Global Quantitative & Derivatives Strategy20 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•S&P 500 implied funding rates increased slightly w/w, while Nasdaq 100 and Russell 2000 funding rates were little changed•AIR TRF pricing decreased ~1-2 bps at the front end, but increased ~1-2 bps at the long end w/w•Volumes on S&P 500 AIR TRFs totaled $3.3Bn over the last week (-0.3z), with the Mar�24, Dec�24, and Dec�25 contracts accounting for the bulk of trading•Open interest on the S&P 500 AIR TRFs was little changed w/w•The Russell 2000 and Nasdaq 100 AIR TRFs did not trade over the last weekFigure 1: S&P 500 Implied Funding Rate HistorySpread vs. SOFR, annualized-0.2%-0.1%0.0%0.1%0.2%0.3%0.4%0.5%0.6%0.7%0.8%0.9%Feb'21Feb'22Feb'23Feb'24SPX 3M IFRSPX 1Y IFRSPX 5Y IFRSource: J.P. Morgan Equity Derivatives StrategySee page 5 for analyst certification and important disclosures.J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision.US Equity Financing and AIR TRF MonitorFeb 20, 20242Bram Kaplan, CFA AC(1-212) 272-1215bram.kaplan@jpmorgan.comGlobal Quantitative & Derivatives Strategy20 February 2024J P M O R G A NAIR TRF MonitorFigure 2: S&P 500 AIR TRFsExpiryBidAsk1w Chg (mid)4w Chg (mid)OI ($Bn)Chg w/wADV 1m ($Mn)ADV 1w ($Mn)Mar'243844-2-1019.9-0.3425323Jun'244146-2.5-6.55.10.012657Dec'244248-1-425.10.2722253Dec'2547530-214.00.5336145Dec'2652571-0.512.0-0.311210Dec'275561107.0-0.3410Dec'285965216.90.000All**103.1-0.21,821814Pricing*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'242.5Dec'2441.5Dec'2596.55Dec'2613.5119.54.5Dec'271714.51383.5Dec'282118.517127.54Forward Starting Spreads (Mids)Source: J.P. Morgan Equity Derivatives StrategyFigure 4: AIR TRF Open Interest History by Index05001,0001,5002,0002,500020,00040,00060,00080,000100,000120,000140,000Jan'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, Bloomberg Finance L.P.Figure 5: S&P 500 AIR TRF Daily Volume History01,0002,0003,0004,0005,000Feb'23May'23Aug'23Nov'23Feb'24S&P 500 ($Mn)3m ADV ($...
