JPMorgan-US Equity Financing and AIR TRF Monitor Aug 13, 2024-109835599(1)

GlobalQuantitative&DerivativesStrategy13August2024JPMORGANwww.jpmorganmarkets.comGlobalQuantitativeandDerivativesStrategyBramKaplan,CFAAC(1-212)272-1215bram.kaplan@jpmorgan.comDanielMotoc,CFA(1-212)622-0105daniel.motoc@jpmchase.comJ.P.MorganSecuritiesLLC•Short-datedimpliedfinancingratesfellfurtheroverthepastweekgiveninvestorde-leveraging,leadingtoasteepeningofthetermstructure.Forexample,aswenotedinyesterday’sDelta-OneFlows&Positioningnote,assetmanagerscuttheirnetlongUSequityfuturespositionsby~$30Bn(~10%ofthetotal)inthelatestCFTCdata.•PricingontheS&P500AIRTRFsdecreased13bpsontheSep’24contractand5bpsinDec’24,butincreased~1-2bpsacrosstherestofthecurvew/w.•VolumesonS&P500AIRTRFstotaled~$14.2Bn(1.3z)overthelastweek,withthemajorityoftradingontheSep’24,Dec’24,Dec’25,andDec’26contracts.•OpeninterestontheS&P500AIRTRFsincreased$7.1Bnw/w.•Russell2000AIRTRFstraded~$225MnacrosstheSep’24,Mar’25andJun’25contracts,andonecontract(~$0.2Mn)oftheNasdaqDec’26AIRTRFstradedoverthepastweek.Figure1:S&P500ImpliedFundingRateHistorySpreadvs.SOFR,annualized-0.1%0.0%0.1%0.2%0.3%0.4%0.5%0.6%0.7%0.8%0.9%Aug'21Aug'22Aug'23Aug'24SPX3MIFRSPX1YIFRSPX5YIFRSource:J.P.MorganEquityDerivativesStrategySeepage5foranalystcertificationandimportantdisclosures.J.P.Morgandoesandseekstodobusinesswithcompaniescoveredinitsresearchreports.Asare...