T215 · Cat-18 · Cross-Border FX & Payments · Settlement Risk

Quantify your FX settlement fails exposure

Assess FX settlement risk for CLS-eligible vs. non-CLS trades: principal risk, replacement cost exposure, Herstatt risk window, and CLS netting benefit. Based on BIS PvP guidance and CPMI FX settlement risk framework.

FX Settlement · CLSPrincipal RiskNon-CLSZero PII · Client-side

Last Reviewed · 2026-05-12

Configuration

🔒 All inputs are processed locally in your browser. No data is transmitted. Do not enter real personal data — use synthetic or anonymised inputs only.

Settlement Type

CLS eliminates principal risk for eligible currencies. Non-CLS exposes full notional.

Notional (USD equivalent, millions)

Enter full principal of the FX transaction.

Counterparty Credit Quality

Currency Pair Class

Settlement Lag (hours)

About this tool

Principal risk is the risk that a counterparty fails after delivering one leg of a trade but before receiving the other. For non-CLS trades, the full notional is at risk. CLS eliminates this through payment-versus-payment settlement.

Replacement cost (positive replacement value) is the cost to replace the trade at current market rates if the counterparty defaults before settlement. Estimated as 2-sigma move over the settlement lag at typical FX volatility.

Herstatt risk arises from time-zone differences — the window between one leg settling (e.g. EUR payment in Europe) and the other (USD payment in New York).

BIS CPMI — PvP guidance for FX settlement (November 2022)
BIS — Reducing foreign exchange settlement risk: a progress report (2023)
CLS Group — How CLS works: settlement statistics 2024

FX Settlement Risk Assessment