Global Equity Futures Watch: Jun-26 Global Equity Index Futures Roll Cost Chartbook

研报英文原文证据摘录

Global Equity Futures Watch: Jun-26 Global Equity Index Futures Roll Cost Chartbook

How we derive our roll cost analysis

Each day, we compute the spread between the futures implied financing rate for the

period of time between front and second month futures expiry versus the respective

risk-free rate noted in Exhibit 2. We use traded spread prices where available, otherwise

we use the closing front-month and next near-month futures price to compute the

closing spread level. For each roll, we then compute the VWAP of the implied financing

spread over that period using the traded roll volume if we have a market for the spread,

otherwise we use 75% of the next near-month futures volume as an estimate. Our

analysis is calculated based on gross forecasted dividends, except where noted. Gross

forecasted dividends may differ from the amount realized. All roll cost data are

calculated on an annualized basis and are reported monthly or quarterly as applicable.

Special considerations for MSCI EAFE & EM quarterly futures roll costs

Special considerations are taken into account for MSCI EAFE & EM quarterly futures roll

costs. First, their roll costs are calculated based on realized dividends, except for the

most recent quarter's costs as its realized divs are not yet available. For the most recent

quarter, realized dividends to-date will be used along with forecasts for the remainder of

the quarter. Second, we calculate MSCI EAFE & EM roll costs using both realized gross

and net MSCI dividends.

Exhibit 2: Equity index futures roll financing spread statistics for various indices globally

Data through Jun-2026, base rate for each equity index future’s financing spread provided as well.

1-year Avg. roll

Base Roll Roll cost # of Prior Roll Current roll std. avg. roll cost since