# EDGAR Filing Document

**Accession Number:** 0001000275
**File Stem:** 0001140361-23-005867
**Filing Date:** 2023-2
**Character Count:** 47634
**Document Hash:** cd4b1c1c09d8ecf48578d24c5742c98f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001140361-23-005867.hdr.sgml**: 20230210

**ACCESSION NUMBER**: 0001140361-23-005867

**CONFORMED SUBMISSION TYPE**: FWP

**PUBLIC DOCUMENT COUNT**: 3

**FILED AS OF DATE**: 20230210

**DATE AS OF CHANGE**: 20230210

**SUBJECT COMPANY**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** ROYAL BANK OF CANADA
- **CENTRAL INDEX KEY:** 0001000275
- **STANDARD INDUSTRIAL CLASSIFICATION:** COMMERCIAL BANKS, NEC [6029]
- **IRS NUMBER:** 135357855
- **STATE OF INCORPORATION:** A6
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** FWP
- **SEC ACT:** 1934 Act
- **SEC FILE NUMBER:** 333-259205
- **FILM NUMBER:** 23610350

**BUSINESS ADDRESS:**
- **STREET 1:** ROYAL BANK PLAZA
- **STREET 2:** 200 BAY STREET
- **CITY:** TORONTO
- **STATE:** A6
- **ZIP:** M5J2J5
- **BUSINESS PHONE:** 212-437-9267

**MAIL ADDRESS:**
- **STREET 1:** ROYAL BANK PLAZA
- **STREET 2:** 200 BAY STREET
- **CITY:** TORONTO
- **STATE:** A6
- **ZIP:** M5J2J5

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ROYAL BANK OF CANADA \
- **DATE OF NAME CHANGE:** 19950908
**FILED BY**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** ROYAL BANK OF CANADA
- **CENTRAL INDEX KEY:** 0001000275
- **STANDARD INDUSTRIAL CLASSIFICATION:** COMMERCIAL BANKS, NEC [6029]
- **IRS NUMBER:** 135357855
- **STATE OF INCORPORATION:** A6
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** FWP

**BUSINESS ADDRESS:**
- **STREET 1:** ROYAL BANK PLAZA
- **STREET 2:** 200 BAY STREET
- **CITY:** TORONTO
- **STATE:** A6
- **ZIP:** M5J2J5
- **BUSINESS PHONE:** 212-437-9267

**MAIL ADDRESS:**
- **STREET 1:** ROYAL BANK PLAZA
- **STREET 2:** 200 BAY STREET
- **CITY:** TORONTO
- **STATE:** A6
- **ZIP:** M5J2J5

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ROYAL BANK OF CANADA \
- **DATE OF NAME CHANGE:** 19950908

------

Free Writing Prospectus <br> (To the Prospectus, the Prospectus Supplement and the Product Prospectus Supplement, each dated September 14, 2021) Filed Pursuant to Rule 433 Registration No. 333-259205 February 10, 2023

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| | |
|:---|:---|
| **![](image0.jpg)Royal Bank of Canada** <br>| **$**<br> **Capped Buffered Return Enhanced Notes<br> Due February 20, 2024<br> Linked to the Nasdaq-100<sup>®</sup> Index<br> Senior Global Medium Term Notes, Series I** |

---

#### General
• The Notes are designed for investors who seek a 1-for-1 return equal to any appreciation of the Nasdaq-100<sup>®</sup> Index (the "Index"), subject to the Maximum Return set forth below. Investors should be willing to forgo interest and dividend payments and, if the Index declines by more than 15%, be willing to lose some or all of their principal.

<br> • Senior unsecured obligations of Royal Bank of Canada maturing February 20, 2024.<sup>(a)(b)</sup> Any payments on the Notes are subject to our credit risk.

• Minimum denominations of $10,000 and integral multiples of $1,000 in excess thereof.

<br> • The Notes are expected to price on or about February 10, 2023<sup>(b)</sup> (the "Pricing Date") and are expected to be issued on or about February 24, 2023<sup>(b)</sup> (the "issue date").

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| | |
|:---|:---|
| **Key Terms** | *Terms used in this free writing prospectus, but not defined herein, will have the meanings ascribed to them in the product prospectus supplement.* |
| Issuer: | Royal Bank of Canada |
| Reference Asset: | Nasdaq-100<sup>®</sup> Index (Bloomberg ticker symbol "NDX") |
| Payment at Maturity: | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; If the Final Level is greater than the Initial Level, you will receive a cash payment that provides you with a return equal to the Percentage Change, subject to the Maximum Return. Accordingly, if the Percentage Change is positive, your payment per $1,000 in principal amount of the Notes will be calculated as follows:<br> $1,000 + ($1,000 x Percentage Change)<br> **However, the payment on the Notes will not exceed $1,228.10 for each $1,000 in principal amount.**<br> If the Final Level is equal to or less than the Initial Level but greater than or equal to the Buffer Level, resulting in a Percentage Change that is equal to or less than 0% but greater than or equal -15%, you will receive the principal amount of your Notes at maturity.<br> If the Final Level is less than the Buffer Level, you will lose approximately 1.1765% of the principal amount of your Notes for every 1% that the Final Level is less than the Buffer Level. Accordingly, if the Percentage Change is less than -15%, your payment per $1,000 in principal amount of the Notes will be calculated as follows:<br> $1,000 + [$1,000 x (Percentage Change + Buffer Percentage) x Downside Multiplier]<br> ***If the Final Level is less than the Buffer Level, you will lose approximately 1.1765% of the principal amount of your Notes for every 1% that the Percentage Change is less than 15%.*** |
| Percentage Change: | The performance of the Index from the Initial Level to the Final Level, calculated as follows:<br> <u>Final Level – Initial Level</u><br> Initial Level |
| Maximum Return: | $1,228.10 per $1,000 in principal amount of the Notes. |
| Buffer Level: | 85% of the Initial Level (rounded to two decimal places). |
| Buffer Percentage: | 15% |
| Downside Multiplier: | 1 divided by 0.85, or approximately 1.1765. |
| Initial Level: | The closing level of the Index on the Pricing Date. |
| Final Level: | The closing level of the Index on the Valuation Date. |
| Valuation Date: | February 12, 2024<sup>(a)(b)</sup> |
| Maturity Date: | February 20, 2024<sup>(a)(b)</sup> |
| Calculation Agent: | RBC Capital Markets, LLC |
| CUSIP/ISIN: | 78016HSM3 / US78016HSM33 |
| Estimated Value: | The initial estimated value of the Notes as of the Pricing Date is expected to be between $946.65 and $996.65 per $1,000 in principal amount, and will be less than the price to public. The final pricing supplement relating to the Notes will set forth our estimate of the initial value of the Notes as of the Pricing Date. The actual value of the Notes at any time will reflect many factors, cannot be predicted with accuracy, and may be less than this amount. |

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<sup>(a)</sup> Subject to postponement if a market disruption event occurs, as described under "General Terms of the Notes—Market Disruption Events" in the product prospectus supplement.

<sup>(b)</sup> Expected. If we make any change to the expected Pricing Date and issue date, the Valuation Date and the maturity date will be changed so that the stated term of the Notes remains the same.

**Investing in the Notes involves a number of risks. See "Selected Risk Considerations" beginning on page FWP-5 of this free writing prospectus, "Additional Risk Factors Specific to the Notes" beginning on page PS-4 of the product prospectus supplement, and "Risk Factors" beginning on page S-2 of the prospectus supplement and beginning on page 1 of the prospectus.**

**The Notes will not be listed on any U.S. securities exchange or quotation system. Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these securities or determined that this free writing prospectus is truthful or complete. Any representation to the contrary is a criminal offense.**

**The Notes will not constitute deposits insured by the Canada Deposit Insurance Corporation, the U.S. Federal Deposit Insurance Corporation or any other Canadian or U.S. government agency or instrumentality. The Notes are not subject to conversion into our common shares under subsection 39.2(2.3) of the Canada Deposit Insurance Corporation Act.**

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| | | | |
|:---|:---|:---|:---|
|  | **Price to Public** | **Underwriting Commission<sup>1</sup>** | **Proceeds to Royal Bank of Canada** |
| **Per Note** | $1000 | $0.00 | $1000 |
| **Total** | $| $0.00 | $|

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<sup>1</sup> JPMorgan Chase Bank, N.A., J.P. Morgan Securities LLC and their affiliates will act as placement agents for the Notes, and will not receive a fee from the Issuer in connection with its sales of the Notes.

---

| | | |
|:---|:---|:---|
| **RBC Capital Markets, LLC** | **JPMorgan Chase Bank, N.A.** | **J.P. Morgan Securities LLC** |
|  | **Placement Agents** |  |

---

------

**Royal Bank of Canada has filed a registration statement (including a product prospectus supplement, a prospectus supplement, and a prospectus) with the SEC for the offering to which this free writing prospectus relates. Before you invest, you should read those documents and the other documents relating to this offering that we have filed with the SEC for more complete information about us and this offering. You may obtain these documents without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, Royal Bank of Canada, any agent or any dealer participating in this offering will arrange to send you the product prospectus supplement, the prospectus supplement and the prospectus if you so request by calling toll-free at 1-877-688-2301.**

**You may revoke your offer to purchase the Notes at any time prior to the pricing as described on the cover of this free writing prospectus. We reserve the right to change the terms of, or reject any offer to purchase the Notes prior to their issuance. In the event of any changes to the terms of the Notes, we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which case we may reject your offer to purchase.**

#### ADDITIONAL TERMS OF THE NOTES
You should read this free writing prospectus together with the prospectus dated September 14, 2021, as supplemented by the prospectus supplement dated September 14, 2021 and the product prospectus supplement dated September 14, 2021, relating to our Senior Global Medium-Term Notes, Series I, of which these Notes are a part. Capitalized terms used but not defined in this free writing prospectus will have the meanings given to them in the product prospectus supplement. In the event of any conflict, this free writing prospectus will control. You should read this free writing prospectus carefully.

This free writing prospectus, together with the documents listed below, contains the terms of the Notes and supersedes all prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in "Risk Factors" in the prospectus supplement and "Additional Risk Factors Specific to the Notes" in the product prospectus supplement, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the Notes. You may access these documents on the Securities and Exchange Commission (the "SEC") website at www.sec.gov as follows (or if that address has changed, by reviewing our filings for the relevant date on the SEC website):

Prospectus dated September 14, 2021:

[https://www.sec.gov/Archives/edgar/data/1000275/000121465921009470/rbc911212424b3.htm](https://www.sec.gov/Archives/edgar/data/1000275/000121465921009470/rbc911212424b3.htm)

Prospectus Supplement dated September 14, 2021:

[https://www.sec.gov/Archives/edgar/data/1000275/000121465921009472/rbcsupp911210424b3.htm](https://www.sec.gov/Archives/edgar/data/1000275/000121465921009472/rbcsupp911210424b3.htm)

Product Prospectus Supplement ERN-EI-1 dated September 14, 2021:

[https://www.sec.gov/Archives/edgar/data/1000275/000114036121031150/brhc10028901_424b5.htm](https://www.sec.gov/Archives/edgar/data/1000275/000114036121031150/brhc10028901_424b5.htm)

Our Central Index Key, or CIK, on the SEC website is 1000275. As used in this free writing prospectus, "Royal Bank," "we," "us," or "our" refers to Royal Bank of Canada.

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#### What Is the Total Return on the Notes at Maturity Assuming a Range of Performance for the Index?
The following table illustrates the hypothetical total return at maturity on the Notes. The "total return," as used in this free writing prospectus, is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 in principal amount of the Notes to $1,000. The hypothetical total returns and examples set forth below reflect a hypothetical Initial Level of 1,000.00, a hypothetical Buffer Level of 850.00, the Maximum Return of $1,228.10 per $1,000 in principal amount of the Notes, the Downside Multiplier of approximately 1.1765, and hypothetical Final Levels as set forth below. The actual Initial Level and Buffer Level will be determined on the Pricing Date. The actual Final Level will be determined based on the closing level of the Index on the Valuation Date. The hypothetical total returns and examples set forth below are for illustrative purposes only and may not be the actual total returns applicable to a purchaser of the Notes. The numbers appearing in the following table and examples have been rounded for ease of analysis. The examples below do not take into account any tax consequences from investing in the Notes.

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| | | | |
|:---|:---|:---|:---|
| **Final Level** | **Percentage Change** | **Payment at Maturity** | **Total Return on the Notes** |
| 1500.00 | 50.00% | $1228.10 | 22.81% |
| 1250.00 | 25.00% | $1228.10 | 22.81% |
| 1228.10 | 22.81% | $1228.10 | 22.81% |
| 1150.00 | 15.00% | $1150.00 | 15.00% |
| 1100.00 | 10.00% | $1100.00 | 10.00% |
| 1050.00 | 5.00% | $1050.00 | 5.00% |
| 1025.00 | 2.50% | $1025.00 | 2.50% |
| 1000.00 | 0.00% | $1000.00 | 0.00% |
| 950.00 | -5.00% | $1000.00 | 0.00% |
| 900.00 | -10.00% | $1000.00 | 0.00% |
| 850.00 | **-15.00%** | **$1000.00** | **0.00%** |
| 800.00 | -20.00% | $941.18 | -5.88% |
| 700.00 | -30.00% | $823.53 | -17.65% |
| 600.00 | -40.00% | $705.88 | -29.41% |
| 500.00 | -50.00% | $588.24 | -41.18% |
| 400.00 | -60.00% | $470.59 | -52.94% |
| 300.00 | -70.00% | $352.94 | -64.71% |
| 200.00 | -80.00% | $235.29 | -76.47% |
| 100.00 | -90.00% | $117.65 | -88.24% |
| 0.00 | -100.00% | $0.00 | -100.00% |

---

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#### Hypothetical Examples of Amounts Payable at Maturity
The following examples illustrate how the payments set forth in the table above are calculated.

**Example 1: The level of the Index increases from the Initial Level to a Final Level of 1,050.00, resulting in a Percentage Change of 5.00%.**

Because the Percentage Change is positive, the investor receives a payment at maturity of $1,050.00 per $1,000 in principal amount of the Notes, calculated as follows:

$1,000 + ($1,000 x 5.00%) = $1,050.00

**Example 2: The level of the Index increases from the Initial Level to a Final Level of 1,500.00, resulting in a Percentage Change of 50.00%.**

In this example, the Percentage Change would result in a payment that is greater than the Maximum Return. Accordingly, the payment on the Notes would be $1,228.10 per $1,000 in principal amount, representing the Maximum Return.

*In this case, your return on the Notes is less than the return represented by the Percentage Change.*

**Example 3: The level of the Index decreases from the Initial Level to a Final Level of 900.00, resulting in a Percentage Change of -10.00%.**

Because the Percentage Change is negative, but is greater than or equal to -15%, the investor will receive a payment at maturity of $1,000 per $1,000 in principal amount of the Notes.

**Example 4: The level of the Index decreases from the Initial Level to a Final Level of 500.00, resulting in a Percentage Change of -50.00%.**

Because the Percentage Change is less than -15%, the investor will receive a payment at maturity of $588.24 per $1,000 in principal amount of the Notes, calculated as follows:

#### $1,000 + [$1,000 x (-50.00% + 15%) x 1.1765] = $588.24
*In this case, the amount that will be paid on the Notes at maturity would be significantly less than the principal amount.*

** 

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#### Selected Purchase Considerations
&nbsp;&nbsp;&nbsp;&nbsp;• **Appreciation Potential —** The Notes provide the opportunity to receive
 a positive return equal to the Percentage Change, up to the Maximum Return.

&nbsp;&nbsp;&nbsp;&nbsp;• **Limited Protection Against Loss —** Payment at maturity of the principal
 amount of the Notes is protected against a decline in the Final Level, as compared to the Initial Level, of up to 15%. If the Final Level is less than the Initial Level by more than 15%, you will lose an amount equal to approximately
 1.1765% of the principal amount of your Notes for every 1% that the Percentage Change is less than 15%.

#### Selected Risk Considerations
An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the Index. These risks are explained in more detail in the section "Additional Risk Factors Specific to the Notes" in the product prospectus supplement. In addition to the risks described in the prospectus supplement and the product prospectus supplement, you should consider the following:

#### Risks Relating to the Terms and the Structure of the Notes
&nbsp;&nbsp;&nbsp;&nbsp;• **You May Lose Some or All of the Principal Amount at Maturity** —
 Investors in the Notes could lose all or a substantial portion of their principal amount if the level of the Index decreases by more than 15%. If the Percentage Change is less than -15%, the payment that you will receive at maturity will
 represent a loss of approximately 1.1765% of the principal amount for each 1% that the Final Level is less than the Buffer Level, and you could lose up to 100% of the principal amount.

&nbsp;&nbsp;&nbsp;&nbsp;• **The Notes Do Not Pay Interest and Your Return May Be Lower than the Return on a Conventional Debt Security of Comparable Maturity —** There will be no periodic interest payments on the Notes as there would be on a conventional fixed-rate or floating-rate debt security having the same maturity. The return that
 you will receive on the Notes, which could be negative, may be less than the return you could earn on other investments. Even if your return is positive, your return may be less than the return you would earn if you bought one of our
 conventional senior interest bearing debt securities.

&nbsp;&nbsp;&nbsp;&nbsp;• **Your Potential Payment at Maturity Is Limited** — The Notes will provide
 less opportunity to participate in the appreciation of the Index than an investment in a security linked to the Index providing full participation in the appreciation, because the return on the Notes if the Percentage Change is positive
 will not exceed the Maximum Return. Accordingly, your return on the Notes may be less than your return would be if you made an investment in a security directly linked to the positive performance of the Index.

&nbsp;&nbsp;&nbsp;&nbsp;• **Payments on the Notes Are Subject to Our Credit Risk, and Changes in Our Credit Ratings Are Expected to Affect the Market Value of the Notes** — The Notes are our senior unsecured debt securities. As a result, your receipt of the amount due on the maturity date is dependent upon our ability to repay our
 obligations at that time. This will be the case even if the level of the Index increases after the Pricing Date. No assurance can be given as to what our financial condition will be at the maturity of the Notes.

&nbsp;&nbsp;&nbsp;&nbsp;• **The Tax Treatment of the Notes Is Uncertain** — Significant aspects of
 the tax treatment of an investment in the Notes are uncertain. You should consult your tax adviser about your tax situation.

#### Risks Relating to the Secondary Market for the Notes
&nbsp;&nbsp;&nbsp;&nbsp;• **There May Not Be an Active Trading Market for the Notes—Sales in the Secondary Market May Result in Significant Losses** — There may be little or no secondary market for the Notes. The Notes will not be listed on any securities exchange. RBCCM and our other affiliates may make a market for the Notes; however,
 they are not required to do so. RBCCM or any other affiliate of ours may stop any market-making activities at any time. Even if a secondary market for the Notes develops, it may not provide significant liquidity or trade at prices
 advantageous to you. We expect that transaction costs in any secondary market would be high. As a result, the difference between bid and asked prices for your Notes in any secondary market could be substantial.

&nbsp;&nbsp;&nbsp;&nbsp;• **Many Economic and Market Factors Will Impact the Value of the Notes** —
 In addition to the level of the Index on any day, the value of the Notes will be affected by a number of economic and market factors that may either offset or magnify each other, including:

<br> • the expected volatility of the Index;

<br> • the time to maturity of the Notes;

<br> • the dividend rate on the securities included in the Index;

<br> • interest and yield rates in the market generally;

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<br> • a variety of economic, financial, political, regulatory or judicial events; and

<br> • our creditworthiness, including actual or anticipated downgrades in our credit ratings.

#### Risks Relating to the Initial Estimated Value of the Notes
&nbsp;&nbsp;&nbsp;&nbsp;• **The Initial Estimated Value of the Notes Will Be Less than the Price to the Public** — The initial estimated value that will be set forth in the final pricing supplement for the Notes does not represent a minimum price at which we, RBCCM or any of our affiliates would be willing to purchase the Notes in any
 secondary market (if any exists) at any time. If you attempt to sell the Notes prior to maturity, their market value may be lower than the price you paid for them and the initial estimated value. This is due to, among other things, changes
 in the level of the Index, the borrowing rate we pay to issue securities of this kind, and the inclusion in the price to the public of the costs relating to our hedging of the Notes. These factors, together with various credit, market and
 economic factors over the term of the Notes, are expected to reduce the price at which you may be able to sell the Notes in any secondary market and will affect the value of the Notes in complex and unpredictable ways. Assuming no change in
 market conditions or any other relevant factors, the price, if any, at which you may be able to sell your Notes prior to maturity may be less than your original purchase price. The Notes are not designed to be short-term trading
 instruments. Accordingly, you should be able and willing to hold your Notes to maturity.

&nbsp;&nbsp;&nbsp;&nbsp;• **The Initial Estimated Value of the Notes That We Will Provide in the Final Pricing Supplement Will Be an Estimate Only, Calculated as of the Pricing Date** — The value of the Notes at any time after the Pricing Date will vary based on many factors, including changes in market conditions, and cannot be
 predicted with accuracy. As a result, the actual value you would receive if you sold the Notes in any secondary market, if any, should be expected to differ materially from the initial estimated value of your Notes.

#### Risks Relating to Conflicts of Interest
&nbsp;&nbsp;&nbsp;&nbsp;• **We and Our Affiliates May Have Adverse Economic Interests to the Holders of the Notes** — We, RBCCM and our other respective affiliates trade the securities represented by the Index, and other financial instruments related to the Index, on a regular basis, for their accounts and for other accounts under our
 or their management. We, RBCCM and our other affiliates may also issue or underwrite or assist unaffiliated entities in the issuance or underwriting of other securities or financial instruments that relate to the Index. To the extent that
 we or any of our affiliates serves as issuer, agent or underwriter for such securities or financial instruments, our or their interests with respect to such products may be adverse to those of the holders of the Notes. Any of these trading
 activities could potentially affect the performance of the Index and, accordingly, could affect the value of the Notes, and the amounts, if any, payable on the Notes.<br>
 We or our affiliates may currently or from time to time engage in business with the issuers of the securities represented by the Index, including extending loans to, or making equity investments in, or providing advisory services to
 them, including merger and acquisition advisory services. In the course of this business, we or our affiliates may acquire non-public information about these companies, and we will not disclose any such information to you. None of us or our
 affiliates makes any representation or warranty to any purchaser of the Notes with respect to any matters whatsoever relating to our business with the issuer of any security included in the Index or future price movements of any such
 security.<br>
 Additionally, we or our affiliates may serve as issuer, agent or underwriter for additional issuances of securities with returns linked or related to changes in the level the Index. By introducing competing products into the
 marketplace in this manner, we could adversely affect the value of the Notes.<br>
 We may hedge our obligations under the Notes through certain affiliates, who would expect to make a profit on such hedge. We or our affiliates may adjust these hedges by, among other things, purchasing or selling those assets at any
 time, including around the time of the Valuation Date, which could have an impact on the return of the Notes. Because hedging our obligations entails risk and may be influenced by market forces beyond our or our affiliates' control, such
 hedging may result in a profit that is more or less than expected, or it may result in a loss.

&nbsp;&nbsp;&nbsp;&nbsp;• **We May Issue Research That Is Inconsistent with an Investment in the Notes** — We or our affiliates may issue research reports on securities that are, or may become, components of the Index. We may also publish research from time to time on financial markets and other matters that may influence the levels of the
 Index or the value of the Notes, or express opinions or provide recommendations that may be inconsistent with the purchasing or holding the Notes or with the investment view implicit in the Notes or the Index. You should make your own
 independent investigation of the merits of investing in the Notes and the Index.

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#### Risks Relating to the Reference Asset
&nbsp;&nbsp;&nbsp;&nbsp;• **You Will Not Have Any Rights to the Securities Included in the Reference Asset** — As a holder of the Notes, you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of securities included in the Reference Asset would have. The Final Level will not reflect
 any dividends paid on the securities included in the Reference Asset, and accordingly, any positive return on the Notes may be less than the potential positive return on those securities.

&nbsp;&nbsp;&nbsp;&nbsp;• **The Payments on the Notes Are Subject to Postponement Due to Market Disruption Events and Adjustments** — The payment at maturity and the Valuation Date are subject to adjustment as described in the product prospectus supplement. For a description of what constitutes a market disruption event as well as the
 consequences of that market disruption event, see "General Terms of the Notes-Market Disruption Events" in the product prospectus supplement.

&nbsp;&nbsp;&nbsp;&nbsp;• **An Investment in the Notes Is Subject to Risks Relating to Non-U.S. Securities Markets** - Because certain securities included in the NDX are issued by non-U.S. issuers and/or are traded outside of the U.S., an investment in the Notes involves particular risks. For example, the relevant non-U.S. securities
 markets may be more volatile than the U.S. securities markets, and market developments may affect these markets differently from the U.S. or other securities markets.

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#### Historical Information
The following graph sets forth the historical performance of the Index from January 1, 2018 to February 9, 2023. On February 9, 2023, the closing level of the Index was 12,381.17. The red horizontal line represents a hypothetical Buffer Level of 10,523.99, which is 85% of that closing level (rounded to two decimal places).

We obtained the Index closing levels below from Bloomberg L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. The historical levels of the Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level of the Index on the Valuation Date. We cannot give you assurance that the performance of the Index will result in the return of any of your initial investment.

![](image1.jpg)

#### PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

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#### The NASDAQ-100 Index<sup>®</sup>
The NASDAQ-100 Index<sup>®</sup> ("NDX") is a modified market capitalization-weighted index of the 100 largest stocks of both U.S. and non-U.S. non-financial companies listed on The Nasdaq Stock Market. It does not contain securities of financial companies, including investment companies. The NDX, which includes companies across a variety of major industry groups, was launched on January 31, 1985, with a base index value of 250.00. On January 1, 1994, the base index value was reset to 125.00. The Nasdaq, Inc. ("Nasdaq") publishes the NDX. Current information regarding the market value of the NDX is available from Nasdaq, as well as numerous market information services.

The share weights of the component securities of the NDX at any time are based upon the total shares outstanding in each of those securities and are additionally subject, in certain cases, to rebalancing. Accordingly, each underlying stock's influence on the level of the NDX is directly proportional to the value of its share weight.

#### Index Calculation
At any moment in time, the level of the NDX equals the aggregate value of the then-current share weights of each of the component securities, which are based on the total shares outstanding of each such component security, multiplied by each such security's respective last sale price on The Nasdaq Stock Market (which may be the official closing price published by The Nasdaq Stock Market), and divided by a scaling factor (the "divisor"), which becomes the basis for the reported level of the NDX. The divisor serves the purpose of scaling such aggregate value to a lower order of magnitude, which is more desirable for reporting purposes.

#### Underlying Stock Eligibility Criteria and Annual Ranking Review
<u>Initial Eligibility Criteria</u>

To be eligible for initial inclusion in the NDX, a security must be listed on The Nasdaq Stock Market and meet the following criteria:

<br> • the security's U.S. listing must be exclusively on the Nasdaq Global Select Market or the Nasdaq Global Market (unless the security was dually listed on another U.S. market prior to January 1, 2004 and has continuously maintained that listing);

<br> • the security must be issued by a non-financial company;

<br> • the security may not be issued by an issuer currently in bankruptcy proceedings;

• the security must generally be a common stock, ordinary share, American Depositary Receipt, or tracking stock (closed-end funds, convertible debentures, exchange traded funds, limited liability companies, limited partnership interests, preferred stocks, rights, shares or units of beneficial interests, warrants, units and other derivative securities are not included in the NDX, nor are the securities of investment companies);

<br> • the security must have a three-month average daily trading volume of at least 200,000 shares;

• if the security is issued by an issuer organized under the laws of a jurisdiction outside the United States, it must have listed options on a recognized market in the United States or be eligible for listed-options trading on a recognized options market in the United States;

<br> • the issuer of the security may not have entered into a definitive agreement or other arrangement which would likely result in the security no longer being eligible;

<br> • the issuer of the security may not have annual financial statements with an audit opinion that is currently withdrawn; and

<br> • the security must have traded for at least three full calendar months, not including the month of initial listing, on an "eligible exchange," as determined under the index rules.

<u>Continued Eligibility Criteria</u>

In addition, to be eligible for continued inclusion in the NDX the following criteria apply:

<br> • the security's U.S. listing must be exclusively on the Nasdaq Global Select Market or the Nasdaq Global Market;

<br> • the security must be issued by a non-financial company;

<br> • the security may not be issued by an issuer currently in bankruptcy proceedings;

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<br> • the security must have an average daily trading volume of at least 200,000 shares in the previous three-month trading period as measured annually during the ranking review process described below;

• if the issuer of the security is organized under the laws of a jurisdiction outside the United States, then such security must have listed options on a recognized market in the United States or be eligible for listed-options trading on a recognized options market in the United States, as measured annually during the ranking review process;

<br> • the issuer of the security may not have entered into a definitive agreement or other arrangement that would likely result in the security no longer being eligible;

• the security must have an adjusted market capitalization equal to or exceeding 0.10% of the aggregate adjusted market capitalization of the NDX at each month-end. In the event that a company does not meet this criterion for two consecutive month-ends, it will be removed from the NDX effective after the close of trading on the third Friday of the following month; and

<br> • the issuer of the security may not have annual financial statements with an audit opinion that is currently withdrawn.

These eligibility criteria may be revised from time to time by Nasdaq without regard to the securities.

#### Annual Ranking Review
The component securities are evaluated on an annual basis (the "Ranking Review"), except under extraordinary circumstances, which may result in an interim evaluation, as follows. Securities that meet the applicable eligibility criteria are ranked by market value. Eligible securities that are already in the NDX and that are ranked in the top 100 eligible securities (based on market capitalization) are retained in the NDX. A security that is ranked 101 to 125 is also retained, provided that such security was ranked in the top 100 eligible securities as of the previous Ranking Review or was added to the NDX subsequent to the previous Ranking Review. Securities not meeting such criteria are replaced. The replacement securities chosen are those eligible securities not currently in the NDX that have the largest market capitalization. The data used in the ranking includes end of October market data and is updated for total shares outstanding submitted in a publicly filed SEC document via EDGAR through the end of November.

Replacements are made effective after the close of trading on the third Friday in December. Moreover, if at any time during the year other than the Ranking Review, a component security is determined by Nasdaq to become ineligible for continued inclusion in the NDX, the security will be replaced with the largest market capitalization security meeting the eligibility criteria listed above and not currently included in the NDX.

#### Index Maintenance
In addition to the Ranking Review, the securities in the NDX are monitored every day by Nasdaq with respect to changes in total shares outstanding arising from corporate events, such as stock dividends, stock splits and certain spin-offs and rights issuances. Nasdaq has adopted the following quarterly scheduled weight adjustment procedures with respect to those changes. If the change in total shares outstanding arising from a corporate action is greater than or equal to 10%, that change will be made to the NDX as soon as practical, normally within ten days of such corporate action. Otherwise, if the change in total shares outstanding is less than 10%, then all such changes are accumulated and made effective at one time on a quarterly basis after the close of trading on the third Friday in each of March, June, September and December.

In either case, the share weights for those component securities are adjusted by the same percentage amount by which the total shares outstanding have changed in those securities. Ordinarily, whenever there is a change in the share weights, a change in a component security, or a change to the price of a component security due to spin-off, rights issuances or special cash dividends, Nasdaq adjusts the divisor to ensure that there is no discontinuity in the level of the NDX that might otherwise be caused by any of those changes. All changes will be announced in advance.

#### Index Rebalancing
The NDX is rebalanced on a quarterly basis in March, June, September and December in accordance with Nasdaq's rules. Rebalance changes become effective after the close of trading on the third Friday in March, June, September and December. A special rebalance may be conducted at any time based on specified weighting restrictions if it is determined to be necessary to maintain the integrity of the underlying index.

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#### License Agreement
The Notes are not sponsored, endorsed, sold or promoted by Nasdaq, Inc. or its affiliates (Nasdaq, with its affiliates, are referred to as the "Corporations"). The Corporations have not passed on the legality or suitability of, or the accuracy or adequacy of descriptions and disclosures relating to, the Notes. The Corporations make no representation or warranty, express or implied to the owners of the Notes or any member of the public regarding the advisability of investing in securities generally or in the Notes particularly, or the ability of the NDX to track general stock market performance. The Corporations' only relationship to the Issuer ("Licensee") is in the licensing of the Nasdaq<sup>®</sup>, the NASDAQ-100 Index<sup>®</sup>, and certain trade names of the Corporations and the use of the NASDAQ-100 Index<sup>®</sup> which is determined, composed and calculated by Nasdaq without regard to Licensee or the Notes. Nasdaq has no obligation to take the needs of the Licensee or the owners of the Notes into consideration in determining, composing or calculating the NASDAQ-100 Index<sup>®</sup>. The Corporations are not responsible for and have not participated in the determination of the timing of, prices at, or quantities of the Notes to be issued or in the determination or calculation of the equation by which the Notes are to be converted into cash. The Corporations have no liability in connection with the administration, marketing or trading of the Notes.

**THE CORPORATIONS DO NOT GUARANTEE THE ACCURACY AND/OR UNINTERRUPTED CALCULATION OF NASDAQ-100 INDEX<sup>®</sup> OR ANY DATA INCLUDED THEREIN, THE CORPORATIONS MAKE NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY LICENSEE, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE NASDAQ-100 INDEX<sup>®</sup> OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE NASDAQ-100 INDEX<sup>®</sup> OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE CORPORATIONS HAVE ANY LIABILITY FOR ANY LOST PROFITS OR SPECIAL, INCIDENTAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.**

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#### Supplemental Plan of Distribution
JPMorgan Chase Bank, N.A., J.P. Morgan Securities LLC and its affiliates will act as placement agents for the Notes, and will not receive an underwriting discount. We or one of our affiliates will pay an expected fee to a broker-dealer that is unaffiliated with us for providing certain electronic platform services with respect to this offering.

We expect that delivery of the Notes will be made against payment for the Notes on or about February 24, 2023, which is more than two business days following the Pricing Date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, trades in the secondary market generally are required to settle in two business days, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade the Notes on any date prior to two business days before delivery will be required to specify alternative settlement arrangements to prevent a failed settlement.

In addition, RBCCM or another of its affiliates or agents may use this document in market-making transactions after the initial sale of the Notes, but is under no obligation to do so and may discontinue any market-making activities at any time without notice.

The value of the Notes shown on your account statement will be based on RBCCM's estimate of the value of the Notes if RBCCM or another of our affiliates were to make a market in the Notes (which it is not obligated to do). That estimate will be based upon the price that RBCCM may pay for the Notes in light of then prevailing market conditions, our creditworthiness and transaction costs. For a period of approximately six (6) months after the issue date of the Notes, the price shown on your account statement may initially be higher than RBCCM's estimated value of the Notes. This is because the estimated value of the Notes will reflect the reduction of our hedging costs and profits; however, the value of the Notes shown on your account statement during that period is expected to be a higher amount, reflecting the amortization of our estimated profit from hedging the Notes. After this period, if RBCCM repurchases your Notes, it expects to do so at prices that reflect its estimated value.

The Notes are our debt securities, the return on which is linked to the performance of the Index. As is the case for all of our debt securities, including our structured notes, the economic terms of the Notes reflect our actual or perceived creditworthiness at the time of pricing. In addition, because structured notes result in increased operational, funding and liability management costs to us, we typically borrow the funds under these Notes at a rate that is more favorable to us than the rate that we might pay for a conventional fixed or floating rate debt security of comparable maturity. This relatively lower implied borrowing rate, which is reflected in the economic terms of the Notes, along with the fees and expenses associated with structured notes, typically reduces the initial estimated value of the Notes at the time the terms of the Notes are set.

In order to satisfy our payment obligations under the Notes, we may choose to enter into certain hedging arrangements (which may include call options, put options or other derivatives) on the issue date with RBCCM or one of our other subsidiaries. The terms of these hedging arrangements take into account a number of factors, including our creditworthiness, interest rate movements, the volatility of the Index, and the tenor of the Notes. The economic terms of the Notes depend in part on the terms of these hedging arrangements.

The lower implied borrowing rate and the hedging-related costs relating to the Notes reduce the economic terms of the Notes to you and result in the initial estimated value for the Notes (estimated at the time the terms of the Notes are set) being less than their public offering price. See "Selected Risk Considerations—The Initial Estimated Value of the Notes Will Be Less than the Price to the Public" above.

#### U.S. Federal Tax Consequences
The following disclosure supplements, and to the extent inconsistent supersedes, the discussion in the product prospectus supplement under "Supplemental Discussion of U.S. Federal Income Tax Consequences."

In the opinion of our special U.S. tax counsel, Ashurst LLP, it would generally be reasonable to treat a Note with terms described herein as a pre-paid cash-settled derivative contract in respect of the Index for U.S. federal income tax purposes, and the terms of the Notes require a holder (in the absence of a change in law or an administrative or judicial ruling to the contrary) to treat the Notes for all tax purposes in accordance with such characterization. However, the U.S. federal income tax consequences of your investment in the Notes are uncertain and the Internal Revenue Service (the "IRS") could assert that the Notes should be taxed in a manner that is different from that described in the preceding sentence.

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Under Section 871(m) of the Code, a "dividend equivalent" payment is treated as a dividend from sources within the United States. Such payments generally would be subject to a 30% U.S. withholding tax if paid to a non-U.S. holder. Under U.S. Treasury Department regulations, payments (including deemed payments) with respect to equity-linked instruments ("ELIs") that are "specified ELIs" may be treated as dividend equivalents if such specified ELIs reference, directly or indirectly, an interest in an "underlying security," which is generally any interest in an entity taxable as a corporation for U.S. federal income tax purposes if a payment with respect to such interest could give rise to a U.S. source dividend. However, the IRS has issued guidance that states that the U.S. Treasury Department and the IRS intend to amend the effective dates of the U.S. Treasury Department regulations to provide that withholding on dividend equivalent payments will not apply to specified ELIs that are not delta-one instruments and that are issued before January 1, 2025. Based on our determination that the Notes are not delta-one instruments, non-U.S. holders should not be subject to withholding on dividend equivalent payments, if any, under the Notes. However, it is possible that the Notes could be treated as deemed reissued for U.S. federal income tax purposes upon the occurrence of certain events affecting the Index or the Notes (for example, upon the Index rebalancing), and following such occurrence the Notes could be treated as subject to withholding on dividend equivalent payments. Non-U.S. holders that enter, or have entered, into other transactions in respect of the Index or the Notes should consult their tax advisors as to the application of the dividend equivalent withholding tax in the context of the Notes and their other transactions. If any payments are treated as dividend equivalents subject to withholding, we (or the applicable withholding agent) would be entitled to withhold taxes without being required to pay any additional amounts with respect to amounts so withheld.

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