JPMorgan-US Equity Financing and AIR TRF Monitor March 19, 2024-107124748

JPMORGANGlobalQuantitative&DerivativesStrategy19March2024USEquityFinancingandAIRTRFMonitorMarch19,2024Inthispublication,weprovideanalyticsonequityfinancingmarketsandadjustedGlobalQuantitativeandDerivativesinterestratetotalreturnfutures(AIRTRFs),includingpricing,termstructure,Strategyopeninterestandvolumes.BramKaplan,CFAACHighlights(1-212)272-1215•Front-endimpliedfinancingratesincreasedsharplyw/wontheS&P500andbram.kaplan@jpmorgan.comNasdaq100asspotrallied,causingthefundingtermstructurestoflatten/invertDanielMotocACfurther.(1-212)622-0105•S&P500AIRTRFpricingincreasednotablyw/w,withtheJun’24contractdaniel.motoc@jpmchase.comincreasing~15bps,Dec’24/Dec’25~6bps,andthelong-end~3bps.MarkoKolanovic,PhD•VolumesonS&P500AIRTRFstotaled$14.9Bnoverthelastweek(2.2z),with(1-212)622-3677marko.kolanovic@jpmorgan.comthebulkoftradingontheMar’24,Jun’24,Dec’24andDec’25contracts.J.P.MorganSecuritiesLLC•OpeninterestontheS&P500AIRTRFsdecreased~$9.3Bnw/wfollowingFriday’sexpiry.•TheRussell2000andNasdaq100AIRTRFsdidnottradeoverthelastweek.Figure1: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.MorganEquityDerivativesStrategySeepage5foranalystcertificationandimportantdisclosures.J.P.Morgandoesandseekstodobusinesswith...