CISI Derivatives (CISI) case studies
CISI Derivatives · Put your knowledge to work in context.
The CISI Derivatives exam is one of the professional qualifications offered by the Chartered Institute for Securities & Investment (CISI), a financial services professional body whose head office is at 20 Fenchurch Street, London EC3M 3BY. CISI describes itself as serving over 54,000 members worldwide and offers a broad range of professional qualifications, professional assessments, learning materials and exam booking through its website. The CISI Derivatives case studies are 5 cases and about 3,083 words.
1Deploying Cash Equities Exposure: Futures, ETF or Total Return Swap
A US corporate pension plan has just received 45 million in cash and wants immediate exposure to large-cap US equities for about six months while it searches for a new manager. The plan can: (i) buy an S&P 500 ETF with a 0.07% annual expense ratio and a 3 bp bid-offer spread; (ii) buy S&P 500 futures at 5,250 with a 250 multiplier, 8% initial margin, and daily variation margin; or (iii) enter a six-month total return swap with a bank at SOFR+28 bp, daily margined.
637 words, about 3 min2Cross-Hedging Jet Fuel with Gasoil Futures
An airline expects to buy 2.4 million US gallons of jet fuel evenly over the next three months. It wants to hedge with ICE Gasoil futures, which are quoted in US dollars per tonne and have a contract size of 100 tonnes.
611 words, about 3 min3FX Option Structure for a USD Receivable
A European industrial exporter has just signed a contract to receive USD 12 million in three months. The current EUR/USD spot rate is 1.0900 and the three-month forward is 1.0875.
560 words, about 3 min4Hedging a Floating-Rate Term Loan with a Swap or Cap
A UK logistics company has a £60 million five-year term loan priced at SONIA plus 180 basis points, with quarterly resets. It wants to fix its interest cost for the next three years because it is bidding for a long-term contract with fixed revenues.
655 words, about 3 min5CDS Hedge of a Corporate Bond Holding
A UK bank holds £25 million face value of five-year bonds issued by a large regulated utility. The bonds yield 5.60%, 320 basis points over gilts.
620 words, about 3 min