 |
Filed Pursuant to Rule 433
Registration Statement No. 333-211718 |
| |
|
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 January 4, 2022 Term Sheet to Pricing Supplement
dated December 14, 2016
|
Summary of Terms
| Issuer |
The Toronto-Dominion Bank (“TD”) |
| Term |
Approximately 5 years |
| Basket |
An unequally-weighted basket (the “Basket”) of six exchange-traded
funds (the “Basket Components”) described to the right. |
| Pricing
Date |
December 29, 2016* |
| Issue
Date |
January 4, 2017* |
| Principal Amount |
$1,000 per Security |
| Issue Price |
$1,000 except that certain investors that purchase for certain fee
based advisory accounts may purchase for not less than $955.00 |
| Payment at Maturity |
See “How the Payment at Maturity is Calculated” on page
3 |
| Maturity
Date |
January 4, 2022* |
| 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 preliminary pricing supplement) |
| Basket
Component Return |
With respect to each Basket Component, (Final Component Price –
Initial Component Price) / Initial Component Price, expressed as a percentage |
| Initial
Level |
The Initial Level will be set to 100 on the Pricing Date |
| Final
Level |
100 × [1 + (the sum of the products of the Basket Component
Return for each Basket Component multiplied by its Component Weight)] |
| Percentage
Change |
(Final Level – Initial Level) / Initial
Level, expressed as a percentage |
| Maximum
Redemption Amount |
146% to 151% of the Principal Amount of the Securities ($1,460
to $1,510 per $1,000 Principal Amount of the Securities), to be determined on the pricing date |
| Buffer
Level |
85% of the Initial Level |
| Buffer
Percentage |
15% |
| Leverage
Factor |
150% |
| Valuation
Date |
December 28, 2021* |
| Calculation
Agent |
TD |
| Minimum
Investment |
$1,000 and minimum denominations of $1,000 in excess thereof |
| Agents |
TD Securities (USA) LLC and Wells Fargo Securities,
LLC |
Underwriting
Discount
and Commission |
Up to 4.50% to Agents, of which dealers, including Wells Fargo Advisors**(“WFA”),
may receive a selling concession of up to 2.50% and WFA will receive a distribution expense fee of 0.12% |
| CUSIP
/ ISIN |
89114QYC6 / US89114QYC67 |
Investment Description
| · | Linked to a Basket of Six Exchange-Traded Funds due January 4, 2022 |
| · | The Basket will consist of six exchange-traded funds (each, a “Basket Component”):
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 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 Basket from the Initial Level to the Final Level.
|
The Payment at Maturity will reflect the following terms:
o If the level of the Basket increases:
You will receive the Principal Amount plus 150% participation in the upside
performance of the Basket, subject to the Maximum Redemption Amount of 146% to 151% (to be determined on the Pricing Date) of the
Principal Amount of the Securities
o If the level of the Basket is flat or decreases but the decrease
is not more than 15%:
You will be repaid the Principal Amount
o If the level of the Basket 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 level of the Basket in excess of 15%
| · | Investors may lose up to 85% of the Principal Amount |
| · | Any payments on the Securities are subject to TD’s credit risk |
| · | You will have no right to the Basket Component or any securities tracked by the Basket
Components |
| · | 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 is expected to be between
$907.50 and $947.50 per Security. The estimated value is expected to be less than the public offering price of the Securities. See “Additional
Information Regarding Our Estimated Value of the Securities” beginning on page P-45 of the accompanying preliminary pricing
supplement.
*To the extent that the issuer makes any change to the expected Pricing Date
or expected Issue Date, the Valuation Date and Maturity Date may also be changed in the issuer’s discretion to ensure that
the term of the Securities remains the same.
**
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.
The Securities have complex features and investing in the Securities
involves a number of risks. See “Additional Risk Factors” on page P-7 of the accompanying preliminary pricing supplement,
“Additional Risk Factors Specific to the Notes” beginning on page PS-5 of the product prospectus supplement MLN-ES-ETF-1
dated July 8, 2016 (the “product prospectus supplement”) and “Risk Factors” on page 1 of the prospectus
dated June 30, 2016 (the “prospectus”).
This introductory 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 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 introductory term sheet, “we,”
“us,” or “our” refers to The Toronto-Dominion Bank.
THE SECURITIES ARE 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, LLC |
Hypothetical Payout Profile
The profile to the right is based on a hypothetical
Maximum Redemption Amount of 148.50% or $1,485.00 per $1,000 Principal Amount (the midpoint of the specified range for the Maximum
Redemption Amount), the Leverage Factor of 150% and a Buffer Level equal to 85% of the Initial Level.
This graph has been prepared for illustrative purposes
only. Your actual return will depend on the actual Percentage Change, the actual Maximum Redemption Amount, and whether you hold
your Securities to maturity.
*The graph to the right represents a hypothetical
payout profile for the Securities. The 45 degree dotted line represents the hypothetical percentage change of the Basket and the
solid line represents the hypothetical return on the Securities for a given percentage change in the Basket.
Hypothetical returns
| Hypothetical
Final Level |
Hypothetical
Percentage Change |
Hypothetical
Payment at Maturity ($) |
Hypothetical
Return on Securities1 (%) |
| 200.00 |
100.00% |
$1,485.00 |
48.50% |
| 175.00 |
75.00% |
$1,485.00 |
48.50% |
| 150.00 |
50.00% |
$1,485.00 |
48.50% |
| 140.00 |
40.00% |
$1,485.00 |
48.50% |
| 132.33 |
32.33% |
$1,485.00 |
48.50% |
| 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
introductory 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 Level will be set to 100
on the Pricing Date.
The above figures are for purposes of illustration
only and may have been rounded for ease of analysis. The actual Payment at Maturity will depend on the actual Final Level 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 a positive Percentage Change, or
any positive return on your initial investment.
| TD SECURITIES (USA) LLC | 2 | WELLS FARGO SECURITIES, LLC |
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 Security 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%, then the investor will receive an amount per Security equal to the Principal Amount. |
| · | If the Percentage Change is less than -15%, then the investor will receive less
than the Principal Amount per Security, calculated using the following formula: |
Principal Amount + [Principal Amount x (Percentage
Change + Buffer Percentage)]
If the Final Level is less than Buffer Level, 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 12, 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 Level of 85.00, which is equal to 85% of the
Initial Level of 100, which will be set on the Pricing Date.
We obtained the information regarding the historical
performance of the Basket Components used in calculating the graph above from Bloomberg® Professional Service (“Bloomberg”).
We have not conducted any independent review or due
diligence of publicly available information obtained from Bloomberg. 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 Level 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 prospectus supplement and a pricing supplement with the SEC for the offering to which
this free writing prospectus relates. Before you invest, 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.
| TD SECURITIES (USA) LLC | 3 | WELLS FARGO SECURITIES, LLC |
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 level of the Basket by more than the Buffer Percentage. You will lose 1%
of the Principal Amount of your Securities for each 1% that the Final Level is less than the Initial Level by more than the Buffer
Percentage and you may lose up to 85% of your Principal Amount. |
| · | The
Securities Do Not Pay Interest and Your Return on the Securities May Be Lower Than the Return on a Conventional Debt Security
of Comparable Maturity. |
| · | Your
Potential Return on the Securities Will Be Limited by the Maximum Redemption Amount and May Be Less Than the Return on a Direct
Investment In the Basket Components. |
| · | Changes
in the Prices of the Basket Components May Offset Each Other. |
| · | Investors
Are Subject to TD’s Credit Risk, and TD’s 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. |
| · | If
the Level of the Basket Changes, the Market Value of Your Securities May Not Change in the Same Manner. |
| · | The
Payment at Maturity Is Not Linked to the Prices of the Basket Components at Any Time Other than the Valuation Date. |
| · | You
Will Not Have Any Rights to the Basket Components or 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. |
| · | The
Market Value of Your Securities May Be Influenced by Many Unpredictable Factors. |
| · | As
of the Date of this Pricing Supplement, There is No History for the Closing Levels of the Basket. |
| · | Hypothetical
Past Basket Performance is No Guide to Future Performance. |
| · | There
Are Potential Conflicts of Interest Between You and the Calculation Agent. |
| · | 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. |
| · | 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 U.S. 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 Comprised of 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 its Underlying Index Are Different and the Performance of a Basket Component May Not Correlate With That
of Its Applicable Underlying Index. |
| · | The
Price of each Basket Component May Not Completely Track its Net Asset Value. |
| · | The
Estimated Value of Your Securities Is Expected to Be Lower Than the Public Offering Price of Your Securities. |
| · | The
Estimated Value of Your Securities Is Based on Our Internal Funding Rate. |
| TD SECURITIES (USA) LLC | 4 | WELLS FARGO SECURITIES, LLC |
| · | The
Estimated Value of the Securities Is Based on Our Internal Pricing Models; These 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. |
| · | The
Valuation Date and Therefore the Maturity Date May be Postponed In the Case of a Market Disruption Event. |
| · | 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. |
| TD SECURITIES (USA) LLC | 5 | WELLS FARGO SECURITIES, LLC |
