Global Quantitative & Derivatives Strategy06 February 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 US financing term structures steepened as short- and intermediate-dated funding rates decreased significantly w/w, despite the market trading higher. However, as we noted in yesterday�s Delta-One Flows & Positioning note, there were sizable net selling flows (-1.7z) in S&P 500 futures last week.•AIR TRF pricing fell significantly at the short end of the curve, with the Mar�24 contract down 12 bps and the Jun�24 contract down 10 bps w/w, which largely reversed these contracts� increases in the prior two weeks. The rest of the curve fell ~1-4 bps w/w.•Volumes on S&P 500 AIR TRFs totaled $8.5Bn over the last week (1.3z), with the Mar�24, Dec�24, Dec�25, and Dec�26 contracts accounting for the bulk of trading•Open interest on the S&P 500 AIR TRFs increased by $3.3Bn w/w •The Russell 2000 and Nasdaq 100 AIR TRFs did not trade over the last weekFigure 1: S&P 500 Implied Funding Rate HistorySpread vs. SOFR, annualized-0.2%-0.1%0.0%0.1%0.2%0.3%0.4%0.5%0.6%0.7%0.8%0.9%Feb'21Feb'22Feb'23Feb'24SPX 3M IFRSPX 1Y IFRSPX 5Y IFRSource: J.P. Morgan Equity Derivatives StrategySee page 5 for analyst certification and important disclosures.J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision.US Equity Financing and AIR TRF MonitorFeb 6, 20242Bram Kaplan, CFA AC(1-212) 272-1215bram.kaplan@jpmorgan.comGlobal Quantitative & Derivatives Strategy06 February 2024J P M O R G A NAIR TRF MonitorFigure 2: S&P 500 AIR TRFsExpiryBidAsk1w Chg (mid)4w Chg (mid)OI ($Bn)Chg w/wADV 1m ($Mn)ADV 1w ($Mn)Mar'243642-12-119.80.6826348Jun'243743-10-3.55.1-0.115071Dec'244248-4223.11.8668864Dec'254753-2213.70.6313201Dec'265056-2211.90.3109167Dec'275460-107.10.01926Dec'285763-1-16.80.000All**100.23.32,1821,700Pricing*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'241Dec'2465Dec'2511105Dec'26141383Dec'2718171274Dec'282120151073Forward Starting Spreads (Mids)Source: J.P. Morgan Equity Derivatives StrategyFigure 4: AIR TRF Open Interest History by Index05001,0001,5002...
