Section 2 : Structure of the UK
financial system
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) Includes 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%.
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) Includes (among other items) loans to UK-resident banks and other financial corporations and holdings of
UK government debt.
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.
Chart 2.4 Major UK banks’ participation as lead arrangers in global syndicated
lending(a)(b)
Sources: Dealogic and Bank calculations.
(a) Excludes amendments and unsigned loans.
(b) When the proportions provided by each syndicate member are unknown, loan amounts have
been split equally among participating banks.
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.
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.
Chart 2.7 Annual growth in major UK banks’ lending to UK households
Sources: Bank of England and FSA regulatory returns.
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).
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.
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.
Chart 2.11 Revenue and profit growth at LCFIs’ corporate and
investment banking units at end-2006
Sources: Published accounts and Bank calculations.
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
Chart 2.13 LBO lending by LCFIs(a)(b)
Sources: Dealogic and Bank calculations.
(a) Excludes 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.
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.
(b) 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.
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.
Chart 2.16 LCFIs’ issuance of RMBS backed by sub-prime lending(a)
Sources: Dealogic and Bank calculations.
(a)
Data include residential mortgage-backed securities (RMBS) backed by sub-prime and
non first lien mortgages.
Chart 2.17 Investor shares of US and European leveraged loan markets(a)
Sources: Standard & Poor’s Leverage Commentary and Data, and Bank calculations.
(a) Shares weighted by European and US leveraged loan market volumes.
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.
Chart 2.19 Net capital flows into hedge funds
Source: Lipper (a Reuters company).
Chart 2.20 CREST system availability for settlement
Source: CRESTCo.
Section 2 | Box 4
Table 1 1998 average volatility indices(a)(b)
Significant news
6 July:
Salomon Bros.
arbitrage desk
disbanded
17 August:
Russian ruble
devaluation
23 September:
LTCM
recapitalisation
15 October:
Inter-meeting
US Fed rate cut
Asset class
6 July to
14 Aug.
17 Aug. to
22 Sept.
23 Sept. to
15 Oct.
16 Oct. to
31 Dec.
Swap spreads
103
181
250
162
Equity prices
121
229
248
134
Government bond
yields
63
148
226
142
Average volatility
(outweighted)
96
186
241
146
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.
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.
Section 2 | Box 5
Chart A Hedge fund returns versus returns on selected assets(a)
Sources: Bloomberg, CSFB/Tremont, Goldman Sachs, JPMorgan Chase & Co., Standard & Poor’s,
Thomson Datastream and Bank calculations.
(a) Monthly indices rebased to 100 in January 1998.
(b) Spread measured as yield to maturity over US Treasuries.
Chart B Number of hedge funds and assets under management(a)
Source: Hennessee Group LLC.
(a) Data are reported as of January each year.
Chart C Source of hedge fund capital by share of assets under management
Source: Hennessee Group LLC.