Dashboard
Real-time overview of digital asset treasury operations — as of
Total Digital Asset Exposure
$47.2M
โฒ 2.1% vs. yesterday | 7.8% of portfolio Within 10% limit
Aggregate XVA
28.4 bps
โ +1.2 bps vs. prior day | Enhanced monitoring zone
Risk-Adjusted Yield
4.67%
Headline 4.95% โ XVA 28 bps
Active Alerts
4
2 Critical 2 Warning
Position Breakdown
6 Active Positions| Asset | Type | Currency | Holding | XVA | Adj. Yield | Status |
|---|---|---|---|---|---|---|
| USDC | Stablecoin | USD | $12,500,000 | 7 bps | โ | Normal |
| USDT | Stablecoin | USD | $5,200,000 | 22 bps | โ | Watch |
| EURC | Stablecoin | EUR | $3,800,000 | 12 bps | โ | Normal |
| BUIDL | Tokenized Treasury | USD | $15,000,000 | 42 bps | 4.78% | Enhanced |
| Ondo USDY | Tokenized MMF | USD | $8,200,000 | 38 bps | 4.62% | Normal |
| Franklin OnChain | Tokenized MMF | USD | $2,500,000 | 24 bps | 4.81% | Normal |
Allocation by Type
$47.2M
Total
Stablecoins โ $21.5M (45%)
Tokenized Treasuries โ $12.7M (27%)
Tokenized MMFs โ $10.7M (23%)
DeFi Protocols โ $2.3M (5%)
Recent Sweep & Funding
Last 24hUSDC โ USD Sweep
โ$2,400,000
USD โ USDC Funding
+$850,000
USDC: Ethereum โ Base (CCIP)
$500,000
Active Alerts
4 OpenIssuer Concentration Breach โ BUIDL / BlackRock (USD)
31.8% of digital book in single (issuer, currency) bucket โ exceeds 25% cap (ยง8.4). Risk Committee escalation required.
12 Apr 2026 โข Escalated to Risk Committee
BRVA Limit Breach โ Wormhole
BRVA reached 52 bps (hard limit 50 bps). Cross-chain exposure via Wormhole requires immediate review. Auto-pause triggered on new bridge transfers.
12 Apr 2026 14:18 UTC โข Escalated to Treasurer
USDT SVA Approaching Warning
SVA for USDT position at 14.2 bps, approaching 15 bps warning threshold. Reserve attestation 12 days old.
12 Apr 2026 11:30 UTC โข Monitoring
BUIDL LCVA Elevated
Legal/Custody VA at 27 bps (warning 25 bps). Driven by pending regulatory clarification on tokenized fund custody treatment.
11 Apr 2026 09:45 UTC โข CFO + Legal notified
Position Monitor
All digital asset holdings with real-time XVA decomposition and limit utilization
USDC (Circle) โ Ethereum Mainnet
XVA: 7 bpsHolding
$12,500,000
25% of digital portfolio (limit: 25%)
Issuer Limit Utilization
100%
Regulatory Status
GENIUS Act Compliant
MiCA EMT Authorized
Last Reserve Attestation
2 days ago
Monthly by Deloitte
XVA Decomposition
| Component | Value | Warning | Hard Limit | Utilization | Calculation |
|---|---|---|---|---|---|
| SVA โ Stablecoin VA | 5 bps | 15 bps | 30 bps | 17% | P(de-peg)=1% ร E[disc]=5bps ร $12.5M |
| LCVA โ Legal/Custody VA | 1 bps | 25 bps | 50 bps | 2% | P(legal)=0.5% ร LGD=2% |
| GVA โ Gas VA | 0.5 bps | 5 bps | 15 bps | 3% | E[gas]+P(spike)รE[excess] |
| OCVA โ Operational VA | 0.5 bps | โ | โ | โ | P(outage)รE[delay cost] |
| Total XVA | 7 bps | Within all limits โ Standard monitoring | |||
BlackRock BUIDL โ Tokenized Treasury
XVA: 42 bpsHolding
$15,000,000
31.8% of digital portfolio
Headline Yield
5.20%
vs. Adj. Yield: 4.78%
XVA Position Action
Enhanced Monitoring
25โ50 bps zone โ Up to 75% of limit
Redemption Window
T+1
RWVA factor: 3 bps
XVA Decomposition (per Appendix A methodology)
| Component | Value | Warning | Hard Limit | Utilization | Calculation |
|---|---|---|---|---|---|
| DPVA โ NAV/Redemption VA | 15 bps | โ | โ | โ | P(stress)=20% ร E[NAV disc]=75bps |
| LCVA โ Legal/Custody VA | 12 bps | 25 bps | 50 bps | 48% | P(legal)=2% ร LGD=20% (custody structure) |
| SCVA โ Smart Contract VA | 8 bps | 10 bps | 25 bps | 32% | P(exploit)=0.3% ร LGD=25% |
| OVA + GVA | 4 bps | 5 bps | 15 bps | 27% | Oracle + gas execution risk |
| RWVA โ Redemption Window VA | 3 bps | โ | โ | โ | P(queue)รE[delay cost] T+1 window |
| Total XVA | 42 bps | Enhanced monitoring โ CFO notified โ Max 75% of approved limit | |||
XVA Monitor
Real-time XVA component tracking across all positions with trend analysis
Portfolio Weighted XVA
28.4 bps
โ 25โ50 bps zone
Largest Component
LCVA
Avg 18.2 bps across positions
Components in Warning
2
BRVA (breach), USDT SVA (approaching)
Model Last Calibrated
10 Apr 2026
Bayesian posterior updated
XVA Heatmap โ All Positions ร Components
Values in basis points| Position | SVA | DPVA | RWVA | SCVA | OVA | GVA | BRVA | QVA | LCVA | OCVA | Total |
|---|---|---|---|---|---|---|---|---|---|---|---|
| USDC | 5 | โ | โ | โ | โ | 0.5 | โ | โ | 1 | 0.5 | 7 |
| USDT | 14.2 | โ | โ | โ | โ | 0.5 | โ | โ | 6 | 1.3 | 22 |
| EURC | 8 | โ | โ | โ | โ | 0.5 | โ | โ | 3 | 0.5 | 12 |
| BUIDL | โ | 15 | 3 | 8 | 2 | 2 | โ | โ | 12 | โ | 42 |
| Ondo USDY | โ | 12 | 4 | 6 | 3 | 1 | โ | โ | 12 | โ | 38 |
| Franklin OnChain | โ | 8 | 2 | 4 | 2 | 1 | โ | โ | 7 | โ | 24 |
Method Selection Framework
| Method | Components | Status |
|---|---|---|
| Deterministic | GVA (base), OCVA, simple FXVA | Active |
| Bayesian Inference | SVA, SCVA, OVA, BRVA, LCVA | Calibrated 10 Apr |
| Monte Carlo | DPVA (stress), KVA, MVA | 10K paths |
| Hybrid Bayesian + MC | De-peg cascades, black swan | Quarterly run |
Data Sources Status
| Source | Feed | Latency | Status |
|---|---|---|---|
| On-chain | TVL, gas, MEV, oracle liveness | ~12s | Live |
| Off-chain | Reserve attestations, NAV | Daily | Current |
| Market Micro | FX vol, slippage curves | ~5min | Live |
| Event DB | Exploit history, de-pegs | Manual | Updated 8 Apr |
Sweep & Funding Operations
Automated fiat-crypto sweep execution, funding triggers, and cross-chain movements
Next Scheduled Sweep
16:00 UTC Today
USDC โ USD Daily Sweep
Available for Sweep
$4,850,000
Balance $12.5M โ Retained $50K โ 24h outflows $7.6M
Funding Trigger Status
No Funding Needed
Projected outflows covered
Bridge Exposure
$1.2M
Limit: $5M or 10% of portfolio
Sweep Configuration
| Parameter | Setting | Policy Reference |
|---|---|---|
| Sweep Time | 16:00 local (after settlement finality) | ยง9.1 |
| Min Sweep Threshold | $100,000 USD equivalent | ยง9.1 |
| Min Retained Balance | $50,000 USD operational float | ยง9.1 |
| Currency Matching | USDCโUSD, EURCโEUR | ยง9.1 |
| Funding Trigger Time | 08:00 for same-day settlement | ยง9.2 |
| Funding Safety Buffer | 5% above projected outflows | ยง9.2 |
| Cross-chain Approval | Treasurer for >$500K | ยง9.4 |
| Bridge Failure Fallback | Activate if delay >4 hours | ยง9.4 |
Today's Sweep Calculation
// ยง9.1 Stablecoin-to-Fiat Sweep Formula
Available Balance: $12,500,000
โ Min Retained: $50,000
โ 24h Proj. Outflows: $7,600,000
= Sweep Amount: $4,850,000
// Above $100K threshold โ โ Sweep will execute
// ยง9.2 Fiat-to-Stablecoin Funding Check
Projected Outflows ร 1.05: $7,980,000
Current Stablecoin Bal: $12,500,000
Surplus: $4,520,000 โ No funding required โ
Execution Log โ Last 7 Days
| Timestamp | Type | From โ To | Amount | Gas/Fee | Tx Hash | Status |
|---|---|---|---|---|---|---|
| 12 Apr 08:00 | Fund | USD โ USDC | $850,000 | $2.14 | 0x3b7e...9f12 | Confirmed |
| 11 Apr 16:00 | Sweep | USDC โ USD | $3,200,000 | $1.87 | 0xa2c4...d891 | Confirmed |
| 11 Apr 14:30 | Bridge | USDC EthโBase | $500,000 | $8.42 | 0x8f2a...c41d | Confirmed |
| 10 Apr 16:00 | Sweep | USDC โ USD | $2,100,000 | $3.21 | 0x71fe...a30b | Confirmed |
| 10 Apr 16:00 | Sweep | EURC โ EUR | โฌ1,400,000 | $2.56 | 0x55d2...e7c3 | Confirmed |
| 09 Apr 08:00 | Fund | USD โ USDC | $1,200,000 | $1.93 | 0xc8a1...4f2e | Confirmed |
Tax Impact โ Sweep Events (ยง11.3)
| Activity | Tax Treatment | This Period | Cumulative FY |
|---|---|---|---|
| Stablecoin โ Fiat sweeps | Taxable; recognize gain/loss on stablecoin | +$142 gain | +$3,891 |
| Fiat โ Stablecoin funding | Acquisition; establish cost basis | $2,050,000 basis | $18.4M basis |
| Cross-chain bridges | Same-wallet transfer (not taxable) | โ | โ |
| Stablecoin โ Stablecoin swaps | Taxable exchange | None this period | +$287 |
Risk Limits & Thresholds
Aggregate exposure limits (ยง8.2) and individual XVA component limits (ยง8.3)
Aggregate Exposure Limits (ยง8.2)
% of digital-asset book unless notedTotal Digital Assets (% of total portfolio)7.8% / 10%
Max Single Issuer โ BUIDL / BlackRock (USD)31.8% / 25%
Breach โ bucketed by (issuer, currency) per ยง8.4. No additional allocation permitted.
Max Single Protocol (% of digital book)4.9% / 15%
Max Single Chain โ Ethereum (% of digital book)34% / 60%
DeFi Protocol Exposure (% of digital book)4.9% / 5%
Near limit โ approaching cap
Cross-Chain Bridge (absolute)$1.2M / $5M
XVA-Based Position Limits (ยง8.1)
| Total XVA Range | Max Position | Action Required | Current Positions in Zone |
|---|---|---|---|
| < 25 bps | Up to 100% of approved limit | Standard monitoring | USDC (7), EURC (12), Franklin (24) |
| 25โ50 bps | Up to 75% of approved limit | Enhanced monitoring; CFO notification | BUIDL (42), Ondo USDY (38) |
| 50โ100 bps | Up to 50% of approved limit | Risk Committee review required | None |
| > 100 bps | Position prohibited | Immediate exit if existing position | None |
Individual XVA Component Limits (ยง8.3)
| Component | Warning | Hard Limit | Escalation | Current Worst | Status |
|---|---|---|---|---|---|
| SVA | 15 bps | 30 bps | Treasurer | 14.2 bps (USDT) | Approaching |
| SCVA | 10 bps | 25 bps | Risk Committee | 8 bps (BUIDL) | OK |
| LCVA | 25 bps | 50 bps | CFO + Legal | 12 bps (BUIDL) | OK |
| BRVA | 20 bps | 50 bps | Treasurer | 52 bps (Wormhole) | BREACH |
| GVA + QVA | 5 bps | 15 bps | Treasury Ops | 2.5 bps | OK |
Alerts & Exceptions
Active alerts, exception requests, and escalation tracking per ยง13 exception authority
Active (4)
Resolved (12)
Exception Requests (1)
CRITICAL
Issuer Concentration Breach โ BUIDL / BlackRock (USD)
Single-issuer concentration at 31.8% of the digital-asset book, exceeding the 25% policy cap (ยง8.4). Bucketed by (issuer, currency): BlackRock USD bucket = BUIDL only. No additional allocation permitted; rotation required.
Root cause: BUIDL holding at $15M on a $47.2M digital book = 31.8% (issuer, currency) bucket.
Policy action: ยง8.2 aggregate limit. Risk Committee escalation required.
Policy action: ยง8.2 aggregate limit. Risk Committee escalation required.
Triggered
12 Apr 2026
Escalated to
Risk Committee
CRITICAL
BRVA Hard Limit Breach โ Wormhole Bridge
Bridge Valuation Adjustment hit 52 bps, exceeding the 50 bps hard limit per ยง8.3. Auto-pause has been triggered on all new Wormhole bridge transfers.
Root cause: Wormhole TVL dropped 18% over 48h following a validator set rotation. BRVA recalculated using Bayesian posterior update with new P(bridge failure) prior.
Policy action: BRVA hard limit breached (50 bps, per ยง8.3 Table 6). Under ยง8.1, positions with total XVA >100 bps are prohibited; this breach requires immediate review per ยง8.3 escalation protocol.
Policy action: BRVA hard limit breached (50 bps, per ยง8.3 Table 6). Under ยง8.1, positions with total XVA >100 bps are prohibited; this breach requires immediate review per ยง8.3 escalation protocol.
Triggered
14:18 UTC
Escalated to
Treasurer
WARNING
USDT SVA Approaching Warning Threshold
SVA = 14.2 bps (warning at 15 bps, hard limit 30 bps). Tether reserve attestation is 12 days old โ approaching staleness discount.
Calculation: P(de-peg)=1.8% ร E[severity]=15bps ร $5.2M exposure โ SVA = $1,404 (14.2 bps annualized)
Driver: Bayesian prior on P(de-peg) increased from 1.5% to 1.8% due to attestation delay
Driver: Bayesian prior on P(de-peg) increased from 1.5% to 1.8% due to attestation delay
Triggered
11:30 UTC
Escalated to
Treasurer
WARNING
BUIDL LCVA Elevated โ Regulatory Pending
Legal/Custody VA at 27 bps (warning 25 bps). Driven by pending SEC guidance on tokenized fund custody treatment under Investment Company Act.
Escalation: ยง8.3 โ CFO + Legal notified. Position remains within 25-50 bps zone per ยง8.1 (enhanced monitoring).
Action: Outside counsel opinion expected by 18 Apr 2026. LCVA will be recalibrated upon receipt.
Action: Outside counsel opinion expected by 18 Apr 2026. LCVA will be recalibrated upon receipt.
Triggered
11 Apr 09:45
Notified
CFO, Legal
Regulatory Compliance
Multi-jurisdictional compliance status per ยง10 regulatory framework
๐บ๐ธ United States
Compliant- GENIUS Act โ USDC compliant, permitted issuer
- BSA/AML โ FinCEN registration verified
- Travel Rule โ $3K threshold monitoring active
- OFAC โ Wallet screening enabled
- SEC โ Tokenized fund custody guidance pending
- State licenses โ BitLicense verified for NY ops
๐ช๐บ European Union
Compliant- MiCA โ EURC authorized as EMT
- MiCA โ CASP authorization verified
- MiFID II โ Tokenized securities classified
- EMIR โ Derivatives reporting active
- DORA โ Custodian resilience verified
- Reserve requirements โ 30-60% EU bank rule met
๐ธ๐ฌ๐ญ๐ฐ Asia-Pacific
1 Item- Singapore โ MAS PSA license verified
- Singapore โ SFA classification complete
- Hong Kong โ VASP license verified
- Hong Kong โ Stablecoin Ordinance: HKD-backed stablecoin provider selection in progress
Jurisdictional Restrictions โ Stablecoin Pooling (ยง11.2)
| Jurisdiction | Restriction | Status |
|---|---|---|
| ๐จ๐ณ China | Cross-border crypto prohibited โ PRC entities excluded from pools | Blocked |
| ๐ฎ๐ณ India | Restricted crypto activities โ verify before inclusion | Restricted |
| Capital control jurisdictions | Stablecoin movements must not violate local capital controls | Per-txn check |
| Withholding tax jurisdictions | Analyze if stablecoin interest equivalents trigger WHT | Under review |
Approved Service Provider Compliance (Appendix C Criteria)
| Provider | Role | Jurisdictions | SOC 2 | Insurance | Segregated | Bankruptcy Remote |
|---|---|---|---|---|---|---|
| Coinbase Prime | Custodian | US, EU, SG | Type II | โ | โ | โ |
| Fireblocks | Wallet Infra | US, EU, HK | Type II | โ | โ | โ |
| Circle | Stablecoin Issuer | US (OCC), EU (MiCA) | Type II | N/A | N/A | โ |
| Anchorage Digital | Custodian | US (OCC charter) | Type II | โ | โ | โ |
Reporting
Scheduled reports per ยง12 requirements โ daily, weekly, monthly, quarterly
๐ Daily Reports (ยง12.1)
Auto-generated| Report | Last Run | Status |
|---|---|---|
| Digital Asset Position Report | Today 06:00 | Delivered |
| XVA Dashboard | Today 06:00 | Delivered |
| Sweep/Funding Execution Report | Today 06:00 | Delivered |
| Exception Report | Today 06:00 | 1 exception flagged |
๐ Weekly Reports (ยง12.2)
Due Monday| Report | Last Run | Status |
|---|---|---|
| XVA Trend Analysis | 6 Apr 2026 | Delivered |
| Protocol Health Report | 6 Apr 2026 | Delivered |
| Regulatory Update Summary | 6 Apr 2026 | Delivered |
๐ Monthly Reports (ยง12.3)
Due 1 May| Report | Last Run | Status |
|---|---|---|
| Comprehensive XVA Report | 1 Apr 2026 | Delivered |
| Risk-Adjusted Return Analysis | 1 Apr 2026 | Delivered |
| Counterparty Exposure Report | 1 Apr 2026 | Delivered |
| Tax Lot Report | 1 Apr 2026 | Delivered |
| Policy Compliance Report | 1 Apr 2026 | Delivered |
๐ Quarterly Board Reports (ยง12.4)
Due 15 Apr| Report | Last Run | Status |
|---|---|---|
| Digital Asset Strategy Review | 15 Jan 2026 | In preparation |
| XVA Model Validation Report | 15 Jan 2026 | Back-testing in progress |
| Regulatory Compliance Certification | 15 Jan 2026 | Pending sign-off |
Approved Digital Assets & Instruments
Approved stablecoins (ยง7.1), tokenized assets (ยง7.2), and protocols (ยง7.3)
Approved Stablecoins (ยง7.1)
| Stablecoin | Regulatory Status | Max Exposure | SVA Range | Current Holding | Status |
|---|---|---|---|---|---|
| USDC (Circle) | GENIUS Act โ MiCA EMT โ | 25% of digital portfolio | 5โ10 bps | $12.5M (26.5%) | At limit |
| EURC (Circle) | MiCA EMT โ | 15% of digital portfolio | 10โ15 bps | $3.8M (8.1%) | OK |
| USDT (Tether) | Varies by jurisdiction | 15% of digital portfolio | 15โ25 bps | $5.2M (11.0%) | OK |
| Bank-issued | GENIUS Act subsidiary | Per counterparty limits | ~5 bps | โ | Available |
Approved Tokenized Assets (ยง7.2)
| Asset | Type | XVA Components | Current Holding | Headline Yield | Adj. Yield |
|---|---|---|---|---|---|
| BlackRock BUIDL | Tokenized Treasury | DPVA + LCVA + SCVA | $15.0M | 5.20% | 4.78% |
| Ondo USDY | Tokenized MMF | DPVA + RWVA + LCVA | $8.2M | 5.00% | 4.62% |
| Franklin OnChain | Tokenized MMF | DPVA + RWVA + LCVA | $2.5M | 5.05% | 4.81% |
| Superstate funds | Tokenized MMF | DPVA + RWVA + LCVA | โ | โ | โ |
Approved Protocols & Chains (ยง7.3)
| Category | Approved | XVA Requirement | Conditions |
|---|---|---|---|
| Layer 1 Chains | Ethereum Mainnet, Base (L2), Solana | Chain-specific GVA calibration | โ |
| DEX Protocols | Uniswap V3/V4, Curve | SCVA + OVA | Stablecoin swaps only; SCVA < 25 bps |
| Bridges | Wormhole, LayerZero, CCIP | BRVA < 50 bps | Continuous monitoring; Wormhole currently breached |
Governance
Roles, responsibilities, and exception authority per ยง4 and ยง13
Roles & Responsibilities (ยง4)
| Role | Responsibilities |
|---|---|
| Board of Directors | Approves the Crypto Risk Management Policy and reviews effectiveness annually. Sets maximum aggregate exposure limits. |
| Chief Financial Officer | Overall responsibility for implementing and overseeing the crypto risk program. Approves XVA methodologies and risk tolerance thresholds. |
| Treasurer | Executes digital asset strategies, monitors XVA metrics, manages sweep/funding operations, and maintains custodian/exchange relationships. |
| Risk Management | Calculates and monitors XVA components, validates model inputs, performs stress testing, and escalates limit breaches. |
| Compliance Officer | Ensures adherence to all applicable regulations, monitors regulatory developments, maintains AML/KYC compliance. |
| Tax Department | Manages transfer pricing documentation for intercompany digital asset flows, monitors tax implications of sweeps, ensures proper gain/loss recognition. |
Exception Approval Authority (ยง13.1)
| Exception Type | Approval Authority | Current Exceptions |
|---|---|---|
| Temporary XVA exceedance (<48h) | Treasurer with CFO notification | 1 active โ BRVA Wormhole |
| Extended XVA exceedance (>48h) | CFO approval required | None |
| Non-approved stablecoin or protocol | CFO + Risk Committee | None |
| Aggregate limit exceedance | Board Finance Committee | None |
| Policy amendment | Board Finance Committee | None |
Policy Review Schedule (ยง14)
Last Annual Review
15 Jan 2026
Next Annual Review Due
15 Jan 2027
Interim Amendments
0 pending
This policy is subordinate to the Corporate Treasury Policy and the firm's overall Investment Policy. Given the rapidly evolving nature of digital asset markets and regulation, the Treasurer monitors material changes and proposes interim amendments as necessary. The Finance Committee of the Board reviews and approves annually.