ETH: Cost of Leverage: DeFi Borrowing, Perpetual Funding and Futures Basis
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What leverage costs a year, three ways: borrowing dollars against crypto in Ethereum's lending markets, holding a long BTC or ETH perpetual future, or a three-month dated future, beside the risk-free 3-month Treasury bill.
Why use it. They are three prices for the same thing, exposure paid for with borrowed dollars. When one route runs well above the others, traders are crowding into it; the gap to the bill is the premium for crypto leverage, and the basis over the bill is what a cash-and-carry trade (long spot, short futures) earns above the risk-free rate. How to read it. Perpetual funding moves most and turns negative when shorts pay longs; the basis is the market's fixed price for three months; the DeFi borrow rate follows lending markets' utilisation. Every line far above the bill marks heavy demand for leverage; lines falling to the bill or under it mark deleveraging.
Calculation. DeFi borrow rate: the borrow rate of DeFi Dollar Rate, from CryptoKeyhole's own Ethereum archive node. Perpetual funding: the open-interest-weighted 8-hour funding rate of the venues CryptoKeyhole collects x 3 x 365, the values of Annualized Perpetual Funding vs 3M Rolling Basis. Futures basis: the constant three-month annualized basis, (mark / index - 1) x 365 / days to expiry per dated contract, interpolated to 90 days per venue and averaged by dated open interest, the values of Futures Annualized Rolling Basis (3M). Funding and basis are simple annual rates; the borrow rate and the bill are compounded APYs, which adds a few hundredths of a point at these levels. The bill: the U.S. Treasury's official 3-month par yield for the hour's UTC date, from Treasury's Daily Treasury Par Yield Curve Rates (a simple annual rate over the bill's days), put on the lending rates' compounded basis as if the bill were rolled every 91 days at that yield: (1 + yield x 91/365)^(365/91) - 1, so 4.19% becomes 4.26%. Weekends and bond-market holidays take the latest earlier trading day; until Treasury publishes a day's yield, late in the US afternoon, that day's hours use the previous trading day and are recomputed once it is out. Source for the bill: U.S. Department of the Treasury, Daily Treasury Par Yield Curve Rates; no Treasury endorsement. Hours run to the latest hour the DeFi dollar rate has published, from 19 October 2026, 14:00 UTC; a day is each line's own daily value, and the latest day is a partial.