Silicon Valley Bank Unit Economics

(at 4Q22 disclosure, annualized $M; minor simplifying adjustments)

Balance Interest Revenue/

Sheet rate % cost

Assets
Loans to investors 41,269
Loans to early stage tech companies 1,950
Loans to growth stage tech companies 4,763
C&I 9,647
Sponsor lead buyout 1,966
Private bank 10,477
Premium wine 1,158
CRE, PPP & Other 3,020
Total loan book 74,250 6.03% 4,477

Other Lending Assets:

Available for sale ("AFS") securities - taxable 26,069 1.76% 458

Residential mortgage backed securities (MBS) 68,245

Commercial mortgage backed securities 14,471
Municipal, corporate & other bonds 8,608
Held to maturity ("HTM") securities 91,324 1.66% 1,516
Fed funds sold/deposits 13,605 3.11% 423
Total interest income 205,248 3.35% 6,874

Liabilities
Memo: Non-interest bearing deposits 86,969 0.00% 0

Interest-bearing checking & savings 27,036 3.45% (933)

Money market deposits 53,630 1.73% (928)
Money market deposits in fgn offices 131 0.01% (0)
Time deposits 6,147 2.92% (179)
Sweep deposits in foreign offices 840 0.06% (1)
Total deposits 87,784 2.32% (2,041)
ST borrowings other 15,061 4.17% (628)
LT borrowings other 4,999 3.60% (180)
Total interest expense 107,844 2.64% (2,849)

Net interest margin ("NIM") 205,248 1.96% 4,026

Other assets 6,545

Total assets 211,793

Other liabilities 685

Total liabilities 195,498
Preferred equity & NCI 3,937
Shareholder equity (4Q22) 12,358
Goodwill + other intangibles 500
Tangible common equity 11,858
Tier 1 capital ratio 15.4%
TCE/TA ratio 5.6%

Memo: Other income statement items:

… (detail inside "+")
Total other revenue 2,098
… (detail inside "+")
Non-interest expense (3,988)
… (detail inside "+")
Net income to common shareholders 1,051
Return on Equity (ROE) 8.5%
Diluted shares outstanding 60
4Q22 Run-Rate Earnings per share (EPS) 17.5
Notes
Email: rich@arcana.io
The Catalyst ==> Announced Sale of "AFS" Website: arcana.io
LinkedIn: linkedin.com/in/rich-falk-w
SIVB Announced March 8th:
AFS Sold 21,000
Loss (1,800)
Average duration (yrs) 3.6
Loss % -8.6%
Announced capital raise: 2,250
+ adding $15B of LT borrowing

The Second Order Effect

GAAP
Unrealized
Total Duration Losses
HTM Securities 91,324 6.2 (15,160)
Rest of loan book? 74,250 ~2yrs ?
Feared total mark-to-market $20B+

"Balance sheet hole" fear

AFS loss (1,800)
HTM & loan book loss (20,000)
Less: Tangible equity cushion 11,858
Implied negative equity (9,942)
% of assets: -4.7%

Key Deposit Holder Breakdown Insured

Deposits
Insured deposits (< $250k) 9,656 165,097 Average per 35k client

Uninsured deposits brkdwn: 165,097

Early stage tech 49,529 30%
…of which ~1,000 YC ~2,200 est.
Later stage tech 34,670 21%
Healthcare 19,812 12%
International 29,717 18%
Investment funds 21,463 13%
Private bank 9,906 6%

The "Bank Run"

Cash on hand end of 4Q22: 15,000 Feb 28th
Attempt Mar 9th withdraw: 42,000
Cash balance on Mar 10th: (958)

Est. successful withdraw 15,958

Successful withdrawn % 38%

*Simplistic* Recovery Math

Liabilities
Deposits at Mar 8th deck: 168,000
ST/LT borrowings 20,060
Less: FDIC insured (9,656)
Deposit outflow Mar 9th: (15,958)
Total liabilities 162,446
Impairment
All liquidation costs: 2,500
Low impairment: 9,942 12,442 8%
High impairment 29,942 32,442 20%
rich@arcana.io

linkedin.com/in/rich-falk-wallace/

Average per 35k client 0.28