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Basis-Only Funding Is Not Dividend Fair: Settlement Design in Crypto Equity Perpetuals

Author

Listed:
  • Donghwa Seo
  • Doohwi Cha
  • Seunghan Son
  • Juyeong Lee
  • Minsuk Sung
  • Minjae Lee

Abstract

Crypto venues increasingly list perpetual futures on equities and other real-world assets (RWAs), which trade continuously yet reference dividend-paying stocks: a long equity perpetual marked to the ex-dividend cash price bears the ex-dividend drop without receiving the dividend. We ask whether the premium-index funding architecture these venues run -- funding set from the contemporaneous basis $e_t=P_t-S_t$ rather than a carry target -- can replicate shareholder cash flows for traders entering and exiting at arbitrary times. It cannot. Funding serves two roles that coincide for non-dividend crypto assets but split apart for equities: basis control and settlement. We give the fair-funding identity, cast timing fairness as an optimal-stopping condition, and characterize when the basis is a sufficient statistic for the fair target. The decisive obstruction is measure-theoretic: a predictable dividend is an atom, and no absolutely continuous funding path can replicate an atom over holding intervals even in the weak limit, so fairness must match the atom with an atom -- an event credit. Exchange-native data confirm this: at each covered ex-date one venue posts a discrete funding atom equal to $-D/(\mathrm{Mark}-D)$ while a standard premium-index venue posts none, transferring the dividend across venues -- from native funding alone, with no external spot.

Suggested Citation

  • Donghwa Seo & Doohwi Cha & Seunghan Son & Juyeong Lee & Minsuk Sung & Minjae Lee, 2026. "Basis-Only Funding Is Not Dividend Fair: Settlement Design in Crypto Equity Perpetuals," Papers 2610.22839, arXiv.org.
  • Handle: RePEc:arx:papers:2610.22839
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    File URL: https://arxiv.org/pdf/2610.22839
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