Market Linked Securities— Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the Nasdaq-100 Index® due April 6, 2026
Calculation Agent:
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CGMI
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Denominations:
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$1,000 and any integral multiple of $1,000
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CUSIP / ISIN:
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17328YVE1 / US17328YVE12
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* Expected. To the extent that the issuer makes any change to the expected pricing date or expected issue date, the valuation date and maturity date may also be changed in the issuer’s discretion to ensure that the term of the securities remains the same.
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Market Linked Securities— Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the Nasdaq-100 Index® due April 6, 2026
The terms of the securities are set forth
in the accompanying product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying
product supplement, underlying supplement, prospectus supplement and prospectus contain important disclosures that are not repeated
in this pricing supplement. For example, the accompanying product supplement contains important information about how the closing
value of the underlyings will be determined and other specified events with respect to the underlyings. The accompanying underlying
supplement contains information about the underlyings that is not repeated in this pricing supplement. It is important that you
read the accompanying product supplement, underlying supplement, prospectus supplement and prospectus together with this pricing
supplement in deciding whether to invest in the securities. Certain terms used but not defined in this pricing supplement are defined
in the accompanying product supplement.
When we refer to “we,” “us”
and “our” in this pricing supplement, we refer only to Citigroup Global Market Holdings Inc. and not to any of its
affiliates, including Citigroup Inc.
You may access the product supplement,
underlying supplement and prospectus supplement and prospectus on the SEC website www.sec.gov as follows (or if such address has
changed, by reviewing our filings for the relevant date on the SEC website):
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•
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Product Supplement No. EA-02-08 dated February 15, 2019:
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https://www.sec.gov/Archives/edgar/data/200245/000095010319002039/dp102379_424b2-psea0208par.htm
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Underlying Supplement No. 9 dated October 30, 2020:
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https://www.sec.gov/Archives/edgar/data/200245/000095010320021127/dp139820_424b2-us9.htm
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•
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Prospectus Supplement and Prospectus, each dated May 14, 2018:
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https://www.sec.gov/Archives/edgar/data/200245/000119312518162183/d583728d424b2.htm
Prospectus. The
first sentence of “Description of Debt Securities— Events of Default and Defaults” in the accompanying prospectus
shall be amended to read in its entirety as follows:
Events of default under
the indenture are:
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failure of Citigroup Global Markets Holdings or Citigroup to pay required interest on any debt security of such series for 30 days;
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failure of Citigroup Global Markets Holdings or Citigroup to pay principal, other than a scheduled installment payment to a sinking fund, on any debt security of such series for 30 days;
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failure of Citigroup Global Markets Holdings or Citigroup to make any required scheduled installment payment to a sinking fund for 30 days on debt securities of such series;
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failure of Citigroup Global Markets Holdings to perform for 90 days after notice any other covenant in the indenture applicable to it other than a covenant included in the indenture solely for the benefit of a series of debt securities other than such series; and
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certain events of bankruptcy or insolvency of Citigroup Global Markets Holdings, whether voluntary or not (Section 6.01).
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Market Linked Securities— Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the Nasdaq-100 Index® due April 6, 2026
We have designed the securities for investors
who:
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·
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seek a contingent fixed return if the final underlying value of the worst performing underlying
is greater than or equal to its initial underlying value;
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·
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understand that if the final underlying value of the worst performing underlying is less than its
final barrier value, they will be fully exposed to the decline in the worst performing underlying from its initial underlying value
and will receive significantly less than the stated principal amount, and possibly nothing, at maturity;
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understand that any positive return they will receive at maturity will be limited to the contingent
fixed return, regardless of the extent to which the final underlying value of the worst performing underlying exceeds its initial
underlying value;
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·
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understand that the return on the securities will depend solely on the performance of the worst
performing underlying and that they will not benefit in any way from the performance of any better performing underlying;
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understand that the securities are riskier than alternative investments linked to only one of the
underlyings or linked to a basket composed of each underlying;
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understand and are willing to accept the full downside risks of each underlying;
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·
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are willing to forgo interest payments on the securities and dividends on securities included in
the underlyings; and
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are willing to hold the securities to maturity.
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The securities are not designed for, and
may not be a suitable investment for, investors who:
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·
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seek a return that is not limited by a contingent fixed payment;
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·
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seek a liquid investment or are unable or unwilling to hold the securities to maturity;
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·
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are unwilling to accept the risk that the final underlying value of the worst performing underlying
may be less than its final barrier value;
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seek full return of the stated principal amount of the securities at maturity;
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are unwilling to purchase securities with an estimated value as of the pricing date that is lower
than the public offering price and that may be as low as the lower estimated value set forth on the cover page;
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seek exposure to a basket composed of each underlying or a similar investment in which the overall
return is based on a blend of the performances of the underlyings, rather than solely on the worst performing underlying;
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are unwilling to accept the risk of exposure to the United States equity market;
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seek exposure to the worst performing underlying but are unwilling to accept the risk/return trade-offs
inherent in the payment at maturity for the securities;
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are unwilling to accept the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup
Inc.; 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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Market Linked Securities— Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the Nasdaq-100 Index® due April 6, 2026
Determining Payment at Maturity
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On the maturity date, you will receive
a cash payment per security (the payment at maturity) calculated as follows:
Market Linked Securities— Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the Nasdaq-100 Index® due April 6, 2026
Hypothetical Payout Profile
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The diagram below illustrates your payment
at maturity for a range of hypothetical underlying returns of the worst performing underlying. The diagram assumes that the contingent
fixed return will be set at the lowest value indicated in “Terms of the Securities” above. The actual contingent fixed
return will be determined on the pricing date. Your actual return will depend on the actual final underlying value of the worst
performing underlying, the actual contingent fixed return and whether you hold your securities to maturity. The performance of
any better performing underlying is not relevant to your return on the securities.
Investors in the securities will not
receive any dividends with respect to the securities included in the underlyings. The diagram below does not show any effect of
lost dividend yield over the term of the securities. See “Summary Risk Factors—You Will Not Receive Dividends Or
Have Any Other Rights With Respect To The Securities Included In The Underlyings” below.
nThe Securities
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n The Worst Performing Underlying
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Market Linked Securities— Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the Nasdaq-100 Index® due April 6, 2026
An investment in the securities is significantly
riskier than an investment in conventional debt securities. The securities are subject to all of the risks associated with an investment
in our conventional debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on
our obligations under the securities, and are also subject to risks associated with each of the underlyings. Accordingly, the securities
are suitable only for investors who are capable of understanding the complexities and risks of the securities. You should consult
your own financial, tax and legal advisors as to the risks of an investment in the securities and the suitability of the securities
in light of your particular circumstances.
The following is a summary of certain key
risk factors for investors in the securities. You should read this summary together with the more detailed description of risks
relating to an investment in the securities contained in the section “Risk Factors Relating to the Securities” beginning
on page EA-7 in the accompanying product supplement. You should also carefully read the risk factors included in the accompanying
prospectus supplement and in the documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.’s
most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the
business of Citigroup Inc. more generally.
You May Lose Some
Or All Of Your Investment.
Unlike conventional debt
securities, the securities do not repay a fixed amount of principal at maturity. Instead, your payment at maturity will depend
on the performance of the worst performing underlying. If the final underlying value of the worst performing underlying is less
than its final barrier value, you will lose 1% of the stated principal amount of the securities for every 1% by which the worst
performing underlying has declined from its initial underlying value. There is no minimum payment at maturity on the securities,
and you may lose up to all of your investment.
The Securities Do
Not Pay Interest.
Unlike conventional debt
securities, the securities do not pay interest or any other amounts prior to maturity. You should not invest in the securities
if you seek current income during the term of the securities.
Your Potential Return
On The Securities Is Limited.
Your potential return
on the securities at maturity is limited to the contingent fixed return. Your return on the securities will not exceed the contingent
fixed return, even if the worst performing underlying appreciates by significantly more than the return represented by the contingent
fixed return. If the worst performing underlying appreciates by more than the return represented by the contingent fixed return,
the securities will underperform an alternative investment providing 1-to-1 exposure to the performance of the worst performing
underlying. When lost dividends are taken into account, the securities may underperform an alternative investment providing 1-to-1
exposure to the performance of the worst performing underlying even if the worst performing underlying appreciates by less than
the return represented by the contingent fixed return.
The Securities Are
Subject To Heightened Risk Because They Have Multiple Underlyings.
The securities are more
risky than similar investments that may be available with only one underlying. With multiple underlyings, there is a greater chance
that any one underlying will perform poorly, adversely affecting your return on the securities.
The
Securities Are Subject To The Risks Of Each Of The Underlyings And Will Be Negatively Affected If Any One Underlying Performs Poorly,
Regardless Of The Performance Of Any Other Underlying.
You
are subject to risks associated with each of the underlyings. If any one underlying performs poorly, you will be negatively affected,
regardless of the performance of any other underlying. The securities are not linked to a basket composed of the underlyings, where
the blended performance of the underlyings would be better than the performance of the worst performing underlying alone. Instead,
you are subject to the full risks of whichever of the underlyings is the worst performing underlying.
You
Will Not Benefit In Any Way From The Performance Of Any Better Performing Underlying.
The
return on the securities depends solely on the performance of the worst performing underlying, and you will not benefit in any
way from the performance of any better performing underlying.
You
Will Be Subject To Risks Relating To The Relationship Between The Underlyings.
It
is preferable from your perspective for the underlyings to be correlated with each other, in the sense that they tend to increase
or decrease at similar times and by similar magnitudes. By investing in the securities, you assume the risk that the underlyings
will not exhibit this relationship. The less correlated the underlyings, the more likely it is that any one of the underlyings
will perform poorly over the term of the securities. All that is necessary for the securities to perform poorly is for one of the
underlyings to perform poorly;
Market Linked Securities— Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the Nasdaq-100 Index® due April 6, 2026
the
performance of any underlying that is not the worst performing underlying is not relevant to your return on the securities. It
is impossible to predict what the relationship between the underlyings will be over the term of the securities. The underlyings
differ in significant ways and, therefore, may not be correlated with each other.
You Will Not Receive Dividends Or Have
Any Other Rights With Respect To The Securities Included In The Underlyings.
You will not receive
any dividends with respect to the securities included in the underlyings. This lost dividend yield may be significant over the
term of the securities. The payment scenarios described in this pricing supplement do not show any effect of lost dividend yield
over the term of the securities. In addition, you will not have voting rights or any other rights with respect to the securities
included in the underlyings.
Your Payment At Maturity
Depends On The Value Of The Worst Performing Underlying On A Single Day.
Because your payment
at maturity depends on the value of the worst performing underlying solely on the valuation date, you are subject to the risk that
the value of the worst performing underlying on that day may be lower, and possibly significantly lower, than on one or more other
dates during the term of the securities. If you had invested in another instrument linked to the worst performing underlying that
you could sell for full value at a time selected by you, or if the payment at maturity were based on an average of values of the
worst performing underlying, you might have achieved better returns.
The Securities Are
Subject To The Credit Risk Of Citigroup Global Markets Holdings Inc. And Citigroup Inc.
If we default on our
obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything owed to
you under the securities.
The Securities Will Not Be Listed On
Any Securities Exchange And You May Not Be Able To Sell Them Prior To Maturity.
The securities will not be listed on any
securities exchange. Therefore, there may be little or no secondary market for the securities. We have been advised that Wells
Fargo currently intends to make a secondary market in relation to the securities. However, Wells Fargo may suspend or terminate
making a market without notice, at any time and for any reason. If Wells Fargo suspends or terminates making a market, there may
be no secondary market at all for the securities because it is likely that Wells Fargo will be the only broker-dealer that is willing
to buy your securities prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity.
The Estimated Value Of The Securities
On The Pricing Date, Based On CGMI’s Proprietary Pricing Models And Our Internal Funding Rate, Is Less Than The Public Offering
Price.
The difference is attributable to certain
costs associated with selling, structuring and hedging the securities that are included in the public offering price. These costs
include (i) any selling concessions or other fees paid in connection with the offering of the securities, (ii) hedging and other
costs incurred by us and our affiliates in connection with the offering of the securities and (iii) the expected profit (which
may be more or less than actual profit) to CGMI or other of our affiliates and/or Wells Fargo or its affiliates in connection with
hedging our obligations under the securities. These costs adversely affect the economic terms of the securities because, if they
were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities are also
likely to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the securities.
See “The Estimated Value Of The Securities Would Be Lower If It Were Calculated Based On Our Secondary Market Rate”
below.
The Estimated Value Of The Securities
Was Determined For Us By Our Affiliate Using Proprietary Pricing Models.
CGMI derived the estimated value disclosed
on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have made discretionary judgments
about the inputs to its models, such as the volatility of and correlation between the underlyings, the dividend yields on the securities
included in the underlyings and interest rates. CGMI’s views on these inputs may differ from your or others’ views,
and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to the models
may prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover, the estimated value of
the securities set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine
for the securities for other purposes, including for accounting purposes. You should not invest in the securities because of the
estimated value of the securities. Instead, you should be willing to hold the securities to maturity irrespective of the initial
estimated value.
The Estimated Value Of The Securities
Would Be Lower If It Were Calculated Based On Wells Fargo’s Determination of The Secondary Market Rate With Respect To Us.
The estimated value of the securities included
in this pricing supplement is calculated based on our internal funding rate, which is the rate at which we are willing to borrow
funds through the issuance of the securities. We expect that our internal funding rate is
Market Linked Securities— Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the Nasdaq-100 Index® due April 6, 2026
generally lower than Wells Fargo’s
determination of the secondary market rate with respect to us, which is the rate that we expect Wells Fargo will use in determining
the value of the securities for purposes of any purchases of the securities from you in the secondary market. If the estimated
value included in this pricing supplement were based on Wells Fargo’s determination of the secondary market rate with respect
to us, rather than our internal funding rate, it would likely be lower. We determine our internal funding rate based on factors
such as the costs associated with the securities, which are generally higher than the costs associated with conventional debt securities,
and our liquidity needs and preferences. Our internal funding rate is not an interest rate that is payable on the securities.
Because there is not an active market for
traded instruments referencing our outstanding debt obligations, Wells Fargo may determine the secondary market rate with respect
to us for purposes of any purchase of the securities from you in the secondary market based on the market price of traded instruments
referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the securities,
but subject to adjustments that Wells Fargo may deem appropriate.
The Estimated Value Of The Securities
Is Not An Indication Of The Price, If Any, At Which Any Person May Be Willing To Buy The Securities From You In The Secondary Market.
Any such secondary market price will fluctuate
over the term of the securities based on the market and other factors described in the next risk factor. Moreover, unlike the estimated
value included in this pricing supplement, we expect that any value of the securities determined for purposes of a secondary market
transaction will be based on Wells Fargo’s determination of the secondary market rate with respect to us, which will likely
result in a lower value for the securities than if our internal funding rate were used. In addition, we expect that any secondary
market price for the securities will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal
amount of the securities to be purchased in the secondary market transaction, and may be reduced by the expected cost of unwinding
related hedging transactions. As a result, it is likely that any secondary market price for the securities will be less than the
public offering price.
The Value Of The Securities Prior To
Maturity Will Fluctuate Based On Many Unpredictable Factors.
The value of your securities prior to maturity
will fluctuate based on the closing values of the underlyings, the volatility of the closing values of the underlyings, the correlation
between the underlyings, dividend yields on the underlyings, interest rates generally, the time remaining to maturity and our and
Citigroup Inc.’s creditworthiness, as reflected in our secondary market rate, among other factors described under “Risk
Factors Relating to the Securities—Risk Factors Relating to All Securities—The value of your securities prior to maturity
will fluctuate based on many unpredictable factors” in the accompanying product supplement. Changes in the closing values
of the underlyings may not result in a comparable change in the value of your securities. You should understand that the value
of your securities at any time prior to maturity may be significantly less than the public offering price.
We Have Been Advised That, Immediately
Following Issuance, Any Secondary Market Bid Price Provided By Wells Fargo, And The Value That Will Be Indicated On Any Brokerage
Account Statements Prepared By Wells Fargo Or Its Affiliates, Will Reflect A Temporary Upward Adjustment.
The amount of this temporary upward adjustment
will steadily decline to zero over the temporary adjustment period. See “Valuation of the Securities” in this pricing
supplement.
The Russell 2000® Index Is Subject To Risks
Associated With Small Capitalization Stocks.
The stocks that constitute the Russell
2000® Index are issued by companies with relatively small market capitalization. The stock prices of smaller companies
may be more volatile than stock prices of large capitalization companies. These companies tend to be less well-established than
large market capitalization companies. Small capitalization companies may be less able to withstand adverse economic, market, trade
and competitive conditions relative to larger companies. Small capitalization companies are less likely to pay dividends on their
stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market
conditions.
Our Offering Of The Securities Is Not
A Recommendation Of Any Underlying.
The fact that we are offering the securities
does not mean that we or Wells Fargo or its affiliates believe that investing in an instrument linked to the underlyings is likely
to achieve favorable returns. In fact, as we and Wells Fargo and its affiliates are each part of respective global financial institutions,
our affiliates and affiliates of Wells Fargo may have positions (including short positions) in the underlyings or in instruments
related to the underlyings, and may publish research or express opinions, that in each case are inconsistent with an investment
linked to the underlyings. These and other activities of our affiliates or of Wells Fargo or its affiliates may affect the closing
values of the underlyings in a way that negatively affects the value of and your return on the securities.
The Closing Value Of An Underlying May
Be Adversely Affected By Our Or Our Affiliates’, Or By Wells Fargo And Its Affiliates’, Hedging And Other Trading Activities.
Market Linked Securities— Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the Nasdaq-100 Index® due April 6, 2026
We expect to hedge our obligations under
the securities through CGMI or other of our affiliates and/or Wells Fargo or its affiliates, who may take positions in the underlyings
or in financial instruments related to the underlyings and may adjust such positions during the term of the securities. Our affiliates
and Wells Fargo and its affiliates also take positions in the underlyings or in financial instruments related to the underlyings
on a regular basis (taking long or short positions or both), for their accounts, for other accounts under their management or to
facilitate transactions on behalf of customers. These activities could affect the closing value of the underlyings in a way that
negatively affects the value of and your return on the securities. They could also result in substantial returns for us or our
affiliates or Wells Fargo and its affiliates while the value of the securities declines.
We And Our Affiliates And Wells Fargo
And Its Affiliates May Have Economic Interests That Are Adverse To Yours As A Result Of Our And Their Respective Business Activities.
Our affiliates and Wells Fargo and its
affiliates engage in business activities with a wide range of companies. These activities include extending loans, making and facilitating
investments, underwriting securities offerings and providing advisory services. These activities could involve or affect the underlyings
in a way that negatively affects the value of and your return on the securities. They could also result in substantial returns
for us or our affiliates or Wells Fargo or its affiliates while the value of the securities declines. In addition, in the course
of this business, we or our affiliates or Wells Fargo or its affiliates may acquire non-public information, which will not be disclosed
to you.
The Calculation Agent, Which Is An Affiliate
Of Ours, Will Make Important Determinations With Respect To The Securities.
If certain events occur during the term
of the securities, such as market disruption events and other events with respect to an underlying, CGMI, as calculation agent,
will be required to make discretionary judgments that could significantly affect your return on the securities. In making these
judgments, the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder of the
securities. See “ Risk Factors Relating to the Securities—Risk Factors Relating to All Securities—The calculation
agent, which is an affiliate of ours, will make important determinations with respect to the securities” in the accompanying
product supplement.
Changes That Affect The Underlyings
May Affect The Value Of Your Securities.
The sponsors of the underlyings may at
any time make methodological changes or other changes in the manner in which they operate that could affect the values of the underlyings.
We are not affiliated with any such underlying sponsor and, accordingly, we have no control over any changes any such sponsor may
make. Such changes could adversely affect the performance of the underlyings and the value of and your return on the securities.
The Stated Maturity Date May Be Postponed
If The Valuation Date is Postponed.
The valuation date with respect to an underlying
will be postponed if the originally scheduled valuation date is not a trading day with respect to any underlying or if the calculation
agent determines that a market disruption event has occurred or is continuing with respect to that underlying on the valuation
date. 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 last valuation date as postponed.
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 Internal Revenue Service (the “IRS”).
Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or a court might not agree
with the treatment of the securities as prepaid forward contracts. 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.
Moreover, future legislation, Treasury regulations or IRS guidance could adversely affect the U.S. federal tax treatment of the
securities, possibly retroactively.
If you are a non-U.S. investor, you should review the discussion
of withholding tax issues in “United States Federal Tax Considerations—Non-U.S. Holders” below.
You should read carefully the discussion
under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying
product supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult
your tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising
under the laws of any state, local or non-U.S. taxing jurisdiction.
Market Linked Securities— Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the Nasdaq-100 Index® due April 6, 2026
The table below is based on a range of hypothetical underlying
returns of the worst performing underlying and illustrates:
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the hypothetical underlying return of the worst performing underlying;
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the hypothetical payment at maturity per security; and
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the hypothetical total pre-tax rate of return.
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The table below is based on a hypothetical
initial underlying value for each underlying of 100 and does not reflect the actual initial underlying value of any underlying.
The table below assumes that the contingent fixed return will be set at the lowest value indicated in “Terms of the Securities”
above. The actual contingent fixed return will be determined on the pricing date.
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Hypothetical final underlying value of the worst performing underlying
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Hypothetical underlying return of the worst performing underlying
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Hypothetical payment at maturity per security
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Hypothetical total pre-tax rate of return
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200.00
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100.00%
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$1,480.00
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48.00%
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175.00
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75.00%
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$1,480.00
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48.00%
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150.00
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50.00%
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$1,480.00
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48.00%
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140.00
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40.00%
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$1,480.00
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48.00%
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130.00
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30.00%
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$1,480.00
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48.00%
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120.00
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20.00%
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$1,480.00
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48.00%
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110.00
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10.00%
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$1,480.00
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48.00%
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105.00
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5.00%
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$1,480.00
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48.00%
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100.00
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0.00%
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$1,480.00
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48.00%
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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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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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80.00
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-20.00%
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$1,000.00
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0.00%
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70.00
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-30.00%
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$1,000.00
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0.00%
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69.99
|
-30.01%
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$699.90
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-30.01%
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60.00
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-40.00%
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$600.00
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-40.00%
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50.00
|
-50.00%
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$500.00
|
-50.00%
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25.00
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-75.00%
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$250.00
|
-75.00%
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0.00
|
-100.00%
|
$0.00
|
-100.00%
|
The above figures are for purposes of illustration
only and may have been rounded for ease of analysis.
Market Linked Securities— Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the Nasdaq-100 Index® due April 6, 2026
The examples below illustrate how to determine
the payment at maturity on the securities, assuming the various hypothetical final underlying values of the worst performing underlying
indicated below. The examples are solely for illustrative purposes, do not show all possible outcomes and are not a prediction
of what the actual payment at maturity on the securities will be. The actual payment at maturity will depend on the actual final
underlying value of the worst performing underlying.
The
examples below are based on the following hypothetical values and do not reflect the actual initial underlying values or final
barrier values of the underlyings. For the actual initial underlying value and final barrier value of each underlying, see “Terms
of the Securities” above. We have used these hypothetical values, rather than the actual values, to simplify the calculations
and aid understanding of how the securities work. However, you should understand that the actual payment at maturity on the securities
will be calculated based on the actual initial underlying value and final barrier value of each underlying, and not the hypothetical
values indicated below. The examples below assume that the contingent fixed return is set at the lowest value indicated in “Terms
of the Securities” above. The actual contingent fixed return will be determined on the pricing date.
Underlying
|
Hypothetical initial underlying value
|
Hypothetical final barrier value
|
Dow Jones Industrial AverageTM
|
100
|
70.00 (70% of its hypothetical initial underlying value)
|
Russell 2000® Index
|
100
|
70.00 (70% of its hypothetical initial underlying value)
|
Nasdaq-100 Index®
|
100
|
70.00 (70% of its hypothetical initial underlying value)
|
Example 1—Upside Scenario A.
The hypothetical final underlying value of the worst performing underlying is 110 (a 10% increase from its initial underlying value),
which is greater than its initial underlying value.
Underlying
|
Hypothetical final underlying value
|
Hypothetical underlying return
|
Dow Jones Industrial AverageTM*
|
110
|
10%
|
Russell 2000® Index
|
150
|
50%
|
Nasdaq-100 Index®
|
130
|
30%
|
* Worst performing underlying
Payment at maturity per security = $1,000 + contingent fixed
return
= $1,000 + $480
= $1,480
Because the worst performing underlying
is greater than or equal to its initial underlying value, you would receive a payment at maturity equal to the stated principal
amount plus the contingent fixed return.
Example 2—Upside Scenario B.
The hypothetical final underlying value of the worst performing underlying is 160 (a 60% increase from its initial underlying value),
which is greater than its initial underlying value.
Underlying
|
Hypothetical final underlying value
|
Hypothetical underlying return
|
Dow Jones Industrial AverageTM
|
170
|
70%
|
Russell 2000® Index*
|
160
|
60%
|
Nasdaq-100 Index®
|
180
|
80%
|
* Worst performing underlying
Payment at maturity per security = $1,000 + contingent fixed
return
= $1,000 + $480
Market Linked Securities— Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the Nasdaq-100 Index® due April 6, 2026
= $1,480
Because the worst performing underlying
is greater than or equal to its initial underlying value, you would receive a payment at maturity equal to the stated principal
amount plus the contingent fixed return. In this scenario, the contingent fixed return is less than the underlying return
of the worst performing underlying, and as a result an investment in the securities would underperform a hypothetical alternative
investment providing 1-to-1 exposure to the appreciation of the worst performing underlying.
Example 3—Par Scenario. The
hypothetical final underlying value of the worst performing underlying is 80 (a 20% decrease from its initial underlying value),
which is less than its initial underlying value but greater than its final barrier value.
Underlying
|
Hypothetical final underlying value
|
Hypothetical underlying return
|
Dow Jones Industrial AverageTM
|
110
|
10%
|
Russell 2000® Index*
|
80
|
-20%
|
Nasdaq-100 Index®
|
105
|
5%
|
* Worst performing underlying
Payment at maturity per security = $1,000
Because the hypothetical final underlying
value of the worst performing underlying is less than its initial underlying value but greater than its final barrier value, you
would be repaid the stated principal amount of your securities at maturity but would not receive any positive return on your investment.
Example 4—Downside Scenario.
The hypothetical final underlying value of the worst performing underlying is 30 (a 70% decrease from its initial underlying value),
which is less than its final barrier value.
Underlying
|
Hypothetical final underlying value
|
Hypothetical underlying return
|
Dow Jones Industrial AverageTM
|
70
|
-30%
|
Russell 2000® Index
|
90
|
-10%
|
Nasdaq-100 Index®*
|
30
|
-70%
|
* Worst performing underlying
Payment at maturity per security = $1,000 + ($1,000 ×
underlying return of the worst performing underlying)
= $1,000 + ($1,000 × -70%)
= $1,000 + -$700
= $300
Because the worst performing underlying
depreciated from its initial underlying value to its hypothetical final underlying value and its hypothetical final underlying
value is less than its final barrier value, your payment at maturity in this scenario would reflect 1-to-1 exposure to the negative
performance of the worst performing underlying.
Market Linked Securities— Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the Nasdaq-100 Index® due April 6, 2026
Additional Terms of the Securities
|
The following provisions supersede the
provisions in the product supplement to the extent that they are inconsistent from those provisions.
Certain Definitions
A
“trading day” with respect to each underlying means a day, as determined by the calculation agent, on which (i) the
relevant stock exchanges with respect to each security underlying such underlying are scheduled to be open for trading for their
respective regular trading sessions and (ii) each related futures or options exchange with respect to such underlying is scheduled
to be open for trading for its regular trading session.
The
“relevant stock exchange” for any security underlying an underlying means the primary exchange or quotation system
on which such security is traded, as determined by the calculation agent.
The
“related futures or options exchange” for an underlying means an exchange or quotation system where trading has a material
effect (as determined by the calculation agent) on the overall market for futures or options contracts relating to such underlying.
Postponement of the Valuation Date
If the scheduled valuation date is not a trading day with respect
to any underlying, the valuation date for each underlying will be postponed to the next succeeding day that is a trading day with
respect to each underlying. The valuation date for an underlying is also subject to postponement due to the occurrence of a market
disruption event with respect to such underlying on the valuation date. See “—Market Disruption Events.”
Market Disruption Events
A “market disruption
event” with respect to each underlying means any of the following events as determined by the calculation agent in its sole
discretion:
|
(A)
|
The occurrence
or existence of a material suspension of or limitation imposed on trading by the relevant stock exchanges or otherwise relating
to securities which then comprise 20% or more of the level of such underlying or any successor index at any time during the one-hour
period that ends at the close of trading on that day, whether by reason of movements in price exceeding limits permitted by those
relevant stock exchanges or otherwise.
|
|
(B)
|
The occurrence
or existence of a material suspension of or limitation imposed on trading by any related futures or options exchange or otherwise
in futures or options contracts relating to such underlying or any successor index on any related futures or options exchange
at any time during the one-hour period that ends at the close of trading on that day, whether by reason of movements in price
exceeding limits permitted by the related futures or options exchange or otherwise.
|
|
(C)
|
The occurrence
or existence of any event, other than an early closure, that materially disrupts or impairs the ability of market participants
in general to effect transactions in, or obtain market values for, securities that then comprise 20% or more of the level of such
underlying or any successor index on their relevant stock exchanges at any time during the one-hour period that ends at the close
of trading on that day.
|
|
(D)
|
The occurrence
or existence of any event, other than an early closure, that materially disrupts or impairs the ability of market participants
in general to effect transactions in, or obtain market values for, futures or options contracts relating to such underlying or
any successor index on any related futures or options exchange at any time during the one-hour period that ends at the close of
trading on that day.
|
|
(E)
|
The closure on
any exchange business day of the relevant stock exchanges on which securities that then comprise 20% or more of the level of such
underlying or any successor index are traded or any related futures or options exchange with respect to such underlying or any
successor index prior to its scheduled closing time unless the earlier closing time is announced by the relevant stock exchange
or related futures or options exchange, as applicable, at least one hour prior to the earlier of (1) the actual closing time for
the regular trading session on such relevant stock exchange or related futures or
|
Market Linked Securities— Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the Nasdaq-100 Index® due April 6, 2026
options
exchange, as applicable, and (2) the submission deadline for orders to be entered into the relevant stock exchange or related
futures or options exchange, as applicable, system for execution at such actual closing time on that day.
|
(F)
|
The relevant
stock exchange for any security underlying such underlying or successor index or any related futures or options exchange with
respect to such underlying or successor index fails to open for trading during its regular trading session.
|
For
purposes of determining whether a market disruption event has occurred with respect to an underlying:
|
(1)
|
the relevant
percentage contribution of a security to the level of such underlying or any successor index will be based on a comparison of
(x) the portion of the level of such underlying attributable to that security and (y) the overall level of such underlying
or successor index, in each case immediately before the occurrence of the market disruption event;
|
|
(2)
|
the “close
of trading” on any trading day for such underlying or any successor index means the scheduled closing time of the relevant
stock exchanges with respect to the securities underlying such underlying or successor index on such trading day; provided that,
if the actual closing time of the regular trading session of any such relevant stock exchange is earlier than its scheduled closing
time on such trading day, then (x) for purposes of clauses (A) and (C) of the definition of “market disruption event”
above, with respect to any security underlying such underlying or successor index for which such relevant stock exchange is its
relevant stock exchange, the “close of trading” means such actual closing time and (y) for purposes of clauses
(B) and (D) of the definition of “market disruption event” above, with respect to any futures or options contract
relating to such underlying or successor index, the “close of trading” means the latest actual closing time of the
regular trading session of any of the relevant stock exchanges, but in no event later than the scheduled closing time of the relevant
stock exchanges;
|
|
(3)
|
the “scheduled
closing time” of any relevant stock exchange or related futures or options exchange on any trading day for such underlying
or any successor index means the scheduled weekday closing time of such relevant stock exchange or related futures or options
exchange on such trading day, without regard to after hours or any other trading outside the regular trading session hours; and
|
|
(4)
|
an “exchange
business day” means any trading day for such underlying or any successor index on which each relevant stock exchange for
the securities underlying such underlying or any successor index and each related futures or options exchange with respect to
such underlying or any successor index are open for trading during their respective regular trading sessions, notwithstanding
any such relevant stock exchange or related futures or options exchange closing prior to its scheduled closing time.
|
If a market disruption event occurs or
is continuing with respect to an underlying on the valuation date, then the valuation date for such underlying will be postponed
to the first succeeding trading day for such underlying on which a market disruption event for such underlying has not occurred
and is not continuing; however, if such first succeeding trading day has not occurred as of the eighth trading day for such underlying
after the originally scheduled valuation date, that eighth trading day shall be deemed to be the valuation date for such underlying.
If the valuation date has been postponed eight trading days for an underlying after the originally scheduled valuation date and
a market disruption event occurs or is continuing with respect to such underlying on such eighth trading day, the calculation agent
will determine the closing value of such underlying on such eighth trading day in accordance with the formula for and method of
calculating the closing value of such underlying last in effect prior to commencement of the market disruption event, using the
closing price (or, with respect to any relevant security, if a market disruption event has occurred with respect to such security,
its good faith estimate of the value of such security at the scheduled closing time of the relevant stock exchange for such security
or, if earlier, the actual closing time of the regular trading session of such relevant stock exchange. As used herein, “closing
price” means, with respect to any security on any date, the relevant stock exchange traded or quoted price of such security
as of the scheduled closing time of the relevant stock exchange for such security or, if earlier, the actual closing time of the
regular trading session of such relevant stock exchange. Notwithstanding the postponement of the valuation date for an underlying
due to a market disruption event with respect to such underlying on such valuation date, the originally scheduled valuation date
will remain the valuation date for any underlying not affected by a market disruption event on such day.
Market Linked Securities— Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the Nasdaq-100 Index® due April 6, 2026
The Dow Jones Industrial
AverageTM
|
The
Dow Jones Industrial AverageTM is a price-weighted index rather than a market capitalization-weighted index. The Dow
Jones Industrial AverageTM consists of 30 common stocks chosen as representative of the broad market of U.S. industry.
It is calculated and maintained by S&P Dow Jones Indices LLC.
Please
refer to the section “Equity Index Descriptions—The Dow Jones Industrial AverageTM” in the accompanying
underlying supplement for additional information.
We
have derived all information regarding the Dow Jones Industrial AverageTM from publicly available information and have
not independently verified any information regarding the Dow Jones Industrial AverageTM. This pricing supplement relates
only to the securities and not to the Dow Jones Industrial AverageTM. We make no representation as to the performance
of the Dow Jones Industrial AverageTM over the term of the securities.
The
securities represent obligations of Citigroup Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of
the Dow Jones Industrial AverageTM is not involved in any way in this offering and has no obligation relating to the
securities or to holders of the securities.
Historical
Information
The
closing value of the Dow Jones Industrial AverageTM on February 25, 2021 was 31,402.01.
The
graph below shows the closing value of the Dow Jones Industrial AverageTM for each day such value was available from
January 4, 2016 to February 25, 2021. We obtained the closing values from Bloomberg L.P., without independent verification. You
should not take historical closing values as an indication of future performance.
Market Linked Securities— Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the Nasdaq-100 Index® due April 6, 2026
The Russell 2000®
Index is designed to track the performance of the small capitalization segment of the U.S. equity market. All stocks included in
the Russell 2000® Index are traded on a major U.S. exchange. It is calculated and maintained by FTSE Russell.
Please refer to the section
“Equity Index Descriptions—The Russell Indices—The Russell 2000® Index” in the accompanying
underlying supplement for additional information.
We have derived all information
regarding the Russell 2000® Index from publicly available information and have not independently verified any information
regarding the Russell 2000® Index. This pricing supplement relates only to the securities and not to the Russell
2000® Index. We make no representation as to the performance of the Russell 2000® Index over the
term of the securities.
The securities represent
obligations of Citigroup Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Russell 2000®
Index is not involved in any way in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the
Russell 2000® Index on February 25, 2021 was 2,200.172.
The
graph below shows the closing value of the Russell 2000® Index for each day such value was available from January
4, 2016 to February 25, 2021. We obtained the closing values from Bloomberg L.P., without independent verification. You should
not take historical closing values as an indication of future performance.
Market Linked Securities— Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the Nasdaq-100 Index® due April 6, 2026
The Nasdaq-100 Index®
is a modified market capitalization-weighted index of stocks of the 100 largest non-financial companies listed on the Nasdaq Stock
Market. All stocks included in the Nasdaq-100 Index® are traded on a major U.S. exchange. The Nasdaq-100 Index®
was developed by the Nasdaq Stock Market, Inc. and is calculated, maintained and published by Nasdaq, Inc.
Please
refer to the section “Equity Index Descriptions—The Nasdaq-100 Index®” in the accompanying underlying
supplement for additional information.
We
have derived all information regarding the Nasdaq-100 Index® from publicly available information and have not independently
verified any information regarding the Nasdaq-100 Index®. This pricing supplement relates only to the securities
and not to the Nasdaq-100 Index®. We make no representation as to the performance of the Nasdaq-100 Index®
over the term of the securities.
The
securities represent obligations of Citigroup Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of
the Nasdaq-100 Index® is not involved in any way in this offering and has no obligation relating to the securities
or to holders of the securities.
Historical Information
The closing value of the
Nasdaq-100 Index® on February 25, 2021 was 12,828.31.
The
graph below shows the closing value of the Nasdaq-100 Index® for each day such value was available from January
4, 2016 to February 25, 2021. We obtained the closing values from Bloomberg L.P., without independent verification. You should
not take historical closing values as an indication of future performance.
Market Linked Securities— Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the Nasdaq-100 Index® due April 6, 2026
United States Federal Tax Considerations
|
You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “Summary Risk Factors” in this pricing supplement.
In the opinion of our counsel, Davis Polk & Wardwell LLP,
a security should be treated as a prepaid forward contract 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. There is uncertainty
regarding this treatment, and the IRS or a court might not agree with it. Moreover, our counsel’s opinion is based on market
conditions as of the date of this preliminary pricing supplement and is subject to confirmation on the pricing date.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following
U.S. federal income tax consequences should result under current law:
|
·
|
You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or
exchange.
|
|
·
|
Upon a sale or exchange of a security (including retirement at maturity), you should recognize capital gain or loss equal to
the difference between the amount realized and your tax basis in the security. Such gain or loss should be long-term capital gain
or loss if you held the security for more than one year.
|
We do not plan to request a ruling from the IRS regarding the
treatment of the securities. An alternative characterization of the securities could materially and adversely affect the tax consequences
of ownership and disposition of the securities, including the timing and character of income recognized. In addition, the U.S.
Treasury Department and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid
forward contracts” and similar financial instruments and have indicated that such transactions may be the subject of future
regulations or other guidance. Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative
contracts. Any legislation, 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 possible alternative tax treatments of the securities and potential changes in applicable law.
Non-U.S. Holders. Subject to the discussions below and
in “United States Federal Tax Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder
(as defined in the accompanying product supplement) of the securities, you generally should not be subject to U.S. federal withholding
or income tax in respect of any amount paid to you with respect to the securities, provided that (i) income in respect of the securities
is not effectively connected with your conduct of a trade or business in the United States, and (ii) you comply with the applicable
certification requirements.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed
paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities (“U.S. Underlying Equities”)
or indices that include U.S. Underlying Equities. Section 871(m) generally applies to instruments that substantially replicate
the economic performance of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury
regulations. However, the regulations, as modified by an IRS notice, exempt financial instruments issued prior to January 1, 2023
that do not have a “delta” of one. Based on the terms of the securities and representations provided by us as of the
date of this preliminary pricing supplement, our counsel is of the opinion that the securities should not be treated as transactions
that have a “delta” of one within the meaning of the regulations with respect to any U.S. Underlying Equity and, therefore,
should not be subject to withholding tax under Section 871(m). However, the final determination regarding the treatment of the
securities under Section 871(m) will be made as of the pricing date for the securities, and it is possible that the securities
will be subject to withholding tax under Section 871(m) based on the circumstances as of that date.
A determination that the securities are not subject to Section
871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application
may depend on your particular circumstances, including your other transactions. You should consult your tax adviser regarding the
potential application of Section 871(m) to the securities.
If withholding tax applies to the securities, we will not be
required to pay any additional amounts with respect to amounts withheld.
You should read the section entitled “United States
Federal Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with
that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences
of owning and disposing of the securities.
You should also consult your tax adviser regarding all aspects
of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Market Linked Securities— Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the Nasdaq-100 Index® due April 6, 2026
Supplemental Plan of Distribution
|
Pursuant to the terms of the Amended and
Restated Global Selling Agency Agreement, dated April 7, 2017, CGMI, acting as principal, will purchase the securities from Citigroup
Global Markets Holdings Inc. CGMI, as the lead agent for the offering, expects to sell the securities to Wells Fargo, as agent.
Wells Fargo will receive an underwriting discount and commission of up to 3.62% ($36.20) for each security it sells. Wells Fargo
will pay selected dealers, which may include WFA, a fixed selling commission of 2.50% ($25.00) for each security they sell. In
addition to the selling commission allowed to WFA, Wells Fargo will pay $1.20 per security of the underwriting discount and commission
to WFA as a distribution expense fee for each security sold by WFA.
In addition, in respect of certain securities sold in this offering,
CGMI may pay a fee of up to $1.00 per security to selected securities dealers in consideration for marketing and other services
in connection with the distribution of the securities to other securities dealers.
The public offering price of the securities
includes the underwriting discount and commission described on the cover page of this pricing supplement and the estimated cost
of hedging our obligations under the securities. We expect to hedge our obligations under the securities through affiliated or
unaffiliated counterparties, which may include our affiliates or affiliates of Wells Fargo. Our cost of hedging will include the
projected profit that such counterparties, which may include our affiliates and affiliates of Wells Fargo, expect to realize in
consideration for assuming the risks inherent in hedging our obligations under the securities. Because hedging our obligations
entails risks and may be influenced by market forces beyond the control of any counterparty, which may include our affiliates and
affiliates of Wells Fargo, such hedging may result in a profit that is more or less than expected, or could result in a loss.
This pricing supplement and the accompanying
product supplement, underlying supplement, prospectus supplement and prospectus may be used by Wells Fargo or an affiliate of Wells
Fargo in connection with offers and sales related to market-making or other transactions in the securities. Wells Fargo or an affiliate
of Wells Fargo may act as principal or agent in such transactions. Such sales will be made at prices related to prevailing market
prices at the time of sale or otherwise.
No action has been or will be taken by
Citigroup Global Markets Holdings Inc., Wells Fargo or any broker-dealer affiliates of any of them that would permit a public offering
of the securities or possession or distribution of this pricing supplement or the accompanying product supplement, underlying supplement,
prospectus supplement or prospectus in any jurisdiction, other than the United States, where action for that purpose is required.
No offers, sales or deliveries of the securities, or distribution of this pricing supplement, the accompanying product supplement,
underlying supplement or prospectus supplement and prospectus, may be made in or from any jurisdiction except in circumstances
that will result in compliance with any applicable laws and regulations and will not impose any obligations on Citigroup Global
Markets Holdings Inc., Wells Fargo or any broker-dealer affiliates of any of them.
For the following jurisdictions, please
note specifically:
Argentina
Citigroup Global Markets Holdings Inc.’s
Series N Medium-Term Senior Notes program and the related offer of the securities and the sale of the securities under the terms
and conditions provided herein does not constitute a public offering in Argentina. Consequently, no public offering approval has
been requested or granted by the Comisión Nacional de Valores, nor has any listing authorization of the securities been
requested on any stock market in Argentina.
Brazil
The securities may not be offered or sold
to the public in Brazil. Accordingly, this pricing supplement and the accompanying prospectus supplement and prospectus have not
been submitted to the Comissão de Valores Mobiliáros for approval. Documents relating to this offering may not be
supplied to the public as a public offering in Brazil or be used in connection with any offer for subscription or sale to the public
in Brazil.
Chile
The securities have not been registered
with the Superintendencia de Valores y Seguros in Chile and may not be offered or sold publicly in Chile. No offer, sales or deliveries
of the securities, or distribution of this pricing supplement or the prospectus supplement and prospectus, may be made in or from
Chile except in circumstances that will result in compliance with any applicable Chilean laws and regulations.
Mexico
The securities have not been registered
with the National Registry of Securities maintained by the Mexican National Banking and Securities Commission and may not be offered
or sold publicly in Mexico. This pricing supplement and the accompanying prospectus supplement and prospectus may not be publicly
distributed in Mexico.
Market Linked Securities— Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the Nasdaq-100 Index® due April 6, 2026
Paraguay
This is a private and personal offering.
The securities offered have not been approved by or registered with the National Securities Commission (Comisión Nacional
de Valores) and are not part of a public offering as defined by the Paraguayan Securities Law. The information contained herein
is for informational and marketing purposes only and should not be taken as an investment advice.
Peru
The securities have not been and will not be registered with
the Capital Markets Public Registry of the Capital Markets Superintendence (SMV) nor the Lima Stock Exchange Registry (RBVL) for
their public offering in Peru under the Peruvian Capital Markets Law (Law N°861/ Supreme Decree N°093-2002) and the decrees
and regulations thereunder.
Consequently, the securities may not be
offered or sold, directly or indirectly, nor may this pricing supplement and the accompanying product supplement, prospectus supplement
and prospectus or any other offering material relating to the securities be distributed or caused to be distributed in Peru to
the general public. The securities may only be offered in a private offering without using mass marketing, which is defined as
a marketing strategy utilizing mass distribution and mass media to offer, negotiate or distribute securities to the whole market.
Mass media includes newspapers, magazines, radio, television, mail, meetings, social networks, Internet servers located in Peru,
and other media or technology platforms.
Taiwan
These securities may be made available
outside Taiwan for purchase by Taiwan residents outside Taiwan but may not be offered or sold in Taiwan.
Valuation of the Securities
|
CGMI calculated the estimated value of
the securities set forth on the cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary
pricing models generated an estimated value for the securities by estimating the value of a hypothetical package of financial instruments
that would replicate the payout on the securities, which consists of a fixed-income bond (the “bond component”) and
one or more derivative instruments underlying the economic terms of the securities (the “derivative component”). CGMI
calculated the estimated value of the bond component using a discount rate based on our internal funding rate. CGMI calculated
the estimated value of the derivative component based on a proprietary derivative-pricing model, which generated a theoretical
price for the instruments that constitute the derivative component based on various inputs, including the factors described under
“Summary Risk Factors—The Value Of The Securities Prior To Maturity Will Fluctuate Based On Many Unpredictable Factors”
in this pricing supplement, but not including our or Citigroup Inc.’s creditworthiness. These inputs may be market-observable
or may be based on assumptions made by CGMI in its discretionary judgment.
The estimated value of the securities is
a function of the terms of the securities and the inputs to CGMI’s proprietary pricing models. As of the date of this preliminary
pricing supplement, it is uncertain what the estimated value of the securities will be on the pricing date because certain terms
of the securities have not yet been fixed and because it is uncertain what the values of the inputs to CGMI’s proprietary
pricing models will be on the pricing date.
We have been advised that, for a period
of approximately five months following issuance of the securities, the price, if any, at which Wells Fargo would be willing to
buy the securities from investors, and the value that will be indicated for the securities on any brokerage account statements
prepared by Wells Fargo or its affiliates, will reflect a temporary upward adjustment from the price or value that would otherwise
be determined. This temporary upward adjustment represents a portion of the costs associated with selling, structuring and hedging
the securities that are included in the public offering price of the securities. The amount of this temporary upward adjustment
will decline to zero on a straight-line basis over the five-month temporary adjustment period. However, Wells Fargo is not obligated
to buy the securities from investors at any time. See “Summary Risk Factors—The Securities Will Not Be Listed On Any
Securities Exchange And You May Not Be Able To Sell Them Prior To Maturity.”
© 2021 Citigroup Global Markets Inc. All rights reserved.
Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout
the world.
Market Linked Securities— Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the Nasdaq-100 Index® due April 6, 2026
The material included in this Appendix
was prepared by Wells Fargo Securities, LLC and will be distributed to investors in connection with the offering of the securities
described in this pricing supplement. The terminology used in the material included in this Appendix may differ from the terms
used in this pricing supplement. The material included in this Appendix does not constitute terms of the securities. It is a general
description of securities that share some features similar to the securities offered by this pricing supplement, but it does not
relate specifically to the securities offered by this pricing supplement, and you should rely only on this pricing supplement (excluding
the Appendix) and the accompanying product supplement, prospectus supplement and prospectus for a description of the specific terms
of the securities offered by this pricing supplement.
Market Linked Securities
Contingent Fixed Return and
Contingent Downside Linked to
the Lowest Performing Underlying
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 research departments. Please see the relevant offering materials for complete
product descriptions, including related risk and tax disclosure.
Distributed by Wells Fargo Securities,
LLC
MARKET
LINKED SECURITIES — CONTINGENT FIXED RETURN AND CONTINGENT DOWNSIDE LINKED TO THE LOWEST PERFORMING UNDERLYING 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.
Market Linked
Securities – Contingent Fixed Return and Contingent Downside Linked to the Lowest Performing Underlying have complex features
and are not appropriate for all investors. Before deciding to make an investment, you should read and understand the applicable
preliminary pricing supplement and other related offering documents provided by the applicable issuer.
Market
Linked Securities – Contingent Fixed Return and Contingent Downside Linked to the Lowest Performing Underlying
|
Market Linked Securities –
Contingent Fixed Return and Contingent Downside Linked to the Lowest Performing Underlying (“these Market Linked Securities”)
offer a return linked to the performance of the lowest performing
of two or more specified market measures, which may be indices or exchange-traded funds (the “underlyings”).
In contrast to a direct investment in any or all of the underlyings, these Market Linked Securities offer the potential for a
positive return at maturity equal to a specified contingent fixed return if, as of a specified calculation day occurring shortly
before maturity, the lowest performing underlying has appreciated (regardless of the extent of that appreciation), or if it has
not declined below its specified contingent fixed return level. For a particular issuance of these Market Linked Securities, the
contingent fixed return level for each underlying will either be equal to or less than its starting level. These Market Linked
Securities also offer contingent protection against a moderate decline of the lowest performing underlying that is applicable
if, and only if, the lowest performing underlying has not declined below its specified threshold level. However, if the lowest
performing underlying has declined below its threshold level as of the calculation day, the contingent downside protection no
longer applies and you will be fully exposed to the decline of the lowest performing underlying and will lose a substantial portion,
and possibly all, of your investment. If the issuer defaults on its payment obligations, you could lose your entire investment.
These Market Linked Securities
are designed for investors who seek the potential for a contingent fixed return if the lowest performing underlying appreciates
at all or does not decline below the contingent fixed return level and a contingent measure of market risk reduction that is applicable
if the lowest performing underlying declines but not below its threshold level. In exchange for these features, you must be willing
to forgo interest payments, dividends (in the case of equity underlyings) and participation in any appreciation of any underlying
beyond the contingent fixed return. You must also be willing to accept a return based on whichever underlying is the lowest performing
underlying and the possibility of full downside exposure to the decline of the lowest performing underlying if the lowest performing
underlying declines below its threshold level.
Whether you receive a contingent
fixed return on these Market Linked Securities will depend solely on the performance of the underlying that is the lowest
performing underlying. Therefore, you will be adversely affected if any underlying performs poorly, even if the other underlying(s)
perform favorably. The potential to receive the contingent fixed return and the contingent protection apply only if you hold these
Market Linked Securities at maturity.
These Market Linked Securities
are unsecured debt obligations of the issuer. You will have no ability to pursue any underlying or any assets included in any underlying
for payment.
A-2 | Market Linked Securities – Contingent Fixed Return and Contingent Downside Linked to the Lowest Performing Underlying
The charts in this section do not reflect
forgone dividend payments.
|
Direct investment payoff
For
traditional assets, such as stocks, there is a direct relationship between the change in the level of the asset and the return
on the investment. For example, as the graph indicates, suppose you bought shares of a common stock at $100 per share. If you
sold the shares at $120 each, the return on the investment (excluding any dividend payments) would be $20 per share, or 20%. Similarly,
if you sold the shares after the price decreased to $80 (i.e., a decline of 20%), this would result in a 20% investment loss (excluding
dividends).
|
Market Linked Securities –
Contingent Fixed Return and Contingent Downside Linked to the Lowest Performing Underlying
These
Market Linked Securities offer a return at maturity that is linked to the performance of the lowest performing of two or more
underlyings but that differs from the return that would be achieved on a direct investment in any or all of the underlyings. The
return at maturity is based on the performance of the lowest performing
underlying as measured from its starting level to its closing
level on a calculation day shortly before maturity (its ending level).
If the ending level of the lowest performing underlying is greater than or equal to its contingent fixed return level, you will
receive a payment at maturity equal to the original offering price plus the contingent fixed return. If the ending level of the
lowest performing underlying is less than its contingent fixed return level but greater than or equal to its threshold level,
you will receive a payment at maturity equal to the original offering price. However, if the ending level of the lowest performing
underlying is less than its threshold level, you will receive less than the original offering price and have full downside exposure
to the decrease in the level of the lowest performing underlying from its starting level to its ending level. Under these circumstances,
you will lose a substantial portion, and possibly all, of your investment. The lowest performing underlying is the underlying
that has the lowest underlying return (i.e., the least favorable performance as measured from its starting level to its ending
level).
To understand how these Market
Linked Securities would perform under varying market conditions, consider a hypothetical Market Linked Security with an original
offering price of $1,000 and the following terms:
|
•
|
Contingent
fixed return: 25% of the original offering price ($250.00 per Market Linked Security). The contingent fixed return is the
return that will be reflected in the payment at maturity on these Market Linked Securities if, and only if, the ending level of
the lowest performing underlying is greater than or equal to its specified contingent fixed return level (described below). A
contingent fixed return of 25% means that, if the lowest performing underlying appreciates (regardless of the extent of that appreciation)
or if it does not decline below its contingent fixed return level, you will receive a payment at maturity equal to $1,250.00,
which is equal to the original offering price of $1,000 plus the contingent fixed return of 25% of the original offering price
(i.e., $1,000 + ($1,000 x 25%)). As a result of the contingent fixed return, any positive return on these Market Linked Securities
at maturity will be limited to 25% of the original offering price.
|
|
•
|
Contingent fixed return level:
For each underlying, 100% of its starting level. The contingent fixed return level, relative to the ending level of the lowest
performing underlying, will determine whether or not you will receive the contingent fixed return at maturity. For a particular
issuance of these Market Linked Securities, the contingent fixed return level of each underlying will either be equal to its starting
level or less than its starting level and may also be equal to its threshold level (described below). A contingent fixed return
level that is equal to 100% of the starting level of each underlying means that if the lowest performing underlying is flat or
appreciates at all (regardless of the extent of that appreciation), you will receive the original offering price plus the contingent
fixed return at maturity. However, if the lowest performing underlying declines, you will not receive the contingent fixed return
and may experience a loss as described below.
|
A-3 | Market Linked Securities – Contingent Fixed Return and Contingent Downside Linked to the Lowest Performing Underlying
|
•
|
Contingent protection: 30%. The
contingent protection offers a contingent measure of downside market risk reduction at maturity as compared to a direct investment
in the lowest performing underlying. Contingent protection of 30% means that you will be repaid the original offering price at
maturity if the lowest performing underlying declines by 30% or less from its starting level to its ending level — in other
words, if the ending level of the lowest performing underlying is greater than or equal to its threshold
level, which is equal to 70% of its starting level. However, if the lowest performing underlying declines by more than 30%,
so that its ending level is less than its threshold level, you will have full downside exposure to the decrease in the level of
the lowest performing underlying from its starting level to its ending level, and you will lose more than 30%, and possibly all,
of the original offering price at maturity. For example, if the lowest performing underlying declines by 30.1% from its starting
level to its ending level, you will not receive any benefit of the contingent protection feature and you will lose 30.1% of the
original offering price at maturity.
|
Any
positive return on these Market Linked Securities will be limited to the contingent fixed return, even if the ending level of
the lowest performing underlying significantly exceeds its starting level. You will not participate in any appreciation of the
lowest performing underlying beyond the contingent fixed return, but will be fully exposed to any decline of the lowest performing
underlying if the lowest performing underlying declines below its threshold level. If the ending level of the lowest performing
underlying is less than its contingent fixed return level, you will not receive a positive return on these Market Linked Securities
at maturity, even if the other underlying(s) has appreciated or has not declined below its contingent fixed return level.
Whether
you receive a contingent fixed return on these Market Linked Securities will depend solely on the performance of the lowest performing
underlying. You will not benefit in any way from the performance of the better performing underlying(s). Therefore, you will be
adversely affected if any underlying performs poorly, even if the other underlying(s) perform favorably. These Market Linked Securities
are riskier than they would otherwise be if they were linked to only one of the underlyings or linked to a basket composed of
each underlying. These Market Linked Securities will be subject to the full risks of each underlying, with no offsetting benefit
from the better performing underlying(s).
|
This
information, including the graph to the left, is hypothetical and is provided for informational purposes only. It is not intended
to represent any specific return, yield, or investment, nor is it indicative of future results. The graph illustrates
the payoff on the hypothetical Market Linked Securities – Contingent Fixed Return and Contingent Downside Linked to the
Lowest Performing Underlying described above for a range of percentage changes in the lowest performing underlying from its starting
level to its ending level.
|
This hypothetical Market Linked
Security could outperform the lowest performing underlying if the ending level of the lowest performing underlying has declined
from its starting level but is greater than or equal to its threshold level or if the ending level of the lowest performing underlying
has increased from the starting level by less than the contingent fixed return. Note that, because the value of the lowest performing
underlying does not incorporate dividends paid on the underlyings, the return on these Market Linked Securities does not compensate
you for any dividends paid on any underlying. All payments on these Market Linked Securities are subject to the ability of the
issuer to make such payments to you when they are due, and you will have no ability to pursue any underlying or any assets included
in any underlying for payment. If the issuer defaults on its payment obligations, you could lose your entire investment.
A-4 | Market Linked Securities – Contingent Fixed Return and Contingent Downside Linked to the Lowest Performing Underlying
Determining payment at maturity
The payment at maturity will be
based on the underlying return of the lowest performing underlying, which is equal to the percentage change of the lowest performing
underlying from its starting level to its ending level, measured as follows: (ending level – starting level)/starting level.
The diagram below illustrates how the cash payment on the stated maturity date for this hypothetical Market Linked Security would
be calculated assuming an original offering price of $1,000 per security.
A-5 | Market Linked Securities – Contingent Fixed Return and Contingent Downside Linked to the Lowest Performing Underlying
Hypothetical examples
The examples
below are hypothetical and are provided for informational purposes only. They are not intended to represent any specific return,
yield, or investment, nor are they indicative of future results. The examples illustrate the payment at maturity of these Market
Linked Securities assuming the following terms:
Term:
|
3 years
|
Original Offering Price:
|
$1,000 per Market Linked Security
|
Hypothetical Starting Level:
|
With respect to each underlying: 100
|
Hypothetical Threshold Level:
|
With respect to each underlying: 70, which is equal to 70% of its hypothetical starting level
|
Hypothetical Contingent Fixed Return Level:
|
With respect to each underlying: 100, which is equal to 100% of its hypothetical starting level
|
Contingent Fixed Return:
|
25% of the original offering price ($250.00 per Market Linked Security)
|
These examples
assume that these Market Linked Securities are linked to the lowest performing of two underlyings. However, a particular issuance
of these Market Linked Securities may be linked to the lowest performing of three or more underlyings. With more underlyings, you
will be exposed to a greater risk of incurring a significant loss on your investment at maturity.
The lowest performing underlying
is the underlying that has the lowest underlying return (i.e.,
the least favorable performance as measured from its starting level to its ending level).
Example 1: The
ending level of the lowest performing underlying is greater than its contingent fixed return level
|
Underlying 1
|
Underlying 2
|
Hypothetical Starting Level / Contingent Fixed Return Level:
|
100.00
|
100.00
|
Hypothetical Ending Level:
|
130.00
|
150.00
|
Hypothetical Threshold Level:
|
70.00
|
70.00
|
Underlying
Return
(ending
level – starting level)/starting level:
|
30.00%
|
50.00%
|
Step 1: Determine
which underlying is the lowest performing underlying.
In this example,
underlying 1 has the lowest underlying return and is, therefore, the lowest performing underlying.
Step
2: Determine the payment at maturity based on the underlying return of the lowest performing underlying.
Because the hypothetical ending
level of the lowest performing underlying (Underlying 1) is greater than its hypothetical contingent fixed return level, on the
stated maturity date you would receive $1,250.00 per Market Linked Security, which is equal to the original offering price plus
the contingent fixed return. As this example illustrates, any positive return on these Market Linked Securities is limited to the
contingent fixed return, even if the lowest performing underlying has appreciated by more than the contingent fixed return.
A-6 | Market Linked Securities – Contingent Fixed Return and Contingent Downside Linked to the Lowest Performing Underlying
Example 2: The ending level of
the lowest performing underlying is less than its contingent fixed return level but greater than or equal to its threshold level
|
Underlying 1
|
Underlying 2
|
Hypothetical Starting Level / Contingent Fixed Return Level:
|
100.00
|
100.00
|
Hypothetical Ending Level:
|
120.00
|
90.00
|
Hypothetical Threshold Level:
|
70.00
|
70.00
|
Underlying
Return
(ending
level – starting level)/starting level:
|
20.00%
|
-10.00%
|
Step
1: Determine which underlying is the lowest performing underlying.
In this example, underlying 2 has
the lowest underlying return and is, therefore, the lowest performing underlying.
Step
2: Determine the payment at maturity based on the underlying return of the lowest performing underlying.
Because
the hypothetical ending level of the lowest performing underlying (Underlying 2) is less than its hypothetical contingent fixed
return level, but not less than its hypothetical threshold level (i.e., the lowest performing underlying declined but not by more
than 30%), you would be repaid the original offering price of $1,000 per Market Linked Security at maturity. As this example illustrates,
the payment at maturity depends solely on the ending level of the lowest performing underlying and you will not benefit from the
performance of the better performing underlying.
Example 3: The ending level of the
lowest performing underlying is less than its threshold level
|
Underlying 1
|
Underlying 2
|
Hypothetical Starting Level / Contingent Fixed Return Level:
|
100.00
|
100.00
|
Hypothetical Ending Level:
|
50.00
|
125.00
|
Hypothetical Threshold Level:
|
70.00
|
70.00
|
Underlying
Return
(ending
level – starting level)/starting level:
|
-50.00%
|
25.00%
|
Step
1: Determine which underlying is the lowest performing underlying.
In this example, underlying 1 has
the lowest underlying return and is, therefore, the lowest performing underlying.
Step
2: Determine the payment at maturity based on the underlying return of the lowest performing underlying.
Because
the hypothetical ending level of the lowest performing underlying (Underlying 1) is less than its hypothetical threshold level,
you would incur a loss on your investment equal to the full decline of the lowest performing underlying from its hypothetical
starting level to its hypothetical ending level. Your payment at maturity in this example would be calculated as follows:
On the stated
maturity date you would receive $500.00 per Market Linked Security, resulting in a loss of 50%. As this example illustrates, if
the ending level of either underlying is less than its threshold level (i.e., at least one underlying depreciates by more than
30% from its starting level to its ending level), you will incur a loss on these Market Linked Securities at maturity, even if
the ending level of the other underlying has appreciated or has not declined below its respective threshold level.
All payments on these Market
Linked Securities are subject to the ability of the issuer to make such payments to you when they are due, and you will have no
ability to pursue any underlying or any asset included in any underlying for payment. If the issuer defaults on its payment obligations,
you could lose your entire investment.
A-7 | Market Linked Securities – Contingent Fixed Return and Contingent Downside Linked to the Lowest Performing Underlying
Estimated value of Market Linked
Securities – Contingent Fixed Return and Contingent Downside Linked to the Lowest Performing Underlying
The original offering price of
these Market Linked Securities will include certain costs that are borne by you. Because of these costs, the estimated value of
these Market Linked Securities on the pricing date will be less than the original offering price. If specified in the applicable
pricing supplement, these costs may include the underwriting discount or commission, the hedging profits of the issuer’s
hedging counterparty (which may be an affiliate of the issuer), hedging and other costs associated with the offering and costs
relating to the issuer’s funding considerations for debt of this type. See “General risks and investment considerations”
herein and the applicable pricing supplement for more information.
The
issuer will disclose the estimated value of these Market Linked Securities in the applicable pricing supplement. The estimated
value of these Market Linked Securities will be determined by estimating the value of the combination of hypothetical financial
instruments that would replicate the payout on these Market Linked Securities, which combination consists of a non-interest bearing,
fixed-income bond and one or more derivative instruments underlying the economic terms of these Market Linked Securities. You
should read the applicable pricing supplement for more information about the estimated value of these Market Linked Securities
and how it is determined.
A-8 | Market Linked Securities – Contingent Fixed Return and Contingent Downside Linked to the Lowest Performing Underlying
Which
investments are right for you?
|
It is important to read and understand
the applicable preliminary pricing supplement and other related offering documents and consider several factors before making an
investment decision.
An investment in these Market
Linked Securities may help you modify your portfolio’s risk-return profile to more closely reflect your market views. However,
at maturity you may incur a loss on your investment, and you will forgo interest payments, dividend payments (in the case of equity
underlyings) and any return in excess of the contingent fixed return.
These Market Linked Securities are
not appropriate for all investors, but may be appropriate for investors aiming to:
|
•
|
Gain or increase exposure to different asset classes
and who believe that the ending level of the lowest performing underlying will be greater than or equal to its contingent fixed
return level
|
|
•
|
Receive a contingent fixed return if the lowest performing
underlying appreciates at all or does not decline below its contingent fixed return level as well as contingent protection against
a moderate decline in the lowest performing underlying in lieu of participation in any potential market appreciation in any underlying
beyond the contingent fixed return
|
|
•
|
Supplement their existing investments with the return
profile provided by these Market Linked Securities
|
|
•
|
Obtain exposure to the lowest performing underlying with
a different risk/return profile than a direct investment in that underlying
|
|
•
|
Seek the potential to outperform the lowest performing
underlying in a moderately declining market or a low to moderately appreciating market
|
You can
find a discussion of risks and investment considerations on the next page and in the preliminary pricing supplement and other related
offering documents for these Market Linked Securities. The following questions, which you should review with your financial advisor,
are intended to initiate a conversation about whether these Market Linked Securities are right for you.
|
•
|
Are you comfortable with the potential loss of a significant
portion, and possibly all, of your initial investment as a result of a percentage decline of the lowest performing underlying
that exceeds the amount of contingent protection?
|
|
•
|
Are you comfortable accepting the full downside risks
of each underlying?
|
|
•
|
What is your time horizon? Do you foresee liquidity needs?
Will you be able to hold these investments until maturity?
|
|
•
|
Does contingent protection against moderate market declines
take precedence for you over participation in any appreciation of any underlying beyond the contingent fixed return and dividend
payments?
|
|
•
|
What is your outlook on the market? How confident are
you in your portfolio’s ability to weather a market decline?
|
|
•
|
What is your sensitivity to the tax treatment for your
investments?
|
|
•
|
Are you dependent on your investments for current income?
|
|
•
|
Are you willing to accept the credit risk of the applicable
issuer in order to obtain the exposure to the lowest performing underlying that these Market Linked Securities provide?
|
Before making an investment
decision, please work with your financial advisor to determine which investment products may be appropriate given your financial
situation, investment goals, and risk profile.
A-9 | Market Linked Securities – Contingent Fixed Return and Contingent Downside Linked to the Lowest Performing Underlying
General
risks and investment considerations
|
These Market Linked Securities
have complex features and are not appropriate for all investors. They involve a variety of risks and may be linked to a variety
of different underlyings. Each of these Market Linked Securities and each underlying will have its own unique set of risks and
investment considerations. Before you invest in these Market Linked Securities, you should thoroughly review the relevant preliminary
pricing supplement and other related offering documents for a comprehensive discussion of the risks associated with the investment.
The following are general risks and investment considerations applicable to these Market Linked Securities:
|
•
|
Principal
and performance risk. These Market Linked Securities are not structured to repay your full original offering price
on the stated maturity date. If the ending level of the lowest performing underlying is less than its threshold level, you will
be fully exposed to the decline of the lowest performing underlying from its starting level to its ending level and the payment
you receive at maturity will be less than the original offering price of these Market Linked Securities. Under these circumstances,
you will lose a substantial portion, and possibly all, of your investment.
|
|
•
|
Limited
upside. The potential return on these Market Linked Securities is limited to the contingent fixed return, regardless
of the performance of any underlying. The lowest performing underlying may appreciate by significantly more than the percentage
represented by the contingent fixed return, in which case an investment in these Market Linked Securities will underperform a
hypothetical alternative investment providing a 1-to-1 return based on the performance of the lowest performing underlying.
|
|
•
|
Lowest
performing underlying risk. These Market Linked Securities are subject to the full risks of each underlying and will
be negatively affected if any performs poorly, even if the other underlying(s) perform favorably. You will not benefit in any
way from the performance of the better performing underlying(s). These Market Linked Securities are not linked to a basket composed
of the underlyings, where the better performance of one underlying could offset the poor performance of the other underlying(s).
Instead, you are subject to the full risks of whichever underlying is the lowest performing underlying. As a result, these Market
Linked Securities are riskier than they would otherwise be if they were linked to only one of the underlyings or linked to a basket
composed of each underlying. In order for these Market Linked Securities to have a favorable return, each underlying must perform
favorably. You should not invest in the securities unless you expect each underlying to appreciate from its respective starting
level or not to decline below its contingent fixed return level.
|
|
•
|
Correlation
risk. It is generally preferable from your perspective for the underlyings to be correlated with each other during
the term of these Market Linked Securities, so that their levels will tend to increase or decrease at similar times and by similar
magnitudes. By investing in these Market Linked Securities, you assume the risk that the underlyings will not exhibit this relationship.
If the underlyings have low historical correlation, these Market Linked Securities will typically offer a higher contingent fixed
return and/or a greater amount of contingent protection, but it will be more likely that one of the underlyings will perform poorly
over the term of these Market Linked Securities. All that is necessary for these Market Linked Securities to perform poorly is
for one of the underlyings to decline below its threshold level; the performance of the better performing underlying(s) is not
relevant to your return.
|
|
•
|
Liquidity
risk. These Market Linked Securities are not appropriate for investors who may have liquidity needs prior to maturity.
These Market Linked Securities are not listed on any securities exchange and are generally illiquid instruments. Neither Wells
Fargo Securities nor any other person is required to maintain a secondary market for these Market Linked Securities. Accordingly,
you may be unable to sell your Market Linked Securities prior to their maturity date. If you choose to sell these Market Linked
Securities prior to maturity, assuming a buyer is available, you may receive less in sale proceeds than the original offering
price.
|
|
•
|
Market
value uncertain. These Market Linked Securities are not appropriate for investors who need their investments to maintain
a stable value during their term. The value of your Market Linked Securities prior to maturity will be affected by numerous factors,
such as performance, volatility and dividend rate, if applicable, of the underlyings; interest rates; the time remaining to maturity;
the correlation among the underlyings; and the applicable issuer’s creditworthiness. Wells Fargo Securities anticipates
that the value of these Market Linked Securities will always be at a discount to the original offering price plus the contingent
fixed return.
|
A-10 | Market Linked Securities – Contingent Fixed Return and Contingent Downside Linked to the Lowest Performing Underlying
|
•
|
Costs
to investors. The original offering price of these Market Linked Securities will include certain costs that are borne
by you. These costs will adversely affect the economic terms of these Market Linked Securities and will cause their estimated
value on the pricing date to be less than the original offering price. If specified in the applicable pricing supplement, these
costs may include the underwriting discount or commission, the hedging profits of the issuer’s hedging counterparty (which
may be an affiliate of the issuer), hedging and other costs associated with the offering and costs relating to the issuer’s
funding considerations for debt of this type. These costs will adversely affect any secondary market price for these Market Linked
Securities, which may be further reduced by a bid-offer spread. As a result, unless market conditions and other relevant factors
change significantly in your favor following the pricing date, any secondary market price for these Market Linked Securities is
likely to be less than the original offering price.
|
|
•
|
Credit
risk. Any investment in these Market Linked Securities is subject to the ability of the applicable issuer to make payments
to you when they are due, and you will have no ability to pursue any underlying or any assets included in any underlying for payment.
If the issuer defaults on its payment obligations, you could lose your entire investment. In addition, the actual or perceived
creditworthiness of the issuer may affect the value of these Market Linked Securities prior to maturity.
|
|
•
|
No
periodic interest or dividend payments. These Market Linked Securities do not typically provide periodic interest.
These Market Linked Securities linked to equity underlyings do not provide for a pass through of any dividend paid on the equity
underlyings.
|
|
•
|
Estimated
value considerations. The estimated value of these Market Linked Securities that is disclosed in the applicable pricing
supplement will be determined by the issuer or an underwriter of the offering, which underwriter may be an affiliate of the issuer
and may be Wells Fargo Securities. The estimated value will be based on the issuer’s or the underwriter’s proprietary
pricing models and assumptions and certain inputs that may be determined by the issuer or underwriter in its discretion. Because
other dealers may have different views on these inputs, the estimated value that is disclosed in the applicable pricing supplement
may be higher, and perhaps materially higher, than the estimated value that would be determined by other dealers in the market.
Moreover, you should understand that the estimated value that is disclosed in the applicable pricing supplement will not be an
indication of the price, if any, at which Wells Fargo Securities or any other person may be willing to buy these Market Linked
Securities from you at any time after issuance.
|
|
•
|
Conflicts
of interest. Potential conflicts of interest may exist between you and the applicable issuer and/or Wells Fargo Securities.
For example, the applicable issuer, Wells Fargo Securities or one of their respective affiliates may engage in business with companies
whose securities are included in an underlying, or may publish research on such companies or an underlying. In addition, the applicable
issuer, Wells Fargo Securities or one of their respective affiliates may be the calculation agent for the purposes of making important
determinations that affect the payments on these Market Linked Securities. Finally, the estimated value of these Market Linked
Securities may be determined by the issuer or an underwriter of the offering, which underwriter may be an affiliate of the issuer
and may be Wells Fargo Securities.
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Effects
of trading and other transactions. Trading and other transactions by the applicable issuer, Wells Fargo Securities
or one of their respective affiliates could affect the underlyings or the value of these Market Linked Securities.
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ETF
risk. If an underlying is an exchange-traded fund (ETF), it may underperform the index it is designed to track as a
result of costs and fees of the ETF and differences between the constituents of the index and the actual assets held by the ETF.
In addition, an investment in these Market Linked Securities linked to an ETF involves risks related to the index underlying the
ETF, as discussed in the next risk consideration.
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Index
risk. If an underlying is an index, or an ETF that tracks an index, your return on these Market Linked Securities may
be adversely affected by changes that the index publisher may make to the manner in which the index is constituted or calculated.
Furthermore, if the index represents foreign securities markets, you should understand that foreign securities markets tend to
be less liquid and more volatile than U.S. markets and that there is generally less information available about foreign companies
than about companies that file reports with the U.S. Securities and Exchange Commission. Moreover, if the index represents emerging
foreign securities markets, these Market Linked Securities will be subject to the heightened political and economic risks associated
with emerging markets. If the index includes foreign securities and the level of the index is based on the U.S. dollar value of
those foreign securities, these Market Linked Securities will be subject to currency exchange rate risk in addition to the other
risks described above, as the level of the index will be adversely affected if the currencies in which the foreign securities
trade depreciate against the U.S. dollar.
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A-11 | Market Linked Securities – Contingent Fixed Return and Contingent Downside Linked to the Lowest Performing Underlying
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Commodity
risk. These Market Linked Securities linked to commodities will be subject to a number of significant risks associated
with commodities. Commodity prices tend to be volatile and may fluctuate in ways that are unpredictable and adverse to you. Commodity
markets are frequently subject to disruptions, distortions, and changes due to various factors, including the lack of liquidity
in the markets, the participation of speculators, and government regulation and intervention. Moreover, commodity indices may
be adversely affected by a phenomenon known as “negative roll yield,” which occurs when future prices of the commodity
futures contracts underlying the index are higher than current prices. Negative roll yield can have a significant negative effect
on the performance of a commodity index. Furthermore, for commodities that are traded in U.S. dollars but for which market prices
are driven by global demand, any strengthening of the U.S. dollar against relevant other currencies may adversely affect the demand
for, and therefore the price of, those commodities.
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Currency
risk. These Market Linked Securities linked to currencies will be subject to a number of significant risks associated
with currencies. Currency exchange rates are frequently subject to intervention by governments, which can be difficult to predict
and can have a significant impact on exchange rates. Moreover, currency exchange rates are driven by complex factors relating
to the economies of the relevant countries that can be difficult to understand and predict. Currencies issued by emerging market
governments may be particularly volatile and will be subject to heightened risks.
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Bond
risk. These Market Linked Securities linked to bond indices or exchange-traded funds that are comprised of specific
types of bonds with different maturities and qualities will be subject to a number of significant risks associated with bonds.
In general, if market interest rates rise, the value of bonds will decline. In addition, if the market perception of the creditworthiness
of the relevant bond issuers falls, the value of bonds will generally decline.
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Tax
considerations. You should review carefully the relevant preliminary pricing supplement and other related offering
documents and consult your tax advisors regarding the application of the U.S. federal tax laws to your particular circumstances,
as well as any tax consequences arising under the laws of any state, local, or non-U.S. jurisdiction.
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A-12 | Market Linked Securities – Contingent Fixed Return and Contingent Downside Linked to the Lowest Performing Underlying
Always read the preliminary pricing
supplement and other related offering documents.
These Market Linked Securities
are offered with the attached preliminary pricing supplement and other related offering documents. Investors should read and consider
these documents carefully before investing. Prior to investing, always consult your financial advisor to understand the investment
structure in detail.
For more information about these
Market Linked Securities and the structures currently available for investment, contact your financial advisor, who can advise
you of whether or not a particular offering may meet your individual needs and investment requirements.
Wells
Fargo Securities is the trade name for the capital markets and investment banking services of Wells Fargo & Company and its
subsidiaries, including Wells Fargo Securities, LLC, a member of FINRA, NYSE, and SIPC, and Wells Fargo Bank, N.A.
Wells
Fargo Advisors is a trade name used by Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC, members
SIPC, separate registered broker-dealers and non-bank affiliates of Wells Fargo & Company.
©
2020 Wells Fargo Securities, LLC. All rights reserved. IHA-6795955
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