JPMorgan-US Equity Financing and AIR TRF Monitor Jan 23, 2024-106106063

JPMORGANGlobalQuantitative&DerivativesStrategy23January2024USEquityFinancingandAIRTRFMonitorJan23,2024Inthispublication,weprovideanalyticsonequityfinancingmarketsandadjustedGlobalQuantitativeandDerivativesinterestratetotalreturnfutures(AIRTRFs),includingpricing,termstructure,Strategyopeninterest,andvolumes.BramKaplan,CFAACHighlights(1-212)272-1215•TheS&P500andNasdaq100termstructuresflattenedw/w,asshort-datedbram.kaplan@jpmorgan.comfundingratesroseonthespotrally.TheRussell2000termstructurewaslittleDanielMotocACchangedw/w(1-212)622-0105•AIRTRFpricingincreased6bpsontheMar’24contract,~2-3bpsinthedaniel.motoc@jpmchase.comintermediatepartofthecurve,andremainedunchangedatthelongendMarkoKolanovic,PhD(1-212)622-3677marko.kolanovic@jpmorgan.comJ.P.MorganSecuritiesLLC•VolumesonS&P500AIRTRFstotaled$11.5Bnoverthelastweek(2.5z),withtheJan’24,Mar’24,Dec’24andDec’25contractsaccountingforthebulkoftrading•OpeninterestontheS&P500AIRTRFsdecreasedby$1.3Bnw/wduetotheexpiryoftheJan’24contracts•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.Morgandoesan...