Filed Pursuant to Rule 433 Registration Statement No. 333-259205
The information in this preliminary terms supplement is not complete and may be changed.
Preliminary Terms Supplement Subject to Completion: Dated October 5, 2023 Pricing Supplement Dated October __, 2023 to the Product Prospectus Supplement No. CCBN-1 dated August 1, 2023, and the Prospectus Supplement and the Prospectus, Each Dated September 14, 2021			$ Auto-Callable Contingent Coupon Barrier Notes Linked to the Lesser Performing of One Index and Two Exchange Traded Funds, due October 15, 2026 Royal Bank of Canada

Reference Assets		Initial Levels		Coupon Barriers		Trigger Levels
Nasdaq-100 Index® (“NDX”)				55% of its Initial Level		50% of its Initial Level
VanEck® Gold Miners ETF ("GDX")				55% of its Initial Level		50% of its Initial Level
iShares® Silver Trust ("SLV")				55% of its Initial Level		50% of its Initial Level

Issuer:	Royal Bank of Canada	Stock Exchange Listing:	None
Trade Date:	October 12, 2023	Principal Amount:	$1,000 per Note
Issue Date:	October 17, 2023	Maturity Date:	October 15, 2026
Call Observation Dates:	Quarterly, as set forth below.	Coupon Payment Dates:	Monthly, as set forth below.
Valuation Date:	October 12, 2026	Contingent Coupon Rate:	12.00% per annum
Contingent Coupon:	If the Notes have not been previously called and the Observation Level of each Reference Asset is greater than or equal to its Coupon Barrier on the applicable Coupon Observation Date, we will pay the Contingent Coupon applicable to that Coupon Observation Date. You may not receive any Contingent Coupons during the term of the Notes.
Payment at Maturity (if held to maturity):	If the Notes are not previously called, the investor will receive at maturity, for each $1,000 in principal amount: •    If the Final Level of the Lesser Performing Reference Asset is greater than or equal to its Coupon Barrier, $1,000 plus the Contingent Coupon due at maturity. •    If the Final Level of the Lesser Performing Reference Asset is greater than or equal to its Trigger Level but is less than its Coupon Barrier, $1,000 (the investor will not receive the Contingent Coupon at maturity). •    If the Final Level of the Lesser Performing Reference Asset is less than its Trigger Level, a cash payment equal to: $1,000 + ($1,000 x Percentage Change of the Lesser Performing Reference Asset) In this case, investors will lose some or all of the principal amount and will not receive the Contingent Coupon at maturity.
Lesser Performing Reference Asset:	The Reference Asset with the lowest Percentage Change.
Percentage Change:	Expressed as a percentage for each Reference Asset, as an amount equal to the quotient of (a) its Final Level minus its Initial Level divided by (b) its Initial Level
Call Feature:	If, on any quarterly Call Observation Date beginning on October 14, 2024, the Observation Level of each Reference Asset is greater than or equal to its Initial Level, then the Notes will be automatically called, for 100% of the principal amount plus the related Contingent Coupon.
Observation Level:	For the NDX, its closing level, and for the GDX and the SLV, its closing price, on any Coupon Observation Date.
Final Level:	For the NDX, its closing level, and for the GDX and the SLV, its closing price, on the Valuation Date.
CUSIP:	78016NT49

	Per Note		Total
Price to public(1)	100.00%		$
Underwriting discounts and commissions(1)	0.50%		$
Proceeds to Royal Bank of Canada	99.50%		$

General:	This terms supplement relates to an offering of Auto-Callable Contingent Coupon Barrier Notes (the “Notes”) linked to the lesser performing of the following (each, a “Reference Asset,” and collectively, the “Reference Assets”): (i) Nasdaq-100® Index (the “NDX”); (ii) VanEck® Gold Miners ETF ("GDX"); and (iii) iShares® Silver Trust ("SLV"). We refer to the NDX as the "Index." See “Additional Terms Relating to the Index” below, which relates to the NDX.
Issuer:	Royal Bank of Canada (the “Bank”)
Trade Date:	October 12, 2023
Issue Date:	October 17, 2023
Valuation Date:	October 12, 2026
Maturity Date:	October 15, 2026
Denominations:	Minimum denomination of $1,000, and integral multiples of $1,000 thereafter.
Contingent Coupon:	We will pay you a Contingent Coupon during the term of the Notes, periodically in arrears on each Coupon Payment Date, under the conditions described below: •    If the Observation Level of each Reference Asset is greater than or equal to its Coupon Barrier on the applicable Coupon Observation Date, we will pay the Contingent Coupon applicable to that Coupon Observation Date. •    If the Observation Level of any of the Reference Assets is less than its Coupon Barrier on the applicable Coupon Observation Date, we will not pay you the Contingent Coupon applicable to that Coupon Observation Date. You may not receive a Contingent Coupon for one or more monthly periods during the term of the Notes.
Contingent Coupon Rate:	12.00% per annum (1.00% per month)

Key Dates:

The Coupon Observation Dates and Coupon Payment Dates will occur monthly, and the Call Observation Dates and Call Settlement Dates will occur quarterly, as set forth below:

Record Dates:

The record date for each Coupon Payment Date will be one business day prior to that scheduled Coupon Payment Date; provided, however, that any Contingent Coupon payable at maturity or upon a call will be payable to the person to whom the payment at maturity or upon the call, as the case may be, will be payable.

Call Feature:	If, on any quarterly Call Observation Date beginning in October 2024, the Observation Level of each Reference Asset is greater than or equal to its Initial Level, then the Notes will be automatically called.
Payment if Called:	If the Notes are automatically called, then, on the applicable Call Settlement Date, for each $1,000 principal amount, you will receive $1,000 plus the Contingent Coupon otherwise due on that Call Settlement Date.
Call Settlement Dates:	If the Notes are called on any Call Observation Date beginning in October 2024, the Call Settlement Date will be the Coupon Payment Date corresponding to that Call Observation Date.
Initial Level:	For the NDX, its closing level, and for the GDX and the SLV, its closing price, on the Trade Date.
Final Level:	For the NDX, its closing level, and for the GDX and the SLV, its closing price, on the Valuation Date.
Observation Level:	For the NDX, its closing level, and for the GDX and the SLV, its closing price, on any Coupon Observation Date.
Coupon Barrier:	For each Reference Asset, 55% of its Initial Level.
Trigger Level:	For each Reference Asset, 50% of its Initial Level.
Payment at Maturity (if not previously called and held to maturity):	If the Notes are not previously called, the investor will receive at maturity, for each $1,000 in principal amount: •         If the Final Level of the Lesser Performing Reference Asset is greater than or equal to its Coupon Barrier, $1,000 plus the Contingent Coupon due at maturity. •         If the Final Level of the Lesser Performing Reference Asset is greater than or equal to its Trigger Level but is less than its Coupon Barrier, $1,000 (the investor will not receive the Contingent Coupon at maturity). •         If the Final Level of the Lesser Performing Reference Asset is less than its Trigger Level, a cash payment equal to: $1,000 + ($1,000 x Percentage Change of the Lesser Performing Reference Asset) In this case, investors will lose some or all of their principal amount and will not receive the Contingent Coupon at Maturity.
Stock Settlement:	Not applicable. Payments on the Notes will be made solely in cash.
Percentage Change:	With respect to each Reference Asset: Final Level – Initial Level Initial Level
Lesser Performing Reference Asset:	The Reference Asset with the lowest Percentage Change.
Market Disruption Events:	The occurrence of a market disruption event (or a non-trading day) as to any of the Reference Assets will result in the postponement of a Coupon Observation Date, a Call Observation Date or the Valuation Date as to that Reference Asset, as described in the product prospectus supplement, but not to any non-affected Reference Asset.
Calculation Agent:	RBC Capital Markets, LLC (“RBCCM”)

U.S. Tax Treatment:	By purchasing a Note, each holder agrees (in the absence of a change in law, an administrative determination or a judicial ruling to the contrary) to treat the Notes as a callable pre-paid cash-settled contingent income-bearing derivative contract linked to the Reference Assets for U.S. federal income tax purposes. However, the U.S. federal income tax consequences of your investment in the Notes are uncertain and the Internal Revenue Service could assert that the Notes should be taxed in a manner that is different from that described in the preceding sentence. Please see the section below, “Supplemental Discussion of U.S. Federal Income Tax Consequences,” and the discussion (including the opinion of our special U.S. tax counsel, Ashurst LLP) in the product prospectus supplement dated August 1, 2023 under “Supplemental Discussion of U.S. Federal Income Tax Consequences,” which apply to the Notes.
Secondary Market:	RBCCM (or one of its affiliates), though not obligated to do so, may maintain a secondary market in the Notes after the issue date. The amount that you may receive upon sale of your Notes prior to maturity may be less than the principal amount of your Notes.
Listing:	The Notes will not be listed on any securities exchange.
Clearance and Settlement:	DTC global (including through its indirect participants Euroclear and Clearstream, Luxembourg as described under “Ownership and Book-Entry Issuance” in the prospectus dated September 14, 2021).
Terms Incorporated in the Master Note:	All of the terms appearing on the cover page and above the item captioned “Secondary Market” in this section and the terms appearing under the caption “General Terms of the Notes” in the product prospectus supplement, as modified by this terms supplement.

	Hypothetical Initial Level (for each Reference Asset):	100*
	Hypothetical Coupon Barrier and Trigger Level:	55 and 50, which is 55% and 50%, respectively, of the hypothetical Initial Level of the Lesser Performing Reference Asset
	Contingent Coupon Rate:	12.00% per annum (or 1.00% per month)
	Contingent Coupon Amount:	$10.00 per month
	Observation Dates:	Monthly
	Principal Amount:	$1,000 per Note

Hypothetical Final Level of the Lesser Performing Reference Asset	Payment at Maturity as Percentage of Principal Amount	Payment at Maturity (assuming that the Notes were not previously called)
140.00	101.00%	$1,010.00*
130.00	101.00%	$1,010.00*
120.00	101.00%	$1,010.00*
110.00	101.00%	$1,010.00*
100.00	101.00%	$1,010.00*
90.00	101.00%	$1,010.00*
80.00	101.00%	$1,010.00*
70.00	101.00%	$1,010.00*
60.00	101.00%	$1,010.00*
55.00	101.00%	$1,010.00*
52.50	100.00%	$1,000.00
50.00	100.00%	$1,000.00
49.99	49.99%	$499.90
40.00	40.00%	$400.00
25.00	25.00%	$250.00
10.00	10.00%	$100.00
0.00	0.00%	$0.00

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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 there is a decline in the value of the Lesser Performing Reference Asset between the Trade Date and the Valuation Date. If the Notes are not automatically called and the Final Level of the Lesser Performing Reference Asset is less than its Trigger Level, the amount of cash that you receive at maturity will represent a loss of your principal that is proportionate to the decline in the value of the Lesser Performing Reference Asset from the Trade Date to the Valuation Date. Any Contingent Coupons received on the Notes prior to the Maturity Date may not be sufficient to compensate for any such loss.

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The Payments on the Notes Are Limited — The payments on the Notes will be limited to the Contingent Coupons. Accordingly, your return on the Notes may be less than your return would be if you made an investment in the Reference Assets, the securities included in the Reference Assets, or in a security directly linked to the positive performance of the Reference Assets.

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The Notes Are Subject to an Automatic Call — If on any quarterly Call Observation Date beginning in October 2024, the Observation Level of each Reference Asset is greater than or equal to its Initial Level, then the Notes will be automatically called. If the Notes are automatically called, then, on the applicable Call Settlement Date, for each $1,000 in principal amount, you will receive $1,000 plus the Contingent Coupon otherwise due on the applicable Call Settlement Date. You will not receive any Contingent Coupons after that payment. You may be unable to reinvest your proceeds from the automatic call in an investment with a return that is as high as the return on the Notes would have been if they had not been called.

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You May Not Receive Any Contingent Coupons — We will not necessarily make any Contingent Coupons on the Notes. If the Observation Level of any of the Reference Assets on a Coupon Observation Date is less than its Coupon Barrier, we will not pay you the Contingent Coupon applicable to that Coupon Observation Date. If the Observation Level of any of the Reference Assets is less than its Coupon Barrier on each of the Coupon Observation Dates and on the Valuation Date, we will not pay you any Contingent Coupons during the term of, and you will not receive a positive return on your Notes. Generally, this non-payment of the Contingent Coupon may coincide with a period of greater risk of principal loss on your Notes. Accordingly, if we do not pay the Contingent Coupon on the Maturity Date, you will also incur a loss of principal, if the Final Level of the Lesser Performing Reference Asset is less than its Trigger Level.

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The Notes Are Linked to the Lesser Performing Reference Asset, Even if the Other Reference Assets Perform Better — If any of the Reference Assets has a Final Level that is less than its Trigger Level, your return will be linked to the lesser performing of the three Reference Assets. Even if the Final Level of the other Reference Assets have increased compared to its respective Initial Level, or has experienced a decrease that is less than that of the Lesser Performing Reference Asset, your return will only be determined by reference to the performance of the Lesser Performing Reference Asset, regardless of the performance of the other Reference Assets.

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Your Payment on the Notes Will Be Determined by Reference to Each Reference Asset Individually, Not to a Basket, and the Payment at Maturity Will Be Based on the Performance of the Lesser Performing Reference Asset — The Payment at Maturity will be determined only by reference to the performance of the Lesser Performing Reference Asset, regardless of the performance of the other Reference Assets. The Notes are not linked to a weighted basket, in which the risk may be mitigated and diversified among each of the basket components. For example, in the case of notes linked to a weighted basket, the return would depend on the weighted aggregate performance of the basket components reflected as the basket return. As a result, the

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The Call Feature and the Contingent Coupon Feature Limit Your Potential Return — The return potential of the Notes is limited to the pre-specified Contingent Coupon Rate, regardless of the appreciation of the Reference Assets. In addition, the total return on the Notes will vary based on the number of Coupon Observation Dates on which the Contingent Coupon becomes payable prior to maturity or an automatic call. Further, if the Notes are called due to the Call Feature, you will not receive any Contingent Coupons or any other payment in respect of any Coupon Observation Dates after the applicable Call Settlement Date. Since the Notes could be called as early as the Coupon Observation Date occurring in October 2024, the total return on the Notes could be minimal. If the Notes are not called, you may be subject to the full downside performance of the Lesser Performing Reference Asset even though your potential return is limited to the Contingent Coupon Rate. As a result, the return on an investment in the Notes could be less than the return on a direct investment in the Reference Assets.

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Your Return on the Notes May Be Lower than the Return on a Conventional Debt Security of Comparable 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 purchased one of our conventional senior interest bearing debt securities.

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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 any Contingent Coupons, if payable, and the amount due on any relevant payment date is dependent upon our ability to repay our obligations on the applicable payment dates. This will be the case even if the values of the Reference Assets increase after the Trade Date. No assurance can be given as to what our financial condition will be at any time during the term of the Notes.

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You Will Not Have Any Rights to the Shares of the GDX or the SLV or the Assets Held by those Reference Assets or Represented by the NDX – As a holder of the Notes, you will not have voting rights that holders of the shares of the GDX or the SLV or the assets held by the GDX or represented by the NDX would have, or rights to receive cash dividends or other distributions or other rights that holders of the shares of the GDX or the assets held by the GDX or represented by the NDX would have. The Final Level of the GDX and the NDX will not reflect any dividends paid on the securities held by or included in such Reference Assets, and accordingly, any positive return on the Notes may be less than the potential positive return on those securities.

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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 of our other affiliates may stop any market-making activities at any time. Even if a secondary market for the Notes develops, it may not provide significant liquidity or trade at prices advantageous to you. We expect that transaction costs in any secondary market would be high. As a result, the difference between bid and asked prices for your Notes in any secondary market could be substantial.

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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 on the cover page of the final pricing supplement for the Notes will 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 values of the Reference Assets, the borrowing rate we pay to issue securities of this kind, and the inclusion in the price to the public of the underwriting discount, the referral fee and the estimated costs relating to

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The Initial Estimated Value of the Notes Set Forth on the Cover Page of the Final Pricing Supplement Will Be an Estimate Only, Calculated as of the Time the Terms of the Notes Are Set — The initial estimated value of the Notes will be based on the value of our obligation to make the payments on the Notes, together with the mid-market value of the derivative embedded in the terms of the Notes. See “Structuring the Notes” below. Our estimate will be based on a variety of assumptions, including our credit spreads, expectations as to dividends, interest rates and volatility, and the expected term of the Notes. These assumptions are based on certain forecasts about future events, which may prove to be incorrect. Other entities may value the Notes or similar securities at a price that is significantly different than we do.

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Our Business Activities May Create Conflicts of Interest — We and our affiliates expect to engage in trading activities related to the Reference Assets that are not for the account of holders of the Notes or on their behalf. These trading activities may present a conflict between the holders’ interests in the Notes and the interests we and our affiliates will have in their proprietary accounts, in facilitating transactions, including options and other derivatives transactions, for their customers and in accounts under their management. These trading activities, if they influence the values of the Reference Assets, could be adverse to the interests of the holders of the Notes. We and one or more of our affiliates may, at present or in the future, engage in business with companies represented by the Reference Assets, including making loans to or providing advisory services. These services could include investment banking and merger and acquisition advisory services. These activities may present a conflict between our or one or more of our affiliates’ obligations and your interests as a holder of the Notes. Moreover, we, and our affiliates may have published, and in the future expect to publish, research reports with respect to the Reference Assets. This research is modified from time to time without notice and may express opinions or provide recommendations that are inconsistent with purchasing or holding the Notes. Any of these activities by us or one or more of our affiliates may affect the values of the Reference Assets, and therefore, the market value of the Notes.

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An Investment in the Notes Is Subject to Risks Associated with the Gold and Silver Mining Industries — All or substantially all of the stocks held by the GDX are issued by gold or silver mining companies. As a result, the stocks that will determine the performance of the GDX are concentrated in one sector. Although an investment in the Notes will not give holders any ownership or other direct interests in the stocks held by the GDX, the return on the Notes will be subject to certain risks associated with a direct equity investment in gold or silver mining companies.

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The Notes Are Subject to Exchange Rate Risk — Because certain securities held by the GDX are traded in currencies other than U.S. dollars, and the Notes are denominated in U.S. dollars, the amounts payable on the Notes may be exposed to fluctuations in the exchange rate between the U.S. dollar and each of the currencies in which those securities are denominated. These changes in exchange rates may reflect changes in various non-U.S. economies that in turn may affect the payment on the Notes at maturity. An investor’s net exposure will depend on the extent to which the currencies in which the relevant securities are denominated either strengthen or weaken against the U.S. dollar and the relative weight of each security.

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The GDX and its Underlying Index Are Different — The performance of the GDX may not exactly replicate the performance of its underlying index ("Underlying Index"), because the GDX will reflect transaction costs and fees that are not included in the calculation of its Underlying Index. It is also possible that the performance of the GDX may not fully replicate or may in certain circumstances diverge significantly from the performance of its Underlying Index due to the temporary unavailability of certain securities in the secondary market, the performance of any derivative instruments contained in the GDX, or due to other circumstances. The GDX may use futures contracts, options, swap agreements, currency forwards and repurchase agreements in seeking performance that corresponds to its Underlying Index and in managing cash flows.

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Adjustments to the GDX Could Adversely Affect the Notes — The investment adviser of the GDX (the “GDX Adviser”), is responsible for calculating and maintaining the GDX. The GDX Adviser can add, delete or substitute the stocks comprising the GDX. The GDX Adviser may make other methodological changes that could change the share price of the GDX at any time. Any of these actions could adversely affect the amounts payable and/or the market value of the Notes.

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The GDX Is Subject to Management Risk — The GDX is subject to management risk, which is the risk that the GDX Adviser's investment strategy, the implementation of which is subject to a number of constraints, may not produce the intended results. For example, the GDX Adviser may invest a portion of the GDX's assets in securities

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Changes that Affect the GDX's Underlying Index Will Affect the Market Value of the Notes and the Amount You Will Receive at Maturity — The policies of the sponsor of the Underlying Index (the “Underlying Index Sponsor”), concerning the calculation of the Underlying Index, additions, deletions or substitutions of the components of the Underlying Index and the manner in which changes affecting those components, such as stock dividends, reorganizations or mergers, may be reflected in the Underlying Index and, therefore, could affect the share price of the GDX, the amounts payable on the Notes, and the market value of the Notes prior to maturity. The amounts payable on the Notes and their market value could also be affected if the Underlying Index Sponsor changes these policies, for example, by changing the manner in which it calculates the Underlying Index, or if the Underlying Index Sponsor discontinues or suspends the calculation or publication of the Underlying Index.

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The Price of the SLV Is Linked Closely to the Price of Silver, Which May Change Unpredictably and Affect the Value of the Notes In Unforeseeable Ways — The SLV attempts to mirror as closely as possible, before fees and expenses, the performance of the price of silver. As a result, the value of the SLV relates directly to the value of silver. Investments in securities linked to the price of a single commodity such as SLV may be considered speculative. The market for silver is generally subject to temporary distortions or other disruptions due to various factors, including a lack of liquidity in the markets, the participation of speculators, and government regulation and intervention.

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Investing in the Notes Linked to the SLV Is Not the Same as Investing Directly in Silver — The performance of the SLV may not fully replicate the price of silver due to the fees and expenses charged by the SLV, restrictions on access to silver or other circumstances. The SLV does not generate any income, and as the SLV regularly sells its asset to pay for its ongoing expenses, the amount of asset represented by the SLV may gradually decline over time. The SLV sells its asset to pay expenses on an ongoing basis irrespective of whether the trading price of its asset rises or falls in response to changes in the price of its asset. The sale of the SLV’s asset to pay expenses at a time of low asset prices could adversely affect the value of the SLV. Additionally, there is a risk that part or all of the SLV’s asset could be lost, damaged or stolen due to war, terrorism, theft, natural disaster or otherwise.

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Changes in the Methodology Used to Calculate the Silver Spot Price or Changes in Laws or Regulations Which Affect the Price of Silver May Affect the Value of the Notes — The London Bullion Market Association (the “LBMA”) sets the fixing of and silver (the "silver spot price") used to determine the value of silver held by the SLV, and may adjust the determination of the silver spot price in a way that adversely affects the value of the Notes. In setting these prices, the LBMA has no obligation to consider your interests. The LBMA may from time to time change any rule or bylaw or take emergency action under its rules, any of which could affect the silver spot price. Any change of this kind could cause a decrease in the silver spot price, which would adversely affect the value of the Notes.

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There Are Risks Associated with the LBMA Silver Price — The silver held by the SLV is valued based upon the “LBMA Silver Price”. The LBMA Silver Price is a silver price benchmark mechanism administered by ICE Benchmark Administration (“IBA”), an independent specialist benchmark administrator appointed by London Bullion Market Association. These prices are determined using an electronic auction. Electronic markets are not exempt from failures. In addition, electronic trading platforms may be subject to influence by high-frequency traders with results that are highly contested by the industry, regulators and market observers. It is possible that electronic failures or other unanticipated events may occur that could result in delays in the announcement of, or the inability of the system to produce, an LBMA Silver Price on any given day. Furthermore, if a perception were to develop that these prices are vulnerable to manipulation attempts, or if the proceedings surrounding the determination and publication of these prices were seen as unfair, biased or otherwise compromised by the markets, the behavior of investors and traders in silver may change, and those changes may have an effect on the price of silver (and, consequently, the value of the SLV). In any of these circumstances, the intervention of extraneous events disruptive of the normal interaction of supply and demand of silver at any given time, may result in distorted prices and losses in value of the SLV that, but for such extraneous events, might not have occurred. The LBMA may alter, discontinue or suspend calculation or dissemination of the LBMA Silver Price, which could adversely affect the value of the Notes. The LBMA, or an independent service provider appointed by the LBMA, will have no obligation to consider your interests in calculating or revising the LBMA Silver Price. All of these factors could adversely affect the price the SLV and, therefore, the return on the Notes.

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Single Commodity Prices Tend to Be More Volatile Than, and May Not Correlate with, the Prices of Commodities Generally — The SLV holds silver and not a diverse basket of commodities or components of a broad-based commodity index. The SLV’s asset may not correlate to the price of commodities generally and may diverge significantly from the prices of commodities generally. As a result, the Notes carry greater risk and may be more volatile than a security linked to the prices of more commodities or a broad-based commodity index.

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Adjustments to the SLV Could Adversely Affect the Notes — The sponsor of the SLV is responsible for calculating and maintaining the SLV. The sponsor can take actions to can add, delete or substitute the assets held by the SLV. The sponsor may make other methodological changes that could change the share price of the SLV at any time. Any of these actions could adversely affect the amounts payable and/or the market value of the Notes.

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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. 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 requirements imposed by their respective regulators.

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We and Our Affiliates Do Not Have Any Affiliation with the GDX Adviser, the Underlying Index Sponsor, the Sponsor of the SLV or the Sponsor of the NDX and Are Not Responsible for Their Public Disclosure of Information — We and our affiliates are not affiliated with the GDX Adviser, the Underlying Index Sponsor, the sponsor of the SLV or the sponsor of the NDX in any way and have no ability to control or predict their actions, including any errors in or discontinuance of disclosure regarding the methods or policies relating to the GDX, the Underlying Index, the SLV or the NDX. None of the GDX Adviser, the Underlying Index Sponsor, the sponsor of the SLV or the sponsor of the NDX are involved in the offering of the Notes in any way or have any obligation to consider your interests as an owner of the Notes in taking any actions relating to their respective Reference Asset or the Underlying Index that might affect the value of the Notes. Neither we nor any of our affiliates has independently verified the adequacy or accuracy of the information about the GDX Adviser, the Underlying Index Sponsor, the sponsor of SLV or the sponsor of the NDX or their respective Reference Asset or the Underlying

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The Payments on the Notes Are Subject to Postponement Due to Market Disruption Events and Adjustments – The payment at maturity, each Coupon Observation Date, each Call Observation Date 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 and “Additional Terms Relating to the Index” below.

(1)

the weight of any single component security may not account for more than 20% of the total value of the Underlying Index;

(2)

the component securities are split into two subgroups – large and small, which are ranked by market capitalization weight in the Underlying Index. Large securities are defined as having a starting index weight greater than or equal to 5%. Small securities are defined as having a starting index weight below 5%; and

(3)

the final aggregate weight of those component securities which individually represent more than 4.5% of the total value of the Underlying Index may not account for more than 45% of the total index value.

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the security’s U.S. listing must be exclusively on the Nasdaq Global Select Market or the Nasdaq Global Market;

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the security must be issued by a non-financial company;

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the security may not be issued by an issuer currently in bankruptcy proceedings;

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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);

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

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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;

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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;

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

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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. A security that was added to the index as the result of a spin-off event will be exempt from this requirement.

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the security’s U.S. listing must be exclusively on the Nasdaq Global Select Market or the Nasdaq Global Market;

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the security must be issued by a non-financial company;

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the security may not be issued by an issuer currently in bankruptcy proceedings;

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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;

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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;

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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;

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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;

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the security that was added to the NDX as the result of a spin-off event has an adjusted market capitalization below 0.10% of the aggregated adjusted market capitalization of the NDX at the end of its second day of regular way trading as an NDX member; and

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

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a suspension, absence or limitation of trading in index components constituting 20% or more, by weight, of that index;

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a suspension, absence or limitation of trading in futures or options contracts relating to that index on their respective markets;

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any event that disrupts or impairs, as determined by the Calculation Agent, the ability of market participants to (i) effect transactions in, or obtain market values for, index components constituting 20% or more, by weight, of that index, or (ii) effect transactions in, or obtain market values for, futures or options contracts relating to that index on their respective markets;

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the closure on any day of the primary market for futures or options contracts relating to that index or index components constituting 20% or more, by weight, of that index on a scheduled trading day prior to the scheduled weekday closing time of that market (without regard to after hours or any other trading outside of the regular trading session hours) unless such earlier closing time is announced by the primary market at least one hour prior to the earlier of (i) the actual closing time for the regular trading session on such primary market on such scheduled trading

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any scheduled trading day on which (i) the primary markets for index components constituting 20% or more, by weight, of that index or (ii) the exchanges or quotation systems, if any, on which futures or options contracts on that index are traded, fails to open for trading during its regular trading session; or

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any other event, if the Calculation Agent determines that the event interferes with our ability or the ability of any of our affiliates to unwind all or a portion of a hedge with respect to the Notes that we or our affiliates have effected or may effect.

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