An agreement where one party pays the other a fixed spread (a number of basis points) between the nearby, expiring futures contract and a later expiration futures contract and receives the actual spread between the same. Rollover locks help investors lock in the basis as to different expirations. They allow the application of a rolling hedge to futures contracts without exposure to the risk of a change in the basis (basis risk).
In this sense, a rollover lock is similar, in terms of structure, to an interest rate swap (IRS).
It is also known as a roll-lock.
