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Non Deliverable Swap (NDS) Legs
Posted: May 28th, 2013, 9:06 pm
by Scalper
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
Non Deliverable Swap (NDS) Legs
Posted: June 2nd, 2013, 10:36 am
by Scalper
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
Non Deliverable Swap (NDS) Legs
Posted: June 21st, 2013, 11:20 pm
by doublebarrier2000
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