Section 2: Structure of the financial system

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Section 2 Structure of the financial system
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Chart 2.1 Major UK banks aggregate balance
sheet as at end-June 2007(a)
Sources Bank of England, FSA regulatory
returns, published accounts and Bank
calculations. (a) Nationwide data are as at
end-2006. (b) Includes borrowing from major UK
banks. (c) Includes (among other items) loans to
UK-resident banks and other financial
corporations and holdings of UK government
debt. (d) Includes Tier 2 capital, short
positions, insurance liabilities and derivative
contracts with negative marked-to-market value.
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Chart 2.2 Major UK banks exposures as a share
of total assets as at end-June 2007(a)
Sources Bank of England, FSA regulatory
returns, published accounts and Bank
calculations. (a) Includes (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 Sterling intraday liquidity
buffers(a)(b)
Source Bank of England. (a) Data are for the
five major UK banks that are members of CHAPS
Sterling. (b) 30-day moving average.
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Chart 2.4 Major UK banks customer funding
gap(a)
Sources Dealogic, published accounts and Bank
calculations. (a) Data as at 2007 H1. Excludes
Nationwide as interim data unavailable. (b) Custom
er funding gap less securitised debt. Where not
available, stocks of securitisations are
estimated from issuance data. (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 2.5 Major UK banks wholesale funding by
maturity and securitisation end-2006
Sources Dealogic, published accounts and Bank
calculations. (a) Where not available, stocks
of securitisations are estimated from data on
flows of issuance.
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Section 2 Box 3
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Chart A Major UK banks participation as lead
arrangers in global leveraged lending(a)(b)
Sources Dealogic and Bank calculations. (a)
Excludes amended 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 B Major UK banks issuance of residential
mortgage-backed securities and growth in mortgage
lending
Sources Bank of England, Dealogic and FSA
regulatory returns Bank calculations.
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Table 1 Estimated capital and funding impact on
major UK banks of unanticipated balance sheet
expansion(a)
Sources Bank of England, Dealogic, Fitch
Ratings Ltd and Bank calculations. (a) Assumes a
scenario under which banks cannot distribute any
assets for the remainder of 2007 and are required
to provide full liquidity support to all off
balance sheet vehicles. (b) As a percentage of
major UK banks funding obtained from interbank
deposits and debt securities in
issue. (c) Assumes LBO pipeline, ABCP liquidity
support lines subject to 100 risk-weighting,
mortgages not securitised subject to 50
risk-weighting. Based on capital position at
end-2006. (d) Asset-backed commercial
paper. (e) Assumes value of mortgage-backed
security (MBS) (defined as RMBS and CMBS) that
cannot be issued by major UK banks is equal to
average value of MBS issued by these institutions
in 2006 Q3 and 2006 Q4.
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Chart 2.6 Major UK banks credit default swap
premia(a)
Sources Fitch Ratings Ltd, Markit Group Ltd,
Thomson Datastream, published accounts and Bank
calculations. (a) Asset-weighted average
five-year premia. (b) Data include members of the
major UK banks peer group with a Fitch Ratings
long-term issuer rating below AA. (c) Data
include members of the major UK banks peer group
with a Fitch Ratings long-term issuer rating of
AA or above.
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Chart 2.7 UK corporate borrowing rates
Sources Bank of England and BBA.
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Chart 2.8 Annual growth in 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 2.9 Annual growth in major UK banks
lending to UK households
Sources Bank of England and FSA regulatory
returns.
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Chart 2.10 Effective mortgage spread
Sources Bank of England and Bank
calculations. (a) Effective interest rate on the
stock of outstanding mortgages relative to an
appropriate funding rate. For floating-rate
mortgages, that is assumed to be Bank Rate. For
fixed-rate products, swap rates of similar
maturities are used (averaged over the relevant
horizon and lagged one month). (b) The Herfindahl
index is a measure of concentration in an
industry or sector. It is calculated as the sum
of the squares of market shares for each
firm. (c) Inverted scale.
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Chart 2.11 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 2.12 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 2.13 Major UK banks and LCFIs credit
default swap premia(a)
Sources Published accounts, Thomson Datastream,
Markit Group Limited and Bank calculations. (a)
Asset-weighted average five-year premia. (b)
April 2007 Report.
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Chart 2.14 LCFIs issuance of RMBS backed by
sub-prime Lending(a)
Sources Dealogic and Bank calculations. (a) Dat
a include residential mortgage-backed securities
(RMBS) backed by sub-prime and non-first lien
mortgages.
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Chart 2.15 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. (b) Data for selected LCFIs. Where
unavailable, quarterly data are inferred from
annual and semi-annual data. (c) Includes (among
other items) commodities and foreign exchange.
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Chart 2.16 LCFIs revenue sources
Sources Bloomberg and Bank calculations.
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Chart 2.17 LCFIs return on common equity
Sources Bloomberg and Bank calculations. (a) Da
ta for European LCFIs and UK LCFIs are
half-yearly.
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Table 2.A LCFIs market shares as lead arrangers
and book Runners(a)
Sources Dealogic and Bank calculations. (a) For
period 1 January to 30 September 2007. (b) Data
include residential mortgage-backed securities
(RMBS) backed by sub-prime and non-first lien
mortgages. (c) Collateralised debt obligations
(CDO). (d) Asset-backed securities (ABS)
excluding RMBS issuance.
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Chart 2.18 Monthly return on hedge fund
strategies(a)
Sources Bloomberg, CSFB/Tremont and Bank
calculations. (a) Maximum-minimum range and
interquartile range calculated monthly from
January 1994 to August 2007.