Payment Dates for Short-Dated ESTR OIS Contracts

Summary

The note explains the payment schedule convention for 15-, 18-, and 21-month euro overnight index swaps referencing ESTR. It says these contracts have a short initial period followed by a 12-month period, rather than paying only once at maturity. The stated schedules are three months then twelve months for the 15-month contract, six months then twelve months for the 18-month contract, and nine months then twelve months for the 21-month contract.

This convention matters when bootstrapping an OIS discount curve because the cash flow dates determine how the quoted swap rates constrain discount factors. The document offers a concise convention answer but provides no independent market data, detailed date-generation rules, or treatment of calendars, business-day adjustments, or day-count conventions. Those details would still need to be checked against the relevant contract specifications before implementation.

Key ideas

• Short-dated ESTR OIS contracts use a front stub followed by a 12-month payment period.
• A 15-month contract is described as paying at three months and again at maturity.
• The 18-month schedule is described as six months followed by twelve months.
• The 21-month schedule is described as nine months followed by twelve months.
• Payment dates are important inputs when bootstrapping an OIS curve.

Tags

# No. of payments in 15/18/21 month ESTR OIS


# No. of payments in 15/18/21 month ESTR OIS












I want to construct a zero-curve from EUR OIS rates (IR swaps with ESTR as the floating rate). For bootstrapping, some of the contracts I use have maturities of 15, 18 and 21 months (RIC: EUREST15M= etc.). How many payments do these contracts have, and when do they occur? I found this similar thread, but can't find anything for the EUR market: Is an 18 month OIS a bullet?

## Answer by emot (score 2)

https://quant.stackexchange.com/a/69423

For ESTR OIS market convention is that there is a front stub period i.e. the first period is shorther, the next one is always 12 months. Therefore:

- 15M OIS -> 3M payment + 12M payment,

- 18M OIS -> 6M payment + 12M payment,

- 21M OIs -> 9M payment + 12M payment.

Hope that helps.

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