Title of Each Class of

Securities Offered

Medium Term Notes, Series K, Notes Linked to an ETF Basket due March 16, 2022

PRICING SUPPLEMENT No. 636 dated March 11, 2016

(To Product Supplement No. 8 dated March 18, 2015,

Market Measure Supplement dated March 18, 2015,

Prospectus Supplement dated March 18, 2015

and Prospectus dated March 18, 2015)

Wells Fargo & Company

Medium-Term Notes, Series K

Upside Participation ETF Linked Notes (Averaging)

Market Linked Notes

Notes Linked to an ETF Basket due March 16, 2022

n

Linked to an ETF Basket comprised of the SPDR^® S&P 500^® ETF Trust (33.33%); the iShares^® MSCI Emerging Markets ETF (33.33%); and the iShares^® U.S. Real Estate ETF (33.33%)

Potential for a positive return at maturity based on the percentage increase, if any, from the starting price of the basket to the average ending price. The payment at maturity will reflect the following terms:

If the average ending price is greater than the starting price, you will receive the original offering price plus a positive return at maturity equal to 115% of the percentage increase from the starting price to the average ending price

If the average ending price is less than or equal to the starting price, you will receive the original offering price at maturity, but you will not receive any positive return on your investment

Average ending price of the basket based on the average of fund closing prices of the basket components on specified dates occurring annually during the term of the notes

Repayment of the original offering price at maturity regardless of basket performance

All payments on the notes are subject to the credit risk of Wells Fargo & Company, and you will have no ability to pursue the shares of the basket components or any securities held by the basket components for payment; if Wells Fargo & Company defaults on its obligations, you could lose some or all of your investment

No periodic interest payments or dividends

No exchange listing; designed to be held to maturity

Per Note  

Total  

Wells Fargo Securities, LLC, a wholly owned subsidiary of Wells Fargo & Company, is the agent for the distribution of the notes and is acting as principal. See “Investment Description” in this pricing supplement for further information.

the possibility of a positive return at maturity if, and only if, the average ending price of the basket of exchange traded funds (the “Basket”) is greater than the starting price of the Basket; and

repayment of principal regardless of the performance of the Basket.

the SPDR^® S&P 500^® ETF Trust (33.33%), an exchange traded fund that seeks to track the S&P 500 Index (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);

the iShares^® MSCI Emerging Markets ETF (33.33%), an exchange traded fund that seeks to track the MSCI Emerging Markets Index (an equity index that is designed to measure equity performance in global emerging markets); and

the iShares^® U.S. Real Estate ETF (33.33%), an exchange traded fund that seeks to track the Dow Jones U.S. Real Estate Index (an equity index that is designed to measure the real estate sector of the United States equity market).

seek exposure to the average upside performance of the Basket, without exposure to any decline in the Basket, by:

participating 115% in the percentage increase, if any, in the value of the Basket from the starting price to the average ending price, where the average ending price is based on the average of fund closing prices of the basket components on specified dates occurring annually during the term of the notes; and

providing for the repayment of principal at maturity regardless of the performance of the Basket;

understand that if the average ending price of the Basket is not greater than the starting price, they will not receive any positive return on their investment in the notes;

are willing to forgo interest payments on the notes and dividends on shares of the basket components; and

are willing to hold the notes until maturity.

seek a liquid investment or are unable or unwilling to hold the notes to maturity;

seek certainty of receiving a return on their investment;

seek exposure to the upside performance of the Basket as measured solely from the pricing date to a date near stated maturity;

are unwilling to purchase notes with an estimated value as of the pricing date that is lower than the original offering price, as set forth on the cover page;

seek current income;

are unwilling to accept the risk of exposure to equity markets, including the large capitalization and real estate segments of the U.S. equity market and foreign emerging equity markets;

seek exposure to the Basket but are unwilling to accept the risk/return trade-offs inherent in the payment at stated maturity for the notes;

are unwilling to accept the credit risk of Wells Fargo to obtain exposure to the Basket generally, or to the exposure to the Basket that the notes provide specifically; or

prefer the lower risk of fixed income investments with comparable maturities issued by companies with comparable credit ratings.

  Market Measure:  

A basket (the “Basket”) comprised of the following equally weighted basket components: the SPDR S&P 500 ETF Trust (33.33%); the iShares MSCI Emerging Markets ETF (33.33%); and the iShares U.S. Real Estate ETF (33.33%).

  Pricing Date:

March 11, 2016*

  Issue Date:

March 16, 2016. (T+3)

  Original

  Offering Price:

$1,000 per note. References in this pricing supplement to a “note” are to a note with a face amount of $1,000.

  Redemption

  Amount:

The “redemption amount” per note will equal:

•

if the average ending price is greater than the starting price: $1,000 plus:

•

if the average ending price is less than or equal to the starting price: $1,000.

  Stated Maturity

  Date:

March 16, 2022. If the final calculation day is postponed for any basket component, the stated maturity date will be the later of (i) March 16, 2022 and (ii) the third business day after the last final calculation day as postponed.

  Starting Price:

The “starting price” is 100.

  Average Ending  

  Price:

The “average ending price” will be equal to the product of (i) 100 and (ii) an amount equal to 1 plus the sum of: (A) 33.33% of the average component return of the SPDR S&P 500 ETF Trust; (B) 33.33% of the average component return of the iShares MSCI Emerging Markets ETF; and (C) 33.33% of the average component return of the iShares U.S. Real Estate ETF.

  Participation

  Rate:  

The “participation rate” is 115%.

  Average

  Component

  Return:

The “average component return” of a basket component will be equal to:

average component price – initial component price

initial component price

where,

•

the “initial component price” is the fund closing price of such basket component on the pricing date, as set forth below; and

•

the “average component price” will be the arithmetic average of the fund closing prices of such basket component on the calculation days.

The initial component prices of the basket components are as follows: SPDR S&P 500 ETF Trust ($202.76); iShares MSCI Emerging Markets ETF ($33.14); and iShares U.S. Real Estate ETF ($75.68).

  Calculation

  Days:

Annually, on the 11^th of each March, commencing March 2017 and ending March 2022. If any such day is not a trading day with respect to a basket component, the calculation day for such basket component will be postponed to the next succeeding trading day with respect to such basket component. Notwithstanding the postponement of a calculation day for a particular basket component due to a non-trading day for such basket component, the originally scheduled calculation day will remain the calculation day for any basket component not affected by such non-trading day. A calculation day is also subject to postponement due to the occurrence of a market disruption event.

  Calculation

  Agent:

Wells Fargo Securities, LLC

  Material Tax

  Consequences:  

For a discussion of the material U.S. federal income tax consequences of the ownership and disposition of the notes, see “United States Federal Tax Considerations.”

Wells Fargo Securities, LLC, a wholly owned subsidiary of Wells Fargo & Company. The agent may resell the notes to other securities dealers at the original offering price of the notes less a concession not in excess of $2.50 per note.

The agent or another affiliate of ours expects to realize hedging profits projected by its proprietary pricing models to the extent it assumes the risks inherent in hedging our obligations under the notes. If any dealer participating in the distribution of the notes or any of its affiliates conducts hedging activities for us in connection with the notes, that dealer or its affiliate will expect to realize a profit projected by its proprietary pricing models from such hedging activities. Any such projected profit will be in addition to the discount or concession received in connection with the sale of the notes to you.

  Denominations:  

$1,000 and any integral multiple of $1,000.

  CUSIP:

94986RH53

You May Not Receive Any Positive Return On Your Investment In The Notes. Any amount you receive on the notes at stated maturity in excess of the original offering price will depend on the percentage increase, if any, in the average ending price of the Basket relative to the starting price. Because the value of the Basket will be subject to market fluctuations, the average ending price may be less than the starting price, in which case you will only receive the original offering price of your notes at stated maturity. Even if the average ending price is greater than the starting price, the amount you receive at stated maturity may only be slightly greater than the original offering price, 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 or another issuer with a similar credit rating with the same stated maturity date.

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 and the accompanying product supplement entitled “United States Federal Tax Considerations.”

The Potential For A Positive Return On The Notes At Stated Maturity Is Based On The Average Performance Of The Basket Components During The Term Of The Notes, Which May Be Less Favorable Than The Performance Of The Basket As Measured From Its Starting Price To Its Value At Or Near Stated Maturity. The potential for a positive return on the notes at stated maturity is based on the average ending price, which will be calculated by reference to an average of the values of the basket components on calculation days occurring annually over the term of the notes. The average ending price, as so calculated, may be less than the value of the Basket at or near stated maturity. If the average ending price is less than the value of the Basket at or near stated maturity, the average performance of the Basket that is measured for purposes of the notes will be less favorable than the performance of the Basket as measured from its starting price to its value at or near stated maturity, which we refer to as its “point-to-point” performance. As a result, the return on the notes may underperform the point-to-point performance of the Basket and, therefore, may underperform the return that would have been achieved on a direct investment in the Basket held over the term of the notes.

The Notes Are Subject To The Credit Risk Of Wells Fargo. The notes are our obligations and are not, either directly or indirectly, an obligation of any third party. Any amounts payable under the notes are subject to our creditworthiness, and you will have no ability to pursue the shares of the basket components or any securities held by the basket components for payment. As a result, our actual and perceived creditworthiness may affect the value of the notes and, in the event we were to default on our obligations, you may not receive any amounts owed to you under the terms of the notes.

The Estimated Value Of The Notes On The Pricing 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 pricing 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, (ii) the projected profit that our hedge counterparty (which may be one of our affiliates) expects to realize for assuming risks inherent in hedging our obligations under the 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 funding rate that is generally lower than our secondary market rates. If the costs relating to selling, structuring, hedging and issuing the notes were

lower, or if the assumed funding 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 “Investment Description—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 consideration. Any such secondary market price for the notes will also be reduced by a bid-offer spread, which may vary depending on the aggregate face 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 consideration change significantly in your favor, any such secondary market price for the notes is likely to be less than the original offering price.

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 value of the Basket on any prior calculation days, the then-current value of the Basket, 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: Basket performance; interest rates; volatility of the Basket; correlation between the basket components; time remaining to maturity; dividend yields on the securities included in the Basket; and currency exchange rates. In addition to the derivative component factors, the value of the notes will be affected by actual or anticipated changes in our creditworthiness, as reflected in our secondary market rates. Because numerous factors are expected to affect the value of the notes, changes in the prices of the basket components may not result in a comparable change in the value of the notes.

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.

The Amount You Receive On The Notes Will Depend Upon The Performance Of The Basket And Therefore The Notes Are Subject To The Following Risks, As Discussed In More Detail In The Product Supplement:

Your Return On The Notes Could Be Less Than If You Owned The Shares Of The Basket Components. Your return on the notes will not reflect the return you would realize if you actually owned the shares of the basket components because,

among other reasons, the redemption amount will be determined by reference only to the average ending price, which will be calculated by reference only to the fund closing prices of the shares of the basket components without taking into consideration the value of dividends and other distributions paid on such shares.

Historical Prices Of The Basket Components Or The Securities Included In The Basket Components Should Not Be Taken As An Indication Of The Future Performance Of The Basket Components During The Term Of The Notes.

Changes That Affect The Basket Components Or The Underlying Indices May Affect The Value Of The Notes And The Amount You Will Receive At Stated Maturity.

We Cannot Control Actions By Any Of The Unaffiliated Companies Whose Securities Are Included In The Basket Components Or The Underlying Indices.

We And Our Affiliates Have No Affiliation With The Sponsors Of The Basket Components Or The Sponsors Of The Underlying Indices And Have Not Independently Verified Their Public Disclosure Of Information.

Changes In The Value Of The Basket Components May Offset Each Other. Price movements in the basket components may not correlate with each other. Even if the average component price of one or more of the basket components increases, the average component price of the other basket component(s) may not increase as much or may even decline in value. Therefore, in calculating the average ending price of the Basket, an increase in the average component price of one or more of the basket components may be moderated, or wholly offset, by a lesser increase or a decline in the average component price of the other basket component(s).

An Investment Linked To The Shares Of The Basket Components Is Different From An Investment Linked To The Underlying Indices. The performance of the shares of a basket component may not exactly replicate the performance of the related underlying index because the basket component may not invest in all of the securities included in the related underlying index and because the basket component will reflect transaction costs and fees that are not included in the calculation of the related underlying index. A basket component may also hold securities or derivative financial instruments not included in the related underlying index. It is also possible that a basket component may not fully replicate the performance of the underlying index due to the temporary unavailability of certain securities in the secondary market or due to other extraordinary circumstances. In addition, because the shares of a basket component are traded on a securities exchange and are subject to market supply and investor demand, the value of a share of a basket component may differ from the net asset value per share of such basket component. As a result, the performance of a basket component may not correlate perfectly with the performance of the related underlying index, and the return on the notes based on the performance of the basket components will not be the same as the return on securities based on the performance of the related underlying indices.

You Will Not Have Any Shareholder Rights With Respect To The Shares Of The Basket Components.

Anti-dilution Adjustments Relating To The Shares Of The Basket Components Do Not Address Every Event That Could Affect Such Shares.

An Investment In The Notes Is Subject To Risks Associated With Foreign Securities Markets. The iShares MSCI Emerging Markets ETF includes stocks of foreign companies and you should be aware that investments in securities linked to the value of foreign equity securities involve particular risks. Foreign securities markets may have less liquidity and may be more volatile than the U.S. securities markets, and market developments may affect foreign markets differently than U.S. securities markets. Direct or indirect government intervention to stabilize a foreign securities market, as well as cross-shareholdings in foreign companies, may affect trading prices and volumes in those markets. Also, there is generally less publicly available information about non-U.S. companies that are not subject to the reporting requirements of the Securities and Exchange Commission, and non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to U.S. reporting companies.

Exchange Rate Movements May Impact The Value Of The Notes. The notes will be denominated in U.S. dollars. Since the value of securities included in the iShares MSCI Emerging Markets ETF is quoted in a currency other than U.S. dollars and, as per the iShares MSCI Emerging Markets ETF, is converted into U.S. dollars or another currency, the amount payable on the notes on the maturity date will depend in part on the relevant exchange rates.

An Investment In The Notes Will Be Subject To Risks Associated With The Real Estate Industry. The iShares U.S. Real Estate ETF, because it is concentrated in the real estate industry, may be adversely affected not only by the performance of the real estate companies, such as real estate investment trusts (“REITs”) or real estate holding and development companies, in which it invests but also may be more susceptible to any single economic, market, political or regulatory occurrence affecting the real estate industry. Investment in the real estate industry is subject to many of the same risks associated with the direct ownership of real estate such as: the availability of financing for real estate; employment levels and job growth; interest rates; leverage, property, management and liquidity risks; consumer confidence; the availability of suitable undeveloped land; federal, state and local laws and regulations concerning the development of land and construction; home and commercial real estate sales; financing and environmental protection; and competition among companies which engage in the real estate business. The iShares U.S. Real Estate ETF is classified as “non-diversified.” A non-diversified fund generally may invest a larger percentage of its assets in the securities of a smaller number of issuers. As a result, the iShares U.S. Real Estate ETF may be more susceptible to the risks associated with these particular companies, or to a single economic, political or regulatory occurrence affecting these companies.

Risks Associated With Real Estate Investment Trusts Will Affect The Value Of The Notes. The iShares U.S. Real Estate ETF is composed of a variety of real estate related stocks including REITs. REITs invest primarily in income producing real estate or real estate related loans or interests. Investments in REITs, though not direct investments in real estate, are still subject to the risks associated with investing in real estate. The following are some of the conditions that might impact the structure of and cash flow generated by REITs and, consequently, the value of REITs and, in turn, the iShares U.S. Real Estate ETF: a decline in the value of real estate properties; extended vacancies of properties; increases in property and operating taxes; increased competition or overbuilding; a lack of available mortgage funds or other limits on accessing capital; tenant bankruptcies and other credit problems; limitation on rents, including decreases in market rates for rents; changes in zoning laws and governmental regulations; costs resulting from the clean-up of, and legal liability to third parties for damages resulting from environmental problems; investments in developments that are not completed or that are subject to delays in completion; risks associated with borrowing; changes in interest rates; casualty and condemnation losses; and uninsured damages from floods, earthquakes or other natural disasters.

The Stated Maturity Date May Be Postponed If The Final Calculation Day Is Postponed. A calculation day with respect to a basket component will be postponed if the originally scheduled calculation day is not a trading day with respect to that basket component or if the calculation agent determines that a market disruption event has occurred or is continuing with respect to a basket component on that calculation day. If such a postponement occurs with respect to the final calculation day, the stated maturity date will be the later of (i) the initial stated maturity date and (ii) three business days after the last final calculation day as postponed.

Our Economic Interests And Those Of Any Dealer Participating In The Offering Are Potentially Adverse To Your Interests. You should be aware of the following ways in which our economic interests and those of any dealer participating in the distribution of the 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.

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 fund closing prices of the basket components on each calculation day 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 with respect to a basket component on a scheduled calculation day, which may result in postponement of the calculation day with respect to that basket component; determining the fund closing price of a basket component if the calculation day is postponed with respect to that basket component to the last day to which it may be postponed and a market disruption event occurs on that day; adjusting the adjustment factor and other terms of the notes in certain circumstances; if a basket component undergoes a liquidation event, selecting a successor basket component or, if no successor basket component is available, determining the fund closing price of such basket component; and determining whether to adjust the fund closing price of a basket component on any calculation day in the event of certain changes in or modifications to the basket component or the underlying index. 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.

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 “Selected Risk Considerations—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.

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 prices of the basket components. 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 one or more of the basket components or the underlying indices or the companies whose securities are included in the basket components or the underlying indices. 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 one or more of the basket components or the underlying indices or the companies whose securities are included in the basket components or the underlying indices could adversely affect the prices of the applicable basket components and, therefore, adversely affect the value of and your return on the notes. You are encouraged to derive information concerning the basket components from multiple sources and should not rely on the views expressed by us or our affiliates or any participating dealer or its affiliates. In addition, any research reports on one or more of the basket components or the underlying indices or the companies whose securities are included in the basket components or the underlying indices published on or prior to the pricing date could result in an increase in the prices of the basket components on the pricing date, which would adversely affect investors in the notes by increasing the prices at which the basket components must close on each calculation day in order for investors in the notes to receive a favorable return.

Business activities of our affiliates or any participating dealer or its affiliates with the companies whose securities are included in the basket components may adversely affect the prices of the basket components. Our affiliates or any participating dealer or its affiliates may, at present or in the future, engage in business with the companies whose securities are included in the basket components or the underlying indices, 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 prices of the basket components 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 basket components or the underlying indices. 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.

Hedging activities by our affiliates or any participating dealer or its affiliates may adversely affect the prices of the basket components. 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 shares of the basket components, securities included in the basket components or the underlying indices or listed or over-the-counter derivative or synthetic instruments related to the basket components or such securities. Depending on, among other things, future market conditions, the aggregate amount and the composition of such positions are likely to vary over time. To the extent that our hedge counterparties have a long hedge position in shares of the basket components or any of the securities included in the basket components or the underlying indices, or derivative or synthetic instruments related to the basket components or such securities, they may liquidate a portion of such holdings at or about the time of a calculation day or at or about the time of a change in the securities included in the basket components or the underlying indices. These hedging activities could potentially adversely affect the prices of the shares of the basket components and, therefore, adversely affect the value of and your return on the notes.

Trading activities by our affiliates or any participating dealer or its affiliates may adversely affect the prices of the basket components. Our affiliates or any participating dealer or its affiliates may engage in trading in the shares of the basket components or the securities included in the basket components or the underlying indices and other instruments relating to the basket components or such securities on a regular basis as part of their general broker-dealer and other businesses. Any of these trading activities could potentially adversely affect the prices of the shares of the basket components and, therefore, adversely affect the value of and your return on the notes.

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.

the hypothetical percentage change from the starting price to the hypothetical average ending price;

the hypothetical redemption amount payable at stated maturity per note;

the hypothetical total pre-tax rate of return; and

the hypothetical pre-tax annualized rate of return.

Hypothetical

average ending

price

Hypothetical

percentage change

from the starting price

to the hypothetical

average ending price

Hypothetical

redemption amount

payable at

stated maturity

per note

Hypothetical

pre-tax total

rate of return

Hypothetical

pre-tax

annualized

rate of return⁽¹⁾

The annualized rates of return are calculated on a semi-annual bond equivalent basis with compounding.

The starting price.

SPDR S&P 500 ETF

Trust

iShares MSCI

Emerging Markets

ETF

iShares U.S. Real Estate

ETF

  Initial Component Price

  Average Component Price

  Average Component Return  

  x  115%  

  =  $1,525.16

SPDR S&P 500 ETF

Trust

iShares MSCI

Emerging Markets

ETF

iShares U.S. Real Estate

ETF

  Initial Component Price

  Average Component Price

  Average Component Return  

SPDR S&P 500 ETF

Trust

iShares MSCI

Emerging Markets

ETF

iShares U.S. Real Estate

ETF

  Initial Component Price

  Average Component Price

  Average Component Return  

  x  115%  

  =  $1,621.80

SPDR S&P 500 ETF

Trust

iShares MSCI

Emerging Markets

ETF

iShares U.S. Real Estate

ETF

  Initial Component Price

  Average Component Price

  Average Component Return  

2006

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2007

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2008

First Quarter

Second Quarter

Third Quarter

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2009

First Quarter

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2010

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2011

First Quarter

Second Quarter

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2012

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2013

First Quarter

Second Quarter

Third Quarter

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2014

First Quarter

Second Quarter

Third Quarter

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2015

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2016

January 1, 2016 to March 11, 2016

2006

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2007

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2008

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2009

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2010

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2011

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2012

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2013

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2014

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2015

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2016

January 1, 2016 to March 11, 2016

2006

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2007

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2008

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2009

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2010

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2011

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2012

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2013

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2014

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2015

First Quarter

Second Quarter

Third Quarter

Fourth Quarter

2016

January 1, 2016 to March 11, 2016

Original Issue Date through June 30, 2016

July 1, 2016 through December 31, 2016

January 1, 2017 through June 30, 2017

July 1, 2017 through December 31, 2017

January 1, 2018 through June 30, 2018

July 1, 2018 through December 31, 2018

January 1, 2019 through June 30, 2019

July 1, 2019 through December 31, 2019

January 1, 2020 through June 30, 2020

July 1, 2020 through December 31, 2020

January 1, 2021 through June 30, 2021

July 1, 2021 through December 31, 2021

January 1, 2022 through the Maturity Date