Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index® and the Russell 2000® Index due February 11, 2021
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Example 3. Maturity
payment amount reflects a return equal to the contingent fixed return even though the hypothetical ending level of the lowest
performing Index is less than its hypothetical starting level:
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Nasdaq-100
Index®
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Russell
2000®
Index
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Hypothetical
starting level:
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100.00
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100.00
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Hypothetical
ending level:
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130.00
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95.00
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Hypothetical
threshold level:
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85.00
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85.00
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Hypothetical index performance
(ending level – starting level)/starting
level:
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30.00%
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-5.00%
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Step 1: Determine
which Index is the lowest performing Index.
In this example,
the Russell 2000® Index has the lowest index performance and is, therefore, the lowest performing Index.
Step 2: Determine
the maturity payment amount based on the index performance of the lowest performing Index.
Because the hypothetical
ending level of the lowest performing Index is less than its hypothetical starting level, but not by more than 15%, the maturity
payment amount per security would be equal to the original offering price of $1,000 plus the contingent fixed return. Although
the lowest performing Index decreased by 5% from its starting level to its ending level in this example, because the lowest performing
Index has not decreased by more than 15%, you receive the contingent fixed return of 13.20%.
On the stated maturity
date, you would receive $1,132.00 per security.
Example 4. Maturity
payment amount is less than the original offering price:
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Nasdaq-100
Index®
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Russell
2000®
Index
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Hypothetical
starting level:
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100.00
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100.00
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Hypothetical
ending level:
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125.00
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50.00
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Hypothetical
threshold level:
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85.00
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85.00
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Hypothetical index performance
(ending level – starting
level)/starting level:
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25.00%
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-50.00%
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Step 1: Determine which Index is the lowest
performing Index.
In this example, the Russell 2000®
Index has the lowest index performance and is, therefore, the lowest performing Index.
Step 2: Determine the maturity payment amount
based on the index performance of the lowest performing Index.
Because the hypothetical
ending level of the lowest performing Index is less than its hypothetical starting level by more than 15%, you would lose a portion
of the original offering price of your securities and receive a maturity payment amount per security equal to:
$1,000
+ ($1,000 × index performance of lowest performing Index)
$1,000
+ ($1,000 × -50.00%) = $500.00
On the stated maturity date,
you would receive $500.00 per security. As this example illustrates, if either Index depreciates by more than 15% from its starting
level to its ending level, you will incur a loss on the securities at maturity, even if the other Index has appreciated or has
not declined below its threshold level.
To the extent that the starting
level, threshold level and ending level of the lowest performing Index or the contingent fixed return differ from the levels assumed
above, the results indicated above would be different.
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index® and the Russell 2000® Index due February 11, 2021
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Additional
Terms of the Securities
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Wells Fargo Finance LLC will
issue the securities as part of a series of senior unsecured debt securities entitled “Medium-Term Notes, Series A,”
which is more fully described in the prospectus supplement. Information included in this pricing supplement supersedes information
in the market measure supplement, prospectus supplement and prospectus to the extent that it is different from that information.
Certain Definitions
A “trading day”
with respect to an Index means a day, as determined by the calculation agent, on which (i) the relevant stock exchanges with respect
to each security underlying such Index 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 Index is scheduled to be open for trading for its regular trading
session.
The “relevant stock
exchange” for any security underlying an Index 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 Index 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 Index.
Calculation Agent
Wells Fargo Securities,
LLC, one of our affiliates and a wholly owned subsidiary of Wells Fargo & Company, will act as calculation agent for the securities
and may appoint agents to assist it in the performance of its duties. Pursuant to a calculation agent agreement, we may appoint
a different calculation agent without your consent and without notifying you.
The calculation agent will
determine the maturity payment amount you receive at stated maturity. In addition, the calculation agent will, among other things:
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determine
whether a market disruption event has occurred;
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determine
the closing levels of the Indices under certain circumstances;
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determine
if adjustments are required to the closing level of an Index under various circumstances;
and
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if
publication of an Index is discontinued, select a successor equity index (as defined
below) or, if no successor equity index is available, determine the closing level of
that Index.
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All determinations made
by the calculation agent will be at the sole discretion of the calculation agent and, in the absence of manifest error, will be
conclusive for all purposes and binding on us and you. The calculation agent will have no liability for its determinations.
Market Disruption Events
A “market disruption
event” with respect to an Index means any of the following events as determined by the calculation agent in its sole
discretion:
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(A)
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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 Index or any successor equity 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.
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(B)
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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 Index or any successor equity 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.
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(C)
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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
Index or any successor equity index on their relevant stock exchanges at any time during
the one-hour period that ends at the close of trading on that day.
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(D)
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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 Index or any
successor equity 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.
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(E)
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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 Index or any successor equity index
are traded or any related futures or options exchange with
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Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index® and the Russell 2000® Index due February 11, 2021
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respect
to such Index or any successor equity 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 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.
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(F)
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The
relevant stock exchange for any security underlying such Index or successor equity index
or any related futures or options exchange with respect to such Index or successor equity
index fails to open for trading during its regular trading session.
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For purposes of determining
whether a market disruption event has occurred with respect to an Index:
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(1)
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the
relevant percentage contribution of a security to the level of such Index or any successor
equity index will be based on a comparison of (x) the portion of the level of such Index
attributable to that security and (y) the overall level of such Index or successor equity
index, in each case immediately before the occurrence of the market disruption event;
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(2)
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the
“close of trading” on any trading day for such Index or any successor
equity index means the scheduled closing time of the relevant stock exchanges with respect
to the securities underlying such Index or successor equity 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 Index or successor equity
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 Index or successor equity 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;
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(3)
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the
“scheduled closing time” of any relevant stock exchange or related
futures or options exchange on any trading day for such Index or any successor equity
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
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(4)
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an
“exchange business day” means any trading day for such Index or any
successor equity index on which each relevant stock exchange for the securities underlying
such Index or any successor equity index and each related futures or options exchange
with respect to such Index or any successor equity 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.
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If a market disruption event
occurs or is continuing with respect to an Index on the calculation day, then the calculation day for such Index will be postponed
to the first succeeding trading day for such Index on which a market disruption event for such Index 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 Index after the
originally scheduled calculation day, that eighth trading day shall be deemed to be the calculation day for such Index. If the
calculation day has been postponed eight trading days for an Index after the originally scheduled calculation day and a market
disruption event occurs or is continuing with respect to such Index on such eighth trading day, the calculation agent will determine
the closing level of such Index on such eighth trading day in accordance with the formula for and method of calculating the closing
level of such Index 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) on such date of each security included in
such Index. 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 calculation day for one Index due to a market disruption event with respect to such Index on the calculation day, the originally
scheduled calculation day will remain the calculation day for the other Index if such other Index is not affected by a market
disruption event on such day.
Adjustments to an Index
If at any time the method
of calculating an Index or a successor equity index, or the closing level thereof, is changed in a material respect, or if an
Index or a successor equity index is in any other way modified so that such index does not, in the opinion of the calculation
agent, fairly represent the level of such index had those changes or modifications not been made, then the calculation agent will,
at the close of business in New York, New York, on each date that the closing level of such index is to be calculated, make such
calculations and adjustments as, in the good faith judgment of the calculation agent, may be necessary in order to arrive at a
level of an index comparable to such Index or successor equity index as if those changes or modifications had not been made, and
the calculation agent will calculate the closing level of such Index or successor equity index with reference to such index, as
so adjusted. Accordingly, if the method of calculating an Index or successor equity index is modified so that the level of such
index is a fraction or a multiple of what it would have been if it had not been modified (e.g., due to a split or reverse split
in such equity index), then the calculation agent will
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index® and the Russell 2000® Index due February 11, 2021
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adjust such Index or successor equity index in order to arrive at a level
of such index as if it had not been modified (e.g., as if the split or reverse split had not occurred).
Discontinuance of an Index
If a sponsor or publisher
of an Index (each, an “index sponsor”) discontinues publication of an Index, and such index sponsor or another
entity publishes a successor or substitute equity index that the calculation agent determines, in its sole discretion, to be comparable
to such Index (a “successor equity index”), then, upon the calculation agent’s notification of that determination
to the trustee and Wells Fargo Finance LLC, the calculation agent will substitute the successor equity index as calculated by
the relevant index sponsor or any other entity and calculate the ending level of such Index as described above. Upon any selection
by the calculation agent of a successor equity index, Wells Fargo Finance LLC will cause notice to be given to holders of the
securities.
In the event that an index
sponsor discontinues publication of an Index prior to, and the discontinuance is continuing on, the calculation day and the calculation
agent determines that no successor equity index is available at such time, the calculation agent will calculate a substitute closing
level for such Index in accordance with the formula for and method of calculating such Index last in effect prior to the discontinuance,
but using only those securities that comprised such Index immediately prior to that discontinuance. If a successor equity index
is selected or the calculation agent calculates a level as a substitute for such Index, the successor equity index or level will
be used as a substitute for such Index for all purposes, including the purpose of determining whether a market disruption event
exists.
If on the calculation day
an index sponsor fails to calculate and announce the level of an Index, the calculation agent will calculate a substitute closing
level of such Index in accordance with the formula for and method of calculating such Index last in effect prior to the failure,
but using only those securities that comprised such Index immediately prior to that failure; provided that, if a market
disruption event occurs or is continuing on such day with respect to such Index, then the provisions set forth above under “—Market
Disruption Events” shall apply in lieu of the foregoing.
Notwithstanding these alternative
arrangements, discontinuance of the publication of, or the failure by the relevant index sponsor to calculate and announce the
level of, an Index may adversely affect the value of the securities.
Events of Default and
Acceleration
If an event of default with
respect to the securities has occurred and is continuing, the amount payable to a holder of a security upon any acceleration permitted
by the securities, with respect to each security, will be equal to the maturity payment amount, calculated as provided herein.
The maturity payment amount will be calculated as though the date of acceleration were the calculation day.
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index® and the Russell 2000® Index due February 11, 2021
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We obtained all information
contained in this pricing supplement regarding the Nasdaq-100 Index®, including, without limitation, its make-up,
method of calculation, and changes in its components, from publicly available information. That information reflects the policies
of, and is subject to change by, the Nasdaq Stock Market, Inc. (“Nasdaq”). Nasdaq has no obligation to continue
to publish, and may discontinue publication of, the Nasdaq-100 Index® at any time. Neither we nor the agent has
independently verified the accuracy or completeness of any information with respect to the Nasdaq-100 Index® in
connection with the offer and sale of the securities.
The Nasdaq 100-Index®
does not reflect the payment of dividends on the stocks underlying it and therefore the payment on the securities will not
produce the same return you would receive if you were able to purchase the underlying stocks and hold them until maturity.
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. The Nasdaq-100 Index®, which includes companies across a variety of major industry groups, was launched
on January 31, 1985, with a base index value of 125.00, as adjusted. Current information regarding the market value of the
Nasdaq-100 Index® is available from Nasdaq as well as numerous market information services.
The Nasdaq-100 Index®
share weights of the component securities of the Nasdaq-100 Index® at any time are based upon the total shares
outstanding in each of those securities and are additionally subject, in certain cases, to rebalancing. Accordingly, each underlying
stock’s influence on the level of the Nasdaq-100 Index® is directly proportional to the value of its Nasdaq-100
Index® share weight.
In addition,
information about the Nasdaq-100 Index® may be obtained from other sources including, but not limited to, the Nasdaq-100
Index® sponsor’s website (including information regarding the Nasdaq-100 Index’s sector weightings).
We are not incorporating by reference into this pricing supplement the website or any material it includes. Neither we nor
the agent makes any representation that such publicly available information regarding the Nasdaq-100 Index® is
accurate or complete.
Calculation of the
Nasdaq-100 Index
At any moment in time, the
value of the Nasdaq-100 Index® equals the aggregate value of the then-current Nasdaq-100 Index®
share weights of each of the Nasdaq-100 Index® component securities, which are based on the total shares outstanding
of each such Nasdaq-100 Index® component security, multiplied by each such security’s respective last sale
price on the Nasdaq Stock Market (which may be the official closing price published by the Nasdaq Stock Market), and divided by
a scaling factor (the “divisor”), which becomes the basis for the reported Nasdaq-100 Index® value.
The divisor serves the purpose of scaling such aggregate value to a lower order of magnitude which is more desirable for Nasdaq-100
Index® reporting purposes.
Underlying Stock Eligibility
Criteria
Initial Eligibility
Criteria
To be eligible for initial
inclusion in the Nasdaq-100 Index®, a security must meet the following criteria:
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the
issuer of the security’s U.S. listing must be exclusively on the Nasdaq Global
Select Market or the Nasdaq Global Market (unless the security was dually listed on another
U.S. market prior to January 1, 2004 and has continuously maintained such listing);
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a
security must be issued by a non-financial company;
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a
security may not be issued by an issuer currently in bankruptcy proceedings;
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a
security must have an average daily trading volume of at least 200,000 shares (measured
annually during the ranking review process described below);
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if
the issuer of the security is organized under the laws of a jurisdiction outside the
United States, then that security must have listed options on a recognized options market
in the United States or be eligible for listed-options trading on a recognized options
market in the United States (measured annually during the ranking review process);
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the
issuer of the security may not have entered into a definitive agreement or other arrangement
which would likely result in the security no longer being Nasdaq-100 Index®
eligible;
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the
issuer of the security may not have annual financial statements with an audit opinion
that is currently withdrawn; and
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the
security must have “seasoned” on the Nasdaq, NYSE or NYSE MKT. Generally,
a company is considered to be seasoned if it has been listed on a market for at least
three full months (excluding the first month of initial listing).
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Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index® and the Russell 2000® Index due February 11, 2021
|
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Continued Eligibility
Criteria
In addition, to be eligible
for continued inclusion in the Nasdaq-100 Index®, the security must meet the following criteria:
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the
issuer of the security’s primary U.S. listing must be exclusively listed on the
Nasdaq Global Select Market or the Nasdaq Global Market;
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the
security must be issued by a non-financial company;
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the
security may not be issued by an issuer currently in bankruptcy proceedings;
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the
security must have an average daily trading volume of at least 200,000 shares in the
previous three month trading period (measured annually during the ranking review process);
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if
the issuer of the security is organized under the laws of a jurisdiction outside the
United States, then that security must have listed options on a recognized options market
in the United States or be eligible for listed-options trading on a recognized options
market in the United States;
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the
issuer must have an adjusted market capitalization equal to or exceeding 0.10% of the
aggregate adjusted market capitalization of the NASDAQ-100 Index® at each
month-end. In the event a company does not meet this criterion for two consecutive month-ends,
it will be removed from the Nasdaq-100 Index® effective after the close
of trading on the third Friday of the following month; and
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the
issuer of the security may not have annual financial statements with an audit opinion
that is currently withdrawn.
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For the purposes of Nasdaq-100
Index® eligibility criteria, if the security is a depositary receipt representing a security of a non-U.S. issuer,
then references to the “issuer” are references to the issuer of the underlying security.
These Nasdaq-100 Index®
eligibility criteria may be revised from time to time by Nasdaq without regard to the securities.
Annual Ranking Review
The composition of the Nasdaq-100
Index® is evaluated on an annual basis, except under extraordinary circumstances that may result in an interim
evaluation, as follows (this evaluation is referred to herein as the “Ranking Review”). Securities listed on the Nasdaq
Stock Market that meet the applicable eligibility criteria are ranked by market value. Nasdaq-100 Index® -eligible
securities that are already in the Nasdaq-100 Index® and whose issuer is ranked in the top 100 eligible companies
(based on market capitalization) are retained in the Nasdaq-100 Index®. A Nasdaq-100® Index issuer
that is ranked 101 to 125 is also retained, provided that such issuer was ranked in the top 100 eligible issuers as of the previous
Ranking Review or was added to the Nasdaq-100 Index® subsequent to the previous Ranking Review. Nasdaq-100 Index®
issuers not meeting such criteria are replaced. The replacement securities chosen are those Nasdaq-100 Index® -eligible
securities not currently in the Nasdaq-100 Index® whose issuers have the largest market capitalization. The data
used in the ranking includes end of October market data and is updated for total shares outstanding submitted in a publicly filed
SEC document via EDGAR through the end of November. If a security is a depositary receipt, the total shares outstanding is the
actual depositary shares outstanding as reported by the depositary banks.
Generally, the list of annual
additions and deletions as a result of the annual evaluation is publicly announced via a press release in the early part of December.
Replacements are made effective after the close of trading on the third Friday in December. Moreover, if at any time during the
year other than the Ranking Review, a Nasdaq-100 Index® issuer no longer meets the continued eligibility criteria
or is otherwise determined by Nasdaq to become ineligible for continued inclusion in the Nasdaq-100 Index®, the
issuer security will be replaced with the largest market capitalization security not currently in the Nasdaq-100 Index®
and meeting the Nasdaq-100 Index® initial eligibility criteria listed above. Ordinarily, a security will
be removed from the Nasdaq-100 Index® at its last sale price. If, however, at the time of its removal the security
is halted from trading on its primary listing market and an official closing price cannot readily be determined, the security
may, in Nasdaq’s discretion, be removed at a zero price. The zero price will be applied to the security after the close
of the market but prior to the time the official closing value of the Nasdaq-100 Index® is disseminated, which
is ordinarily 5:16:00 p.m. EST.
Index Maintenance
Changes in the price and/or
the aggregate value of the then-current Nasdaq-100 Index® share weights of each of the Nasdaq-100 Index®
component securities driven by corporate events such as stock dividends, stock splits and certain spin-offs and rights issuances
are adjusted on the ex-date. If the change in total shares outstanding arising from other corporate actions is greater than or
equal to 10.0%, the change will be made to the Nasdaq-100 Index® as soon as practicable. Otherwise, if the change
in total shares outstanding is less than 10.0%, then all such changes are accumulated and made effective at one time on a quarterly
basis after the close of trading on the third Friday in each of March, June, September and December. The Nasdaq-100 Index®
share weights for those underlying stocks are derived from each security’s total shares outstanding. The Nasdaq-100
Index® share weights for those underlying stocks are adjusted by the same percentage amount by which the total
shares outstanding have changed in those Nasdaq-100 Index® securities.
The price of the component
security is adjusted for the amount of the special cash dividend. A dividend is considered special if the information provided
by the listing exchange in their announcement of the ex-date indicates that the dividend is special. A special dividend may also
be referred to as extra, extraordinary, non-recurring, one-time, unusual, etc.
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index® and the Russell 2000® Index due February 11, 2021
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Index Rebalancing
On a quarterly basis coinciding
with the quarterly scheduled Index Share adjustment procedures, the Nasdaq-100 Index® will be rebalanced if it
is determined that: (1) the current weight of the single largest market capitalization component security is greater than 24.0%
and (2) the “collective weight” of those component securities whose individual current weights are in excess of 4.5%,
when added together, exceed 48.0% of the Nasdaq-100 Index®. In addition, a special rebalancing of the Nasdaq-100
Index® may be conducted at any time if it is determined necessary to maintain the integrity of the Nasdaq-100 Index®.
If either one or both of
these weight distribution requirements are met upon quarterly review or it is determined that a special rebalancing is required,
a weight rebalancing will be performed.
First, relating to weight
distribution requirement (1) above, if the current weight of the single largest component security exceeds 24.0%, then the weights
of all Large Stocks (those greater than 1%) will be scaled down proportionately towards 1.0% by enough for the adjusted weight
of the single largest component security to be set to 20.0%.
Second, relating to weight
distribution requirement (2) above, for those component securities whose individual current weights or adjusted weights in accordance
with the preceding step are in excess of 4.5%, if their “collective weight” exceeds 48.0%, then the weights of all
Large Stocks will be scaled down proportionately towards 1.0% by just enough for the “collective weight,” so adjusted,
to be set to 40.0%.
The aggregate weight reduction
among the Large Stocks resulting from either or both of the above rescaling will then be redistributed to the Small Stocks (those
stocks less than or equal to 1%) in the following iterative manner.
In the first iteration,
the weight of the largest Small Stock will be scaled upwards by a factor which sets it equal to the average Index weight of 1.0%.
The weights of each of the smaller remaining Small Stocks will be scaled up by the same factor reduced in relation to each stock’s
relative ranking among the Small Stocks such that the smaller the component security in the ranking, the less the scale-up of
its weight. This is intended to reduce the market impact of the weight rebalancing on the smallest component securities in the
Nasdaq-100 Index®.
In the second iteration,
the weight of the second largest Small Stock, already adjusted in the first iteration, will be scaled upwards by a factor which
sets it equal to the average index weight of 1.0%. The weights of each of the smaller remaining Small Stocks will be scaled up
by this same factor reduced in relation to each stock’s relative ranking among the Small Stocks such that, once again, the
smaller the stock in the ranking, the less the scale-up of its weight.
Additional iterations will
be performed until the accumulated increase in weight among the Small Stocks exactly equals the aggregate weight reduction among
the Large Stocks from rebalancing in accordance with weight distribution requirement (1) and/or weight distribution requirement
(2).
Then, to complete the rebalancing
procedure, once the final percent weights of each of the component securities are set, the Nasdaq-100 Index® share
weights will be determined anew based upon the last sale prices and aggregate capitalization of the Nasdaq-100 Index®
at the close of trading on the last day in February, May, August and November. Changes to the Nasdaq-100 Index®
share weights will be made effective after the close of trading on the third Friday in March, June, September and December
and an adjustment to the Nasdaq-100 Index® divisor will be made to ensure continuity of the Nasdaq-100 Index®.
Ordinarily, new rebalanced
weights will be determined by applying the above procedures to the current Nasdaq-100 Index® share weights. However,
Nasdaq may from time to time determine rebalanced weights, if necessary, by applying the above procedure to the actual current
market capitalization of the component securities. In such instances, Nasdaq would announce the different basis for rebalancing
prior to its implementation.
During at the quarterly
rebalancing, data is cutoff as of the previous month-end and no changes are made to the Nasdaq-100 Index® from
that cutoff until the quarterly share change effective date with the single exception for corporate actions with an ex-date. Nasdaq
may, from time to time, exercise reasonable discretion as it deems appropriate in order to ensure the integrity of the Nasdaq-100
Index®.
License Agreement
Wells Fargo
& Company, our parent company, and Nasdaq have entered into a non-transferable, non-exclusive license agreement providing
for a sub-license to Wells Fargo & Company and certain of its affiliated or subsidiary companies (including us), in exchange
for a fee, of the right to use the NASDAQ-100 Index® in connection with the issuance of the securities.
The license
agreement between Wells Fargo & Company and Nasdaq provides that the following language must be stated in this pricing supplement:
“The
securities are not sponsored, endorsed, sold or promoted by NASDAQ, Inc. or its affiliates (Nasdaq with its affiliates are referred
to as the “Corporations”). The Corporations have not passed on the legality or suitability of, or the accuracy
or adequacy of descriptions and disclosures relating to, the securities. The Corporations make no representation or warranty,
express or implied to the owners of the
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index® and the Russell 2000® Index due February 11, 2021
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securities or any member of the
public regarding the advisability of investing in securities generally or in the securities particularly, or the ability of the
Nasdaq-100 Index® to track general stock market performance. The Corporations’ only relationship to
Wells Fargo & Company and Wells Fargo Finance LLC is in the licensing of the Nasdaq®, Nasdaq-100®,
and Nasdaq-100 Index® registered trademarks and certain trade names of the Corporations and the use of the Nasdaq-100
Index® which is determined, composed and calculated by Nasdaq without regard to Wells Fargo & Company,
Wells Fargo Finance LLC or the securities. Nasdaq has no obligation to take the needs of Wells Fargo & Company,
Wells Fargo Finance LLC or the owners of the securities into consideration in determining, composing or calculating the Nasdaq-100
Index®. The Corporations are not responsible for and have not participated in the determination of the timing
of, prices at, or quantities of the securities to be issued or in the determination or calculation of the equation by which the
securities is to be converted into cash. The Corporations have no liability in connection with the administration, marketing
or trading of the securities.
THE CORPORATIONS
DO NOT GUARANTEE THE ACCURACY AND/OR UNINTERRUPTED CALCULATION OF THE NASDAQ-100 INDEX® OR ANY DATA INCLUDED THEREIN. THE
CORPORATIONS MAKE NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY WELLS FARGO & COMPANY, WELLS FARGO
FINANCE LLC, OWNERS OF THE SECURITIES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE NASDAQ-100 INDEX® OR ANY
DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY
OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE NASDAQ-100 INDEX® OR ANY DATA INCLUDED THEREIN. WITHOUT
LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE CORPORATIONS HAVE ANY LIABILITY FOR ANY LOST PROFITS OR SPECIAL, INCIDENTAL,
PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.”
Historical Information
We obtained the closing
levels of the Nasdaq-100 Index® in the graph below from Bloomberg Financial Markets, without independent verification.
The following graph sets
forth daily closing levels of the Nasdaq-100 Index® for the period from January 1, 2014 to November 6, 2019. The
closing level on November 6, 2019 was 8196.028. The historical performance of the Nasdaq-100 Index® should not
be taken as an indication of the future performance of the Nasdaq-100 Index® during the term of the securities.
Nasdaq® and Nasdaq-100 Index® are
registered trademarks of Nasdaq, Inc. and have been licensed to Wells Fargo & Company, our parent company, for use by Wells
Fargo & Company and certain of its affiliated or subsidiary companies (including us).
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index® and the Russell 2000® Index due February 11, 2021
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The Russell 2000®
Index is an equity index that is designed to track the performance of the small capitalization segment of the United States
equity market. See “Description of Equity Indices—The Russell Indices” in the accompanying market measure supplement
for additional information about the Russell 2000® Index.
In addition,
information about the Russell 2000® Index may be obtained from other sources including, but not limited to, the
Russell 2000® Index sponsor’s website (including information regarding the Russell 2000® Index’s
sector weightings). We are not incorporating by reference into this pricing supplement the website or any material it includes.
Neither we nor the agent makes any representation that such publicly available information regarding the Russell 2000®
Index is accurate or complete.
Historical Information
We obtained the closing
levels of the Russell 2000® Index in the graph below from Bloomberg Financial Markets, without independent verification.
The following graph sets
forth daily closing levels of the Russell 2000® Index for the period from January 1, 2014 to November 6, 2019.
The closing level on November 6, 2019 was 1589.542. The historical performance of the Russell 2000® Index should
not be taken as an indication of the future performance of the Russell 2000® Index during the term of the securities.
“Russell 2000®”
and “FTSE Russell” are trademarks of the London Stock Exchange Group companies, and have been licensed to Wells Fargo
& Company, our parent company, for use by Wells Fargo & Company and certain of its affiliated or subsidiary companies
(including us). The securities, based on the performance of the Russell 2000® Index, are not sponsored, endorsed,
sold or promoted by FTSE Russell and FTSE Russell makes no representation regarding the advisability of investing in the securities.
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index® and the Russell 2000® Index due February 11, 2021
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Benefit
Plan Investor Considerations
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Each fiduciary of a pension,
profit-sharing or other employee benefit plan to which Title I of the Employee Retirement Income Security Act of 1974 (“ERISA”)
applies (a “plan”), should consider the fiduciary standards of ERISA in the context of the plan’s particular
circumstances before authorizing an investment in the securities. Accordingly, among other factors, the fiduciary should consider
whether the investment would satisfy the prudence and diversification requirements of ERISA and would be consistent with the documents
and instruments governing the plan. When we use the term “holder” in this section, we are referring to a beneficial
owner of the securities and not the record holder.
Section 406 of ERISA
and Section 4975 of the Code prohibit plans, as well as individual retirement accounts and Keogh plans to which Section 4975
of the Code applies (also “plans”), from engaging in specified transactions involving “plan assets”
with persons who are “parties in interest” under ERISA or “disqualified persons” under the Code (collectively,
“parties in interest”) with respect to such plan. A violation of those “prohibited transaction”
rules may result in an excise tax or other liabilities under ERISA and/or Section 4975 of the Code for such persons, unless
statutory or administrative exemptive relief is available. Therefore, a fiduciary of a plan should also consider whether an investment
in the securities might constitute or give rise to a prohibited transaction under ERISA and the Code.
Employee benefit plans that
are governmental plans, as defined in Section 3(32) of ERISA, certain church plans, as defined in Section 3(33) of ERISA,
and foreign plans, as described in Section 4(b)(4) of ERISA (collectively, “Non-ERISA Arrangements”),
are not subject to the requirements of ERISA, or Section 4975 of the Code, but may be subject to similar rules under other
applicable laws or regulations (“Similar Laws”).
We and our affiliates may
each be considered a party in interest with respect to many plans. Special caution should be exercised, therefore, before the
securities are purchased by a plan. In particular, the fiduciary of the plan should consider whether statutory or administrative
exemptive relief is available. The U.S. Department of Labor has issued five prohibited transaction class exemptions (“PTCEs”)
that may provide exemptive relief for direct or indirect prohibited transactions resulting from the purchase or holding of the
securities. Those class exemptions are:
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PTCE
96-23, for specified transactions determined by in-house asset managers;
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PTCE
95-60, for specified transactions involving insurance company general accounts;
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PTCE
91-38, for specified transactions involving bank collective investment funds;
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PTCE
90-1, for specified transactions involving insurance company separate accounts; and
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PTCE
84-14, for specified transactions determined by independent qualified professional asset
managers.
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In addition, Section 408(b)(17)
of ERISA and Section 4975(d)(20) of the Code provide an exemption for transactions between a plan and a person who is a party
in interest (other than a fiduciary who has or exercises any discretionary authority or control with respect to investment of
the plan assets involved in the transaction or renders investment advice with respect thereto) solely by reason of providing services
to the plan (or by reason of a relationship to such a service provider), if in connection with the transaction of the plan receives
no less, and pays no more, than “adequate consideration” (within the meaning of Section 408(b)(17) of ERISA).
Any purchaser or holder
of the securities or any interest in the securities will be deemed to have represented by its purchase and holding that either:
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no
portion of the assets used by such purchaser or holder to acquire or purchase the securities
constitutes assets of any plan or Non-ERISA Arrangement; or
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the
purchase and holding of the securities by such purchaser or holder will not constitute
a non-exempt prohibited transaction under Section 406 of ERISA or Section 4975
of the Code or similar violation under any Similar Laws.
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Due to the complexity of
these rules and the penalties that may be imposed upon persons involved in non-exempt prohibited transactions, it is particularly
important that fiduciaries or other persons considering purchasing the securities on behalf of or with “plan assets”
of any plan consult with their counsel regarding the potential consequences under ERISA and the Code of the acquisition of the
securities and the availability of exemptive relief.
The securities are contractual
financial instruments. The financial exposure provided by the securities is not a substitute or proxy for, and is not intended
as a substitute or proxy for, individualized investment management or advice for the benefit of any purchaser or holder of the
securities. The securities have not been designed and will not be administered in a manner intended to reflect the individualized
needs and objectives of any purchaser or holder of the securities.
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index® and the Russell 2000® Index due February 11, 2021
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Each purchaser or holder
of the securities acknowledges and agrees that:
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(i)
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the purchaser or holder
or its fiduciary has made and shall make all investment decisions for the purchaser or holder and the purchaser or holder has
not relied and shall not rely in any way upon us or our affiliates to act as a fiduciary or adviser of the purchaser or holder
with respect to (a) the design and terms of the securities, (b) the purchaser or holder’s investment in the securities,
or (c) the exercise of or failure to exercise any rights we have under or with respect to the securities;
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(ii)
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we and our affiliates have
acted and will act solely for our own account in connection with (a) all transactions relating to the securities and (b) all hedging
transactions in connection with our obligations under the securities;
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(iii)
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any and all assets and positions
relating to hedging transactions by us or our affiliates are assets and positions of those entities and are not assets and positions
held for the benefit of the purchaser or holder;
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(iv)
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our interests may be adverse
to the interests of the purchaser or holder; and
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(v)
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neither we nor any of our
affiliates is a fiduciary or adviser of the purchaser or holder in connection with any such assets, positions or transactions,
and any information that we or any of our affiliates may provide is not intended to be impartial investment advice.
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Purchasers of the securities
have the exclusive responsibility for ensuring that their purchase, holding and subsequent disposition of the securities does
not violate the fiduciary or prohibited transaction rules of ERISA, the Code or any Similar Law. Nothing herein shall be construed
as a representation that an investment in the securities would be appropriate for, or would meet any or all of the relevant legal
requirements with respect to investments by, plans or Non-ERISA Arrangements generally or any particular plan or Non-ERISA Arrangement.
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index® and the Russell 2000® Index due February 11, 2021
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United
States Federal Tax Considerations
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The following is a discussion
of the material U.S. federal income and certain estate tax consequences of the ownership and disposition of the securities. It
applies to you only if you purchase a security for cash in the initial offering at the “issue price,” which is the
first price at which a substantial amount of the securities is sold to the public, and hold the security as a capital asset within
the meaning of Section 1221 of the Code. It does not address all of the tax consequences that may be relevant to you in light
of your particular circumstances or if you are an investor subject to special rules, such as:
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a
financial institution;
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a
“regulated investment company”;
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a
tax-exempt entity, including an “individual retirement account” or “Roth
IRA”;
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a
dealer or trader subject to a mark-to-market method of tax accounting with respect to
the securities;
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a
person holding a security as part of a “straddle” or conversion transaction
or who has entered into a “constructive sale” with respect to a security;
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a
U.S. holder (as defined below) whose functional currency is not the U.S. dollar; or
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an
entity classified as a partnership for U.S. federal income tax purposes.
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If an entity that is classified
as a partnership for U.S. federal income tax purposes holds the securities, the U.S. federal income tax treatment of a partner
will generally depend on the status of the partner and the activities of the partnership. If you are a partnership holding the
securities or a partner in such a partnership, you should consult your tax adviser as to your particular U.S. federal tax consequences
of holding and disposing of the securities.
We will not attempt to ascertain
whether any of the issuers of the underlying stocks of the Indices (the “underlying stocks”) is treated as
a “U.S. real property holding corporation” (“USRPHC”) within the meaning of Section 897 of the
Code or as a “passive foreign investment company” (“PFIC”) within the meaning of Section 1297 of
the Code. If any of the issuers of the underlying stocks were so treated, certain adverse U.S. federal income tax consequences
might apply to you, in the case of a USRPHC if you are a non-U.S. holder (as defined below) and in the case of a PFIC if you are
a U.S. holder (as defined below), upon the sale, exchange or other disposition of the securities. You should refer to information
filed with the Securities and Exchange Commission or another governmental authority by the issuers of the underlying stocks and
consult your tax adviser regarding the possible consequences to you if any of the issuers of the underlying stocks is or becomes
a USRPHC or PFIC.
This discussion is based
on the Code, administrative pronouncements, judicial decisions and final, temporary and proposed Treasury regulations, all as
of the date of this pricing supplement, changes to any of which subsequent to the date of this pricing supplement may affect the
tax consequences described herein, possibly with retroactive effect. This discussion does not address the effects of any applicable
state, local or non-U.S. tax laws, any alternative minimum tax consequences, the potential application of the Medicare tax on
investment income or the consequences to taxpayers subject to special tax accounting rules under Section 451(b) of the Code. You
should consult your tax adviser concerning the application of U.S. federal income and estate tax laws to your particular situation
(including the possibility of alternative treatments of the securities), as well as any tax consequences arising under the laws
of any state, local or non-U.S. jurisdiction.
Tax Treatment of the Securities
In the
opinion of our counsel, Davis Polk & Wardwell LLP, a security should be treated as a prepaid derivative contract that is an
“open transaction” for U.S. federal income tax purposes. By purchasing a security, you agree (in the absence of an
administrative determination or judicial ruling to the contrary) to this treatment.
Due
to the absence of statutory, judicial or administrative authorities that directly address the U.S. federal tax treatment of the
securities or similar instruments, significant aspects of the treatment of an investment in the securities are uncertain. We do
not plan to request a ruling from the IRS, and the IRS or a court might not agree with the treatment described below. Moreover,
our counsel’s opinion is based on market conditions as of the date of this preliminary pricing supplement and is subject
to confirmation in the final pricing supplement. Accordingly, you should consult your tax adviser regarding all aspects of the
U.S. federal income and estate tax consequences of an
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index® and the Russell 2000® Index due February 11, 2021
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investment in the securities. Unless otherwise indicated, the following
discussion is based on the treatment of the securities as prepaid derivative contracts that are “open transactions.”
Tax Consequences to U.S.
Holders
This section applies only
to U.S. holders. You are a “U.S. holder” if you are a beneficial owner of a security that is, for U.S. federal
income tax purposes:
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a
citizen or individual resident of the United States;
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a
corporation created or organized in or under the laws of the United States, any state
therein or the District of Columbia; or
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an
estate or trust the income of which is subject to U.S. federal income taxation regardless
of its source.
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Tax Treatment Prior to
Maturity. You should not be required to recognize income over the term of the securities prior to maturity, other than pursuant
to a sale, exchange or retirement as described below.
Sale, Exchange or Retirement
of the Securities. Upon a sale, exchange or retirement of the securities, you should recognize gain or loss equal to the difference
between the amount realized on the sale, exchange or retirement and your tax basis in the securities that are sold, exchanged
or retired. Your tax basis in the securities should equal the amount you paid to acquire them. This gain or loss should be long-term
capital gain or loss if at the time of the sale, exchange or retirement you held the securities for more than one year, and short-term
capital gain or loss otherwise. Long-term capital gains recognized by non-corporate U.S. holders are generally subject to taxation
at reduced rates. The deductibility of capital losses is subject to certain limitations.
Possible Alternative
Tax Treatments of an Investment in the Securities
Alternative U.S. federal
income tax treatments of the securities are possible that, if applied, could materially and adversely affect the timing and/or
character of income, gain or loss with respect to them. It is possible, for example, that the securities could be treated as debt
instruments governed by Treasury regulations relating to the taxation of contingent payment debt instruments. In that case, regardless
of your method of tax accounting for U.S. federal income tax purposes, you generally would be required to accrue income based
on our comparable yield for similar non-contingent debt, determined as of the time of issuance of the securities, in each year
that you held the securities, even though we are not required to make any payment with respect to the securities prior to maturity.
In addition, any gain on the sale, exchange or retirement of the securities would be treated as ordinary income.
Other possible U.S. federal
income tax treatments of the securities could also affect the timing and character of income or loss with respect to the securities.
In 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment
of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require holders
of these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics,
including the character of income or loss with respect to these instruments; whether short-term instruments should be subject
to any such accrual regime; the relevance of factors such as the exchange-traded status of the instruments and the nature of the
underlying property to which the instruments are linked; and whether these instruments are or should be subject to the “constructive
ownership” regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income
and impose a notional interest charge. While the notice requests comments on appropriate transition rules and effective dates,
any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect
the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser
regarding the possible alternative treatments of an investment in the securities and the issues presented by this notice.
Tax Consequences to Non-U.S.
Holders
This section applies only
to non-U.S. holders. You are a “non-U.S. holder” if you are a beneficial owner of a security that is, for U.S.
federal income tax purposes:
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an
individual who is classified as a nonresident alien;
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a
foreign corporation; or
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a
foreign estate or trust.
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Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index® and the Russell 2000® Index due February 11, 2021
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You are not a non-U.S. holder
for purposes of this discussion if you are (i) an individual who is present in the United States for 183 days or more in the taxable
year of disposition or (ii) a former citizen or resident of the United States. If you are or may become such a person during the
period in which you hold a security, you should consult your tax adviser regarding the U.S. federal tax consequences of an investment
in the securities.
Sale, Exchange or Retirement
of the Securities. Subject to the possible application of Section 897 of the Code and the discussion below regarding Section
871(m), you generally should not be subject to U.S. federal income or withholding tax in respect of amounts paid to you, provided
that income in respect of the securities is not effectively connected with your conduct of a trade or business in the United States.
If you are engaged in a U.S.
trade or business, and if income from the securities is effectively connected with the conduct of that trade or business, you
generally will be subject to regular U.S. federal income tax with respect to that income in the same manner as if you were a U.S.
holder, unless an applicable income tax treaty provides otherwise. If you are such a holder and you are a corporation, you should
also consider the potential application of a 30% (or lower treaty rate) branch profits tax.
Tax Consequences Under
Possible Alternative Treatments. If all or any portion of a security were recharacterized as a debt instrument, subject to
the possible application of Section 897 of the Code and the discussions below regarding FATCA and Section 871(m), any payment
made to you with respect to the security generally should not be subject to U.S. federal withholding or income tax, provided that:
(i) income or gain in respect of the security is not effectively connected with your conduct of a trade or business in the United
States, and (ii) you provide an appropriate IRS Form W-8 certifying under penalties of perjury that you are not a United States
person.
Other U.S. federal income
tax treatments of the securities are also possible. In 2007, the U.S. Treasury Department and the IRS released a notice requesting
comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. Among the
issues addressed in the notice is the degree, if any, to which income with respect to instruments such as the securities should
be subject to U.S. withholding tax. While the notice requests comments on appropriate transition rules and effective dates, it
is possible that any Treasury regulations or other guidance promulgated after consideration of these issues might materially and
adversely affect the withholding tax consequences of an investment in the securities, possibly with retroactive effect. Accordingly,
you should consult your tax adviser regarding the issues presented by the notice.
Possible Withholding Under
Section 871(m) of the Code. Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section
871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to non-U.S. holders with
respect to certain financial instruments linked to U.S. equities (“U.S. underlying equities”) or indices that
include U.S. underlying equities. Section 871(m) generally applies to instruments that substantially replicate the economic performance
of one or more U.S. underlying equities, as determined based on tests set forth in the applicable Treasury regulations (a “specified
security”). However, the regulations, as modified by an IRS notice, exempt financial instruments issued prior to January
1, 2021 that do not have a “delta” of one. Based on the terms of the securities and representations provided by us,
our counsel is of the opinion that the securities should not be treated as transactions that have a “delta” of one
within the meaning of the regulations with respect to any U.S. underlying equity and, therefore, should not be specified securities
subject to withholding tax under Section 871(m).
A determination that the
securities are not subject to Section 871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover,
Section 871(m) is complex and its application may depend on your particular circumstances. For example, if you enter into other
transactions relating to a U.S. underlying equity, you could be subject to withholding tax or income tax liability under Section
871(m) even if the securities are not specified securities subject to Section 871(m) as a general matter. You should consult your
tax adviser regarding the potential application of Section 871(m) to the securities.
This information is indicative
and will be updated in the final pricing supplement or may otherwise be updated by us in writing from time to time. Non-U.S. holders
should be warned that Section 871(m) may apply to the securities based on circumstances as of the pricing date for the securities
and, therefore, it is possible that the securities will be subject to withholding tax under Section 871(m).
In the event withholding
applies, we will not be required to pay any additional amounts with respect to amounts withheld.
U.S. Federal Estate
Tax
If you are an individual
non-U.S. holder or an entity the property of which is potentially includible in such an individual’s gross estate for U.S.
federal estate tax purposes (for example, a trust funded by such an individual and with respect to which the individual has retained
certain interests or powers), you should note that, absent an applicable treaty exemption, the securities may be treated as U.S.
situs property subject to U.S. federal estate tax. If you are such an individual or entity, you should consult your tax adviser
regarding the U.S. federal estate tax consequences of investing in the securities.
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index® and the Russell 2000® Index due February 11, 2021
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Information Reporting
and Backup Withholding
Amounts paid on the securities,
and the proceeds of a sale, exchange or other disposition of the securities, may be subject to information reporting and, if you
fail to provide certain identifying information (such as an accurate taxpayer identification number if you are a U.S. holder)
or meet certain other conditions, may also be subject to backup withholding at the rate specified in the Code. If you are a non-U.S.
holder that provides an appropriate IRS Form W-8, you will generally establish an exemption from backup withholding. Amounts withheld
under the backup withholding rules are not additional taxes and may be refunded or credited against your U.S. federal income tax
liability, provided the relevant information is timely furnished to the IRS.
FATCA
Legislation commonly referred
to as “FATCA” generally imposes a withholding tax of 30% on payments to certain non-U.S. entities (including
financial intermediaries) with respect to certain financial instruments, unless various U.S. information reporting and due diligence
requirements have been satisfied. An intergovernmental agreement between the United States and the non-U.S. entity’s jurisdiction
may modify these requirements. This legislation applies to certain financial instruments that are treated as paying U.S.-source
interest, dividends or dividend equivalents or other U.S.-source “fixed or determinable annual or periodical” income
(“FDAP income”). If required under FATCA, withholding applies to payments of FDAP income. While existing Treasury
regulations would also require withholding on payments of gross proceeds of the disposition (including upon retirement) of certain
financial instruments treated as paying U.S.-source interest or dividends, the U.S. Treasury Department has indicated in subsequent
proposed regulations its intent to eliminate this requirement. The U.S. Treasury Department has indicated that taxpayers may rely
on these proposed regulations pending their finalization. If the securities were treated as debt instruments or as subject to
Section 871(m), the withholding regime under FATCA would apply to the securities. If withholding applies to the securities, we
will not be required to pay any additional amounts with respect to amounts withheld. If you are a non-U.S. holder, or a U.S. holder
holding securities through a non-U.S. intermediary, you should consult your tax adviser regarding the potential application of
FATCA to the securities.
The preceding discussion
constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and
disposing of the securities.
You should consult your
tax adviser regarding all aspects of the U.S. federal income and estate tax consequences of an investment in the securities and
any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.