Subject to Completion
Preliminary Term Sheet
dated December 1, 2023
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Filed Pursuant to Rule 433
Registration Statement No. 333-262557 (To Prospectus dated March 4, 2022 and
Product Supplement EQUITY ARN-1 dated March 7, 2022)
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Units
$10 principal amount per unit CUSIP No. |
Pricing Date*
Settlement Date* Maturity Date* |
December , 2023
December , 2023
February , 2025
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*Subject to change based on the actual date the notes are priced for initial sale to the public (the “pricing date”)
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Accelerated Return Notes® Linked to the Invesco S&P 500® Equal Weight ETF
◾ Maturity of approximately 14 months
◾ 3-to-1 upside exposure to increases in the Underlying Fund, subject to a capped return of [11.00% to 15.00%]
◾ 1-to-1 downside exposure to decreases in the Underlying Fund, with up to 100.00% of your principal at risk
◾ All payments occur at maturity and are subject to the credit risk of The Toronto-Dominion Bank
◾ No periodic interest payments
◾ In addition to the underwriting discount set forth below, the notes include a hedging-related charge of $0.05 per
unit. See “Structuring the Notes”
◾ Limited secondary market liquidity, with no exchange listing
◾ The notes are unsecured debt securities and are not savings accounts or insured deposits of TD. The notes are not
insured or guaranteed by the Canada Deposit Insurance Corporation (the “CDIC”), the U.S. Federal Deposit Insurance Corporation (the “FDIC”) or any other governmental agency of Canada, the United States or any other jurisdiction
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Per Unit
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Total
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Public offering price(1)
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$ 10.000
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$
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Underwriting discount(1)
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$ 0.175
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$
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Proceeds, before expenses, to TD
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$ 9.825
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$
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(1) |
For any purchase of 300,000 units or more in a single transaction by an individual investor or in combined transactions with the investor’s household in this offering, the public offering price and the
underwriting discount will be $9.95 per unit and $0.125 per unit, respectively. See “Supplement to the Plan of Distribution (Conflicts of Interest)” below.
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Are Not FDIC Insured
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Are Not Bank Guaranteed
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May Lose Value
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Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due February , 2025 |
Terms of the Notes
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Issuer:
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The Toronto-Dominion Bank (“TD”)
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Principal Amount:
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$10.00 per unit
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Term:
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Approximately 14 months
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Market Measure:
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The Invesco S&P 500® Equal Weight ETF (Bloomberg symbol: “RSP”)
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Starting Value:
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The Closing Market Price of the Market Measure on the pricing date
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Ending Value:
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The average of the Closing Market Price of the Market Measure multiplied by the Price Multiplier on each calculation day occurring during the
Maturity Valuation Period. The scheduled calculation days are subject to postponement in the event of Market Disruption Events, as described beginning on page PS-27 of product supplement EQUITY ARN-1.
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Price Multiplier:
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1, subject to adjustment for certain events relating to the Underlying Fund, as described beginning on page PS-30 of product supplement EQUITY ARN-1.
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Participation Rate:
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300%
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Capped Value:
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[$11.10 to $11.50] per unit, which represents a return of [11.00% to 15.00%] over the principal amount. The actual Capped Value will be
determined on the pricing date.
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Maturity Valuation
Period:
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Five scheduled calculation days shortly before the maturity date.
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Fees and Charges:
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The underwriting discount of $0.175 per unit listed on the cover page and the hedging related charge of $0.05 per unit described in
“Structuring the Notes” on page TS-13.
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Calculation
Agents:
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BofA Securities, Inc. (“BofAS”) and TD, acting jointly.
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Redemption Amount Determination
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On the maturity date, you will receive a cash payment per unit determined as follows:
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Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due February , 2025 |
◾ |
Product supplement EQUITY ARN-1 dated March 7, 2022:
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◾ |
Prospectus dated March 4, 2022:
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You may wish to consider an investment in the notes if:
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◾ |
You anticipate that the Closing Market Price of the Underlying Fund will increase moderately from the Starting Value to the Ending Value.
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You are willing to risk a substantial or entire loss of principal if the Closing Market Price of the Underlying Fund decreases from the Starting Value to the Ending Value.
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You accept that the return on the notes will be capped.
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You are willing to forgo the interest payments that are paid on conventional interest bearing debt securities.
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You are willing to forgo the benefits of directly owning the Underlying Fund or the securities held by the Underlying Fund, including dividends and other distributions.
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◾ |
You are willing to accept that a limited market or no market exists for sales of the notes prior to maturity, and understand that the market price for the notes in any secondary market may be adversely affected by various
factors, including, but not limited to, our actual and perceived creditworthiness, our internal funding rate and fees and charges on the notes, as described on page TS-2.
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◾
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You are willing to assume our credit risk, as issuer of the notes, for all payments under the notes, including the Redemption Amount.
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The notes may not be an appropriate investment for you if:
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◾ |
You believe that the Closing Market Price of the Underlying Fund will decrease from the Starting Value to the Ending Value or that it will not increase sufficiently over the term of the notes to provide you with your desired
return.
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You seek principal repayment or preservation of capital.
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You seek an uncapped return on your investment.
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You seek interest payments or other current income on your investment.
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You want to receive the benefits of directly owning the Underlying Fund or the securities held by the Underlying Fund, including dividends and other distributions.
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You seek an investment for which there will be a liquid secondary market.
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◾
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You are unwilling or are unable to take market risk on the notes or to accept the credit risk of TD as issuer of the notes.
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Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due February , 2025 |
This graph reflects the returns on the notes, based on the Participation Rate of 300% and a hypothetical Capped Value of $11.30 per unit (the midpoint of the Capped Value range
of [$11.10 to $11.50]). The green line reflects the returns on the notes, while the dotted gray line reflects the returns of a direct investment in the Market Measure.
This graph has been prepared for purposes of illustration only. See the below table for a further illustration of the range of hypothetical payments at maturity.
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Ending Value
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Percentage Change from the
Starting Value to the Ending
Value
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Redemption Amount per
Unit
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Total Rate of Return on the
Notes
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0.00
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-100.00%
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$0.00
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-100.00%
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50.00
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-50.00%
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$5.00
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-50.00%
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70.00
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-30.00%
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$7.00
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-30.00%
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80.00
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-20.00%
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$8.00
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-20.00%
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90.00
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-10.00%
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$9.00
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-10.00%
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95.00
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-5.00%
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$9.50
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-5.00%
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97.00
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-3.00%
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$9.70
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-3.00%
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100.00(1)
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0.00%
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$10.00
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0.00%
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101.00
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1.00%
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$10.30
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3.00%
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102.00
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2.00%
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$10.60
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6.00%
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104.34
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4.34%
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$11.30(2)
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13.00%
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110.00
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10.00%
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$11.30
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13.00%
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120.00
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20.00%
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$11.30
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13.00%
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130.00
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30.00%
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$11.30
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13.00%
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140.00
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40.00%
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$11.30
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13.00%
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150.00
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50.00%
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$11.30
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13.00%
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200.00
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100.00%
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$11.30
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13.00%
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(1) |
The hypothetical Starting Value of 100 used in these examples has been chosen for illustrative purposes only and does not represent a likely actual Starting Value for the Underlying Fund.
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(2) |
The Redemption Amount per unit cannot exceed the hypothetical Capped Value.
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Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due February , 2025 |
Example 1
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The Ending Value is 50.00, or 50.00% of the Starting Value:
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Starting Value:
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100.00 |
Ending Value:
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50.00 |
Redemption Amount per unit
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Example 2
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The Ending Value is 102.00, or 102.00% of the Starting Value:
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Starting Value:
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100.00 | |
Ending Value:
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102.00 |
Redemption Amount per unit
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Example 3
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The Ending Value is 130.00, or 130.00% of the Starting Value:
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Starting Value:
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100.00 | |
Ending Value:
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130.00 |
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= $19.00, however, because the Redemption Amount for the notes cannot exceed the Capped Value, the Redemption Amount will be $11.30 per unit
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Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due February , 2025 |
◾ |
Depending on the performance of the Underlying Fund as measured shortly before the maturity date, your investment may result in a loss; there is no guaranteed return of principal.
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◾ |
Your return on the notes may be less than the yield you could earn by owning a conventional fixed or floating rate debt security of comparable maturity.
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◾ |
Your investment return is limited to the return represented by the Capped Value and may be less than a comparable investment directly in the Underlying Fund or the securities held by the Underlying Fund.
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The sponsor and investment advisor of the Underlying Fund may adjust the Underlying Fund in a way that may adversely affect the value of the notes and the amount payable on the notes, and these entities have no obligation to consider
your interests.
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The sponsor of the S&P 500® Equal Weight Index (the “Underlying Index”) described below, may adjust the Underlying Index in a way that affects its level, and has no obligation to consider your interests.
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You will have no rights of a holder of the Underlying Fund or the securities held by the Underlying Fund, and you will not be entitled to receive any shares of the Underlying Fund or the securities held by the Underlying Fund, or any
dividends or other distributions in respect of the Underlying Fund or the securities held by the Underlying Fund.
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While we, MLPF&S, BofAS or our or their respective affiliates may from time to time own shares of the Underlying Fund or the securities held by the Underlying Fund, none of us, MLPF&S, BofAS or our or their respective
affiliates control the Underlying Fund.
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There are liquidity and management risks associated with the Underlying Fund.
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The performance of the Underlying Fund may not correlate with the performance of its Underlying Index as well as the net asset value per share of the Underlying Fund, especially during periods of market volatility when the liquidity
and the market price of the shares of the Underlying Fund and/or the securities held by the Underlying Fund may be adversely affected, sometimes materially.
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The Redemption Amount will not be adjusted for all corporate events that could affect the Underlying Fund. See “Description of ARNs— Anti-Dilution and Discontinuance Adjustments Relating to Underlying Funds” beginning on page PS-30
of product supplement EQUITY ARN-1.
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The initial estimated value of your notes on the pricing date will be less than their public offering price. The difference between the public offering price of your notes and the initial estimated value of the notes reflects costs
and expected profits associated with selling and structuring the notes, as well as hedging our obligations under the notes (including, but not limited to, the hedging related charge, as further described under “Structuring the Notes” on
page TS-13). Because hedging our obligations entails risks and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or a loss and the amount of any such profit or
loss will not be known until the maturity date.
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The initial estimated value of your notes is based on our internal funding rate. The internal funding rate used in the determination of the initial estimated value of the notes generally represents a discount from the credit spreads
for our conventional fixed-rate debt securities and the borrowing rate we would pay for our conventional fixed-rate debt securities. This discount is based on, among other things, our view of the funding value of the notes as well as
the higher issuance, operational and ongoing liability management costs of the notes in comparison to those costs for our conventional fixed-rate debt, as well as estimated financing costs of any hedge positions (including, but not
limited to, the hedging related charge, as further described under “Structuring the Notes” on page TS-13), taking into account regulatory and internal requirements. If the interest rate implied by the credit spreads for our conventional
fixed-rate debt securities, or the borrowing rate we would pay for our conventional fixed-rate debt securities were to be used, we would expect the economic terms of the notes to be more favorable to you. Additionally, assuming all
other economic terms are held constant, the use of an internal funding rate for the notes is expected to increase the initial estimated value of the notes and have an adverse effect on the economic terms of the notes.
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Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due February , 2025 |
◾ |
The initial estimated value of the notes is based on our internal pricing models, which may prove to be inaccurate and may be different from the pricing models of other financial institutions, including BofAS and MLPF&S. The
initial estimated value of your notes when the terms of the notes are set on the pricing date is based on our internal pricing models, which take into account a number of variables, typically including the expected volatility of the
Market Measure, interest rates (forecasted, current and historical rates), price-sensitivity analysis, time to maturity of the notes and our internal funding rate, and are based on a number of subjective assumptions, which are not
evaluated or verified on an independent basis and may or may not materialize. Further, our pricing models may be different from other financial institutions’ pricing models, including those of BofAS and MLPF&S, and the methodologies
used by us to estimate the value of the notes may not be consistent with those of other financial institutions that may be purchasers or sellers of notes in any secondary market. As a result, the secondary market price of your notes, if
any, may be materially less than the initial estimated value of the notes determined by reference to our internal pricing models. In addition, market conditions and other relevant factors in the future may change and any assumptions may
prove to be incorrect.
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◾ |
The initial estimated value of your notes is not a prediction of the prices at which you may sell your notes in the secondary market, if any exists, and such secondary market prices, if any, will likely be less than the public
offering price of your notes, may be less than the initial estimated value of your notes and could result in a substantial loss to you. The initial estimated value of the notes will not be a prediction of the prices at which MLPF&S,
BofAS, their or our respective affiliates or third parties may be willing to purchase the notes from you in secondary market transactions (if they are willing to purchase, which they are not obligated to do). The price at which you may
be able to sell your notes in the secondary market at any time, if any, will be influenced by many factors that cannot be predicted, such as market conditions, and any bid and ask spread for similar sized trades, and may be
substantially less than the initial estimated value of the notes. Further, as secondary market prices of your notes take into account the levels at which our debt securities trade in the secondary market, and do not take into account
our various costs and expected profits associated with selling and structuring the notes, as well as hedging our obligations under the notes, secondary market prices of your notes will likely be less than the public offering price of
your notes. As a result, the price at which MLPF&S, BofAS, their or our respective affiliates or third parties may be willing to purchase the notes from you in secondary market transactions, if any, will likely be less than the
price you paid for your notes, and any sale prior to maturity could result in a substantial loss to you.
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◾ |
A trading market is not expected to develop for the notes. None of us, any of our affiliates, MLPF&S or BofAS is obligated to make a market for, or to repurchase, the notes. There is no assurance that any party will be willing to
purchase your notes at any price in any secondary market.
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◾ |
Our business, hedging and trading activities, and those of MLPF&S, BofAS and our and their respective affiliates (including trades in the Underlying Fund or the securities held by the Underlying Fund), and any hedging and trading
activities we, MLPF&S, BofAS or our or their respective affiliates engage in for our clients’ accounts, may affect the market value of, and return on, the notes and may create conflicts of interest with you.
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◾ |
There may be potential conflicts of interest involving the calculation agents, one of which is us and one of which is BofAS, as the determinations made by the calculation agents may be discretionary and could adversely affect any
payment on the notes.
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◾ |
Payments on the notes are subject to our credit risk, and actual or perceived changes in our creditworthiness are expected to affect the value of the notes. If we become unable to meet our financial obligations as they become due,
you may lose some or all of your investment.
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◾ |
The U.S. federal income tax consequences of the notes are uncertain and, because of this uncertainty, there is a risk that the U.S. federal income tax consequences of the notes could differ materially and adversely from the treatment
described below in “Supplemental Discussion of U.S. Federal Income Tax Consequences”, as described further in product supplement EQUITY ARN-1 under “Material U.S. Federal Income Tax Consequences — Alternative Treatments”. You should
consult your tax advisor as the tax consequences of an investment in the notes and the potential alternative treatments.
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◾ |
For a discussion of the Canadian federal income tax consequences of investing in the notes, please see the discussion in product supplement EQUITY ARN-1 under “Supplemental Discussion of Canadian Tax Consequences” and the further
discussion herein under “Summary of Canadian Federal Income Tax Consequences”. If you are not a Non-resident Holder (as that term is defined in the prospectus) for Canadian federal income tax purposes or if you acquire the notes in the
secondary market, you should consult your tax advisors as to the consequences of acquiring, holding and disposing of the notes and receiving the payments that might be due under the notes.
|
Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due February , 2025 |
Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due February , 2025 |
• |
Domicile. Only common stocks of U.S. companies are eligible. For index purposes, a U.S. company has the following characteristics:
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o |
the company files 10-K annual reports;
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o |
the U.S. portion of fixed assets and revenues constitutes a plurality of the total, but need not exceed 50%. When these factors are in conflict, fixed assets determine plurality. Revenue determines
plurality when there is incomplete asset information. Geographic information for revenue and fixed asset allocations are determined by the company as reported in its annual filings. If this criteria is not met or is ambiguous, SPDJI may
still deem the company to be a U.S. company for index purposes if its primary listing, headquarters and incorporation are all in the United States and/or “a domicile of convenience” (Bermuda, Channel Islands, Gibraltar, islands in the
Caribbean, Isle of Man, Luxembourg, Liberia or Panama); and
|
o |
the primary listing is on an eligible U.S. exchange.
|
• |
Exchange Listing. A primary listing on one of the following U.S. exchanges is required: NYSE, NYSE Arca, NYSE American, Nasdaq Global Select Market, Nasdaq Select Market, Nasdaq Capital
Market, Cboe BZX, Cboe BYX, Cboe EDGA or Cboe EDGX exchanges. Ineligible exchanges include the OTC Bulletin Board and Pink Sheets.
|
• |
Organizational Structure and Share Type. Eligible organizational structures and share types are corporations (including equity and
mortgage REITS) and common stock (i.e., shares). Ineligible organizational structures and share types include business development companies, limited partnerships, master limited partnerships, limited liability companies, closed-end
funds, exchange-traded funds, exchange-traded notes, royalty trusts, special purpose acquisition companies, preferred and convertible preferred stock, unit trusts, equity warrants, convertible bonds, investment trusts, rights,
American Depositary Receipts and tracking stocks. As of July 31, 2017, companies with multiple share class structures are not eligible to be added to the S&P U.S. Indices, but securities already included in the S&P U.S.
Indices have been grandfathered and will remain in the S&P U.S. Indices.
|
• |
Market Capitalization. The unadjusted company market capitalization should be within a specified range. Such ranges are reviewed
quarterly and updated as needed to ensure they reflect current market conditions. For spin-offs, S&P U.S. Index membership eligibility is determined using when-issued prices, if available.
|
• |
Liquidity. Using composite pricing and volume, the ratio of annual dollar value traded (defined as average closing price over the period
multiplied by historical volume over the last 365 calendar days) to float-adjusted market capitalization should be at least 1.00, and the stock should trade a minimum of 250,000 shares in each of the six months leading up to the
evaluation date.
|
• |
IWF. The IWF for each company represents the portion of the total shares outstanding that are considered part of the public float for purposes of the S&P U.S. Indices. An IWF of at least
0.10 is required.
|
• |
Financial Viability. The sum of the most recent four consecutive quarters’ Generally Accepted Accounting Principles (GAAP) earnings
(net income excluding discontinued operations) should be positive as should the most recent quarter. For REITs, financial viability is based on GAAP earnings and/or Funds From Operations (FFO), if reported.
|
• |
Treatment of IPOs. Initial public offerings should be traded on an eligible exchange for at least 12 months before being considered for
addition to an S&P U.S. Index. Spin-offs or in-specie distributions from existing constituents do not need to be seasoned for 12 months prior to their inclusion in an S&P U.S. Index.
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• |
Sector Balance. A company is evaluated for its contribution to sector balance maintenance, as measured by a comparison of each GICS® sector’s weight in an index with its weight in the S&P U.S. Total Market Index, in the relevant market capitalization range. The S&P Total Market Index is a
float-adjusted, market-capitalization weighted index designed to track the broad U.S. equity market, including large-, mid-, small- and micro-cap stocks.
|
Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due February , 2025 |
• |
A company involved in a merger, acquisition or significant restructuring such that it no longer meets the eligibility criteria is deleted from the S&P U.S. Indices at a time announced by SPDJI,
normally at the close of the last day of trading or expiration of a tender offer. Constituents that are halted from trading may be kept in the index until trading resumes, at the discretion of the Index Committee. If a stock is moved to
the pink sheets or the bulletin board, the stock is removed.
|
• |
A company that substantially violates one or more of the eligibility criteria may be deleted at the Index Committee’s discretion.
|
Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due February , 2025 |
Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due February , 2025 |
• |
the investor’s spouse (including a domestic partner), siblings, parents, grandparents, spouse’s parents, children and grandchildren, but excluding accounts held by aunts, uncles, cousins, nieces, nephews
or any other family relationship not directly above or below the individual investor;
|
• |
a family investment vehicle, including foundations, limited partnerships and personal holding companies, but only if the beneficial owners of the vehicle consist solely of the investor or members of the
investor’s household as described above; and
|
• |
a trust where the grantors and/or beneficiaries of the trust consist solely of the investor or members of the investor’s household as described above; provided that, purchases of the notes by a trust
generally cannot be aggregated together with any purchases made by a trustee’s personal account.
|
Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due February , 2025 |
Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due February , 2025 |
Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due February , 2025 |
Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due February , 2025 |
Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due February , 2025 |
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