<?xml version="1.0"?>
<Portfolio>
  <Trade id="Swap_EUR">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>true</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.02</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160301</StartDate>
            <EndDate>20360301</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>F</Convention>
            <TermConvention>F</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>EUR-EURIBOR-6M</Index>
          <Spreads>
            <Spread>0.000000</Spread>
          </Spreads>
          <IsInArrears>false</IsInArrears>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160301</StartDate>
            <EndDate>20360301</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="OIS_EUR">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>true</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.02</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160301</StartDate>
            <EndDate>20180301</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>F</Convention>
            <TermConvention>F</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>EUR-EONIA</Index>
          <Spreads>
            <Spread>0.000000</Spread>
          </Spreads>
          <FixingDays>1</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160301</StartDate>
            <EndDate>20180301</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="AverageOIS_USD">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.02</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160301</StartDate>
            <EndDate>20180301</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>F</Convention>
            <TermConvention>F</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>USD-FedFunds</Index>
          <Spreads>
            <Spread>0.000000</Spread>
          </Spreads>
          <IsAveraged>true</IsAveraged>
          <FixingDays>1</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160301</StartDate>
            <EndDate>20180301</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_USD">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.02</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160301</StartDate>
            <EndDate>20360301</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>US</Calendar>
            <Convention>F</Convention>
            <TermConvention>F</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>USD-LIBOR-3M</Index>
          <Spreads>
            <Spread>0.000000</Spread>
          </Spreads>
          <IsInArrears>false</IsInArrears>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160301</StartDate>
            <EndDate>20360301</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>US</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="BermSwp">
    <TradeType>Swaption</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwaptionData>
      <OptionData>
        <LongShort>Long</LongShort>
        <OptionType>Call</OptionType>
        <Style>Bermudan</Style>
        <Settlement>Physical</Settlement>
        <PayOffAtExpiry>false</PayOffAtExpiry>
        <ExerciseDates>
          <ExerciseDate>2026-02-25</ExerciseDate>
          <ExerciseDate>2027-02-25</ExerciseDate>
          <ExerciseDate>2028-02-25</ExerciseDate>
          <ExerciseDate>2029-02-25</ExerciseDate>
          <ExerciseDate>2030-02-25</ExerciseDate>
          <ExerciseDate>2031-02-25</ExerciseDate>
          <ExerciseDate>2032-02-25</ExerciseDate>
          <ExerciseDate>2033-02-25</ExerciseDate>
          <ExerciseDate>2034-02-25</ExerciseDate>
          <ExerciseDate>2035-02-25</ExerciseDate>
        </ExerciseDates>
      </OptionData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>1000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>ModifiedFollowing</PaymentConvention>
        <FloatingLegData>
          <Index>EUR-EURIBOR-6M</Index>
          <Spreads>
            <Spread>0.0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
          <IsInArrears>false</IsInArrears>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>2026-03-01</StartDate>
            <EndDate>2036-03-01</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>Following</Convention>
            <TermConvention>Following</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>true</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>1000000</Notional>
        </Notionals>
        <DayCounter>ACT/ACT</DayCounter>
        <PaymentConvention>Following</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.02</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>2026-03-01</StartDate>
            <EndDate>2036-03-01</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>Following</Convention>
            <TermConvention>Following</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwaptionData>
  </Trade>
  <Trade id="FX_CALL_OPTION">
    <TradeType>FxOption</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <FxOptionData>
      <OptionData>
        <LongShort>Long</LongShort>
        <OptionType>Call</OptionType>
        <Style>European</Style>
        <Settlement>Cash</Settlement>
        <PayOffAtExpiry>false</PayOffAtExpiry>
        <ExerciseDates>
          <ExerciseDate>2026-03-01</ExerciseDate>
        </ExerciseDates>
      </OptionData>
      <BoughtCurrency>EUR</BoughtCurrency>
      <BoughtAmount>1000000</BoughtAmount>
      <SoldCurrency>USD</SoldCurrency>
      <SoldAmount>1100000</SoldAmount>
    </FxOptionData>
  </Trade>
  <Trade id="CC_SWAP_EUR_USD">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <PortfolioIds>
        <PortfolioId>PF1</PortfolioId>
      </PortfolioIds>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>100000000</Notional>
          <!-- 100M USD -->
          <Exchanges>
            <NotionalInitialExchange>true</NotionalInitialExchange>
            <NotionalFinalExchange>true</NotionalFinalExchange>
          </Exchanges>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>USD-LIBOR-6M</Index>
          <Spreads>
            <Spread>0.000000</Spread>
          </Spreads>
          <IsInArrears>false</IsInArrears>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160205</StartDate>
            <EndDate>20260205</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>88312931.57</Notional>
          <!-- FX/RATE/EUR/USD 1.132337 => 100M USD = 88,312,931.57 -->
          <Exchanges>
            <NotionalInitialExchange>true</NotionalInitialExchange>
            <NotionalFinalExchange>true</NotionalFinalExchange>
          </Exchanges>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>EUR-EURIBOR-6M</Index>
          <Spreads>
            <Spread>0.015</Spread>
          </Spreads>
          <IsInArrears>false</IsInArrears>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160205</StartDate>
            <EndDate>20260205</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="FXSwap">
    <TradeType>FxSwap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <FxSwapData>
      <NearDate>2016-09-01</NearDate>
      <NearBoughtCurrency>EUR</NearBoughtCurrency>
      <NearBoughtAmount>1000000</NearBoughtAmount>
      <NearSoldCurrency>USD</NearSoldCurrency>
      <NearSoldAmount>1100000</NearSoldAmount>
      <FarDate>2026-09-01</FarDate>
      <FarBoughtAmount>1300000</FarBoughtAmount>
      <FarSoldAmount>1000000</FarSoldAmount>
    </FxSwapData>
  </Trade>
  <Trade id="Composite">
    <TradeType>CompositeTrade</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
    </Envelope>
    <CompositeTradeData>
      <Currency>USD</Currency>
      <NotionalCalculation>Sum</NotionalCalculation>
      <Components>
        <SubTrade id="Swap_EUR">
          <SubTradeType>Swap</SubTradeType>
          <Envelope>
            <CounterParty>CPTY_A</CounterParty>
            <NettingSetId>CPTY_A</NettingSetId>
            <AdditionalFields/>
          </Envelope>
          <SwapData>
            <LegData>
              <LegType>Fixed</LegType>
              <Payer>true</Payer>
              <Currency>EUR</Currency>
              <Notionals>
                <Notional>10000000.000000</Notional>
              </Notionals>
              <DayCounter>30/360</DayCounter>
              <PaymentConvention>F</PaymentConvention>
              <FixedLegData>
                <Rates>
                  <Rate>0.02</Rate>
                </Rates>
              </FixedLegData>
              <ScheduleData>
                <Rules>
                  <StartDate>20160301</StartDate>
                  <EndDate>20360301</EndDate>
                  <Tenor>1Y</Tenor>
                  <Calendar>TARGET</Calendar>
                  <Convention>F</Convention>
                  <TermConvention>F</TermConvention>
                  <Rule>Forward</Rule>
                  <EndOfMonth/>
                  <FirstDate/>
                  <LastDate/>
                </Rules>
              </ScheduleData>
            </LegData>
            <LegData>
              <LegType>Floating</LegType>
              <Payer>false</Payer>
              <Currency>EUR</Currency>
              <Notionals>
                <Notional>10000000.000000</Notional>
              </Notionals>
              <DayCounter>A360</DayCounter>
              <PaymentConvention>MF</PaymentConvention>
              <FloatingLegData>
                <Index>EUR-EURIBOR-6M</Index>
                <Spreads>
                  <Spread>0.000000</Spread>
                </Spreads>
                <IsInArrears>false</IsInArrears>
                <FixingDays>2</FixingDays>
              </FloatingLegData>
              <ScheduleData>
                <Rules>
                  <StartDate>20160301</StartDate>
                  <EndDate>20360301</EndDate>
                  <Tenor>6M</Tenor>
                  <Calendar>TARGET</Calendar>
                  <Convention>MF</Convention>
                  <TermConvention>MF</TermConvention>
                  <Rule>Forward</Rule>
                  <EndOfMonth/>
                  <FirstDate/>
                  <LastDate/>
                </Rules>
              </ScheduleData>
            </LegData>
          </SwapData>
        </SubTrade>
        <SubTrade id="BermSwp">
          <SubTradeType>Swaption</SubTradeType>
          <Envelope>
            <CounterParty>CPTY_A</CounterParty>
            <NettingSetId>CPTY_A</NettingSetId>
            <AdditionalFields/>
          </Envelope>
          <SwaptionData>
            <OptionData>
              <LongShort>Long</LongShort>
              <OptionType>Call</OptionType>
              <Style>Bermudan</Style>
              <Settlement>Physical</Settlement>
              <PayOffAtExpiry>false</PayOffAtExpiry>
              <ExerciseDates>
                <ExerciseDate>2026-02-25</ExerciseDate>
                <ExerciseDate>2027-02-25</ExerciseDate>
                <ExerciseDate>2028-02-25</ExerciseDate>
                <ExerciseDate>2029-02-25</ExerciseDate>
                <ExerciseDate>2030-02-25</ExerciseDate>
                <ExerciseDate>2031-02-25</ExerciseDate>
                <ExerciseDate>2032-02-25</ExerciseDate>
                <ExerciseDate>2033-02-25</ExerciseDate>
                <ExerciseDate>2034-02-25</ExerciseDate>
                <ExerciseDate>2035-02-25</ExerciseDate>
              </ExerciseDates>
            </OptionData>
            <LegData>
              <LegType>Floating</LegType>
              <Payer>false</Payer>
              <Currency>EUR</Currency>
              <Notionals>
                <Notional>1000000</Notional>
              </Notionals>
              <DayCounter>A360</DayCounter>
              <PaymentConvention>ModifiedFollowing</PaymentConvention>
              <FloatingLegData>
                <Index>EUR-EURIBOR-6M</Index>
                <Spreads>
                  <Spread>0.0</Spread>
                </Spreads>
                <FixingDays>2</FixingDays>
                <IsInArrears>false</IsInArrears>
              </FloatingLegData>
              <ScheduleData>
                <Rules>
                  <StartDate>2026-03-01</StartDate>
                  <EndDate>2036-03-01</EndDate>
                  <Tenor>6M</Tenor>
                  <Calendar>TARGET</Calendar>
                  <Convention>Following</Convention>
                  <TermConvention>Following</TermConvention>
                  <Rule>Forward</Rule>
                  <EndOfMonth/>
                  <FirstDate/>
                  <LastDate/>
                </Rules>
              </ScheduleData>
            </LegData>
            <LegData>
              <LegType>Fixed</LegType>
              <Payer>true</Payer>
              <Currency>EUR</Currency>
              <Notionals>
                <Notional>1000000</Notional>
              </Notionals>
              <DayCounter>ACT/ACT</DayCounter>
              <PaymentConvention>Following</PaymentConvention>
              <FixedLegData>
                <Rates>
                  <Rate>0.02</Rate>
                </Rates>
              </FixedLegData>
              <ScheduleData>
                <Rules>
                  <StartDate>2026-03-01</StartDate>
                  <EndDate>2036-03-01</EndDate>
                  <Tenor>1Y</Tenor>
                  <Calendar>TARGET</Calendar>
                  <Convention>Following</Convention>
                  <TermConvention>Following</TermConvention>
                  <Rule>Forward</Rule>
                  <EndOfMonth/>
                  <FirstDate/>
                  <LastDate/>
                </Rules>
              </ScheduleData>
            </LegData>
          </SwaptionData>
        </SubTrade>
      </Components>
    </CompositeTradeData>
  </Trade>
</Portfolio>
