The dividend swap market recorded its most acute loss on May 7, providing an open door for hedge funds to record healthy profits. The market in dividend options was down 12% on the day and as much as 15% at one point, according to a banker in London. “This sudden abrupt move was due to adverse factors: we saw a few hedge funds deleveraging and derisking their books at the beginning of the same week, and we had a mini stock market crash in the US on Thursday,” the banker says.
Derisking may have l
The week on Risk.net, July 7-13, 2018Receive this by email