<?xml version='1.0' encoding='UTF-8'?>
<Portfolio>
    <Trade id="EQ_WorstOfBasketSwap">
        <TradeType>EquityWorstOfBasketSwap</TradeType>
        <Envelope>
            <CounterParty>CPTY</CounterParty>
            <NettingSetId>NS</NettingSetId>
            <AdditionalFields>
                <party_id>party</party_id>
                <valuation_date>2025-02-10</valuation_date>
            </AdditionalFields>
        </Envelope>
        <EquityWorstOfBasketSwapData>
            <LongShort>Long</LongShort>
            <Currency>EUR</Currency>
            <Quantity>1955000</Quantity>
            <InitialFixedRate>0.015</InitialFixedRate>
            <!-- <InitialFixedPayDate>2021-02-12</InitialFixedPayDate> -->
            <Underlyings>
                <Underlying>
                    <Type>Equity</Type>
                    <Name>.STOXX50E</Name>
                    <IdentifierType>RIC</IdentifierType>
                </Underlying>
                <Underlying>
                    <Type>Equity</Type>
                    <Name>.SPX</Name>
                    <IdentifierType>RIC</IdentifierType>
                </Underlying>
            </Underlyings>
            <InitialPrices>
                <InitialPrice>3481.44</InitialPrice>
                <InitialPrice>3714.24</InitialPrice>
            </InitialPrices>
            <!-- <KnockInPayDate>2023-02-14</KnockInPayDate> -->
            <FloatingPeriodSchedule>
                <Dates>
                    <Dates>
                        <Date>2024-07-25</Date>
                        <Date>2025-01-22</Date>
                        <Date>2025-07-25</Date>
                        <Date>2026-01-22</Date>
                        <Date>2026-07-27</Date>
                    </Dates>
                    <Calendar>TARGET</Calendar>
                    <Convention>MF</Convention>
                </Dates>
            </FloatingPeriodSchedule>
            <!--     <FixedDeterminationSchedule>
            <DerivedSchedule>
              <BaseSchedule>FloatingPeriodSchedule</BaseSchedule>
              <Shift>0D</Shift>
              <Calendar>TARGET</Calendar>
              <Convention>MF</Convention>
            </DerivedSchedule>
          </FixedDeterminationSchedule>
          <KnockOutDeterminationSchedule>
            <DerivedSchedule>
              <BaseSchedule>FloatingPeriodSchedule</BaseSchedule>
              <Shift>0D</Shift>
              <Calendar>TARGET</Calendar>
              <Convention>MF</Convention>
            </DerivedSchedule>
          </KnockOutDeterminationSchedule> -->
            <FloatingPayDates>
                <Dates>
                    <Dates>
                        <Date>2024-08-08</Date>
                        <Date>2025-02-05</Date>
                        <Date>2025-08-08</Date>
                        <Date>2026-02-05</Date>
                        <Date>2026-08-10</Date>
                    </Dates>
                    <Calendar>TARGET</Calendar>
                    <Convention>MF</Convention>
                </Dates>
            </FloatingPayDates>
            <!--     <KnockInDeterminationSchedule>
            <DerivedSchedule>
              <BaseSchedule>FloatingPeriodSchedule</BaseSchedule>
              <Shift>0D</Shift>
              <Calendar>TARGET</Calendar>
              <Convention>MF</Convention>
            </DerivedSchedule>
          </KnockInDeterminationSchedule> -->
            <!--     <FixedPayDates>
            <DerivedSchedule>
              <BaseSchedule>FloatingPayDates</BaseSchedule>
              <Shift>0D</Shift>
              <Calendar>TARGET</Calendar>
              <Convention>MF</Convention>
            </DerivedSchedule>
          </FixedPayDates> -->
            <KnockOutLevels>
                <KnockOutLevel>1.0</KnockOutLevel>
                <KnockOutLevel>1.0</KnockOutLevel>
                <KnockOutLevel>1.0</KnockOutLevel>
                <KnockOutLevel>1.0</KnockOutLevel>
            </KnockOutLevels>
            <FixedTriggerLevels>
                <FixedTriggerLevel>0.75</FixedTriggerLevel>
                <FixedTriggerLevel>0.75</FixedTriggerLevel>
                <FixedTriggerLevel>0.75</FixedTriggerLevel>
                <FixedTriggerLevel>0.75</FixedTriggerLevel>
            </FixedTriggerLevels>
            <BermudanKnockIn>false</BermudanKnockIn>
            <KnockInLevel>0.75</KnockInLevel>
            <FixedRate>0.04</FixedRate>
            <AccumulatingFixedCoupons>true</AccumulatingFixedCoupons>
            <AccruingFixedCoupons>false</AccruingFixedCoupons>
            <FloatingIndex>EUR-EURIBOR-3M</FloatingIndex>
            <FloatingSpread>0.002</FloatingSpread>
            <FloatingDayCountFraction>Actual/360</FloatingDayCountFraction>
            <FloatingFixingSchedule>
                <DerivedSchedule>
                    <BaseSchedule>FloatingPeriodSchedule</BaseSchedule>
                    <Shift>-2D</Shift>
                    <Calendar>TARGET</Calendar>
                    <Convention>MF</Convention>
                </DerivedSchedule>
            </FloatingFixingSchedule>
            <!-- <Strike>1.0</Strike> -->
        </EquityWorstOfBasketSwapData>
    </Trade>
</Portfolio>
