An interest rate swap in which the holder pays the highest floating rate setting during the reset window and receives the floating rate set at the beginning of the period plus a specific spread. For instance, in a two-year semi-annual swap (a swap with four resets), one of the parties could receive six-month LIBOR plus 80 basis points and pay the maximum daily level the LIBOR rate has reached in each of the four reset periods.
April 27, 2023