## discussion-note-28-debt-valuation-issues-consultation-march2026

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---

### Introduction: context and motivations
- Frequency and importance:
  - The term ‘valuation’ appears 261 times in the GFSM 2014 and 142 times in the PSDSG 2013, reflecting its importance in macroeconomic statistics.
- Drivers for clarification:
  - Public sector balance sheets have grown significantly since GFSM 2014, increasing the importance of consistent valuation of outstanding debt.
  - Differences in reported values of ostensibly similar debt instruments can confuse users and diminish trust in official statistics.
  - Variations in terminology and methodology across manuals (SNA, GFS, BPM) and jurisdictions create compilation and interpretation challenges.
- Instrument complexity and practical gaps:
  - Modern debt instruments (asset-backed, index linked, deep discount, etc.) have characteristics not exhaustively covered in GFSM 2014.
  - Compilers often rely on other manuals or professional judgment; GFSM should balance theory with practical/illustrative examples and links to further guidance.
- Cash vs accrual recording:
  - GFSM 2014 “recommends disseminating fully integrated flows and stock positions recorded on an accrual basis” (paragraph 1.27) while retaining cash-basis recording instructions for specific transactions; this can create timing inconsistencies and coverage gaps (for example, accrued interest/arrears).
  - Many countries are neither pure cash nor pure accrual; GFSM could further explain modified cash treatments where information on financial commitments exists.
- Consistency across flows and stocks:
  - Clarifying valuation of stock positions (nominal value) also aids consistency in recording related transactions and economic flows that change nominal value (accrual of interest, repayment, holding gains/losses, other volume changes).

### Issue A — Nominal value of debt liabilities: background, options, and recommendation
- Background highlights:
  - Inconsistent terminology and differing wording across statistical manuals contribute to confusion on calculating nominal valuations.
  - 2025 SNA and BPM7 broadly define nominal value as the “outstanding amount the debtor owes the creditor which is composed of outstanding principal amount including any accrued interest”.
  - GFSM 2014 (paragraph 7.21) and PSDSG 2013 (paragraph 2.120) explain nominal value as reflecting value at creation plus subsequent economic flows, such as transactions, exchange rate and other valuation changes other than market price changes, and other volume changes.
  - The draft 2025 SNA (paragraph 4A.26) revised wording to include “holding gains and losses other than market price changes” and explicitly “other volume changes”, removing a specific reference to exchange rate changes.
  - GFSM 2014 and PSDSG 2013 provide limited concrete/practical examples for calculating nominal value across diverse instrument characteristics.
- Options considered:
  - Option A1: Maintain current GFSM 2014 guidance text verbatim.
  - Option A2: Adopt modified GFSM 2014 text that clarifies nominal value as the amount owed at a point in time, describes included flows (transactions, exchange rate changes, other valuation changes), and notes jurisdictional alternative definitions; retains sentence on estimating market values for instruments lacking market quotes.
  - Option A3: Align GFSM text with 2025 SNA: define nominal value as instrument value at creation plus subsequent economic flows (acquisition/repayment and/or accrued interest), holding gains and losses other than market price changes, and other volume changes; depict relationship between nominal and market value; note estimation of market values for non-traded instruments often uses nominal value.
- Draft recommendation for Issue A:
  - The Task Team recommends Option A3: alignment with amended SNA definition and elements, plus principles-based explanations of the relationship between nominal value and market value.
- Recommended follow-up activities (dependent on option agreed):
  - Maintain consistency in the definition of nominal value with other statistical manuals (SNA, BPM, EDSG, HSS, PSDSG).
  - Produce a supplementary note on different uses of ‘nominal value’ and contexts of use (inside and outside macroeconomic statistics).
  - Provide a clear definition and explanation of how nominal value is calculated and which components (e.g., discount/premium, accrued coupon interest, change in exchange rates, transaction costs) are included or excluded; consider graphical depictions illustrating elements included in nominal value, face value, and market value.
- Stakeholder input:
  - At the October 2025 GFS Advisory Committee (GFSAC) meeting there was support for the Task Team’s recommendation of Option A3.

### Issue B — Interest accrual on debt securities: background, options, and recommendation
- Background highlights:
  - Multiple legitimate methods exist to calculate accrued interest on debt securities; approaches are documented for simple issuances (e.g., zero coupon discounted bonds, GFSM 2014, paragraphs 6.62–6.71).
  - For securities with varied characteristics (coupon payments issued at premia/discount), differing calculation methods include:
    - Separating coupons and premia/discount using clean price as in PSDSG 2013 (Annex to Chapter 2).
    - Calculating an overall effective interest rate using dirty price as in HSS 2015 (Annex 1).
  - GFSM 2014 discusses deep discount and index-linked bonds (paragraphs 6.72–6.83) but lacks extensive practical guidance and public policy contextualization for varied calculation methods.
- Practical compilation constraints:
  - Computing outstanding debt values for large volumes of diverse securities typically uses debt management software (DMFAS, CS Meridian, etc.) with built-in formulas and algorithms; GFSM 2014 and PSDSG 2013 do not exhaustively cover methodological foundations for all debt security types.
  - Other specialized manuals (for example, HSS 2015) address a wider variety of debt securities, but a policy question remains on how far GFSM should extend explicit methodological guidance versus directing users to specialized sources.
  - GFSM 2014 paragraph 9.40 discusses debt securities issued at premium but is limited to definitions and general guidance.
- Practical clarity findings (paras 23 and following):
  - GFSM 2014 provides discussion of cash recording (paragraph 6.65) and accrual of interest (paragraph 6.64) but the two treatments are not presented in parallel and practical interpretation is unclear.
  - GFSM 2014 (paragraph 6.65) states that “interest payments are only recorded as an expense transaction when such cash flows occur” and “only principal repayment will reduce the debtor’s liability”.
  - GFSM 2014 (paragraph 6.64) discusses accrual of interest and notes “as interest accrues on a government bond, the value of the bond increases,” but there is no parallel reference to the Statement of Operations.
  - For accrued interest on debt securities at nominal value, different metrics are useful for policy purposes, including:
    - effective (or implied) interest rate,
    - the amount of accrued interest over time,
    - the outstanding nominal value of debt at any point in time (compared with face or market value).
- Options identified:
  - Option B1: Maintain the current guidance in GFSM 2014 and add principles-based guidance on available methods and differences.
  - Option B2: Produce detailed guidance on accrued interest for all types of debt securities (premium/discount, deep discount, index linked, stripped securities, foreign-currency repayable, ABS, etc.) and explain how interest accrues depending on instrument structure.
  - Option B3: Same as Option B2 plus an appendix with deeper analytical guidance for compilers and references to other statistical manuals (HSS, PSDSG) with step-by-step computation guidance.
- Task Team recommendation (Draft Recommendations):
  - Recommend Option B1 (maintain current guidance in GFSM 2014 but add principles-based guidance on different accrued interest calculation methods).
- Recommended activities (depending on Option agreed):
  - Highlight both methods (clean and dirty price) of calculating accrued interest (effective rate with coupon and discount/premium).
  - Clarify terminology: simple interest method, compound interest method, effective interest method, separate method, linear method — group where appropriate.
  - Amend GFSM 2014, paragraph 6.73 to remove the split of face value and premium between two different stock positions which is not consistent with an overall effective interest rate using dirty price as described in the HSS.
  - Clarify mechanics used to calculate the effective interest and its usefulness in policymaking.
- Governance:
  - At the October 2025 GFSAC meeting there was support for the Task Team’s recommendation of Option B1; some members supported inclusion of some high-level examples and possibly slight expansion of Appendix 7 (GFS and Other Macroeconomic Statistics).
- Foreign currency impact:
  - Finding: Where debt is repayable in a foreign currency, the nominal value of debt (in national currency) will be impacted.
  - Recommendation: Provide more clarity on how to measure the foreign currency impact to reinforce the definition of nominal value. This could include guidance on cross-currency swaps fixing the exchange rate.

### Issue C — Asset-backed securities (ABS): valuation, recording, options, and recommendation
- Background findings:
  - GFSM 2014 defines ABS (paragraph 7.151) and provides a brief securitization overview (paragraphs A3.59–A3.66) broadly consistent with HSS 2015 (chapter 6).
  - 2025 SNA defines securitization similarly (paragraph 5.175).
  - GFSM 2014 coverage is focused on definitions and types with limited practical advice on valuation and on ABS used by public sector entities.
  - Data on collateralized transactions are not collected systematically by borrowing country DMOs and are sparsely available for IFIs.
  - GFSM 2014 paragraph A3.64’s treatment of securitization units and loans is insufficiently prefaced and should be clarified as a separate paragraph.
- Key valuation challenges:
  - ABS valuation depends on underlying asset values or future income streams which may not be observable and can change over time, complicating estimation of nominal value.
  - Ambiguity exists in GFSM 2014 about what can be securitized, especially regarding earmarked future government revenue versus assets recognized in macroeconomic statistics.
- Practical guidance needs identified:
  - More practical guidance for government sector ABS on classification (instrument type) and valuation (market vs. fair value).
  - Guidance on recording holding gains/losses associated with ABS and compiling other economic flows for ABS.
  - Clarify difference between market and nominal value of ABS and link with securities repurchase agreements (paragraph 7.159).
  - Better guidance on treating differences between transaction price of ABS and value of underlying asset recognized in the balance sheet.
  - Guidance on adjustments when collateral becomes (partly) uncollectible.
  - Tie ABS discussion to other securities (index-linked) and derivatives (swaps).
- Options identified:
  - Option C1: Align the updated GFSM with the 2025 SNA (not significantly expand current guidance). Note potential conflict between GFSM 2014 paragraph 7.151 and 2025 SNA paragraph 12.73 regarding securitization of future revenue.
  - Option C2: Align with 2025 SNA and compile a list of ABS commonly issued by public sector entities and provide detailed valuation guidance and links to practical interpretations (e.g., UK NAO guidance).
  - Option C3: Same as C2 but include practical examples within GFSM rather than linking to other sources.
- Task Team recommendation (Draft Recommendations):
  - Recommend Option C1 (align with 2025 SNA without adding extensive examples or external references).
  - Recommend further research to analyze common public-sector ABS to assess whether new characteristics warrant amendment of GFSM 2014 guidance.
- Recommended activities (depending on option):
  - Review ABS examples relevant to government sector to evaluate additional characteristics for methodological guidance.
  - Provide guidance on treating differences between ABS transaction price and value of underlying assets on the balance sheet.
  - Provide guidance on adjustments when collateral becomes (partly) uncollectible.
  - Tie ABS discussion to index-linked securities and derivatives (swaps).
- Governance:
  - At the October 2025 GFSAC meeting there was support for Option C1; some members saw advantages in Option C3 within companion material.

### Issue D — Remaining / residual maturity: findings, options, and recommendation
- Harmonized definition:
  - GFSM 2014 (paragraph 7.267): “the period from the reference date (balance sheet date) until the final contractually scheduled payment date”
  - BPM7 (paragraph 5.116(b)): “remaining maturity of a debt security is the period from the reference date until the final contractually scheduled payment”
  - 2025 SNA (paragraph 33.85): “the period from the reference date until contractually scheduled final payment.”
- Issue overview (paras 52–66):
  - Debt securities are issued in large volumes with a variety of maturities; the date of maturity is usually defined for a particular calendar day making days the natural unit of measurement.
  - Manuals simplify maturity defining periods to:
    - short term at issuance (matures within 365 calendar days of issuance),
    - long term (matures in over 365 days of issuance),
    - short term by remaining maturity (matures within 365 days from present day).
  - Aggregation into these categories allows simplified communication of maturity profiles but does not resolve methodological challenges when many different debt securities with differing maturities (and interest compounding) are outstanding.
  - GFSM 2014 provides minimal guidance on how to calculate remaining (or residual) maturity; GFSM 2014, para 7.270, notes that the undiscounted value of principal payments on long-term public sector debt liabilities can be used as a proxy.
  - Ambiguity exists whether the split of total reported debt into remaining maturity categories should be based on:
    - the valuation of the total reported debt (face or nominal value), or
    - a present value approach of each individual payment stream (discounted/present value).
  - Instruments with no fixed contractual end date do not have a remaining maturity because of the absence of a specified ‘final’ payment, but current wording can be interpreted in different ways about which payments to include in short-term residual maturity.
  - Further guidance would be useful for other debt liabilities such as accounts payable, pension obligations, SDRs, cash, etc.
- Options considered:
  - Option D1: Further clarify the current guidance in GFSM 2014 (improve guidance on which payments to include in short-term remaining maturity and on undiscounted vs discounted split); align with the 2025 SNA where appropriate.
  - Option D2: Same as D1 plus numerical examples showing how to calculate the split.
  - Option D3: Same as D2 but extend examples and guidance to all financial instruments with a remaining maturity (loans, standardized guarantees, pension liabilities, etc.).
- Task Team assessment:
  - GFSM 2014 guidance on remaining maturity is clear for most debt instruments (GFSM 2014, Table 7.12) for presentation purposes but is less useful for computation of outstanding debt securities.
  - Further clarity is needed on which payments belong to the short-term and which to the long-term category, whether to compile based on undiscounted or discounted payments, instrument scope for maturity, and treatment of securities with no fixed contractual end date.
  - The Task Team identified benefits to providing standard simplifying conventions in addition to conceptual calculations.
- Draft recommendations:
  - The Task Team recommends Option D1.
  - Task Team members saw merit in enhancing guidance to cover all instruments with a remaining maturity as proposed in Option D3.
- Recommended activities (depending on the Option agreed):
  - Provide clarification on which payments belong to the short-term and which to the long-term category.
  - Incorporate methodological principles of BPM Clarification Note 2 into GFSM 2014, which allows a practical approach to use the undiscounted value of principal payments instead of discounting them.
  - Provide clarification on the treatment of securities with no fixed contractual end date.
  - Provide a comprehensive breakdown of remaining maturity classification for all debt instruments.
- Governance:
  - At the October 2025 GFSAC meeting there was support for the Task Team’s recommendation of Option D1; several members also favored Option D3.

### Preliminary views and consultation questions
- An earlier version of the discussion note was discussed at the GFSAC meeting of October 2025; the current version addressed suggestions made and is consistent with the preliminary views of most GFSAC members.
- Questions for global consultation related to remaining / residual maturity (Issue D):
  - Indicate your preferred choice: Option D1, Option D2 or Option D3. Please explain the reason for your choice and provide any other additional comments (including any alternative options you would like to propose).
  - In your country, do you currently compile debt into short- and long-term by remaining maturity? And, if so, are there specific debt instruments which are challenging for you to identify the remaining maturity?

*International Monetary Fund — GFSM 2014 Update Consultation: March 2026 (Discussion Note 2.8 Debt Valuation Issues).*

### 2.8 Debt Valuation Issues

### 2.8 Debt Valuation Issues

### Summary Details and Task Team
- Task Team Responsible: Debt and Other Monetary and Financial Issues Task Team (TT2)
- Authors of Discussion Note: Marc Wermuth, Mike Seiferling (sub-group: Tony Fong, Ingelia Puspita, Francesco Vercelli, Fernando Ferraz, Bassole Wilfried Gustave)
- Core assessment:
  - Existing guidance in GFSM 2014 on debt valuation is not always clear, particularly for complex debt instruments and practical compilation guidance.
  - The discussion note examines four specific issues: definition of nominal value; approaches to accrual of interest (debt securities); deriving value of debt by remaining maturity (all debt instruments); and valuation of asset-backed securities.
- Key draft recommendations (high level):
  - Align updated GFSM definition of “nominal value” with the 2025 SNA text and provide principles-based explanations of the relationship of nominal value and market value.
  - Maintain theoretical discussion in GFSM 2014 on accrued interest, but provide principles-based guidance on different methods of calculating accrued interest and explain the differences.
  - Align updated GFSM with the 2025 SNA on guidance related to asset-backed securities.
  - Introduce clarifications in the updated GFSM for the definition of remaining/residual maturity to distinguish between short- and long-term debts.

### Introduction: context and motivations
- Frequency and importance:
  - The term ‘valuation’ appears 261 times in the GFSM 2014 and 142 times in the PSDSG 2013, reflecting its importance in macroeconomic statistics.
- Drivers for clarification:
  - Public sector balance sheets have grown significantly since GFSM 2014, increasing the importance of consistent valuation of outstanding debt.
  - Differences in reported values of ostensibly similar debt instruments can confuse users and diminish trust in official statistics.
  - Variations in terminology and methodology (for example, around “nominal value”) across manuals (SNA, GFS, BPM) and jurisdictions create compilation and interpretation challenges.
- Instrument complexity and practical gaps:
  - Modern debt instruments (asset-backed, index linked, deep discount, etc.) have characteristics not exhaustively covered in GFSM 2014.
  - Compilers often rely on other manuals or professional judgment; GFSM should balance theory with practical/illustrative examples and links to further guidance.
- Cash vs accrual recording:
  - GFSM 2014 “recommends disseminating fully integrated flows and stock positions recorded on an accrual basis” (paragraph 1.27) while retaining cash-basis recording instructions for specific transactions; this can create timing inconsistencies and coverage gaps (for example, accrued interest/arrears).
  - Many countries are neither pure cash nor pure accrual; GFSM could further explain modified cash treatments where information on financial commitments exists.
- Consistency across flows and stocks:
  - Clarifying valuation of stock positions (nominal value) also aids consistency in recording related transactions and economic flows that change nominal value (accrual of interest, repayment, holding gains/losses, other volume changes).

### Issue A — Nominal Value of Debt Liabilities: background and options
- Background highlights:
  - Inconsistent use of terminology and differing wording across statistical manuals contribute to confusion on calculating nominal valuations.
  - 2025 SNA and BPM7 broadly define nominal value as the “outstanding amount the debtor owes the creditor which is composed of outstanding principal amount including any accrued interest”.
  - GFSM 2014 (paragraph 7.21) and PSDSG 2013 (paragraph 2.120) explain nominal value as reflecting value at creation plus subsequent economic flows, such as transactions, exchange rate and other valuation changes other than market price changes, and other volume changes.
  - The draft 2025 SNA (paragraph 4A.26) revised wording to include “holding gains and losses other than market price changes” and explicitly “other volume changes”, removing a specific reference to exchange rate changes.
  - GFSM 2014 and PSDSG 2013 provide limited concrete/practical examples for calculating nominal value across diverse instrument characteristics.
- Options considered:
  - Option A1: Maintain current GFSM 2014 guidance text verbatim.
  - Option A2: Adopt modified GFSM 2014 text that clarifies nominal value as the amount owed at a point in time, describes included flows (transactions, exchange rate changes, other valuation changes), and notes jurisdictional alternative definitions; retains sentence on estimating market values for instruments lacking market quotes.
  - Option A3: Align GFSM text with 2025 SNA: define nominal value as instrument value at creation plus subsequent economic flows (acquisition/repayment and/or accrued interest), holding gains and losses other than market price changes, and other volume changes; depict relationship between nominal and market value; note estimation of market values for non-traded instruments often uses nominal value.
- Draft recommendation for Issue A:
  - The Task Team recommends Option A3: alignment with amended SNA definition and elements, plus principles-based explanations of the relationship between nominal value and market value.
- Recommended follow-up activities (dependent on option agreed):
  - Maintain consistency in the definition of nominal value with other statistical manuals (SNA, BPM, EDSG, HSS, PSDSG).
  - Produce a supplementary note on different uses of ‘nominal value’ and contexts of use (inside and outside macroeconomic statistics).
  - Provide a clear definition and explanation of how nominal value is calculated and which components (e.g., discount/premium, accrued coupon interest, change in exchange rates, transaction costs) are included or excluded; consider graphical depictions illustrating elements included in nominal value, face value, and market value.
- Stakeholder input:
  - At the October 2025 GFS Advisory Committee (GFSAC) meeting there was support for the Task Team’s recommendation of Option A3, noting it would lead to more consistency and clarity.

### Issue B — Interest Accrual on Debt Securities: background and considerations
- Background highlights:
  - Multiple legitimate methods exist to calculate accrued interest on debt securities; approaches are documented for simple issuances (e.g., zero coupon discounted bonds, GFSM 2014, paragraphs 6.62–6.71).
  - For securities with varied characteristics (coupon payments issued at premia/discount), differing calculation methods include:
    - Separating coupons and premia/discount using clean price as in PSDSG 2013 (Annex to Chapter 2).
    - Calculating an overall effective interest rate using dirty price as in HSS 2015 (Annex 1).
  - GFSM 2014 discusses deep discount and index-linked bonds (paragraphs 6.72–6.83) but lacks extensive practical guidance and public policy contextualization for varied calculation methods.
- Practical compilation constraints:
  - Computing outstanding debt values for large volumes of diverse securities typically uses debt management software (DMFAS, CS Meridian, etc.) with built-in formulas and algorithms; GFSM 2014 and PSDSG 2013 do not exhaustively cover methodological foundations for all debt security types.
  - Other specialized manuals (for example, HSS 2015) address a wider variety of debt securities, but a policy question remains on how far GFSM should extend explicit methodological guidance versus directing users to specialized sources.
  - GFSM 2014 paragraph 9.40 discusses debt securities issued at premium but is limited to definitions and general guidance.
- Implications and suggested direction:
  - Clarification of different methods for calculating accrued interest and their interpretation/uses would help compilers and users select metrics that best fit their needs.
  - Maintain the theoretical discussion in GFSM 2014 on accrued interest, while providing principles-based guidance on the different available calculation methods and explaining differences in interpretation and use.

*GFSM 2014 Update Consultation: March 2026 — Discussion Note 2.8 Debt Valuation Issues*

### 23. The GFSM would benefit from better practical clarity (or an accompanying guidebook for

### discussion-note-28-debt-valuation-issues-consultation-march2026 - 23. The GFSM would benefit from better practical clarity (or an accompanying guidebook for practitioners)

### Practical clarity on interest calculation and accrued interest
- Finding: GFSM 2014 provides discussion of cash recording (paragraph 6.65) and accrual of interest (paragraph 6.64) but the two treatments are not presented in parallel and practical interpretation is unclear.
- Finding: GFSM 2014 (paragraph 6.65) states that “interest payments are only recorded as an expense transaction when such cash flows occur” and “only principal repayment will reduce the debtor’s liability”.
- Finding: GFSM 2014 (paragraph 6.64) discusses accrual of interest and notes “as interest accrues on a government bond, the value of the bond increases,” but there is no parallel reference to the Statement of Operations.
- Finding: For accrued interest on debt securities at nominal value, different metrics are useful for policy purposes, including:
  - effective (or implied) interest rate,
  - the amount of accrued interest over time,
  - the outstanding nominal value of debt at any point in time (compared with face or market value).
- Options identified:
  - Clarify methodological approaches to computing accrued interest and explain differences across manuals (HSS, GFSM, PSDS).
  - Recognize that both clean and dirty price methods have merit; availability of automated systems and accounting data influences method choice.
  - Provide conceptual guidance for debt securities issued at premium and discount while balancing simplicity and instrument complexity.
- Task Team recommendations (Draft Recommendations):
  - Recommend Option B1 (maintain current guidance in GFSM 2014 but add principles-based guidance on different accrued interest calculation methods).
  - Activities recommended depending on Option agreed:
    - Highlight both methods (clean and dirty price) of calculating accrued interest (effective rate with coupon and discount/premium).
    - Clarify terminology: simple interest method, compound interest method, effective interest method, separate method, linear method — group where appropriate.
    - Amend GFSM 2014, paragraph 6.73 to remove the split of face value and premium between two different stock positions (debt securities for face value and other accounts payable for premium) which is not consistent with an overall effective interest rate using dirty price as described in the HSS.
    - Clarify mechanics used to calculate the effective interest and its usefulness in policymaking.
- Governance: At the October 2025 GFSAC meeting there was support for the Task Team’s recommendation of Option B1; some members supported inclusion of some high-level examples and possibly slight expansion of Appendix 7 (GFS and Other Macroeconomic Statistics).

### Foreign currency impact on debt valuation
- Finding: Where debt is repayable in a foreign currency, the nominal value of debt (in national currency) will be impacted.
- Recommendation: Provide more clarity on how to measure the foreign currency impact to reinforce the definition of nominal value. This could include guidance on cross-currency swaps fixing the exchange rate.

### Options for addressing accrued interest guidance
- Option B1: Maintain the current guidance in GFSM 2014 (paragraphs 6.62-6.83; 6.65; 6.64; paragraph 9.40 on discount/premium; paragraphs 9.41–9.42 on index-linked securities) and add principles-based guidance on available methods and differences.
- Option B2: Produce detailed guidance on accrued interest for all types of debt securities (premium/discount, deep discount, index linked, stripped securities, foreign-currency repayable, ABS, etc.) and explain how interest accrues depending on instrument structure.
- Option B3: Same as Option B2 plus an appendix with deeper analytical guidance for compilers and references to other statistical manuals (HSS, PSDSG) with step-by-step computation guidance.
- Task Team majority preference: Option B1; minority favored inclusion of some high-level examples to help compilers apply principles.

### Asset-Backed Securities (ABS): valuation and recording in the government sector
- Background findings:
  - GFSM 2014 defines ABS (paragraph 7.151) and provides a brief securitization overview (paragraphs A3.59–A3.66) broadly consistent with HSS 2015 (chapter 6).
  - 2025 SNA defines securitization similarly (paragraph 5.175).
  - GFSM 2014 coverage is focused on definitions and types with limited practical advice on valuation and on ABS used by public sector entities.
  - Data on collateralized transactions are not collected systematically by borrowing country DMOs and are sparsely available for IFIs.
  - GFSM 2014 paragraph A3.64’s treatment of securitization units and loans is insufficiently prefaced and should be clarified as a separate paragraph.
- Key valuation challenges:
  - ABS valuation depends on underlying asset values or future income streams which may not be observable and can change over time, complicating estimation of nominal value.
  - Ambiguity exists in GFSM 2014 about what can be securitized, especially regarding earmarked future government revenue versus assets recognized in macroeconomic statistics.
- Practical guidance needs identified:
  - More practical guidance for government sector ABS on classification (instrument type) and valuation (market vs. fair value).
  - Guidance on recording holding gains/losses associated with ABS and compiling other economic flows for ABS.
  - Clarify difference between market and nominal value of ABS and link with securities repurchase agreements (paragraph 7.159).
  - Better guidance on treating differences between transaction price of ABS and value of underlying asset recognized in the balance sheet.
  - Guidance on adjustments when collateral becomes (partly) uncollectible.
  - Tie ABS discussion to other securities (index-linked) and derivatives (swaps).
- Options identified:
  - Option C1: Align the updated GFSM with the 2025 SNA (not significantly expand current guidance). Note potential conflict between GFSM 2014 paragraph 7.151 and 2025 SNA paragraph 12.73 regarding securitization of future revenue.
  - Option C2: Align with 2025 SNA and compile a list of ABS commonly issued by public sector entities and provide detailed valuation guidance and links to practical interpretations (e.g., UK NAO guidance).
  - Option C3: Same as C2 but include practical examples within GFSM rather than linking to other sources.
- Task Team recommendation (Draft Recommendations):
  - Recommend Option C1 (align with 2025 SNA without adding extensive examples or external references).
  - Recommend further research to analyze common public-sector ABS to assess whether new characteristics warrant amendment of GFSM 2014 guidance.
  - Recommended activities depending on option:
    - Review ABS examples relevant to government sector to evaluate additional characteristics for methodological guidance.
    - Provide guidance on treating differences between ABS transaction price and value of underlying assets on the balance sheet.
    - Provide guidance on adjustments when collateral becomes (partly) uncollectible.
    - Tie ABS discussion to index-linked securities and derivatives (swaps).
- Governance: At the October 2025 GFS Advisory Committee meeting there was support for Option C1; some members saw advantages in Option C3 within companion material.

### Remaining / Residual Maturity
- Finding: A harmonized definition of remaining maturity exists across macroeconomic statistical manuals and provides coherence:
  - GFSM 2014 (paragraph 7.267): “the period from the reference date (balance sheet date) until the final contractually scheduled payment date”
  - BPM7 (paragraph 5.116(b)): “remaining maturity of a debt security is the period from the reference date until the final contractually scheduled payment”
  - 2025 SNA (paragraph 33.85): “the period from the reference date until contractually scheduled final payment.”

*GFSM 2014 Update Consultation: March 2026*

### 52. Clarification on units of time with large issuance volumes would be useful. In practice debt

### 52–66 Clarification on units of time and remaining/residual maturity

### Issue overview
- Debt securities are issued in large volumes with a variety of maturities; the date of maturity is usually defined for a particular calendar day making days the natural unit of measurement.
- Manuals simplify maturity defining periods to:
  - short term at issuance (matures within 365 calendar days of issuance),
  - long term (matures in over 365 days of issuance),
  - short term by remaining maturity (matures within 365 days from present day).
- The aggregation into these categories allows simplified communication of maturity profiles but does not resolve methodological challenges when many different debt securities with differing maturities (and interest compounding) are outstanding.
- GFSM 2014 provides minimal guidance on how to calculate remaining (or residual) maturity; GFSM 2014, para 7.270, notes that the undiscounted value of principal payments on long-term public sector debt liabilities can be used as a proxy.
- BPM Clarification Note 2 provides a standard definition for the BPM that distinguishes between a conceptual definition and a practically acceptable compilation.
- Ambiguity exists in practice whether the split of total reported debt into remaining maturity categories (one year or less versus more than one year) should be based on:
  - the valuation of the total reported debt (face or nominal value), or
  - a present value approach of each individual payment stream (discounted/present value).
- Instruments with no fixed contractual end date do not have a remaining maturity because of the absence of a specified ‘final’ payment, but current wording can be interpreted in different ways about which payments to include in short-term residual maturity (only instruments that end within one year versus all contractually scheduled debt service payments during the next year irrespective of instrument expiry).
- Further guidance would be useful for other debt liabilities such as accounts payable, pension obligations, SDRs, cash, etc.

### Options considered to address the issue
- Option D1: Further clarify the current guidance in GFSM 2014
  - Improve guidance to make clearer which payments should be included in short-term remaining maturity and provide guidance on how to calculate the split between short- and long-term debt based on undiscounted or discounted payments (e.g., valuation of the total reported debt or the present value approach).
  - Align with the 2025 SNA where appropriate.
- Option D2: Further clarify the current guidance in GFSM 2014 and include numerical examples
  - Same as Option D1 and additionally provide numeric examples showing how to calculate the split between short- and long-term debt and which elements fall into short-term remaining maturity.
- Option D3: Further clarify the current guidance in GFSM 2014 and include numerical examples, for all financial instruments
  - Same as Option D2 but extend guidance to encompass all financial instruments with a remaining maturity such as loans, standardized guarantees, pension liabilities, etc.
  - Rationale: public sector balance sheets are becoming more complex; clearer and more comprehensive guidance would enhance analytical usefulness and improve consistency in reporting across countries.

### Task Team assessment
- GFSM 2014 guidance on remaining maturity is clear for most debt instruments (GFSM 2014, Table 7.12) for presentation purposes but is less useful for computation of outstanding debt securities.
- Further clarity is needed on:
  - which payments should be included in short-term remaining maturity,
  - whether to compile based on undiscounted or discounted payments,
  - instrument scope for maturity (treatment of accounts payable, defined-benefit pension liabilities, standardized guarantees, etc.),
  - treatment of securities with no fixed contractual end date.
- The Task Team identified benefits to providing standard simplifying conventions in addition to conceptual calculations.

### Draft recommendations
- The Task Team recommends Option D1.
- Task Team members saw merit in enhancing guidance to cover all instruments with a remaining maturity as proposed in Option D3.
- Recommended activities (depending on the Option agreed):
  - Provide clarification on which payments belong to the short-term and which to the long-term category.
  - Incorporate methodological principles of BPM Clarification Note 2 into GFSM 2014, which allows a practical approach to use the undiscounted value of principal payments instead of discounting them.
  - Provide clarification on the treatment of securities with no fixed contractual end date.
  - Provide a comprehensive breakdown of remaining maturity classification for all debt instruments.
- At the October 2025 GFS Advisory Committee (GFSAC) meeting there was support for the Task Team’s recommendation of Option D1; several members also favored Option D3 to clarify definitions and reporting guidance for all relevant financial instruments, including complex cases such as pension liabilities.

### Preliminary views and consultation questions
- An earlier version of the discussion note was discussed at the GFSAC meeting of October 2025; the current version addressed suggestions made and is consistent with the preliminary views of most GFSAC members.
- Questions for global consultation related to remaining / residual maturity (Issue D):
  - Indicate your preferred choice: Option D1, Option D2 or Option D3. Please explain the reason for your choice and provide any other additional comments (including any alternative options you would like to propose).
  - In your country, do you currently compile debt into short- and long-term by remaining maturity? And, if so, are there specific debt instruments which are challenging for you to identify the remaining maturity?

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_Source: https://www.imf.org/-/media/files/data/statistics/gfsm/global-consultations/discussion-note-28-debt-valuation-issues-consultation-march2026.pdf_