Non-Deliverable Forwards

Non-Deliverable Forwards (NDFs) are conceptually similar to forward foreign exchange contracts; the difference is that they do not require physical delivery of the non-convertible currency.

A (Notional) principal amount, forward exchange rate and forward date are all agreed at the contract's inception. At maturity, the difference between the contracted forward rate and the fixing rate is settled in the convertible currency.

NDFs are cash-settled currency forwards which provide an offshore mechanism to hedge currencies which were previously considered "unhedgeable"; either due to emerging markets suffering from illiquidity or regulatory/settlement constraints.

NDFs offered by Saxo

NDFs can be traded forward up to 1 year (3 months for CNY).

Net Open Position (NOP) Limits by currencies:

  • USD 50m – Brazilian Peso, Chinese Renminbi, Indian Rupee, South Korean Won, New Taiwanese Dollar
  • USD 30m – Chilean Peso, Malaysian Ringgit
  • USD 10m – Indonesian Rupiah, Columbian Peso
  • USD 5m – Philippine Peso

NDF Trading Conditions

Order Execution

This offering by Saxo Bank is by RFQ only. All execution is phone based with the applicable Saxo Trading Desk. Clients who are not assigned to a Private Account Manager or Sales Trader would not have access to this offering.

Clients must sign a required addendum to Saxo’s General Business Terms (GBT) prior to undertaking this offer.

Contract Rolls

NDF contracts are not automatically rolled – Clients would need to place a roll-over request at the latest 1 day prior to the Fixing date, or the position will be closed and settled.

Minimum Trade Size

The minimum trade size is USD 500,000. Orders cannot be taken below the minimum trade size.

Contract Fixing Calculations

  • BRL: Daily Average Ask price taken on PTAX and published at 1.15pm Sao Paulo Time
  • CLP: Chilean Central Bank Rates are published daily for operations settled in the prior business
  • CNY: Set at 9.15am before the Spot open at 9.30am. More or less a black box. Before was determined by PBOC itself based on a basket of currencies they have set. Now PBOC is doing a market survey with several onshore banks
  • COP: The Market Representative Exchange Rate (Tasa Representativa del Mercado) states the daily exchange rate in the colombian market. It corresponds to the arithmetic average of the average weighed bid and ask rates of interbank and transfer operations, completed by authorized market intermediaries
  • IDR: weighted average of USD/IDR spot transactions traded in the interbank market between 8.00am and 9.45am Jakarta time
  • INR: Average spot rate of a 15 min window given by RBI out of a 30-min window (11.00am to 11.30am Mumbai Time). Rate published at 1pm Mumbai Time
  • KRW: volume-weighted average of the rates applied in daily transactions between foreign exchange banks brokered through Seoul Money Brokerage Services. Fixing Rate is published at 3.30pm Seoul Time
  • MYR: Contribution of 10 banks at 11.00am onshore on Thomson Reuters. Removes the highest and lowest quartile and averaging the remaining rates. Fixings are released at 11.10am on the Reuters page MYRFIX2
  • PEN: Weighted average exchange rate for NDF's fixing rate calculation. It is calculated by Datatec and published for Superintendencia de Banca, Seguros y AFP Peru and the Central Reserve Bank of Peru.
  • PHP: Morning Weighted averaged of the prices traded in the spot market. Rate is available at 11.31am Daily and published on PDEX
  • TWD: Spot Rate traded at 11.00am Taipei Time

NDF Margin Policy

With Saxo Bank, you are able to leverage your NDF positions up to 12.5 times, or 8% margin on all currencies.

Product Risk

Danish banks are required to categorise investment products offered to retail clients depending on the product’s complexity and risk as: green, yellow or red.

A Non-Deliverable Forwards is categorised as a red product as it is considered an investment product with a high complexity and a high risk. See also the Product Risk Categorisation located under our General Business Terms.

General Business Terms