# First principles implied financing cost embedded in equity futures

i was reviewing this doc produced by the CME - https://www.cmegroup.com/education/files/S-and-P-500-Implied-Financing.pdf

Per the document, if I take the following as a given:

1) Roll = Deferred future - Near future (page 1)

2) Future = Spot[1+{(R)(Days/360)}] - Div (page 1)

Then how from the above do you derive the implied financing formula:

Implied financing = R = (360/Days)([Roll + Div{Deferred}]/[Future{Near} + Div{Near}]) (page 2)

I would have thought you need the spot level to be included in the calculation to derived the implied financing rare embedded in the future?

• Can anyone help on the above pls? – sjl2202 Mar 25 at 19:15