A quick question...The liquid OIS swaps are short dated (usually up to 1Y), but they quote them up to 10Y (e.g. in Bloomberg).The short dated swaps pay once at the end (have zero-coupon fixed leg). What about longer swaps, do they all have zero coupon fixed leg? It seems to be so as I could not find any info to the contrary, but could not find any confirmation either.

If the OIS swap is longer than 1 year, there will be annual netting payments. (Presumably this reduces credit risk).

Thanks!

QuoteOriginally posted by: And2A quick question...The liquid OIS swaps are short dated (usually up to 1Y), but they quote them up to 10Y (e.g. in Bloomberg).The short dated swaps pay once at the end (have zero-coupon fixed leg). What about longer swaps, do they all have zero coupon fixed leg? It seems to be so as I could not find any info to the contrary, but could not find any confirmation either.The answer will depend of the currency. In general, it is, as mentioned above, yearly payments but other details vary: spot lag, payment lag, day count, etc.Some the conventions are reported in our Interest Rate Instruments and Market Conventions Guide (Chapter 17 for OIS).

QuoteOriginally posted by: mathmarcThe answer will depend of the currency. In general, it is, as mentioned above, yearly payments but other details vary: spot lag, payment lag, day count, etc.Some the conventions are reported in our Interest Rate Instruments and Market Conventions Guide (Chapter 17 for OIS).Mathmarc,You are right, I should have mentioned that it was about Fed Funds.Good reference doc. Especially nice are all the links to the sources.Thanks.

QuoteOriginally posted by: mathmarcSome the conventions are reported in our Interest Rate Instruments and Market Conventions Guide (Chapter 17 for OIS).very nice doc. do you have one similar for FX conventions maybe ?

QuoteOriginally posted by: pcaspersvery nice doc. do you have one similar for FX conventions maybe ?Not for the moment.But planning to have version 2 of the above and add a chapter on FX swaps and X-ccy swaps at some stage.

alright, I will surely have a look, thank you. However my question was more in the direction of Smile conventions. I will open another thread on this.