Obligation TD Bank 0% ( US89114QVZ89 ) en USD

TD Bank

100 % ▲

Canada

US89114QVZ89 ( en USD )

03/08/2021 - Obligation échue

Prospectus brochure de l'obligation Toronto-Dominion Bank US89114QVZ89 en USD 0%, échue

1 000 USD

1 731 000 USD

89114QVZ8

N/A

La Toronto-Dominion Bank (TD Bank) est une banque multinationale canadienne offrant une vaste gamme de services financiers, notamment des services bancaires de détail, des services bancaires aux entreprises, des services de gestion de patrimoine et des services de marchés des capitaux, au Canada et aux États-Unis.

L'Obligation émise par TD Bank ( Canada ) , en USD, avec le code ISIN US89114QVZ89, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 03/08/2021

424B2 1 e70706_424b2.htm PRICING SUPPLEMENT
File d Pursua nt t o Rule 4 2 4 (b)(2 )
Re gist ra t ion St a t e m e nt N o. 3 3 3 -2 1 1 7 1 8

Pricing Supplement dated July 29, 2016 to the
Product Prospectus Supplement MLN-ES-ETF-1 dated July 8, 2016 and
Prospectus Dated June 30, 2016

The Toronto-Dominion Bank

$1,731,000
Market Linked Securities Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to a
Basket of Six Exchange-Traded Funds due August 3, 2021
The Toronto-Dominion Bank ("TD" or "we") is offering the Principal at Risk Securities (the "Securities") linked to an unequally-weighted basket (the "Basket")
of six exchange-traded funds described below. The Basket consists of the SPDR® S&P 500® ETF Trust (the "SPY") (50%), the iShares® Russell 2000 ETF
(the "IWM") (15%), the iShares® MSCI EAFE ETF (the "EFA") (15%), the iShares® MSCI Emerging Markets ETF (the "EEM") (10%), the PowerShares DB
Commodity Index Tracking Fund (the "DBC") (5%) and the Vanguard® REIT ETF (the "VNQ") (5%) (each, a "Basket Component").
The Securities provide a 150% leveraged positive return if the level of the Basket increases from the Initial Level to the Final Level, subject to the Maximum
Redemption Amount. Investors will lose 1% of the Principal Amount for each 1% decrease from the Initial Level to the Final Level of more than 15% and
may lose up to 85% of the Principal Amount. Any pa ym e nt s on t he Se c urit ie s a re subje c t t o our c re dit risk .
The Securities are unsecured and are not savings accounts or insured deposits of a bank. The Securities are not insured or guaranteed by the Canada
Deposit Insurance Corporation, the U.S. Federal Deposit Insurance Corporation or any other governmental agency or instrumentality of Canada or the
United States.
The Securities will not be listed on any securities exchange.
T he Pa ym e nt a t M a t urit y w ill be gre a t e r t ha n t he Princ ipa l Am ount only if t he Pe rc e nt a ge Cha nge is gre a t e r t ha n
ze ro. T he Se c urit ie s do not gua ra nt e e t he re t urn of t he Princ ipa l Am ount a nd inve st ors m a y lose up t o 8 5 % of t he ir
inve st m e nt in t he Se c urit ie s.
T he Se c urit ie s ha ve c om ple x fe a t ure s a nd inve st ing in t he Se c urit ie s involve s a num be r of risk s. Se e "Addit iona l Risk
Fa c t ors" on pa ge P-7 of t his pric ing supple m e nt , "Addit iona l Risk Fa c t ors Spe c ific t o t he N ot e s" be ginning on pa ge PS-5 of
t he produc t prospe c t us supple m e nt M LN -ES-ET F -1 da t e d J uly 8 , 2 0 1 6 (t he "produc t prospe c t us supple m e nt ") a nd "Risk
Fa c t ors" on pa ge 1 of t he prospe c t us da t e d J une 3 0 , 2 0 1 6 (t he "prospe c t us").
N e it he r t he Se c urit ie s a nd Ex c ha nge Com m ission (t he "SEC") nor a ny st a t e se c urit ie s c om m ission ha s a pprove d or
disa pprove d of t he se se c urit ie s or de t e rm ine d t ha t t his pric ing supple m e nt , t he produc t prospe c t us supple m e nt or t he
prospe c t us is t rut hful or c om ple t e . Any re pre se nt a t ion t o t he c ont ra ry is a c rim ina l offe nse .
We will deliver the Securities in book-entry only form through the facilities of The Depository Trust Company on August 3, 2016, against payment in
immediately available funds.
The estimated value of the Securities on the Pricing Date is $949.60 per Security, as discussed further under "Additional Risk Factors -- Estimated Value"
beginning on page P-13 and "Additional Information Regarding Our Estimated Value of the Securities" beginning on P-46, respectively. The estimated value
is less than the public offering price of the Securities.

Public Offe ring Pric e 1
U nde rw rit ing Disc ount 2
Proc e e ds t o T D
Per Security
$1,000.00
$35.60
$964.40
Total
$1,731,000.00
$61,623.60
$1,669,376.40
1 Certain dealers who purchase the Securities for sale to certain fee-based advisory accounts may forego some or all of their selling concessions, fees or commissions. The
price for investors purchasing the Securities in these accounts may be as low as $964.40 (96.44%) per Security.
2 The Agents will receive a commission of $35.60 (3.56%) per Security and may use a portion of that commission to allow selling concessions to other dealers in connection
with the distribution of the Securities, or will offer the Securities directly to investors. The Agents may resell the Securities to other securities dealers at the Principal
Amount less a concession not in excess of $25.00 per Security. Such securities dealers may include Wells Fargo Advisors, LLC ("WFA"), an affiliate of Wells Fargo
Securities, LLC ("Wells Fargo Securities"). The other dealers may forgo, in their sole discretion, some or all of their selling concessions. In addition to the selling concession
allowed to WFA, Wells Fargo Securities will pay $1.20 per Security of the underwriting discount to WFA as a distribution expense fee for each Security sold by WFA. TD will
reimburse TD Securities (USA) LLC ("TDS") for certain expenses in connection with its role in the offer and sale of the Securities, and TD will pay TDS a fee in connection
with its role in the offer and sale of the Securities. See "Supplemental Plan of Distribution (Conflicts of Interest)" on page P-46 of this pricing supplement.
TD SECURITIES (USA) LLC

WELLS FARGO SECURITIES, LLC
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P-1

M a rk e t Link e d Se c urit ie s Le ve ra ge d U pside Pa rt ic ipa t ion t o

a Ca p a nd Fix e d Pe rc e nt a ge Buffe re d Dow nside
Due August 3 , 2 0 2 1

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.
I ssue r:
The Toronto-Dominion Bank
I ssue :
Senior Debt Securities
T ype of Se c urit y:
Market Linked Securities Leveraged Upside Participation to a Cap and Fixed Percentage Buffered
Downside
T e rm :
Approximately 5 years
Ba sk e t :
An unequally-weighted basket (the "Basket") of six exchange-traded funds (each, a "Basket Component")
described below. For the avoidance of doubt, references to the term "Reference Asset" in the product
prospectus supplement MLN-ES-ETF-1 dated July 8, 2016 should be read to refer to a Basket Component
where context so requires, including, without limitation, in the definitions of trading day, closing price and
market disruption event and in the anti-dilution provisions under "General Terms of the Notes--Anti-Dilution
Adjustments."
Ba sk e t Com pone nt s:

I nit ia l Com pone nt
Ba sk e t Com pone nt
Bloom be rg T ic k e r
Com pone nt We ight
Pric e *

SPDR® S&P 500® ETF
SPY
50%
$217.15
Trust

iShares® Russell 2000
IWM
15%
$121.09
ETF

iShares® MSCI EAFE
EFA
15%
$58.02
ETF

iShares® MSCI Emerging
EEM
10%
$36.23
Markets ETF

PowerShares DB
Commodity Index
DBC
5%
$14.28
Tracking Fund

Vanguard® REIT ETF
VNQ
5%
$92.45

* The Initial Component Price for each Basket Component is its closing price on the Pricing Date.
CU SI P / I SI N :
89114QVZ8 / US89114QVZ89
Age nt s:
TDS and Wells Fargo Securities. The Agents will receive a commission of $35.60 and may resell the
Securities to other securities dealers, including securities dealers acting as custodians, at the Principal
Amount less a concession of not in excess of $25.00 per Security. Such securities dealers may include
WFA, an affiliate of Wells Fargo Securities. In addition to the concession allowed to WFA, Wells Fargo
Securities will pay $1.20 per Security of the underwriting discount to WFA as a distribution expense fee for
each Security sold by WFA.
Curre nc y:
U.S. Dollars
M inim um I nve st m e nt :
$1,000 and minimum denominations of $1,000 in excess thereof.
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Princ ipa l Am ount :
$1,000 per Security
Pric ing Da t e :
July 29, 2016
I ssue Da t e :
August 3, 2016
V a lua t ion Da t e :
July 27, 2021, subject to postponement for market disruption events and non-trading days, as described
in "--Final Component Prices" below.
TD SECURITIES (USA) LLC

WELLS FARGO SECURITIES, LLC

P-2

M a t urit y Da t e :
August 3, 2021, subject to postponement for market disruption events and non-trading days, as described in
"--Final Component Prices" below.
Pa ym e nt a t M a t urit y:
If the Percentage Change is posit ive , then the investor will receive an amount per Security equal to the
lesser of:
(i) Principal Amount + (Principal Amount x Percentage Change x Leverage Factor); and
(ii) the Maximum Redemption Amount.
If the Percentage Change is le ss t ha n or e qua l t o 0 % but gre a t e r t ha n or e qua l t o -1 5 % , then
the investor will receive only the Principal Amount.
If the Percentage Change is le ss t ha n -1 5 % , then the investor will receive less than the Principal Amount,
calculated using the following formula:
Principal Amount + [Principal Amount x (Percentage Change + Buffer Percentage)]
I f t he Fina l Le ve l is le ss t ha n Buffe r Le ve l, t he inve st or w ill re c e ive le ss, a nd possibly
8 5 % le ss, t ha n t he Princ ipa l Am ount a t m a t urit y.
Le ve ra ge Fa c t or:
150%
M a x im um Re de m pt ion
150% of the Principal Amount (or $1,500 per Security). As a result, the maximum return on the Securities is
Am ount :
50% of the Principal Amount (assuming a public offering price of $1,000 per Security).
Buffe r Pe rc e nt a ge :
15%
Buffe r Le ve l:
85% of the Initial Level
Pe rc e nt a ge Cha nge :
(Final Level Initial Level) / Initial Level, expressed as a percentage
I nit ia l Le ve l:
100
Fina l Le ve l:
100 × [1 + (the sum of the products of the Basket Component Return for each Basket Component multiplied
by its Component Weight)].
Ba sk e t Com pone nt With respect to each Basket Component, (Final Component Price Initial Component Price) / Initial
Re t urn:
Component Price, expressed as a percentage.
I nit ia l Com pone nt Pric e :
The closing price of a Basket Component on the Pricing Date, as set forth above under "Basket
Components".
TD SECURITIES (USA) LLC

WELLS FARGO SECURITIES, LLC

P-3

Fina l Com pone nt Pric e :
The closing price of a Basket Component on the Valuation Date.
If the originally scheduled Valuation Date is not a trading day with respect to a Basket Component or a
market disruption event with respect to a Basket Component occurs or is continuing on that day, the Final
Component Price for that Basket Component will be its closing price on the first trading day for such Basket
Component following the originally scheduled Valuation Date on which the Calculation Agent determines that
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a market disruption event does not occur or is not continuing. If a market disruption event with respect to
such Basket Component occurs or is continuing on each trading day to and including the tenth trading day
following the originally scheduled Valuation Date, the Final Component Price for that Basket Component will
be determined (or, if not determinable, estimated by the Calculation Agent in a manner which is considered
commercially reasonable under the circumstances) by the Calculation Agent on that tenth trading day,
regardless of the occurrence or continuation of a market disruption event on that day. For the avoidance of
doubt, if the originally scheduled Valuation Date is a trading day and no market disruption event exists on
that day with respect to a Basket Component, the determination of that Basket Component's Final
Component Price will be made on the originally scheduled Valuation Date, irrespective of the non-trading day
status or the existence of a market disruption event with respect to any other Basket Component. For the
definition of a market disruption event, see "General Terms of the Notes--Market Disruption Events"
beginning on page PS-25 of the accompanying product prospectus supplement. If the Valuation Date is
postponed due to a market disruption event or non-trading day for any Basket Component, the Maturity Date
will be postponed to the fifth Business Day after the final postponed Valuation Date.
Busine ss Da y:
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. T a x T re a t m e nt :
By purchasing a Security, each holder agrees, in the absence of a statutory, regulatory, administrative or
judicial ruling to the contrary, to characterize the Securities, for U.S. federal income tax purposes, as pre-paid
derivative contracts with respect to the Basket. Based on certain factual representations received from us, in
the opinion of our special U.S. tax counsel, Cadwalader, Wickersham & Taft LLP, it is reasonable to treat the
Securities in the manner described above. However, because there is no authority that specifically addresses
the tax treatment of the Securities, it is possible that your Securities could alternatively be treated for tax
purposes as a single contingent payment debt instrument, or pursuant to some other characterization,
including possible treatment as a "constructive ownership transaction" subject to section 1260 of the Internal
Revenue Code of 1986, as amended (the "Code"), and the timing and character of your income from the
Securities could differ materially from the treatment described above, as described further
under
"Supplemental Discussion of U.S. Federal Income Tax Consequences".
Ca na dia n T a x T re a t m e nt :
Please see the discussion in the product prospectus supplement under "Supplemental
Discussion of Canadian Tax Consequences," which applies to the Securities.
Ca lc ula t ion Age nt :
TD
List ing:
The Securities will not be listed on any securities exchange.
Cle a ra nc e a nd Se t t le m e nt : DTC global (including through its indirect participants Euroclear and Clearstream, Luxembourg, as described
under "Forms of the Debt Securities" and "Book-Entry Procedures and Settlement" in the prospectus).
TD SECURITIES (USA) LLC

WELLS FARGO SECURITIES, LLC

P-4

Investor Considerations
We have designed the Securities for investors who:

seek 150% exposure to the upside performance of the Basket if the Final Level is greater than the Initial Level, subject to the Maximum
Redemption Amount of 150% of the Principal Amount, assuming a public offering price of $1,000 per Security;

understand that if the Final Level is less than the Initial Level by more than the Buffer Percentage, they will receive less, and possibly
85% less, than the Principal Amount at maturity;

understand the effect of the unequal weighting of the Basket Components on the Final Level;

are willing to forgo interest payments on the Securities and dividends on securities held by the Basket Components;

are willing to accept the credit risk of TD to obtain exposure to the Basket generally and the Basket Components specifically; and

are willing to hold the Securities until maturity.
The Securities are not designed for, and may not be a suitable investment for, investors who:

seek a liquid investment or are unable or unwilling to hold the Securities to maturity;
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are unwilling to accept the risk that the Final Level of the Basket may decrease by more than the Buffer Percentage from the Initial
Level;

seek uncapped exposure to the upside performance of the Basket;

seek full return of the Principal Amount at maturity;

are unwilling to purchase securities with an estimated value as of the Pricing Date that is lower than the public offering price, as set
forth on the cover hereof;

seek current income;

are unwilling to accept the risk of exposure to the large and small capitalization segments of the U.S. equity market, the foreign equity
markets, including the foreign emerging equity markets, the commodity markets and the real estate investment trust market;

seek exposure to the Basket Components but are unwilling to accept the risk/return trade-offs inherent in the Payment at Maturity for
the Securities;

are unwilling to accept the credit risk of TD to obtain exposure to the Basket generally or the Basket Components specifically; or

prefer the lower risk of fixed income investments with comparable maturities issued by companies with comparable credit ratings.
TD SECURITIES (USA) LLC

WELLS FARGO SECURITIES, LLC

P-5

Additional Terms of Your Securities
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 Securities 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 Securities 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 Securities and supersedes all prior or
contemporaneous oral statements as well as any other written materials including 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" 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 Securities 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 Securities. 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:
https://www.sec.gov/Archives/edgar/data/947263/000119312516638441/d162493d424b3.htm

Product Prospectus Supplement MLN-ES-ETF-1 dated July 8, 2016:
https://www.sec.gov/Archives/edgar/data/947263/000089109216016045/e70441_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.
TD SECURITIES (USA) LLC

WELLS FARGO SECURITIES, LLC

P-6

Additional Risk Factors
The Securities involve risks not associated with an investment in conventional debt securities. This section describes the most significant risks
relating to the terms of the Securities. For additional information as to these risks, please see "Additional Risk Factors Specific to the Notes" in
the product prospectus supplement and "Risk Factors" in the prospectus.
You should carefully consider whether the Securities 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 Securities and the suitability of the Securities in light of their particular circumstances.
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Princ ipa l a t Risk .
Investors in the Securities could lose a substantial portion of their Principal Amount if there is a decline in the level of the Basket by more than
the Buffer Percentage. You will lose 1% of the Principal Amount of your Securities for each 1% that the Final Level is less than the Initial Level
by more than the Buffer Percentage and you may lose up to 85% of your Principal Amount.
T he Se c urit ie s Do N ot Pa y I nt e re st a nd Y our Re t urn on t he Se c urit ie s M a y Be Low e r T ha n t he Re t urn on a
Conve nt iona l De bt Se c urit y of Com pa ra ble M a t urit y.
There will be no periodic interest payments on the Securities 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 Securities, 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.
Y our Pot e nt ia l Re t urn on t he Se c urit ie s Will Be Lim it e d by t he M a x im um Re de m pt ion Am ount a nd M a y Be Le ss T ha n
t he Re t urn on a Dire c t I nve st m e nt I n t he Ba sk e t Com pone nt s.
The opportunity to participate in the possible increases in the Percentage Change of the Basket through an investment in the Securities will be
limited because the Payment at Maturity will not exceed the Maximum Redemption Amount. Furthermore, the effect of the Leverage Factor will
not be taken into account for any Percentage Change that, when multiplied by the Leverage Factor, exceeds the maximum return on the
Securities (50% of the Principal Amount) regardless of how much the Basket has appreciated. Accordingly, your return on the Securities may be
less than your return would be if you made an investment in a security directly linked to the performance of the Basket Components or invested
in the Basket Components directly.
Cha nge s in t he Pric e s of t he Ba sk e t Com pone nt s M a y Offse t Ea c h Ot he r.
Movements in the prices of the Basket Components may not correlate with each other. At a time when the price of one or more of the Basket
Components increases, the prices of one or more of the other Basket Components may not increase as much or may even decline. Therefore,
in calculating the Final Level and the Payment at Maturity, increases in the price of one or more of the Basket Components may be moderated,
or more than offset, by lesser increases or declines in the prices of the other Basket Components. In addition, because the Basket Components
are not equally weighted, and because one of the Basket Components has a 50% weighting, increases in the lower weighted Basket
Components may be offset by even small decreases in the more heavily weighted Basket Components.
I nve st ors Are Subje c t t o T D's Cre dit Risk , a nd T D's Cre dit Ra t ings a nd Cre dit Spre a ds M a y Adve rse ly Affe c t t he
M a rk e t V a lue of t he Se c urit ie s.
Although the return on the Securities will be based on the performance of the Basket, the payment of any amount due on the Securities is
subject to TD's credit risk. The Securities are TD's senior unsecured debt obligations. Investors are dependent on TD's ability to pay all amounts
due on the Securities 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 Securities.
T he Age nt Disc ount , Offe ring Ex pe nse s a nd Ce rt a in H e dging Cost s Are Lik e ly t o Adve rse ly Affe c t Se c onda ry M a rk e t
Pric e s.
Assuming no changes in market conditions or any other relevant factors, the price, if any, at which you may be able to sell the Securities will
likely be lower than the public offering price. The public offering price includes, and any price quoted to you is likely to exclude, the underwriting
discount paid in connection with the initial distribution, offering expenses as well as the cost of hedging our obligations under the Securities. In
addition, any such price is also likely to reflect dealer discounts, mark-ups and other transaction costs, such as a discount to account for costs
associated with establishing or unwinding any related hedge transaction. In addition, because an affiliate of Wells Fargo Securities is to conduct
hedging activities for us in connection with the Securities, that affiliate may profit in connection with such hedging activities and such profit, if
any, will be in addition to the compensation that the dealer receives for the sale of the Securities to you. You should be aware that the potential
to earn fees in connection with hedging activities may create a further incentive for the dealer to sell the Securities to you in addition to the
compensation they would receive for the sale of the Securities.
TD SECURITIES (USA) LLC

WELLS FARGO SECURITIES, LLC

P-7

T he re M a y N ot Be a n Ac t ive T ra ding M a rk e t for t he Se c urit ie s -- Sa le s in t he Se c onda ry M a rk e t M a y Re sult in
Signific a nt Losse s.
There may be little or no secondary market for the Securities. The Securities will not be listed on any securities exchange. The Agents and their
respective affiliates may make a market for the Securities; however, they are not required to do so. The Agents and their respective affiliates
may stop any market-making activities at any time. Even if a secondary market for the Securities 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
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between bid and ask prices for your Securities in any secondary market could be substantial.
If you sell your Securities before the Maturity Date, you may have to do so at a substantial discount from the public offering price irrespective of
the prices of the Basket Components, and as a result, you may suffer substantial losses.
I f t he Le ve l of t he Ba sk e t Cha nge s, t he M a rk e t V a lue of Y our Se c urit ie s M a y N ot Cha nge in t he Sa m e M a nne r.
Your Securities may trade quite differently from the performance of the Basket. Changes in the level of the Basket may not result in a
comparable change in the market value of your Securities. Even if the level of the Basket increases above its respective Initial Level during the
life of the Securities, the market value of your Securities may not increase by the same amount and could decline.
T he Pa ym e nt a t M a t urit y I s N ot Link e d t o t he Pric e s of t he Ba sk e t Com pone nt s a t Any T im e Ot he r t ha n t he
V a lua t ion Da t e .
The Final Level will be based on the closing prices of the Basket Components on the Valuation Date (subject to adjustment as described
elsewhere in this pricing supplement). Therefore, if the closing prices of the Basket Components dropped precipitously on the Valuation Date,
the Payment at Maturity for your Securities may be significantly less than it would have been had the Payment at Maturity been linked to the
closing prices of the Basket Components prior to such drop in the prices of the Basket Components. Although the actual prices of the Basket
Components on the Maturity Date or at other times during the life of your Securities may be higher than their prices on the Valuation Date, you
will not benefit from the prices of the Basket Components at any time other than the closing prices on the Valuation Date.
Y ou Will N ot H a ve Any Right s t o t he Ba sk e t Com pone nt s or t he Se c urit ie s H e ld by t he Ba sk e t Com pone nt s.
You will not have any rights to the Basket Components or the securities, commodities, futures contracts, or other assets held by the Basket
Components (the "Basket Component Constituents"). As a holder of the Securities, you will not have voting rights or rights to receive cash
dividends or other distributions or other rights that holders of the Basket Components or the Basket Component Constituents would have.
Neither the Final Level nor the Final Component Price will reflect any dividends paid on the Basket Components or the Basket Component
Constituents.
T he Pe rform a nc e a nd M a rk e t V a lue of a Ba sk e t Com pone nt During Pe riods of M a rk e t V ola t ilit y M a y N ot Corre la t e
Wit h t he Pe rform a nc e of I t s Applic a ble U nde rlying I nde x a s We ll a s t he N e t Asse t V a lue pe r Sha re of Suc h Ba sk e t
Com pone nt .
Each Basket Component seeks to track the performance of a particular index (each, an "Underlying Index" and together, the "Underlying
Indices"). During periods of market volatility, markets for the Basket Component Constituents may be unavailable or impaired, therefore market
participants may be unable to calculate accurately the net asset value per share of a Basket Component and the liquidity of a Basket
Component may be adversely affected. This kind of market volatility may also disrupt the ability of market participants to create and redeem
shares of a Basket Component. Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are
willing to buy and sell shares of a Basket Component. As a result, under these circumstances, the market value of shares of a Basket
Component may vary substantially from the net asset value per share of such Basket Component. For all of the foregoing reasons, the
performance of a Basket Component may not correlate with the performance of its applicable Underlying Index or the net asset value per share
of a Basket Component, which could materially and adversely affect the level of the Basket and the value of the Securities in the secondary
market and/or reduce your payment at maturity.
T he M a rk e t V a lue of Y our Se c urit ie s M a y Be I nflue nc e d by M a ny U npre dic t a ble Fa c t ors.
When we refer to the market value of your Securities, we mean the value that you could receive for your Securities if you choose 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
Securities, including:
·
the market prices of the Basket Components and the Basket Component Constituents
·
the volatility i.e., the frequency and magnitude of changes in the level of the Basket and the prices of the Basket Components;
·
the dividend rates, if applicable, of the Basket Components and the Basket Component Constituents;
·
economic, financial, regulatory and political, military or other events that may affect the prices of any of the Basket Components, the
Basket Component Constituents and thus the level of the Basket;
·
the correlation among the Basket Components;
·
interest rates in the market;
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·
the time remaining until your Securities mature;
·
fluctuations in the exchange rate between currencies in which the Basket Component Constituents are quoted and traded and the U.S.
dollar; 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 Securities before maturity, including the price you may receive for your
Securities in any market-making transaction.
As of t he Da t e of t his Pric ing Supple m e nt , T he re is N o H ist ory for t he Closing Le ve ls of t he Ba sk e t .
The Payment at Maturity, if any, for the Securities is linked to the Percentage Change in the Basket, which is set equal to 100 on the Pricing
Date. Since there will be no actual history for the closing levels of the Basket, no actual historical information about the Closing Levels of the
Basket will be available for you to consider in making an independent investigation of the performance of the Basket, which may make it difficult
for you to make an informed decision with respect to an investment in your Securities.
H ypot he t ic a l Pa st Ba sk e t Pe rform a nc e is N o Guide t o Fut ure Pe rform a nc e .
The actual performance of the Basket over the life of the Securities, as well as the Payment at Maturity, may bear little relation to the
hypothetical historical closing levels of the Basket (when available) or to the hypothetical return examples set forth elsewhere in this pricing
supplement. We cannot predict the future performance of the Basket.
T he re Are Pot e nt ia l Conflic t s of I nt e re st Be t w e e n Y ou a nd t he Ca lc ula t ion Age nt .
The Calculation Agent will, among other things, determine the amount of your payment on the Securities. 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. For example, the Calculation Agent may have
to determine whether a market disruption event affecting a Basket Component 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 Securities, 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.
An I nve st m e nt in t he Se c urit ie s I s Subje c t t o Risk s Assoc ia t e d w it h N on -U .S. Se c urit ie s M a rk e t s.
Because foreign companies or foreign equity securities held by the EFA and the EEM are publicly traded in the applicable foreign countries and
trade in currencies other than U.S. dollars, investments in the Securities involve particular risks. For example, the foreign securities markets may
be more volatile and have less liquidity than the U.S. securities markets, and market developments may affect these markets differently from the
U.S. or other securities markets. Direct or indirect government intervention to stabilize the securities markets outside the U.S., as well as cross-
shareholdings in certain companies, may affect trading prices and trading volumes in those markets. Also, the public availability of information
concerning the foreign issuers may vary depending on their home jurisdiction and the reporting requirements imposed by their respective
regulators. In addition, the foreign issuers may be subject to accounting, auditing and financial reporting standards and requirements that differ
from those applicable to U.S. reporting companies.
Securities prices outside the U.S. are subject to political, economic, financial, military and social factors that apply in foreign countries. These
factors, which could negatively affect foreign securities markets, include the possibility of changes in a foreign government's economic and fiscal
policies, the possible imposition of, or changes in, currency exchange laws or other laws or restrictions applicable to foreign companies or
investments in foreign equity securities, the possibility of fluctuations in the rate of exchange between currencies and the possibility of outbreaks
of hostility or political instability or adverse public health developments. Moreover, foreign economies may differ favorably or unfavorably from
the U.S. economy in important respects such as growth of gross national product, rate of inflation, trade surpluses, capital reinvestment,
resources and self-sufficiency.
An I nve st m e nt in t he Se c urit ie s I s Subje c t t o Ex c ha nge Ra t e Risk .
The share prices of the EFA and the EEM will fluctuate based in large part upon their respective net asset values, which will in turn depend in
part upon changes in the value of the currencies in which the Basket Component Constituents are traded. Accordingly, investors in the Securities
will be exposed to currency exchange rate risk with respect to each of the currencies in which the Basket Component Constituents are traded.
An investor's net exposure will depend on the extent to which these currencies strengthen or weaken against the U.S. dollar. If the dollar
strengthens against these currencies, the net asset value of the relevant Basket Components will be adversely affected and the price of the
relevant Basket Components, and consequently the level of the Basket and the market value of the Securities, may decrease.
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An I nve st m e nt in t he Se c urit ie s I s Subje c t t o Em e rging M a rk e t s Risk .
The Underlying Index of the EEM consists of stocks issued by companies in countries with emerging markets. Countries with emerging markets
may have relatively unstable governments, may present the risks of nationalization of businesses, restrictions on foreign ownership and
prohibitions on the repatriation of assets, and may have less protection of property rights than more developed countries. The economies of
countries with emerging markets may be based on only a few industries, may be highly vulnerable to changes in local or global trade conditions
(due to economic dependence upon commodity prices and international trade), and may suffer from extreme and volatile debt burdens, currency
devaluations or inflation rates. Local securities markets may trade a small number of securities and may be unable to respond effectively to
increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times.
The securities included in the EEM may be listed on a foreign stock exchange. A foreign stock exchange may impose trading limitations
intended to prevent extreme fluctuations in individual security prices and may suspend trading in certain circumstances. These actions could
limit variations in the closing price of the EEM which could, in turn, adversely affect the level of the Basket and thus, the value of the Securities.
An I nve st m e nt in t he Se c urit ie s I s Subje c t t o Risk s Assoc ia t e d w it h Sm a ll-Ca pit a liza t ion St oc k s.
The Underlying Index of the IWM consists of stocks issued by companies with relatively small market capitalizations. These companies often
have greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies. As a result, the share price of the
IWM may be more volatile than that of a market measure that does not track solely small-capitalization stocks. Stock prices of small-
capitalization companies are also generally more vulnerable than those of large-capitalization companies to adverse business and economic
developments, and the stocks of small-capitalization companies may be thinly traded, and be less attractive to many investors if they do not pay
dividends. In addition, small capitalization companies are typically less well-established and less stable financially than large-capitalization
companies and may depend on a small number of key personnel, making them more vulnerable to loss of those individuals. Small capitalization
companies tend to have lower revenues, less diverse product lines, smaller shares of their target markets, fewer financial resources and fewer
competitive strengths than large-capitalization companies. These companies may also be more susceptible to adverse developments related to
their products or services.
An I nve st m e nt in t he Se c urit ie s I s Subje c t t o Risk s Assoc ia t e d w it h Fluc t ua t ions in t he Pric e of t he Com m odit y
Fut ure s Cont ra c t s.
The DBC attempts to mirror, as closely as possible, before fees and expenses, the changes (positive or negative) in the level of its Underlying
Index, which is an index consisting of exchange-traded futures contracts on 14 specific commodities. Thus, the DBC's Basket Component
Constituents are futures contracts and the price of the DBC relates directly to the value of its portfolio of futures contracts, less the DBC's
liabilities (including estimated accrued but unpaid expenses). The price of the commodities underlying the futures contracts may fluctuate widely.
Several factors may affect the prices of the commodities and the futures contracts included in the DBC's Underlying Index, including, but not
limited to:

global supply and demand of each commodity, which may be influenced by such factors as forward selling by the various
commodities producers, purchases made by the commodities producers to unwind their hedge positions and production and cost
levels in the major markets for each of the 14 commodities;

domestic and foreign interest rates and investors' expectations concerning interest rates;

domestic and foreign inflation rates and investors' expectations concerning inflation rates;

investment and trading activities of mutual funds, hedge funds and commodity funds; and

global or regional political, economic or financial events and situations.
Fe w e r Re pre se nt a t ive Com m odit ie s M a y Re sult in Gre a t e r V ola t ilit y, Whic h Could Adve rse ly Affe c t t he DBC.
The futures contracts in the DBC's Underlying Index (and therefore held by the DBC) are contracts on 14 commodities: Light Sweet Crude Oil,
Heating Oil, RBOB Gasoline, Natural Gas, Brent Crude, Gold, Silver, Aluminum, Zinc, Copper Grade A, Corn, Wheat, Soybeans and Sugar.
Accordingly, the DBC's Underlying Index (and therefore the DBC) is concentrated in terms of the number and types of commodities represented.
You should be aware that other commodities indexes are more diversified in terms of both the number and variety of commodities included. In
addition, the DBC's Underlying Index (and therefore the DBC) is not production weighted on a current basis, and may therefore underrepresent
the current global commodities market. Concentration in fewer commodities may result in a greater degree of volatility in shares of the DBC
under specific market conditions and over time. In addition, futures contracts have a high degree of price variability and are subject to
occasional rapid and substantial changes. If some or all of the futures contracts held by the DBC experience such volatility, the price of the DBC
and therefore the level of the Basket could be adversely affected.
Fut ure s Cont ra c t s Are N ot Asse t s w it h I nt rinsic V a lue .
Trading in futures transfers the risk of future price movements from one market participant to another. This means that for every gain, there is an
equal and offsetting loss. Futures contracts themselves are not assets with intrinsic value, and simply reflect, in the case of cash-settled
contracts, certain rights to payment or obligations to make payments to the other party to the contract, and in the case of physically-settled
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contracts, such as the futures contracts underlying the Underlying Index of the DBC, an agreement to make or take delivery of a particular asset
at a specified price. Accordingly, market participants taking the opposite side of the relevant
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futures contract trades may believe that the price of the underlying commodities will move against the interests of the Underlying Index of the
DBC (and therefore the DBC).
T ra ding on Com m odit y Ex c ha nge s out side t he U .S. I s N ot Subje c t t o U .S. Re gula t ion.
Some of the DBC's Basket Component Constituents trade on commodity exchanges outside the U.S. Trading on such exchanges is not
regulated by any U.S. governmental agency and may involve certain risks not applicable to trading on U.S. exchanges, including different or
diminished investor protections. In trading contracts denominated in currencies other than U.S. dollars, shares are subject to the risk of adverse
exchange-rate movements between the dollar and the functional currencies of such contracts. The shares could incur substantial losses from
trading on foreign exchanges to which they would not have otherwise been subject had the DBC's Basket Component Constituents traded
exclusively in U.S. markets. Aluminum, Zinc, Copper Grade A and Brent Crude are the current Basket Component Constituents that trade on
foreign exchanges.
"Ba c k w a rda t ion" or "Cont a ngo" in t he M a rk e t Pric e s of t he Com m odit ie s Cont ra c t s Will Affe c t t he Pric e of t he DBC.
As the futures contracts that underlie the Underlying Index of the DBC near expiration, they are replaced by similar contracts that have a later
expiration. This process is referred to as "rolling." The difference in the prices of the contracts that are sold and the new contracts for more
distant delivery that are purchased is called "roll yield." If the expiring futures contract included in the index is "rolled" into a less expensive
futures contract with a more distant delivery date, the market for that futures contract is trading in "backwardation." In this case, the effect of the
roll yield on the level of the DBC's Underlying Index (and therefore the price of the DBC) will be positive because it costs less to replace the
expiring futures contract. Historically, the prices of Light Sweet Crude Oil and Heating Oil have frequently traded in "backwardation." However,
backwardation will likely not exist in these markets at all times. The absence of backwardation in Light Sweet Crude Oil and Heating Oil will
adversely affect the value of the DBC's Underlying Index and, accordingly, decrease the price of the DBC and negatively affect the Basket.
Conversely, certain of the commodities contracts underlying the DBC's Underlying Index historically exhibit "contango" markets rather than
backwardation. Contango markets are those in which the prices of contracts are higher in the distant delivery months than in the nearer delivery
months. In this case, the effect of the roll yield on the level of the DBC's Underlying Index (and therefore the price of the DBC) will be negative
because it costs more to replace the expiring futures contract due to the costs of long-term storage of a physical commodity prior to delivery or
other factors. Contango in certain of the commodities will adversely affect the value of the DBC's Underlying Index and, accordingly, decrease
the price of the DBC and negatively affect the Basket.
T he V a lua t ion of t he Fut ure s Cont ra c t s M a y N ot Be Consist e nt w it h Ot he r M e a sure s of V a lue for the Inde x
Com m odit ie s.
The value of each futures contract included in the DBC will reflect the exchange closing price as quoted on the relevant exchange. Such values
will not necessarily be consistent with other valuations of the index commodities, such as futures contracts on different exchanges or with
different delivery points or with different maturities.
T he Le ve l of t he DBC a nd t he V a lue of t he Se c urit ie s M a y Be Affe c t e d by Curre nc y Ex c ha nge Fluc t ua t ions.
The market prices for the index commodities are currently quoted in U.S. dollars. As a result, appreciation of the U.S. dollar will increase the
relative cost of the index commodities for foreign consumers, thereby reducing demand for the index commodities and affecting the market price
of the index commodities. As a result, the level of the DBC and an investment in the Securities may be adversely affected by changes in
exchange rates between the U.S. dollar and foreign currencies. In recent years, rates of exchange between the U.S. dollar and various foreign
currencies have been highly volatile and this volatility may continue in the future. However, fluctuations in any particular exchange rate that have
occurred in the past are not necessarily indicative of fluctuations that may occur during the term of the Securities.
Cha nge s in Ex c ha nge M e t hodology or Cha nge s in La w or Re gula t ions M a y Affe c t t he V a lue of t he Se c urit ie s Prior t o
M a t urit y a nd t he Am ount Y ou Re c e ive a t M a t urit y.
The value of a futures contract included in the DBC is determined by reference to the exchange closing price of such futures contract as
determined by the applicable exchange. An exchange may from to time change any rule or bylaw or take emergency action under its rules, any
of which could affect the exchange closing price of a futures contract. Any such change that causes a decrease in such exchange closing price
could adversely affect the level of the DBC and the value of the Securities. Moreover, the applicable exchange may increase margin
requirements, which could adversely affect exchange closing prices of the futures contracts. In addition, prices of the index commodities and
futures contracts included in the DBC could be adversely affected by the promulgation of new laws or regulations or by the reinterpretation of
existing laws or regulations (including, without limitation, those related to taxes and duties on commodities or commodity components) by one or
more governments, governmental agencies or instrumentalities, courts or other official bodies. Any such event could adversely affect the level of
the DBC and could adversely affect the value of the Securities.
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