Global Quantitative & Derivatives Strategy09 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, Russell 2000, and Nasdaq 100 term structures steepened w/w, as the year-end balance sheet premium was priced out and short-dated funding rates normalized from expensive levels at the start of this year•AIR TRF pricing generally decreased w/w, with the Mar�24 contract falling 8 bps, Jun�24 falling 4bps, the intermediate part of the curve little changed, and the Dec�27 and Dec�28 contracts falling ~3-4 bps•Volumes on S&P 500 AIR TRFs totaled $7.4Bn over the last week (1.1z), with the largest volumes on the Mar�24 and Dec�24 contracts, and notable trading also on the Jan�24, Jun�24, and Dec�25 contracts •Open interest on the S&P 500 AIR TRFs decreased by $0.3Bn w/w•The Russell 2000 and Nasdaq 100 AIR TRFs did not trade over the last weekFigure 1: S&P 500 Implied Funding Rate HistorySpread vs. SOFR, annualized-0.2%-0.1%0.0%0.1%0.2%0.3%0.4%0.5%0.6%0.7%0.8%0.9%Jan'21Jan'22Jan'23Jan'24SPX 3M IFRSPX 1Y IFRSPX 5Y IFRSource: J.P. Morgan Equity Derivatives StrategySee page 5 for analyst certification and important disclosures.J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision.US Equity Financing and AIR TRF MonitorJan 9, 20242Bram Kaplan, CFA AC(1-212) 272-1215bram.kaplan@jpmorgan.comGlobal Quantitative & Derivatives Strategy09 January 2024J P M O R G A NAIR TRF MonitorFigure 2: S&P 500 AIR TRFsExpiryBidAsk1w Chg (mid)4w Chg (mid)OI ($Bn)Chg w/wADV 1m ($Mn)ADV 1w ($Mn)Mar'244246-8-1315.50.2611492Jun'244246-4-53.70.7106181Dec'244045-0.5-4.519.8-0.7264290Dec'254549-1-4.511.9-0.3120122Dec'2649540.5-4.511.00.310089Dec'275560-3.5-3.56.80.26744Dec'285964-4.5-4.56.60.13131All**92.7-0.31,7411,475Pricing*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'240Dec'24-1.5-1.5Dec'25334.5Dec'267.57.594.5Dec'2713.513.51510.56Dec'2817.517.51914.5104Forward 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'22J...
