1) Executive Summary (FP&A framing)

This appendix demonstrates an FP&A-style mini pack using real benchmark data from FRED (SOFR/EFFR + Treasury curve proxies). The pack converts the rate environment into operator-ready artifacts: trend, volatility, spread monitoring, curve slope proxies, and a scenario engine that links benchmark shocks to an NII proxy via an explicit giveback policy + balance sensitivity.

Key idea: even without internal company data, we can produce a credible FP&A structure by keeping facts factual (fees, benchmark rates) and isolating assumptions as ranges (balances, trading volumes), with sensitivity and decomposition.

2) Latest Snapshot (Real Data)

Metric Value
Latest date 2026-01-16
Latest SOFR (%) 3.65
30D Avg SOFR (%) 3.712
Latest EFFR (%) 3.64
30D Avg EFFR (%) 3.667
SOFR-EFFR spread (bps) 1
SOFR 30D vol (bps/day) 6.41
EFFR 30D vol (bps/day) 4.9
Latest DTB3 (%) 3.57
Latest DGS2 (%) 3.59
Latest DGS10 (%) 4.24
2s10s slope (bps) 65
3m10y slope (bps) 67

3) Market Regime (Trend / Volatility / Spread / Curve)

4) Scenario Engine (Rate Shocks × Giveback Policy × Balance Shock)

This table is designed to be management-ready: it maps benchmark shocks into a net spread proxy and NII proxy, and decomposes ΔNII into rate / balance / interaction components.

label shocked_rate giveback_rate ops_buffer net_spread_proxy balance_total nii_proxy delta_nii rate_effect balance_effect interaction
SOFR +0bp | Fixed giveback | Balance -10% 3.7125 2.00 0.75 0.9625 9.0e+07 866250 -96250 0 -96250 0
SOFR +0bp | Fixed giveback | Balance Base 3.7125 2.00 0.75 0.9625 1.0e+08 962500 0 0 0 0
SOFR +0bp | Fixed giveback | Balance +10% 3.7125 2.00 0.75 0.9625 1.1e+08 1058750 96250 0 96250 0
SOFR +0bp | Partial pass-through (50%) | Balance -10% 3.7125 2.00 0.75 0.9625 9.0e+07 866250 -96250 0 -96250 0
SOFR +0bp | Partial pass-through (50%) | Balance Base 3.7125 2.00 0.75 0.9625 1.0e+08 962500 0 0 0 0
SOFR +0bp | Partial pass-through (50%) | Balance +10% 3.7125 2.00 0.75 0.9625 1.1e+08 1058750 96250 0 96250 0
SOFR -50bp | Fixed giveback | Balance -10% 3.2125 2.00 0.75 0.4625 9.0e+07 416250 -546250 -500000 -96250 50000
SOFR -50bp | Fixed giveback | Balance Base 3.2125 2.00 0.75 0.4625 1.0e+08 462500 -500000 -500000 0 0
SOFR -50bp | Fixed giveback | Balance +10% 3.2125 2.00 0.75 0.4625 1.1e+08 508750 -453750 -500000 96250 -50000
SOFR -50bp | Partial pass-through (50%) | Balance -10% 3.2125 1.75 0.75 0.7125 9.0e+07 641250 -321250 -250000 -96250 25000
SOFR -50bp | Partial pass-through (50%) | Balance Base 3.2125 1.75 0.75 0.7125 1.0e+08 712500 -250000 -250000 0 0
SOFR -50bp | Partial pass-through (50%) | Balance +10% 3.2125 1.75 0.75 0.7125 1.1e+08 783750 -178750 -250000 96250 -25000

(Full CSV available at outputs/rate_balance_scenarios_table.csv.)

5) Xapo Monetization Sensitivity (Facts + Assumptions defended)

5.1 Fee facts (public, no guessing)

item value
Membership fee (annual, USD) 1e+03
BTC spread (rate) 1e-03
Equity/ETF trading fee (rate) 5e-03

5.2 Unit economics sensitivity (volume assumptions are ranges)

This section keeps volumes as explicit ranges (Low/Base/High), which makes the model defensible rather than “fake precision.”

scenario active_members btc_notional_per_member equity_notional_per_member balance_per_member rev_membership rev_btc rev_equity rev_payments rev_rate_proxy total_rev_per_member
Low 300 2000 1000 333333.33 1000 2 5 0 3208.3333 4215.333
Base 1000 20000 10000 100000.00 1000 20 50 10 962.5000 2042.500
High 3000 80000 40000 33333.33 1000 80 200 50 320.8333 1650.833

6) Operator Next Steps (what FP&A would do with internal data)