Interest Rate Risk Comptroller’s Handbook

Securities firm balance sheets primarily reflect securities portfolios and securities financing arrangements. For example, the stylised balance sheet included in Annex 2 suggests that the majority of assets for securities firms are fully collateralized receivables arising from securities borrowed and reverse repurchase transactions with other non-retail market participants. The next greatest asset category is securities owned by the firm at fair value, which includes positions related to derivative transactions. Customer receivables tend to make up less than a quarter of assets, and these are typically fully secured, often with substantial margins of over-collateralization. On the liability side, the largest items...