M6A — CM-SIP: Specified Investment Products (Derivatives and CIS)
CM-SIP Case Studies
Chapter 12 tests the whole paper through client scenarios: a named client, a view or need, a product's terms, and one question asking you to calculate a payoff, pick the right strategy or spot the suitability problem. The full mock draws its case-study section from these items. The skill is reading the terms carefully, deciding the client's exposure and view, and applying the chapter formulas without dropping a conversion ratio, cap, barrier or basis.
4 min read·5 sections
✓Checked against the IBF CMFAS CM-SIP syllabus chapter 12 and the IBF CM-SIP Summary of Updates Jan 2026 v1.1 (Case Study 12.5 format and workings); SGX DLC Product Guide and FAQ; HKEX CBBC FAQ; MoneySense structured deposit, deposit insurance and synthetic ETF guides; MAS Code on CIS (last revised 2 Jul 2026); checked 13 Sep 2026. Unofficial prep, not endorsed by MAS or IBF.
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Must-know for the exam
✓Step 1, exposure: is the client long, short, or about to buy? Hedge with the opposite position.
✓Step 2, view: bullish, bearish, range-bound or big move either way decides the product (call or long DLC; put or short DLC; range accrual or no-touch; straddle).
✓Step 3, horizon and liquidity: DLCs and CFDs suit short holds; structured deposits, notes and guaranteed funds protect only at maturity.
✓Step 4, who pays: issuer, guarantor, swap counterparty or clearing house. A bank-issued note, deposit, warrant, DLC or CBBC is only as safe as its issuer.
✓Futures: contracts = value / (price x multiplier) x beta; 3-month rate futures cover $1m for a quarter each.
✓Warrants: IV = (S - X)/n; premium % = (nW + X - S)/S; break-even = X + nW; gearing = S/(nW).
✓DLCs: compound day by day; overnight gap of 100%/leverage wipes out the DLC; airbag resets from the New Observed Level.
✓Range accrual yield = max x time in range + min x time out of range; double no-touch drops to the minimum on any touch.
✓DCI conversion = principal / strike; reverse convertible shares = principal / strike price.
✓CFDs: loss can exceed margin; financing = notional x rate x days / 365; short positions are debited dividends.
▸On this page · 5 sections
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Traps that cost marks
→Ignoring beta (200) or dividing by it (222).
→Assuming a hedge always achieves the original futures price.
→Buying futures, or covering only one 3-month period.
→Reporting gold's percentage move instead of the loss on margin.
→Misplacing the decimal or quoting the gain in USD.
→Assuming futures below spot must be fairly priced.
→Using the target beta alone (78) or the full portfolio (60).
→Treating a correlated hedge as perfect.
Why this matters in the exam
•The CM-SIP paper includes a block of case-study questions. They carry the same marks as short questions but take longer, so a reliable method saves time. The IBF's own case study 12.5 walks through a range accrual note: calculate the yield, then explain how to make the structure cheaper, then change the barrier style. Expect the same pattern.
A four-step method
•Exposure: write down what the client already holds or owes (portfolio, receivable, loan, planned purchase).
•View and horizon: what does the client expect, and when will they need the money?
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