EFTA Document EFTA01365343

3 December 2013 US Derivatives Spotlight [Figure 29: Simulated PIL of 36M options after l2tv1 have passed under different rate and spot change scenarios (assumes vols slide down the curve) ti ee 2 I Figure 30: Simulated P/L of I8M options after 12M have passed under different rate and spot change scenarios assumes vols slide down the curve) .10% 4% %Chong* in Spot 0% 5% 10% .10% -5% Change In Spot 0% 6% 10% -050 .64% 46% .25% 0% 29% •0.50 92% -77% 49% -7% 48%