Rates and research
How is the 1-month rate calculated?
The 1-month Haven SPX Box Rate is the 30-day point on a curve. It is not the yield of whichever box happens to expire in a month.
Key takeaway
Qualifying SPX and SPXW box spreads near the index are ranked, outliers are dropped, and a median of the strongest remaining quotes is taken at each expiration. The 1-month rate is then read from that curve at 30 days.
1. Reconstruct SPX and SPXW boxes near the index.
2. Drop unreliable observations.
3. Take the median rate at each expiration.
4. Read 30 days off that curve.
Each box is converted with a 360-day rate, 360 × ((1,000 ÷ credit) raised to 1 ÷ days, minus 1). Credit is the synthetic four-leg mid. Nothing is added for slippage. Standardized maturities are 30, 90, 180, 365, and 730 days. The 1-month rate is the 30-day node.
What this means
The Haven SPX Box Rate is Haven’s constant-maturity reference rate. It is not the implied yield of a single box, not a Truth in Lending APR, and not a commitment to lend. The 1-month node and the 1-year node answer different questions.
Related
How to read the Haven SPX Box RateHow does box financing work?Historical box spread ratesHaven 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.