Buffered PLUS®, Partial Protection Return Optimization Securities, Equity Buffered Notes, and Leverage Equity Index-Linked Notes
expose investors to most of the linked security's downside risk while offering levered but generally limited upside potential. These products do not
make coupon payments or promise any interest. Some varieties have a capped return.
The following example is based on a Morgan Stanley Buffered PLUS, assuming that the risk free rate is 5%, the implied volatility is 25%, the dividend
yield of the underlying stock is 1%, and the credit default swap ("CDS") spread of the issuer is 1%. The product has a two-year maturity, a leverage
ratio of 2.5, a cap rate of 20% and a 15% loss buffer. We assume that the initial investment is $100.