Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
July 02 2015 - 11:14AM
Edgar (US Regulatory)
Filed Pursuant to Rule 433
Registration No. 333-202840
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Wells Fargo & Company Market Linked Securities |
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Market Linked
Securities Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the SPDR® S&P 500® ETF Trust due January 6, 2021
Final Term Sheet to Pricing Supplement No. 514 dated June 30, 2015
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Summary of terms
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Issuer |
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Wells Fargo & Company |
Term |
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Approximately 5.5 years |
Market Measure |
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SPDR® S&P 500® ETF Trust (the Fund) |
Pricing Date |
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June 30, 2015 |
Issue Date |
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July 6, 2015 |
Original Offering
Price |
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$1,000 per security (100% of par) |
Redemption
Amount at Maturity |
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See How the redemption amount is calculated on page 3 |
Stated Maturity
Date |
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January 6, 2021 |
Starting Price |
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205.85, the fund closing price of the Fund on the pricing date |
Ending Price |
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The fund closing price of the Fund on the calculation day |
Capped Value |
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164% of the original offering price per security ($1,640 per security) |
Threshold Price |
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164.68 (80% of the starting price) |
Participation
Rate |
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150% |
Calculation Day |
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December 29, 2020 |
Calculation
Agent |
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Wells Fargo Securities, LLC, an affiliate of the issuer |
Denominations |
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$1,000 and any integral multiple of $1,000 |
Agent Discount |
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1.62%; dealers, including Wells Fargo Advisors, LLC (WFA), may receive a selling concession of up to
1.50% and WFA will receive a distribution expense fee of 0.12% |
CUSIP |
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94986RXJ5 |
Investment description
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Linked to the SPDR® S&P 500® ETF Trust |
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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 Fund from its starting price to its ending price. The payment at maturity will reflect the following terms: |
o If the value of the Fund increases:
You will receive the original offering price plus 150% participation in the upside performance of the Fund, subject to a maximum total return
at maturity of 64% of the original offering price
o If the value of the Fund decreases but the decrease is not more than 20%:
You will be repaid the original offering price
o If the value of the Fund decreases by more than 20%:
You will receive less than the original offering price and will have
1-to-1 downside exposure to the decrease in the value of the Fund in excess of 20%
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Investors may lose up to 80% 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 the shares of the Fund or any securities held by the Fund 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 |
On the date of the accompanying pricing supplement, the estimated value of the securities is $942.48
per security. The estimated value of the securities was determined for the issuer by Wells Fargo Securities, LLC using its proprietary pricing models. It is not an indication of actual profit to the issuer or to Wells Fargo Securities, LLC or any of
the issuers 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 the accompanying 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 in this term sheet, Selected Risk Considerations in the accompanying pricing supplement and Risk Factors in the
accompanying product supplement.
This final term sheet should be read in conjunction with the accompanying pricing supplement, product supplement, market measure supplement,
prospectus supplement, and prospectus.
NOT A BANK DEPOSIT AND NOT INSURED OR GUARANTEED BY THE FDIC OR ANY OTHER GOVERNMENTAL AGENCY
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Hypothetical payout profile
The profile to the right is based on a capped value of 164.00% or $1,640.00
per $1,000 security, a participation rate of 150% and a threshold price equal to 80% of the starting price.
This graph has been prepared for purposes of illustration only. Your actual return will depend on the actual ending price, and whether you hold
your securities to maturity. |
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Hypothetical returns
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Hypothetical ending price |
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Hypothetical percentage change from the starting price to
the hypothetical ending price |
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Hypothetical redemption amount payable at stated maturity per security |
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Hypothetical pre-tax total rate of
return |
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Hypothetical pre-tax annualized rate of return(1) |
$360.24 |
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75.00% |
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$1,640.00 |
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64.00% |
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9.18% |
$308.78 |
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50.00% |
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$1,640.00 |
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64.00% |
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9.18% |
$293.68 |
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42.67% |
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$1,640.00 |
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64.00% |
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9.18% |
$267.61 |
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30.00% |
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$1,450.00 |
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45.00% |
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6.86% |
$247.02 |
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20.00% |
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$1,300.00 |
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30.00% |
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4.82% |
$226.44 |
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10.00% |
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$1,150.00 |
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15.00% |
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2.55% |
$216.14 |
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5.00% |
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$1,075.00 |
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7.50% |
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1.32% |
$205.85 (2) |
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0.00% |
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$1,000.00 |
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0.00% |
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0.00% |
$195.56 |
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-5.00% |
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$1,000.00 |
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0.00% |
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0.00% |
$185.27 |
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-10.00% |
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$1,000.00 |
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0.00% |
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0.00% |
$174.97 |
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-15.00% |
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$1,000.00 |
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0.00% |
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0.00% |
$164.68 |
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-20.00% |
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$1,000.00 |
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0.00% |
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0.00% |
$162.62 |
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-21.00% |
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$990.00 |
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-1.00% |
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-0.18% |
$154.39 |
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-25.00% |
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$950.00 |
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-5.00% |
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-0.93% |
$102.93 |
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-50.00% |
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$700.00 |
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-30.00% |
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-6.37% |
$51.46 |
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-75.00% |
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$450.00 |
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-55.00% |
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-13.98% |
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$0.00 |
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-100.00% |
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$200.00 |
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-80.00% |
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-27.18% |
Each security has an original offering price of $1,000.
(1) The annualized rates of return are calculated on a semi-annual bond equivalent basis
with compounding.
(2) The starting price.
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 rates of return will depend on the actual ending price.
2
How the redemption amount is calculated
The redemption amount payable at maturity will be determined as follows:
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If the ending price is greater than the starting price, the redemption amount will be equal to the lesser of: |
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$1,000 x |
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ending price starting price
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x participation rate |
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; and |
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starting price |
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If the ending price is less than or equal to the starting price, but greater than or equal to the threshold price, the redemption amount will be equal to $1,000 |
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If the ending price is less than the threshold price, the redemption amount will be equal to $1,000 minus |
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$1,000 x |
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threshold price ending price
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starting price |
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If the ending price is less than the threshold price, you will receive less, and possibly 80% less, than the original
offering price of your securities at maturity.
SPDR® S&P 500® ETF Trust daily closing prices*
*The graph above sets forth the daily closing prices of the Fund for the period from January 1, 2005 to
June 30, 2015. The closing price on June 30, 2015 was $205.85. The historical performance of the Fund is not an indication of the future performance of the Fund during the term of the securities.
Selected risk considerations
The
risks set forth below are discussed in detail in the Selected Risk Considerations section in the accompanying pricing supplement and the Risk Factors section in the accompanying product supplement. Please review those risk
disclosures carefully.
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If The Ending Price Is Less Than The Threshold Price, You Will Receive Less, And Possibly 80% Less, Than The Original Offering Price Of Your Securities At Maturity. |
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No Periodic Interest Will Be Paid On The Securities. |
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Your Return Will Be Limited By The Capped Value And May Be Lower Than The Return On A Direct Investment In The Fund. |
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The Securities Are Subject To The Credit Risk Of Wells Fargo. |
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The Estimated Value Of The Securities On The Pricing Date, Based On Wells Fargo Securities, LLCs Proprietary Pricing Models, Is Less Than The Original Offering Price. |
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The Estimated Value Of The Securities Is Determined By The Issuers Affiliates Pricing Models, Which May Differ From Those Of Other Dealers. |
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The Estimated Value Of The Securities Is Not 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 In The Secondary Market.
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The Value Of The Securities Prior To Stated Maturity Will Be Affected By Numerous Factors, Some Of Which Are Related In Complex Ways. |
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The Securities Will Not Be Listed On Any Securities Exchange And The Issuer Does Not Expect A Trading Market For The Securities To Develop. |
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The Amount You Receive On The Securities Will Depend Upon The Performance Of The Fund And Therefore The Securities Are Subject To The Following Risks, As Discussed In More Detail In The Product Supplement:
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Your Return On The Securities Could Be Less Than If You Owned The Shares Of The Fund. |
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Historical Prices Of The Fund Or The Securities Included In The Fund Should Not Be Taken As An Indication Of The Future Performance Of The Fund During The Term Of The Securities. |
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Changes That Affect The Fund Or The Underlying Index May Adversely Affect The Value Of The Securities And The Amount You Will Receive At Stated Maturity. |
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The Issuer Cannot Control Actions By Any Of The Unaffiliated Companies Whose Securities Are Included In The Fund Or The Underlying Index. |
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The Issuer And Its Affiliates Have No Affiliation With The Sponsor Of The Fund Or The Sponsor Of The Underlying Index And Have Not Independently Verified Their Public Disclosure Of Information. |
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An Investment Linked To The Shares Of The Fund Is Different From An Investment Linked To The Underlying Index. |
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You Will Not Have Any Shareholder Rights With Respect To The Shares Of The Fund. |
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Anti-dilution Adjustments Relating To The Shares Of The Fund Do Not Address Every Event That Could Affect Such Shares. |
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The Stated Maturity Date May Be Postponed If The Calculation Date Is Postponed. |
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The Issuers Economic Interests And Those Of Any Dealer Participating In The Offering Are Potentially Adverse To Your Interests. |
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The calculation agent is the Issuers affiliate and may be required to make discretionary judgments that affect the return you receive on the securities. |
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The estimated value of the securities was calculated by the Issuers affiliate and is therefore not an independent third-party valuation. |
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Research reports by the Issuers affiliates or any participating dealer or its affiliates may be inconsistent with an investment in the securities and may adversely affect the price of the Fund.
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Business activities of the Issuers affiliates or any participating dealer or its affiliates with the companies whose securities are included in the Fund may adversely affect the price of the Fund.
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Hedging activities by the Issuers affiliates or any participating dealer or its affiliates may adversely affect the price of the Fund. |
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Trading activities by the Issuers affiliates or any participating dealer or its affiliates may adversely affect the price of the Fund. |
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A participating dealer or its affiliates may realize hedging profits projected by its proprietary pricing models in addition to any selling concession and/or distribution expense fee, creating a further incentive for
the participating dealer to sell the securities to you. |
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The U.S. Federal Tax Consequences Of An Investment In The Securities Are Unclear. |
Not
suitable for all investors
Investment suitability must be determined individually for each investor. The securities described
herein are not a suitable investment for all investors. In particular, no investor should purchase the securities unless they understand and are able to bear the associated market, liquidity and yield risks. Unless market conditions and other
relevant factors change significantly in your favor, a sale of the securities prior to maturity is likely to result in sale proceeds that are substantially less than the original offering price per security. Wells Fargo Securities, LLC and its
affiliates are not obligated to purchase the securities from you at any time prior to maturity.
The issuer has filed a
registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the issuer has filed with the SEC
for more complete information about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, the issuer, any underwriter or any dealer participating in the offering will
arrange to send you the prospectus if you request it by calling your financial advisor or by calling Wells Fargo Securities at 866-346-7732.
Not a research report
This material was prepared by Wells Fargo Securities, LLC, a registered
broker-dealer and separate non-bank affiliate of Wells Fargo & Company. This material is not a product of Wells Fargo & Company or Wells Fargo Securities, LLC research departments.
Consult your tax advisor
Investors should review carefully the accompanying pricing supplement, product supplement, market measure supplement, prospectus supplement and prospectus and consult their tax advisors regarding the application of the U.S.
federal tax laws to their particular circumstances, as well as any tax consequences arising under the laws of any state, local or non-U.S. jurisdiction.
SPDR® and S&P 500® are
trademarks of Standard & Poors Financial Services LLC (S&P Financial). The securities are not sponsored, endorsed, sold or promoted by the SPDR® S&P 500® ETF Trust (the SPDR Trust) or S&P Financial. Neither the SPDR Trust nor S&P Financial makes any representations or warranties to the holders of the securities or any member of
the public regarding the advisability of investing in the securities. Neither the SPDR Trust nor S&P Financial will have any obligation or liability in connection with the registration, operation, marketing, trading or sale of the securities or
in connection with Wells Fargo & Companys use of information about the SPDR Trust.
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