Coupon Schedules for an 18-Month SOFR OIS

Summary

The note addresses whether an 18-month SOFR overnight indexed swap should be modeled as a single payment when building a zero curve. It explains that OIS coupon timing depends on the contract’s payment convention: possible structures include annual payments counted from the start or from maturity, as well as a single bullet payment at maturity.

The responses describe differing schedule recollections for the 18-month tenor, illustrating why the tenor label alone does not establish the cash flow dates. One response gives payments at 12 and 18 months; another says the typical SOFR schedule is annual from maturity, with payments at 6 and 18 months. The suggested practical approach is to inspect the actual coupon schedule in the swap-pricing system. Conventions may vary by product and contract, so the example should not be treated as a universal rule for every OIS.

Key ideas

• An 18-month OIS is not necessarily a bullet; its coupon schedule depends on the agreed convention.
• Annual-from-start and annual-from-maturity schedules place stubs at different ends of the swap.
• The responses give differing schedule descriptions, so confirm the dates for the specific contract.
• A swap-pricing system can be used to inspect the coupon schedule when bootstrapping a curve.

Tags

# Is an 18 month OIS a bullet?


# Is an 18 month OIS a bullet?












I have been looking at SOFR/fixed swaps. On Bloomberg I found USOSFR1F which is the 18 month tenor on the SOFR OIS curve.

My understanding is that SOFR OIS pays annually. When bootstrapping to get a zero curve, should I treat this instrument as a bullet?

## Answer by river_rat (score 2, accepted)

https://quant.stackexchange.com/a/68946

SWPM is your friend when it comes to coupon schedules. If I recall correctly, 18m SOFR pays at 12 months and 18 months.

## Answer by retino4 (score 1)

https://quant.stackexchange.com/a/84016

OIS are an OTC product, so naturally they are customizable in terms of coupon payment structures. Broadly speaking, by default OIS can either be annual from maturity (afm) or annual from start (afs) in terms of their coupon payments. If a swap is afm, this will result in a 'front stub', and an afs swap will have a 'back stub'. You can also have a swap with a bullet payment structure, meaning a singular coupon payment at maturity.

In the case of SOFR, the convention for an 18mth tenor would be to have a coupon payment at 6mth and at 18mth (i.e. annual from maturity). As the other poster mentioned, BBG's SWPM is your friend when figuring out these sort of payment conventions.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.