<?xml version="1.0"?>
<Portfolio>
  <Trade id="CMS_Spread_Swap">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>CMSSpread</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <CMSSpreadLegData>
          <Index1>EUR-CMS-10Y</Index1>
          <Index2>EUR-CMS-2Y</Index2>
          <IsInArrears>false</IsInArrears>
          <FixingDays>2</FixingDays>
          <Caps>
            <Cap>0.06</Cap>
          </Caps>
          <Floors>
            <Floor>0.00</Floor>
          </Floors>
          <Gearings>
            <Gearing>3.0</Gearing>
          </Gearings>
          <Spreads>
            <Spread>0.0010</Spread>
          </Spreads>
          <NakedOption>false</NakedOption>
        </CMSSpreadLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20161028</StartDate>
            <EndDate>20351028</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>F</Convention>
            <TermConvention>F</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>EUR-EURIBOR-6M</Index>
          <Spreads>
            <Spread>0.0080</Spread>
          </Spreads>
          <IsInArrears>false</IsInArrears>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20161028</StartDate>
            <EndDate>20351028</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Digital_CMS_Spread">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>DigitalCMSSpread</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <DigitalCMSSpreadLegData>
            <CMSSpreadLegData>
              <Index1>EUR-CMS-10Y</Index1>
              <Index2>EUR-CMS-2Y</Index2>
              <IsInArrears>true</IsInArrears>
              <FixingDays>2</FixingDays>
              <Gearings>
                <Gearing>3.0</Gearing>
              </Gearings>
              <Spreads>
                <Spread>0.0010</Spread>
              </Spreads>
            </CMSSpreadLegData>
            <CallPosition>Long</CallPosition>
            <IsCallATMIncluded>false</IsCallATMIncluded>
            <CallStrikes>
                <Strike>0.0001</Strike>
            </CallStrikes>
            <CallPayoffs>
                <Payoff>0.0001</Payoff>
            </CallPayoffs>
            <PutPosition>Long</PutPosition>
            <IsPutATMIncluded>false</IsPutATMIncluded>
            <PutStrikes>
                <Strike>0.001</Strike>
            </PutStrikes>
            <PutPayoffs>
                <Payoff>0.001</Payoff>
            </PutPayoffs>
        </DigitalCMSSpreadLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20180424</StartDate>
            <EndDate>20200424</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>EUR-EURIBOR-6M</Index>
          <Spreads>
            <Spread>0.0080</Spread>
          </Spreads>
          <IsInArrears>true</IsInArrears>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20180424</StartDate>
            <EndDate>20200424</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
</Portfolio>
