Silicon Valley Bank Results Presentation Deck
Proactive interest rate risk management
Rising rates in Q1 presented
opportunity to monetize AFS
hedges and rebalance
securities
Past actions to manage
AOCI risk helped support
TBV¹ as rates increased in Q1
As of 12/31/21
Only 22%
of fixed-income securities in AFS
Reduced AFS exposure by emphasizing
HTM purchases and transferring securities
from AFS to HTM in 2021
$11B
Fair value hedges
Added receive-floating swaps in 2021 to
mitigate decreases in AFS fair value resulting
from rising rates
Protected TBV
by ~$2.5B in Q1'22²
svb>
$49M
Net pre-tax realized gains
From unwind of $5B receive-
floating swaps (at a $204M gain)
and sale of related AFS securities
~$37M
Increase in annual NII
From reinvestment of AFS sale proceeds
into higher-yielding 3-year UST securities³
-$259M
Pre-tax unrealized gains
From remaining $6B receive-floating swaps
outstanding as of 3/31/22
Expect improved new
purchase yields given
higher rates
~2.50-2.75%
Expected new purchase yields
(vs. -1.65-1.75% at 1/20/22)
Primarily investing in liquid, government/
agency-guaranteed securities
~3.5y
Target duration
Flat to inverted yield curve limits benefit
of extending duration
Majority
of new purchases in AFS
Maximize ALM flexibility and satisfy LFI
requirements
1. Non-GAAP financial measure. See "Use of non-GAAP Financial Measures" in our Q1 2022 Earnings Release and our non-GAAP reconciliations
at the end of this presentation.
2. Estimate that 3/31/22 SVBFG TBV would have been -$2.5B lower if fixed income portfolio mix had been maintained at 65% AFS / 35% HTM
(consistent with 12/31/20 mix) and no receive-floating swaps had been added.
3. Included in FY'22 NII outlook.
Q1 2022 FINANCIAL HIGHLIGHTS 15View entire presentation