SPX box spreads
How does box financing work?
You receive a credit today on a 1,000-point box and owe the 1,000 at expiration. The gap, spread over the days remaining, is the rate.
Key takeaway
For a 1,000-point box, the 360-day rate is 360 × ((1,000 ÷ credit) raised to 1 ÷ days, minus 1). A higher credit is a lower rate. The Haven SPX Box Rate is a median curve built from many of these, not the price of a single box.
Credit in, rate out
These figures are a 365-day, 1,000-point box using that formula. Hover a row. No slippage is added. The credit is the synthetic four-leg mid.
| Credit | Days | 360-day rate |
|---|---|---|
| 950 | 365 | 5.06% |
| 970 | 365 | 3.00% |
| 980 | 365 | 1.99% |
| 990 | 365 | 0.99% |
From one box to the curve
Haven reconstructs multiple SPX and SPXW box spreads near the index, removes unreliable observations, takes the median rate at each expiration, and reads standardized maturities off that curve: 1 month, 3 months, 6 months, 1 year, and 2 years. The daily record is the 3:45 p.m. New York snapshot.
What this means
A single box has one credit and one expiration. The Haven SPX Box Rate is the curve built from the set of them. It is not a Truth in Lending APR and not a commitment to lend.
Related
What is an SPX box spread?How is the 1-month rate calculated?How to read the Haven SPX Box RateHaven SPX Box RateFinancing simulator
Haven Funding LLC is owned by Haven Systems LLC. Neither firm is a bank or a registered broker-dealer. Securities and execution services are provided through Interactive Brokers LLC. The Haven SPX Box Rate is a constant-maturity reference rate. It is not a Truth in Lending APR and not a commitment to lend.