Part Attachment D — Unsettled and failed tran - Banking (prudential standard) determination No. 2 of 2025 - Attachment D — Unsettled and failed transactions | Zoe
Delivery-versus-payment (DvP) transactions include any transaction settled through a system which provides for the simultaneous exchange of securities or commodities for cash, and expose an ADI to the risk of loss on the difference between the transaction valued at the agreed settlement price and the transaction valued at the current market price. This includes payment-versus-payment transactions.
An ADI must apply the risk weights in Table 18 to all DvP transactions, excluding SFTs, which remain unsettled after their due delivery dates. The amount that must be multiplied by the relevant risk weight is the positive current exposure amount of the DvP transaction, i.e. the difference between the agreed settlement price of the transaction and the current market price of the transaction where this would result in a loss to the ADI.
Risk weights for DvP transactions
Number of business days after settlement date
Risk weight (%)
5 to 15
100
16 to 30
625
31 to 45
937.5
46 or more
1250
An ADI must hold Regulatory Capital against a non-DvP transaction which exposes the ADI to the risk of loss on the full amount of cash paid or deliverables delivered, where:
it has paid for debt instruments, equities, foreign currencies or commodities before receiving them or it has delivered debt instruments, equities, foreign currencies or commodities before receiving payment for them; and
in the case of a cross-border transaction, one day or more has elapsed since it made that payment or delivery.
An ADI must calculate the capital requirement for a non-DvP transaction as follows:
from the business day after the ADI has made its payment or delivery for up to and including four business days after the counterparty payment or delivery is due, the ADI must treat the transaction as an exposure; and
from five business days after the ADI has made its payment or delivery until extinction of the transaction, the ADI must apply a 1250 per cent risk weight to the value transferred plus the positive current exposure amount.
Where a non-DvP transaction must be treated as an exposure in accordance with paragraph 4(a) of this Attachment, an ADI may:
apply the relevant risk weight based on the counterparty as detailed in Attachment B to this Prudential Standard; or
where exposures are not material, apply a 100 per cent risk weight provided that all such exposures are risk-weighted consistently.