Settlement

Settlement is the process by which interest rate swaps and fixed-yield positions conclude. XCCY’s settlement is designed to be predictable, netted, and fully on-chain.

Core Concept

• Positions settle at predefined maturity dates.

• No principal is exchanged — only interest differences are settled.

• Settlement happens automatically, without user action.

This mirrors how traditional fixed-income products mature, but with on-chain transparency.

How Settlement Works

1. Rate Fixing

   • At maturity, the floating rate is determined using time-weighted oracle data.

   • This prevents manipulation and last-minute volatility impact.

2. PnL Calculation

   • The protocol calculates the difference between:

     • The fixed rate agreed at entry

     • The realized floating rate over the term

3. Netting & Payout

   • Gains and losses are netted internally.

   • Only the final amount is transferred to or from the user’s collateral.

Early Exit

• Positions can be closed before maturity by unwinding at the current market rate.

• Early exit reflects:

  • Current fixed rate level

  • Remaining time to maturity

  • Accrued fixed-floating interest rate differential

  • Accrued fees

This ensures fair pricing without penalties or opaque rules.

LP Settlement

• LP fees accrue continuously and settle at maturity, available to be claimed during IRS tenor.

• Rate PnL is realized when positions close or mature.

• Portfolio margining allows LP capital to roll efficiently across maturities.

Safety & Guarantees

• Settlement is governed by the Risk Engine and Collateral Engine.

• Collateral is always sufficient to cover worst-case exposure.

• No socialized losses for normal market moves.

Key Takeaways

• Settlement is automatic, predictable, and on-chain.

• Only interest differences move — not principal.

• Early exits are fair and market-based.

• Risk controls ensure safe and final settlement.