Summary of expectations (all estimates. assumptions are stated)
- On the whole, if you had more than $250k in SVB, you should be getting 90-99% of your money back in a staggered time frame.
- A sizeable chunk of uninsured deposits will be made available in the next month
- 10% of uninsured deposits should be released in the next week given current excess beyond FDIC insured balance of available for sale securities which should be highly liquid or sitting cash if they haven’t fully deployed portfolio yet
- 43% of uninsured deposits will be released within a month as HTM assets are unwound (MBS have extremely deep liquidity so should be pretty easy to dump 100% of them which we expect receivership to do)
- 45% of uninsured deposits will be released over an unknown time frame, as loans are either liquidated or sold at a slight loss(we expect sold since the loan portfolio mix is fairly attractive).
Balance sheet summary
|
|
Est. Haircut on Liquidation |
True net assets |
Assets Available for Uninsured |
| Cash |
$15 |
0 |
$15 |
0 |
| AFS after restructure |
$25 |
0 |
$25 |
$15 |
| HTM |
$92 |
30% |
$64 |
$64 |
| Loans |
$74 |
10% |
$67 |
$67 |
| Total Assets |
$206 |
|
$171 |
146 |
|
|
|
|
|
| FDIC insured |
$25 |
|
$25 |
|
| Uninsured |
$148 |
|
$148 |
$148 |
| Total Deposits |
$173 |
|
$173 |
|
| Collateralization ratio in bankruptcy proceeding |
119.08% |
|
98.84% |
98.65% |
Notes:
- In this liquidation event, depositors are #1 priority in repayment, which essentially means 100% of asset liquidation proceedings will go toward depositors. Assuming that disbursements are proportional across all depositors in making payback estimates
- Est. $25bn of deposits were FDIC insured (source: rumors)
- AFS portfolio assumed to be $25bn based on investor update Mar 8
- Held to Maturity assets were assumed to be mostly 10 year MBS (10K actually states weighted average duration to be 6 years so this is more conservative), interest rate movement from 1% to 4% results in a 24% drop in current bond prices. Rounded up to 30% to be conservative
- HTM yield was noted to be 1.72% in Q4 2022
- Depending on what you expect the yield changes between Q4 and Q1 look like, the HTM loss could be much lower or much higher
- You can view their HTM portfolio on Page 66 of this link
- Loan portfolio is substantially low loss mix, which should result in close to mark to market value on sale (assuming 10% haircut for “fire sale discount”)
- Total deposits is overstated (using 10k balance vs the current investor estimate of $168bn), but assets balance is pulled from the current investor presentation
- Even accounting for a bank run, the % recoupment of uninsured depositors should be within the range of 95-98% (bank run was likely no more than $10bn since if cash cushion drops, SVB hits a danger zone that requires they recapitalize or go into receivership). Bank run would have to be in the order of $100bn for the uninsured depositor recoupment to hit 95%
Sources:
10k report
Latest investor presentation