EFTA01117081.pdf

Morgan Stanley Long/Short Risk and Exposure Summary Report ?9-star-2013 Account Number : ELEMASROL Report ID : RSK038N Account Name : Electron Master Fund Rollup Source : MSPNY General Summary Equity1(5) 19.833.509 Leverage 2 1.08 # Long Pos. 30 Long Liq.(days)4 1.46 Top 5 Longs (% Equity) 25.60 Top 10 Longs (% Equity) 37.50 LMV (5) 11.283.926 Exp Leverage 3 1.08 # Short Pos. 38 Short Liq.(dayst 0.02 Top 5 Shorts (% Equity) (19.36) Top 10 Shorts (% Equity) (30.12) SMV (5) (10.227.077) Box MV (5) 0 % of Gross MV with Liq.Fig 5 100.00 Fund Value at Risk (VaR)6 Market Value Breakdown 95 % Confidence Level MV (5) MV (% Equity ) Product Type VaR (5) °A. Equity Long Short Net Gross Long Short Net Gross 1 Day (122.134) (0.62) Equities 11.283.926 (10.227.077) 1.056.849 21.511.004 56.89 (51.56) 5.33 108.46 5 Day (273.101) (1.38) Total 11.283.926 (10.227.077) 1.056.849 21,511.004 56.89 (51.56) 5.33 108.46 99 % Confidence Level VaR (5) % Equity 1 Day (188.681) (0.95) 5 Day (421.903) (2.13) Volatili ty Notional Market Value Breakdown Vol (% Equity) Vol (% Gross MV) Notional (5) Notional 1% Equity 1 Product Type 5.90 5.44 Long Short Net Gross Long Short Net Gross ndex Value at Risk (VaR) S&P 500 Total 95% 99% 1 Day (2.90) (5.55) 5 Day (6.48) (12.41) None Volatility 28.74 Stress Tests Price I VolaIll ty Shocks (= as % Equity)? Index Shocks (MI as % Equity)8 Volatility (%) Index Shock (%) Price (%) -30 -10 0 +10 +30 +50 +100 Index -30 -20 -10 +10 +20 +30 -30 (1.60) (1.60) (1.60) (1.60) (1.60) (1.60) (1.60) S&P 500 (3.10) (2.07) (1.03) 1.03 2.07 3.10 -20 (1.07) (1.07) (1.07) (1.07) (1.07) (1.07) (1.07) MSCI World Utilities (2.83) (1.88) (0.94) 0.94 1.88 2.83 -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 S. % of Gross MV with Llafig : Gross UV of positions included in the Squidlycalculaion 2. Leverage: (Abs(L.MV) • Abs(ShiV)1/Equay. shore AbsOinckafes the lelesaute value' of the expression in parentheses B. VaR: Maximum thee...Scat loss that can occur within the gram Aire Saari and coats:fence lave 3. Exp Leverage : Gross exposure of bath aquas and Axed income secuites/Equey 7. Mica /Volatility Shocks: Stress lest of a0Ewly pies vs. °peen newead volahiees O. Liquidity: For a security. Abs(Ao. of shares in porddla)/21dayrnedon day/ &acting vaima. Fora hang or short podia°. the & lndac Shooks: Stress test aJ index moles. AV Equity pekes are moved in accordance with Char beta tote index. weighted &Mena Atitlitly of positions in the portkoo oorrespondkg lo Equity. Converhate Preferred and Warrant mambas Page 1 of 3 As Reported On: 01-Apr-2013 4:35:34AM EFTA01117081  Long/Short Risk and Exposure Summary Report Morgan Stanley 29-Mar-2013 Account Number : ELEMASROL Report ID : RSK038N Account Name : Electron Master Fund Rollup 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  Long/Short Risk and Exposure Summary Report Morgan Stanley ?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 1 By Country(Top 10 Countries By Gross Exp) 0.000.000 1.000.000 Delta Adj. Exp ($) Delta Adj. Exp (% Equity) 2.000.000 Countries Long Short Net Gross Long Short Net Gross 0 Untied States 4.969.889 (5,685,127) (715.238) 10,655,016 25.06 (28.66) (3.61) 53.72 -2.000.000 France 1,439.027 (387,725) 1,051.301 1,826,752 7.26 (1.95) 5.30 9.21 4,000.000 Circa 847.765 (655,062) 192.704 1,502,827 4.27 (3.30) 0.97 7.58 4.000.000 Japan 747.300 (634,508) 112.792 1,381,807 3.77 (3.20) 0.57 6.97 ./ I O4" /// 4, c-') 4,,.r> Germany 466.186 (424,909) 41278 891,095 2.35 (2.14) 0.21 4.49 l b 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 ($) Delta Adj. Exp (% Equity) Market Cap Long Short Nat Gross Long Short Net Gross Mega (>. 20 bd.) 4,481,569 (2,190.193) 2,291.376 6,671.762 22.60 (11.04) 11.55 33.64 Large (>= 5 be.. <20 bit.) 2,916,423 (5,114231) (2.197,808) 8,030.654 14.70 (25.79) (11.08) 40.49 Mid (>= I bit.. <5 N.) 1,949,387 (1,749,574) 199.813 3,698.960 9.83 (8.82) 1.01 18.65 Small (> 0, < 1 bit) 1,936,547 (1,173,080) 763.467 3,109.627 9.76 (5.91) 3.85 15.68 Total 11,283,926 (10,227,077) 1,056,849 21,511,004 56.89 (51.56) 5.33 108.46 &4' By Sector defined by GICS 12400,000 8.000,000 Delta Adj. Exp ($) Delta Adj. Exp (% Equity) 4.000.000 Sector Long Short Net Gross Long Short Net Gross 0 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 4.000.000 Information Technology 490.310 0 490.310 490,310 2.47 0.00 2.47 2.47 4.000.000 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 12.000.000 ,.= 404 C. Total 11.283.926 (10.227.077) 1,056.849 21,511,004 56.89 (51.56) 5.33 108.46 e el. r> 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 ASIS" 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 andpolsort& conainedm this report nay be mochfied by AM's (beim or their agent& and do not trim-taw the (Okla? Mats and reconia ofMS. Ile 'impious of thit nroor avAlalle allrisk; in relying on the mfonnatton setforth herein Page 3 of 3 As Roponed On: 01-Apr-2013 4:35:34AM EFTA01117083