Defined Outcome Trust: Large Cap Buffer 15 Portfolio Series 3

The Trust’s strategy has been specifically designed to produce outcomes based upon the Reference Asset’s performance over the duration of the outcome period. The outcomes may only be realized if you hold units on the first day of the offering period and continue to hold them on the last day of the Trust’s existence (the “Mandatory Termination Date”), which will be on or about February 2, 2024. Excluding any estimated Trust fees and expenses (including sales fees), the range of intended possible returns is capped at a maximum return of 24.93% of the Reference Asset’s Initial RA Value (defined below), and the potential losses are buffered so that the first 15% of losses are not realized. As a result, excluding fees and expenses, the Trust is designed so that losses are limited to a maximum loss of 85% of the Initial RA Value. The maximum return and loss of the Reference Asset are based on the performance at the Option Expiration Date and are not an annualized rate of return. The annualized maximum return is 10.69% and 9.48% for a Fee Account and Standard Account (as defined under “Understanding Your Investment–How to Buy Units–Advisory and Fee Accounts”), respectively, after estimated Trust fees and expenses. There is no assurance the Trust will achieve its objective and investment in units of the Trust has the potential for the loss of some or all of your original investment. Unitholders who redeem units prior to the Trust’s Mandatory Termination Date may realize a loss on their investment even when the price of the Reference Asset is higher than the Initial RA Value.

The Trust seeks to achieve its objective by utilizing an investment strategy that involves (i) purchasing and writing “put” and “call” Flexible Exchange^® Options entitling the Trust to purchase or sell shares of the Reference Asset (“FLEX Options”) scheduled to expire on January 31, 2024 (the “Option Expiration Date”); and (ii) holding cash to pay for fees and expenses of the Trust. Under normal circumstances, the Trust will invest at least 80% of the value of its assets in the economic equivalent of large-capitalization securities, as represented by FLEX Options that entitle the Trust to purchase or sell shares of the Reference Asset. On the Trust’s inception date, the Trust will deposit the exchange-traded FLEX Options and cash in the amounts set forth in the “Trust Portfolio.” The FLEX Options are European-style options, which means that they will be exercisable at the strike price only on the Option Expiration Date.

The Trust seeks to provide unitholders that hold their units over the entire outcome period with a return that is based upon the return of the Reference Asset minus estimated Trust fees and expenses, which include all sales fees. The return is based on the price performance of the Reference Asset as of an intraday price on the Trust’s inception date (the “Initial RA Value”) through the Option Expiration Date. The Trust is designed to provide a percentage return per unit based upon the percentage increase or decrease in the price of the Reference Asset relative to the Initial RA Value subject to applicable caps and buffers.

The potential returns received by unitholders that purchase their units on the inception date and hold them until the Mandatory Termination Date will be reduced by the estimated fees and expenses of the Trust, which include the applicable sales fees. For Fee Account and Standard Account Unitholders, those fees and expenses (including sales fees and excluding transaction costs and extraordinary expenses) are estimated to be at a maximum of 2.41% and 5.07%, respectively, for the life of the Trust. As a result, a unitholder’s returns and applicable caps and buffers will be impacted, whether the unitholder purchases units through a Fee Account or Standard Account. Accordingly, for units purchased on the inception date, estimated returns of the Trust (after estimated fees and expenses and excluding transaction costs and extraordinary expense) are capped at 22.52% and 19.86%, respectively, for Fee Account and Standard Account unitholders. These potential returns are equal to 10.69% and 9.48% annualized returns for Fee Accounts and Standard Accounts.

In addition, for both Fee Accounts and Standard Accounts, if the Reference Asset’s return over the outcome period is negative, the Trust is designed so that the potential losses are buffered whereby the first 15% of losses are not realized by the Trust. As a result, the Trust is designed so that: (i) if the return of the Reference Asset is between 0 and -15% over the outcome period, unitholders will receive a percentage return of 0% minus the fees and expenses of the Trust (including sales fees); or (ii) if the return of the Reference Asset is between -15% and -100% over the outcome period, unitholders will receive a percentage loss equal to the loss of the Reference Asset over the outcome period, adjusted by the 15% buffer, and minus the fees and expenses of the Trust (including sales fees).

Please note that if a unitholder redeems their units before the Mandatory Termination Date, that unitholder may not receive these targeted returns and may lose money even if the performance of the Reference Asset has increased. Additionally, please note that unitholders that purchase units at prices above the unit price at inception will have a maximum return that is less than the capped return over the life of the Trust and less than the maximum annualized return.

Market Scenario Illustrations

The Trust seeks to provide payouts net of all estimated Trust fees and expenses (including sales fees and excluding transaction costs and extraordinary expenses) based on the price performance of the Reference Asset for units purchased at the Trust’s inception date and held until the Mandatory Termination Date as follows:

• If at the close of the New York Stock Exchange on the Option Expiration Date the price of the Reference Asset (the “RA Price”) is greater than or equal to $557.64 (124.93% of the Initial RA Value) (the “Cap”), the proceeds from the FLEX Options are intended to be approximately $12.49 per unit. This equates to a Fee Account return of approximately 22.52% or a Standard Account return of approximately 19.86%, which represents a maximum capped return.
• If at the close of the New York Stock Exchange on the Option Expiration Date the RA Price is between $446.36 and $557.64 (100% to 124.93% of the Initial RA Value), the proceeds from the FLEX Options are intended to be between approximately $10.00 and $12.49 per unit. This equates to a Fee Account return of approximately -1.93% to 22.52% or a Standard Account return of approximately -4.06% to 19.86%.
• If at the close of the New York Stock Exchange on the Option Expiration Date the RA Price is between $379.41 and $446.36 (85% to 100% of the Initial RA Value), the proceeds from the FLEX Options are intended to be approximately $10.00 per unit. This equates to a Fee Account loss of approximately -1.93% or a Standard Account loss of approximately -4.06%.
• If at the close of the New York Stock Exchange on the Option Expiration Date the RA Price is less than $379.41 (85% of the Initial RA Value) the proceeds from the FLEX Options are intended to be between approximately $1.50 and $10.00 per unit. This equates to a Fee Account loss of approximately -85.29% to - 1.93% or a Standard Account loss of approximately -85.61% to -4.06%.

The Trust may outperform the Reference Asset (minus the fees and expenses of the Trust) if the Reference Asset’s price has decreased by between 0% and -100% as of the Option Expiration Date. Alternatively, because of the Cap and applicable fees and expenses of the Trust, the Trust will underperform the Reference Asset if the Reference Asset’s price has increased as of the Option Expiration Date.

The potential returns provided above are based on a range of assumptions, including estimated expenses. Any returns will be negatively affected by any portfolio transaction fees and extraordinary expenses incurred by the Trust.

Assets Held by the Trust

The FLEX Options. The Trust’s portfolio holds FLEX Options referred to as the “Purchased Call Options,” “Purchased Put Options,” “Written Call Options” and “Written Put Options”. The Purchased Put Options and Purchased Call Options together constitute the “Purchased Options.” The Written Call Options and Written Put Options constitute the “Written Options.”

FLEX Options provide investors with the ability to customize assets and indices referenced by the options, exercise prices, exercise styles and expiration dates, while achieving price discovery in competitive, transparent auctions markets and avoiding the counterparty exposure of over-the-counter option positions. The FLEX Options are European-style options, which means that they will be exercisable at the strike price only on the Option Expiration Date. FLEX Options are standard listed option contracts available through national securities exchanges that are guaranteed for settlement by the Options Clearing Corporation (the “OCC”), a market clearinghouse. The FLEX Options are listed on the Chicago Board Options Exchange (the “CBOE”). The Trust is designed so that any amount owed by the Trust on the Written Options will be covered by payouts at expiration from the Purchased Options. The Trust receives premiums in exchange for the Written Options and pays premiums in exchange for the Purchased Options. The OCC and CBOE do not charge ongoing fees to writers or purchasers of the FLEX Options during their life for continuing to hold the option contracts. As a result, the Written Options will be fully covered and no additional collateral will be necessary during the life of the Trust.

The OCC guarantees performance by each of the counterparties to the FLEX Options, becoming the “buyer for every seller and the seller for every buyer,” thereby protecting clearing members and options traders from counterparty risk. Subject to determination by the Securities Committee of the OCC, adjustments may be made to the FLEX Options for certain events (collectively, “Corporate Actions”) specified in the OCC’s bylaws and rules such as: certain stock dividends or distributions, stock splits, reverse stock splits, rights offerings, distributions, reorganizations, recapitalizations, or reclassifications with respect to an underlying security, or a merger, consolidation, dissolution or liquidation of the issuer of the underlying security. According to the OCC’s by-laws, the nature and extent of any such adjustment is to be determined by the OCC’s Securities Committee, in light of the circumstances known to it at the time such determination is made, based on its judgment as to what is appropriate for the protection of investors and the public interest, taking into account such factors as fairness to holders and writers (or purchasers and sellers) of the affected options, the maintenance of a fair and orderly market in the affected options, consistency of interpretation and practice, efficiency of exercise settlement procedures, and the coordination with other clearing agencies of the clearance and settlement of transactions in the underlying interest.

The description and terms of the FLEX Options to be entered into with the OCC are set forth in the by-laws and rules of the OCC. Please see www.optionsclearing.com for more information. The OCC’s website is not considered part of this prospectus, nor is it incorporated by reference herein.

Call Options. A European-style call option is a contract that gives the owner the right but not the obligation to buy the underlying security at a specified price (its strike price) on the option expiration date. For the writer of a call option, the contract represents an obligation to sell the underlying security from the option owner if the option is exercised. A call option is likely to be exercised if it is in-the-money, i.e., the current market value of the underlying security is above the strike price. Conversely, it is likely to expire worthless if the call option is out-of-the-money, i.e., the current market value of the underlying security is below the strike price.

Put Options. A European-style put option is a contract that gives the owner the right but not the obligation to sell the underlying security at a specified price (its strike price) on the option expiration date. For the writer of a put option, the contract represents an obligation to buy the underlying security from the option owner if the option is exercised. A put option is likely to be exercised if it is in-the-money, i.e., the current market value of the underlying security is below the strike price. Conversely, it is likely to expire worthless if the put option is out-of-the-money, i.e., the current market value of the underlying security is above the strike price.

See “Hypothetical Option Expiration Examples” in the appendix of the prospectus for additional information.

The Reference Asset and The Index

The Reference Asset is an exchange-traded fund that trades on the NYSE Arca, Inc. stock exchange under the ticker symbol “SPY.” The Reference Asset seeks to track the investment results of the S&P 500^® Index (the “Index”), which measures the performance of large-capitalization U.S. equity securities. The components of the Index, and the degree to which these components represent certain industries, may change over time. The Index is reconstituted on an as-needed basis. The Reference Asset seeks to achieve its investment objective by holding a portfolio of the common stocks that are included in the Index, with the weight of each stock in its portfolio substantially corresponding to the weight of such stock in the Index. Although the Reference Asset may fail to own certain securities of the Index at any particular time, the Reference Asset generally will be substantially invested in securities of the Index, which should result in a close correspondence between the performance of the Index and the performance of the Reference Asset.

The Reference Asset seeks to track the investment results of the Index before fees and expenses of the Reference Asset. The Sponsor has derived all information regarding the Reference Asset contained in this prospectus from the registration statement for the Reference Asset. Such information reflects the policies of, and is subject to change by, the Reference Asset’s Sponsor, PDR Services, LLC. Information concerning the Reference Asset filed with the SEC can be located by reference to SEC file number 811-06125 and 33-46080. The Sponsor has not undertaken any independent review or due diligence of the SEC filings by the issuer of the Reference Asset or any other publicly available information regarding such issuer. Information from outside sources is not incorporated by reference in, and should not be considered part of, this prospectus.

The summary information is not designed to be, and should not be interpreted as, an effort to present information regarding the financial prospects of any issuer or any trends, events or other factors that may have a positive or negative influence on those prospects or as an endorsement of any particular issuer or exchange-traded fund. The Trust is not Sponsored, endorsed, sold or promoted by SPDR^® S&P 500^® ETF Trust, PDR Services, LLC or S&P Dow Jones Indices LLC. SPDR^® S&P 500^® ETF Trust, PDR Services, LLC and S&P Dow Jones Indices LLC have not passed on the legality or suitability of, or the accuracy or adequacy of, descriptions and disclosures relating to the Trust or the FLEX Options. SPDR^® S&P 500^® ETF Trust, PDR Services, LLC and S&P Dow Jones Indices LLC make no representations or warranties, express or implied, regarding the advisability of investing in the Trust or the FLEX Options or results to be obtained by the Trust or the FLEX Options, unitholders or any other person or entity from use of the Reference Asset. SPDR^® S&P 500^® ETF Trust, PDR Services, LLC and S&P Dow Jones Indices LLC have no liability in connection with the management, administration, marketing or trading of the Trust or the FLEX Options.

Milliman Financial Risk Management LLC

Milliman Financial Risk Management LLC is a provider of financial risk management to the retirement savings industry. Milliman provides investment advisory, hedging and consulting services for over $173.5 billion in global assets (as of September 30, 2021).

As with all investments, you may lose some or all of your investment in the Trust. No assurance can be given that the Trust’s investment objective will be achieved. The Trust also might not perform as well as you expect. This can happen for reasons such as these:

• Passive investment risk. The value of your investment may fall over time. The Trust will generally hold, and may continue to buy, the same securities even though a security’s outlook, rating, market value or yield may have changed.
• Market risk. Market risk is the risk that a particular security in the Trust, the Trust itself or securities in general may fall in value. Market value may be affected by a variety of factors, including general securities markets movements, changes in the financial condition of an issuer or a sector, changes in perceptions about an issuer or a sector, interest rates and inflation and governmental policies and litigation. Changes in legal, political, regulatory, tax and economic conditions may cause fluctuations in markets and securities prices, which could negatively impact the value of the Trust. Additionally, event such war, terrorism, natural and environmental disasters and the spread of infectious illnesses or other public health emergencies may adversely affect the economy, various markets and issuers. Recently, the outbreak of a novel and highly contagious form of coronavirus (“COVID-19”) has adversely impacted global commercial activity and contributed to significant volatility in certain markets. Many governments and businesses have instituted quarantines and closures, which has resulted in significant disruption in manufacturing, supply chains, consumer demand and economic activity. The potential impacts are increasingly uncertain, difficult to assess and impossible to predict, and may result in significant losses. Any adverse event could materially and negatively impact the value and performance of Trust and the Trust’s ability to achieve its investment objectives. Although the Sponsor, who serves as the evaluator of the Trust (the “evaluator”), carefully supervises your Trust, you should remember that it does not manage your Trust. Your Trust will not sell a security solely because the market value falls, as is possible in a managed fund.
• Investment risk. You may lose a significant portion of your investment. The Trust does not provide principal protection and you may not receive a return of the capital you invest. In addition, the units will not realize more than the capped return from the FLEX Options, even if the return on the Reference Asset far exceeds that level.
• Capped upside and limited downside protection risk. The Trust’s return is subject to an upside cap, and loss is subject to a buffer. The Trust’s ability to provide capped upside and a buffered downside is dependent on unitholders purchasing units at the Trust’s inception and holding them until the Trust is terminated. You may realize a return or loss that is higher or lower than the intended returns or losses as a result of redeeming units prior to the Mandatory Termination Date, where FLEX Options are otherwise liquidated by the Trust prior to expiration, if a Corporate Action occurs with respect to the Reference Asset, or if there are increases in potential tax-related expenses and other expenses of the Trust above estimated levels.
• Underlying Reference Asset performance and equity risk. The Trust is subject to performance and equity risk related to the Reference Asset, the Index and securities comprising the Index. The formulas used to calculate the FLEX Options’ payments at expiration are based on the price performance of the Reference Asset. The FLEX Options represent indirect positions in the Reference Asset and are subject to changes in value as the price of the Reference Asset rises or falls. The value of the FLEX Options may be adversely affected by various factors affecting the Reference Asset, the Index and the value of the securities comprising the Index. The settlement value of the FLEX Options is based on the Closing Value on the Option Expiration Date only and will be substantially determined by market conditions as of such time. The FLEX Options are intended to be liquidated as of the close of market on the Option Expiration Date rather than be exercised according to the FLEX Options’ terms in order to avoid having the Trust receive shares of the Reference Asset or be obligated to deliver shares of the Reference Asset. The value of the Reference Asset will fluctuate over time based on fluctuations in the value of the stocks held by the Reference Asset, which may be impacted by changes in general economic conditions, expectations for future economic growth, and corporate profits and interest rates. Although common stocks have historically generated higher average returns than fixed-income securities over the long term, common stocks also have experienced significantly more volatile returns. Common stocks are structurally subordinated to preferred stocks, bonds and other debt instruments in a company’s capital structure and represent a residual claim on the issuer’s assets that have no value unless such assets are sufficient to cover all other claims.
  
  The value of the Trust does not appreciate due to dividend payments paid by the Reference Asset, because the Trust does not own the Reference Asset. The Trust seeks to provide target returns on the price performance of the Reference Asset, which does not include returns from dividends paid by the Reference Asset.
  
  Unitholders will not have control, voting rights or rights to receive cash dividends or other distributions or other rights that holders of a direct investment in the Reference Asset would have.
• Options risk. The value of the FLEX Options may change with the implied volatility of the Reference Asset, the Index and the securities comprising the Index. No one can predict whether implied volatility will rise or fall in the future. It is not anticipated that there will be an existing market for options with the same customized terms as the FLEX Options, and an active market may not be established. Prior to the Trust’s inception date, there has been no existing trading market for the FLEX Options.
  
  The values of the FLEX Options do not increase or decrease at the same rate as the Reference Asset or the Index. Prior to the Option Expiration Date, the value of the FLEX Options is determined based upon market quotations, the last asked or bid price in the over-the-counter market or using other recognized pricing methods. The value of the FLEX Options prior to the Option Expiration Date may vary because of related factors other than the price of shares of the Reference Asset. Factors that may influence the value of the FLEX Options are interest rate changes, implied volatility levels of the Reference Asset, Index and securities comprising the Index and implied dividend levels of the Reference Asset, Index and securities comprising the Index, among others.
  • Written Options risk. The Written Options may reduce the value of your units. The Written Options create an obligation to make a payment in contrast to the Purchased Options, which creates the potential for receipt of a payment. As the value of the Written Options increases, it has a negative impact on the value of your units.
  • Credit risk. Credit risk is the risk an issuer, guarantor or counterparty of a security in the Trust is unable or unwilling to meet its obligation on the security. The OCC acts as guarantor and central counterparty with respect to the FLEX Options. As a result, the ability of the Trust to meet its objective depends on the OCC being able to meet its obligations.
  • Liquidity risk. Liquidity risk is the risk that the value of a FLEX Option will fall in value if trading in the FLEX Option is limited or absent. No one can guarantee that a liquid secondary trading market will exist for the FLEX Options. Trading in the FLEX Options may be less deep and liquid than certain other securities. FLEX Options may be less liquid than certain non-customized options. The Sponsor expects that the Trust will hold 10% or less of its net asset value in illiquid securities. In a less liquid market for the FLEX Options, liquidating the FLEX Options upon a redemption of units may require the payment of a premium or acceptance of a discounted price and may take longer to complete. In a less liquid market for the FLEX Options, the liquidation of a large number of FLEX Options may more significantly impact the price. A less liquid trading market may adversely impact the value of the FLEX Options and your units.
  • Valuation risk. Under certain circumstances, current market prices may not be available with respect to the FLEX Options. Under those circumstances, the value of the FLEX Options will require more reliance on the judgment of the evaluator than that required for securities for which there is an active trading market. This creates a risk of mispricing or improper valuation of the FLEX Options, which could impact the value received or paid for units.
  • Proportional relationship risk. In the unlikely event the Trust is unable to maintain the proportional relationship of the FLEX Options, it will be unable to achieve its objective.
• Exchange-traded fund risk. Certain features of the Reference Asset, which is an exchange-traded fund, will impact the value of the units. The value of the Reference Asset is subject to the following factors:
  
  Passive investment risk. The Reference Asset is not actively managed and attempts to track the performance of an unmanaged index of securities. This differs from an actively managed fund, which typically seeks to outperform a benchmark index. As a result, the Reference Asset will hold constituent securities of the Index regardless of the current or projected performance on a specific security or particular industry or market sector. Maintaining investments in the securities regardless of market conditions of the performance of individual securities could impact the unit price of the Reference Asset, the FLEX Options and the Trust units.
  
  Tracking error. Exchange-traded funds face index correlation risk, which is the risk that the performance of an exchange-traded fund will vary from the actual performance of the target index, known as “tracking error.” The performance of the Reference Asset may not replicate the performance of, and may underperform, the Index. It is possible that the Reference Asset may not fully replicate or may, in certain circumstances, diverge significantly from the performance of the Index due to the Reference Asset not investing in all stocks comprising the Index, temporary unavailability of certain securities in the secondary market, differences in trading hours between the Reference Asset and securities comprising the Index, the occurrence of corporate actions (mergers and spinoffs), or other circumstances. Because the return or loss on the FLEX Options references the price performance of the Reference Asset and not the Index, the return or loss on the FLEX Options and your units may be less than that of an alternative investment linked directly to the Index.
  
  Fees and expenses. Unlike the Index, the Reference Asset will reflect transaction costs and fees that will reduce its price performance relative to the Index.
  
  Discount. Shares of exchange-traded funds tend to trade at a discount from their net asset value.
• Dilution risk. You could experience a dilution of your investment as a result of redemption activity or expenses of the Trust. There is no assurance that your investment will maintain its proportionate share in the Trust’s profits and losses, or that your investment will be in the same portfolio for the duration of the Trust.
• Cybersecurity risk. The Trust may be susceptible to potential risks through breaches in cybersecurity. A breach in cybersecurity refers to both intentional and unintentional events that may cause the Trust to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause the Sponsor of the Trust to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. In addition, cybersecurity breaches of the Trust’s third-party service providers, or issuers in which the Trust invests, can also subject the Trust to many of the same risks associated with direct cybersecurity breaches.
• Operational and service provider risk. The Trust is subject to risks arising from various operational factors and their service providers. Operational factors include, but not limited to, human error, processing and communication errors, errors of the Trust’s service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. Additionally, the Trust may be subject to the risk that a service provider may not be willing or able to perform their duties as required or contemplated by their agreements with the Trust. Although the Trust seeks to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks.
• Early termination risk. The Trustee has the power to terminate your Trust early in limited cases as described under “Understanding Your Investment— How Your Trust Works—Termination of Your Trust,” including if the value of the Trust is less than $1 million or less than 40% of the value of the securities in the Trust at the end of the initial offering period. If the Trust terminates early, the Trust may suffer losses and be unable to achieve its investment objective. This could result in a reduction in the value of units and result in a significant loss to investors.
• Legislation and litigation risk. From time to time, various legislative initiatives or regulatory standards are proposed in the United States and abroad which may have a negative impact on the Reference Asset, the Index or the securities comprising the Index. In addition, litigation regarding any of the issuers of the securities, or of the industries represented by such issuers, may negatively impact the value of these securities. We cannot predict what impact any pending or proposed legislation or pending or threatened litigation will have on the value of the securities.
• Inflation risk. Inflation risk is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money.

See “Investment Risks” in Part A of the prospectus and “Risk Factors” in Part B of the prospectus for additional information.