EFTA Document EFTA01393116

Because yield-based options are European-style op- tions and the underlying yield is determined from the most recently auctioned Treasury security with the longest remaining life, a major factor affecting the pric- ing of such options is likely to be the estimates of market participants of the anticipated yield at expira- tion, and current yield may be a less significant pricing factor. Settlement of exercises of yield-based options takes place on the business day immediately following the