<?xml version="1.0"?>
<Portfolio>
  <Trade id="EqCall_SP5">
    <TradeType>EquityOption</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <EquityOptionData>
      <OptionData>
        <LongShort>Long</LongShort>
        <OptionType>Call</OptionType>
        <Style>European</Style>
        <Settlement>Cash</Settlement>
        <PayOffAtExpiry>false</PayOffAtExpiry>
        <ExerciseDates>
          <ExerciseDate>2018-02-05</ExerciseDate>
        </ExerciseDates>
      </OptionData>
      <Name>SP5</Name>
      <Currency>USD</Currency>
      <Strike>2147.56</Strike>
      <Quantity>775</Quantity>
    </EquityOptionData>
  </Trade>
  <Trade id="EqPut_SP5">
    <TradeType>EquityOption</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <EquityOptionData>
      <OptionData>
        <LongShort>Short</LongShort>
        <OptionType>Put</OptionType>
        <Style>European</Style>
        <Settlement>Cash</Settlement>
        <PayOffAtExpiry>false</PayOffAtExpiry>
        <ExerciseDates>
          <ExerciseDate>2018-02-05</ExerciseDate>
        </ExerciseDates>
      </OptionData>
      <Name>SP5</Name>
      <Currency>USD</Currency>
      <Strike>2147.56</Strike>
      <Quantity>775</Quantity>
    </EquityOptionData>
  </Trade>
  <Trade id="EqFwd_SP5">
    <TradeType>EquityForward</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <EquityForwardData>
      <LongShort>Short</LongShort>
      <Maturity>2018-02-05</Maturity>
      <Name>SP5</Name>
      <Currency>USD</Currency>
      <Strike>2147.56</Strike>
      <StrikeCurrency>USD</StrikeCurrency>
      <Quantity>775</Quantity>
    </EquityForwardData>
  </Trade>
  <Trade id="EqCall_Luft">
    <TradeType>EquityOption</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <EquityOptionData>
      <OptionData>
        <LongShort>Long</LongShort>
        <OptionType>Call</OptionType>
        <Style>European</Style>
        <Settlement>Cash</Settlement>
        <PayOffAtExpiry>false</PayOffAtExpiry>
        <ExerciseDates>
          <ExerciseDate>2018-03-01</ExerciseDate>
        </ExerciseDates>
      </OptionData>
      <Name>Lufthansa</Name>
      <Currency>EUR</Currency>
      <Strike>12.24</Strike>
      <Quantity>775</Quantity>
    </EquityOptionData>
  </Trade>
  <Trade id="EqPut_Luft">
    <TradeType>EquityOption</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <EquityOptionData>
      <OptionData>
        <LongShort>Long</LongShort>
        <OptionType>Put</OptionType>
        <Style>European</Style>
        <Settlement>Cash</Settlement>
        <PayOffAtExpiry>false</PayOffAtExpiry>
        <ExerciseDates>
          <ExerciseDate>2018-03-01</ExerciseDate>
        </ExerciseDates>
      </OptionData>
      <Name>Lufthansa</Name>
      <Currency>EUR</Currency>
      <Strike>12.24</Strike>
      <Quantity>775</Quantity>
    </EquityOptionData>
  </Trade>
  <Trade id="EqForwardTrade_Luft">
    <TradeType>EquityForward</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <EquityForwardData>
      <LongShort>Long</LongShort>
      <Maturity>2018-03-01</Maturity>
      <Name>Lufthansa</Name>
      <Currency>EUR</Currency>
      <Strike>12.24</Strike>
      <StrikeCurrency>EUR</StrikeCurrency>
      <Quantity>775</Quantity>
    </EquityForwardData>
  </Trade>
    <Trade id="EquitySwap_1">
    <TradeType>EquitySwap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Equity</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>100000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <EquityLegData>
          <ReturnType>Price</ReturnType>
          <Name>SP5</Name>
          <InitialPrice>2196.5</InitialPrice>
        </EquityLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160205</StartDate>
            <EndDate>20260205</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>USD</Calendar>
            <Convention>F</Convention>
            <TermConvention>F</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>100000000</Notional>
          <Exchanges>
            <NotionalInitialExchange>false</NotionalInitialExchange>
            <NotionalFinalExchange>false</NotionalFinalExchange>
          </Exchanges>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>USD-LIBOR-3M</Index>
          <Spreads>
            <Spread>0.000000</Spread>
          </Spreads>
          <IsInArrears>false</IsInArrears>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160205</StartDate>
            <EndDate>20260205</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>USD</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="EquitySwap_2">
    <TradeType>EquitySwap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Equity</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>100000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <EquityLegData>
          <ReturnType>Total</ReturnType>
          <Name>SP5</Name>
          <DividendFactor>0.8</DividendFactor>
          <InitialPrice>2196.5</InitialPrice>
          <FixingDays>2</FixingDays>
        </EquityLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160205</StartDate>
            <EndDate>20260205</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>USD</Calendar>
            <Convention>F</Convention>
            <TermConvention>F</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>100000000</Notional>
          <Exchanges>
            <NotionalInitialExchange>false</NotionalInitialExchange>
            <NotionalFinalExchange>false</NotionalFinalExchange>
          </Exchanges>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>USD-LIBOR-3M</Index>
          <Spreads>
            <Spread>0.000000</Spread>
          </Spreads>
          <IsInArrears>false</IsInArrears>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160205</StartDate>
            <EndDate>20260205</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>USD</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
</Portfolio>
