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 August 3, 2021
Term Sheet to Pricing Supplement dated July
29, 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 |
July 29, 2016 |
| Issue
Date |
August 3, 2016 |
| 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 |
August 3, 2021 |
| Initial
Component Price |
$217.15 with
respect to the SPY, $121.09 with respect to the IWM, $58.02 with respect to the EFA, $36.23 with respect to the EEM, $14.28
with respect to the DBC and $92.45 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, expressed as
a percentage |
| Initial
Level |
100 |
| 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 |
150% of the
Principal Amount of the Securities ($1,500 per $1,000 Principal Amount of the Securities) |
| Buffer
Level |
85, which is
85% of the Initial Level |
| Buffer
Percentage |
15% |
| Leverage
Factor |
150% |
| Valuation
Date |
July 27, 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 |
3.56% to Agents,
of which dealers, including Wells Fargo Advisors, LLC (“WFA”), may receive a selling concession of up to 2.50%
and WFA will receive a distribution expense fee of 0.12% |
| CUSIP
/ ISIN |
89114QVZ8 /
US89114QVZ89 |
Investment
Description
| • | Linked
to a Basket of Six Exchange-Traded Funds due August 3, 2021 |
| • | The
Basket consists 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 150% 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, based on our
internal pricing models, is $949.60 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-46 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-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”).
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 about the consequences of investing in the Securities.
As
used in this 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 the Maximum Redemption Amount of 150% or $1,500.00 per $1,000 Principal Amount, the Leverage Factor of 150% and the
Buffer Level equal to 85% of the Initial Level.
This graph has been prepared
for illustrative purposes only. Your actual return will depend on the actual Percentage Change, the actual Maximum Redemption Amount,
and whether you hold your Securities to maturity.
*The graph to the right
represents a hypothetical payout profile for the Securities. The 45 degree dotted line represents the hypothetical percentage change
of the Basket and the solid line represents the hypothetical return on the Securities for a given percentage change in the Basket.
Hypothetical returns
| Hypothetical Final Level |
Hypothetical Percentage Change |
Hypothetical Payment at Maturity ($) |
Hypothetical Return on Securities1 (%) |
| 200.00 |
100.00% |
$1,500.00 |
50.00% |
| 175.00 |
75.00% |
$1,500.00 |
50.00% |
| 150.00 |
50.00% |
$1,500.00 |
50.00% |
| 140.00 |
40.00% |
$1,500.00 |
50.00% |
| 133.33 |
33.33% |
$1,500.00 |
50.00% |
| 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
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 is 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.
| 2 |
| TD SECURITIES (USA) LLC | 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 does not
exist before the Pricing Date, the graph above sets forth the hypothetical daily performance of the Basket from January 2, 2008
through July 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 April 1, 2008. The dotted line presents the Buffer Level of 85.00, which is equal to 85% of the Initial
Level of 100.
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. 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. 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, 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 Lower Than the Public Offering Price
of Your Securities. |
| • | The Estimated Value of Your Securities May Be Lower as Such Estimated Value Is
Based on Our Internal Funding Rate. |
| • | 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. |
| 4 |
| TD SECURITIES (USA) LLC | WELLS FARGO SECURITIES, LLC |
| • | 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. |
| 5 |
| TD SECURITIES (USA) LLC | WELLS FARGO SECURITIES, LLC |
