Replay attack is considered a common attacking technique that is used by adversaries to gain access to confidential information. Several approaches have been proposed to prevent replay attack in security-critical systems such as Automated Teller Machines (ATM) systems. Among those approaches is a recent one called the Mutual Chain Authentication Protocol for the Saudi Payments Network transactions (MCAP). This protocol aims to allow Saudi banking systems to overcome existing weaknesses in the currently used Two-Factor Authentication (2FA) protocols. In this paper, we analyze and verify the recent MCAP authentication protocol against replay attacks. Therefore, we examine the mutual authentication between the ATM Terminal, Sponsoring Banks (SBAT), Saudi Payments Network (SPAN) and the Issuing of Financial Bank (CIFI). The paper also provides a formal analysis of the MCAP to conduct formal proofs of the MCAP protocols against replay attacks.According to the specifications of MCAP [1], the mutual chain in the authentication session consists of four pairs of initiator-responder messages. These pairs are divided into two classes (direct and indirect) [1]. In direct class, the mutual authentications between (ATM terminals and Sponsoring banks (SBAT)), (SBAT and SPAN), and (SPAN and CIFI) depend on the values of (old and new) transaction numbers as freshness values. On the