JPMorgan-US Equity Financing and AIR TRF Monitor Jan 9, 2024-105814959

JPMORGANGlobalQuantitative&DerivativesStrategy09January2024USEquityFinancingandAIRTRFMonitorJan9,2024Inthispublication,weprovideanalyticsonequityfinancingmarketsandadjustedGlobalQuantitativeandDerivativesinterestratetotalreturnfutures(AIRTRFs),includingpricing,termstructure,Strategyopeninterest,andvolumes.BramKaplan,CFAACHighlights(1-212)272-1215•TheS&P500,Russell2000,andNasdaq100termstructuressteepenedw/w,bram.kaplan@jpmorgan.comastheyear-endbalancesheetpremiumwaspricedoutandshort-datedfundingDanielMotocACratesnormalizedfromexpensivelevelsatthestartofthisyear(1-212)622-0105•AIRTRFpricinggenerallydecreasedw/w,withtheMar’24contractfalling8daniel.motoc@jpmchase.combps,Jun’24falling4bps,theintermediatepartofthecurvelittlechanged,andMarkoKolanovic,PhDtheDec’27andDec’28contractsfalling~3-4bps(1-212)622-3677marko.kolanovic@jpmorgan.comJ.P.MorganSecuritiesLLC•VolumesonS&P500AIRTRFstotaled$7.4Bnoverthelastweek(1.1z),withthelargestvolumesontheMar’24andDec’24contracts,andnotabletradingalsoontheJan’24,Jun’24,andDec’25contracts•OpeninterestontheS&P500AIRTRFsdecreasedby$0.3Bnw/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.Mo...