Obbligazione TD Bank 0% ( US89114QVJ48 ) in USD

TD Bank

100 USD ⇌

Canada

US89114QVJ48 ( in USD )

03/12/2020 - Obbligazione è scaduto

Prospetto opuscolo dell'obbligazione Toronto-Dominion Bank US89114QVJ48 in USD 0%, scaduta

1 000 USD

1 566 000 USD

89114QVJ4

N/A

La Toronto-Dominion Bank (TD Bank) è una delle più grandi banche del Canada, con una significativa presenza internazionale, offrendo una vasta gamma di servizi finanziari al dettaglio e commerciali.

The Obbligazione issued by TD Bank ( Canada ) , in USD, with the ISIN code US89114QVJ48, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 03/12/2020

424B2 1 e70034_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 -1 9 7 3 6 4

Pricing Supplement dated May 31, 2016 to the
Product Prospectus Supplement MLN-ES-ETF-1 dated August 31, 2015 and
Prospectus Dated July 28, 2014

The Toronto-Dominion Bank

$1,566,000
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 December 3, 2020
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-4 of t he produc t
prospe c t us supple m e nt M LN -ES-ET F -1 da t e d August 3 1 , 2 0 1 5 (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 uly 2 8 , 2 0 1 4 (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 June 3, 2016, against payment in immediately
available funds.
The estimated value of the Securities on the Pricing Date is $958.90 per Security, as discussed further under "Additional Risks Factors -- Estimated Value" beginning
on page P-13 and "Additional Information Regarding Our Estimated Value of the Securities" beginning on P-45, 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
$28.70
$971.30
Total
$1,566,000.00
$44,944.20
$1,521,055.80
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 would be $971.30 (97.13%) per Security.
2 The Agents will receive a commission of $28.70 (2.87%) 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 to 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 $15.00 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 $0.75 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-45 of
this pricing supplement.
TD SECURITIES (USA) LLC
WELLS FARGO SECURITIES, LLC

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
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Due De c e m be r 3 , 2 0 2 0

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 4.5 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 August 31, 2015 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:
Com pone nt
I nit ia l Com pone nt

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

SPDR® S&P 500® ETF Trust
SPY
50%
$210.08

iShares® Russell 2000 ETF
IWM
15%
$114.98

iShares® MSCI EAFE ETF
EFA
15%
$58.38
iShares® MSCI Emerging Markets

EEM
10%
$33.13
ETF
PowerShares DB Commodity Index

DBC
5%
$14.71
Tracking Fund

Vanguard® REIT ETF
VNQ
5%
$83.69

* The Initial Component Price for each Basket Component is its closing price on the Pricing Date.
CU SI P / I SI N :
89114QVJ4 / US89114QVJ48
Age nt s:
TDS and Wells Fargo Securities. The Agents will receive a commission of $28.70 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 $15.00 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 $0.75 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.
Princ ipa l Am ount :
$1,000 per Security
Pric ing Da t e :
May 31, 2016
I ssue Da t e :
June 3, 2016
V a lua t ion Da t e :
November 25, 2020, 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 :
December 3, 2020, 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:
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(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
145% of the Principal Amount (or $1,450.00 per Security). As a result, the maximum return on the Securities is
Am ount :
45.00% 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, which is 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 Re t urn:
With respect to each Basket Component, (Final Component Price Initial Component Price) / Initial 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 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 third 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
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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 145% 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;

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
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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 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" on page P-7 of this pricing supplement, "Additional Risk Factors Specific to the Notes" beginning on page PS-4 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 July 28, 2014:
http://www.sec.gov/Archives/edgar/data/947263/000121465914005375/s723140424b5.htm

Product Prospectus Supplement MLN-ES-ETF-1 dated August 31, 2015:
http://www.sec.gov/Archives/edgar/data/947263/000089109215007724/e65847_424b2.pdf
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.
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 (45% 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
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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 the dealer from which you purchase Securities is to conduct hedging activities for us in
connection with the Securities, that dealer 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 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 Held by the Basket Components. 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 securities held by the
Basket Components (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, securities underlying a Basket Component may be unavailable in the secondary market, 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 as well as 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
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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 securities held by the Basket Components;
·
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 securities held by the Basket Components 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 was 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.
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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 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.
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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 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 t he I nde 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.
Possible Re gula t ory Cha nge s Could Adve rse ly Affe c t t he Re t urn on a nd V a lue of Y our Se c urit ie s.
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U.S. regulatory agencies have recently enacted new rules and are currently considering the enactment of additional, related new rules that may
substantially affect the regulation of the commodity and futures markets. Although the final form of many new rules has not yet been determined and
many finalized new rules have not yet been fully implemented, it is likely that such rules will limit the ability of market participants to participate in the
commodity and futures market to the extent and at the levels that they have in the past and may have the effect of reducing liquidity in these markets and
changing the structure of the markets in other ways. In addition, these regulatory changes will likely increase the level of regulation of markets and market
participants and the costs of participating in the commodity and futures markets. These changes could impact the level and volatility of the DBC, which
could in turn adversely affect the return on and the value of the Securities.
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Sinc e t he DBC I s Com prise d of Fut ure s Cont ra c t s, I t s Pe rform a nc e M a y Diffe r from t he Pe rform a nc e of t he Spot Pric e s of
t he I nde x Com m odit ie s.
The price of a futures contract on a commodity reflects the expected value of the commodity upon delivery in the future, whereas the price of a physical
commodity reflects the value of the commodity upon immediate delivery, which is referred to as the spot price. Several factors can result in differences
between the price of a commodity futures contract and the spot price of a commodity, including the cost of storing the commodity for the length of the
futures contract, interest costs related to financing the purchase of the commodity and expectations of supply and demand for the commodity. There is
typically some deviation between changes in the price of a futures contract and changes in the spot price of the relevant commodity. In some cases, the
performance of a futures contract on a commodity can deviate significantly from the spot price performance of the commodity, especially over longer
periods of time. As a result, the performance of the DBC may differ from, and be less favorable than, the spot price return of the index commodities.
An I nve st m e nt in t he Se c urit ie s Will Be Subje c t t o Risk s Assoc ia t e d w it h t he Re a l Est a t e I ndust ry.
The VNQ, because it is concentrated in Real Estate Investment Trusts ("REITs"), may be more susceptible to any single economic, market, political or
regulatory occurrence affecting the real estate industry. Investment in the real estate industry is subject to many of the same risks associated with the
direct ownership of real estate such as: the availability of financing for real estate; employment levels and job growth; interest rates; leverage, property,
management and liquidity risks; consumer confidence; the availability of suitable undeveloped land; federal, state and local laws and regulations
concerning the development of land construction; home and commercial real estate sales; financing and environmental protection; and competition
among companies which engage in the real estate business.
Risk s Assoc ia t e d w it h Re a l Est a t e I nve st m e nt T rust s Will Affe c t t he V a lue of t he Se c urit ie s.
The VNQ' Basket Component Constituents are REITs. REITs invest primarily in income producing real estate or real estate related loans or interests.
Investments in REITs are not direct investments in real estate; however, they are still subject to the risks associated with investing in real estate. The
following are some of the conditions that might impact the structure of and cash flow generated by REITs and, consequently, the value of REITs and, in
turn, the VNQ and the Basket: a decline in the value of real estate properties; extended vacancies of properties; increases in property and operating
taxes; increased competition or overbuilding; a lack of available mortgage funds or other limits on accessing capital; tenant bankruptcies and other credit
problems; limitations on rents, including decreases in market rates for rents; changes in zoning laws and governmental regulations; costs resulting from
the clean-up of, and legal liability to third parties for damages resulting from environmental problems; investments in developments that are not
completed or that are subject to delays in completion; risks associated with borrowing; changes in interest rates; casualty and condemnation losses; and
uninsured damages from floods, earthquakes or other natural disasters.
Cha nge s T ha t Affe c t t he U nde rlying I ndic e s Will Affe c t t he M a rk e t V a lue of t he Se c urit ie s a nd t he Am ount Y ou Will Re c e ive
a t M a t urit y.
We have no control over the actions of the relevant sponsor of each Underlying Index tracked by a Basket Component (each, an "Index Sponsor" and
together the "Index Sponsors"), including any actions of the type that would affect the composition of the Underlying Indices, and therefore, the
composition and price of the relevant Basket Component. The Index Sponsor have no obligation of any sort with respect to the Securities. Thus, the
Index Sponsor have no obligation to take your interests into consideration for any reason, including in taking any actions that might affect the value of the
Securities.
Adjust m e nt s t o t he Ba sk e t Com pone nt s Could Adve rse ly Affe c t t he Se c urit ie s.
The investment advisor of each Basket Component is responsible for calculating and maintaining the relevant Basket Component. Each investment
advisor can add, delete or substitute the stocks or other assets comprising the applicable Basket Component. Each investment advisor may make other
methodological changes that could change the price of the applicable Basket Component at any time. If one or more of these events occurs, the
calculation of the amount payable at maturity may be adjusted to reflect such event or events. Consequently, any of these actions could adversely affect
the amount payable at maturity and/or the market value of the Securities.
We H a ve N o Affilia t ion w it h t he I nde x Sponsors or t he I nve st m e nt Advisors a nd Will N ot Be Re sponsible for Any Ac t ions
T a k e n by t he I nde x Sponsors or t he I nve st m e nt Advisors.
The Index Sponsor of the Underlying Indices and the investment advisors of the Basket Components are not affiliates of ours and will not be involved in
the offering of the Securities in any way. Consequently, we have no control over the actions of the Index Sponsor or the investment advisors, including
any actions of the type that would require the Calculation Agent to adjust the payment to you at maturity. The Index Sponsor and the investment advisors
have no obligation of any sort with respect to the Securities. Thus, Index Sponsor and the investment advisors have no obligation to take your interests
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