A synthetic swap spread is a swap spread that is created synthetically by buying (selling) on-the-run Treasuries (cash) and selling (buying) the DV01 equivalent of swap futures (Treasury futures contracts). This spread captures the differential yield between an underlying swap yield and a treasury yield.

There are two market conventions for quoting the synthetic swap spread in the US market: either as the price at which treasuries could be bought or sold against a prespecified swap futures price or using basis trade. The former convention may involve, for example, a quote of 96-15 o buy T-bills against a 10-year swap futures price of 103-35 (this is a long position in a swap spread). The latter convention, i.e., basis trade, is expressed as the treasury price minus the swap futures price multiplied by the duration-weighted convention factor. The spread is quoted based on the total number of 30 seconds of a price point. For example, the basis settlement price for a 4-year swap futures in March might be 115- 28 for April settlement date.