The Principal at Risk Securities Linked to the Lowest
Performing of the common stock of General Mills, Inc. and the common stock of Conagra Brands, Inc. due November 19, 2021 (the “
securities
”)
are senior unsecured debt securities of Wells Fargo that do not provide for fixed payments of interest, do not repay a fixed amount
of principal at stated maturity and are subject to potential automatic call upon the terms described in this pricing supplement.
Whether the securities pay a quarterly contingent coupon, whether the securities are automatically called prior to stated maturity
and, if they are not automatically called, whether you receive the face amount of your securities at stated maturity will depend
in each case upon the stock closing price of the
lowest performing Underlying Stock
on the relevant calculation day. The
lowest performing Underlying Stock on any calculation day is the Underlying Stock that has the lowest stock closing price on that
calculation day as a percentage of its starting price. The securities provide:
All payments on the securities are subject to the credit risk of Wells
Fargo.
You should read this pricing supplement together
with the prospectus supplement dated January 24, 2018 and the prospectus dated April 27, 2018 for additional information about
the securities. When you read the accompanying prospectus supplement, please note that all references in such supplement to the
prospectus dated November 3, 2017, or to any sections therein, should refer instead to the accompanying prospectus dated April
27, 2018 or to the corresponding sections of such prospectus, as applicable. Information included in this pricing supplement supersedes
information in the prospectus supplement and prospectus to the extent it is different from that information. Certain defined terms
used but not defined herein have the meanings set forth in the prospectus supplement.
You may access the prospectus supplement and prospectus
on the SEC website www.sec.gov as follows (or if such address has changed, by reviewing our filing for the relevant date on the
SEC website):
The original offering price of each security includes
certain costs that are borne by you. Because of these costs, the estimated value of the securities on the pricing date is less
than the original offering price. The costs included in the original offering price relate to selling, structuring, hedging and
issuing the securities, as well as to our funding considerations for debt of this type.
The costs related to selling, structuring, hedging
and issuing the securities include (i) the agent discount (if any), (ii) the projected profit that our hedge counterparty (which
may be one of our affiliates) expects to realize for assuming risks inherent in hedging our obligations under the securities and
(iii) hedging and other costs relating to the offering of the securities.
Our funding considerations take into account the
higher issuance, operational and ongoing management costs of market-linked debt such as the securities as compared to our conventional
debt of the same maturity, as well as our liquidity needs and preferences. Our funding considerations are reflected in the fact
that we determine the economic terms of the securities based on an assumed funding rate that is generally lower than the interest
rates implied by secondary market prices for our debt obligations and/or by other traded instruments referencing our debt obligations,
which we refer to as our “
secondary market rates
.” As discussed below, our secondary market rates are used in
determining the estimated value of the securities.
If the costs relating to selling, structuring,
hedging and issuing the securities were lower, or if the assumed funding rate we use to determine the economic terms of the securities
were higher, the economic terms of the securities would be more favorable to you and the estimated value would be higher. The estimated
value of the securities as of the pricing date is set forth on the cover page of this pricing supplement.
The estimated value of the debt component is based
on a reference interest rate, determined by WFS as of a recent date, that generally tracks our secondary market rates. Because
WFS does not continuously calculate our reference interest rate, the reference interest rate used in the calculation of the estimated
value of the debt component may be higher or lower than our secondary market rates at the time of that calculation. As noted above,
we determine the economic terms of the securities based upon an assumed funding rate that is generally lower than our secondary
market rates. In contrast, in determining the estimated value of the securities, we value the debt component using a reference
interest rate that generally tracks our secondary market rates. Because the reference interest rate is generally higher than the
assumed funding rate, using the reference interest rate to value the debt component generally results in a lower estimated value
for the debt component, which we believe more closely approximates a market valuation of the debt component than if we had used
the assumed funding rate.
WFS calculated the estimated value of the derivative
component based on a proprietary derivative-pricing model, which generated a theoretical price for the derivative instruments that
constitute the derivative component based on various inputs, including the “derivative component factors” identified
in “Risk Factors—The Value Of The Securities Prior To Stated Maturity Will Be Affected By Numerous Factors, Some Of
Which Are Related In Complex Ways.” These inputs may be market-observable or may be based on assumptions made by WFS in its
discretion.
The estimated value of the securities
determined by WFS is subject to important limitations. See “Risk Factors—The Estimated Value Of The Securities Is Determined
By Our Affiliate’s Pricing Models, Which May Differ From Those Of Other Dealers” and “—Our Economic Interests
And Those Of Any Dealer Participating In The Offering Are Potentially Adverse To Your Interests.”
The estimated value of the securities is not an indication
of the price, if any, at which WFS or any other person may be willing to buy the securities from you in the secondary market. The
price, if any, at which WFS or any of its affiliates may purchase the securities in the secondary market will be based upon WFS’s
proprietary pricing models and will fluctuate over the term of the securities due to changes in market conditions and other relevant
factors. However, absent changes in these market conditions and other relevant factors, except as otherwise described in the following
paragraph, any secondary market price will be lower than the estimated value on the pricing date because the secondary market price
will be reduced by a bid-offer spread, which may vary depending on the aggregate face amount of the securities to be purchased
in the secondary market transaction, and the expected cost of unwinding any
related hedging transactions. Accordingly, unless market
conditions and other relevant factors change significantly in your favor, any secondary market price for the securities is likely
to be less than the original offering price.
If WFS or any of its affiliates makes a secondary
market in the securities at any time up to the issue date or during the 3-month period following the issue date, the secondary
market price offered by WFS or any of its affiliates will be increased by an amount reflecting a portion of the costs associated
with selling, structuring, hedging and issuing the securities that are included in the original offering price. Because this portion
of the costs is not fully deducted upon issuance, any secondary market price offered by WFS or any of its affiliates during this
period will be higher than it would be if it were based solely on WFS’s proprietary pricing models less the bid-offer spread
and hedging unwind costs described above. The amount of this increase in the secondary market price will decline steadily to zero
over this 3-month period. If you hold the securities through an account at WFS or any of its affiliates, we expect that this increase
will also be reflected in the value indicated for the securities on your brokerage account statement.
If WFS or any of its affiliates makes a secondary
market in the securities, WFS expects to provide those secondary market prices to any unaffiliated broker-dealers through which
the securities are held and to commercial pricing vendors. If you hold your securities through an account at a broker-dealer other
than WFS or any of its affiliates, that broker-dealer may obtain market prices for the securities from WFS (directly or indirectly),
but could also obtain such market prices from other sources, and may be willing to purchase the securities at any given time at
a price that differs from the price at which WFS or any of its affiliates is willing to purchase the securities. As a result, if
you hold your securities through an account at a broker-dealer other than WFS or any of its affiliates, the value of the securities
on your brokerage account statement may be different than if you held your securities at WFS or any of its affiliates.
The securities will not be listed or displayed
on any securities exchange or any automated quotation system. Although WFS and/or its affiliates may buy the securities from investors,
they are not obligated to do so and are not required to make a market for the securities. There can be no assurance that a secondary
market will develop.
The securities are not designed for, and may not
be a suitable investment for, investors who:
If the securities have not been previously automatically
called, on each quarterly contingent coupon payment date, you will either receive a contingent coupon payment or you will not receive
a contingent coupon payment, depending on the stock closing price of the lowest performing Underlying Stock on the related quarterly
calculation day.
On the stated maturity date, if the securities
have not been automatically called prior to the stated maturity date, you will receive (in addition to the final contingent coupon
payment, if any) a cash payment per security (the maturity payment amount) calculated as follows:
The following profile illustrates the potential maturity
payment amount on the securities (excluding the final contingent coupon payment, if any) for a range of hypothetical performances
of the lowest performing Underlying Stock on the final calculation day from its starting price to its ending price, assuming the
securities have not been automatically called prior to the stated maturity date. This graph has been prepared for purposes of illustration
only. Your actual return will depend on the actual ending price of the lowest performing Underlying Stock on the final calculation
day and whether you hold your securities to stated maturity. The performance of the better performing Underlying Stock is not relevant
to your return on the securities.
The securities have complex features and investing in
the securities will involve risks not associated with an investment in conventional debt securities. You should carefully consider
the risk factors set forth below as well as the other information contained in this pricing supplement and the accompanying prospectus
supplement and prospectus, including the documents they incorporate by reference. As described in more detail below, the value
of the securities may vary considerably before the stated maturity date due to events that are difficult to predict and are beyond
our control. You should reach an investment decision only after you have carefully considered with your advisors the suitability
of an investment in the securities in light of your particular circumstances.
If The Securities Are Not Automatically Called
Prior to Stated Maturity, You May Lose Some Or All Of The Face Amount Of Your Securities At Stated Maturity.
We will not repay you a fixed amount on your securities
at stated maturity. If the securities are not automatically called prior to stated maturity, you will receive a maturity payment
amount that will be equal to or less than the face amount per security, depending on the ending price of the lowest performing
Underlying Stock on the final calculation day.
If the ending price of the lowest performing Underlying
Stock on the final calculation day is less than its threshold price, the maturity payment amount will be reduced by an amount equal
to the decline in the price of the lowest performing Underlying Stock from its starting price (expressed as a percentage of its
starting price). The threshold price for each Underlying Stock is 65% of its starting price. For example, if the securities are
not automatically called and the lowest performing Underlying Stock on the final calculation day has declined by 35.1% from its
starting price to its ending price, you will not receive any benefit of the contingent downside protection feature and you will
lose 35.1% of the face amount per security. As a result, you will not receive any protection if the price of the lowest performing
Underlying Stock on the final calculation day declines significantly and you may lose some, and possibly all, of the face amount
per security at stated maturity, even if the price of the lowest performing Underlying Stock is greater than or equal to its starting
price or its threshold price at certain times during the term of the securities.
Even if the ending price of the lowest performing
Underlying Stock on the final calculation day is greater than its threshold price, the maturity payment amount will not exceed
the face amount, and your yield on the securities, taking into account any contingent coupon payments you may have received during
the term of the securities, may be less than the yield you would earn if you bought a traditional interest-bearing debt security
of Wells Fargo or another issuer with a similar credit rating.
The Securities Do Not Provide For Fixed Payments
Of Interest And You May Receive No Coupon Payments On One Or More Quarterly Contingent Coupon Payment Dates, Or Even Throughout
The Entire Term Of The Securities.
On each quarterly contingent coupon payment date
you will receive a contingent coupon payment if,
and only if
, the stock closing price of the lowest performing Underlying
Stock on the related calculation day is greater than or equal to its threshold price. If the stock closing price of the lowest
performing Underlying Stock on any calculation day is less than its threshold price, you will not receive any contingent coupon
payment on the related contingent coupon payment date, and if the stock closing price of the lowest performing Underlying Stock
is less than its threshold price on each calculation day over the term of the securities, you will not receive any contingent coupon
payments over the entire term of the securities.
The Securities Are Subject To The Full Risks
Of Both Underlying Stocks And Will Be Negatively Affected If Either Underlying Stock Performs Poorly, Even If The Other Underlying
Stock Performs Favorably.
You are subject to the full risks of both Underlying
Stocks. If either Underlying Stock performs poorly, you will be negatively affected, even if the other Underlying Stock performs
favorably. The securities are not linked to a basket composed of the Underlying Stocks, where the better performance of one Underlying
Stock could offset the poor performance of the other Underlying Stock. Instead, you are subject to the full risks of whichever
Underlying Stock is the lowest performing Underlying Stock on each calculation day. As a result, the securities are riskier than
an alternative investment linked to only one of the Underlying Stocks or linked to a basket composed of both Underlying Stocks.
You should not invest in the securities unless you understand and are willing to accept the full downside risks of both Underlying
Stocks.
Your Return On The Securities Will Depend Solely
On The Performance Of The Underlying Stock That Is The Lowest Performing Underlying Stock On Each Calculation Day, And You Will
Not Benefit In Any Way From The Performance Of The Better Performing Underlying Stock.
Your return on the face amount of the securities
will depend solely on the performance of the Underlying Stock that is the lowest performing Underlying Stock on each calculation
day. Although it is necessary for both Underlying Stocks to close above their respective threshold prices on the relevant calculation
day in order for you to receive a quarterly contingent coupon payment and for you to be receive the face amount of your securities
at maturity, you will not benefit in any way from the performance of the better performing Underlying Stock. The securities may
underperform an alternative investment linked to a basket composed of the Underlying Stocks, since in such case the performance
of the better performing Underlying Stock would be blended with the performance of the lowest performing Underlying Stock, resulting
in a better return than the return of the lowest performing Underlying Stock alone.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 2021
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You Will Be Subject To Risks Resulting From
The Relationship Between The Underlying Stocks.
It is preferable from your perspective for the
Underlying Stocks to be correlated with each other so that their prices will tend to increase or decrease at similar times and
by similar magnitudes. By investing in the securities, you assume the risk that the Underlying Stocks will not exhibit this relationship.
The less correlated the Underlying Stocks, the more likely it is that either one of the Underlying Stocks will be performing poorly
at any time over the term of the securities. All that is necessary for the securities to perform poorly is for one of the Underlying
Stocks to perform poorly; the performance of the better performing Underlying Stock is not relevant to your return on the securities.
It is impossible to predict what the relationship between the Underlying Stocks will be over the term of the securities.
You May Be Fully Exposed To The Decline In
The Lowest Performing Underlying Stock On The Final Calculation Day From Its Starting Price, But Will Not Participate In Any Positive
Performance Of Either Underlying Stock.
Even though you will be fully exposed to a decline
in the price of the lowest performing Underlying Stock on the final calculation day if its ending price is below its threshold
price, you will not participate in any increase in the price of either Underlying Stock over the term of the securities. Your maximum
possible return on the securities will be limited to the sum of the contingent coupon payments you receive, if any. Consequently,
your return on the securities may be significantly less than the return you could achieve on an alternative investment that provides
for participation in an increase in the price of either or both of the Underlying Stocks.
Higher Contingent Coupon Rates Are Associated
With Greater Risk.
The securities offer contingent coupon payments
at a higher rate, if paid, than the fixed rate we would pay on conventional debt securities of the same maturity. These higher
potential contingent coupon payments are associated with greater levels of expected risk as of the pricing date as compared to
conventional debt securities, including the risk that you may not receive a contingent coupon payment on one or more, or any, contingent
coupon payment dates and the risk that you may lose a substantial portion, and possibly all, of the face amount per security at
maturity. The volatility of the Underlying Stocks and the correlation between the Underlying Stocks are important factors affecting
this risk. Volatility is a measurement of the size and frequency of daily fluctuations in the price of an Underlying Stock, typically
observed over a specified period of time. Volatility can be measured in a variety of ways, including on a historical basis or on
an expected basis as implied by option prices in the market. Correlation is a measurement of the extent to which the prices of
the Underlying Stocks tend to fluctuate at the same time, in the same direction and in similar magnitudes. Greater expected volatility
of the Underlying Stocks or lower expected correlation between the Underlying Stocks as of the pricing date may result in a higher
contingent coupon rate, but it also represents a greater expected likelihood as of the pricing date that the stock closing price
of at least one Underlying Stock will be less than its threshold price on one or more calculation days, such that you will not
receive one or more, or any, contingent coupon payments during the term of the securities, and that the stock closing price of
at least one Underlying Stock will be less than its threshold price on the final calculation day such that you will lose a substantial
portion, and possibly all, of the face amount per security at maturity. In general, the higher the contingent coupon rate is relative
to the fixed rate we would pay on conventional debt securities, the greater the expected risk that you will not receive one or
more, or any, contingent coupon payments during the term of the securities and that you will lose a substantial portion, and possibly
all, of the face amount per security at maturity.
You Will Be Subject To Reinvestment Risk.
If your securities are automatically called, the
term of the securities may be reduced to as short as approximately six months. There is no guarantee that you would be able to
reinvest the proceeds from an investment in the securities at a comparable return for a similar level of risk in the event the
securities are automatically called prior to maturity.
The Securities Are Subject To The Credit Risk
Of Wells Fargo.
The securities are our obligations and are not,
either directly or indirectly, an obligation of any third party. Any amounts payable under the securities are subject to our creditworthiness,
and you will have no ability to pursue either Underlying Stock for payment. As a result, our actual and perceived creditworthiness
may affect the value of the securities and, in the event we were to default on our obligations, you may not receive any amounts
owed to you under the terms of the securities.
Holders Of
The Securities Have Limited Rights Of Acceleration.
Payment of principal on the securities may be
accelerated only in the case of payment defaults that continue for a period of 30 days or certain events of bankruptcy or insolvency,
whether voluntary or involuntary. If you purchase the securities, you will have no right to accelerate the payment of principal
on the securities if we fail in the performance of any of our obligations under the securities, other than the obligations to pay
principal and interest on the securities. See “Description of Notes—Events of Default and Covenant Breaches”
in the accompanying prospectus supplement.
Holders Of The Securities Could Be At Greater
Risk For Being Structurally Subordinated If We Convey, Transfer Or Lease All Or Substantially All Of Our Assets To One Or More
Of Our Subsidiaries.
Under the indenture, we may convey, transfer or
lease all or substantially all of our assets to one or more of our subsidiaries. In that event, third-party creditors of our subsidiaries
would have additional assets from which to recover on their claims while holders of the
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 2021
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securities would be structurally subordinated
to creditors of our subsidiaries with respect to such assets. See “Description of Notes—Consolidation, Merger or Sale”
in the accompanying prospectus supplement.
The Estimated Value Of The Securities On The
Pricing Date, Based On WFS’s Proprietary Pricing Models, Is Less Than The Original Offering Price.
The original offering price of the securities
includes certain costs that are borne by you. Because of these costs, the estimated value of the securities on the pricing date
is less than the original offering price. The costs included in the original offering price relate to selling, structuring, hedging
and issuing the securities, as well as to our funding considerations for debt of this type. The costs related to selling, structuring,
hedging and issuing the securities include (i) the agent discount (if any), (ii) the projected profit that our hedge counterparty
(which may be one of our affiliates) expects to realize for assuming risks inherent in hedging our obligations under the securities
and (iii) hedging and other costs relating to the offering of the securities. Our funding considerations are reflected in the fact
that we determine the economic terms of the securities based on an assumed funding rate that is generally lower than our secondary
market rates. If the costs relating to selling, structuring, hedging and issuing the securities were lower, or if the assumed funding
rate we use to determine the economic terms of the securities were higher, the economic terms of the securities would be more favorable
to you and the estimated value would be higher.
The Estimated Value Of The Securities Is Determined
By Our Affiliate’s Pricing Models, Which May Differ From Those Of Other Dealers.
The estimated value of the securities was determined
for us by WFS using its proprietary pricing models and related market inputs and assumptions referred to above under “Investment
Description—Determining the estimated value.” Certain inputs to these models may be determined by WFS in its discretion.
WFS’s views on these inputs may differ from other dealers’ views, and WFS’s estimated value of the securities
may be higher, and perhaps materially higher, than the estimated value of the securities that would be determined by other dealers
in the market. WFS’s models and its inputs and related assumptions may prove to be wrong and therefore not an accurate reflection
of the value of the securities.
The Estimated Value Of The Securities Is Not
An Indication Of The Price, If Any, At Which WFS Or Any Other Person May Be Willing To Buy The Securities From You In The Secondary
Market.
The price, if any, at which WFS or any of its
affiliates may purchase the securities in the secondary market will be based on WFS’s proprietary pricing models and will
fluctuate over the term of the securities as a result of changes in the market and other factors described in the next risk factor.
Any such secondary market price for the securities will also be reduced by a bid-offer spread, which may vary depending on the
aggregate face amount of the securities to be purchased in the secondary market transaction, and the expected cost of unwinding
any related hedging transactions. Unless the factors described in the next risk factor change significantly in your favor, any
such secondary market price for the securities is likely to be less than the original offering price.
If WFS or any of its affiliates makes a secondary
market in the securities at any time up to the issue date or during the 3-month period following the issue date, the secondary
market price offered by WFS or any of its affiliates will be increased by an amount reflecting a portion of the costs associated
with selling, structuring, hedging and issuing the securities that are included in the original offering price. Because this portion
of the costs is not fully deducted upon issuance, any secondary market price offered by WFS or any of its affiliates during this
period will be higher than it would be if it were based solely on WFS’s proprietary pricing models less the bid-offer spread
and hedging unwind costs described above. The amount of this increase in the secondary market price will decline steadily to zero
over this 3-month period. If you hold the securities through an account at WFS or any of its affiliates, we expect that this increase
will also be reflected in the value indicated for the securities on your brokerage account statement. If you hold your securities
through an account at a broker-dealer other than WFS or any of its affiliates, the value of the securities on your brokerage account
statement may be different than if you held your securities at WFS or any of its affiliates, as discussed above under “Investment
Description—Valuation of the securities after issuance.”
The Value Of The Securities Prior To Stated
Maturity Will Be Affected By Numerous Factors, Some Of Which Are Related In Complex Ways.
The value of the securities prior to stated
maturity will be affected by the then-current price of each Underlying Stock, interest rates at that time and a number of other
factors, some of which are interrelated in complex ways. The effect of any one factor may be offset or magnified by the effect
of another factor. The following factors, which we refer to as the “
derivative component factors
,” are expected
to affect the value of the securities. When we refer to the “
value
” of your security, we mean the value you
could receive for your security if you are able to sell it in the open market before the stated maturity date.
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Performance of the Underlying
Stocks.
The value of the securities prior to maturity will depend substantially on the then-current price of each Underlying
Stock. The price at which you may be able to sell the securities before stated maturity may be at a discount, which could be substantial,
from their original offering price, if the price of the lowest performing Underlying Stock at such time is less than, equal to
or not sufficiently above its starting price or its threshold price.
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Interest Rates.
The value
of the securities may be affected by changes in the interest rates in the U.S. markets.
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Volatility Of The Underlying
Stocks.
Volatility is the term used to describe the size and frequency of market fluctuations. The value of the securities
may be affected if the volatility of the Underlying Stocks changes.
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 2021
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Correlation Between The Underlying
Stocks.
Correlation refers to the extent to which the prices of the Underlying Stocks tend to fluctuate at the same time, in
the same direction and in similar magnitudes. The correlation between the Underlying Stocks may be positive, zero or negative.
The value of the securities is likely to decrease if the correlation between the Underlying Stocks decreases.
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Time Remaining To Maturity.
The value of the securities at any given time prior to maturity will likely be different from that which would be expected based
on the then-current prices of the Underlying Stocks. This difference will most likely reflect a discount due to expectations and
uncertainty concerning the prices of the Underlying Stocks during the period of time still remaining to the stated maturity date.
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Dividend Yields On The Underlying
Stocks.
The value of the securities may be affected by the dividend yields on the Underlying Stocks.
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In addition to the derivative component factors,
the value of the securities will be affected by actual or anticipated changes in our creditworthiness, as reflected in our secondary
market rates. The value of the securities will also be limited by the automatic call feature because if the securities are automatically
called, you will not receive the contingent coupon payments that would have accrued, if any, had the securities been called on
a later calculation day or held until the stated maturity date. You should understand that the impact of one of the factors specified
above, such as a change in interest rates, may offset some or all of any change in the value of the securities attributable to
another factor, such as a change in the price of either or both of the Underlying Stocks. Because numerous factors are expected
to affect the value of the securities, changes in the price of the Underlying Stocks may not result in a comparable change in the
value of the securities.
The Securities Will Not Be Listed On Any Securities
Exchange And We Do Not Expect A Trading Market For The Securities To Develop.
The securities will not be listed or displayed
on any securities exchange or any automated quotation system. Although the agent and/or its affiliates may purchase the securities
from holders, they are not obligated to do so and are not required to make a market for the securities. There can be no assurance
that a secondary market will develop. Because we do not expect that any market makers will participate in a secondary market for
the securities, the price at which you may be able to sell your securities is likely to depend on the price, if any, at which the
agent is willing to buy your securities.
If a secondary market does exist, it may be limited.
Accordingly, there may be a limited number of buyers if you decide to sell your securities prior to stated maturity. This may affect
the price you receive upon such sale. Consequently, you should be willing to hold the securities to stated maturity.
Historical Prices Of The Underlying Stocks
Should Not Be Taken As An Indication Of The Future Performance Of The Underlying Stocks During The Term Of The Securities.
It is impossible to predict whether the market
prices of the Underlying Stocks will rise or fall. The Underlying Stocks have performed differently in the past and are expected
to perform differently in the future. The market prices of the Underlying Stocks will be influenced by complex and interrelated
political, economic, financial and other factors that can affect the Underlying Stock Issuers. Accordingly, any historical performances
of the Underlying Stocks does not provide an indication of the future performances of the Underlying Stocks.
You Will Not Have Any Shareholder Rights.
Investing in the securities is not equivalent
to investing in any of the Underlying Stocks. As an investor in the securities, you will not have voting rights or rights to receive
dividends or other distributions or any other rights with respect to any of the Underlying Stocks.
The Securities May Become Linked To The Common
Stock Of Companies Other Than The Original Underlying Stock Issuers.
Following certain corporate events relating to
an Underlying Stock, such as a stock-for-stock merger where the applicable Underlying Stock Issuer is not the surviving entity,
the shares of a successor corporation to such Underlying Stock Issuer will be substituted for such Underlying Stock for all purposes
of the securities. Following certain other corporate events relating to an Underlying Stock in which holders of such Underlying
Stock would receive all of their consideration in cash and the surviving entity has no marketable securities outstanding or there
is no surviving entity (including, but not limited to, a leveraged buyout or other going private transaction involving such Underlying
Stock Issuer, or a liquidation of such Underlying Stock Issuer), the common stock of another company in the same industry group
as such Underlying Stock Issuer will be substituted for such Underlying Stock for all purposes of the securities. In the event
of such a corporate event, the equity-linked nature of the securities would be significantly altered. We describe the specific
corporate events that can lead to these adjustments and the procedures for selecting those other reference stocks in the section
entitled “Additional Terms of the Securities—Adjustment Events.” The occurrence of such corporate events and
the consequent adjustments may materially and adversely affect the market price of the securities.
We Cannot Control Actions By The Underlying
Stock Issuers.
Actions by an Underlying Stock Issuer may have
an adverse effect on the price of such Underlying Stock, the stock closing price of such Underlying Stock on any calculation day,
the ending price of such Underlying Stock and the value of the securities. We are not affiliated
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 2021
|
with either of the Underlying Stock Issuers. The
Underlying Stock Issuers will not be involved in the offering of the securities and will have no obligations with respect to the
securities, including any obligation to take our interests or your interests into consideration for any reason. The Underlying
Stock Issuers will not receive any of the proceeds of the offering of the securities and will not be responsible for, and will
not have participated in, the determination of the timing of, prices for, or quantities of, the securities to be issued. The Underlying
Stock Issuers will not be involved with the administration, marketing or trading of the securities and will have no obligations
with respect to any amounts payable on the securities.
We And Our Affiliates Have No Affiliation
With Either Underlying Stock Issuer And Have Not Independently Verified Their Public Disclosure Of Information.
We and our affiliates are not affiliated in any
way with either Underlying Stock Issuer. This pricing supplement relates only to the securities and does not relate to the Underlying
Stocks. The material provided herein concerning the Underlying Stock Issuers is derived from publicly available documents concerning
such companies without independent verification. Neither we nor the agent has participated in the preparation of any of those documents
or made any “due diligence” investigation or any inquiry of the Underlying Stock Issuers. Furthermore, neither we nor
the agent knows whether the Underlying Stock Issuers have disclosed all events occurring before the date of this pricing supplement—including
events that could affect the accuracy or completeness of the publicly available documents referred to above. Subsequent disclosure
of any event of this kind or the disclosure of or failure to disclose material future events concerning the Underlying Stock Issuers
could affect the value of the securities and the amount payable on the securities. You, as an investor in the securities, should
make your own investigation into the Underlying Stock Issuers.
In addition, there can be no assurance that either
Underlying Stock Issuer will continue to be subject to the reporting requirements of the Securities Exchange Act of 1934, as amended
(the “
Exchange Act
”), and will distribute any reports, proxy statements, and other information required thereby
to its shareholders. In the event that either Underlying Stock Issuer ceases to be subject to such reporting requirements and the
securities continue to be outstanding, pricing information for the securities may be more difficult to obtain and the value and
liquidity of the securities may be adversely affected. Neither we nor any agent is responsible for the public disclosure of information
by either Underlying Stock Issuer, whether contained in filings with the Securities and Exchange Commission (the “
SEC
”)
or otherwise.
The U.S. Federal Tax Consequences Of An Investment
In The Securities Are Unclear.
There is no direct legal authority as to the proper
U.S. federal tax treatment of the securities, and we do not intend to request a ruling from the Internal Revenue Service (the “IRS”).
Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or a court might not agree
with the treatment of the securities as described in this pricing supplement under “United States Federal Tax Considerations.”
If the IRS were successful in asserting an alternative treatment, the tax consequences of ownership and disposition of the securities
might be materially and adversely affected.
Non-U.S. holders should note that persons having
withholding responsibility in respect of the securities may withhold on any coupon payment paid to a non-U.S. holder, generally
at a rate of 30%. To the extent that we have withholding responsibility in respect of the securities, we intend to so withhold.
In addition, Section 871(m) of the Internal Revenue
Code of 1986, as amended (the “
Code
”), imposes a withholding tax of up to 30% on “dividend equivalents”
paid or deemed paid to non-U.S. investors in respect of certain financial instruments linked to U.S. equities. In light of Treasury
regulations, as modified by an IRS notice, that provide a general exemption for financial instruments issued prior to January 1,
2021 that do not have a “delta” of one, the securities should not be subject to withholding under Section 871(m). However,
the IRS could challenge this conclusion.
We will not be required to pay any additional
amounts with respect to amounts withheld.
You should read carefully the discussion under
“United States Federal Tax Considerations” in this pricing supplement and consult your tax adviser regarding the U.S.
federal tax consequences of an investment in the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 2021
|
If the securities are automatically called:
If the securities are automatically called prior
to stated maturity, you will receive the face amount of your securities plus a final contingent coupon payment on the call settlement
date. In the event the securities are automatically called, your total return on the face amount of the securities will equal any
contingent coupon payments received prior to the call settlement date and the contingent coupon payment received on the call settlement
date.
If the securities are not automatically called:
If the securities are not automatically called
prior to stated maturity, the following table illustrates, for a range of hypothetical performance factors of the lowest performing
Underlying Stock on the final calculation day, the hypothetical maturity payment amount payable at stated maturity per security
(excluding the final contingent coupon payment, if any). The performance factor of the lowest performing Underlying Stock on the
final calculation day is its ending price expressed as a percentage of its starting price (i.e., its ending price
divided by
its starting price).
|
|
Hypothetical performance factor of
lowest performing Underlying
Stock on final calculation day
|
Hypothetical maturity payment
amount per security
|
175.00%
|
$1,000.00
|
160.00%
|
$1,000.00
|
150.00%
|
$1,000.00
|
140.00%
|
$1,000.00
|
130.00%
|
$1,000.00
|
120.00%
|
$1,000.00
|
110.00%
|
$1,000.00
|
100.00%
|
$1,000.00
|
90.00%
|
$1,000.00
|
80.00%
|
$1,000.00
|
70.00%
|
$1,000.00
|
65.00%
|
$1,000.00
|
64.00%
|
$640.00
|
60.00%
|
$600.00
|
50.00%
|
$500.00
|
40.00%
|
$400.00
|
25.00%
|
$250.00
|
|
|
|
The above figures do not take into account contingent
coupon payments, if any, received during the term of the securities. As evidenced above, in no event will you have a positive rate
of return on the face amount of your securities based solely on the maturity payment amount received at maturity; any positive
return on the face amount of your securities will be based solely on the contingent coupon payments, if any, received during the
term of the securities.
The above figures are for purposes of illustration
only and may have been rounded for ease of analysis. If the securities are not automatically called prior to stated maturity, the
actual amount you will receive at stated maturity will depend on the actual ending price of the lowest performing Underlying Stock
on the final calculation day. The performance of the better performing Underlying Stock is not relevant to your return on the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 2021
|
Hypothetical Contingent Coupon Payments
|
Set forth below are three examples that illustrate how
to determine whether a contingent coupon payment will be paid and whether the securities will be automatically called on a quarterly
contingent coupon payment date prior to the stated maturity date. The examples do not reflect any specific quarterly contingent
coupon payment date. The following examples assume the hypothetical starting price, threshold price and stock closing prices for
each Underlying Stock indicated in the examples. The terms used for purposes of these hypothetical examples do not represent any
actual starting price or threshold price. The hypothetical starting price of $100.00 for each Underlying Stock has been chosen
for illustrative purposes only and does not represent the actual starting price for either Underlying Stock. The actual starting
price and threshold price for each Underlying Stock are set forth under “Terms of the Securities” above. For historical
data regarding the actual closing prices of the Underlying Stocks, see the historical information provided herein. These examples
are for purposes of illustration only and the values used in the examples may have been rounded for ease of analysis.
Example 1. The stock closing price of
the lowest performing Underlying Stock on the relevant calculation day is greater than or equal to its threshold price and less
than its starting price. As a result, investors receive a contingent coupon payment on the applicable quarterly contingent coupon
payment date and the securities are not automatically called.
|
The Common Stock of
General Mills, Inc.
|
The Common Stock of
Conagra Brands, Inc.
|
Hypothetical starting price:
|
$100.00
|
$100.00
|
Hypothetical stock closing price on relevant calculation day:
|
$90.00
|
$95.00
|
Hypothetical threshold price:
|
$65.00
|
$65.00
|
Performance factor (stock closing price on calculation day
divided by
starting price):
|
90.00%
|
95.00%
|
Step 1
: Determine which Underlying
Stock is the lowest performing Underlying Stock on the relevant calculation day.
In this example, the common stock of General
Mills, Inc. has the lowest performance factor and is, therefore, the lowest performing Underlying Stock on the relevant calculation
day.
Step 2
: Determine whether a contingent
coupon payment will be paid and whether the securities will be automatically called on the applicable quarterly contingent coupon
payment date.
Since the hypothetical stock closing price
of the lowest performing Underlying Stock on the relevant calculation day is greater than or equal to its threshold price, but
less than its starting price, you would receive a contingent coupon payment on the applicable contingent coupon payment date and
the securities would not be automatically called. The contingent coupon payment would be equal to $23.75 per security, determined
as follows: (i) $1,000
multiplied by
9.50% per annum
divided by
(ii) 4, rounded to the nearest cent.
Example 2. The stock closing price of the lowest
performing Underlying Stock on the relevant calculation day is less than its threshold price. As a result, investors do not receive
a contingent coupon payment on the applicable quarterly contingent coupon payment date and the securities are not automatically
called.
|
The Common Stock of
General Mills, Inc.
|
The Common Stock of
Conagra Brands, Inc.
|
Hypothetical starting price:
|
$100.00
|
$100.00
|
Hypothetical stock closing price on relevant calculation day:
|
$64.00
|
$125.00
|
Hypothetical threshold price:
|
$65.00
|
$65.00
|
Performance factor (stock closing price on calculation day
divided by
starting price):
|
64.00%
|
125.00%
|
Step 1
: Determine which Underlying
Stock is the lowest performing Underlying Stock on the relevant calculation day.
In this example, the common stock of General
Mills, Inc. has the lowest performance factor and is, therefore, the lowest performing Underlying Stock on the relevant calculation
day.
Step 2
: Determine whether a contingent
coupon payment will be paid and whether the securities will be automatically called on the applicable quarterly contingent coupon
payment date.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 2021
|
Since the hypothetical stock closing price
of the lowest performing Underlying Stock on the relevant calculation day is less than its threshold price, you would not receive
a contingent coupon payment on the applicable contingent coupon payment date. In addition, the securities would not be automatically
called, even though the stock closing price of the better performing Underlying Stock on the relevant calculation day is greater
than its starting price. As this example illustrates, whether you receive a contingent coupon payment and whether the securities
are automatically called on a quarterly contingent coupon payment date will depend solely on the stock closing price of the lowest
performing Underlying Stock on the relevant calculation day. The performance of the better performing Underlying Stock is not relevant
to your return on the securities.
Example 3. The stock closing price of
the lowest performing Underlying Stock on the relevant calculation day is greater than or equal to its starting price. As a result,
the securities are automatically called on the applicable quarterly contingent coupon payment date for the face amount plus a final
contingent coupon payment.
|
The Common Stock of
General Mills, Inc.
|
The Common Stock of
Conagra Brands, Inc.
|
Hypothetical starting price:
|
$100.00
|
$100.00
|
Hypothetical stock closing price on relevant calculation day:
|
$115.00
|
$105.00
|
Hypothetical threshold price:
|
$65.00
|
$65.00
|
Performance factor (stock closing price on calculation day
divided by
starting price):
|
115.00%
|
105.00%
|
Step 1
: Determine which Underlying
Stock is the lowest performing Underlying Stock on the relevant calculation day.
In this example, the common stock of Conagra
Brands, Inc. has the lowest performance factor and is, therefore, the lowest performing Underlying Stock on the relevant calculation
day.
Step 2
: Determine whether a contingent
coupon payment will be paid and whether the securities will be automatically called on the applicable quarterly contingent coupon
payment date.
Since the hypothetical stock closing price
of the lowest performing Underlying Stock on the relevant calculation day is greater than or equal to its starting price, the
securities would be automatically called and you would receive the face amount plus a final contingent coupon payment on the applicable
contingent coupon payment date, which is also referred to as the call settlement date. On the call settlement date, you would
receive $1,023.75 per security.
If the securities are automatically called
prior to maturity, you will not receive any further payments after the call settlement date.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 2021
|
Hypothetical Payment at Stated Maturity
|
Set forth below are three examples of calculations of
the maturity payment amount payable at stated maturity, assuming that the securities have not been automatically called prior to
stated maturity and assuming the hypothetical starting price, threshold price and ending prices for each Underlying Stock indicated
in the examples. The terms used for purposes of these hypothetical examples do not represent any actual starting price or threshold
price. The hypothetical starting price of $100.00 for each Underlying Stock has been chosen for illustrative purposes only and
does not represent the actual starting price for either Underlying Stock. The actual starting price and threshold price for each
Underlying Stock are set forth under “Terms of the Securities” above. For historical data regarding the actual closing
prices of the Underlying Stocks, see the historical information provided herein. These examples are for purposes of illustration
only and the values used in the examples may have been rounded for ease of analysis.
Example 1. The ending price of the lowest
performing Underlying Stock on the final calculation day is greater than its starting price, the maturity payment amount is equal
to the face amount of your securities at maturity and you receive a final contingent coupon payment:
|
The Common Stock of
General Mills, Inc.
|
The Common Stock of
Conagra Brands, Inc.
|
Hypothetical starting price:
|
$100.00
|
$100.00
|
Hypothetical ending price:
|
$145.00
|
$135.00
|
Hypothetical threshold price:
|
$65.00
|
$65.00
|
Performance factor (ending price
divided by
starting price):
|
145.00%
|
135.00%
|
Step 1
: Determine which Underlying
Stock is the lowest performing Underlying Stock on the final calculation day.
In this example, the common stock of Conagra
Brands, Inc. has the lowest performance factor and is, therefore, the lowest performing Underlying Stock on the final calculation
day.
Step 2
: Determine the maturity payment
amount based on the ending price of the lowest performing Underlying Stock on the final calculation day.
Since the hypothetical ending price of the
lowest performing Underlying Stock on the final calculation day is greater than its hypothetical threshold price, the maturity
payment amount would equal the face amount. Although the hypothetical ending price of the lowest performing Underlying Stock on
the final calculation day is significantly greater than its hypothetical starting price in this scenario, the maturity payment
amount will not exceed the face amount.
In addition to any contingent coupon payments
received during the term of the securities, on the stated maturity date you would receive $1,000 per security as well as a final
contingent coupon payment.
Example 2. The ending price of the lowest
performing Underlying Stock on the final calculation day is less than its starting price but greater than its threshold price,
the maturity payment amount is equal to the face amount of your securities at maturity and you receive a final contingent coupon
payment:
|
The Common Stock of
General Mills, Inc.
|
The Common Stock of
Conagra Brands, Inc.
|
Hypothetical starting price:
|
$100.00
|
$100.00
|
Hypothetical ending price:
|
$80.00
|
$115.00
|
Hypothetical threshold price:
|
$65.00
|
$65.00
|
Performance factor (ending price
divided by
starting price):
|
80.00%
|
115.00%
|
Step 1
: Determine which Underlying
Stock is the lowest performing Underlying Stock on the final calculation day.
In this example, the common stock of General
Mills, Inc. has the lowest performance factor and is, therefore, the lowest performing Underlying Stock on the final calculation
day.
Step 2
: Determine the maturity payment
amount based on the ending price of the lowest performing Underlying Stock on the final calculation day.
Since the hypothetical ending price of the
lowest performing Underlying Stock is less than its hypothetical starting price, but not by more than 35%, you would receive the
face amount of your securities at maturity.
In addition to any contingent coupon payments
received during the term of the securities, on the stated maturity date you would receive $1,000 per security as well as a final
contingent coupon payment.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 2021
|
Example 3. The ending price of the lowest
performing Underlying Stock on the final calculation day is less than its threshold price, the maturity payment amount is less
than the face amount of your securities at maturity and you do not receive a final contingent coupon payment:
|
The Common Stock of
General Mills, Inc.
|
The
Common Stock of
Conagra Brands, Inc.
|
Hypothetical starting price:
|
$100.00
|
$100.00
|
Hypothetical ending price:
|
$120.00
|
$45.00
|
Hypothetical threshold price:
|
$65.00
|
$65.00
|
Performance factor (ending price
divided by
starting price):
|
120.00%
|
45.00%
|
Step 1
: Determine which Underlying
Stock is the lowest performing Underlying Stock on the final calculation day.
In this example, the common stock of Conagra
Brands, Inc. has the lowest performance factor and is, therefore, the lowest performing Underlying Stock on the final calculation
day.
Step 2
: Determine the maturity payment
amount based on the ending price of the lowest performing Underlying Stock on the final calculation day.
Since the hypothetical ending price of the
lowest performing Underlying Stock on the final calculation day is less than its hypothetical starting price by more than 35%,
you would lose a portion of the face amount of your securities and receive the maturity payment amount equal to $450.00 per security,
calculated as follows:
= $1,000 × performance factor of the lowest
performing Underlying Stock on the final calculation day
= $1,000 × 45.00%
= $450.00
In addition to any contingent coupon payments received during
the term of the securities, on the stated maturity date you would receive $450.00 per security, but no final contingent coupon
payment.
These examples illustrate that you will not participate
in any appreciation of either Underlying Stock, but will be fully exposed to a decrease in the lowest performing Underlying Stock
if the ending price of the lowest performing Underlying Stock on the final calculation day is less than its threshold price, even
if the ending price of the other Underlying Stock has appreciated or has not declined below its threshold price.
To the extent that the starting price, threshold
price and ending price of the lowest performing Underlying Stock differ from the values assumed above, the results indicated above
would be different.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 2021
|
Additional Terms of the Securities
|
Wells Fargo will issue the securities as part
of a series of senior unsecured debt securities entitled “Medium-Term Notes, Series S,” which is more fully described
in the prospectus supplement. Information included in this pricing supplement supersedes information in the prospectus supplement
and prospectus to the extent that it is different from that information.
Certain Definitions
A “
trading day
” with respect
to an Underlying Stock means a day, as determined by the calculation agent, on which trading is generally conducted on the principal
trading market for such Underlying Stock (as determined by the calculation agent, in its sole discretion), the Chicago Mercantile
Exchange and the Chicago Board Options Exchange and in the over-the-counter market for equity securities in the United States.
The “
closing price
” for one
share of an Underlying Stock (or one unit of any other security for which a closing price must be determined) on any trading day
means:
|
●
|
if such Underlying Stock (or any
such other security) is listed or admitted to trading on a national securities exchange, the official closing price on such day
published by the principal United States securities exchange registered under the Exchange Act on which such Underlying Stock (or
any such other security) is listed or admitted to trading; or
|
|
●
|
if such Underlying Stock (or any
such other security) is not listed or admitted to trading on any national securities exchange but is included in the OTC Bulletin
Board Service (the “
OTC Bulletin Board
”) operated by the Financial Industry Regulatory Authority, Inc. (“
FINRA
”),
the last reported sale price of the principal trading session on the OTC Bulletin Board on such day.
|
If such Underlying Stock (or any such other security)
is listed or admitted to trading on any national securities exchange but the official closing price is not available pursuant to
the preceding sentence, then the closing price for one share of such Underlying Stock (or one unit of any such other security)
on any trading day will mean the last reported sale price of the principal trading session on the over-the-counter market as reported
on the OTC Bulletin Board on such day.
If the official closing price or the last reported
sale price, as applicable, for such Underlying Stock (or any such other security) is not available pursuant to either of the two
preceding sentences, then the closing price per share for any trading day will be the mean, as determined by the calculation agent,
of the bid price for such Underlying Stock (or any such other security) obtained from as many recognized dealers in such security,
but not exceeding three, as will make such bid prices available to the calculation agent. Bids of WFS or any of its affiliates
may be included in the calculation of such mean, but only to the extent that any such bid is the highest of the bids obtained.
The term “
OTC Bulletin Board Service
” will include any successor service thereto or, if the OTC Bulletin Board
Service is discontinued and there is no successor service thereto, the OTC Reporting Facility operated by FINRA.
Calculation Agent
Wells Fargo Securities, LLC, one of our subsidiaries,
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 whether the
securities are automatically called prior to stated maturity, the amount of the payment you receive upon automatic call or at stated
maturity and the contingent coupon payments, if any. In addition, the calculation agent will, among other things:
|
●
|
determine whether a market disruption
event has occurred;
|
|
●
|
determine the closing prices of
the Underlying Stocks under certain circumstances;
|
|
●
|
determine if adjustments are required
to the closing price or adjustment factor of an Underlying Stock under various circumstances; and
|
|
●
|
under certain circumstances, select
a replacement stock for an Underlying Stock.
|
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 Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 2021
|
Market Disruption Events
A “
market disruption event
”
means, with respect to an Underlying Stock, the occurrence or existence of any of the following events:
|
●
|
a suspension, absence or material
limitation of trading in such Underlying Stock on its primary market for more than two hours of trading or during the one-half
hour before the close of trading in that market, as determined by the calculation agent in its sole discretion;
|
|
●
|
a suspension, absence or material
limitation of trading in option or futures contracts relating to such Underlying Stock, if available, in the primary market for
those contracts for more than two hours of trading or during the one-half hour before the close of trading in that market, as determined
by the calculation agent in its sole discretion;
|
|
●
|
such Underlying Stock does not
trade on the New York Stock Exchange, the NASDAQ Global Select Market, the NASDAQ Global Market or what was the primary market
for such Underlying Stock, as determined by the calculation agent in its sole discretion; or
|
|
●
|
any other event, if the calculation
agent determines in its sole discretion that the event materially interferes with our ability or the ability of any of our affiliates
to unwind all or a material portion of a hedge with respect to the securities that we or our affiliates have effected or may effect.
|
The following events will not be market disruption
events:
|
●
|
a limitation on the hours or number
of days of trading in such Underlying Stock in its primary market, but only if the limitation results from an announced change
in the regular business hours of the relevant market; and
|
|
●
|
a decision to permanently discontinue
trading in the option or futures contracts relating to such Underlying Stock.
|
For this purpose, a “suspension, absence
or material limitation of trading” in the applicable market will not include any time when that market is itself closed for
trading under ordinary circumstances. In contrast, a “suspension, absence or material limitation of trading” in the
applicable market for such Underlying Stock or option or futures contracts relating to such Underlying Stock, as applicable, by
reason of any of:
|
●
|
a price change exceeding limits
set by that market;
|
|
●
|
an imbalance of orders relating
to such Underlying Stock or those contracts; or
|
|
●
|
a disparity in bid and asked quotes
relating to such Underlying Stock or those contracts
|
will constitute a “suspension, absence or
material limitation of trading” in such Underlying Stock or those contracts, as the case may be, in the applicable market.
If a market disruption event occurs or is continuing
with respect to an Underlying Stock on any calculation day, then such calculation day for such Underlying Stock will be postponed
to the first succeeding trading day for such Underlying Stock on which a market disruption event for such Underlying Stock 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 Underlying Stock after the originally scheduled calculation day, that eighth trading day shall be deemed to be the calculation
day for such Underlying Stock. If a calculation day has been postponed eight trading days for an Underlying Stock after the originally
scheduled calculation day and a market disruption event occurs or is continuing with respect to such Underlying Stock on such eighth
trading day, the calculation agent will determine the closing price of such Underlying Stock on such eighth trading day by using
its good faith estimate of the closing price that would have prevailed for such Underlying Stock on such day. Notwithstanding the
postponement of a calculation day for an Underlying Stock due to a market disruption event with respect to such Underlying Stock
on such calculation day, the originally scheduled calculation day will remain the calculation day for the other Underlying Stock
if such other Underlying Stock is not affected by a market disruption event on such day.
Adjustment Events
The adjustment factor for each Underlying Stock
is initially 1.0. However, the adjustment factor for each Underlying Stock is subject to adjustment by the calculation agent as
a result of the dilution and reorganization events described in this section. The adjustments described below do not cover all
events that could affect the Underlying Stocks and, consequently, the value of your securities, such as a tender or exchange offer
by the applicable Underlying Stock Issuer for such Underlying Stock at a premium to its market price or a tender or exchange offer
made by a third party for less than all outstanding shares of such Underlying Stock. We describe the risks relating to dilution
above under “Risk Factors—You Have Limited Antidilution Protection.”
How adjustments will be made
If one of the events described below occurs with
respect to an Underlying Stock and the calculation agent determines that the event has a dilutive or concentrative effect on the
market price of such Underlying Stock, the calculation agent will calculate a corresponding adjustment to the adjustment factor
for such Underlying Stock as the calculation agent deems appropriate to account for that dilutive or concentrative effect. For
example, if an adjustment is required because of a two-for-one stock split, then the adjustment factor for such
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 2021
|
Underlying Stock will be adjusted by the calculation
agent by multiplying the existing adjustment factor by a fraction whose numerator is the number of shares of such Underlying Stock
outstanding immediately after the stock split and whose denominator is the number of shares of such Underlying Stock outstanding
immediately prior to the stock split. Consequently, the adjustment factor for such Underlying Stock will be adjusted to double
the prior adjustment factor, due to the corresponding decrease in the market price of such Underlying Stock. Adjustments will be
made for events with an effective date or ex-dividend date, as applicable, from but excluding the pricing date to and including
the applicable calculation day (the “
adjustment period
”).
The calculation agent will also determine the
effective date of that adjustment, and the replacement of an Underlying Stock, if applicable, in the event of a consolidation or
merger or certain other events in respect of the applicable Underlying Stock Issuer. Upon making any such adjustment, the calculation
agent will give notice as soon as practicable to the trustee and the paying agent, stating the adjustment to the adjustment factor
of such Underlying Stock. The calculation agent will not be required to make any adjustments to the adjustment factor for purposes
of calculating the stock closing price for a calculation day after the close of business on the such calculation day;
provided
that
any such adjustments to the adjustment factor will be taken into account for purposes of determining the stock closing
price for any subsequent calculation day. In no event, however, will an antidilution adjustment to the adjustment factor of an
Underlying Stock during the term of the securities be deemed to change the face amount per security.
If more than one event requiring adjustment occurs
with respect to an Underlying Stock, the calculation agent will make an adjustment for each event in the order in which the events
occur, and on a cumulative basis. Thus, having made an adjustment for the first event, the calculation agent will adjust the adjustment
factor for such Underlying Stock for the second event, applying the required adjustment to the adjustment factor for such Underlying
Stock as already adjusted for the first event, and so on for any subsequent events.
For any dilution event described below, other
than a consolidation or merger, the calculation agent will not have to adjust the adjustment factor for an Underlying Stock unless
the adjustment would result in a change to the adjustment factor of such Underlying Stock then in effect of at least 0.10%. The
adjustment factor of such Underlying Stock resulting from any adjustment will be rounded up or down, as appropriate, to the nearest
one-hundred thousandth.
If an event requiring an antidilution adjustment
occurs with respect to an Underlying Stock, the calculation agent will make the adjustment with a view to offsetting, to the extent
practical, any change in your economic position relative to your securities that results solely from that event. The calculation
agent may, in its sole discretion, modify the antidilution adjustments as necessary to ensure an equitable result.
The calculation agent will make all determinations
with respect to antidilution adjustments, including any determination as to whether an event requiring adjustment has occurred
with respect to an Underlying Stock, as to the nature of the adjustment required for such Underlying Stock and how it will be made
or as to the value of any property distributed in a reorganization event, and will do so in its sole discretion. In the absence
of manifest error, those determinations will be conclusive for all purposes and will be binding on you and us, without any liability
on the part of the calculation agent. You will not be entitled to any compensation from us for any loss suffered as a result of
any of these determinations by the calculation agent. The calculation agent will provide information about the adjustments that
it makes upon your written request.
If any of the adjustments specified below is required
to be made with respect to an amount or value of any cash or other property that is distributed by an Underlying Stock Issuer organized
outside the United States, such amount or value will be converted to U.S. dollars, as applicable, and will be reduced by any applicable
foreign withholding taxes that would apply to such distribution if such distribution were paid to a U.S. person that is eligible
for the benefits of an applicable income tax treaty, if any, between the United States and the jurisdiction of organization of
such Underlying Stock Issuer, as determined by the calculation agent, in its sole discretion.
No adjustments will be made for certain other
events, such as offerings of common stock by an Underlying Stock Issuer for cash or in connection with the occurrence of a partial
tender or exchange offer for an Underlying Stock by the Underlying Stock Issuer of such Underlying Stock or any other person.
Stock Splits and Reverse Stock Splits
A stock split is an increase in the number of
a corporation’s outstanding shares of stock without any change in its stockholders’ equity. Each outstanding share
will be worth less as a result of a stock split.
A reverse stock split is a decrease in the number
of a corporation’s outstanding shares of stock without any change in its stockholders’ equity. Each outstanding share
will be worth more as a result of a reverse stock split.
If an Underlying Stock is subject to a stock split
or a reverse stock split, then once the split has become effective the calculation agent will adjust the adjustment factor for
such Underlying Stock to equal the product of the prior adjustment factor of such Underlying Stock and the number of shares issued
in such stock split or reverse stock split with respect to one share of such Underlying Stock.
Stock Dividends
In a stock dividend, a corporation issues additional
shares of its stock to all holders of its outstanding stock in proportion to the shares they own. Each outstanding share will be
worth less as a result of a stock dividend.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 2021
|
If an Underlying Stock is subject to a stock dividend
payable in shares of such Underlying Stock that is given ratably to all holders of shares of such Underlying Stock, then once the
dividend has become effective the calculation agent will adjust the adjustment factor for such Underlying Stock on the ex-dividend
date to equal the sum of the prior adjustment factor for such Underlying Stock and the product of:
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●
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the number of shares issued with
respect to one share of such Underlying Stock, and
|
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●
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the prior adjustment factor for
such Underlying Stock.
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The “
ex-dividend date
” for
any dividend or other distribution is the first day on and after which such Underlying Stock trades without the right to receive
that dividend or distribution.
No Adjustments for Other Dividends and Distributions
The adjustment factor for an Underlying Stock
will not be adjusted to reflect dividends, including cash dividends, or other distributions paid with respect to such Underlying
Stock, other than:
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stock dividends described above,
|
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●
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issuances of transferable rights
and warrants as described in “ —Transferable Rights and Warrants” below,
|
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●
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distributions that are spin-off
events described in “ —Reorganization Events” below, and
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●
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extraordinary dividends described
below.
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An “
extraordinary dividend
”
means each of (a) the full amount per share of an Underlying Stock of any cash dividend or special dividend or distribution that
is identified by the applicable Underlying Stock Issuer as an extraordinary or special dividend or distribution, (b) the excess
of any cash dividend or other cash distribution (that is not otherwise identified by the applicable Underlying Stock Issuer as
an extraordinary or special dividend or distribution) distributed per share of such Underlying Stock over the immediately preceding
cash dividend or other cash distribution, if any, per share of such Underlying Stock that did not include an extraordinary or special
dividend (as adjusted for any subsequent corporate event requiring an adjustment as described in this section, such as a stock
split or reverse stock split) if such excess portion of the dividend or distribution is more than 5.00% of the closing price of
such Underlying Stock on the trading day preceding the ex-dividend date for the payment of such cash dividend or other cash distribution
(such closing price, the “
extraordinary dividend base closing price
”) and (c) the full cash value of any non-cash
dividend or distribution per share of such Underlying Stock (excluding marketable securities, as defined below).
If an Underlying Stock is subject to an extraordinary
dividend, then once the extraordinary dividend has become effective the calculation agent will adjust the adjustment factor for
such Underlying Stock on the ex-dividend date to equal the product of:
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the prior adjustment factor for
such Underlying Stock, and
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●
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a fraction, the numerator of which
is the extraordinary dividend base closing price of such Underlying Stock on the trading day preceding the ex-dividend date and
the denominator of which is the amount by which the extraordinary dividend base closing price of such Underlying Stock on the trading
day preceding the ex dividend date exceeds the extraordinary dividend.
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Notwithstanding anything herein, the initiation
by an Underlying Stock Issuer of an ordinary dividend on such Underlying Stock or any announced increase in the ordinary dividend
on such Underlying Stock will not constitute an extraordinary dividend requiring an adjustment.
To the extent an extraordinary dividend is not
paid in cash or is paid in a currency other than U.S. dollars, the value of the non-cash component or non-U.S. currency will be
determined by the calculation agent, in its sole discretion. A distribution on an Underlying Stock that is a dividend payable in
shares of such Underlying Stock, an issuance of rights or warrants or a spin-off event and also an extraordinary dividend will
result in an adjustment to the number of shares of such Underlying Stock only as described in “—Stock Dividends”
above, “—Transferable Rights and Warrants” below or “—Reorganization Events” below, as the
case may be, and not as described here.
Transferable Rights and Warrants
If an Underlying Stock Issuer issues transferable
rights or warrants to all holders of such Underlying Stock to subscribe for or purchase such Underlying Stock at an exercise price
per share that is less than the closing price of such Underlying Stock on the trading day before the ex-dividend date for the issuance,
then the adjustment factor for such Underlying Stock will be adjusted to equal the product of:
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the prior adjustment factor for
such Underlying Stock, and
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●
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a fraction, (1) the numerator
of which will be the number of shares of such Underlying Stock outstanding at the close of trading on the trading day before the
ex-dividend date (as adjusted for any subsequent event requiring an adjustment hereunder) plus the number of additional shares
of such Underlying Stock offered for subscription or purchase pursuant to the rights or
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 2021
|
warrants and (2) the denominator of which
will be the number of shares of such Underlying Stock outstanding at the close of trading on the trading day before the ex-dividend
date (as adjusted for any subsequent event requiring an adjustment hereunder) plus the number of additional shares of such Underlying
Stock (referred to herein as the “
additional shares
”) that the aggregate offering price of the total number
of shares of such Underlying Stock so offered for subscription or purchase pursuant to the rights or warrants would purchase at
the closing price on the trading day before the ex-dividend date for the issuance.
The number of additional shares will be equal
to:
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the product of (1) the total number
of additional shares of such Underlying Stock offered for subscription or purchase pursuant to the rights or warrants and (2) the
exercise price of the rights or warrants, divided by
|
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the closing price of such Underlying
Stock on the trading day before the ex-dividend date for the issuance.
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If the number of shares of such Underlying Stock
actually delivered in respect of the rights or warrants differs from the number of shares of such Underlying Stock offered in respect
of the rights or warrants, then the adjustment factor for such Underlying Stock will promptly be readjusted to the adjustment factor
for such Underlying Stock that would have been in effect had the adjustment been made on the basis of the number of shares of such
Underlying Stock actually delivered in respect of the rights or warrants.
Reorganization Events
Each of the following is a reorganization event
with respect to an Underlying Stock:
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such Underlying Stock is reclassified
or changed (other than in a stock split or reverse stock split),
|
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the applicable Underlying Stock
Issuer has been subject to a merger, consolidation or other combination and either is not the surviving entity or is the surviving
entity but all outstanding shares of such Underlying Stock are exchanged for or converted into other property,
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a statutory share exchange involving
outstanding shares of such Underlying Stock and the securities of another entity occurs, other than as part of an event described
above,
|
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●
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the applicable Underlying Stock
Issuer sells or otherwise transfers its property and assets as an entirety or substantially as an entirety to another entity,
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●
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the applicable Underlying Stock
Issuer effects a spin-off, other than as part of an event described above (in a spin-off, a corporation issues to all holders of
its common stock equity securities of another issuer), or
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the applicable Underlying Stock
Issuer is liquidated, dissolved or wound up or is subject to a proceeding under any applicable bankruptcy, insolvency or other
similar law, or another entity completes a tender or exchange offer for all the outstanding shares of such Underlying Stock.
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Adjustments for Reorganization Events
If a reorganization event occurs with respect
to an Underlying Stock, then the calculation agent will adjust the adjustment factor for such Underlying Stock to reflect the amount
and type of property or properties—whether cash, securities, other property or a combination thereof—that a holder
of one share of such Underlying Stock would have been entitled to receive in relation to the reorganization event. We refer to
this new property as the “
reorganization property
.”
Reorganization property can be classified into
two categories:
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an equity security listed on a
national securities exchange, which we refer to generally as a “
marketable security
” and, in connection with
a particular reorganization event, “
new stock
,” which may include any tracking stock, any stock received in
a spin-off (“
spin-off stock
”) or any marketable security received in exchange for the applicable Underlying
Stock; and
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cash and any other property, assets
or securities other than marketable securities (including equity securities that are not listed, that are traded over the counter
or that are listed on a non-U.S. securities exchange), which we refer to as “
non-stock reorganization property
.”
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For the purpose of making an adjustment required
by a reorganization event, the calculation agent, in its sole discretion, will determine the value of each type of the reorganization
property. For purposes of valuing any new stock, the calculation agent will use the closing price of the security on the relevant
trading day. The calculation agent will value non-stock reorganization property in any manner it determines, in its sole discretion,
to be appropriate. In connection with a reorganization event in which reorganization property includes new stock, for the purpose
of determining the adjustment factor for any new stock as described below, the term “
new stock reorganization ratio
”
means the product of (i) the number of shares of the new stock received with respect to one share of such Underlying Stock and
(ii) the adjustment factor for the applicable Underlying Stock on the trading day immediately prior to the effective date of the
reorganization event.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 2021
|
If a holder of shares of the applicable Underlying
Stock may elect to receive different types or combinations of types of reorganization property in the reorganization event, the
reorganization property will consist of the types and amounts of each type distributed to a holder of shares of such Underlying
Stock that makes no election, as determined by the calculation agent in its sole discretion.
If any reorganization event occurs with respect
to an Underlying Stock, then on and after the effective date for such reorganization event (or, if applicable, in the case of spinoff
stock, the ex-dividend date for the distribution of such spinoff stock) the term “
Underlying Stock
” in this
pricing supplement will be deemed to mean the following with respect to such Underlying Stock, and for each share of such Underlying
Stock, new stock and/or replacement stock so deemed to constitute such Underlying Stock, the adjustment factor for such Underlying
Stock will be equal to the applicable number indicated:
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(a)
|
if such Underlying Stock continues
to be outstanding:
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(1)
|
that Underlying Stock (if applicable,
as reclassified upon the issuance of any tracking stock) at the adjustment factor for such Underlying Stock in effect on the trading
day immediately prior to the effective date of the reorganization event; and
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(2)
|
if the reorganization property
includes new stock, a number of shares of new stock equal to the new stock reorganization ratio;
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provided
that, if any non-stock
reorganization property is received in the reorganization event, the results of (a)(1) and (a)(2) above will each be multiplied
by the “
gross-up multiplier
,” which will be equal to a fraction, the numerator of which is the closing price
of the original Underlying Stock on the trading day immediately prior to the effective date of the reorganization event and the
denominator of which is the amount by which such closing price of the original Underlying Stock exceeds the value of the non-stock
reorganization property received per share of such Underlying Stock as determined by the calculation agent as of the close of trading
on such trading day; or
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(b)
|
if such Underlying Stock is surrendered
for reorganization property:
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(1)
|
that includes new stock, a number
of shares of new stock equal to the new stock reorganization ratio; provided that, if any non-stock reorganization property is
received in the reorganization event, such number will be multiplied by the gross-up multiplier; or
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(2)
|
that consists exclusively of non-stock
reorganization property:
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(i)
|
if the surviving entity has marketable
securities outstanding following the reorganization event and either (A) such marketable securities were in existence prior to
such reorganization event or (B) such marketable securities were exchanged for previously outstanding marketable securities of
the surviving entity or its predecessor (“
predecessor stock
”) in connection with such reorganization event (in
either case of (A) or (B), the “
successor stock
”), a number of shares of the successor stock determined by the
calculation agent on the trading day immediately prior to the effective date of such reorganization event equal to the adjustment
factor for such Underlying Stock in effect on the trading day immediately prior to the effective date of such reorganization event
multiplied by a fraction, the numerator of which is the value of the non-stock reorganization property per share of such Underlying
Stock on such trading day and the denominator of which is the closing price of the successor stock on such trading day (or, in
the case of predecessor stock, the closing price of the predecessor stock multiplied by the number of shares of the successor stock
received with respect to one share of the predecessor stock); or
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(ii)
|
if the surviving entity does not
have marketable securities outstanding, or if there is no surviving entity (in each case, a “
replacement stock event
”),
a number of shares of replacement stock (selected as defined below) with an aggregate value on the effective date of such reorganization
event equal to the value of the non-stock reorganization property multiplied by the adjustment factor for such Underlying Stock
in effect on the trading day immediately prior to the effective date of such reorganization event.
|
If a reorganization event occurs with respect
to the shares of an Underlying Stock and the calculation agent adjusts the adjustment factor of such Underlying Stock to reflect
the reorganization property in the event as described above, the calculation agent will make further antidilution adjustments for
any later events that affect the reorganization property, or any component of the reorganization property, comprising the new adjustment
factor of such Underlying Stock. The calculation agent will do so to the same extent that it would make adjustments if the shares
of such Underlying Stock were outstanding and were affected by the same kinds of events. If a subsequent reorganization event affects
only a particular component of the number of shares of such Underlying Stock, the required adjustment will be made with respect
to that component as if it alone were the number of shares of such Underlying Stock.
For purposes of adjustments for reorganization
events, in the case of a consummated tender or exchange offer or going-private transaction involving reorganization property of
a particular type, reorganization property will be deemed to include the amount of cash or other property paid by the offeror in
the tender or exchange offer with respect to such reorganization property (in an amount determined on the basis of the rate of
exchange in such tender or exchange offer or going-private transaction). In the event of a tender or exchange offer or a going-private
transaction with respect to reorganization property in which an offeree may elect to receive cash or
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 2021
|
other property, reorganization property will be
deemed to include the kind and amount of cash and other property received by offerees who elect to receive cash.
Replacement Stock Events
Following the occurrence of a replacement
stock event described in paragraph (b)(2)(ii) above or in “—Delisting of American Depositary Shares or Termination
of American Depositary Receipt Facility” below with respect to an Underlying Stock, the stock closing price of the applicable
underlying stock on any calculation day on or after the effective date of the replacement stock event will be determined by reference
to a replacement stock and an adjustment factor (subject to any further anti-dilution adjustments) for such replacement stock as
determined in accordance with the following paragraphs.
The “
replacement stock
” will
be the stock having the closest “option period volatility” to the applicable original Underlying Stock among the stocks
that then comprise the replacement stock selection index (or, if publication of such index is discontinued, any successor or substitute
index selected by the calculation agent in its sole discretion) with the same GICS Code (as defined below) as the applicable original
Underlying Stock Issuer; provided, however, that a replacement stock will not include (i) any stock that is subject to a trading
restriction under the trading restriction policies of Wells Fargo, the hedging counterparties of Wells Fargo or any of their affiliates
that would materially limit the ability of Wells Fargo, the hedging counterparties of Wells Fargo or any of their affiliates to
hedge the securities with respect to such stock or (ii) any stock for which the aggregate number of shares to be referenced by
the securities (equal to the product of (a) (i) $100
divided by
(ii) the starting price of the applicable Underlying Stock,
(b) the adjustment factor that would be in effect immediately after selection of such stock as the replacement stock and (c) (i)
the aggregate face amount outstanding
divided by
(ii) $1,000) exceeds 25% of the ADTV (as defined in Rule 100(b) of Regulation
M under the Exchange Act) for such stock as of the effective date of the replacement stock event (an “
excess ADTV stock
”).
If a replacement stock is selected in connection
with a reorganization event for an original Underlying Stock, the adjustment factor with respect to such replacement stock will
be equal to the number of shares of such replacement stock with an aggregate value, based on the closing price on the effective
date of such reorganization event, equal to the product of (a) the value of the non stock reorganization property received per
share of such original Underlying Stock and (b) the adjustment factor of such Underlying Stock in effect on the trading day immediately
prior to the effective date of such reorganization event. If a replacement stock is selected in connection with an ADS termination
event (as defined below), the adjustment factor with respect to such replacement stock will be equal to the number of shares of
such replacement stock with an aggregate value, based on the closing price on the change date (as defined below), equal to the
product of (x) the closing price of the original Underlying Stock on the change date and (y) the adjustment factor in effect on
the trading day immediately prior to the change date.
The “
option period volatility
”
means, in respect of any trading day, the volatility (calculated by referring to the closing price of the applicable Underlying
Stock on its primary exchange) for a period equal to the 125 trading days immediately preceding the announcement date of the reorganization
event, as determined by the calculation agent.
“
GICS Code
” means the Global
Industry Classification Standard (“
GICS
”) sub-industry code assigned to the applicable Underlying Stock Issuer;
provided, however, if (i) there is no other stock in the replacement stock selection index in the same GICS sub-industry or (ii)
a replacement stock (a) for which there is no trading restriction and (b) that is not an excess ADTV stock cannot be identified
from the replacement stock selection index in the same GICS sub-industry, the GICS Code will mean the GICS industry code assigned
to such original Underlying Stock Issuer. If no GICS Code has been assigned to such original Underlying Stock Issuer, the applicable
GICS Code will be determined by the calculation agent to be the GICS sub-industry code assigned to companies in the same sub-industry
(or, subject to the proviso in the preceding sentence, industry, as applicable) as such original Underlying Stock Issuer at the
time of the relevant replacement stock event.
The “
replacement stock selection index
”
means the S&P 500
®
Index.
Delisting of American Depositary Shares
or Termination of American Depositary Receipt Facility
. If an Underlying Stock is an American Depositary Share and such Underlying
Stock is no longer listed or admitted to trading on a U.S. securities exchange registered under the Exchange Act or included in
the OTC Bulletin Board Service operated by FINRA, or if the American depositary receipt facility between the applicable Underlying
Stock Issuer and the depositary is terminated for any reason (each, an “
ADS termination event
”), then, on the
last trading day on which the applicable Underlying Stock is listed or admitted to trading or the last trading day immediately
prior to the date of such termination, as applicable (the “
change date
”), a replacement stock event shall be
deemed to occur.
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, plus a portion of a
final contingent coupon payment, if any. The maturity payment amount and any final contingent coupon payment will be calculated
as though the date of acceleration were the final calculation day. The final contingent coupon payment, if any, will be prorated
from and including the immediately preceding contingent coupon payment date to but excluding the date of acceleration.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 2021
|
Information About The Underlying Stocks
|
Each Underlying Stock is registered under the Exchange
Act. Companies with securities registered under the Exchange Act are required to file periodically financial and other information
specified by the SEC. Information filed with the SEC can be inspected and copied at the Public Reference Room, 100 F Street, NE,
Washington, DC 20549. Copies of this material can also be obtained from the Office of Investor Education and Advocacy of the SEC,
at prescribed rates. In addition, information filed by each Underlying Stock Issuer with the SEC electronically can be reviewed
through a website maintained by the SEC. The address of the SEC’s website is http://www.sec.gov. Information filed with the
SEC by each Underlying Stock Issuer under the Exchange Act can be located by reference to its applicable SEC file number (as set
forth below). Information about an Underlying Stock may also be obtained from other sources such as press releases, newspaper articles
and other publicly disseminated documents, as well as from the applicable Underlying Stock Issuer’s website. None of such
publicly available information is incorporated by reference into this pricing supplement.
This pricing supplement relates only to the securities
offered hereby and does not relate to the Underlying Stocks or other securities of the Underlying Stock Issuers. In connection
with the issuance of the securities, neither we nor the agent has participated in the preparation of either Underlying Stock Issuer’s
public filings or made any due diligence inquiry with respect to either Underlying Stock Issuer. Furthermore, we cannot give any
assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of
such public filings or other publicly available information) that would affect the price of either Underlying Stock (and therefore
the price of such common stock at the time we priced the securities) have been publicly disclosed. Subsequent disclosure of any
such events or the disclosure of or failure to disclose material future events concerning either Underlying Stock Issuer could
affect any payments on the securities.
The Underlying Stock Issuers are not involved
in this offering of securities in any way and will have no obligation of any kind with respect to the securities. We, the agent
and our affiliates may at present, or from time to time in the future, engage in business with an Underlying Stock Issuer, including
extending loans to (and exercising creditors’ remedies with respect to such loans), or making equity investments in, an Underlying
Stock Issuer, and in the course of such business, we, the agent or our affiliates may have obtained or may in the future obtain
material non-public information regarding an Underlying Stock Issuer, or any affiliate of an Underlying Stock Issuer, and none
of we, the agent or any such affiliate undertakes to disclose any such information to purchasers of the securities. We, the agent
and our affiliates from time to time may publish research reports with respect to an Underlying Stock. Such research reports may
or may not recommend that investors buy or hold an Underlying Stock. We, the agent and our affiliates do not undertake to inform
purchasers of the securities of any changes (positive or negative) to the recommendations contained in future research reports.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 2021
|
According to publicly available information, General
Mills, Inc. is a global manufacturer and marketer of branded consumer foods sold through retail stores. Its SEC file number
is 001-01185. The principal U.S. exchange on which the common stock of General Mills, Inc. is listed on is the New York Stock Exchange,
where it trades under the ticker symbol “GIS.”
Historical Information
We obtained the closing prices of the common stock
of General Mills, Inc. in the graph below from Bloomberg Financial Markets, without independent verification. The historical prices
below may have been adjusted by Bloomberg to reflect any stock splits, reverse stock splits or other corporate transactions.
The following graph sets forth daily closing
prices of the common stock of General Mills, Inc. for the period from January 1, 2013 to November 16, 2018. The closing price
on November 16, 2018 was $44.18. The historical performance of the common stock of General Mills, Inc. should not be taken as
an indication of the future performance of the common stock of General Mills, Inc. during the term of the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 2021
|
According to publicly available information, Conagra
Brands, Inc. is one of North America’s branded food companies, operating in the following segments: Grocery & Snacks,
Refrigerated & Frozen, International, Foodservice and Commercial. Its SEC file number is 001-07275. The principal U.S. exchange
on which the common stock of Conagra Brands, Inc. is listed on is the New York Stock Exchange, where it trades under the ticker
symbol “CAG.”
Historical Information
We obtained the closing prices of the common stock
of Conagra Brands, Inc. in the graph below from Bloomberg Financial Markets, without independent verification. The historical prices
below may have been adjusted by Bloomberg to reflect any stock splits, reverse stock splits or other corporate transactions.
The following graph sets forth daily closing prices
of the common stock of Conagra Brands, Inc. for the period from January 1, 2013 to November 16, 2018. The closing price on November
16, 2018 was $33.07. The historical performance of the common stock of Conagra Brands, Inc. should not be taken as an indication
of the future performance of the common stock of Conagra Brands, Inc. during the term of the securities.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 2021
|
Benefit Plan Investor Considerations
|
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—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 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—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 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 at its stated principal amount and hold it as a capital asset within the
meaning of Section 1221 of the Code. This discussion does not address all of the tax consequences that may be relevant to you in
light of your particular circumstances or if you are a holder 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 “real estate investment trust”;
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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.
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 the 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
Due to the absence of statutory, judicial
or administrative authorities that directly address the treatment of the securities or instruments that are similar to the securities
for U.S. federal income tax purposes, no assurance can be given that the IRS or a court will agree with the tax treatment described
herein. We intend to treat a security for U.S. federal income tax purposes as a prepaid derivative contract that provides for a
coupon that will be treated as gross income to you at the time received or accrued in accordance with your regular method of tax
accounting. In the opinion of our counsel, Davis Polk & Wardwell LLP, this treatment of the securities is reasonable under
current law; however, our counsel has advised us that it is unable to conclude affirmatively that this treatment is more likely
than not to be upheld, and that alternative treatments are possible.
You should consult your tax adviser
regarding the U.S. federal tax consequences of an investment in the securities. Unless otherwise stated, the following discussion
is based on the treatment of the securities as described in the previous paragraph.
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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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 2021
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a corporation created or organized in or under the laws of
the United States, any state thereof 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 of Coupon Payments
. Any coupon payments on the securities
should be taxable as ordinary income to you at the time received or accrued in accordance with your regular method of accounting
for U.S. federal income tax purposes.
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. For this
purpose, the amount realized does not include any coupon paid at retirement and may not include sale proceeds attributable to an
accrued coupon, which may be treated as a coupon payment. 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 you have held the securities for more than one year
at the time of the sale, exchange or retirement, and should be short-term capital gain or loss otherwise. The ordinary income treatment
of the coupon payments, in conjunction with the capital loss treatment of any loss recognized upon the sale, exchange or settlement
of the securities, could result in adverse tax consequences to holders of the securities because the deductibility of capital losses
is subject to 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 event, (i) regardless of your regular method of tax accounting, in each year that you held the securities
you generally would be required to accrue income, subject to certain adjustments, based on our comparable yield for similar non-contingent
debt, determined as of the time of issuance of the securities, and (ii) any gain on the sale, exchange or retirement of the securities
would be treated as ordinary income. Even if the securities are treated for U.S. federal income tax purposes as prepaid derivative
contracts rather than debt instruments, the IRS could treat the timing and character of income with respect to coupon payments
in a manner different from that described above.
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 investors in 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; 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; and appropriate transition rules and effective dates. While it is not clear whether the securities would be viewed as similar
to the typical prepaid forward contract described in the notice, 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 trust or estate.
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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 of a security,
(ii) a former citizen or resident of the United States or (iii) a person for whom income or gain in respect of the securities is
effectively connected with the conduct of a trade or business in 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.
Because significant aspects of the tax treatment of
the securities are uncertain, persons having withholding responsibility in respect of the securities may withhold on any coupon
payment paid to you, generally at a rate of 30%. To the extent that we have (or an affiliate of
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 2021
|
ours has) withholding responsibility in respect of the
securities, we intend to so withhold. In order to claim an exemption from, or a reduction in, the 30% withholding, you may need
to comply with certification requirements to establish that you are not a U.S. person and are eligible for such an exemption or
reduction under an applicable tax treaty. You should consult your tax adviser regarding the tax treatment of the securities, including
the possibility of obtaining a refund of any amounts withheld and the certification requirement described above.
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.
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, a security 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.
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 and, after 2018, to payments of gross proceeds of the disposition
(including upon retirement) of certain financial instruments treated as paying U.S.-source interest or dividends. Because the treatment
of the securities is unclear, it is also unclear whether and how the FATCA rules apply to the securities. However, it would be
prudent to assume that withholding agents will treat coupon payments, and potentially other payments, with respect to the securities
as subject to FATCA. 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 TAX CONSEQUENCES OF OWNING AND DISPOSING OF THE
SECURITIES ARE UNCLEAR. YOU SHOULD CONSULT YOUR TAX ADVISER REGARDING THE TAX CONSEQUENCES OF OWNING AND DISPOSING OF THE SECURITIES,
INCLUDING THE TAX CONSEQUENCES UNDER STATE, LOCAL, NON-U.S. AND OTHER TAX LAWS AND THE POSSIBLE EFFECTS OF CHANGES IN U.S. FEDERAL
OR OTHER TAX LAWS.
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of General Mills, Inc. and the Common Stock of Conagra Brands, Inc. due November 19, 2021
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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.