A cap that places an upper bound on the marked-to-market loss associated with a portfolio of swaps. This cap gives the holder the option to enter at any reset date during a prespecified period into an offsetting position in another portfolio of swaps. The strikes, that may be chosen at reset dates, should be picked up in such a way that any losses from marking to market will be limited to a prespecified amount.
March 2, 2024
