It stands for in-the-money swap; a swap in which the present value of the net fixed-rate payments is less than the net present value of the net floating-rate receipts from the perspective of a fixed-rate payer. On the contrary, from the view point of a floating rate payer, the swap would be in the money when the present value of the net floating-rate payments is less than the present value of the net fixed-rate receipts.
November 16, 2023