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Roll-Over Lock


A swap that mainly hedges roll risk where the roll-lock payer pays the average cost of the roll measured at a series of preset points in time before maturity. The roll captures the difference between the near-month and next-month futures prices. In consideration, the roll-lock receiver pays a floating rate (such as a LIBOR-based rate) set a prespecified date after the expiration of the near-month contract.

This swap is also called a roll-lock swap.



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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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