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 a Domestic ETF Basket due November 6, 2019
Term Sheet to Preliminary Pricing Supplement No. 564
dated October 7, 2015 |
Summary of terms
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Issuer |
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Wells Fargo & Company |
Term |
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4 years |
Market Measure |
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60% SPDR S&P 500 ETF Trust
20% SPDR S&P MidCap 400 ETF Trust 20% iShares Russell 2000 ETF (the
Basket) |
Pricing Date |
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October 30, 2015* |
Issue Date |
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November 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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November 6, 2019* |
Starting Price |
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100 |
Ending Price |
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See How the ending price is calculated on page 3 |
Capped Value |
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[140% to 145%] of the original offering price per security ($1,400 to $1,450 per security), to be determined on the pricing date |
Threshold Price |
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90% of the starting price |
Participation
Rate |
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150% |
Calculation Day |
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October 30, 2019* |
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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1.575%; 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 0.075% |
CUSIP |
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94986RZE4 |
Investment description
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Linked to a Domestic ETF Basket comprised of the SPDR® S&P 500 ETF Trust (60%), the SPDR® S&P
MidCap 400 ETF Trust (20%), and the iShares® Russell 2000 ETF (20%) |
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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 Basket from its starting price to its ending price. The payment at maturity will reflect the following terms: |
o If the value of the Basket appreciates:
You will receive the original offering price plus 150% participation in the upside performance of the Basket, subject to a maximum total return
at maturity of 40% to 45% (to be determined on the pricing date) of the original offering price
o If the value of the Basket decreases
but the decrease is not more than 10%:
You will be repaid the original offering price
o If the value of the Basket decreases by more than 10%:
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 Basket in
excess of 10%
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Investors may lose up to 90% 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 basket components or any securities held by the basket components
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 |
*To the extent that the issuer makes any change to the expected pricing date or expected issue date, the calculation day
and stated maturity date may also be changed in the issuers discretion to ensure that the term of the securities remains the same.
On the
date of the accompanying preliminary pricing supplement, the estimated value of the securities is approximately $947.00 per security. While the estimated value of the securities on the pricing date may differ from the estimated value set forth
above, the issuer does not expect it to differ significantly absent a material change in market conditions or other relevant factors. In no event will the estimated value of the securities on the pricing date be less than $932.00 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 preliminary 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 preliminary pricing supplement and Risk Factors in the accompanying product supplement.
This introductory term sheet does not provide all of the information that an
investor should consider prior to making an investment decision.
Investors should carefully review the accompanying preliminary
pricing supplement, product supplement, market measure supplement, prospectus supplement and prospectus before making a decision to invest in the securities. Your financial advisor or broker will not accept an order in respect of the securities
without first confirming that you have reviewed these documents and that you understand them.
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 hypothetical capped value of 142.5% or $1,425 per $1,000 security (the midpoint of the specified range for
the capped value), a participation rate of 150% and a threshold price equal to 90% of the starting price.
This graph has been prepared for purposes of illustration only. Your actual return will depend on the actual ending price, the actual capped value,
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) |
175.00 |
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75.00% |
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$1,425.00 |
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42.50% |
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9.05% |
150.00 |
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50.00% |
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$1,425.00 |
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42.50% |
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9.05% |
140.00 |
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40.00% |
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$1,425.00 |
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42.50% |
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9.05% |
130.00 |
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30.00% |
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$1,425.00 |
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42.50% |
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9.05% |
128.33 |
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28.33% |
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$1,425.00 |
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42.50% |
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9.05% |
120.00 |
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20.00% |
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$1,300.00 |
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30.00% |
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6.66% |
115.00 |
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15.00% |
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$1,225.00 |
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22.50% |
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5.13% |
110.00 |
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10.00% |
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$1,150.00 |
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15.00% |
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3.52% |
105.00 |
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5.00% |
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$1,075.00 |
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7.50% |
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1.81% |
100.00(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% |
95.00 |
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-5.00% |
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$1,000.00 |
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0.00% |
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0.00% |
90.00 |
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-10.00% |
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$1,000.00 |
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0.00% |
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0.00% |
89.00 |
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-11.00% |
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$990.00 |
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-1.00% |
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-0.25% |
85.00 |
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-15.00% |
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$950.00 |
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-5.00% |
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-1.28% |
80.00 |
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-20.00% |
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$900.00 |
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-10.00% |
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-2.61% |
70.00 |
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-30.00% |
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$800.00 |
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-20.00% |
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-5.50% |
60.00 |
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-40.00% |
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$700.00 |
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-30.00% |
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-8.72% |
50.00 |
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-50.00% |
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$600.00 |
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-40.00% |
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-12.36% |
25.00 |
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-75.00% |
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$350.00 |
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-65.00% |
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-24.58% |
Assumes a hypothetical capped value of 142.5%, or $1,425 per security (the midpoint of the specified range of the
capped value). 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 rate of return will depend on the actual ending price and capped value.
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 × |
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ending price starting price |
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× 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 × |
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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 90% less, than the original
offering price of your securities at maturity.
How the ending price is calculated
The ending price will be calculated based on the weighted returns of the basket components and will be equal to the product of (i) 100 and (ii) an
amount equal to 1 plus the sum of: (A) 60% of the component return of the SPDR S&P 500 ETF Trust; (B) 20% of the component return of the SPDR S&P MidCap 400 ETF Trust; and (C) 20% of the component return of the iShares Russell
2000 ETF.
The component return of a basket component will be equal to:
final component price initial component price
initial component price
where,
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the initial component price will be the fund closing price of such basket component on the pricing date; and |
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the final component price will be the fund closing price of such basket component on the calculation day. |
Domestic ETF Basket hypothetical historical performance*
*While historical information on the value of the Basket does not exist for dates prior to the pricing date, the
graph above sets forth the hypothetical historical daily values of the Basket for the period from January 1, 2005 to October 5, 2015 assuming that the Basket was constructed on January 1, 2005 with a starting price of 100 and that
each of the basket components had the applicable weighting as of such day. The hypothetical historical performance of the Basket is not an indication of the future performance of the Basket during the term of the securities.
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Selected risk considerations
The risks set forth below are discussed in detail in the Selected Risk Considerations section in the accompanying preliminary 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 90% 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 Basket. |
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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, Will Be 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 Basket 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 Basket Components. |
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Historical Prices Of The Basket Components Or The Securities Included In The Basket Components Should Not Be Taken As An Indication Of The Future Performance Of The Basket Components During The Term Of The
Securities. |
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Changes That Affect The Basket Components Or The Underlying Indices 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 Basket Components Or The Underlying Indices. |
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The Issuer And Its Affiliates Have No Affiliation With The Sponsors Of The Basket Components Or The Sponsors Of The Underlying Indices And Have Not Independently Verified Their Public Disclosure Of
Information. |
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Changes In The Value Of The Basket Components May Offset Each Other. |
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An Investment Linked To The Shares Of The Basket Components Is Different From An Investment Linked To The Underlying Indices. |
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You Will Not Have Any Shareholder Rights With Respect To The Shares Of The Basket Components. |
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Anti-dilution Adjustments Relating To The Shares Of The Basket Components Do Not Address Every Event That Could Affect Such Shares. |
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An Investment In The Securities Is Subject To Risks Associated With Investing In Stocks With A Small Market Capitalization |
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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 An Affiliate Of The Issuer 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 An Affiliate Of The Issuer And Is Therefore Not An Independent Third-Party Valuation. |
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Research Reports By Affiliates Of The Issuer Or Any Participating Dealer Or Its Affiliates May Be Inconsistent With An Investment In The Securities And May Adversely Affect The Prices Of The Basket Components.
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Business Activities Of Affiliates Of The Issuer Or Any Participating Dealers Or Its Affiliates With The Companies Whose Securities Are Included In The Basket Components May Adversely Affect The Prices Of The Basket
Components. |
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Hedging Activities By Affiliates Of The Issuer Or Any Participating Dealer Or Its Affiliates May Adversely Affect The Prices Of The Basket Components. |
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Trading Activities By Affiliates Of The Issuer Or Any Participating Dealer Or Its Affiliates May Adversely Affect The Prices Of The Basket Components. |
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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 adviser
Investors should review carefully the accompanying preliminary pricing supplement, product supplement, market measure supplement, prospectus supplement and prospectus and consult their tax advisers regarding the application of the
U.S. federal income 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® and S&P
MidCap 400® 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® S&P MidCap 400® ETF Trust (the SPDR Trusts) or S&P Financial. Neither the SPDR Trusts 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 Trusts 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 Trusts.
iShares® is a registered mark of BlackRock Institutional Trust Company, N.A. (BTC). The securities are not sponsored, endorsed, sold or promoted by BTC, its affiliate, BlackRock Fund Advisors
(BFA), iShares Trust or iShares, Inc. None of BTC, BFA, iShares Trust or iShares, Inc. 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. None of BTC, BFA, iShares Trust or iShares, Inc. 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 iShares® Russell 2000 ETF.
5
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