Module nds 

Non-deliverable interest rate swap templates — the nds group: a local swap whose every payment converts into USD at an FX fixing two business days before it pays.

Sources. CME Rulebook chapter 901 (rules 90102–90105), LCH’s Product Specific Contract Terms and Eligibility Criteria Manual (Jan 2025) and its CFTC self-certifications, and the EMTA-ISDA market practices MP1 (BRL CDI), MP2 (payment-date cities) and MP4 (CLP Cámara).

ISDA. The 2021 ISDA Interest Rate Derivatives Definitions hold no non-deliverable section: the terms live in ISDA’s NDS standard-terms supplement and its fallback matrix (behind ISDA’s library licence), carried over from 2006 “with minimal changes”. The FX fixing’s rate source, calendar and disruption fallbacks are the EMTA NDF template’s, so a row names its NdfTemplate rather than restating them — save THB, which has no EMTA NDF template and states its own.

The fixing rule. Every venue template fixes the FX “2 [local] Business Days prior to the Payment Date” on the NDF rate option; a drafted swap’s fixing dates are each payment date adjusted Preceding onto the fixing calendar, then stepped back the lag — dates written into the trade, not derived at pricing time.

Unverified rows. THB’s new-trade terms, MYR’s terms, and the IDR and PHP rows entire are marked UNVERIFIED where no primary source states them; the IDR and PHP rows are placeholders to confirm before booking.

Not here: non-deliverable cross-currency swaps, which are cross-currency templates (statics::templates::xccy, the *-USD-NDCCS rows and USD-BRL-ZERO) naming their fixing source as an FxSource, on EMTA-ISDA MP8’s period-end timeline; KRW KOFR NDS (no CCP clears one); and building an NDS curve from NDS par quotes.

Structs

NdsFxTerms

The FX terms an NDS or NDCCS template resolves to.

NdsTemplate

A non-deliverable swap market’s terms: the local swap, the FX fixing that converts its payments, and the short-end rule.

Enums

FxSource

Where a non-deliverable row’s FX fixing comes from — an NDS’s or an NDCCS’s.

Constants

ACT360 🔒

ACT365 🔒

MF 🔒

NO_ROLL 🔒

Statics

NDS

Registry rows for this template group.

Functions

brl_cdi

BRL-CDI-NDS template.

clp_icp

CLP-ICP-NDS template.

cny_repo

CNY-REPO-NDS template.

cny_repo_swap 🔒

CNY: quarterly payments compounding weekly FR007 resets straight.

cop_ibr

COP-IBR-NDS template.

idr_jibor

IDR-JIBOR-NDS template.

inr_mibor

INR-MIBOR-NDS template.

krw_cd

KRW-CD-NDS template.

months 🔒

A tenor in months, for comparing against the zero-coupon limit; a tenor in days or weeks counts as under a month, and a whole-term tenor as longer than any limit.

myr_klibor

MYR-KLIBOR-NDS template.

nds 🔒

Builds one row.

overnight 🔒

An OIS local swap paying on period end.

php_bval

PHP-BVAL-NDS template.

term 🔒

A vanilla local swap with the same fixed and floating frequency, paying on period end.

thb_thor

THB-THOR-NDS template.

thb_thor_swap 🔒

THB: the THOR leg pays two Bangkok and New York business days after its period ends, the fixed leg on it — LCH’s shape for converted THBFIX trades.

twd_taibor

TWD-TAIBOR-NDS template.