Filed Pursuant to Rule 424(b)(2)
File No. 333-202840
The information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement and the
accompanying market measure supplement, prospectus supplement and prospectus are not an offer to sell these securities and we are not soliciting an offer to buy these securities in any jurisdiction where the offer or sale is not permitted.
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Subject To Completion, dated April 30, 2015
PRICING SUPPLEMENT No. 503 dated May , 2015 (To Market
Measure Supplement dated March 18, 2015, Prospectus Supplement dated March 18, 2015
and Prospectus dated March 18, 2015) |
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Wells Fargo & Company
Medium-Term Notes, Series K
Equity Index Linked Securities |
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Access Securities with Upside Participation (Averaging) and Buffered Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019 |
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Linked to a Global Equity Index Basket comprised of the S&P
500® Index (70%); the MSCI EAFE® Index (15%); the S&P MidCap 400® Index (8%); the MSCI Emerging Markets Index (4%); and the Russell 2000® Index
(3%). |
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Unlike ordinary debt securities, the securities do not pay interest or repay a fixed amount of principal at maturity. Instead, the
securities provide for a payment at maturity that may be greater than, equal to or less than the original offering price of the securities, depending on the performance of the Basket, both on an average basis as of the calculation days (quarterly,
beginning February 2018) and from its starting level to its final ending level as of the final calculation day. |
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Payment at Maturity. The payment at maturity will be equal to the Principal at Risk Amount plus the Averaging Return Amount (if any), each determined as follows. |
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Principal at Risk Amount. The Principal at Risk Amount represents the portion of the original
offering price of your securities that is repaid to you at maturity. That amount is at risk and will depend on the final ending level of the Basket, which is based on the closing
levels of the basket components on the final calculation day. |
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If the final ending level is greater than or equal to the threshold level (which is equal to 85% of the starting level), the Principal at Risk
Amount will be equal to the original offering price of your securities. In no event will the Principal at Risk Amount exceed the original offering price of your securities. |
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If the final ending level is less than the threshold level, the Principal at Risk Amount will be less than the original offering price of your
securities and will reflect the depreciation of the Basket from the starting level to the final ending level, subject to the buffering effect of a multiplier equal to approximately 1.1765. |
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Averaging Return Amount. The Averaging Return Amount will be either positive or zero. If
positive, the Averaging Return Amount will be added to the Principal at Risk Amount in order to determine the payment at maturity on the securities. The Averaging Return Amount will be based on the average ending
level of the Basket, which will be based on the average of closing levels of the basket components on the calculation days (quarterly, beginning February 2018). |
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If the average ending level is greater than the starting level, the Averaging Return Amount will be positive and will reflect 145% to 155% (to be
determined on the pricing date) participation in the average appreciation of the Basket, as measured from the starting level to the average ending level. |
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If the average ending level is less than or equal to the starting level, the Averaging Return Amount will be zero. |
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You may receive a positive return on your investment only if the average ending level is greater than the starting level, resulting in
a positive Averaging Return Amount. However, you may incur a loss on your investment in the securities even if the Averaging Return Amount is positive, because the Principal at Risk Amount depends on the final ending level, not the average
ending level, and will be less than the original offering price of your securities if the final ending level is less than the threshold level. |
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Investors may lose some, or all, of the original offering price. |
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All payments on the securities are subject to the credit risk of Wells Fargo & Company, and you will have no ability to pursue
any securities included in the basket components for payment; if Wells Fargo & Company defaults on its obligations, you could lose some or all of your investment. |
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No periodic interest payments or dividends. |
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No exchange listing; designed to be held to maturity. |
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On the date of this preliminary pricing supplement, the estimated value of the securities is approximately $977.54
per security. While the estimated value of the securities on the pricing date may differ from the estimated value set forth above, we do not expect it to differ significantly absent a material change in market conditions or other relevant factors.
In no event will the estimated value of the securities on the pricing date be less than $967.54 per security. The estimated value of the securities was determined for us by Wells Fargo Securities, LLC using its proprietary pricing models. It is not
an indication of actual profit to us or to Wells Fargo Securities, LLC or any of our other affiliates, nor is it an indication of the price, if any, at which Wells Fargo Securities, LLC or any other person may be willing to buy the securities from
you at any time after issuance. See Investment Description in this pricing supplement.
The securities have complex features and
investing in the securities involves risks not associated with an investment in conventional debt securities. See Risk Factors herein on page PRS-10.
The securities are unsecured obligations of Wells Fargo & Company and all payments on the securities are subject to the credit risk of Wells
Fargo & Company. The securities are not deposits or other obligations of a depository institution and are not insured by the Federal Deposit Insurance Corporation, the Deposit Insurance Fund or any other governmental agency of the United
States or any other jurisdiction.
Neither the Securities and Exchange Commission nor any state securities commission has approved or
disapproved of these securities or determined if this pricing supplement or the accompanying market measure supplement, prospectus supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
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Original Offering Price |
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Agent Discount(1) |
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Proceeds to Wells Fargo |
Per
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$1,000.00 |
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$1,000.00 |
Total |
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(1) |
Wells Fargo Securities, LLC, a wholly owned subsidiary of Wells Fargo & Company, is the agent for the distribution of the securities and
is acting as principal. See Investment Description in this pricing supplement for further information. |
Wells Fargo
Securities
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
The Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019 are senior
unsecured debt securities of Wells Fargo & Company that do not pay interest or repay a fixed amount of principal at maturity. Instead, the securities provide for a payment at maturity that may be greater than, equal to or less than the
original offering price of the securities depending on the performance of a basket of equity indices (the Basket). The securities provide:
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the possibility of a leveraged return at maturity based on the average appreciation of the Basket (measured on the calculation days occurring
quarterly beginning February 2018) if the average ending level is greater than the starting level and the final ending level is greater than or equal to the threshold level; |
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repayment of the original offering price at maturity so long as the final ending level is greater than or equal to the threshold level;
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exposure to any depreciation of the Basket from the starting level if the final ending level is less than the threshold level, subject to the
buffering effect of the multiplier and, if positive, the Averaging Return Amount. |
If the final ending level is less
than the threshold level, the Principal at Risk Amount will be less than the original offering price of your securities. Under these circumstances, you will lose some, and possibly all, of the original offering price of the securities at maturity
unless the Averaging Return Amount is sufficiently positive to offset the loss on the Principal at Risk Amount.
All payments on the
securities are subject to the credit risk of Wells Fargo.
The Basket is comprised of the following five unequally-weighted basket
components, with each basket component having the weighting noted parenthetically:
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the S&P 500® Index (70%), an equity index that is intended to provide an indication of
the pattern of common stock price movement in the large capitalization segment of the United States equity market; |
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the MSCI EAFE® Index (15%), an equity index that is designed to measure equity performance
in developed markets, excluding the United States and Canada; |
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the S&P MidCap 400® Index (8%), an equity index that is intended to provide an
indication of the pattern of common stock price movement in the mid-sized capitalization segment of the United States equity market; |
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the MSCI Emerging Markets Index (4%), an equity index that is designed to measure equity performance in global emerging markets; and
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the Russell 2000® Index (3%), an equity index that is designed to reflect the performance
of the small capitalization segment of the United States equity market. |
You should read this pricing supplement together
with the market measure supplement dated March 18, 2015, the prospectus supplement dated March 18, 2015 and the prospectus dated March 18, 2015 for additional information about the securities. Information included in this pricing
supplement supersedes information in the market measure supplement, 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 market measure supplement, 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 S&P 500 Index and the
S&P MidCap 400 Index are products of S&P Dow Jones Indices LLC (SPDJI), and have been licensed for use by Wells Fargo & Company (WFC). Standard & Poors®, S&P®, S&P 500® and S&P MidCap 400® are registered trademarks of Standard & Poors Financial Services LLC (S&P); Dow Jones® is a registered
trademark of Dow Jones Trademark Holdings LLC (Dow Jones); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by WFC. The securities are not sponsored, endorsed, sold or promoted by SPDJI, Dow
Jones, S&P, their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the S&P 500
Index and the S&P MidCap 400 Index.
The MSCI EAFE Index and the MSCI Emerging Markets Index are the exclusive property of MSCI Inc.
(MSCI). MSCI, the MSCI EAFE Index and the MSCI Emerging Markets Index are service marks of MSCI or its affiliates and have been licensed for use by Wells Fargo & Company. The securities are not sponsored, endorsed, sold
or promoted by MSCI, any of its affiliates, any of its information providers or any other third party involved in, or related to, compiling, computing or creating the MSCI EAFE Index and the MSCI Emerging Markets Index.
Russell 2000® is a trademark of Frank Russell Company, doing business as
Russell Investment Group (Russell), and has been licensed for use by us. The securities, based on the performance of the Russell 2000® Index, are not sponsored, endorsed,
sold or promoted by Russell and Russell makes no representation regarding the advisability of investing in the securities.
PRS-2
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
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Investment Description (Continued) |
The original offering price of each security of $1,000 includes certain costs that are borne
by you. Because of these costs, the estimated value of the securities on the pricing date will be 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 will be set forth
in the final pricing supplement.
Determining the estimated value
Our affiliate, Wells Fargo Securities, LLC (WFS), calculated the estimated value of the securities set forth on the cover
page of this pricing supplement based on its proprietary pricing models. Based on these pricing models and related market inputs and assumptions referred to in this section below, WFS determined an estimated value for the securities by estimating
the value of the combination of hypothetical financial instruments that would replicate the payout on the securities, which combination consists of a non-interest bearing, fixed-income bond (the debt component) and one or more
derivative instruments underlying the economic terms of the securities (the derivative component).
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 FactorsThe 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 FactorsThe Estimated Value Of The Securities Is Determined By Our Affiliates 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.
PRS-3
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
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Investment Description (Continued) |
Valuation of the securities after issuance
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 WFSs 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 4-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 WFSs 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 4-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.
PRS-4
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
We have designed the securities for investors who:
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seek 145% to 155% (to be determined on the pricing date) leveraged exposure to the average appreciation of the Basket, as measured by the extent
(if any) to which the average ending level (based on the calculation days occurring quarterly beginning February 2018) is greater than the starting level, but understand that any positive return based on the average appreciation of the Basket could
be offset by a loss on the Principal at Risk Amount if the final ending level is less than the threshold level (equal to 85% of the starting level); |
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desire repayment of the original offering price at maturity so long as the final ending level is greater than or equal to the threshold level;
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desire to moderate any decline of more than 15% from the starting level to the final ending level through the buffering effect of the multiplier
and, if positive, the Averaging Return Amount; |
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understand that if the final ending level is less than the threshold level, they will be exposed to a loss on their investment based on the
decrease in the Basket from the starting level to the final ending level, subject to the buffering effect of the multiplier and, if positive, the Averaging Return Amount; |
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understand the difference between the final ending level and the average ending level and how each will affect the payment at maturity on the
securities, and in particular that: |
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even if the final ending level is greater than the starting level, investors will not receive any positive return on their investment at maturity
unless the average ending level is greater than the starting level; |
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even if the average ending level is greater than the starting level, investors may incur a loss on their investment because the Principal at Risk
Amount depends on the final ending level, not the average ending level, and will be less than the original offering price if the final ending level is less than the threshold level; |
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investors will not in any circumstance participate in any increase from the starting level to the final ending level; |
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understand that the ability of the multiplier to moderate any decline in the Basket of more than 15% from the starting level to the final ending
level is progressively reduced as the final ending level declines because the multiplier only acts to buffer the performance of the Basket on a percentage basis; |
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are willing to forgo interest payments on the securities and dividends on securities included in the basket components; and |
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are willing to hold the securities until maturity. |
The securities are not designed for, and may not be a suitable investment for, investors who:
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seek a liquid investment or are unable or unwilling to hold the securities to maturity; |
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are unwilling to accept the risk that the final ending level may decrease by more than 15% from the starting level; |
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seek exposure to the upside performance of the Basket as measured solely from the pricing date to a date near stated maturity;
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seek exposure to the average performance of the Basket (measured on the calculation days occurring quarterly beginning February 2018) without
regard to whether the final ending level is less than the threshold level; |
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seek full return of the original offering price of the securities at maturity; |
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are unwilling to purchase securities with an estimated value as of the pricing date that is lower than the original offering price and that may be
as low as the lower estimated value set forth on the cover page; |
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are unwilling to accept the risk of exposure to the equity markets, including the United States equity market, foreign developed equity markets and
foreign emerging equity markets; |
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seek exposure to the Basket but are unwilling to accept the risk/return trade-offs inherent in the payment at stated maturity for the securities;
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are unwilling to accept the credit risk of Wells Fargo to obtain exposure to the Basket generally, or to the exposure to the Basket that the
securities provide specifically; or |
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prefer the lower risk of fixed income investments with comparable maturities issued by companies with comparable credit ratings.
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PRS-5
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
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Market Measure: |
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A basket (the Basket)
comprised of the following basket components, with the return of each basket component having the weighting noted parenthetically: the S&P 500® Index (70%); the MSCI EAFE® Index (15%); the S&P MidCap 400® Index (8%); the MSCI Emerging Markets Index (4%); and the Russell 2000® Index (3%). |
Pricing Date: |
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May 22, 2015.*
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Issue Date: |
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May 28, 2015.* (T+3)
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Original Offering
Price: |
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$1,000 per security. References in this
pricing supplement to a security are to a security with a face amount of $1,000. |
Payment at Stated
Maturity: |
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On the stated maturity date, you will be
entitled to receive a cash payment per security in U.S. dollars equal to the redemption amount. The redemption amount per security will equal the Principal at Risk Amount plus the Averaging Return Amount (if any).
If the final ending level is less than the threshold
level, the Principal at Risk Amount will be less than the original offering price of your securities. Under these circumstances, you will lose some, and possibly all, of the original offering price of the securities at maturity unless the Averaging
Return Amount is sufficiently positive to offset the loss on the Principal at Risk Amount.
All calculations with respect to the redemption amount will be rounded to the nearest one hundred-thousandth, with five one-millionths rounded
upward (e.g., 0.000005 would be rounded to 0.00001); and the redemption amount will be rounded to the nearest cent, with one-half cent rounded upward. |
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Principal at Risk
Amount: |
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The Principal at Risk Amount per security will be based on the final ending level and will be equal to: |
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If the final ending level is greater than or equal to the threshold level: $1,000; or |
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If the final ending level is less than the threshold level: |
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$1,000 |
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final ending level |
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x multiplier |
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starting level |
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If the final ending level is less than the threshold level, the Principal at Risk Amount will be less than
the original offering price of the securities and will reflect the final ending level expressed as a percentage of the starting level, as adjusted by the multiplier. In no event will the Principal at Risk Amount exceed the original offering
price. |
Averaging Return
Amount: |
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The Averaging Return
Amount per security will be based on the average performance of the Basket as measured on the calculation days (quarterly, beginning February 2018) and will be equal to: |
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If the average ending level is greater than the starting level: |
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$1,000 |
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average ending level starting level |
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x participation rate |
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starting level |
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If the average ending level is less than or equal to the starting level: $0 |
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You may receive a positive return on your investment only if the average ending level is greater than the
starting level, resulting in a positive Averaging Return Amount. However, you may incur a loss on your investment in the securities even if the Averaging Return Amount is positive, because the Principal at Risk Amount depends on the final
ending level, not the average ending level, and will be less than the original offering price if the final ending level is less than the threshold level.
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PRS-6
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
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Terms of the Securities (Continued) |
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Stated Maturity
Date: |
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May 28, 2019*. If the final calculation day is
postponed, the stated maturity date will be postponed to the later of (i) May 28, 2019* and (ii) the third business day after the final calculation day as postponed.
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Starting Level: |
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The starting level is 100.
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Closing Level |
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The closing level of a basket
component on any trading day means the official closing level of that basket component reported by the relevant index sponsor on such trading day, as obtained by the calculation agent on such trading day from the licensed third-party market data
vendor contracted by the calculation agent at such time; in particular, taking into account the decimal precision and/or rounding convention employed by such licensed third-party market data vendor on such date. Currently, the calculation agent
obtains market data from Thomson Reuters Ltd., but the calculation agent may change its market data vendor at any time without notice. The foregoing provisions of this definition of closing level are subject to the provisions set
forth below under Additional Terms of the SecuritiesMarket Disruption Events, Adjustments to a Basket Component and Discontinuance of a Basket Component.
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Final Ending Level: |
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The final ending level will be
equal to the product of (i) 100 and (ii) an amount equal to 1 plus the sum of: (A) 70% of the final component return of the S&P 500 Index; (B) 15% of the final component return of the MSCI EAFE Index; (C) 8% of the final component return of the
S&P MidCap 400 Index; (D) 4% of the final component return of the MSCI Emerging Markets Index; and (E) 3% of the final component return of the Russell 2000 Index.
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Average Ending
Level: |
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The average ending level will be
equal to the product of (i) 100 and (ii) an amount equal to 1 plus the sum of: (A) 70% of the average component return of the S&P 500 Index; (B) 15% of the average component return of the MSCI EAFE Index; (C) 8% of the average component return
of the S&P MidCap 400 Index; (D) 4% of the average component return of the MSCI Emerging Markets Index; and (E) 3% of the average component return of the Russell 2000 Index.
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Threshold Level: |
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85, which is equal to 85% of the starting level.
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Participation Rate: |
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The participation rate will be
determined on the pricing date and will be within the range of 145% to 155%. |
Final Component
Return: |
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The final component return of a
basket component will be equal to: final component
level initial component level initial component level
where,
the initial component level will be the closing level of such basket
component on the pricing date; and the final component level will be the
closing level of such basket component on the final calculation day. |
Average Component
Return: |
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The average component return of a
basket component will be equal to: average component
level initial component level initial component level
where,
the initial component level will be the closing level of such basket
component on the pricing date; and the average component level will be the
arithmetic average of the closing levels of such basket component on the calculation days (quarterly, beginning February 2018). |
PRS-7
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Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
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Terms of the Securities (Continued) |
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Multiplier: |
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The multiplier will be equal to
the starting level divided by the threshold level, or 100% divided by 85%, which is approximately 1.1765. |
Calculation Days: |
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The
22nd day of each February, May, August and November, commencing February 22, 2018* and ending May 22, 2019*. If any such day is not a trading day with respect to any basket component, that
calculation day for all basket components will be postponed to the next succeeding day that is a trading day with respect to all basket components. A calculation day is also subject to postponement due to the occurrence of a market disruption event.
We refer to May 22, 2019* as the final calculation day. |
Calculation Agent: |
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Wells Fargo Securities, LLC
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Material Tax
Consequences: |
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For a discussion of the material U.S. federal income
tax consequences of the ownership and disposition of the securities, see United States Federal Tax Considerations. |
Agent: |
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Wells Fargo Securities, LLC, a wholly owned
subsidiary of Wells Fargo & Company. The agent may resell the securities to other securities dealers at the original offering price of the securities.
The agent or another affiliate of ours expects to realize hedging profits projected by its proprietary pricing models to the extent it assumes
the risks inherent in hedging our obligations under the securities. If any dealer participating in the distribution of the securities or any of its affiliates conducts hedging activities for us in connection with the securities, that dealer or its
affiliate will expect to realize a profit projected by its proprietary pricing models from such hedging activities. Any such projected profit will be in addition to any discount or concession received in connection with the sale of the securities to
you. |
Denominations: |
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$1,000 and any integral multiple of $1,000.
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CUSIP: |
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94986RWX5
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* To the extent that we make any change to the expected pricing date or expected issue date, the calculation
days and stated maturity date may also be changed in our discretion to ensure that the term of the securities remains the same.
PRS-8
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Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
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Determining Payment at Stated Maturity |
On the stated maturity date, you will receive a cash payment per security (the redemption amount) calculated
as follows:
Step 1: Calculate the Principal at Risk Amount
Step 2: Calculate the Averaging Return Amount
Step 3: Calculate the Redemption Amount
PRS-9
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
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 market measure supplement, 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.
You May Lose Up To All Of Your Investment.
We will not repay you a fixed amount on the securities on the stated maturity date. Instead, the payment you receive at maturity will
equal the sum of the Principal at Risk Amount and the Averaging Return Amount. The Principal at Risk Amount represents the portion of the original offering price of your securities that is repaid to you at maturity. That amount is at risk
and will depend on the final ending level, which will be based on the closing levels of the basket components on the final calculation day. The Averaging Return Amount will be either positive or zero and will be based on the average ending
level, which will be based on the average of the closing levels of the basket components on the calculation days (quarterly, beginning February 2018). If the Averaging Return Amount is positive (i.e., the average ending level is greater than
the starting level), that amount will be added to the Principal at Risk Amount in order to determine the payment at maturity on the securities. However, if the Averaging Return Amount is zero (i.e., the average ending level is less than or
equal to the starting level), your payment at maturity will depend solely on the Principal at Risk Amount.
If the final ending level is
less than the threshold level, the Principal at Risk Amount will be less than the original offering price of your securities and will reflect the final ending level expressed as a percentage of the starting level, as adjusted by the
multiplier. In this circumstance, you will lose some, and possibly all, of the original offering price of your securities at maturity, unless the Averaging Return Amount is sufficiently positive so that the sum of the Averaging Return Amount
and the Principal at Risk Amount is greater than the original offering price.
The securities offer upside potential based on the average
performance of the Basket on the calculation days (quarterly, beginning February 2018), subject to downside risk based solely on the closing levels of the basket components on the final calculation day. It is possible for the average ending
level to be greater than the starting level even if the final ending level is less than the threshold level. As a result, the Principal at Risk Amount may be less than the original offering price, and you may incur a loss on your investment in
the securities, even if the Averaging Return Amount is positive.
The Potential For A Positive Return On The Securities Is Based On The
Average Performance Of The Basket, Which May Be Less Favorable Than The Performance Of The Basket As Measured From Its Starting Level To Its Final Ending Level.
The upside potential of the securities is based on the average ending level, which will be based on the average of the closing levels of the
basket components on the calculation days (quarterly, beginning February 2018). The average ending level, as so calculated, may be less than the final ending level, which will be based on the closing levels of the basket components on the final
calculation day. If the average ending level is less than the final ending level, the average performance of the Basket that is measured for purposes of the securities will be less favorable than the performance of the Basket as measured from
its starting level to its final ending level, which we refer to as its point-to-point performance. As a result, the return on the securities, if any, may underperform the point-to-point performance of the Basket and, therefore, may
underperform the return that would have been achieved on a direct investment in the basket components held over the term of the securities.
For example, if the value of the Basket increases at a more or less steady rate from the first calculation day to the final calculation day,
the average ending level will be less than the final ending level, and the average performance of the Basket will be less than its point-to-point performance. This underperformance will be especially significant if there is a significant increase in
the value of the Basket at or near the final calculation day. In addition, because of the way the average ending level is calculated, it is possible that you will not receive any positive return on your investment at stated maturity even if the
final ending level is significantly greater than the starting level. One scenario in which this may occur is when the value of the Basket has declined from the starting level on the earlier calculation days and increases significantly at or
near the final calculation day. You should not invest in the securities unless you understand and are willing to accept the return characteristics associated with the averaging feature of the securities.
PRS-10
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Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
No Periodic Interest Will Be Paid On The Securities.
No periodic payments of interest will be made on the securities. However, if the agreed-upon tax treatment is successfully challenged by the
Internal Revenue Service (the IRS), you may be required to recognize taxable income over the term of the securities. You should review the section of this pricing supplement entitled United States Federal Tax
Considerations.
The Buffering Effect Of The Multiplier Will Decrease As The Final Ending Level Decreases.
If the final ending level is less than the threshold level, the Principal at Risk Amount will reflect the buffering effect of the multiplier
such that the Principal at Risk Amount will be greater than it would have been had it been based solely on the performance of the Basket from the starting level to the final ending level. As the performance of the Basket declines, however, the
outperformance of the securities relative to the performance of the Basket will decline as well, because the multiplier only acts to buffer the performance of the Basket on a percentage basis. For example, if the final ending level is 70% of the
starting level, the Principal at Risk Amount would be equal to $823.53 per security ($1,000 x .70 x multiplier), which is $123.53 greater than it would have been had it been based solely on the performance of the Basket without the multiplier (i.e.,
$700). However, if the final ending level is 40% of the starting level, the Principal at Risk Amount would be equal to $470.59 per security ($1,000 x .40 x multiplier), which is only $70.59 greater than it would have been had it been based solely on
the performance of the Basket without the multiplier (i.e., $400). If the final ending level is zero, the Principal at Risk Amount will be zero ($1,000 x .00 x multiplier).
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 any securities included in the basket components 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.
The
Estimated Value Of The Securities On The Pricing Date, Based On WFSs Proprietary Pricing Models, Will Be 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 will be 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 Affiliates 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 DescriptionDetermining the estimated
value. Certain inputs to these models may be determined by WFS in its discretion. WFSs views on these inputs may differ from other dealers views, and WFSs 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. WFSs 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 WFSs 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 4-month period
following the issue date, the secondary market price offered by WFS or any of its affiliates will be increased by an amount
PRS-11
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
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 WFSs 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 4-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.
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 value of the Basket at that time, 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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Basket Performance. The value of the securities prior to maturity will depend substantially on the value of the Basket. 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 value of the Basket at such time is less than, equal to or not sufficiently above the starting
level or threshold level. |
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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 Basket. 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 Basket or the basket components changes. |
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Correlation Among Basket Components. Correlation refers to the extent to which the levels of the basket components tend to fluctuate at the
same time, in the same direction and in similar magnitudes. The correlation among basket components may be positive, zero or negative. The value of the securities may be affected if the correlation of the basket components changes.
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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 value of the Basket. This difference will most likely reflect a discount due to expectations and uncertainty concerning the value of the Basket during the period of time still remaining to the stated maturity
date. |
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Dividend Yields On Securities Included In The Basket Components. The value of the securities may be affected by the dividend yields on
securities included in the basket components. |
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Currency Exchange Rates. Since the securities are linked to, in part, the MSCI EAFE Index and the MSCI Emerging Markets Index and those
basket components include securities quoted in one or more foreign currencies and the levels of such basket components are based on the U.S. dollar value of such securities, the value of the securities may be affected if the exchange rate between
the U.S. dollar and any such foreign currency changes. |
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. 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 value of the Basket. Because numerous factors are expected to affect the value of the securities, changes in the value of the
Basket 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.
PRS-12
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
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.
Your Return On The Securities Could Be Less Than If You Owned Securities Included In The Basket Components.
Your return on the securities will not reflect the return you would realize if you actually owned the securities included in the basket
components and received the dividends and other payments paid on those securities. This is in part because the redemption amount will be determined by reference to the final ending level and average ending level, which will be calculated by
reference to the prices of the securities in the basket components without taking into consideration the value of dividends and other payments paid on those securities.
Historical Levels Of The Basket Components Should Not Be Taken As An Indication Of The Future Performance Of The Basket Components During
The Term Of The Securities.
The trading prices of the securities included in the basket components will determine the amount payable
to you at maturity. As a result, it is impossible to predict whether the final component levels or average component levels of the basket components will fall or rise compared to their respective initial component levels. Trading prices of the
securities included in the basket components will be influenced by complex and interrelated political, economic, financial and other factors that can affect the markets in which those securities are traded and the values of those securities
themselves. Accordingly, any historical levels of the basket components do not provide an indication of the future performance of the basket components.
Changes That Affect The Basket Components May Adversely Affect The Value Of The Securities And The Amount You Will Receive At Stated
Maturity.
The policies of an index sponsor concerning the calculation of the relevant basket component and the addition, deletion or
substitution of securities comprising the basket component and the manner in which an index sponsor takes account of certain changes affecting such securities may affect the level of such basket component and the value of the Basket and, therefore,
may affect the value of the securities and the amount payable at maturity. An index sponsor may discontinue or suspend calculation or dissemination of the relevant basket component or materially alter the methodology by which it calculates such
basket component. Any such actions could adversely affect the value of the securities.
We Cannot Control Actions By Any Of The
Unaffiliated Companies Whose Securities Are Included In The Basket Components.
Actions by any company whose securities are included in
a basket component may have an adverse effect on the price of its security, the closing level of such basket component on any calculation day, the average ending level and the final ending level and the value of the securities. We are one of the
companies included in the S&P 500 Index, but we are not affiliated with any of the other companies included in any of the basket components. These companies 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 or your interests into consideration for any reason. These companies 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. These companies will not be involved with the administration, marketing or trading of the securities and will have no obligations
with respect to any amounts to be paid to you on the securities.
We And Our Affiliates Have No Affiliation With Any Index Sponsor And
Have Not Independently Verified Its Public Disclosure Of Information.
We and our affiliates are not affiliated in any way with any of
the index sponsors and have no ability to control or predict their actions, including any errors in or discontinuation of disclosure regarding the methods or policies relating to the calculation of the basket components. We have derived the
information about the index sponsors and the basket components contained in this pricing supplement from publicly available information, without independent verification. You, as an investor in the securities, should make your own investigation into
the basket components and the index sponsors. The index sponsors are not involved in the offering of the securities made hereby in any way and have no obligation to consider your interest as an owner of the securities in taking any actions that
might affect the value of the securities.
PRS-13
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Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
Changes In The Level Of One Or More Basket Components May Offset Each Other.
Fluctuations in the levels of the basket components may not correlate with each other. Even if the level of one or more of the basket
components increases, the level of one or more of the other basket components may not increase as much or may even decline. Therefore, in calculating the final ending level and average ending level, increases in the level of one or more of the
basket components may be moderated, or wholly offset, by lesser increases or declines in the level of one or more of the other basket components. This may be particularly the case with respect to the S&P 500 Index, since it has a 70% weighting
in the Basket.
An Investment In The Securities Is Subject To Risks Associated With Foreign Securities Markets.
Two of the basket components include the stocks of foreign companies and you should be aware that investments in securities linked to the value
of foreign equity securities involve particular risks. Foreign securities markets may have less liquidity and may be more volatile than the U.S. securities markets, and market developments may affect foreign markets differently than U.S. securities
markets. Direct or indirect government intervention to stabilize a foreign securities market, as well as cross-shareholdings in foreign companies, may affect trading prices and volumes in those markets. Also, there is generally less publicly
available information about non-U.S. companies that are not subject to the reporting requirements of the Securities and Exchange Commission, and non-U.S. companies are subject to accounting, auditing and financial reporting standards and
requirements that differ from those applicable to U.S. reporting companies.
The prices and performance of securities of non-U.S. companies
are subject to political, economic, financial, military and social factors which could negatively affect foreign securities markets, including the possibility of recent or future changes in a foreign governments economic, monetary and fiscal
policies, the possible imposition of, or changes in, currency exchange laws or other laws or restrictions applicable to foreign companies or investments in foreign equity securities, the possibility of imposition of withholding taxes on dividend
income, the possibility of fluctuations in the rate of exchange between currencies, the possibility of outbreaks of hostility or political instability and the possibility of natural disaster or adverse public health developments. Moreover, the
relevant non-U.S. economies may differ favorably or unfavorably from the U.S. economy in important respects, such as growth of gross national product, rate of inflation, trade surpluses or deficits, capital reinvestment, resources and
self-sufficiency.
In addition, one of the basket components includes companies in countries with emerging markets. Countries with emerging
markets may have relatively unstable governments, may present the risks of nationalization of businesses, restrictions on foreign ownership and prohibitions on the repatriation of assets, and may have less protection of property rights than more
developed countries. The economies of countries with emerging markets may be based on only a few industries, may be highly vulnerable to changes in local or global trade conditions (due to economic dependence upon commodity prices and international
trade), and may suffer from extreme and volatile debt burdens, currency devaluations or inflation rates. Local securities markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume,
potentially making prompt liquidation of holdings difficult or impossible at times.
The securities included in two of the basket
components may be listed on a foreign stock exchange. A foreign stock exchange may impose trading limitations intended to prevent extreme fluctuations in individual security prices and may suspend trading in certain circumstances. These actions
could limit variations in the closing level of such basket components which could, in turn, adversely affect the value of the securities.
Exchange Rate
Movements May Impact The Value Of The Securities.
The securities will be denominated in U.S. dollars. Since the value of securities
included in two of the basket components is quoted in a currency other than U.S. dollars and, as per such basket components, is converted into U.S. dollars, the amount payable on the securities on the maturity date will depend in part on the
relevant exchange rates.
An Investment In The Securities Is Subject To Risks Associated With Investing In Stocks With A Small Market
Capitalization.
The stocks that constitute the Russell 2000 Index are issued by companies with relatively small market capitalization.
These companies often have greater stock price volatility, lower trading volume and less liquidity than large capitalization companies. As a result, the Russell 2000 Index may be more volatile than that of an equity index that does not track solely
small capitalization stocks. Stock prices of small capitalization companies are also generally more vulnerable than those of large capitalization companies to adverse business and economic developments, and the stocks of small capitalization
companies may be thinly traded, and be less attractive to many investors if they do not pay dividends. In addition, small capitalization companies are typically less well-established and less stable financially than large capitalization companies
and may depend on a small number of key personnel, making them more vulnerable to loss of those individuals. Small capitalization companies tend to have lower revenues, less diverse product lines,
PRS-14
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Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
smaller shares of their target markets, fewer financial resources and fewer competitive strengths than large capitalization companies. These companies may also be more susceptible to adverse
developments related to their products or services.
The Stated Maturity Date May Be Postponed If The Final Calculation Day Is Postponed.
A calculation day will be postponed if the originally scheduled calculation day is not a trading day with respect to any basket component or if
the calculation agent determines that a market disruption event has occurred or is continuing with respect to any basket component on that calculation day. If such a postponement occurs with respect to the final calculation day, the stated maturity
date will be the later of (i) the initial stated maturity date and (ii) three business days after the postponed final calculation day.
Our Economic Interests And Those Of Any Dealer Participating In The Offering Are Potentially Adverse To Your Interests.
You should be aware of the following ways in which our economic interests and those of any dealer participating in the distribution of the
securities, which we refer to as a participating dealer, are potentially adverse to your interests as an investor in the securities. In engaging in certain of the activities described below, our affiliates or any participating
dealer or its affiliates may take actions that may adversely affect the value of and your return on the securities, and in so doing they will have no obligation to consider your interests as an investor in the securities. Our affiliates or any
participating dealer or its affiliates may realize a profit from these activities even if investors do not receive a favorable investment return on the securities.
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The calculation agent is our affiliate and may be required to make discretionary judgments that affect the return you receive on the
securities. WFS, which is our affiliate, will be the calculation agent for the securities. As calculation agent, WFS will determine the average ending level, the final ending level, the closing levels of the basket components on each
calculation day and may be required to make other determinations that affect the return you receive on the securities at maturity. In making these determinations, the calculation agent may be required to make discretionary judgments, including
determining whether a market disruption event has occurred with respect to a basket component on a scheduled calculation day, which may result in postponement of that calculation day with respect to that basket component; determining the closing
level of a basket component if a calculation day is postponed with respect to that basket component to the last day to which it may be postponed and a market disruption event occurs with respect to that basket component on that day; if a basket
component is discontinued, selecting a successor basket component or, if no successor basket component is available, determining the closing level of that basket component on any calculation day; and determining whether to adjust the closing level
of a basket component on any calculation day in the event of certain changes in or modifications to that basket component. In making these discretionary judgments, the fact that WFS is our affiliate may cause it to have economic interests that are
adverse to your interests as an investor in the securities, and WFSs determinations as calculation agent may adversely affect your return on the securities. |
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The estimated value of the securities was calculated by our affiliate and is therefore not an independent third-party valuation. WFS
calculated the estimated value of the securities set forth on the cover page of this pricing supplement, which involved discretionary judgments by WFS, as described under Risk FactorsThe Estimated Value Of The Securities Is Determined By
Our Affiliates Pricing Models, Which May Differ From Those Of Other Dealers above. Accordingly, the estimated value of the securities set forth on the cover page of this pricing supplement is not an independent third-party valuation.
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Research reports by our affiliates or any participating dealer or its affiliates may be inconsistent with an investment in the securities and
may adversely affect the levels of the basket components. Our affiliates or any participating dealer in the offering of the securities or its affiliates may, at present or in the future, publish research reports on one or more of the basket
components or the companies whose securities are included in the basket components. This research is modified from time to time without notice and may, at present or in the future, express opinions or provide recommendations that are inconsistent
with purchasing or holding the securities. Any research reports on one or more of the basket components or the companies whose securities are included in the basket components could adversely affect the levels of the applicable basket components
and, therefore, adversely affect the value of and your return on the securities. You are encouraged to derive information concerning the basket components from multiple sources and should not rely on the views expressed by us or our affiliates or
any participating dealer or its affiliates. In addition, any research reports on one or more of the basket components or the companies whose securities are included in the basket components published on or prior to the pricing date could result in
an increase in the levels of the basket components on the pricing date, which would adversely affect investors in the securities by increasing the levels at which the basket components must close on each calculation day in order for investors in the
securities to receive a favorable return. |
PRS-15
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
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Business activities of our affiliates or any participating dealer or its affiliates with the companies whose securities are included in the
basket components may adversely affect the levels of the basket components. Our affiliates or any participating dealer or its affiliates may, at present or in the future, engage in business with the companies whose securities are included in
the basket components, including making loans to those companies (including exercising creditors remedies with respect to such loans), making equity investments in those companies or providing investment banking, asset management or other
advisory services to those companies. These business activities could adversely affect the levels of the basket components and, therefore, adversely affect the value of and your return on the securities. In addition, in the course of these business
activities, our affiliates or any participating dealer or its affiliates may acquire non-public information about one or more of the companies whose securities are included in the basket components. If our affiliates or any participating dealer or
its affiliates do acquire such non-public information, we and they are not obligated to disclose such non-public information to you. |
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Hedging activities by our affiliates or any participating dealer or its affiliates may adversely affect the levels of the basket
components. We expect to hedge our obligations under the securities through one or more hedge counterparties, which may include our affiliates or any participating dealer or its affiliates. Pursuant to such hedging activities, our hedge
counterparties may acquire securities included in the basket components or listed or over-the-counter derivative or synthetic instruments related to the basket components or such securities. Depending on, among other things, future market
conditions, the aggregate amount and the composition of such positions are likely to vary over time. To the extent that our hedge counterparties have a long hedge position in any of the securities included in the basket components, or derivative or
synthetic instruments related to the basket components or such securities, they may liquidate a portion of such holdings at or about the time of a calculation day or at or about the time of a change in the securities included in the basket
components. These hedging activities could potentially adversely affect the levels of the basket components and, therefore, adversely affect the value of and your return on the securities. |
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Trading activities by our affiliates or any participating dealer or its affiliates may adversely affect the levels of the basket components.
Our affiliates or any participating dealer or its affiliates may engage in trading in the securities included in the basket components and other instruments relating to the basket components or such securities on a regular basis as part of
their general broker-dealer and other businesses. Any of these trading activities could potentially adversely affect the levels the basket components and, therefore, adversely affect the value of and your return on the securities.
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A participating dealer or its affiliates may realize hedging profits projected by its proprietary pricing models in addition to any selling
concession, creating a further incentive for the participating dealer to sell the securities to you. If any participating dealer or any of its affiliates conducts hedging activities for us in connection with the securities, that
participating dealer or its affiliates will expect to realize a projected profit from such hedging activities and this projected profit will be in addition to the selling concession that the participating dealer realizes for the sale of the
securities to you. This additional projected profit may create a further incentive for the participating dealer to sell the securities to you. |
The U.S. Federal Tax Consequences Of An Investment In The Securities Are Unclear.
There is no direct legal authority regarding the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling
from 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 prepaid derivative contracts that are open transactions
for U.S. federal income tax purposes. If the IRS were successful in asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition of the securities might be materially and adversely affected. In
addition, in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal income tax treatment of prepaid forward contracts and similar instruments. 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, including the character and timing of income or loss and the degree, if any,
to which income realized by non-U.S. persons should be subject to withholding tax, possibly with retroactive effect. You should read carefully the discussion under United States Federal Tax Considerations in this pricing supplement. You
should also consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
PRS-16
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
The following table illustrates, for a hypothetical participation rate of 150% (the midpoint of the specified
range of the participation rate) and a range of hypothetical final ending levels and average ending levels of the Basket:
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the hypothetical percentage change from the starting level to the hypothetical final ending level; |
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the hypothetical percentage change from the starting level to the hypothetical average ending level; |
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the hypothetical Principal at Risk Amount, the hypothetical Averaging Return Amount and the resulting hypothetical redemption amount payable at
stated maturity per security; |
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the hypothetical total pre-tax rate of return; and |
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the hypothetical pre-tax annualized rate of return. |
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|
Hypothetical Principal at Risk Amount |
|
Hypothetical Averaging Return Amount |
|
Hypothetical Redemption Amount |
Hypothetical
final ending
level |
|
Hypothetical
percentage
change from
the starting
level to the
hypothetical
final ending
level |
|
Hypothetical Principal at
Risk
Amount |
|
Hypothetical
average
ending level |
|
Hypothetical
percentage
change from the
starting level to
the hypothetical
average ending
level |
|
Hypothetical
Averaging
Return
Amount |
|
Hypothetical
redemption
amount
payable at
stated
maturity per
security(1) |
|
Hypothetical
pre-tax total
rate of return |
|
Hypothetical
pre-tax
annualized
rate of return(2) |
150.00 |
|
50.00% |
|
$1,000.00 |
|
145.00 |
|
45.00% |
|
$675.00 |
|
$1,675.00 |
|
67.50% |
|
13.31% |
150.00 |
|
50.00% |
|
$1,000.00 |
|
80.00 |
|
-20.00% |
|
$0.00 |
|
$1,000.00 |
|
0.00% |
|
0.00% |
120.00 |
|
20.00% |
|
$1,000.00 |
|
130.00 |
|
30.00% |
|
$450.00 |
|
$1,450.00 |
|
45.00% |
|
9.50% |
120.00 |
|
20.00% |
|
$1,000.00 |
|
60.00 |
|
-40.00% |
|
$0.00 |
|
$1,000.00 |
|
0.00% |
|
0.00% |
100.00 (3) |
|
0.00% |
|
$1,000.00 |
|
115.00 |
|
15.00% |
|
$225.00 |
|
$1,225.00 |
|
22.50% |
|
5.13% |
100.00 (3) |
|
0.00% |
|
$1,000.00 |
|
50.00 |
|
-50.00% |
|
$0.00 |
|
$1,000.00 |
|
0.00% |
|
0.00% |
95.00 |
|
-5.00% |
|
$1,000.00 |
|
110.00 |
|
10.00% |
|
$150.00 |
|
$1,150.00 |
|
15.00% |
|
3.52% |
95.00 |
|
-5.00% |
|
$1,000.00 |
|
30.00 |
|
-70.00% |
|
$0.00 |
|
$1,000.00 |
|
0.00% |
|
0.00% |
85.00 |
|
-15.00% |
|
$1,000.00 |
|
110.00 |
|
10.00% |
|
$150.00 |
|
$1,150.00 |
|
15.00% |
|
3.52% |
85.00 |
|
-15.00% |
|
$1,000.00 |
|
35.00 |
|
-65.00% |
|
$0.00 |
|
$1,000.00 |
|
0.00% |
|
0.00% |
84.00 |
|
-16.00% |
|
$988.24 |
|
150.00 |
|
50.00% |
|
$750.00 |
|
$1,738.24 |
|
73.82% |
|
14.30% |
84.00 |
|
-16.00% |
|
$988.24 |
|
101.00 |
|
1.00% |
|
$15.00 |
|
$1,003.24 |
|
0.32% |
|
0.08% |
84.00 |
|
-16.00% |
|
$988.24 |
|
50.00 |
|
-50.00% |
|
$0.00 |
|
$988.24 |
|
-1.18% |
|
-0.30% |
70.00 |
|
-30.00% |
|
$823.53 |
|
150.00 |
|
50.00% |
|
$750.00 |
|
$1,573.53 |
|
57.35% |
|
11.65% |
70.00 |
|
-30.00% |
|
$823.53 |
|
105.00 |
|
5.00% |
|
$75.00 |
|
$898.53 |
|
-10.15% |
|
-2.66% |
70.00 |
|
-30.00% |
|
$823.53 |
|
50.00 |
|
-50.00% |
|
$0.00 |
|
$823.53 |
|
-17.65% |
|
-4.79% |
50.00 |
|
-50.00% |
|
$588.24 |
|
150.00 |
|
50.00% |
|
$750.00 |
|
$1,338.24 |
|
33.82% |
|
7.41% |
50.00 |
|
-50.00% |
|
$588.24 |
|
120.00 |
|
20.00% |
|
$300.00 |
|
$888.24 |
|
-11.18% |
|
-2.94% |
50.00 |
|
-50.00% |
|
$588.24 |
|
50.00 |
|
-50.00% |
|
$0.00 |
|
$588.24 |
|
-41.18% |
|
-12.83% |
25.00 |
|
-75.00% |
|
$294.12 |
|
150.00 |
|
50.00% |
|
$750.00 |
|
$1,044.12 |
|
4.41% |
|
1.08% |
25.00 |
|
-75.00% |
|
$294.12 |
|
120.00 |
|
20.00% |
|
$300.00 |
|
$594.12 |
|
-40.59% |
|
-12.59% |
25.00 |
|
-75.00% |
|
$294.12 |
|
50.00 |
|
-50.00% |
|
$0.00 |
|
$294.12 |
|
-70.59% |
|
-28.35% |
(1) |
The hypothetical redemption amount is equal to the hypothetical Principal at Risk Amount plus the hypothetical Averaging Return Amount.
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(2) |
The annualized rates of return are calculated on a semi-annual bond equivalent basis with compounding. |
The above figures are for purposes of illustration only and may have been rounded for ease of analysis. The actual amount you receive at
stated maturity and the resulting pre-tax rates of return will depend on the actual final ending level, average ending level and participation rate.
PRS-17
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
|
Hypothetical Payments at Stated Maturity |
Set forth below are five examples of payment at stated maturity calculations (rounded to two decimal places),
reflecting a hypothetical participation rate of 150% (the midpoint of the specified range for the participation rate) and assuming hypothetical final ending levels and average ending levels as indicated in the examples.
Example 1. The hypothetical final ending level is greater than the threshold level, the hypothetical average ending level is greater than
the starting level and the redemption amount is greater than the original offering price:
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S&P 500
Index |
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MSCI EAFE
Index |
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S&P MidCap
400 Index |
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MSCI
Emerging
Markets Index |
|
Russell 2000
Index |
Initial Component Level |
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2106.85 |
|
1933.97 |
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1518.59 |
|
1059.51 |
|
1246.955 |
Final Component Level |
|
2535.80 |
|
2601.19 |
|
1642.05 |
|
1488.61 |
|
1457.32 |
Final Component Return |
|
20.36% |
|
34.50% |
|
8.13% |
|
40.50% |
|
16.87% |
Average Component Level |
|
2476.81 |
|
2587.65 |
|
1657.24 |
|
1472.72 |
|
1459.06 |
Average Component Return |
|
17.56% |
|
33.80% |
|
9.13% |
|
39.00% |
|
17.01% |
Step 1: Calculate the Principal at Risk Amount.
Based on the hypothetical final component returns set forth above, the hypothetical final ending level would equal:
100 x [1 + (70% x 20.36%) + (15% x 34.50%) + (8% x 8.13%) +(4% x 40.50%) + (3% x 16.87%)] = 122.20
Since the hypothetical final ending level is greater than the threshold level, the Principal at Risk Amount would equal:
$1,000.00.
Step 2: Calculate the Averaging Return Amount.
Based on the hypothetical average component returns set forth above, the hypothetical average ending level would equal:
100 x [1 + (70% x 17.56%) + (15% x 33.80%) + (8% x 9.13%) + (4% x 39.00%) + (3% x 17.01%)] = 120.16
Since the hypothetical average ending level is greater than the starting level, the Averaging Return Amount would equal:
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$1,000 x |
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120.16 100.00 |
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x 150% |
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= $302.40 |
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100.00 |
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Step 3: Calculate the Redemption Amount.
Redemption amount = Principal at Risk Amount + Averaging Return Amount
= $1,000.00 + $302.40
= $1,302.40
Therefore, on the stated maturity date you would receive $1,302.40 per security.
PRS-18
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
|
Hypothetical Payments at Stated Maturity (Continued) |
Example 2. The hypothetical final ending level is greater than the threshold level, the
hypothetical average ending level is less than the starting level and the redemption amount is equal to the original offering price:
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|
S&P 500
Index |
|
MSCI EAFE
Index |
|
S&P MidCap
400 Index |
|
MSCI
Emerging
Markets Index |
|
Russell 2000
Index |
Initial Component Level |
|
2106.85 |
|
1933.97 |
|
1518.59 |
|
1059.51 |
|
1246.955 |
Final Component Level |
|
2128.97 |
|
1646.78 |
|
1603.63 |
|
1031.12 |
|
1244.84 |
Final Component Return |
|
1.05% |
|
-14.85% |
|
5.60% |
|
-2.68% |
|
-0.17% |
Average Component Level |
|
1973.7 |
|
1537.51 |
|
1541.37 |
|
1056.33 |
|
1215.03 |
Average Component Return |
|
-6.32% |
|
-20.50% |
|
1.50% |
|
-0.30% |
|
-2.56% |
Step 1: Calculate the Principal at Risk Amount.
Based on the hypothetical final component returns set forth above, the hypothetical final ending level would equal:
100 x [1 + (70% x 1.05%) + (15% x -14.85%) + (8% x 5.60%) + (4% x -2.68%) + (3% x -0.17%)]= 98.84
Since the hypothetical final ending level is greater than the threshold level, the Principal at Risk Amount would equal:
$1,000.00.
Step 2: Calculate the Averaging Return Amount.
Based on the hypothetical average component returns set forth above, the hypothetical average ending level would equal:
100 x [1 + (70% x -6.32%) + (15% x -20.50%) + (8% x 1.50%) + (4% x -0.30%) + (3% x -2.56%)] = 92.53
Since the hypothetical average ending level is less than the starting level, the Averaging Return Amount would equal: $0.00
Step 3: Calculate the Redemption Amount.
Redemption amount = Principal at Risk Amount + Averaging Return Amount
= $1,000.00 + $0.00
= $1,000.00
Therefore, on the stated maturity date you would receive $1,000.00 per security.
PRS-19
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
|
Hypothetical Payments at Stated Maturity (Continued) |
Example 3. The hypothetical final ending level is less than the threshold level, the
hypothetical average ending level is less than the starting level and the redemption amount is less than the original offering price:
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|
|
S&P 500
Index |
|
MSCI EAFE
Index |
|
S&P MidCap
400 Index |
|
MSCI
Emerging
Markets Index |
|
Russell 2000
Index |
Initial Component Level |
|
2106.85 |
|
1933.97 |
|
1518.59 |
|
1059.51 |
|
1246.955 |
Final Component Level |
|
901.73 |
|
1388.59 |
|
868.03 |
|
574.25 |
|
1051.93 |
Final Component Return |
|
-57.20% |
|
-28.20% |
|
-42.84% |
|
-45.80% |
|
-15.64% |
Average Component Level |
|
1454.36 |
|
1884.85 |
|
1399.38 |
|
736.36 |
|
1011.03 |
Average Component Return |
|
-30.97% |
|
-2.54% |
|
-7.85% |
|
-30.50% |
|
-18.92% |
Step 1: Calculate the Principal at Risk Amount.
Based on the hypothetical final component returns set forth above, the hypothetical final ending level would equal:
100 x [1 + (70% x -57.20%) + (15% x -28.20%) + (8% x -42.84%) + (4% x -45.80%) + (3% x -15.64%)] = 50.00
Since the hypothetical final ending level is less than the threshold level, the Principal at Risk Amount would equal:
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$1,000 x |
|
50.00 |
|
x multiplier |
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|
= $588.24 |
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100.00 |
|
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|
Step 2: Calculate the Averaging Return Amount.
Based on the hypothetical average component returns set forth above, the hypothetical average ending level would equal:
100 x [1 + (70% x -30.97%) + (15% x -2.54%) + (8% x -7.85%) +(4% x -30.50%) + (3% x -18.92%)] = 75.52
Since the hypothetical average ending level is less than the starting level, the Averaging Return Amount would equal: $0.00
Step 3: Calculate the Redemption Amount.
Redemption amount = Principal at Risk Amount + Averaging Return Amount
= $588.24 + $0.00
= $588.24
Therefore, on the stated maturity date you would receive $588.24 per security.
The multiplier is used in the calculation of the Principal at Risk Amount if the final ending level is less than the threshold
level. The effect of the multiplier in these circumstances is to provide a Principal at Risk Amount that is approximately 17.65% greater
PRS-20
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
|
Hypothetical Payments at Stated Maturity (Continued) |
than it would have been had it been based solely on the performance of the Basket without the multiplier as measured from the starting level to the final ending level. In this example, although
the final ending level declined by 50% from the starting level (i.e., the final ending level divided by the starting level is 0.50), the Principal at Risk Amount per security is $588.24, which is approximately 17.65% higher than the Principal at
Risk Amount would have been had such amount been based on the decline from the starting level to the final ending level without the multiplier (i.e., $1,000 x 0.50, or $500.00). You should note that, as the final ending level declines, this
outperformance of the securities relative to the performance of the Basket declines as well, because the multiplier only acts to buffer the performance of the Basket on a percentage basis. For example, if the final ending level is 70% of the
starting level, the Principal at Risk Amount would be equal to $823.53 per security ($1,000 x .70 x multiplier), which is $123.53 greater than it would have been had it been based solely on the final ending level without the multiplier (i.e., $700).
However, if the final ending level is 40% of the starting level, the Principal at Risk Amount would be equal to $470.59 per security ($1,000 x .40 x multiplier), which is only $70.59 greater than it would have been had it been based solely on the
final ending level without the multiplier (i.e., $400). If the final ending level is zero, the Principal at Risk Amount will be zero ($1,000 x .00 x multiplier).
PRS-21
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
|
Hypothetical Payments at Stated Maturity (Continued) |
Example 4. The hypothetical final ending level is less than the threshold level, the
hypothetical average ending level is greater than the starting level and the redemption amount is greater than the original offering price:
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|
|
|
|
|
S&P 500
Index |
|
MSCI EAFE
Index |
|
S&P MidCap
400 Index |
|
MSCI
Emerging
Markets Index |
|
Russell 2000
Index |
Initial Component Level |
|
2106.85 |
|
1933.97 |
|
1518.59 |
|
1059.51 |
|
1246.955 |
Final Component Level |
|
1541.16 |
|
1317.42 |
|
1442.96 |
|
1048.07 |
|
1190.22 |
Final Component Return |
|
-26.85% |
|
-31.88% |
|
-4.98% |
|
-1.08% |
|
-4.55% |
Average Component Level |
|
2940.74 |
|
2337.01 |
|
1774.32 |
|
1031.54 |
|
1271.77 |
Average Component Return |
|
39.58% |
|
20.84% |
|
16.84% |
|
-2.64% |
|
1.99% |
Step 1: Calculate the Principal at Risk Amount.
Based on the hypothetical final component returns set forth above, the hypothetical final ending level would equal:
100 x [1 + (70% x -26.85%) + (15% x -31.88%) + (8% x -4.98%) + (4% x -1.08%) + (3% x -4.55%)] = 75.84
Since the hypothetical final ending level is less than the threshold level, the Principal at Risk Amount would equal:
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|
|
|
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|
|
|
$1,000 x |
|
75.84 |
|
x multiplier |
|
|
|
= $892.24 |
|
|
|
100.00 |
|
|
|
|
Step 2: Calculate the Averaging Return Amount.
Based on the hypothetical average component returns set forth above, the hypothetical average ending level would equal:
100 x [1 + (70% x 39.58%) + (15% x 20.84%) + (8% x 16.84%) + (4% x -2.64%) + (3% x 1.99%)] = 132.13
Since the hypothetical average ending level is greater than the starting level, the Averaging Return Amount would equal:
|
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|
|
|
|
|
|
|
|
|
|
|
$1,000 x |
|
|
|
132.13 100.00 |
|
|
|
x 150% |
|
|
|
= $481.95 |
|
|
|
|
|
100.00 |
|
|
|
|
|
|
Step 3: Calculate the Redemption Amount.
Redemption amount = Principal at Risk Amount + Averaging Return Amount
= $892.24 + $481.95
= $1,374.19
Therefore, on the stated maturity date you would receive $1,374.19 per security. In this example, even though the hypothetical
final ending level is less than the threshold level, the Averaging Return Amount is sufficiently positive such that it offsets the loss on the Principal at Risk Amount and the return on the securities at maturity is positive. This scenario would
only occur if the value of the Basket has appreciated significantly from the starting level on the earlier calculation days and then declines significantly at or near the final calculation day.
PRS-22
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
|
Hypothetical Payments at Stated Maturity (Continued) |
Example 5. The hypothetical final ending level is less than the threshold level, the
hypothetical average ending level is greater than the starting level and the redemption amount is less than the original offering price:
|
|
|
|
|
|
|
|
|
|
|
|
|
S&P 500
Index |
|
MSCI EAFE
Index |
|
S&P MidCap
400 Index |
|
MSCI
Emerging
Markets Index |
|
Russell 2000
Index |
Initial Component Level |
|
2106.85 |
|
1933.97 |
|
1518.59 |
|
1059.51 |
|
1246.955 |
Final Component Level |
|
885.3 |
|
2093.72 |
|
1631.88 |
|
1162.92 |
|
1353.2 |
Final Component Return |
|
-57.98% |
|
8.26% |
|
7.46% |
|
9.76% |
|
8.52% |
Average Component Level |
|
2284.04 |
|
1983.87 |
|
1624.13 |
|
1104.33 |
|
1223.64 |
Average Component Return |
|
8.41% |
|
2.58% |
|
6.95% |
|
4.23% |
|
-1.87% |
Step 1: Calculate the Principal at Risk Amount.
Based on the hypothetical final component returns set forth above, the hypothetical final ending level would equal:
100 x [1 + (70% x -57.98%) + (15% x 8.26%) + (8% x 7.46%) +(4% x 9.76%) + (3% x 8.52%)] = 61.90
Since the hypothetical final ending level is less than the threshold level, the Principal at Risk Amount would equal:
|
|
|
|
|
|
|
|
|
|
|
|
|
$1,000 x |
|
61.90 |
|
x multiplier |
|
|
|
= $728.24 |
|
|
|
100.00 |
|
|
|
|
Step 2: Calculate the Averaging Return Amount.
Based on the hypothetical average component returns set forth above, the hypothetical average ending level would equal:
100 x [1 + (70% x 8.41%) + (15% x 2.58%) + (8% x 6.95%) +(4% x 4.23%) + (3% x -1.87%)] = 106.94
Since the hypothetical average ending level is greater than the starting level, the Averaging Return Amount would equal:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$1,000 x |
|
|
|
106.94 100.00 |
|
|
|
x 150% |
|
|
|
= $104.10 |
|
|
|
|
|
100.00 |
|
|
|
|
|
|
Step 3: Calculate the Redemption Amount.
Redemption amount = Principal at Risk Amount + Averaging Return Amount
= $728.24 + $104.10
= $832.34
Therefore, on the stated maturity date you would receive $832.34 per security. In this example, even though the Averaging
Return Amount is positive, you would incur a loss on an investment in the securities because the Principal at Risk Amount depends on the final ending level, not the average ending level, and will be less than the original offering price since the
final ending level is less than the threshold level.
In this example, the 57.98% decrease of the S&P 500 Index from
its initial component level to its final component level has a significant impact on the final ending level notwithstanding the increase of the other basket components from their respective initial component levels to their respective final
component levels due to the 70% weighting of the S&P 500 Index.
PRS-23
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
|
Hypothetical Payments at Stated Maturity (Continued) |
Although the final component levels are greater than the initial component
levels for four of the basket components, the final ending level is less than the threshold level.
To the extent that the final ending
level and average ending level differ from the values assumed above, the results indicated above would be different.
PRS-24
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
|
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 K, 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 the S&P 500 Index, the S&P MidCap 400 Index and the Russell 2000 Index means a day, as
determined by the calculation agent, on which (i) the relevant stock exchanges with respect to each security underlying such basket component are scheduled to be open for trading for their respective regular trading sessions and (ii) each
related futures or options exchange is scheduled to be open for trading for its regular trading session.
A trading day
with respect to the MSCI EAFE Index and the MSCI Emerging Markets Index means a day, as determined by the calculation agent, on which (i) the relevant index sponsor is scheduled to the publish the level of such basket component and
(ii) each related futures or options exchange is scheduled to be open for trading for its regular trading session.
The
relevant stock exchange for any security underlying any basket component means the primary exchange or quotation system on which such security is traded, as determined by the calculation agent.
The related futures or options exchange for any basket component means an exchange or quotation system where trading has a
material effect (as determined by the calculation agent) on the overall market for futures or options contracts relating to such basket component.
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 the amount of the payment you receive at stated maturity. In
addition, the calculation agent will, among other things:
|
|
|
determine whether a market disruption event has occurred; |
|
|
|
determine the closing level of the basket components under certain circumstances; |
|
|
|
determine if adjustments are required to the closing level of a basket component under various circumstances; and |
|
|
|
if publication of a basket component is discontinued, select a successor basket component (as defined below) or, if no successor basket component
is available, determine the closing level of such basket component. |
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 Disruption Events
A
market disruption event means, with respect to the S&P 500 Index, the S&P MidCap 400 Index or the Russell 2000 Index, any of the following events as determined by the calculation agent in its sole discretion:
|
(A) |
The occurrence or existence of a material suspension of or limitation imposed on trading by the relevant stock exchanges or otherwise relating to
securities which then comprise 20% or more of the level of such basket component or any successor basket component at any time during the one-hour period that ends at the close of trading on that day, whether by reason of movements in price
exceeding limits permitted by those relevant stock exchanges or otherwise. |
|
(B) |
The occurrence or existence of a material suspension of or limitation imposed on trading by any related futures or options exchange or otherwise in
futures or options contracts relating to such basket component or any successor basket component on any related futures or options exchange at any time during the one-hour period that ends at the close of trading on that day, whether by reason of
movements in price exceeding limits permitted by the related futures or options exchange or otherwise. |
|
(C) |
The occurrence or existence of any event, other than an early closure, that materially disrupts or impairs the ability of market participants in
general to effect transactions in, or obtain market values for, securities that then comprise 20% or more of the level of such basket component or any successor basket component on their relevant stock exchanges at any time during the one-hour
period that ends at the close of trading on that day. |
PRS-25
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
|
Additional Terms of the Securities (Continued) |
|
(D) |
The occurrence or existence of any event, other than an early closure, that materially disrupts or impairs the ability of market participants in
general to effect transactions in, or obtain market values for, futures or options contracts relating to such basket component or any successor basket component on any related futures or options exchange at any time during the one-hour period that
ends at the close of trading on that day. |
|
(E) |
The closure on any exchange business day of the relevant stock exchanges on which securities that then comprise 20% or more of the level of such
basket component or any successor basket component are traded or any related futures or options exchange prior to its scheduled closing time unless the earlier closing time is announced by the relevant stock exchange or related futures or options
exchange, as applicable, at least one hour prior to the earlier of (1) the actual closing time for the regular trading session on such relevant stock exchange or related futures or options exchange, as applicable, and (2) the submission
deadline for orders to be entered into the relevant stock exchange or related futures or options exchange, as applicable, system for execution at such actual closing time on that day. |
|
(F) |
The relevant stock exchange for any security underlying such basket component or successor basket component or any related futures or options
exchange fails to open for trading during its regular trading session. |
For purposes of determining whether a market
disruption event has occurred with respect to the S&P 500 Index, the S&P MidCap 400 Index or the Russell 2000 Index:
|
(1) |
the relevant percentage contribution of a security to the level of such basket component or any successor basket component will be based on a
comparison of (x) the portion of the level of such basket component attributable to that security and (y) the overall level of such basket component or successor basket component, in each case immediately before the occurrence of the
market disruption event; |
|
(2) |
the close of trading on any trading day for such basket component or any successor basket component means the scheduled closing
time of the relevant stock exchanges with respect to the securities underlying such basket component or successor basket component on such trading day; provided that, if the actual closing time of the regular trading session of any such relevant
stock exchange is earlier than its scheduled closing time on such trading day, then (x) for purposes of clauses (A) and (C) of the definition of market disruption event above, with respect to any security underlying such
basket component or successor basket component for which such relevant stock exchange is its relevant stock exchange, the close of trading means such actual closing time and (y) for purposes of clauses (B) and (D) of the
definition of market disruption event above, with respect to any futures or options contract relating to such basket component or successor basket component, the close of trading means the latest actual closing time of the
regular trading session of any of the relevant stock exchanges, but in no event later than the scheduled closing time of the relevant stock exchanges; |
|
(3) |
the scheduled closing time of any relevant stock exchange or related futures or options exchange on any trading day for such
basket component or any successor basket component means the scheduled weekday closing time of such relevant stock exchange or related futures or options exchange on such trading day, without regard to after hours or any other trading outside the
regular trading session hours; and |
|
(4) |
an exchange business day means any trading day for such basket component or any successor basket component on which each
relevant stock exchange for the securities underlying such basket component or any successor basket component and each related futures or options exchange are open for trading during their respective regular trading sessions, notwithstanding any
such relevant stock exchange or related futures or options exchange closing prior to its scheduled closing time. |
A
market disruption event means, with respect to the MSCI EAFE Index or the MSCI Emerging Markets Index, any of (A), (B), (C) or (D) below, as determined by the calculation agent in its sole discretion:
|
(A) |
Any of the following events occurs or exists with respect to any security included in such basket component or any successor basket component, and
the aggregate of all securities included in such basket component or successor basket component with respect to which any such event occurs comprise 20% or more of the level of such basket component or successor basket component:
|
|
|
|
a material suspension of or limitation imposed on trading by the relevant stock exchange for such security or otherwise at any time during the
one-hour period that ends at the scheduled closing time for the relevant stock exchange for such security on that day, whether by reason of movements in price exceeding limits permitted by the relevant stock exchange or otherwise;
|
|
|
|
any event, other than an early closure, that materially disrupts or impairs the ability of market participants in general to effect transactions
in, or obtain market values for, such security on its relevant stock exchange at any |
PRS-26
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
|
Additional Terms of the Securities (Continued) |
|
time during the one-hour period that ends at the scheduled closing time for the relevant stock exchange for such security on that day; or |
|
|
|
the closure on any exchange business day of the relevant stock exchange for such security prior to its scheduled closing time unless the earlier
closing is announced by such relevant stock exchange at least one hour prior to the earlier of (i) the actual closing time for the regular trading session on such relevant stock exchange and (ii) the submission deadline for orders to be
entered into the relevant stock exchange system for execution at the scheduled closing time for such relevant stock exchange on that day. |
|
(B) |
Any of the following events occurs or exists with respect to futures or options contracts relating to such basket component or any successor basket
component: |
|
|
|
a material suspension of or limitation imposed on trading by any related futures or options exchange or otherwise at any time during the one-hour
period that ends at the close of trading on such related futures or options exchange on that day, whether by reason of movements in price exceeding limits permitted by the related futures or options exchange or otherwise; |
|
|
|
any event, other than an early closure, that materially disrupts or impairs the ability of market participants in general to effect transactions
in, or obtain market values for, futures or options contracts relating to such basket component or successor basket component on any related futures or options exchange at any time during the one-hour period that ends at the close of trading on such
related futures or options exchange on that day; or |
|
|
|
the closure on any exchange business day of any related futures or options exchange prior to its scheduled closing time unless the earlier closing
time is announced by such related futures or options exchange at least one hour prior to the earlier of (i) the actual closing time for the regular trading session on such related futures or options exchange and (ii) the submission
deadline for orders to be entered into the related futures or options exchange system for execution at the close of trading for such related futures or options exchange on that day. |
|
(C) |
The relevant index sponsor fails to publish the level of such basket component or any successor basket component (other than as a result of the
relevant index sponsor having discontinued publication of such basket component or successor basket component and no successor basket component being available). |
|
(D) |
Any related futures or options exchange fails to open for trading during its regular trading session. |
For purposes of determining whether a market disruption event has occurred with respect the MSCI EAFE Index or the MSCI
Emerging Markets Index:
|
(1) |
the relevant percentage contribution of a security included in such basket component or any successor basket component to the level of such basket
component will be based on a comparison of (x) the portion of the level of such basket component attributable to that security to (y) the overall level of such basket component, in each case using the official opening weightings as
published by the relevant index sponsor as part of the market opening data; |
|
(2) |
the scheduled closing time of any relevant stock exchange or related futures or options exchange on any trading day means the
scheduled weekday closing time of such relevant stock exchange or related futures or options exchange on such trading day, without regard to after hours or any other trading outside the regular trading session hours; and |
|
(3) |
an exchange business day means any trading day on which (i) the relevant index sponsor publishes the level of such basket
component or any successor basket component and (ii) each related futures or options exchange is open for trading during its regular trading session, notwithstanding any related futures or options exchange closing prior to its scheduled closing
time. |
If a market disruption event occurs or is continuing with respect to any basket component on any calculation day,
then such calculation day for such basket component will be postponed to the first succeeding trading day for such basket component on which a market disruption event for such basket component 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 basket component after the originally scheduled calculation day, that eighth trading day shall be deemed to be the calculation day. If a calculation day has been
postponed eight trading days for a basket component after the originally scheduled calculation day for such basket component and a market disruption event occurs or is continuing with respect to such basket component on such eighth trading day, the
calculation agent will determine the closing level of such basket component on such eighth trading day in accordance with the formula for and method of calculating the closing level of such basket component last in effect prior to commencement of
the market disruption event, using the closing price (or, with respect to any relevant security, if a market disruption event has occurred with respect to such
PRS-27
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
|
Additional Terms of the Securities (Continued) |
security, its good faith estimate of the value of such security at (i) with respect to the S&P 500 Index, the S&P MidCap 400 Index or the Russell 2000 Index, the scheduled closing
time of the relevant stock exchange for such security or, if earlier, the actual closing time of the regular trading session of such relevant stock exchange or (ii) with respect to the MSCI EAFE Index and the MSCI Emerging Markets Index, the
time at which the official closing level of the basket component is calculated and published by the relevant index sponsor) on such date of each security included in such basket component. As used herein, closing price means, with
respect to any security on any date, the relevant stock exchange traded or quoted price of such security as of (i) with respect to the S&P 500 Index, the S&P MidCap 400 Index or the Russell 2000 Index, the scheduled closing time of the
relevant stock exchange for such security or, if earlier, the actual closing time of the regular trading session of such relevant stock exchange or (ii) with respect to the MSCI EAFE Index and the MSCI Emerging Markets Index, the time at which
the official closing level of such basket component is calculated and published by the relevant index sponsor. Notwithstanding a postponement of a calculation day for a particular basket component due to a market disruption event with respect to
such basket component, the originally scheduled calculation day will remain the calculation day for any basket component not affected by a market disruption event.
Adjustments to a Basket Component
If at
any time a sponsor or publisher of a basket component (each, an index sponsor) makes a material change in the formula for or the method of calculating such basket component, or in any other way materially modifies such basket
component (other than a modification prescribed in the formula or method to maintain such basket component in the event of changes in constituent stock and capitalization and other routine events), then, from and after that time, the calculation
agent will, at the close of business in New York, New York, on each date that the closing level of such basket component is to be calculated, calculate a substitute closing level of such basket component in accordance with the formula for and method
of calculating such basket component last in effect prior to the change, but using only those securities that comprised such basket component immediately prior to that change. Accordingly, if the method of calculating a basket component is modified
so that the level of such basket component is a fraction or a multiple of what it would have been if it had not been modified, then the calculation agent will adjust such basket component in order to arrive at a level of such basket component as if
it had not been modified.
Discontinuance of a Basket Component
If an index sponsor discontinues publication of a basket component, and such index sponsor or another entity publishes a successor or
substitute equity index that the calculation agent determines, in its sole discretion, to be comparable to such basket component (a successor basket component), then, upon the calculation agents notification of that
determination to the trustee and Wells Fargo, the calculation agent will substitute the successor basket component as calculated by the relevant index sponsor or any other entity and calculate the closing level of such basket component as described
above. Upon any selection by the calculation agent of a successor basket component, Wells Fargo will cause notice to be given to holders of the securities.
In the event that an index sponsor discontinues publication of a basket component prior to, and the discontinuance is continuing on, a
calculation day and the calculation agent determines that no successor basket component is available at such time, the calculation agent will calculate a substitute closing level for such basket component in accordance with the formula for and
method of calculating such basket component last in effect prior to the discontinuance, but using only those securities that comprised such basket component immediately prior to that discontinuance. If a successor basket component is selected or the
calculation agent calculates a level as a substitute for such basket component, the successor basket component or level will be used as a substitute for that basket component for all purposes, including the purpose of determining whether a market
disruption event exists.
If on a calculation day the index sponsor of a basket component fails to calculate and announce the level of such
basket component, the calculation agent will calculate a substitute closing level of such basket component in accordance with the formula for and method of calculating such basket component last in effect prior to the failure, but using only those
securities that comprised such basket component immediately prior to that failure; provided that, if a market disruption event occurs or is continuing on such day, then the provisions set forth above under Market Disruption
Events shall apply in lieu of the foregoing.
Notwithstanding these alternative arrangements, discontinuance of the publication of,
or the failure by the relevant index sponsor to calculate and announce the level of, a basket component may adversely affect the value of the securities.
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 redemption amount,
calculated as provided herein; provided, however, that the redemption amount will be calculated using (i) for purposes of determining the final ending level, the closing levels of each basket component on the date of acceleration
and (ii) for purposes of determining the average ending level, (A) the closing levels of each basket component determined on the calculation day(s) that occurred before the date of acceleration and (B) the closing levels of each
basket component on each of the trading days for such basket component leading up to and including the date of acceleration in such number equal to the number of calculation days scheduled to occur on or after the date of acceleration.
PRS-28
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
|
Hypothetical Historical Performance of the Basket |
The Basket will represent a weighted portfolio of the following five basket components, with each basket
component having the weighting noted parenthetically: the S&P 500® Index (70%); the MSCI EAFE® Index (15%); the S&P MidCap 400® Index (8%); the MSCI Emerging Markets Index (4%); and the Russell 2000® Index (3%). The value of the Basket will increase or decrease
depending upon the performance of the basket components. The Basket does not reflect the performance of all major securities markets.
While historical information on the value of the Basket does not exist for dates prior to the pricing date, the following graph sets forth the
hypothetical historical daily values of the Basket for the period from January 1, 2005 to April 29, 2015 assuming that the Basket was constructed on January 1, 2005 with a starting level of 100 and that each of the basket components
had the applicable weighting as of such day. We obtained the closing levels and other information used by us in order to create the graph below from Bloomberg Financial Markets (Bloomberg), without independent verification.
The values of the Basket depicted in the graph below have been calculated in a manner that is different from the manner in which the average
ending level will be determined. The value of the Basket depicted on any date in the graph below is based on the closing level of each basket component on that date (relative to its closing level on January 1, 2005). By contrast, the average
ending level will be calculated based on the average of the closing levels of the basket components on calculation days (quarterly, beginning February 2018) (relative to the closing levels of the basket components on the pricing date).
The hypothetical historical basket values, as calculated solely for the purposes of the offering of the securities, fluctuated in the past and
may, in the future, experience significant fluctuations. Any historical upward or downward trend in the value of the Basket during any period shown below is not an indication that the percentage change in the value of the Basket is more likely to be
positive or negative during the term of the securities. The hypothetical historical values do not give an indication of future values of the Basket.
PRS-29
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
The S&P 500 Index is an equity index that is intended to provide an indication of the pattern of common
stock price movement in the large capitalization segment of the United States equity market. Wells Fargo & Company is one of the companies currently included in the S&P 500 Index. See Description of Equity IndicesThe S&P
500® Index in the accompanying market measure supplement for additional information about the S&P 500 Index.
Historical Information
We obtained the
closing levels of the S&P 500 Index listed below from Bloomberg, without independent verification.
The following graph sets forth
daily closing levels of the S&P 500 Index for the period from January 1, 2005 to April 29, 2015. The closing level on April 29, 2015 was 2106.85. The historical performance of the S&P 500 Index should not be taken as an
indication of the future performance of the S&P 500 Index during the term of the securities.
PRS-30
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
|
The S&P 500® Index (Continued) |
The following table sets forth the high and low closing levels, as well as end-of-period
closing levels, of the S&P 500 Index for each quarter in the period from January 1, 2005 through March 31, 2015 and for the period from April 1, 2015 to April 29, 2015.
|
|
|
|
|
|
|
|
|
High |
|
Low |
|
Last |
|
|
|
|
|
|
|
2005 |
|
|
|
|
|
|
First Quarter |
|
1225.31 |
|
1163.75 |
|
1180.59 |
Second Quarter |
|
1216.96 |
|
1137.50 |
|
1191.33 |
Third Quarter |
|
1245.04 |
|
1194.44 |
|
1228.81 |
Fourth Quarter |
|
1272.74 |
|
1176.84 |
|
1248.29 |
2006 |
|
|
|
|
|
|
First Quarter |
|
1307.25 |
|
1254.78 |
|
1294.83 |
Second Quarter |
|
1325.76 |
|
1223.69 |
|
1270.20 |
Third Quarter |
|
1339.15 |
|
1234.49 |
|
1335.85 |
Fourth Quarter |
|
1427.09 |
|
1331.32 |
|
1418.30 |
2007 |
|
|
|
|
|
|
First Quarter |
|
1459.68 |
|
1374.12 |
|
1420.86 |
Second Quarter |
|
1539.18 |
|
1424.55 |
|
1503.35 |
Third Quarter |
|
1553.08 |
|
1406.70 |
|
1526.75 |
Fourth Quarter |
|
1565.15 |
|
1407.22 |
|
1468.36 |
2008 |
|
|
|
|
|
|
First Quarter |
|
1447.16 |
|
1273.37 |
|
1322.70 |
Second Quarter |
|
1426.63 |
|
1278.38 |
|
1280.00 |
Third Quarter |
|
1305.32 |
|
1106.39 |
|
1166.36 |
Fourth Quarter |
|
1161.06 |
|
752.44 |
|
903.25 |
2009 |
|
|
|
|
|
|
First Quarter |
|
934.70 |
|
676.53 |
|
797.87 |
Second Quarter |
|
946.21 |
|
811.08 |
|
919.32 |
Third Quarter |
|
1071.66 |
|
879.13 |
|
1057.08 |
Fourth Quarter |
|
1127.78 |
|
1025.21 |
|
1115.10 |
2010 |
|
|
|
|
|
|
First Quarter |
|
1174.17 |
|
1056.74 |
|
1169.43 |
Second Quarter |
|
1217.28 |
|
1030.71 |
|
1030.71 |
Third Quarter |
|
1148.67 |
|
1022.58 |
|
1141.20 |
Fourth Quarter |
|
1259.78 |
|
1137.03 |
|
1257.64 |
2011 |
|
|
|
|
|
|
First Quarter |
|
1343.01 |
|
1256.88 |
|
1325.83 |
Second Quarter |
|
1363.61 |
|
1265.42 |
|
1320.64 |
Third Quarter |
|
1353.22 |
|
1119.46 |
|
1131.42 |
Fourth Quarter |
|
1285.09 |
|
1099.23 |
|
1257.60 |
2012 |
|
|
|
|
|
|
First Quarter |
|
1416.51 |
|
1277.06 |
|
1408.47 |
Second Quarter |
|
1419.04 |
|
1278.04 |
|
1362.16 |
Third Quarter |
|
1465.77 |
|
1334.76 |
|
1440.67 |
Fourth Quarter |
|
1461.40 |
|
1353.33 |
|
1426.19 |
2013 |
|
|
|
|
|
|
First Quarter |
|
1569.19 |
|
1457.15 |
|
1569.19 |
Second Quarter |
|
1669.16 |
|
1541.61 |
|
1606.28 |
Third Quarter |
|
1725.52 |
|
1614.08 |
|
1681.55 |
Fourth Quarter |
|
1848.36 |
|
1655.45 |
|
1848.36 |
2014 |
|
|
|
|
|
|
First Quarter |
|
1878.04 |
|
1741.89 |
|
1872.34 |
Second Quarter |
|
1962.87 |
|
1815.69 |
|
1960.23 |
Third Quarter |
|
2011.36 |
|
1909.57 |
|
1972.29 |
Fourth Quarter |
|
2090.57 |
|
1862.49 |
|
2058.90 |
2015 |
|
|
|
|
|
|
First Quarter |
|
2117.39 |
|
1992.67 |
|
2067.89 |
April 1, 2015 to April 29, 2015 |
|
2117.69 |
|
2059.69 |
|
2106.85 |
PRS-31
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
The MSCI EAFE Index is an equity index that is designed to measure equity performance in developed markets,
excluding the United States and Canada. See Description of Equity IndicesThe MSCI EAFE® Index in the accompanying market measure supplement for additional information about
the MSCI EAFE Index.
Historical Information
We obtained the closing levels of the MSCI EAFE Index listed below from Bloomberg, without independent verification.
The following graph sets forth daily closing levels of the MSCI EAFE Index for the period from January 1, 2005 to April 29, 2015.
The closing level on April 29, 2015 was 1933.970. The historical performance of the MSCI EAFE Index should not be taken as an indication of the future performance of the MSCI EAFE Index during the term of the securities.
PRS-32
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
|
The MSCI EAFE® Index (Continued) |
The following table sets forth the high and low closing levels, as well as end-of-period
closing levels, of the MSCI EAFE Index for each quarter in the period from January 1, 2005 through March 31, 2015 and for the period from April 1, 2015 to April 29, 2015.
|
|
|
|
|
|
|
|
|
High |
|
Low |
|
Last |
|
|
|
|
|
|
|
2005 |
|
|
|
|
|
|
First Quarter |
|
1568.180 |
|
1462.160 |
|
1503.850 |
Second Quarter |
|
1518.070 |
|
1439.660 |
|
1473.720 |
Third Quarter |
|
1618.840 |
|
1450.180 |
|
1618.840 |
Fourth Quarter |
|
1696.070 |
|
1533.920 |
|
1680.130 |
2006 |
|
|
|
|
|
|
First Quarter |
|
1841.740 |
|
1684.060 |
|
1827.650 |
Second Quarter |
|
1980.260 |
|
1681.700 |
|
1822.880 |
Third Quarter |
|
1914.880 |
|
1708.450 |
|
1885.260 |
Fourth Quarter |
|
2074.480 |
|
1890.590 |
|
2074.480 |
2007 |
|
|
|
|
|
|
First Quarter |
|
2182.600 |
|
2030.000 |
|
2147.510 |
Second Quarter |
|
2285.360 |
|
2152.130 |
|
2262.240 |
Third Quarter |
|
2335.700 |
|
2039.860 |
|
2300.380 |
Fourth Quarter |
|
2388.740 |
|
2179.990 |
|
2253.360 |
2008 |
|
|
|
|
|
|
First Quarter |
|
2253.360 |
|
1913.530 |
|
2038.620 |
Second Quarter |
|
2206.720 |
|
1957.230 |
|
1967.190 |
Third Quarter |
|
1934.390 |
|
1553.150 |
|
1553.150 |
Fourth Quarter |
|
1568.200 |
|
1044.230 |
|
1237.420 |
2009 |
|
|
|
|
|
|
First Quarter |
|
1281.020 |
|
911.390 |
|
1056.230 |
Second Quarter |
|
1361.360 |
|
1071.100 |
|
1307.160 |
Third Quarter |
|
1580.580 |
|
1251.650 |
|
1552.840 |
Fourth Quarter |
|
1617.990 |
|
1496.750 |
|
1580.770 |
2010 |
|
|
|
|
|
|
First Quarter |
|
1642.200 |
|
1451.530 |
|
1584.280 |
Second Quarter |
|
1636.190 |
|
1305.120 |
|
1348.110 |
Third Quarter |
|
1570.360 |
|
1337.850 |
|
1561.010 |
Fourth Quarter |
|
1675.070 |
|
1535.130 |
|
1658.300 |
2011 |
|
|
|
|
|
|
First Quarter |
|
1758.970 |
|
1597.150 |
|
1702.550 |
Second Quarter |
|
1809.610 |
|
1628.030 |
|
1708.080 |
Third Quarter |
|
1727.430 |
|
1331.350 |
|
1373.330 |
Fourth Quarter |
|
1560.850 |
|
1310.150 |
|
1412.550 |
2012 |
|
|
|
|
|
|
First Quarter |
|
1586.110 |
|
1405.100 |
|
1553.460 |
Second Quarter |
|
1570.080 |
|
1308.010 |
|
1423.380 |
Third Quarter |
|
1569.910 |
|
1363.520 |
|
1510.760 |
Fourth Quarter |
|
1618.920 |
|
1467.330 |
|
1604.000 |
2013 |
|
|
|
|
|
|
First Quarter |
|
1713.660 |
|
1604.150 |
|
1674.300 |
Second Quarter |
|
1781.840 |
|
1598.660 |
|
1638.940 |
Third Quarter |
|
1844.390 |
|
1645.230 |
|
1818.230 |
Fourth Quarter |
|
1915.600 |
|
1790.270 |
|
1915.600 |
2014 |
|
|
|
|
|
|
First Quarter |
|
1940.230 |
|
1796.860 |
|
1915.690 |
Second Quarter |
|
1992.690 |
|
1882.240 |
|
1972.120 |
Third Quarter |
|
1995.490 |
|
1846.080 |
|
1846.080 |
Fourth Quarter |
|
1848.790 |
|
1714.640 |
|
1774.890 |
2015 |
|
|
|
|
|
|
First Quarter |
|
1900.900 |
|
1697.010 |
|
1849.340 |
April 1, 2015 to April 29, 2015 |
|
1948.200 |
|
1851.870 |
|
1933.970 |
PRS-33
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
|
The S&P MidCap 400® Index |
The S&P MidCap 400 Index is an equity index that is intended to provide an indication of the pattern of
common stock price movement in the mid-sized capitalization segment of the United States equity market. See Description of Equity IndicesThe S&P MidCap 400® Index in the
accompanying market measure supplement for additional information about the S&P MidCap 400 Index.
Historical Information
We obtained the closing levels of the S&P MidCap 400 Index listed below from Bloomberg, without independent verification.
The following graph sets forth daily closing levels of the S&P MidCap 400 Index for the period from January 1, 2005 to April 29,
2015. The closing level on April 29, 2015 was 1518.59. The historical performance of the S&P MidCap 400 Index should not be taken as an indication of the future performance of the S&P MidCap 400 Index during the term of the securities.
PRS-34
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
|
The S&P MidCap 400® Index (Continued) |
The following table sets forth the high and low closing levels, as well as end-of-period
closing levels, of the S&P MidCap 400 Index for each quarter in the period from January 1, 2005 through March 31, 2015 and for the period from April 1, 2015 to April 29, 2015.
|
|
|
|
|
|
|
|
|
High |
|
Low |
|
Last |
|
|
|
|
|
|
|
2005 |
|
|
|
|
|
|
First Quarter |
|
682.42 |
|
629.91 |
|
658.87 |
Second Quarter |
|
693.28 |
|
627.38 |
|
684.94 |
Third Quarter |
|
725.02 |
|
689.88 |
|
716.33 |
Fourth Quarter |
|
749.61 |
|
672.12 |
|
738.05 |
2006 |
|
|
|
|
|
|
First Quarter |
|
792.11 |
|
749.02 |
|
792.11 |
Second Quarter |
|
817.95 |
|
716.62 |
|
764.87 |
Third Quarter |
|
770.44 |
|
712.86 |
|
754.25 |
Fourth Quarter |
|
820.37 |
|
748.13 |
|
804.37 |
2007 |
|
|
|
|
|
|
First Quarter |
|
867.61 |
|
800.40 |
|
848.47 |
Second Quarter |
|
925.90 |
|
852.41 |
|
895.51 |
Third Quarter |
|
926.23 |
|
819.97 |
|
885.06 |
Fourth Quarter |
|
917.18 |
|
821.32 |
|
858.20 |
2008 |
|
|
|
|
|
|
First Quarter |
|
847.56 |
|
744.89 |
|
779.51 |
Second Quarter |
|
897.27 |
|
797.80 |
|
818.99 |
Third Quarter |
|
824.99 |
|
698.21 |
|
727.29 |
Fourth Quarter |
|
718.88 |
|
417.12 |
|
538.28 |
2009 |
|
|
|
|
|
|
First Quarter |
|
559.37 |
|
404.62 |
|
489.00 |
Second Quarter |
|
598.71 |
|
494.45 |
|
578.14 |
Third Quarter |
|
706.30 |
|
546.53 |
|
691.02 |
Fourth Quarter |
|
739.71 |
|
659.15 |
|
726.67 |
2010 |
|
|
|
|
|
|
First Quarter |
|
799.95 |
|
692.52 |
|
789.90 |
Second Quarter |
|
849.82 |
|
711.73 |
|
711.73 |
Third Quarter |
|
802.10 |
|
700.16 |
|
802.10 |
Fourth Quarter |
|
913.20 |
|
795.50 |
|
907.25 |
2011 |
|
|
|
|
|
|
First Quarter |
|
989.05 |
|
909.76 |
|
989.05 |
Second Quarter |
|
1015.26 |
|
929.57 |
|
978.64 |
Third Quarter |
|
1011.65 |
|
775.07 |
|
781.26 |
Fourth Quarter |
|
912.99 |
|
744.98 |
|
879.16 |
2012 |
|
|
|
|
|
|
First Quarter |
|
1005.22 |
|
885.52 |
|
994.30 |
Second Quarter |
|
1001.65 |
|
891.32 |
|
941.64 |
Third Quarter |
|
1026.85 |
|
914.97 |
|
989.02 |
Fourth Quarter |
|
1030.15 |
|
945.96 |
|
1020.43 |
2013 |
|
|
|
|
|
|
First Quarter |
|
1153.68 |
|
1046.32 |
|
1153.68 |
Second Quarter |
|
1214.89 |
|
1104.79 |
|
1160.82 |
Third Quarter |
|
1257.72 |
|
1170.68 |
|
1243.85 |
Fourth Quarter |
|
1342.53 |
|
1222.86 |
|
1342.53 |
2014 |
|
|
|
|
|
|
First Quarter |
|
1389.21 |
|
1265.61 |
|
1378.50 |
Second Quarter |
|
1432.94 |
|
1318.50 |
|
1432.94 |
Third Quarter |
|
1445.16 |
|
1365.31 |
|
1370.97 |
Fourth Quarter |
|
1474.40 |
|
1288.10 |
|
1452.44 |
2015 |
|
|
|
|
|
|
First Quarter |
|
1539.61 |
|
1410.91 |
|
1524.03 |
April 1, 2015 to April 29, 2015 |
|
1540.20 |
|
1515.80 |
|
1518.59 |
PRS-35
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
|
The MSCI Emerging Markets IndexSM |
The MSCI Emerging Markets Index is an equity index that is designed to measure equity market performance in
the global emerging markets. See Description of Equity IndicesThe MSCI Emerging Markets IndexSM in the accompanying market measure supplement for additional information about the
MSCI Emerging Markets Index.
Historical Information
We obtained the closing levels of the MSCI Emerging Markets Index listed below from Bloomberg, without independent verification.
The following graph sets forth daily closing levels of the MSCI Emerging Markets Index for the period from January 1, 2005 to
April 29, 2015. The closing level on April 29, 2015 was 1059.51. The historical performance of the MSCI Emerging Markets Index should not be taken as an indication of the future performance of the MSCI Emerging Markets Index during the
term of the securities.
PRS-36
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
|
The MSCI Emerging Markets IndexSM (Continued) |
The following table sets forth the high and low closing levels, as well as end-of-period
closing levels, of the MSCI Emerging Markets Index for each quarter in the period from January 1, 2005 through March 31, 2015 and for the period from April 1, 2015 to April 29, 2015.
|
|
|
|
|
|
|
|
|
High |
|
Low |
|
Last |
|
|
|
|
|
|
|
2005 |
|
|
|
|
|
|
First Quarter |
|
588.68 |
|
518.25 |
|
548.69 |
Second Quarter |
|
572.22 |
|
526.39 |
|
565.17 |
Third Quarter |
|
661.32 |
|
562.60 |
|
661.32 |
Fourth Quarter |
|
707.68 |
|
603.73 |
|
706.48 |
2006 |
|
|
|
|
|
|
First Quarter |
|
791.85 |
|
707.01 |
|
787.80 |
Second Quarter |
|
881.51 |
|
665.27 |
|
747.54 |
Third Quarter |
|
789.96 |
|
710.33 |
|
778.16 |
Fourth Quarter |
|
912.65 |
|
774.38 |
|
912.65 |
2007 |
|
|
|
|
|
|
First Quarter |
|
943.88 |
|
844.18 |
|
929.03 |
Second Quarter |
|
1066.99 |
|
928.13 |
|
1059.69 |
Third Quarter |
|
1204.90 |
|
956.86 |
|
1204.90 |
Fourth Quarter |
|
1338.49 |
|
1183.93 |
|
1245.59 |
2008 |
|
|
|
|
|
|
First Quarter |
|
1245.95 |
|
1041.06 |
|
1104.58 |
Second Quarter |
|
1249.73 |
|
1084.79 |
|
1087.12 |
Third Quarter |
|
1068.75 |
|
767.84 |
|
786.92 |
Fourth Quarter |
|
786.17 |
|
454.34 |
|
567.04 |
2009 |
|
|
|
|
|
|
First Quarter |
|
607.40 |
|
475.08 |
|
569.97 |
Second Quarter |
|
802.21 |
|
580.76 |
|
761.30 |
Third Quarter |
|
922.31 |
|
723.05 |
|
914.05 |
Fourth Quarter |
|
989.47 |
|
901.39 |
|
989.47 |
2010 |
|
|
|
|
|
|
First Quarter |
|
1028.07 |
|
894.07 |
|
1010.33 |
Second Quarter |
|
1047.51 |
|
855.52 |
|
917.99 |
Third Quarter |
|
1075.53 |
|
909.30 |
|
1075.53 |
Fourth Quarter |
|
1155.94 |
|
1075.85 |
|
1151.38 |
2011 |
|
|
|
|
|
|
First Quarter |
|
1170.87 |
|
1087.10 |
|
1170.87 |
Second Quarter |
|
1206.49 |
|
1098.33 |
|
1146.22 |
Third Quarter |
|
1169.49 |
|
851.51 |
|
880.43 |
Fourth Quarter |
|
1010.12 |
|
831.22 |
|
916.39 |
2012 |
|
|
|
|
|
|
First Quarter |
|
1079.94 |
|
917.08 |
|
1041.45 |
Second Quarter |
|
1055.63 |
|
882.46 |
|
937.35 |
Third Quarter |
|
1014.07 |
|
905.65 |
|
1002.66 |
Fourth Quarter |
|
1055.20 |
|
969.82 |
|
1055.20 |
2013 |
|
|
|
|
|
|
First Quarter |
|
1082.68 |
|
1015.47 |
|
1034.90 |
Second Quarter |
|
1061.09 |
|
883.34 |
|
940.33 |
Third Quarter |
|
1022.54 |
|
905.96 |
|
987.46 |
Fourth Quarter |
|
1044.66 |
|
979.88 |
|
1002.69 |
2014 |
|
|
|
|
|
|
First Quarter |
|
1002.66 |
|
916.56 |
|
994.65 |
Second Quarter |
|
1057.59 |
|
993.12 |
|
1050.78 |
Third Quarter |
|
1100.98 |
|
1005.33 |
|
1005.33 |
Fourth Quarter |
|
1016.07 |
|
909.98 |
|
956.31 |
2015 |
|
|
|
|
|
|
First Quarter |
|
993.82 |
|
934.73 |
|
974.57 |
April 1, 2015 to April 29, 2015 |
|
1067.01 |
|
982.93 |
|
1059.51 |
PRS-37
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
The Russell 2000 Index is an equity index that is designed to track the performance of the small
capitalization segment of the United States equity market. See Description of Equity IndicesThe Russell 2000® Index in the accompanying market measure supplement for
additional information about the Russell 2000 Index.
Historical Information
We obtained the closing levels of the Russell 2000 Index listed below from Bloomberg, without independent verification.
The following graph sets forth daily closing levels of the Russell 2000 Index for the period from January 1, 2005 to April 29, 2015.
The closing level on April 29, 2015 was 1246.955. The historical performance of the Russell 2000 Index should not be taken as an indication of the future performance of the Russell 2000 Index during the term of the securities.
PRS-38
Access Securities with Upside Participation (Averaging) and Buffered
Downside with Multiplier
Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
|
The Russell 2000® Index (Continued) |
The following table sets forth the high and low closing levels, as well as end-of-period
closing levels, of the Russell 2000 Index for each quarter in the period from January 1, 2005 through March 31, 2015 and for the period from April 1, 2015 to April 29, 2015.
|
|
|
|
|
|
|
|
|
High |
|
Low |
|
Last |
|
|
|
|
|
|
|
2005 |
|
|
|
|
|
|
First Quarter |
|
644.950 |
|
604.530 |
|
615.070 |
Second Quarter |
|
644.190 |
|
575.020 |
|
639.660 |
Third Quarter |
|
688.510 |
|
643.040 |
|
667.800 |
Fourth Quarter |
|
690.570 |
|
621.570 |
|
673.220 |
2006 |
|
|
|
|
|
|
First Quarter |
|
765.140 |
|
684.050 |
|
765.140 |
Second Quarter |
|
781.830 |
|
672.720 |
|
724.670 |
Third Quarter |
|
734.479 |
|
671.940 |
|
725.594 |
Fourth Quarter |
|
797.732 |
|
718.352 |
|
787.664 |
2007 |
|
|
|
|
|
|
First Quarter |
|
829.438 |
|
760.063 |
|
800.710 |
Second Quarter |
|
855.092 |
|
803.218 |
|
833.699 |
Third Quarter |
|
855.774 |
|
751.544 |
|
805.450 |
Fourth Quarter |
|
845.720 |
|
735.066 |
|
766.031 |
2008 |
|
|
|
|
|
|
First Quarter |
|
753.548 |
|
643.966 |
|
687.967 |
Second Quarter |
|
763.266 |
|
686.073 |
|
689.659 |
Third Quarter |
|
754.377 |
|
657.718 |
|
679.583 |
Fourth Quarter |
|
671.590 |
|
385.308 |
|
499.453 |
2009 |
|
|
|
|
|
|
First Quarter |
|
514.710 |
|
343.260 |
|
422.748 |
Second Quarter |
|
531.680 |
|
429.158 |
|
508.281 |
Third Quarter |
|
620.695 |
|
479.267 |
|
604.278 |
Fourth Quarter |
|
634.072 |
|
562.395 |
|
625.389 |
2010 |
|
|
|
|
|
|
First Quarter |
|
690.303 |
|
586.491 |
|
678.643 |
Second Quarter |
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741.922 |
|
609.486 |
|
609.486 |
Third Quarter |
|
677.642 |
|
590.034 |
|
676.139 |
Fourth Quarter |
|
792.347 |
|
669.450 |
|
783.647 |
2011 |
|
|
|
|
|
|
First Quarter |
|
843.549 |
|
773.184 |
|
843.549 |
Second Quarter |
|
865.291 |
|
777.197 |
|
827.429 |
Third Quarter |
|
858.113 |
|
643.421 |
|
644.156 |
Fourth Quarter |
|
765.432 |
|
609.490 |
|
740.916 |
2012 |
|
|
|
|
|
|
First Quarter |
|
846.129 |
|
747.275 |
|
830.301 |
Second Quarter |
|
840.626 |
|
737.241 |
|
798.487 |
Third Quarter |
|
864.697 |
|
767.751 |
|
837.450 |
Fourth Quarter |
|
852.495 |
|
769.483 |
|
849.350 |
2013 |
|
|
|
|
|
|
First Quarter |
|
953.068 |
|
872.605 |
|
951.542 |
Second Quarter |
|
999.985 |
|
901.513 |
|
977.475 |
Third Quarter |
|
1078.409 |
|
989.535 |
|
1073.786 |
Fourth Quarter |
|
1163.637 |
|
1043.459 |
|
1163.637 |
2014 |
|
|
|
|
|
|
First Quarter |
|
1208.651 |
|
1093.594 |
|
1173.038 |
Second Quarter |
|
1192.964 |
|
1095.986 |
|
1192.964 |
Third Quarter |
|
1208.150 |
|
1101.676 |
|
1101.676 |
Fourth Quarter |
|
1219.109 |
|
1049.303 |
|
1204.696 |
2015 |
|
|
|
|
|
|
First Quarter |
|
1266.373 |
|
1154.709 |
|
1252.772 |
April 1, 2015 to April 29, 2015 |
|
1275.350 |
|
1246.955 |
|
1246.955 |
PRS-39
Access Securities with Upside Participation (Averaging) and Buffered
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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 plans 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. |
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. |
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
PRS-40
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ERISA Considerations (Continued) |
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.
Each purchaser or holder of the securities acknowledges and agrees that:
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(i) |
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 holders 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) |
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) |
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) |
our interests may be adverse to the interests of the purchaser or holder; and |
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(v) |
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. |
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
PRS-41
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United States Federal Tax Considerations |
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 in the initial offering at the issue price, which is the first price at which a substantial amount of the securities is sold to the
public, and hold the security as a capital asset within the meaning of Section 1221 of the Internal Revenue Code of 1986, as amended (the Code). It 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 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. |
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.
We will not attempt to ascertain whether any of the
issuers of the underlying stocks of the basket components (the underlying stocks) is treated as a U.S. real property holding corporation (USRPHC) within the meaning of Section 897 of the Code or
as a passive foreign investment company (PFIC) within the meaning of Section 1297 of the Code. If any of the issuers of the underlying stocks were so treated, certain adverse U.S. federal income tax consequences
might apply to you, in the case of a USRPHC if you are a non-U.S. holder (as defined below) and in the case of a PFIC if you are a U.S. holder (as defined below), upon the sale, exchange or other disposition of the securities. You should refer to
information filed with the Securities and Exchange Commission or another governmental authority by the issuers of the underlying stocks and consult your tax adviser regarding the possible consequences to you if any of the issuers of the underlying
stocks is or becomes a USRPHC or PFIC.
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 or the potential application of the Medicare tax on investment income. You should consult your tax adviser concerning the application of 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
In the
opinion of our counsel, Davis Polk & Wardwell LLP, which is based on current market conditions, a security should be treated as a prepaid derivative contract that is an open transaction for U.S. federal income tax purposes. By
purchasing a security, you agree (in the absence of an administrative determination or judicial ruling to the contrary) to this treatment.
Due to the absence of statutory, judicial or administrative authorities that directly address the U.S. federal tax treatment of the
securities or similar instruments, significant aspects of the treatment of an investment in the securities are uncertain. We do not plan to request a ruling from the IRS, and the IRS or a court might not agree with the treatment described below.
Accordingly, you should consult your tax adviser regarding all aspects of the U.S. federal income and estate tax consequences of an investment in the securities and with respect to any tax consequences arising under the laws of any state, local or
non-U.S. taxing jurisdiction. Unless otherwise indicated, the following discussion is based on the treatment of the securities as prepaid derivative contracts that are open transactions.
PRS-42
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|
United States Federal Tax Considerations (Continued) |
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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a corporation, or other entity taxable as a corporation, created or organized in or under the laws of the United States, any state therein 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. |
Tax Treatment Prior to Maturity. You generally should not be required to recognize income over the term of the securities prior to
maturity, other than pursuant to a sale, exchange or retirement as described below. However, if on any calculation day it becomes impossible for you to receive less than your principal amount, the IRS could assert that you should be viewed as having
exchanged your securities for new securities, in which case you could be required to recognize gain at that time, and the timing and character of income or loss with respect to your securities could thereafter be affected. You should consult your
tax adviser regarding this potential issue.
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. 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 at the time of the sale, exchange or retirement you held the securities for more than one year, and short-term capital gain or loss
otherwise. Long-term capital gains recognized by non-corporate U.S. holders are generally subject to taxation at reduced rates. The deductibility of capital losses is subject to certain limitations. This discussion is subject to the discussion in
the previous section about potential consequences should it become impossible for you to receive less than your principal amount on the securities.
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 issued by
us. Under this treatment, the securities would be governed by Treasury regulations relating to the taxation of contingent payment debt instruments. In that case, regardless of your method of accounting for U.S. federal income tax purposes, you would
be required to accrue income based on our comparable yield for similar non-contingent debt, determined as of the time of issuance of the securities, in each year that you held the securities, even though we are not required to make any payment with
respect to the securities prior to maturity. In addition, any gain recognized on the sale, exchange or retirement of the securities would be treated as ordinary income.
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 holders of 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; and 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. While the notice
requests comments on appropriate transition rules and effective dates, 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; |
PRS-43
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Principal at Risk Securities Linked to a Global Equity Index Basket due May 28, 2019
|
United States Federal Tax Considerations (Continued) |
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a foreign corporation; or |
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a foreign estate or trust. |
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 or (ii) a former citizen or resident of 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.
Sale, Exchange or Retirement of the Securities. Subject to the
possible application of Section 897 of the Code, you generally should not be subject to U.S. federal income or withholding tax in respect of amounts paid to you, provided that income in respect of the securities is not effectively connected
with your conduct of a trade or business in the United States.
If you are engaged in a U.S. trade or business, and if income from the
securities is effectively connected with the conduct of that trade or business, you generally will be subject to regular U.S. federal income tax with respect to that income in the same manner as if you were a U.S. holder, unless an applicable income
tax treaty provides otherwise. If you are such a non-U.S. holder and you are a corporation, you should also consider the potential application of a 30% (or lower treaty rate) branch profits tax.
Tax Consequences Under Possible Alternative Treatments. If all or any portion of a security were recharacterized as a debt instrument,
subject to the possible application of Section 897 of the Code and the discussion below regarding FATCA, any payment made to you with respect to the security generally should not be subject to U.S. federal income or withholding tax, provided
that: (i) income or gain in respect of the security is not effectively connected with your conduct of a trade or business in the United States, and (ii) you provide an appropriate IRS Form W-8 certifying under penalties of perjury that you
are not a United States person.
Other U.S. federal income tax treatments of the securities are also possible. 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. Among the issues addressed in the notice is the degree, if any, to which any
income with respect to instruments such as the securities should be subject to U.S. withholding tax. While the notice requests comments on appropriate transition rules and effective dates, it is possible that any Treasury regulations or other
guidance promulgated after consideration of these issues might materially and adversely affect the withholding tax consequences of an investment in the securities, possibly with retroactive effect. If withholding applies to the securities, we will
not be required to pay any additional amounts with respect to amounts withheld. Accordingly, you should consult your tax adviser regarding the issues presented by the notice.
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 individuals 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, the securities 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
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. entitys jurisdiction may modify these requirements. Pursuant to Treasury regulations and guidance from the U.S.
Treasury Department, this
PRS-44
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|
United States Federal Tax Considerations (Continued) |
legislation applies to certain financial instruments that are treated as paying U.S.-source interest or other U.S.-source fixed or determinable annual or periodical income
(FDAP income). Withholding (if applicable) applies to payments of U.S.-source FDAP income and, for dispositions after December 31, 2016, to payments of gross proceeds of the disposition (including upon retirement) of certain
financial instruments treated as providing for U.S.-source interest or dividends. If the securities were recharacterized as debt instruments, this legislation would apply to the securities. 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.
Prospective investors in the securities should consult their tax advisers regarding all aspects of the U.S.
federal income and estate tax consequences of an investment in the securities and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
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.
PRS-45
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