<Portfolio>
  <Trade id="ZeroBond_long">
    <TradeType>Bond</TradeType>
    <Envelope>
      <CounterParty>CPTY</CounterParty>
      <NettingSetId />
      <AdditionalFields />
    </Envelope>
    <BondData>
      <IssuerId>CPTY</IssuerId>
      <CreditCurveId>USD.CSB.DEFAULT_CURVE_SHIFTED</CreditCurveId>
      <SecurityId>SECURITY_1</SecurityId>
      <ReferenceCurveId>USD-FedFunds</ReferenceCurveId>
      <SettlementDays>2</SettlementDays>
      <Calendar>TARGET</Calendar>
      <IssueDate>20160203</IssueDate>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>ACT/ACT</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.00</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>2021-02-05</StartDate>
            <EndDate>2052-03-01</EndDate>
            <Tenor>32Y</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>F</Convention>
            <TermConvention>F</TermConvention>
            <Rule>Zero</Rule>
            <EndOfMonth />
            <FirstDate />
            <LastDate />
          </Rules>
        </ScheduleData>
      </LegData>
    </BondData>
  </Trade>
  <Trade id="ZeroBond_short">
    <TradeType>Bond</TradeType>
    <Envelope>
      <CounterParty>CPTY</CounterParty>
      <NettingSetId />
      <AdditionalFields />
    </Envelope>
    <BondData>
      <IssuerId>CPTY</IssuerId>
      <CreditCurveId>USD.CSB.DEFAULT_CURVE_SHIFTED</CreditCurveId>
      <SecurityId>SECURITY_1</SecurityId>
      <ReferenceCurveId>USD-FedFunds</ReferenceCurveId>
      <SettlementDays>2</SettlementDays>
      <Calendar>TARGET</Calendar>
      <IssueDate>20160203</IssueDate>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>ACT/ACT</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.00</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>2021-02-05</StartDate>
            <EndDate>2032-03-01</EndDate>
            <Tenor>12Y</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>F</Convention>
            <TermConvention>F</TermConvention>
            <Rule>Zero</Rule>
            <EndOfMonth />
            <FirstDate />
            <LastDate />
          </Rules>
        </ScheduleData>
      </LegData>
    </BondData>
  </Trade>
</Portfolio>
