A combination of an interest rate swap and two binary interest rate options, one of them is a binary cap and the other a binary floor. This swap constitutes a zero-cost option strategy that helps to concretely decrease or limit the fixed rate of the interest rate swap by the premium paid by the buyer for the binary interest rate options. This structure locks in the seller’s maximum interest costs, as the payout of both binary interest rate options is defined already upon the conclusion of the transaction.

The notional amounts of the swap and the two options are identical.