Reset and Payment Frequencies for Weekly-Reset Swaps

Summary

The document gives brief convention details for swaps linked to seven-day indexes. For the CNY seven-day swap example, it describes calculation and payment periods of three months, with weekly reset periods nested inside each calculation period. The fixing occurs one day before each weekly reset date, and the fixing date can vary with the swap’s start and end dates.

For the municipal swap example, the index fixes on Wednesday for an effective date on Thursday, making Thursday the regular weekly reset date. These examples distinguish the swap’s payment or accrual schedule from the frequency of index resets, which may be useful when building schedules or interpreting terms. The guidance is specific to the cited index examples; it does not establish a general rule for all seven-day indexes or discuss holiday adjustments and other schedule conventions.

Key ideas

• The CNY seven-day swap example uses quarterly calculation and payment periods with weekly resets.
• Its fixing is set one day before each reset date, which can vary with the swap schedule.
• The municipal swap example fixes on Wednesday for a Thursday effective reset.
• These are index-specific conventions and should not be generalized to every weekly index.

Tags

# Roll Convention for 7D Index


# Roll Convention for 7D Index












Any specific Roll Convention that I should use for Indexes with 7D tenor like CNY-CNREPOFIX=CFXS-Reuters or USD-SIFMA Municipal Swap Index ? What will be the Calculation Period Frequency or the Payment Frequency for Payment/Accrual calculation? Thanks in advance!

## Answer by user25660 (score 2)

https://quant.stackexchange.com/a/31421

The CNY 7D swaps have 3M calculation and payment periods. Within those 3M calculation periods the swap will have 7D reset periods. The fixing is -1D prior to the reset date each week and this date can vary it depends on start and end date of swap.

Muni swaps however fix on each Wed effective for Thursday so the weekly reset date is always set on Thursday.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

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