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Timing of Initial Margin Calculations Around Close of Business

Article Quant Q&A · Author: Bython
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Summary

The response outlines common timings for calculating initial margin under the ISDA Standard Initial Margin Model. It describes calculation at close of business (COB), when the firm can use the full day’s market data; after COB, allowing time to process exchange data; and on the following day, when clearinghouses may publish margin early. It says COB plus one or two days is commonly used and notes that global-trade portfolios may be recalculated at the start of the next day.

The answer is a brief operational overview rather than a detailed comparison of market practices. It does not quantify the range of timings across firms, explain technical constraints by risk class, or define precisely how COB offsets work across time zones. Those details remain open in the question.

Key ideas

  • COB calculations can incorporate the full day’s market data.
  • A post-COB delay can provide time to process exchange data.
  • Clearinghouses may publish initial margin early on the following day.
  • The response identifies COB plus one or two days as common timing, with next-day recalculation for global trades.

Tags

Risk managementDerivatives pricing
Full text
# What is the usual timing of IM calculation (same day 4pm, COB, COB +x hours etc)? What is the range on the market?


# What is the usual timing of IM calculation (same day 4pm, COB, COB +x hours etc)? What is the range on the market?












Question as above regarding ISDA standard initial margin model. Are there any technical limitations to calculate margin for various risk classes (i.e. wait for end of tay trading book data)?

## Answer by smriti (score 0)

https://quant.stackexchange.com/a/80824

- End of Business day(COB): allows firm to take full day's market data.

- COB + X : allows to process data from exchanges

- COB + 1 :Clearinghouses may post IM next day in early hours.

Commonly used is COB +1/+2. For global trades, the IM can be recalculated at start of next day.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.