FpML Issues Tracker

1279: Reset frequency for OIS

October 19, 2022




Examples/Test Cases






could you please clarify why in the example 2.61 Example 53 - XCCY Swap based on OIS, FpML version 5.12 with floating rate index SOFR-OIS-COMPOUND the reset frequency is 3M?

As far as known there is not a process or series of "resets" for the floating side of an OIS as there is for the floating side of a LIBOR-based swap. The relevant rates are simply recorded and applied in the calculation of the accumulated value of the floating side.

Could it be an error in example?

In case this example is correct please suggest me the way of calculation.

Thank you in advance.


  • JasonPolis

    03/01/23 11:25 am

    Assigned to XAPWG

    Answer from XAPWG

    For RFR indices it is understood that the rate itself is observed on a daily basis in order derive the compounded or average rate used for the interest accrual period. In this case the reset period would effectively be the period in which the rate is compounded. Generally speaking, typical market convention has this reset period the same as the  payment period for RFR Swaps . However it is feasible (but unlikely) for the reset period to be more frequent than the payment period resulting the compounding calculation to reset inline with the reset frequency.

    It may also be prudent to refer to the examples of RFR swaps and the ‘calculation parameter’ tags to assist in deriving the desired results.

  • JasonPolis

    03/01/23 11:31 am

    Further comment from XAPWG.

    Although it’s feasible to have reset frequency as quarterly, you typically wouldn’t.

  • JasonPolis

    03/01/23 11:31 am

    Let us know if any further clarificaiton is desired.

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