JPMorgan-US Equity Financing and AIR TRF Monitor May 28, 2024-108435130.pdf

GlobalQuantitative&DerivativesStrategy28May2024JPMORGANwww.jpmorganmarkets.comGlobalQuantitativeandDerivativesStrategyBramKaplan,CFAAC(1-212)272-1215bram.kaplan@jpmorgan.comDanielMotoc,CFAAC(1-212)622-0105daniel.motoc@jpmchase.comMarkoKolanovic,PhD(1-212)622-3677marko.kolanovic@jpmorgan.comJ.P.MorganSecuritiesLLCInthispublication,weprovideanalyticsonequityfinancingmarketsandadjustedinterestratetotalreturnfutures(AIRTRFs),includingpricing,termstructure,openinterestandvolumes.Highlights•Impliedfinancingratesrecordedmixedchangesw/w.•PricingontheS&P500AIRTRFsdecreased4.5bpsontheJun’24contract,andsawmixed/modestchangesacrosstherestofthecurve.•VolumesonS&P500AIRTRFstotaled~$17.2Bnoverthelastweek(2.3z),withthemajorityoftradingontheJun’24andSep’24,contracts,butnotablevolumesalsointheDec’24,Jun’25,Dec’25,Dec’26,andDec’28contracts.•OpeninterestontheS&P500AIRTRFsincreased$7.1Bnw/w.•TheRussell2000AIRTRFstraded~$100MnontheJun’24andSep’24contracts,whiletheNasdaq100AIRTRFsdidnottradeoverthelastweek.•ImpactofswitchtoT+1forAIRTRFs:Goingforward,boththeaccruedfinancingandfinancingspreadadjustmenttermswillbecalculatedbasedonT+1settlementdates.BecausesettlementfortradesinitiatedonTuesday,May28th,andthepriortradingdayonFriday,May24th,bothcorrespondtoaMay29thsettlementdate,zeroaccruedfinancingwillberealizedforMay28th.Formore,seehere.Figure1:S&P500ImpliedFundingRateHistorySpreadvs.SOFR,annualized-0.1%0.0%0.1%0.2%0.3%0.4%0.5%0.6%0.7%0.8%0.9%May"21May"22May"23May"24SPX3MIFRSPX1YIFRSPX5YIFRSource:J.P.MorganEquityDerivativesStrategySeepage5foranalystcertificationandimportantdisclosures.J.P.Morgandoesandseekstodobusinesswithcompaniescoveredinitsresearchreports.Asaresult,investorsshouldbeawarethatthefirmmayhaveaconflictofinterestthatcouldaffecttheobjectivityofthisreport.Investorsshouldconsiderthisreportasonlyasinglefactorinmakingtheirinvestmentdecision.USEquityFinancingandAIRTRFMonitorMay28,20242BramKaplan,CFAAC(1-212)272-1215bram.kaplan@jpmorgan.comGlobalQuantitative&DerivativesStrategy28May2024JPMORGANAIRTRFMonitorFigure2:S&P500AIRTRFsExpiryBidAsk1wChg(mid)4wChg(mid)OI($Bn)Chgw/wADV1m($Mn)ADV1w($Mn)Jun"246270-4.51724.81.67651,948Sep"246369-11411.34.13411,309Dec"246268-21231.5-0.1289163Dec"2564702918.10.4204247Dec"2667731.5713.1-0.1175145Dec"27697505.58.30.24196Dec"287278057.80.253180All**133.87.12,1864,289Pricing*ActivityMonitorSource:J.P.MorganEquityDerivativesStrategy.*QuotedasspreadtoEFFR(bps)**CalculatedacrossentirefutureschainFigure3:ForwardStartingSpreads(Mids)ExpiryJun"24Sep"24Dec"24Dec"25Dec"26Dec"27Jun"24Sep"240Dec"24-1-1Dec"25112Dec"264453Dec"2766752Dec"289910853ForwardStartingSpreads(Mids)Source:J.P.MorganEquityDerivativesStrategyFigure4:AIRTRFOpenInterestHistorybyIndex05001,0001,5002,0002,5003,000020,00040,00060,00080,000100,000120,000140,000160,000Jan"21Jul"21Jan"22Jul"22Jan"23Jul"23Jan"24S&P500(LHS)Nasdaq(RHS)Russell2000(RHS)OpenInt($Mn)OpenInt($Mn)Source:J.P.MorganEquityDerivativesStrategy,BloombergFinanceL.P.Figure5:S&P500AIRTRFDailyVolumeHistory01,0002,0003