Credit Suisse Securities (USA) LLC

Delta One Handbook

Title
Subtitle
ETFs, Futures and Swaps – North America

Confidential

September 2009
 Delta One Handbook

Table of Contents

ETF Overview 1

Leveraged ETFs 4

Futures Overview 6

Index Swap Overview 7

US ETF Product List 9

Additional Information 15
 Delta One Handbook
Delta –One
ETFHandbook
Overview

Exchange Traded Fund (ETF) Overview1

ETFs are open ended funds that trade on an exchange like stocks. They provide investors with opportunities to gain exposure
to broad benchmark indices, countries, sectors, or investment styles. Some recent ETFs have provided exposure to currencies,
commodities, and fixed income returns, with the same ease and cost as trading regular stocks. For a typical equity index ETF,
the fund will hold an underlying basket of stocks to generate the index exposure represented by ownership in the ETF shares.

In comparison to mutual funds, ETFs are less expensive, more transparent, and easier to trade. ETFs incur standard stock
commissions and are priced in real-time throughout the trading day. The ETF provider handles all index changes and rebalances,
and each share of the ETF represents the economics of ownership in the underlying index, with no multiplier.

How Does an ETF Work?

Let’s follow a block order for 1 million shares of an equity index ETF. This shall demonstrate how the secondary market trading
of ETFs (the primary market being the creation/redemption facility, which enables ETF providers to affect an issuance of new
ETF shares in exchange for a basket of the ETF’s underlying stocks) maintains the fund’s efficiency and its continued trading
in-line with its underlying index.

When the client places the 1 million share order the market maker has three options:

1. Buy the ETF shares in the market: depending upon the ETF’s on-exchange liquidity, this could potentially result in a dis-
crepancy between the price of the ETF shares and the underlying index the ETF tracks, therefore, leading to a potential
arbitrage opportunity.

2. Buy futures and facilitate the ETF to the client at the futures equivalent ETF price.

3. Buy the basket of underlying stocks and facilitate the ETF to the client at the basket’s executed NAV equivalent ETF
price.

Execution Process of 3 Order Options

Option #1: Buy ETF Shares Option #2: Buy Futures

Long ETF Shares Credit Long Futures Credit

Market Market
Suisse Suisse
$$$$$$$ $$$$$$$

Option #3: Buy Basket of Underlying Stocks

Long Basket Credit

Market
Suisse
$$$$$$$

By choosing Option #2 or #3, the market maker can tap additional sources of liquidity to facilitate the client's order (often without
significantly impacting the ETF price), if insufficient liquidity exists in the secondary market alone.

Result of Order Options

Option #1: Buy ETF Shares Option #2: Buy Futures

Credit Suisse: Client Credit Suisse: Client
Deliver ETF Deliver ETF
Long ETF Shares Long ETF Long Futures Long ETF

Option #3: Buy Basket of Underlying Stocks

Credit Suisse: Client

Deliver ETF
Long Basket Long ETF

#
1
1 Source: Credit Suisse Delta One Desk (note this also applies to all charts on this page).
 Delta One Handbook – ETF Overview

Assuming the market maker wishes to flatten his book at the end of the day, he will “create” 1 million shares of the ETF by virtue
of being an “authorized participant” by the ETF provider. Through this creation/redemption facility (which is typically in-kind),
the market maker will receive 1 million shares of the ETF at that night’s official NAV in exchange for delivering the underlying
basket of stocks at that night’s official closing prices.

Creation/Redemption Facility and EFP Mechanics

If the market maker hedged the ETF with the stock basket
Underlying Cash Basket during the day, then he is now flat. If he hedged with futures
ETF Market ETF
and created the ETF, he would have to short the basket to the
Maker ETF Shares at NAV
Provider ETF provider in exchange for the ETF shares, thus leaving him
short the stock basket and long the futures.

An exchange-for-physical (EFP) transaction enables the market maker to flatten his cash basket vs. futures position. The EFP
would be quoted in terms of the futures’ fair value to the cash index (please refer to our Futures Overview section for more infor-
mation and relevant calculations). An EFP can also be traded for futures vs. an ETF or vs. the underlying basket of stocks.

In summary, through the use of multiple hedging sources (ETF shares, futures, and stock baskets) used in conjunction with the
creation / redemption process, ETFs are able to remain efficient and generally liquid index tracking products.

Advantages of ETFs Applications of ETFs

Convenience
ƁƁ With a single execution, an investor can quickly obtain exposure to
a basket of stocks without any additional infrastructure or admin-
istrative setup.
Liquidity
ƁƁ Derived mainly from the arbitrage between the ETF product and the
underlying stocks or futures. ETF dealers will typically commit capi-
tal for block transactions, and then access the underlying basket's
components in order to create the products to facilitate the trade.
Diversification and Variety
ƁƁ ETFs allow investors to obtain diversification quickly, which is invalu-
able in volatile markets.
ƁƁ They provide a broad range of exposure to various markets, sectors,
industries, and capitalization ranges and styles.
Source: Credit Suisse Delta One Desk
Controlling Equity Exposure
ƁƁ Investors use ETFs to equitize idle cash as well as manage daily
cash inflows and outflows.
Managing Sector Exposure
ƁƁ Investors have a wide selection of ETFs to choose from to control
the sector and industry exposure of their portfolios.
Hedging
ƁƁ ETFs provide greater flexibility and efficiency for hedging portfo-
lios.
ƁƁ Because the US-listed product space is substantial, end-of-day
hedging activities across multiple asset classes can be easily
facilitated.
"Completing" a Portfolio
ƁƁ ETFs can be used to fill voids in a portfolio. For instance, an inves-
tor who is benchmarked to an index may find a segment of the
market is missing in his portfolio. The investor can then use ETFs
to gain exposure to that segment.

Relative Value Trading

ƁƁ ETFs can be used to take long-short positions in various combina-
tions. The positions may relate to size, style, sector, or industry
outlook.
Source: Credit Suisse Delta One Desk
The US ETF Market2
There are currently almost 900 ETFs listed in the US alone that provide exposure to nearly every investment theme an investor
could demand. While equity-based ETFs account for roughly 75% of all ETFs, there are still over 200 options for investing in
debt, commodities, currencies and even volatility.
Breaking down the ETF universe by category, we find that sector-specific equity funds comprise the bulk of the offerings by
number of funds (1 in 3 funds is targeted at a specific equity sector), although less than 15% of overall ETF assets are invested
in these ETFs. Another 1 in 4 funds invest in the broad US equity market, but these 215 funds differentiate themselves by
using different weighting methodologies, different benchmark indices, or style/size focuses. These broad market ETFs account
for the largest share of assets, nearly one-third.
The remaining 25% of ETFs enable traditional equity-only investors to enjoy the diversification benefits of investing in other
asset classes.
2 Source: Credit Suisse Portfolio Strategy: "Move Over Single Stocks! ETFs Are the New New Thing." Victor
2
Lin, Ana Avramovic, 29 April 2009 (this includes the charts above)
 Delta One Handbook – ETF Overview

ETF Breakdown by Category (Number of Funds) ETF Breakdown by Category ($ Assets)

Source: Credit Suisse Portfolio Strategy: Move Over Single Stocks! ETFs Are the New New Thing. Victor Lin, Ana Avramovic, 29 April 2009

US Volume Growth Fuelled by ETFs3

The proliferation in ETF offerings has been a significant factor in the dramatic increase of US volumes, particularly in the past
year. As average daily volumes surged to over 12 billion shares/day in March (a 50% increase over the same period last year),
ETF daily volumes had nearly doubled YoY. ETFs are now responsible for about 15% of all trading in US equity markets, though
they did hit a high of 25% earlier this year (see the charts below).

ETF Daily $Value Traded as a % of all US ETF Daily Volume Traded as a % of all US

Source: Credit Suisse AES® Analysis

Latest Trends in the ETF Market4

Even though the global rally stalled somewhat in June, ETFs again had net inflows of over $13bn overall during the month
(which was only slightly below May’s total of $15bn). From a sector perspective, note also that financial and energy ETF funds
still hold the most assets.

ETF Asset Flow (billions) Cumulative ETF Flows YTD (billions)

Source: Credit Suisse Portfolio Strategy

3 Source: Credit Suisse Portfolio Strategy: "Move Over Single Stocks! ETFs Are the New New Thing." Victor Lin, Ana Avramovic, 29 April 2009
3
4. Source: Credit Suisse Portfolio Strategy: "Beta Rotation." Victor Lin, 15 July 2009
 Delta One Handbook – Leveraged ETFs

Give Me More! Leveraged ETFs5

As ETFs gain in popularity, providers are constantly inventing new ways to expand their reach. Going beyond simply expanding
into new markets and more targeted investment themes, 2008 saw the introduction of triple leveraged ETFs (double leveraged
ETFs have been available since the ProShares Ultras launched in June 2006). These ETFs aim to return 3 times (or negative 3
times) their benchmark index. Note that short ETFs, while purportedly only providing 1x market exposure, are sometimes also
classified as leveraged ETFs due to their daily resetting.

Leveraged ETFs 15% of ETF Market (by # of Funds)

Leveraged Leveraged (2-3x) and short ETFs together comprise 15% of the ETF market based on
(2x–3x) number of funds. However, these products punch above their weight. They account for
12% an impressive 35%-40% of ETF trading volume! The leverage and volatility in these ETFs
Short are typically more suited for short-term trading and this is reflected in the lower duration
2%
holding periods and higher trading volumes for these ETFs.

Long
86%

Source: Credit Suisse Portfolio Strategy

“Surprising” Performance with Leveraged ETFs6

Despite volatility more than quadrupling in the past 2 years, leveraged ETFs have been the single most popular recent inven-
tion in the ETF market. However, certain misunderstandings about the structure of these funds have caused confusion among
investors regarding performance.

One of the biggest misunderstandings investors have is with the expected leveraged return of these products. These ETFs are
only designed to provide double (or triple) the return of the underlying index on a daily basis. Over the course of just a month, the
performance deviation can be significantly different than the expected 2x or 3x notional, as indicated in the following charts:

Long-run returns of SKF (ProShares UltraShort Financials)

fail to hedge UYG (Proshares Ultra Financials) Daily Price Change Scatter Plot

Source: Credit Suisse Portfolio Strategy

Leveraged ETF Resets and Compounding6

When you buy an investment on credit, as the investment goes up, your leverage actually reduces. (Leverage = Assets / [Assets
- Borrowings], so as assets increase, leverage falls). However it would be very difficult to explain to a 3x ETF buyer that today’s
leverage is actually 2.7x, because the market is “up recently”. To ensure every new investor gets the advertised leverage ratio,
the ETFs (and the indices) reset their leverage at the end of each day:

ƁƁ After making a gain – they need to increase their exposure.

ƁƁ After making a loss – they need to decrease their exposure (and repay borrowings).

5 Source: Credit Suisse Portfolio Strategy: "Move Over Single Stocks! ETFs Are the New New Thing." Victor Lin, Ana Avramovic, 29 April 2009
4
6 Source: Credit Suisse Portfolio Strategy: "Triple Trouble." Phil Mackintosh, Victor Lin, 23 March 2009
 Delta One Handbook – Leveraged ETFs

This means the ETFs need to rebalance each night. Thus, the funds will tend to buy on up days and sell on down days, with
the trade typically larger during volatile sessions.

For example, on a down day, the short ETF makes gains and the long ETF losses – so the short ETF sells in order to add to
exposure while the long ETF sells to reduce exposure.

This re-investment process is similar to the negative gamma experienced by options market makers. As the ETF buys high and
sells low, in a volatile market, this reduces performance. However in a trending market, it compounds gains on gains – exag-
gerating the momentum, and of course the exposure.

The Bottom Line

Leverage and Compounding
Because of the dynamic rebalancing of the ETF (discussed
above) there is a significant degree of path dependency of
returns. Those who perfectly time the market can ride momen-
tum and substantially increase gains, while during trending
markets, the leveraged ETFs give outsized exposure to the
overall trend.

Long-term holders however can easily see that gains increase

exposure to a market correction, losses reduce exposure to a
market correction, and range-bound markets (like those high- Source: Credit Suisse Portfolio Strategy
lighted in 2004), are generally not suited to leveraged ETFs. Performance will show a gradual decay due to the borrow costs,
and negative stock timing.

The Historic Performance of 2x Long and Short Funds (using real market returns and volatility)

Source: Credit Suisse Portfolio Strategy

To summarize, long-term holders should note that these funds perform well in momentum, but poorly when
volatility rises or markets turn. Consequently, these products are generally better suited to short-term, active
trading, than to longer-term investing.

5
 Delta One Handbook – Futures Overview

What Is a Futures Contract?7

Definition

Futures are contractual agreements made between two parties through a regulated futures exchange. The parties agree to buy
or sell an asset - livestock, a foreign currency, or some other item - at a certain time in the future at a mutually agreed upon
price. Each futures contract specifies the quantity and quality of the item, expiration month, the time of delivery and virtually all
the details of the transaction except price, which the two parties negotiate based on current market conditions. Some futures
contracts call for the actual, physical delivery of the underlying commodity or financial instrument at contract termination. Others
simply call for a cash settlement at contract termination. Generally, however, market participants do not hold their futures con-
tracts until termination but rather offset futures contracts they have bought ("gone long") by a subsequent sale; or, offset futures
contracts they have sold ("gone short") by a subsequent purchase.

Contract’s Characteristics

The exchange's clearinghouse acts as counterparty on all contracts, sets margin requirements, and crucially also provides a
mechanism for settlement. An Initial margin is the deposit required to maintain either a short or long position in a futures con-
tract. Maintenance margin is the amount of initial margin that must be maintained for that position. A margin call is triggered
when the value of your account drops below the maintenance margin.

Naming Conventions

Standard codes for each monthly maturity correspond to the following:

F – January J – April N – July V – October

G – February K – May Q – August X – November
H – March M – June U – September Z – December

Summary

Futures are easy to long or short and tend to offer high levels of liquidity and generally low transaction costs, making it especially
well suited for higher frequency trading. The extra leverage futures provide can also be a significant benefit. Roll risk tends to
be an oft-cited concern with futures and the need to monitor margin requirements can be an operational burden and variable
risk to cash flows. However, the main downside is the relatively few benchmarks that futures directly track.

A High Turnover Portfolio Tracking a Popular Benchmark

Can Be Well-Suited to Futures Rapid Growth in Futures Volumes

Source: Credit Suisse Portfolio Strategy

7 Source: Credit Suisse Portfolio Strategy (note that this applies to all charts on this page)
6
 Delta One Handbook – Index Swap Overview

What Is a Swap?8
An OTC instrument between two counterparties that provides synthetic equity exposure in exchange for a funding spread.
Scenario #1, a client wants $1 billion long exposure to the SPTR index. The client and swap dealer’s positions are as follows:

Credit Suisse Client

ƁƁ Short Swap (receives funding) ƁƁ Long Swap (pays funding)

ƁƁ Receives negative equity index return ƁƁ Receives positive equity index return
ƁƁ Pays positive equity index return ƁƁ Pays negative equity index return

Mechanics of a Swap Scenario #1

In order to hedge the Swap Dealer buys underlying S&P stocks and borrows cash to fund the position. From the Swap Dealer’s
perspective the trade will now be Delta Neutral. From the client’s perspective, no upfront cash is required, but a second interest
leg is paid on the equity notional amount (usually a spread versus Libor).

Swap Scenario #1:Client LONG Swap

Positive Index
Credit Performance
Client
Suisse Negative Index
Performance

3-month Libor + Spread

Swap Scenario #2: Client SHORT Swap

Credit Suisse Client

ƁƁ Long Swap (pays funding) ƁƁ Short Swap (receives funding)

ƁƁ Receives positive equity index return ƁƁ Receives negative equity index return
ƁƁ Pays negative equity index return ƁƁ Pays positive equity index return

Mechanics of Swap Scenario #2

In order to hedge the Swap Dealer sells underlying S&P stocks and receives interest (less stock borrow fees) on cash raised
via the short sale. From the Swap Dealer’s perspective the trade will now be Delta Neutral. From the client’s perspective, they
will be paid back the interest in the form of the interest leg.

Swap Scenario #2: Client SHORT Swap

Positive Index
Credit Performance
Client
Suisse Negative Index
Performance

3-month Libor + Spread

8 Source: Credit Suisse Delta One Desk (note that this applies to all charts on this page)
7
 Delta One Handbook – Index Swap Overview

What Is the Cost of a Swap?

Swap prices typically refer to the interest spread charged on the equity notional amount. The spread can be added to or sub-
tracted from Libor depending on the cost of funding the position and the value in loaning the underlying stocks. For instance,
if stocks have a high loan value the client may pay Libor minus 35bps to go long and potentially capture outperformance on an
existing position.

Advantages of Trading Swaps

Low Transaction Costs
ƁƁ With swaps, there is one execution cost instead of multiple stock execution costs on the entire basket.
ƁƁ If the client goes short synthetically via swap, then there is no need to borrow stock and the funding spread incorporates the aggregated short
rate.

Leverage
ƁƁ Accessibility to leverage as per standard Credit Suisse margin policy.

Market Access
ƁƁ Have the ability to trade specific sectors or regional indices on swap which may not have an appropriate ETF or futures contract.

Anonymity
ƁƁ The owner of swap receives economics of ownership, but Credit Suisse is the beneficial owner of the underlying shares. Therefore, the client
doesn't need to declare ownership to any exchange.

Client Bespoke and Research Baskets

Occasionally, listed benchmark and sector indices will not cut
it. Perhaps a stock in an index is relatively expensive to borrow
and therefore drives up the cost of shorting the swap. In these
instances and more, clients can create their own customized
indices to express a specific view on swap. Our research and
portfolio strategy teams regularly create custom baskets to make
specific trade ideas easily tradable.

With customized baskets clients have the ability to maintain an

entire portfolio with the ease of a single, unique ticker and index
price. The mechanics are identical to those of standard index and
sector swaps, and the index price will appear live and in real time
on Bloomberg just like listed indices. View these custom indices,
relevant swap spreads, and more on Bloomberg via CSUS (Go).
Some screenshots of the CSUS page have been included here:

Source: Bloomberg (CSUS)

8
 Delta One Handbook – US ETF Product List

US ETF Product List

Nam e Ticker Nam e Ticker
Broad Market Dom estic Value (continued)
Fidelity NASDAQ Composite Index Tracking Stock ONEQ Rydex S&P 500 Pure Value ETF RPV
iShares Dow Jones US Index Fund IYY Rydex S&P Midcap 400 Pure Value ETF RFV
iShares NYSE Composite Index Fund NYC Rydex S&P Smallcap 600 Pure Value ETF RZV
iShares Russell 3000 Index Fund IWV SPDR DJ Wilshire Large Cap Value ETF ELV
iShares S&P 1500 Index Fund ISI SPDR DJ Wilshire Mid Cap Value ETF EMV
SPDR DJ Wilshire Total Market ETF TMW SPDR DJ Wilshire Small Cap Value ETF DSV
Vanguard Total Stock Market ETF VTI Vanguard Mega Cap 300 Value ETF MGV
Vanguard Total World Stock Index Fund VT Vanguard Mid-Cap Value Index Fund VOE
Vanguard Small-Cap Value ETF VBR
Dom estic Large Cap Vanguard Value ETF VTV
iShares Morningstar Large Core Index Fund JKD
iShares NYSE 100 Index Fund NY Dom estic Sector
iShares Russell 1000 Index Fund IWB Claymore/NYSE Arca Airline ETF FAA
iShares S&P 100 Index Fund OEF Claymore Morningstar Information Super Sector Index ETF MZN
iShares S&P 500 Index Fund/US IVV Claymore Morningstar Manufacturing Super Sector Index ETF MZG
Powershares QQQ QQQQ Claymore Morningstar Services Super Sector Index ETF MZO
Rydex Russell Top 50 ETF XLG Claymore/Sabrient Defender ETF DEF
Rydex S&P Equal Weight ETF RSP First Trust AMEX Biotechnology Index Fund FBT
DIAMONDS Trust Series I DIA First Trust Dow Jones Internet Index Fund FDN
SPDR DJ Wilshire Large Cap ETF ELR First Trust ISE Water Index Fund FIW
SPDR Trust Series 1 SPY First Trust ISE-Revere Natural Gas Index Fund FCG
Vanguard Large-Cap ETF VV First Trust NASDAQ Clean Edge US Liquid Series Index Fund QCLN
Vanguard Mega Cap 300 ETF MGC First Trust NASDAQ-100 Ex-Technology Sector IndexSM Fund QQXT
First Trust NASDAQ-100 Technology Index Fund QTEC
Dom estic Mid Cap First Trust S&P REIT Index Fund FRI
iShares Morningstar Mid Core Index Fund JKG B2B Internet HOLDRs Trust BHH
iShares Russell Midcap Index Fund IWR Biotech HOLDRs Trust BBH
iShares S&P MidCap 400 Index Fund IJH Broadband HOLDRs Trust BDH
Midcap SPDR Trust Series 1 MDY Internet Architecture HOLDRs Trust IAH
SPDR DJ Wilshire Mid Cap ETF EMM Internet HOLDRs Trust HHH
Vanguard Mid-Cap ETF VO Internet Infrastructure HOLDRs Trust IIH
Oil Service HOLDRs Trust OIH
Dom estic Sm all Cap Pharmaceutical HOLDRs Trust PPH
Claymore/Sabrient Stealth ETF STH Regional Bank HOLDRs Trust RKH
First Trust Dow Jones Select Microcap Index Fund FDM Retail HOLDRs Trust RTH
iShares Morningstar Small Core Index Fund JKJ Semiconductor HOLDRs Trust SMH
iShares Russell 2000 Index Fund IWM Software HOLDRs Trust SWH
iShares Russell Microcap Index Fund IWC Telecom HOLDRs Trust TTH
iShares S&P SmallCap 600 Index Fund IJR Utilities HOLDRs Trust UTH
PowerShares FTSE NASDAQ Small Cap Portfolio PQSC Wireless HOLDRs Trust WMH
Powershares Zacks Micro Cap Portfolio PZI iShares Cohen & Steers Realty Majors Index Fund ICF
PowerShares Zacks Small Cap Portfolio PZJ iShares Dow Jones Transportation Average Index Fund IYT
SPDR DJ Wilshire Small Cap ETF DSC iShares Dow Jones US Aerospace & Defense Index Fund ITA
Vanguard Extended Market ETF VXF iShares Dow Jones US Basic Materials Sector Index Fund IYM
Vanguard Small-Cap ETF VB iShares Dow Jones US Broker Dealers Index Fund IAI
iShares Dow Jones US Consumer Goods Sector Index Fund IYK
Dom estic Growth iShares Dow Jones US Consumer Services Sector Index Fund IYC
iShares Morningstar Large Growth Index Fund JKE iShares Dow Jones US Energy Sector Index Fund IYE
iShares Morningstar Mid Growth Index Fund JKH iShares Dow Jones US Financial Sector Index Fund IYF
iShares Morningstar Small Growth Index Fund JKK iShares Dow Jones US Financial Services Index Fund IYG
iShares Russell 1000 Growth Index Fund IWF iShares Dow Jones US Healthcare Providers Index Fund IHF
iShares Russell 2000 Growth Index Fund IWO iShares Dow Jones US Healthcare Sector Index Fund IYH
iShares Russell 3000 Growth Index Fund IWZ iShares Dow Jones US Home Construction Index Fund ITB
iShares Russell Midcap Growth Index Fund IWP iShares Dow Jones US Industrial Sector Index Fund IYJ
iShares S&P 500 Growth Index Fund IVW iShares Dow Jones US Insurance Index Fund IAK
iShares S&P MidCap 400 Growth Index Fund IJK iShares Dow Jones US Medical Devices Index Fund IHI
iShares S&P SmallCap 600/BARRA Growth Index Fund IJT iShares Dow Jones US Oil & Gas Exploration & Production Index Fund IEO
Rydex S&P 500 Pure Growth ETF RPG iShares Dow Jones US Oil Equipment & Services Index Fund IEZ
Rydex S&P Midcap 400 Pure Growth ETF RFG iShares Dow Jones US Pharmaceuticals Index Fund IHE
Rydex S&P Smallcap 600 Pure Growth ETF RZG iShares Dow Jones US Real Estate Index Fund IYR
SPDR DJ Wilshire Large Cap Growth ETF ELG iShares Dow Jones US Regional Banks Index Fund IAT
SPDR DJ Wilshire Mid Cap Growth ETF EMG iShares Dow Jones US Technology Sector Index Fund IYW
SPDR DJ Wilshire Small Cap Growth ETF DSG iShares Dow Jones US Telecommunications Sector Index Fund IYZ
Vanguard Growth ETF VUG iShares Dow Jones US Utilities Sector Index Fund IDU
Vanguard Mega Cap 300 Growth ETF MGK iShares Nasdaq Biotechnology Index Fund IBB
Vanguard Mid-Cap Growth Index Fund VOT PowerShares Aerospace & Defense Portfolio PPA
Vanguard Small-Cap Growth ETF VBK PowerShares Cleantech Portfolio PZD
PowerShares Financial Preferred Portfolio PGF
Dom estic Value PowerShares Lux Nanotech Portfolio PXN
iShares Morningstar Large Value Index Fund JKF PowerShares NASDAQ Internet Portfolio PNQI
iShares Morningstar Mid Value Index Fund JKI PowerShares NASDAQ OMX Clean Edge Global Wind Energy Index Fund PWND
iShares Morningstar Small Value Index Fund JKL PowerShares Water Resources Portfolio PHO
iShares Russell 1000 Value Index Fund IWD Powershares WilderHill Clean Energy Portfolio PBW
iShares Russell 2000 Value Index Fund IWN PowerShares WilderHill Progressive Energy Portfolio PUW
iShares Russell 3000 Value Index Fund IWW RevenueShares Financials Sector Fund RWW
iShares Russell Midcap Value Index Fund IWS Rydex S&P Equal Weight Consumer Discretionary ETF RCD
iShares S&P 500 Value Index Fund IVE Rydex S&P Equal Weight Consumer Staples ETF RHS
iShares S&P MidCap 400/BARRA Value Index Fund IJJ Rydex S&P Equal Weight Energy ETF RYE
iShares S&P SmallCap 600 Value Index Fund IJS Rydex S&P Equal Weight Financial ETF RYF

9
 Delta One Handbook – US ETF Product List

US ETF Product List

Nam e Ticker Nam e Ticker
Dom estic Sector (continued) International Broad/Regional (continued)
Rydex S&P Equal Weight Healthcare ETF RYH iShares S&P Latin America 40 Index Fund ILF
Rydex S&P Equal Weight Industrial ETF RGI BLDRS Asia 50 ADR Index Fund ADRA
Rydex S&P Equal Weight Materials ETF RTM BLDRS Developed Markets 100 ADR Index Fund ADRD
Rydex S&P Equal Weight Technology ETF RYT BLDRS Emerging Markets 50 ADR Index Fund ADRE
Rydex S&P Equal Weight Utilities ETF RYU BLDRS Europe 100 ADR Index Fund ADRU
Consumer Discretionary Select Sector SPDR Fund XLY PowerShares DWA Developed Markets Technical Leaders Portfolio PIZ
Consumer Staples Select Sector SPDR Fund XLP PowerShares DWA Emerging Markets Technical Leaders Portfolio PIE
Energy Select Sector SPDR Fund XLE PowerShares Emerging Markets Infrastructure Portfolio PXR
Financial Select Sector SPDR Fund XLF PowerShares International Listed Private Equity Portfolio PFP
Health Care Select Sector SPDR Fund XLV PowerShares MENA Frontier Countries Portfolio PMNA
Industrial Select Sector SPDR Fund XLI SPDR DJ EURO STOXX 50 Fund FEZ
Materials Select Sector SPDR Fund XLB SPDR DJ Global Titans ETF DGT
SPDR DJ Wilshire REIT ETF RWR SPDR DJ STOXX 50 Fund FEU
SPDR KBW Bank ETF KBE SPDR MSCI ACWI ex-US ETF CWI
SPDR KBW Capital Markets ETF KCE SPDR S&P BRIC 40 ETF BIK
SPDR KBW Insurance ETF KIE SPDR S&P Emerging Asia Pacific ETF GMF
SPDR KBW Regional Banking ETF KRE SPDR S&P Emerging Europe ETF GUR
SPDR Morgan Stanley Technology ETF MTK SPDR S&P Emerging Latin America ETF GML
SPDR S&P Biotech ETF XBI SPDR S&P Emerging Markets ETF GMM
SPDR S&P Homebuilders ETF XHB SPDR S&P Emerging Middle East & Africa ETF GAF
SPDR S&P Metals & Mining ETF XME SPDR S&P Emerging Small Cap ETF EWX
SPDR S&P Oil & Gas Equipment & Services ETF XES SPDR S&P International Mid Cap ETF MDD
SPDR S&P Oil & Gas Exploration & Production ETF XOP SPDR S&P International Small Cap ETF GWX
SPDR S&P Pharmaceuticals ETF XPH SPDR S&P World ex-US ETF GWL
SPDR S&P Retail ETF XRT Market Vectors - Gulf States ETF MES
SPDR S&P Semiconductor ETF XSD Vanguard Emerging Markets ETF VWO
Technology Select Sector SPDR Fund XLK Vanguard Europe Pacific ETF VEA
Utilities Select Sector SPDR Fund XLU Vanguard European ETF VGK
Market Vectors Agribusiness ETF MOO Vanguard FTSE All-World ex-US ETF VEU
Market Vectors-- Environmental Services ETF EVX Vanguard Pacific ETF VPL
Market Vectors Global Alternative Energy ETF GEX Vanguard FTSE All World ex-US Small-Cap ETF VSS
Market Vectors Gold Miners ETF GDX
Market Vectors Nuclear Energy ETF NLR
Market Vectors Solar Energy ETF KWT International Country
Market Vectors Steel Index Fund SLX Claymore/AlphaShares China Small Cap Index ETF HAO
Market Vectors-Coal ETF KOL Global X/InterBolsa FSTE Colombia 20 ETF GXG
Market Vectors-Gaming ETF BJK iPath MSCI India Index ETN INP
Vanguard Consumer Discretionary ETF VCR iShares FTSE China HK Listed Index Fund FCHI
Vanguard Consumer Staples ETF VDC iShares FTSE/Xinhua China 25 Index Fund FXI
Vanguard Energy ETF VDE iShares MSCI Australia Index Fund EWA
Vanguard Financials ETF VFH iShares MSCI Austria Investable Market Index Fund EWO
Vanguard Health Care ETF VHT iShares MSCI Belgium Investable Market Index Fund EWK
Vanguard Industrials ETF VIS iShares MSCI Brazil Index Fund EWZ
Vanguard Information Technology ETF VGT iShares MSCI Canada Index Fund EWC
Vanguard Materials ETF VAW iShares MSCI Chile Investable Market Index Fund ECH
Vanguard REIT ETF VNQ iShares MSCI France Index Fund EWQ
Vanguard Telecommunication Services ETF VOX iShares MSCI Germany Index Fund EWG
Vanguard Utilities ETF VPU iShares MSCI Hong Kong Index Fund EWH
iShares MSCI Israel Capped Index Fund EIS
iShares MSCI Italy Index Fund EWI
iShares MSCI Japan Index Fund EWJ
iShares MSCI Japan Small Cap Index Fund SCJ
iShares MSCI Malaysia Index Fund EWM
International Broad/Regional iShares MSCI Mexico Investable Market Index Fund EWW
Claymore/BNY BRIC ETF EEB iShares MSCI Netherlands Investable Market Index Fund EWN
Claymore/BNY Mellon Frontier Markets ETF FRN iShares MSCI Singapore Index Fund EWS
Claymore/Robeco Developed International Equity ETF EEN iShares MSCI South Africa Index Fund EZA
Claymore/Zacks Country Rotation ETF CRO iShares MSCI South Korea Index Fund EWY
Claymore/Zacks International Yield Hog Index ETF HGI iShares MSCI Spain Index Fund EWP
Claymore/Zacks Yield Hog ETF CVY iShares MSCI Sweden Index Fund EWD
First Trust ISE Chindia Index Fund FNI iShares MSCI Switzerland Index Fund EWL
Europe 2001 HOLDRs Trust EKH iShares MSCI Taiwan Index Fund EWT
Market 2000 HOLDRs Trust MKH iShares MSCI Thailand Index Fund THD
iShares FTSE Developed Small Cap ex-North America Index Fund IFSM iShares MSCI Turkey Index Fund TUR
iShares MSCI ACWI ex US Index Fund ACWX iShares MSCI United Kingdom Index Fund EWU
iShares MSCI ACWI Index Fund ACWI iShares S&P/TOPIX 150 Index Fund ITF
iShares MSCI All Country Asia ex Japan Index Fund AAXJ Market Vectors - Indonesia Index ETF IDX
iShares MSCI BRIC Index Fund BKF Market Vectors Russia ETF RSX
iShares MSCI EAFE Growth Index EFG Market Vectors-Africa Index ETF AFK
iShares MSCI EAFE Index Fund EFA Powershares Golden Dragon Halter USX China Portfolio PGJ
iShares MSCI EAFE Small Cap Index Fund SCZ PowerShares India Portfolio PIN
iShares MSCI EAFE Value Index EFV SPDR Russell/Nomura PRIME Japan ETF JPP
iShares MSCI Emerging Markets Index Fund EEM SPDR Russell/Nomura Small Cap Japan ETF JSC
iShares MSCI EMU Index Fund EZU SPDR S&P China ETF GXC
iShares MSCI Kokusai Index Fund TOK
iShares MSCI Pacific ex-Japan Index Fund EPP
iShares S&P Asia 50 Index Fund AIA
iShares S&P Europe 350 Index Fund IEV
iShares S&P Global 100 Index Fund IOO

10
 Delta One Handbook – US ETF Product List

US ETF Product List

Nam e Ticker Nam e Ticker
Leveraged and/or Inverse (continued) Quant/Fundam ental (continued)
Direxion Daily Developed Markets Bear 3X Shares DPK PowerShares Dynamic Market Portfolio PWC
Direxion Daily Mid Cap Bear 3x Shares MWN Powershares Dynamic Media Portfolio PBS
Direxion Daily Mid Cap Bull 3X Shares MWJ PowerShares Dynamic Mid Cap Growth Portfolio PWJ
Direxion Daily Technology Bear 3X Shares TYP PowerShares Dynamic Mid Cap Portfolio PJG
Direxion Daily Technology Bull 3X Shares TYH PowerShares Dynamic Mid Cap Value Portfolio PWP
Direxion Energy Bear 3X Shares ERY Powershares Dynamic Networking Portfolio PXQ
Direxion Financial Bear 3X Shares FAZ PowerShares Dynamic Oil & Gas Services Portfolio PXJ
Direxionshares Daily Developed Markets Bull 3X Shares DZK PowerShares Dynamic OTC Portfolio PWO
Direxionshares Daily Emerging Markets Bull 3X Shares EDC Powershares Dynamic Pharmaceuticals Portfolio PJP
Direxionshares Emerging Markets Bear 3X Shares EDZ PowerShares Dynamic Retail Portfolio PMR
Direxionshares Energy Bull 3X Shares ERX Powershares Dynamic Semiconductors Portfolio PSI
Direxionshares Financial Bull 3X Shares FAS PowerShares Dynamic Small Cap Growth Portfolio PWT
Direxionshares Large Cap Bear 3X Shares BGZ PowerShares Dynamic Small Cap Portfolio PJM
Direxionshares Large Cap Bull 3X Shares BGU PowerShares Dynamic Small Cap Value Portfolio PWY
Direxionshares Small Cap Bear 3X Shares TZA Powershares Dynamic Software Portfolio PSJ
Direxionshares Small Cap Bull 3X Shares TNA PowerShares Dynamic Technology Sector Portfolio PTF
PowerShares Dynamic Telecommunications & Wireless Portfolio PTE
PowerShares Dynamic Utilities Portfolio PUI
PowerShares FTSE RAFI Asia Pacific ex-Japan Portfolio PAF
PowerShares FTSE RAFI Asia Pacific ex-Japan Small-Mid Portfolio PDQ
Quant/Fundam ental PowerShares FTSE RAFI Basic Materials Sector Portfolio PRFM
Claymore/Great Companies Large-Cap Growth Index ETF XGC PowerShares FTSE RAFI Consumer Goods Sector Portfolio PRFG
Claymore/S&P Global Dividend Opportunities Index ETF LVL PowerShares FTSE RAFI Consumer Services Sector Portfolio PRFS
Claymore/Zacks Dividend Rotation Index ETF IRO PowerShares FTSE RAFI Developed Markets ex-U.S. Portfolio PXF
Claymore/Zacks Mid-Cap Core ETF CZA PowerShares FTSE RAFI Developed Markets ex-US Small-Mid Portfolio PDN
ELEMENTS Linked to the Benjamin Graham Large Cap Value Index BVL PowerShares FTSE RAFI Emerging Markets Portfolio PXH
ELEMENTS Linked to the Benjamin Graham Small Cap Value Index BSC PowerShares FTSE RAFI Energy Sector Portfolio PRFE
ELEMENTS Linked to the Benjamin Graham Total Market Value Index BVT PowerShares FTSE RAFI Europe Portfolio PEF
First Trust Consumer Discretionary AlphaDEX Fund FXD PowerShares FTSE RAFI Europe Small-Mid Portfolio PWD
First Trust Consumer Staples AlphaDEX Fund FXG PowerShares FTSE RAFI Financials Sector Portfolio PRFF
First Trust DB Strategic Value Index Fund FDV PowerShares FTSE RAFI Health Care Sector Portfolio PRFH
First Trust DJ Global Select Dividend Index Fund FGD PowerShares FTSE RAFI Industrials Sector Portfolio PRFN
First Trust Dow Jones STOXX Select Dividend 30 Index Fund FDD PowerShares FTSE RAFI International Real Estate Portfolio PRY
First Trust Energy AlphaDEX Fund FXN PowerShares FTSE RAFI Japan Portfolio PJO
First Trust Financial AlphaDEX Fund FXO PowerShares FTSE RAFI Telecommunications & Technology Sector Portfolio PRFQ
First Trust Health Care AlphaDEX Fund FXH Powershares FTSE RAFI US 1000 Portfolio PRF
First Trust Industrials/Producer Durables AlphaDEX Fund FXR PowerShares FTSE RAFI US 1500 Small-Mid Portfolio PRFZ
First Trust Large Cap Core AlphaDEX Fund FEX PowerShares FTSE RAFI Utilities Sector Portfolio PRFU
First Trust Large Cap Growth Opportunities AlphaDEX Fund FTC PowerShares High Growth Rate Dividend Achievers Portfolio PHJ
First Trust Large Cap Value Opportunities AlphaDEX Fund FTA Powershares High Yield Equity Dividend Achievers Portfolio PEY
First Trust Materials AlphaDEX Fund FXZ PowerShares International Dividend Achievers Portfolio PID
First Trust Mid Cap Core AlphaDEX Fund FNX RevenueShares Small Cap ETF RWJ
First Trust Morningstar Dividend Leaders Index FDL RevenueShares Mid Cap ETF RWK
First Trust Multi Cap Value AlphaDEX Fund FAB RevenueShares Large Cap ETF RWL
First Trust MultiCap Growth AlphaDEX Fund FAD SPDR S&P Dividend ETF SDY
First Trust Small Cap Core AlphaDEX Fund FYX SPDR S&P International Dividend ETF DWX
First Trust Technology AlphaDEX Fund FXL Vanguard Dividend Appreciation ETF VIG
First Trust Utilities AlphaDEX Fund FXU Vanguard High Dividend Yield ETF VYM
First Trust Value Line Dividend Index Fund FVD WisdomTree DEFA Fund DWM
iShares Dow Jones EPAC Select Dividend Index Fund IDV WisdomTree DEFA High-Yielding Equity Fund DTH
iShares Dow Jones Select Dividend Index Fund DVY WisdomTree Dividend Top 100 Fund DTN
KEYnotes ETNs Linked to the First Trust Enhanced 130/30 Large Cap Index JFT WisdomTree Earnings 500 Fund EPS
PowerShares Active Alpha Multi-Cap Fund PQZ WisdomTree Earnings Top 100 Fund EEZ
PowerShares Active AlphaQ Fund PQY WisdomTree Emerging Markets High-Yielding Equity Fund DEM
PowerShares Active Low Duration Portfolio PLK WisdomTree Emerging Markets SmallCap Dividend Fund DGS
PowerShares Active U.S. Real Estate Fund PSR WisdomTree Europe Dividend Fund DEB
PowerShares Dividend Achievers Portfolio PFM WisdomTree Europe High-Yielding Equity Fund DEW
PowerShares Dynamic Aggressive Growth Portfolio PGZ WisdomTree Europe SmallCap Dividend Fund DFE
Powershares Dynamic Asia Pacific Portfolio PUA WisdomTree High-Yielding Equity Fund DHS
PowerShares Dynamic Banking Portfolio PJB WisdomTree India Earnings Fund EPI
PowerShares Dynamic Basic Materials Sector Portfolio PYZ WisdomTree International Basic Materials Sector Fund DBN
Powershares Dynamic Biotechnology & Genome Portfolio PBE WisdomTree International Communications Sector Fund DGG
PowerShares Dynamic Building & Construction Portfolio PKB WisdomTree International Consumer Discretionary Sector Fund DPC
PowerShares Dynamic Consumer Discretionary Sector Portfolio PEZ WisdomTree International Consumer Staples Sector Fund DPN
PowerShares Dynamic Consumer Staples Sector Portfolio PSL WisdomTree International Dividend Top 100 Fund DOO
PowerShares Dynamic Deep Value Portfolio PVM WisdomTree International Energy Sector Funds DKA
PowerShares Dynamic Developed International Opportunities Portfolio PFA WisdomTree International Financial Sector Fund DRF
PowerShares Dynamic Energy Exploration & Production Portfolio PXE WisdomTree International Health Care Sector Fund DBR
PowerShares Dynamic Energy Sector Portfolio PXI WisdomTree International Industrial Sector Fund DDI
Powershares Dynamic Europe Portfolio PEH WisdomTree International LargeCap Dividend Fund DOL
PowerShares Dynamic Financial Sector Portfolio PFI WisdomTree International MidCap Dividend Fund DIM
Powershares Dynamic Food & Beverage Portfolio PBJ WisdomTree International Real Estate Fund DRW
PowerShares Dynamic Hardware & Consumer Electronics Portfolio PHW WisdomTree International SmallCap Dividend Fund DLS
PowerShares Dynamic Healthcare Sector Portfolio PTH WisdomTree International Technology Sector Fund DBT
PowerShares Dynamic Healthcare Services Portfolio PTJ RevenueShares ADR Fund RTR
PowerShares Dynamic Industrials Sector Portfolio PRN WisdomTree LargeCap Growth Fund ROI
PowerShares Dynamic Insurance Portfolio PIC WisdomTree International Utilities Sector Fund DBU
PowerShares Dynamic Large Cap Growth Portfolio PWB WisdomTree Japan Dividend Fund DXJ
PowerShares Dynamic Large Cap Portfolio PJF WisdomTree Japan High-Yielding Equity Fund DNL
PowerShares Dynamic Large Cap Value Portfolio PWV WisdomTree Japan SmallCap Dividend Fund DFJ
Powershares Dynamic Leisure & Entertainment Portfolio PEJ WisdomTree LargeCap Dividend Fund DLN
PowerShares Dynamic MagniQuant Portfolio PIQ WisdomTree LargeCap Growth Fund ROI

11
 Delta One Handbook – US ETF Product List

US ETF Product List

Nam e Ticker Nam e Ticker
International Sector Leveraged and/or Inverse (continued)
Cohen & Steers Global Realty Majors ETF GRI ProShares Ultra DJ-AIG Commodity UCD
Claymore S&P Global Water Index ETF/USA CGW ProShares Ultra DJ-AIG Crude Oil UCO
Claymore/AlphaShares China Real Estate ETF TAO ProShares Ultra Dow30 DDM
Claymore/Clear Global Exchanges Brokers & Asset Managers Index ETF EXB ProShares Ultra Euro ULE
Claymore/Clear Global Timber Index ETF CUT ProShares Ultra Financials UYG
Claymore/Delta Global Shipping Index ETF SEA ProShares Ultra Gold UGL
Claymore/MAC Global Solar Energy Index ETF TAN ProShares Ultra Health Care RXL
Claymore/Robb Report Global Luxury Index ETF ROB ProShares Ultra Industrials UXI
Claymore/SWM Canadian Energy Income Index ETF ENY ProShares Ultra MidCap400 MVV
ELEMENTS Linked to the CS Global Warming Index GWO ProShares Ultra Oil & Gas DIG
First Trust FTSE EPRA/NAREIT Global Real Estate Index Fund FFR ProShares Ultra QQQ QLD
First Trust ISE Global Engineering and Construction Index Fund FLM ProShares Ultra Real Estate URE
iShares FTSE EPRA/NAREIT Asia Index Fund IFAS ProShares Ultra Russell MidCap Growth UKW
iShares FTSE EPRA/NAREIT Europe Index Fund IFEU ProShares Ultra Russell MidCap Value UVU
iShares FTSE EPRA/NAREIT Global Real Estate ex-U.S. Index Fund IFGL ProShares Ultra Russell1000 Growth UKF
iShares FTSE EPRA/NAREIT North America Index Fund IFNA ProShares Ultra Russell1000 Value UVG
iShares FTSE NAREIT Industrial/Office Index Fund FIO ProShares Ultra Russell2000 UWM
iShares FTSE NAREIT Mortgage REITs Index Fund REM ProShares Ultra Russell2000 Growth UKK
iShares FTSE NAREIT Real Estate 50 Index Fund FTY ProShares Ultra Russell2000 Value UVT
iShares FTSE NAREIT Residential Index Fund REZ ProShares Ultra S&P500 SSO
iShares FTSE NAREIT Retail Index Fund RTL ProShares Ultra Semiconductors USD
iShares S&P Global Clean Energy Index Fund ICLN ProShares Ultra Silver AGQ
iShares S&P Global Consumer Discretionary Sector Index Fund RXI ProShares Ultra SmallCap600 SAA
iShares S&P Global Consumer Staples Sector Index Fund KXI ProShares Ultra Technology ROM
iShares S&P Global Energy Sector Index Fund IXC ProShares Ultra Telecommunications LTL
iShares S&P Global Financials Sector Index Fund IXG ProShares Ultra Utilities UPW
iShares S&P Global Healthcare Sector Index Fund IXJ ProShares Ultra Yen YCL
iShares S&P Global Industrials Sector Index Fund EXI ProShares UltraShort Basic Materials SMN
iShares S&P Global Infrastructure Index Fund IGF ProShares UltraShort Consumer Goods SZK
iShares S&P Global Materials Sector Index Fund MXI ProShares UltraShort Consumer Services SCC
iShares S&P Global Nuclear Energy Index Fund NUCL ProShares UltraShort DJ-AIG Commodity CMD
iShares S&P Global Technology Sector Index Fund IXN ProShares UltraShort DJ-AIG Crude Oil SCO
iShares S&P Global Telecommunications Sector Index Fund IXP ProShares UltraShort Dow30 DXD
iShares S&P Global Timber & Forestry Index Fund WOOD ProShares UltraShort Euro EUO
iShares S&P Global Utilities Sector Index Fund JXI ProShares UltraShort Financials SKF
iShares S&P North American Natural Resources Sector Index Fund IGE ProShares UltraShort FTSE/Xinhua China 25 FXP
iShares S&P North American Technology Sector Index Fund IGM ProShares UltraShort Gold GLL
iShares S&P North American Technology-Multimedia Networking Index Fund IGN ProShares UltraShort Health Care RXD
iShares S&P North American Technology-Semiconductors Index Fund IGW ProShares UltraShort Industrials SIJ
iShares S&P North American Technology-Software Index Fund IGV ProShares UltraShort Lehman 20+ Year Treasury TBT
iShares S&P World ex-U.S. Property Index Fund WPS ProShares UltraShort Lehman 7-10 Year Treasury PST
PowerShares Global Agriculture Portfolio PAGG ProShares UltraShort MidCap400 MZZ
PowerShares Global Biotech Portfolio PBTQ ProShares UltraShort MSCI EAFE EFU
Powershares Global Clean Energy Portfolio PBD ProShares UltraShort MSCI Emerging Markets EEV
PowerShares Global Coal Portfolio PKOL ProShares UltraShort MSCI Japan EWV
PowerShares Global Gold and Precious Metals Portfolio PSAU ProShares UltraShort Oil & Gas DUG
PowerShares Global Nuclear Energy Portfolio PKN ProShares UltraShort QQQ QID
PowerShares Global Progressive Transportation Portfolio PTRP ProShares UltraShort Real Estate SRS
PowerShares Global Steel Portfolio PSTL ProShares UltraShort Russell MidCap Growth SDK
PowerShares Global Water Portfolio PIO ProShares UltraShort Russell MidCap Value SJL
SPDR DJ Wilshire Global Real Estate ETF RWO ProShares UltraShort Russell1000 Growth SFK
SPDR DJ Wilshire International Real Estate ETF RWX ProShares UltraShort Russell1000 Value SJF
SPDR FTSE Macquarie Global Infrastructure 100 ETF GII ProShares UltraShort Russell2000 TWM
SPDR S&P International Consumer Discretionary Sector ETF IPD ProShares UltraShort Russell2000 Growth SKK
SPDR S&P International Consumer Staples Sector ETF IPS ProShares UltraShort Russell2000 Value SJH
SPDR S&P International Energy Sector ETF IPW ProShares UltraShort S&P500 SDS
SPDR S&P International Financial Sector ETF IPF ProShares UltraShort Semiconductors SSG
SPDR S&P International Health Care Sector ETF IRY ProShares UltraShort Silver ZSL
SPDR S&P International Industrials Sector ETF IPN ProShares UltraShort SmallCap600 SDD
SPDR S&P International Materials Sector ETF IRV ProShares UltraShort Technology REW
SPDR S&P International Technology Sector ETF IPK ProShares UltraShort Telecommunications TLL
SPDR S&P International Telecommunications Sector ETF IST ProShares UltraShort Utilities SDP
SPDR S&P International Utilities Sector ETF IPU ProShares UltraShort Yen YCS
Rydex 2x Russell 2000 ETF RRY
Leveraged and/or Inverse Rydex 2x S&P 500 ETF RSU
MacroShares $100 Oil Down Shares DOY Rydex 2x S&P MidCap 400 ETF RMM
PowerShares DB Agriculture Short ETN ADZ Rydex 2X S&P Select Sector Energy ETF REA
PowerShares DB Base Metals Short ETN BOS Rydex 2X S&P Select Sector Financial ETF RFL
PowerShares DB Crude Oil Short ETN SZO Rydex 2X S&P Select Sector Health Care ETF RHM
ProShares Short Dow30 DOG Rydex 2X S&P Select Sector Technology ETF RTG
ProShares Short Financials SEF Rydex Inverse 2x Russell 2000 ETF RRZ
ProShares Short MidCap 400 MYY Rydex Inverse 2x S&P 500 ETF RSW
ProShares Short MSCI EAFE EFZ Rydex Inverse 2x S&P MidCap 400 ETF RMS
ProShares Short MSCI Emerging Markets EUM Rydex Inverse 2X S&P Select Sector Energy ETF REC
ProShares Short Oil & Gas DDG Rydex Inverse 2X S&P Select Sector Financial ETF RFN
ProShares Short QQQ PSQ Rydex Inverse 2X S&P Select Sector Health Care ETF RHO
ProShares Short Russell2000 RWM Rydex Inverse 2X S&P Select Sector Technology ETF RTW
ProShares Short S&P500 SH
ProShares Short SmallCap600 SBB
ProShares Ultra Basic Materials UYM
ProShares Ultra Consumer Goods UGE
ProShares Ultra Consumer Services UCC

12
 Delta One Handbook – US ETF Product List

US ETF Product List

Nam e Ticker Nam e Ticker
Quant/Fundam ental (continued) Fixed Incom e
WisdomTree Low P/E Fund EZY Claymore/Dorchester - The Capital Markets Bond Index ETF UBD
WisdomTree MidCap Dividend Fund DON Claymore/Dorchester Micro-Term Fixed Income ETF ULQ
WisdomTree MidCap Earnings Fund EZM Direxion Daily 10-Year Treasury Bear 3X TYO
WisdomTree Middle East Dividend Fund GULF Direxion Daily 10-Year Treasury Bull 3X TYD
WisdomTree Pacific ex-Japan Dividend Fund DND Direxion Daily 30-Year Treasury Bear 3X TMV
WisdomTree Pacific ex-Japan High-Yielding Equity Fund DNH Direxion Daily 30-Year Treasury Bull 3X TMF
WisdomTree SmallCap Dividend Fund DES iShares Barclays Agency Bond Fund AGZ
WisdomTree SmallCap Earnings Fund EES iShares iBoxx $ High Yield Corporate Bond Fund HYG
WisdomTree Total Dividend Fund DTD iShares iBoxx Investment Grade Corporate Bond Fund LQD
WisdomTree Total Earnings Fund EXT iShares JPMorgan USD Emerging Markets Bond Fund EMB
iShares Lehman 10-20 Year Treasury Bond Fund TLH
Special iShares Lehman 1-3 Year Credit Bond Fund CSJ
AirShares EU Carbon Allowances ASO iShares Lehman 1-3 Year Treasury Bond Fund SHY
BearLinx Alerian MLP Select Index ETN BSR iShares Lehman 20+ Year Treasury Bond Fund TLT
Claymore CEF GS Connect ETN GCE iShares Lehman 3-7 Year Treasury Bond Fund IEI
Claymore/Clear Spin-Off ETF CSD iShares Lehman 7-10 Year Treasury Bond Fund IEF
Claymore/Dorchester US-1 - The Capital Markets Index ETF UEM iShares Lehman Aggregate Bond Fund AGG
Claymore/Ocean Tomo Growth Index ETF OTR iShares Lehman Credit Bond Fund CFT
Claymore/Ocean Tomo Patent ETF OTP iShares Lehman Government/Credit Bond Fund GBF
Claymore/Raymond James SB-1 Equity Fund RYJ iShares Lehman Intermediate Credit Bond Fund CIU
Claymore/Sabrient Insider ETF NFO iShares Lehman Intermediate Government/Credit Bond Fund GVI
Claymore/Zacks Sector Rotation ETF XRO iShares Lehman MBS Fixed-Rate Bond Fund MBB
ELEMENTS - "Dogs of the Dow" Linked to the DJ High Yield Select TR Index DOD iShares Lehman Short Treasury Bond Fund SHV
ELEMENTS Linked to the Morningstar Wide Moat Focus Total Return Index WMW iShares Lehman Treasury Inflation Protected Securities Fund TIP
ELEMENTS SPECTRUM ETN EEH iShares S&P California Municipal Bond Fund CMF
First Trust IPOX-100 Index Fund FPX iShares S&P National Municipal Bond Fund MUB
First Trust Value Line 100 Exchange-Traded Fund FVL iShares S&P New York Municipal Bond Fund NYF
First Trust Value Line Equity Allocation Index Fund FVI iShares S&P Short Term National Municipal Bond Fund SUB
IndexIQ ETF Trust - IQ Hedge Multi-Strategy Tracker ETF QAI iShares S&P/Citigroup 1-3 Year International Treasury Bond Fund ISHG
iPath CBOE S&P 500 BuyWrite Index ETN BWV iShares S&P/Citigroup International Treasury Bond Fund IGOV
iPATH S&P 500 VIX Mid-Term Futures ETN VXZ Market Vectors High Yield Municipal Index ETF HYD
iPATH S&P 500 VIX Short-Term Futures ETN VXX Market Vectors Lehman Brothers AMT-Free Intermediate Municipal ETF ITM
iShares KLD 400 SocialSM Index Fund DSI Market Vectors Lehman Brothers AMT-Free Short Municipal ETF SMB
iShares KLD Select Social SM Index Fund KLD Market Vectors Pre-Refunded Municipal Index ETF PRB
iShares S&P Aggressive Allocation Fund AOA Market Vectors-Lehman Brothers AMT-Free Long Municipal Index ETF MLN
iShares S&P Conservative Allocation Fund AOK PowerShares 1-30 Laddered Treasury Portfolio PLW
iShares S&P Growth Allocation Fund AOR PowerShares Emerging Markets Sovereign Debt Portfolio PCY
iShares S&P Moderate Allocation Fund AOM PowerShares High Yield Corporate Bond Portfolio PHB
iShares S&P Target Date 2010 Index Fund TZD PowerShares Insured California Municipal Bond Portfolio PWZ
iShares S&P Target Date 2015 Index Fund TZE PowerShares Insured National Municipal Bond Portfolio PZA
iShares S&P Target Date 2020 Index Fund TZG PowerShares Insured New York Municipal Bond Portfolio PZT
iShares S&P Target Date 2025 Index Fund TZI PowerShares VRDO Tax Free Weekly Portfolio PVI
iShares S&P Target Date 2030 Index Fund TZL SPDR Barclays Capital Convertible Bond ETF CWB
iShares S&P Target Date 2035 Index Fund TZO SPDR Barclays Capital Intermediate Term Credit Bond ETF ITR
iShares S&P Target Date 2040 Index Fund TZV SPDR Barclays Capital Long Term Credit Bond ETF LWC
iShares S&P Target Date Retirement Income Index Fund TGR SPDR Barclays Capital Mortgage Backed Bond ETF MBG
iShares S&P US Preferred Stock Index Fund PFF SPDR Barclays Capital Short Term International Treasury Bond ETF BWZ
JPMorgan Alerian MLP Index ETN AMJ SPDR Barclays Capital TIPS ETF IPE
Market Vectors - Hard Assets Producers ETF HAP SPDR DB International Government Inflation-Protected Bond ETF WIP
PowerShares Active Mega-Cap Portfolio PMA SPDR Lehman 1-3 Month T-Bill ETF BIL
PowerShares Autonomic Balanced Growth NFA Global Asset Portfolio PAO SPDR Lehman Aggregate Bond ETF LAG
PowerShares Autonomic Balanced NFA Global Asset Portfolio PCA SPDR Lehman California Bond ETF CXA
PowerShares Autonomic Growth NFA Global Asset Portfolio PTO SPDR Lehman High Yield Bond ETF JNK
PowerShares Buyback Achievers Portfolio PKW SPDR Lehman Intermediate Term Treasury ETF ITE
Powershares DWA Technical Leaders Portfolio PDP SPDR Lehman International Treasury Bond ETF BWX
PowerShares Listed Private Equity Portfolio PSP SPDR Lehman Long-Term Treasury ETF TLO
Powershares NASDAQ-100 BuyWrite Portfolio PQBW SPDR Lehman Municipal Bond ETF TFI
PowerShares NXQ Portfolio PNXQ SPDR Lehman New York Municipal Bond ETF INY
PowerShares Preferred Portfolio PGX SPDR Lehman Short Term Municipal Bond ETF SHM
PowerShares S&P 500 BuyWrite Portfolio PBP Vanguard Extended Duration Treasury ETF EDV
PowerShares Value Line Industry Rotation Portfolio PYH Vanguard Intermediate-Term Bond ETF BIV
Powershares Value Line Timeliness Select Portfolio PIV Vanguard Long-Term Bond ETF BLV
RevenueShares Navellier Overall A-100 Fund RWV Vanguard Short-Term Bond ETF BSV
SPDR KBW Mortgage Finance ETF KME Vanguard Total Bond Market ETF BND
TDX Independence 2010 Exchange-Traded Fund TDD WisdomTree US Current Income Fund USY
TDX Independence 2020 Exchange-Traded Fund TDH
TDX Independence 2030 Exchange-Traded Fund TDN
TDX Independence 2040 Exchange-Traded Fund TDV
TDX Independence In-Target Exchange-Traded Fund TDX

13
 Delta One Handbook – US ETF Product List

US ETF Product List

Nam e Ticker Nam e Ticker
Com m odity Currency
ELEMENTS Linked to the MLCX Biofuels Index Total Return FUE Barclays Asian and Gulf Currency Revaluation Note PGD
ELEMENTS Linked to the MLCX Grains Index Total Return GRU Barclays GEMS Asia-8 ETN AYT
ELEMENTS Linked to the Rogers International Commodity Index - Agri Tot Return RJA Barclays GEMS Index ETN JEM
ELEMENTS Linked to the Rogers International Commodity Index - Energy To Return RJN CurrencyShares Australian Dollar Trust FXA
ELEMENTS Linked to the Rogers International Commodity Index - Metals Tot Return RJZ CurrencyShares British Pound Sterling Trust FXB
ELEMENTS Linked to the Rogers International Commodity Index - Total Return RJI CurrencyShares Canadian Dollar Trust FXC
ELEMENTS Linked to the S&P Commodity Trends Indicator - Total Return LSC CurrencyShares Euro Trust FXE
E-TRACS UBS Bloomberg CMCI Agriculture ETN UAG CurrencyShares Japanese Yen Trust FXY
E-TRACS UBS Bloomberg CMCI Energy ETN UBN CurrencyShares Mexican Peso Trust FXM
E-TRACS UBS Bloomberg CMCI ETN UCI CurrencyShares Russian Ruble Trust XRU
E-TRACS UBS Bloomberg CMCI Food ETN FUD CurrencyShares Swedish Krona Trust FXS
E-TRACS UBS Bloomberg CMCI Gold ETN UBG CurrencyShares Swiss Franc Trust FXF
E-TRACS UBS Bloomberg CMCI Industrial Metals ETN UBM iPath EUR/USD Exchange Rate ETN ERO
E-TRACS UBS Bloomberg CMCI Livestock ETN UBC iPath GBP/USD Exchange Rate ETN GBB
E-TRACS UBS Bloomberg CMCI Silver ETN USV iPath JPY/USD Exchange Rate ETN JYN
E-TRACS UBS Long Platinum ETN PTM iPath Optimized Currency Carry ETN ICI
E-TRACS UBS Short Platinum ETN PTD Market Vectors Double Long Euro ETN URR
First Trust Global Wind Energy ETF FAN Market Vectors Double Short Euro ETN DRR
GreenHaven Continous Commodity Index Fund GCC Market Vectors-Renminbi/USD ETN CNY
GS Connect S&P GSCI Enhanced Commodity Total Return Strategy Index ETN GSC Market Vectors-Rupee/USD ETN INR
iPath Dow Jones AIG Agriculture Total Return Sub Index ETN JJA PowerShares DB G10 Currency Harvest Fund DBV
iPath Dow Jones AIG Copper Total Return Sub Index ETN JJC PowerShares DB US Dollar Index Bearish Fund UDN
iPath Dow Jones AIG Energy Total Return Sub-Index ETN JJE PowerShares DB US Dollar Index Bullish Fund UUP
iPath Dow Jones AIG Grains Total Return Sub Index ETN JJG WisdomTree Dreyfus Brazilian Real Fund BZF
IPATH Dow Jones AIG Nickel Total Return Sub Index ETN JJN WisdomTree Dreyfus Chinese Yuan Fund CYB
iPath Dow Jones-AIG Aluminum Total Return Sub-Index ETN JJU WisdomTree Dreyfus Indian Rupee Fund ICN
iPath Dow Jones-AIG Cocoa Total Return Sub-Index ETN NIB WisdomTree Dreyfus Japanese Yen Fund JYF
iPath Dow Jones-AIG Coffee Total Return TR Sub-Index JO WisdomTree New Zealand Dollar Fund BNZ
iPath Dow Jones-AIG Commodity Index Total Return ETN DJP WisdomTree South African Rand Fund SZR
iPath Dow Jones-AIG Cotton Total Return Sub-Index ETN BAL
iPath Dow Jones-AIG Industrial Metals Total Return Sub-Index ETN JJM
iPath Dow Jones-AIG Lead Total Return Sub-Index ETN LD
iPath Dow Jones-AIG Livestock Total Return Sub-Index ETN COW
iPath Dow Jones-AIG Natural Gas Total Return Sub-Index ETN GAZ
iPath Dow Jones-AIG Platinum Total Return Sub-Index ETN PGM
iPath Dow Jones-AIG Precious Metals Total Return Sub-Index ETN JJP
iPath Dow Jones-AIG Softs Total Return Sub-Index ETN JJS
iPath Dow Jones-AIG Sugar Total Return Sub-Index ETN SGG
iPath Dow Jones-AIG Tin Total Return Sub-Index ETN JJT
iPath Global Carbon ETN GRN
iPath Goldman Sachs Crude Oil Total Return Index ETN OIL
iPath GSCI Total Return Index ETN GSP
iShares COMEX Gold Trust IAU
iShares S&P GSCI Commodity Indexed Trust GSG
iShares Silver Trust SLV
MacroShares $100 Oil Up Shares UOY
PowerShares DB Agriculture Double Long ETN DAG
PowerShares DB Agriculture Double Short ETN AGA
PowerShares DB Agriculture Fund DBA
PowerShares DB Agriculture Long ETN AGF
PowerShares DB Base Metals Double Long ETN BDD
PowerShares DB Base Metals Double Short ETN BOM
PowerShares DB Base Metals Fund DBB
PowerShares DB Base Metals Long ETN BDG
PowerShares DB Commodity Double Long ETN DYY
PowerShares DB Commodity Double Short ETN
PowerShares DB Commodity Index Tracking Fund
DEE
DBC
Search for the Right ETF on Edge
PowerShares DB Commodity Long ETN DPU
PowerShares DB Commodity Short ETN DDP With over 800 ETFs listed in the US alone, traders have
PowerShares DB Crude Oil Double Long ETN DXO
PowerShares DB Crude Oil Double Short ETN DTO
plenty of options for getting exposure to different industries
PowerShares DB Crude Oil Long ETN OLO and even different asset classes now.
PowerShares DB Energy Fund DBE
PowerShares DB Gold Double Long ETN DGP
PowerShares DB Gold Double Short ETN DZZ To find the right ETF for your portfolio along with the latest
PowerShares DB Gold Fund
PowerShares DB Gold Short ETN
DGL
DGZ
Portfolio Strategy pieces and analytics:
PowerShares DB Oil Fund DBO
PowerShares DB Precious Metals Fund DBP ƁƁ visit our website at www.credit-suisse.com/edge
PowerShares DB Silver Fund DBS
SPDR Gold Trust GLD
United States 12 Month Oil Fund LP USL
ƁƁ select Trade Ideas > ETFs from the menu bar
United States Gasoline Fund LP UGA
United States Heating Oil Fund LP UHN ƁƁ enter desired keywords in the search box (i.e., 'VIX')
United States Natural Gas Fund LP UNG
United States Oil Fund LP USO

14
 Delta One Handbook – Additional Information

Contact Information

New York

Desk Email Address Telephone

Delta One Trading list.us-delta1-trade@credit-suisse.com +1 212 325 3205

Delta One Marketing list.dousmkt@credit-suisse.com +1 212 325 2397

15
DISCLAIMER

Please follow the attached hyperlink to an important disclosure: http://www.csfb.com/legal_terms/market_commentary_disclaimer.shtml. Structured securities,
derivatives and options are complex instruments that are not suitable for every investor, may involve a high degree of risk, and may be appropriate investments
only for sophisticated investors who are capable of understanding and assuming the risks involved. Supporting documentation for any claims, comparisons,
recommendations, statistics or other technical data will be supplied upon request. Any trade information is preliminary and not intended as an official transaction
confirmation. Use the following links to read the Options Clearing Corporation's disclosure document: http://www.cboe.com/LearnCenter/pdf/characteristic-
sandrisks.pdf

Because of the importance of tax considerations to many option transactions, the investor considering options should consult with his/her tax advisor as to how
taxes affect the outcome of contemplated options transactions.
This material has been prepared by individual traders or sales personnel of Credit Suisse and its affiliates ('CS') and not by the CS research department. It is
not investment research or a research recommendation, as it does not constitute substantive research or analysis. 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 CS research department analysts, other CS traders
or sales personnel, or the proprietary positions of CS. 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.

CS 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. The most recent CS research on any
company mentioned is at http://www.csfb.com/researchandanalytics.

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 tech-
niques or assumptions might produce significantly different results and prove to be more appropriate. Past hypothetical backtest results are neither an indicator
nor a guarantee of future returns. Actual results will vary from the analysis.

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 reli-
able, but each of the trader or sales personnel and CS 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.

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New York, NY 10010

www.credit-suisse.com