Initial margin is the minimum margin required to be in your account for you to take a position. The initial margin required for the positions is computed using a software called SPAN (Standard Portfolio Analysis of Risk) and hence is also referred to as SPAN margin. SPAN margin covers the risk for 99% of the days.
Exposure margin is the margin charged over and above the SPAN margin. Charging Exposure margin is at the discretion of the broker, however most brokers do charge to cover for any potential losses that may occur on 1% of the days not covered by SPAN margin.
Failure to have requisite SPAN margin in the account can result in penalty being levied by the Exchanges.