<?xml version='1.0' encoding='UTF-8'?>
<Portfolio>
    <Trade id="Ascot">
        <TradeType>Ascot</TradeType>
        <Envelope>
            <CounterParty>CPTY</CounterParty>
            <NettingSetId>NS</NettingSetId>
            <AdditionalFields>
                <party_id>party</party_id>
                <valuation_date>2025-02-10</valuation_date>
            </AdditionalFields>
        </Envelope>
        <AscotData>
            <!-- The underlying of the ascot. -->
            <ConvertibleBondData>
                <BondData>
                    <!-- The ISIN identifying the underlying convertible bond -->
                    <SecurityId>ISIN:DE000A3H2WP2</SecurityId>
                    <!-- The bond notional on which the option is written. -->
                    <BondNotional>1000000.00</BondNotional>
                </BondData>
            </ConvertibleBondData>
            <!-- The option terms -->
            <OptionData>
                <!-- Long or Short -->
                <LongShort>Long</LongShort>
                <!-- Put or Call -->
                <OptionType>Call</OptionType>
                <!-- only American supported -->
                <Style>American</Style>
                <!-- Physical or Cash -->
                <Settlement>Physical</Settlement>
                <!-- The last possible exercise date -->
                <ExerciseDates>
                    <ExerciseDate>2030-10-08</ExerciseDate>
                </ExerciseDates>
                <!-- The option premiumn paid by the option holder -->
                <Premiums>
                    <Premium>
                        <Amount>166000</Amount>
                        <Currency>EUR</Currency>
                        <PayDate>2021-10-10</PayDate>
                    </Premium>
                </Premiums>
            </OptionData>
            <!-- The reference swap funding leg, the asset leg is implied from the bond data. Payer should be false,
             i.e. the swap is entered from the viewpoint of the asset swap buyer. -->
            <ReferenceSwapData>
                <LegData>
                    <LegType>Floating</LegType>
                    <Payer>false</Payer>
                    <Currency>EUR</Currency>
                    <Notionals>
                        <Notional>1000000.00</Notional>
                    </Notionals>
                    <DayCounter>A360</DayCounter>
                    <PaymentConvention>ModifiedFollowing</PaymentConvention>
                    <FloatingLegData>
                        <Index>EUR-EURIBOR-3M</Index>
                        <!-- The recall spread goes here. -->
                        <Spreads>
                            <Spread>0.02</Spread>
                        </Spreads>
                    </FloatingLegData>
                    <ScheduleData>
                        <Rules>
                            <StartDate>2021-10-08</StartDate>
                            <EndDate>2030-10-08</EndDate>
                            <Tenor>3M</Tenor>
                            <Calendar>TARGET</Calendar>
                            <Convention>ModifiedFollowing</Convention>
                            <Rule>Backward</Rule>
                        </Rules>
                    </ScheduleData>
                </LegData>
            </ReferenceSwapData>
        </AscotData>
    </Trade>
    <Trade id="ConvertibleBond">
        <TradeType>ConvertibleBond</TradeType>
        <Envelope>
            <CounterParty>CPTY</CounterParty>
            <NettingSetId>NS</NettingSetId>
            <AdditionalFields>
                <party_id>party</party_id>
                <valuation_date>2025-02-10</valuation_date>
            </AdditionalFields>
        </Envelope>
        <!-- The underlying of the ascot. -->
        <ConvertibleBondData>
            <BondData>
                <!-- The ISIN identifying the underlying convertible bond -->
                <SecurityId>ISIN:US531229AR32</SecurityId>
                <!-- The bond notional on which the option is written. -->
                <BondNotional>1000000.00</BondNotional>
            </BondData>
        </ConvertibleBondData>
    </Trade>
    <Trade id="AssetSwap">
        <TradeType>Swap</TradeType>
        <Envelope>
            <CounterParty>CPTY</CounterParty>
            <NettingSetId>NS</NettingSetId>
            <AdditionalFields>
                <party_id>party</party_id>
                <valuation_date>2025-02-10</valuation_date>
            </AdditionalFields>
        </Envelope>
        <SwapData>
            <LegData>
                <LegType>Floating</LegType>
                <Payer>true</Payer>
                <Currency>EUR</Currency>
                <Notionals>
                    <Notional>1000000.00</Notional>
                </Notionals>
                <DayCounter>ACT/ACT</DayCounter>
                <PaymentConvention>F</PaymentConvention>
                <FloatingLegData>
                    <Spreads>
                        <Spread>0.025</Spread>
                    </Spreads>
                    <Index>EUR-EURIBOR-6M</Index>
                    <IsInArrears>false</IsInArrears>
                    <FixingDays>2</FixingDays>
                </FloatingLegData>
                <ScheduleData>
                    <Rules>
                        <StartDate>2018-10-08</StartDate>
                        <EndDate>2030-10-08</EndDate>
                        <Tenor>6M</Tenor>
                        <Calendar>TARGET</Calendar>
                        <Convention>F</Convention>
                        <Rule>Forward</Rule>
                    </Rules>
                </ScheduleData>
            </LegData>
            <LegData>
                <LegType>Floating</LegType>
                <Payer>false</Payer>
                <Currency>EUR</Currency>
                <Notionals>
                    <Notional>1000000.00</Notional>
                </Notionals>
                <DayCounter>A360</DayCounter>
                <PaymentConvention>ModifiedFollowing</PaymentConvention>
                <FloatingLegData>
                    <Index>EUR-EURIBOR-3M</Index>
                    <!-- The recall spread goes here. -->
                    <Spreads>
                        <Spread>0.02</Spread>
                    </Spreads>
                </FloatingLegData>
                <ScheduleData>
                    <Rules>
                        <StartDate>2021-10-08</StartDate>
                        <EndDate>2030-10-08</EndDate>
                        <Tenor>3M</Tenor>
                        <Calendar>TARGET</Calendar>
                        <Convention>ModifiedFollowing</Convention>
                        <Rule>Backward</Rule>
                    </Rules>
                </ScheduleData>
            </LegData>
        </SwapData>
    </Trade>
</Portfolio>
