A hedging technique which involves using a series (or rolls) of interest rate futures to hedge an interest rate swap. The futures will match the resetting dates of the interest rate underlying the swap. The swap is, thus, theoretically divided into and hedged by rolls corresponding to the futures where the settlement dates coincide with or closely relate to the interest rate settlement dates (fixing or resetting dates) of the hedged swap.

The strip hedging is constructed by shorting (selling) or longing (buying) a series of futures (short futures/ long futures). Thereafter, the hedge will be rolled over resetting periods (on settlement dates). The futures leg is rolled out by buying or selling the relevant futures contract for the next period and settling the respective leg of the swap.