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ITM Swap


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.



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Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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