JPMorgan-US Equity Financing and AIR TRF Monitor April 9, 2024-107482649

JPMORGANGlobalQuantitative&DerivativesStrategy09April2024USEquityFinancingandAIRTRFMonitorApril9,2024Inthispublication,weprovideanalyticsonequityfinancingmarketsandadjustedGlobalQuantitativeandDerivativesinterestratetotalreturnfutures(AIRTRFs),includingpricing,termstructure,Strategyopeninterestandvolumes.BramKaplan,CFAACHighlights(1-212)272-1215•Short-datedimpliedfinancingratesincreasedontheS&P500andNasdaq100bram.kaplan@jpmorgan.comw/w,causingthefundingtermstructurestoflatten,butdecreasedontheRussellDanielMotocAC2000leadingtoasteepeninginthetermstructure.(1-212)622-0105•S&P500AIRTRFpricingincreasedw/w,withasizableincreaseatthefrontdaniel.motoc@jpmchase.comend(e.g.Jun’24+14bps,Sep’24&Dec’24+6bps).MarkoKolanovic,PhD•VolumesonS&P500AIRTRFstotaled~$11.8Bnoverthelastweek(1.4z)(1-212)622-3677marko.kolanovic@jpmorgan.comwiththebulkoftradingontheJun’24contracts,butnotablevolumesalsoinJ.P.MorganSecuritiesLLCDec’24,Mar’25,andDec’25.•OpeninterestontheS&P500AIRTRFsincreased$1.2Bnw/w.•TheRussell2000AIRTRFstraded~$130MnontheSep’24andDec’24contractsoverthelastweek,whiletheNasdaq100didnottrade.Figure1:S&P500ImpliedFundingRateHistorySpreadvs.SOFR,annualized0.9%SPX3MIFR0.8%SPX1YIFR0.7%SPX5YIFR0.6%0.5%0.4%0.3%0.2%0.1%0.0%-0.1%Mar'22Mar'23Mar'24Mar'21Source:J.P.MorganEquityDerivativesStrategySeepage5foranalystcerti...