CISI Derivatives (CISI) case studies
CISI Derivatives · Put your knowledge to work in context.
The CISI Derivatives qualification is one of the professional qualifications offered by the Chartered Institute for Securities & Investment (CISI), a financial services professional body with over 54,000 members worldwide. It is designed for practitioners who need a working knowledge of derivative instruments and their markets, including those in trading, sales, risk, compliance, operations and investment management. The syllabus is organised around five areas: derivatives fundamentals and market structure; futures and forward contracts; options pricing, strategies and risk; swaps and OTC derivatives; and regulation, clearing, margining and ethics. Each area carries an indicative 20% weight. The CISI Derivatives case studies are 5 cases and about 3,335 words.
1Wheat Hedge: Futures, Forward or Split?
Northwind Foods, a UK biscuit manufacturer, must buy 5,000 tonnes of milling wheat in three months. The treasurer wants to hedge 80% of the exposure.
672 words, about 3 min2Collar or Protective Put for a Concentrated Equity Holding
Priya manages an £8.4m portfolio holding 1,000,000 shares of Helio plc at £8.40. She fears a 15% fall over six months but does not want to sell because of a large unrealised gain and a lock-up.
641 words, about 3 min3Fixing the Cost of a SONIA-Linked Loan
Ridgeway Logistics has a £150m four-year term loan priced at compounded SONIA plus 1.10%, reset annually. The treasurer expects rates to rise and wants certainty.
636 words, about 3 min4Clearing, Collateral and Allocation of an OTC Swap
Aldergate Asset Management is an FCA-authorised investment firm managing several funds. A portfolio manager executes a £75m notional 10-year fixed-to-floating GBP interest rate swap with a non-UK bank to hedge a fund's liability.
678 words, about 3 min5Reducing Equity Beta with Index Futures
Kestrel Pension Fund has a £100m UK equity portfolio with a beta of 1.10 against the FTSE 100. The investment committee wants to reduce beta to 0.70 for the next three months because of a short-term market view, without selling shares and triggering transaction costs.
708 words, about 4 min