Vault A — Delta-Neutral Funding Rate

Risk: Low | Target APY: 8-15% | Entry: BTC or USDC

Strategy

Vault A captures funding rate arbitrage by holding equal and opposite perpetual futures positions, maintaining net-zero BTC exposure:

1. BTC deposit path: Deposit BTC → open CDP at 60% LTV → mint moonUSD → swap to USDC → post as margin on Extended DEX → open equal long+short BTC perps
2. USDC deposit path: Post USDC directly as margin → open equal long+short perps

The vault earns the funding rate spread (positive funding = shorts pay longs) with no directional risk.

Key Mechanics

Direction Flipping

When funding rate turns negative for 3+ consecutive periods, the keeper calls trigger_flip() to reverse the long/short sides, ensuring the vault always collects positive funding.

Emergency Rebalance

If delta drift exceeds 5% of notional (from partial liquidations or uneven funding), anyone can call emergency_rebalance() to restore delta neutrality.

NAV Calculation

NAV = margin_balance + unrealized_pnl + accrued_funding - outstanding_debt
NAV per share = NAV / total_shares

API Reference

User Functions

fn deposit_btc(ref self: TContractState, amount: u256) -> u256  // returns shares
fn deposit_usdc(ref self: TContractState, amount: u256) -> u256 // returns shares
fn withdraw(ref self: TContractState, shares: u256)             // burns shares, returns assets

Keeper Functions

fn trigger_flip(ref self: TContractState)          // keeper-only: flip long/short
fn emergency_rebalance(ref self: TContractState)   // permissionless: fix delta drift
fn harvest_funding(ref self: TContractState)        // collect accrued funding

Read Functions

fn get_nav(self: @TContractState) -> u256
fn get_nav_per_share(self: @TContractState) -> u256
fn get_delta(self: @TContractState) -> u256       // should be ~0
fn get_vault_stats(self: @TContractState) -> VaultAStats
fn get_user_position(self: @TContractState, user: ContractAddress) -> UserVaultPosition

VaultAStats

struct VaultAStats {
    total_shares: u256,
    nav: u256,
    nav_per_share: u256,
    long_notional: u256,
    short_notional: u256,
    accrued_funding: u256,
    current_direction: felt252,  // 'LONG_BIAS' or 'SHORT_BIAS'
}

Risks

• Funding rate reversal: If rates stay negative longer than flip threshold, brief losses
• DEX counterparty risk: Extended DEX solvency
• Smart contract risk: CDP + DEX interaction surface
• Oracle failure: Could affect CDP health during emergency