JPMorgan-US Equity Financing and AIR TRF Monitor Feb 13, 2024-106512501

JPMORGANGlobalQuantitative&DerivativesStrategy13February2024USEquityFinancingandAIRTRFMonitorFeb13,2024Inthispublication,weprovideanalyticsonequityfinancingmarketsandadjustedGlobalQuantitativeandDerivativesinterestratetotalreturnfutures(AIRTRFs),includingpricing,termstructure,Strategyopeninterest,andvolumes.BramKaplan,CFAACHighlights(1-212)272-1215•TheUSfinancingtermstructuresflattenedasshort-datedfundingratesbram.kaplan@jpmorgan.comincreasedonthemarketrallylastweek.DanielMotocAC•AIRTRFpricingincreasedatthefrontend,withtheMar’24contractup4bps(1-212)622-0105daniel.motoc@jpmchase.comandtheJun’24contractup6bpsw/w.Therestofthecurvewaslittlechangedoverthelastweek.MarkoKolanovic,PhD(1-212)622-3677marko.kolanovic@jpmorgan.comJ.P.MorganSecuritiesLLC•VolumesonS&P500AIRTRFstotaled$6.8Bnoverthelastweek(0.7z),withtheMar’24,Dec’24,Dec’25,andDec’26contractsaccountingforthebulkoftrading•OpeninterestontheS&P500AIRTRFsincreasedby$3.1Bnw/w,~50%ofwhichwasduetothespotrally•TheRussell2000andNasdaq100AIRTRFsdidnottradeoverthelastweekFigure1:S&P500ImpliedFundingRateHistorySpreadvs.SOFR,annualized0.9%0.8%0.7%0.6%0.5%0.4%0.3%0.2%SPX3MIFR0.1%SPX1YIFR0.0%SPX5YIFR-0.1%-0.2%Feb'22Feb'23Feb'24Feb'21Source:J.P.MorganEquityDerivativesStrategySeepage5foranalystcertificationandimportantdisclosures.J.P.Morgandoesandseekstodobusiness...