Wells Fargo to price market-linked notes with averaging on ETF basket

By Toni Weeks

San Diego, Jan. 3 - Wells Fargo & Co. plans to price 0% market-linked notes due Feb. 7, 2020 linked to a basket of exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes the SPDR S&P 500 ETF Trust with a 65% weight, the iShares MSCI EAFE index fund with a 25% weight and the iShares MSCI Emerging Markets index fund with a 10% weight.

If the final basket level is greater than the initial basket level, the payout at maturity will be par plus 100% to 110% of the basket return, with the exact participation rate to be set at pricing. If the final basket level is less than or equal to the initial basket level, the payout will be par.

The initial basket level will be 100. The final basket level will be 100 plus an amount equal to one plus the sum of (a) 65% of the return of the SPDR S&P 500, (b) 25% of the return of the iShares MSCI EAFE and (c) 10% of the return of the iShares MSCI Emerging Markets.

When calculating a basket component's return, its final share price will be the average of its closing share prices on the last trading day of each January, April, July and October from April 2013 through January 2020.

The notes (Cusip: 94986RMU2) are expected to price Jan. 31 and settle Feb. 7.

Wells Fargo Securities LLC is the agent.

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