Published on 2/27/2017 in the Prospect News Structured Products Daily.
New Issue: Wells Fargo prices $2.36 million market-linked notes on S&P 500, Russell
By Susanna Moon
Chicago, Feb. 27 – Wells Fargo & Co. priced $2.36 million of market-linked securities – callable with contingent coupon and contingent downside – due March 1, 2027 linked to the least performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate if each index closes at or above its coupon threshold, 67.5% of its initial level, on a quarterly observation date. The contingent coupon will be 7% from May 2017 to February 2022, stepping up to 10% from May 2022 to February 2025 and to 12% after that.
The notes are callable at par on any quarterly observation date after one year.
The payout at maturity will be par unless either index finishes below its 50% downside threshold level, in which case the payout will be par plus the return of the worse performing index with full exposure to any losses.
Wells Fargo Securities LLC is the agent.
| Issuer: | Wells Fargo & Co.
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| Issue: | Market-linked securities – callable with contingent coupon and contingent downside
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| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $2,363,000
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| Maturity: | March 1, 2027
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| Coupon: | 7% for first five years, 10% for years six through eight and 12% after that, payable quarterly if each index closes at or above its coupon threshold on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either index closes below 50% downside threshold, in which case full exposure to any losses of worse performing index
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| Initial levels: | 2,363.81 for S&P, 1,394.623 for Russell
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| Coupon thresholds: | 1,595.57175 for S&P, 941.370525 for Russell; 67.5% of initial levels
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| Downside thresholds: | 1,181.905 for S&P, 697.3115 for Russell; 50% of initial levels
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| Call option: | At par on any quarterly observation date from February 2018 to November 2026
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| Pricing date: | Feb. 23
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| Settlement date: | Feb. 28
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| Agent: | Wells Fargo Securities LLC
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| Fees: | 4.25%
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| Cusip: | 94986R4E8
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