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Abstract: 

Credit Suisse First Boston, LLC (“CSFB”) provides a volatility management program (“the Program”) to high net worth clients and institutions holding large positions in individual stocks. In order to participate, an advisory client must commit at least $10 million of underlying stock to be managed under the Program. The Program uses covered call options either to (1) provide yield enhancement on the client’s underlying stock position, or (2) enable the client to exit the underlying stock position (or portions of those positions) at specified price targets. The Program’s quantitative analytical model (“Model”) calculates the probability that the underlying stock price will close above the strike price of a given covered call option. The SEC issued a No Action Letter approving the Global Consent approach of the Program in August 2005.

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