By Marisa Wong
Morgantown, W.Va., Dec. 30 – Wells Fargo & Co. priced $8.49 million of 0% access securities with upside participation (averaging) and buffered downside with multiplier due June 24, 2019 linked to a basket of equity indexes and exchange-traded funds, 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 iShares MSCI EAFE ETF with a 15% weight, the S&P MidCap 400 index with an 8% weight, the iShares MSCI Emerging Markets ETF 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 September 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) 100%. 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), iShares MSCI EAFE ETF (15% weight), S&P MidCap 400 index (8% weight), iShares MSCI Emerging Markets ETF (4% weight) and Russell 2000 index (3% weight)
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| Amount: | $8,487,000
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| Maturity: | June 24, 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
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| 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
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| 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) 100%; if the averaging ending level is less than or equal to the initial level, zero
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| Initial levels: | 2,005.55 for S&P 500; 1,375.27 for S&P MidCap 400; 1,121.020 for Russell 2000; $58.39 for EAFE ETF; and $32.65 for EM ETF
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| Average ending level: | Sum of the weighted average component returns of the basket components; based on the performance of the basket on the quarterly calculation days beginning in September 2018
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| Pricing date: | Dec. 18
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| Settlement date: | Dec. 23
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| Agent: | Wells Fargo Securities, LLC
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| Fees: | None
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| Cusip: | 94986RB26
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