Term Sheet No. J141

To the Product Supplement No. JPM-I dated March 25, 2009,

Prospectus Supplement dated March 25, 2009 and

Prospectus dated March 25, 2009

Filed Pursuant to Rule 433

Registration Statement No. 333-158199-10

May 3, 2010

Credit Suisse AG

Structured

Investments

Credit Suisse

Index Knock-Out Notes due May 19, 2011

Linked to the S&P GSCI™ Commodity Index Excess Return

General

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The notes are designed for investors who seek a return at maturity linked to the appreciation of the S&P GSCI Commodity Index Excess Return (the “Underlying”). Investors should be willing to forgo interest payments and, if the closing level of the Underlying is less than the Initial Level by more than the Knock-Out Buffer Amount, which is expected to be 20% (to be determined on the Pricing Date), on any trading day during the Monitoring Period and the Final Level is less than the Initial Level, be willing to lose up to 100% of their investment. If the closing level of the Underlying is not less than the Initial Level by more than the Knock-Out Buffer Amount on any trading day during the Monitoring Period, at maturity investors will be entitled to receive the principal amount of their notes and will have the opportunity to participate in the appreciation of the Underlying, if any, subject to the Maximum Return, which will be at least 17% (to be determined on the Pricing Date), and the Contingent Minimum Return, which will be at least 5% (to be determined on the Pricing Date). Any payment at maturity is subject to our ability to pay our obligations as they become due.

•	Senior unsecured obligations of Credit Suisse AG, acting through its Nassau Branch, maturing May 19, 2011†.

•	Minimum purchase of $10,000. Minimum denominations of $1,000 and integral multiples in excess thereof.

•	The notes are expected to price on or about May 7, 2010 (the “Pricing Date”) and are expected to settle on or about May 12, 2010. Delivery of the notes in book-entry form only will be made through The Depository Trust Company.

Key Terms

Issuer:		Credit Suisse AG (“Credit Suisse”), acting through its Nassau Branch
Underlying:		The S&P GSCI Commodity Index Excess Return. The closing levels of the Underlying are reported by Bloomberg under the ticker symbol “SPGCCIP.” For further information on the Underlying, see “The Underlying—The S&P GSCI™ Commodity Index Excess Return” herein.
Payment at Maturity:		At maturity, you will be entitled to receive a cash payment that will reflect the performance of the Underlying as follows:

		·	If a Knock-Out Event has occurred, your payment at maturity per $1,000 principal amount of notes will equal $1,000 plus the product of $1,000 and the lesser of (i) the Maximum Return and (ii) the Underlying Return.
			If a Knock-Out Event has occurred, you will lose some or all of your investment at maturity if the Final Level is less than the Initial Level.
		·	If a Knock-Out Event has not occurred, your payment at maturity per $1,000 principal amount of notes will equal $1,000 plus the product of $1,000 and the greater of (i) the Underlying Return, subject to the Maximum Return and (ii) the Contingent Minimum Return.
			Any payment at maturity is subject to our ability to pay our obligations as they become due.

Knock-Out Event:		A Knock-Out Event occurs if, on any trading day during the Monitoring Period, the closing level of the Underlying is less than the Initial Level by more than the Knock-Out Buffer Amount.
Knock-Out Buffer Amount:		Expected to be 20% (to be determined on the Pricing Date).
Monitoring Period:		The period from but excluding the Pricing Date to and including the final Valuation Date.
Underlying Return:		Final Level – Initial Level
		Initial Level
Maximum Return:		At least 17%. The actual Maximum Return will be determined on the Pricing Date and will not be less than 17%.
Contingent Minimum Return:		At least 5%. The actual Contingent Minimum Return will be determined on the Pricing Date and will not be less than 5%.
Initial Level:		The closing level of the Underlying on the Pricing Date.
Final Level:		The arithmetic average of the closing levels of the Underlying on the five Valuation Dates.
Valuation Dates†:		May 10, 2011, May 11, 2011, May 12, 2011, May 13, 2011 and May 16, 2011.
Maturity Date†:		May 19, 2011
Listing:		The notes will not be listed on any securities exchange.
CUSIP:		22546EVE1

† Subject to postponement if the scheduled Maturity Date is not a business day or the last scheduled Valuation Date is not an underlying business day and in the event of a market disruption event as described herein under “Market Disruption Events,” and early acceleration in the event of a hedging disruption event as described herein under “Commodity Hedging Disruption Events.”

Investing in the notes involves a number of risks. See “Selected Risk Considerations” beginning on page 4 of this term sheet and “Risk Factors” beginning on page PS-2 of the accompanying product supplement.

Credit Suisse has filed a registration statement (including a prospectus) with the Securities and Exchange Commission, or SEC, for the offering to which this term sheet relates. Before you invest, you should read the prospectus in that registration statement and the other documents relating to this offering that Credit Suisse has filed with the SEC for more complete information about Credit Suisse and this offering. You may obtain these documents without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, Credit Suisse or any agent or any dealer participating in this offering will arrange to send you this term sheet, product supplement, prospectus supplement and prospectus, if you so request by calling 1-800-221-1037.

You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer on the date the notes are priced. We reserve the right to change the terms of, or reject any offer to purchase the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which case we may reject your offer to purchase.

Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this term sheet or the accompanying product supplement, the prospectus supplement and the prospectus. Any representation to the contrary is a criminal offense.

	Price to Public(1)	Fees(2)	Proceeds to Issuer
Per note	$1,000.00	$10.00	$990.00
Total	$	$	$

(1) Certain fiduciary accounts will pay a purchase price of $990.00 per note, and the placement agents with respect to sales made to such accounts will forgo any fees.

(2) J.P. Morgan Securities Inc., which we refer to as JPMSI, and JPMorgan Chase Bank, N.A. will act as placement agents for the notes. The placement agents will forego fees for sales to fiduciary accounts. The total fees represent the amount that the placement agents receive from sales to accounts other than such fiduciary accounts. The placement agents will receive a fee from Credit Suisse or one of our affiliates that will not exceed 1.00% of the principal amount of the notes.

The notes are not deposit liabilities and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency of the United States, Switzerland or any other jurisdiction.

JPMorgan

Placement Agent

May 3, 2010

Additional Terms Specific to the Notes

You should read this term sheet together with the product supplement dated March 25, 2009, the prospectus supplement dated March 25, 2009 and the prospectus dated March 25, 2009, relating to our Medium-Term Notes of which these notes are a part. You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):

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Product supplement No. JPM-I dated March 25, 2009:

http://www.sec.gov/Archives/edgar/data/1053092/000104746909003155/a2191793z424b2.htm

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Prospectus supplement dated March 25, 2009:

http://www.sec.gov/Archives/edgar/data/1053092/000104746909003093/a2191799z424b2.htm

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Prospectus dated March 25, 2009:

http://www.sec.gov/Archives/edgar/data/1053092/000104746909003289/a2191966z424b2.htm

Our Central Index Key, or CIK, on the SEC website is 1053092. As used in this term sheet, the “Company,” “we,” “us,” or “our” refers to Credit Suisse.

This term sheet, together with the documents listed above, contain the terms of the notes and supersede all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in “Selected Risk Considerations” in this term sheet and “Risk Factors” in the accompanying product supplement, as the notes involve risks not associated with conventional debt securities. You should consult your investment, legal, tax, accounting and other advisors before deciding to invest in the notes.

Hypothetical Payments at Maturity for Each $1,000 Principal Amount

The following table and examples illustrate the hypothetical Payments at Maturity for $1,000 principal amount of notes for a hypothetical range of performance of the Underlying, assuming a hypothetical Initial Level of 450, a Knock-Out Buffer Amount of 20%, a Maximum Return of 17% and a Contingent Minimum Return of 5%. The hypothetical results set forth below are for illustrative purposes only. The actual Payment at Maturity applicable to a purchaser of the notes will be based the arithmetic average of the closing levels of the Underlying on each of the five Valuation Dates and upon whether a Knock-Out Event occurs. Any payment at maturity is subject to our ability to pay our obligations as they become due. The numbers appearing in the following table and examples have been rounded for ease of analysis.

	Percentage Change in	A Knock-Out Event Does Not Occur During the Monitoring Period		A Knock-Out Event Does Occur During the Monitoring Period
Final Level	Underlying Level	Return on the Notes	Payment at Maturity	Return on the Notes	Payment at Maturity
900.00	100.00%	17.00%	$1,170.00	17.00%	$1,170.00
855.00	90.00%	17.00%	$1,170.00	17.00%	$1,170.00
810.00	80.00%	17.00%	$1,170.00	17.00%	$1,170.00
765.00	70.00%	17.00%	$1,170.00	17.00%	$1,170.00
720.00	60.00%	17.00%	$1,170.00	17.00%	$1,170.00
675.00	50.00%	17.00%	$1,170.00	17.00%	$1,170.00
630.00	40.00%	17.00%	$1,170.00	17.00%	$1,170.00
585.00	30.00%	17.00%	$1,170.00	17.00%	$1,170.00
540.00	20.00%	17.00%	$1,170.00	17.00%	$1,170.00
526.50	17.00%	17.00%	$1,170.00	17.00%	$1,170.00
517.50	15.00%	15.00%	$1,150.00	15.00%	$1,150.00
495.00	10.00%	10.00%	$1,100.00	10.00%	$1,100.00
472.50	5.00%	5.00%	$1,050.00	5.00%	$1,050.00
461.25	2.50%	5.00%	$1,050.00	2.50%	$1,025.00
450.00	0.00%	5.00%	$1,050.00	0.00%	$1,000.00
427.50	-5.00%	5.00%	$1,050.00	-5.00%	$950.00
405.00	-10.00%	5.00%	$1,050.00	-10.00%	$900.00
360.00	-20.00%	5.00%	$1,050.00	-20.00%	$800.00
315.00	-30.00%	N/A	N/A	-30.00%	$700.00
270.00	-40.00%	N/A	N/A	-40.00%	$600.00
225.00	-50.00%	N/A	N/A	-50.00%	$500.00
180.00	-60.00%	N/A	N/A	-60.00%	$400.00
135.00	-70.00%	N/A	N/A	-70.00%	$300.00
90.00	-80.00%	N/A	N/A	-80.00%	$200.00
45.00	-90.00%	N/A	N/A	-90.00%	$100.00
0.00	-100.00%	N/A	N/A	-100.00%	$0.00

Hypothetical Examples of Amounts Payable at Maturity

The following examples illustrate how the Payments at Maturity set forth in the table above are calculated.

Example 1: The level of the Underlying increases from the Initial Level of 450 to a Final Level of 675 and;

A Knock-Out Event has not occurred. Because a Knock-Out Event has not occurred and the Underlying Return of 50% is greater than the Maximum Return of 17%, the investor receives a payment at maturity of $1,170 per $1,000 principal amount of notes, the maximum payment on the notes, calculated as follows:

$1,000 + ($1,000 × 17%) = $1,170

A Knock-Out Event has occurred. Because a Knock-Out Event has occurred and the Underlying Return of 50% is greater than the Maximum Return of 17%, the investor receives a payment at maturity of $1,170 per $1,000 principal amount of notes, the maximum payment on the notes, calculated as follows:

$1,000 + ($1,000 × 17%) = $1,170

Example 2: The level of the Underlying increases from the Initial Level of 450 to a Final Level of 461.2 and;

A Knock-Out Event has not occurred. Because a Knock-Out Event has not occurred and the Underlying Return of 2.50% is less than the Contingent Minimum Return of 5%, the investor receives a payment at maturity of $1,050 per $1,000 principal amount of notes, calculated as follows:

$1,000 + ($1,000 × 5%) = $1,050

A Knock-Out Event has occurred. Because a Knock-Out Event has occurred and the Underlying Return is 2.50%, the investor receives a payment at maturity of $1,025 per $1,000 principal amount of notes, calculated as follows:

$1,000 + ($1,000 × 2.50%) = $1,025

Example 3: The level of the Underlying increases from the Initial Level of 450 to a Final Level of 517.50 and;

A Knock-Out Event has not occurred. Because a Knock-Out Event has not occurred and the Underlying Return of 15% is greater than the Contingent Minimum Return of 5%, the investor receives a payment at maturity of $1,150 per $1,000 principal amount of notes, calculated as follows:

$1,000 + ($1,000 × 15%) = $1,150

A Knock-Out Event has occurred. Because a Knock-Out Event has occurred and the Underlying Return is 15%, the investor receives a payment at maturity of $1,150 per $1,000 principal amount of notes, calculated as follows:

$1,000 + ($1,000 × 15%) = $1,150

Example 4: The level of the Underlying decreases from the Initial Level of 450 to a Final Level of 360 and;

A Knock-Out Event has not occurred. Because a Knock-Out Event has not occurred and the Underlying Return of -20% is less than the Contingent Minimum Return of 5%, the investor receives a payment at maturity of $1,050 per $1,000 principal amount of notes, calculated as follows:

$1,000 + ($1,000 × 5%) = $1,050

A Knock-Out Event has occurred. Because a Knock-Out Event has occurred and the Underlying Return is -20%, the investor receives a payment at maturity of $800 per $1,000 principal amount of notes, calculated as follows:

$1,000 + ($1,000 × - -20%) = $800

Selected Purchase Considerations

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APPRECIATION POTENTIAL – The notes provide the opportunity to participate in the appreciation of the Underlying at maturity, up to the Maximum Return on the notes, which will be set on the Pricing Date and will not be less than 17%. Accordingly, the maximum amount payable at maturity is expected to be at least $1,170 for every $1,000 principal amount of notes. If a Knock-Out Event has not occurred, in addition to the principal amount, you will be entitled to receive at maturity at least the Contingent Minimum Return of 5% on the notes, or a minimum payment at maturity of $1,050 for every $1,000 principal amount of notes. The actual Contingent Minimum Return on the notes will be set on the Pricing Date and will not be less than 5%. Even if a Knock-Out Event has occurred, if the Final Level is greater than the Initial Level, in addition to the principal amount, you will be entitled to receive at maturity a return on the notes equal to the Underlying Return, subject to the Maximum Return. Because the notes are our senior unsecured obligations, payment of any amount at maturity is subject to our ability to pay our obligations as they become due.

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RETURN LINKED TO THE S&P GSCI COMMODITY INDEX EXCESS RETURN – The return on the notes is linked to the S&P GSCI Commodity Index Excess Return, a sub-index of the S&P GSCI, a world production-weighted index that is designed to reflect the relative significance of principal non-financial commodities (i.e., physical commodities) in the world economy, which is calculated, maintained and published daily by Standard & Poor’s, a division of McGraw-Hill Companies. The S&P GSCI Commodity Index Excess Return represents the return of a portfolio of commodity futures contracts included in the S&P GSCI. The composition of the S&P GSCI Commodity Index Excess Return, on any given day, reflects the contract production weight (“CPW”) and “roll weights” of a portfolio of contracts included in

the S&P GSCI. The commodities included in the S&P GSCI are as follows: WTI Crude Oil, Brent Crude Oil, RBOB Gasoline, Heating Oil, Gasoil, Natural Gas, High Grade Primary Aluminum, Copper, Lead, Nickel, Special High Grade Zinc, Gold, Silver, Wheat (Chicago), Wheat (Kansas City), Corn, Soybeans, Cotton #2, Sugar #11, Coffee, Cocoa, Live Cattle, Feeder Cattle and Lean Hogs. See “The Underlying-The S&P GSCI™ Commodity Index Excess Return” herein.

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A COMMODITY HEDGING DISRUPTION EVENT MAY RESULT IN ACCELERATION OF THE NOTES – If a commodity hedging disruption event (as defined under “Commodity Hedging Disruption Events” below) occurs, we will have the right, but not the obligation, to accelerate the payment on the notes. The amount due and payable per $1,000 principal amount of notes upon such early acceleration will be determined by the calculation agent in good faith in a commercially reasonable manner on the date on which we deliver notice of such acceleration and will be payable on the fifth business day following the day on which the calculation agent delivers notice of such acceleration. Please see the risk factor entitled “Commodity Futures Contracts are Subject to Uncertain Legal and Regulatory Regimes” for more information.

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CERTAIN U.S. FEDERAL INCOME TAX CONSIDERATIONS – Please refer to “Certain United States Federal Income Tax Considerations” in this term sheet for a discussion of certain U.S. federal income tax considerations for making an investment in the notes.

Selected Risk Considerations

An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Underlying or in any futures contracts or exchange-traded or over-the-counter instruments based on, or other instruments linked to the Underlying. These risks are explained in more detail in the “Risk Factors” section of the accompanying product supplement.

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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS – The notes do not guarantee any return of your principal amount. You could lose up to $1,000 per $1,000 principal amount of notes. If a Knock-Out Event occurs and the Final Level is less than the Initial Level, you will lose 1% of your principal for each 1% decline in the Final Level as compared to the Initial Level. Any payment at maturity is subject to our ability to pay our obligations as they become due.

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THE NOTES DO NOT PAY INTEREST – We will not pay interest on the notes. You may receive less at maturity than you could have earned on ordinary interest-bearing debt securities with similar maturities, including other of our debt securities, since the Payment at Maturity is based on the performance of the Underlying. Because the payment due at maturity may be less than the amount originally invested in the notes, the return on the notes (the effective yield to maturity) may be negative. Even if it is positive, the return payable on each security may not be enough to compensate you for any loss in value due to inflation and other factors relating to the value of money over time.

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THE NOTES ARE SUBJECT TO THE CREDIT RISK OF CREDIT SUISSE – Although the return on the notes will be based on the performance of the Underlying, the payment of any amount due on the notes is subject to the credit risk of Credit Suisse. Investors are dependant on our ability to pay all amounts due on the notes, and therefore, investors are subject to our credit risk. In addition, any decline in our credit ratings, any adverse changes in the market’s view of our creditworthiness or any increase in our credit spreads is likely to adversely affect the value of the notes prior to maturity.

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YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM RETURN – Regardless of whether a Knock-Out Event occurs, if the Final Level is greater than the Initial Level, for each $1,000 principal amount of notes, you will receive at maturity $1,000 plus an additional amount that will not exceed a predetermined percentage of the principal amount, regardless of the appreciation in the Underlying, which may be significant. We refer to this percentage as the Maximum Return, which will be set on the Pricing Date and will not be less than 17%. Accordingly, the maximum amount payable at maturity is expected to be $1,170 per $1,000 principal amount of notes. Any payment at maturity is subject to our ability to pay our obligations as they become due.

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YOUR PROTECTION MAY TERMINATE DURING THE TERM OF THE NOTES – The notes are subject to closing level monitoring. As a result, if the closing level of the Underlying on any trading day during the Monitoring Period is less than the Initial Level by more than the Knock-Out Buffer Amount of 20%*, you will be fully exposed at maturity to any depreciation in the Underlying. Under these circumstances, if the Final Level is less than the Initial Level, you will lose 1% of the principal amount of your investment for every 1% decrease in the Final Level as compared to the Initial Level. You will be subject to this potential loss of principal even if the Underlying subsequently increases such that the level of the Underlying is less than the Initial Level by not more than the Knock-Out Buffer Amount of 20%*, or is equal to or greater than the Initial Level.

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YOUR ABILITY TO RECEIVE THE CONTINGENT MINIMUM RETURN OF 5%* MAY TERMINATE DURING THE TERM OF THE NOTES – If the closing level of the Underlying on any trading day during the Monitoring Period is less than the Initial Level by more than the Knock-Out Buffer Amount of 20%*, you will not be entitled to receive the Contingent Minimum Return of 5%* on the notes. Under these circumstances, you may lose some or all of your investment at maturity and you will be fully exposed to any depreciation in the Underlying.

* The actual Knock-Out Buffer Amount and the actual Contingent Minimum Return on the notes will be set on the Pricing Date and will not be less than 20% and 5%, respectively.

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COMMODITY PRICES ARE CHARACTERIZED BY HIGH AND UNPREDICTABLE VOLATILITY, WHICH COULD LEAD TO HIGH AND UNPREDICTABLE VOLATILITY IN THE UNDERLYING – Market prices of the commodity futures contracts comprising the Underlying tend to be highly volatile. Commodity market prices are not related to the value of a future income or earnings stream, as tends to be the case with fixed-income and equity investments, but are subject to rapid fluctuations based on numerous factors, including changes in supply and demand relationships, governmental programs and policies, national and international monetary, trade, political and economic events, changes in interest and exchange rates, speculation and trading activities in commodities and related contracts, weather, and agricultural, trade, fiscal and exchange control policies. Many commodities are also highly cyclical. These factors may have a larger impact on commodity prices and commodity-linked instruments than on traditional fixed-income and equity securities. These variables may create additional investment risks that cause the value of the notes to be more volatile than the values of traditional securities. These and other factors may affect the level of the Underlying, and thus the value of your notes, in unpredictable or unanticipated ways. The high volatility and cyclical nature of commodity markets may render such an investment inappropriate as the focus of an investment portfolio.

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GLOBAL COMMODITY PRICES ARE PRIMARILY AFFECTED BY THE GLOBAL DEMAND FOR AND SUPPLY OF THESE COMMODITIES, BUT ARE ALSO SIGNIFICANTLY INFLUENCED BY SPECULATIVE ACTIONS AND BY CURRENCY EXCHANGE RATES – Prices for commodities are affected by, among other things, governmental programs and policies, national and international political and economic events, changes in interest and exchange rates, trading activities in commodities and related contracts, trade, fiscal, monetary and exchange control policies, drought, floods, weather, government intervention, environmental policies, embargoes and tariffs. Demand for consumer and industrial products, including in the agricultural, manufacturing and transportation industries, affects the price of commodities. Sudden disruptions in the supplies of commodities, such as those caused by war, natural events, accidents or acts of terrorism, may cause prices of commodities futures contracts to become extremely volatile and unpredictable. Also, sudden and dramatic changes in the futures market may occur, for example, upon a cessation of hostilities that may exist in countries producing affected commodities, the introduction of new or previously withheld supplies into the market or the introduction of substitute products or commodities.

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COMMODITY FUTURES CONTRACTS ARE SUBJECT TO UNCERTAIN LEGAL AND REGULATORY REGIMES – The commodity futures contracts that comprise the Underlying are subject to legal and regulatory regimes in the United States and, in some cases, in other countries that may change in ways that could adversely affect our ability to hedge our obligations under the notes and affect the value of the Underlying. The Commodity Futures Trading Commission (“CFTC”) has recently announced that it is considering imposing position limits on certain commodities (such as energy commodities) and the manner in which current exemptions for bona fide hedging transactions or positions are implemented in order to protect against excessive speculation. We or our affiliates may be unable as a result of such restrictions to effect transactions necessary to hedge our obligations under the notes, in which case we may, in our sole and absolute discretion, accelerate the payment on your notes. If the payment on your notes is accelerated, your investment may result in a loss and you may not be able to reinvest your money in a comparable investment. Please see “Commodity Hedging Disruption Events” herein for more information.

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THE NOTES ARE NOT REGULATED BY THE COMMODITY FUTURES TRADING COMMISSION – The proceeds to be received by us from the sale of the notes will not be used to purchase or sell any commodities futures contracts or options on futures contracts for your benefit. An investment in the notes thus does not constitute either an investment in futures contracts, options on futures contracts or in a collective investment vehicle that trades in these futures contracts (i.e., the notes will not constitute a direct or indirect investment by you in the futures contracts), and you will not benefit from the regulatory protections of the CFTC. We are not registered with the CFTC as a futures commission merchant and you

will not benefit from the CFTC’s or any other non−U.S. regulatory authority’s regulatory protections afforded to persons who trade in futures contracts on a regulated futures exchange through a registered futures commission merchant. Unlike an investment in the notes, an investment in a collective investment vehicle that invests in futures contracts on behalf of its participants may be subject to regulation as a commodity pool and its operator may be required to be registered with and regulated by the CFTC as a commodity pool operator, or qualify for an exemption from the registration requirement. Because the notes will not be interests in a commodity pool, the notes will not be regulated by the CFTC as a commodity pool, we will not be registered with the CFTC as a commodity pool operator, and you will not benefit from the CFTC’s or any non−U.S. regulatory authority’s regulatory protections afforded to persons who invest in regulated commodity pools.

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OWNING THE NOTES IS NOT THE SAME AS OWNING ANY COMMODITY FUTURES CONTRACTS – The return on your notes will not reflect the return you would realize if you actually held the commodity contracts comprising the Underlying. The Underlying is a hypothetical construct that does not hold any underlying assets of any kind. As a result, a holder of the notes will not have any direct or indirect rights to any commodity contracts.

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SUSPENSION OR DISRUPTIONS OF MARKET TRADING IN THE COMMODITY AND RELATED FUTURES MARKETS MAY ADVERSELY AFFECT THE LEVEL OF THE UNDERLYING, AND THEREFORE THE VALUE OF THE NOTES – The commodity markets are subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators and government regulation and intervention. In addition, U.S. futures exchanges and some foreign exchanges have regulations that limit the amount of fluctuation in options futures contract prices that may occur during a trading day. These limits are generally referred to as “daily price fluctuation limits” and the maximum or minimum price of a contract on any given day as a result of these limits is referred to as a “limit price.” Once the limit price has been reached in a particular contract, no trades may be made at a different price. Limit prices have the effect of precluding trading in a particular contract or forcing the liquidation of contracts at disadvantageous times or prices. These circumstances could adversely affect the level of the Underlying and, therefore, the value of your notes.

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HIGHER FUTURES PRICES OF THE COMMODITY FUTURES CONTRACTS COMPRISING THE UNDERLYING RELATIVE TO THE CURRENT PRICES OF SUCH CONTRACTS MAY AFFECT THE VALUE OF THE UNDERLYING AND THE VALUE OF THE NOTES – The Underlying is composed of futures contracts on physical commodities. Unlike equities, which typically entitle the holder to a continuing stake in a corporation, commodity futures contracts normally specify a certain date for delivery of the underlying physical commodity. As the exchange-traded futures contracts that compose the Underlying approach expiration, they are replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in August may specify an October expiration. As time passes, the contract expiring in October is replaced with a contract for delivery in November. This process is referred to as “rolling.” If the market for these contracts is (putting aside other considerations) in “backwardation,” where the prices are lower in the distant delivery months than in the nearer delivery months, the sale of the October contract would take place at a price that is higher than the price of the November contract, thereby creating a positive “roll yield.” While many of the contracts included in the Underlying have historically exhibited consistent periods of backwardation, backwardation will most likely not exist at all times and there can be no assurance that backwardation will exist at times that are advantageous, with respect to your interests as a holder of the notes, to the valuation of the Underlying. The presence of contango in the commodity markets (i.e., where the prices for the relevant futures contracts are higher in the distant delivery months than in nearby delivery months) could result in negative “roll yields,” which could adversely affect the value of the Underlying and thus the value of notes linked to the Underlying.

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THE NOTES ARE LINKED TO AN EXCESS RETURN INDEX AND NOT A TOTAL RETURN INDEX – The notes are linked to an excess return index and not a total return index. An excess return index reflects the returns that are potentially available through an unleveraged investment in the contracts composing such index. By contrast, a “total return” index, in addition to reflecting those returns, also reflects interest that could be earned on funds committed to the trading of the underlying futures contracts.

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CERTAIN BUILT-IN COSTS ARE LIKELY TO ADVERSELY AFFECT THE VALUE OF THE NOTES PRIOR TO MATURITY – While the payment at maturity described in this term sheet is based on the full principal amount of your notes, the original issue price of the notes includes the agent’s commission and

the cost of hedging our obligations under the notes through one or more of our affiliates. As a result, the price, if any, at which Credit Suisse (or its affiliates), will be willing to purchase notes from you in secondary market transactions, if at all, will likely be lower than the original issue price, and any sale prior to the Maturity Date could result in a substantial loss to you. The notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.

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LACK OF LIQUIDITY – The notes will not be listed on any securities exchange. Credit Suisse (or its affiliates) intends to offer to purchase the notes in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes when you wish to do so. Because other dealers are not likely to make a secondary market for the notes, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which Credit Suisse (or its affiliates) is willing to buy the notes. If you have to sell your notes prior to maturity, you may not be able to do so, or you may have to sell them at a substantial loss.

•

POTENTIAL CONFLICTS – We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and hedging our obligations under the notes. In performing these roles, the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes.

•

MANY ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE NOTES – In addition to the closing level of the Underlying during the Monitoring Period, the value of the notes will be affected by a number of economic and market factors that may either offset or magnify each other, including:

•

whether the closing level of the Underlying has decreased, as compared to the Initial Level by more than the Knock-Out Buffer Amount;

•

the expected volatility of the Underlying and the underlying futures contracts;

•

the time to maturity of the notes;

•

the market price of the physical commodities upon which the futures contracts comprising the Underlying are based;

•

interest and yield rates in the market generally;

•

geopolitical conditions and a variety of economic, financial, political, regulatory or judicial events that affect the commodities comprising the Underlying or markets generally and which may affect the value of the commodity futures contracts, and thus the closing level of the Underlying; and

•

our creditworthiness, including actual or anticipated downgrades in our credit ratings.

Some or all of these factors may influence the price that you will receive if you choose to sell your notes prior to maturity. The impact of any of the factors set forth above may enhance or offset some or all of any change resulting from another factor or factors.

Use of Proceeds and Hedging

We intend to use the proceeds of this offering for our general corporate purposes, which may include the refinancing of existing debt outside Switzerland. Some or all of the proceeds we receive from the sale of the notes may be used in connection with hedging our obligations under the notes through one or more of our affiliates. Such hedging or trading activities on or prior to the Pricing Date and during the term of the notes (including on any Valuation Date) could adversely affect the value of the Underlying and, as a result, could decrease the amount you may receive on the notes at maturity. For further information, please refer to “Use of Proceeds and Hedging” in the accompanying product supplement.

The Underlying

The S&P GSCI™ Commodity Index Excess Return

We have derived all information regarding the S&P GSCI Commodity Index Excess Return and S&P GSCI contained in this term sheet, including, without limitation, their make-up, method of calculation, and changes in their components, from publicly available information, and we have not participated in the preparation of, or verified, such publicly available information. We make no representation or warranty as to the accuracy or completeness of this publicly available information. Such information reflects the policies of, and is subject to change by, Standard & Poor’s, a division of The McGraw-Hill Companies (“S&P”). The Underlying is calculated, maintained and published by S&P. The value of the S&P GSCI Commodity Index Excess Return is published

each trading day under the Bloomberg ticker symbol “SPGCCIP”.

The Underlying is intended to provide investors with a publicly available benchmark for investment performance in the commodities of the world economy and is a composite index of commodity sector returns. S&P acquired the rights to the Underlying from Goldman, Sachs & Co. in February 2007. Goldman, Sachs & Co. established and began calculating the Underlying in May 1991. The former name of the Underlying was the Goldman Sachs Commodity Index, or GSCI®.

The Underlying is an index on a world production-weighted basket of principal non-financial commodities (i.e., physical commodities) that satisfy specified criteria. The Underlying is designed to be a measure of the performance over time of the markets for these commodities. The only commodities represented in the Underlying are those physical commodities on which active and liquid contracts are traded on trading facilities in major industrialized countries. The commodities included in the Underlying are weighted, on a production basis, to reflect the relative significance (in the view of S&P, in consultation with its Index Advisory Panel, as described below) of such commodities to the world economy. The fluctuations in the value of the Underlying are intended generally to correlate with changes in the prices of such physical commodities in global markets. The Underlying has been normalized such that its hypothetical level on January 2, 1970 was 100. Futures contracts on the Underlying, and options on such futures contracts, are currently listed for trading on the Chicago Mercantile Exchange.

The Underlying reflects the excess return that is potentially available through an unleveraged investment in the futures contracts relating to the Underlying.

The value of the Underlying on any given day reflects:

·	the price levels of the contracts included in the Underlying (which represents the value of the Underlying), and

·	the “contract daily return,” which is the percentage change in the total dollar weight of the Underlying from the previous day to the current day.

Set forth below is a summary of the composition of and the methodology used to calculate the Underlying. The methodology for determining the composition and weighting of the Underlying and for calculating its value is subject to modification in a manner consistent with the purposes of the Underlying, as described below. S&P is responsible for the official calculations of the Underlying.

The Index Committee and the Index Advisory Panel

S&P has established an Index Committee to oversee the daily management and operations of the Underlying, and is responsible for all analytical methods and calculation of the indices. The Committee is comprised of three full-time professional members of S&P’s staff and two members of Goldman Sachs Group, Inc. At each meeting, the Committee reviews any issues that may affect index constituents, statistics comparing the composition of the indices to the market, commodities that are being considered as candidates for an addition to an index, and any significant market events. In addition, the Index Committee may revise index policy covering rules for selecting commodities or other matters.

S&P considers information about changes to its indices and related matters to be potentially market- moving and material. Therefore, all Index Committee discussions are confidential.

S&P has established an Index Advisory Panel (the “Advisory Panel”) to assist it in connection with the operation of the Underlying. The Advisory Panel meets on an annual basis and at other times at the request of the Index Committee. The principal purpose of the Advisory Panel is to advise the Index Committee and S&P with respect to, among other things, the calculation of the Underlying, the effectiveness of the Underlying as a measure of commodity futures market performance and the need for changes in the composition or in the methodology of the Underlying. The Advisory Panel acts solely in an advisory and consultative capacity; all decisions with respect to the composition, calculation and operation of the Underlying are made by the Index Committee and S&P.

Composition of the Underlying

In order to be included in the Underlying, a contract must satisfy the following general eligibility criteria:

·	The contract must be in respect of a physical commodity and not a financial commodity.

·	In addition, the contract must:

·	have a specified expiration or term or provide in some other manner for delivery or settlement at a specified time, or within a specified period, in the future; and

·	at any given point in time, be available for trading at least five months prior to its expiration or such other date or time period specified for delivery or settlement.

Beginning in January 2007, the trading facility (as defined below) on which the contract trades must allow market participants to execute spread transactions, through a single order entry, between the pairs of contract expirations (defined below) included in the Underlying that, at any given point in time, will be involved in the rolls to be effected in the next three roll periods (defined below).

The commodity must be the subject of a contract that:

·	is denominated in U.S. dollars; and

is traded on or through an exchange, facility or other platform (referred to as a “trading facility”) that has its principal place of business or operations in a country that is a member of the Organization for Economic Cooperation and Development during the relevant annual calculation period or interim calculation period and that:

·	makes price quotations generally available to its members or participants (and to S&P) in a manner and with a frequency that is sufficient to provide reasonably reliable indications of the level of the relevant market at any given point in time;

·	makes reliable trading volume information available to S&P with at least the frequency required by S&P to make the monthly determinations;

·	accepts bids and offers from multiple participants or price providers; and

·	is accessible by a sufficiently broad range of participants.

With respect to inclusion on each sub-index of the Underlying, a contract must be in respect to the physical commodity that is described by that specific index.

The price of the relevant contract that is used as a reference or benchmark by market participants (referred to as the “daily contract reference price”) generally must have been available on a continuous basis for at least two years prior to the proposed date of inclusion in the Underlying. In appropriate circumstances, however, S&P, in consultation with the Advisory Panel, may determine that a shorter time period is sufficient or that historical daily contract reference prices for such contract may be derived from daily contract reference prices for a similar or related contract. The daily contract reference price may be (but is not required to be) the settlement price or other similar price published by the relevant trading facility for purposes of margining transactions or for other purposes.

At and after the time a contract is included in the Underlying, the daily contract reference price for such contract must be published between 10:00 a.m. and 4:00 p.m., New York City time, on each business day relating to such contract by the trading facility on or through which it is traded and must generally be available to all members of, or participants in, such facility (and to S&P) on the same day from the trading facility or through a recognized third-party data vendor. Such publication must include, at all times, daily contract reference prices for at least one expiration or settlement date that is five months or more from the date the determination is made, as well as for all expiration or settlement dates during such five-month period.

For a contract to be eligible for inclusion in the Underlying, volume data with respect to such contract must be available for at least the three months immediately preceding the date on which the determination is made. The following eligibility criteria apply:

A contract that is not included in the Underlying at the time of determination and that is based on a commodity that is not represented in the Underlying at such time must, in order to be added to the Underlying at such time, have a total dollar value traded, over the relevant period, as the case may be and annualized, of at least U.S. $15 billion. The total dollar value traded equals (i) the dollar value of the total quantity of the commodity underlying transactions in the relevant contract over the period for which the calculation is made, multiplied by (ii) the average of the daily contract reference prices on the last day of each month during such period.

A contract that is already included in the Underlying at the time of determination and that is the only contract on the relevant commodity included in the Underlying must, in order to continue to be included in the Underlying after such time, have a total dollar value traded, over the relevant period, as the case may

be and annualized, of at least U.S. $5 billion and at least U.S. $10 billion during at least one of the three most recent annual periods used in making the determination.

A contract that is not included in the Underlying at the time of determination and that is based on a commodity on which there are one or more contracts already included in the Underlying at such time must, in order to be added to the Underlying at such time, have a total dollar value traded, over the relevant period, as the case may be and annualized of at least U.S. $30 billion.

A contract that is already included in the Underlying at the time of determination and that is based on a commodity on which there are one or more contracts already included in the Underlying at such time must, in order to continue to be included in the Underlying after such time, have a total dollar value traded, over the relevant period, as the case may be and annualized, of at least U.S. $10 billion and at least U.S. $20 billion during at least one of the three most recent annual periods used in making the determination.

In addition:

A contract that is already included in the Underlying at the time of determination must, in order to continue to be included after such time, have a reference percentage dollar weight of at least 0.10%. The reference percentage dollar weight is determined by dividing the reference dollar weight of such contract by the sum of the reference dollar weights of all designated contracts. The reference dollar weight of a contract is determined by multiplying the CPW (defined below) of a contract by the average of its daily contract reference prices on the last day of each month during the relevant period. These reference percentage dollar weight amounts are summed for all contracts included in the Underlying and each contract’s percentage of the total is then determined.

·	A contract that is not included in the Underlying at the time of determination must, in order to be added to the Underlying at such time, have a reference percentage dollar weight of at least 1.0%.

In the event that two or more contracts on the same commodity satisfy the eligibility criteria, such contracts will be included in the Underlying in the order of their respective total quantity traded during the relevant period (determined as the total quantity of the commodity underlying transactions in the relevant contract), with the contract having the highest total quantity traded being included first, provided that no further contracts will be included if such inclusion would result in the portion of the Underlying attributable to such commodity exceeding a particular level.

If additional contracts could be included with respect to several commodities at the same time, that procedure is first applied with respect to the commodity that has the smallest portion of the Underlying attributable to it at the time of determination. Subject to the other eligibility criteria relating to the composition of the Underlying the contract with the highest total quantity traded on such commodity will be included. Before any additional contracts on the same commodity or on any other commodity are included, the portion of the Underlying attributable to all commodities is recalculated. The selection procedure described above is then repeated with respect to the contracts on the commodity that then has the smallest portion of the Underlying attributable to it.

The contracts currently included in the Underlying are all futures contracts traded on the New York Mercantile Exchange, Inc. (“NYMEX”), the Intercontinental Exchange Furtures (“ICE Futures”), the Chicago Mercantile Exchange (“CME”), the Chicago Board of Trade (“CBOT”), the Coffee, Sugar & Cocoa Exchange, Inc. (“CSC”), the New York Cotton Exchange (“NYC”), the Kansas City Board of Trade (“KBT”), the Commodities Exchange Inc. (“CMX”) and the London Metal Exchange (“LME”).

The quantity of each of the contracts included in the Underlying is determined on the basis of a five-year average (referred to as the “world production average”) of the production quantity of the underlying commodity as published by the United Nations Statistical Yearbook, the Industrial Commodity Statistics Yearbook and other official sources. However, if a commodity is primarily a regional commodity, based on its production, use, pricing, transportation, or other factors, S&P, in consultation with its advisory committee may calculate the weight of such commodity based on regional, rather than world, production data. At present, natural gas is the only commodity the weight of which is calculated on the basis of regional production data, with the relevant region being North America.

The five-year moving average is updated annually for each commodity included in the Underlying, based on the most recent five-year period (ending approximately two years prior to the date of calculation and moving backwards) for which complete data for all commodities is available. The contract production weights, or CPWs, used in calculating the Underlying are derived from world or regional production averages, as applicable, of the

relevant commodities, and are calculated based on the total quantity traded for the relevant contract and the world or regional production average, as applicable, of the underlying commodity. However, if the volume of trading in the relevant contract, as a multiple of the production levels of the commodity, is below specified thresholds, the CPW of the contract is reduced until the threshold is satisfied. This is designed to ensure that trading in each such contract is sufficiently liquid relative to the production of the commodity.

In addition, S&P performs this calculation on a monthly basis and, if the multiple of any contract is below the prescribed threshold, the composition of the Underlying is reevaluated, based on the criteria and weighting procedure described above. This procedure is undertaken to allow the Underlying to shift from contracts that have lost substantial liquidity into more liquid contracts, during the course of a given year. As a result, it is possible that the composition or weighting of the Underlying will change on one or more of these monthly evaluation dates. In addition, regardless of whether any changes have occurred during the year, S&P reevaluates the composition of the Underlying, in consultation with the Advisory Panel, at the conclusion of each year, based on the above criteria. Other commodities that satisfy such criteria, if any, will be added to the Underlying. Commodities included in the Underlying which no longer satisfy such criteria, if any, will be deleted.

S&P, in consultation with the Advisory Panel, also determines whether modifications in the selection criteria or the methodology for determining the composition and weights of and for calculating the Underlying are necessary or appropriate in order to assure that the Underlying represents a measure of commodity market performance. S&P has the discretion to make any such modifications, in consultation with the Advisory Panel.

Contract Expirations

Because the Underlying comprises actively traded contracts with scheduled expirations, it can only be calculated by reference to the prices of contracts for specified expiration, delivery or settlement periods, referred to as “contract expirations.” The contract expirations included in the Underlying for each commodity during a given year are designated by S&P, in consultation with the Advisory Panel, provided that each such contract must be an “active contract.” An “active contract” for this purpose is a liquid, actively traded contract expiration, as defined or identified by the relevant trading facility or, if no such definition or identification is provided by the relevant trading facility, as defined by standard custom and practice in the industry.

If a trading facility deletes one or more contract expirations, the Underlying will be calculated during the remainder of the year in which such deletion occurs on the basis of the remaining contract expirations designated by S&P. If a trading facility ceases trading in all contract expirations relating to a particular contract, S&P may designate a replacement contract on the commodity. The replacement contract must satisfy the eligibility criteria for inclusion in the Underlying. To the extent practicable, the replacement will be effected during the next monthly review of the composition of the Underlying. If that timing is not practicable, S&P will determine the date of the replacement and will consider a number of factors, including the differences between the existing contract and the replacement contract with respect to contractual specifications and contract expirations.

Value of the Underlying

The value of the Underlying on any given day is equal to the total dollar weight of the Underlying divided by a normalizing constant that assures the continuity of the Underlying over time. The total dollar weight of the Underlying is the sum of the dollar weight of each of the underlying commodities.

The dollar weight of each such commodity on any given day is equal to:

·	the daily contract reference price,

·	multiplied by the appropriate CPWs, and

·	during a roll period, the appropriate “roll weights” (discussed below).

The daily contract reference price used in calculating the dollar weight of each commodity on any given day is the most recent daily contract reference price made available by the relevant trading facility, except that the daily contract reference price for the most recent prior day will be used if the exchange is closed or otherwise fails to publish a daily contract reference price on that day. In addition, if the trading facility fails to make a daily contract reference price available or publishes a daily contract reference price that, in the reasonable judgment of S&P, reflects manifest error, the relevant calculation will be delayed until the price is made available or corrected; provided, that, if the price is not made available or corrected by 4:00 p.m., New York City time, S&P may, if it deems such action to be appropriate under the circumstances, determine the appropriate daily contract reference price for the applicable futures contract in its reasonable judgment for purposes of the relevant Underlying calculation.

Contract Daily Return

The contract daily return on any given day is equal to the sum, for each of the commodities included in the Underlying of the applicable daily contract reference price on the relevant contract multiplied by the appropriate CPW and the appropriate “roll weight,” divided by the total dollar weight of the Underlying on the preceding day, minus one.

The “roll weight” of each commodity reflects the fact that the positions in contracts must be liquidated or rolled forward into more distant contract expirations as they approach expiration. If actual positions in the relevant markets were rolled forward, the roll would likely need to take place over a period of days. Since the Underlying is designed to replicate the performance of actual investments in the underlying contracts, the rolling process incorporated in the Underlying also takes place over a period of days at the beginning of each month (referred to as the “roll period”). On each day of the roll period, the “roll weights” of the first nearby contract expiration on a particular commodity and the more distant contract expiration into which it is rolled are adjusted, so that the hypothetical position in the contract on the commodity that is included in the Underlying is gradually shifted from the first nearby contract expiration to the more distant contract expiration.

If on any day during a roll period any of the following conditions exists, the portion of the roll that would have taken place on that day is deferred until the next day on which such conditions do not exist:

·	no daily contract reference price is available for a given contract expiration;

·	any such price represents the maximum or minimum price for such contract month, based on exchange price limits (referred to as a “Limit Price”);

the daily contract reference price published by the relevant trading facility reflects manifest error, or such price is not published by 4:00 p.m., New York City time. In that event, S&P may, but is not required to, determine a daily contract reference price and complete the relevant portion of the roll based on such price; provided, that, if the trading facility publishes a price before the opening of trading on the next day, S&P will revise the portion of the roll accordingly; or

·	trading in the relevant contract terminates prior to its scheduled closing time.

If any of these conditions exist throughout the roll period, the roll with respect to the affected contract, will be effected in its entirety on the next day on which such conditions no longer exist.

Calculation of the Underlying

The value of the Underlying on any underlying business day is equal to the product of (1) the value of the underlying futures contracts on the immediately preceding underlying business day multiplied by (2) one plus the contract daily return of the applicable Underlying on the underlying business day on which the calculation is made.

License Agreement with Standard & Poor’s

The S&P GSCI and the Underlying are licensed by S&P for use in connection with an issuance of the notes.

The notes are not sponsored, endorsed, sold or promoted by S&P. S&P does not make any representations or warranties, express or implied, to the owners of the notes or any member of the public regarding the advisability of investing in securities generally or in the notes particularly or the ability of the S&P indices to track general stock market performance or any economic factors. S&P’s only relationship to Credit Suisse (the “Licensee”) and its affiliates is the licensing of certain trademarks and trade names of S&P and/or of the S&P GSCI or the Underlying which are determined, composed and calculated by S&P without regard to the Licensee or the notes. S&P has no obligation to take the needs of the Licensee, its affiliates or the owners of the notes into consideration in determining, composing or calculating the S&P GSCI or the Underlying. S&P is not responsible for and have not participated in the determination of, the timing of, prices at, or quantities of the notes to be issued or in the determination or calculation of the equation by which the notes are to be converted into cash. S&P has no obligation or liability in connection with the administration, marketing or trading of the notes.

S&P DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE S&P GSCI OR THE UNDERLYING OR ANY DATA INCLUDED THEREIN, AND S&P SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. S&P MAKES NO WARRANTIES, EXPRESS OR IMPLIED, CONDITIONS OR REPRESENTATIONS AS TO RESULTS TO BE OBTAINED BY LICENSEE, ITS AFFILIATES, OWNERS OF THE NOTES OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P GSCI OR THE UNDERLYING OR ANY DATA INCLUDED THEREIN. S&P MAKES NO EXPRESS OR

IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE S&P GSCI OR THE UNDERLYING OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL S&P HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

Historical Information

The following graph sets forth the historical performance of the S&P GSCI Commodity Index Excess Return based on the closing levels of the Underlying from January 1, 2005 through April 30, 2010. The closing level of the Underlying on April 30, 2010 was 448.956. We obtained the closing levels below from Bloomberg, without independent verification. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg.

The historical levels of the Underlying should not be taken as an indication of future performance, and no assurance can be given as to the level of the Underlying on any trading day during the Monitoring Period, including on any Valuation Date. We cannot give you assurance that the performance of the Underlying will result in any return of your investment.

For further information on the S&P GSCI Commodity Index Excess Return, see “The Underlying—The S&P GSCI™ Commodity Index Excess Return” herein.

Market Disruption Events

A “market disruption event” is the occurrence on any date or any number of consecutive dates of any one or more of the following circumstances: (a) a termination or suspension of, or a material limitation or disruption in trading in any futures contract included in the Underlying (each an “Index Component”) that prevents the relevant exchange on which such Index Component is traded from establishing an official settlement price for such Index Component as of the regularly schedule time; (b) the settlement price for any Index Component is a “limit price,” which means that the settlement price for such Index Component for a day has increased or decreased from the previous day’s settlement price by the maximum amount permitted under applicable exchange rules; (c) failure by the applicable exchange or other price source to announce or publish the settlement price for any Index Component; and (d) failure of the Underlying sponsor to publish the value of the Underlying, subject to certain adjustments below.

If the calculation agent determines that a market disruption event exists with respect to an Index Component on any Valuation Date, then the calculation agent will determine a Special Ending Price and use this Special Ending Price when calculating the Final Level of the Underlying. A Special Ending Price will be determined in the following manner: the official settlement price for the affected Index Component(s) will be the official settlement price for the first subsequent underlying business day upon which no market disruption event occurs. If the calculation agent determines that a market disruption event exists with respect to such Index Component on each of the five underlying business days immediately following a Valuation Date, (a) the fifth succeeding underlying business day after the original Valuation Date will be deemed to be such Valuation Date, notwithstanding the market disruption event, and (b) the calculation agent will determine the settlement price on that deemed Valuation Date using its good faith estimate of the settlement price for such Index Component that would have prevailed on the applicable exchange but for the suspension or limitation, as of the valuation time on the deemed Valuation Date. As a result of the foregoing, a Special Ending Price may differ substantially from the level of the Underlying that would have been obtained in the absence of a market disruption event.

If the calculation agent determines that a market disruption event exists in respect to the Underlying (but not in respect of any Index Component) on a Valuation Date, then the calculation agent will determine the level of the Underlying using the official settlement prices on such Valuation Date on the relevant exchanges of each Index Component included in the Underlying as of the valuation time on such Valuation Date.

If the final Valuation Date is postponed because such day is not an underlying business day or as a result of a market disruption event as described above, then the Maturity Date of the notes will be postponed to the fifth business day following such Valuation Date as postponed.

Adjustments to the Calculation of the Underlying

If the Underlying is not calculated and announced by S&P but (a) is calculated and announced by a successor or successors acceptable to the calculation agent or (b) replaced by a successor index using, in the determination of the calculation agent, the same or a substantially similar formula for and method of calculation as used in the calculation of the Underlying, then the Underlying will be deemed to be the index so calculated and announced by such successor sponsor or sponsors or such 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, S&P makes, in the determination of the calculation agent, a material change in the formula for or the method of calculating the Underlying or in any other way materially modify the Underlying or (y) on a Valuation Date, S&P (or a successor sponsor or sponsors) fails to calculate and announce the Underlying and there is no comparable index available, then the calculation agent will calculate the redemption amount using, in lieu of a published level for the Underlying, the level for the Underlying as at the valuation time on such Valuation Date as determined by the calculation agent in accordance with the formula for and method of calculating the Underlying last in effect prior to that change or failure, but using only those commodity futures contracts that comprised the Underlying immediately prior to that change or failure. Notice of adjustment of the Underlying will be provided by the trustee in the manner set forth below.

All determinations made by the calculation agent will be at the sole discretion of the calculation agent and will be conclusive for all purposes and binding on us and the beneficial owners of the securities, absent manifest error.

An “underlying business day” 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 exchanges or related exchanges (each as defined below), other than a day on which one or more of the exchanges and related exchanges is scheduled to close prior to its regular weekday closing time. “Exchange” means the principal exchange on which any underlying is traded. “Related exchange” means any exchange on which futures or options contracts relating to the Index Component are traded.

Commodity Hedging Disruption Events

If a commodity hedging disruption event (as defined below) occurs, we will have the right, but not the obligation, to accelerate the payment on the notes by providing, or causing the calculation agent to provide, written notice of our election to exercise such right to the trustee at its New York office, on which notice the trustee may conclusively rely, as promptly as possible and in no event later than the business day immediately following the day on which such commodity hedging disruption event occurred. The amount due and payable per $1,000 principal amount of notes upon such early acceleration will be determined by the calculation agent in good faith in a commercially reasonable manner on the date on which we deliver notice of such acceleration and will be payable on the fifth business day following the day on which the calculation agent delivers notice of such acceleration. We will provide, or will cause the calculation agent to provide, written notice to the trustee at its New York office, on which notice the trustee may conclusively rely, and to the Depository Trust Company (“DTC”) of the cash amount due with respect to the notes as promptly as possible and in no event later than two business days prior to the date on which such payment is due. For the avoidance of doubt, the determination set forth above is only applicable to the amount due with respect to acceleration as a result of a commodity hedging disruption event.

A “commodity hedging disruption event” means that:

(a)

due to (i) the adoption of, or any change in, any applicable law, regulation or rule or (ii) the promulgation of, or any change in, the interpretation by any court, tribunal or regulatory authority with competent jurisdiction of any applicable law, rule, regulation or order (including, without limitation, as implemented by the CFTC or any exchange or trading facility), in each case occurring on or after the Trade Date, the calculation agent determines in good faith that it is contrary to such law, rule, regulation or order to purchase, sell, enter into, maintain, hold, acquire or dispose of our or our affiliates’ (A) positions or contracts in securities, options, futures, derivatives or foreign exchange or (B) other instruments or arrangements, in each case, in order to hedge individually or in the aggregate on a portfolio basis our obligations under the notes (“hedge positions”), including, without limitation, if such hedge positions are (or, but for the consequent disposal thereof, would otherwise be) in excess of any allowable position limit(s) in relation to any commodity traded on any exchange(s) or other trading facility (it being within the sole and absolute discretion of the calculation agent to determine which of the hedge positions are counted towards such limit); or

(b)

for any reason, we or our affiliates are unable, after using commercially reasonable efforts, to (i) acquire, establish, re-establish, substitute, maintain, unwind or dispose of any transaction(s) or asset(s) the calculation agent deems necessary to hedge the risk of entering into and performing our commodity-related obligations with respect to the notes, or (ii) realize, recover or remit the proceeds of any such transaction(s) or asset(s).

Certain United States Federal Income Tax Considerations

The following discussion summarizes certain U.S. federal income tax consequences of owning and disposing of securities that may be relevant to holders of securities that acquire their securities from us as part of the original issuance of the securities. This discussion applies only to holders that hold their securities as capital assets within the meaning of the Internal Revenue Code of 1986, as amended (the “Code”). Further, this discussion does not address all of the U.S. federal income tax consequences that may be relevant to you in light of your individual circumstances or if you are subject to special rules, such as if you are:

·	a financial institution,

·	a mutual fund,

·	a tax-exempt organization,

·	a grantor trust,

·	certain U.S. expatriates,

·	an insurance company,

·	a dealer or trader in securities or foreign currencies,

·	a person (including traders in securities) using a mark-to-market method of accounting,

·	a person who holds securities as a hedge or as part of a straddle with another position, constructive sale, conversion transaction or other integrated transaction, or

·	an entity that is treated as a partnership for U.S. federal income tax purposes.

The discussion is based upon the Code, law, regulations, rulings and decisions, in each case, as available and in effect as of the date hereof, all of which are subject to change, possibly with retroactive effect. Tax consequences under state, local and foreign laws are not addressed herein. No ruling from the U.S. Internal Revenue Service (the “IRS”) has been or will be sought as to the U.S. federal income tax consequences of the ownership and disposition of securities, and the following discussion is not binding on the IRS.

You should consult your tax advisor as to the specific tax consequences to you of owning and disposing of securities, including the application of federal, state, local and foreign income and other tax laws based on your particular facts and circumstances.

IRS CIRCULAR 230 REQUIRES THAT WE INFORM YOU THAT ANY TAX STATEMENT HEREIN REGARDING ANY U.S. FEDERAL TAX IS NOT INTENDED OR WRITTEN TO BE USED, AND CANNOT BE USED, BY ANY TAXPAYER FOR THE PURPOSE OF AVOIDING ANY PENALTIES. ANY SUCH STATEMENT HEREIN WAS WRITTEN TO SUPPORT THE MARKETING OR PROMOTION OF THE TRANSACTION(S) OR MATTER(S) TO WHICH THE STATEMENT RELATES. A PROSPECTIVE INVESTOR (INCLUDING A TAX-EXEMPT INVESTOR) IN THE SECURITIES SHOULD CONSULT ITS OWN TAX ADVISOR IN DETERMINING THE TAX CONSEQUENCES OF AN INVESTMENT IN THE SECURITIES, INCLUDING THE APPLICATION OF STATE, LOCAL OR OTHER TAX LAWS AND THE POSSIBLE EFFECTS OF CHANGES IN FEDERAL OR OTHER TAX LAWS.

Characterization of the Securities

There are no regulations, published rulings, or judicial decisions addressing the characterization for U.S. federal income tax purposes of securities with terms that are substantially the same as those of your securities. Thus, the characterization of the securities is not certain. Our special tax counsel, Orrick, Herrington & Sutcliffe LLP, has advised that the securities should be treated, for U.S. federal income tax purposes, as a prepaid financial contract, with respect to the Underlying that is eligible for open transaction treatment. In the absence of an administrative or judicial ruling to the contrary, we and, by acceptance of the securities, you, agree to treat your securities for all tax purposes in accordance with such characterization. In light of the fact that we agree to treat the securities as a prepaid financial contract, the balance of this discussion assumes that the securities will be so treated.

You should be aware that the characterization of the securities as described above is not certain, nor is it binding on the IRS or the courts. Thus, it is possible that the IRS would seek to characterize your securities in a manner that results in tax consequences to you that are different from those described above. For example, the IRS might assert that the securities constitute “contingent payment debt instruments” that are subject to special tax rules governing the recognition of income over the term of your securities. If the securities were to be treated as

contingent debt, you would be required to include in income on an economic accrual basis over the term of the securities an amount of interest that is based upon the yield at which we would issue a non-contingent fixed-rate debt instrument with other terms and conditions similar to your securities, or the comparable yield. The amount of interest that you would be required to include in income on a current basis would not be matched by cash distributions to you since the securities do not provide for any cash payments during their term. You would recognize gain or loss upon the sale, redemption or maturity of your securities in an amount equal to the difference, if any, between the amount you receive at such time and your adjusted basis in your securities. In general, your adjusted basis in your securities would be equal to the amount you paid for your securities, increased by the amount of interest you previously accrued with respect to your securities. Any gain you recognized upon the sale, redemption, or maturity of your securities would be ordinary income and any loss to the extent of interest you included in income in the current or previous taxable years in respect of your securities would be ordinary loss, and thereafter would be capital loss. It is also possible that the IRS would seek to characterize your securities as options, and thus as Code section 1256 contracts in the event that they are listed on a securities exchange. In such case, the securities would be marked-to-market at the end of the year and 40% of any gain or loss would be treated as short-term capital gain or loss, and the remaining 60% of any gain or loss would be treated as long-term capital gain or loss. We are not responsible for any adverse consequences that you may experience as a result of any alternative characterization of the securities for U.S. federal income tax or other tax purposes.

You should consult your tax advisor as to the tax consequences of such characterization and any possible alternative characterizations of your securities for U.S. federal income tax purposes.

U.S. Holders

For purposes of this discussion, the term “U.S. Holder,” for U.S. federal income tax purposes, means a beneficial owner of securities that is (1) a citizen or resident of the United States, (2) a corporation (or an entity treated as a corporation for U.S. federal income tax purposes) created or organized in or under the laws of the United States or any state thereof or the District of Columbia, (3) an estate, the income of which is subject to U.S. federal income taxation regardless of its source, or (4) a trust, if (a) a court within the United States is able to exercise primary supervision over the administration of such trust and one or more U.S. persons have the authority to control all substantial decisions of the trust or (b) such trust has in effect a valid election to be treated as a domestic trust for U.S. federal income tax purposes. If a partnership (or an entity treated as a partnership for U.S. federal income tax purposes) holds securities, the U.S. federal income tax treatment of such partnership and a partner in such partnership will generally depend upon the status of the partner and the activities of the partnership. If you are a partnership, or a partner of a partnership, holding securities, you should consult your tax advisor regarding the tax consequences to you from the partnership's purchase, ownership and disposition of the securities.

In accordance with the agreed-upon tax treatment described above, upon receipt of the redemption amount of the securities from us, a U.S. Holder will recognize gain or loss equal to the difference between the amount of cash received from us and the U.S. Holder’s tax basis in the security at that time. For securities with a term of more than one year, such gain or loss will be long-term capital gain or loss if the U.S. Holder has held the security for more than one year at maturity. For securities with a term of one year or less, such gain or loss will be short-term capital gain or loss.

Upon the sale or other taxable disposition of a security, a U.S. Holder generally will recognize capital gain or loss equal to the difference between the amount realized on the sale or other taxable disposition and the U.S. Holder’s tax basis in the security (generally its cost). For securities with a term of more than one year, such gain or loss will be long-term capital gain or loss if the U.S. Holder has held the security for more than one year at the time of disposition. For securities with a term of one year or less, such gain or loss will be short-term capital gain or loss.

Legislation Affecting Securities Held Through Foreign Accounts

Congress recently enacted the “Hiring Incentives to Restore Employment Act” (the “Act”). Under the Act, a 30% withholding tax is imposed on “withholdable payments” made to foreign financial institutions (and their more than 50% affiliates) unless the payee foreign financial institution agrees, among other things, to disclose the identity of any U.S. individual with an account at the institution (or the institution’s affiliates) and to annually report certain information about such account. “Withholdable payments” include payments of interest (including original issue discount), dividends, and other items of fixed or determinable annual or periodical gains, profits, and income (“FDAP”), in each case, from sources within the United States, as well as gross proceeds from the sale of any property of a type which can produce interest or dividends from sources within the United States. The Act also requires withholding agents making withholdable payments to certain foreign entities that do not disclose the

name, address, and taxpayer identification number of any substantial U.S. owners (or to certify that they do not have any substantial United States owners) to withhold tax at a rate of 30%. We will treat payments on the securities as withholdable payments for these purposes.

Withholding under the Act would apply to all withholdable payments without regard to whether the beneficial owner of the payment is a U.S. person, or would otherwise be entitled to an exemption from the imposition of withholding tax pursuant to an applicable tax treaty with the United States or pursuant to U.S. domestic law. Unless a foreign financial institution is the beneficial owner of a payment, it would be subject to refund or credit in accordance with the same procedures and limitations applicable to other taxes withheld on FDAP payments provided that the beneficial owner of the payment furnishes such information as the IRS determines is necessary to determine whether such beneficial owner is a United States owned foreign entity and the identity of any substantial United States owners of such entity. Generally, the Act’s withholding and reporting regime is proposed to apply to payments made after December 31, 2012. Thus, if you hold your securities through a foreign financial institution or foreign corporation or trust, a portion of any of your payments made after December 31, 2012 may be subject to 30% withholding.

Non-U.S. Holders Generally

In the case of a holder of the securities that is not a U.S. Holder and has no connection with the United States other than holding its securities (a “Non-U.S. Holder”), payments made with respect to the securities will not be subject to U.S. withholding tax, provided that such Non-U.S. Holder complies with applicable certification requirements. Any gain realized upon the sale or other disposition of the securities by a Non-U.S. Holder will generally not be subject to U.S. federal income tax unless (1) such gain is effectively connected with a U.S. trade or business of such Non-U.S. Holder or (2) in the case of an individual, such individual is present in the United States for 183 days or more in the taxable year of the sale or other disposition and certain other conditions are met. Non-U.S. Holders should consult their tax advisors regarding the possibility that any portion of the return could be characterized as dividend income and be subject to U.S. withholding tax.

Non-U.S. Holders that are subject to U.S. federal income taxation on a net income basis with respect to their investment in the securities should refer to the discussion above relating to U.S. Holders.

Legislation Affecting Substitute Dividend and Dividend Equivalent Payments

The Act treats a “dividend equivalent” payment as a dividend from sources within the United States. Under the Act, unless reduced by an applicable tax treaty with the United States, such payments generally would be subject to U.S. withholding tax. A “dividend equivalent” payment is (i) a substitute dividend payment made pursuant to a securities lending or a sale-repurchase transaction that (directly or indirectly) is contingent upon, or determined by reference to, the payment of a dividend from sources within the United States, (ii) a payment made pursuant to a “specified notional principal contract” that (directly or indirectly) is contingent upon, or determined by reference to, the payment of a dividend from sources within the United States, and (iii) any other payment determined by the IRS to be substantially similar to a payment described in the preceding clauses (i) and (ii). These changes will apply to payments made on or after September 14, 2010. In the case of payments made after March 18, 2012, a dividend equivalent payment includes a payment made pursuant to any notional principal contract unless otherwise exempted by the IRS. Where the securities reference an interest in a fixed basket of securities or an index, such fixed basket or index will be treated as a single security. Where the securities reference an interest in a basket of securities or an index that may provide for the payment of dividends from sources within the United States, absent guidance from the IRS, it is uncertain whether the IRS would determine that payments under the securities are substantially similar to a dividend. If the IRS determines that a payment is substantially similar to a dividend, it may be subject to U.S. withholding tax, unless reduced by an applicable tax treaty.

U.S. Federal Estate Tax Treatment of Non-U.S. Holders

The securities may be subject to U.S. federal estate tax if an individual Non-U.S. Holder holds the securities at the time of his or her death. The gross estate of a Non-U.S. Holder domiciled outside the United States includes only property situated in the United States. Individual Non-U.S. Holders should consult their tax advisors regarding the U.S. federal estate tax consequences of holding the securities at death.

IRS Notice on Certain Financial Transactions

On December 7, 2007, the IRS and the Treasury Department issued Notice 2008-2, in which they stated they are considering issuing new regulations or other guidance on whether holders of an instrument such as the securities should be required to accrue income during the term of the instrument. The IRS and Treasury Department also requested taxpayer comments on (1) the appropriate method for accruing income or expense (e.g., a mark-to-market methodology or a method resembling the noncontingent bond method), (2) whether income and gain on

such an instrument should be ordinary or capital, and (3) whether foreign holders should be subject to withholding tax on any deemed income accrual.

Accordingly, it is possible that regulations or other guidance may be issued that require holders of the securities to recognize income in respect of the securities prior to receipt of any payments thereunder or sale thereof. Any regulations or other guidance that may be issued could result in income and gain (either at maturity or upon sale) in respect of the securities being treated as ordinary income. It is also possible that a Non-U.S. Holder of the securities could be subject to U.S. withholding tax in respect of the securities under such regulations or other guidance. It is not possible to determine whether such regulations or other guidance will apply to your securities (possibly on a retroactive basis). You are urged to consult your tax advisor regarding Notice 2008-2 and its possible impact on you.

Information Reporting Regarding Foreign Accounts

The Act also requires individual taxpayers with an interest in any “specified foreign financial asset” to file a report to the IRS with information relating to the asset and the maximum value thereof during the taxable for any year in which the aggregate value of all such assets is greater than $50,000 (or such higher dollar amount as prescribed by Treasury regulations). Specified foreign financial assets include any depository or custodial account held at a foreign financial institution; any debt or equity interest in a foreign financial institution if such interest is not regularly traded on an established securities market; and, if not held at a financial institution, (i) any stock or security issued by a non-United States person, (ii) any financial instrument or contract held for investment where the issuer or counterparty is a non-United States person, and (iii) any interest in an entity which is a non-United States person. Depending on the aggregate value of your investment in specified foreign assets, you may be obligated to file an annual report under this provision. The requirement to file a report is effective for taxable years beginning after March 18, 2010. Penalties apply to any failure to file a required report.

Backup Withholding and Information Reporting

A holder of the securities (whether a U.S. Holder or a Non-U.S. Holder) may be subject to information reporting requirements and to backup withholding with respect to certain amounts paid to such holder unless it provides a correct taxpayer identification number, complies with certain certification procedures establishing that it is not a U.S. Holder or establishes proof of another applicable exemption, and otherwise complies with applicable requirements of the backup withholding rules.

Supplemental Plan of Distribution

Under the terms of distribution agreements with JPMSI and JPMorgan Chase Bank, N.A., each dated as of June 18, 2008, JPMSI and JPMorgan Chase Bank, N.A. will act as placement agents for the notes. The placement agents will receive a fee from Credit Suisse or one of our affiliates that will not exceed $10 per $1,000 principal amount of notes and will forgo fees for sales to fiduciary accounts. For further information, please refer to “Underwriting” in the accompanying product supplement.

Credit Suisse