Inverse Crypto-Collateral Perpetual Contract Specifications

Below you can find three sections with detailed information on Kraken's inverse crypto-collateral perpetual and fixed maturity derivatives contracts.

Below is a detailed table of characteristics, followed by multiple examples to demonstrate the mechanics of the Contract:

Additional Information

Calculation: Index Price + EMA_30seconds(Impact Mid Price - Index Price)

The funding rate for a given perpetual contract is represented in two different ways:

• absolute rate: The amount of funding an account will receive by maintaining a 1 contract unit short position for 1 hour. This is more useful for account log purposes.
• relative rate: The absolute funding rate relative to the spot price at the time of funding rate calculation. This is an intermediate value in the calculation of the absolute funding rate, and is the number we display in the front end (as a %) as the 'funding rate'.
• relative rate: The absolute funding rate relative to the spot price at the time of funding rate calculation. This is an intermediate value in the calculation of the absolute funding rate and is the number we display in the front end (as a %) as the 'funding rate'.
• relative funding payout = # of contracts * (relative funding rate/spot price) * time elapsed within funding period without position alteration

Examples

In order to get a complete understanding the rate dynamics of the Perpetual Contract, we present examples to demonstrate the key features:

Example Funding Rate 1: (24-hour rate realisation length)

Assume time is 12 UTC and that price of BTC is $7,000 (via realtime index) and the Perpetual trades at $7,010 the whole time until 13 UTC. The average premium is computed as 0.1428% for the 1-hour period ($10/$7,000). This leads to a funding rate of 0.1428 / 24 = 0.01785% per hour.

Now assume that you are in a short position of 100,000 Contracts. If you hold this position from 13 to 14 UTC and the premium in 13-14 UTC period remains as 0.1428%, then you will earn interest of $17.85 for the one-hour period ($100,000*0.0001785) in BTC terms, so $17.85/$7,000 = 0.00255 BTC.

Example Funding Rate 2: (Maximum rate)

Assume time is 12 UTC and that price of BTC is $7,000 and the Perpetual trades at $7,500 until 13 UTC. The average premium is computed as 7.142% for the 1-hour period. This leads to a funding rate of 7.142 / 24 = 0.2975% per hour.

The maximum funding rate per hour in any given period is 0.25%. The minimum is -0.25%.

As a result, this 0.2975% hourly rate is floored to 0.25% per hour, so that the maximum 24-hour realisation will not exceed 6%.

Note that there is no "dampening" of rates done in this model: if a four-hour computed rate is near 0, then it will stay pay out non-0 value even if it is de minimis.

Example Funding Rate 3: (Absolute vs. relative rate)

Assume time is 12 UTC and that the real-time index price of BTCUSD is $7,000 and the relative rate set for the one-hour period is 0.05% per hour.

Now assume the time is 13 UTC and the Perpetual trades at $8,000 and you enter a Short position of 125,000 contracts at this price.

You will immediately begin receiving funding at an absolute rate of 0.05%/$7,000 = 0.000007142% per hour per contract unit.

In your account log you will then see this rate applying in your unrealised PnL through continuous funding payout equal to:

0.00000007142 * 125,000 = 0.008928 BTC per hour
0.00000248 BTC per second
This will pay out continuously until 14 UTC where the relative funding rate will change based on the market activity between 13-14 UTC.

Assume this new relative funding rate is now 0.03% and the real-time spot index is $7,900 for BTCUSD at 14 UTC.

In your 125,000 Contract short position at the end of the 1 hour period you will have 0.008928 BTC applied in your account log at 14 UTC.

From 14 UTC to 15 UTC a new absolute funding rate will begin applying of 0.03%/$7,900=0.000003797% per hour per contract unit.

Example Funding Rate 4: (Multiple period rate)

Assume time is 14 UTC and you enter a position long 200,000 Contracts on BTCUSD at $7,000. Assume that the funding rate for the one-hour period (13-14 UTC) is set as -0.04% per hour.

At 15 UTC, after you have held this position for one full hour, you will have earned $80 per hour (0.0004*$200,000). This is $80/$7,000 = 0.0114 BTC, which credits continuously throughout the one hour period you hold it.

However, during this period, the price was at a premium and so the new one-hour rate set for 14 - 15 UTC is 0.04% per hour. After one hour of holding the position, you have paid 0.0114 BTC and you close at 16 UTC, two hours after opening the position.

Your funding for the two hours you held the position is thus 0.0114 BTC for the first period then -0.0114 BTC for the first period and your net flows are 0 for this.

Example Funding Rate 5: (Booking of unrealised funding)

Assume it's 12 UTC you are in a 250,000 Contract long position on BTCUSD with realtime index at $7,000 and the rate in the funding period is -0.05%. This earns you funding of:

0.0005 * 250,000 = $125
$125/$7,000=0.01785 BTC per hour
0.0002976 BTC per minute
0.00000496 BTC per second
0.00000000496 BTC per millisecond
This credits and debits every millisecond to every user with an open position. It credits first as unrealised profit and loss, but you have the funds available right away to use in further positions or transfer into your Cash account.

The funding is booked into your account log and realised when one of the following events occur:

1) You adjust your open position up or down by any amount
2) You hold until the end of the Funding Period, at which point it is booked (occurs at the end of every hour)

*XBTUSD is used for logs download and API only

Fixed Maturity Contract Specifications

Calculation: Index Price + EMA_30seconds(Impact Mid Price - Index Price)