JPMorgan-US Equity Financing and AIR TRF Monitor May 7, 2024-108103288

JPMORGANGlobalQuantitative&DerivativesStrategy07May2024USEquityFinancingandAIRTRFMonitorMay7,2024Inthispublication,weprovideanalyticsonequityfinancingmarketsandadjustedGlobalQuantitativeandDerivativesinterestratetotalreturnfutures(AIRTRFs),includingpricing,termstructure,Strategyopeninterestandvolumes.BramKaplan,CFAACHighlights(1-212)272-1215•Short-datedimpliedfinancingratesdecreasedw/w,causingtheS&P500,bram.kaplan@jpmorgan.comNasdaq100,andRussell2000fundingtermstructurestosteepen.DanielMotoc,CFAAC•PricingontheS&P500AIRTRFsshowedmixedandmodestchangesw/w.(1-212)622-0105•VolumesonS&P500AIRTRFstotaled~$11.9Bnoverthelastweek(1.3z),daniel.motoc@jpmchase.comwiththemajorityoftradingontheJun’24andDec’24contracts,butnotableMarkoKolanovic,PhDvolumesalsoinSep’24,Mar’25,Jun’25,Dec’25,andDec’26.(1-212)622-3677•OpeninterestontheS&P500AIRTRFsincreased$4.2Bnw/w.marko.kolanovic@jpmorgan.com•TheRussell2000AIRTRFstraded~$100MnontheSep’24contract,whiletheJ.P.MorganSecuritiesLLCNasdaq100AIRTRFsdidnottradeoverthelastweek.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%May'22May'23May'24May'21Source:J.P.MorganEquityDerivativesStrategySeepage5foranalystcertificationandimportantdisclosures.J.P.Morgandoesandseekstodobusinesswithcompaniescov...