a68117.htm - Generated by SEC Publisher for SEC Filing
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
August 3, 2020
Term Sheet to Pricing Supplement dated January 29, 2016
|
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 |
January 29, 2016 |
| Issue Date |
February 3, 2016 |
| Principal Amount |
$1,000 per Security |
| Payment at Maturity |
See “How the payment at maturity
is calculated” on page 3 |
| Maturity Date |
August 3, 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 |
152% of the Principal Amount of the
Securities ($1,520 per $1,000 Principal Amount of the Securities) |
| Buffer Price |
85% of the Initial Price |
| Buffer Percentage |
15% |
| Leverage Factor |
150% |
| Valuation Date |
July 27, 2020 |
| Calculation Agent |
TD |
| Minimum Investment |
$1,000 and minimum denominations of
$1,000 in excess thereof |
| Underwriting
Discount and Commission |
Up
to 3.18%, of which dealers, including Wells Fargo Advisors, LLC (“WFA”), may receive a selling concession of
up to 1.50% and WFA will receive a distribution expense fee of 0.075% |
| CUSIP / ISIN |
89114QUK2 / US89114QUK20 |
Investment description
| · | Linked to a Basket of Six Exchange-Traded Funds due August
3, 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 152% 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 $949.80 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
Investors should carefully review the accompanying pricing supplement, product prospectus supplement and prospectus. 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 152.00% or $1,520.00 per $1,000 Principal Amount, the
Leverage Factor of 150% and the Buffer Price equal to 85% of the Initial Price.
This
graph has been prepared for purposes of illustration only. Your actual return will depend on the actual Final Price and
whether you hold your Securities to maturity.
*The graph to the right represents a
hypothetical payout profile for the Securities. The 45 degree dotted line represents the hypothetical percentage change of
the Reference Asset and the solid line represents the hypothetical return on the Securities for a given percentage change in
the Reference Asset.
Hypothetical returns
|
|
|
|
| Hypothetical Final |
Hypothetical |
Hypothetical Payment at |
Hypothetical Return |
| Price |
Percentage Change |
Maturity ($) |
on Securities1 (%) |
| 200.00 |
100.00% |
$1,520.00 |
52.00% |
| 175.00 |
75.00% |
$1,520.00 |
52.00% |
| 150.00 |
50.00% |
$1,520.00 |
52.00% |
| 140.00 |
40.00% |
$1,520.00 |
52.00% |
| 134.67 |
34.67% |
$1,520.00 |
52.00% |
| 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 January 29, 2016. 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. |
| 4 |
| TD SECURITIES (USA) LLC | WELLS FARGO SECURITIES |
| · | 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. |
| 5 |
| TD SECURITIES (USA) LLC | WELLS FARGO SECURITIES |
