Published on 3/10/2020 in the Prospect News Structured Products Daily.
New Issue: Wells Fargo prices $5.1 million market-linked autocalls on S&P, Russell, Stoxx
By Marisa Wong
Los Angeles, March 10 – Wells Fargo Finance LLC priced $5,095,000 of market-linked securities – autocallable with contingent coupon and contingent downside – due March 9, 2027 tied to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at a rate of 7.25% per year if each index closes at or above its coupon threshold level, 70% of the initial level, on a related quarterly observation date.
The notes will be called at par if each index closes at or above its initial level on any quarterly observation date from March 2021 to December 2026.
The payout at maturity will be par unless any index finishes below 60% of its initial level, in which case the payout will be par plus the return of the worst performing index.
Wells Fargo Securities LLC is the agent.
| Issuer: | Wells Fargo Finance LLC
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| Issue: | Market linked securities – autocallable with contingent coupon and contingent downside
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| Underlying indexes: | S&P 500 index, Russell 2000 index, Euro Stoxx 50 index
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| Amount: | $5,095,000
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| Maturity: | March 9, 2027
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| Coupon: | 7.25% per year, payable each quarter that each index closes at or above its coupon threshold level on related quarterly observation date
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| Price: | Par
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| Payout at maturity: | Par unless any index falls by more than 40%, in which case 1% loss per 1% decline of worst performing index from initial level
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| Call: | At par if each index closes at or above its initial level on any quarterly observation date from March 2021 to December 2026
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| Initial levels: | 2,978.76 for S&P, 1,497.870 for Russell, 3,455.92 for Stoxx
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| Coupon thresholds: | 2,085.132 for S&P, 1,048.509 for Russell, 2,419.144 for Stoxx; 70% of initial levels
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| Downside thresholds: | 1,787.256 for S&P, 898.722 for Russell, 2,073.552 for Stoxx; 60% of initial levels
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| Pricing date: | Feb. 27
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| Settlement date: | March 3
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| Agent: | Wells Fargo Securities LLC
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| Fees: | 2.075%
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| Cusip: | 95001HEL1
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