Dividends
US dividend futures top $6bn on structured note boom
Traders also eye opportunities in options on S&P dividends as April rout creates skew dislocations
Did tariff rout expose ‘autocallification’ in US dividend futures?
Bank of America cites curve flattening and beta surge as evidence of autocall hedging
US tariffs spur rush to European dividend futures
Turnover hits €3.5bn in three days as traders brace for fallout on corporate balance sheets
Fed hikes stress capital buffers for 18 US banks
Nine dealers face record-high SCBs as poor performance in latest DFAST weighs on capital requirements
T+1 shift sparks dividend chaos in HK structured products
Products staying on T+2 leave providers scrambling to deal with ex-dividend dates caught inbetween
How HSBC got better at pricing share buy-backs
Monte Carlo approach generates faster, more reliable pricing for complex deals
Bankers call for overhaul of EBA stress tests
Support for multiple scenarios, but only if fixed assumptions and variables are scaled back
Analytical conversion between implied volatilities based on different dividend models
The authors propose an explicit formula for the conversion of implied volatilities corresponding to dividend modelling assumptions which covers a wide range of strikes and maturities.
Getting the jump on pricing dividend-protected derivatives
Morgan Stanley quants show how to avoid mispricing corporate options and convertible bonds
The contractual dividend bleed
Models for dividend protected options need to compensate for valuation mismatches
BofA, Citi among hardest hit in latest Fed buffer review
Five out of eight US systemic banks face higher stress capital buffer add-ons
HSBC exhausts leverage headroom in Fed stress tests
Goldman Sachs worst performer among US banks
No soft landings in flight to safety from Russia
Impact of Ukraine invasion hit bank balance sheets hard; its effects look set to continue
UniCredit ties buybacks to Russian exposure fallout
The Italian lender could lose as much as 200bp of CET1 ratio from a full write-down of Russian assets