<?xml version='1.0' encoding='UTF-8'?>
<Portfolio>
    <Trade id="BGS1">
        <TradeType>BalanceGuaranteedSwap</TradeType>
        <Envelope>
            <CounterParty>CPTY</CounterParty>
            <NettingSetId>NS</NettingSetId>
            <AdditionalFields>
                <valuation_date>2025-02-10</valuation_date>
                <party_id>party</party_id>
            </AdditionalFields>
        </Envelope>
        <BalanceGuaranteedSwapData>
            <!-- security / tranche to which the notional of the BGS is linked -->
            <ReferenceSecurity>ISIN:XS0983610930</ReferenceSecurity>
            <!-- tranche notionals of the transaction (for cpr = 0) -->
            <Tranches>
                <Tranche>
                    <Description>Class A</Description>
                    <SecurityId>ISIN:XS0983610930</SecurityId>
                    <!-- prepayments amortise the tranches in order of their seniority (1,2,3...) -->
                    <Seniority>1</Seniority>
                    <Notionals>
                        <Notional>1500000</Notional>
                        <Notional startDate="2022-12-27">1000000</Notional>
                        <Notional startDate="2023-12-28">900000</Notional>
                        <Notional startDate="2024-12-27">800000</Notional>
                        <Notional startDate="2025-12-27">700000</Notional>
                        <Notional startDate="2026-12-27">600000</Notional>
                        <Notional startDate="2027-12-28">500000</Notional>
                        <Notional startDate="2028-12-27">400000</Notional>
                        <Notional startDate="2029-12-27">300000</Notional>
                        <Notional startDate="2030-12-27">200000</Notional>
                        <Notional startDate="2031-12-28">100000</Notional>
                        <Notional startDate="2032-12-27">0</Notional>
                    </Notionals>
                </Tranche>
                <Tranche>
                    <Description>Class B</Description>
                    <SecurityId>NA</SecurityId>
                    <Seniority>2</Seniority>
                    <Notionals>
                        <Notional>350000</Notional>
                        <Notional startDate="2022-12-27">300000</Notional>
                        <Notional startDate="2023-12-28">300000</Notional>
                        <Notional startDate="2024-12-27">300000</Notional>
                        <Notional startDate="2025-12-27">300000</Notional>
                        <Notional startDate="2026-12-27">300000</Notional>
                        <Notional startDate="2027-12-28">300000</Notional>
                        <Notional startDate="2028-12-27">300000</Notional>
                        <Notional startDate="2029-12-27">300000</Notional>
                        <Notional startDate="2030-12-27">300000</Notional>
                        <Notional startDate="2031-12-28">300000</Notional>
                        <Notional startDate="2032-12-27">200000</Notional>
                        <Notional startDate="2033-12-27">100000</Notional>
                        <Notional startDate="2034-12-27">000000</Notional>
                    </Notionals>
                </Tranche>
                <ScheduleData>
                    <Rules>
                        <StartDate>2021-12-27</StartDate>
                        <EndDate>2035-12-28</EndDate>
                        <Tenor>6M</Tenor>
                        <Calendar>TARGET</Calendar>
                        <Convention>MF</Convention>
                        <Rule>Forward</Rule>
                    </Rules>
                </ScheduleData>
            </Tranches>
            <!-- BGS legs -->
            <LegData>
                <LegType>Fixed</LegType>
                <Payer>false</Payer>
                <Currency>EUR</Currency>
                <DayCounter>A360</DayCounter>
                <PaymentConvention>F</PaymentConvention>
                <Notionals>
                    <Notional>1500000</Notional>
                    <Notional startDate="2022-12-27">1000000</Notional>
                    <Notional startDate="2023-12-28">900000</Notional>
                    <Notional startDate="2024-12-27">800000</Notional>
                    <Notional startDate="2025-12-27">700000</Notional>
                    <Notional startDate="2026-12-27">600000</Notional>
                    <Notional startDate="2027-12-28">500000</Notional>
                    <Notional startDate="2028-12-27">400000</Notional>
                    <Notional startDate="2029-12-27">300000</Notional>
                    <Notional startDate="2030-12-27">200000</Notional>
                    <Notional startDate="2031-12-28">100000</Notional>
                    <Notional startDate="2032-12-27">0</Notional>
                </Notionals>
                <FixedLegData>
                    <Rates>
                        <Rate>0.0040</Rate>
                    </Rates>
                </FixedLegData>
                <ScheduleData>
                    <Rules>
                        <StartDate>2021-12-27</StartDate>
                        <EndDate>2035-12-28</EndDate>
                        <Tenor>6M</Tenor>
                        <Calendar>TARGET</Calendar>
                        <Convention>MF</Convention>
                        <Rule>Forward</Rule>
                    </Rules>
                </ScheduleData>
            </LegData>
            <LegData>
                <LegType>Floating</LegType>
                <Payer>true</Payer>
                <Currency>EUR</Currency>
                <DayCounter>A360</DayCounter>
                <PaymentConvention>MF</PaymentConvention>
                <Notionals>
                    <Notional>1500000</Notional>
                    <Notional startDate="2022-12-27">1000000</Notional>
                    <Notional startDate="2023-12-28">900000</Notional>
                    <Notional startDate="2024-12-27">800000</Notional>
                    <Notional startDate="2025-12-27">700000</Notional>
                    <Notional startDate="2026-12-27">600000</Notional>
                    <Notional startDate="2027-12-28">500000</Notional>
                    <Notional startDate="2028-12-27">400000</Notional>
                    <Notional startDate="2029-12-27">300000</Notional>
                    <Notional startDate="2030-12-27">200000</Notional>
                    <Notional startDate="2031-12-28">100000</Notional>
                    <Notional startDate="2032-12-27">0</Notional>
                </Notionals>
                <FloatingLegData>
                    <Index>EUR-EURIBOR-6M</Index>
                    <Spreads>
                        <Spread>0.0050</Spread>
                    </Spreads>
                    <Floors>
                        <Floor>0.0</Floor>
                    </Floors>
                    <IsInArrears>false</IsInArrears>
                    <FixingDays>2</FixingDays>
                </FloatingLegData>
                <ScheduleData>
                    <Rules>
                        <StartDate>2021-12-27</StartDate>
                        <EndDate>2035-12-28</EndDate>
                        <Tenor>6M</Tenor>
                        <Calendar>TARGET</Calendar>
                        <Convention>MF</Convention>
                        <Rule>Forward</Rule>
                    </Rules>
                </ScheduleData>
            </LegData>
        </BalanceGuaranteedSwapData>
    </Trade>
</Portfolio>
