JPMorgan-US Equity Financing and AIR TRF Monitor Jan 2, 2024-105695921

JPMORGANGlobalQuantitative&DerivativesStrategy02January2024USEquityFinancingandAIRTRFMonitorJan2,2024Inthispublication,weprovideanalyticsonequityfinancingmarketsandadjustedGlobalQuantitativeandDerivativesinterestratetotalreturnfutures(AIRTRFs),includingpricing,termstructure,Strategyopeninterest,andvolumes.BramKaplan,CFAACHighlights(1-212)272-1215•TheS&P500andRussell2000fundingtermstructuresexhibitedmixedbram.kaplan@jpmorgan.comchangesoverthelasttwoweeksofDecember,whiletheNasdaq100invertedDanielMotocACfurtherasshort-datedfundingratescontinuedtoincrease(1-212)622-0105•PricingonS&P500AIRTRFsdecreased~4-5bpsontheDec’24-Dec’26daniel.motoc@jpmchase.comcontractsand1bpontheJun’24contract,butwereunchangedacrosstherestMarkoKolanovic,PhDofthecurve(1-212)622-3677•VolumesonS&P500AIRTRFstotaled$6.5Bnoverthelastweek(0.8z).Themarko.kolanovic@jpmorgan.comJ.P.MorganSecuritiesLLCmajorityoflastweek’svolumeswereconcentratedontheJan’24,Mar’24,Jun’24,Dec’24,andDec’26contracts•OpeninterestontheS&P500AIRTRFsincreasedby$1.7Bnw/w•TheRussell2000AIRTRFstraded~$100MnontheDec’24contractoverthelastweek,whiletheNasdaq100AIRTRFsdidnottradeFigure1: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'21Source:J.P.MorganEquityDerivativesStr...