Credit Suisse Delta One

Europe Market Commentary

Global Equity Strategy

29 September 2011

Short Selling Ban - Update

We strongly advise clients check with their own compliance department prior to trading Delta One Products.
Short Sell Ban
In summary, the below applies to each jurisdiction: FRANCE, BELGIUM, SPAIN and ITALY Effective: Duration: Names: Market open on 12 August 2011

France extended but will not go beyond 11/11/2011; Belgium until further notice; Italy extended until 11/11/2011; Spain extended until market conditions allow.

Financial names only - lists have been provided by each regulator

European Delta One

Index and Sector Swaps: Below are some examples of the larger Indices and Sectors that may be affected by this ban. SX7P (EURO STOXX Banks) SX7E (STOXX Europe 600 Banks) SXIP (STOXX Europe 600 Insurance) SXIE (EURO STOXX Insurance) IBEX 35 Index CAC 40 Index FTSE MIB Index BEL 20 Index Delta One Custom Alternatives: European Delta One has created fifteen Custom Baskets that EXCLUDE the restricted stocks in the larger Indices shown above. Five of these have been optimised to reduce tracking error.
Basket .CSERE022 .CSERE023 .CSERE020 .CSERE024 .CSERE030 .CSERE021 .CSERIBEX .CSERCACX .CSERMIBX .CSERBELX .CSERE029 .CSERE025 .CSERE026 .CSERE027 .CSERE028 Sector Description SX7P-Restricted SX7E-Restricted SXIP-Restricted SXIE-Restricted SXXP-Restricted SX5E-Restricted IBEX-Restricted CAC-Restricted MIB-Restricted BEL20-Restricted SX5E-Restricted IBEX-Restricted CAC-Restricted MIB-Restricted BEL20-Restricted Benchmark SX7P SX7E SXIP SXIE SXXP SX5E IBEX CAC FTSEMIB BEL20 SX5E IBEX CAC FTSEMIB BEL20 Tracking Error 1.14% 1.92% 1.60% 1.52% 1.06% 0.27% 1.64% 1.64% 1.69% 1.37% 0.20% 0.47% 0.21% 0.65% 0.31%

36% 81% 19% 34% 32% 12% 35% 12%

Optimised

Region

Credit Suisse Delta One

Global Equity Strategy

These are ready to trade and currently on Bloomberg Please see CSUK page on Bloomberg Please call the Delta One Marketing Desk for more information Details overleaf Single Stock Swaps: For new trades, we can offer short swap performance on any of the restricted stocks if the client confirms this does not increase their net short exposure.

Stock Loan For Prime Brokerage/cash positions, we require the same confirmation on any of the securities affected by the ban before the stock borrow can be approved and the short facilitated.

Links to regulator websites:

Italy http://www.consob.it/mainen/press_release/comunicato_20110825.htm http://www.consob.it/mainen/target/markets_partecipants/faq_short_selling/index.html http://www.consob.it/mainen/press_release/comunicato_20110812.htm NEW: http://www.consob.it/main/documenti/comunicatistampa/cs-2011.html France http://www.amf-france.org/documents/general/10122_1.pdf http://www.amf-france.org/documents/general/10111_1.pdf http://www.amf-france.org/documents/general/10109_1.pdf NEW: http://www.amf-france.org/documents/general/10149_1.pdf Spain http://www.cnmv.es/loultimo/Comunicado%20short%20selling%2025%2008%2011%20ENGLISH.pdf http://www.cnmv.es/loultimo/short%20ban.pdf NEW: http://www.cnmv.es/loultimo/Comunicado%20short%20selling%2028%2009%2011%20ENGLISH.pdf Belgium http://www.esma.europa.eu/popup2.php?id=7716 http://www.fsma.be/en/OtherNews/Article/press/div/2011-08-11_shortselling.aspx#_ftn1 ESMA http://www.esma.europa.eu/index.php?page=home_details&id=595

Credit Suisse Delta One

Global Equity Strategy

More Analysis & Reports in EDGE:

Our website Edge (http://www.credit-suisse.com/edge) contains many analytic tools for traders and PMs All Portfolio & Derivatives Strategy reports are available on Edge under Resources>Strategy Library You can also reach EDGE from the CS Research & Analytics site, on the Equities tab, under Further Analysis > EDGE (on the right-hand sidebar) For access to EDGE, contact Delta One Marketing

Disclaimer
This material has been prepared by individual sales and/or trading personnel of Credit Suisse Securities (Europe) Limited or its subsidiaries or affiliates (collectively "Credit Suisse") and not by Credit Suisse's research department. It is not investment research or a research recommendation for the purposes of FSA rules as it does not constitute substantive research or analysis. All Credit Suisse research recommendations can be accessed through the following hyperlink: https://s.research-andanalytics.csfb.com/login.asp subject to the use of a suitable login. This material is provided for information purposes, is intended for your use only and does not constitute an invitation or offer to subscribe for or purchase any of the products or services mentioned. The information provided is not intended to provide a sufficient basis on which to make an investment decision. It is intended only to provide observations and views of the said individual sales and/or trading personnel, which may be different from, or inconsistent with, the observations and views of Credit Suisse analysts or other Credit Suisse sales and/or trading personnel, or the proprietary positions of Credit Suisse. Observations and views of the salesperson or trader may change at any time without notice. Information and opinions presented in this material have been obtained or derived from sources believed by Credit Suisse to be reliable, but Credit Suisse makes no representation as to their accuracy or completeness. Credit Suisse accepts no liability for loss arising from the use of this material. This material is directed exclusively at Credit Suisse's market professional and institutional investor customers ie market counterparties and intermediate customers as defined by the rules of the Financial Services Authority. 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It is provided for informational purposes, is intended for your use only and does not constitute an invitation or offer to subscribe for or purchase any of the products or services mentioned. The information provided is not intended to provide a sufficient basis on which to make an investment decision. It is intended only to provide observations and views of individual traders or sales personnel, which may be different from, or inconsistent with, the observations and views of CSSU research department analysts, other CSSU traders or sales personnel, or the proprietary positions of CSSU. Observations and views expressed herein may be changed by the trader or sales personnel at any time without notice. Trade report information is preliminary and subject to our formal written confirmation. CSSU may, from time to time, participate or invest in transactions with issuers of securities that participate in the markets referred to herein, perform services for or solicit business from such issuers, and/or have a position or effect transactions in the securities or derivatives thereof. To obtain a copy of the most recent CSSU research on any company mentioned please contact your sales representative or go to Research & Analytics. FOR IMPORTANT DISCLOSURES on companies covered in Credit Suisse Investment Banking Division research reports, please see www.creditsuisse.com/researchdisclosures Backtested, hypothetical or simulated performance results have inherent limitations. Simulated results are achieved by the retroactive application of a backtested model itself designed with the benefit of hindsight. The backtesting of performance differs from the actual account performance because the investment strategy may be adjusted at any time, for any reason and can continue to be changed until desired or better performance results are achieved. Alternative modeling techniques or assumptions might produce significantly different results and prove to be more appropriate. Past hypothetical backtest results are neither an indicator nor a guarantee the analysis. of future returns. Actual results will vary from Past performance should not be taken as an indication or guarantee of future performance, and no representation or warranty, expressed or implied is made regarding future performance. The information set forth above has been obtained from or based upon sources believed by the trader or sales personnel to be reliable, but each of the trader or sales personnel and CSSU does not represent or warrant its accuracy or completeness and is not responsible for losses or damages arising out of errors, omissions or changes in market factors. This material does not purport to contain all of the information that an interested party may desire and, in fact, provides only a limited view of a particular market.