<?xml version="1.0"?>
<ReferenceData>
  <ReferenceDatum id="SECURITY_CALL">
    <Type>CallableBond</Type>
    <CallableBondReferenceData>
      <BondData>
      <IssuerId>CPTY_C</IssuerId>
      <CreditCurveId>CPTY_A</CreditCurveId>
      <ReferenceCurveId>EUR-EURIBOR-3M</ReferenceCurveId>
      <SettlementDays>2</SettlementDays>
      <Calendar>TARGET</Calendar>
      <IssueDate>20110215</IssueDate>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>1</Notional>
        </Notionals>
        <DayCounter>ActActISMA</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.025</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20110225</StartDate>
            <EndDate>20240225</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>F</Convention>
            <TermConvention>F</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      </BondData>
      <CallData>
        <Styles>
          <Style>American</Style>
        </Styles>
        <ScheduleData>
          <Dates>
            <Dates>
              <Date>2020-10-25</Date>
              <Date>2021-10-25</Date>
              <Date>2022-10-25</Date>
            </Dates>
          </Dates>
        </ScheduleData>
        <Prices>
          <Price>1.0</Price>
          <Price>1.0</Price>
          <Price>1.0</Price>
        </Prices>
        <PriceTypes>
          <PriceType>Clean</PriceType>
        </PriceTypes>
        <IncludeAccruals>
          <IncludeAccrual>true</IncludeAccrual>
        </IncludeAccruals>
      </CallData>
    </CallableBondReferenceData>
  </ReferenceDatum>
  <ReferenceDatum id="SECURITY_PUT">
    <Type>CallableBond</Type>
    <CallableBondReferenceData>
      <BondData>
      <IssuerId>CPTY_C</IssuerId>
      <CreditCurveId>CPTY_A</CreditCurveId>
      <ReferenceCurveId>EUR-EURIBOR-3M</ReferenceCurveId>
      <SettlementDays>2</SettlementDays>
      <Calendar>TARGET</Calendar>
      <IssueDate>20110215</IssueDate>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>1</Notional>
        </Notionals>
        <DayCounter>ActActISMA</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.025</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20110225</StartDate>
            <EndDate>20240225</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>F</Convention>
            <TermConvention>F</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      </BondData>
      <PutData>
        <Styles>
          <Style>American</Style>
        </Styles>
        <ScheduleData>
          <Dates>
            <Dates>
              <Date>2020-10-25</Date>
              <Date>2021-10-25</Date>
              <Date>2022-10-25</Date>
            </Dates>
          </Dates>
        </ScheduleData>
        <Prices>
          <Price>1.0</Price>
          <Price>1.0</Price>
          <Price>1.0</Price>
        </Prices>
        <PriceTypes>
          <PriceType>Clean</PriceType>
        </PriceTypes>
        <IncludeAccruals>
          <IncludeAccrual>true</IncludeAccrual>
        </IncludeAccruals>
      </PutData>
    </CallableBondReferenceData>
  </ReferenceDatum>
  <ReferenceDatum id="SECURITY_PUTCALL">
    <Type>CallableBond</Type>
    <CallableBondReferenceData>
      <BondData>
      <IssuerId>CPTY_C</IssuerId>
      <CreditCurveId>CPTY_A</CreditCurveId>
      <ReferenceCurveId>EUR-EURIBOR-3M</ReferenceCurveId>
      <SettlementDays>2</SettlementDays>
      <Calendar>TARGET</Calendar>
      <IssueDate>20110215</IssueDate>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>1</Notional>
        </Notionals>
        <DayCounter>ActActISMA</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.025</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20110225</StartDate>
            <EndDate>20240225</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>F</Convention>
            <TermConvention>F</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      </BondData>
      <PutData>
        <Styles>
          <Style>American</Style>
        </Styles>
        <ScheduleData>
          <Dates>
            <Dates>
              <Date>2020-10-25</Date>
              <Date>2021-10-25</Date>
              <Date>2022-10-25</Date>
            </Dates>
          </Dates>
        </ScheduleData>
        <Prices>
          <Price>1.2</Price>
          <Price>1.0</Price>
          <Price>1.0</Price>
        </Prices>
        <PriceTypes>
          <PriceType>Clean</PriceType>
        </PriceTypes>
        <IncludeAccruals>
          <IncludeAccrual>true</IncludeAccrual>
        </IncludeAccruals>
      </PutData>
      <CallData>
        <Styles>
          <Style>American</Style>
        </Styles>
        <ScheduleData>
          <Dates>
            <Dates>
              <Date>2020-10-25</Date>
              <Date>2021-10-25</Date>
              <Date>2022-10-25</Date>
            </Dates>
          </Dates>
        </ScheduleData>
        <Prices>
          <Price>1.0</Price>
          <Price>0.5</Price>
          <Price>1.0</Price>
        </Prices>
        <PriceTypes>
          <PriceType>Clean</PriceType>
        </PriceTypes>
        <IncludeAccruals>
          <IncludeAccrual>true</IncludeAccrual>
        </IncludeAccruals>
      </CallData>
    </CallableBondReferenceData>
  </ReferenceDatum>
  <ReferenceDatum id="SECURITY_NOCALL">
    <Type>CallableBond</Type>
    <CallableBondReferenceData>
      <BondData>
      <IssuerId>CPTY_C</IssuerId>
      <CreditCurveId>CPTY_A</CreditCurveId>
      <ReferenceCurveId>EUR-EURIBOR-3M</ReferenceCurveId>
      <SettlementDays>2</SettlementDays>
      <Calendar>TARGET</Calendar>
      <IssueDate>20110215</IssueDate>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>1</Notional>
        </Notionals>
        <DayCounter>ActActISMA</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.025</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20110225</StartDate>
            <EndDate>20240225</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>F</Convention>
            <TermConvention>F</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      </BondData>
      <CallData>
        <Styles>
          <Style>American</Style>
        </Styles>
        <ScheduleData>
          <Dates>
            <Dates>
              <Date>2020-10-25</Date>
              <Date>2021-10-25</Date>
              <Date>2022-10-25</Date>
            </Dates>
          </Dates>
        </ScheduleData>
        <Prices>
          <Price>5.0</Price>
          <Price>5.0</Price>
          <Price>5.0</Price>
        </Prices>
        <PriceTypes>
          <PriceType>Clean</PriceType>
        </PriceTypes>
        <IncludeAccruals>
          <IncludeAccrual>true</IncludeAccrual>
        </IncludeAccruals>
      </CallData>
    </CallableBondReferenceData>
  </ReferenceDatum>
  <ReferenceDatum id="SECURITY_CERTAINCALL">
    <Type>CallableBond</Type>
    <CallableBondReferenceData>
      <BondData>
      <IssuerId>CPTY_C</IssuerId>
      <CreditCurveId>CPTY_A</CreditCurveId>
      <ReferenceCurveId>EUR-EURIBOR-3M</ReferenceCurveId>
      <SettlementDays>2</SettlementDays>
      <Calendar>TARGET</Calendar>
      <IssueDate>20110215</IssueDate>
      <LegData>
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        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
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        </Notionals>
        <DayCounter>ActActISMA</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.025</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20110225</StartDate>
            <EndDate>20240225</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>F</Convention>
            <TermConvention>F</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      </BondData>
      <CallData>
        <Styles>
          <Style>American</Style>
        </Styles>
        <ScheduleData>
          <Dates>
            <Dates>
              <Date>2020-10-25</Date>
              <Date>2021-10-25</Date>
              <Date>2022-10-25</Date>
            </Dates>
          </Dates>
        </ScheduleData>
        <Prices>
          <Price>5.0</Price>
          <Price>0.5</Price>
          <Price>5.0</Price>
        </Prices>
        <PriceTypes>
          <PriceType>Clean</PriceType>
        </PriceTypes>
        <IncludeAccruals>
          <IncludeAccrual>true</IncludeAccrual>
        </IncludeAccruals>
      </CallData>
    </CallableBondReferenceData>
  </ReferenceDatum>
  <ReferenceDatum id="SECURITY_1_STRIPPED">
    <Type>Bond</Type>
    <BondReferenceData>
      <IssuerId>CPTY_C</IssuerId>
      <CreditCurveId>CPTY_A</CreditCurveId>
      <ReferenceCurveId>EUR-EURIBOR-3M</ReferenceCurveId>
      <SettlementDays>2</SettlementDays>
      <Calendar>TARGET</Calendar>
      <IssueDate>20110215</IssueDate>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>1</Notional>
        </Notionals>
        <DayCounter>ActActISMA</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.025</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20110225</StartDate>
            <EndDate>20240225</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>F</Convention>
            <TermConvention>F</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </BondReferenceData>
  </ReferenceDatum>
</ReferenceData>
