The Implied Futures Financing Rate

Abstract: 

We explore the cost of implicit leverage associated with an S&P 500 Index futures contract and derive an implied financing rate. While this implicit financing rate has often been attractive relative to market rates on explicit financing, the relationship between the implicit and explicit financing rates has been volatile and varied considerably based on legal and economic regimes.

Publication date: 
April 20, 2017
Publication type: 
Journal Article