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Would just like to check my understanding.

If I were to pay USD FRA-OIS, does it mean I'm paying the OIS leg and receiving fixed? And the fixed is because the 3mL is fixed at the start of the period/tenor of the contract?

So this implies that if the LIBOR-OIS spread widens, the trade would be in the money?

Thanks!

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  • $\begingroup$ perhaps this article is of interest? $\endgroup$ – will Aug 25 '17 at 8:32
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I think I've found the answer in another forum (which fits my initial intuition). So just to share:

FRA-OIS is traded via swap. So if you think the spread would widen you pay on the swap. So you would pay OIS + Spread and receive Libor.

https://www.wallstreetoasis.com/forums/tech-questions-on-eurodollar-and-fed-funds-futures-hedging

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