Here's a thread I found with some interesting information (albeit by anonymous Internet commenters :) It ends up, on page 5, with a suggestion similar to yours -- open a GTC order to add to (not close) your position, at a price that won't execute, but isn't so crazy as to imply a margin violation were your position to be marked there.
Now, I don't see any harm in putting out there an offer to borrow at negative interest; but it's still not obvious to me why this truly addresses the risk. Do we need such orders to backstop each individual leg as well as the combo as a whole? Since the IBKR auto-liquidation algorithm is proprietary and evolving over time, there seems to be no way to know for sure.
One more important info for other IBKR users: Set Liquidate Last is no longer available for legs of a combo in the main Monitor view (it's grayed out). Support replied to me: On further review the ability to set an individual leg on a combo position to "Set Liquidate Last" is no longer available. I apologize for any confusion this has caused via the information on our website.
Actually though, I found that you can still Set Liquidate Last the long legs by going through the Account Window - Portfolio list instead of the Monitor view. Judging from support's reply, their programmers probably just forgot to disable the menu item there too, so I wouldn't believe it.
After investigating these tail risks, I personally don't find that CD interest arbitrage provides enough reward for having to carry these small worries in the back of my mind for several years. But the box spread financing is definitely a cool idea to have holstered, just in case a unique opportunity (with more upside) comes along for which I'd need a medium-term bridge loan...like MMM's impulse purchase, which led me to this article in the first place. Thanks!
The linked WSB post alludes to one more obscure risk with IBKR in particular,
Portfolio margin traders can suffer margin calls if you have a bad mark/quote. This is a huge problem at Interactive Brokers...You need to place a GTC close order at a very favorable unrealistic price to always quote your box.
Brief Googling does indicate there's some history of IBKR customer disputes about liquidations triggered by some weird, transient price tick in a thinly-traded contract. I'd like to think that wouldn't happen in SPX of all symbols, but, we ought to imagine sh*t hitting the fan in period of market duress...
I don't fully understand the suggestion in the last sentence. Can somebody explain how keeping an open order to close the combo position is supposed to help? Other ideas?