I’m looking at AUD/USD in my FXCM account. RollB is US$0.40 per day on a AUD$10,000 contract. Current interest rates are 2.5% for AUD and 0.25% for USD. My calculation for roll is as follows:

FXCM is paying $0.40, but I have calculated $0.58. Why the difference?

Just like there’s a difference between the Bid (Sell) rice and the Ask (Buy) price, there’s a difference between the interest rate you can earn for being long a particular currency and the interest rate you pay for shorting it.

This difference means you’re earning less than 2.5% interest for being long AUD and paying more than 0.25% for being short USD. That results in RollB being 0.40 instead of 0.58. For similar reasons, RollS is -0.84 instead of -0.58.