Arc StableFX RFQ Model

Quantify Herstatt principal risk exposure under current FX settlement and model Arc StableFX RFQ spread savings vs CLS settlement windows. Arc StableFX is Circle's 24/7 on-chain FX engine — providing continuous atomic PvP settlement to eliminate Herstatt risk per PFMI Principle 12. Client-side. Deterministic. Zero PII.

AP2 Export Wave 10 PFMI P12 · BIS Herstatt StableFX · 24/7 PvP treasury_mandate

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FX Settlement Profile

Stablecoin FX pair StableFX supports stablecoin currency pairs on Arc L1

Daily FX notional (USD equiv.) Total FX volume per trading day (USD equivalent)

Trading days per year 252 = standard exchange calendar; 365 = 24/7 operations

Current all-in FX spread (bps) Current spread paid to FX provider (bps of notional). Typical interbank: 1–5 bps. Retail: 30–150 bps.

StableFX estimated spread (bps) Estimated StableFX RFQ spread. User-adjustable — Arc StableFX targets competitive on-chain spreads. Default: 2 bps (estimate).

CLS eligible? (bilateral netting) CLS settles ~17h of FX per day (5 windows). 7h daily gap exposes principal risk.

Max unhedged exposure window (hours) Hours per day where sold currency has settled but bought leg has not. CLS gap: ~7h. Non-CLS: up to 24h+.

Counterparty credit spread (bps) Credit spread for counterparty (bps). Used to price Herstatt exposure cost. Typical IG bank: 20–80 bps.

Herstatt Risk Exposure

Spread Savings — StableFX vs Current Provider

Settlement Comparison