Bitwise fund posts 14.57% implied yield on XRP basis

At 4 p.m. EDT on Sept. 1 Bitwise’s Crypto Carry Fund (USCC) reported 10,781,438.36 XRP in custody and a short position of 10,510,000 September Coinbase XRP futures, a 97.48% quantity hedge.

The custody leg showed a value of about $14.26 million and the futures notional was roughly $14.02 million, leaving a residual long position of 271,438.36 XRP and a notional gap of $232,776. Dividing the notionals by their quantities produced a spot-equivalent mark near $1.3222 and a futures-equivalent mark near $1.3342, with the futures price about 1.2 cents, or 0.91%, higher than spot. Bitwise labeled that short-term gap as a holding-level implied yield of 14.57% if held to maturity and separately reports realized 30-day yields. The firm charges a 0.75% management fee.

The disclosed structure pairs owned XRP with a short futures position: the fund holds the token in custody and sells a higher-priced future. Convergence between spot and futures at settlement is the mechanism cited for collecting the premium while offsetting much of the asset’s directional exposure. The 97.48% quantity match left limited outright exposure confined to the 271,438.36 XRP that remained unhedged and to any timing differences between the two legs.

Operational items tied to the position were not detailed in the public table. Spot and futures prices can move apart before settlement, margin for the short futures position must be funded, custody and financing costs affect net returns, and a contract’s cash-settlement benchmark can differ from the price available to the custody inventory. Bitwise did not disclose execution, financing, custody, margin or contract roll costs for the XRP line in the holdings table.

A Coinbase Derivatives filing specifies 10,000 XRP as the size of its standard monthly XRP future, but Bitwise did not publish a product code for its short position, so converting the displayed futures quantity into a contract count is conditional. The Commodity Futures Trading Commission’s Traders in Financial Futures report dated Aug. 25 showed 20,518 contracts of open interest in standard Coinbase XRP futures: dealer and intermediary accounts held 17,853 long contracts, asset manager and institutional accounts held about 1,800 longs, leveraged funds held 13,822 shorts and no outright longs, other reportable traders held 4,824 shorts, and nonreportable traders held 1,011 contracts. Those category totals predate the USCC holdings table by seven days and do not identify counterparties to Bitwise’s trades.

Bitwise’s separate XRP ETF reported 361,995,068.31 XRP in trust, worth about $531.3 million as of Sept. 2, with an objective to track the value of the XRP it holds, less expenses. The ETF’s holdings represent spot exposure, while the USCC entry pairs spot and futures for a basis strategy.

The holdings disclosure provides the reported position and the numeric gaps on the date shown. The identities of the buyers of the futures premium, the broader mix of institutional demand for XRP between directional and basis strategies, and the fund’s net investor returns after fees and costs were not disclosed in the public table.