Section 2 : Structure of the UK financial system

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Section 2 Structure of the UK financial system
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Chart 2.1 Major UK banks aggregate balance
sheet at end-2006
Sources Bank of England, FSA regulatory returns,
published accounts and Bank calculations. (a) Inc
ludes borrowing from major UK banks. (b) Includes
(among other items) loans to UK-resident banks
and other financial corporations and holdings of
UK government debt. (c) Includes Tier 2 capital,
short positions, insurance liabilities and
derivative contracts with negative
marked-to-market value. (d) Assets are not risk
weighted. As a percentage of risk-weighted
assets, Tier 1 capital is 8.
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Chart 2.2 Major UK banks exposures as a share
of total assets at end-2006
Sources Bank of England, FSA regulatory returns,
published accounts and Bank calculations. (a) Inc
ludes (among other items) loans to UK-resident
banks and other financial corporations and
holdings of UK government debt.
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Chart 2.3 Major UK banks aggregate trading
income(a)
Sources Bank of England, published accounts and
Bank calculations. (a) Data included only for
those major banks that report trading income and
Value-at-Risk. (b) Aggregate Value-at-Risk
standardised to sterling, 99 confidence interval
and a ten-day holding period.
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Chart 2.4 Major UK banks participation as lead
arrangers in global syndicated lending(a)(b)
Sources Dealogic and Bank calculations. (a) Excl
udes amendments and unsigned loans. (b) When the
proportions provided by each syndicate member are
unknown, loan amounts have been split equally
among participating banks.
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Chart 2.5 Annual growth rate of major UK banks
lending to UK non-financial companies(a)
Source Bank of England. (a) Data exclude
Nationwide. (b) Includes lending to real estate
companies.
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Chart 2.6 Major UK banks annual write-off
rates(a)
Sources Bank of England, FSA regulatory returns
and Bank calculations. (a) Calculated quarterly
as write-offs over previous year divided by
average stock of lending. (b) Dashed line shows
the rate excluding a one-off write-off of 0.7
billion in 2005 Q4, which distorted the
series. (c) Data exclude Nationwide.
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Chart 2.7 Annual growth in major UK banks
lending to UK households
Sources Bank of England and FSA regulatory
returns.
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Chart 2.8 Major UK banks customer funding
gap(a)
Sources Dealogic, published accounts and Bank
calculations. (a) Data exclude
Nationwide. (b) Customer funding gap less
securitised debt. Where not available, stocks of
securitisations are estimated from data on flows
of issuance. (c) Customer funding gap less
wholesale funding with an outstanding maturity of
more than three months (solid line) or with an
outstanding maturity of more than one year
(dashed line).
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Chart 2.9 Major UK banks large exposures by
type of counterparty(a)
Sources FSA regulatory returns and Bank
calculations. (a) Based on exposures that exceed
10 of eligible capital at the end of the
reporting period.
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Chart 2.10 Incidence of common large exposure
counterparts during 2006 Q4(a)
Sources FSA regulatory returns and Bank
calculations. (a) Based on exposures that exceed
10 of eligible capital during the reporting
period.
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Chart 2.11 Revenue and profit growth at LCFIs
corporate and investment banking units at end-2006
Sources Published accounts and Bank
calculations.
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Chart 2.12 LCFIs total assets
Sources SEC filings, published accounts and Bank
calculations. (a) Other includes (among other
items) receivables, investments, goodwill and
property
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Chart 2.13 LBO lending by LCFIs(a)(b)
Sources Dealogic and Bank calculations. (a) Excl
udes amended and unsigned loans. (b) Where the
actual proportions provided by each syndicate
member are unknown, loan amounts have been split
equally among participating banks.
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Chart 2.14 LCFIs Value-at-Risk(a)(b)

• Sources Bank of England, published accounts and
  Bank calculations.
• (a) Standardised to US dollar 99 confidence
  interval and a ten-day holding period.
• Data for selected LCFIs. Where unavailable,
  quarterly data are inferred from annual or
• semi-annual data.
• (c) Includes (among other items) commodities and
  foreign exchange.

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Chart 2.15 Major UK banks and LCFIs credit
default swap premia(a)
Sources Bloomberg, Markit Group Limited,
published accounts and Bank calculations. (a)
Asset-weighted average five-year premia. (b) July
2006 Report.
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Chart 2.16 LCFIs issuance of RMBS backed by
sub-prime lending(a)

• Sources Dealogic and Bank calculations.
• Data include residential mortgage-backed
  securities (RMBS) backed by sub-prime and
• non first lien mortgages.

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Chart 2.17 Investor shares of US and European
leveraged loan markets(a)
Sources Standard Poors Leverage Commentary
and Data, and Bank calculations. (a) Shares
weighted by European and US leveraged loan market
volumes.
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Chart 2.18 Outstanding global amounts of credit
protection bought by institution(a)
Sources BBA and Bank calculations. (a) Amounts
netted across long and short positions.
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Chart 2.19 Net capital flows into hedge funds
Source Lipper (a Reuters company).
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Chart 2.20 CREST system availability for
settlement
Source CRESTCo.
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Section 2 Box 4
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Table 1 1998 average volatility indices(a)(b)
Sources BIS and Bank calculations. (a)
Volatility over period 1 January to 3 July 1998
100. (b) The volatility for each asset class is
calculated as the simple average of the
volatilities of a range of assets denominated in
different currencies and, where relevant,
maturities.
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Chart A Baseline versus stressed VaRs(a)
Sources Bloomberg, Markit Group Limited,
published accounts and Bank calculations. (a)
Asset-weighted average five-year premia. (b)
July 2006 Report.
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Section 2 Box 5
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Chart A Hedge fund returns versus returns on
selected assets(a)
Sources Bloomberg, CSFB/Tremont, Goldman Sachs,
JPMorgan Chase Co., Standard Poors, Thomson
Datastream and Bank calculations. (a) Monthly
indices rebased to 100 in January 1998. (b)
Spread measured as yield to maturity over US
Treasuries.
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Chart B Number of hedge funds and assets under
management(a)
Source Hennessee Group LLC. (a) Data are
reported as of January each year.
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Chart C Source of hedge fund capital by share of
assets under management
Source Hennessee Group LLC.