Global Quantitative & Derivatives Strategy02 January 2024J P M O R G A Nwww.jpmorganmarkets.comGlobal Quantitative and Derivatives StrategyBram Kaplan, CFA AC(1-212) 272-1215bram.kaplan@jpmorgan.comDaniel Motoc AC(1-212) 622-0105daniel.motoc@jpmchase.comMarko Kolanovic, PhD(1-212) 622-3677marko.kolanovic@jpmorgan.comJ.P. Morgan Securities LLCIn this publication, we provide analytics on equity financing markets and adjusted interest rate total return futures (AIR TRFs), including pricing, term structure, open interest, and volumes.Highlights•The S&P 500 and Russell 2000 funding term structures exhibited mixed changes over the last two weeks of December, while the Nasdaq 100 inverted further as short-dated funding rates continued to increase•Pricing on S&P 500 AIR TRFs decreased ~4-5 bps on the Dec�24-Dec�26 contracts and 1 bp on the Jun�24 contract, but were unchanged across the rest of the curve•Volumes on S&P 500 AIR TRFs totaled $6.5Bn over the last week (0.8z). The majority of last week�s volumes were concentrated on the Jan�24, Mar�24, Jun�24, Dec�24, and Dec�26 contracts•Open interest on the S&P 500 AIR TRFs increased by $1.7Bn w/w•The Russell 2000 AIR TRFs traded ~$100Mn on the Dec�24 contract over the last week, while the Nasdaq 100 AIR TRFs did not trade Figure 1: S&P 500 Implied Funding Rate HistorySpread vs. SOFR, annualized-0.2%-0.1%0.0%0.1%0.2%0.3%0.4%0.5%0.6%0.7%0.8%0.9%Jan'21Jan'22Jan'23SPX 3M IFRSPX 1Y IFRSPX 5Y IFRSource: J.P. Morgan Equity Derivatives StrategySee page 5 for analyst certification and important disclosures.J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision.US Equity Financing and AIR TRF MonitorJan 2, 20242Bram Kaplan, CFA AC(1-212) 272-1215bram.kaplan@jpmorgan.comGlobal Quantitative & Derivatives Strategy02 January 2024J P M O R G A NAIR TRF MonitorFigure 2: S&P 500 AIR TRFsExpiryBidAsk2w Chg (mid)4w Chg (mid)OI ($Bn)Chg w/wADV 1m ($Mn)ADV 1w ($Mn)Mar'244955--15.3-0.2700693Jun'244551-1-43.00.572143Dec'244046-4-5.520.50.1266153Dec'254551-3.5-2.512.2-0.214468Dec'264854-5-3.510.70.977216Dec'275864026.60.16437Dec'286369026.50.12726All**93.01.71,9511,620Pricing*Activity MonitorSource: J.P. Morgan Equity Derivatives Strategy. *Quoted as spread to EFFR (bps) **Calculated across entire futures chainFigure 3: Forward Starting Spreads (Mids)ExpiryMar'24Jun'24Dec'24Dec'25Dec'26Dec'27Mar'24Jun'24-4Dec'24-9-5Dec'25-405Dec'26-1383Dec'27913181310Dec'2814182318155Forward Starting Spreads (Mids)Source: J.P. Morgan Equity Derivatives StrategyFigure 4: AIR TRF Open Interest History by Index05001000150020002500020,00040,00060,00080,000100,000120,000140,000Jan'21Jul'21Jan'22Jul'22Jan'23Jul'23S&P 500 (LHS)Nasdaq (RHS)Russell 2000 (RHS)Ope...
