Title:   Equity funding costs, the $800B supply wall, and vanishing liquidity (chat note)
Source:  Paulo Macro (Substack chat)
Author:  Paulo Macro
Date:    2026-JUN-11
URL:     https://substack.com/chat/2195305/post/a7c1cb8f-3e06-4912-b287-a6e096ebadd0
Type:    Written Substack chat note (no video, no timestamps). Saved for personal study.
Note:    Text saved verbatim as pasted.

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Thu 11 June 2026...

Equity funding costs continue to tighten as recent demand for leverage by the buyside and levered retail
products runs headlong into $200bln of supply from SPCX, Anthropic, and OpenAI... check that, $800bln
because let's not forget the unlocks later this year.

Remember that gross leverage is a function of funding cost and volatility. The first begets the second,
and then the feedback loop starts. Initial signs of this just as top-of-book liquidity disappears to
$3.5mn in S&P futures is... concerning. Hard to de-gross into a liquidity void.

The levered ETF situation is top of mind as MS QDS team reminds us the negative gamma for each 1% move in
S&P has moved to nearly -$20bn for every move in the S&P of late vs -$10bln at year end. Expect such a
derivatives topology "tail" to increasingly wag the cash equity market "dog" in the coming weeks until
this position is properly rinsed.

A reminder we have exited the Pre-Opex Misdirection Window ahead of next Thursday's large options expiry,
so the cha-cha-cha of the market in the past three days should find some direction which sets the tone
into quarter end.

In this context I can't help but wonder if SPCX will close the ECM window for good all by itself and
Anthropic/OpenAI won't get their chance, particularly as OpenAI is considering a price war per the WSJ -
https://www.wsj.com/tech/ai/openai-considers-drastic-price-cuts-anticipating-war-for-users-with-anthropic-9b8c178e

These AIs and their picks-and-shovels breathren were special when all numbers grew to the sky with
exponential abandon (except profitability of course... and I include the picks and shovel hardware
players here, as their 'cashflow' we now know from the Great Circularity is simply VC-sourced cash
funneled through AI LLM players via capital raises, out to hardware bros, and then relaundered back to
LLMs in a nice little flywheel. It all works splendidly until VC flips from buyer to exiter and someone
asks for their money back.

Stay frosty out there.