How Does a De-Peg Event Affect the Margin Requirements for a Futures Contract?

When the stablecoin used for margin and settlement de-pegs below $1, the real value of the collateral held by the exchange decreases instantly. This effectively reduces the trader's margin and increases the risk of under-collateralization.

The exchange may need to rapidly increase margin requirements or initiate forced liquidations to cover the now-insufficient margin value. This is a significant operational risk for the clearing house.