Callable Contingent Income Securities due July 27, 2023 Payments
on the Securities Based on the Worst Performing of the Russell 2000® Index and the Dow Jones Industrial AverageSM
(the “securities”) do not guarantee the repayment of principal and do not provide for the regular payment of interest.
Instead, the securities will pay a contingent semi-annual coupon but only if the index closing value of each of the NASDAQ-100
Index®, the Russell 2000® Index and the Dow Jones Industrial AverageSM (which we refer
to together as the “underlying indices”) is at or above 70% of its respective initial level, which we refer
to as the respective coupon barrier, on the related call observation date. If the index closing value of any underlying index
is less than the coupon barrier for such index on any call observation date, we will pay no coupon for the related semi-annual
period. It is possible that the index closing value of one or more underlying indices will remain below the respective coupon barrier(s)
for extended periods of time or even throughout the entire term of the securities so that you will receive few or no contingent
semi-annual coupons during the entire term of the securities. Even if an underlying index were to be at or above the coupon barrier
for such index on some semi-annual call observation dates, it may fluctuate below the coupon barrier on others. In addition, even
if one underlying index were to be at or above the coupon barrier for such index on all semi-annual call observation dates, you
will receive a contingent semi-annual coupon only with respect to the call observation dates on which the other underlying indices
are also at or above their respective coupon barriers, if any. In addition, beginning on January 28, 2021, we will redeem the securities
on any semi-annual redemption date, for a redemption payment equal to the sum of the stated principal amount plus any contingent
semi-annual coupon otherwise due with respect to the related call observation date, if and only if the output of a risk neutral
valuation model on a business day that is at least 2 but no more than 5 business days prior to such redemption date, based on the
inputs indicated under “Call feature” on the cover page, indicates that redeeming on such date is economically rational
for us as compared to not redeeming on such date. An early redemption of the securities will not automatically occur based on the
performance of the underlying indices. At maturity, if the securities have not been previously redeemed and if the final level
of each underlying index is greater than or equal to 70% of the respective initial level, which we refer to as the principal
barrier, the payment at maturity will be the stated principal amount and the related contingent semi-annual coupon. If, however,
the final level of any underlying index is less than its principal barrier, investors will be exposed to the decline in
the worst performing underlying index on a 1-to-1 basis and will receive a payment at maturity that is less than 70% of the stated
principal amount of the securities and could be zero. Accordingly, investors in the securities must be willing to accept the
risk of losing their entire initial investment based on the performance of any underlying index and also the risk of not receiving
any semi-annual coupons during the entire 3-year term of the securities.
Maturity:
|
Approximately 3 years, unless redeemed earlier based on the output of a risk neutral valuation model
|
Contingent
semi-annual coupon:
|
If, on any call observation date, the index closing value of
each underlying index is greater than or equal to its respective coupon barrier, we will pay a contingent semi-annual
coupon at an annual rate of at least 11.50% (corresponding to approximately $57.50 per semi-annual period per security) on the
related contingent coupon payment date. The actual contingent semi-annual coupon rate will be determined on the trade date.
If, on any call observation date, the closing value of any
underlying index is less than the coupon barrier for such index, no contingent semi-annual coupon will be paid with
respect to that call observation date. It is possible that one or more underlying indices will remain below the respective coupon
barrier(s) for extended periods of time or even throughout the entire term of the securities so that you will receive few or no
contingent semi-annual coupons.
|
Early
redemption:
|
Beginning on January 28, 2021, we will redeem the securities
on any semi-annual redemption date for a redemption payment equal to the sum of the stated principal amount plus any contingent
semi-annual coupon otherwise due with respect to the related call observation date, if and only if the output of a risk neutral
valuation model on a business day that is at least 2 but no more than 5 business days prior to such redemption date, based on the
inputs indicated under “Call feature” on the cover page, indicates that redeeming on such date is economically rational
for us as compared to not redeeming on such date. An early redemption of the securities will not automatically occur based on the
performance of the underlying indices. In accordance with the risk neutral valuation model determination noted herein, it is more
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due July 27, 2023
Payments on the Securities Based on the Worst Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the Dow Jones Industrial AverageSM
Principal at Risk Securities
|
likely that we will redeem the securities when it would otherwise
be advantageous for you to continue to hold the securities. As such, we will be more likely to redeem the securities when the index
closing value of each underlying index on the call observation dates is at or above its respective coupon barrier, which would
otherwise result in an amount of interest payable on the securities that is greater than instruments of a comparable maturity and
credit rating trading in the market. In other words, we will be more likely to redeem the securities at a time when the securities
are paying an above-market coupon. If the securities are redeemed prior to maturity, you will receive no more contingent semi-annual
coupon payments, may be forced to invest in a lower interest rate environment and may not be able to reinvest at comparable terms
or returns.
On the other hand, we will be less likely to redeem the securities
when the index closing value of any underlying index is below its respective coupon barrier and/or when the final level of any
underlying index is expected to be below the principal barrier, such that you will receive no contingent semi-annual coupons and/or
that you will suffer a significant loss on your initial investment in the securities at maturity. Therefore, if we do not redeem
the securities, it is more likely that you will receive few or no contingent semi-annual coupons and suffer a significant loss
at maturity.
|
Payment
at maturity:
|
If the securities have not previously been redeemed, investors
will receive on the maturity date a payment at maturity determined as follows:
If the final level of each underlying index is greater
than or equal to its respective principal barrier: the stated principal amount and the contingent semi-annual coupon with respect
to the final call observation date.
If the final level of any underlying index is less
than its respective principal barrier: (i) the stated principal amount multiplied by (ii) the index performance factor
of the worst performing underlying index. Under these circumstances, the payment at maturity will be less than 70% of the stated
principal amount of the securities and could be zero.
|
We are using this preliminary pricing supplement to solicit from
you an offer to purchase the securities. You may revoke your offer to purchase the securities at any time prior to the time at
which we accept such offer by notifying the relevant agent. We reserve the right to change the terms of, or reject any offer to
purchase, the securities prior to their issuance. In the event of any material changes to the terms of the securities, we will
notify you.
Morgan Stanley Finance LLC
Callable Contingent Income Securities due July 27, 2023
Payments on the Securities Based on the Worst Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the Dow Jones Industrial AverageSM
Principal at Risk Securities
The original issue price of each security is $1,000. This price
includes costs associated with issuing, selling, structuring and hedging the securities, which are borne by you, and, consequently,
the estimated value of the securities on the trade date will be less than $1,000. We estimate that the value of each security on
the trade date will be approximately $963.40, or within $45.00 of that estimate. Our estimate of the value of the securities as
determined on the trade date will be set forth in the final pricing supplement.
What goes into the estimated value on the trade date?
In valuing the securities on the trade date, we take into account
that the securities comprise both a debt component and a performance-based component linked to the underlying indices. The estimated
value of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the
underlying indices, instruments based on the underlying indices, volatility and other factors including current and expected interest
rates, as well as an interest rate related to our secondary market credit spread, which is the implied interest rate at which our
conventional fixed rate debt trades in the secondary market.
What determines the economic terms of the securities?
In determining the economic terms of the securities, including
the contingent semi-annual coupon rate, the coupon barriers and the principal barriers, we use an internal funding rate, which
is likely to be lower than our secondary market credit spreads and therefore advantageous to us. If the issuing, selling, structuring
and hedging costs borne by you were lower or if the internal funding rate were higher, one or more of the economic terms of the
securities would be more favorable to you.
What is the relationship between the estimated value on the
trade date and the secondary market price of the securities?
The price at which MS & Co. purchases the securities in the
secondary market, absent changes in market conditions, including those related to the underlying indices, may vary from, and be
lower than, the estimated value on the trade date, because the secondary market price takes into account our secondary market credit
spread as well as the bid-offer spread that MS & Co. would charge in a secondary market transaction of this type and other
factors. However, because the costs associated with issuing, selling, structuring and hedging the securities are not fully deducted
upon issuance, for a period of up to 6 months following the settlement date, to the extent that MS & Co. may buy or sell the
securities in the secondary market, absent changes in market conditions, including those related to the underlying indices, and
to our secondary market credit spreads, it would do so based on values higher than the estimated value. We expect that those higher
values will also be reflected in your brokerage account statements.
MS & Co. may, but is not obligated to, make a market in the
securities, and, if it once chooses to make a market, may cease doing so at any time.
Morgan Stanley Finance LLC
Callable Contingent Income Securities due July 27, 2023
Payments on the Securities Based on the Worst Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the Dow Jones Industrial AverageSM
Principal at Risk Securities
Key Investment Rationale
The securities do not provide for the regular payment of interest
and instead will pay a contingent semi-annual coupon but only if the index closing value of each underlying index
is at or above 70% of its initial level, which we refer to as the respective coupon barrier, on the related call observation
date. These securities are for investors who are willing to risk their principal and seek an opportunity to earn interest at a
potentially above-market rate in exchange for the risk of receiving no semi-annual interest if any underlying index closes below
the coupon barrier for such index on the call observation dates, and the risk of an early redemption of the securities based on
the output of a risk neutral valuation model. The following scenarios are for illustration purposes only to demonstrate how the
payment at maturity and contingent semi-annual coupon (if the securities have not previously been redeemed) are determined, and
do not attempt to demonstrate every situation that may occur. Accordingly, the securities may or may not be redeemed by us based
on the output of a risk neutral valuation model, the contingent semi-annual coupon may be payable with respect to none of, or some
but not all of, the semi-annual periods, and the payment at maturity may be less than 70% of the stated principal amount and could
be zero. Investors will not participate in any appreciation in any underlying index.
Scenario 1: The securities are redeemed prior to maturity.
|
This scenario assumes that we redeem the securities based on the output of a risk neutral valuation model prior to the maturity date on one of the semi-annual redemption dates, starting on January 28, 2021, for the redemption payment equal to the stated principal amount plus any contingent semi-annual coupon with respect to the relevant call observation date, as applicable. Prior to the early redemption, each underlying index closes at or above its respective coupon barrier on some or all of the semi-annual call observation dates. In this scenario, investors receive the contingent semi-annual coupon with respect to each such call observation date, but not for the semi-annual periods for which one of more underlying indices close below the respective coupon barrier on the related call observation date. No further payments will be made on the securities once they have been redeemed.
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Scenario 2: The securities are not redeemed prior to maturity, and investors receive principal back at maturity.
|
This scenario assumes that we do not redeem the securities on any of the semi-annual redemption dates, and, as a result, investors hold the securities to maturity. During the term of the securities, each underlying index closes at or above its respective coupon barrier on some semi-annual call observation dates, but one or more underlying indices close below the respective coupon barrier(s) for such index on the others. Investors will receive the contingent semi-annual coupon for the semi-annual periods for which the index closing value of each underlying index is at or above its respective coupon barrier on the related call observation date, but not for the semi-annual periods for which one or more underlying indices close below the respective coupon barrier(s) on the related call observation date. At maturity, each underlying index closes at or above its principal barrier, and so investors receive the stated principal amount and the contingent semi-annual coupon with respect to the final call observation date.
|
Scenario 3: The securities are not redeemed prior to maturity, and investors suffer a substantial loss of principal at maturity.
|
This scenario assumes that we do not redeem the securities on any of the semi-annual redemption dates, and, as a result, investors hold the securities to maturity. During the term of the securities, one or more underlying indices close below the respective coupon barrier(s) on every semi-annual call observation date. Since one or more underlying indices close below the respective coupon barrier(s) on every semi-annual call observation date, investors do not receive any contingent semi-annual coupon. On the final call observation date, one or more underlying indices close below the respective principal barrier(s). At maturity, investors will receive an amount equal to the stated principal amount multiplied by the index performance factor of the worst performing underlying index. Under these circumstances, the payment at maturity will be less than 70% of the stated principal amount and could be zero.
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due July 27, 2023
Payments on the Securities Based on the Worst Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the Dow Jones Industrial AverageSM
Principal at Risk Securities
Underlying Indices Summary
NASDAQ-100 Index®
The NASDAQ-100 Index®, which is calculated, maintained
and published by Nasdaq, Inc., is a modified capitalization-weighted index of 100 of the largest and most actively traded equity
securities of non-financial companies listed on The NASDAQ Stock Market LLC. The NASDAQ-100 Index® includes companies
across a variety of major industry groups. At any moment in time, the value of the NASDAQ-100 Index® equals the
aggregate value of the then-current NASDAQ-100 Index® share weights of each of the NASDAQ-100 Index®
component securities, which are based on the total shares outstanding of each such NASDAQ-100 Index® component security,
multiplied by each such security’s respective last sale price on NASDAQ (which may be the official closing price published
by NASDAQ), and divided by a scaling factor, which becomes the basis for the reported NASDAQ-100 Index® value.
Information as of market close on July 1, 2020:
Bloomberg Ticker Symbol:
|
NDX
|
Current Index Value:
|
10,279.250
|
52 Weeks Ago:
|
7,768.138
|
52 Week High (on 7/1/2020):
|
10,279.250
|
52 Week Low (on 3/20/2020):
|
6,994.291
|
For additional information about the NASDAQ-100 Index®,
see the information set forth under “NASDAQ-100 Index®” in the accompanying index supplement. Furthermore,
for additional historical information, see “NASDAQ-100 Index® Historical Performance” below.
Russell 2000® Index
The Russell 2000®
Index is an index calculated, published and disseminated by FTSE Russell, and measures the composite price performance of stocks
of 2,000 companies incorporated in the U.S. and its territories. All 2,000 stocks are traded on a major U.S. exchange and are the
2,000 smallest securities that form the Russell 3000® Index. The Russell 3000® Index is composed
of the 3,000 largest U.S. companies as determined by market capitalization and represents approximately 98% of the U.S. equity
market. The Russell 2000® Index consists of the smallest 2,000 companies included in the Russell 3000®
Index and represents a small portion of the total market capitalization of the Russell 3000® Index. The Russell
2000® Index is designed to track the performance of the small capitalization segment of the U.S. equity market.
Information as of market close on July 1, 2020:
Bloomberg Ticker Symbol:
|
RTY
|
Current Index Value:
|
1,427.314
|
52 Weeks Ago:
|
1,569.663
|
52 Week High (on 1/16/2020):
|
1,705.215
|
52 Week Low (on 3/18/2020):
|
991.160
|
For additional information about the Russell 2000®
Index, see the information set forth under “Russell 2000® Index” in the accompanying index supplement.
Furthermore, for additional historical information, see “Russell 2000® Index Historical Performance”
below.
Dow Jones Industrial AverageSM
The Dow Jones Industrial AverageSM is a price-weighted
index composed of 30 common stocks that is published by S&P Dow Jones Indices LLC, the marketing name and a licensed trademark
of CME Group Inc., as representative of the broad market of U.S. industry.
Information as of market close on July 1, 2020:
Bloomberg Ticker Symbol:
|
INDU
|
Current Index Value:
|
25,734.97
|
52 Weeks Ago:
|
26,717.43
|
52 Week High (on 2/12/2020):
|
29,551.42
|
52 Week Low (on 3/23/2020):
|
18,591.93
|
For additional information about the Dow Jones Industrial AverageSM,
see the information set forth under “Dow Jones Industrial AverageSM” in the accompanying index supplement.
Furthermore, for additional historical information, see “Dow Jones Industrial AverageSM Historical Performance”
below.
Morgan Stanley Finance LLC
Callable Contingent Income Securities due July 27, 2023
Payments on the Securities Based on the Worst Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the Dow Jones Industrial AverageSM
Principal at Risk Securities
Hypothetical Examples
The following hypothetical examples illustrate how to determine
whether a contingent semi-annual coupon is paid with respect to a call observation date and how to calculate the payment at maturity.
The following examples are for illustrative purposes only. Whether you receive a contingent semi-annual coupon will be determined
by reference to the index closing value of each underlying index on each semi-annual call observation date, and the amount you
will receive at maturity, if any, will be determined by reference to the final level of each underlying index on the final call
observation date. Any early redemption of the securities will be based on the output of a risk neutral valuation model. The actual
initial level, coupon barrier and principal barrier for each underlying index will be determined on the trade date. All payments
on the securities, if any, are subject to our credit risk. The below examples are based on the following terms:
Hypothetical Contingent Semi-annual Coupon:
|
If, on any call observation date, the index closing value of
each underlying index is greater than or equal to its respective coupon barrier, we will pay a contingent semi-annual
coupon at an annual rate of 11.50% (corresponding to approximately $57.50 per semi-annual period per security) on the related contingent
coupon payment date. The actual contingent semi-annual coupon rate will be determined on the trade date.
If, on any call observation date, the closing value of any
underlying index is less than the coupon barrier for such index, no contingent semi-annual coupon will be paid with
respect to that call observation date. It is possible that one or more underlying indices will remain below the respective coupon
barrier(s) for extended periods of time or even throughout the entire term of the securities so that you will receive few or no
contingent semi-annual coupons.
|
Call Feature:
|
Beginning on January 28, 2021, an early redemption, in whole but not in part, will occur on a redemption date if and only if the output of a risk neutral valuation model on a business day that is at least 2 but no more than 5 business days prior to such redemption date, as selected by the calculation agent (the “determination date”), taking as input: (i) prevailing reference market levels, volatilities and correlations, as applicable and in each case as of the determination date and (ii) Morgan Stanley’s credit spreads as of the trade date, indicates that redeeming on such date is economically rational for us as compared to not redeeming on such date. If we call the securities, we will give you notice at least 2 business days before the call date specified in the notice. Any redemption payment will be equal to the stated principal amount plus any contingent semi-annual coupon otherwise due with respect to the related call observation date. If the securities are redeemed prior to maturity, you will receive no more contingent semi-annual coupon payments, may be forced to invest in a lower interest rate environment and may not be able to reinvest at comparable terms or returns.
|
Payment at Maturity (if the securities have not been redeemed early):
|
If the final level of each underlying index is greater
than or equal to its respective principal barrier: the stated principal amount and the contingent semi-annual coupon with respect
to the final call observation date.
If the final level of any underlying index is less
than its respective principal barrier: (i) the stated principal amount multiplied by (ii) the index performance factor
of the worst performing underlying index. Under these circumstances, the payment at maturity will be less than 70% of the stated
principal amount of the securities and could be zero.
|
Stated Principal Amount:
|
$1,000
|
Hypothetical Initial Level:
|
With respect to the NDX Index: 9,400
With respect to the RTY Index: 1,600
With respect to the INDU Index: 20,000
|
Hypothetical Coupon Barrier:
|
With respect to the NDX Index: 6,580, which is 70% of the hypothetical
initial level for such index
With respect to the RTY Index: 1,120, which is 70% of the hypothetical
initial level for such index
With respect to the INDU Index: 14,000, which is 70% of the hypothetical
initial level for such index
|
Hypothetical Principal Barrier:
|
With respect to the NDX Index: 6,580, which is 70% of the hypothetical
initial level for such index
With respect to the RTY Index: 1,120, which is 70% of the hypothetical
initial level for such index
With respect to the INDU Index: 14,000, which is 70% of the hypothetical
initial level for such index
|
* The actual contingent semi-annual
coupon will be an amount determined by the calculation agent based on the actual contingent semi-annual coupon rate and the number
of days in the applicable payment period, calculated on a 30/360 basis. The hypothetical contingent semi-annual coupon of $57.50
is used in these examples for ease of analysis.
Morgan Stanley Finance LLC
Callable Contingent Income Securities due July 27, 2023
Payments on the Securities Based on the Worst Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the Dow Jones Industrial AverageSM
Principal at Risk Securities
How to determine whether a contingent semi-annual
coupon is payable with respect to a call observation date (if the securities have not been previously redeemed):
|
Index Closing Value
|
Contingent Semi-Annual Coupon
|
|
NDX Index
|
RTY Index
|
INDU Index
|
|
Hypothetical Call Observation Date 1
|
8,000 (at or above coupon barrier)
|
2,000 (at or above coupon barrier)
|
21,000 (at or above coupon barrier)
|
$57.50
|
Hypothetical Call Observation Date 2
|
8,800 (at or above coupon barrier)
|
1,600 (at or above coupon barrier)
|
10,000 (below coupon barrier)
|
$0
|
Hypothetical Call Observation Date 3
|
5,000 (below coupon barrier)
|
600 (below coupon barrier)
|
19,000 (at or above coupon barrier)
|
$0
|
Hypothetical Call Observation Date 4
|
5,200 (below coupon barrier)
|
500 (below coupon barrier)
|
9,000 (below coupon barrier)
|
$0
|
On hypothetical call observation date 1, the NDX Index, the RTY
Index and the INDU Index all close at or above their respective coupon barriers. Therefore a contingent semi-annual coupon of $57.50
is paid on the relevant coupon payment date.
On each of the hypothetical call observation dates 2 and 3, at
least one underlying index closes at or above its coupon barrier but one or both of the other underlying indices close below their
respective coupon barrier(s). Therefore, no contingent semi-annual coupon is paid on the relevant coupon payment date.
On hypothetical call observation date 4, each underlying index
closes below its respective coupon barrier and accordingly no contingent semi-annual coupon is paid on the relevant coupon payment
date.
How to calculate the payment
at maturity (if the securities have not been redeemed early):
|
Final Level
|
Payment at Maturity
|
|
NDX Index
|
RTY Index
|
INDU Index
|
|
Example 1:
|
10,000 (at or above the principal barrier and coupon barrier)
|
1,800 (at or above the principal barrier and coupon barrier)
|
26,000 (at or above the principal barrier and coupon barrier)
|
$1,057.50 (the stated principal amount plus the contingent semi-annual coupon with respect to the final call observation date)
|
Example 2:
|
8,800 (at or above the principal barrier)
|
1,600 (at or above the principal barrier)
|
8,000 (below the principal barrier)
|
$1,000 × index performance factor of the worst performing underlying = $1,000 × (8,000 / 20,000) = $400
|
Example 3:
|
6,200 (below the principal barrier)
|
640 (below the principal barrier)
|
25,000 (at or above the principal barrier)
|
$1,000 × (640 / 1,600) = $400
|
Example 4:
|
4,230 (below the principal barrier)
|
480 (below the principal barrier)
|
8,000 (below the principal barrier)
|
$1,000 × (480 / 1,600) = $300
|
Example 5:
|
2,820 (below the principal barrier)
|
640 (below the principal barrier)
|
8,000 (below the principal barrier)
|
$1,000 × (2,820 / 9,400) = $300
|
In example 1, the final levels of the NDX Index, the RTY Index
and the INDU Index are all at or above their principal barriers. Therefore, investors receive at maturity the stated principal
amount of the securities and the contingent semi-annual coupon with respect to the final call observation date. Investors do not
participate in the appreciation of any underlying index.
In examples 2 and 3, the final level(s) of one or two of the
underlying indices are at or above their respective principal barrier(s) but the final level(s) of one or both of the other underlying
indices are below their respective principal barrier(s). Therefore, investors are
Morgan Stanley Finance LLC
Callable Contingent Income Securities due July 27, 2023
Payments on the Securities Based on the Worst Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the Dow Jones Industrial AverageSM
Principal at Risk Securities
exposed to the downside performance of the worst performing underlying
index at maturity and receive at maturity an amount equal to the stated principal amount times the index performance factor
of the worst performing underlying index.
Similarly, in examples 4 and 5, the final level of each underlying
index is below its respective principal barrier, and investors receive at maturity an amount equal to the stated principal amount
times the index performance factor of the worst performing underlying index. In example 4, NDX Index has declined 55% from
its initial level to its final level, the RTY Index has declined 70% from its initial level to its final level and the INDU Index
has declined 60% from its initial level to its final level. Therefore, the payment at maturity equals the stated principal amount
times the index performance factor of the RTY Index, which is the worst performing underlying index in this example. In
example 5, the NDX Index has declined 70% from its initial level to its final level, the RTY Index has declined 60% from its initial
level and the INDU Index has declined 60% from its initial level to its final level. Therefore the payment at maturity equals the
stated principal amount times the index performance factor of the NDX Index, which is the worst performing underlying index
in this example.
If the securities have not been redeemed prior to maturity
and the final level of ANY underlying index is below its respective principal barrier, you will be exposed to the downside performance
of the worst performing underlying index at maturity, and your payment at maturity will be less than $700 per security and could
be zero.
Morgan Stanley Finance LLC
Callable Contingent Income Securities due July 27, 2023
Payments on the Securities Based on the Worst Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the Dow Jones Industrial AverageSM
Principal at Risk Securities