Non Deliverable Swap (NDS) Legs

Scalper · May 28th, 2013, 9:06 pm

Hi, I?m looking at a TWD NDS and wonder how the two Legs are defined?Is it:Leg1: Receive Fixed TWD QuarterlyLeg2: Pay Float TWD TDSF90D Quarterly? and all net Payments are converted to USDOR:Leg1: Receive Fixed TWD QuarterlyLeg2: Pay Float USD LIBOR 3M Quarterly? and all net Payments are converted to USDThanks,Scalper

Scalper · June 2nd, 2013, 10:36 am

Hi,How about from a general point of view for NDS - not just TWD.As I understand it:All cash flows (Fixed and Float) are paid in USD and converted from the local currency (for example TWD) to USD using the FX rate each time when rolling. But the float leg used in fixing - is that always the local Rate Index (like TDSF90D for TWD) - or is it the USD LIBOR 3M?Thanks,Scalper

doublebarrier2000 · June 21st, 2013, 11:20 pm

the float leg is the uses the local TWD Index in a ND-Interest Rate swap and it uses USD 6m Libor in a ND XCCY Swap