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(1) A contract to buy or issue a debt instrument at a pre-set spread to the yield on a specific bond or note at a specified future date. A forward contract on a yield spread. (2) A contract which guarantees an investor's cost of rolling futures contracts from one expiration to the next, relative to a calculated fair value basis. The cost of a futures roll spread-lock will be primarily a function of the liquidity of the market and the extent to which a rollover spread premium and/or discount is typically available.
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