JPMorgan-US Equity Financing and AIR TRF Monitor March 5, 2024-106872193

JPMORGANGlobalQuantitative&DerivativesStrategy05March2024USEquityFinancingandAIRTRFMonitorMarch5,2024Inthispublication,weprovideanalyticsonequityfinancingmarketsandadjustedGlobalQuantitativeandDerivativesinterestratetotalreturnfutures(AIRTRFs),includingpricing,termstructure,Strategyopeninterest,andvolumes.BramKaplan,CFAACHighlights(1-212)272-1215•Front-endimpliedfinancingratesincreasedmateriallyoverthepastweekonbram.kaplan@jpmorgan.comtheS&P500,Nasdaq100andRussell2000,causingthefrontendoftheDanielMotocfundingratetermstructurestoflatten/invert.(1-212)622-0105•S&P500AIRTRFpricingincreasedw/w(apartfromMar’24that’snearingdaniel.motoc@jpmchase.comexpiry),withthelargestmovesinthefront(Jun-Dec’24)andlong(Dec’28)MarkoKolanovic,PhDends.(1-212)622-3677•VolumesonS&P500AIRTRFstotaled$5.5Bnoverthelastweek(0.4z),withmarko.kolanovic@jpmorgan.comJ.P.MorganSecuritiesLLCthebulkoftradingontheMar’24,Jun’24,Dec’24,Mar’25andDec’25contracts•OpeninterestontheS&P500AIRTRFsincreased~$1.6Bnw/w•TheNasdaq100saw~$300MnofvolumesontheMar’24andJun’24AIRcontracts,whiletheRussell2000AIRTRFsdidnottradeoverthelastweekFigure1: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.MorganEquityDerivativesStrategySeepage5foranalyst...