Non-deliverable conventions

This page lists the non-deliverable templates the pinned release registers: forwards (NDF), swaps (NDS) and options (NDO). A non-deliverable trade settles its value in a deliverable currency, usually US dollars, against a published fixing of a currency that does not settle offshore.

Every table is printed from the template registry each time the documentation is built, in both languages, and the two printings must agree.

What each column means

Column	What it holds
Template	the registry code you book a trade with
Registry name	the name the registry files the template under
Calendar	the joint calendar the trade's dates are counted on: the fixing centre's holidays and the settlement centre's, named by its members (KRSE,USNY) and spelled as Calendar(...) reads it
Spot lag	the business days from trade date to the start, counted on the valuation and settlement days together

An NDF code names its pair (BRL-USD-NDF fixes BRL against USD); an NDS code names its floating index (KRW-CD-NDS floats on the KRW CD rate). Cross-fixed and third-currency-settled forwards choose their fixing source and settlement currency on the template. An NDO has no calendar of its own; it expires on the fixing date its NDF terms give.

The catalog

Non-deliverable forwards

Template	Registry name	Calendar	Spot lag
AOA-USD-NDF	aoa_usd	AOLU,USNY	2D
ARS-USD-NDF	ars_usd	ARBA,USNY	2D
AZN-USD-NDF	azn_usd	AZBA,USNY	2D
BRL-EUR-NDF	brl_eur	BRBD,EUTA	2D
BRL-USD-NDF	brl_usd	BRBD,USNY	2D
CLP-EUR-NDF	clp_eur	CLSA,USNY,EUTA	2D
CLP-USD-NDF	clp_usd	CLSA,USNY	2D
CNY-EUR-NDF	cny_eur	CNSH.IB,EUTA	2D
CNY-USD-NDF	cny_usd	CNSH.IB,USNY	2D
COP-EUR-NDF	cop_eur	COBO,USNY,EUTA	2D
COP-USD-NDF	cop_usd	COBO,USNY	2D
CRC-USD-NDF	crc_usd	CRSJ,USNY	2D
DOP-USD-NDF	dop_usd	DOSD,USNY	2D
DZD-USD-NDF	dzd_usd	DZAL,USNY	2D
EGP-USD-NDF	egp_usd	EGCA.NDF,USNY	2D
GHS-USD-NDF	ghs_usd	GHAC,USNY	2D
IDR-USD-NDF	idr_usd	IDJA,USNY	2D
INR-EUR-NDF	inr_eur	INMU,EUTA	2D
INR-GBP-NDF	inr_gbp	INMU,GBLO	2D
INR-USD-NDF	inr_usd	INMU,USNY	2D
KES-USD-NDF	kes_usd	KENA,USNY	2D
KRW-EUR-NDF	krw_eur	KRSE,EUTA	2D
KRW-JPY-NDF	krw_jpy	KRSE,JPTO	2D
KRW-USD-NDF	krw_usd	KRSE,USNY	2D
KZT-USD-NDF	kzt_usd	KZAL,USNY	2D
MAD-USD-NDF	mad_usd	MARA,USNY	2D
MYR-USD-NDF	myr_usd	MYKL,USNY	2D
MZN-USD-NDF	mzn_usd	MZMA,USNY	2D
NGN-USD-NDF	ngn_usd	NGLA,USNY	2D
PEN-USD-NDF	pen_usd	PELI,USNY	2D
PHP-USD-NDF	php_usd	PHMA,USNY	2D
RUB-USD-NDF	rub_usd	GBLO.WMR,USNY	2D
TWD-EUR-NDF	twd_eur	TWTA,EUTA	2D
TWD-USD-NDF	twd_usd	TWTA,USNY	2D
UAH-USD-NDF	uah_usd	UAKI,USNY	2D
UGX-USD-NDF	ugx_usd	UGKA,USNY	2D
UYU-USD-NDF	uyu_usd	UYMO,USNY	2D
UZS-USD-NDF	uzs_usd	UZTA,USNY	2D
VND-USD-NDF	vnd_usd	VNHA,USNY	2D
XOF-EUR-NDF	xof_eur	SNDA,EUTA	2D
ZMW-USD-NDF	zmw_usd	ZMLU,USNY	2D

Non-deliverable swaps

Template	Registry name	Calendar	Spot lag
BRL-CDI-NDS	brl_cdi	BRBD,USNY	2D
CLP-ICP-NDS	clp_icp	CLSA,USNY	2D
CNY-REPO-NDS	cny_repo	CNSH.IB,USNY	1D
COP-IBR-NDS	cop_ibr	COBO,USNY	2D
IDR-JIBOR-NDS	idr_jibor	IDJA,USNY	2D
INR-MIBOR-NDS	inr_mibor	INMU,USNY	2D
KRW-CD-NDS	krw_cd	KRSE,USNY	1D
MYR-KLIBOR-NDS	myr_klibor	MYKL,USNY	2D
PHP-BVAL-NDS	php_bval	PHMA,USNY	2D
THB-THOR-NDS	thb_thor	THBA,USNY	2D
TWD-TAIBOR-NDS	twd_taibor	TWTA,USNY	2D

Non-deliverable options

Template	Registry name
AOA-USD-NDO	aoa_usd_ndo
ARS-USD-NDO	ars_usd_ndo
AZN-USD-NDO	azn_usd_ndo
BRL-USD-NDO	brl_usd_ndo
CLP-USD-NDO	clp_usd_ndo
CNY-USD-NDO	cny_usd_ndo
COP-USD-NDO	cop_usd_ndo
CRC-USD-NDO	crc_usd_ndo
DOP-USD-NDO	dop_usd_ndo
DZD-USD-NDO	dzd_usd_ndo
EGP-USD-NDO	egp_usd_ndo
GHS-USD-NDO	ghs_usd_ndo
IDR-USD-NDO	idr_usd_ndo
INR-EUR-NDO	inr_eur_ndo
INR-USD-NDO	inr_usd_ndo
KES-USD-NDO	kes_usd_ndo
KRW-EUR-NDO	krw_eur_ndo
KRW-GBP-NDO	krw_gbp_ndo
KRW-JPY-NDO	krw_jpy_ndo
KRW-USD-NDO	krw_usd_ndo
KZT-USD-NDO	kzt_usd_ndo
MAD-USD-NDO	mad_usd_ndo
MYR-USD-NDO	myr_usd_ndo
MZN-USD-NDO	mzn_usd_ndo
NGN-USD-NDO	ngn_usd_ndo
PEN-USD-NDO	pen_usd_ndo
PHP-USD-NDO	php_usd_ndo
RUB-EUR-NDO	rub_eur_ndo
RUB-USD-NDO	rub_usd_ndo
TWD-USD-NDO	twd_usd_ndo
UAH-USD-NDO	uah_usd_ndo
UGX-USD-NDO	ugx_usd_ndo
UYU-USD-NDO	uyu_usd_ndo
UZS-USD-NDO	uzs_usd_ndo
VND-USD-NDO	vnd_usd_ndo
XOF-EUR-NDO	xof_eur_ndo
ZMW-USD-NDO	zmw_usd_ndo

Where these come from

All three tables come from the template registry, filtered by family: templates.catalogue() in Python, the template registry in Rust. A template's spot lag is Template.spot_lag(). The products are on NDF, NDO and NDS and NDCCS. Offshore curves for these markets, keyed -CSA-USD, are built by recipes listed on Quote sheets and recipes.