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Why Consider Market Linked CDs and Notes

Tuesday, December 4, 2012 at 4:15 p.m. (EDT)

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S&P Dow Jones Indices emphasizes to participants that Cary Immesoete, Eric Miller, Tim Mortimer, Deryk Rhodes and Keith Styrcula are guest speakers and are not affiliated with S&P Dow Jones Indices and that S&P Dow Jones Indices is not providing endorsements as to the opinions expressed which are those of the guest speakers for this webinar. S&P Dow Jones Indices offers no guarantees or warranties as to the accuracy and reliability of opinions expressed.

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Bernd Henseler, CFA

4

Vice President, Structured Products Channel

S&P Dow Jones Indices

Bernd Henseler is vice president at S&P Dow Jones Indices, responsible for the channel management efforts for structured products globally.

Prior to joining S&P Dow Jones Indices, Bernd was a vice president at an independent asset manager in Toronto. Before that, Bernd was an executive director for Morgan Stanley, London, in the retail structured products group where he was responsible for setting up a structured products platform and development of investment solutions for private clients. Prior to Morgan Stanley, Bernd was a vice president for the equity structured products platform at Deutsche Bank in Frankfurt and London. He also worked as vice president at Sal. Oppenheim in Frankfurt in the equity derivatives department developing solutions for private and corporate clients and extending the structured products offerings.

Bernd is a CFA charter holder. He holds a master’s degree in business administration from Indiana, University of Pennsylvania and a Diplom Kaufmann degree in business administration and finance from Gerhard-Mercator University in Duisburg.


Keith Styrcula

5

Moderator

Founder and Chairman

Structured Products Association

Keith Styrcula is the founder and chairman of the Structured Products Association and was a senior marketer in JPMorgan’s Structured Solutions group until January 2006.

His career started in 1991 when he joined CSFB’s Legal Department from Fordham University School of Law to oversee legal, regulatory and compliance issues related to First Boston’s derivatives effort. While practicing as a derivatives attorney, he was a member of the FIA Law & Compliance Executive Committee, the SIA Options and Derivatives committee and served on the Business Conduct Committee of the Philadelphia Stock Exchange.

He moved to the business side of equity derivatives in February 1997, reporting to the head of equity derivatives at SBC Warburg (renamed UBS following the merger). At UBS, he created the first structured product linked to the Dow Jones Industrial Average (issued by IBM). He returned to CSFB in July 2000 to launch the structured products platform for the newly acquired DLJ Private Client Services group, which placed $1.2 billion in its first year. He founded the 1,700-member Structured Products Association in August 2003. www.structuredproducts.org.

He is frequently quoted in the financial media as an authority on derivatives, structured products and the next generation of investments for U.S. and was profiled in the February 2004 issue of Risk magazine on his vision for the future of structured investments. The March 2006 issue of Structured Products Magazine interviewed him on his groundbreaking new structured products platform he launched in the U.S.


Cary Immesoete

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Managing Director, Product Development and External Distribution

Wells Fargo

Cary is Managing Director of Product Development and Marketing for the Customized Investment Solutions Group. In this capacity, Cary and his team develop, offer and issue Market Linked Notes and CDs to Retail, Mass Affluent and High Net-Worth clients.

Cary joined the Wells Fargo Corporate Development Group as a Mergers and Acquisitions Specialist in February 2000. While in Corporate Development, he participated in the negotiation, analysis, and due diligence of numerous transactions, including the acquisitions of Montgomery Asset Management, First Security Corporation and Strong Financial Corporation.

Cary received a M.A. in economics as well as a M.B.A. from SUNY at Buffalo. He completed his undergraduate studies at the University of Rochester with bachelor’s degrees in Physics and in Economics.


Eric Miller

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Managing Director, Wealth Management Structured Products Marketing

HSBC Bank USA, N.A.

Eric has been advising high net worth individuals and their consultants on the use of derivatives for risk management and structured investments for seventeen years. He joined HSBC to assist in the effort to distribute structured investments through third party channels. Prior to joining HSBC, he held head of structured product sales roles at Natixis and ABN AMRO. At ABN AMRO, he created the S-NoteSM marketing concept for educating third-parties and their advisors on the appropriate positioning of structured products to clients with varying risk tolerance and asset allocation needs.

Before joining ABN AMRO, Eric worked at UBS, where upon UBS's acquisition of PaineWebber, he was chosen to lead the effort to distribute derivatives through their wealth management channel. Prior to that, Eric was at Lehman Brothers where he was involved in hedging, monetization and structured product solutions for Lehman's private client services group in the U.S. and Latin America.

Eric received his M.B.A. from the Kellogg School at Northwestern University. He has a B.S. in Computer Engineering from the University of Rhode Island and a Masters Degree in Electrical Engineering from Clemson University.


Deryk Rhodes

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Vice President, Structured Investments Group

Incapital LLC

Deryk Rhodes is Vice President with Incapital LLC’s Structured Investments Group. Mr. Rhodes is responsible for the distribution of both new issue and secondary structured retail products globally across all asset classes.

Deryk joined Incapital in November 2010. Deryk was formerly with Newbridge Securities as head of structured products trading. Prior to joining Newbridge, Mr. Rhodes was a director at Citigroup focusing on structured products sales to third party dealers and institutional accounts. Previously, Deryk was vice president within the structured products structuring and trading group at Nomura Securities.

Mr. Rhodes has been a frequent speaker at industry conferences and is regularly quoted in investment journals.


Tim Mortimer

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Managing Director

Future Value Consultants

Tim Mortimer is Managing Director of Future Value Consultants, a research, product design and analytics consultancy specialising in structuring products.

He has worked for 20 years in derivatives and structured products, previously as a Quantitative analyst at Paribas, UBS and Zurich Capital Markets before founding FVC in 1998.

His experience includes model development and product structuring as well as the business, mathematical and technical aspects of creating innovative services in the structured product market. His passion is for bringing powerful and accessible tools which help the transparency and education process in financial markets.


Featured Content, Learn More… Look out for complimentary copies of the latest Market Attributes publications in our “Thank You” email. Sign up to receive future index-related research, commentary and educational publications at www.spdji.com/spindices

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Market Linked Certificates of Deposit

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Innovative ways to pursue your investment strategy

Investors are challenged to find the optimal balance between risk and reward in their portfolios. One way to potentially achieve growth while also reducing market risk is to invest in a Market Linked CD. Investing in Market Linked CDs can be an effective strategy to participate in the appreciation of various asset classes while limiting downside exposure when held to maturity.

•Market Linked Certificates of Deposit (CDs) can provide a creative solution for investors looking to gain access to the markets while reducing

their exposure to market risk when held to maturity.

•Before making an investment decision, please work with your financial advisor to determine which investment products may be appropriate given your financial situation,

investment goals and risk profile. If you and your financial advisor determine that a Market Linked CD investment may be suitable for your portfolio, this brochure will help you better understand the potential benefits, risks, considerations and features associated with these

products.

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What are Market Linked Certificates of Deposit?

Wells Fargo Securities partners with Wells Fargo Bank and other FDIC insured institutions (the Issuer) to issue Market Linked CDs. Unlike traditional CDs, Market Linked CDs typically offer no fixed coupon and instead provide an interest payment at maturity based on the performance of an underlying market measure. Market measures may include, but are not limited to, equity indices such as the Standard & Poor’s (S&P) 500® Index or Russell 2000® Index, a basket of stocks, a basket of commodities or commodity indices, a basket of currencies, or an inflation benchmark such as the Consumer Price Index (CPI).

•Market Linked CDs provide for the return of your original deposit amount at maturity while also offering the potential for capital appreciation based

on the performance of a specified market measure.

•Characteristics

•Maturity. Typically between two and 10 years

•Market measure. Linked to the performance of equities, currencies, commodities, interest rates, or a combination of one or more asset classes

•Minimum investment. Available in increments of $1,000, typically with a $4,000 minimum investment

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Advantages

•Some of the advantages of investing in a Market Linked CD include:

•Market risk reduction. Repayment of the original deposit amount, if held to maturity, subject to the creditworthiness of the Issuer. FDIC insurance applies up to applicable limits

•Convenience. A single strategy designed to help protect against market risk losses if held to maturity, while offering the opportunity to generate interest based on the performance of

various underlying asset classes, subject to creditworthiness of the Issuer

•Return diversification. Interest exposure to a variety of markets, including domestic and international equities, commodities, currencies and fixed income

•Sophistication. Participation in investment opportunities that may otherwise be difficult to replicate as an individual investor

•15

Risks and considerations

•As an investor, your should consider these risks when investing in Market Linked CDs:

•Performance risk. While Market Linked CDs provide for a return of the deposit amount at maturity, there is generally no assurance of any return above the deposit amount. The return generated by the Market

Linked CD, if any, may be less than the return that could have been achieved by investing directly in the underlying market measure or in a conventional interest-bearing deposit with a similar maturity to the

Market Linked CD. The return of certain Market Linked CDs may be limited by a predetermined maximum return.

•Liquidity risk. Investors may not have the right to withdraw the deposit amount of a Market Linked CD prior to its maturity date. Market Linked CDs are only appropriate for investors who do not have liquidity

needs prior to maturity.

•Market risk. Investors may be unable to sell their Market Linked CDs prior to their maturity date and the value of the Market Linked CDs prior to maturity will be affected by numerous factors. There is no

assurance that a secondary market will develop. If an investor chooses to sell a Market Linked CD prior to maturity, assuming a buyer is available, the investor may receive substantially less in sale proceeds than

the deposit amount of the Market Linked CD.

•Costs. The inclusion of placement fees and structuring and development costs in the issue price of the Market Linked CDs and certain hedging costs are likely to adversely affect the price at which investors can

sell their Market Linked CDs.

•16

Risks and considerations (continued)

•Credit risk. Although Market Linked CDs are FDIC-insured, any investment in a Market Linked CD that exceeds the applicable FDIC insurance limits is subject to the credit risk of the Issuer.

o Insolvency of the Issuer may result in early payment of the CDs.

•

•Tax treatment. An investor who owns a Market Linked CD that is treated as a contingent payment debt instrument will be required to pay taxes on imputed interest income at ordinary income-tax rates each

year over the term of the Market Linked CD, based on the Issuer’s estimated comparable yield, even though the investor may not receive any interim interest payments. In addition, any gain or loss realized

upon sale, early redemption or at maturity of a contingent payment debt instrument will generally be treated as ordinary income, based on the investor’s adjusted tax basis. This tax treatment applies unless

the investor owns the Market Linked CD in a qualified tax-exempt or tax-deferred account such as an IRA. More information about tax consequences is available in the Disclosure Statement. For complete tax

advice, clients should consult their tax professionals.

•Call risk. A Market Linked CD may be callable at the option of the Issuer. If the Issuer exercises its call right, it will pay the call price on the call date. The Issuer has no obligation to call a callable Market Linked CD and any decision to call a callable Market Linked CD will be made in its sole discretion when it is most advantageous for the Issuer to do so. If a Market Linked CD is called, it is possible that the investor may not be able to reinvest the proceeds at the same or greater yield, which is described as reinvestment risk.

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Market Linked Certificate of Deposit features

Return of deposit amount at maturity. The investor will receive at least 100% of the original deposit amount at maturity, subject to the creditworthiness of the Issuer.

Supplemental interest payment calculation. There are numerous ways that the performance of the market measure can be calculated. The precise return methodology of a particular Market Linked CD and examples of calculations can be found in the Preliminary Terms Supplement.

Minimum interest. Some Market Linked CDs may pay a minimum interest amount at maturity with the opportunity to earn a greater interest payment linked to the performance of the underlying market measure.

•Terms of a Market Linked CD will vary from one offering to the next. Potential investors must read the applicable Preliminary Terms Supplement

and Disclosure Statement and consider the following

•aspects of each Market Linked CD before investing.

•18

Market Linked Certificate of Deposit features (continued)

Estate feature. In the event of death of the beneficial owner of the Market Linked CD, the estate feature allows the owner’s estate to redeem the Market Linked CD at par prior to maturity.

FDIC insurance. The FDIC standard maximum deposit insurance amount (MDIA) is $250,000 per depositor per FDIC-insured institution. The MDIA refers to all deposits held by a depositor in the same account ownership category at a single FDIC-insured institution. There is no maximum limit on the amount that may be deposited in Market Linked CDs, but the FDIC deposit insurance only covers Market Linked CDs up to the insurance limit, including the aggregate of the deposit amount and any interest that has been finally determined, through the date of the insured bank’s closing. The FDIC has taken the position that any interest that has not yet been ascertained or finally determined and any secondary market premium paid by an investor above the deposit amount of the CD are not insured by the FDIC. Furthermore, FDIC insurance does not apply to secondary market trading losses. See “Deposit Insurance” in the Disclosure Statement.

•19

Return characteristics at maturity

•Unlike traditional certificates of deposit, Market Linked CDs typically do not offer a fixed rate of return. Instead, Market Linked CDs offer an interest payment at maturity based on the performance of an

underlying market measure.

•Example 1: Price of market measure has decreased.

•All Market Linked CDs provide for the return of your original deposit amount at maturity, subject to the

creditworthiness of the Issuer, even if the market measure has decreased.

•Example 2: Price of market measure has increased.

•In addition to the deposit amount, investors have the potential to receive an interest payment at maturity based on

the performance of the underlying market measure.

•The market linked interest payment is dependent upon the performance of the referenced underlying asset and the return calculation. Each Market Linked CD is unique and you should thoroughly familiarize

yourself with all the terms and conditions (described in the Preliminary Terms Supplement and Disclosure Statement) before making an investment decision.

•20

Value prior to maturity

•The value of a Market Linked CD will fluctuate between inception and maturity. Market linked CDs provide for the return of the deposit amount only at maturity and selling a Market Linked CD prior to

maturity may result in a loss.

•The value of a Market Linked CD will depend on many factors, such as underlying asset performance, interest rates, market volatility and time remaining

to maturity. Notice that the value of a Market Linked CD can be above or below par between inception and

maturity. If the Market Linked CD is sold prior to maturity, you may receive substantially less in sale

proceeds than the original deposit amount.

•21

Who should consider investing in Market Linked Certificates of Deposit?

•Market Linked CDs can be used as an alternative to a direct investment, as part of an overall asset allocation strategy, or as a portfolio risk-reduction tool.

•The volatility frequently associated with financial markets can make investors hesitant to consider a direct investment in certain asset classes. Furthermore, it may be difficult for

individual investors to access particular asset classes and/or strategies directly. These issues may lead investors to favor traditional fixed income investments, which are typically less

volatile than riskier asset classes. However, a portfolio that excludes these asset classes may also reduce an investor’s long term growth potential.

•Market Linked CDs may be an alternative for investors who are seeking growth, but want to reduce market risk within their portfolios. Market Linked CDs can help investors with both

of these goals by providing the opportunity to participate in market gains (equity, commodity, foreign exchange or fixed income) while protecting against a decline in the

market measure at maturity, subject to the creditworthiness of the Issuer. In some cases, Market Linked CDs can give investors access to markets that may be difficult for individual

investors to access directly.

•22

Who should consider investing in Market Linked Certificates of Deposit?

•Market Linked CDs may be an alternative for investors who:

o Are risk-averse and want an investment that provides for the return of their original deposit amount at maturity.

o Seek exposure to a market measure, but understand that a Market Linked CD will return only the deposit amount at maturity if the underlying performance is

negative, subject to the creditworthiness of the Issuer.

o Do not anticipate the need for liquidity from the investment prior to maturity.

•

•After reviewing your investment objectives, risk preferences and market views, you may determine that Market Linked CDs are suitable for your portfolio. For more information on

Market Linked CDs, please contact your Financial Advisor.

•23

About Wells Fargo Securities

•Wells Fargo Securities is a comprehensive, customer-focused capital markets and investment banking firm serving corporations, financial institutions and public entities of all sizes throughout the United States, Latin America, Asia and

Europe. Wells Fargo Securities is a market leader in debt and equity underwriting, mergers and acquisitions, loan syndications, debt and equity sales and trading, tax-exempt products, and research and economics.

•We strive to design innovative ways to help clients meet their investment goals. Our monthly calendar of offerings is organized to allow investors to strategically allocate funds to investments that feature a range of maturities and investment

themes.

•A legacy of financial innovation

•Since 1852, Wells Fargo has helped generations of clients realize their dreams, beginning with the pivotal role we played in building America. We are honored to be among a select few companies who have remained in the same business for more

than 150 years.

•Today, Wells Fargo & Company is a diversified financial services company with more than $1 trillion in assets, providing banking, insurance, investments, mortgage and consumer finance through almost 11,000 Wells Fargo and Wachovia stores

and the internet (wellsfargo.com) across North America and internationally.

•Always read the Preliminary Terms Supplement and Disclosure Statement

•Market Linked CDs are offered with a Preliminary Terms Supplement and Disclosure Statement. Investors should read and consider these two documents carefully before investing. Prior to investing, always consult your Financial Advisor to

understand the investment structure in detail.

•For more information about Market Linked CDs and what structures are currently available for investment, contact your Financial Advisor who can advise you of whether or not a particular offering may meet your individual needs and

investment requirements.

•24

•A sale of a Market Linked CD prior to maturity is subject to market value fluctuation such that proceeds from the sale could be substantially less than the original deposit amount. The Market Linked CD may not be a suitable investment for all investors. In particular, no investor should purchase a Market Linked CD unless they

understand and are able to bear the associated market, liquidity and yield risks. Investors should also understand the credit risk associated with the issuer of the Market Linked CDs. If the market linked component of the Market Linked CD does not appreciate, an investor will only receive the original deposit amount at

maturity subject to the creditworthiness of the issuer (unless a minimum return is specified) and lose the time value of money. See offering terms supplement and disclosure statement for further details.

•Wells Fargo Securities is the trade name for certain capital markets and investment banking services of Wells Fargo & Company and its subsidiaries, including Wells Fargo Securities, LLC, a member of NYSE, FINRA, and SIPC, Wells Fargo Institutional Securities, LLC a member of FINRA and SIPC, and Wells Fargo Bank, National Association. Wells Fargo cannot provide tax advice. Please see your tax advisor to determine how this information may apply to your own situation. Indexes represent securities widely held by investors. You cannot invest directly in an index. “Standard & Poor’s®,” “S&P®,” “S&P 500®,” “Standard & Poor’s 500®,” and “500®” are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by Wells Fargo. Any Market Linked CDs based on the performance of the S&P 500

Index are not sponsored, endorsed, sold, or promoted by Standard & Poor’s and Standard & Poor’s makes no representation regarding the advisability of investing in the Market Linked CDs. “Russell 2000®” is a trademark of Frank Russell Company, doing business as Russell Investment Group (“Russell”), and has been licensed

for use by an affiliate of the Bank. The CDs, based on the performance of the Russell 2000 Index, are not sponsored, endorsed, sold or promoted by Russell and Russell makes no representation regarding the advisability of investing in the CDs. Investing in foreign securities presents certain risks that may not be present in

domestic securities, including currency fluctuation, the potential for diplomatic and political instability, regulatory and liquidity risks, foreign taxation, and differences in auditing and other financial standards. These risks are generally intensified in emerging markets.

•Brokerage services are offered by Wells Fargo Advisors, LLC. Wells Fargo Advisors is the trade name used by two separate registered broker-dealers: Wells Fargo Advisors, LLC and Wells Fargo Advisors Financial Network, LLC. Wells Fargo Advisors is a member SIPC and non-bank affiliate of Wells Fargo & Company.

•© 2012 Wells Fargo Securities. All rights reserved.

Customized Investment Solutions

•Wells Fargo Securities

•45 Fremont Street, 34th Floor

•San Francisco, CA 94105

•877-316-9039

•[email protected]

•

mailto:[email protected]

Typical pricing terms for US market linked CDs

Tim Mortimer


[email protected]

A comparison between 2010 and 2012

• We will examine the effect on the pricing of

five year market linked CDs

• The risk free rate has fallen considerably and volatility levels are also down over the last two years

2010 2012

Risk-free rate 1.79% 0.76%

Credit spread 1.29% 1.44%

Volatility 24.00% 21.47%

Div yield 2.40% 2.52%

Participation rates

• Because of the fall in the risk-free rate the cost of the zero-coupon bond has increased. This dramatically reduces the amount available to spend.

• Even though volatility is down making call options cheaper the participation rate is much reduced

2010 2012

Zero coupon bond 85.7% 89.6%

Amount to spend 10.3% 6.4%

Unit call option 16.6% 12.8%

Participation 61.9% 50.4%

Other solutions

• The best participation can be achieved by a quarterly average over the five year term.

• The participation of the volatility controlled version of the SPX-500 is also higher

Product type Participation

Call on SPX 50%

Call on quarterly average of SPX 82%

Call on SPX 10% vol index 60%

Measuring performance

• High participation is of no use unless the underlying or strategy performs well

Index Return %

SPX -4.02

SPX average -18.40

SPX 10% vol 12.06

0

20

40

60

80

100

120

06-Aug-07 18-Dec-08 02-May-10 14-Sep-11 26-Jan-13

SPX

SPX average

SPX 10% vol

Source: Thomson Reuters / S&P

Structured Edge run by FVC in association with Numerix The only independent research & analysis service for US Retail Structured Products

For more information please visit

www.structurededge.com

http://www.structurededge.com/

Structured product reporting Each year thousands of products are issued in the US market. Structured Edge analyzes each product and publishes scores for price, returns and risk These enable rankings and comparisons to be made across the market This service can be used to discern market trends such as those discussed today


Thank you for joining us…

33

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Bernd Henseler

S&P Dow Jones Indices

[email protected]

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publications in our “Thank You” email.

• Market Attributes: U.S. Equities

• Market Attributes: Commodities

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Keith Styrcula

Structured Products Association

[email protected]

Cary Immesoete

Wells Fargo

[email protected]

Eric Miller

HSBC Bank USA

[email protected]

Deryk Rhodes

Incapital, LLC

[email protected]

Tim Mortimer


[email protected]

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