S. federal income tax consequences might apply to you, in the case of a USRPHC if you are a non-U.S. holder (as defined below) and in the case of a PFIC if you are a U.S. holder (as defined below), upon the sale, exchange or other
disposition of the securities. You should refer to information filed with the Securities and Exchange Commission or another governmental authority by the issuers of the underlying stocks and consult your tax adviser regarding the possible
consequences to you if any of the issuers of the underlying stocks is or becomes a USRPHC or PFIC.
This discussion is based on the Code,
administrative pronouncements, judicial decisions and final, temporary and proposed Treasury regulations, all as of the date of this pricing supplement, changes to any of which subsequent to the date of this pricing supplement may affect the tax
consequences described herein, possibly with retroactive effect. This discussion does not address the effects of any applicable state, local or non-U.S. tax laws or the potential application of the Medicare tax on investment income. You should
consult your tax adviser concerning the application of U.S. federal income and estate tax laws to your particular situation (including the possibility of alternative treatments of the securities), as well as any tax consequences arising under the
laws of any state, local or non-U.S. jurisdiction.
Tax Treatment of the Securities
In the opinion of our counsel, Davis Polk & Wardwell LLP, which is based on current market conditions, a security should be treated as
a prepaid derivative contract that is an “open transaction” for U.S. federal income tax purposes. By purchasing a security, you agree (in the absence of an administrative determination or judicial ruling to the contrary) to this treatment.
PRS-19
Market Linked Securities—Upside Participation with Contingent
Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due March 29, 2021
|
| United States Federal Tax Considerations (Continued) |
Due to the absence of statutory, judicial or administrative authorities that directly
address the U.S. federal tax treatment of the securities or similar instruments, significant aspects of the treatment of an investment in the securities are uncertain. We do not plan to request a ruling from the IRS, and the IRS or a court might not
agree with the treatment described below. Accordingly, you should consult your tax adviser regarding all aspects of the U.S. federal income and estate tax consequences of an investment in the securities. Unless otherwise indicated, the following
discussion is based on the treatment of the securities as prepaid derivative contracts that are “open transactions.”
Tax Consequences to
U.S. Holders
This section applies only to U.S. holders. You are a “U.S. holder” if you are a beneficial owner of a
security that is, for U.S. federal income tax purposes:
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• |
|
a citizen or individual resident of the United States; |
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• |
|
a corporation, or other entity taxable as a corporation, created or organized in or under the laws of the United States, any state therein or the
District of Columbia; or |
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an estate or trust the income of which is subject to U.S. federal income taxation regardless of its source. |
Tax Treatment Prior to Maturity. You should not be required to recognize income over the term of the securities
prior to maturity, other than pursuant to a sale, exchange or retirement as described below.
Sale, Exchange or Retirement of the
Securities. Upon a sale, exchange or retirement of the securities, you should recognize gain or loss equal to the difference between the amount realized on the sale, exchange or retirement and your tax basis in the
securities that are sold, exchanged or retired. Your tax basis in the securities should equal the amount you paid to acquire them. This gain or loss should be long-term capital gain or loss if at the time of the sale, exchange or retirement you held
the securities for more than one year, and short-term capital gain or loss otherwise. Long-term capital gains recognized by non-corporate U.S. holders are generally subject to taxation at reduced rates. The deductibility of capital losses is subject
to certain limitations.
Possible Alternative Tax Treatments of an Investment in the Securities
Alternative U.S. federal income tax treatments of the securities are possible that, if applied, could materially and adversely affect the
timing and/or character of income, gain or loss with respect to them. It is possible, for example, that the securities could be treated as debt instruments issued by us. Under this treatment, the securities would be governed by Treasury regulations
relating to the taxation of contingent payment debt instruments. In that case, regardless of your method of tax accounting for U.S. federal income tax purposes, you would be required to accrue income based on our comparable yield for similar
non-contingent debt, determined as of the time of issuance of the securities, in each year that you held the securities, even though we are not required to make any payment with respect to the securities prior to maturity. In addition, any gain on
the sale, exchange or retirement of the securities would be treated as ordinary income.
Other possible U.S. federal income tax treatments
of the securities could also affect the timing and character of income or loss with respect to the securities. In 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of
“prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment. It also asks for comments on a number of related
topics, including the character of income or loss with respect to these instruments; whether short-term instruments should be subject to any such accrual regime; the relevance of factors such as the exchange-traded status of the instruments and the
nature of the underlying property to which the instruments are linked; and whether these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term
capital gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues
could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding the possible alternative treatments of an investment in the securities and
the issues presented by this notice.
PRS-20
Market Linked Securities—Upside Participation with Contingent
Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due March 29, 2021
|
| United States Federal Tax Considerations (Continued) |
Tax Consequences to Non-U.S. Holders
This section applies only to non-U.S. holders. You are a “non-U.S. holder” if you are a beneficial owner of a security that
is, for U.S. federal income tax purposes:
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• |
|
an individual who is classified as a nonresident alien; |
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|
a foreign corporation; or |
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• |
|
a foreign estate or trust. |
You are not a non-U.S. holder for purposes of this discussion if you are (i) an individual who is present in the United States for 183
days or more in the taxable year of disposition or (ii) a former citizen or resident of the United States. If you are or may become such a person during the period in which you hold a security, you should consult your tax adviser regarding the
U.S. federal tax consequences of an investment in the securities.
Sale, Exchange or Retirement of the
Securities. Subject to the possible application of Section 897 of the Code, you generally should not be subject to U.S. federal income or withholding tax in respect of amounts paid to you, provided that income in
respect of the securities is not effectively connected with your conduct of a trade or business in the United States.
If you are engaged
in a U.S. trade or business, and if income from the securities is effectively connected with the conduct of that trade or business, you generally will be subject to regular U.S. federal income tax with respect to that income in the same manner as if
you were a U.S. holder, unless an applicable income tax treaty provides otherwise. If you are such a holder and you are a corporation, you should also consider the potential application of a 30% (or lower treaty rate) branch profits tax.
Tax Consequences Under Possible Alternative Treatments. If all or any portion of a security were recharacterized
as a debt instrument, subject to the possible application of Section 897 of the Code and the discussion below regarding FATCA, any payment made to you with respect to the security generally should not be subject to U.S. federal withholding or
income tax, provided that: (i) income or gain in respect of the security is not effectively connected with your conduct of a trade or business in the United States, and (ii) you provide an appropriate IRS Form W-8 certifying under
penalties of perjury that you are not a United States person.
Other U.S. federal income tax treatments of the securities are also
possible. In 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. Among the issues addressed in the notice is
the degree, if any, to which income with respect to instruments such as the securities should be subject to U.S. withholding tax. While the notice requests comments on appropriate transition rules and effective dates, it is possible that any
Treasury regulations or other guidance promulgated after consideration of these issues might materially and adversely affect the withholding tax consequences of an investment in the securities, possibly with retroactive effect. If withholding
applies to the securities, we will not be required to pay any additional amounts with respect to amounts withheld. Accordingly, you should consult your tax adviser regarding the issues presented by the notice.
U.S. Federal Estate Tax
If you are
an individual non-U.S. holder or an entity the property of which is potentially includible in such an individual’s gross estate for U.S. federal estate tax purposes (for example, a trust funded by such an individual and with respect to which
the individual has retained certain interests or powers), you should note that, absent an applicable treaty exemption, the securities may be treated as U.S. situs property subject to U.S. federal estate tax. If you are such an individual or entity,
you should consult your tax adviser regarding the U.S. federal estate tax consequences of investing in the securities.
Information Reporting and Backup
Withholding
Amounts paid on the securities, and the proceeds of a sale, exchange or other disposition of the securities, may be
subject to information reporting and, if you fail to provide certain identifying information (such as an accurate taxpayer identification number if you are a U.S. holder) or meet certain other conditions, may also be subject to backup withholding at
the rate specified in the Code. If you are a non-U.S. holder that provides an appropriate IRS Form W-8, you will generally establish an exemption from backup
PRS-21
Market Linked Securities—Upside Participation with Contingent
Minimum Return and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Index due March 29, 2021
|
| United States Federal Tax Considerations (Continued) |
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
Legislation commonly referred to as “FATCA” generally imposes a withholding tax of 30% on payments to certain non-U.S.
entities (including financial intermediaries) with respect to certain financial instruments, unless various U.S. information reporting and due diligence requirements have been satisfied. An intergovernmental agreement between the United States and
the non-U.S. entity’s jurisdiction may modify these requirements. This legislation applies to certain financial instruments that are treated as paying U.S.-source interest or other U.S.-source “fixed or determinable annual or
periodical” income (“FDAP income”). Withholding (if applicable) applies to payments of U.S.-source FDAP income and, for dispositions after December 31, 2016, to payments of gross proceeds of the disposition (including upon
retirement) of certain financial instruments treated as providing for U.S.-source interest or dividends. If the securities were recharacterized as debt instruments, this legislation would apply to the securities. If withholding applies to the
securities, we will not be required to pay any additional amounts with respect to amounts withheld. If you are a non-U.S. holder, or a U.S. holder holding securities through a non-U.S. intermediary, you should consult your tax adviser regarding the
potential application of FATCA to the securities.
Prospective investors in the securities should consult their tax advisers
regarding all aspects of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
PRS-22
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