NISM Series IV (Interest Rate Derivatives) case studies
NISM Series IV (Interest Rate Derivatives) · Put your knowledge to work in context.
The NISM-Series-IV: Interest Rate Derivatives Certification Examination is one of the certification examinations offered by the National Institute of Securities Markets (NISM), a public trust established in 2006 by the Securities and Exchange Board of India (SEBI), the regulator of the securities markets in India. NISM lists this examination within the Derivatives group of its certification examinations, alongside the Series-I Currency Derivatives, Series-VIII Equity Derivatives, Series-XVI Commodity Derivatives and Series-XIII Common Derivatives examinations, and it also maintains a dedicated Interest Rate Derivatives CPE/eCPE continuing education route for certified professionals. The NISM Series IV (Interest Rate Derivatives) case studies are 5 cases and about 2,737 words.
1Amortising OIS Hedge for a Floating-Rate Term Loan
An Indian auto-components manufacturer has a ₹500 crore working-capital term loan priced at six-month MIBOR plus 180 bps, reset every 15 January and 15 July. The loan amortises ₹50 crore on each reset date, beginning 15 July next year.
628 words, about 3 min2Pre-Issuance Hedge of a Corporate Bond with 10-Year Interest Rate Futures
An NBFC plans to raise ₹200 crore through a 10-year domestic bond issue in 45 days to fund infrastructure loans. The treasurer expects the benchmark 10-year G-Sec yield, currently 7.10%, to rise by 40 bps before pricing, which would raise the coupon by roughly the same amount.
494 words, about 2 min3Clearing Member Facing a Client Margin Shortfall
A clearing member (CM) of a domestic exchange clears interest rate futures for a proprietary trading client. The client is long 5,000 contracts of the 10-year IRF, with a notional of ₹2 lakh each.
605 words, about 3 min4Choosing Between Receive-Fixed One-Year OIS and Long 10-Year IRF
A proprietary rates desk has a three-month view that the RBI will cut the policy repo rate by 50 bps. The one-year MIBOR-OIS is quoted at 6.60%, the five-year OIS at 6.90%, and the 10-year G-Sec yield is 7.05%.
487 words, about 2 min5Hedging a Bank's Negative Repricing Gap with OIS
A mid-sized bank has ₹800 crore of five-year fixed-rate loans at 8.90% and funds them with one-year retail deposits currently at 7.10%. The deposits reprice annually and the bank expects deposit rates to rise by 100 bps over the next year.
523 words, about 3 min