Risk register · entry
Q4 · Where models dieSilicon Valley Bank
A duration mismatch met a 94%-uninsured base in a digital-speed run.
The world stops matching the model. Regime change and leverage turn a small error fatal.
Why this quadrant
Bond prices fall when rates rise. That is the whole mechanism, it was in the filings a year ahead, and it is about as far from unmodellable as risk gets. The funding side is what made it fatal: 94 percent of deposits were uninsured, so the people most able to leave first all could, and 42 billion dollars went in a single day. The exposure was predictable. The speed was not.
The record
- Total assets at failure: $209 billion (Dec 31, 2022)certain
- Total deposits: approximately $175.5 billion (year-end 2022)certain
- Uninsured deposit share: 94% (year-end 2022, per call report basis; some sources cite 86-89% on a differently defined basis)likely
- Held-to-maturity securities portfolio: approximately $91 billioncertain
- Unrealized losses on held-to-maturity bonds: over $15 billion by end of 2022likely
- Securities sold at a loss (March 8, 2023): $21 billion, realizing a $1.8 billion losscertain
- Emergency capital raise announced: $2.25 billioncertain
- Deposits withdrawn March 9, 2023: $42 billion in one day; additional ~$100 billion staged for March 10certain
- SVB stock decline, March 9, 2023: about 60%likely
- Bank closed by California DFPI, FDIC named receiver: March 10, 2023certain
- Estimated cost to FDIC Deposit Insurance Fund: $20 billion (including about $18 billion for uninsured depositors)likely
- CEO Greg Becker share sale: about $3.6 million (~12,451 shares) on Feb 27, 2023likely
- Signature Bank seized: March 12, 2023certain
- First Republic Bank failure: May 2023, approximately $229 billion in assetslikely
- SVB Financial Group Chapter 11 filing: approximately one week after the bank's seizurelikely
Sources
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