I recently read a trade idea that suggested the AUD short term yield curve would flatten. The author expressed his trade by paying June OIS and receiving August OIS. How does the trade work exactly? My guess is that he is entering into 2 separate contracts 1. June OIS - He pays fixed rate and receives floating OIS rate that changes between now and June expiry 2. August OIS - He pays floating OIS rate and receives fixed rate. The trade makes money if OIS rates rise in June relative to August. Can I understanding it correctly? Also how often do counterparties of an OIS trade exchange interest payments? Is it only at the expiry or at certain intervals during the lifetime of the swap?