<?xml version="1.0"?>
<Portfolio>
  <Trade id="SWAP_EUR">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <PortfolioIds>
        <PortfolioId>PF1</PortfolioId>
      </PortfolioIds>
      <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>0.009851</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules><!-- spot start from 20160205, 20Y term --> 
            <StartDate>20160209</StartDate>
            <EndDate>20360209</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>0.000000</Spread>
          </Spreads>
          <IsInArrears>false</IsInArrears>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <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="CC_SWAP_EUR_USD">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <PortfolioIds>
        <PortfolioId>PF1</PortfolioId>
      </PortfolioIds>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>100000000</Notional>
          <!-- 100M USD -->
          <Exchanges>
            <NotionalInitialExchange>true</NotionalInitialExchange>
            <NotionalFinalExchange>true</NotionalFinalExchange>
          </Exchanges>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>USD-LIBOR-6M</Index>
          <Spreads>
            <Spread>0.000000</Spread>
          </Spreads>
          <IsInArrears>false</IsInArrears>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160205</StartDate>
            <EndDate>20260205</EndDate>
            <Tenor>6M</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>88312931.57</Notional>
          <!-- FX/RATE/EUR/USD 1.132337 => 100M USD = 88,312,931.57 -->
          <Exchanges>
            <NotionalInitialExchange>true</NotionalInitialExchange>
            <NotionalFinalExchange>true</NotionalFinalExchange>
          </Exchanges>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>EUR-EURIBOR-6M</Index>
          <Spreads>
            <Spread>0.015</Spread>
          </Spreads>
          <IsInArrears>false</IsInArrears>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160205</StartDate>
            <EndDate>20260205</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="CC_SWAP_EUR_USD_RESET">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <PortfolioIds>
        <PortfolioId>PF1</PortfolioId>
      </PortfolioIds>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>100000000</Notional>
          <Exchanges>
            <NotionalInitialExchange>true</NotionalInitialExchange>
            <NotionalFinalExchange>true</NotionalFinalExchange>
          </Exchanges>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>USD-LIBOR-6M</Index>
          <Spreads>
            <Spread>0.000000</Spread>
          </Spreads>
          <IsInArrears>false</IsInArrears>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160205</StartDate>
            <EndDate>20260205</EndDate>
            <Tenor>6M</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>88312931.57</Notional>
          <FXReset>
            <ForeignCurrency>USD</ForeignCurrency>
            <ForeignAmount>100000000</ForeignAmount>
            <FXIndex>FX-ECB-EUR-USD</FXIndex>
            <FixingDays>2</FixingDays>
          </FXReset>
          <Exchanges>
            <NotionalInitialExchange>true</NotionalInitialExchange>
            <NotionalFinalExchange>true</NotionalFinalExchange>
          </Exchanges>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>EUR-EURIBOR-6M</Index>
          <Spreads>
            <Spread>0.015</Spread>
          </Spreads>
          <IsInArrears>false</IsInArrears>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160205</StartDate>
            <EndDate>20260205</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="FXFWD_EURUSD_10Y">
    <TradeType>FxForward</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <PortfolioIds>
        <PortfolioId>PF1</PortfolioId>
      </PortfolioIds>
      <AdditionalFields/>
    </Envelope>
    <FxForwardData>
      <ValueDate>2026-03-01</ValueDate>
      <BoughtCurrency>EUR</BoughtCurrency>
      <BoughtAmount>1000000</BoughtAmount>
      <SoldCurrency>USD</SoldCurrency>
      <SoldAmount>1100000</SoldAmount>
    </FxForwardData>
  </Trade>
  <Trade id="FX_CALL_OPTION">
    <TradeType>FxOption</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <PortfolioIds>
        <PortfolioId>PF2</PortfolioId>
      </PortfolioIds>
      <AdditionalFields/>
    </Envelope>
    <FxOptionData>
      <OptionData>
        <LongShort>Long</LongShort>
        <OptionType>Call</OptionType>
        <Style>European</Style>
        <Settlement>Cash</Settlement>
        <PayOffAtExpiry>false</PayOffAtExpiry>
        <ExerciseDates>
          <ExerciseDate>2026-03-01</ExerciseDate>
        </ExerciseDates>
      </OptionData>
      <BoughtCurrency>EUR</BoughtCurrency>
      <BoughtAmount>1000000</BoughtAmount>
      <SoldCurrency>USD</SoldCurrency>
      <SoldAmount>1100000</SoldAmount>
    </FxOptionData>
  </Trade>
  <!--
  <Trade id="FX_CALL_OPTION_USDGBP">
    <TradeType>FxOption</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <PortfolioIds/>
    </Envelope>
    <FxOptionData>
      <OptionData>
        <LongShort>Long</LongShort>
        <OptionType>Call</OptionType>
        <Style>European</Style>
        <Settlement>Cash</Settlement>
        <PayOffAtExpiry>false</PayOffAtExpiry>
        <ExerciseDates>
          <ExerciseDate>2026-03-01</ExerciseDate>
        </ExerciseDates>
      </OptionData>
      <BoughtCurrency>GBP</BoughtCurrency>
      <BoughtAmount>1000000</BoughtAmount>
      <SoldCurrency>USD</SoldCurrency>
      <SoldAmount>1100000</SoldAmount>
    </FxOptionData>
  </Trade>
  -->
  <Trade id="FX_PUT_OPTION">
    <TradeType>FxOption</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <PortfolioIds>
        <PortfolioId>PF2</PortfolioId>
      </PortfolioIds>
      <AdditionalFields/>
    </Envelope>
    <FxOptionData>
      <OptionData>
        <LongShort>Long</LongShort>
        <OptionType>Put</OptionType>
        <Style>European</Style>
        <Settlement>Cash</Settlement>
        <PayOffAtExpiry>false</PayOffAtExpiry>
        <ExerciseDates>
          <ExerciseDate>2026-03-01</ExerciseDate>
        </ExerciseDates>
      </OptionData>
      <BoughtCurrency>EUR</BoughtCurrency>
      <BoughtAmount>1000000</BoughtAmount>
      <SoldCurrency>USD</SoldCurrency>
      <SoldAmount>1100000</SoldAmount>
    </FxOptionData>
  </Trade>
  <Trade id="EUROPEAN_SWAPTION">
    <TradeType>Swaption</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <PortfolioIds>
        <PortfolioId>PF2</PortfolioId>
      </PortfolioIds>
      <AdditionalFields/>
    </Envelope>
    <SwaptionData>
      <OptionData>
        <LongShort>Short</LongShort>
        <OptionType>Call</OptionType>
        <Style>European</Style>
        <Settlement>Physical</Settlement>
        <PayOffAtExpiry>false</PayOffAtExpiry>
        <ExerciseDates>
          <ExerciseDate>2028-10-01</ExerciseDate>
        </ExerciseDates>
      </OptionData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>ModifiedFollowing</PaymentConvention>
        <FloatingLegData>
          <Index>EUR-EURIBOR-3M</Index>
          <Spreads>
            <Spread>0.0</Spread>
          </Spreads>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>2028-10-01</StartDate>
            <EndDate>2038-10-01</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>ModifiedFollowing</Convention>
            <TermConvention>ModifiedFollowing</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000</Notional>
        </Notionals>
        <DayCounter>ACT/ACT</DayCounter>
        <PaymentConvention>Following</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.05</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>2028-10-01</StartDate>
            <EndDate>2038-10-01</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>Following</Convention>
            <TermConvention>Following</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwaptionData>
  </Trade>
  <Trade id="BERMUDAN_SWAPTION">
    <TradeType>Swaption</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <PortfolioIds>
        <PortfolioId>PF2</PortfolioId>
      </PortfolioIds>
      <AdditionalFields/>
    </Envelope>
    <SwaptionData>
      <OptionData>
        <LongShort>Short</LongShort>
        <OptionType>Call</OptionType>
        <Style>Bermudan</Style>
        <Settlement>Physical</Settlement>
        <PayOffAtExpiry>false</PayOffAtExpiry>
        <ExerciseDates>
          <ExerciseDate>2028-10-01</ExerciseDate>
          <ExerciseDate>2029-10-01</ExerciseDate>
          <ExerciseDate>2030-10-01</ExerciseDate>
          <ExerciseDate>2031-10-01</ExerciseDate>
          <ExerciseDate>2032-10-01</ExerciseDate>
          <ExerciseDate>2033-10-01</ExerciseDate>
        </ExerciseDates>
      </OptionData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>ModifiedFollowing</PaymentConvention>
        <FloatingLegData>
          <Index>EUR-EURIBOR-3M</Index>
          <Spreads>
            <Spread>0.0</Spread>
          </Spreads>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>2028-10-01</StartDate>
            <EndDate>2038-10-01</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>ModifiedFollowing</Convention>
            <TermConvention>ModifiedFollowing</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000</Notional>
        </Notionals>
        <DayCounter>ACT/ACT</DayCounter>
        <PaymentConvention>Following</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.05</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>2028-10-01</StartDate>
            <EndDate>2038-10-01</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>Following</Convention>
            <TermConvention>Following</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwaptionData>
  </Trade>
  <Trade id="CAP_USD">
    <TradeType>CapFloor</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <PortfolioIds>
        <PortfolioId>PF2</PortfolioId>
      </PortfolioIds>
      <AdditionalFields/>
    </Envelope>
    <CapFloorData>
      <LongShort>Short</LongShort>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <DayCounter>ACT/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <Notionals>
          <Notional>1000000.00</Notional>
        </Notionals>
        <ScheduleData>
          <Rules>
	    <StartDate>20160209</StartDate><!-- spot start -->
            <EndDate>20260209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>US</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
        <FloatingLegData>
          <Index>USD-LIBOR-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <IsInArrears>false</IsInArrears>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
      </LegData>
      <Caps>
        <Cap>0.04</Cap>
      </Caps>
      <Floors/>
    </CapFloorData>
  </Trade>
  <Trade id="FLOOR_USD">
    <TradeType>CapFloor</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <PortfolioIds>
        <PortfolioId>PF2</PortfolioId>
      </PortfolioIds>
      <AdditionalFields/>
    </Envelope>
    <CapFloorData>
      <LongShort>Long</LongShort>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <DayCounter>ACT/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <Notionals>
          <Notional>1000000.00</Notional>
        </Notionals>
        <ScheduleData>
          <Rules>
	    <StartDate>20160209</StartDate><!-- spot start -->
            <EndDate>20260209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>US</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
        <FloatingLegData>
          <Index>USD-LIBOR-3M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <IsInArrears>false</IsInArrears>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
      </LegData>
      <Caps/>
      <Floors>
        <Floor>0.01</Floor>
      </Floors>
    </CapFloorData>
  </Trade>
  <Trade id="CAP_EUR">
    <TradeType>CapFloor</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <PortfolioIds>
        <PortfolioId>PF2</PortfolioId>
      </PortfolioIds>
      <AdditionalFields/>
    </Envelope>
    <CapFloorData>
      <LongShort>Short</LongShort>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>EUR</Currency>
        <DayCounter>ACT/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <Notionals>
          <Notional>1000000.00</Notional>
        </Notionals>
        <ScheduleData>
          <Rules>
	    <StartDate>20160209</StartDate><!-- spot start -->
            <EndDate>20260209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
        <FloatingLegData>
          <Index>EUR-EURIBOR-6M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <IsInArrears>false</IsInArrears>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
      </LegData>
      <Caps>
        <Cap>0.04</Cap>
      </Caps>
      <Floors/>
    </CapFloorData>
  </Trade>
  <Trade id="FLOOR_EUR">
    <TradeType>CapFloor</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <PortfolioIds>
        <PortfolioId>PF2</PortfolioId>
      </PortfolioIds>
      <AdditionalFields/>
    </Envelope>
    <CapFloorData>
      <LongShort>Long</LongShort>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>EUR</Currency>
        <DayCounter>ACT/360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <Notionals>
          <Notional>1000000.00</Notional>
        </Notionals>
        <ScheduleData>
          <Rules>
	    <StartDate>20160209</StartDate><!-- spot start -->
            <EndDate>20260209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
        <FloatingLegData>
          <Index>EUR-EURIBOR-6M</Index>
          <Spreads>
            <Spread>0</Spread>
          </Spreads>
          <IsInArrears>false</IsInArrears>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
      </LegData>
      <Caps/>
      <Floors>
        <Floor>0.01</Floor>
      </Floors>
    </CapFloorData>
  </Trade>
  <Trade id="BOND">
    <TradeType>Bond</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <PortfolioIds>
        <PortfolioId>PF1</PortfolioId>
      </PortfolioIds>
      <AdditionalFields/>
    </Envelope>
    <BondData>
      <IssuerId>CPTY_C</IssuerId>
      <CreditCurveId>CPTY_C</CreditCurveId>
      <SecurityId>SECURITY_1</SecurityId>
      <ReferenceCurveId>BENCHMARK_EUR</ReferenceCurveId>
      <SettlementDays>2</SettlementDays>
      <Calendar>TARGET</Calendar>
      <IssueDate>20160203</IssueDate>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>ACT/ACT</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.05</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160203</StartDate>
            <EndDate>20210203</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>F</Convention>
            <TermConvention>F</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
     </BondData>
  </Trade>
  <Trade id="Bond_Floating">
    <TradeType>Bond</TradeType>
    <Envelope>
      <CounterParty>CPTY_C</CounterParty>
      <NettingSetId/>
      <AdditionalFields/>
    </Envelope>
    <BondData>
      <IssuerId>CPTY_C</IssuerId>
      <CreditCurveId>CPTY_C</CreditCurveId>
      <SecurityId>SECURITY_1</SecurityId>
      <ReferenceCurveId>EUR-EURIBOR-6M</ReferenceCurveId>
      <SettlementDays>2</SettlementDays>
      <Calendar>TARGET</Calendar>
      <IssueDate>20160203</IssueDate>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>ACT/ACT</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FloatingLegData>
          <Spreads>
            <Spread>0.01</Spread>
            <!-- 100bps -->
          </Spreads>
          <Index>EUR-EURIBOR-6M</Index>
          <IsInArrears>false</IsInArrears>
          <FixingDays>2</FixingDays>
          <Floors>
            <Floor>0.0150</Floor>
          </Floors>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160203</StartDate>
            <EndDate>20210203</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>F</Convention>
            <TermConvention>F</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </BondData>
  </Trade>
  <Trade id="EQ_CALL_SP5">
    <TradeType>EquityOption</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <PortfolioIds>
        <PortfolioId>PF2</PortfolioId>
      </PortfolioIds>
      <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="EQ_PUT_SP5">
    <TradeType>EquityOption</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <PortfolioIds>
        <PortfolioId>PF2</PortfolioId>
      </PortfolioIds>
      <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="EQ_FWD_SP5">
    <TradeType>EquityForward</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <PortfolioIds>
        <PortfolioId>PF1</PortfolioId>
      </PortfolioIds>
      <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="EQ_CALL_LUFT">
    <TradeType>EquityOption</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <PortfolioIds>
        <PortfolioId>PF2</PortfolioId>
      </PortfolioIds>
      <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="EQ_PUT_LUFT">
    <TradeType>EquityOption</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <PortfolioIds>
        <PortfolioId>PF2</PortfolioId>
      </PortfolioIds>
      <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="EQ_FWD_LUFT">
    <TradeType>EquityForward</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <PortfolioIds>
        <PortfolioId>PF1</PortfolioId>
      </PortfolioIds>
      <AdditionalFields/>
    </Envelope>
    <EquityForwardData>
      <LongShort>Long</LongShort>
      <Maturity>2018-03-01</Maturity>
      <Name>Lufthansa</Name>
      <Currency>EUR</Currency>
      <Strike>12.24</Strike>
      <Quantity>775</Quantity>
    </EquityForwardData>
  </Trade>
  <Trade id="CPI_Swap">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <PortfolioIds>
        <PortfolioId>PF1</PortfolioId>
      </PortfolioIds>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>GBP</Currency>
        <Notionals>
          <Notional>10000000</Notional>
        </Notionals>
        <DayCounter>ACT/ACT</DayCounter>
        <PaymentConvention>ModifiedFollowing</PaymentConvention>
        <FloatingLegData>
          <Index>GBP-LIBOR-6M</Index>
          <Spreads>
            <Spread>0.0</Spread>
          </Spreads>
          <IsInArrears>false</IsInArrears>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>2016-07-18</StartDate>
            <EndDate>2021-07-18</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>UK</Calendar>
            <Convention>ModifiedFollowing</Convention>
            <TermConvention>ModifiedFollowing</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>CPI</LegType>
        <Payer>false</Payer>
        <Currency>GBP</Currency>
        <Notionals>
          <Notional>10000000</Notional>
        </Notionals>
        <DayCounter>ACT/ACT</DayCounter>
        <PaymentConvention>Following</PaymentConvention>
        <ScheduleData>
          <Rules>
            <StartDate>2016-07-18</StartDate>
            <EndDate>2021-07-18</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>UK</Calendar>
            <Convention>ModifiedFollowing</Convention>
            <TermConvention>ModifiedFollowing</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
        <CPILegData>
          <Index>UKRPI</Index>
          <Rates>
            <Rate>0.02</Rate>
          </Rates>
          <BaseCPI>210</BaseCPI>
          <ObservationLag>2M</ObservationLag>
          <Interpolation>AsIndex</Interpolation>
        </CPILegData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="YearOnYear_Swap">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <PortfolioIds>
        <PortfolioId>PF1</PortfolioId>
      </PortfolioIds>
       <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000</Notional>
        </Notionals>
        <DayCounter>ACT/360</DayCounter>
        <PaymentConvention>ModifiedFollowing</PaymentConvention>
        <FloatingLegData>
          <Index>EUR-EURIBOR-6M</Index>
          <Spreads>
            <Spread>0.0</Spread>
          </Spreads>
          <IsInArrears>false</IsInArrears>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>2016-07-18</StartDate>
            <EndDate>2021-07-18</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>ModifiedFollowing</Convention>
            <TermConvention>ModifiedFollowing</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>YY</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000</Notional>
        </Notionals>
        <DayCounter>ACT/ACT</DayCounter>
        <PaymentConvention>Following</PaymentConvention>
        <ScheduleData>
          <Rules>
            <StartDate>2016-07-18</StartDate>
            <EndDate>2021-07-18</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>UK</Calendar>
            <Convention>ModifiedFollowing</Convention>
            <TermConvention>ModifiedFollowing</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
        <YYLegData>
          <Index>EUHICPXT</Index>
          <FixingDays>2</FixingDays>
          <ObservationLag>2M</ObservationLag>
        </YYLegData>
      </LegData>
    </SwapData>
  </Trade>
 <Trade id="CDS">
    <TradeType>CreditDefaultSwap</TradeType>
    <Envelope>
      <CounterParty>CPTY_B</CounterParty>
      <NettingSetId>CPTY_B</NettingSetId>
      <PortfolioIds>
        <PortfolioId>PF1</PortfolioId>
      </PortfolioIds>
      <AdditionalFields/>
    </Envelope>
    <CreditDefaultSwapData>
      <IssuerId>CPTY_C</IssuerId>
      <CreditCurveId>BANK</CreditCurveId>
      <SettlesAccrual>Y</SettlesAccrual>
      <PaysAtDefaultTime>Y</PaysAtDefaultTime>
      <ProtectionStart>20160206</ProtectionStart>
      <UpfrontDate>20160208</UpfrontDate>
      <UpfrontFee>0.0</UpfrontFee><!-- expressed as a rate, to be multiplied by notional amount -->
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.01</Rate><!-- running premium, in addition to the upfront fee -->
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160205</StartDate>
            <EndDate>20260205</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>US</Calendar>
            <Convention>F</Convention>
            <TermConvention>F</TermConvention>
            <Rule>CDS2015</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </CreditDefaultSwapData>
  </Trade>
</Portfolio>
