<?xml version='1.0' encoding='UTF-8'?>
<Portfolio>
	<Trade id="ConvertibleBondTRS">
		<TradeType>TotalReturnSwap</TradeType>
		<Envelope>
			<CounterParty>CPTY</CounterParty>
			<NettingSetId>NS</NettingSetId>
			<AdditionalFields>
				<party_id>party</party_id>
				<valuation_date>2025-02-10</valuation_date>
			</AdditionalFields>
		</Envelope>
		<TotalReturnSwapData>
			<!-- a trade defining the underlying on which the return is computed -->
			<UnderlyingData>
				<SubTrade>
					<SubTradeType>ConvertibleBond</SubTradeType>
					<ConvertibleBondData>
						<BondData>
							<SecurityId>ISIN:US682189AS48</SecurityId>
							<BondNotional>1000000.00</BondNotional>
						</BondData>
					</ConvertibleBondData>
				</SubTrade>
			</UnderlyingData>
			<!-- the return leg definition -->
			<ReturnData>
				<Payer>false</Payer>
				<!-- the currency defining the trade ccy -->
				<Currency>USD</Currency>
				<!-- reference schedule definition -->
				<ScheduleData>
					<Rules>
						<StartDate>2027-09-04</StartDate>
						<EndDate>2028-09-03</EndDate>
						<Tenor>6M</Tenor>
						<Calendar>USD</Calendar>
						<Convention>ModifiedFollowing</Convention>
						<Rule>Forward</Rule>
					</Rules>
				</ScheduleData>
				<!-- valuation dates are derived from the above schedule -->
				<!-- defaults to 0D -->
				<ObservationLag>0D</ObservationLag>
				<!-- defaults to P -->
				<ObservationConvention>P</ObservationConvention>
				<!-- defaults to schedule calendar -->
				<ObservationCalendar>USD</ObservationCalendar>
				<!-- payment dates can be derived from the above schedule ... -->
				<PaymentLag>2D</PaymentLag>
				<PaymentConvention>F</PaymentConvention>
				<PaymentCalendar>TARGET</PaymentCalendar>
				<!-- ... or can be overwritten by a list of explicit dates -->
				<!-- <PaymentDates> -->
				<!--   <PaymentDate> ... </PaymentDate> -->
				<!--   <PaymentDate> ... </PaymentDate> -->
				<!-- </PaymentDates> -->
				<!-- Optional initial price and currency -->
				<InitialPrice>1.05</InitialPrice>
				<!-- defaults to asset ccy, can be set to return ccy also -->
				<InitialPriceCurrency>USD</InitialPriceCurrency>
				<!-- FX Conversion Details, required if asset ccy != return ccy -->
				<!-- <FXTerms> -->
				<!--   <FXIndex>FX-TR20H-EUR-USD</FXIndex> -->
				<!-- </FXTerms> -->
			</ReturnData>
			<!-- the funding leg definition -->
			<FundingData>
				<!-- any number of legs, must all be in the return ccy -->
				<LegData>
					<Payer>true</Payer>
					<LegType>Floating</LegType>
					<Currency>USD</Currency>
					<PaymentConvention>Following</PaymentConvention>
					<DayCounter>A360</DayCounter>
					<FloatingLegData>
						<Index>USD-LIBOR-6M</Index>
						<Spreads>
							<Spread>0.01</Spread>
						</Spreads>
						<FixingDays>2</FixingDays>
						<IsInArrears>false</IsInArrears>
					</FloatingLegData>
					<ScheduleData>
						<Rules>
							<StartDate>2027-09-04</StartDate>
							<EndDate>2028-09-03</EndDate>
							<Tenor>6M</Tenor>
							<Calendar>USD</Calendar>
							<Convention>ModifiedFollowing</Convention>
							<Rule>Forward</Rule>
						</Rules>
					</ScheduleData>
				</LegData>
			</FundingData>
		</TotalReturnSwapData>
	</Trade>
</Portfolio>
