Gambling on dividends

Dividends have caused sizeable losses for dealers and investors over the past few months, as a precipitous fall in expectations has hit structured product issuers and those who participated in dividend swaps. Mark Pengelly investigates


Corporate dividends are one of a number of old certainties in the equity derivatives market to have come unstuck in 2008. "It's been a roller-coaster year for dividends," says Daniel McNeill, head of equity exotics and hybrids for the Americas at JP Morgan in New York.

Earlier this year, dividend risk was one of several parameters that didn't act according to plan for structured product desks. Then, correlation and volatility soared at the same time as dividend expectations faltered, delivering

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