JPMorgan-US Equity Financing and AIR TRF Monitor Feb 6, 2024-106378627

JPMORGANGlobalQuantitative&DerivativesStrategy06February2024USEquityFinancingandAIRTRFMonitorFeb6,2024Inthispublication,weprovideanalyticsonequityfinancingmarketsandadjustedGlobalQuantitativeandDerivativesinterestratetotalreturnfutures(AIRTRFs),includingpricing,termstructure,Strategyopeninterest,andvolumes.BramKaplan,CFAACHighlights(1-212)272-1215•TheUSfinancingtermstructuressteepenedasshort-andintermediate-datedbram.kaplan@jpmorgan.comfundingratesdecreasedsignificantlyw/w,despitethemarkettradinghigher.DanielMotocACHowever,aswenotedinyesterday’sDelta-OneFlows&Positioningnote,thereweresizablenetsellingflows(-1.7z)inS&P500futureslastweek.(1-212)622-0105daniel.motoc@jpmchase.com•AIRTRFpricingfellsignificantlyattheshortendofthecurve,withtheMar’24MarkoKolanovic,PhDcontractdown12bpsandtheJun’24contractdown10bpsw/w,whichlargelyreversedthesecontracts’increasesinthepriortwoweeks.Therestofthecurve(1-212)622-3677fell~1-4bpsw/w.marko.kolanovic@jpmorgan.comJ.P.MorganSecuritiesLLC•VolumesonS&P500AIRTRFstotaled$8.5Bnoverthelastweek(1.3z),withtheMar’24,Dec’24,Dec’25,andDec’26contractsaccountingforthebulkoftrading•OpeninterestontheS&P500AIRTRFsincreasedby$3.3Bnw/w•TheRussell2000andNasdaq100AIRTRFsdidnottradeoverthelastweekFigure1:S&P500ImpliedFundingRateHistorySpreadvs.SOFR,annualized0.9%0.8%0.7%0.6%0.5%0.4%0.3%0...