Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-211718
Pricing Supplement dated February 22, 2018 to
the
Product Prospectus Supplement MLN-EI-1 dated
June 30, 2016 and
Prospectus Dated June 30, 2016
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The Toronto-Dominion Bank
$1,272,000
EURO STOXX
50® Index-Linked Digital Buffered Notes
Due August
26, 2021 |
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The Toronto-Dominion Bank ("TD"
or “we”) has offered the Digital Buffered Notes (the “Notes”) linked to the performance of the EURO STOXX
50® Index (the “Reference Asset”) described below.
The Notes provide a return of 22.75% (the
“Digital Return”) if the Final Level of the Reference Asset is greater than or equal to 80% of the Initial Level. If
the Final Level is below the Initial Level by more than 20%, investors will lose 1% of the Principal Amount of the Notes for each
1% decrease from the Initial Level to the Final Level of more than 20%, and may lose up to 80% of the Principal Amount of the Notes.
Any payments on the Notes are subject to our credit risk.
The Notes are unsecured and are not savings
accounts or insured deposits of a bank. The Notes are 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.
The Notes will not be listed or displayed on any securities exchange or electronic communications network.
The Payment
at Maturity will be greater than the Principal Amount only if the Percentage Change is greater than or equal to -20%. The Notes
do not guarantee the return of the Principal Amount and investors may lose up to 80% of their investment in the Notes. Any payments
on the Notes are subject to our credit risk.
The Notes have complex features and
investing in the Notes involves a number of risks. See “Additional Risk Factors” beginning on page P-5 of this pricing
supplement, “Additional Risk Factors Specific to the Notes” beginning on page PS-5 of the product prospectus supplement
MLN-EI-1 dated June 30, 2016 (the “product prospectus supplement”) and “Risk Factors” on page 1 of the
prospectus dated June 30, 2016 (the “prospectus”).
Neither the Securities and Exchange
Commission (the “SEC”) nor any state securities commission has approved or disapproved of these Notes or determined
that this pricing supplement, the product prospectus supplement or the prospectus is truthful or complete. Any representation to
the contrary is a criminal offense.
We will deliver the Notes in book-entry
only form through the facilities of The Depository Trust Company on February 26, 2018, against payment in immediately available
funds.
The estimated value of your Notes at the
time the terms of your Notes were set on the Pricing Date was $957.70 per Note, as discussed further under “Additional Risk
Factors — Estimated Value” beginning on page P-6 and “Additional Information Regarding the Estimated Value of
the Notes” on page P-21 of this pricing supplement. The estimated value is less than the public offering price of the Notes.
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Public
Offering Price1 |
Underwriting
Discount2 |
Proceeds to TD |
Per Note |
$1,000.00 |
$30.00 |
$970.00 |
Total |
$1,272,000.00 |
$38,160.00 |
$1,233,840.00 |
The public offering price, underwriting discount and proceeds
to TD listed above relate to the Notes we issue initially. We may decide to sell additional Notes after the date of this pricing
supplement, at public offering prices and with underwriting discounts and proceeds to TD that differ from the amounts set forth
above. The return (whether positive or negative) on your investment in the Notes will depend in part on the public offering price
you pay for such Notes.
1 Certain dealers who purchase
the Notes for sale to certain fee-based advisory accounts may forego some or all of their selling concessions, fees or commissions.
The public offering price for investors purchasing the Notes in these accounts may be as low as $970.00 (97.00%) per Principal
Amount of the Notes.
2 TD Securities (USA) LLC (“TDS”)
will receive a commission of $30.00 (3.00%) per $1,000 principal amount of the Notes and will use a portion of that commission
to allow selling concessions to other dealers in connection with the distribution of the Notes, or has offered the Notes directly
to investors. The Agent may resell the Notes to other securities dealers at the Principal Amount less a concession not in excess
of $30.00 per Note. The other dealers may forgo, in their sole discretion, some or all of their selling concessions. TD will reimburse
TDS for certain expenses in connection with its role in the offer and sale of the Notes, and TD will pay TDS a fee in connection
with its role in the offer and sale of the Notes. See “Supplemental Plan of Distribution (Conflicts of Interest)”
on page P-20 of this pricing supplement.
TD
SECURITIES (USA) LLC
P-1
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EURO STOXX 50® Index-Linked
Digital Buffered Notes
Due August 26, 2021 |
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Summary
The information in this “Summary”
section is qualified by the more detailed information set forth in this pricing supplement, the product prospectus supplement and
the prospectus.
Issuer: |
TD |
Issue: |
Senior Debt Securities |
Type of Note: |
Digital Buffered Notes |
Term: |
Approximately 42 months |
Reference Asset: |
EURO STOXX 50® Index (Bloomberg Ticker: SX5E) |
CUSIP / ISIN: |
89114QKW7 / US89114QKW77 |
Agent: |
TDS |
Currency: |
U.S. Dollars |
Minimum Investment: |
$1,000 and minimum denominations of $1,000 in excess thereof |
Principal Amount: |
$1,000 per Note |
Pricing Date: |
February 22, 2018 |
Issue Date: |
February 26, 2018, which is two Business Days following the Pricing Date. |
Valuation Date: |
August 23, 2021, subject to postponement for market and other disruptions, as described in the product prospectus supplement. If such day is not a Trading Day, the Valuation Date will be the next succeeding Trading Day. |
Maturity Date: |
August 26, 2021, subject to postponement for market and other disruptions, as described in the product prospectus supplement. If such day is not a Business Day, the Maturity Date will be the next succeeding Business Day. |
Payment at Maturity: |
If, on the Valuation Date, the Percentage
Change is greater than or equal to -20%, then the investor will receive an amount per $1,000 Principal Amount of the Notes
equal to:
Principal Amount
+ (Principal Amount x Digital Return)
If, on the Valuation Date, the Percentage
Change is negative by more than the Buffer Percentage (the Percentage Change is between -20% and -100%), then the
investor will receive less than $1,000 per $1,000 Principal Amount of the Notes, 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 than the Principal Amount of the Notes at maturity and may lose a substantial portion of
their investment.
All amounts used in or resulting from any
calculation relating to the Notes, including the Payment at Maturity, will be rounded upward or downward as appropriate, to the
nearest cent. |
Percentage Change: |
The Percentage Change is the quotient,
expressed as a percentage, of the following formula:
Final Level – Initial Level
Initial Level |
TD SECURITIES (USA) LLC
P-2
Initial Level: |
3,431.99 |
Final Level: |
The Closing Level of the Reference Asset on the Valuation Date |
Closing Level of the Reference Asset |
The Closing Level of the Reference Asset will be the official closing level of the Reference Asset or any successor index (as defined in the accompanying product prospectus supplement) published by the Index Sponsor (as defined in the accompanying product prospectus supplement) on any Trading Day for the Reference Asset. |
Digital Return: |
22.75%. Because the potential return on the Notes is limited to the Digital Return, the corresponding maximum Payment at Maturity will be $1,227.50. |
Buffer Percentage: |
20%, which is equal to the amount, expressed in percentage terms, by which the Buffer Level is below the Initial Level |
Buffer Level: |
2,745.592, which is 80% of the Initial Level |
Monitoring Period: |
Final Valuation Date Monitoring |
Business Day: |
Any day that is a Monday, Tuesday, Wednesday, Thursday or Friday that is neither a legal holiday nor a day on which banking institutions are authorized or required by law to close in New York City or Toronto. |
U.S. Tax Treatment: |
By purchasing a Note, each holder agrees, in the absence of a statutory, regulatory, administrative or judicial ruling to the contrary, to characterize the Notes, for U.S. federal income tax purposes, as pre-paid derivative contracts with respect to the Reference Asset. Based on certain factual representations received from us, in the opinion of our special U.S. tax counsel, Cadwalader, Wickersham & Taft LLP, it is reasonable to treat the Notes in the manner described above. However, because there is no authority that specifically addresses the tax treatment of the Notes, it is possible that your Notes could alternatively be treated for tax purposes as a single contingent payment debt instrument, or pursuant to some other characterization, and the timing and character of your income from the Notes could differ materially from the treatment described above, as discussed further under “Supplemental Discussion of U.S. Federal Income Tax Consequences”. |
Canadian Tax Treatment: |
Please see the discussion in the product prospectus
supplement under “Supplemental
Discussion of Canadian Tax Consequences,”
which applies to the Notes. |
Calculation Agent: |
TD |
Listing: |
The Notes will not be listed or displayed on any securities exchange or electronic communications network. |
Clearance and Settlement: |
DTC global (including through its indirect participants Euroclear and Clearstream, Luxembourg as described under “Forms of the Debt Securities” and “Book-Entry Procedures and Settlement” in the prospectus). |
TD SECURITIES (USA) LLC
P-3
Additional
Terms of Your Notes
You should read this pricing supplement
together with the prospectus, as supplemented by the product prospectus supplement, relating to our Senior Debt Securities, of
which these Notes are a part. Capitalized terms used but not defined in this pricing supplement will have the meanings given to
them in the product prospectus supplement. In the event of any conflict the following hierarchy will govern: first, this pricing
supplement; second, the product prospectus supplement; and last, the prospectus. The Notes vary from the terms described
in the product prospectus supplement in several important ways. You should read this pricing supplement carefully.
This pricing supplement, together with
the documents listed below, contains the terms of the Notes and supersedes all prior or contemporaneous oral statements as well
as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation,
sample structures, brochures or other educational materials of ours. You should carefully consider, among other things, the matters
set forth in “Additional Risk Factors” beginning on page P-5 of this pricing supplement, “Additional Risk Factors
Specific to the Notes” beginning on page PS-5 of the product prospectus supplement and “Risk Factors” on page
1 of the prospectus, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisors before you invest in the Notes. You may access these documents on the Securities and
Exchange Commission (the “SEC”) website at www.sec.gov as follows (or if that address has changed, by reviewing our
filings for the relevant date on the SEC website):
| § | Prospectus dated June 30, 2016: |
| § | Product Prospectus Supplement MLN-EI-1 dated June 30, 2016: |
https://www.sec.gov/Archives/edgar/data/947263/000089109216015847/e70323_424b2.htm
Our Central Index Key, or CIK, on the
SEC website is 0000947263. As used in this pricing supplement, the “Bank,” “we,” “us,” or “our”
refers to The Toronto-Dominion Bank and its subsidiaries. Alternatively, The Toronto-Dominion Bank, any Agent or any dealer participating
in this offering will arrange to send you the product prospectus supplement and the prospectus if you so request by calling 1-855-303-3234.
We reserve the right to change the terms
of, or reject any offer to purchase, the Notes prior to their issuance. In the event of any changes to the terms of the Notes,
we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject
such changes, in which case we may reject your offer to purchase.
TD SECURITIES (USA) LLC
P-4
Additional
Risk Factors
The Notes involve risks not associated
with an investment in ordinary fixed rate notes. This section describes the most significant risks relating to the terms of the
Notes. For additional information as to these risks, please see the product prospectus supplement and the prospectus.
You should carefully consider whether the
Notes are suited to your particular circumstances before you decide to purchase them. Accordingly, prospective investors should
consult their investment, legal, tax, accounting and other advisors as to the risks entailed by an investment in the Notes and
the suitability of the Notes in light of their particular circumstances.
Principal at Risk.
Investors in the Notes
could lose up to 80% of their Principal Amount if the Final Level of the Reference Asset is less than the Buffer Level. Specifically,
you will lose 1% of the Principal Amount of your Notes for each 1% that the Final Level is less than the Initial Level by more
than the Buffer Percentage.
The Notes Do Not Pay Interest and Your
Return on the Notes May Be Less Than the Return on a Conventional Debt Security of Comparable Maturity.
There will be no periodic interest payments
on the Notes as there would be on a conventional fixed-rate or floating-rate debt security having a comparable maturity. The return
that you will receive on the Notes, which could be negative, may be less than the return you could earn on other investments. Even
if your return is positive, your return may be less than the return you would earn if you bought a conventional senior interest
bearing debt security of TD.
Your Potential Return on the Notes Is
Fixed and Limited to the Digital Return and You Will Not Participate in Any Appreciation in the Level of the Reference Asset.
Your potential return on the Notes is fixed
and is limited to the Digital Return. You will receive the Digital Return only if the Final Level is greater than or equal to the
Buffer Level. You will not participate in any appreciation of the Reference Asset even though you will be exposed to the downside
market risk of the Reference Asset. Accordingly, your return on the Notes may be less than your return would be if you made an
investment in a note directly linked to the performance of the Reference Asset or made a hypothetical investment in the Reference
Asset, or the stocks comprising the Reference Asset (the “Reference Asset Constituents”).
Investors Are Subject to TD’s
Credit Risk, and TD’s Credit Ratings and Credit Spreads May Adversely Affect the Market Value of the Notes.
Although the return on the Notes will be
based on the performance of the Reference Asset, the payment of any amount due on the Notes is subject to TD’s credit risk.
The Notes are TD’s senior unsecured debt obligations. Investors are dependent on TD’s ability to pay all amounts due
on the Notes on the Maturity Date and, therefore, investors are subject to the credit risk of TD and to changes in the market’s
view of TD’s creditworthiness. Any decrease in TD’s credit ratings or increase in the credit spreads charged by the
market for taking TD’s credit risk is likely to adversely affect the market value of the Notes. If TD becomes unable to meet
its financial obligations as they become due, investors may not receive any amounts due under the terms of the Notes.
The Agent Discount, Offering Expenses
and Certain Hedging Costs Are Likely to Adversely Affect Secondary Market Prices.
Assuming no changes in market conditions
or any other relevant factors, the price, if any, at which you may be able to sell the Notes will likely be lower than the public
offering price. The public offering price includes, and any price quoted to you is likely to exclude, the underwriting discount
paid in connection with the initial distribution, offering expenses as well as the cost of hedging our obligations under the Notes.
In addition, any such price is also likely to reflect dealer discounts, mark-ups and other transaction costs, such as a discount
to account for costs associated with establishing or unwinding any related hedge transaction.
There May Not Be an Active Trading Market
for the Notes — Sales in the Secondary Market May Result in Significant Losses.
There may be little or no secondary market
for the Notes. The Notes will not be listed or displayed on any securities exchange or electronic communications network. The Agent
or another of our affiliates may make a market for the Notes; however, they are not required to do so and may stop any market-making
activities at any time. Even if a secondary market for the Notes develops, it may not provide significant liquidity or trade at
prices advantageous to you. We expect that transaction costs in any secondary market would be high. As a result, the difference
between bid and ask prices for your Notes in any secondary market could be substantial.
If you sell your Notes before the Maturity
Date, you may have to do so at a substantial discount from the Principal Amount irrespective of the level of the Reference Asset
and, as a result, you may suffer substantial losses.
If the Level of the Reference Asset
Changes, the Market Value of Your Notes May Not Change in the Same Manner.
Your Notes may trade quite differently
from the performance of the Reference Asset. Changes in the level of the Reference Asset may not result in a comparable change
in the market value of your Notes. Even if the level of the Reference Asset remains flat or increases above the Initial Level during
the term of the Notes, the market value of your Notes may not increase by the same amount and could decline.
TD SECURITIES (USA) LLC
P-5
The Reference Asset is Price Return
Only and You Will Not Have Any Rights to the Reference Asset Constituents.
As a holder of the Notes, your potential
return is limited to the Digital Return and you will not participate in any appreciation of the Reference Asset or the Reference
Asset Constituents. Additionally, you will not have voting rights or rights to receive cash dividends or other distributions or
other rights that holders of the Reference Asset Constituents would have. The Reference Asset measures price return only and is
not a total return index or strategy, meaning the Final Level will not reflect any dividends paid on the Reference Asset Constituents.
Non-U.S. Securities Market Risk
The Reference Asset is subject to risks associated with non-U.S.
securities markets, specifically the Eurozone. An investment in notes linked directly or indirectly to the value of securities
issued by non-U.S. companies involves particular risks. Generally, non-U.S. securities markets may be more volatile than U.S. securities
markets, and market developments may affect non-U.S. markets differently from U.S. securities markets. Direct or indirect government
intervention to stabilize these non-U.S. markets, as well as cross
shareholdings in non-U.S. companies, may
affect trading prices and volumes in those markets. There is generally less publicly available information about non-U.S. companies
than about those U.S. companies that are subject to the reporting requirements of the SEC, and non-U.S. companies are subject to
accounting, auditing and financial reporting standards and requirements that differ from those applicable to U.S. reporting companies.
Securities prices in non-U.S. countries are subject to political, economic, financial and social factors that may be unique to
the particular country. These factors, which could negatively affect the non-U.S. securities markets, include the possibility of
recent or future changes in the non-U.S. government’s economic and fiscal policies, the possible imposition of, or changes
in, currency exchange laws or other non-U.S. laws or restrictions applicable to non-U.S. companies or investments in non-U.S. equity
securities and the possibility of fluctuations in the rate of exchange between currencies. The United Kingdom has voted to leave
the European Union (popularly known as “Brexit”). The effect of Brexit is uncertain, and Brexit has and may continue
to contribute to volatility in the prices of securities of companies located in Europe and currency exchange rates, including the
valuation of the Euro and British pound in particular. Moreover, certain aspects of a particular non-U.S. economy may differ favorably
or unfavorably from the U.S. economy in important respects, such as growth of gross national product, rate of inflation, capital
reinvestment, resources and self-sufficiency.
Estimated Value
The Estimated Value of Your Notes
Is Lower Than the Public Offering Price of Your Notes.
The estimated value of your Notes
is lower than the public offering price of your Notes. The difference between the public offering price of your Notes and the estimated
value of the Notes reflects costs and expected profits associated with selling and structuring the Notes, as well as hedging our
obligations under the Notes. Because hedging our obligations entails risks and may be influenced by market forces beyond our control,
this hedging may result in a profit that is more or less than expected, or a loss.
The Estimated Value of Your Notes
Is Based on Our Internal Funding Rate.
The estimated value of your Notes
is determined by reference to our internal funding rate. The internal funding rate used in the determination of the estimated value
of the Notes generally represents a discount from the credit spreads for our conventional fixed-rate debt securities and the borrowing
rate we would pay for its conventional fixed-rate debt securities. This discount is based on, among other things, our view of the
funding value of the Notes as well as the higher issuance, operational and ongoing liability management costs of the Notes in comparison
to those costs for our conventional fixed-rate debt, as well as estimated financing costs of any hedge positions, taking into account
regulatory and internal requirements. If the interest rate implied by the credit spreads for our conventional fixed-rate debt securities,
or the borrowing rate we would pay for our conventional fixed-rate debt securities were to be used, we would expect the economic
terms of the Notes to be more favorable to you. Additionally, assuming all other economic terms are held constant, the use of an
internal funding rate for the Notes is expected to increase the estimated value of the Notes at any time.
The Estimated Value of the Notes
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 Notes
is based on our internal pricing models. Our pricing models take into account a number of variables, such as our internal funding
rate on the Pricing Date, and are based on a number of subjective assumptions, which are not evaluated or verified on an independent
basis and may or may not materialize. Further, our pricing models may be different from other financial institutions’ pricing
models and the methodologies used by us to estimate the value of the Notes may not be consistent with those of other financial
institutions that may be purchasers or sellers of Notes in the secondary market. As a result, the secondary market price of your
Notes may be materially lower than the estimated value of the Notes determined by reference to our internal pricing models. In
addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect.
TD SECURITIES (USA) LLC
P-6
The Estimated Value of Your Notes
Is Not a Prediction of the Prices at Which You May Sell Your Notes in the Secondary Market, If Any, and Such Secondary Market Prices,
If Any, Will Likely be Lower Than the Public Offering Price of Your Notes and May Be Lower Than the Estimated Value of Your Notes.
The estimated value of the Notes
is not a prediction of the prices at which the Agent, other affiliates of ours or third parties may be willing to purchase the
Notes from you in secondary market transactions (if they are willing to purchase, which they are not obligated to do). The price
at which you may be able to sell your Notes in the secondary market at any time, if any, will be influenced by many factors that
cannot be predicted, such as market conditions, and any bid and ask spread for similar sized trades, and may be substantially less
than the estimated value of the Notes. Further, as secondary market prices of your Notes take into account the levels at which
our debt securities trade in the secondary market, and do not take into account our various costs and expected profits associated
with selling and structuring the Notes, as well as hedging our obligations under the Notes, secondary market prices of your Notes
will likely be lower than the public offering price of your Notes. As a result, the price at which the Agent, other affiliates
of ours or third parties may be willing to purchase the Notes from you in secondary market transactions, if any, will likely be
lower than the price you paid for your Notes, and any sale prior to the Maturity Date could result in a substantial loss to you.
The Temporary Price at Which
The Agent May Initially Buy the Notes in the Secondary Market May Not Be Indicative of Future Prices of Your Notes.
Assuming that all relevant factors
remain constant after the Pricing Date, the price at which the Agent may initially buy or sell the Notes in the secondary market
(if the Agent makes a market in the Notes, which it is not obligated to do) may exceed the estimated value of the Notes on the
Pricing Date, as well as the secondary market value of the Notes, for a temporary period after the Issue Date of the Notes, as
discussed further under “Additional Information Regarding the Estimated Value of the Notes.” The price at which the
Agent may initially buy or sell the Notes in the secondary market may not be indicative of future prices of your Notes.
There Are Potential Conflicts of Interest
Between You and the Calculation Agent.
The Calculation Agent will, among other
things, determine the amount of your payment on the Notes. We will serve as the Calculation Agent and may appoint a different Calculation
Agent after the Issue Date without notice to you. The Calculation Agent will exercise its judgment when performing its functions
and may take into consideration our ability to unwind any related hedges. Since this discretion by the Calculation Agent may affect
payments on the Notes, the Calculation Agent may have a conflict of interest if it needs to make any such decision. For example,
the Calculation Agent may have to determine whether a market disruption event affecting the Reference Asset has occurred. This
determination may, in turn, depend on the Calculation Agent’s judgment whether the event has materially interfered with our
ability or the ability of one of our affiliates to unwind our hedge positions. Since this determination by the Calculation Agent
will affect the payment on the Notes, the Calculation Agent may have a conflict of interest if it needs to make a determination
of this kind. For additional information as to the Calculation Agent’s role, see “General Terms of the Notes —
Role of Calculation Agent” in the product prospectus supplement.
Market Disruption Events and Adjustments.
The Valuation Date, and therefore the Maturity
Date, are subject to postponement as described in the product prospectus supplement due to the occurrence of one or more market
disruption events. For a description of what constitutes a market disruption event as well as the consequences of that market disruption
event, see “General Terms of the Notes—Market Disruption Events” in the product prospectus supplement.
We Have No Affiliation with the Index
Sponsor and Will Not Be Responsible for Any Actions Taken by the Index Sponsor.
STOXX Limited, the sponsor of the EURO
STOXX 50® Index, (the “Index Sponsor”) is not an affiliate of ours or will be involved in any offerings
of the Notes in any way. Consequently, we have no control of any actions of the Index Sponsor, including any actions of the type
that would require the Calculation Agent to adjust the payment to you at maturity. The Index Sponsor does not have any obligation
of any sort with respect to the Notes. Thus, the Index Sponsor has no obligation to take your interests into consideration for
any reason, including in taking any actions that might affect the value of the Notes. None of our proceeds from any issuance of
the Notes will be delivered to the Index Sponsor, except to the extent that we are required to pay the Index Sponsor licensing
fees with respect to the Reference Asset.
Trading and Business Activities by TD
or its Affiliates May Adversely Affect the Market Value of the Notes.
We or one or more affiliates may hedge
our obligations under the Notes by purchasing securities, futures, options or other derivative instruments with returns linked
or related to changes in the level of the Reference Asset or the Reference Asset Constituents, and we may adjust these hedges by,
among other things, purchasing or selling securities, futures, options or other derivative instruments at any time. It is possible
that we or one or more of our affiliates could receive substantial returns from these hedging activities while the market value
of the Notes declines. We or one or more of our affiliates may also issue or underwrite other securities or financial or derivative
instruments with returns linked or related to changes in the performance of the Reference Asset or the Reference Asset Constituents.
These trading activities may present a
conflict between the holders’ interest in the Notes and the interests we and our affiliates will have in our or their proprietary
accounts, in facilitating transactions, including options and other derivatives transactions, for our or their customers’
accounts and in accounts under our or their management. These trading activities could be adverse to the interests of the holders
of the Notes.
TD SECURITIES (USA) LLC
P-7
We, the Agent or another of our affiliates
may, at present or in the future, engage in business with the issuers of the Reference Asset Constituents (the “Reference
Asset Constituent Issuers”) including making loans to or providing advisory services to those companies. These services could
include investment banking and merger and acquisition advisory services. These activities may present a conflict between our or
one or more of our affiliates’ or the Agent and their affiliates’ obligations and your interests as a holder of the
Notes. Moreover, we, the Agent or another of our affiliates may have published, and in the future expect to publish, research reports
with respect to the Reference Asset or the Reference Asset Constituents. This research is modified from time to time without notice
and may express opinions or provide recommendations that are inconsistent with purchasing or holding the Notes. Any of these activities
by us, the Agent or another of our affiliates may affect the level of the Reference Asset or the Reference Asset Constituents and,
therefore, the market value of the Notes and the Payment at Maturity.
Significant Aspects of the Tax Treatment
of the Notes Are Uncertain.
Significant aspect of the U.S. tax treatment of the Notes are
uncertain. You should read carefully the section entitled “Supplemental Discussion of U.S. Federal Income Tax Consequences”
in the product prospectus supplement, and the section entitled “Supplemental Discussion of U.S. Federal Income Tax Consequences”
below. You should consult your tax advisor as to the tax consequences of your investment in the Notes.
For a more complete discussion of the Canadian federal income
tax consequences of investing in the Notes, please see the discussion in the product prospectus supplement under “Supplemental
Discussion of Canadian Tax Consequences”. If you are not a Non-resident Holder (as that term is defined in the prospectus)
for Canadian federal income tax purposes or if you acquire the Notes in the secondary market, you should consult your tax advisors
as to the consequences of acquiring, holding and disposing of the Notes and receiving the payments that might be due under the
Notes.
TD SECURITIES (USA) LLC
P-8
Hypothetical
Returns
The examples and graph set out below are
included for illustration purposes only and are hypothetical examples only: amounts below may have been rounded for ease of analysis.
The hypothetical Percentage Changes of the Reference Asset used to illustrate the calculation of the Payment at Maturity
(rounded to two decimal places) are not estimates or forecasts of the Initial Level, the Final Level or the level of the Reference
Asset on any trading day prior to the Maturity Date. All examples assume a Buffer Percentage of 20% (the Buffer Level is 80% of
the Initial Level), a Digital Return of 22.75%, that a holder purchased Notes with an aggregate Principal Amount of $1,000 and
that no market disruption event occurs on the Valuation Date. The actual terms of the Notes are indicated on the cover hereof.
Example 1— |
Calculation of the Payment at Maturity where the Percentage Change is positive and less than the Digital Return. |
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Percentage Change: |
5.00% |
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Payment at Maturity: |
$1,000.00 + ($1,000.00 x 22.75%)
= $1,000.00 + $227.50
= $1,227.50 |
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On a $1,000.00 investment, a 5.00% Percentage Change results in a Payment at Maturity of $1,227.50, a 22.75% return on the Notes. |
Example 2— |
Calculation of the Payment at Maturity where the Percentage Change is positive and greater than the Digital Return. |
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Percentage Change: |
25.00% |
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Payment at Maturity: |
$1,000.00 + ($1,000.00 x 22.75%)
= $1,000.00 + $227.50
= $1,227.50 |
|
On a $1,000.00 investment, a 25.00% Percentage Change results in a Payment at Maturity of $1,227.50, a 22.75% return on the Notes. |
Example 3— |
Calculation of the Payment at Maturity where the Percentage Change is negative (but not by more than the Buffer Percentage). |
|
Percentage Change: |
-8.00% |
|
Payment at Maturity: |
$1,000.00 + ($1,000.00 x 22.75%)
= $1,000.00 + $227.50
= $1,227.50 |
|
On a $1,000.00 investment, a -8.00% Percentage Change results in a Payment at Maturity of $1,227.50, a 22.75% return on the Notes. |
Example 4— |
Calculation of the Payment at Maturity where the Percentage Change is negative (by more than the Buffer Percentage). |
|
Percentage Change: |
-35.00% |
|
Payment at Maturity: |
$1,000.00 + [$1,000.00 x (-35.00% + 20.00%)] = $1,000.00 - $150.00 = $850.00 |
|
On a $1,000.00 investment, a -35.00% Percentage Change results in a Payment at Maturity of $850.00, a
-15.00% return on the Notes. |
TD SECURITIES (USA) LLC
P-9
The following table shows the return profile
for the Notes at the Maturity Date, assuming that the investor purchased the Notes on the Issue Date at the public offering price
and held the Notes until the Maturity Date. The returns and losses illustrated in the following table are not estimates or forecasts
of the Percentage Change or the return or loss on the Notes. Neither TD nor Agent is predicting or guaranteeing any gain or particular
return on the Notes.
Hypothetical Percentage Change |
Hypothetical Payment at Maturity ($) |
Hypothetical Return on Notes (%) |
100.00% |
$1,227.50 |
22.75% |
75.00% |
$1,227.50 |
22.75% |
50.00% |
$1,227.50 |
22.75% |
22.75% |
$1,227.50 |
22.75% |
15.00% |
$1,227.50 |
22.75% |
10.00% |
$1,227.50 |
22.75% |
5.00% |
$1,227.50 |
22.75% |
2.00% |
$1,227.50 |
22.75% |
1.00% |
$1,227.50 |
22.75% |
0.00% |
$1,227.50 |
22.75% |
-2.00% |
$1,227.50 |
22.75% |
-5.00% |
$1,227.50 |
22.75% |
-7.00% |
$1,227.50 |
22.75% |
-10.00% |
$1,227.50 |
22.75% |
-20.00% |
$1,227.50 |
22.75% |
-30.00% |
$900.00 |
-10.00% |
-40.00% |
$800.00 |
-20.00% |
-50.00% |
$700.00 |
-30.00% |
-75.00% |
$450.00 |
-55.00% |
-100.00% |
$200.00 |
-80.00% |
TD SECURITIES (USA) LLC
P-10
Information Regarding the Reference Asset
The EURO STOXX 50® Index
We have derived all information regarding
the EURO STOXX 50® Index (“SX5E”) contained in this pricing supplement, including without limitation,
its make-up, method of calculation and changes in its components from publicly available information. Such information reflects
the policies of, and is subject to change by STOXX Limited (the “Index Sponsor” or “STOXX”).
The SX5E is a free-float market capitalization-weighted
index of 50 European blue-chip stocks and was created by and is sponsored and maintained by STOXX. Publication of the SX5E began
on February 26, 1998, based on an initial index value of 1,000 at December 31, 1991. The level of the Reference Asset is disseminated
on STOXX’s website. STOXX is under no obligation to continue to publish the Reference Asset and may discontinue publication
of it at any time. Additional information regarding the SX5E may be obtained from the STOXX’s website: stoxx.com. We are
not incorporating by reference the website or any material it includes in this pricing supplement.
The top ten constituents of the SX5E as
of December 29, 2017, by weight, are: Total S.A. (4.87%), Siemens AG (4.13%), SAP SE (3.91%), Banco Santander S.A. (3.70%), Bayer
AG (3.60%), Allianz SE (3.58%), BASF SE (3.53%), Sanofi (3.44%), Unilever N.V. (3.09%) and BNP Paribas (3.00%); constituent weights
may be found at stoxx.com/download/indices/factsheets/SX5GT.pdf and are updated periodically.
As of December 29, 2017, the top ten industry
sectors which comprise the Reference Asset represent the following weights in the index: Banks (15.6%), Industrial Goods &
Services (10.7%), Health Care (10.5%), Personal & Household Goods (9.0%), Technology (7.2%), Insurance (6.9%), Oil & Gas
(6.3%), Chemicals (5.4%), Automobiles & Parts (5.4%) and Utilities (5.2%); industry weightings may be found at stoxx.com/download/indices/factsheets/SX5GT.pdf
and are updated periodically. Percentages may not sum to 100% due to rounding. Sector designations are determined by the underlier
sponsor using criteria it has selected or developed. Index sponsors may use very different standards for determining sector designations.
In addition, many companies operate in a number of sectors, but are listed in only one sector and the basis on which that sector
is selected may also differ. As a result, sector comparisons between indices with different index sponsors may reflect differences
in methodology as well as actual differences in the sector composition of the indices.
As of December 29, 2017, the eight countries
which comprise the Reference Asset represent the following weights in the index: Belgium (2.9%), Finland (1.0%), France (36.6%),
Germany (33.4%), Ireland (1.1%), Italy (4.8%), Netherlands (10.1%) and Spain (10.2%); country weightings may be found at stoxx.com/download/indices/factsheets/SX5GT.pdf
and are updated periodically.
The above information was derived from
information prepared by STOXX, however, the percentages we have listed above are approximate and may not match the information
available on STOXX’s website due to subsequent corporation actions or other activity relating to a particular stock.
SX5E Composition.
The
Reference Asset is composed of 50 underlier stocks chosen by STOXX
from the 19 EURO STOXX Supersector indices, which represent the Eurozone portion of the STOXX Europe 600 Supersector indices. STOXX
selects underlier stocks that have, in its view, a high degree of liquidity and represent the largest companies across all market
sectors. The 19 supersectors from which stocks are selected for the Reference Asset are Automobiles & Parts, Banks, Basic Resources,
Chemicals, Construction & Materials, Financial Services, Food & Beverages, Health Care, Industrial Goods & Services,
Insurance, Media, Oil & Gas, Personal & Household Goods, Real Estate, Retail, Technology, Telecommunications, Travel &
Leisure and Utilities, although stocks from each of these supersectors are not necessarily included at a given time.
Component Selection
The
composition of the Reference Asset is reviewed by STOXX annually in September. Within each of the 19 EURO STOXX Supersector indices,
the respective index component stocks are ranked by free—float market capitalization. The largest stocks are added to the
selection list until the coverage is close to, but still less than, 60% of the free—float market capitalization of the corresponding
EURO STOXX Total Market Index Supersector Index. If the next highest—ranked stock brings the coverage closer to 60% in absolute
terms, then it is also added to the selection list. All remaining stocks that are current SX5E components are then added to the
selection list. The stocks on the selection list are then ranked by free—float market capitalization. The 40 largest stocks
on the selection list are chosen as index components. The remaining 10 stocks are then selected from the largest current stocks
ranked between 41 and 60. If the number of index components is still below 50, then the largest remaining stocks on the selection
list are added until the SX5E contains 50 stocks. In exceptional cases, STOXX’s
Management Board may make additions and deletions to the selection list.
Ongoing Maintenance of Component Stocks
The component stocks of the Reference Asset
are monitored on an ongoing monthly basis for deletion and quarterly basis for addition. Changes to the composition of the Reference
Asset due to corporate actions (including mergers and takeovers, spin—offs, sector changes and bankruptcy) are announced
immediately, implemented two trading days later and become effective on the next trading day after implementation.
TD SECURITIES (USA) LLC
P-11
The component stocks of the Reference Asset
are subject to a “fast exit” rule. A component stock is deleted if it ranks 75 or below on the monthly selection list
and it ranked 75 or below on the selection list of the previous month. The highest-ranked non-component stock will replace the
exiting component stock. The Reference Asset is also subject to a “fast entry” rule. All stocks on the latest selection
lists and initial public offering (IPO) stocks are reviewed for a fast-track addition on a quarterly basis. A stock is added if
it qualifies for the latest blue-chip selection list generated at the end of February, May, August or November and if it ranks
within the lower buffer (between 1 and 25) on the selection list. If added, the stock replaces the smallest component stock.
A deleted stock is replaced immediately
to maintain the fixed number of stocks. The replacement is based on the latest monthly selection list. In the case of a merger
or takeover where a component stock is involved, the original component stock is replaced by the new component stock. In the case
of a spin-off, if the original stock was a component stock, then each spin-off stock qualifies for addition if it lies within the
lower buffer (between 1 and 40) on the latest selection list. The largest qualifying spin-off stock replaces the original component
stock, while the next qualifying spin-off stock replaces the lowest ranked component stock and likewise for other qualifying spin-off
stocks.
The free float factors and outstanding
number of shares for each underlier stock that STOXX uses to calculate the Reference Asset, as described below, are reviewed, calculated
and implemented on a quarterly basis and are fixed until the next quarterly review. Certain extraordinary adjustments to the free
float factors and/or the number of outstanding shares are implemented and made effective more quickly. The timing depends on the
magnitude of the change. Each component’s weight is capped at 10% of the Reference Asset’s total free float market
capitalization. The free float factor reduces the underlier stock’s number of shares to the actual amount available on the
market. All holdings that are larger than five percent of the total outstanding number of shares and held on a long-term basis
are excluded from the index calculation (including, but not limited to, stock owned by the company itself, stock owned by governments,
stock owned by certain individuals or families, and restricted shares).
Index Calculation
STOXX calculates the Reference Asset using
the “Laspeyres formula,” which measures the aggregate price changes in the underlier stocks against a fixed base quantity
weight. The discussion below describes the “price return” calculation of the Reference Asset. The applicable pricing
supplement will describe the calculation of the Reference Asset if the underlier for your notes is not the price return calculation.
The formula for calculating the Reference Asset value can be expressed as follows:
SX5E |
= |
Free
Float Market Capitalization of the SX5E |
|
|
|
Divisor |
|
The “free float market capitalization
of the SX5E” is equal to the sum of the product of the price, the number of shares, the free float factor and the weighting
cap factor for each underlier stock as of the time the Reference Asset is being calculated. The index stocks trade in Euros and
thus, no currency conversion is required. Where any index component stock price is unavailable on any trading day, the underlier
sponsor will generally use the last reported price for such component stock.
In case the investability and tradability
of the index and index based products is affected by an upcoming market or company event that is considered significant or “extreme”
by the STOXX Management Board, the following actions or a combination of the following actions are taken. For all such changes
a minimum notification period of two full trading days will be observed. The action scope may include but is not limited to:
● application of expert judgment for index
component pricing data,
● adjustment of operational procedures,
● postponement of index adjustments,
● adjustment of selection lists,
● change of weights of index constituents by
adjusting the number of shares, free-float factors or weighting cap-factors, or
● adjustment of index compositions.
EURO STOXX 50 Divisor
The Reference Asset is calculated using
a divisor that helps to maintain the continuity of the index’s value so that corporate actions do not artificially increase
or decrease the level of the Reference Asset.
The divisor is calculated by starting with
the previous divisor in effect for the Reference Asset (which we call the “original divisor value”) and multiplying
it by a fraction, the numerator of which is the previous free float market capitalization of the Reference Asset, plus or
minus the difference between the closing
market capitalization of the Reference Asset and the adjusted closing market capitalization of the Reference Asset, and the denominator
of which is the previous free float market capitalization of the Reference Asset. The adjusted free float market capitalization
is calculated for stocks of companies that have experienced a corporate action of the type described below as of the time the new
divisor value is being calculated using the free float market capitalization calculated with adjusted closing prices, the new number
of shares, and the new free float factor minus the free float market capitalization calculated with that stock’s original
closing price, number of shares, and free float factor, in each case as used in calculating the original divisor value. Errors
in divisor calculation are corrected on an intraday basis if discovered on the same day the new divisor is effective. If the error
is discovered later, the error is corrected on an intraday basis if feasible and only if the error is considered significant by
the STOXX Limited Management Board.
TD SECURITIES (USA) LLC
P-12
Divisor Adjustments
STOXX adjusts the divisor for the Reference
Asset to maintain the continuity of the Reference Asset values across changes due to corporate actions. Changes in weights due
to corporate actions are distributed proportionally across all index components and equal an investment into the portfolio. The
following is a summary of the adjustments to any underlier stock made for corporate actions and the effect of such adjustments
on the divisor, where shareholders of the underlier stock will receive “B” new shares for every “A” share
held (where applicable) and assuming that the version of the index to which your notes are linked is the price return version.
If your notes are linked to the total return calculation of the Reference Asset, please see the discussion in your pricing supplement
regarding divisor adjustments. All adjusted prices consider withholding taxes based on the new shares being distributed, using
“B * (1 – withholding tax where applicable)”.
(1) Special cash dividend:
Adjusted price = closing price – dividend announced
by the company * (1- withholding tax if applicable)
Divisor: decreases
(2) Split and reverse split:
Adjusted price = closing price * A / B
New number of shares = old number of shares * B / A
Divisor:
no change
(3) Rights offering:
Adjusted price = (closing price * A + subscription price
* B) / (A + B)
New number of shares = old number of shares * (A + B)
/ A
Divisor: increases
If the subscription price is not available or if the subscription
price is equal to or greater than the closing price on the day before the effective date, then no adjustment is made.
Extremely dilutive rights issues having a share ratio
larger or equal to 2000% (B/A>20) are treated as follows:
STOXX will announce the deletion of the company from
all indices following the standard rules for index
replacements if sufficient notice of two trading days before the ex-date can
be given.
The company may enter the indices again at the next periodic
index review, but only after the new rights issue shares have been listed.
Extremely dilutive rights issues for which two trading
days’ notice before the ex-date cannot be given, and all highly dilutive rights issues having a share ratio larger or equal
to 200% (B/A>2) are treated as follows:
| ● | The rights issue shares are included into the indices with
a theoretical price on the ex-date; |
| ● | The rights issue shares must be listed on an eligible stock exchange and tradable starting on the ex-date, otherwise, only
a price adjustment is made and the rights are not included; |
| ● | The rights issue shares will have the same parameters as
the parent company; |
| ● | The rights issue shares will be removed after their first
trading day at the close; and |
| ● | The number of shares and weighting factors will be increased after the new rights issue shares have been listed. |
(4) Stock dividend:
Adjusted price = closing price * A / (A + B)
New number of shares = old number of shares * (A + B)
/ A
Divisor: no change
(5) Stock dividend from treasury stock if treated
as extraordinary dividend:
Adjusted close = close – close * B / (A + B)
Divisor: decreases
(6) Stock dividend of another company:
Adjusted price = (closing price * A – price of other
company * B) / A
Divisor: decreases
TD SECURITIES (USA) LLC
P-13
(7) Return of capital and share consolidation:
Adjusted price = [closing price – capital return
announced by company * (1– withholding tax)] * A / B New
number of shares = old number of shares * B / A
Divisor: decreases
(8) Repurchase of shares / self-tender:
Adjusted price = [(price before tender * old number of
shares) – (tender price * number of tendered shares)] / (old number of
shares – number of tendered shares)
New number of shares = old number of shares – number
of tendered shares
Divisor: decreases
(9) Spin– off:
Adjusted price = (closing price * A – price
of spin–off shares * B) / A
Divisor: decreases
(10) Combination stock distribution (dividend or
split) and rights offering:
For this corporate action, the following additional
assumptions apply:
Shareholders receive B new shares from the distribution
and C new shares from the rights offering for every A share held;
and
If A is not equal to one, all the following “new
number of shares” formulae need to be divided by A.
If rights are applicable after stock
distribution (one action applicable to another):
Adjusted price = [closing price * A + subscription
price * C * (1 + B / A)] / [(A + B) * (1 + C / A)]
New number of shares = old number of shares * [(A + B)
* (1 + C / A)] / A
Divisor: increases
If stock distribution is applicable
after rights (one action applicable to another):
Adjusted price = (closing price
* A + subscription price * C) / [(A + C) * (1 + B / A)]
New number of shares = old number
of shares * [(A + C) * (1 + B / A)]
Divisor: increases
Stock distribution and rights (neither
action is applicable to the other):
Adjusted price = (closing price
* A + subscription price * C) / (A + B + C)
New number of shares = old number
of shares * (A + B + C) / A
Divisor: increases
(11) Addition/deletion of a company
No price adjustments are made. The net change in market
capitalization determines the divisor adjustment.
(12) Free float and shares changes
No price adjustments are made.
The change in market capitalization determines the divisor adjustment.
The Reference Asset is the intellectual
property of STOXX Limited, Zurich, Switzerland and/or its licensors (“Licensors“), which is used under license. The
securities or other financial instruments based on the Reference Asset are in no way sponsored, endorsed, sold or promoted by STOXX
and its Licensors and neither STOXX nor its Licensors shall have any liability with respect thereto.
TD SECURITIES (USA) LLC
P-14
License Agreement
We have entered into a non-exclusive license
agreement with STOXX providing for the license to us and certain of our affiliated or subsidiary companies, in exchange for a fee,
of the right to use indices owned and published by STOXX (including the Reference Asset) in connection with certain securities,
including the Notes offered hereby.
The license agreement between us and STOXX
requires that the following language be stated in this document:
STOXX has no relationship to us, other
than the licensing of the Reference Asset and the related trademarks for use in connection with the Notes. STOXX does not:
| · | sponsor, endorse, sell, or promote the Notes; |
| · | recommend that any person invest in the Notes
offered hereby or any other securities; |
| · | have any responsibility or liability for or
make any decisions about the timing, amount, or pricing of the Notes; |
| · | have any responsibility or liability for the
administration, management, or marketing of the Notes; or |
| · | consider the needs of the Notes or the holders
of the Notes in determining, composing, or calculating the Reference Asset, or have any obligation to do so. |
STOXX will not have any liability in connection
with the Notes. Specifically:
| · | STOXX does not make any warranty, express
or implied, and disclaims any and all warranty concerning: |
| · | the results to be obtained by the Notes, the
holders of the Notes or any other person in connection with the use of the Reference Asset and the data included in the Reference
Asset; |
| · | the accuracy or completeness of the Reference
Asset and its data; |
| · | the merchantability and the fitness for a
particular purpose or use of the Reference Asset and its data; |
| · | STOXX will have no liability for any errors,
omissions, or interruptions in the Reference Asset or its data; and |
| · | Under no circumstances will STOXX be liable
for any lost profits or indirect, punitive, special, or consequential damages or losses, even if STOXX knows that they might occur. |
The licensing agreement between us and
STOXX is solely for their benefit and our benefit, and not for the benefit of the holders of the Notes or any other third parties.
TD SECURITIES (USA) LLC
P-15
Historical Information
The graph below illustrates the performance
of the Reference Asset from February 22, 2008 through February 22, 2018. The dotted line represents the Buffer Level of 2,745.592,
which is equal to 80% of the Initial Level.
We obtained the information regarding the
historical performance of the Reference Asset in the graph below from Bloomberg Professional® service (“Bloomberg”).
We have not independently verified the
accuracy or completeness of the information obtained from Bloomberg. The historical performance of the Reference Asset should not
be taken as an indication of its future performance, and no assurance can be given as to the Final Level of the Reference Asset.
We cannot give you assurance that the performance of the Reference Asset will result in any positive return on your initial investment.
PAST
PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
TD SECURITIES (USA) LLC
P-16
Supplemental
Discussion of U.S. Federal Income Tax Consequences
The U.S. federal income tax consequences
of your investment in the Notes are uncertain. Some of these tax consequences are summarized below, but we urge you to read the
more detailed discussion under “Supplemental Discussion of U.S. Federal Income Tax Consequences” in the product prospectus
supplement and discuss the tax consequences of your particular situation with your tax advisor. This discussion is based upon the
Internal Revenue Code of 1986, as amended (the “Code”), final, temporary and proposed U.S. Treasury Department (the
“Treasury”) regulations, rulings and decisions, in each case, as available and in effect as of the date hereof, all
of which are subject to change, possibly with retroactive effect. Tax consequences under state, local and non-U.S. laws are not
addressed herein. No statutory, regulatory, judicial or administrative authority directly discusses how the Notes should be treated
for U.S. federal income tax purposes. No ruling from the U.S. Internal Revenue Service (the “IRS”) has been sought
as to the U.S. federal income tax consequences of your investment in the Notes, and the following discussion is not binding on
the IRS.
General. The following is a general
description of the material U.S. federal tax considerations relating to the Notes. Prospective purchasers of the Notes should consult
their tax advisors as to the consequences under the tax laws of the country of which they are a resident for tax purposes and the
tax laws of the U.S. and Canada of acquiring, holding and disposing of the Notes and receiving payments under the Notes.
U.S. Tax Treatment. Pursuant
to the terms of the Notes, TD and you agree, in the absence of a statutory, regulatory, administrative or judicial ruling to the
contrary, to characterize your Notes as pre-paid derivative contracts with respect to the Reference Asset. If your Notes are so
treated, you should generally recognize gain or loss upon the taxable disposition of your Notes in an amount equal to the difference
between the amount you receive at such time and the amount you paid for your Notes. Such gain or loss should generally be long-term
capital gain or loss if you have held your Notes for more than one year (otherwise such gain or loss should be short-term capital
gain or loss if held for one year or less). The deductibility of capital losses is subject to limitations.
In the opinion of our special U.S. tax
counsel, Cadwalader, Wickersham & Taft LLP, it would be reasonable to treat your Notes in the manner described above. However,
because there is no authority that specifically addresses the tax treatment of the Notes, it is possible that your Notes could
alternatively be treated for tax purposes as a single contingent payment debt instrument, or pursuant to some other characterization,
such that the timing and character of your income from the Notes could differ materially from the treatment described above, as
described further under “Supplemental Discussion of U.S. Federal Income Tax Consequences — Alternative Treatments”
of the product prospectus supplement. The risk that the Notes may be recharacterized for U.S. federal income tax purposes as instruments
giving rise to current ordinary income (even before receipt of any cash) and short-term capital gain or loss (even if held for
more than one year), is higher than with other equity index-linked securities that similarly do not guarantee full repayment of
principal.
Notice 2008-2. In 2007, the IRS
released a notice that may affect the taxation of holders of the Notes. According to Notice 2008-2, the IRS and the Treasury are
actively considering whether a holder of an instrument such as the Notes should be required to accrue ordinary income on a current
basis, and they are seeking taxpayer comments on the subject. It is not possible to determine what guidance they will ultimately
issue, if any. It is possible, however, that under such guidance, holders of the Notes will ultimately be required to accrue income
currently and this could be applied on a retroactive basis. The IRS and the Treasury are also considering other relevant issues,
including whether additional gain or loss from such instruments should be treated as ordinary or capital, whether non-U.S. holders
of such instruments should be subject to withholding tax on any deemed income accruals, and whether the special “constructive
ownership rules” of Section 1260 of the Code should be applied to such instruments. Holders are urged to consult their tax
advisors concerning the significance, and the potential impact, of the above considerations. Except to the extent otherwise required
by law, TD intends to treat your Notes for U.S. federal income tax purposes in accordance with the treatment described above and
under “Supplemental Discussion of U.S. Federal Income Tax Consequences” of the product prospectus supplement, unless
and until such time as the Treasury and the IRS determine that some other treatment is more appropriate.
Proposed Legislation. In 2007, legislation
was introduced in Congress that, if it had been enacted, would have required holders of Notes purchased after the bill was enacted
to accrue interest income over the term of the Notes despite the fact that there will be no interest payments over the term of
the Notes.
Furthermore, in 2013, the House Ways and
Means Committee released in draft form certain proposed legislation relating to financial instruments. If enacted, the effect of
this legislation generally would have been to require instruments such as the Notes to be marked to market on an annual basis with
all gains and losses to be treated as ordinary, subject to certain exceptions.
It is impossible to predict what any such
legislation or administrative or regulatory guidance might provide, and whether the effective date of any legislation or guidance
will affect Notes that were issued before the date that such legislation or guidance is issued. You are urged to consult your tax
advisor as to the possibility that any legislative or administrative action may adversely affect the tax treatment of your Notes.
Section 1297. We will not attempt
to ascertain whether any Reference Asset Constituent Issuers would be treated as a passive foreign investment company (a “PFIC”)
within the meaning of Section 1297 of the Code. If any such entity were so treated, certain adverse U.S. federal income tax consequences
might apply upon the taxable disposition of your Notes. You should refer to information filed with the SEC or the equivalent governmental
authority by such entities and consult your tax advisor regarding the possible consequences to you if any such entity is or becomes
a PFIC.
TD SECURITIES (USA) LLC
P-17
Medicare Tax on Net Investment Income.
U.S. holders that are individuals, estates, and certain trusts are subject to an additional 3.8% tax on all or a portion of their
“net investment income,” or “undistributed net investment income” in the case of an estate or trust, which
may include any income or gain with respect to the Notes, to the extent of their net investment income or undistributed net investment
income (as the case may be) that when added to their other modified adjusted gross income, exceeds $200,000 for an unmarried individual,
$250,000 for a married taxpayer filing a joint return (or a surviving spouse), or $125,000 for a married individual filing a separate
return, or the dollar amount at which the highest tax bracket begins for an estate or trust. The 3.8% Medicare tax is determined
in a different manner than the regular income tax. U.S. holders should consult their tax advisors as to their consequences with
respect to the 3.8% Medicare tax.
Specified Foreign Financial Assets.
Certain U.S. holders that own “specified foreign financial assets” in excess of an applicable threshold may be
subject to reporting obligations with respect to such assets with their tax returns, especially if such assets are held outside
the custody of a U.S. financial institution. You are urged to consult your tax advisor as to the application of this legislation
to your ownership of the Notes.
Non-U.S. Holders. This section applies
only if you are a non-U.S. holder. For these purposes, you are a non-U.S. holder if you are the beneficial owner of the Notes and
are, for U.S. federal income tax purposes:
| · | a non-resident alien individual; |
| · | a non-U.S. corporation; or |
| · | an estate or trust that, in either case,
is not subject to U.S. federal income tax on a net income basis on income or gain from the Notes. |
If you are a non-U.S. holder, subject to
Section 871(m) of the Code and FATCA, as discussed below, you should generally not be subject to U.S. withholding tax with respect
to payments on your Notes or to generally applicable information reporting and backup withholding requirements with respect to
payments on your Notes if you comply with certain certification and identification requirements as to your non-U.S. status including
providing us (and/or the applicable withholding agent) a properly executed and fully completed applicable IRS Form W-8. Subject
to Section 871(m) of the Code, as discussed below, gain from the taxable disposition of a Note generally should not be subject
to U.S. tax unless (i) such gain is effectively connected with a trade or business conducted by you in the U.S. or (ii) unless
you are a non-resident alien individual and are present in the U.S. for 183 days or more during the taxable year of such taxable
disposition and certain other conditions are satisfied, (iii) you fail to provide the relevant correct, complete and executed IRS
Form W-8, or (iv) you have certain other present or former connections with the U.S.
Section 871(m). A 30% withholding
tax (which may be reduced by an applicable income tax treaty) is imposed under Section 871(m) of the Code on certain “dividend
equivalents” paid or deemed paid to a non-U.S. holder with respect to a “specified equity-linked instrument”
that references one or more dividend paying U.S. equity securities. The withholding tax can apply even if the instrument does not
provide for payments that reference dividends. Treasury regulations provide that the withholding tax applies to all dividend equivalents
paid or deemed paid on specified equity-linked instruments that have a delta of one (“delta one specified equity-linked instruments”)
issued after 2016 and to all dividend equivalents paid or deemed paid on all other specified equity-linked instruments issued after
2018.
Based on our determination that the Notes
are not “delta-one” with respect to the Reference Asset or any Reference Asset Constituent, our counsel is of the opinion
that the Notes should not be delta one specified equity-linked instruments and thus should not be subject to withholding on dividend
equivalents. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Furthermore, the application
of Section 871(m) of the Code will depend on our determinations made upon issuance of the Notes. If withholding is required, we
will not make payments of any additional amounts.
Nevertheless, after issuance, it is possible
that your Notes could be deemed to be reissued for tax purposes upon the occurrence of certain events affecting the Reference Asset,
any Reference Asset Constituent or your Notes, and following such occurrence your Notes could be treated as delta one specified
equity-linked instruments that are subject to withholding on dividend equivalents. It is also possible that withholding tax or
other tax under Section 871(m) of the Code could apply to the Notes under these rules if you enter, or have entered, into certain
other transactions in respect of the Reference Asset, any Reference Asset Constituent or the Notes. If you enter, or have entered,
into other transactions in respect of the Reference Asset, any Reference Asset Constituent or the Notes, you should consult your
tax advisor regarding the application of Section 871(m) of the Code to your Notes in the context of your other transactions.
Because of the uncertainty regarding the
application of the 30% withholding tax on dividend equivalents to the Notes, you are urged to consult your tax advisor regarding
the potential application of Section 871(m) of the Code and the 30% withholding tax to an investment in the Notes.
TD SECURITIES (USA) LLC
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Foreign Account Tax Compliance Act.
The Foreign Account Tax Compliance Act (“FATCA”) was enacted on March 18, 2010, and imposes a 30% U.S. withholding
tax on “withholdable payments” (i.e., certain U.S.-source payments, including interest (and original issue discount),
dividends, other fixed or determinable annual or periodical income, and the gross proceeds from a disposition of property of a
type that can produce U.S.-source interest or dividends) and “passthru payments” (i.e., certain payments attributable
to withholdable payments) made to certain foreign financial institutions (and certain of their affiliates) unless the payee foreign
financial institution agrees (or is required), among other things, to disclose the identity of any U.S. individual with an account
at the institution (or the relevant affiliate) and to annually report certain information about such account. FATCA also requires
withholding agents making withholdable payments to certain foreign entities that do not disclose the name, address, and taxpayer
identification number of any substantial U.S. owners (or do not certify that they do not have any substantial U.S. owners) to withhold
tax at a rate of 30%. Under certain circumstances, a holder may be eligible for refunds or credits of such taxes.
Pursuant to final and temporary Treasury
regulations and other IRS guidance, the withholding and reporting requirements under FATCA will generally apply to certain “withholdable
payments” made on or after July 1, 2014, certain gross proceeds on a sale or disposition occurring after December 31, 2018,
and certain foreign passthru payments made after December 31, 2018 (or, if later, the date that final regulations defining the
term “foreign passthru payment” are published). If withholding is required, we (and/or the applicable withholding agent)
will not be required to pay additional amounts with respect to the amounts so withheld. Foreign financial institutions and non-financial
foreign entities located in jurisdictions that have an intergovernmental agreement with the U.S. governing FATCA may be subject
to different rules.
Investors should consult their tax advisors
about the application of FATCA, in particular if they may be classified as financial institutions (or if they hold their Notes
through a non-U.S. entity) under the FATCA rules.
Both
U.S. and non-U.S. holders should consult their tax advisors regarding the U.S. federal income tax consequences of an investment
in the Notes, as well as any tax consequences arising under the laws of any state, local or non- U.S. taxing jurisdiction (including
that of TD and those of the Reference Asset Constituent Issuers).
TD SECURITIES (USA) LLC
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Supplemental
Plan of Distribution (Conflicts of Interest)
We have appointed TDS, an affiliate of
TD, as the Agent for the sale of the Notes. Pursuant to the terms of a distribution agreement, TDS will purchase the Notes from
TD at the public offering price less the underwriting discount set forth on the cover page of this pricing supplement for distribution
to other registered broker-dealers, or have offered the Notes directly to investors. TDS or other registered broker-dealers have
offered the Notes at the public offering price set forth on the cover page of this pricing supplement. Certain dealers who purchase
the Notes for sale to certain fee-based advisory accounts may forego some or all of their selling concessions, fees or commissions.
The public offering price for investors purchasing the Notes in these accounts may be as low as $970.00 (97.00%) per Note. The
underwriting discount represents the selling concessions for other dealers in connection with the distribution of the Notes. The
other dealers may forgo, in their sole discretion, some or all of their selling concessions. TD will reimburse TDS for certain
expenses in connection with its role in the offer and sale of the Notes, and TD will pay TDS a fee in connection with its role
in the offer and sale of the Notes.
Conflicts of Interest. TDS is an
affiliate of TD and, as such, has a ‘‘conflict of interest’’ in this offering within the meaning of Financial
Industry Regulatory Authority, Inc. (“FINRA”) Rule 5121. In addition, TD will receive the net proceeds from the initial
public offering of the Notes, thus creating an additional conflict of interest within the meaning of FINRA Rule 5121. This offering
of the Notes will be conducted in compliance with the provisions of FINRA Rule 5121. In accordance with FINRA Rule 5121, neither
TDS nor any other affiliated agent of ours is permitted to sell the Notes in this offering to an account over which it exercises
discretionary authority without the prior specific written approval of the account holder.
We, TDS, another of our affiliates or
third parties may use this pricing supplement in the initial sale of the Notes. In addition, we, TDS, another of our affiliates
or third parties may use this pricing supplement in a market-making transaction in the Notes after their initial sale. If
a purchaser buys the Notes from us, TDS, another of our affiliates or third parties, this pricing supplement is being used in a
market-making transaction unless we, TDS, another of our affiliates or third parties informs such purchaser otherwise in the confirmation
of sale.
Prohibition of Sales to EEA Retail
Investors — The Notes are not intended to be offered, sold or otherwise made available to and should not be offered,
sold or otherwise made available to any retail investor in the European Economic Area (“EEA”). For these purposes,
a retail investor means a person who is one (or more) of: (i) a retail client as defined in point (11) of Article 4(1) of Directive
2014/65/EU, as amended (“MiFID II”); (ii) a customer within the meaning of Directive 2002/92/EC, as amended, where
that customer would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or (iii) not a qualified
investor as defined in Directive 2003/71/EC, as amended. Consequently no key information document required by Regulation (EU) No
1286/2014, as amended (the “PRIIPs Regulation”), for offering or selling the Notes or otherwise making them available
to retail investors in the EEA has been prepared and therefore offering or selling the Notes or otherwise making them available
to any retail investor in the EEA may be unlawful under the PRIIPs Regulation.
TD SECURITIES (USA) LLC
P-20
Additional
Information Regarding the Estimated Value of the Notes
The final terms for the Notes were determined
on the Pricing Date, based on prevailing market conditions on the Pricing Date, and are set forth in this pricing supplement.
The economic terms of the Notes are based
on our internal funding rate (which is our internal borrowing rate based on variables such as market benchmarks and our appetite
for borrowing), and several factors, including any sales commissions paid to TDS or another affiliate of ours, any selling concessions,
discounts, commissions or fees expected to be allowed or paid to non-affiliated intermediaries, the estimated profit that we or
any of our affiliates expect to earn in connection with structuring the Notes, estimated costs which we may incur in connection
with the Notes and the estimated cost which we may incur in hedging our obligations under the Notes. Because our internal funding
rate generally represents a discount from the levels at which our benchmark debt securities trade in the secondary market, the
use of an internal funding rate for the Notes rather than the levels at which our benchmark debt securities trade in the secondary
market is expected to have an adverse effect on the economic terms of the Notes.
On the cover page of this pricing supplement,
we have provided the initial estimated value for the Notes. This estimated value was determined by reference to our internal pricing
models which take into account a number of variables and are based on a number of assumptions, which may or may not materialize,
typically including volatility, interest rates (forecasted, current and historical rates), price-sensitivity analysis, time to
maturity of the Notes, and our internal funding rate. For more information about the initial estimated value, see “Additional
Risk Factors” beginning on page P-5. Because our internal funding rate generally represents a discount from the levels at
which our benchmark debt securities trade in the secondary market, the use of an internal funding rate for the Notes rather than
the levels at which our benchmark debt securities trade in the secondary market is expected, assuming all other economic terms
are held constant, to increase the estimated value of the Notes. For more information see the discussion under “Additional
Risk Factors — The Estimated Value of Your Notes Is Based on Our Internal Funding Rate.”
Our estimated value of the Notes is not
a prediction of the price at which the Notes may trade in the secondary market, nor will it be the price at which the Agent may
buy or sell the Notes in the secondary market. Subject to normal market and funding conditions, the Agent or another affiliate
of ours intends to offer to purchase the Notes in the secondary market but it is not obligated to do so.
Assuming that all relevant factors remain
constant after the Pricing Date, the price at which the Agent may initially buy or sell the Notes in the secondary market, if any,
may exceed our estimated value on the Pricing Date for a temporary period expected to be approximately 3 months after the Pricing
Date because, in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost of hedging
our obligations under the Notes and other costs in connection with the Notes which we will no longer expect to incur over the term
of the Notes. We made such discretionary election and determined this temporary reimbursement period on the basis of a number of
factors, including the tenor of the Notes and any agreement we may have with the distributors of the Notes. The amount of our estimated
costs which we effectively reimburse to investors in this way may not be allocated ratably throughout the reimbursement period,
and we may discontinue such reimbursement at any time or revise the duration of the reimbursement period after the Issue Date of
the Notes based on changes in market conditions and other factors that cannot be predicted.
We urge you to read the “Additional
Risk Factors” beginning on page P-5 of this pricing supplement.
TD SECURITIES (USA) LLC
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Validity
of the Notes
In the opinion of Cadwalader, Wickersham
& Taft LLP, as special products counsel to TD, when the Notes offered by this pricing supplement have been executed and issued
by TD and authenticated by the trustee pursuant to the indenture and delivered, paid for and sold as contemplated herein, the Notes
will be valid and binding obligations of TD, enforceable against TD in accordance with their terms, subject to applicable bankruptcy,
insolvency, fraudulent conveyance, reorganization, moratorium, receivership or other laws relating to or affecting creditors’
rights generally, and to general principles of equity (regardless of whether enforcement is sought in a proceeding at law or in
equity). This opinion is given as of the date hereof and is limited to the laws of the State of New York. Insofar as this opinion
involves matters governed by Canadian law, Cadwalader, Wickersham & Taft LLP has assumed, without independent inquiry or investigation,
the validity of the matters opined on by McCarthy Tétrault LLP, Canadian legal counsel for TD, in its opinion expressed
below. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery
of the indenture and, with respect to the Notes, authentication of the Notes and the genuineness of signatures and certain factual
matters, all as stated in the opinion of Cadwalader, Wickersham & Taft LLP dated May 31, 2016 which has been filed as Exhibit
5.3 to the registration statement on form F-3 filed by the Bank on May 31, 2016.
In the opinion of McCarthy Tétrault
LLP, the issue and sale of the Notes has been duly authorized by all necessary corporate action on the part of TD, and when this
pricing supplement has been attached to, and duly notated on, the master note that represents the Notes, the Notes will have been
validly executed and issued and, to the extent validity of the Notes is a matter governed by the laws of the Province of Ontario,
or the laws of Canada applicable therein, will be valid obligations of TD, subject to the following limitations: (i) the enforceability
of the indenture is subject to bankruptcy, insolvency, reorganization, arrangement, winding up, moratorium and other similar laws
of general application limiting the enforcement of creditors’ rights generally; (ii) the enforceability of the indenture
is subject to general equitable principles, including the fact that the availability of equitable remedies, such as injunctive
relief and specific performance, is in the discretion of a court; (iii) courts in Canada are precluded from giving a judgment in
any currency other than the lawful money of Canada; and (iv) the enforceability of the indenture will be subject to the limitations
contained in the Limitations Act, 2002 (Ontario), and such counsel expresses no opinion as to whether a court may find any provision
of the indenture to be unenforceable as an attempt to vary or exclude a limitation period under that Act. This opinion is given
as of the date hereof and is limited to the laws of the Provinces of Ontario and the federal laws of Canada applicable thereto.
In addition, this opinion is subject to: (i) the assumption that the senior indenture has been duly authorized, executed and delivered
by, and constitutes a valid and legally binding obligation of, the trustee, enforceable against the trustee in accordance with
its terms; and (ii) customary assumptions about the genuineness of signatures and certain factual matters all as stated in the
letter of such counsel dated May 31, 2016, which has been filed as Exhibit 5.2 to the registration statement on form F-3 filed
by TD on May 31, 2016.
TD SECURITIES (USA) LLC
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This regulatory filing also includes additional resources:
e77875_424b2.pdf