The information in this pricing supplement is
not complete and may be changed. This pricing supplement is not an offer to sell nor does it seek an offer to buy these notes in
any jurisdiction where the offer or sale is not permitted.
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-211718
Subject
to Completion, Dated September 19, 2018.
|
The Toronto-Dominion
Bank
$
Leveraged
Capped Buffered MSCI EAFE® Index-Linked Notes due |
|
|
|
|
|
The notes do not bear interest. The amount that you will be paid on your notes on the maturity
date (expected to be the second business day after the valuation date) is based on the performance of the MSCI EAFE®
Index as measured from the pricing date to and including the valuation date (expected to be between 24 and 27 months after the
pricing date). If the final level on the valuation date is greater than the initial level (equal to the closing level of the index
on the pricing date), the return on your notes will be positive, subject to the maximum payment amount (expected to be between
$1,316.64 and $1,372.32 for each $1,000 principal amount of your notes). If the final level declines by up to 15.00% from the initial
level, you will receive the principal amount of your notes. If the final level declines by more than 15.00% from the initial
level, the return on your notes will be negative and you will lose approximately 1.1765% of the principal amount of your notes
for every 1% that the final level has declined below the buffer level of 85.00% of the initial level. Despite the inclusion of
the buffer level, due to the downside multiplier you may lose your entire principal amount.
To determine your payment at
maturity, we will calculate the percentage change of the MSCI EAFE® Index, which is the percentage increase or decrease
in the final level from the initial level. At maturity, for each $1,000 principal amount of your notes, you will receive an amount
in cash equal to:
| ● | if the percentage change is positive (the final level is greater than the initial level), the sum
of (i) $1,000 plus (ii) the product of (a) $1,000 times (b) 160.00% times (c) the percentage change, subject
to the maximum payment amount; |
| ● | if the percentage change is zero or negative but not below -15.00% (the final level is equal to
the initial level or is less than the initial level, but not by more than 15.00%), $1,000; or |
| ● | if the percentage change is negative and is below -15.00% (the final level is less than the initial
level by more than 15.00%), the sum of (i) $1,000 plus (ii) the product of (a) $1,000 times (b) the downside
multiplier of approximately 117.65% times (c) the sum of the percentage change plus 15.00%. You will receive
less than the principal amount of your notes. |
The notes
do not guarantee the return of principal at maturity.
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. Any payments on
the notes are subject to our credit risk. The notes will not be listed or displayed on any securities exchange or electronic communications
network.
You should read the disclosure
herein to better understand the terms and risks of your investment. See “Additional Risk Factors” beginning on page
P-7 of this pricing supplement.
Neither the Securities and
Exchange Commission nor any state securities commission has approved or disapproved of these securities 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.
The initial estimated value of
the notes at the time the terms of your notes are set on the pricing date is expected to be between $988.00 and $998.00 per $1,000
principal amount, which is less than the public offering price listed below. See “Additional Information Regarding the
Estimated Value of the Notes” on the following page and “Additional Risk Factors” beginning on page P-7 of this
document for additional information. The actual value of your notes at any time will reflect many factors and cannot be predicted
with accuracy.
|
Public Offering Price1 |
Underwriting Discount1 |
Proceeds to TD |
Per Note |
$1,000.00 |
$0.00 |
$1,000.00 |
Total |
$ |
$ |
$ |
TD Securities (USA) LLC
Pricing Supplement dated , 2018
1 See
“Supplemental Plan of Distribution (Conflicts of Interest)” on page P-28 herein.
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 the final 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.
We, TD Securities (USA) LLC (“TDS”)
or any of our affiliates, may use this pricing supplement in the initial sale of the notes. In addition, we, TDS or any of our
affiliates may use this pricing supplement in a market-making transaction in a note after its initial sale. Unless we, TDS or
any of our affiliates informs the purchaser otherwise in the confirmation of sale, this pricing supplement will be used in a market-making
transaction.
Additional
Information Regarding the Estimated Value of the Notes
The final terms for the Notes will be
determined on the date the Notes are initially priced for sale to the public, which we refer to as the Pricing Date, based on prevailing
market conditions on the Pricing Date, and will be included in a final pricing supplement. The economic terms of the Notes are
based on TD’s internal funding rate (which is TD’s internal borrowing rate based on variables such as market benchmarks
and TD’s appetite for borrowing), and several factors, including any sales commissions expected to be paid to TDS, any selling
concessions, discounts, commissions or fees expected to be allowed or paid to non-affiliated intermediaries, the estimated profit
that TD or any of TD’s affiliates expect to earn in connection with structuring the Notes, the estimated cost TD may incur
in hedging its obligations under the Notes and the estimated development and other costs which TD may incur in connection with
the Notes. Because TD’s internal funding rate generally represents a discount from the levels at which TD’s benchmark
debt securities trade in the secondary market, the use of an internal funding rate for the Notes rather than the levels at which
TD’s 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, TD has provided the initial estimated value range for the Notes. This
range of estimated values was determined by reference to TD’s 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 TD’s internal
funding rate. For more information about the initial estimated value, see “Additional Risk Factors” beginning on page
P-7. Because TD’s internal funding rate generally represents a discount from the levels at which TD’s benchmark debt
securities trade in the secondary market, the use of an internal funding rate for the Notes rather than the levels at which TD’s
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 — TD’s
and TDS’s Estimated Value of the Notes are Determined By Reference to TD’s Internal Funding Rates and are Not Determined
By Reference to Credit Spreads or the Borrowing Rate TD Would Pay for its Conventional Fixed-Rate Debt Securities”.
TD’s estimated value on the Pricing
Date 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 TDS
may buy or sell the Notes in the secondary market. Subject to normal market and funding conditions, TDS or another affiliate of
TD’s 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 TDS may initially buy or sell the Notes in the secondary market, if any, may
exceed TD’s estimated value on the Pricing Date for a temporary period expected to be approximately 3 months after the Pricing
Date because, in its discretion, TD may elect to effectively reimburse to investors a portion of the estimated cost of hedging
its obligations under the Notes and other costs in connection with the Notes which TD will no longer expect to incur over the term
of the Notes. TD 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 TD may have with the distributors of the Notes. The amount of TD’s
estimated costs which is effectively reimbursed to investors in this way may not be allocated ratably throughout the reimbursement
period, and TD may discontinue such reimbursement at any time or revise the duration of the reimbursement period after the Pricing
Date of the Notes based on changes in market conditions and other factors that cannot be predicted.
If a party other than TDS or its affiliates
is buying or selling your Notes in the secondary market based on its own estimated value of your Notes which was calculated by
reference to TD’s credit spreads or the borrowing rate TD would pay for its conventional fixed-rate debt securities (as opposed
to TD’s internal funding rate), the price at which such party would buy or sell your Notes could be significantly lower.
We urge you to read the “Additional
Risk Factors” beginning on page P-7 of this pricing supplement.
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: |
The Toronto-Dominion Bank (“TD”) |
Issue: |
Senior Debt Securities |
Type of Note: |
Leveraged Capped Buffered Notes (the “Notes”) |
Term: |
Expected to be between 24 and 27 months |
Reference Asset: |
MSCI EAFE® Index (Bloomberg Ticker: MXEA) |
CUSIP / ISIN: |
89114QRF7 / US89114QRF71 |
Agent: |
TD Securities (USA) LLC (“TDS”) |
Currency: |
U.S. Dollars |
Minimum Investment: |
$1,000 and minimum denominations of $1,000 in excess thereof |
Principal Amount: |
$1,000 per Note; $ in the aggregate for all the offered Notes; the aggregate principal amount of the offered Notes may be increased if the Issuer, at its sole option, decides to sell an additional amount of the offered Notes on a date subsequent to the date of the final pricing supplement. |
Pricing Date: |
[ ] |
Issue Date: |
Expected to be five Business Days following the Pricing Date. |
Valuation Date: |
Expected to be between 24 and 27 months after the Pricing Date, subject to postponement for market disruption events and other disruptions, as described under “General Terms of the Notes—Valuation Date” on page PS-18 in the product prospectus supplement. |
Maturity Date: |
Expected to be two Business Days following the Valuation Date, subject to postponement for market disruption events and other disruptions, as described under “General Terms of the Notes—Maturity Date” on page PS-18 in the product prospectus supplement. |
Payment at Maturity: |
For each $1,000 Principal Amount of the
Notes, we will pay you on the Maturity Date an amount in cash equal to:
●
if the Final Level is greater than or equal to the Cap Level, the Maximum Payment Amount;
●
if the Final Level is greater than the Initial Level but less than the Cap Level, the sum of (i) $1,000
plus (ii) the product of (a) $1,000 times (b) the Leverage Factor times (c) the Percentage Change;
●
if the Final Level is equal to or less than the Initial Level but greater than or equal to the
Buffer Level, $1,000; or
●
if the Final Level is less than the Buffer Level, the sum of (i) $1,000 plus (ii) the product of
(a) $1,000 times (b) the Downside Multiplier times (c) the sum of the Percentage Change plus the Buffer
Percentage.
If the Final Level is less than the
Buffer Level, the investor will receive less than the Principal Amount of the Notes at maturity and may lose their entire Principal
Amount.
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. |
Leverage Factor: |
160.00% |
Cap Level: |
Expected to be between 119.79% and 123.27% of the Initial Level (to be determined on the Pricing Date) |
Buffer Percentage: |
15.00% |
Buffer Level: |
85.00% of the Initial Level |
Downside Multiplier: |
The quotient of the Initial Level divided by the Buffer Level, which equals approximately 117.65% |
Maximum Payment Amount: |
Between $1,316.64 and $1,372.32 per $1,000 Principal Amount of the Notes (131.664% to 137.232% of the Principal Amount of the Notes). As a result of the Maximum Payment Amount, the maximum return at maturity of the Notes will be between 31.664% and 37.232% of the Principal Amount of the Notes. The actual Maximum Payment Amount will be determined on the Pricing Date. |
Percentage Change: |
The quotient of (1) the Final Level minus the Initial Level divided by (2) the Initial Level, expressed as a percentage. |
Initial Level: |
The Closing Level of the Reference Asset on the Pricing Date |
Final Level: |
The Closing Level of the Reference Asset on the Valuation Date, except in the limited circumstances described under “General Terms of the Notes—Market Disruption Events” beginning on page PS-19 of the product prospectus supplement and subject to adjustment as provided under “General Terms of the Notes—Unavailability of the Level of the Reference Asset” beginning on page PS-18 of the product prospectus supplement. |
Closing Level: |
The Closing Level of the Reference Asset will be the closing level of the Reference Asset or any successor index (as defined in the product prospectus supplement) on any Trading Day for the Reference Asset, as displayed on Bloomberg Professional® service (“Bloomberg”) page “MXEA <INDEX>” or any successor page on Bloomberg or any successor service, as applicable. Currently, Bloomberg reports the closing level of the Reference Asset to fewer decimal places than MSCI Inc. (the “Index Sponsor”). As a result, the closing level of the Reference Asset reported by Bloomberg generally may be lower or higher than the official closing level of the Reference Asset published by the Index Sponsor. |
Trading Day: |
A day on which the Reference Asset is calculated and published by the Index Sponsor, regardless of whether one or more of the principal securities markets for the stocks included in the Reference Asset are closed on that day, if the Index Sponsor publishes the level of the Reference Asset on that day. |
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 or regulatory change or an administrative determination 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, our special U.S. tax counsel, Cadwalader, Wickersham & Taft LLP, is of the opinion that it would be 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, such that the timing and character of your income from the Notes could differ materially and adversely from the treatment described above. Please see the discussion below 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. |
|
|
The Pricing Date, the Issue Date, the
Valuation Date and the Maturity Date are subject to change. These dates will be set forth in the final pricing supplement that
will be made available in connection with sales of the Notes.
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-7 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.
Additional Risk Factors
The Notes involve risks not associated
with an investment in conventional debt securities. This section describes the most significant risks relating to the terms of
the Notes. For additional information as to these risks, please see “Additional Risk Factors Specific to the Notes”
beginning on page PS-5 in the product prospectus supplement and “Risk Factors” on page 1 in 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 their entire Principal Amount if there is a decline in the level of the Reference Asset by more than the Buffer Percentage.
If the Final Level is less than the Initial Level by more than 15.00%, you will lose a portion of each $1,000 Principal Amount
in an amount equal to (i) the Downside Multiplier times (ii) the sum of the negative Percentage Change plus the Buffer
Percentage times (iii) $1,000. Specifically, you will lose approximately 1.1765% of the Principal Amount of each of your Notes
for every 1% that the Final Level is less than the Initial Level in excess of the Buffer Percentage and you may lose your entire
Principal Amount.
The Notes Do Not Pay Interest and Your
Return on the Notes May Be Less Than the Return on Conventional Debt Securities 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 the same term. 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 Limited by the Maximum Payment Amount and May Be Less Than the Return on a Direct Investment In the Reference Asset.
The opportunity to participate in the
possible increases in the level of the Reference Asset through an investment in the Notes will be limited because the Payment at
Maturity will not exceed the Maximum Payment Amount. Furthermore, the effect of the Leverage Factor will not be taken into account
for any Final Level exceeding the Cap Level no matter how much the level of the Reference Asset may rise above the Cap Level. Accordingly,
your return on the Notes may be less than your return would be if you made an investment in a security directly linked to the performance
of the Reference Asset.
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
depend on the Final Level 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 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, you may not receive any amounts due under the terms of the Notes.
The Agent Discount, if any, 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, any 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 any 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. In addition, if the dealer from which
you purchase Notes, or one of its affiliates, is to conduct hedging activities for us in connection with the Notes, that dealer,
or one of its affiliates, may profit in connection with such hedging activities and such profit, if any, will be in addition to
any compensation that the dealer receives for the sale of the Notes to you. You should be aware that the potential for the dealer
or one of its affiliates to earn fees in connection with hedging activities may create a further incentive for the dealer to sell
the Notes to you in addition to any compensation they would receive for the sale of the Notes.
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. TDS and
our affiliates may make a market for the Notes; however, they are not required to do so. TDS and our affiliates 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 public offering price 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 increases above the Initial Level during the life of
the Notes, the market value of your Notes may not increase by the same amount and could decline.
The Payment at Maturity Is Not Linked
to the Level of the Reference Asset at Any Time Other than the Valuation Date.
The Final Level will be the Closing Level
of the Reference Asset on the Valuation Date (subject to adjustment as described elsewhere in this pricing supplement). Therefore,
if the Closing Level of the Reference Asset dropped precipitously on the Valuation Date, the Payment at Maturity for your Notes
may be significantly less than it would have been had the Payment at Maturity been linked to the Closing Level of the Reference
Asset prior to such drop in the level of the Reference Asset. Although the actual level of the Reference Asset on the Maturity
Date or at other times during the life of your Notes may be higher than the Final Level, you will benefit from the Closing Level
of the Reference Asset only on the Valuation Date.
We May Sell an Additional Aggregate
Principal Amount of the Notes at a Different Public Offering Price.
At our sole option, we may decide to sell
an additional aggregate Principal Amount of the Notes subsequent to the date of the final pricing supplement. The public offering
price of the Notes in the subsequent sale may differ substantially (higher or lower) from the original public offering price you
paid as provided on the cover of the final pricing supplement.
If You Purchase Your Notes at a Premium
to Principal Amount, the Return on Your Investment Will Be Lower Than the Return on Notes Purchased at Principal Amount and the
Impact of Certain Key Terms of the Notes Will be Negatively Affected.
The Payment at Maturity will not be adjusted
based on the public offering price you pay for the Notes. If you purchase Notes at a price that differs from the Principal Amount
of the Notes, then the return on your investment in such Notes held to the Maturity Date will differ from, and may be substantially
less than, the return on Notes purchased at Principal Amount. If you purchase your Notes at a premium to Principal Amount and hold
them to the Maturity Date, the return on your investment in the Notes will be lower than it would have been had you purchased the
Notes at Principal Amount or a discount to Principal Amount. In addition, the impact of the Buffer Level and the Cap Level on the
return on your investment will depend upon the price you pay for your Notes relative to Principal Amount. For example, if you purchase
your Notes at a premium to Principal Amount, the Cap Level will only permit a lower positive return on your investment in the Notes
than would have been the case for Notes purchased at Principal Amount or a discount to Principal Amount. Similarly, the Buffer
Level, while still providing some protection for the return on the Notes, will allow a greater percentage decrease in your investment
in the Notes than would have been the case for Notes purchased at Principal Amount or a discount to Principal Amount.
You Will Not Have Any Rights to the
Securities Included in the Reference Asset.
As a holder of the Notes,
you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of securities
included in the Reference Asset (the “Reference Asset Constituents”) would have. The Final Level will not reflect any
dividends paid on any Reference Asset Constituents.
We Have No Affiliation with the Index
Sponsor and Will Not Be Responsible for Any Actions Taken by the Index Sponsor.
The Index Sponsor is
not an affiliate of ours and will not 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
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.
The Reference Asset
reflects price return, not total return.
The return on your Notes
is based on the performance of the Reference Asset, which reflects changes in the market price of the Reference Asset Constituents.
It is not, however, linked to a “total return” index or strategy, which, in addition to reflecting those price returns,
would also reflect dividends paid on the Reference Asset Constituents. The return on your Notes will not include such a total return
feature or dividend component.
The Notes
are subject to non-U.S. currency exchange rate risk.
The Reference Asset Constituents are traded
and quoted in non-U.S. currencies on non-U.S. markets. The prices of the Reference Asset Constituents are converted into U.S. dollars
for purposes of calculating the value of the Reference Asset. As a result, holders of the Notes will be exposed to currency exchange
rate risk with respect to each of the currencies represented in the Reference Asset. The values of the currencies of the Reference
Asset Constituents may be subject to a high degree of fluctuation due to changes in interest rates, the effects of monetary policies
issued by the United States, non-U.S. governments, central banks or supranational entities, the imposition of currency controls
or other national or global political or economic developments. The level of the Reference Asset will depend on the extent to which
the relevant non-U.S. currencies strengthen or weaken against the U.S. dollar and the relative weight of each non-U.S. Reference
Asset Constituent. If, taking into account such weighting, the U.S. dollar strengthens against the relevant non-U.S. currencies,
the value of such Reference Asset Constituent, and therefore the level of the Reference Asset, will be adversely affected and the
value of the Notes may decrease.
It has been reported that the U.K. Financial
Conduct Authority and regulators from other countries are in the process of investigating the potential manipulation of published
currency exchange rates. If such manipulation has occurred or is continuing, certain published exchange rates may have been, or
may be in the future, artificially lower (or higher) than they would otherwise have been. Any such manipulation could have an adverse
impact on any payments on, and the value of, your Notes and the trading market for your Notes. In addition, we cannot predict whether
any changes or reforms affecting the determination or publication of exchange rates or the supervision of currency trading will
be implemented in connection with these investigations. Any such changes or reforms could also adversely impact your Notes.
Investment in the Offered Notes Is
Subject to Risks Associated with Non-U.S. Securities Markets.
The value of your Notes is linked to the
Reference Asset which holds stocks traded in one or more non-U.S. securities markets. Investments linked to the value of non-U.S.
equity securities involve particular risks. Any non-U.S. securities market may be less liquid, more volatile and affected by global
or domestic market developments in a different way than are the U.S. securities market or other non-U.S. securities markets. Both
government intervention in a non-U.S. securities market, either directly or indirectly, and cross-shareholdings in non-U.S. companies,
may affect trading prices and volumes in that market. Also, 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. Further, non-U.S. companies
are likely subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable
to U.S. reporting companies.
The prices of securities in a non-U.S.
country are subject to political, economic, financial and social factors that are unique to such non-U.S. country's geographical
region. These factors include: recent changes, or the possibility of future changes, in the applicable non-U.S. government's economic
and fiscal policies; the possible implementation of, or changes in, currency exchange laws or other laws or restrictions applicable
to non-U.S. companies or investments in non-U.S. equity securities; fluctuations, or the possibility of fluctuations, in currency
exchange rates; and the possibility of outbreaks of hostility, political instability, natural disaster or adverse public health
developments. 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. Any one of these factors,
or the combination of more than one of these or other factors, could negatively affect such non-U.S. securities market and the
prices of securities therein. Further, geographical regions may react to global factors in different ways, which may cause the
prices of securities in a non-U.S. securities market to fluctuate in a way that differs from those of securities in the U.S. securities
market or other non-U.S. securities markets. Non-U.S. economies may also differ from the U.S. economy in important respects, including growth of gross national
product, rate of inflation, capital reinvestment, resources and self-sufficiency, which may have a positive or negative effect
on non-U.S. securities prices.
Trading and Business Activities by
TD and Our Affiliates May Adversely Affect the Market Value of the Notes.
TD and our 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 prices of one or more Reference Asset Constituents, and we or they 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 the performance of the Reference Asset or one or more 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.
We and our affiliates may, at present
or in the future, engage in business with one or more 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 business activities may present a conflict between us and our affiliates
obligations, and your interests as a holder of the Notes. Moreover, we, and our affiliates may have published, and in the future
expect to publish, research reports with respect to the Reference Asset or one or more 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 business activities by us or one or more of our affiliates may affect the level of the Reference
Asset or one or more Reference Asset Constituents and, therefore, the market value of the Notes.
TD’s Initial Estimated Value
of the Notes at the Time of Pricing (When the Terms of Your Notes Are Set on the Pricing Date) Will Be Lower Than the Public Offering
Price of the Notes.
TD’s initial estimated
value of the Notes is only an estimate. TD’s initial estimated value of the Notes will be lower than the public offering
price of the Notes. The difference between the public offering price of the Notes and TD’s initial estimated value reflects
costs and expected profits associated with selling and structuring the Notes, as well as hedging its obligations under the Notes
with a third party. 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.
TD’s and TDS’s Estimated
Value of the Notes are Determined By Reference to TD’s Internal Funding Rates and are Not Determined By Reference to Credit
Spreads or the Borrowing Rate TD Would Pay for its Conventional Fixed-Rate Debt Securities.
TD’s initial estimated
value of the Notes and TDS’s estimated value of the Notes at any time are determined by reference to TD’s 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 TD’s conventional fixed-rate debt securities and the borrowing rate TD would pay for its conventional
fixed-rate debt securities. This discount is based on, among other things, TD’s 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 TD’s
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 TD’s conventional fixed-rate debt securities, or the
borrowing rate TD would pay for its conventional fixed-rate debt securities were to be used, TD 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.
TD’s Initial Estimated Value
of the Notes Does Not Represent Future Values of the Notes and May Differ From Others’ (Including TDS’s) Estimates.
TD’s initial estimated
value of the Notes is determined by reference to its internal pricing models when the terms of the Notes are set. These pricing
models take into account a number of variables, such as TD’s internal funding rate on the Pricing Date, and are based on
a number of assumptions as discussed further under “Additional Information Regarding the Estimated Value of the Notes”
on page P-2. Different pricing models and assumptions (including the pricing models and assumptions used by TDS) could provide
valuations for the Notes that are different, and perhaps materially lower, from TD’s initial estimated value. Therefore,
the price at which TDS would buy or sell your Notes (if TDS makes a market, which it is not obligated to do) may be materially
lower than TD’s initial estimated value. In addition, market conditions and other relevant factors in the future may change,
and any assumptions may prove to be incorrect.
The Estimated Value of the 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 will not be a prediction of the prices at which TDS, 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 TDS, 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 TDS 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 TDS may initially buy or sell the Notes in the secondary market
(if TDS 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 Pricing Date of the Notes, as discussed
further under “Additional Information Regarding the Estimated Value of the Notes.” The price at which TDS may initially
buy or sell the Notes in the secondary market may not be indicative of future prices of your Notes.
The Market Value
of Your Notes May Be Influenced by Many Unpredictable Factors.
When we refer to the
market value of your Notes, we mean the value that you could receive for your Notes if you chose to sell them in the open market
before the Maturity Date. A number of factors, many of which are beyond our control, will influence the market value of your Notes,
including:
·
the level of the Reference Asset;
·
the volatility – i.e., the frequency and magnitude of changes – in the level of
the Reference Asset;
·
the dividend rates, if applicable, of the Reference Asset Constituents;
·
economic, financial, regulatory and political, military or other events that may affect the
prices of any of the Reference Asset Constituents and thus the level of the Reference Asset;
·
interest rate and yield rates in the market;
·
the time remaining until your Notes mature;
·
any fluctuations in the exchange rate between currencies in which the Reference Asset Constituents
are quoted and traded and the U.S. dollar, as applicable; and
·
our creditworthiness, whether actual or perceived, and including actual or anticipated upgrades
or downgrades in our credit ratings or changes in other credit measures.
These factors will influence the price
you will receive if you sell your Notes before maturity, including the price you may receive for your Notes in any market-making
transaction. If you sell your Notes prior to maturity, you may receive less than the Principal Amount of your Notes.
The future levels of the Reference Asset
cannot be predicted. The actual change in the level of the Reference Asset over the life of the Notes, as well as the Payment at
Maturity, may bear little or no relation to the hypothetical historical closing levels of the Reference Asset or to the hypothetical
examples shown elsewhere in this pricing supplement.
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.
Significant Aspects of the Tax Treatment
of the Notes Are Uncertain.
Significant aspects of the U.S. tax treatment
of the Notes are uncertain. You should consult your tax advisor about your tax situation and should read carefully the section
entitled “Supplemental Discussion of U.S. Federal Income Tax Consequences” below.
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.
Hypothetical
Returns
The examples and graph set out below are
included for illustration purposes only. They should not be taken as an indication or prediction of future investment results and
merely are intended to illustrate the impact that the various hypothetical levels of the Reference Asset on the Valuation Date
could have on the Payment at Maturity assuming all other variables remain constant. The actual terms of the Notes will be set on
the Pricing Date.
The examples below are based on a range
of Final Levels that are entirely hypothetical; the levels of the Reference Asset on any day throughout the life of the Notes,
including the Final Level on the Valuation Date, cannot be predicted. The Reference Asset has been highly volatile in the past—meaning
that the level of the Reference Asset has changed considerably in relatively short periods—and its performance cannot be
predicted for any future period.
The information in the following examples
reflects hypothetical rates of return on the offered Notes assuming that they are purchased on the Issue Date at the Principal
Amount and held to the Maturity Date. If you sell your Notes in a secondary market prior to the Maturity Date, your return will
depend upon the market value of your Notes at the time of sale, which may be affected by a number of factors that are not reflected
in the examples below, such as interest rates, the volatility of the Reference Asset and our creditworthiness. In addition, the
estimated value of your Notes at the time the terms of your Notes are set on the Pricing Date is less than the original public
offering price of your Notes. For more information on the estimated value of your Notes, see “Additional Risk Factors—
TD’s Initial Estimated Value of the Notes at the Time of Pricing (When the Terms of Your Notes Are Set on the Pricing Date)
Will Be Lower Than the Public Offering Price of the Notes.” on page P-10 of this pricing supplement. The information in the
examples also reflect the key terms and assumptions in the box below.
Key Terms and Assumptions |
Principal Amount |
$1,000 |
Leverage Factor |
160.00% |
Hypothetical Cap Level |
119.79% of the Initial Level |
Hypothetical Maximum Payment Amount |
$1,316.64 |
Buffer Level |
85.00% of the Initial Level |
Downside Multiplier |
Approximately 117.65% |
Buffer Percentage |
15.00% |
Neither a market disruption event nor a non-Trading Day occurs on the originally scheduled Valuation Date |
No change in or affecting any of the Reference Asset Constituents or the method by which the Index Sponsor calculates the Reference Asset |
Notes purchased on the Issue Date at the Principal Amount and held to the Maturity Date |
Moreover, we have not yet set the Initial
Level, which will serve as the baseline for determining the Percentage Change, or the Cap Level or the Maximum Payment Amount,
each of which will affect the amount that we will pay on your Notes, if any, at maturity. We will not do so until the Pricing Date.
As a result, the actual Initial Level may differ substantially from the level of the Reference Asset prior to the Pricing Date.
For these reasons the actual performance
of the Reference Asset over the life of your Notes, as well as the Payment at Maturity, if any, may bear little relation to the
hypothetical examples shown below or to the historical levels of the Reference Asset shown elsewhere in this pricing supplement.
For information about the historical levels of the Reference Asset during recent periods, see “Information Regarding the
Reference Asset—Historical Information” below. Before investing in the offered Notes, you should consult publicly available
information to determine the levels of the Reference Asset between the date of this pricing supplement and the date of your purchase
of the offered Notes.
Also, the hypothetical examples shown
below do not take into account the effects of applicable taxes. Because of the U.S. tax treatment applicable to your Notes, tax
liabilities could affect the after-tax rate of return on your Notes to a comparatively greater extent than the after-tax return
on the Reference Asset Constituents.
The levels in the left column of the table
below represent hypothetical Final Levels and are expressed as percentages of the Initial Level. The amounts in the right column
represent the hypothetical Payment at Maturity, based on the corresponding hypothetical Final Level, and are expressed as percentages
of the Principal Amount of a Note (rounded to the nearest one-thousandth of a percent). Thus, a hypothetical Payment at Maturity
of 100.000% means that the value of the cash payment that we would deliver for each $1,000 of the outstanding Principal Amount
of the offered Notes on the Maturity Date would equal 100.000% of the Principal Amount of a Note, based on the corresponding hypothetical
Final Level and the assumptions noted above.
|
Hypothetical Final Level
(as Percentage of Initial Level) |
Hypothetical Payment at Maturity
(as Percentage of Principal Amount) |
|
150.000% |
131.664% |
|
140.000% |
131.664% |
|
130.000% |
131.664% |
|
120.000% |
131.664% |
|
119.790% |
131.664% |
|
110.000% |
116.000% |
|
105.000% |
108.000% |
|
100.000% |
100.000% |
|
98.000% |
100.000% |
|
95.000% |
100.000% |
|
90.000% |
100.000% |
|
85.000% |
100.000% |
|
80.000% |
94.118% |
|
75.000% |
88.235% |
|
50.000% |
58.824% |
|
25.000% |
29.412% |
|
0.000% |
0.000% |
|
|
|
|
If, for example, the Final Level were determined
to be 25.000% of the Initial Level, the Payment at Maturity that we would deliver on your Notes at maturity would be approximately
29.412% of the Principal Amount of your Notes, as shown in the table above. As a result, if you purchased your Notes on the Issue
Date at the Principal Amount and held them to the Maturity Date, you would lose approximately 70.588% of your investment (if you
purchased your Notes at a premium to Principal Amount you would lose a correspondingly higher percentage of your investment).
If the Final Level were determined to be 0.000% of the Initial Level, you would lose 100.000% of your investment in the Notes.
In addition, if the Final Level were determined to be 150.000% of the Initial Level, the Payment at Maturity that we would deliver
on your Notes at maturity would be capped at the Maximum Payment Amount, or 131.664% of each $1,000 Principal Amount of your Notes,
as shown in the table above. As a result, if you held your Notes to the Maturity Date, you would not benefit from any increase
in the Final Level of greater than 119.790% of the Initial Level.
The following examples illustrate the hypothetical Payment at Maturity for each Note based on hypothetical Final Levels of the Reference Asset, calculated based on the key terms and assumptions above. The values below have been rounded for ease of analysis.
Example
1— |
Calculation of the Payment at Maturity where the Percentage Change is positive (and the Final Level is below the Cap Level). |
|
Percentage Change: |
5.00% |
|
Payment at Maturity: |
$1,000.00 + ($1,000.00 x 5.00% x 160.00%) = $1,000.00 + $80.00 = $1,080.00 |
|
On a $1,000.00 investment, a 5.00% Percentage
Change results in a Payment at Maturity of $1,080.00, a 8.000% return on the Notes.
|
Example
2— |
Calculation of the Payment at Maturity where the Percentage Change is positive (and the Final Level is above or equal to the Cap Level). |
|
Percentage Change: |
50.00% |
|
Payment at Maturity: |
$1,000.00 + ($1,000.00 x 50.00% x 160.00%) = $1,000.00 + $800.00 = $1,800.00. However, the Maximum Payment Amount is $1,316.64 and therefore the Payment at Maturity would be $1,316.64. |
|
On a $1,000.00 investment, a 50.00% Percentage
Change results in a Payment at Maturity of $1,316.64, a 31.664% return on the Notes.
In addition to limiting your return on
the Notes, the Maximum Payment Amount limits the positive effect of the Leverage Factor. If the Final Level is greater than the
Initial Level, you will participate in the performance of the Reference Asset at a rate of 160.00% up to a certain point. However,
the effect of the Leverage Factor will be progressively reduced for Final Levels that are greater than 119.790% of the Initial
Level (based on the Maximum Payment Amount of 131.664% or $1,316.64 per $1,000.00 Principal Amount of the Notes) since your return
on the Notes for any Final Level greater than 119.790% of the Initial Level will be limited by the Maximum Payment Amount.
|
Example
3— |
Calculation of the Payment at Maturity where the Percentage Change is negative (but the Final Level is above or equal to the Buffer Level). |
|
Percentage Change: |
-5.00% |
|
Payment at Maturity: |
At maturity, if the Percentage Change is negative BUT not by more than the Buffer Percentage, then the Payment at Maturity will equal the Principal Amount. |
|
On a $1,000.00 investment, a -5.00% Percentage Change results in a Payment at Maturity of $1,000.00, a 0.000% return on the Notes. |
Example
4— |
Calculation of the Payment at Maturity where the Percentage Change is negative (and the Final Level is below the Buffer Level).
|
|
Percentage Change: |
-35.00% |
|
|
Payment at Maturity: |
$1,000.00 + [$1,000.00 x 117.65% x (-35.00% + 15.00%)] = $1,000.00 – $235.29 = $764.71 |
|
|
On a $1,000.00 investment, a -35.00% Percentage Change results in a Payment at Maturity of $764.71, a -23.529% return on the Notes. |
|
|
|
|
|
|
|
The following chart shows a graphical illustration of the hypothetical Payment at Maturity that we would pay on your Notes on the
Maturity Date if the Final Level were any of the hypothetical levels shown on the horizontal axis. The hypothetical Payments at
Maturity in the chart are expressed as percentages of the Principal Amount of your Notes and the hypothetical Final Levels are
expressed as percentages of the Initial Level. The chart shows that any hypothetical Final Level of less than 85.000% (the section
left of the 85.000% marker on the horizontal axis) would result in a hypothetical Payment at Maturity of less than 100.00% of the
Principal Amount of your Notes (the section below the 100.00% marker on the vertical axis) and, accordingly, in a loss of principal
to the holder of the Notes. The chart also shows that any hypothetical Final Level of greater than or equal to 119.790% (the section
right of the 119.790% marker on the horizontal axis) would result in a capped return on your investment.
The Payments at Maturity shown above
are entirely hypothetical; they are based on a hypothetical Cap Level and Maximum Payment Amount, levels of the Reference Asset
that may not be achieved on the Valuation Date and assumptions that may prove to be erroneous. The actual market value of your
Notes on the Maturity Date or at any other time, including any time you may wish to sell your Notes, may bear little relation to
the hypothetical Payment at Maturity shown above, and these amounts should not be viewed as an indication of the financial return
on an investment in the offered Notes. The hypothetical Payment at Maturity on the Notes in the examples above assume you purchased
your Notes at their Principal Amount and have not been adjusted to reflect the actual public offering price you pay for your Notes.
The return on your investment (whether positive or negative) in your Notes will be affected by the amount you pay for your Notes.
If you purchase your Notes for a price other than the Principal Amount, the return on your investment will differ from, and may
be significantly lower than, the hypothetical returns suggested by the above examples. Please read “Additional Risk Factors
Specific to the Notes—The Market Value of Your Notes May Be Influenced by Many Unpredictable Factors” beginning on
page PS-6 of the product prospectus supplement.
Payments
on the Notes are economically equivalent to the amounts that would be paid on a combination of other instruments. For example,
payments on the Notes are economically equivalent to a combination of a non-interest-bearing bond bought by the holder and one
or more options entered into between the holder and us (with one or more implicit option premiums paid over time). The discussion
in this paragraph does not modify or affect the terms of the Notes or the U.S. federal income tax treatment of the Notes, as described
elsewhere in this pricing supplement.
We cannot predict the actual Final Level or what the market value of your Notes will be on any particular Trading Day, nor can we predict the relationship between the level of the Reference Asset and the market value of your Notes at any time prior to the Maturity Date. The actual amount that you will receive, if any, at maturity and the rate of return on the offered Notes will depend on the actual Initial Level, the Cap Level and the Maximum Payment Amount, which we will set on the Pricing Date, and the actual Final Level to be determined by the Calculation Agent as described above. Moreover, the assumptions on which the hypothetical returns are based may turn out to be inaccurate. Consequently, the amount of cash to be paid in respect of your Notes, if any, on the Maturity Date may be very different from the information reflected in the examples above. |
Information
Regarding the Reference Asset
The MSCI EAFE® Index
We have derived all information contained
in this pricing supplement regarding the MSCI EAFE® Index, including, without limitation, its make-up, method of
calculation and changes in its components, from publicly available information, including Bloomberg. The information reflects the
policies of, and is subject to change by MSCI Inc., which we refer to as “MSCI.” MSCI has no obligation to continue
to publish, and may discontinue publication of, the MSCI EAFE® Index. The consequences of MSCI discontinuing publication
of the Reference Asset are discussed in the section of the accompanying product prospectus supplement entitled “General Terms
of the Notes — Unavailability of the Level of the Reference Asset.”
The MSCI EAFE® Index
is a stock index calculated, published and disseminated daily by MSCI through numerous data vendors, on the MSCI website and in
real time on Bloomberg and Reuters Limited.
The MSCI EAFE® Index
is a free float adjusted market capitalization index and is part of the MSCI Global Investable Market Indices, the methodology
of which is described below. The index is considered a “standard” index, which means it consists of all eligible large
capitalization and mid-capitalization stocks, as determined by MSCI, in the relevant market. Additional information about the MSCI
Global Investable Market Indices is available on the following website: msci.com/index-methodology. Daily closing price Information
for the MSCI EAFE® Index is available on the following website:
msci.com
We are not incorporating by reference
these websites or any material they include in this pricing supplement.
The MSCI EAFE® Index
is intended to provide performance benchmarks for the developed equity markets in Australia, Austria, Belgium, Denmark, Finland,
France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden,
Switzerland, and the United Kingdom. The constituent stocks of the MSCI EAFE® Index are derived from the constituent
stocks in the 21 MSCI standard single country indices for the developed market countries listed above. The MSCI EAFE®
Index has a base date of December 31, 1969.
Index Stock Weighting by Country as of August 31, 2018: |
Country: |
Percentage (%)* |
Japan |
24.12% |
United Kingdom |
17.19% |
France |
11.14% |
Germany |
9.62% |
Switzerland |
8.33% |
Other |
29.60% |
* Information provided by MSCI.
Percentages may not sum to 100% due to rounding.
MSCI divides the companies included
in the MSCI EAFE® Index into eleven Global Industry Classification Sectors: Consumer Discretionary, Consumer Staples,
Energy, Financials, Health Care, Industrials, Information Technology, Materials, Real Estate, Telecommunication Services and Utilities.
Index Stock Weighting by Sector as of August 31, 2018: |
Sector** |
Percentage (%)* |
Financials |
19.54% |
Industrials |
14.48% |
Consumer Discretionary |
12.27% |
Consumer Staples |
11.29% |
Health Care |
11.17% |
Materials |
7.96% |
Information Technology |
7.01% |
Energy |
5.88% |
Telecommunication Services |
3.67% |
Real Estate |
3.47% |
Utilities |
3.27% |
* Information provided by MSCI.
Percentages may not sum to 100% due to rounding.
** Sector designations are determined
by the MSCI 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. MSCI and S&P Dow Jones Indices
LLC have announced that the Global Industry Classification Sector structure is expected to be updated after the close of business
on September 28, 2018. Among other things, the update is expected to broaden the current Telecommunications Services sector and
rename it the Communication Services sector. The renamed sector is expected to include the existing Telecommunication Services
Industry group, as well as the Media Industry group, which is expected to move from the Consumer Discretionary sector and be renamed
the Media & Entertainment Industry group. The Media & Entertainment Industry group is expected to contain three industries:
Media, Entertainment and Interactive Media & Services. The Media industry is expected to continue to consist of the Advertising,
Broadcasting, Cable & Satellite and Publishing sub-industries. The Entertainment industry is expected to contain the Movies
& Entertainment sub-industry (which is expected to include online entertainment streaming companies in addition to companies
currently classified in such industry) and the Interactive Home Entertainment sub-industry (which is expected to include companies
from the current Home Entertainment Software sub-industry in the Information Technology sector, as well as producers of mobile
gaming applications). The Interactive Media & Services industry and sub-industry is expected to include companies engaged in
content and information creation or distribution through proprietary platforms, where revenues are derived primarily through pay-per-click
advertisements, and will include search engines, social media and networking platforms, online classifieds and online review companies.
Construction of the MSCI Indices
MSCI undertakes an index construction
process, which involves: (i) defining the equity universe; (ii) determining the market investable equity universe for each market;
(iii) determining market capitalization size segments for each market; (iv) applying index continuity rules for the standard index;
(v) creating style segments within each size segment within each market; and (vi) classifying securities under the Global Industry
Classification Standard. The index construction methodology differs in some cases depending on whether the relevant market is considered
a developed market or an emerging market. The MSCI EAFE® Index is a developed market index. The MSCI EAFE®
Index is a standard index, meaning that only securities that would qualify for inclusion in a large cap index or a mid cap index
will be included as described below.
Defining the Equity Universe
| (i) | Identifying Eligible Equity Securities: The equity universe initially looks
at securities listed in any of the countries in the MSCI global index series, which will be classified as either “developed
markets” or “emerging markets.” All listed equity securities, including real estate investment trusts and certain
income trusts in Canada are eligible for inclusion in the equity universe. Limited partnerships, limited liability companies and
business trusts, which are listed in the U.S. and are not structured to be taxed as limited partnerships, are likewise eligible
for inclusion in the equity universe. Conversely, mutual funds, exchange traded funds, equity derivatives and most investment trusts
are not eligible for inclusion in the equity universe. Preferred shares that exhibit characteristics of equity securities are eligible. |
| (ii) | Country Classification of Eligible Securities: Each company and its securities
(i.e., share classes) are classified in one and only one country, which allows for a distinctive sorting of each company by its
respective country. |
Determining the Market Investable
Equity Universes
A market investable equity universe
for a market is derived by (1) identifying eligible listings for each security in the equity universe; and (2) applying investability
screens to individual companies and securities in the equity universe that are classified in that market. A market is generally
equivalent to a single country. The global investable equity universe is the aggregation of all market investable equity universes.
| (1) | Identifying Eligible Listings: A security may have a listing in the country
where it is classified (a “local listing”) and/or in a different country (a “foreign listing”). A security
may be represented by either a local listing or a foreign listing (including a depositary receipt) in the global investable equity
universe. A security may be represented by a foreign listing only if the security is classified in a country that meets the foreign
listing materiality requirement (as described below), and the security’s foreign listing is traded on an eligible stock exchange
of a developed market country if the security is classified in a developed market country or, if the security is classified in
an emerging market country, an eligible stock exchange of a developed market country or an emerging market country. |
In order for a country to meet
the foreign listing materiality requirement, MSCI determines all securities represented by a foreign listing that would be included
in the country’s MSCI Country Investable Market Index if foreign listings were eligible from that country. The aggregate
free-float adjusted market capitalization for all such securities should represent at least (i) 5% of the free float-adjusted market
capitalization of the relevant MSCI Country Investable Market Index and (ii) 0.05% of the free-float adjusted market capitalization
of the MSCI ACWI Investable Market Index. If a country does not
meet the foreign listing materiality requirement, then securities in that country may not be represented by a foreign listing in
the global investable equity universe.
| (2) | Applying Investability Screens: The investability screens used to determine
the investable equity universe in each market are: |
| (i) | Equity Universe Minimum Size Requirement: This investability screen is applied
at the company level. In order to be included in a market investable equity universe, a company must have the required minimum
full market capitalization. The equity universe minimum size requirement applies to companies in all markets and is derived as
follows: |
| · | First,
the companies in the developed market equity universe are sorted in descending order of full market capitalization and the cumulative
coverage of the free float-adjusted market capitalization of the developed market equity universe is calculated for each company.
Each company’s free float-adjusted market capitalization is represented by the aggregation of the free float-adjusted market
capitalization of the securities of that company in the equity universe. |
| · | Second,
when the cumulative free float-adjusted market capitalization coverage of 99% of the sorted equity universe is achieved, by adding
each company’s free float-adjusted market capitalization in descending order, full market capitalization of the company
that reaches the 99% threshold defines the equity universe minimum size requirement. |
| · | The
rank of this company by descending order of full market capitalization within the developed market equity universe is noted, and
will be used in determining the equity universe minimum size requirement at the next rebalance. |
As of November 2017, the equity
universe minimum size requirement was set at US$261,000,000. Companies with a full market capitalization below this level are not
included in any market investable equity universe. The equity universe minimum size requirement is reviewed and, if necessary,
revised at each semi-annual index review, described below.
| (ii) | Equity Universe Minimum Free Float-Adjusted Market Capitalization Requirement:
This investability screen is applied at the individual security level. To be eligible for inclusion in a market investable equity
universe, a security must have a free float-adjusted market capitalization equal to or higher than 50% of the equity universe minimum
size requirement. |
| (iii) | Minimum Liquidity Requirement: This investability screen is applied at the
individual security level. To be eligible for inclusion in a market investable equity universe, a security must have at least one
eligible listing that has adequate liquidity as measured by its twelve-month and three-month annualized traded value ratio. This
measure attempts to mitigate the impact of extreme daily trading volumes and takes into account the free float-adjusted market
capitalization of securities. A minimum liquidity level of 20% of the 3-month annualized traded value ratio and 90% of 3-month
frequency of trading over the last 4 consecutive quarters, as well as 20% of the 12-month annualized traded value ratio, are required
for inclusion of a security in a market investable equity universe of a developed market. |
Only one listing per security
may be included in the market investable equity universe. In instances where a security has two or more eligible listings that
meet the above liquidity requirements, then the following priority rules are used to determine which listing will be used for potential
inclusion of the security in the market investable equity universe:
| (b) | Foreign listing in the same geographical region (MSCI classifies markets
into three main geographical regions: EMEA, Asia Pacific and Americas. If the security has several listings in the same geographical
region, then the listing with the highest 3-month ATVR will be used). |
| (c) | Foreign listing in a different geographical region (if the security has
several listings in a different geographical region, then the listing with the highest 3-month ATVR will be used). |
Due to liquidity concerns relating
to securities trading at very high stock prices, a security that is currently not a constituent of a MSCI Global Investable Markets
Index that is trading at a stock price above US$10,000 will fail the liquidity screening and will not be included in any market
investable equity universe.
| (iv) | Global Minimum Foreign Inclusion Factor Requirement: This investability
screen is applied at the individual security level. To determine the free float of a security, MSCI considers the proportion of
shares of such security available for purchase in the public equity markets by international investors. In practice, limitations
on the investment opportunities for international investors include: strategic stakes in a company held by private or public shareholders
whose investment objective indicates that the shares held are not likely to be available in the market; limits on the proportion
of a security’s share capital authorized for purchase by non-domestic investors; or other foreign investment restrictions
which materially limit the ability of foreign investors to freely invest in a particular equity market, sector or security. |
MSCI will then derive a “foreign
inclusion factor” for the company that reflects the proportion of shares outstanding that is available for purchase in the
public equity markets by international investors. MSCI will then “float-adjust” the weight of each constituent company
in an index by the company’s foreign inclusion factor. Typically, securities with a free float adjustment ratio of less than
0.15 will not be eligible for inclusion in the MSCI EAFE® Index.
Once the free float factor has
been determined for a security, the security’s total market capitalization is then adjusted by such free float factor, resulting
in the free float-adjusted market capitalization figure for the security.
| (v) | Minimum Length of Trading Requirement: This investability screen is applied
at the individual security level. For an initial public offering to be eligible for inclusion in a market investable equity universe,
the new issue must have started trading at least three months before the implementation of a semi-annual index review. This requirement
is applicable to small new issues in all markets. Large initial public offerings are not subject to the minimum length of trading
requirement and may be included in a market investable equity universe and a standard index, such as the MSCI EAFE®
Index, outside of a quarterly or semi-annual index review. |
| (vi) | Minimum Foreign Room Requirement: This investability screen is applied at
the individual security level. For a security that is subject to a foreign ownership limit to be eligible for inclusion in a market
investable equity universe, the proportion of shares still available to foreign investors relative to the maximum allowed (referred
to as “foreign room”) must be at least 15%. |
Defining Market Capitalization
Size Segments for Each Market
Once a market investable equity
universe is defined, it is segmented into the following size-based indices:
- Investable Market Index (Large
Cap + Mid Cap + Small Cap)
- Standard Index (Large Cap + Mid
Cap)
- Large Cap Index
- Mid Cap Index
- Small Cap Index
Creating the size segment indices
in each market involves the following steps: (i) defining the market coverage target range for each size segment; (ii) determining
the global minimum size range for each size segment; (iii) determining the market size segment cutoffs and associated segment number
of companies; (iv) assigning companies to the size segments; and (v) applying final size-segment investability requirements. For
developed market indices, the market coverage for a standard index is 85%. As of November 2017, the global minimum size range for
a developed market standard index is a full market capitalization of USD 3.05 billion to USD 7.02 billion.
Index Continuity Rules for Standard
Indices
In order to achieve index continuity,
as well as provide some basic level of diversification within a market index, notwithstanding the effect of other index construction
rules, a minimum number of five constituents will be maintained for a developed market standard index and a minimum number of three
constituents will be maintained for an emerging market standard index, and involves the following steps:
- If after the application of the
index construction methodology, a developed market standard index contains fewer than five securities or an emerging market standard
index contains fewer than three securities, then the largest securities by free float-adjusted market capitalization are added
to the index in order to reach the minimum number of required constituents.
- At subsequent index reviews, if
the minimum number of securities described above is not met, then after the market investable equity universe is identified, the
securities are ranked by free float-adjusted market capitalization, however, in order to increase stability the free float-adjusted
market capitalization of the existing index constituents (prior to review) is multiplied by 1.50, and securities are added until
the desired minimum number of securities is reached.
“Constituent Index”
means any of the developed equity market country indices comprising the MSCI EAFE® Index. Creating Style Indices
within Each Size Segment
All securities in the investable
equity universe are classified into value or growth segments. The classification of a security into the value or growth segment
is used by MSCI to construct additional indices.
Classifying Securities under
the Global Industry Classification Standard
All securities in the global investable
equity universe are assigned to the industry that best describes their business activities. The Global Industry Classification
Standard classification of each security is used by MSCI to construct additional indices.
Calculation Methodology for
the MSCI EAFE® Index
The performance of the MSCI EAFE®
Index is a free float weighted average of the U.S. dollar values of its component securities.
Prices used to calculate the component
securities are the official exchange closing prices or prices accepted as such in the relevant market. In the case of a market
closure, or if a security does not trade on a specific day or during a specific period, MSCI carries forward the previous day’s
price (or latest available closing price). In the event of a market outage resulting in any component security price to be unavailable,
MSCI will generally use the last reported price for such component security for the purpose of performance calculation unless MSCI
determines that another price is more appropriate based on the circumstances. Closing prices are converted into U.S. dollars, as
applicable, using the closing spot exchange rates calculated by WM/Reuters at 4:00 P.M. London Time.
Maintenance of the MSCI EAFE®
Index
In order to maintain the representativeness
of the MSCI EAFE® Index, structural changes to the index as a whole may be made by adding or deleting component
securities. Currently, such changes in the MSCI EAFE® Index may generally only be made on four dates throughout
the year: after the close of the last business day of each February, May, August and November.
Each country index is maintained
with the objective of reflecting, on a timely basis, the evolution of the underlying equity markets. In maintaining each component
country index, emphasis is also placed on its continuity, continuous investability of constituents and replicability of the index
and on index stability and minimizing turnover.
MSCI classifies index maintenance
in three broad categories. The first consists of ongoing event related changes, such as mergers and acquisitions, which are generally
implemented in the country indices in which they occur. The second category consists of quarterly index reviews, aimed at promptly
reflecting other significant market events. The third category consists of semi-annual index reviews that systematically re-assess
the various dimensions of the equity universe.
Ongoing event-related changes to
the country indices are the result of mergers, acquisitions, spin-offs, bankruptcies, reorganizations and other similar corporate
events. They can also result from capital reorganizations in the form of rights issues, stock bonus issues, public placements and
other similar corporate actions that take place on a continuing basis. MSCI will remove from the index as soon as practicable securities
of companies that file for bankruptcy or other protection from their creditors, that are suspended and for which a return to normal
business activity and trading is unlikely in the near future, or that fail stock exchange listing requirements with a delisting
announcement. Securities may also be considered for early deletion in other significant cases, such as decreases in free float
and foreign ownership limits, or when a constituent company acquires or merges with a non-constituent company or spins-off another
company. In practice, when a constituent company is involved in a corporate event which results in a significant decrease in the
company’s free float-adjusted market capitalization or the company decreases its foreign inclusion factor to below 0.15,
the securities of that constituent company are considered for early deletion from the indices simultaneously with the event unless,
in either case, it is a standard index constituent with a minimum free float-adjusted market capitalization that is not at least
two-thirds of one-half of the standard index interim size segment cut-off. Share conversions may also give rise to an early deletion.
All changes resulting from corporate events are announced prior to their implementation, provided all necessary information on
the event is available.
MSCI’s quarterly index review
process is designed to ensure that the country indices continue to be an accurate reflection of evolving equity markets. This goal
is achieved by timely reflecting significant market driven changes that were not captured in each index at the time of their actual
occurrence and that should not wait until the semi-annual index review due to their importance. These quarterly index reviews may
result in additions and deletions of component securities from a country index (or a security being removed from one country listing
and represented by a different country listing) and changes in “foreign inclusion factors” and in number of shares.
Additions and deletions to component securities may result from: the addition of large companies that did not meet the minimum
size criterion for inclusion at the time of their initial public offering or secondary offering; the replacement of companies which
are no longer suitable industry representatives; the deletion of securities whose overall free float has fallen to less than 15%
and that do not meet specified criteria; the deletion of securities that have become very small or illiquid; and the addition or
deletion of securities as a result of other market events. Significant changes in free float estimates and corresponding changes
in the foreign inclusion factor for component securities may result from: block sales, block buys, secondary offerings and transactions
made by way of immediate book-building that did not meet the requirements for implementation at the time of such event; corporate
events that should have been implemented at the time of such event but could not be reflected immediately due to lack of publicly
available details at the time of the event; exercise of IPO over-allotment options which result in an increase in free float; increases
in foreign ownership limits; decreases in foreign ownership limits which did not require foreign investors to immediately sell
shares in the market; re-estimates of free float figures resulting from the reclassification of shareholders from strategic to
non-strategic, and vice versa; the end of lock-up periods or expiration of loyalty incentives for non-strategic shareholders; conversion
of a non-index constituent share class or an unlisted line of shares which has an impact on index constituents; and acquisition
by shares of non-listed companies or assets. However, no changes in foreign inclusion factors are implemented for any of the above
events if the change in free float estimate is less than 1%, except in cases of correction. Small changes in the number of shares
resulting from, for example, exercise of options or warrants, conversion of convertible bonds or other instruments, conversion
of a non-index constituent share class or
an unlisted line of shares which has an impact on index constituents, periodic conversion of a share class into another share class,
exercise of over-allotment options, exercise of share buybacks, or the cancellation of shares, are generally updated at the quarterly
index review rather than at the time of the event. The results of the quarterly index reviews are announced at least two weeks
in advance of their effective implementation dates as of the close of the last business day of February and August. MSCI has noted
that consistency is a factor in
maintaining each component country index.
MSCI’s semi-annual index
review is designed to systematically reassess the component securities of the index. During each semi-annual index review, the
universe of component securities is updated and the global minimum size range for the index is recalculated, which is based on
the full market capitalization and the cumulative free float-adjusted market capitalization coverage of each security that is eligible
to be included in the index. The following index maintenance activities, among others, are undertaken during each semi-annual index
review: the list of countries in which securities may be represented by foreign listings is reviewed; the component securities
are updated by identifying new equity securities that were not part of the index at the time of the previous quarterly index review;
the minimum size requirement for the index is updated and new companies are evaluated relative to the new minimum size requirement;
existing component securities that do not meet the minimum liquidity requirements of the index may be removed (or, with respect
to any such security that has other listings, a determination is made as to whether any such listing can be used to represent the
security in the market investable universe); and changes in “foreign inclusion factors” are implemented (provided the
change in free float is greater than 1%, except in cases of correction). During a semi-annual index review, component securities
may be added or deleted from a country index for a range of reasons, including the reasons discussed with respect to component
securities changes during quarterly index reviews as discussed above. Foreign listings may become eligible to represent securities
only from the countries that met the foreign listing materiality requirement during the previous semi-annual index review (this
requirement is applied only to countries that do not yet include foreign listed securities). Once a country meets the foreign listing
materiality requirement at a given semi-annual index review, foreign listings will remain eligible for such country even if the
foreign listing materiality requirements are not met in the future.
The results of the semi-annual
index reviews are announced at least two weeks in advance of their effective implementation date as of the close of the last business
day of May and November.
Index maintenance also includes
monitoring and completing adjustments for share changes, stock splits, stock dividends, and stock price adjustments due to company
restructurings or spin-offs.
These guidelines and the policies
implementing the guidelines are the responsibility of, and, ultimately, subject to adjustment by, MSCI.
License Agreement
The MSCI indices are the exclusive property
of MSCI. MSCI and the MSCI index names are service mark(s) of MSCI or its affiliates and have been licensed for use for certain
purposes by TD. The Notes referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with
respect to any such Notes. No purchaser, seller or holder of Notes, or any other person or entity, should use or refer to any MSCI
trade name, trademark or service mark to sponsor, endorse, market or promote the Notes without first contacting MSCI to determine
whether MSCI’s permission is required. Under no circumstances may any person or entity claim any affiliation with MSCI without
the prior written permission of MSCI.
Historical Information
The graph below shows the daily historical
Closing Levels of the Reference Asset from September 18, 2008 through September 18, 2018.
We obtained the information regarding
the historical performance of the Reference Asset in the graph below from Bloomberg. Currently, Bloomberg reports the closing level of the Reference Asset to fewer decimal places than the Index
Sponsor.
We have not independently verified the
accuracy or completeness of the information obtained from Bloomberg. Bloomberg reports the level of the Reference Asset to fewer
decimal places than MSCI, the Index Sponsor. 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.
Supplemental Discussion of U.S. Federal
Income Tax Consequences
The U.S. federal income tax consequences
of your investment in the Notes are uncertain. No statutory, regulatory, judicial or administrative authority directly discusses
how the Notes should be treated for U.S. federal income tax purposes. 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 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.
U.S. Tax Treatment. Pursuant to
the terms of the Notes, TD and you agree, in the absence of a statutory or regulatory change or an administrative determination
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.
Based on certain factual representations
received from us, our special U.S. tax counsel, Cadwalader, Wickersham & Taft LLP, is of the opinion that 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 and adversely from the treatment described above, as described further under “Supplemental Discussion of
U.S. Federal Income Tax Consequences — Alternative Treatments” in the product prospectus supplement.
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.
Section 1297. We will not attempt
to ascertain whether any of the Reference Asset Constituent Issuers would be treated as a “passive foreign investment company”
(“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 a Note. 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.
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. Both U.S. and non-U.S. holders are urged
to consult their tax advisors concerning the significance, and the potential impact, of the above considerations on their investments
in the Notes.
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), $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. You should consult your tax advisor as to the consequences of the 3.8% Medicare
tax to your investment in the Notes.
Specified Foreign Financial Assets.
U.S. holders may be subject to reporting obligations with respect to their Notes if they do not hold their Notes in an account
maintained by a financial institution and the aggregate value of their Notes and certain other “specified foreign financial
assets” (applying certain attribution rules) exceeds an applicable threshold. Significant penalties can apply if a U.S. holder
is required to disclose its Notes and fails to do so.
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, 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 the Notes 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., (ii) 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 or (iii) 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 or indices containing 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 U.S. 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.
As discussed above, alternative characterizations
of the Notes for U.S. federal income tax purposes are possible. Should an alternative characterization of the Notes cause payments
with respect to the Notes to become subject to withholding tax, we (or the applicable withholding agent) will withhold tax at the
applicable statutory rate and we will not make payments of any additional amounts.
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 it had been 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 whether
any similar or identical bills will be enacted in the future, or whether any such bill would affect the tax treatment of your Notes.
You are urged to consult your tax advisor regarding the possible changes in law and their possible impact on the tax treatment
of your Notes.
Both U.S. and non-U.S. holders are
urged to 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).
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 any underwriting discount set forth on the cover page of this pricing supplement for distribution
to other registered broker-dealers, or will offer the Notes directly to investors. 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.
We expect that delivery of the Notes will
be made against payment for the Notes on or about [ ], which is the fifth (5th) Business Day following the Pricing Date (this settlement
cycle being referred to as “T+5”). Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in
the secondary market generally are required to settle in two Business Days (“T+2”), unless the parties to any such
trade expressly agree otherwise. Accordingly, if the initial settlement of the Notes occurs more than two Business Days from the
Pricing Date, purchasers who wish to trade the Notes more than two Business Days prior to the Issue Date will be required to specify
alternative settlement arrangements to prevent a failed settlement.
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. Consequently,
the offering is being conducted in compliance with the provisions of FINRA Rule 5121. TDS is not permitted to sell 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 or any of our affiliates, may
use this pricing supplement in the initial sale of the Notes. In addition, we, TDS or any of our affiliates may use this pricing
supplement in a market-making transaction in a Note after its initial sale. If a purchaser buys the Notes from us, TDS or
any of our affiliates, this pricing supplement is being used in a market-making transaction unless we, TDS or any of our affiliates
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.
This regulatory filing also includes additional resources:
e2234_424b2.pdf
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