JPMorgan-US Equity Financing and AIR TRF Monitor Feb 20, 2024-106601182

JPMORGANGlobalQuantitative&DerivativesStrategy20February2024USEquityFinancingandAIRTRFMonitorFeb20,2024Inthispublication,weprovideanalyticsonequityfinancingmarketsandadjustedGlobalQuantitativeandDerivativesinterestratetotalreturnfutures(AIRTRFs),includingpricing,termstructure,Strategyopeninterest,andvolumes.BramKaplan,CFAACHighlights(1-212)272-1215•S&P500impliedfundingratesincreasedslightlyw/w,whileNasdaq100andbram.kaplan@jpmorgan.comRussell2000fundingrateswerelittlechangedDanielMotocAC•AIRTRFpricingdecreased~1-2bpsatthefrontend,butincreased~1-2bps(1-212)622-0105daniel.motoc@jpmchase.comatthelongendw/wMarkoKolanovic,PhD(1-212)622-3677marko.kolanovic@jpmorgan.comJ.P.MorganSecuritiesLLC•VolumesonS&P500AIRTRFstotaled$3.3Bnoverthelastweek(-0.3z),withtheMar’24,Dec’24,andDec’25contractsaccountingforthebulkoftrading•OpeninterestontheS&P500AIRTRFswaslittlechangedw/w•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.Morgandoesandseekstodobusinesswithcompaniescoveredinitsresearchreports.Asaresult,investorsshouldbeawarethatthefirmmayhaveaconflict...