Additional Information
about the Issuer, the Guarantor and the Notes
You should read this pricing supplement together with
the market measure supplement dated May 18, 2018, the prospectus supplement dated May 18, 2018 and the prospectus dated April 5,
2019 for additional information about the notes. When you read the accompanying market measure supplement and prospectus supplement,
please note that all references in such supplements to the prospectus dated April 27, 2018, or to any sections therein, should
refer instead to the accompanying prospectus dated April 5, 2019 or to the corresponding sections of such prospectus, as applicable.
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.
When we refer to “we,” “us”
or “our” in this pricing supplement, we refer only to Wells Fargo Finance LLC and not to any of its affiliates, including
Wells Fargo & Company.
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):
Estimated Value of the Notes
The original offering price of each note includes
certain costs that are borne by you. Because of these costs, the estimated value of the notes on the trade date is less than the
original offering price. The costs included in the original offering price relate to selling, structuring, hedging and issuing
the notes, as well as to our funding considerations for debt of this type.
The costs related to selling, structuring, hedging
and issuing the notes include (i) the agent discount (if any), (ii) the projected profit that our hedge counterparty (which may
be one of our affiliates or a dealer participating in the distribution of the notes) expects to realize for assuming risks inherent
in hedging our obligations under the notes and (iii) hedging and other costs relating to the offering of the notes.
Our funding considerations take into account the higher
issuance, operational and ongoing management costs of market-linked debt such as the notes as compared to conventional debt of
Wells Fargo & Company of the same maturity, as well as our and our affiliates’ liquidity needs and preferences. Our funding
considerations are reflected in the fact that we determine the economic terms of the notes based on an assumed rate that is generally
lower than our internal funding rate, which is described below and is used in determining the estimated value of the notes.
If the costs relating to selling, structuring, hedging
and issuing the notes were lower, or if the assumed rate we use to determine the economic terms of the notes were higher, the economic
terms of the notes would be more favorable to you and the estimated value would be higher. The estimated value of the notes as
of the trade date is set forth on the cover page of this pricing supplement.
Determining the estimated value
Our affiliate, Wells Fargo Securities, LLC (“WFS”),
calculated the estimated value of the notes 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 notes by estimating the value of the combination of hypothetical financial instruments that would replicate
the payout on the notes, 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 notes (the “derivative component”).
The estimated value of the debt component is based
on an internal funding rate that reflects, among other things, our and our affiliates’ view of the funding value of the notes.
This rate is used for purposes of determining the estimated value of the notes since we expect secondary market prices, if any,
for the notes that are provided by WFS or any of its affiliates to generally reflect such rate. WFS determined the estimated value
of the notes based on this internal funding rate, rather than the assumed rate that we use to determine the economic terms of the
notes, for the same reason.
WFS calculated the estimated value of the derivative
component based on a proprietary derivative-pricing model, which generated a theoretical price for the derivative instruments that
constitute the derivative component based on various inputs, including the “derivative component factors” identified
in “Risk Factors—The Value Of The Notes 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 notes determined by WFS
is subject to important limitations. See “Risk Factors—The Estimated Value Of The Notes Is Determined By Our Affiliate’s
Pricing Models, Which May Differ From Those Of Other Dealers” and “Risk Factors—Our And The Guarantor’s
Economic Interests And Those Of Any Dealer Participating In The Offering Are Potentially Adverse To Your Interests.”
Valuation of the notes after issuance
The estimated value of the notes is not an indication
of the price, if any, at which WFS or any other person may be willing to buy the notes from you in the secondary market. The price,
if any, at which WFS or any of its affiliates may purchase the notes in the secondary market will be based upon WFS’s proprietary
pricing models and will fluctuate over the term of the notes 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 trade date because the secondary market price will be
reduced by a bid-offer spread, which may vary depending on the aggregate principal amount of the notes 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 notes is likely to be less than
the original offering price.
If WFS or any of its affiliates makes a secondary
market in the notes at any time up to the original issue date or during the 3-month period following the trade 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 notes that are included in the original offering price. Because this portion
of the costs is not fully deducted upon issuance, any
secondary market price offered by WFS or any of its affiliates during this
period will be higher than it would be if it were based solely on WFS’s proprietary pricing models less the bid-offer spread
and hedging unwind costs described above. The amount of this increase in the secondary market price will decline steadily to zero
over this 3-month period. If you hold the notes 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 notes on your brokerage account statement.
If WFS or any of its affiliates makes a secondary
market in the notes, WFS expects to provide those secondary market prices to any unaffiliated broker-dealers through which the
notes are held and to commercial pricing vendors. If you hold your notes through an account at a broker-dealer other than WFS or
any of its affiliates, that broker-dealer may obtain market prices for the notes from WFS (directly or indirectly), but could also
obtain such market prices from other sources, and may be willing to purchase the notes 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 notes. As a result, if you hold your notes through
an account at a broker-dealer other than WFS or any of its affiliates, the value of the notes on your brokerage account statement
may be different than if you held your notes at WFS or any of its affiliates.
The notes will not be listed or displayed on any securities
exchange or any automated quotation system. Although WFS and/or its affiliates may buy the notes from investors, they are not obligated
to do so and are not required to make a market for the notes. There can be no assurance that a secondary market will develop.
Investor Considerations
We have designed the notes for investors who:
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seek the potential for an unleveraged positive return at maturity based on either the appreciation
or the depreciation of the underlier, but only if a barrier event does not occur;
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understand that any positive return on the notes based on appreciation of the underlier will effectively
be capped at 17% and any positive return on the notes based on depreciation of the underlier will be capped at 25%, regardless
of the appreciation or depreciation of the underlier, which may be significant;
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understand that, if a barrier event does occur, you will not receive any positive return on the
notes, regardless of the final underlier level;
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understand that the potential for a positive return based on the appreciation or depreciation of
the underlier will terminate if the closing level of the underlier is greater than the upper barrier level or lower than the lower
barrier level on any trading day during the measurement period (i.e., if a barrier event has occurred);
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desire repayment of the principal amount at maturity regardless of the performance of the underlier;
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are willing to forgo interest payments on the notes and dividends on the securities included in
the underlier; and
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are willing to hold the notes until maturity.
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The notes 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 notes to maturity;
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seek certainty of receiving a positive return on their investment;
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seek uncapped exposure to the performance of the underlier;
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are unwilling to purchase notes with an estimated value as of the trade date that is lower than
the original offering price, as set forth on the cover page;
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are unwilling to accept the risk of exposure to the large-capitalization segment of the United
States equity market;
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seek exposure to the underlier but are unwilling to accept the risk/return trade-offs inherent
in the payment at stated maturity for the notes;
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are unwilling to accept the credit risk of Wells Fargo Finance LLC and Wells Fargo & Company
to obtain exposure to the underlier generally, or to the exposure to the underlier that the notes 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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Hypothetical
Payout Profile
The following profile is based on an upper barrier
level of 117% of the initial underlier level and a lower barrier level of 75% of the initial underlier level. This graph has
been prepared for purposes of illustration only. Your actual return will depend on the actual final underlier level, whether or
not a barrier event has occurred and whether you hold your notes to maturity.
Risk Factors
The notes have complex features and investing in the
notes 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 notes 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 notes in light of your particular circumstances.
You May Not Receive Any Positive Return On The
Notes.
If a barrier event has occurred, you will not receive
any positive return on the notes. If a barrier event has not occurred, your return will be based on the percentage increase or
decrease in the underlier from the initial underlier level to the final underlier level. Even if a barrier event has not occurred,
the amount you receive at stated maturity may only be equal to or slightly greater than the principal amount and your yield on
the notes may be less than the yield you would earn if you bought a traditional interest-bearing debt security of Wells Fargo Finance
LLC or another issuer with a similar credit rating with the same stated maturity date.
The Potential Return On The Notes Is Limited
Because you will participate in the appreciation or
deprecation of the underlier only if a barrier event does not occur, the upper barrier level and lower barrier level are effectively
caps on the return at maturity. Any positive return on the notes based on appreciation of the underlier will be capped at 17%
and any positive return on the notes based on depreciation of the underlier will be capped at 25%, regardless of the appreciation
or depreciation of the underlier, which may be significant.
If a barrier event occurs, there will be no positive
return at maturity and you will receive only the principal amount per note.
The Potential For A Positive Return Based On The
Appreciation Or Depreciation Of The Underlier May Terminate On Any Trading Day During The Measurement Period.
The notes provide
the potential for an unleveraged positive return at maturity based on either the appreciation of the underlier or the depreciation
of the underlier, but only if a barrier event does not occur. A barrier event will occur if the closing level of the underlier
is greater than the upper barrier level or less than the lower barrier level on any trading day during the measurement
period. The measurement period comprises each trading day following the trade date up to
and including the determination date. If a barrier event occurs, you will not participate in any appreciation or depreciation of
the underlier and you will receive only the principal amount at maturity, even if the closing level of the underlier falls outside
the barrier levels only briefly.
The Return On The Notes May Change Significantly
Despite Only A Small Change In The Closing Level Of The Underlier.
The return on the notes may change significantly
despite only a small change in the closing level of the underlier. If a barrier event occurs, you will not receive any positive
return on the notes even if the final underlier level significantly exceeds the initial underlier level.
This means that, based on the upper barrier level
of 117% of the initial underlier level, while an increase in the level of the underlier of 17% will not cause a barrier event
to occur, an increase of more than 17% will cause a barrier event to occur and you will not receive any positive return on the
notes. Accordingly, if a barrier event occurs and the underlier return is positive, the return on the notes will be less, and perhaps
significantly less, than the return you could have earned if you invested directly in the stocks included in the underlier.
Similarly, if a barrier event occurs and the final
underlier level is less than the initial underlier level, you will not receive any positive return on the notes and you will not
receive the benefit of the absolute underlier return. This means that, based on the lower barrier of 75% of the initial underlier
level, while a decrease in the level of the underlier of 25% will not cause a barrier event to occur, a decrease of more than 25%
will cause a barrier event to occur and you will not receive any positive return on the notes. Accordingly, if a barrier event
occurs and the underlier return is negative, you will not receive the benefit of the absolute underlier return.
You Will Be Required To Recognize Taxable Income
On The Notes Prior To Maturity.
If you are a U.S. holder of a note, you will be required
to recognize taxable interest income in each year that you hold the note, even though you will not receive any payment in respect
of the note prior to maturity (or earlier sale, exchange or retirement). In addition, any gain you recognize will be treated as
ordinary interest income rather than capital gain. You should review the section of this pricing supplement entitled “United
States Federal Tax Considerations.”
The Notes Are Subject To Credit Risk.
The notes are our obligations, are fully and unconditionally
guaranteed by the Guarantor and are not, either directly or indirectly, an obligation of any other third party. Any amounts payable
under the notes are subject to creditworthiness, and you will have no ability to pursue any securities included in the underlier
for payment. As a result, our and the Guarantor’s actual and perceived creditworthiness may affect the value of the notes
and, in the event we and the Guarantor were to default on the obligations under the notes and the guarantee, you may not receive
any amounts owed to you under the terms of the notes.
As A Finance Subsidiary, We Have No Independent
Operations And Will Have No Independent Assets.
As a finance subsidiary, we have no independent operations
beyond the issuance and administration of our securities and will have no independent assets available for distributions to the
holders of our securities, including the notes, if they make claims in respect of such securities in a bankruptcy, resolution or
similar proceeding. Accordingly, any recoveries by such holders will be limited to those available under the related guarantee
by the Guarantor and that guarantee will rank pari passu with all other unsecured, unsubordinated obligations of the Guarantor.
Holders will have recourse only to a single claim against the Guarantor and its assets under the guarantee. Holders of the notes
should accordingly assume that in any such proceedings they would not have any priority over and should be treated pari passu
with the claims of other unsecured, unsubordinated creditors of the Guarantor, including holders of unsecured, unsubordinated debt
securities issued by the Guarantor.
Holders Of The Notes Have Limited Rights Of Acceleration.
Payment of principal on the notes may be accelerated
only in the case of payment defaults that continue for a period of 30 days, certain events of bankruptcy or insolvency relating
to Wells Fargo Finance LLC only, whether voluntary or involuntary, certain situations under which the guarantee ceases to be in
full force and effect or if the Guarantor denies or disaffirms its obligations under the guarantee. If you purchase the notes,
you will have no right to accelerate the payment of principal on the notes if we fail in the performance of any of our obligations
under the notes, other than the obligations to pay principal and interest on the notes. See “Description of Debt Securities
of Wells Fargo Finance LLC—Events of Default and Covenant Breaches” in the accompanying prospectus.
Holders Of The Notes Could Be At Greater Risk For
Being Structurally Subordinated If Either We Or The Guarantor Convey, Transfer Or Lease All Or Substantially All Of Our Or Its
Assets To One Or More Of The Guarantor’s Subsidiaries.
Under the indenture, we may convey, transfer or lease
all or substantially all of our assets to one or more of the Guarantor’s subsidiaries. Similarly, the Guarantor may convey,
transfer or lease all or substantially all of its assets to one or more of its subsidiaries. In either case, third-party creditors
of the Guarantor’s subsidiaries would have additional assets from which to recover on their claims while holders of the notes
would be structurally subordinated to creditors of the Guarantor’s subsidiaries with respect to such assets. See “Description
of Debt Securities of Wells Fargo Finance LLC—Consolidation, Merger or Sale” in the accompanying prospectus.
The Notes Will Not Have The Benefit Of Any Cross-Default
Or Cross-Acceleration With Other Indebtedness Of The Guarantor; Events Of Bankruptcy, Insolvency, Receivership Or Liquidation Relating
To The Guarantor And Failure By The Guarantor To Perform Any Of Its Covenants Or Warranties (Other Than A Payment Default Under
The Guarantee) Will Not Constitute An Event Of Default With Respect To The Notes.
The notes will not have the benefit of any cross-default
or cross-acceleration with other indebtedness of the Guarantor. In addition, events of bankruptcy, insolvency, receivership or
liquidation relating to the Guarantor and failure by the Guarantor to perform any of its covenants or warranties (other than a
payment default under the guarantee) will not constitute an event of default with respect to the notes.
The Estimated Value Of The Notes On The Trade Date,
Based On WFS’s Proprietary Pricing Models, Is Less Than The Original Offering Price.
The original offering price of the notes includes
certain costs that are borne by you. Because of these costs, the estimated value of the notes on the trade date is less than the
original offering price. The costs included in the original offering price relate to selling, structuring, hedging and issuing
the notes, as well as to our funding considerations for debt of this type. The costs related to selling, structuring, hedging and
issuing the notes include (i) the agent discount (if any), (ii) the projected profit that our hedge counterparty (which may be
one of our affiliates or a dealer participating in the distribution of the notes) expects to realize for assuming risks inherent
in hedging our obligations under the notes and (iii) hedging and other costs relating to the offering of the notes. Our funding
considerations are reflected in the fact that we determine the economic terms of the notes based on an assumed rate that is generally
lower than our internal funding rate, which is described above under “Estimated Value of the Notes—Determining the
estimated value.” If the costs relating to selling, structuring, hedging and issuing the notes were lower, or if the assumed
rate we use to determine the economic terms of
the notes were higher, the economic terms of the notes would be more favorable to
you and the estimated value would be higher.
The Estimated Value Of The Notes Is Determined
By Our Affiliate’s Pricing Models, Which May Differ From Those Of Other Dealers.
The estimated value of the notes was determined for
us by WFS using its proprietary pricing models and related market inputs and assumptions referred to above under “Estimated
Value of the Notes—Determining the estimated value.” Certain inputs to these models may be determined by WFS in its
discretion. WFS’s views on these inputs may differ from other dealers’ views, and WFS’s estimated value of the
notes may be higher, and perhaps materially higher, than the estimated value of the notes that would be determined by other dealers
in the market. WFS’s models and its inputs and related assumptions may prove to be wrong and therefore not an accurate reflection
of the value of the notes.
The Estimated Value Of The Notes Is Not An Indication
Of The Price, If Any, At Which WFS Or Any Other Person May Be Willing To Buy The Notes From You In The Secondary Market.
The price, if any, at which WFS or any of its affiliates
may purchase the notes in the secondary market will be based on WFS’s proprietary pricing models and will fluctuate over
the term of the notes as a result of changes in the market and other factors described in the next risk factor. Any such secondary
market price for the notes will also be reduced by a bid-offer spread, which may vary depending on the aggregate principal amount
of the notes 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
notes is likely to be less than the original offering price.
If WFS or any of its affiliates makes a secondary
market in the notes at any time up to the original issue date or during the 3-month period following the trade 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 notes that are included in the original offering price. Because this portion
of the costs is not fully deducted upon issuance, any secondary market price offered by WFS or any of its affiliates during this
period will be higher than it would be if it were based solely on WFS’s proprietary pricing models less the bid-offer spread
and hedging unwind costs described above. The amount of this increase in the secondary market price will decline steadily to zero
over this 3-month period. If you hold the notes 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 notes on your brokerage account statement. If you hold your notes through
an account at a broker-dealer other than WFS or any of its affiliates, the value of the notes on your brokerage account statement
may be different than if you held your notes at WFS or any of its affiliates, as discussed above under “Estimated Value of
the Notes—Valuation of the notes after issuance.”
The Value Of The Notes Prior To Stated Maturity
Will Be Affected By Numerous Factors, Some Of Which Are Related In Complex Ways.
The value of the notes prior to stated maturity will
be affected by the level of the underlier at that time, whether a barrier event has occurred, 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 notes. When we refer to the “value” of your note, we mean the value
that you could receive for your note if you are able to sell it in the open market before the stated maturity date.
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Underlier Performance. The value of the notes prior to maturity will depend substantially
on the then-current level of the underlier and whether a barrier event has occurred. The price at which you may be able to sell
the notes before stated maturity may be at a discount, which could be substantial, from their original offering price, if a barrier
event has occurred.
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Interest Rates. The value of the notes may be affected by changes in the interest rates
in the U.S. markets.
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Volatility Of The Underlier. Volatility is the term used to describe the size and frequency
of market fluctuations. The value of the notes may be affected if the volatility of the underlier changes.
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Time Remaining To Maturity. The value of the notes at any given time prior to maturity will
likely be different from that which would be expected based on the then-current level of the underlier. This difference will most
likely reflect a discount due to expectations and uncertainty concerning the level of the underlier during the period of time still
remaining to the stated maturity date. In general, as the time remaining to maturity decreases, the value of the notes will approach
the amount that could be payable at maturity based on the then-current level of the underlier.
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Dividend Yields On The Securities Included In The Underlier. The value of the notes may
be affected by the dividend yields on securities included in the underlier.
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In addition to the derivative component factors, the
value of the notes will be affected by actual or anticipated changes in our and the Guarantor’s creditworthiness. 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 notes attributable to another factor, such as a change in the level of the underlier. Because several
factors are expected to affect the value of the notes, changes in the level of the underlier may not result in a comparable change
in the value of the notes. We anticipate that the value of the notes will always be at a discount to the original offering price
plus the effective cap on the notes described above.
The Notes Will Not Be Listed On Any Securities
Exchange And We Do Not Expect A Trading Market For The Notes To Develop.
The notes 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 notes from holders, they
are not obligated to do so and are not required to make a market for the notes. 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 notes, the price at
which you may be able to sell your notes is likely to depend on the price, if any, at which the agent is willing to buy your notes.
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 notes prior to stated maturity. This may affect
the price you receive upon such sale. Consequently, you should be willing to hold the notes to stated maturity.
Your Return On The Notes Could Be Less Than If
You Owned The Securities Included In The Underlier.
Your return on the notes will not reflect the return
you would realize if you actually owned the securities included in the underlier and received the dividends and other payments
paid on those securities. This is in part because the cash settlement amount payable at stated maturity will be determined by reference
to the final underlier level, which will be calculated by reference to the prices of the securities in the underlier without taking
into consideration the value of dividends and other payments paid on those securities. In addition, assuming a barrier event has
not occurred, any positive return on the notes based on performance of the underlier will be effectively capped, as described above.
Historical Levels Of The Underlier Should Not Be
Taken As An Indication Of The Future Performance Of The Underlier During The Term Of The Notes.
The trading prices of the securities included in the
underlier will determine the cash settlement amount payable at maturity to you. As a result, it is impossible to predict whether
the closing level of the underlier will fall or rise compared to the initial underlier level. Trading prices of the securities
included in the underlier 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 underlier do not provide an indication of the future performance of the underlier.
Changes That Affect The Underlier May Adversely
Affect The Value Of The Notes And The Amount You Will Receive At Stated Maturity.
The policies of the underlier sponsor concerning the
calculation of the underlier and the addition, deletion or substitution of securities comprising the underlier and the manner in
which the underlier sponsor takes account of certain changes affecting such securities may affect the level of the underlier and,
therefore, may affect the value of the notes and the cash settlement amount payable at maturity. The underlier sponsor may discontinue
or suspend calculation or dissemination of the underlier or materially alter the methodology by which it calculates the underlier.
Any such actions could adversely affect the value of the notes.
We Cannot Control Actions By Any Of The Unaffiliated
Companies Whose Securities Are Included In The Underlier.
Actions by any company whose securities are included
in the underlier may have an adverse effect on the price of its security, the final underlier level and the value of the notes.
Our parent company, Wells Fargo & Company, is currently one of the companies included in the underlier, but neither we nor
the Guarantor are affiliated with any of the other companies included in the underlier. The unaffiliated companies included in
the underlier will have no obligations with respect to the notes, 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 notes and will not be responsible for,
and will not have participated in, the determination of the timing of, prices for, or quantities of, the notes to be issued. These
companies will not be involved with the administration, marketing or trading of the notes and will have no obligations with respect
to any amounts to be paid to you on the notes.
We And Our Affiliates Have No Affiliation With
The Underlier Sponsor And Have Not Independently Verified Its Public Disclosure Of Information.
We and our affiliates are not affiliated in any way
with the underlier sponsor and have no ability to control or predict its actions, including any errors in or discontinuation of
disclosure regarding the methods or policies relating to the calculation of the underlier. We have derived the information about
the underlier sponsor and the underlier contained in this pricing supplement and the accompanying market measure supplement from
publicly available information, without independent verification. You, as an investor in the notes, should make your own investigation
into the underlier and the underlier sponsor. The underlier sponsor is not involved in the offering of the notes made hereby in
any way and has no obligation to consider your interests as an owner of the notes in taking any actions that might affect the value
of the notes.
The Stated Maturity Date Will Be Postponed If The
Determination Date Is Postponed.
The determination date will be postponed if the calculation
agent determines that a market disruption event has occurred or is continuing on the determination date or if the originally scheduled
determination date is not a trading day. If such a postponement occurs, the stated maturity date will be postponed until two business
days after the postponed determination date.
Our And The Guarantor’s 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 and the Guarantor’s economic interests and those of any dealer participating in the distribution of the notes, which
we refer to as a “participating dealer,” are potentially adverse to your interests as an investor in the notes.
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 notes, and in so doing they will have no obligation to consider
your interests as an investor in the notes. 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 notes.
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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 notes. WFS, which is our affiliate, will be the calculation agent for the notes.
As calculation agent, WFS will determine the final underlier level and may be required to make other determinations that affect
the return you receive on the notes 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 on the scheduled determination date,
which may result in postponement of the determination date; determining the final underlier level if the determination date is
postponed to the last day to which it may be postponed and a market disruption event occurs on that day; if the underlier is discontinued,
selecting a successor underlier or, if no successor underlier is available, determining the final underlier level; and determining
whether to adjust the closing level on the determination date in the event of certain changes in or modifications to the underlier.
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 notes, and WFS’s determinations as calculation agent may adversely affect your return
on the notes.
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The estimated value of the notes was calculated by our affiliate and is therefore not an
independent third-party valuation. WFS calculated the estimated value of the notes set forth on the cover page of this
pricing supplement, which involved discretionary judgments by WFS, as described under “Risk Factors—The Estimated Value
Of The Notes Is Determined By Our Affiliate’s Pricing Models, Which May Differ From Those Of Other Dealers” above.
Accordingly, the estimated value of the notes 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 notes and may adversely affect the level of the underlier. Our affiliates or any dealer participating
in the offering of the notes or its affiliates may, at present or in the future, publish research reports on the underlier or the
companies whose securities are included in the underlier. 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 notes.
Any research reports on the underlier or the companies whose securities are included in the underlier could adversely affect the
level of the underlier and, therefore, adversely affect the value of and your return on the notes. You are encouraged to derive
information concerning the underlier 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 the underlier or the companies whose securities
are included in the underlier published on or prior to the trade date could result in an increase in the level of the underlier
on the trade date, which would adversely affect investors in the notes by increasing the level at which the underlier must close
on the determination date in order for investors in the notes to receive a favorable return.
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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 underlier may adversely affect the level of the underlier. 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 underlier, 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 level of the underlier and, therefore, adversely
affect the value of and your return on the notes. 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 underlier. 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 level of the underlier. We expect to hedge our obligations under the notes 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 underlier or listed or over-the-counter derivative or synthetic instruments
related to the underlier 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 underlier, or derivative or synthetic instruments related to the underlier or such securities,
they may liquidate a portion of such holdings at or about the time of the determination date or at or about the time of a change
in the securities included in the underlier. These hedging activities could potentially adversely affect the level of the underlier
and, therefore, adversely affect the value of and your return on the notes.
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Trading activities by our affiliates or any participating dealer or its affiliates may adversely
affect the level of the underlier. Our affiliates or any participating dealer or its affiliates may engage in trading in
the securities included in the underlier and other instruments relating to the underlier 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 level of the underlier and, therefore, adversely affect the value of and your return on the notes.
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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 notes
to you. If any participating dealer or any of its affiliates conducts hedging activities for us in connection with the
notes, that participating dealer or its affiliates will expect to realize a projected profit from such hedging activities. If a
participating dealer receives a concession for the sale of the notes to you, this projected hedging profit will be in addition
to the concession, creating a further incentive for the participating dealer to sell the notes to you.
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Determining Payment at
Stated Maturity
On the stated maturity date, you will receive a cash
payment per note (the cash settlement amount) calculated as follows:
Hypothetical Returns
The following table illustrates, for a range of hypothetical
final underlier levels:
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the hypothetical percentage change from the hypothetical initial underlier level to the hypothetical
final underlier level; and
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the hypothetical pre-tax total return.
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Hypothetical underlier return
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Hypothetical pre-tax total return
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A barrier event has not occurred
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A barrier event has occurred
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50.00%
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N/A
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0.00%
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40.00%
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N/A
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0.00%
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30.00%
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N/A
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0.00%
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20.00%
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N/A
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0.00%
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17.01%
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N/A
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0.00%
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17.00%
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17.00%
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0.00%
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10.00%
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10.00%
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0.00%
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5.00%
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5.00%
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0.00%
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2.50%
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2.50%
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0.00%
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0.00%
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0.00%
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0.00%
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-2.50%
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2.50%
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0.00%
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-5.00%
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5.00%
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0.00%
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-10.00%
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10.00%
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0.00%
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-15.00%
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15.00%
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0.00%
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-20.00%
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20.00%
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0.00%
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-25.00%
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25.00%
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0.00%
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-25.01%
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N/A
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0.00%
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-50.00%
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N/A
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0.00%
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-75.00%
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N/A
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0.00%
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-100.00%
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N/A
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0.00%
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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
return will depend on the actual final underlier level and maximum settlement amount.
If, for example, a barrier event has occurred
and the underlier return were determined to be 50.00%, the pre-tax return on your notes at maturity would be 0.00%, as shown in
the table above. Additionally, if the underlier return were determined to be -50.00%, the pre-tax return on your notes at maturity
would be 0.00%, as shown in the table above.
If, for example, a barrier event has not occurred
and the underlier return were determined to be 10.00%, the absolute underlier return would be 10.00% and the pre-tax return on
your notes at maturity would be 10.00%, as shown in the table above. Additionally, if the underlier return were determined to be
-10.00%, the absolute underlier return would be 10.00% and the pre-tax return on your notes at maturity would be 10.00%, as shown
in the table above. However, you will benefit from the absolute underlier return only if
a barrier event has not occurred. Because a barrier event will occur if, on any trading day during the measurement
period (including the determination date), the closing level of the underlier is greater than the upper barrier level (117% of
the initial underlier level) or less than the lower barrier level (75% of the initial underlier level), the pre-tax return on your
notes will be capped at a positive return of 17% in the case of any appreciation of the underlier and 25% in the case of any
depreciation of the underlier. As a result, you would not benefit from a final underlier level on the determination date (or a
closing level of the underlier on any other trading day during the measurement period) that is greater than the upper barrier or
less than the lower barrier. In fact, a final underlier level on the determination date (or a closing level of the underlier on
any other trading day during the measurement period) that is greater than the upper barrier or less than the lower barrier will
result in you receiving no positive return on the notes.
Additional Terms of the
Notes
Wells Fargo Finance LLC will issue the notes as part
of a series of senior unsecured debt securities entitled “Medium-Term Notes, Series A,” which is more fully described
in the prospectus supplement. Information included in this pricing supplement supersedes information in the market measure supplement,
prospectus supplement and prospectus to the extent that it is different from that information.
Certain Definitions
A “trading day” means a day, as
determined by the calculation agent, on which (i) the relevant stock exchanges with respect to each security underlying the underlier
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.
The “relevant stock exchange” for
any security underlying the underlier 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 the underlier 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 the underlier.
Calculation Agent
Wells Fargo Securities, LLC, one of our affiliates
and a wholly owned subsidiary of Wells Fargo & Company, will act as initial calculation agent for the notes and may appoint
agents to assist it in the performance of its duties. Pursuant to the calculation agent agreement, we may appoint a different calculation
agent without your consent and without notifying you.
The calculation agent will determine the cash settlement
amount you receive at stated maturity. In addition, the calculation agent will, among other things:
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determine whether a market disruption event or non-trading day has occurred;
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determine if adjustments are required to the closing level of the underlier under various circumstances;
and
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if publication of the underlier is discontinued, select a successor underlier (as defined below)
or, if no successor underlier is available, determine the closing level of the underlier.
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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
any of the following events as determined by the calculation agent in its sole discretion:
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(A)
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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 the underlier or any
successor underlier 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.
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(B)
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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 the underlier or any successor underlier
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.
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(C)
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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 the underlier or any successor underlier on their relevant stock exchanges at any time
during the one-hour period that ends at the close of trading on that day.
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(D)
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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 the underlier or any successor underlier 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.
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(E)
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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 the underlier or any successor underlier are traded or any related futures or options
exchange prior to its scheduled closing time unless the earlier closing time is announced by the
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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.
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(F)
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The relevant stock exchange for any security underlying the underlier or successor underlier or
any related futures or options exchange fails to open for trading during its regular trading session.
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For purposes of determining whether a market disruption
event has occurred:
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(1)
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the relevant percentage contribution of a security to the level of the underlier or any successor
underlier will be based on a comparison of (x) the portion of the level of such underlier attributable to that security and (y)
the overall level of the underlier or successor underlier, in each case immediately before the occurrence of the market disruption
event;
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(2)
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the “close of trading” on any trading day for the underlier or any successor
underlier means the scheduled closing time of the relevant stock exchanges with respect to the securities underlying the underlier
or successor underlier 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 the underlier or
successor underlier 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 the underlier or successor underlier, 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;
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(3)
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the “scheduled closing time” of any relevant stock exchange or related futures
or options exchange on any trading day for the underlier or any successor underlier 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
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(4)
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an “exchange business day” means any trading day for the underlier or any successor
underlier on which each relevant stock exchange for the securities underlying the underlier or any successor underlier 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.
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If a market disruption event occurs or is continuing
on the determination date, then the determination date will be postponed to the first succeeding trading day on which a market
disruption event has not occurred and is not continuing; however, if such first succeeding trading day has not occurred as of the
eighth trading day after the originally scheduled determination date, that eighth trading day shall be deemed to be the determination
date. If the determination date has been postponed eight trading days after the originally scheduled determination date and a market
disruption event occurs or is continuing on such eighth trading day, the calculation agent will determine the closing level of
the underlier on such eighth trading day in accordance with the formula for and method of calculating the closing level of the
underlier 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 security, its good faith estimate of the value
of such security at 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) on such date of each security included in the underlier. 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 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.
Adjustments to the Underlier
If at any time the method of calculating the underlier
or a successor underlier, or the closing level thereof, is changed in a material respect, or if the underlier or a successor underlier
is in any other way modified so that such underlier does not, in the opinion of the calculation agent, fairly represent the level
of such underlier had those changes or modifications not been made, then the calculation agent will, at the close of business in
New York, New York, on each date that the closing level of such underlier is to be calculated, make such calculations and adjustments
as, in the good faith judgment of the calculation agent, may be necessary in order to arrive at a level of an underlier comparable
to the underlier or successor underlier as if those changes or modifications had not been made, and the calculation agent will
calculate the closing level of the underlier or successor underlier with reference to such underlier, as so adjusted. Accordingly,
if the method of calculating the underlier or successor underlier is modified so that the level of such underlier is a fraction
or a multiple of
what it would have been if it had not been modified (e.g., due to a split or reverse split in such equity underlier),
then the calculation agent will adjust the underlier or successor underlier in order to arrive at a level of such underlier as
if it had not been modified (e.g., as if the split or reverse split had not occurred).
Discontinuance of the Underlier
If the sponsor or publisher of the underlier (the
“underlier sponsor”) discontinues publication of the underlier, and the underlier sponsor or another entity
publishes a successor or substitute equity index that the calculation agent determines, in its sole discretion, to be comparable
to the underlier (a “successor underlier”), then, upon the calculation agent’s notification of that determination
to the trustee and Wells Fargo Finance LLC, the calculation agent will substitute the successor underlier as calculated by the
relevant underlier sponsor or any other entity and calculate the final underlier level as described above. Upon any selection by
the calculation agent of a successor underlier, Wells Fargo Finance LLC will cause notice to be given to holders of the notes.
In the event that the underlier sponsor discontinues
publication of the underlier prior to, and the discontinuance is continuing on, the determination date and the calculation agent
determines that no successor underlier is available at such time, the calculation agent will calculate a substitute closing level
for the underlier in accordance with the formula for and method of calculating the underlier last in effect prior to the discontinuance,
but using only those securities that comprised the underlier immediately prior to that discontinuance. If a successor underlier
is selected or the calculation agent calculates a level as a substitute for the underlier, the successor underlier or level will
be used as a substitute for the underlier for all purposes, including the purpose of determining whether a market disruption event
exists.
If on the determination date the underlier sponsor
fails to calculate and announce the level of the underlier, the calculation agent will calculate a substitute closing level of
the underlier in accordance with the formula for and method of calculating the underlier last in effect prior to the failure, but
using only those securities that comprised the underlier 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 underlier sponsor to calculate and announce the level of, the underlier may adversely
affect the value of the notes.
Events of Default and Acceleration
If an event of default with respect to the notes has
occurred and is continuing, the amount payable to a holder of a note upon any acceleration permitted by the notes, with respect
to each note, will be equal to the cash settlement amount, calculated as provided herein. The cash settlement amount will be calculated
as though the date of acceleration were the determination date.
S&P 500®
Index
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. Our parent company, Wells Fargo & Company is one of the companies currently included
in the S&P 500® Index. See “Description of Equity Indices—The
S&P Indices” in the accompanying market measure supplement for additional information about the S&P 500®
Index.
Effective February 20, 2019, to be added to the S&P
500® Index a company must have an unadjusted company market capitalization
of $8.2 billion or more (an increase from the previous requirement of an unadjusted company market capitalization of $6.1 billion
or more). A company meeting the unadjusted company market capitalization criteria is also required to have a security level float-adjusted
market capitalization that is at least $4.1 billion. In addition, information about the S&P 500®
Index may be obtained from other sources including, but not limited to, the S&P 500®
Index sponsor’s website (including information regarding the S&P 500®
Index’s sector weightings). We are not incorporating by reference into this pricing supplement the website or any material
it includes. Neither we nor the agent makes any representation that such publicly available information regarding the S&P 500®
Index is accurate or complete.
Historical Information
We obtained the closing levels of the S&P 500®
Index from Bloomberg Financial Markets without independent verification.
The historical performance of the underlier should
not be taken as an indication of the future performance of the underlier during the term of the notes.
The following graph sets forth the daily closing levels
of the underlier for each day in the period from January 1, 2014 through November 1, 2019. The closing level on November 1, 2019
was 3,066.91.
S&P 500® Index Daily
Closing Levels
The S&P 500®
Index is a product of S&P Dow Jones Indices LLC (“SPDJI”), and has been licensed to Wells
Fargo & Company (“WFC”), our parent company, for use by WFC and certain of its affiliated or subsidiary
companies (including us). Standard & Poor’s®, S&P®
and S&P 500® are registered trademarks of Standard &
Poor’s 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 notes 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.
Benefit Plan Investor Considerations
Each fiduciary of a pension, profit-sharing or other
employee benefit plan to which Title I of the Employee Retirement Income Security Act of 1974 (“ERISA”) applies
(a “plan”), should consider the fiduciary standards of ERISA in the context of the plan’s particular circumstances
before authorizing an investment in the notes. 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 notes 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 notes 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 notes 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 notes. Those class
exemptions are:
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PTCE 96-23, for specified transactions determined by in-house asset managers;
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PTCE 95-60, for specified transactions involving insurance company general accounts;
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PTCE 91-38, for specified transactions involving bank collective investment funds;
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PTCE 90-1, for specified transactions involving insurance company separate accounts; and
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PTCE 84-14, for specified transactions determined by independent qualified professional asset managers.
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In addition, Section 408(b)(17) of ERISA and Section
4975(d)(20) of the Code provide an exemption for transactions between a plan and a person who is a party in interest (other than
a fiduciary who has or exercises any discretionary authority or control with respect to investment of the plan assets involved
in the transaction or renders investment advice with respect thereto) solely by reason of providing services to the plan (or by
reason of a relationship to such a service provider), if in connection with the transaction of the plan receives no less, and pays
no more, than “adequate consideration” (within the meaning of Section 408(b)(17) of ERISA).
Any purchaser or holder of the notes or any interest
in the notes 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 notes constitutes
assets of any plan or Non-ERISA Arrangement; or
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the purchase and holding of the notes by such purchaser or holder will not constitute a non-exempt
prohibited transaction under Section 406 of ERISA or Section 4975 of the Code or similar violation under any Similar Laws.
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Due to the complexity of these rules and the penalties
that may be imposed upon persons involved in non-exempt prohibited transactions, it is particularly important that fiduciaries
or other persons considering purchasing the notes 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 notes and the availability of exemptive
relief.
The notes are contractual financial instruments. The
financial exposure provided by the notes is not a substitute or proxy for, and is not intended as a substitute or proxy for, individualized
investment management or advice for the benefit of any purchaser or holder of the notes. The notes 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 notes.
Purchasers of the notes have the exclusive responsibility
for ensuring that their purchase, holding and subsequent disposition of the notes 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 notes 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.
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 notes. It applies to you only if you purchase
a note for cash in the initial offering at the “issue price,” which is the first price at which a substantial amount
of the notes is sold to the public, and hold the note 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 an investor subject to special rules, such as:
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a financial institution;
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a “regulated investment company”;
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a “real estate investment trust”;
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a tax-exempt entity, including an “individual retirement account” or “Roth IRA”;
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a dealer or trader subject to a mark-to-market method of tax accounting with respect to the notes;
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a person holding a note as part of a “straddle” or conversion transaction or who has
entered into a “constructive sale” with respect to a note;
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a U.S. holder (as defined below) whose functional currency is not the U.S. dollar; or
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an entity classified as a partnership for U.S. federal income tax purposes.
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If an entity that is classified as a partnership for
U.S. federal income tax purposes holds the notes, 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 notes or a partner in such a
partnership, you should consult your tax adviser as to the particular U.S. federal tax consequences of holding and disposing of
the notes to you.
We will not attempt to ascertain whether any of the
issuers of the underlying stocks of the Index (the “underlying stocks”) is treated as a “U.S. real property
holding corporation” (“USRPHC”) within the meaning of Section 897 of the Code. If any of the issuers of
the underlying stocks were so treated, certain adverse U.S. federal tax consequences might apply to you, if you are a non-U.S.
holder (as defined below). You should refer to information filed with the Securities and Exchange Commission or other governmental
authorities 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.
This discussion is based on the Code, administrative
pronouncements, judicial decisions and final, temporary and proposed Treasury regulations, all as of the date hereof, 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, the potential
application of the alternative minimum tax or the Medicare tax on net investment income or the consequences to taxpayers subject
to special tax accounting rules under Section 451(b) of the Code. You should consult your tax adviser concerning the application
of the U.S. federal income and estate tax laws to your particular situation, as well as any tax consequences arising under the
laws of any state, local or non-U.S. jurisdiction.
Tax Treatment of the Notes
In the opinion of our counsel, Davis Polk & Wardwell
LLP, which is based on current market conditions, the notes should be treated as “contingent payment debt instruments”
for U.S. federal income tax purposes and as “debt obligations” for U.S. federal estate tax purposes, and the
discussion herein is based on this treatment.
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 note 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 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.
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Interest Accruals on the Notes. Pursuant to rules
governing the tax treatment of contingent payment debt instruments (the “contingent debt regulations”), you
will be required to accrue interest income on the notes on a constant yield basis based on a comparable yield, as described below,
regardless of whether you use the cash or accrual method of accounting for U.S. federal income tax purposes. Accordingly, you generally
will be required to include interest in your taxable income in each year that you hold the notes even though the notes do not provide
for a payment until maturity (or earlier sale, exchange or retirement).
Under the contingent debt regulations, you must accrue
an amount of ordinary interest income, as original issue discount (“OID”) for U.S. federal income tax purposes,
for each accrual period prior to and including the maturity date of the notes that equals the product of:
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the adjusted issue price (as defined below) of the
notes as of the beginning of the accrual period,
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the comparable yield (as defined below) of the notes,
adjusted for the length of the accrual period, and
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a fraction, the numerator of which is the number of
days during the accrual period that you held the notes and the denominator of which is the number of days in the accrual period.
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The “adjusted issue price”
of a note is its issue price increased by any interest income previously accrued.
As used in the contingent debt regulations,
the term “comparable yield” means the greater of (i) the annual yield we would pay, as of the issue date, on
a fixed-rate, nonconvertible debt instrument with no contingent payments, but with terms and conditions otherwise comparable to
those of the notes, and (ii) the applicable federal rate.
We have determined that the comparable yield for the
notes is a rate of 1.67% per annum, compounded semi-annually. Based on the comparable yield set forth above, the projected payment
schedule for a note (assuming an issue price of $1,000) consists of a single projected amount equal to $1,033.5969 due at maturity.
The following table states the amount of OID (without
taking into account any income or loss recognized in connection with the sale, exchange or retirement of the note) that will be
deemed to have accrued with respect to a note for each accrual period (assuming a day count convention of 30 days per month and
360 days per year), based upon the comparable yield set forth above.
ACCRUAL PERIOD
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OID DEEMED TO
ACCRUE DURING
ACCRUAL PERIOD
(PER NOTE)
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TOTAL OID DEEMED
TO HAVE ACCRUED
FROM ORIGINAL
ISSUE DATE (PER
NOTE) AS OF END
OF ACCRUAL
PERIOD
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Original Issue Date through December 31, 2019
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$2.4122
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$2.4122
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January 1, 2020 through June 30, 2020
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$8.3701
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$10.7823
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July 1, 2020 through December 31, 2020
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$8.4400
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$19.2223
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January 1, 2021 through June 30, 2021
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$8.5105
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$27.7328
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July 1, 2021 through Maturity Date
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$5.8641
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$33.5969
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For U.S. federal income tax purposes,
you are required under the contingent debt regulations to use the comparable yield and the projected payment schedule established
by us in determining interest accruals and adjustments in respect of a note, unless you timely disclose and justify the use of
a different comparable yield and projected payment schedule to the Internal Revenue Service (the “IRS”).
Neither the comparable yield nor the projected payment
schedule constitutes a representation by us regarding the actual amount that we will pay on the notes.
Sale, Exchange or Retirement of
Notes. You will recognize taxable gain or loss on the sale, exchange or retirement of a note equal to the difference between
the amount received and your adjusted tax basis in the note. Any gain recognized will be treated as ordinary interest income and
loss will be ordinary loss to the extent of previous interest inclusions and capital loss thereafter. The amount of gain or loss
on a sale, exchange or retirement of a note will be equal to the difference between (a) the amount received by you and (b) your
adjusted tax basis in the note.
Your adjusted tax basis in a note
generally will be equal to your original purchase price for the note, increased by any interest income you previously accrued.
Special rules may apply if the payment
at maturity on the notes is treated as becoming fixed prior to maturity. For this purpose, the payment at maturity will be treated
as fixed if the contingencies with respect to the payment are remote or incidental. Under these rules, a U.S. holder would be required
to account for the difference between the originally projected payment and the fixed payment in a reasonable manner. In addition,
a U.S. holder would be required to make adjustments to, among other things, the U.S. holder’s accrual periods and tax basis
in the notes. The character of any gain or loss on a sale or exchange of a note also might be affected. U.S. holders should consult
their tax advisers regarding the application of these rules.
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 note that is, for U.S. federal income tax purposes:
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an individual who is classified as a nonresident alien;
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a foreign corporation; or
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a foreign estate or trust.
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You are not a non-U.S. holder for purposes of this discussion
if you are (i) an individual who is present in the United States for 183 days or more in the taxable year of disposition, (ii)
a former citizen or resident of the United States or (iii) a person for whom income or gain in respect of the notes is effectively
connected with the conduct of a trade or business in the United States. If you are or may become such a person during the period
in which you hold a note, you should consult your tax adviser regarding the U.S. federal tax consequences of an investment in the
notes.
Treatment of Income and Gain on the Notes. You should
not be subject to U.S. federal income or withholding tax in respect of the notes, provided that interest (including amounts treated
as OID) on the notes qualifies as “portfolio interest” and is not subject to withholding under the “FATCA”
regime described below. Subject to the discussions above concerning Section 897 of the Code and below concerning Section 871(m),
interest (including amounts treated as OID) on the notes should generally qualify as portfolio interest, exempt from withholding
(which for an individual non-U.S. holder is pursuant to Section 871(h) of the Code), provided that:
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you do not own, directly or by attribution, ten percent
or more of the total combined voting power of all classes of stock of Wells Fargo & Company entitled to vote;
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you are not a controlled foreign corporation related,
directly or indirectly, to Wells Fargo & Company through stock ownership;
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you are not a bank receiving interest under Section
881(c)(3)(A) of the Code; and
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you provide to the applicable withholding agent an
appropriate IRS Form W-8 on which you certify under penalties of perjury that you are not a U.S. person.
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Possible Withholding Under Section 871(m) of the
Code. Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally
impose a 30% withholding tax on dividend equivalents paid or deemed paid to non-U.S. holders with respect to certain financial
instruments linked to U.S. equities (“U.S. underlying equities”) or indices that include U.S. underlying equities.
Section 871(m) generally applies to instruments that substantially replicate the economic performance of one or more U.S. underlying
equities, as determined based on tests set forth in the applicable Treasury regulations (a “specified security”).
However, the regulations exempt financial instruments issued prior to January 1, 2021 that do not have a “delta” of
one. Based on the terms of the notes and representations provided by us, our counsel is of the opinion that the notes should not
be treated as transactions that have a “delta” of one within the meaning of the regulations with respect to any U.S.
underlying equity and, therefore, should not be specified securities subject to withholding tax under Section 871(m). Unless otherwise
indicated, the discussion in this pricing supplement assumes that the notes are not specified securities subject to withholding
tax under Section 871(m).
A determination that the notes are not subject to Section
871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application
may depend on your particular circumstances. For example, if you enter into other transactions relating to a U.S. underlying equity,
you could be subject to withholding tax or income tax liability under Section 871(m) even if the notes are not specified securities
subject to Section 871(m) as a general matter. You should consult your tax adviser regarding the potential application of Section
871(m) to the notes.
In the event withholding applies, we will not be required
to pay any additional amounts with respect to amounts withheld.
U.S. Federal Estate Tax
A note held by an individual non-U.S. holder who at
death is not a citizen or a resident of the United States for U.S. federal estate tax purposes generally will not be includible
in the individual’s gross estate, and will be deemed “property without the United States” under Section 2105
of the Code, for U.S. federal estate tax purposes if, at the time of death, interest on the note would qualify as portfolio interest
exempt from withholding under Section 871(h), as described above, without regard to the certification requirement described in
the fourth bullet above under “—Treatment of Income and Gain on the Notes.”
You should consult your tax adviser regarding the U.S.
federal estate tax consequences of an investment in the notes in your particular situation.
Backup Withholding and Information
Reporting
Information returns generally will
be filed with the IRS with respect to amounts treated as interest on the notes and may be filed with the IRS in connection with
the payment of proceeds from a sale, exchange or other disposition of the notes. 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, you may also be
subject to backup withholding at the rate specified in the Code. If you are a non-U.S. holder that provides an appropriate IRS
Form W-8, you will generally establish an exemption from backup withholding. Amounts withheld under the backup withholding rules
are not additional taxes and may be refunded or credited against your U.S. federal income tax liability, provided the relevant
information is timely furnished to the IRS.
FATCA
Legislation commonly referred to as
“FATCA” generally imposes a withholding tax of 30% on payments to certain non-U.S. entities (including financial intermediaries)
with respect to certain financial instruments, unless various U.S. information reporting and due diligence requirements have been
satisfied. An intergovernmental agreement between the United States and the non-U.S. entity’s jurisdiction may modify these
requirements. Withholding under these rules (if applicable) applies to any payment on the notes of amounts treated as interest
or as “dividend equivalents.” While existing Treasury regulations would also require withholding on payments of gross
proceeds of the disposition (including upon retirement) of financial instruments such as the notes, the U.S. Treasury Department
has indicated in subsequent proposed regulations its intent to eliminate this requirement. The U.S. Treasury Department has indicated
that taxpayers may rely on these proposed regulations pending their finalization. If withholding applies to the notes, we will
not be required to pay any additional amounts with respect to amounts withheld. Both U.S. and non-U.S. holders should consult their
tax advisers regarding the potential application of FATCA to the notes.
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 notes.