At the peak of the coronavirus crisis, initial margin (IM) requirements set by central counterparties undershot their exposures to clearing members, backtesting results show.

IM models are supposed to generate margin requirements for each clearing account sufficient to cover a CCP’s potential future exposure to that account owner’s default. A good model should be able to set IM requirements that are large enough to absorb yo-yoing price changes, up to a specified confidence interval, over a