a68946.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 Linked to a Basket of Six Exchange-Traded Funds due
October 5, 2020
Term Sheet to Preliminary Pricing Supplement dated March 31, 2016
|
Summary of terms
| Issuer |
The
Toronto-Dominion Bank (“TD”) |
| Term |
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 |
March
31, 2016 |
| Issue
Date |
April
5, 2016 |
| Principal
Amount |
$1,000
per Security |
| Payment
at Maturity |
See
“How the payment at maturity is calculated” on page 3 |
| Maturity
Date |
October
5, 2020 |
| Initial
Component Price |
$205.56
with respect to the SPY, $110.62 with respect to the IWM, $57.13 with respect to the EFA, $34.25 with respect to the EEM,
$13.29 with respect to the DBC, and $83.80 with respect to the VNQ, each of which was its closing price 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 |
100 |
| 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 |
145%
of the Principal Amount of the
Securities ($1,450 per $1,000 Principal Amount of the Securities) |
| Buffer
Price |
80%
of the Initial Price |
| Buffer
Percentage |
20% |
| Leverage
Factor |
150% |
| Valuation
Date |
September
28, 2020 |
| Calculation
Agent |
TD |
| Minimum
Investment |
$1,000
and minimum denominations of $1,000 in excess thereof |
Underwriting
Discount
and
Commission |
Up
to 1.75%,
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 |
89114QUX4
/ US89114QUX41 |
Investment
description
| • | Linked
to a Basket of Six Exchange-Traded Funds due October 5, 2020 |
| • | The
Basket consists 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 145% of the Principal Amount of the Securities
o
If the price of the Reference Asset decreases but the decrease is not more than 20%:
You
will be repaid the Principal Amount
o
If the price of the Reference Asset decreases by more than 20%:
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 20%
| • | Investors
may lose up to 80% 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 on the Pricing Date, based on our internal pricing models, is $968.70 per Security, which is
less than the public offering price of the Securities. See “Additional Information Regarding Our Estimated Value of the
Securities” beginning on page P-41 of the accompanying 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”).
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 145.00% or $1,450.00 per $1,000 Principal Amount, the Leverage Factor of 150% and the Buffer Price equal to
80% of the Initial Price.
This graph has been prepared for purposes of illustration
only. Your actual return will depend on the actual Final Price and whether you hold your Securities to maturity.
*The graph to the right represents a hypothetical
payout profile for the Securities. The 45 degree dotted line represents the hypothetical Percentage Change of the Reference Asset
and the solid line represents the hypothetical return on the Securities for a given Percentage Change in the Reference Asset.
Hypothetical returns
| Hypothetical Final Price |
Hypothetical Percentage Change |
Hypothetical Payment at Maturity ($) |
Hypothetical Return on Securities1 (%) |
| 200.00 |
100.00% |
$1,450.00 |
45.00% |
| 175.00 |
75.00% |
$1,450.00 |
45.00% |
| 150.00 |
50.00% |
$1,450.00 |
45.00% |
| 140.00 |
40.00% |
$1,450.00 |
45.00% |
| 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% |
$1,000.00 |
0.00% |
| 70.00 |
-30.00% |
$900.00 |
-10.00% |
| 60.00 |
-40.00% |
$800.00 |
-20.00% |
| 50.00 |
-50.00% |
$700.00 |
-30.00% |
| 25.00 |
-75.00% |
$450.00 |
-55.00% |
| 0.00 |
-100.00% |
$200.00 |
-80.00% |
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.
* These calculations are hypothetical and should not
be taken as an indication of the future performance of the Basket Components or the Basket as measured from the actual Pricing
Date. We cannot give you assurance that the performance of the Basket Components will result in any positive return on your initial
investment.
2
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| 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 -20% (that is, the Percentage Change is between 0% and -20%), then the investor will receive only
$1,000 per $1,000 Principal Amount of the Securities. |
| • | If the Percentage Change is less than -20% (that is,
the Percentage Change is between -20% 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 80% 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 March 31, 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 80.00, which is equal to 80% 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.
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| 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 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 (or Pricing Models of Third Parties), 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. |
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| 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 Basket Components. |
| · | Significant Aspects
of the Tax Treatment of the Securities Are Uncertain. |
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| TD SECURITIES (USA) LLC |
WELLS FARGO SECURITIES |
