Exhibit
4.01


[FACE OF NOTE]


Unless this certificate is presented by an authorized
representative of The Depository Trust Company (55 Water Street, New York, New
York) to the issuer or its agent for registration of transfer, exchange or
payment, and any certificate issued is registered in the name of Cede & Co.
or such other name as requested by an authorized representative of The
Depository Trust Company and any payment is made to Cede & Co., ANY
TRANSFER, PLEDGE OR OTHER USE HEREOF FOR VALUE OR OTHERWISE BY OR TO ANY PERSON
IS WRONGFUL since the registered owner hereof, Cede & Co., has an interest
herein.


	
  REGISTERED 

  	
  CUSIP: 22541FDT0

  
	
   

  	
   

  
	
  NO. 1

  	
  PRINCIPAL AMOUNT: $15,567,000

  



 


CREDIT SUISSE
(USA), INC.

ProNotes Linked to the Value of a Basket of Equity Indices and Exchange Rates

due May 26, 2007


 


CREDIT SUISSE (USA), INC., a Delaware corporation (the
“Company”, which term includes any successor corporation under the Indenture
hereinafter referred to), for value received, hereby promises to pay to Cede
& Co., or registered assigns, at the office or agency of the Company in New
York, New York, the redemption amount (as defined on the reverse hereof) on the
maturity date (as defined on the reverse hereof), in the coin or currency of the
United States.


Reference is hereby made to the further provisions of
this Note set forth on the reverse hereof, which further provisions shall for
all purposes have the same effect as if set forth at this place.


This Note shall not be valid or become obligatory for
any purpose until the certificate of authentication hereon shall have been
manually signed by the Trustee under the Indenture referred to on the reverse
hereof.


This Notes will not pay interest.



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IN WITNESS WHEREOF, the
Company has caused this Note to be duly executed under its corporate seal.


	
  

  	
  CREDIT SUISSE (USA), INC.

  
	
   

  	
   

  	
   

  
	
   

  	
   

  	
   

  
	
  [SEAL]

  	
  By:

  	
  /s/ SHARON O’CONNOR

  
	
   

  	
   

  	
  Name: 

  	
  Sharon O’Connor

  
	
   

  	
   

  	
  Title:  

  	
  Authorized Signatory

  
	
   

  	
   

  	
   

  



 


	
  

  	
  CREDIT SUISSE (USA), INC.

  
	
   

  	
   

  	
   

  
	
   

  	
   

  	
   

  
	
   

  	
  By:

  	
  /s/ SIMON
  YATES

  
	
   

  	
   

  	
  Name: 

  	
  Simon Yates

  
	
   

  	
   

  	
  Title:   

  	
  Authorized Signatory

  
	
   

  	
   

  	
   

  



 


CERTIFICATE OF AUTHENTICATION


This is one of the Securities of the series designated
therein referred to in the within-mentioned Indenture.


Dated: May 26, 2006


	
  

  	
  JPMORGAN CHASE, N.A.,

  as Trustee

  
	
   

  	
   

  	
   

  
	
   

  	
   

  	
   

  
	
   

  	
  By: 

  	
  /S/ JAMES HEANEY

  
	
   

  	
   

  	
  Name:

  	
  James Heaney

  
	
   

  	
   

  	
  Title:

  	
  Authorized Signatory

  
	
   

  	
   

  	
   

  



 


 



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[REVERSE OF NOTE]


CREDIT SUISSE (USA), INC.

ProNotes Linked to the Value of a Basket of Equity Indices and Exchange Rates


due May 26, 2009


 


This Note is one of a
duly authorized issue of debentures, notes, bonds or other evidences of
indebtedness of the Company (the “Securities”) of the series hereinafter
specified, all issued or to be issued under and pursuant to a senior indenture,
dated as of June 1, 2001 (the “Indenture”), between the Company and JPMorgan
Chase Bank, as trustee (the “Trustee”), to which Indenture and all indentures
supplemental thereto reference is hereby made for a description of the rights,
limitations of rights, obligations, duties and immunities thereunder of the
Trustee, the Company, and the Holders of the Securities.  The Securities may be issued in one or more
series, which different series may be issued in various aggregate principal
amounts, may mature at different times, may bear interest (if any) at different
rates, may be subject to different redemption provisions (if any), may be
subject to different sinking, purchase or analogous funds (if any) and may
otherwise vary as provided in the Indenture. 
This Note is one of a series designated as the ProNotes Linked to the
Value of a Basket of Equity Indices and Exchange Rates, due May 26, 2009 (the “Note”).


 


This Note will not pay interest.


This Note is payable in the manner, with the effect
and subject to the conditions provided in the Indenture.  


If a payment date is not a business day as defined in
the Indenture at a place of payment, payment may be made at that place on the
next succeeding day that is a business day, and no interest shall accrue for
the intervening period.


The Indenture provides that, without prior notice to
any Holders, the Company and the Trustee may amend the Indenture and the
Securities of any series with the written consent of the Holders of a majority
in principal amount of the outstanding Securities of all series affected by
such amendment (all such series voting as one class), and the Holders of a
majority in principal amount of the outstanding Securities of all series
affected thereby (all such series voting as one class) may waive future
compliance by the Company with any provision of the Indenture or the Securities
of such series by written notice to the Trustee; provided that, without the
consent of each Holder of the Securities of each series affected thereby, an
amendment or waiver, including a waiver of past defaults, may not: (i) extend
the stated maturity of the Principal of, or any sinking fund obligation or any
installment of interest on, such Holder’s Security, or reduce the principal
amount thereof or the rate of interest thereon (including any amount in respect
of original issue discount), or any premium payable with respect thereto, or
adversely affect the rights of such Holder under any mandatory redemption or
repurchase provision or any right of redemption or repurchase at the option of
such Holder, or reduce the amount of the Principal of an Original Issue
Discount Security that would be due and payable upon an acceleration of the
maturity thereof or the amount thereof provable in bankruptcy, or change any
place of payment where, or the currency in which, any Security of such series
or any



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premium or the interest
thereon is payable, or impair the right to institute suit for the enforcement
of any such payment on or after the due date therefor; (ii) reduce the
percentage in principal amount of outstanding Securities of the relevant series
the consent of whose Holders is required for any such supplemental indenture,
for any waiver of compliance with certain provisions of the Indenture or
certain Defaults and their consequences provided for in the Indenture; (iii)
waive a Default in the payment of Principal of or interest on any Security of
such Holder; or (iv) modify any of the provisions of the Indenture governing
supplemental indentures with the consent of Securityholders except to increase
any such percentage or to provide that certain other provisions of the
Indenture cannot be modified or waived without the consent of the Holder of
each outstanding Security affected thereby.


The Indenture provides that, subject to certain
conditions, the Holders of at least a majority in principal amount (or, if any
Securities are Original Issue Discount Securities, such portion of the
Principal as is then accelerable) of the outstanding Securities of all series
affected (voting as a single class), by notice to the Trustee, may waive an
existing Default or Event of Default with respect to the Securities of such
series and its consequences, except a Default in the payment of Principal of or
interest on any Security or in respect of a covenant or provision of the
Indenture which cannot be modified or amended without the consent of the Holder
of each outstanding Security affected. 
Upon any such waiver, such Default shall cease to exist, and any Event
of Default with respect to the Securities of such series arising therefrom
shall be deemed to have been cured, for every purpose of the Indenture; but no
such waiver shall extend to any subsequent or other Default or Event of Default
or impair any right consequent thereto.


The Indenture provides that a series of Securities may
include one or more tranches (each a “tranche”) of Securities, including
Securities issued in a Periodic Offering. 
The Securities of different tranches may have one or more different
terms, including authentication dates and public offering prices, but all the
Securities within each such tranche shall have identical terms, including
authentication date and public offering price. 
Notwithstanding any other provision of the Indenture, subject to certain
exceptions, with respect to sections of the Indenture concerning the execution,
authentication and terms of the Securities, redemption of the Securities,
Events of Default of the Securities, defeasance of the Securities and amendment
of the Indenture, if any series of Securities includes more than one tranche,
all provisions of such sections applicable to any series of Securities shall be
deemed equally applicable to each tranche of any series of Securities in the
same manner as though originally designated a series unless otherwise provided
with respect to such series or tranche pursuant to a board resolution or a
supplemental indenture establishing such series or tranche.


No reference herein to the Indenture and no provision
of this Note or of the Indenture shall alter or impair the obligation of the
Company, which is absolute and unconditional, to pay the redemption amount of
this Note in the manner, at the place, at the time and in the coin or currency
herein prescribed.


The Securities are issuable initially only in
registered form without coupons in denominations of $10,000 and any integral
multiples of $1,000 in excess of that amount at the office or agency of the
Company in the Borough of Manhattan, The City of New York, and in the manner
and subject to the limitations provided in the Indenture.



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The Securities will not be redeemable at the option of
the Company prior to maturity.


The Company will not be required to pay any Additional
Amounts on the Securities.


Maturity
Date


The maturity date of the Securities is May 26, 2009 (the “maturity date”);
however, if a market disruption event exists on the valuation date, as
determined by the Calculation Agent, the maturity date will be the later of May 26, 2009, and the fifth business
day following the date on which the closing price for the reference shares is
calculated.  


Redemption
Amount


The Company will redeem the Securities at maturity for
a redemption amount in cash that will be equal to the principal amount of the
Securities multiplied by the sum of 1 plus the basket return, calculated as set
forth below (the “redemption amount”). 
If the final basket level is greater than the initial basket level, the
basket return will equal the percentage increase in the basket level multiplied
by 101%.  If the final basket level is
equal to or less than the initial basket level, the basket return will equal
zero, and the redemption amount will be equal to the principal amount of the
Securities at maturity.


 


How the basket return will be calculated depends on
whether the final basket level is greater than or less than or equal to the
initial basket level:


 


·                  If the final basket level is greater
than the initial basket level, then the basket return will equal:


 


101% *    final
basket level - initial basket level


    initial
basket level


 


Thus, if the final basket level is greater than the
initial basket level, the basket return will be a positive number, in which case
the redemption amount will be greater than the principal amount of the
Securities at maturity.


 


·                  If the final basket level is less
than or equal to the initial basket level, then the basket return will equal
zero, and the redemption amount will equal the principal amount of the
securities.


 


For purposes of calculating the basket return, the
final basket level will be equal to the sum of:


 


(i) the product of:


(x)
..150, the weighting of the FTSE/Xinhua China 25 Index in the basket, multiplied
by


(y)
the final index level for such index, which equals the closing level of the
FTSE/Xinhua China 25 Index on the valuation date divided by 10981.58, the



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closing level of
the FTSE/Xinhua China 25 Index on May 22, 2006, the index business day
immediately following the date the securities are priced for initial sale to
the public;


plus


(ii)
the product of:


(x)
..150, the weighting of the Bovespa Brazil Index in the basket, multiplied by


(y)
the final index level for such index, which equals the closing level of the Bovespa
Brazil Index on the valuation date divided by 15954.94, the closing level of
the Bovespa Brazil Index on May 22, 2006, the index business day immediately
following the date the securities are priced for initial sale to the public;


plus


(iii)
the product of:


(x)
..150, the weighting of the S&P CNX Nifty Index in the basket, multiplied by


(y)
the final index level for such index, which equals the closing level of the
S&P CNX Nifty Index on the valuation date divided by 3081.35, the closing
level of the S&P CNX Nifty Index on May 22, 2006, the index business day
immediately following the date the securities are priced for initial sale to
the public;


plus


(iv)
the product of:


(x)
..275, the weighting of the BRL/USD spot rate component in the basket, multiplied
by


(y)
the final level for such exchange rate, which equals the BRL/USD spot rate,
expressed as the number of U.S. dollars per one Brazilian Real on the valuation
date at approximately 7:00 p.m. São Paolo time, divided by 0.437158, the level
of the BRL/USD spot rate on May 22, 2006, the business day immediately
following the date the securities are priced for initial sale to the public, at
approximately 7:00 p.m. São Paolo time;


plus


(v)
the product of:


(x)
..275, the weighting of the RUB/USD spot rate component in the basket,
multiplied by


(y)
the final level for such exchange rate, which equals the level of the RUB/USD
spot rate, expressed as the number of U.S. dollars per one Russian Ruble on the
valuation date at approximately 12:20 p.m. Moscow time divided by 0.03692, the
closing level of the RUB/USD spot rate on May 22, 2006, the business day
immediately following the date the securities are priced for initial sale to
the public, at approximately 12:20 p.m. Moscow time.


 



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The “initial basket level” equals 1.0.


 


The “valuation date” is May 18, 2009, subject to
postponement if a market disruption event occurs on that date.


A “business day” means a
day, other than a Saturday, Sunday or a day on which banking institutions in
New York, New York are generally authorized or obligated by law, regulation or
executive order to close and that is also an index business day, with respect
to any reference index, or, with respect to any exchange rate, a day on which
the relevant exchange rate is published.


An “index business day”
with respect to any reference index is any day that is (or, but for the
occurrence of a market disruption event, would have been) a day on which
trading is generally conducted on the applicable exchanges and related
exchanges (each as defined below), other than a day on which one or more of the
applicable exchanges or related exchanges is scheduled to close prior to its
regular weekday closing time. “Exchange,” with respect to any reference index
means the principal exchange on which any stock underlying that reference index
is traded. “Related exchange” means any exchange on which futures or options
contracts relating to that reference index are traded.


Market Disruption Events


A “market disruption event” is, in respect of any
reference index, the occurrence or existence on any index business day for that
reference index during the one-half hour period that ends at the relevant
valuation time, of any suspension of or limitation imposed on trading (by
reason of movements in price exceeding limits permitted by the relevant
exchange or otherwise) on:


(a) the exchanges in securities that comprise 20% or
more of the level of the relevant reference index based on a comparison of (1)
the portion of the level of the reference index attributable to each security
in which trading is, in the determination of the Calculation Agent, materially
suspended or materially limited relative to (2) the overall level of the
reference index, in the case of (1) or (2) immediately before that suspension
or limitation;


(b) a related exchange in options contracts on the
relevant reference index; or 


(c) a related exchange in futures contracts on the
relevant reference index;


in the case of (a), (b) or (c) if, in the
determination of the Calculation Agent, such suspension or limitation is
material.


A “market disruption event” is, in respect of any
exchange rate, the occurrence on any business day or any number of consecutive
business days of any one or more of the following circumstances:


(a) the termination or suspension of, or material
limitation or disruption for at least two hours in the trading of a currency or
a futures contract thereon included in the underlying basket that prevents the
relevant exchange on which such currency is traded from



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establishing an official settlement price for such
currency or contract as of a regularly scheduled settlement time;


(b) the settlement price for any currency or a futures
contract thereon included in the underlying basket is a “limit price,” which
means that such settlement price for a day has increased or decreased from the
previous day’s settlement price by the maximum amount permitted under
applicable exchange rules; or


(c) failure by the applicable exchange or other price
source to announce or publish the settlement price for any currency or a
futures contract thereon included in the underlying basket.


If the calculation agent determines that a market
disruption event exists in respect of a reference index or currency on a
valuation date (together, the ‘‘basket components’’), then that valuation date
for such basket component will be postponed to the first succeeding business
day for that basket component on which the calculation agent determines that no
market disruption event exists in respect of such basket component, unless in respect
of the final valuation date the calculation agent determines that a market
disruption event exists in respect of such basket component on each of the five
business days immediately following the scheduled final valuation date. In that
case, (a) the fifth succeeding business day following the scheduled final
valuation date will be deemed to be the final valuation date for such basket
component, notwithstanding the market disruption event in respect of such
basket component, and (b) the calculation agent will determine the closing
level for that basket component on that deemed final valuation date in a
commercially reasonable manner, such manner, in the case of a basket component
that is a reference index, to be in accordance with the formula for and method
of calculating that basket component last in effect prior to the commencement
of the market disruption event in respect of such basket component using
exchange traded prices on the relevant exchanges if applicable (as determined
by the calculation agent in its sole and absolute discretion) or, if trading in
any security or securities comprising such basket component has been materially
suspended or materially limited, its good faith estimate of the prices that
would have prevailed on the exchanges (as determined by the calculation agent
in its sole and absolute discretion) but for the suspension or limitation, as
of the valuation time on that deemed final valuation date, of each such
security comprising such basket component (subject to the provisions described
under “Adjustments to the calculation of the reference indices” below). The
valuation date or dates, as the case may be, for each basket component not
affected by a market disruption event shall be the scheduled valuation date or
dates, as the case may be.


In the event that a market disruption event exists in
respect of a basket component on the final valuation date, the maturity date of
the securities will be postponed to the fifth business day following the day as
of which the closing level on the final valuation date for each basket
component has been calculated. No interest or other payment will be payable
because of any such postponement of the maturity date. 


Adjustments to the calculation of the
reference indices


If any of the reference indices is (a) not calculated
and announced by its sponsor but is calculated and announced by a successor
acceptable to the Calculation Agent or (b) replaced by a successor index using,
in the determination of the Calculation Agent, the same or a 



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substantially similar formula for and method of
calculation as used in such reference index, then such reference index will be
deemed to be the index so calculated and announced by that successor sponsor or
that successor index, as the case may be.


Upon any selection by the Calculation Agent of a
successor index, the Calculation Agent will cause notice to be furnished to us
and the trustee, which will provide notice of the selection of the successor
index to the registered holders of the securities in the manner set forth
below. 


If (x) on or prior to a valuation date any index
sponsor makes, in the determination of the Calculation Agent, a material change
in the formula for or the method of calculating a reference index or in any
other way materially modifies a reference index (other than a modification
prescribed in that formula or method to maintain such reference index in the
event of changes in constituent stocks and capitalization and other routine
events) or (y) on any valuation date an index sponsor (or a successor sponsor)
fails to calculate and announce a reference index, then the Calculation Agent
will calculate the redemption amount using, in lieu of a published level for
such reference index, the level for such reference index as at the valuation
time on the valuation date as determined by the Calculation Agent in accordance
with the formula for and method of calculating such reference index last in
effect prior to that change or failure, but using only those securities that
comprised such reference index immediately prior to that change or failure.


Events of Default and Acceleration


In case an Event of Default (as defined in the
Indenture) with respect to the Securities shall have occurred and be
continuing, the amount declared due and payable upon any acceleration of the
Securities (in accordance with the acceleration provisions set forth in the
prospectus) will be determined by the Calculation Agent and will equal, for
each security, the arithmetic average, as determined by the Calculation Agent,
of the fair market value of the Securities as determined by at least three but
not more than five broker-dealers (which may include Credit Suisse Securities
(USA) LLC or any of the Company’s other subsidiaries or affiliates) as will
make such fair market value determinations available to the Calculation Agent.


The Company, the Trustee and any agent of the Company
or the Trustee may deem and treat the registered Holder hereof as the absolute
owner of this Note (whether or not this Note shall be overdue and notwithstanding
any notation of ownership or other writing hereon) for the purpose of receiving
payment of, or on account of, the redemption amount hereof, and for all other
purposes, and neither the Company nor the Trustee nor any agent of the Company
or the Trustee shall be affected by any notice to the contrary.


No recourse under or upon any obligation, covenant or
agreement contained in the Indenture or any indenture supplemental thereto or
in any Note, or because of any indebtedness evidenced thereby, shall be had
against any incorporator as such, or against any past, present or future
stockholder, officer, director or employee, as such, of the Company or of any
successor, either directly or through the Company or any successor, under any
rule of law, statute or constitutional provision or by the enforcement of any
assessment or by any legal or equitable proceeding or otherwise, all such
liability being expressly waived and released by the acceptance hereof and as
part of the consideration for the issue hereof.



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The Calculation Agent for the Securities (the
“Calculation Agent”) is Credit Suisse International.  The calculations and determinations of the
Calculation Agent will be final and binding upon all parties (except in the case
of manifest error).  The Calculation
Agent will have no responsibility for good faith errors or omissions in its
calculations and determinations, whether caused by negligence or otherwise.


Terms used herein that are defined in the Indenture
and not otherwise defined herein shall have the respective meanings assigned
thereto in the Indenture.


The laws of the State of New York (without regard to
conflicts of laws principles thereof) shall govern this Note.



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FOR VALUE RECEIVED, the undersigned hereby sell(s),
assign(s) and transfer(s) unto


	
  [PLEASE INSERT SOCIAL SECURITY OR OTHER
  IDENTIFYING NUMBER OF ASSIGNEE]

  
	
   

  
	
   

  
	
   

  
	
   

  
	
  [PLEASE PRINT OR TYPE NAME AND ADDRESS, INCLUDING
  ZIP CODE, OF ASSIGNEE]

  
	
   

  
	
   

  
	
  the within Note and all rights thereunder, hereby
  irrevocably constituting and appointing

  
	
   

  
	
   

  
	
   

  	
  Attorney to 

  
	
  transfer such Note on the books of the Issuer, with
  full power of substitution in the premises.

  
	
   

  	
   

  
	
   

  	
  Signature:

  
	
  Dated:

  	
   

  	
   

  	
   

  
	
   

  	
  NOTICE:The signature to this assignment must
  correspond with the name as written upon the face of the within Note in every
  particular without alteration or enlargement or any change whatsoever

  
					



 


 



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