<?xml version='1.0' encoding='UTF-8'?>
<Portfolio>
    <Trade id="EQ_CLIQUET_SPX">
        <TradeType>EquityCliquetOption</TradeType>
        <!-- General Data -->
        <Envelope>
            <CounterParty>CPTY</CounterParty>
            <NettingSetId>NS</NettingSetId>
            <AdditionalFields>
                <party_id>party</party_id>
                <valuation_date>2025-02-10</valuation_date>
            </AdditionalFields>
        </Envelope>
        <!-- Termsheet -->
        <!-- The payoff on the payment date = last valuation date plus settlement
         (see below) is given by
         min( max( sum min( max( S(t) / S(t-1) - Moneyness, localFloor ),
                                      localCap ), globalFloor), globalCap) -->
        <EquityCliquetOptionData>
            <Underlying>
                <Type>Equity</Type>
                <Name>.SPX</Name>
                <IdentifierType>RIC</IdentifierType>
            </Underlying>
            <Currency>USD</Currency>
            <Notional>1000000.0</Notional>
            <LongShort>Short</LongShort>
            <OptionType>Call</OptionType>
            <Moneyness>1.0</Moneyness>
            <LocalCap>0.07</LocalCap>
            <GlobalFloor>-0.07</GlobalFloor>
            <!-- the schedule dates are the valuation dates (no further adjustment applied) -->
            <ScheduleData>
                <Dates>
                    <Dates>
                        <Date>2023-07-17</Date>
                        <Date>2024-07-16</Date>
                        <Date>2025-07-16</Date>
                        <Date>2026-07-17</Date>
                        <Date>2027-07-17</Date>
                        <Date>2028-07-16</Date>
                    </Dates>
                    <Calendar>USD</Calendar>
                    <Convention>F</Convention>
                </Dates>
            </ScheduleData>
            <!-- settlement days for the payout at last valuation date w.r.t. calendar and
		   term date convention of the schedule's calendar -->
            <SettlementDays>5</SettlementDays>
            <!-- premium, relative to notional, and payment date -->
            <Premium>0.027</Premium>
            <PremiumPaymentDate>2023-07-17</PremiumPaymentDate>
        </EquityCliquetOptionData>
    </Trade>
</Portfolio>
