JPMorgan-US Equity Financing and AIR TRF Monitor March 26, 2024-107236400

JPMORGANGlobalQuantitative&DerivativesStrategy26March2024USEquityFinancingandAIRTRFMonitorMarch26,2024Inthispublication,weprovideanalyticsonequityfinancingmarketsandadjustedGlobalQuantitativeandDerivativesinterestratetotalreturnfutures(AIRTRFs),includingpricing,termstructure,Strategyopeninterestandvolumes.BramKaplan,CFAACHighlights(1-212)272-1215•Front-endimpliedfinancingratesfellw/wontheS&P500,Nasdaq100,andbram.kaplan@jpmorgan.comRussell2000,causingthefundingtermstructurestosteepen/dis-invert.DanielMotocAC•S&P500AIRTRFpricingdecreasedw/w,withtheJun’24contractdecreasing(1-212)622-0105daniel.motoc@jpmchase.com8bps,Sep’24,Dec’24,andDec’25contractsdecreasing~3bps,andDec’26decreasing0.5bps.Meanwhile,thelong-endincreased~1.5-2bps.MarkoKolanovic,PhD•VolumesonS&P500AIRTRFstotaled$11.1Bnoverthelastweek(1.3z),with(1-212)622-3677marko.kolanovic@jpmorgan.comthebulkoftradingontheJun’24,Sep’24,andDec’24contracts.J.P.MorganSecuritiesLLC•OpeninterestontheS&P500AIRTRFsincreased~$4.9Bnw/w.•TheNasdaq100AIRTRFstraded~$130MnontheJun’24contractoverthelastweek,whiletheRussell2000didnottrade.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.MorganEquityDerivativesStrategySeepage5foranalystcertificationa...