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Capital Requirements for DvP Transactions

No: 44047144 Date(g): 27/12/2022 | Date(h): 4/6/1444

Effective from Jan 01 2023 - Dec 31 2022
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25.9For 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 dateCorresponding risk multiplier
From 5 to 158%
From 16 to 3050%
From 31 to 4575%
46 or more100%