<?xml version='1.0' encoding='UTF-8'?>
<Portfolio>
    <Trade id="EquityTRS">
        <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 -->
            <!-- this can have types Bond, ConvertibleBond, EquityPosition, EquityOptionPosition -->
            <UnderlyingData>
                <SubTrade>
                    <SubTradeType>EquityOptionPosition</SubTradeType>
                    <EquityOptionPositionData>
                        <!-- basket price = quantity x sum_i ( weight_i x equityOptionPrice_i x fx_i ) -->
                        <Quantity>1000</Quantity>
                        <!-- option #1 -->
                        <Underlying>
                            <Underlying>
                                <Type>Equity</Type>
                                <Name>.SPX</Name>
                                <Weight>0.5</Weight>
                                <IdentifierType>RIC</IdentifierType>
                            </Underlying>
                            <OptionData>
                                <LongShort>Long</LongShort>
                                <OptionType>Call</OptionType>
                                <Style>European</Style>
                                <Settlement>Cash</Settlement>
                                <ExerciseDates>
                                    <ExerciseDate>2025-10-03</ExerciseDate>
                                </ExerciseDates>
                            </OptionData>
                            <Strike>3300</Strike>
                        </Underlying>
                        <!-- option #2 -->
                        <Underlying>
                            <Underlying>
                                <Type>Equity</Type>
                                <Name>.SPX</Name>
                                <Weight>0.5</Weight>
                                <IdentifierType>RIC</IdentifierType>
                            </Underlying>
                            <OptionData>
                                <LongShort>Long</LongShort>
                                <OptionType>Call</OptionType>
                                <Style>European</Style>
                                <Settlement>Cash</Settlement>
                                <ExerciseDates>
                                    <ExerciseDate>2025-10-03</ExerciseDate>
                                </ExerciseDates>
                            </OptionData>
                            <Strike>3400</Strike>
                        </Underlying>
                        <!-- option #3 -->
                        <!-- ... -->
                    </EquityOptionPositionData>
                </SubTrade>
            </UnderlyingData>
            <ReturnData>
                <Payer>false</Payer>
                <Currency>USD</Currency>
                <ScheduleData>
                    <Dates>
                        <Dates>
                            <Date>2023-06-02</Date>
                            <Date>2023-08-24</Date>
                            <Date>2023-12-01</Date>
                            <Date>2024-03-01</Date>
                            <Date>2024-06-03</Date>
                            <Date>2024-09-02</Date>
                            <Date>2024-12-02</Date>
                            <Date>2025-03-04</Date>
                            <Date>2025-06-04</Date>
                            <Date>2025-09-03</Date>
                        </Dates>
                    </Dates>
                </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>US</PaymentCalendar> -->
                <!-- ... or can be overwritten by a list of explicit dates -->
                <PaymentDates>
                    <PaymentDate>2023-08-26</PaymentDate>
                    <PaymentDate>2023-12-05</PaymentDate>
                    <PaymentDate>2024-03-05</PaymentDate>
                    <PaymentDate>2024-06-05</PaymentDate>
                    <PaymentDate>2024-09-05</PaymentDate>
                    <PaymentDate>2024-12-04</PaymentDate>
                    <PaymentDate>2025-03-06</PaymentDate>
                    <PaymentDate>2025-06-06</PaymentDate>
                    <PaymentDate>2025-09-08</PaymentDate>
                </PaymentDates>
                <!-- Optional initial (basket) price and currency -->
                <InitialPrice>112.0</InitialPrice>
                <!-- asset ccy or return ccy, if there is more than one asset ccy, must be in return ccy -->
                <InitialPriceCurrency>USD</InitialPriceCurrency>
                <!-- FX Conversion Details, one block required per asset ccy != return ccy -->
                <FXTerms>
                    <FXIndex>FX-TR20H-EUR-USD</FXIndex>
                    <FXIndex>FX-TR20H-GBP-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>
                    <PaymentLag>2</PaymentLag>
                    <DayCounter>A360</DayCounter>
                    <FloatingLegData>
                        <Index>USD-LIBOR-3M</Index>
                        <Spreads>
                            <Spread>0.005</Spread>
                        </Spreads>
                        <FixingDays>2</FixingDays>
                        <IsInArrears>false</IsInArrears>
                    </FloatingLegData>
                    <ScheduleData>
                        <Dates>
                            <Dates>
                                <Date>2023-06-02</Date>
                                <Date>2023-09-04</Date>
                                <Date>2023-12-01</Date>
                                <Date>2024-03-01</Date>
                                <Date>2024-06-03</Date>
                                <Date>2024-09-02</Date>
                                <Date>2024-12-02</Date>
                                <Date>2025-03-04</Date>
                                <Date>2025-06-04</Date>
                                <Date>2025-09-03</Date>
                            </Dates>
                        </Dates>
                    </ScheduleData>
                </LegData>
            </FundingData>
        </TotalReturnSwapData>
    </Trade>
</Portfolio>
