Securities other than shares (AF.3)
7.47
The valuation adopted must be consistent with the treatment of accrued
interest and its classification to specific asset headings (see paragraphs 5.128, 5.130, 5.138). If accrued interest has been treated in the financial account as being
reinvested in the corresponding securities, then, in the balance sheet, Securities
other than shares, excluding financial derivatives, (AF.33) should be valued
at current market prices in such a way that they include the value of the
accrued interest. The global current market value of these securities has two
distinct volume components, one representing the principal and the other the accrued
interest. The global total volume thus includes the accrued interest (i.e., it
is the number of units of securities in issue plus the supplementary volume
resulting from accrued interest, see paragraph 6.52.); and the price to be applied to each of those units of volume excludes
accrued interest.
If, in the financial account, the value of accrued interest has been included
under F.79 Other accounts receivable/payable rather than F.33 Securities other
than shares, excluding financial derivatives, then the value of accrued
interest should also be included under AF.79 in the balance sheet.
7.48
Short-term securities other than shares excluding financial derivatives
(AF.331) are to be valued at their current market values.
If current market values are not available:
- short-term securities issued at par should be valued at face value plus
accrued interest not due for payment or not paid;
- discounted securities should be valued at the issue price plus accrued
interest.
These approximations should be restricted to securities whose original
maturity does not exceed three months.
7.49
Long-term securities other than shares excluding financial derivatives
(AF.332) are always to be valued at their current market values, whether they are
bonds on which interest is paid regularly or deep-discounted or zero-coupon bonds
on which little or no interest is paid.
7.50
Financial derivatives (AF.34) should be included in the balance sheets at
their current market prices. In the case that no quoted market price exists (e.g.
OTC options), a financial derivative should be valued at either the amount
required to buy out or to offset the contract or the amount of premium paid.
By convention, the issuer of a financial derivative is considered to have
incurred a counterpart liability.