Morgan Stanley

Morgan Stanley Account Number : ELEMASROL Account Name : Electron Master Fund Rollup Long/Short Risk and Exposure Summary Report ?9-star-2013 Report ID : RSK038N Source : MSPNY General Summary Equity1(5) 19.833.509 Leverage 2 LMV (5) 11.283.926 Exp Leverage 3 SMV (5) (10.227.077) Box MV (5) 1.08 # Long Pos. 30 1.08 # Short Pos. 38 0 Long Liq.(days)4 1.46 Top 5 Longs (% Equity) 25.60 Top 10 Longs (% Equity) 37.50 Short Liq.(dayst 0.02 Top 5 Shorts (% Equity) (19.36) Top 10 Shorts (% Equity) (30.12) % of Gross MV with Liq.Fig 5 100.00 Fund Value at Risk (VaR)6 95 % Confidence Level VaR (5) °A. Equity 1 Day 5 Day (122.134) (0.62) (273.101) (1.38) 99 % Confidence Level VaR (5) % Equity 1 Day 5 Day (188.681) (0.95) (421.903) (2.13) Volatili ty Vol (% Equity) Vol (% Gross MV) 5.90 5.44 ndex Value at Risk (VaR) S&P 500 95% 99% 1 Day 5 Day (2.90) (6.48) (5.55) (12.41) Volatility 28.74 Stress Tests Market Value Breakdown Product Type MV (5) MV (% Equity ) Long Short Net Gross Long Short Net Gross Equities 11.283.926 (10.227.077) 1.056.849 21.511.004 56.89 (51.56) 5.33 108.46 Total 11.283.926 (10.227.077) 1.056.849 21,511.004 56.89 (51.56) 5.33 108.46 Notional Market Value Breakdown Product Type Notional (5) Long Short Notional 1% Equity 1 Net Gross Long Short Net Gross Total None Price I VolaIll ty Shocks (= as % Equity)? Volatility (%) Price (%) -30 -10 0 +10 +30 +50 +100 -30 (1.60) (1.60) (1.60) (1.60) (1.60) (1.60) (1.60) -20 (1.07) (1.07) (1.07) (1.07) (1.07) (1.07) (1.07) -10 (0.53) (0.53) (0.53) (0.53) (0.53) (0.53) (0.53) 0 0.00 0.00 0.00 0.00 0.00 0.00 0.00 10 0.53 0.53 0.53 0.53 0.53 0.53 0.53 20 1.07 1.07 1.07 1.07 1.07 1.07 1.07 30 1.60 1.60 1.60 1.60 1.60 1.60 1.60 1. Equity: Exclude restricted securities 2. Leverage: (Abs(L.MV) • Abs(ShiV)1/Equay. shore AbsOinckafes the lelesaute value' of the expression in parentheses 3. Exp Leverage : Gross exposure of bath aquas and Axed income secuites/Equey O. Liquidity: For a security. Abs(Ao. of shares in porddla)/21dayrnedon day/ &acting vaima. Fora hang or short podia°. the weighted &Mena Atitlitly of positions in the portkoo oorrespondkg lo Equity. Converhate Preferred and Warrant mambas Index Shocks (MI as % Equity)8 Index -30 -20 Index Shock (%) -10 +10 +20 +30 S&P 500 (3.10) (2.07) (1.03) 1.03 2.07 3.10 MSCI World Utilities (2.83) (1.88) (0.94) 0.94 1.88 2.83 S. % of Gross MV with Llafig : Gross UV of positions included in the Squidlycalculaion B. VaR: Maximum thee...Scat loss that can occur within the gram Aire Saari and coats:fence lave 7. Mica /Volatility Shocks: Stress lest of a0Ewly pies vs. °peen newead volahiees & lndac Shooks: Stress test aJ index moles. AV Equity pekes are moved in accordance with Char beta tote index. Page 1 of 3 As Reported On: 01-Apr-2013 4:35:34AM EFTA01117081 Morgan Stanley Account Number : ELEMASROL Account Name : Electron Master Fund Rollup Long/Short Risk and Exposure Summary Report 29-Mar-2013 Report ID : RSK038N Source : MSPNY Delta Adj. Exposure Analysis For All Et y Products Delta AdJ. Exp ($) Delta Adj. Exp (% Equity) Source Long Short Net Gross Long Short Net Gross Equities 11,283,926 (10,227,077) 1,056,849 21,511,004 56.89 (51.56) 533 108.46 Total 11,283,926 (10,227,077) 1,056,849 21,511,004 56.89 (51.56) 533 108.46 Syn Boxed 0 0 0.00 0.00 Beta Weighted Exposure Analysis (% Equity) Beta S&P 500 Beta MSCI World Utilities Long Short Net Long Short Net Long Short Net Long Short Nat Long Short Net 41.71 (31.39) 10.32 60.65 (51.25) 9.40 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Top 10 Net Long Delta Adj. Exposure Delta Adj. Exp BetaSPX BetadMIWOOUTO Name Source issuer GIGS Sector GIGS Industry (%Equlty) OP (days) (%Equlty) EXELON CORP COM Equities USA Utilities Electric Utilities 10.27 4.60 8.55 0.00 0.01 DOMINION RES INC COM STK Equities USA Utilities Multi-Utilities 4.05 1.37 2.84 0.00 0.01 GDF SUEZ (FRA L ISTING) Equities FRA Utilities Multi-Utilities 4.00 4.78 7.44 0.00 0.01 GREAT PLAINS ENERGY INC COM STK Equities USA Utilities Electric Utilities 3.80 2.36 3.91 0.00 0.03 CALPINE CORP Equities USA Utilities )dependent Power Producers & Energy Trader 3.48 2.74 4.03 0.00 0.01 VEOLIA ENVIRONNEMEN T ORDS Equities FRA Utilities Multi-Utilities 3.26 5.31 8.14 0.00 0.01 E.ON SE NA (GFR LISTING) Equities GFR Utilities Multi-Utilities 2.35 3.02 4.84 0.00 0.00 EOS RUSSIA (SWE LISTING) Equities SWE Utilities Electric Utilities 2.32 1.59 1.48 0.00 2.93 NRG ENERGY INC COM STK Equities USA Utilities 'dependent Power Producers & Energy Trader 2.04 1.98 2.97 0.00 0.00 TOSHIBA CORPORATION (REC:MAR/SEF Equities JPN Information Technology Computer Hardware 1.92 1.61 2.18 0.00 0.00 Top 10 Nat Short Delta AdJ. Exposure Delta Adj. Exp BetaSPX BeladMIWOOUT0 Name Source Issuer GIGS Sector GIGS Industry (%Equlty) Op (days) (%Equlty) FIRSTENERGY CORP COM STK Equities USA Utilities Electric Utilities (5.11) (2.36) (4.49) 0.00 O01 SOUTHERN CO COM STK Equities USA Utilities Electric Utilities (4.12) (1.11) (2.41) 0.00 O01 CONSOLIDATED EDISON INC COM STK Equities USA Utilities Multi-Utilities (3.69) (0.99) (2.19) 0.00 O01 SEMPRA ENERGY COM STK Equities USA Utilities Multi-Utilities (3.63) (2.01) (3.53) 0.00 0.01 MUELLER WTR PRODS INC COM STK Equities USA Industrials Industrial Machinery (2.82) (5.03) (6.45) 0.00 0.08 PPL CORP COM STK Equities USA Utilities Electric Utilities (2.56) (0.86) (1.76) 0.00 0.00 VERBUND AG (AUS LISTING) Equities AUS Utilities Electric Utilities (2.16) (1.67) (2.83) 0.00 0.08 RWE AG NPV (NEW ORDS EFF 11/27/200 Equities GFR Utilities Multi-Utilities (2.14) (2.39) (4.12) 0.00 0.00 SUEZ ENVIRONNEMENT (FRA LISTING) Equities FRA Utilities Multi-Utilities (1.95) (1.90) (2.38) 0.00 0.03 CLP HOLDINGS LIMITED HKDS ORDS Equities HOK Utilities Electric Utilities (1.94) (0.15) (0.36) 0.00 0.01 Page 2 of 3 As Reported On: 01-Apr-2013 4:35:34AM EFTA01117082 Morgan Stanley Long/Short Risk and Exposure Summary Report ?ft-gar-2013 Account Number : ELEMASROL Report ID : RSK038N Account Name : Electron Master Fund Rollup Source : MSPNY Delta Adj. Exposure Analysis For All Equity Products Long Short 0.000.000 1.000.000 2.000.000 0 -2.000.000 4,000.000 4.000.000 1 By Country(Top 10 Countries By Gross Exp) Countries Delta Adj. Exp ($) Delta Adj. Exp (% Equity) Long Short Net Gross Long Short Net Gross Untied States 4.969.889 (5,685,127) (715.238) 10,655,016 25.06 (28.66) (3.61) 53.72 France 1,439.027 (387,725) 1,051.301 1,826,752 7.26 (1.95) 5.30 9.21 Circa 847.765 (655,062) 192.704 1,502,827 4.27 (3.30) 0.97 7.58 /// 4, 4,,.r> c-') Japan Germany 747.300 466.186 (634,508) 112.792 (424,909) 41278 1,381,807 891,095 3.77 (3.20) 0.57 6.97 2.35 (2.14) 0.21 4.49 United Kingdom 0 (789,040) (789,040) 789,040 0.00 (3.98) (3.98) 3.98 Hong Kong 178.651 (385,401) (206,750) 564,052 0.90 (1.94) (1.04) 2.84 Sweden 460.420 0 460.420 460,420 2.32 0.00 2.32 2.32 Austria 0 (429,220) (429.220) 429,220 0.00 (2.16) (2.16) 2.16 Argentina 417.199 0 417.199 417.199 2.10 0.00 2.10 2.10 Total 11,283,926 (10.227,077) 1,056,849 21,511,004 56.89 (51.56) 5.33 108.46 By Market Cap Delta Adj. Exp ($) Delta Adj. Exp (% Equity) Market Cap Long Short Nat Gross Long Short Net Gross Mega (>. 20 bd.) 4,481,569 (2,190.193) 2,291.376 6,671.762 22.60 (11.04) 11.55 33.64 Large (>= 5 be.. <20 bit.) 2,916,423 (5,114231) (2.197,808) 8,030.654 14.70 (25.79) (11.08) 40.49 Mid (>= I bit.. <5 N.) 1,949,387 (1,749,574) 199.813 3,698.960 9.83 (8.82) 1.01 18.65 Small (> 0, < 1 bit) 1,936,547 (1,173,080) 763.467 3,109.627 9.76 (5.91) 3.85 15.68 Total 11,283,926 (10,227,077) 1,056,849 21,511,004 56.89 (51.56) 5.33 108.46 &4' By Sector defined by GICS Delta Adj. Exp ($) Delta Adj. Exp (% Equity) Sector Long Short Net Gross Long Short Net Gross Energy 120.974 (418,344) (297,370) 539,318 0.61 (2.11) (1.50) 2.72 Industrials 731.433 (1.309.233) (577,799) 2,040,666 3.69 (6.60) (2.91) 10.29 Information Technology 490.310 0 490.310 490,310 2.47 0.00 2.47 2.47 Materials 45.600 0 45.600 45.600 0.23 0.00 0.23 0.23 Utilities 9.895.609 (8.499.501) 1.396.109 18.395.110 49.89 (42.85) 7.04 92.75 ,.= e 404 C. Total 11.283.926 (10.227.077) 1,056.849 21,511,004 56.89 (51.56) 5.33 108.46 el. r> I O4" ./ l b 12400,000 8.000,000 4.000.000 0 4.000.000 4.000.000 12.000.000 Although Am report him bent prennvil tantesources. mach and data that Morgan Stank,' eilS, believes 67 he reasonably reliable. its aceurary. completenas or suitability cannot be guaranteed. Therefore. this tafaimanon m .supphed on cm AS IS" hum. and NO WARRANTY IS &GIDE AS TO ifs ACCUIUCE COMPLETEVECS, NON-INFRINGEATENT OF TllIRD P.ART1' MGM'S. MERCHANTABILITY OR FITNESS FORA PARTICULAR PURPOSE Funhennont the information. including poets and polsort& conainedm this report nay be mochfied by AM's (beim or their agent& and do not trim-taw the (Okla? Mats and reconia of MS. Ile 'impious of thit nroor avAlalle all risk; in relying on the mfonnatton set forth herein Page 3 of 3 As Roponed On: 01-Apr-2013 4:35:34AM EFTA01117083