<?xml version="1.0"?>
<Portfolio>
  <Trade id="SWAP_EUR_CMSSpread_fbc">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.011244</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <!-- spot start from 20160205, 20Y term -->
            <StartDate>20160209</StartDate>
            <EndDate>20360209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>FormulaBased</LegType>
        <Payer>true</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <FormulaBasedLegData>
          <Index>max({EUR-CMS-10Y}-{EUR-CMS-1Y},0.005)</Index> 
          <FixingDays>2</FixingDays>
        </FormulaBasedLegData>
        <ScheduleData>
          <Rules>
            <!-- spot start 20160205, 20Y term -->
            <StartDate>20160209</StartDate>
            <EndDate>20360209</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="SWAP_EUR_CMSSpread_analytic">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.011244</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <!-- spot start from 20160205, 20Y term -->
            <StartDate>20160209</StartDate>
            <EndDate>20360209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>CMSSpread</LegType>
        <Payer>true</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
       <CMSSpreadLegData>
	 <Index1>EUR-CMS-10Y</Index1>
	 <Index2>EUR-CMS-1Y</Index2>
	 <Caps/>
	 <Floors>
	   <Floor>
	     0.005
	   </Floor>
	 </Floors>
       </CMSSpreadLegData>
        <ScheduleData>
          <Rules>
            <!-- spot start 20160205, 20Y term -->
            <StartDate>20160209</StartDate>
            <EndDate>20360209</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="SWAP_EUR_DigitalCMSSpread_fbc">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>true</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.011244</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <!-- spot start from 20160205, 20Y term -->
            <StartDate>20160209</StartDate>
            <EndDate>20360209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>FormulaBased</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <FormulaBasedLegData>
          <Index>({EUR-CMS-10Y}-{EUR-CMS-1Y}) + 0.01*(gtZero({EUR-CMS-10Y}-{EUR-CMS-1Y}))</Index> 
          <FixingDays>2</FixingDays>
        </FormulaBasedLegData>
        <ScheduleData>
          <Rules>
            <!-- spot start 20160205, 20Y term -->
            <StartDate>20160209</StartDate>
            <EndDate>20360209</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="SWAP_EUR_DigitalCMSSpread_analytic">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>true</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.011244</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20360209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>DigitalCMSSpread</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <DigitalCMSSpreadLegData>
            <CMSSpreadLegData>
              <Index1>EUR-CMS-10Y</Index1>
              <Index2>EUR-CMS-1Y</Index2>
            </CMSSpreadLegData>
            <CallPosition>Long</CallPosition>
            <IsCallATMIncluded>false</IsCallATMIncluded>
            <CallStrikes>
                <Strike>0.0</Strike>
            </CallStrikes>
            <CallPayoffs>
                <Payoff>0.01</Payoff>
            </CallPayoffs>
        </DigitalCMSSpreadLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20360209</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="Bond_FormulaBased">
    <TradeType>Bond</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <BondData>
      <IssuerId>CPTY_A</IssuerId>
      <CreditCurveId>CPTY_A</CreditCurveId>
      <SecurityId>SECURITY_1</SecurityId>
      <ReferenceCurveId>BENCHMARK_EUR</ReferenceCurveId>
      <SettlementDays>2</SettlementDays>
      <Calendar>TARGET</Calendar>
      <IssueDate>20160209</IssueDate>
      <LegData>
        <LegType>FormulaBased</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>ACT/ACT</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FormulaBasedLegData>
          <Index>min(max({EUR-CMS-10Y}-{EUR-CMS-1Y},0.0),0.03)</Index>
          <FixingDays>2</FixingDays>
        </FormulaBasedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20260209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>F</Convention>
            <TermConvention>F</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </BondData>
  </Trade>
</Portfolio>



