Payment-versus-Payment FX Settlement

Matched legs, net pay-in, conditional simultaneous settlement, and net pay-out

Payment-versus-Payment FX Settlement Matched legs, net pay-in, conditional simultaneous settlement, and net pay-out submit sell-USD leg submit sell-EUR leg matched pair -> snapshot pay-in schedule pay-in schedule fund net-short USD fund net-short EUR pay-ins confirmed settle both legs or neither PvP invariant: no negative balance in any currency pay-out net-long EUR pay-out net-long USD Submit & match Net pay-in funding PvP settle & pay-out Member A · buys EUR / sells USD · Sequence participant Member A buys EUR / sells USD Matching · leg pairing · Sequence participant Matching leg pairing PvP Engine · settlement ledger · Sequence participant PvP Engine settlement ledger RTGS · central-bank money · Sequence participant RTGS central-bank money Member B · buys USD / sells EUR · Sequence participant Member B buys USD / sells EUR Legend request return security async trace

Principal Risk Removed

  • • Both currency legs commit together or not at all
  • • No window where one member pays without receiving
  • • Herstatt (principal) loss is engineered out

Funded on Net

  • • Members fund only net-short currencies
  • • Snapshot freezes obligations before funding
  • • Order-of-magnitude less intraday liquidity

Conditional & Final

  • • A trade settles only when both legs are funded
  • • No settlement balance goes negative mid-cycle
  • • Net-long balances pay out after finality

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