JPMorgan-US Equity Financing and AIR TRF Monitor March 12, 2024-106994860

JPMORGANGlobalQuantitative&DerivativesStrategy12March2024USEquityFinancingandAIRTRFMonitorMarch12,2024Inthispublication,weprovideanalyticsonequityfinancingmarketsandadjustedGlobalQuantitativeandDerivativesinterestratetotalreturnfutures(AIRTRFs),includingpricing,termstructure,Strategyopeninterestandvolumes.BramKaplan,CFAACHighlights(1-212)272-1215•Front-endimpliedfinancingratesincreasedw/waswemovethroughthebram.kaplan@jpmorgan.comfuturesrollperiod,whilelongertermfinancingratesincreasedmoremodestly,DanielMotocACcausingthefrontendofthefundingratetermstructurestofurtherflatten/invert.(1-212)622-0105•S&P500AIRTRFpricingincreased~1-2bpsw/w,withtheexceptionofthedaniel.motoc@jpmchase.comMar’24contractthatsurgedasitnearsexpiryandtheJun’24contractthatMarkoKolanovic,PhDdecreased1bpw/w.(1-212)622-3677•VolumesonS&P500AIRTRFstotaled$22.3Bnoverthelastweek(4.2z),withmarko.kolanovic@jpmorgan.comJ.P.MorganSecuritiesLLCthebulkoftradingontheMar’24,Jun’24,Dec’24andDec’25contracts.•OpeninterestontheS&P500AIRTRFsincreased~$3.1Bnw/w•TheRussell2000andNasdaq100AIRTRFsdidnottradeoverthelastweekFigure1: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.MorganEquityDerivativesStrategySeepage5foranalystcertificationandimp...