CCM Derivatives case studies
CCM Derivatives · Put your knowledge to work in context.
The CCM Derivatives credential is a specialist examination for treasury and cash-management professionals who need to understand, measure and control an organisation's exposure to interest rates, foreign exchange and commodity prices. It suits cash managers, treasury analysts, assistant treasurers and finance staff who already handle liquidity and funding and are moving into hedging and risk oversight. The CCM Derivatives case studies are 5 cases and about 2,813 words.
1The Treasury That Hedged the Wrong Benchmark
A mid-sized industrial borrower has a 250 million term loan priced at SOFR + 175 bps, resetting quarterly, maturing in 4 years. In January, the treasurer, expecting rates to rise, entered a 3-year pay-fixed SOFR swap at 4.10% with a notional of 250 million, amortizing to match scheduled principal.
577 words, about 3 min2The Exporter Who Sold Forward and Then Won a Contract
A European capital-goods manufacturer expects to invoice a U.S. customer €120 million equivalent (about 130 million) in six months, and in March sells 130 million forward at EUR/USD 1.0850 to lock the euro value.
585 words, about 3 min3The Collateral Call That Became a Liquidity Crisis
A hedge fund runs a 2 billion portfolio of interest rate swaps with a single dealer under a bilateral CSA with a 5 million threshold and daily variation margin in cash. The fund also has a 400 million repo book with the same dealer, secured by Treasuries.
570 words, about 3 min4The Airline's Fuel Hedge That Moved the Wrong Way
An airline hedges 70% of its next-12-month jet fuel exposure using crude oil futures, on the theory that jet fuel and crude are highly correlated. Fuel budget is 1.2 billion; the hedge covers 840 million notional.
532 words, about 3 min5The Swap Dealer's Valuation Dispute at Quarter-End
A corporate has a 10-year receive-fixed/pay-floating swap with a dealer, notional 100 million, entered at par two years ago. At quarter-end, the dealer marks the swap at negative 4.8 million to the corporate (i.e., the corporate owes 4.8M if terminated).
549 words, about 3 min