FWP 1 a2194173zfwp.htm FWP

Term Sheet No. A11
To the Product Supplement No. AK-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
August 11, 2009

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$                         
Accelerated Return Currency Securities due August 29, 2011
Linked to the Performance of a Basket of Six Currencies Relative to the U.S. Dollar

General


The securities are designed for investors who seek a leveraged return linked to the performance of a basket of six currencies relative to the U.S. dollar. The value of the Basket will increase if the weighted basket of foreign currencies appreciates in value relative to the U.S. dollar. Investors should be willing to forgo interest payments and, if the Basket declines, be willing to lose up to 100% of their investment.

Senior unsecured obligations of Credit Suisse, acting through its Nassau Branch, maturing August 29, 2011.

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

The securities are expected to price on or about August 21, 2009 (the "Trade Date") and are expected to settle on or about August 28, 2009. Delivery of the securities in book-entry form only will be made through The Depository Trust Company.

Key Terms

Issuer:   Credit Suisse, acting through its Nassau Branch
Basket:   The securities are linked to a weighted basket consisting of six currencies (each a "Basket Currency," and together, the "Basket Currencies") that measures the performance of the Basket Currencies relative to the U.S. dollar. Each Basket Currency is identified in the table below, together with its Fixing Source, Fixing Time, Initial Spot Rate and Weighting:
 
  Basket Currency   Fixing Source   Fixing Time   Initial Spot Rate*   Weighting
    Australian dollar ("AUD")   Reuters page: WMRSPOT12   4:00 PM London       1/6
    Brazilian real ("BRL")   Bloomberg page: BZFXPTAX   6:00 PM New York       1/6
    Canadian dollar ("CAD")   Reuters page: WMRSPOT09   4:00 PM London       1/6
    Chinese yuan ("CNY")   Bloomberg page: CYCFUSD   4:00 PM Beijing       1/6
    Indian rupee ("INR")   Bloomberg page: INRRATE   2:30 PM Mumbai       1/6
    Russian ruble ("RUB")   CME page: www.cmegroup.   12:30 PM Moscow       1/6
            com/trading/fx/daily-ruble-rate.html            
Currency of the Issue:   United States dollars
Upside Participation Rate:   Expected to be between 231% and 237% (to be determined on the Trade Date).
Redemption Amount:   At maturity, you will be entitled to receive a Redemption Amount in cash that will equal the principal amount of the securities you hold multiplied by the sum of 1 plus the Basket Return, calculated as set forth below.
Basket Return:     If the Final Basket Level is greater than the Initial Basket Level, the Basket Return will be calculated as follows:
    Upside Participation Rate x   Final Basket Level – Initial Basket Level              
Initial Basket Level                
       
      If the Final Basket Level is equal to the Initial Basket Level, the Basket Return will be equal to zero.
      If the Final Basket Level is less than the Initial Basket Level, the Basket Return will be calculated as follows:
        Final Basket Level – Initial Basket Level
Initial Basket Level
    If the Final Basket Level is less than the Initial Basket Level, the Basket Return will be negative and you will receive less than the principal amount of your securities at maturity. You may lose your entire investment.
Initial Basket Level:   Set equal to 100 on the Trade Date.
Final Basket Level:   The closing level of the Basket on the Valuation Date, calculated as follows.
    100 × [1 + (AUD Return × 1/6) + (BRL Return × 1/6) + (CAD Return × 1/6) + (CNY Return × 1/6) + (INR Return × 1/6) + (RUB Return × 1/6)]
    The AUD Return, BRL Return, CAD Return, CNY Return, INR Return and RUB Return refer to the Currency Return for the Australian dollar, Brazilian real, Canadian dollar, Chinese yuan, Indian rupee and Russian ruble, respectively.
Currency Return:   With respect to each Basket Currency, the performance of the Basket Currency from the Initial Spot Rate to the Final Spot Rate, calculated as follows:
        Final Spot Rate – Initial Spot Rate
Initial Spot Rate
Initial Spot Rate:*   For each Basket Currency, the exchange rate relative to the U.S. dollar determined by the Calculation Agent at 1:00 PM New York time on the Trade Date, expressed as the number of U.S. dollars per one unit of such Basket Currency.
Final Spot Rate:   For each Basket Currency, the Spot Rate on the Valuation Date.
Spot Rate:   For each Basket Currency except the Brazilian real, the Spot Rate will be the average of the bid price and the ask price for the relevant Basket Currency from the relevant Fixing Source or any successor thereto at the relevant Fixing Time. For the Brazilian real, the Spot Rate will be the ask price from the relevant Fixing Source or any successor thereto at the relevant Fixing Time. The Spot Rate will be expressed as the number of U.S. dollars per one unit of such Basket Currency. The Spot Rate is subject to the provisions set forth under "Currency Disruption Events" in this term sheet.
Valuation Date:   August 22, 2011
Maturity Date:   August 29, 2011
Listing:   The securities will not be listed on any securities exchange.
CUSIP:   22546ELV4

Investing in the securities involves a number of risks. See "Selected Risk Considerations" beginning on page 3 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 securities at any time prior to the time at which we accept such offer on the date the securities are priced. We reserve the right to change the terms of, or reject any offer to purchase the securities prior to their issuance. In the event of any changes to the terms of the securities, 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 securities 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


 

Underwriting Discounts and Commissions(1)


 

Proceeds to Issuer

 

Per security

  $1,000.00   $                   $                
 

Total

  $                   $                   $                
 
(1)
For more detailed information, please see "Supplemental Plan of Distribution" on the last page of this term sheet.

The securities 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. In addition, the securities are not guaranteed under the FDIC's Temporary Liquidity Guarantee Program.

Credit Suisse

August 11, 2009


Additional Terms Specific to the Securities

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 securities 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):

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

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, contains the terms of the securities and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, fact sheets, 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 securities involve risks not associated with conventional debt securities. You should consult your investment, legal, tax, accounting and other advisers before deciding to invest in the securities.

1


Hypothetical Redemption Amounts at Maturity for Each $1,000 Principal Amount

The table below illustrates the hypothetical Redemption Amounts at maturity for a $1,000 security for a hypothetical range of performance of the Basket from +100% to -100%. The hypothetical Redemption Amounts set forth below assume an Initial Basket Level of 100 and Upside Participation Rate of 234% (the midpoint of the expected range set forth on the cover of this term sheet). The actual Upside Participation Rate will be determined on the Trade Date. The hypothetical Redemption Amounts set forth below are for illustrative purposes only and may not be the actual returns applicable to a purchaser of the securities. The numbers appearing in the table and the examples below have been rounded for ease of analysis.

Final Basket Level   Percentage Change
in Basket Level
  Basket
Return
  Redemption
Amount
200.00   100.00%   234.00%   $3,340.00
190.00   90.00%   210.60%   $3,106.00
180.00   80.00%   187.20%   $2,872.00
170.00   70.00%   163.80%   $2,638.00
160.00   60.00%   140.40%   $2,404.00
150.00   50.00%   117.00%   $2,170.00
140.00   40.00%   93.60%   $1,936.00
130.00   30.00%   70.20%   $1,702.00
120.00   20.00%   46.80%   $1,468.00
115.00   15.00%   35.10%   $1,351.00
110.00   10.00%   23.40%   $1,234.00
105.00   5.00%   11.70%   $1,117.00
100.00   0.00%   0.00%   $1,000.00
95.00   -5.00%   -5.00%   $950.00
90.00   -10.00%   -10.00%   $900.00
85.00   -15.00%   -15.00%   $850.00
80.00   -20.00%   -20.00%   $800.00
70.00   -30.00%   -30.00%   $700.00
60.00   -40.00%   -40.00%   $600.00
50.00   -50.00%   -50.00%   $500.00
40.00   -60.00%   -60.00%   $400.00
30.00   -70.00%   -70.00%   $300.00
20.00   -80.00%   -80.00%   $200.00
10.00   -90.00%   -90.00%   $100.00
0.00   -100.00%   -100.00%   $0.00

Hypothetical Examples of Amounts Payable at Maturity

The following examples illustrate how the Redemption Amounts set forth in the table above are calculated.

Example 1: The Final Basket Level is 130, an increase of 30% from the Initial Basket Level. The determination of the Redemption Amount when the Final Basket Level is greater than the Initial Basket Level is calculated as follows:

    Basket Return = 234% × [(130 - 100)/100] = 70.20%
    Redemption Amount = Principal × (1 + Basket Return)
    Redemption Amount = $1,000 × 1.702
    Redemption Amount = $1,702

In this example, at maturity you would be entitled to receive a Redemption Amount equal to $1,702 per $1,000 principal amount of securities based on a leveraged return linked to the appreciation in the level of the Basket.

2


Example 2: The Final Basket Level is 100, equal to the Initial Basket Level.    Because the Final Basket Level is equal to the Initial Basket Level, the Basket Return is equal to zero and at maturity you would be entitled to receive a Redemption Amount equal to $1,000 per $1,000 principal amount of securities.

Example 3: The Final Basket Level is 70, a decrease of 30% from the Initial Basket Level.    The determination of the Redemption Amount when the Final Basket Level is less than the Initial Basket Level is calculated as follows:

    Basket Return = [(70 - 100)/100] = -30%
    Redemption Amount = Principal × (1 + Basket Return)
    Redemption Amount = $1,000 × 0.70
    Redemption Amount = $700

In this example, at maturity you would be entitled to receive a Redemption Amount equal to $700 per $1,000 principal amount of securities based on a return linked to the decline in the level of the Basket.

Selected Risk Considerations

An investment in the securities involves significant risks. Investing in the securities is not equivalent to investing directly in the Basket. These risks are explained in more detail in the "Risk Factors" section of the accompanying product supplement.

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

    THE SECURITIES ARE SUBJECT TO THE CREDIT RISK OF CREDIT SUISSE – Although the return on the securities will be based on the performance of the Basket, the payment of any amount due on the securities is subject to the credit risk of Credit Suisse. Investors are dependant on our ability to pay all amounts due on the securities, 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 market value of the securities prior to maturity.

    THE INITIAL SPOT RATE WILL BE DETERMINED AT THE DISCRETION OF THE CALCULATION AGENT – The Initial Spot Rate for each Basket Currency will be determined by the Calculation Agent on the Trade Date and will not be based on the Spot Rate, Fixing Source or Fixing Time definitions set forth on the cover page of this term sheet.

    CHANGES IN THE EXCHANGE RATES OF THE BASKET CURRENCIES MAY OFFSET EACH OTHER – Movements in the exchange rates of the Basket Currencies may not correlate with each other. At a time when the value of one or more of the Basket Currencies appreciates relative to the U.S. dollar, the value of one or more of the other Basket Currencies may not appreciate as much or may weaken relative to the U.S. dollar. Therefore, in calculating the Basket Return, increases in the value of one or more of the Basket Currencies relative to the U.S. dollar may be moderated, or more than offset, by lesser increases or declines in the value of the other Basket Currencies relative to the U.S. dollar.

3


    THE SECURITIES ARE SUBJECT TO CURRENCY EXCHANGE RISK – Foreign currency exchange rates vary over time, and may vary considerably during the term of the securities. The relative values of the U.S. dollar and each of the Basket Currencies are at any moment a result of the supply and demand for such currencies. Changes in foreign currency exchange rates result over time from the interaction of many factors directly or indirectly affecting economic and political conditions in the country or countries in which such currency is used, and economic and political developments in other relevant countries. Of particular importance to currency exchange risk are:

      o
      existing and expected rates of inflation;

      o
      existing and expected interest rate levels;

      o
      the balance of payments in the United States, Australia, Brazil, Canada, China, India and Russia and between each country and its major trading partners; and

      o
      the extent of governmental surplus or deficit in the United States, Australia, Brazil, Canada, China, India and Russia.

      All of these factors are, in turn, sensitive to the monetary, fiscal and trade policies pursued by the United States, Australia, Brazil, Canada, China, India and Russia and those of other countries important to international trade and finance.

    SPECIFIC RISKS RELATED TO THE CHINESE YUAN – If the Chinese yuan continues to be managed as in recent years, its spot rate movements are unlikely to contribute significantly to either an increase or decrease in the level of the Basket. Additionally, if the management of the Chinese yuan has resulted in trading levels that do not fully reflect market forces, a change in the Chinese government's management of its currency could result in greater movement of the spot rate for the Chinese yuan-U.S. dollar exchange rate than in the past. Assuming the value of the other Basket Currencies remain constant, any increase or decrease in the value of the Chinese yuan relative to the U.S. dollar, whether as a result of a change in the governments management of its currency or otherwise, would result in a corresponding increase or decrease in the level of the Basket.

    CERTAIN BUILT-IN COSTS ARE LIKELY TO ADVERSELY AFFECT THE VALUE OF THE SECURITIES PRIOR TO MATURITY – While the payment at maturity described in this term sheet is based on the full principal amount of your securities, the original issue price of the securities includes the agent's commission and the cost of hedging our obligations under the securities 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 securities 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 securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities to maturity.

    NO INTEREST PAYMENTS – As a holder of the securities, you will not receive interest payments.

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

4


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

    MANY ECONOMIC AND MARKET FACTORS WILL IMPACT THE VALUE OF THE SECURITIES – In addition to the level of the Basket on any day, the value of the securities will be affected by a number of economic and market factors that may either offset or magnify each other, including:

      o
      the time to maturity of the securities;

      o
      interest and yield rates in the market generally as well as in each of the Basket Currencies' countries and in the United States;

      o
      the exchange rate and volatility of the exchange rate between the U.S. dollar, the Australian dollar, the Brazilian real, the Canadian dollar, the Chinese yuan, the Indian rupee and the Russian ruble;

      o
      geopolitical conditions and a variety of economic, financial, political, regulatory or judicial events that affect the Basket Currencies or markets generally and which may affect the exchange rates of the Basket Currencies; and

      o
      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 securities 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 securities may be used in connection with hedging our obligations under the securities through one or more of our affiliates. Such hedging or trading activities on or prior to the Trade Date and during the term of the securities (including on the Valuation Date) could adversely affect the value of the Basket and, as a result, could decrease the amount you may receive on the securities at maturity. For further information, please refer to "Use of Proceeds and Hedging" in the accompanying product supplement.

Currency Disruption Events

If the Spot Rate for any Basket Currency is unavailable for any reason, the Spot Rate for such Basket Currency will be determined by the calculation agent in a commercially reasonable manner and in accordance with general market practice.

5


Historical Information

The following graphs set forth the historical performance of each Basket Currency based on the exchange rates of such Basket Currency from January 1, 2004 through August 10, 2009. As used herein, the exchange rates are expressed as the number of U.S. dollars per one unit of such Basket Currency. For each Basket Currency below, a higher exchange rate for a given year indicates a strengthening of the relevant Basket Currency relative to the U.S. dollar, while a lower exchange rate indicates a weakening of that Basket Currency relative to the U.S. dollar. The Australian dollar-U.S. dollar exchange rate on August 10, 2009 was 0.8374. The Brazilian real-U.S. dollar exchange rate on August 10, 2009 was 0.5432. The Canadian dollar-U.S. dollar exchange rate on August 10, 2009 was 0.9183. The Chinese yuan-U.S. dollar exchange rate on August 10, 2009 was 0.1463. The Indian rupee-U.S. dollar exchange rate on August 10, 2009 was 0.02092. The Russian ruble-U.S. dollar exchange rate on August 10, 2009 was 0.03139. We obtained the exchange rates for the Basket Currencies 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 exchange rates of the Basket Currencies should not be taken as an indication of future performance, and no assurance can be given as to the exchange rates of the Basket Currencies relative to the U.S. dollar on the Valuation Date. We cannot give you assurance that the performance of the Basket Currencies will result in the return of any of your initial investment.

6


Historical Performance of the Australian Dollar
(expressed as the number of U.S. dollars per Australian dollar)

GRAPHIC

Historical Performance of the Brazilian Real
(expressed as the number of U.S. dollars per Brazilian real)

GRAPHIC

7


Historical Performance of the Canadian Dollar
(expressed as the number of U.S. dollars per Canadian dollar)

GRAPHIC

Historical Performance of the Chinese Yuan
(expressed as the number of U.S. dollars per Chinese yuan)

GRAPHIC

8


Historical Performance of the Indian Rupee
(expressed as the number of U.S. dollars per Indian rupee)

GRAPHIC

Historical Performance of the Russian Ruble
(expressed as the number of U.S. dollars per Russian ruble)

GRAPHIC

9


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.

10


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.

Thus, we intend to treat the securities, for U.S. federal income tax purposes, as a prepaid forward contract, with respect to the Basket 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 forward 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 could 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.

In addition, on December 7, 2007, the IRS issued Revenue Ruling 2008-1 holding that a financial instrument issued and redeemed for U.S. dollars, but providing a return determined by reference to a foreign currency and related market interest rates, is a debt instrument denominated in the foreign currency. If the IRS were to characterize the securities as debt instruments denominated in a foreign currency or currencies, you would not be able to elect to treat any gain on the sale or redemption of the securities as capital gain pursuant to a Code section 988(a)(1)(B) election (a "Section 988 Capital Treatment Election"), which might be available if the securities were foreign currency forward contracts. We believe that the securities are distinguishable in meaningful respects from the instrument described in the revenue ruling. However, future guidance extending the scope of the revenue ruling could materially and adversely affect the tax consequences of an investment in the securities for U.S. Holders, possibly with retroactive effect. Accordingly, you should consult your tax advisor regarding the U.S. federal income tax consequences of an investment in the securities, including possible alternative treatments and the issues presented by the revenue ruling.

11


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. Upon the sale or other taxable disposition of a security, a U.S. Holder generally will recognize 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).

Your gain or loss will generally be ordinary income or loss (as the case may be) for U.S. federal income tax purposes. However, holders of certain forward contracts, futures contracts or option contracts generally are entitled to make a Section 988 Capital Treatment Election to treat this ordinary gain or loss as capital gain or loss. We believe that the securities should qualify for a Section 988 Capital Treatment Election, provided the applicable conditions set forth in the regulations under Code section 988 are met. Assuming the Section 988 Capital Treatment Election is available, if you make this election before the close of the day on which you acquire a security, all gain or loss you recognize on a sale or exchange of the security should be treated as capital gain or loss. 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. A U.S. Holder must make the Section 988 Capital Treatment Election with respect to the securities it holds by (a) clearly identifying the transaction on its books and records on the date the transaction is entered into as being subject to this election and either (b) filing the relevant statement verifying this election with such U.S. Holder's U.S. federal income tax return or (c) otherwise obtaining independent verification as set forth in the regulations under Code section 988. You should consult your tax advisor regarding the U.S. federal income tax considerations with respect to an investment in the securities, as well as the availability, mechanics, and consequences of a Section 988 Capital Treatment Election.

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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 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.

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.

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Possible Legislation on Prepaid Derivative Contracts

On December 19, 2007, Representative Richard Neal introduced a tax bill (the "Bill") that was referred to the House Ways and Means Committee of the previous Congress and would apply to "prepaid derivative contracts" acquired after the date of enactment of the Bill. No further action was taken on the Bill and it has not been reintroduced in the current Congress. The Bill, if reintroduced with the same language, would apply to certain derivative financial contracts with a term of more than one year, where there is no substantial likelihood that the taxpayer will be required to pay any additional amount thereunder, and would require the holder of such a contract to include as interest income each year in respect of such contract an amount determined by reference to the monthly U.S. federal short-term rate determined under Code section 1274(d). A holder's tax basis in such contract would be increased by the amount so included. Any gain (either at maturity or upon sale) with respect to the contract would be treated as long-term capital gain if the contract is a capital asset in the hands of the holder and such holder has held the contract for more than one year. Any loss would be treated as ordinary loss to the extent of prior interest accruals.

While the Bill, if reintroduced with the same language and enacted, would not apply to the securities (due to its prospective effective date), it is not possible to predict whether any tax legislation that may ultimately be enacted will apply to your securities (possibly on a retroactive basis). You are urged to consult your tax advisor regarding the Bill and any future tax legislation that may apply to your securities.

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 and subject to the conditions contained in a distribution agreement dated May 7, 2007, as amended, which we refer to as the distribution agreement, we have agreed to sell the securities to Credit Suisse Securities (USA) LLC ("CSSU").

The distribution agreement provides that CSSU is obligated to purchase all of the securities if any are purchased.

CSSU proposes to offer the securities at the offering price set forth on the cover page of this term sheet and will receive underwriting discounts and commissions which will not exceed $18.50 per $1,000 principal amount of securities. CSSU may allow the same discount on the principal amount per security on sales of such securities by other brokers or dealers. If all of the securities are not sold at the initial offering price, CSSU may change the public offering price and other selling terms.

We expect that delivery of the securities will be made against payment for the securities on or about August 28, 2009, which will be the fifth business day following the Trade Date for the securities (this settlement cycle being referred to as T+5). Under Rule 15c6-1 under the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in three business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade the securities on the Trade Date or the following business day will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement and should consult their own advisors.

For further information, please refer to "Underwriting" in the accompanying product supplement.

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Credit Suisse