JPMorgan-US Equity Financing and AIR TRF Monitor Jan 30, 2024-106228673

JPMORGANGlobalQuantitative&DerivativesStrategy30January2024USEquityFinancingandAIRTRFMonitorJan30,2024Inthispublication,weprovideanalyticsonequityfinancingmarketsandadjustedGlobalQuantitativeandDerivativesinterestratetotalreturnfutures(AIRTRFs),includingpricing,termstructure,Strategyopeninterest,andvolumes.BramKaplan,CFAACHighlights(1-212)272-1215•TheS&P500,Russell2000,andNasdaq100termstructuresallflattenedw/w,bram.kaplan@jpmorgan.comasshort-andintermediate-datedfundingratesroseonthespotrally.DanielMotocAC•AIRTRFpricingincreased5bpsontheMar’24andJun’24contractsand~2-3(1-212)622-0105daniel.motoc@jpmchase.combpsintheintermediatepartofthecurve,andwerelittlechangedatthelongendMarkoKolanovic,PhD(1-212)622-3677marko.kolanovic@jpmorgan.comJ.P.MorganSecuritiesLLC•VolumesonS&P500AIRTRFstotaled$14.6Bnoverthelastweek(3.1z),withtheMar’24,Jun’24,Dec’24andDec’25contractsaccountingforthebulkoftrading•OpeninterestontheS&P500AIRTRFsincreasedby$3.8Bnw/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%Jan'22Jan'23Jan'24Jan'21Source:J.P.MorganEquityDerivativesStrategySeepage5foranalystcertificationandimportantdisclosures.J.P.Morgandoesandseekstodobusinesswithcompaniescover...