<?xml version="1.0"?>
<Portfolio>
  <Trade id="SWAP_EUR">
    <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>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="CDS">
    <TradeType>CreditDefaultSwap</TradeType>
    <Envelope>
      <CounterParty>CPTY_B</CounterParty>
      <NettingSetId>CPTY_B</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <CreditDefaultSwapData>
      <IssuerId>CPTY_A</IssuerId>
      <CreditCurveId>CPTY_A</CreditCurveId>
      <SettlesAccrual>Y</SettlesAccrual>
      <PaysAtDefaultTime>Y</PaysAtDefaultTime>
      <ProtectionStart>20160206</ProtectionStart>
      <UpfrontDate>20160208</UpfrontDate>
      <UpfrontFee>0.0</UpfrontFee>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>true</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.006</Rate>
          </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>
  <Trade id="INDEX_CDS">
    <TradeType>IndexCreditDefaultSwap</TradeType>
    <Envelope>
      <CounterParty>CPTY_B</CounterParty>
      <NettingSetId>CPTY_B</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <IndexCreditDefaultSwapData>
      <CreditCurveId>CPTY_C</CreditCurveId>
      <SettlesAccrual>Y</SettlesAccrual>
      <PaysAtDefaultTime>Y</PaysAtDefaultTime>
      <ProtectionStart>20160206</ProtectionStart>
      <UpfrontDate>20160208</UpfrontDate>
      <UpfrontFee>0.0</UpfrontFee>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>true</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.006</Rate>
          </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>
      <BasketData>
        <Name>
          <IssuerId>CPTY_1</IssuerId>
          <Qualifier>SECURITY_1</Qualifier>
          <CreditCurveId>CPTY_1</CreditCurveId>
          <Notional>100000.0</Notional>
          <Currency>EUR</Currency>
        </Name>
        <Name>
          <IssuerId>CPTY_2</IssuerId>
          <Qualifier>SECURITY_2</Qualifier>
          <CreditCurveId>CPTY_2</CreditCurveId>
          <Notional>100000.0</Notional>
          <Currency>EUR</Currency>
        </Name>
        <Name>
          <IssuerId>CPTY_3</IssuerId>
          <Qualifier>SECURITY_3</Qualifier>
          <CreditCurveId>CPTY_3</CreditCurveId>
          <Notional>100000.0</Notional>
          <Currency>EUR</Currency>
        </Name>
      </BasketData>
    </IndexCreditDefaultSwapData>
  </Trade>
  <Trade id="INDEX_CDS_TRANCHE">
    <TradeType>SyntheticCDO</TradeType>
    <Envelope>
      <CounterParty>CPTY_B</CounterParty>
      <NettingSetId>CPTY_B</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <CdoData>
      <Qualifier>CDXIG</Qualifier>
      <SettlesAccrual>Y</SettlesAccrual>
      <PaysAtDefaultTime>Y</PaysAtDefaultTime>
      <ProtectionStart>20160206</ProtectionStart>
      <UpfrontDate>20160208</UpfrontDate>
      <UpfrontFee>0.0</UpfrontFee>
      <AttachmentPoint>0.0</AttachmentPoint>
      <DetachmentPoint>0.1</DetachmentPoint>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>true</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>300000.000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.0265</Rate>
          </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>
      <BasketData>
        <Name>
          <IssuerId>CPTY_1</IssuerId>
          <Qualifier>SECURITY_1</Qualifier>
          <CreditCurveId>CPTY_1</CreditCurveId>
          <Notional>1000000.0</Notional>
          <Currency>EUR</Currency>
        </Name>
        <Name>
          <IssuerId>CPTY_2</IssuerId>
          <Qualifier>SECURITY_2</Qualifier>
          <CreditCurveId>CPTY_2</CreditCurveId>
          <Notional>1000000.0</Notional>
          <Currency>EUR</Currency>
        </Name>
        <Name>
          <IssuerId>CPTY_3</IssuerId>
          <Qualifier>SECURITY_3</Qualifier>
          <CreditCurveId>CPTY_3</CreditCurveId>
          <Notional>1000000.0</Notional>
          <Currency>EUR</Currency>
        </Name>
      </BasketData>
    </CdoData>
  </Trade>
    <!-- 6M expiry option on 5Y Index CDS -->
  <Trade id="INDEX_CDS_OPTION">
    <TradeType>IndexCreditDefaultSwapOption</TradeType>
    <Envelope>
      <CounterParty>CPTY_B</CounterParty>
      <NettingSetId>CPTY_B</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <IndexCreditDefaultSwapOptionData>
      <Strike>0.0060</Strike>
      <OptionData>
        <LongShort>Long</LongShort>
        <OptionType>Call</OptionType>
        <Style>European</Style>
        <Settlement>Cash</Settlement>
        <PayOffAtExpiry>false</PayOffAtExpiry>
        <ExerciseDates>
          <ExerciseDate>2016-08-03</ExerciseDate>
        </ExerciseDates>
      </OptionData>
      <IndexCreditDefaultSwapData>
        <CreditCurveId>CDXIG</CreditCurveId>
        <SettlesAccrual>Y</SettlesAccrual>
        <PaysAtDefaultTime>Y</PaysAtDefaultTime>
        <ProtectionStart>20160804</ProtectionStart>
        <UpfrontDate/>
        <UpfrontFee>0.0</UpfrontFee>
        <LegData>
          <LegType>Fixed</LegType>
          <Payer>true</Payer>
          <Currency>EUR</Currency>
          <Notionals>
            <Notional>300000.000000</Notional>
          </Notionals>
          <DayCounter>A360</DayCounter>
          <PaymentConvention>F</PaymentConvention>
          <FixedLegData>
            <Rates>
              <Rate>0.0060</Rate>
            </Rates>
          </FixedLegData>
          <ScheduleData>
            <Rules>
              <StartDate>20160804</StartDate>
              <EndDate>20210803</EndDate>
              <Tenor>3M</Tenor>
              <Calendar>US</Calendar>
              <Convention>F</Convention>
              <TermConvention>F</TermConvention>
              <Rule>CDS2015</Rule>
              <EndOfMonth/>
              <FirstDate/>
              <LastDate/>
            </Rules>
          </ScheduleData>
        </LegData>
        <BasketData>
          <Name>
            <IssuerId>CPTY_1</IssuerId>
            <Qualifier>SECURITY_1</Qualifier>
            <CreditCurveId>CPTY_1</CreditCurveId>
            <Notional>100000.0</Notional>
            <Currency>EUR</Currency>
          </Name>
          <Name>
            <IssuerId>CPTY_2</IssuerId>
            <Qualifier>SECURITY_2</Qualifier>
            <CreditCurveId>CPTY_2</CreditCurveId>
            <Notional>100000.0</Notional>
            <Currency>EUR</Currency>
          </Name>
          <Name>
            <IssuerId>CPTY_3</IssuerId>
            <Qualifier>SECURITY_3</Qualifier>
            <CreditCurveId>CPTY_3</CreditCurveId>
            <Notional>100000.0</Notional>
            <Currency>EUR</Currency>
          </Name>
        </BasketData>
      </IndexCreditDefaultSwapData>
    </IndexCreditDefaultSwapOptionData>
  </Trade>
  <Trade id="SWAP_EUR_12Y">
    <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>0.009851</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <!-- spot start from 20160205, 12Y term -->
            <StartDate>20160209</StartDate>
            <EndDate>20280209</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, 12Y term -->
            <StartDate>20160209</StartDate>
            <EndDate>20280209</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_USD">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>30/360</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FixedLegData>
          <Rates>
            <Rate>0.016805</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <!-- spot start from 20160205, 20Y term -->
            <StartDate>20160209</StartDate>
            <EndDate>20260209</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>US,UK</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </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>
            <!-- spot start 20160205, 20Y term -->
            <StartDate>20160209</StartDate>
            <EndDate>20260209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>US,UK</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>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>113233700</Notional>
          <!-- 100M USD -->
          <Exchanges>
            <NotionalInitialExchange>true</NotionalInitialExchange>
            <NotionalFinalExchange>true</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>20160209</StartDate>
            <EndDate>20260209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>TARGET,US,UK</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>100000000.0</Notional>
          <!-- <Notional>88312931.5742575</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-3M</Index>
          <Spreads>
            <Spread>-0.006432</Spread>
            <!-- <Spread>-0.00643151</Spread> -->
          </Spreads>
          <IsInArrears>false</IsInArrears>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20260209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>TARGET,US,UK</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>
    </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>
      <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>
      <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>
      <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>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>
      <AdditionalFields/>
    </Envelope>
    <FxOptionData>
      <OptionData>
        <LongShort>Long</LongShort>
        <OptionType>Put</OptionType>
        <Style>European</Style>
        <Settlement>Cash</Settlement>
        <PayOffAtExpiry>false</PayOffAtExpiry>
	<PremiumAmount>1000</PremiumAmount>
	<PremiumCurrency>EUR</PremiumCurrency>
	<PremiumPayDate>2026-03-01</PremiumPayDate>	
        <ExerciseDates>
          <ExerciseDate>2026-03-01</ExerciseDate>
        </ExerciseDates>
      </OptionData>
      <BoughtCurrency>EUR</BoughtCurrency>
      <BoughtAmount>1000000</BoughtAmount>
      <SoldCurrency>USD</SoldCurrency>
      <SoldAmount>1100000</SoldAmount>
    </FxOptionData>
  </Trade>
  <Trade id="SWAPTION">
    <TradeType>Swaption</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwaptionData>
      <OptionData>
        <LongShort>Short</LongShort>
        <OptionType>Call</OptionType>
        <Style>European</Style>
        <Settlement>Physical</Settlement>
        <PayOffAtExpiry>false</PayOffAtExpiry>
	<PremiumAmount>1000</PremiumAmount>
	<PremiumCurrency>EUR</PremiumCurrency>
	<PremiumPayDate>2028-10-01</PremiumPayDate>	
        <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="CAP_USD">
    <TradeType>CapFloor</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <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>20140923</StartDate>
        <EndDate>20260923</EndDate>
            -->
            <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>
      <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>20140923</StartDate>
        <EndDate>20260923</EndDate>
            -->
            <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>
      <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>20140923</StartDate>
        <EndDate>20260923</EndDate>
            -->
            <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>
      <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>20140923</StartDate>
        <EndDate>20260923</EndDate>
            -->
            <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>
      <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="CPI_Swap">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <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>
      <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="EquityOption1">
    <TradeType>EquityOption</TradeType>
    <Envelope>
      <CounterParty>EquityOption1</CounterParty>
      <NettingSetId>EquityOption1</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <EquityOptionData>
      <OptionData>
        <LongShort>Long</LongShort>
        <OptionType>Put</OptionType>
        <Style>European</Style>
        <Settlement>Cash</Settlement>
        <PayOffAtExpiry>false</PayOffAtExpiry>
	<PremiumAmount>1000</PremiumAmount>
	<PremiumCurrency>GBP</PremiumCurrency>
	<PremiumPayDate>16/12/2022</PremiumPayDate>	
        <ExerciseDates>
          <ExerciseDate>16/12/2022</ExerciseDate>
        </ExerciseDates>
      </OptionData>
      <Name>FTSE</Name>
      <Currency>GBP</Currency>
      <Strike>8145.56</Strike>
      <Quantity>311</Quantity>
    </EquityOptionData>
  </Trade>
  <Trade id="EquityOption2">
    <TradeType>EquityOption</TradeType>
    <Envelope>
      <CounterParty>EquityOption2</CounterParty>
      <NettingSetId>EquityOption2</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <EquityOptionData>
      <OptionData>
        <LongShort>Long</LongShort>
        <OptionType>Call</OptionType>
        <Style>European</Style>
        <Settlement>Cash</Settlement>
        <PayOffAtExpiry>false</PayOffAtExpiry>
        <ExerciseDates>
          <ExerciseDate>25/07/2017</ExerciseDate>
        </ExerciseDates>
      </OptionData>
      <Name>SPX</Name>
      <Currency>USD</Currency>
      <Strike>2388.61</Strike>
      <Quantity>7.14</Quantity>
    </EquityOptionData>
  </Trade>
  <Trade id="SWAP_1M_OIS_EUR">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FloatingLegData>
          <Index>EUR-EONIA</Index>
          <Spreads>
            <Spread>0.00014862</Spread>
          </Spreads>
          <IsInArrears>false</IsInArrears>
          <FixingDays>0</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <!-- spot start from 20160205, 10Y term -->
            <StartDate>20160209</StartDate>
            <EndDate>20260209</EndDate>
            <Tenor>1Y</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-1M</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>20260209</EndDate>
            <Tenor>1M</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="SWAP_1M_OIS_EUR_OISLEGBPS">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FloatingLegData>
          <Index>EUR-EONIA</Index>
          <Spreads>
            <Spread>0.0001</Spread>
          </Spreads>
          <Gearings>
            <Gearing>1E-16</Gearing>
          </Gearings>
          <IsInArrears>false</IsInArrears>
          <FixingDays>0</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <!-- spot start from 20160205, 10Y term -->
            <StartDate>20160209</StartDate>
            <EndDate>20260209</EndDate>
            <Tenor>1Y</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="SWAP_SIFMA">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FloatingLegData>
          <Index>USD-LIBOR-3M</Index>
          <Gearings>
            <Gearing>0.8</Gearing>
          </Gearings>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20260209</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>true</Payer>
        <Currency>USD</Currency>
        <Notionals>
          <Notional>10000000.000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <FloatingLegData>
          <Index>USD-SIFMA</Index>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20160209</StartDate>
            <EndDate>20260209</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>USD</Calendar>
            <Convention>F</Convention>
            <TermConvention>F</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="Commodity_Swap">
    <TradeType>CommoditySwap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>CommodityFixed</LegType>
        <Payer>false</Payer>
        <Currency>USD</Currency>
        <PaymentLag>5</PaymentLag>
        <PaymentConvention>Following</PaymentConvention>
        <PaymentCalendar>US-NYSE</PaymentCalendar>
        <CommodityFixedLegData>
          <Prices>
            <Price>-0.38</Price>
          </Prices>
        </CommodityFixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>2019-07-01</StartDate>
            <EndDate>2019-09-30</EndDate>
            <Tenor>1M</Tenor>
            <Calendar>NullCalendar</Calendar>
            <Convention>Unadjusted</Convention>
            <TermConvention>Unadjusted</TermConvention>
            <Rule>Backward</Rule>
            <EndOfMonth>true</EndOfMonth>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>CommodityFloating</LegType>
        <Payer>true</Payer>
        <Currency>USD</Currency>
        <PaymentLag>5</PaymentLag>
        <PaymentConvention>Following</PaymentConvention>
        <PaymentCalendar>US-NYSE</PaymentCalendar>
        <CommodityFloatingLegData>
          <Name>COMDTY_WTI_USD</Name>
          <PriceType>FutureSettlement</PriceType>
          <Quantities>
            <Quantity>5000</Quantity>
          </Quantities>
          <CommodityQuantityFrequency>PerCalendarDay</CommodityQuantityFrequency>
          <IsAveraged>true</IsAveraged>
        </CommodityFloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>2019-07-01</StartDate>
            <EndDate>2019-09-30</EndDate>
            <Tenor>1M</Tenor>
            <Calendar>NullCalendar</Calendar>
            <Convention>Unadjusted</Convention>
            <TermConvention>Unadjusted</TermConvention>
            <Rule>Backward</Rule>
            <EndOfMonth>true</EndOfMonth>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="CommodityOption">
    <TradeType>CommodityOption</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <CommodityOptionData>
      <OptionData>
        <LongShort>Long</LongShort>
        <OptionType>Call</OptionType>
        <Style>European</Style>
        <Settlement>Cash</Settlement>
        <PayOffAtExpiry>false</PayOffAtExpiry>
        <ExerciseDates>
          <ExerciseDate>2021-12-31</ExerciseDate>
        </ExerciseDates>
      </OptionData>
      <Name>COMDTY_WTI_USD</Name>
      <Currency>USD</Currency>
      <Strike>50.01</Strike>
      <Quantity>500000</Quantity>
    </CommodityOptionData>
  </Trade>
</Portfolio>
