Final Term Sheet to Pricing Supplement No. 978

Filed Pursuant to Rule 433
Registration No. 333-202840

Wells Fargo & Company

Market Linked Securities

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Market Linked Securities – Auto-Callable with Fixed Percentage Buffered Downside

 

Principal at Risk Securities Linked to the EURO STOXX 50® Index due February 8, 2021

 

Final Term Sheet to Pricing Supplement No. 978 dated January 31, 2018

 

Summary of terms

 

Issuer   Wells Fargo & Company
Term   Approximately 3 years (unless earlier called)
Market Measure    EURO STOXX 50® Index (the “Index”)
Pricing Date   January 31, 2018
Issue Date   February 7, 2018

Original Offering

Price

   $1,000 per security (100% of par)
Automatic Call   If the closing level of the Index on any call date (including the final calculation day) is greater than or equal to the starting level, the securities will be automatically called for the original offering price plus the call premium applicable to that call date. See “Call Dates and Call Premiums” on page 3
Call Dates   February 7, 2019; February 7, 2020; and February 1, 2021

Call Settlement

Date

   Five business days after the applicable call date (if the securities are called on the last call date, the call settlement date will be the stated maturity date)

Payment at

Maturity

   See “How the payment at maturity is calculated” on page 3

Stated Maturity

Date

   February 8, 2021
Starting Level   3609.29 (the closing level of the Index on the pricing date)
Ending Level   The closing level of the Index on the final calculation day
Threshold Level   3248.361 (90% of the starting level)

Calculation

Agent

   Wells Fargo Securities, LLC, an affiliate of the issuer
Denominations   $1,000 and any integral multiple of $1,000
Agent Discount   1.825%; dealers, including those using the trade name Wells Fargo Advisors (WFA), may receive a selling concession of up to 1.75% and WFA will receive a distribution expense fee of 0.075%
CUSIP   95000E4Z9

Investment description

 

•   Linked to the EURO STOXX 50® Index

 

•   Unlike ordinary debt securities, the securities do not pay interest, do not repay a fixed amount of principal at maturity and are subject to potential automatic call upon the terms described below. Any return you receive on the securities and whether they are automatically called will depend on the performance of the Index

 

•   Automatic Call. If the closing level of the Index on any call date is greater than or equal to the starting level, the securities will be automatically called, and on the related call settlement date, you will receive the original offering price plus the call premium applicable to that call date

 

Call Date     Call Premium

February 7, 2019

   8.00% of the original offering price

February 7, 2020

   16.00% of the original offering price

February 1, 2021 (the “final calculation day”)

   24.00% of the original offering price

 

•   Payment at Maturity. If the securities are not automatically called prior to the final calculation day, the payment at maturity will be based upon the closing level of the Index on the final calculation day and could be greater than, equal to or less than the original offering price per security as follows:

o If the level of the Index increases or remains flat:

The securities will be automatically called for the original offering price plus the call premium applicable to the final calculation day described above

o If the level of the Index decreases but the decrease is not more than 10%:

You will be repaid the original offering price

o If the level of the Index decreases by more than 10%:

You will receive less than the original offering price and will have 1-to-1 downside exposure to the decrease in the level of the Index in excess of 10%

 

•   Investors may lose up to 90% of the original offering price

 

•   Any positive return on the securities will be limited to the applicable call premium

 

•   All payments on the securities are subject to the credit risk of Wells Fargo & Company, and you will have no ability to pursue any securities included in the Index 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
 

On the date of the accompanying pricing supplement, the estimated value of the securities is $951.60 per security. The estimated value of the securities was determined for the issuer by Wells Fargo Securities, LLC using its proprietary pricing models. It is not an indication of actual profit to the issuer or to Wells Fargo Securities, LLC or any of the issuer’s other affiliates, nor is it an indication of the price, if any, at which Wells Fargo Securities, LLC or any other person may be willing to buy the securities from you at any time after issuance. See “Investment Description” in the accompanying pricing supplement.

The securities have complex features and investing in the securities involves risks not associated with an investment in conventional debt securities. See “Selected Risk Considerations” in this term sheet and “Risk Factors” in the accompanying pricing supplement.

 

 

This final term sheet should be read in conjunction with the accompanying pricing supplement, market measure supplement, prospectus supplement and prospectus.

NOT A BANK DEPOSIT AND NOT INSURED OR GUARANTEED BY THE FDIC OR ANY OTHER GOVERNMENTAL AGENCY

 

Hypothetical payout profile

 

The profile to the right illustrates the potential payment on the securities for a range of hypothetical percentage changes in the closing level of the Index from the pricing date to the applicable call date (including the final calculation day). The profile is based on a call premium of 8.00% for the first call date, 16.00% for the second call date and 24.00% for the third call date and a threshold level equal to 90% of the starting level.

 

This graph has been prepared for purposes of illustration only. Your actual return will depend on (i) whether the securities are automatically called; (ii) if the securities are automatically called, the actual call date on which the securities are called; (iii) if the securities are not automatically called, the actual ending level; and (iv) whether you hold your securities to the call settlement date or maturity.

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Hypothetical returns

If the securities are automatically called:

 

Hypothetical call date

on which securities

are automatically

called

  

Hypothetical

payment per

security on

related call

settlement date

  

Hypothetical

pre-tax total

rate of

return

  

Hypothetical

pre-tax

annualized

rate of

return(1)

1st call date

   $1,080.00   8.00%   7.70%

2nd call date

   $1,160.00   16.00%   7.49%

3rd call date

   $1,240.00   24.00%   7.29%

Each security has an original offering price of $1,000.

 

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

If the securities are not automatically called:

 

Hypothetical

ending level

  

Hypothetical

percentage change

from the hypothetical

starting level to the

hypothetical ending

level

  

Hypothetical

payment at

stated maturity

per security

  

Hypothetical

pre-tax total

rate of

return

  

Hypothetical

pre-tax

annualized

rate of

return(1)

95.00

   -5.00%   $1,000.00   0.00%   0.00%

90.00

   -10.00%   $1,000.00   0.00%   0.00%

89.00

   -11.00%   $990.00   -1.00%   -0.33%

80.00

   -20.00%   $900.00   -10.00%   -3.48%

75.00

   -25.00%   $850.00   -15.00%   -5.33%

50.00

   -50.00%   $600.00   -40.00%   -16.29%

25.00

   -75.00%   $350.00   -65.00%   -32.05%

0.00

   -100.00%   $100.00   -90.00%   -63.65%

Assumes a hypothetical starting level of 100.00. The hypothetical starting level of 100.00 has been chosen for illustrative purposes only and does not represent the actual starting level. The actual starting level is set forth under “Summary of Terms” above. For historical data regarding the actual closing levels of the Index, see the historical information set forth below and under the section titled “The EURO STOXX 50® Index” in the accompanying pricing supplement. Each security has an original offering price of $1,000.

 

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

The above figures are for purposes of illustration only and may have been rounded for ease of analysis. The actual amount you receive upon automatic call or at stated maturity and the resulting pre-tax rate of return will depend on (i) whether the securities are automatically called; (ii) if the securities are automatically called, the actual call date on which the securities are called; and (iii) if the securities are not automatically called, the actual starting level and the actual ending level.

 

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Call Dates and Call Premiums

 

Call Date   Call Premium  

Payment per Security upon

an Automatic Call

February 7, 2019   8.00% of the original offering price   $1,080.00
February 7, 2020   16.00% of the original offering price   $1,160.00
February 1, 2021 (the “final calculation day”)   24.00% of the original offering price   $1,240.00

The last call date is the final calculation day, and payment upon an automatic call on the final calculation day, if applicable, will be made on the stated maturity date.

How the payment at maturity is calculated

If the closing level of the Index is less than the starting level on each of the three call dates, the securities will not be automatically called, and on the stated maturity date you will receive a payment at maturity per security determined as follows:

 

•   If the ending level is less than the starting level, but greater than or equal to the threshold level, the payment at maturity will be equal to $1,000

 

•   If the ending level is less than the threshold level, the payment at maturity will be equal to $1,000 minus

 

      $1,000 ×     threshold level – ending level      
        starting level      

Any positive return on the securities will be limited to the applicable call premium, even if the closing level of the Index significantly exceeds the starting level on the applicable call date. You will not participate in any appreciation of the Index beyond the applicable call premium. If the securities are not automatically called prior to the final calculation day and the ending level is less than the threshold level, you will receive less, and possibly 90% less, than the original offering price of your securities at maturity.

EURO STOXX 50® Index daily closing levels*

 

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*The graph above sets forth the daily closing levels of the Index for the period from January 1, 2008 to January 31, 2018. The closing level on January 31, 2018 was 3609.29. The historical performance of the Index is not an indication of the future performance of the Index during the term of the securities.

 

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Selected risk considerations

The risks set forth below are discussed in detail in the “Risk Factors” section in the accompanying pricing supplement. Please review those risk disclosures carefully.

 

•   If The Securities Are Not Automatically Called And The Ending Level Is Less Than The Threshold Level, You Will Receive Less, And Possibly 90% Less, Than The Original Offering Price Of Your Securities At Maturity.

 

•   No Periodic Interest Will Be Paid On The Securities.

 

•   The Potential Return On The Securities Is Limited To The Call Premium.

 

•   You Will Be Subject To Reinvestment Risk.

 

•   The Securities Are Subject To The Credit Risk Of Wells Fargo.

 

•   The Estimated Value Of The Securities On The Pricing Date, Based On Wells Fargo Securities, LLC’s Proprietary Pricing Models, Is Less Than The Original Offering Price.

 

•   The Estimated Value Of The Securities Is Determined By The Issuer’s Affiliate’s Pricing Models, Which May Differ From Those Of Other Dealers.

 

•   The Estimated Value Of The Securities Is Not An Indication Of The Price, If Any, At Which Wells Fargo Securities, LLC Or Any Other Person May Be Willing To Buy The Securities From You In The Secondary Market.

 

•   The Value Of The Securities Prior To Stated Maturity Will Be Affected By Numerous Factors, Some Of Which Are Related In Complex Ways.

 

•   The Securities Will Not Be Listed On Any Securities Exchange And The Issuer Does Not Expect A Trading Market For The Securities To Develop.

 

•   Historical Levels Of The Index Should Not Be Taken As An Indication Of The Future Performance Of The Index During The Term Of The Securities.

 

•   Changes That Affect The Index May Adversely Affect The Value Of The Securities And The Amount You Will Receive At Stated Maturity.

 

•   The Issuer Cannot Control Actions By Any Of The Unaffiliated Companies Whose Securities Are Included In The Index.

 

•   The Issuer And Its Affiliates Have No Affiliation With The Index Sponsor And Have Not Independently Verified Its Public Disclosure Of Information.

 

•   An Investment In The Securities Is Subject To Risks Associated With Foreign Securities Markets.

 

•   A Call Settlement Date And The Stated Maturity Date May Be Postponed If A Calculation Day Is Postponed.

 

•   The Issuer’s Economic Interests And Those Of Any Dealer Participating In The Offering Are Potentially Adverse To Your Interests.

 

  •   The Calculation Agent Is An Affiliate Of The Issuer And May Be Required To Make Discretionary Judgments That Affect The Return You Receive On The Securities.

 

  •   The Estimated Value Of The Securities Was Calculated By An Affiliate Of The Issuer And Is Therefore Not An Independent Third-Party Valuation.

 

  •   Research Reports By Affiliates Of The Issuer Or Any Participating Dealer Or Its Affiliates May Be Inconsistent With An Investment In The Securities And May Adversely Affect The Level Of The Index.

 

  •   Business Activities Of Affiliates Of The Issuer Or Any Participating Dealers Or Its Affiliates With The Companies Whose Securities Are Included In The Index May Adversely Affect The Level Of The Index.

 

  •   Hedging Activities By Affiliates Of The Issuer Or Any Participating Dealer Or Its Affiliates May Adversely Affect The Level Of The Index.

 

  •   Trading Activities By Affiliates Of The Issuer Or Any Participating Dealer Or Its Affiliates May Adversely Affect The Level Of The Index.

 

  •   A Participating Dealer Or Its Affiliates May Realize Hedging Profits Projected By Its Proprietary Pricing Models In Addition To Any Selling Concession And/Or Distribution Expense Fee, Creating A Further Incentive For The Participating Dealer To Sell The Securities To You.

 

•   The U.S. Federal Tax Consequences Of An Investment In The Securities Are Unclear.

 

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Not suitable for all investors

Investment suitability must be determined individually for each investor. The securities described herein are not a suitable investment for all investors. In particular, no investor should purchase the securities unless they understand and are able to bear the associated market, liquidity and yield risks. Unless market conditions and other relevant factors change significantly in your favor, a sale of the securities prior to maturity is likely to result in sale proceeds that are substantially less than the original offering price per security. Wells Fargo Securities, LLC and its affiliates are not obligated to purchase the securities from you at any time prior to maturity.

The issuer has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, the issuer, any underwriter or any dealer participating in the offering will arrange to send you the prospectus if you request it by calling your financial advisor or by calling Wells Fargo Securities at 866-346-7732.

Not a research report

This material was prepared by Wells Fargo Securities, LLC, a registered broker-dealer and separate non-bank affiliate of Wells Fargo & Company. This material is not a product of Wells Fargo & Company or Wells Fargo Securities, LLC research departments.

Consult your tax advisor

Investors should review carefully the accompanying pricing supplement, market measure supplement, prospectus supplement and prospectus and consult their tax advisors regarding the application of the U.S. federal tax laws to their particular circumstances, as well as any tax consequences arising under the laws of any state, local or non-U.S. jurisdiction.

The EURO STOXX 50® is the intellectual property (including registered trademarks) of STOXX Limited (“STOXX”), Zurich, Switzerland and/or its licensors (“Licensors”), which is used under license.

Wells Fargo Advisors is a trade name used by Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC, members SIPC, separate registered broker-dealers and non-bank affiliates of Wells Fargo & Company.

 

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