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 room
SVB's home quadrant is Q4 because the failure looked like a sudden, complex, model-breaking tail event; but the underlying payoff function (bond prices fall as rates rise) was linear and simple, and the exposure was disclosed and foreseeable a year in advance, which is why the case is increasingly re-read as a Q1, predictable risk that only detonated at Q4 speed because of uninsured-deposit concentration and digital-era withdrawal velocity.
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- Deposits withdrawn March 9, 2023: $42 billion in one day; additional ~$100 billion staged for March 10certain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
The book
This entry is one of 111 in the register. The full story, and what it cost the people who lived it, is in Risky Business by Claudia Zeisberger, David Munro and Joanna Reijgersberg-Siew.
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