Expert view: rolling futures rather than spot prices to address repo risk

In the first part of the interview with Francesco Taglietti, head of equity derivatives data & risk analytics at Citi, we looked at the benefits of removing any direct exposure to the dividends, and reducing the risks that banks need to manage. In the second part, we analyse how investors can benefit from synthetic dividend underlyings and what comes after decrement. “When buying autocallables, investors are implicitly selling future dividends at the current market levels,” says