<?xml version='1.0' encoding='UTF-8'?>
<Portfolio>
    <Trade id="MixedBasketTRS">
        <TradeType>TotalReturnSwap</TradeType>
        <Envelope>
            <CounterParty>CPTY</CounterParty>
            <NettingSetId>NS</NettingSetId>
            <AdditionalFields>
                <valuation_date>2025-02-10</valuation_date>
                <party_id>party</party_id>
            </AdditionalFields>
        </Envelope>
        <TotalReturnSwapData>
            <UnderlyingData>
                <SubTrade>
                    <SubTradeType>EquityPosition</SubTradeType>
                    <EquityPositionData>
                        <Quantity>1000</Quantity>
                        <Underlying>
                            <Type>Equity</Type>
                            <Name>.SPX</Name>
                            <Weight>0.5</Weight>
                            <IdentifierType>RIC</IdentifierType>
                        </Underlying>
                        <Underlying>
                            <Type>Equity</Type>
                            <Name>.NDX</Name>
                            <Weight>0.5</Weight>
                            <IdentifierType>RIC</IdentifierType>
                        </Underlying>
                    </EquityPositionData>
                </SubTrade>
                <SubTrade>
                    <SubTradeType>EquityOptionPosition</SubTradeType>
                    <EquityOptionPositionData>
                        <Quantity>1000</Quantity>
                        <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>2028-01-28</ExerciseDate>
                                </ExerciseDates>
                            </OptionData>
                            <Strike>3300</Strike>
                        </Underlying>
                        <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>2028-01-28</ExerciseDate>
                                </ExerciseDates>
                            </OptionData>
                            <Strike>3400</Strike>
                        </Underlying>
                    </EquityOptionPositionData>
                </SubTrade>
            </UnderlyingData>
            <ReturnData>
                <Payer>false</Payer>
                <Currency>USD</Currency>
                <ScheduleData>
                    <Dates>
                        <Dates>
                            <Date>2025-09-26</Date>
                            <Date>2025-12-29</Date>
                            <Date>2026-03-27</Date>
                            <Date>2026-06-26</Date>
                            <Date>2026-09-28</Date>
                            <Date>2026-12-28</Date>
                            <Date>2027-03-29</Date>
                            <Date>2027-06-29</Date>
                            <Date>2027-09-29</Date>
                            <Date>2027-12-29</Date>
                        </Dates>
                    </Dates>
                </ScheduleData>
                <ObservationLag>0D</ObservationLag>
                <ObservationConvention>P</ObservationConvention>
                <ObservationCalendar>USD</ObservationCalendar>
                <PaymentDates>
                    <PaymentDate>2026-01-01</PaymentDate>
                    <PaymentDate>2026-03-31</PaymentDate>
                    <PaymentDate>2026-06-30</PaymentDate>
                    <PaymentDate>2026-09-30</PaymentDate>
                    <PaymentDate>2026-12-31</PaymentDate>
                    <PaymentDate>2027-03-31</PaymentDate>
                    <PaymentDate>2027-07-01</PaymentDate>
                    <PaymentDate>2027-10-01</PaymentDate>
                    <PaymentDate>2028-01-03</PaymentDate>
                </PaymentDates>
                <InitialPrice>112.0</InitialPrice>
                <InitialPriceCurrency>USD</InitialPriceCurrency>
                <FXTerms>
                    <FXIndex>FX-TR20H-EUR-USD</FXIndex>
                    <FXIndex>FX-TR20H-GBP-USD</FXIndex>
                </FXTerms>
            </ReturnData>
            <FundingData>
                <NotionalType>PeriodReset</NotionalType>
                <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>2025-09-26</Date>
                                <Date>2025-12-29</Date>
                                <Date>2026-03-27</Date>
                                <Date>2026-06-26</Date>
                                <Date>2026-09-28</Date>
                                <Date>2026-12-28</Date>
                                <Date>2027-03-29</Date>
                                <Date>2027-06-29</Date>
                                <Date>2027-09-29</Date>
                                <Date>2027-12-29</Date>
                            </Dates>
                        </Dates>
                    </ScheduleData>
                </LegData>
                <NotionalType>DailyReset</NotionalType>
                <LegData>
                    <Payer>true</Payer>
                    <LegType>Fixed</LegType>
                    <Currency>USD</Currency>
                    <PaymentConvention>Following</PaymentConvention>
                    <PaymentLag>2</PaymentLag>
                    <DayCounter>A360</DayCounter>
                    <FixedLegData>
                        <Rates>
                            <Rate>0.02</Rate>
                        </Rates>
                    </FixedLegData>
                    <ScheduleData>
                        <Dates>
                            <Dates>
                                <Date>2025-09-26</Date>
                                <Date>2025-12-29</Date>
                                <Date>2026-03-27</Date>
                                <Date>2026-06-26</Date>
                                <Date>2026-09-28</Date>
                                <Date>2026-12-28</Date>
                                <Date>2027-03-29</Date>
                                <Date>2027-06-29</Date>
                                <Date>2027-09-29</Date>
                                <Date>2027-12-29</Date>
                            </Dates>
                        </Dates>
                    </ScheduleData>
                </LegData>
            </FundingData>
        </TotalReturnSwapData>
    </Trade>
</Portfolio>
