Understanding Cash-Settled Futures

What is This?

This spread sheet is my own attempt to show how the collateral flow to or from a clearing house works. I created it about five years ago when I was working at a bank, and needed to explain the relationships between different quantities, and how they are calculated.

If you have a rough idea of how futures work, and want to see a detailed example, this post might help. If you don’t know what futures are, this won’t help, but Wikipedia’s intro might.

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