A swap whose tenor is less than two years. That implies that the fixed and floating rates have a maturity of less than two years. Short-dated swaps are sometimes hedged using quotes from the futures market rather than the Treasury market. In other words, the spread is calculated using the Eurodollar futures as the prices of such contracts imply unbiased estimates of three-month LIBOR expected to be effective at different dates in the future. This futures-based pricing is typically implemented in view of two assumptions. First, the forward rates are unbiased estimates of future spot LIBORs (since the forward rates are already embedded in the Eurodollar futures prices). Second, current long-term interest rates take into account both spot and forward short-term interest rates (it is actually a geometric average of both types of rates).

Notwithstanding, on very short-dated swaps, the swap coupon is often quoted on a money market basis.