Filed Pursuant to Rule 433
Registration Statement No. 333-197364
Market
Linked Securities – Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities to
a Basket of Six Exchange-Traded Funds due July 6, 2020
Term Sheet to Pricing Supplement
dated December 30, 2015
|
Summary
of terms
| Issuer |
The
Toronto-Dominion Bank (“TD”) |
| Term |
Approximately
4.5 years |
| Reference
Asset |
An
unequally-weighted basket (the “Reference Asset” or the “Basket”) of six exchange-traded funds (the
“Basket Components”) described to the right. |
| Pricing
Date |
December
30, 2015 |
| Issue
Date |
January
5, 2016 |
| Principal
Amount |
$1,000
per Security |
| Payment
at Maturity |
See
“How the payment at maturity is calculated” on page 3 |
| Maturity
Date |
July
6, 2020 |
| Initial
Component Price |
The
closing price of a Basket Component on the Pricing Date |
| Final
Component Price |
The
closing price of a Basket Component on the Valuation Date (see also the accompanying pricing supplement) |
| Basket
Component Return |
With
respect to each Basket Component, (Final Component Price – Initial Component Price) / Initial Component Price |
| Initial
Price |
The
Initial Price will be set to 100 on the Pricing Date |
| Final
Price |
100
× [1 + (the sum of the products of the Basket Component Return for each Basket Component multiplied by its Component
Weight)] |
| Percentage
Change |
(Final
Price – Initial Price) / Initial Price, expressed as a percentage |
| Maximum
Redemption Amount |
150.50%
of the Principal Amount of the Securities ($1,505 per $1,000 Principal Amount of the Securities) |
| Buffer
Price |
85%
of the Initial Price of a Basket Component |
| Buffer
Percentage |
15% |
| Leverage
Factor |
150% |
| Valuation
Date |
June
26, 2020 |
| Calculation
Agent |
TD |
| Minimum
Investment |
$1,000
and minimum denominations of $1,000 in excess thereof |
Underwriting
Discount and Commission |
Up
to 3.375%, of which dealers, including Wells Fargo Advisors, LLC (“WFA”), may receive a selling concession of
up to 1.25% and WFA will receive a distribution expense fee of 0.075% |
| CUSIP
/ ISIN |
89114QUE6
/ US89114QUE69 |
Investment
description
| • | Linked
to the a Basket of Six Exchange-Traded Funds due July 6, 2020 |
| • | The
Basket will consist of the SPDR® S&P 500® ETF Trust
(the “SPY”) (50%), the iShares® Russell 2000 ETF (the “IWM”)
(15%), the iShares® MSCI EAFE ETF (the “EFA”) (15%), the iShares®
MSCI Emerging Markets ETF (the “EEM”) (10%), the PowerShares DB Commodity
Index Tracking Fund (the “DBC”) (5%) and the Vanguard® REIT
ETF (the “VNQ”) (5%). |
| • | Unlike
ordinary debt securities, the Principal at Risk Securities (the “Securities”)
do not pay interest or repay a fixed amount of principal at maturity. Instead, the Securities
provide for a payment at maturity that may be greater than, equal to or less than the
Principal Amount of the Securities, depending on the performance of the Reference Asset
from the Initial Price to the Final Price. |
The
payment at maturity will reflect the following terms:
| o | If
the price of the Reference Asset increases: |
You
will receive the Principal Amount plus 150% participation in the upside performance of the Reference Asset, subject to the Maximum
Redemption Amount of 150.50% of the Principal Amount of the Securities
| o | If
the price of the Reference Asset decreases but the decrease is not more than 15%: |
You
will be repaid the Principal Amount
| o | If
the price of the Reference Asset decreases by more than 15%: |
You
will receive less than the Principal Amount and will have 1-to-1 downside exposure to the decrease in the price of the Reference
Asset in excess of 15%
| • | Investors
may lose up to 85% of the Principal Amount |
| • | Any
payments on the Securities are subject to our credit risk. The Securities are unsecured
and are not savings accounts or insured deposits of a bank. |
| • | No
periodic interest payments or dividends |
| • | No
exchange listing; designed to be held to maturity |
Our estimated value of the Securities as of the
Pricing Date, based on our internal pricing models, is $955.79 per Security, which is less than the public offering price. See
“Additional Information Regarding Our Estimated Value of the Securities” beginning on page P-41 of the accompanying
preliminary pricing supplement.
The Securities have complex features and
investing in the Securities involves a number of risks. See “Additional Risk Factors” on page P-6 of the accompanying
pricing supplement, “Additional Risk Factors Specific to the Notes” beginning on page PS-4 of the product prospectus
supplement MLN-ES-ETF-1 dated August 31, 2015 (the “product prospectus supplement”) and “Risk Factors”
on page 1 of the prospectus dated July 28, 2014 (the “prospectus”).
This term sheet does not
provide all of the information that an investor should consider prior to making an investment decision.
Investors
should carefully review the accompanying preliminary pricing supplement, product prospectus supplement and prospectus before making
a decision to invest in the Securities. We urge you to consult your investment, legal, tax, accounting and other advisors before
you invest in the Securities.
As
used in this term sheet, “we,” “us,” or “our” refers to The Toronto-Dominion Bank.
NOT A BANK DEPOSIT AND NOT INSURED OR GUARANTEED BY THE CANADA DEPOSIT INSURANCE
CORPORATION, THE U.S. FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENTAL AGENCY OR INSTRUMENTALITY OF CANADA OR THE
UNITED STATES.
| TD
SECURITIES (USA) LLC |
WELLS
FARGO SECURITIES |
Hypothetical
payout profile
The
profile to the right is based on the Maximum Redemption Amount of 150.50% or $1,505.00 per $1,000 Principal Amount, the Leverage
Factor of 150% and the Buffer Price equal to 85% of the Initial Price.
This
graph has been prepared for purposes of illustration only. Your actual return will depend on the actual Final Price, and whether
you hold your Securities to maturity.
*The
graph to the right represents a hypothetical payout profile for the Securities. The 45 degree dotted line represents the hypothetical
percentage change of the Reference Asset and the solid line represents the hypothetical return on the Securities for a given percentage
change in the Reference Asset.
Hypothetical returns
| Hypothetical
Final Price |
Hypothetical
Percentage Change |
Hypothetical
Payment at Maturity ($) |
Hypothetical
Return on Securities1 (%) |
| 200.00 |
100.00% |
$1,505.00 |
50.50% |
| 175.00 |
75.00% |
$1,505.00 |
50.50% |
| 150.00 |
50.00% |
$1,505.00 |
50.50% |
| 140.00 |
40.00% |
$1,505.00 |
50.50% |
| 133.67 |
33.67% |
$1,505.00 |
50.50% |
| 130.00 |
30.00% |
$1,450.00 |
45.00% |
| 120.00 |
20.00% |
$1,300.00 |
30.00% |
| 110.00 |
10.00% |
$1,150.00 |
15.00% |
| 105.00 |
5.00% |
$1,075.00 |
7.50% |
| 102.50 |
2.50% |
$1,037.50 |
3.75% |
| 100.002 |
0.00% |
$1,000.00 |
0.00% |
| 95.00 |
-5.00% |
$1,000.00 |
0.00% |
| 90.00 |
-10.00% |
$1,000.00 |
0.00% |
| 85.00 |
-15.00% |
$1,000.00 |
0.00% |
| 80.00 |
-20.00% |
$950.00 |
-5.00% |
| 70.00 |
-30.00% |
$850.00 |
-15.00% |
| 60.00 |
-40.00% |
$750.00 |
-25.00% |
| 50.00 |
-50.00% |
$650.00 |
-35.00% |
| 25.00 |
-75.00% |
$400.00 |
-60.00% |
| 0.00 |
-100.00% |
$150.00 |
-85.00% |
1
The “return” as used in this term sheet is the number, expressed as a percentage, that results from comparing
the difference between the Payment at Maturity per $1,000 Principal Amount and $1,000.
2
The Initial Price.
The
above figures are for purposes of illustration only and may have been rounded for ease of analysis. The actual amount you receive
at stated maturity will depend on the actual Final Price and Maximum Redemption Amount.
| 2 |
| TD SECURITIES (USA) LLC | WELLS FARGO SECURITIES |
How
the payment at maturity is calculated
The
payment at maturity will be determined as follows:
| • | If
the Percentage Change is positive, then the investor will receive an amount per
$1,000 Principal Amount of the Securities equal to the lesser of: |
| (i) | Principal
Amount + (Principal Amount x Percentage Change x Leverage Factor); and |
| (ii) | the
Maximum Redemption Amount. |
| • | If
the Percentage Change is less than or equal to 0% but greater than or equal to -15%
(that is, the Percentage Change is between 0% and –15%), then the investor
will receive only $1,000 per $1,000 Principal Amount of the Securities. |
| • | If
the Percentage Change is less than -15% (that is, the Percentage Change is between
–15% and -100%), then the investor will receive less than $1,000 per $1,000 Principal
Amount of the Securities, calculated using the following formula: |
Principal
Amount + [Principal Amount x (Percentage Change + Buffer Percentage)]
If the Final
Price is less than Buffer Price, the investor will receive less, and possibly 85% less, than the Principal Amount of the Securities
at maturity.
Hypothetical
Values of the Basket*
*
While actual historical information on the Basket will not exist before the Pricing Date, the graph above sets forth the hypothetical
daily performance of the Basket from January 2, 2008 through December 30, 2015. The graph is based upon actual daily historical
closing prices of the Basket Components and a hypothetical Basket level of 100.00 as of January 2, 2008. The dotted line presents
the Buffer Price of 85.00, which is equal to 85% of the Initial Price of 100.
We
obtained the information regarding the historical performance of the Basket Components used in calculating the graph above from
Bloomberg Financial Markets.
We
have not independently verified the accuracy or completeness of the information obtained from Bloomberg Financial Markets. The
hypothetical performance of the Basket should not be taken as an indication of its future performance, and no assurance can be
given as to the Final Price of the Basket. Additionally, the hypothetical examples above reflect the performance of the hypothetical
Basket, and do not reflect or incorporate any terms of the Security. We cannot give you assurance that the performance of the
Basket will result in any positive return on your initial investment.
We
have filed a registration statement (including a prospectus), a product supplement and a pricing supplement with the SEC for the
offering to which this free writing prospectus relates. You should read the prospectus in that registration statement and other
documents that we have filed with the SEC for more complete information about us and this offering. You may get those documents
for free by visiting EDGAR on the SEC website www.sec.gov. Alternatively, we, TD Securities (USA) LLC or Wells Fargo Securities
will arrange to send you the prospectus if you request it by calling toll-free at 1-855-303-3234.
| 3 |
| TD SECURITIES (USA) LLC | WELLS FARGO SECURITIES |
Selected
risk considerations
The risks set forth below are discussed in detail
in the “Additional Risk Factors” section in the accompanying preliminary pricing supplement, the “Additional
Risk Factors Specific to the Notes” section in the product prospectus supplement and the “Risk Factors” section
in the prospectus. Please review those risk disclosures carefully.
| • | Principal at Risk. Investors
in the Securities Could Lose a Substantial Portion of Their Principal Amount If There Is a Decline in the Value of the Reference
Asset. |
| • | The
Securities Do Not Pay Interest and Your Return May Be Lower than the Return on a Conventional
Debt Security of Comparable Maturity. |
| • | Your
Return Will Be Limited by the Maximum Redemption Amount and May Be Lower than the Return
on a Direct Investment in the Reference Asset. |
| • | Changes
in the prices of the Basket Components may offset each other. |
| • | Investors
Are Subject to Our Credit Risk, and Our Credit Ratings and Credit Spreads May Adversely
Affect the Market Value of the Securities. |
| • | The
Agent Discount, Offering Expenses and Certain Hedging Costs Are Likely to Adversely Affect
Secondary Market Prices. |
| • | There
May Not Be an Active Trading Market for the Securities — Sales in the Secondary
Market May Result in Significant Losses. |
| • | You
Will Not Have Any Rights to the Securities Held by the Basket Components. |
| • | The
Performance and Market Value of a Basket Component During Periods of Market Volatility
May Not Correlate With the Performance of its Applicable Underlying Index As Well As
the Net Asset Value Per Share of Such Basket Component. |
| • | An
Investment in the Securities Is Subject to Risks Associated with Non-U.S. Securities
Markets. |
| • | An
Investment in the Securities is Subject to Exchange Rate Risk. |
| • | An
Investment in the Securities is Subject to Emerging Markets Risk. |
| • | An
Investment in the Securities is Subject to Risks Associated with Small-Capitalization
Stocks. |
| • | An
Investment in the Securities is Subject to Risks Associated with Fluctuations in the
Price of the Commodity Futures Contracts and Other Assets Included in the Underlying
Index of the DBC. |
| • | Fewer
Representative Commodities May Result in Greater Volatility, Which Could Adversely Affect
the DBC. |
| • | Futures
Contracts Are Not Assets with Intrinsic Value. |
| • | Trading
on Commodity Exchanges Outside the United States is Not Subject to U.S. Regulation. |
| • | “Backwardation”
or “Contango” in the Market Prices of the Commodities Contracts Will Affect
the Price of the DBC. |
| • | The
Valuation of the Futures Contracts May Not Be Consistent with Other Measures of Value
for the Index Commodities. |
| • | The
Level of the DBC and the Value of the Securities May Be Affected by Currency Exchange
Fluctuations. |
| • | Changes
in Exchange Methodology or Changes in Law or Regulations May Affect the Value of the
Securities Prior to Maturity and the Amount You Receive at Maturity. |
| • | Possible
Regulatory Changes Could Adversely Affect the Return on and Value of your Securities. |
| • | Since
the DBC Is Based on Futures Contracts, Its Performance May Differ from the Performance
of the Spot Prices of the Index Commodities. |
| • | An
Investment in the Securities Will Be Subject to Risks Associated with the Real Estate
Industry. |
| • | Risks
Associated with Real Estate Investment Trusts Will Affect the Value of the Securities. |
| • | Changes
That Affect the Underlying Indices Will Affect the Market Value of the Securities and
the Amount You Will Receive at Maturity. |
| • | Adjustments
to the Basket Components Could Adversely Affect the Securities. |
| • | We
Have No Affiliation with the Index Sponsors or the Investment Advisors and Will Not Be
Responsible for Any Actions Taken by the Index Sponsors or the Investment Advisors. |
| • | We
and Our Affiliates Do Not Have Any Affiliation with the Index Sponsors or the Investment
Advisors and Are Not Responsible for Their Public Disclosure of Information. |
| • | Each
Basket Component and the Applicable Underlying Index Are Different and the Performance
of a Basket Component May Not Correlate With that of its Applicable Underlying Index. |
| • | The
Estimated Value of Your Securities is Lower Than the Public Offering Price of Your Securities. |
| • | The
Estimated Value of Your Securities Might Have Been Lower if Such Estimated Value Had
Been Based on the Levels at Which Our Debt Securities Trade in the Secondary Market. |
| • | The
Estimated Value of the Securities is Based on Our Internal Pricing Models, Which May
Prove to be Inaccurate and May be Different from the Pricing Models of Other Financial
Institutions. |
| • | The
Estimated Value of Your Securities Is Not a Prediction of the Prices at Which You May
Sell Your Securities in the Secondary Market, if any, and Such Secondary Market Prices,
If Any, Will Likely be Lower Than the Public Offering Price of Your Securities and May
Be Lower Than the Estimated Value of Your Securities. |
| • | The
Temporary Price at Which We May Initially Buy The Securities in the Secondary Market
May Not Be Indicative of Future Prices of Your Securities. |
| • | Market
Disruption Events and Adjustments. The Payment at Maturity and the Valuation Date Are
Subject to Postponement as Described in the Product Prospectus Supplement. |
| • | The
Antidilution Adjustments That the Calculation Agent Is Required to Make Do Not Cover
Every Event That Could Affect the Reference Asset. |
| • | Significant
Aspects of the Tax Treatment of the Securities Are Uncertain. |
| 4 |
| TD SECURITIES (USA) LLC | WELLS FARGO SECURITIES |
