For DvP transactions, if the payments have not yet taken place five business days after the settlement date, firms must calculate a capital requirement by multiplying the positive current exposure of the transaction by the appropriate factor, according to the Table 34 below.
Table 34
Number of business days after the agreed settlement date
Corresponding risk multiplier
From 5 to 15
8%
From 16 to 30
50%
From 31 to 45
75%
46 or more
100%
Book traversal links for Capital Requirements for DvP Transactions