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Funding research: reconcile payments, rates and hedge decisions

Explain funding forecast errors, reconstruct changed settlement schedules, attribute OI-weighted rates and calculate borrowing and hedge-exit scenarios.

What you will practise

Build an auditable funding ledger and separate changes in rates, exposure, market weights and future carrying costs before comparing hedge decisions.

Before you start

  • Complete Funding and basis, including the full spot–perpetual ledger.
  • Understand linear contract notional, signed cash flows, basis points and open-interest units.

Course outline

  1. 1

    Funding forecast vs payment: explain the rate and exposure gap

    Reconcile estimated and settled funding. Separate the effect of a changed rate from changed exposure, then check the account's actual funding entry.

    9 min
  2. 2

    Funding interval changes: rebuild the actual settlement ledger

    Reconstruct a holding window across an eight-hour-to-hourly funding change. Match effective schedules, eligible positions, settled rates and posted payments.

    8 min
  3. 3

    OI-weighted funding: separate rate changes from changing weights

    Explain why aggregate funding can rise while every constituent rate falls. Calculate an exact rate effect and OI-weight effect on a consistent panel.

    9 min
  4. 4

    Funding minus borrow costs: account for rate resets and repayment

    Calculate net carry from actual funding and a changing loan balance. Include hourly rate resets, partial repayment and costs after the trade closes.

    9 min
  5. 5

    Funding turns negative: compare holding a hedge with closing it

    Compare hedge exits from the current decision time. Separate sunk funding from future basis changes, funding payments, borrowing and execution costs.

    10 min
Build an auditable funding ledger and separate changes in rates, exposure, market weights and future carrying costs before comparing hedge decisions.Open full-size diagram
  1. Funding forecast vs payment: explain the rate and exposure gap
  2. Funding interval changes: rebuild the actual settlement ledger
  3. OI-weighted funding: separate rate changes from changing weights
  4. Funding minus borrow costs: account for rate resets and repayment
  5. Funding turns negative: compare holding a hedge with closing it
Build an auditable funding ledger and separate changes in rates, exposure, market weights and future carrying costs before comparing hedge decisions.

Educational material. Examples do not establish a profitable strategy. Trading costs, gaps and liquidation can produce losses beyond a planned stop.