Global Quantitative & Derivatives Strategy23 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 Nasdaq 100 term structures flattened w/w, as short-dated funding rates rose on the spot rally. The Russell 2000 term structure was little changed w/w•AIR TRF pricing increased 6 bps on the Mar�24 contract, ~2-3 bps in the intermediate part of the curve, and remained unchanged at the long end•Volumes on S&P 500 AIR TRFs totaled $11.5Bn over the last week (2.5z), with the Jan�24, Mar�24, Dec�24 and Dec�25 contracts accounting for the bulk of trading•Open interest on the S&P 500 AIR TRFs decreased by $1.3Bn w/w due to the expiry of the Jan�24 contracts•The Russell 2000 and Nasdaq 100 AIR TRFs did not trade over the last weekFigure 1: S&P 500 Implied Funding Rate HistorySpread vs. SOFR, annualized-0.2%-0.1%0.0%0.1%0.2%0.3%0.4%0.5%0.6%0.7%0.8%0.9%Jan'21Jan'22Jan'23Jan'24SPX 3M IFRSPX 1Y IFRSPX 5Y IFRSource: J.P. Morgan Equity Derivatives StrategySee page 5 for analyst certification and important disclosures.J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision.US Equity Financing and AIR TRF MonitorJan 23, 20242Bram Kaplan, CFA AC(1-212) 272-1215bram.kaplan@jpmorgan.comGlobal Quantitative & Derivatives Strategy23 January 2024J P M O R G A NAIR TRF MonitorFigure 2: S&P 500 AIR TRFsExpiryBidAsk1w Chg (mid)4w Chg (mid)OI ($Bn)Chg w/wADV 1m ($Mn)ADV 1w ($Mn)Mar'2443496-618.91.0869964Jun'2442481.5-33.70.09460Dec'2444493.53.520.90.5203287Dec'2547521.51.512.70.9205479Dec'2650562211.60.2990Dec'2754600-47.00.23350Dec'2858640-56.70.1140All**93.1-1.32,0872,310Pricing*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'24-1Dec'240.51.5Dec'253.54.53Dec'26786.53.5Dec'27111210.57.54Dec'28151614.511.584Forward 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'23Jan'24S&P 500 (LHS)Nasdaq (RHS)Russell 2000 (RHS)Open Int ($Mn)Open Int ($Mn)Source: J.P. Morgan Equity Derivatives Strategy, Bl...
