Case Study

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Case Study

A portfolio consists of 30-year Interest Rate swap (USD) and a bundle of 3 Equity swaps with the following
characteristics given below. Calculate the Initial Margin Number for the portfolio.
You can refer to the SIMM Model guide for review. Consider only interest rate risk on the swap and only
equity risk on the bundle. Ignore any concentration threshold.

https://www.isda.org/a/oDHTE/ISDA-SIMM-v2.3-PUBLIC.pdf

DV01 of IR Swap
Tenor DV01
1Y 1,800
30Y 10,000

Equity Swaps Bundle:

Underlying Sector Equity Delta
ABX Stock Technology 15,000
CDV Stock Utility 50,000
Stock Index n.a. 30,000

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Term & Conditions:
• Case study submission must be an individual exercise. Plagiarism found will lead to disqualification
from the hiring process

• Submissions must be a Powerpoint presentation with no more than 5 content slides along with
Excel model
• Initial slide must contain your details i.e. Name, Campus name, Roll number
• Submissions must be sent to your placement committee by 12:00 PM IST on 13-Sep-21
• Subject of the emails sent must be in the following format: <Campus_Name>_<First Name>_<Last
Name>

Filenames (ppt/excel etc.) sent along as attachment must also be in the same format.
• Any submissions received after the deadline will not be considered.

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