An asset swap on a par floater (a floater selling at par, i.e., one in which the required return equals the floater’s quoted margin). The underlying asset could be a par floater that pays a floating rate plus a spread, financed by borrowing at the same floating rate or an equivalent rate. This swap could result from a par asset swap in which the par amount paid up front is used to buy a par floater.

At initiation, one counterparty pays the other the par value of the reference asset (in this case the floater) and receives in return the reference asset that is worth a given dirty price. Thereafter, the first counterparty receives LIBOR from the floater and pays LIBOR plus a given spread to the other counterparty in return for coupon payments. At maturity, the first counterparty returns the reference floater and receives its par value.