Wells Fargo to price CDs linked to SGI WISE US Vol Target 8% index

By Angela McDaniels

Tacoma, Wash., Aug. 6 - Wells Fargo Bank, NA plans to price 0% certificates of deposit due Aug. 31, 2015 linked to the SGI WISE US Vol Target 8% (USD - Excess Return) index, according to a term sheet.

The payout at maturity will be par plus 100% to 110% of any index gain, with the exact participation rate to be set at pricing. Investors will receive at least par.

The index is based on a proprietary model developed by Societe Generale that systematically scores the stocks included in the S&P 500 index on a monthly basis according to 12 specific criteria (the "WISE model"). The index follows a long/short, market-neutral investment strategy that tracks a deemed long position in the stocks that scored within the top 10% of the S&P 500 index and a deemed short position in the stocks that scored within the bottom 10%. Based on the historical volatility of S&P 500, the index adjusts its exposure to the S&P 500 within a range of 0% to 150% to try to achieve a target volatility of 8%.

The CDs are expected to price Aug. 24 and settle Aug. 31.

The distributor is SG Americas Securities, LLC.

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