By Marisa Wong
Madison, Wis., May 27 – Wells Fargo & Co. priced $15.45 million of 0% access securities with upside participation (averaging) and buffered downside with multiplier due May 28, 2019 linked to a basket of equity indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the S&P 500 index with a 70% weight, the MSCI EAFE index with a 15% weight, the S&P MidCap 400 index with an 8% weight, the MSCI Emerging Markets index with a 4% weight and the Russell 2000 index with a 3% weight.
The payout at maturity will be the principal-at-risk amount plus the averaging return amount, if any.
If the final basket level is at least 85% of the initial level, the principal-at-risk amount will be par of $1,000. Otherwise, the principal-at-risk amount will be (a) par times (b) the final level divided by the initial level times (c) 1.1765.
The averaging return amount will be based on the performance of the basket on the quarterly calculation days beginning in February 2018. The averaging ending level is the sum of the weighted average component returns of the basket indexes.
If the averaging ending level is greater than the initial level, the averaging return amount will be (a) par times (b) (i) the averaging ending level minus the initial level divided by (ii) the initial level times (c) 150.36%. If the averaging ending level is less than or equal to the initial level, the averaging return amount will be zero.
Investors will receive a positive return only if the average ending level is greater than the initial level. However, investors may still receive less than par if the final level is less than the 85% threshold.
Wells Fargo Securities, LLC is the agent.
| Issuer: | Wells Fargo & Co.
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| Issue: | Access securities with upside participation (averaging) and buffered downside with multiplier
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| Underlying components: | S&P 500 (70% weight), MSCI EAFE index (15% weight), S&P MidCap 400 index (8% weight), MSCI Emerging Markets index (4% weight) and Russell 2000 index (3% weight)
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| Amount: | $15,453,000
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| Maturity: | May 28, 2019
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| Coupon: | 0%
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| Price: | Par of $1,000
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| Payout at maturity: | Principal-at-risk amount plus averaging return amount, if any
|
| Principal-at-risk amount: | If the final basket level is at least 85% of the initial level, par; otherwise, (a) par times (b) the final level divided by the initial level times (c) 1.1765
|
| Averaging return amount: | If the averaging ending level is greater than the initial level, (a) par times (b) (i) the averaging ending level minus the initial level divided by (ii) the initial level times (c) 150.36%; if the averaging ending level is less than or equal to the initial level, zero
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| Initial levels: | 2,126.06 for S&P 500; 1,935.25 for MSCI EAFE; 1,541.56 for S&P MidCap; 1,037.62 for MSCI EM and 1,252.224 for Russell
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| Average ending level: | Sum of the weighted average component returns of the basket indexes; based on the performance of the basket on the quarterly calculation days beginning in February 2018
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| Pricing date: | May 22
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| Settlement date: | May 28
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| Agent: | Wells Fargo Securities, LLC
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| Fees: | None
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| Cusip: | 94986RWX5
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