<?xml version="1.0" ?>
<Portfolio>
  <Trade id="Swap_CHF_6M_2Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/ACT</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>-0.008431</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20180209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>RUB</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>RUB-MOSPRIME-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20180209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>RUB</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_6M_3Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/ACT</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>-0.008021</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20190209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>RUB</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>RUB-MOSPRIME-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20190209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>RUB</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_6M_4Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/ACT</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>-0.007086</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20200209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>RUB</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>RUB-MOSPRIME-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20200209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>RUB</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_6M_5Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/ACT</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>-0.006276</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20210209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>RUB</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>RUB-MOSPRIME-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20210209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>RUB</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_6M_6Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/ACT</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>-0.005081</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20220209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>RUB</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>RUB-MOSPRIME-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20220209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>RUB</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_6M_7Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/ACT</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>-0.003978</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20230209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>RUB</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>RUB-MOSPRIME-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20230209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>RUB</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_6M_8Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/ACT</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>-0.002823</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20240209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>RUB</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>RUB-MOSPRIME-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20240209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>RUB</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_6M_9Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/ACT</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>-0.002201</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20250209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>RUB</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>RUB-MOSPRIME-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20250209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>RUB</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_6M_10Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/ACT</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>-0.001532</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20260209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>RUB</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>RUB-MOSPRIME-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20260209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>RUB</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_6M_15Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/ACT</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.001271</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20310209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>RUB</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>RUB-MOSPRIME-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20310209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>RUB</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_6M_20Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/ACT</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.002792</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20360209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>RUB</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>RUB-MOSPRIME-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20360209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>RUB</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="FRA_CHF_1M_6M">
    <TradeType>ForwardRateAgreement</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <ForwardRateAgreementData>
      <StartDate>2016-03-09</StartDate>
      <EndDate>2016-09-09</EndDate>
      <Currency>CHF</Currency>
      <Index>CHF-LIBOR-6M</Index>
      <LongShort>Long</LongShort>
      <Strike>-0.008073</Strike>
      <Notional>1125046.0</Notional>
    </ForwardRateAgreementData>
  </Trade>
  <Trade id="FRA_CHF_2M_6M">
    <TradeType>ForwardRateAgreement</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <ForwardRateAgreementData>
      <StartDate>2016-04-09</StartDate>
      <EndDate>2016-10-11</EndDate>
      <Currency>CHF</Currency>
      <Index>CHF-LIBOR-6M</Index>
      <LongShort>Long</LongShort>
      <Strike>-0.008408</Strike>
      <Notional>1125046.0</Notional>
    </ForwardRateAgreementData>
  </Trade>
  <Trade id="FRA_CHF_3M_6M">
    <TradeType>ForwardRateAgreement</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <ForwardRateAgreementData>
      <StartDate>2016-05-09</StartDate>
      <EndDate>2016-11-09</EndDate>
      <Currency>CHF</Currency>
      <Index>CHF-LIBOR-6M</Index>
      <LongShort>Long</LongShort>
      <Strike>-0.008632</Strike>
      <Notional>1125046.0</Notional>
    </ForwardRateAgreementData>
  </Trade>
  <Trade id="FRA_CHF_4M_6M">
    <TradeType>ForwardRateAgreement</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <ForwardRateAgreementData>
      <StartDate>2016-06-09</StartDate>
      <EndDate>2016-12-09</EndDate>
      <Currency>CHF</Currency>
      <Index>CHF-LIBOR-6M</Index>
      <LongShort>Long</LongShort>
      <Strike>-0.008609</Strike>
      <Notional>1125046.0</Notional>
    </ForwardRateAgreementData>
  </Trade>
  <Trade id="FRA_CHF_5M_6M">
    <TradeType>ForwardRateAgreement</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <ForwardRateAgreementData>
      <StartDate>2016-07-09</StartDate>
      <EndDate>2017-01-11</EndDate>
      <Currency>CHF</Currency>
      <Index>CHF-LIBOR-6M</Index>
      <LongShort>Long</LongShort>
      <Strike>-0.008829</Strike>
      <Notional>1125046.0</Notional>
    </ForwardRateAgreementData>
  </Trade>
  <Trade id="FRA_CHF_6M_6M">
    <TradeType>ForwardRateAgreement</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <ForwardRateAgreementData>
      <StartDate>2016-08-09</StartDate>
      <EndDate>2017-02-09</EndDate>
      <Currency>CHF</Currency>
      <Index>CHF-LIBOR-6M</Index>
      <LongShort>Long</LongShort>
      <Strike>-0.008861</Strike>
      <Notional>1125046.0</Notional>
    </ForwardRateAgreementData>
  </Trade>
  <Trade id="Swap_CHF_6M_2Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
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        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>-0.008431</Rate>
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        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20180209</EndDate>
            <Tenor>1Y</Tenor>
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            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
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        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
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        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>CHF-LIBOR-6M</Index>
          <Spreads>
            <Spread>0</Spread>
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          <FixingDays>2</FixingDays>
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          <Rules>
            <StartDate>20160209</StartDate>
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            <Tenor>6M</Tenor>
            <Calendar>ZUB,UK</Calendar>
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            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
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          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_6M_3Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
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    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
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        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>-0.008021</Rate>
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        <ScheduleData>
          <Rules>
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            <EndDate>20190209</EndDate>
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        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
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        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
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          <Spreads>
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          <FixingDays>2</FixingDays>
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          <Rules>
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            <Tenor>6M</Tenor>
            <Calendar>ZUB,UK</Calendar>
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            <EndOfMonth/>
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          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_6M_4Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
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    <SwapData>
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        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
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        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>-0.007086</Rate>
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        <ScheduleData>
          <Rules>
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            <Tenor>1Y</Tenor>
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        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
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          <Notional>1125046.0</Notional>
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        <DayCounter>ACT/360</DayCounter>
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        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>CHF-LIBOR-6M</Index>
          <Spreads>
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          <FixingDays>2</FixingDays>
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            <Calendar>ZUB,UK</Calendar>
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          </Rules>
        </ScheduleData>
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    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_6M_5Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
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    <SwapData>
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        <Payer>false</Payer>
        <Currency>CHF</Currency>
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        <DayCounter>30/360</DayCounter>
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        <Payer>true</Payer>
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  <Trade id="Swap_CHF_6M_6Y">
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    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
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          </Rules>
        </ScheduleData>
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  <Trade id="Swap_CHF_6M_7Y">
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    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
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        </ScheduleData>
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  <Trade id="Swap_CHF_6M_8Y">
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      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
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  <Trade id="Swap_CHF_6M_9Y">
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  <Trade id="Swap_CHF_6M_10Y">
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        </ScheduleData>
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  <Trade id="Swap_CHF_6M_12Y">
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      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
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        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20280209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>ZUB,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>CHF-LIBOR-6M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20280209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>ZUB,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_6M_15Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.001271</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20310209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>ZUB,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>CHF-LIBOR-6M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20310209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>ZUB,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_6M_20Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.002792</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20360209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>ZUB,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>CHF-LIBOR-6M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20360209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>ZUB,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_6M_25Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.003596</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20410209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>ZUB,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>CHF-LIBOR-6M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20410209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>ZUB,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_6M_30Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.003775</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20460209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>ZUB,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>CHF-LIBOR-6M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20460209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>ZUB,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_3M_2Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>-0.009542</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20180209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>ZUB,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>CHF-LIBOR-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20180209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>ZUB,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_3M_3Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>-0.009132</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20190209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>ZUB,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>CHF-LIBOR-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20190209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>ZUB,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_3M_4Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>-0.008197</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20200209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>ZUB,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>CHF-LIBOR-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20200209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>ZUB,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_3M_5Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>-0.007387</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20210209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>ZUB,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>CHF-LIBOR-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20210209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>ZUB,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_3M_7Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>-0.005098</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20230209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>ZUB,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>CHF-LIBOR-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20230209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>ZUB,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_3M_10Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>-0.002643</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20260209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>ZUB,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>CHF-LIBOR-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20260209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>ZUB,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_3M_12Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>-0.002612</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20280209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>ZUB,UK</Calendar>
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      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
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        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>CHF-LIBOR-3M</Index>
          <Spreads>
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          <FixingDays>2</FixingDays>
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        <ScheduleData>
          <Rules>
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            <EndDate>20280209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>ZUB,UK</Calendar>
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            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
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            <LastDate/>
          </Rules>
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    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_3M_15Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
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    <SwapData>
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        <Payer>false</Payer>
        <Currency>CHF</Currency>
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        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
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          <Rates>
            <Rate>0.000160</Rate>
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            <StartDate>20160209</StartDate>
            <EndDate>20310209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>ZUB,UK</Calendar>
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            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
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      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
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          <Notional>1125046.0</Notional>
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        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
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          <Index>CHF-LIBOR-3M</Index>
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          <FixingDays>2</FixingDays>
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            <Tenor>3M</Tenor>
            <Calendar>ZUB,UK</Calendar>
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            <EndOfMonth/>
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    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_3M_20Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
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    <SwapData>
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        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
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        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.001681</Rate>
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        <ScheduleData>
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            <EndDate>20360209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>ZUB,UK</Calendar>
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            <TermConvention>MF</TermConvention>
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        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
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        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
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          <FixingDays>2</FixingDays>
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            <Tenor>3M</Tenor>
            <Calendar>ZUB,UK</Calendar>
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            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
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        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_3M_25Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
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    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
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        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.002485</Rate>
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        <ScheduleData>
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            <Tenor>1Y</Tenor>
            <Calendar>ZUB,UK</Calendar>
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            <TermConvention>MF</TermConvention>
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      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>CHF</Currency>
        <Notionals>
          <Notional>1125046.0</Notional>
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        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
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          <FixingDays>2</FixingDays>
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            <Calendar>ZUB,UK</Calendar>
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            <LastDate/>
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        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_CHF_3M_30Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
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        <Payer>false</Payer>
        <Currency>CHF</Currency>
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        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
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        <FixedLegData>
          <Rates>
            <Rate>0.002664</Rate>
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        <Payer>true</Payer>
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        <DayCounter>ACT/360</DayCounter>
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          <FixingDays>2</FixingDays>
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            <LastDate/>
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    </SwapData>
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  <Trade id="ois_CHF_2D_1D_1M">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
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        <Payer>false</Payer>
        <Currency>CHF</Currency>
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        <DayCounter>30/360</DayCounter>
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        <PaymentLag>2</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>-0.007465</Rate>
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        <ScheduleData>
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        <DayCounter>ACT/360</DayCounter>
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        <PaymentConvention>Following</PaymentConvention>
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  <Trade id="ois_CHF_2D_1D_2M">
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      <CounterParty>CPTY_A</CounterParty>
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        <DayCounter>30/360</DayCounter>
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        <DayCounter>ACT/360</DayCounter>
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  <Trade id="ois_CHF_2D_1D_3M">
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      <CounterParty>CPTY_A</CounterParty>
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        <DayCounter>30/360</DayCounter>
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        <DayCounter>ACT/360</DayCounter>
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  <Trade id="ois_CHF_2D_1D_4M">
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      <CounterParty>CPTY_A</CounterParty>
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        <DayCounter>ACT/360</DayCounter>
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  <Trade id="ois_CHF_2D_1D_5M">
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      <CounterParty>CPTY_A</CounterParty>
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        <DayCounter>ACT/360</DayCounter>
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          <FixingDays>1</FixingDays>
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  <Trade id="ois_CHF_2D_1D_6M">
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    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
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        <DayCounter>ACT/360</DayCounter>
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  </Trade>
  <Trade id="ois_CHF_2D_1D_7M">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
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          <Rates>
            <Rate>-0.009607</Rate>
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        <Payer>true</Payer>
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        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>2</PaymentLag>
        <PaymentConvention>Following</PaymentConvention>
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  <Trade id="ois_CHF_2D_1D_5Y">
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    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
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        <Payer>false</Payer>
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        <DayCounter>30/360</DayCounter>
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        <Payer>true</Payer>
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        <DayCounter>ACT/360</DayCounter>
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        <PaymentConvention>Following</PaymentConvention>
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  <Trade id="ois_CHF_2D_1D_6Y">
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    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
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        <Payer>false</Payer>
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        <Payer>true</Payer>
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        <DayCounter>ACT/360</DayCounter>
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  <Trade id="ois_CHF_2D_1D_7Y">
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    <Envelope>
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        <Payer>false</Payer>
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        <DayCounter>ACT/360</DayCounter>
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  <Trade id="ois_CHF_2D_1D_8Y">
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  <Trade id="ois_CHF_2D_1D_10Y">
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  <Trade id="ois_CHF_2D_1D_12Y">
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  <Trade id="ois_CHF_2D_1D_15Y">
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  <Trade id="ois_CHF_2D_1D_20Y">
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  <Trade id="ois_CHF_2D_1D_25Y">
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  <Trade id="ois_CHF_2D_1D_30Y">
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    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
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  <Trade id="FRA_EUR_1M_3M">
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      <NettingSetId>CPTY_A</NettingSetId>
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    <ForwardRateAgreementData>
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      <Index>EUR-EURIBOR-3M</Index>
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  <Trade id="FRA_EUR_2M_3M">
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    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
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    <ForwardRateAgreementData>
      <StartDate>2016-04-09</StartDate>
      <EndDate>2016-07-11</EndDate>
      <Currency>EUR</Currency>
      <Index>EUR-EURIBOR-3M</Index>
      <LongShort>Long</LongShort>
      <Strike>-0.001581</Strike>
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  <Trade id="FRA_EUR_3M_3M">
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    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
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    <ForwardRateAgreementData>
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      <Index>EUR-EURIBOR-3M</Index>
      <LongShort>Long</LongShort>
      <Strike>-0.001747</Strike>
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  <Trade id="FRA_EUR_4M_3M">
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      <CounterParty>CPTY_A</CounterParty>
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    <ForwardRateAgreementData>
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      <LongShort>Long</LongShort>
      <Strike>-0.001931</Strike>
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  <Trade id="FRA_EUR_5M_3M">
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  <Trade id="FRA_EUR_6M_3M">
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    <ForwardRateAgreementData>
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  <Trade id="FRA_EUR_1Y_3M">
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      <CounterParty>CPTY_A</CounterParty>
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      <LegData>
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  <Trade id="Swap_EUR_3M_3Y">
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  <Trade id="Swap_EUR_3M_6Y">
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  <Trade id="ois_USD_2D_1D_7Y">
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  <Trade id="ois_USD_2D_1D_10Y">
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        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>Following</PaymentConvention>
        <PaymentLag>2</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.013318</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20260209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>US-FED</Calendar>
            <Convention>Following</Convention>
            <TermConvention>Following</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
            <Rule>Backward</Rule>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>2</PaymentLag>
        <PaymentConvention>Following</PaymentConvention>
        <FloatingLegData>
          <Index>USD-FedFunds</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20260209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>US-FED</Calendar>
            <Convention>Following</Convention>
            <TermConvention>Following</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
            <Rule>Backward</Rule>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="ois_USD_2D_1D_12Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>Following</PaymentConvention>
        <PaymentLag>2</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.01459</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20280209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>US-FED</Calendar>
            <Convention>Following</Convention>
            <TermConvention>Following</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
            <Rule>Backward</Rule>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>2</PaymentLag>
        <PaymentConvention>Following</PaymentConvention>
        <FloatingLegData>
          <Index>USD-FedFunds</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20280209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>US-FED</Calendar>
            <Convention>Following</Convention>
            <TermConvention>Following</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
            <Rule>Backward</Rule>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="ois_USD_2D_1D_15Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>Following</PaymentConvention>
        <PaymentLag>2</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.016029</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20310209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>US-FED</Calendar>
            <Convention>Following</Convention>
            <TermConvention>Following</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
            <Rule>Backward</Rule>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>2</PaymentLag>
        <PaymentConvention>Following</PaymentConvention>
        <FloatingLegData>
          <Index>USD-FedFunds</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20310209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>US-FED</Calendar>
            <Convention>Following</Convention>
            <TermConvention>Following</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
            <Rule>Backward</Rule>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="ois_USD_2D_1D_20Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>Following</PaymentConvention>
        <PaymentLag>2</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.01734</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20360209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>US-FED</Calendar>
            <Convention>Following</Convention>
            <TermConvention>Following</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
            <Rule>Backward</Rule>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>2</PaymentLag>
        <PaymentConvention>Following</PaymentConvention>
        <FloatingLegData>
          <Index>USD-FedFunds</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20360209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>US-FED</Calendar>
            <Convention>Following</Convention>
            <TermConvention>Following</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
            <Rule>Backward</Rule>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="ois_USD_2D_1D_25Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>Following</PaymentConvention>
        <PaymentLag>2</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.01804</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20410209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>US-FED</Calendar>
            <Convention>Following</Convention>
            <TermConvention>Following</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
            <Rule>Backward</Rule>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>2</PaymentLag>
        <PaymentConvention>Following</PaymentConvention>
        <FloatingLegData>
          <Index>USD-FedFunds</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20410209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>US-FED</Calendar>
            <Convention>Following</Convention>
            <TermConvention>Following</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
            <Rule>Backward</Rule>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="ois_USD_2D_1D_30Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>Following</PaymentConvention>
        <PaymentLag>2</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.018326</Rate>
          </Rates>
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        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20460209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>US-FED</Calendar>
            <Convention>Following</Convention>
            <TermConvention>Following</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
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            <Rule>Backward</Rule>
          </Rules>
        </ScheduleData>
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      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>2</PaymentLag>
        <PaymentConvention>Following</PaymentConvention>
        <FloatingLegData>
          <Index>USD-FedFunds</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20460209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>US-FED</Calendar>
            <Convention>Following</Convention>
            <TermConvention>Following</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
            <Rule>Backward</Rule>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="FRA_USD_3M_3M">
    <TradeType>ForwardRateAgreement</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <ForwardRateAgreementData>
      <StartDate>2016-05-09</StartDate>
      <EndDate>2016-08-09</EndDate>
      <Currency>USD</Currency>
      <Index>USD-LIBOR-3M</Index>
      <LongShort>Long</LongShort>
      <Strike>0.008132</Strike>
      <Notional>1132337.0</Notional>
    </ForwardRateAgreementData>
  </Trade>
  <Trade id="FRA_USD_6M_3M">
    <TradeType>ForwardRateAgreement</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <ForwardRateAgreementData>
      <StartDate>2016-08-09</StartDate>
      <EndDate>2016-11-09</EndDate>
      <Currency>USD</Currency>
      <Index>USD-LIBOR-3M</Index>
      <LongShort>Long</LongShort>
      <Strike>0.00858</Strike>
      <Notional>1132337.0</Notional>
    </ForwardRateAgreementData>
  </Trade>
  <Trade id="FRA_USD_9M_3M">
    <TradeType>ForwardRateAgreement</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <ForwardRateAgreementData>
      <StartDate>2016-11-09</StartDate>
      <EndDate>2017-02-09</EndDate>
      <Currency>USD</Currency>
      <Index>USD-LIBOR-3M</Index>
      <LongShort>Long</LongShort>
      <Strike>0.009141</Strike>
      <Notional>1132337.0</Notional>
    </ForwardRateAgreementData>
  </Trade>
  <Trade id="FRA_USD_1Y_3M">
    <TradeType>ForwardRateAgreement</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <ForwardRateAgreementData>
      <StartDate>2017-02-09</StartDate>
      <EndDate>2017-05-09</EndDate>
      <Currency>USD</Currency>
      <Index>USD-LIBOR-3M</Index>
      <LongShort>Long</LongShort>
      <Strike>0.009594</Strike>
      <Notional>1132337.0</Notional>
    </ForwardRateAgreementData>
  </Trade>
  <Trade id="Swap_USD_3M_2Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.009268</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20180209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>USD-LIBOR-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20180209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_USD_3M_3Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.010244</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20190209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>USD-LIBOR-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20190209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_USD_3M_4Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.011307</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20200209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>USD-LIBOR-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20200209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_USD_3M_5Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.012404</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20210209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>USD-LIBOR-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20210209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_USD_3M_6Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.013502</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20220209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>USD-LIBOR-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20220209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_USD_3M_7Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.014357</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20230209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>USD-LIBOR-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20230209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_USD_3M_8Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.015181</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20240209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>USD-LIBOR-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20240209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_USD_3M_9Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.016063</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20250209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>USD-LIBOR-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20250209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_USD_3M_10Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.016805</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20260209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>USD-LIBOR-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20260209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_USD_3M_12Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
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    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
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        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.018038</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20280209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>USD-LIBOR-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20280209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_USD_3M_15Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.019323</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20310209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>USD-LIBOR-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20310209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_USD_3M_20Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.020666</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20360209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>USD-LIBOR-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20360209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_USD_3M_25Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
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        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.021296</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20410209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>USD-LIBOR-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20410209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_USD_3M_30Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.021745</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20460209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>1132337.0</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>USD-LIBOR-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20460209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="FRA_USD_6M_6M">
    <TradeType>ForwardRateAgreement</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <ForwardRateAgreementData>
      <StartDate>2016-08-09</StartDate>
      <EndDate>2017-02-09</EndDate>
      <Currency>USD</Currency>
      <Index>USD-LIBOR-6M</Index>
      <LongShort>Long</LongShort>
      <Strike>0.00963</Strike>
      <Notional>1132337.0</Notional>
    </ForwardRateAgreementData>
  </Trade>
  <Trade id="FRA_USD_1Y_6M">
    <TradeType>ForwardRateAgreement</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <ForwardRateAgreementData>
      <StartDate>2017-02-09</StartDate>
      <EndDate>2017-08-09</EndDate>
      <Currency>USD</Currency>
      <Index>USD-LIBOR-6M</Index>
      <LongShort>Long</LongShort>
      <Strike>0.009781</Strike>
      <Notional>1132337.0</Notional>
    </ForwardRateAgreementData>
  </Trade>
  <Trade id="ois_GBP_0D_1D_1W">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>GBP</Currency>
        <Notionals>
          <Notional>811938.0</Notional>
        </Notionals>
        <DayCounter>A365</DayCounter>
        <PaymentConvention>Following</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.005821</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160205</StartDate>
            <EndDate>20160212</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>GBP</Calendar>
            <Convention>Following</Convention>
            <TermConvention>Following</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
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  <Trade id="BasisSwap_6M_3M_GBP_20Y">
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      <CounterParty>CPTY_A</CounterParty>
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  <Trade id="ois_JPY_2D_1D_4Y">
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    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
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    <SwapData>
      <LegData>
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        <Payer>false</Payer>
        <Currency>JPY</Currency>
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          <Notional>128150460.00000001</Notional>
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        <DayCounter>A360</DayCounter>
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        <PaymentLag>1</PaymentLag>
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        <ScheduleData>
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            <EndDate>20200209</EndDate>
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            <Calendar>JPY</Calendar>
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            <TermConvention>Following</TermConvention>
            <EndOfMonth/>
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            <LastDate/>
            <Rule>Backward</Rule>
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      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>JPY</Currency>
        <Notionals>
          <Notional>128150460.00000001</Notional>
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        <DayCounter>A365F</DayCounter>
        <PaymentLag>1</PaymentLag>
        <PaymentConvention>Following</PaymentConvention>
        <FloatingLegData>
          <Index>JPY-TONAR</Index>
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        <ScheduleData>
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            <EndDate>20200209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>JPY</Calendar>
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            <TermConvention>Following</TermConvention>
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  <Trade id="ois_JPY_2D_1D_5Y">
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    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
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    <SwapData>
      <LegData>
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        <Payer>false</Payer>
        <Currency>JPY</Currency>
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          <Notional>128150460.00000001</Notional>
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        <DayCounter>A360</DayCounter>
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        <PaymentLag>1</PaymentLag>
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      <LegData>
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        <Payer>true</Payer>
        <Currency>JPY</Currency>
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          <Notional>128150460.00000001</Notional>
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        <DayCounter>A365F</DayCounter>
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  <Trade id="ois_JPY_2D_1D_7Y">
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    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
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    <SwapData>
      <LegData>
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        <Payer>false</Payer>
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          <Notional>128150460.00000001</Notional>
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        <DayCounter>A360</DayCounter>
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        <PaymentLag>1</PaymentLag>
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        <ScheduleData>
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      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>JPY</Currency>
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          <Notional>128150460.00000001</Notional>
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        <DayCounter>A365F</DayCounter>
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  <Trade id="ois_JPY_2D_1D_10Y">
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    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
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    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>JPY</Currency>
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          <Notional>128150460.00000001</Notional>
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        <DayCounter>A360</DayCounter>
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        <PaymentLag>1</PaymentLag>
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            <Rate>0.000587</Rate>
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      <LegData>
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        <Payer>true</Payer>
        <Currency>JPY</Currency>
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          <Notional>128150460.00000001</Notional>
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        <DayCounter>A365F</DayCounter>
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  <Trade id="ois_JPY_2D_1D_12Y">
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      <CounterParty>CPTY_A</CounterParty>
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        <Currency>JPY</Currency>
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          <Notional>128150460.00000001</Notional>
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  <Trade id="ois_JPY_2D_1D_15Y">
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      <CounterParty>CPTY_A</CounterParty>
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          <Notional>128150460.00000001</Notional>
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  <Trade id="ois_JPY_2D_1D_20Y">
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      <CounterParty>CPTY_A</CounterParty>
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      <LegData>
        <LegType>Fixed</LegType>
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        <DayCounter>A360</DayCounter>
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      <LegData>
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          <Notional>128150460.00000001</Notional>
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  <Trade id="ois_JPY_2D_1D_25Y">
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      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
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          <Notional>128150460.00000001</Notional>
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        <DayCounter>A360</DayCounter>
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            <Rate>0.007</Rate>
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      <LegData>
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        <Payer>true</Payer>
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          <Notional>128150460.00000001</Notional>
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        <DayCounter>A365F</DayCounter>
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            <Spread>0</Spread>
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          <FixingDays>2</FixingDays>
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  <Trade id="ois_JPY_2D_1D_30Y">
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      <CounterParty>CPTY_A</CounterParty>
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      <LegData>
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      <LegData>
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          <Notional>128150460.00000001</Notional>
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          <FixingDays>2</FixingDays>
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  <Trade id="Swap_JPY_6M_2Y">
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      <CounterParty>CPTY_A</CounterParty>
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      <LegData>
        <LegType>Fixed</LegType>
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          <Notional>128150460.00000001</Notional>
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          <Rates>
            <Rate>-0.000597</Rate>
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        <ScheduleData>
          <Rules>
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      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>JPY</Currency>
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        <PaymentConvention>MF</PaymentConvention>
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          <Index>JPY-LIBOR-6M</Index>
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            <Spread>0</Spread>
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        </FloatingLegData>
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          <Rules>
            <StartDate>20160209</StartDate>
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            <Tenor>6M</Tenor>
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            <TermConvention>MF</TermConvention>
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            <FirstDate/>
            <LastDate/>
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        </ScheduleData>
      </LegData>
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  <Trade id="Swap_JPY_6M_3Y">
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      <CounterParty>CPTY_A</CounterParty>
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    <SwapData>
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        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>JPY</Currency>
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        <DayCounter>A365</DayCounter>
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          <Rates>
            <Rate>-0.00084</Rate>
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        <ScheduleData>
          <Rules>
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      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>JPY</Currency>
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          <Notional>128150460.00000001</Notional>
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        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>JPY-LIBOR-6M</Index>
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            <Spread>0</Spread>
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          <FixingDays>2</FixingDays>
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            <Calendar>JP,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Swap_JPY_6M_30Y">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>JPY</Currency>
        <Notionals>
          <Notional>128150460.00000001</Notional>
        </Notionals>
        <DayCounter>A365</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <PaymentLag>0</PaymentLag>
        <FixedLegData>
          <Rates>
            <Rate>0.009204</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20460209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>JP,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>JPY</Currency>
        <Notionals>
          <Notional>128150460.00000001</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentLag>0</PaymentLag>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>JPY-LIBOR-6M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20460209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>JP,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
</Portfolio>