Wells Fargo plans notes with averaging linked to basket of indexes

By Angela McDaniels

Tacoma, Wash., May 1 – Wells Fargo & Co. plans to price 0% access securities with upside participation (averaging) and buffered downside with multiplier due May 28, 2019 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes the S&P 500 index (70% weight), the MSCI EAFE index (15% weight), the S&P MidCap 400 index (8% weight), the MSCI Emerging Markets index (4% weight) and the Russell 2000 index (3% weight).

The payout at maturity will be (a) the principal-at-risk amount plus (b) the averaging return amount, if any.

For each $1,000 principal amount of notes, the payout at maturity will be (a) the principal-at-risk amount plus (b) the averaging return amount, if any.

The principal-at-risk amount will be $1,000 if the final basket level is greater than or equal to the threshold level, 85% of the initial basket level, Otherwise, it will be (a) $1,000 multiplied by (b) the quotient of the final basket level divided by the initial basket level multiplied by (c) 1.1765.

If the average ending level is greater than the initial basket level, the averaging return amount will be (a) $1,000 multiplied by (b) the quotient of (i) the average ending level minus the initial basket level divided by (ii) the initial basket level multiplied by (c) the participation rate, which is expected to be 145% to 155% and will be set at pricing. If the average ending level is less than or equal to the initial basket level, the averaging return amount will be zero.

The average ending level is 100 plus the weighted average component returns of the basket indexes. For each index, the average component return is the increase or decrease of its average component level – the average of its closing levels on the quarterly calculation days, which begin in February 2018 – over its initial level.

Wells Fargo Securities LLC is the agent.

The notes will price May 22 and settle May 28.

The Cusip number is 94986RWX5.

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