Document:

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

   

   

  NO. 1 

  	
  CUSIP: 
  225434CS6

   

   

  PRINCIPAL AMOUNT: $ 1,491,000

  

 

	
  CREDIT SUISSE (USA),
  INC.

  Reverse Convertible Securities Linked to the Performance of 

  Freeport-McMoran Copper
  & Gold, Inc.

  due
  March 30, 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 and to pay a coupon of 13.50% per annum on the
principal amount from September 29, 2006. 
The coupon payment will be payable quarterly in arrears on December 30,
2006 and March 30, 2007.

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.

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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/ Peter Feeney

  	
   

  
	
   

  	
   

  	
  Name:

  	
  Peter Feeney

  
	
   

  	
   

  	
  Title:

  	
  Authorized
  Signatory

  
	
   

  	
   

  	
   

  
	
   

  	
   

  	
   

  
	
   

  	
  CREDIT SUISSE (USA), INC.

  
	
   

  	
   

  
	
   

  	
   

  
	
   

  	
  By:

  	
    /s/ Grace Koo

  	
   

  
	
   

  	
   

  	
  Name:

  	
  Grace Koo

  
	
   

  	
   

  	
  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: 
September 29, 2006

	
   

  	
  JPMORGAN CHASE, N.A.,

  
	
   

  	
  as Trustee

  
	
   

  	
   

  
	
   

  	
   

  
	
   

  	
  By:

  	
   /s/
  Ignazio Tamburello

  	
   

  
	
   

  	
  Name:

  	
  Ignazio
  Tamburello

  
	
   

  	
  Title:

  	
  Authorized
  Signatory

  
					

 

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[REVERSE OF NOTE]

CREDIT SUISSE (USA), INC.

Reverse Convertible Securities Linked to the Performance of 

Freeport-McMoranCopper
& Gold, Inc.

due March 30, 2007

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 Reverse Convertible
Securities Linked to the Performance of Freeport-McMoran Copper & Gold,
Inc. due March 30, 2007 (the “Note”).

A coupon will be payable on this Note of
13.50% per annum on the principal amount from September 29, 2006.  The coupon payment will be payable quarterly
in arrears on December 30, 2006 and March 30, 2007.

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

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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 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 $1,000 and any integral
multiples of $1,000 in excess of that amount at the

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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.

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 March 30, 2007 (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 March 30, 2007, and the third 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 based on the performance of the
reference shares during the term of the Securities (the “redemption amount”):

(1)          If
the closing price of the reference shares on the New York Stock Exchange (the “relevant
exchange”) is not less than the knock-in level, which is 75% of the Initial
Share Price, on any day from but not including September 26, 2006, which is the
initial setting date, to and including March 26, 2007 (the “Valuation Date”),
the redemption amount will equal a cash payment equal to 100% of the principal
amount of the Securities.

(2)          If
(i) the closing price of the reference shares on the relevant exchange is less
than the knock-in level on any day from but not including the initial setting
date, to and including the Valuation Date and (ii) the closing price of the
reference shares on the relevant exchange on the Valuation Date, which we refer
to as the final share price, is greater than or equal to the Initial Share
Price, the redemption amount will equal a cash payment equal to 100% of the principal
amount of the Securities.

(3)          Otherwise,
the redemption amount will be the physical delivery amount.  The physical delivery amount will be the
number of reference shares per $1,000 principal amount of Securities equal to
$1,000 divided by the Initial Share Price. 
The market value of the physical delivery amount will be less than the
principal amount of the Securities and may be zero. 

The “Initial Share Price” is $53.50.

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 a Trading Day.

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A “trading day” means any day, as determined by the
Calculation Agent, on which trading is generally conducted for reference shares
(or, but for the occurrence of a market disruption event, would have been
generally conducted) on the relevant exchange and for options and other
derivative instruments on the reference shares on the Chicago Mercantile Exchange
and the Chicago Board Options Exchange, which we refer to collectively as the
related exchanges, other than a day on which the relevant exchange or the
related exchanges are scheduled to close prior to their regular weekday closing
time.

Market
Disruption Events

If no final share price is available on the Valuation
Date because of a market disruption event, as determined by the Calculation
Agent in its sole discretion, the Calculation Agent may postpone the
calculation of the final share price until the earlier of the date such market
disruption event has ceased or three trading days after the Valuation Date, as
the case may be.  On such third trading
day, in the event there still exists a market disruption event, the Calculation
Agent will determine the final share price using its good faith estimate of the
value for the reference shares as of the closing time on the relevant exchange
on such date.  If a market disruption
event exists on the Valuation Date, the Maturity Date of the Securities will be
the later of the original Maturity Date and the third business day following
the day on which the final share price is calculated.  No interest will accrue or other payment be
payable because of any postponement of the Maturity Date.

A “market disruption event” means the occurrence or
existence of any suspension of or limitation imposed on trading (by reason of
movements in price exceeding limits permitted by any relevant exchange or
market or otherwise) of, or the unavailability, through a recognized system of
public dissemination of transaction information, of accurate price, volume or
related information in respect of (a) the reference shares or (b) any options
or futures contracts, or any options on such futures contracts, relating to the
reference shares if, in each case, in the determination of the Calculation
Agent, in its sole discretion, any such suspension, limitation or
unavailability is material.

For purposes of determining whether a market
disruption event has occurred:  (1) a
limitation on the hours or number of days of trading will not constitute a
market disruption event if it results from an announced change in the regular
business hours of the relevant exchange; (2) a decision permanently to
discontinue trading in the relevant options or futures contract will not
constitute a market disruption event; (3) limitations pursuant to New York
Stock Exchange Rule 80A—Index Arbitrage Trading Restrictions (or any applicable
rule or regulation enacted or promulgated by the New York Stock Exchange, any
other self-regulatory organization or the SEC of similar scope as determined by
the Calculation Agent) on trading during significant market fluctuations will
constitute a market disruption event; (4) a suspension of trading in an options
contract on the reference shares by the primary securities market trading in
such options, if available, by reason of (x) a price change exceeding limits
set by such securities exchange or market, (y) an imbalance of orders relating
to such contracts or (z) a disparity in bid and ask quotes relating to such
contracts will constitute a suspension or material limitation of trading in
options contracts related to the reference shares notwithstanding that such
suspension or material limitation is less than two hours; (5) a suspension,
absence or material limitation of trading on the primary securities market on
which options contracts related to the

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reference shares are
traded will not include any time when such securities market is itself closed
for trading under ordinary circumstances; and (6) a “suspension or material
limitation” on an exchange or in a market will include a suspension or material
limitation of trading by one class of investors provided that such suspension
continues for more than two hours of trading or during the last one-half hour
period preceding the close of trading on the relevant exchange or market (but
will not include limitations imposed on certain types of trading under New York
Stock Exchange Rule 80A or any applicable rule or regulation enacted or promulgated
by the New York Stock Exchange, NASDAQ, any other self-regulatory organization
or the SEC of a similar scope or as a replacement for Rule 80A, as determined
by the Calculation Agent) and will not include any time when such exchange or
market is closed for trading as part of such exchange’s or market’s regularly
scheduled business hours.

Antidilution
Adjustments 

General 

The Calculation Agent will adjust the Initial Share Price
and the physical delivery amount if certain corporate actions and other events
described below (each of which, an “adjustment event”), occur, and the
Calculation Agent determines that such adjustment event has a diluting or
concentrative effect on the theoretical value of the reference shares.  Set forth below are examples of how
adjustment events may lead to adjustments to the Initial Share Price and the
physical delivery amount.

Upon the occurrence of an adjustment event that the
Calculation Agent determines has a diluting or concentrative effect on the
theoretical value of the reference shares, for purposes only of determining
whether (i) the price of the reference shares is less than or equal to the
knock-in level and (ii) the final share price is less than or equal to the
Initial Share Price, the Calculation Agent will typically adjust the Initial
Share Price according to the following formula: 

and may, when appropriate, also adjust the knock in level.

The physical delivery amount will be adjusted by the
Calculation Agent as set forth in the specific examples below.  

The adjustments described below do not cover all events
that could affect the value of the Securities. 

Adjustments  

If an adjustment event occurs and the Calculation Agent
determines that the event has a diluting or concentrative effect on the theoretical
value of the reference shares, the Calculation Agent will calculate a
corresponding adjustment to the Initial Share Price and the physical delivery
amount as the Calculation Agent determines appropriate to account for that
diluting or concentrative effect.  The
Calculation Agent will also determine the effective date of that

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adjustment, and the replacement of the reference shares, if
applicable, in the event of consolidation or merger.  Upon making any such adjustment, the
Calculation Agent will give notice as soon as practicable to the Trustee, which
will provide notice of such dilution adjustment to the registered holders of
the Securities in the manner set forth below.

If more than one adjustment event occurs, the Calculation
Agent will make an adjustment for each such adjustment event in the order in
which they occur, and on a cumulative basis. 
Accordingly, having adjusted the Initial Share Price and the physical
delivery amount for the first such adjustment event, the Calculation Agent will
adjust the Initial Share Price and the physical delivery amount for the second
adjustment event, applying the required adjustment to the Initial Share Price
and the physical delivery amount as already adjusted for the first adjustment
event, and so on for each subsequent adjustment event.  

The Calculation Agent will not have to adjust the Initial
Share Price and the physical delivery amount for any adjustment event unless the adjustment would result in a
change to the Initial Share Price or the physical delivery amount of at least
0.1% in the Initial Share Price or the physical delivery amount that would
apply without the adjustment.  The
Initial Share Price and the physical delivery amount resulting from any
adjustment would be rounded up or down, as appropriate, to, in the case of the
Initial Share Price, the nearest cent, and, in the case of the physical
delivery amount, the nearest thousandth, with one-half cent and five
ten-thousandths, respectively, being rounded upwards.  

If an adjustment event requiring antidilution adjustment
occurs, the Calculation Agent will make any adjustments with a view to
offsetting, to the extent practical, any change in the Holders’ economic
position relative to the Securities that results solely from that event.  The Calculation Agent may, in its sole
discretion, modify any antidilution adjustments as necessary to ensure an
equitable result.

The Calculation Agent has sole discretion in making all
determinations with respect to antidilution adjustments, including any
determination as to whether an adjustment event requiring an antidilution
adjustment has occurred, as to the nature of the adjustment required and how it
will be made.  In the absence of manifest
error, those determinations will be conclusive for all purposes and will be
binding on the Holders and the Company, without any liability on the part of
the Calculation Agent.  Upon written
request, the Calculation Agent will provide information about any adjustments
it makes.  

Events requiring an antidilution
adjustment

The following is a list of adjustment events that may
require an antidilution adjustment:

(a)                                  a subdivision, consolidation
or reclassification of the reference shares or a free distribution or dividend
of any reference shares to existing holders of reference shares by way of
bonus, capitalization or similar issue;

(b)                                 a dividend or other
distribution to existing holders of reference shares of (i) the reference
shares, (ii) other share capital or securities granting the right to payment of
dividends equally or proportionately with such payments to holders of the
reference shares or (iii) any other type of securities, rights or warrants in
any case

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for payment (in cash or otherwise) at less than the
prevailing market price as determined by the Calculation Agent;

(c)                                  the declaration by the
issuer of the reference shares of an extraordinary or special dividend or other
distribution whether in cash or reference shares or other assets;

(d)                                 a repurchase of its common
stock by the issuer of the reference shares whether out of profits or capital
and whether the consideration for such repurchase is cash, securities or
otherwise;

(e)                                  a consolidation of the
issuer of the reference shares with another company or merger of the issuer of
the reference shares with another company; and

(f)                                    any other similar event that
may have a diluting or concentrative effect on the theoretical value of the
reference shares.

Certain
adjustment events are discussed in greater detail below.

Stock splits

A stock split is an increase in the number of a corporation’s
outstanding shares of stock without any change in its stockholders’
equity.  

If the reference shares are subject to a stock split, the
Calculation Agent will adjust the physical delivery amount to equal the sum of
the prior physical delivery amount—i.e., the physical delivery amount before
that adjustment—and the product of (i) the number of additional shares issued
in the stock split with respect to each of the reference shares times (ii) the
prior physical delivery amount.

Reverse stock splits

A reverse stock split is a decrease in the number of a
corporation’s outstanding shares of stock without any change in its
stockholders’ equity.  

If the reference shares are subject to a reverse stock
split, the Calculation Agent will adjust the physical delivery amount to equal
the product of the prior physical delivery amount and the quotient of (i) the
number of reference shares outstanding immediately after the reverse stock
split becomes effective divided by (ii) the number of reference shares outstanding
immediately before the reverse stock split becomes effective. 

Stock dividends

In a stock dividend, a corporation issues additional shares
of its stock to all holders of its outstanding stock in proportion to the
shares they own.  

If the reference shares are subject to a stock dividend
payable in the reference shares, then the Calculation Agent will adjust the
physical delivery amount to equal the sum of the prior physical delivery amount
and the product of (i) the number of additional shares issued in the stock
dividend with respect to each of the reference shares times (ii) the prior
physical delivery amount.

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Other dividends and distributions

If the issuer of the reference shares declares a dividend
to be distributed to holders of record of the reference shares as of a date
falling in the period that begins on the day immediately following the
Valuation Date and ends on the day immediately prior to the Maturity Date, any
such dividend will not be paid to Holders. 

The physical delivery amount will not be adjusted to
reflect any dividends or distributions paid with respect to the reference
shares, other than (i) stock dividends described above; (ii) issuances of
transferable rights and warrants as described in “—Transferable rights and
warrants” below; and (iii) extraordinary dividends as described below.

A dividend or other distribution with respect to the
reference shares will be deemed to be an “extraordinary dividend” if its per
share value exceeds that of the immediately preceding non-extraordinary
dividend, if any, for the reference shares by an amount equal to at least
10.00% of the market price of the reference shares on the business day before
the extraordinary dividend date.  The ex
dividend date for any dividend or other distribution is the first day on which
the reference shares trade without the right to receive that dividend or
distribution.  If an extraordinary
dividend occurs, the Calculation Agent will adjust the physical delivery amount
to equal the product of (1) the prior physical delivery amount times (2) a
fraction, the numerator of which is the market price of the reference shares on
the business day before the ex dividend date and the denominator of which is
the amount by which that market price exceeds the extraordinary dividend
adjustment amount.  The “extraordinary
dividend adjustment amount” with respect to an extraordinary dividend for the
reference shares equals:  (i) for an
extraordinary dividend that is paid in lieu of a regular quarterly dividend,
the amount of the extraordinary dividend per share of the reference shares
minus the amount per share of the immediately preceding dividend, if any, that
was not an extraordinary dividend for the reference shares, or (ii) for an
extraordinary dividend that is not paid in lieu of a regular quarterly
dividend, the amount per share of the extraordinary dividend.

To the extent an extraordinary dividend is not paid in
cash, the value of the non-cash component will be determined by the Calculation
Agent.  A distribution on the reference
shares that is a dividend payable in the reference shares, an issuance of
rights or warrants or a spin-off event and that is also an extraordinary
dividend will result in an adjustment to the physical delivery amount only as
described in “Stock dividends” above, “Transferable rights and warrants” below
or “Reorganization events” below, as the case may be, and not as described
here.  

Transferable rights and warrants

If the issuer of the reference shares issues transferable
rights or warrants to all holders of the reference shares to subscribe for or
purchase the reference shares at an exercise price per share that is less than
the market price of the reference shares on the business day before the
extraordinary dividend date for the issuance, then the physical delivery amount
will be adjusted by multiplying the prior physical delivery amount by the
following fraction:  (i) the numerator
will be the sum of the number of reference shares outstanding at the close of business
on the day before that ex dividend date and the total number of additional
reference shares offered for

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subscription or purchase under those transferable rights or
warrants, and (ii) the denominator will be the sum of the number of reference
shares outstanding at the close of business on the day before that ex dividend
date and the product of (1) the total number of additional reference shares
offered for subscription or purchase under the transferable rights or warrants
times (2) the exercise price of those transferable rights or warrants divided
by the market price on the business day before that extraordinary dividend
date.

Reorganization events

Any of the following
shall constitute a reorganization event: 
(i) the reference shares are reclassified or changed, including, without
limitation, as a result of the issuance of any tracking stock by the issuer of
the reference shares, (ii) the issuer of the reference shares has been subject
to any merger, combination or consolidation and is not the surviving entity,
(iii) the issuer of the reference shares completes a statutory exchange of
securities with another corporation, (iv) the issuer of the reference shares is
liquidated, (v) the issuer of the reference shares issues to all of its
shareholders equity securities of an issuer other than the issuer of the
reference shares (other than in a transaction above) (a “spinoff stock”) or
(vi) the reference shares are the subject of a tender or exchange offer or
going private transaction on all of the outstanding shares.

Adjustments for reorganization events

If any reorganization
event occurs, in each case as a result of which the holders of the reference
shares receive any equity security listed on a national securities exchange or
traded on The Nasdaq National Market (a “marketable security”), other
securities or other property, assets or cash (collectively “exchange property”),
for purposes of determining the physical delivery amount following the
effective date for such reorganization event (or, if applicable, in the case of
spinoff stock, the ex-dividend date for the distribution of such spinoff
stock), the physical delivery amount will be based on the following: 

(a) if the reference
shares continue to be outstanding, the prior physical delivery amount (if
applicable, as reclassified upon the issuance of any tracking stock) on the
relevant date (taking into account any adjustments for any distributions
described under clause (c)(i) below); 

(b) for each marketable
security received in such reorganization event (each a “new stock”), including
the issuance of any tracking stock or spinoff stock or the receipt of any stock
received in exchange for the reference shares, the amount of new stock received
with respect to one share of the reference shares, as adjusted to the relevant
date (taking into account any adjustments for distributions described under
clause (c)(i) below); and 

(c) for any cash and any
other property or securities other than marketable securities received in such
reorganization event (the “non-stock exchange property”), (i) if the combined
value of the amount of non-stock exchange property received per share of the
reference shares, as determined by the Calculation Agent in its sole discretion
on the effective date of such reorganization event (the “non-stock exchange
property value”), by holders of the reference shares is less than 25% of the
closing price of the reference shares on the trading day immediately prior to
the effective date of such reorganization event, an amount of the reference
shares, if applicable, and of any new stock received in connection with such
reorganization event, if applicable, in proportion to the relative closing
prices of the reference shares and any

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such new stock, and with
an aggregate value equal to the non-stock exchange property value, based on such
closing prices, in each case as determined by the Calculation Agent in its sole
discretion on the effective date of such reorganization event, or (ii) if the
non-stock exchange property value is equal to or exceeds 25% of the closing
price of the reference shares on the trading day immediately prior to the
effective date relating to such reorganization event or, if the reference
shares are surrendered exclusively for non-stock exchange property (in each
case, an “alternate stock event”), a number of shares of the alternate stock
(as defined below) with a value on the effective date of such reorganization
event equal to the non-stock exchange property value.  The “alternate stock” will be the common
stock of the company with a price volatility on the measurement date (each as
defined below) that is nearest (whether higher or lower) to the price
volatility of the reference shares, as selected by the Calculation Agent from a
group of five stocks then included in the S&P 500 Index (or, if publication
of such index is discontinued, any successor or substitute index selected by
the Calculation Agent in its sole discretion). The stocks from which the
alternate stock is selected will be the five stocks with the largest market
capitalization among the stocks then included in the S&P 500 Index (or such
successor index) with the same primary “Industry” Standard Industrial
Classification Code (“SIC Code”) as the issuer of the reference shares;
provided that if there are fewer than five stocks with the same primary “Industry”
SIC Code as the issuer of the reference shares, the Calculation Agent will
identify additional stocks then included in the S&P 500 Index (or such
successor index), from the following categories, selecting stocks, as required,
in each succeeding category in descending order of market capitalization,
beginning with the stock in each category with the largest capitalization:
first, stocks with the same primary “Industry Group” classification as the
issuer of the reference shares; second, stocks with the same primary “Major
Group” classification as the issuer of the reference shares; and third, stocks
with the same primary “Division” classification as the issuer of the reference
shares; provided, further, that none of the five stocks from which the alternate
stock will be selected will be a stock that is subject to a trading restriction
under the trading restriction policies of Credit Suisse or any of its
affiliates that would materially limit the ability of Credit Suisse or any of
its affiliates to hedge the Securities with respect to such stock (a “hedging
restriction”). “Industry,” “Industry Group,” “Major Group” and “Division” have
the meanings assigned by the Office of Management and Budget, or any successor
federal agency responsible for assigning SIC codes. If the SIC Code system of
classification is altered or abandoned, the Calculation Agent may select an
alternate classification system and implement similar procedures.  “Price volatility” means the average
historical price volatility for the period of 100 trading days ending on the
trading day immediately prior to the first public announcement of the relevant
reorganization event (the “measurement date”) as such average historical price
volatility for such stock is displayed on Bloomberg screen Equity HVG (using
the settings N = 100 and Market: T) (or any successor thereto); provided that
if the price volatility of the reference shares or any stock identified in this
sub-paragraph is not then displayed on Bloomberg, then the Calculation Agent,
in its sole discretion, will determine the applicable price volatility.

In the case of a
consummated tender or exchange offer or going-private transaction involving
consideration of particular types, exchange property shall be deemed to include
the amount of cash or other property delivered by the offeror in the tender or
exchange offer (in an amount determined on the basis of the rate of exchange in
such tender or exchange offer or going-private transaction).  In the event of a tender or exchange offer or
a going-private transaction with respect to exchange property in which an
offeree may elect to receive cash or

 R-10
 

 

other property, exchange
property shall be deemed to include the kind and amount of cash and other
property received by offerees who elect to receive cash.

If a reorganization event
occurs, the property distributed in the event will be substituted for the
common stock of the issuer of the reference shares as described above.  Consequently, references to the common stock
of the issuer of the reference shares mean any property that is distributed in
a reorganization event and comprises the adjusted physical delivery
amount.  Similarly, references to the
issuer of the reference shares mean any successor entity in a reorganization
event.

In the event that the Calculation
Agent determines that an adjustment should be made to the physical delivery
amount as a result of one or more events or circumstances not otherwise
described above (even if such event or circumstance is specifically excluded
from the operation of the provisions described above), the Calculation Agent
shall determine as soon as practicable what adjustment (if any) is fair and
reasonable to take account thereof.

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.

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.

 R-11
 

 

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.

 R-12
 

 

 

	
  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.

  
				

 

 R-13Exhibit
4.02

[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

   

   

   

  NO. 1 

  	
  CUSIP: 
  225434CN7

   

   

  PRINCIPAL AMOUNT: $ 1,724,000

  

 

	
  CREDIT SUISSE (USA),
  INC.

  Reverse Convertible Securities Linked to the Performance of Oregon Steel
  Mills, Inc.

  due
  March 30, 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 and to pay a coupon of 16.25% per annum on the
principal amount from September 29, 2006. 
The coupon payment will be payable quarterly in arrears on December 30,
2006 and March 30, 2007.

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.

 F-1
 

 

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

 

	
  

  	
  CREDIT SUISSE (USA), INC.

  
	
   

  	
   

  
	
   

  	
   

  
	
  [SEAL]

  	
  By:

  	
    /s/ Peter Feeney

  	
   

  
	
   

  	
   

  	
  Name:

  	
  Peter Feeney

  
	
   

  	
   

  	
  Title:

  	
  Authorized
  Signatory

  
	
   

  	
   

  	
   

  
	
   

  	
   

  	
   

  
	
   

  	
  CREDIT SUISSE (USA), INC.

  
	
   

  	
   

  
	
   

  	
   

  
	
   

  	
  By:

  	
    /s/ Grace Koo

  	
   

  
	
   

  	
   

  	
  Name:

  	
  Grace Koo

  
	
   

  	
   

  	
  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: 
September 29, 2006

	
   

  	
  JPMORGAN CHASE, N.A.,

  
	
   

  	
  as Trustee

  
	
   

  	
   

  
	
   

  	
   

  
	
   

  	
  By:

  	
   /s/
  Ignazio Tamburello

  	
   

  
	
   

  	
  Name:

  	
  Ignazio
  Tamburello

  
	
   

  	
  Title:

  	
  Authorized
  Signatory

  
					

 F-2

 

[REVERSE OF NOTE]

CREDIT SUISSE (USA), INC.

Reverse Convertible Securities Linked to the Performance of Oregon Steel Mills,
Inc.

due March 30, 2007

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 Reverse Convertible
Securities Linked to the Performance of Oregon Steel Mills, Inc. due March 30,
2007 (the “Note”).

A coupon will be payable on this Note of
16.25% per annum on the principal amount from September 29, 2006.  The coupon payment will be payable quarterly
in arrears on December 30, 2006 and March 30, 2007.

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

 R-1
 

 

change any place of
payment where, or the currency in which, any Security of such series or any
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 $1,000 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.

 R-2
 

 

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 March 30, 2007 (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 March 30, 2007, and the third 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 based on the performance of the
reference shares during the term of the Securities (the “redemption amount”):

(1)          If
the closing price of the reference shares on the New York Stock Exchange (the “relevant
exchange”) is not less than the knock-in level, which is 75% of the Initial
Share Price, on any day from but not including September 26, 2006, which is the
initial setting date, to and including March 26, 2007 (the “Valuation Date”),
the redemption amount will equal a cash payment equal to 100% of the principal
amount of the Securities.

(2)          If
(i) the closing price of the reference shares on the relevant exchange is less
than the knock-in level on any day from but not including the initial setting
date, to and including the Valuation Date and (ii) the closing price of the
reference shares on the relevant exchange on the Valuation Date, which we refer
to as the final share price, is greater than or equal to the Initial Share
Price, the redemption amount will equal a cash payment equal to 100% of the
principal amount of the Securities.

(3)          Otherwise,
the redemption amount will be the physical delivery amount.  The physical delivery amount will be the
number of reference shares per $1,000 principal amount of Securities equal to
$1,000 divided by the Initial Share Price. 
The market value of the physical delivery amount will be less than the
principal amount of the Securities and may be zero. 

The “Initial Share Price” is $47.79.

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 a Trading Day.

A “trading day” means any day, as determined by the
Calculation Agent, on which trading is generally conducted for reference shares
(or, but for the occurrence of a market disruption event, would have been
generally conducted) on the relevant exchange and for options

 R-3
 

 

and other derivative instruments on the reference
shares on the Chicago Mercantile Exchange and the Chicago Board Options
Exchange, which we refer to collectively as the related exchanges, other than a
day on which the relevant exchange or the related exchanges are scheduled to
close prior to their regular weekday closing time.

Market
Disruption Events

If no final share price is available on the Valuation
Date because of a market disruption event, as determined by the Calculation
Agent in its sole discretion, the Calculation Agent may postpone the
calculation of the final share price until the earlier of the date such market
disruption event has ceased or three trading days after the Valuation Date, as
the case may be.  On such third trading
day, in the event there still exists a market disruption event, the Calculation
Agent will determine the final share price using its good faith estimate of the
value for the reference shares as of the closing time on the relevant exchange
on such date.  If a market disruption
event exists on the Valuation Date, the Maturity Date of the Securities will be
the later of the original Maturity Date and the third business day following
the day on which the final share price is calculated.  No interest will accrue or other payment be
payable because of any postponement of the Maturity Date.

A “market disruption event” means the occurrence or
existence of any suspension of or limitation imposed on trading (by reason of
movements in price exceeding limits permitted by any relevant exchange or
market or otherwise) of, or the unavailability, through a recognized system of
public dissemination of transaction information, of accurate price, volume or
related information in respect of (a) the reference shares or (b) any options
or futures contracts, or any options on such futures contracts, relating to the
reference shares if, in each case, in the determination of the Calculation
Agent, in its sole discretion, any such suspension, limitation or
unavailability is material.

For purposes of determining whether a market
disruption event has occurred:  (1) a
limitation on the hours or number of days of trading will not constitute a
market disruption event if it results from an announced change in the regular
business hours of the relevant exchange; (2) a decision permanently to
discontinue trading in the relevant options or futures contract will not
constitute a market disruption event; (3) limitations pursuant to New York
Stock Exchange Rule 80A—Index Arbitrage Trading Restrictions (or any applicable
rule or regulation enacted or promulgated by the New York Stock Exchange, any
other self-regulatory organization or the SEC of similar scope as determined by
the Calculation Agent) on trading during significant market fluctuations will
constitute a market disruption event; (4) a suspension of trading in an options
contract on the reference shares by the primary securities market trading in
such options, if available, by reason of (x) a price change exceeding limits
set by such securities exchange or market, (y) an imbalance of orders relating
to such contracts or (z) a disparity in bid and ask quotes relating to such contracts
will constitute a suspension or material limitation of trading in options
contracts related to the reference shares notwithstanding that such suspension
or material limitation is less than two hours; (5) a suspension, absence or
material limitation of trading on the primary securities market on which
options contracts related to the reference shares are traded will not include
any time when such securities market is itself closed for trading under
ordinary circumstances; and (6) a “suspension or material limitation” on an
exchange or in a market will include a suspension or material limitation of
trading by one class

 R-4
 

 

of investors provided
that such suspension continues for more than two hours of trading or during the
last one-half hour period preceding the close of trading on the relevant
exchange or market (but will not include limitations imposed on certain types
of trading under New York Stock Exchange Rule 80A or any applicable rule or
regulation enacted or promulgated by the New York Stock Exchange, NASDAQ, any
other self-regulatory organization or the SEC of a similar scope or as a
replacement for Rule 80A, as determined by the Calculation Agent) and will not
include any time when such exchange or market is closed for trading as part of
such exchange’s or market’s regularly scheduled business hours.

Antidilution
Adjustments 

General 

The Calculation Agent will adjust the Initial Share Price
and the physical delivery amount if certain corporate actions and other events
described below (each of which, an “adjustment event”), occur, and the
Calculation Agent determines that such adjustment event has a diluting or
concentrative effect on the theoretical value of the reference shares.  Set forth below are examples of how
adjustment events may lead to adjustments to the Initial Share Price and the
physical delivery amount.

Upon the occurrence of an adjustment event that the
Calculation Agent determines has a diluting or concentrative effect on the
theoretical value of the reference shares, for purposes only of determining
whether (i) the price of the reference shares is less than or equal to the
knock-in level and (ii) the final share price is less than or equal to the
Initial Share Price, the Calculation Agent will typically adjust the Initial
Share Price according to the following formula: 

 

and may, when appropriate, also adjust the knock in level.

The physical delivery amount will be adjusted by the
Calculation Agent as set forth in the specific examples below.  

The adjustments described below do not cover all events
that could affect the value of the Securities. 

Adjustments  

If an adjustment event occurs and the Calculation Agent
determines that the event has a diluting or concentrative effect on the
theoretical value of the reference shares, the Calculation Agent will calculate
a corresponding adjustment to the Initial Share Price and the physical delivery
amount as the Calculation Agent determines appropriate to account for that
diluting or concentrative effect.  The
Calculation Agent will also determine the effective date of that adjustment,
and the replacement of the reference shares, if applicable, in the event of
consolidation or merger.  Upon making any
such adjustment, the Calculation Agent will give

 R-5
 

 

notice as soon as practicable to the Trustee, which will
provide notice of such dilution adjustment to the registered holders of the
Securities in the manner set forth below.

If more than one adjustment event occurs, the Calculation
Agent will make an adjustment for each such adjustment event in the order in
which they occur, and on a cumulative basis. 
Accordingly, having adjusted the Initial Share Price and the physical
delivery amount for the first such adjustment event, the Calculation Agent will
adjust the Initial Share Price and the physical delivery amount for the second
adjustment event, applying the required adjustment to the Initial Share Price
and the physical delivery amount as already adjusted for the first adjustment
event, and so on for each subsequent adjustment event.  

The Calculation Agent will not have to adjust the Initial
Share Price and the physical delivery amount for any adjustment event unless the adjustment would result in a
change to the Initial Share Price or the physical delivery amount of at least
0.1% in the Initial Share Price or the physical delivery amount that would
apply without the adjustment.  The
Initial Share Price and the physical delivery amount resulting from any
adjustment would be rounded up or down, as appropriate, to, in the case of the
Initial Share Price, the nearest cent, and, in the case of the physical
delivery amount, the nearest thousandth, with one-half cent and five
ten-thousandths, respectively, being rounded upwards.  

If an adjustment event requiring antidilution adjustment
occurs, the Calculation Agent will make any adjustments with a view to
offsetting, to the extent practical, any change in the Holders’ economic
position relative to the Securities that results solely from that event.  The Calculation Agent may, in its sole
discretion, modify any antidilution adjustments as necessary to ensure an
equitable result.

The Calculation Agent has sole discretion in making all
determinations with respect to antidilution adjustments, including any
determination as to whether an adjustment event requiring an antidilution
adjustment has occurred, as to the nature of the adjustment required and how it
will be made.  In the absence of manifest
error, those determinations will be conclusive for all purposes and will be
binding on the Holders and the Company, without any liability on the part of
the Calculation Agent.  Upon written
request, the Calculation Agent will provide information about any adjustments
it makes.  

Events requiring an antidilution
adjustment

The following is a list of adjustment events that may
require an antidilution adjustment:

(a)                                  a subdivision, consolidation
or reclassification of the reference shares or a free distribution or dividend
of any reference shares to existing holders of reference shares by way of
bonus, capitalization or similar issue;

(b)                                 a dividend or other
distribution to existing holders of reference shares of (i) the reference
shares, (ii) other share capital or securities granting the right to payment of
dividends equally or proportionately with such payments to holders of the
reference shares or (iii) any other type of securities, rights or warrants in
any case for payment (in cash or otherwise) at less than the prevailing market
price as determined by the Calculation Agent;

 R-6
 

 

(c)                                  the declaration by the
issuer of the reference shares of an extraordinary or special dividend or other
distribution whether in cash or reference shares or other assets;

(d)                                 a repurchase of its common
stock by the issuer of the reference shares whether out of profits or capital
and whether the consideration for such repurchase is cash, securities or
otherwise;

(e)                                  a consolidation of the
issuer of the reference shares with another company or merger of the issuer of
the reference shares with another company; and

(f)                                    any other similar event that
may have a diluting or concentrative effect on the theoretical value of the
reference shares.

Certain
adjustment events are discussed in greater detail below.

Stock splits

A stock split is an increase in the number of a corporation’s
outstanding shares of stock without any change in its stockholders’
equity.  

If the reference shares are subject to a stock split, the
Calculation Agent will adjust the physical delivery amount to equal the sum of
the prior physical delivery amount—i.e., the physical delivery amount before
that adjustment—and the product of (i) the number of additional shares issued
in the stock split with respect to each of the reference shares times (ii) the
prior physical delivery amount.

Reverse stock splits

A reverse stock split is a decrease in the number of a
corporation’s outstanding shares of stock without any change in its
stockholders’ equity.  

If the reference shares are subject to a reverse stock
split, the Calculation Agent will adjust the physical delivery amount to equal
the product of the prior physical delivery amount and the quotient of (i) the
number of reference shares outstanding immediately after the reverse stock
split becomes effective divided by (ii) the number of reference shares
outstanding immediately before the reverse stock split becomes effective. 

Stock dividends

In a stock dividend, a corporation issues additional shares
of its stock to all holders of its outstanding stock in proportion to the
shares they own.  

If the reference shares are subject to a stock dividend
payable in the reference shares, then the Calculation Agent will adjust the
physical delivery amount to equal the sum of the prior physical delivery amount
and the product of (i) the number of additional shares issued in the stock
dividend with respect to each of the reference shares times (ii) the prior
physical delivery amount.

 R-7
 

 

Other dividends and distributions

If the issuer of the reference shares declares a dividend
to be distributed to holders of record of the reference shares as of a date falling
in the period that begins on the day immediately following the Valuation Date
and ends on the day immediately prior to the Maturity Date, any such dividend
will not be paid to Holders.  

The physical delivery amount will not be adjusted to
reflect any dividends or distributions paid with respect to the reference
shares, other than (i) stock dividends described above; (ii) issuances of
transferable rights and warrants as described in “—Transferable rights and
warrants” below; and (iii) extraordinary dividends as described below.

A dividend or other distribution with respect to the
reference shares will be deemed to be an “extraordinary dividend” if its per
share value exceeds that of the immediately preceding non-extraordinary
dividend, if any, for the reference shares by an amount equal to at least
10.00% of the market price of the reference shares on the business day before
the extraordinary dividend date.  The ex
dividend date for any dividend or other distribution is the first day on which
the reference shares trade without the right to receive that dividend or
distribution.  If an extraordinary
dividend occurs, the Calculation Agent will adjust the physical delivery amount
to equal the product of (1) the prior physical delivery amount times (2) a fraction,
the numerator of which is the market price of the reference shares on the
business day before the ex dividend date and the denominator of which is the
amount by which that market price exceeds the extraordinary dividend adjustment
amount.  The “extraordinary dividend
adjustment amount” with respect to an extraordinary dividend for the reference
shares equals:  (i) for an extraordinary
dividend that is paid in lieu of a regular quarterly dividend, the amount of
the extraordinary dividend per share of the reference shares minus the amount
per share of the immediately preceding dividend, if any, that was not an
extraordinary dividend for the reference shares, or (ii) for an extraordinary
dividend that is not paid in lieu of a regular quarterly dividend, the amount
per share of the extraordinary dividend.

To the extent an extraordinary dividend is not paid in
cash, the value of the non-cash component will be determined by the Calculation
Agent.  A distribution on the reference
shares that is a dividend payable in the reference shares, an issuance of
rights or warrants or a spin-off event and that is also an extraordinary
dividend will result in an adjustment to the physical delivery amount only as
described in “Stock dividends” above, “Transferable rights and warrants” below
or “Reorganization events” below, as the case may be, and not as described
here.  

Transferable rights and warrants

If the issuer of the reference shares issues transferable
rights or warrants to all holders of the reference shares to subscribe for or
purchase the reference shares at an exercise price per share that is less than
the market price of the reference shares on the business day before the
extraordinary dividend date for the issuance, then the physical delivery amount
will be adjusted by multiplying the prior physical delivery amount by the
following fraction:  (i) the numerator
will be the sum of the number of reference shares outstanding at the close of
business on the day before that ex dividend date and the total number of additional
reference shares offered for

 R-8
 

 

subscription or purchase under those transferable rights or
warrants, and (ii) the denominator will be the sum of the number of reference
shares outstanding at the close of business on the day before that ex dividend
date and the product of (1) the total number of additional reference shares
offered for subscription or purchase under the transferable rights or warrants
times (2) the exercise price of those transferable rights or warrants divided
by the market price on the business day before that extraordinary dividend
date.

Reorganization events

Any of the following
shall constitute a reorganization event: 
(i) the reference shares are reclassified or changed, including, without
limitation, as a result of the issuance of any tracking stock by the issuer of
the reference shares, (ii) the issuer of the reference shares has been subject
to any merger, combination or consolidation and is not the surviving entity,
(iii) the issuer of the reference shares completes a statutory exchange of
securities with another corporation, (iv) the issuer of the reference shares is
liquidated, (v) the issuer of the reference shares issues to all of its
shareholders equity securities of an issuer other than the issuer of the
reference shares (other than in a transaction above) (a “spinoff stock”) or
(vi) the reference shares are the subject of a tender or exchange offer or
going private transaction on all of the outstanding shares.

Adjustments for reorganization events

If any reorganization event
occurs, in each case as a result of which the holders of the reference shares
receive any equity security listed on a national securities exchange or traded
on The Nasdaq National Market (a “marketable security”), other securities or
other property, assets or cash (collectively “exchange property”), for purposes
of determining the physical delivery amount following the effective date for
such reorganization event (or, if applicable, in the case of spinoff stock, the
ex-dividend date for the distribution of such spinoff stock), the physical
delivery amount will be based on the following: 

(a) if the reference
shares continue to be outstanding, the prior physical delivery amount (if
applicable, as reclassified upon the issuance of any tracking stock) on the
relevant date (taking into account any adjustments for any distributions
described under clause (c)(i) below); 

(b) for each marketable
security received in such reorganization event (each a “new stock”), including
the issuance of any tracking stock or spinoff stock or the receipt of any stock
received in exchange for the reference shares, the amount of new stock received
with respect to one share of the reference shares, as adjusted to the relevant
date (taking into account any adjustments for distributions described under
clause (c)(i) below); and 

(c) for any cash and any
other property or securities other than marketable securities received in such
reorganization event (the “non-stock exchange property”), (i) if the combined
value of the amount of non-stock exchange property received per share of the
reference shares, as determined by the Calculation Agent in its sole discretion
on the effective date of such reorganization event (the “non-stock exchange
property value”), by holders of the reference shares is less than 25% of the
closing price of the reference shares on the trading day immediately prior to
the effective date of such reorganization event, an amount of the reference
shares, if applicable, and of any new stock received in connection with such
reorganization event, if applicable, in proportion to the relative closing
prices of the reference shares and any

 R-9
 

 

such new stock, and with
an aggregate value equal to the non-stock exchange property value, based on
such closing prices, in each case as determined by the Calculation Agent in its
sole discretion on the effective date of such reorganization event, or (ii) if
the non-stock exchange property value is equal to or exceeds 25% of the closing
price of the reference shares on the trading day immediately prior to the
effective date relating to such reorganization event or, if the reference
shares are surrendered exclusively for non-stock exchange property (in each
case, an “alternate stock event”), a number of shares of the alternate stock
(as defined below) with a value on the effective date of such reorganization
event equal to the non-stock exchange property value.  The “alternate stock” will be the common
stock of the company with a price volatility on the measurement date (each as
defined below) that is nearest (whether higher or lower) to the price
volatility of the reference shares, as selected by the Calculation Agent from a
group of five stocks then included in the S&P 500 Index (or, if publication
of such index is discontinued, any successor or substitute index selected by
the Calculation Agent in its sole discretion). The stocks from which the
alternate stock is selected will be the five stocks with the largest market
capitalization among the stocks then included in the S&P 500 Index (or such
successor index) with the same primary “Industry” Standard Industrial
Classification Code (“SIC Code”) as the issuer of the reference shares;
provided that if there are fewer than five stocks with the same primary “Industry”
SIC Code as the issuer of the reference shares, the Calculation Agent will
identify additional stocks then included in the S&P 500 Index (or such
successor index), from the following categories, selecting stocks, as required,
in each succeeding category in descending order of market capitalization,
beginning with the stock in each category with the largest capitalization:
first, stocks with the same primary “Industry Group” classification as the
issuer of the reference shares; second, stocks with the same primary “Major
Group” classification as the issuer of the reference shares; and third, stocks
with the same primary “Division” classification as the issuer of the reference
shares; provided, further, that none of the five stocks from which the
alternate stock will be selected will be a stock that is subject to a trading
restriction under the trading restriction policies of Credit Suisse or any of
its affiliates that would materially limit the ability of Credit Suisse or any
of its affiliates to hedge the Securities with respect to such stock (a “hedging
restriction”). “Industry,” “Industry Group,” “Major Group” and “Division” have
the meanings assigned by the Office of Management and Budget, or any successor
federal agency responsible for assigning SIC codes. If the SIC Code system of
classification is altered or abandoned, the Calculation Agent may select an
alternate classification system and implement similar procedures.  “Price volatility” means the average
historical price volatility for the period of 100 trading days ending on the
trading day immediately prior to the first public announcement of the relevant
reorganization event (the “measurement date”) as such average historical price
volatility for such stock is displayed on Bloomberg screen Equity HVG (using
the settings N = 100 and Market: T) (or any successor thereto); provided that
if the price volatility of the reference shares or any stock identified in this
sub-paragraph is not then displayed on Bloomberg, then the Calculation Agent,
in its sole discretion, will determine the applicable price volatility.

In the case of a
consummated tender or exchange offer or going-private transaction involving
consideration of particular types, exchange property shall be deemed to include
the amount of cash or other property delivered by the offeror in the tender or
exchange offer (in an amount determined on the basis of the rate of exchange in
such tender or exchange offer or going-private transaction).  In the event of a tender or exchange offer or
a going-private transaction with respect to exchange property in which an
offeree may elect to receive cash or

 R-10
 

 

other property, exchange
property shall be deemed to include the kind and amount of cash and other
property received by offerees who elect to receive cash.

If a reorganization event
occurs, the property distributed in the event will be substituted for the
common stock of the issuer of the reference shares as described above.  Consequently, references to the common stock
of the issuer of the reference shares mean any property that is distributed in
a reorganization event and comprises the adjusted physical delivery
amount.  Similarly, references to the
issuer of the reference shares mean any successor entity in a reorganization
event.

In the event that the
Calculation Agent determines that an adjustment should be made to the physical
delivery amount as a result of one or more events or circumstances not
otherwise described above (even if such event or circumstance is specifically
excluded from the operation of the provisions described above), the Calculation
Agent shall determine as soon as practicable what adjustment (if any) is fair
and reasonable to take account thereof.

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.

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.

 R-11
 

 

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.

 R-12
 

 

 

	
  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.

  
				

 

 R-13

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