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Financing Rates Fall 29 Points below Prevailing LIBOR Rates

The spread between December 2011 and March 2012 E-mini Standard & Poor’s 500 (S&P 500) futures during the “roll” period as the “Dec” contract approached expiration witnessed some interesting pricing anomalies. In particular, the financing rates implicit in the December 2011/March 2012 spread fell to 29 basis points below prevailing LIBOR rates.

This article is intended to review this situation and discuss how one may monitor it using CME Group’s Equity Quarterly Roll analyzer.