| Transaction clearing day for the cash and the futures market (Day R) |
| No. |
Process |
Description |
| 1. |
Online monitoring of utilisation of a clearing member’s transaction limits, current initial margins, current marking to market and option premiums. Posting and releasing cash and non-cash assets as initial deposits and initial margins in PLN and EUR
|
on a clearing day:
- posting cash in PLN (from 8:00 to 17:15), releasing (from 8:00 to 17:15),
- posting cash in EUR (from 8:00 to 12:00), releasing (from 8:00 to 14:00),
- posting and releasing securities (from 8:00 to 18:15*)
*according to the Accounting day timetable of KDPW (Appendix 2 to the Detailed Rules of Operation of KDPW)
according to §§ 47-49 and § 51 of the Rules of Transaction Clearing (organised trading) and §§ 31-35, §§ 37-38 of the Detailed Rules of Transaction Clearing (organised trading) |
| 2. |
Regular clearing session for KDPW_CCP guaranteed transactions |
start of processing (at 18.00)
according to Appendix 4 to the Detailed Rules of Transaction Clearing (organised trading) |
| 3. |
Distributing post-clearing reports |
Clearing members receive messages which notify them of:
- initial margin for cash and derivatives markets under the SPAN methodology,
- initial margin for the derivatives market under the PRCM (Portfolio Risk Calculation Model) methodology,
- contributions to the clearing fund and the guarantee funds,
- current marking to market for futures and option premiums,
- projections of credit and debit balances at the transaction date on the cash market,
- projections of securities flows at the transaction date on the cash market.
according to § 40 of the Detailed Rules of Transaction Clearing (organised trading) |
| Day after the transaction clearing date on the cash and derivatives market after Day R (Day R+1) |
| 1. |
Payment of credits and debits in respect of initial margins for cash and derivatives transactions, daily marking to market, option premiums, clearing fund and guarantee funds |
debit transfers 15 minutes before the session opens
according to § 47 of the Rules of Transaction Clearing (organised trading) and § 28 of the Detailed Rules of Transaction Clearing (organised trading)
credit transfers |