## Discussion Note 28 — Debt valuation issues: Consultation, March 2026

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### Summary and key recommendations
- Task Team Responsible: Debt and Other Monetary and Financial Issues Task Team (TT2).
- Authors: Marc Wermuth, Mike Seiferling (sub-group: Tony Fong, Ingelia Puspita, Francesco Vercelli, Fernando Ferraz, Bassole Wilfried Gustave).
- Core observation: The existing guidance in the GFSM 2014 on debt valuation is not always clear for complex debt instruments and for practical compilation guidance.
- Principal recommendations:
  - Align the updated GFSM definition of “nominal value” with that in the 2025 SNA text and provide principles-based explanations of the relationship of nominal value and market value.
  - Maintain the theoretical discussion in GFSM 2014 on accrued interest, but provide principles-based guidance on the different methods of calculating accrued interest available and explain the differences.
  - Align the 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.
- Task Team draft recommendations: prefer Option A3 for nominal value, Option B1 for interest accrual, Option C1 for ABS, and Option D1 for remaining/residual maturity.
- At the October 2025 GFS Advisory Committee (GFSAC) meeting there was support for the Task Team’s recommendations (noted support for A3, B1, and C1; support for D1 with some members favoring broader coverage).

### Introduction — rationale for update
- The term “valuation” appears 261 times in the GFSM 2014 and 142 times in the PSDSG 2013.
- Public sector balance sheets and outstanding public debt have grown since GFSM 2014; valuation method differences can lead to significantly different outstanding debt amounts.
- Inconsistent terminology and varying wording across international manuals (SNA, GFS, BPM, etc.) can produce differing practical interpretations of identical concepts (for example, “nominal value”).
- Modern debt instruments have grown in complexity (asset-backed, index linked, deep discount, etc.), and GFSM 2014 does not exhaustively cover all instrument characteristics.
- Cash-basis recording issues: GFSM 2014 recommends accrual dissemination but contains instructions for cash recording that can create timing inconsistencies and incomplete coverage (e.g., accrued interest/arrears in cash-basis compilers).
- Clarifying valuation of positions supports improved consistency in recording related transactions and other economic flows (accrual of interest, repayment of principal, holding gains/losses, other volume changes).

### Issue A — Nominal value of debt liabilities
- Background:
  - Inconsistent use of terminology persists; “nominal value” is sometimes used differently outside macroeconomic statistics and across jurisdictions.
  - 2025 SNA and BPM7 broadly define nominal value as “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 “the value of the debt at creation plus any subsequent economic flows, such as transactions (e.g. accrual of interest or repayment of principal) plus exchange rate and other valuation changes other than market price changes.”
  - Draft 2025 SNA (paragraph 4A.26) revises wording to “subsequent economic flows, such as transactions, holding gains and losses other than market price changes, and other volume changes,” removing the explicit reference to exchange rate to encompass all holding gains and losses except market price changes and explicitly including other volume changes.
  - GFSM 2014 and PSDSG 2013 provide limited concrete/practical examples for calculating nominal value across varied instrument characteristics.
  - Ambiguity exists whether accounting source data measured “at amortized cost” (effective interest method) align with the GFSM concept of nominal value; SNA’s definition of “amortized value” differs from valuation at amortized cost.
- Options considered:
  - Option A1: Maintain current GFSM 2014 text (original wording preserved).
  - Option A2: Adopt modified GFSM 2014 text (expanded wording and depiction of nominal vs market value; retains reference to exchange rate and notes jurisdictional alternative definitions).
  - Option A3: Align modified GFSM 2014 text with the 2025 SNA: “Nominal value is the amount that the debtor owes to the creditor at any given point in time. Nominal value is calculated as the value of the financial instrument at creation plus any subsequent economic flows, such as transactions (acquisition/repayment and/or accrued interest), holding gains and losses other than market price changes, and other volume changes. … For financial instruments other than debt securities, equity and investment fund shares, and financial derivatives, (i.e., those that do not trade in secondary markets), market values is often estimated using the nominal value.”
- Draft recommendations and follow-up actions:
  - Task Team recommends Option A3 (alignment with amended SNA definition).
  - Recommended activities:
    - Maintain consistency in the definition of nominal value with other statistical manuals (SNA, BPM, EDSG, HSS, PSDSG).
    - Produce a supplementary note on the different uses of “nominal value” and the context of uses (inside and outside macroeconomic statistics).
    - Provide a clear definition with 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 adopting a graphical depiction to illustrate which elements are included in nominal value, face value, and market value.
  - October 2025 GFSAC: support for Option A3.

### Issue B — Interest accrual on debt securities
- Background and challenges:
  - Multiple legitimate methods exist to calculate accrued interest on debt securities; methods are well documented for simple issuances (e.g., zero coupon discounted bonds, see GFSM 2014, paragraphs 6.62 – 6.71).
  - For securities with coupon payments and issuance at premia/discount:
    - 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 provides limited practical guidance contextualized for public policy.
  - GFSM 2014 (paragraphs 9.40, 9.41–9.42) provides limited coverage on debt securities issued at premium.
  - Compilers often compute accrued interest using debt management software (DMFAS, CS Meridian, etc.), but GFSM 2014 and PSDSG 2013 do not exhaustively document methodological foundations for all instrument characteristics.
  - Policy question: appropriate depth of methodological guidance GFSM should provide versus relying on specialized manuals (for example, HSS 2015).
- Practical clarity on interest calculation and accrued interest (Issues 23–34):
  - Problem statements:
    - GFSM 2014 treats cash recording of interest (paragraph 6.65) and accrual of interest (paragraph 6.64) in ways that are not clearly parallel; paragraph 6.65 notes 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”, while paragraph 6.64 discusses accrual with the only balance sheet reference that “as interest accrues on a government bond, the value of the bond increases.”
    - Multiple policy-useful metrics for debt securities at nominal value are identified: effective (or implied) interest rate, the amount of accrued interest over time, and the outstanding nominal value of debt at any point in time (compared with face or market value). Interpretations of these metrics are useful but not well developed in GFSM 2014.
    - Accrued interest calculation practices differ across statistical manuals (HSS, GFSM, PSDS) and across methods (clean price vs dirty price).
  - Options identified (paragraphs 25–31):
    - Clarify approaches to computing accrued interest and explain differences across manuals and metrics.
    - Recognize merit in both clean and dirty price methods depending on system maturity and data availability; clarify available options and principles while noting trade-offs between simplicity and instrument complexity.
    - Provide guidance that both clean and dirty price methods yield different results between issuance and maturity but converge at maturity; offer interpretations and uses of these metrics.
    - Encourage further guidance for complex securities (stripped securities, securities denominated in foreign currency with cross-currency swaps fixing exchange rates at redemption, etc.).
    - Option B1: Maintain current GFSM 2014 theoretical discussion (paragraphs 6.62–6.83, 6.64, 6.65, 9.40, 9.41–9.42) and add principles-based guidance on methods of calculating accrued interest (para 29).
    - Option B2: Produce detailed guidance on accrued interest for all types of debt securities, explaining accrual across instrument structures.
    - Option B3: Same as B2 plus an appendix with deeper analytical guidance and stepwise computation references to other manuals (HSS, PSDSG) for practical computation.
  - Draft recommendation and follow-up actions (paragraphs 32–34):
    - Task Team recommends Option B1 (majority view that GFSM is not the place for specific examples or references to other guidance; minority favored some high-level examples).
    - Recommended activities depending on chosen Option:
      - Highlight both clean and dirty price methods and effective rate variants (effective rate with coupon and discount/premium).
      - Clarify terminology grouping: simple interest method, compound interest method, effective interest method, separate method, linear method.
      - Amend GFSM 2014 paragraph 6.73 to remove the split of face value and premium into two stock positions (debt securities for face value and other accounts payable for premium) which is inconsistent with an overall effective interest rate calculation using dirty price as described in the HSS.
      - Clarify mechanics of calculating the effective interest and its policymaking usefulness.
    - October 2025 GFSAC: support for Option B1, with some support for limited high-level examples (potential slight expansion of Appendix 7 and references to external guidance).

### Foreign currency impacts on nominal debt valuation
- Problem statement:
  - Debt repayable in a foreign currency affects nominal debt value in national currency; GFSM 2014 would benefit from clearer guidance on measuring that impact and reinforcing the definition of nominal value.
  - Guidance could include treatment of cross-currency swaps that fix the exchange rate.

### Issue C — Asset-backed securities (ABS): coverage, valuation, government-sector relevance
- Background and problems:
  - 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), but offers limited practical valuation guidance and limited focus on ABS used by public sector entities.
  - 2025 SNA defines securitization as “raising funds by selling a security backed by specific assets or income stream” (2025 SNA, paragraph 5.175); GFSM 2014 coverage is mainly definitional with limited government-sector practical examples.
  - ABS valuation is challenging because underlying asset values or future income streams may be not easily observable and may change over time; GFSM 2014 and HSS do not adequately address arriving at accurate nominal values for such ABS.
  - GFSM 2014 is unclear on what can and cannot be securitized; it notes that “a general government unit may issue debt securities backed by specific earmarked revenue” (para A3.60) but macroeconomic statistical systems do not recognize the ability to raise taxes as a government asset, creating ambiguity.
  - Treatment and prefacing of securitization units (SPVs) in GFSM 2014 paragraph A3.64 is insufficiently structured; the guidance that proceeds from securitization are “treated as borrowing, usually in the form of a loan” needs clearer standalone exposition.
  - Need for better practical guidance on recording and valuation of ABS, including where underlying asset values and discounted future income streams are uncertain; discuss ABS specifically in government sector context.
  - Task Team members noted GFSM 2014 guidance can be overly theoretical and not sufficiently public-sector oriented; some members pointed to UK National Audit Office material as clearer.
  - Additional guidance requested on classification (instrument type), valuation (market vs. fair value), recording holding gains/losses and other economic flows for ABS, and distinguishing market vs nominal value.
  - Members cautioned against exhaustive practical guidance because of the variety and evolving nature of public-sector ABS; others favored sufficient guidance or references for compilers.
- Options identified (paragraphs 45–47):
  - Option C1: Align updated GFSM with the 2025 SNA without significantly expanding guidance; assess wording discrepancies between GFSM 2014 and 2025 SNA regarding what constitutes ABS.
  - Option C2: Align with 2025 SNA and compile a list of ABS commonly issued by public sector entities with detailed valuation guidance and links to practical interpretations.
  - Option C3: Same as C2 but include practical examples and lists within GFSM rather than linking out.
- Draft recommendation and follow-up actions (paragraphs 48–49):
  - Task Team recommends Option C1: align GFSM with 2025 SNA and avoid adding specific examples or external references directly into GFSM. Agreed further research should analyze common public-sector ABS to determine whether new characteristics require methodological amendment.
  - Recommended activities:
    - Review ABS examples relevant to government sector to assess additional characteristics for methodological updates.
    - Provide guidance on treating differences between transaction price of ABS and value of underlying asset recognized in the balance sheet.
    - Provide guidance on adjustments when collateral becomes (partly) uncollectible.
    - Tie ABS discussion to index-linked securities and derivatives (swaps).
  - October 2025 GFSAC: support for Option C1; some members saw advantages in Option C3 as companion material.

### Issue D — Remaining / residual maturity: harmonization and computation
- Observation:
  - Remaining maturity is harmonized across macroeconomic statistical manuals: GFSM 2014 paragraph 7.267 defines remaining maturity as “the period from the reference date (balance sheet date) until the final contractually scheduled payment date”; BPM7 paragraph 5.116(b) uses similar wording; 2025 SNA paragraph 33.85 uses “the period from the reference date until contractually scheduled final payment.”
  - Harmonized definition provides coherence across manuals.
- Clarifications on units of time and computation (paragraphs 52–58):
  - 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 (i) short term at issuance (matures within 365 calendar days of issuance), (ii) long term (matures in over 365 days of issuance) and (iii) short term by remaining maturity (matures within 365 days from present day).
  - Aggregation simplifies communication of maturity profiles but does not resolve methodological challenges when there are large volumes of different types of debt securities with differing maturities (and interest compounding).
  - Public debt reporting templates include information on the remaining (or residual) maturity of debt, but GFSM 2014 provides minimal guidance on how to calculate remaining/residual maturity (GFSM 2014, para 7.270 notes the undiscounted value of principal payments on long-term public sector debt liabilities can be used as a proxy).
  - The BPM Clarification Note 2 provides a standard definition to be used in the BPM which distinguishes between a conceptual definition and a practically acceptable compilation.
  - Clarity is required in the updated GFSM on whether the split of total reported debt into remaining maturity ≤ one year and > one year should be based on the valuation of the total reported debt (face or nominal value) or on a present value approach for each individual payment stream.
  - Instruments with no fixed contractual end date do not have a remaining maturity because of the absence of a specified ‘final’ payment.
  - The definition could be interpreted narrowly to include only those instruments that contractually end within one year rather than covering all contractually scheduled debt service payments (interest and principal) during the next year irrespective of when the debt instrument expires.
  - Further guidance would be useful for other debt liabilities (for example, accounts payable, pension obligations, SDRs, cash, etc).
- Options considered (Task Team and GFSAC):
  - Option D1: Further clarify the current guidance in GFSM 2014. Improve guidance on which payments belong 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. Align with the 2025 SNA where appropriate.
  - Option D2: Further clarify and include numerical examples of how to calculate the split between short- and long-term debt and which elements fall into short-term remaining maturity.
  - Option D3: Further clarify and include numerical examples for all financial instruments with a remaining maturity (loans, standardized guarantees, pension liabilities, etc.).
- Draft recommendations:
  - Task Team recommends Option D1; Task Team members also saw merit in Option D3.
  - Recommended activities:
    - Provide clarification on which payments belong to the short-term and which to the long-term category.
    - Incorporate the methodological principles of BPM Clarification Note 2 into GFSM 2014, allowing 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.
  - October 2025 GFSAC: support for Option D1; several members favored Option D3 to clarify definitions and reporting guidance for all relevant financial instruments, including pension liabilities.

### Questions for global consultation (as framed in the discussion note)
- Issue A: Nominal Value of Debt Liabilities
  - Preferred choice: Option A1, Option A2 or Option A3. Explain reason and provide additional comments or alternative options.
  - For compilers: do you currently compile debt at nominal value? If so, how do you derive nominal value in your country’s compilation systems?
- Issue B: Interest Accrual on Debt Securities
  - Preferred choice: Option B1, Option B2 or Option B3. Explain reason and provide additional comments or alternative options.
  - For compilers: do you currently calculate interest accrued? If so, which method(s) (clean price, dirty price, effective interest method, etc.) are most commonly used? If different methods are used, are they for different purposes?
- Issue C: Asset-Backed Securities (ABS)
  - Preferred choice: Option C1, Option C2 or Option C3. Explain reason and provide additional comments or alternative options.
  - In your country, does government issue ABS? If so, how are they reported in public sector debt statistics?
- Issue D: Remaining / Residual Maturity
  - Preferred choice: Option D1, Option D2 or Option D3. Explain reason and provide additional comments or alternative options.
  - In your country, do you compile debt into short- and long-term by remaining maturity? If so, are there specific instruments which are challenging to identify the remaining maturity?

*Discussion Note prepared by the Debt and Other Monetary and Financial Issues Task Team (TT2) for the GFSM 2014 Update Consultation: March 2026.*

### 2.8 Debt Valuation Issues

### 2.8 Debt Valuation Issues

### Summary and Key Recommendations
- 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 observation: The existing guidance in the GFSM 2014 on debt valuation is not always clear for complex debt instruments and for practical compilation guidance.
- Principal recommendations (from the discussion note):
  - Align the updated GFSM definition of “nominal value” with that in the 2025 SNA text and provide principles-based explanations of the relationship of nominal value and market value.
  - Maintain the theoretical discussion in GFSM 2014 on accrued interest, but provide principles-based guidance on the different methods of calculating accrued interest available and explain the differences.
  - Align the 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 — Rationale for Update
- The term “valuation” appears 261 times in the GFSM 2014 and 142 times in the PSDSG 2013, reflecting its importance for macroeconomic statistics.
- Public sector balance sheets and outstanding public debt have grown since GFSM 2014; valuation method differences can lead to significantly different outstanding debt amounts.
- Inconsistent terminology and varying wording across international manuals (SNA, GFS, BPM, etc.) can produce differing practical interpretations of identical concepts (for example, “nominal value”).
- Modern debt instruments have grown in complexity (asset-backed, index linked, deep discount, etc.), and GFSM 2014 does not exhaustively cover all instrument characteristics; compilers often rely on other manuals that may use different methodological approaches.
- Cash-basis recording issues: GFSM 2014 recommends accrual dissemination but contains instructions for cash recording that can create timing inconsistencies and incomplete coverage (e.g., accrued interest/arrears in cash-basis compilers).
- Clarifying valuation of positions supports improved consistency in recording related transactions and other economic flows (accrual of interest, repayment of principal, holding gains/losses, other volume changes).

### Issue A: Nominal Value of Debt Liabilities — Background
- Inconsistent use of terminology persists; “nominal value” is sometimes used differently outside macroeconomic statistics and across jurisdictions.
- 2025 SNA and BPM7 broadly define nominal value as “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 “the value of the debt at creation plus any subsequent economic flows, such as transactions (e.g. accrual of interest or repayment of principal) plus exchange rate and other valuation changes other than market price changes.”
- Draft 2025 SNA (paragraph 4A.26) revises wording to “subsequent economic flows, such as transactions, holding gains and losses other than market price changes, and other volume changes,” removing the explicit reference to exchange rate to encompass all holding gains and losses except market price changes and explicitly including other volume changes.
- GFSM 2014 and PSDSG 2013 provide limited concrete/practical examples for calculating nominal value across varied instrument characteristics.
- Some compilers use accounting source data measured “at amortized cost” (effective interest method); ambiguity exists whether such accounting measures align with the GFSM concept of nominal value, and SNA’s definition of “amortized value” differs from valuation at amortized cost.

### Issue A — Options Considered
- Option A1: Maintain current GFSM 2014 text: “Nominal value at any moment in time is the amount that the debtor owes to the creditor. It reflects the value of the instrument at creation and subsequent economic flows, such as transactions, exchange rate and other valuation changes other than market price changes, and other volume changes. For financial instruments other than debt securities, equity, and financial derivatives, the lack of generally available market values means that these values are estimated by using the nominal value.”
- Option A2: Adopt modified GFSM 2014 text (expanded wording and depiction of nominal vs market value; retains reference to exchange rate and notes jurisdictional alternative definitions).
- Option A3: Align modified GFSM 2014 text with the 2025 SNA: “Nominal value is the amount that the debtor owes to the creditor at any given point in time. Nominal value is calculated as the value of the financial instrument at creation plus any subsequent economic flows, such as transactions (acquisition/repayment and/or accrued interest), holding gains and losses other than market price changes, and other volume changes. … For financial instruments other than debt securities, equity and investment fund shares, and financial derivatives, (i.e., those that do not trade in secondary markets), market values is often estimated using the nominal value.”

### Issue A — Draft Recommendations and Follow-up Actions
- The Task Team recommends Option A3 (alignment with amended SNA definition).
- Recommended activities depending on agreed option:
  - Maintain consistency in the definition of nominal value with other statistical manuals (SNA, BPM, EDSG, HSS, PSDSG).
  - Produce a supplementary note on the different uses of “nominal value” and the context of uses (inside and outside macroeconomic statistics).
  - Provide a clear definition with 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 adopting a graphical depiction to illustrate which elements are included in nominal value, face value, and market value.
- 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 and Challenges
- Multiple legitimate methods exist to calculate accrued interest on debt securities; approaches are well documented for simple issuances (e.g., zero coupon discounted bonds, see GFSM 2014, paragraphs 6.62 – 6.71).
- For securities with coupon payments and issuance at premia/discount, different approaches 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 provides limited practical guidance contextualized for public policy.
- GFSM 2014 (paragraph 9.40) discusses debt securities issued at premium but limits itself to definitions and general guidance.
- In practice, compilers compute accrued interest for large volumes of diverse securities using debt management software (DMFAS, CS Meridian, etc.), but GFSM 2014 and PSDSG 2013 do not exhaustively document the methodological foundations for all instrument characteristics.
- There is a policy question on the appropriate depth of methodological guidance GFSM should provide versus relying on specialized manuals (for example, HSS 2015) given that more exotic instruments require higher mathematical complexity.

*Source: Discussion Note prepared by the Debt and Other Monetary and Financial Issues Task Team (TT2) for the GFSM 2014 Update Consultation: March 2026.*

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

### 23–51: Debt valuation, asset-backed securities, and remaining maturity — GFSM 2014 Update Consultation: March 2026

### Practical clarity on interest calculation and accrued interest (Issues 23–34)
- Problem statement
  - GFSM 2014 treats cash recording of interest (paragraph 6.65) and accrual of interest (paragraph 6.64) in ways that are not clearly parallel; paragraph 6.65 notes 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”, while paragraph 6.64 discusses accrual with the only balance sheet reference that “as interest accrues on a government bond, the value of the bond increases.”
  - Multiple policy-useful metrics for debt securities at nominal value are identified: effective (or implied) interest rate, the amount of accrued interest over time, and the outstanding nominal value of debt at any point in time (compared with face or market value). Interpretations of these metrics are useful but not well developed in GFSM 2014.
  - Accrued interest calculation practices differ across statistical manuals (HSS, GFSM, PSDS) and across methods (clean price vs dirty price); Task Team members noted different metrics (effective interest rates with/without coupons included).
- Options identified (paragraphs 25–31)
  - Clarify approaches to computing accrued interest and explain differences across manuals and metrics (para 25).
  - Recognize merit in both clean and dirty price methods depending on system maturity and data availability; clarify available options and principles while noting trade-offs between simplicity and instrument complexity (para 26).
  - Provide guidance that both clean and dirty price methods yield different results between issuance and maturity but converge at maturity; offer interpretations and uses of these metrics (para 27).
  - Encourage further guidance for complex securities (stripped securities, securities denominated in foreign currency with cross-currency swaps fixing exchange rates at redemption, etc.) (para 28).
  - Option B1: Maintain current GFSM 2014 theoretical discussion (paragraphs 6.62–6.83, 6.64, 6.65, 9.40, 9.41–9.42) and add principles-based guidance on methods of calculating accrued interest (para 29).
  - Option B2: Produce detailed guidance on accrued interest for all types of debt securities, explaining accrual across instrument structures (para 30).
  - Option B3: Same as B2 plus an appendix with deeper analytical guidance and stepwise computation references to other manuals (HSS, PSDSG) for practical computation (para 31).
- Draft recommendation and follow-up actions (paragraphs 32–34)
  - Task Team recommends Option B1 (para 32); majority view that GFSM is not the place for specific examples or references to other guidance, with a minority favoring some high-level examples.
  - Recommended activities depending on chosen Option:
    - Highlight both clean and dirty price methods and effective rate variants (effective rate with coupon and discount/premium) (para 33).
    - Clarify terminology grouping: simple interest method, compound interest method, effective interest method, separate method, linear method (para 33).
    - Amend GFSM 2014 paragraph 6.73 to remove the split of face value and premium into two stock positions (debt securities for face value and other accounts payable for premium) which is inconsistent with an overall effective interest rate calculation using dirty price as described in the HSS (para 33).
    - Clarify mechanics of calculating the effective interest and its policymaking usefulness (para 33).
  - At the October 2025 GFSAC meeting there was support for the Task Team’s recommendation of Option B1, with some support for limited high-level examples potentially via a slight expansion of Appendix 7 and references to external guidance (para 34).

### Foreign currency impacts on nominal debt valuation (Issue 24)
- Problem statement
  - Debt repayable in a foreign currency affects nominal debt value in national currency; GFSM 2014 would benefit from clearer guidance on measuring that impact and reinforcing the definition of nominal value.
  - Guidance could include treatment of cross-currency swaps that fix the exchange rate.

### Asset-backed securities (ABS) — coverage, valuation, and government-sector relevance (Issues 35–50)
- Background and problems (paragraphs 35–39, 41–43)
  - 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), but offers limited practical valuation guidance and limited focus on ABS used by public sector entities.
  - 2025 SNA defines securitization as “raising funds by selling a security backed by specific assets or income stream” (2025 SNA, paragraph 5.175); GFSM 2014 coverage is mainly definitional with limited government-sector practical examples.
  - ABS valuation is challenging because underlying asset values or future income streams may be not easily observable and may change over time; GFSM 2014 and HSS do not adequately address arriving at accurate nominal values for such ABS (para 36).
  - GFSM 2014 is unclear on what can and cannot be securitized; it notes that “a general government unit may issue debt securities backed by specific earmarked revenue” (para A3.60) but macroeconomic statistical systems do not recognize the ability to raise taxes as a government asset, creating ambiguity (para 37).
  - The treatment and prefacing of securitization units (SPVs) in GFSM 2014 paragraph A3.64 is insufficiently structured; the guidance that proceeds from securitization are “treated as borrowing, usually in the form of a loan” needs clearer standalone exposition (para 38).
  - Need for better practical guidance on recording and valuation of ABS, including where underlying asset values and discounted future income streams are uncertain; discuss ABS specifically in government sector context (para 39).
  - Task Team members noted GFSM 2014 guidance can be overly theoretical and not sufficiently public-sector oriented; some members pointed to UK National Audit Office material as clearer (para 40).
  - Additional guidance requested on classification (instrument type), valuation (market vs. fair value), recording holding gains/losses and other economic flows for ABS, and distinguishing market vs nominal value (paras 41–42).
  - Some members cautioned against exhaustive practical guidance because of the large variety and evolving nature of public-sector ABS; others favored sufficient guidance or references for compilers (para 43).
- Options identified (paragraphs 45–47)
  - Option C1: Align updated GFSM with the 2025 SNA without significantly expanding guidance; assess wording discrepancies between GFSM 2014 and 2025 SNA regarding what constitutes ABS (para 45).
  - Option C2: Align with 2025 SNA and compile a list of ABS commonly issued by public sector entities with detailed valuation guidance and links to practical interpretations (para 46).
  - Option C3: Same as C2 but include practical examples and lists within GFSM rather than linking out (para 47).
- Draft recommendation and follow-up actions (paragraphs 48–49)
  - Task Team recommends Option C1: align GFSM with 2025 SNA and avoid adding specific examples or external references directly into GFSM (para 48). Agreed further research should analyze common public-sector ABS to determine whether new characteristics require methodological amendment.
  - Recommended activities depending on Option:
    - Review ABS examples relevant to government sector to assess additional characteristics for methodological updates (para 49).
    - Provide guidance on treating differences between transaction price of ABS and value of underlying asset recognized in the balance sheet (para 49).
    - Provide guidance on adjustments when collateral becomes (partly) uncollectible (para 49).
    - Tie ABS discussion to index-linked securities and derivatives (swaps) (para 49).
  - At the October 2025 GFS Advisory Committee meeting there was support for Option C1 with some members seeing advantages in Option C3 as companion material (para 50).

### Remaining / residual maturity — harmonization (Issue D, paragraph 51)
- Observation
  - Remaining maturity is harmonized across macroeconomic statistical manuals: GFSM 2014 paragraph 7.267 defines remaining maturity as “the period from the reference date (balance sheet date) until the final contractually scheduled payment date”; BPM7 paragraph 5.116(b) uses similar wording; 2025 SNA paragraph 33.85 uses “the period from the reference date until contractually scheduled final payment.” (para 51).
- Implication
  - Harmonized definition provides coherence across manuals.

*GFSM 2014 Update Consultation: March 2026*

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

### Discussion Note 28 — Debt valuation issues: Clarification on units of time with large issuance volumes

### Issue summary
- Paragraph 52: 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.
- Paragraph 52: Manuals simplify maturity defining periods to (i) short term at issuance (matures within 365 calendar days of issuance), (ii) long term (matures in over 365 days of issuance) and (iii) short term by remaining maturity (matures within 365 days from present day).
- Paragraph 52: This aggregation allows for simplified communication of maturity profiles but does not resolve methodological challenges when there are large volumes of different types of debt securities with differing maturities (and interest compounding).
- Paragraph 53: Public debt reporting templates include information on the remaining (or residual) maturity of debt, but GFSM 2014 provides minimal guidance on how to calculate remaining/residual maturity (GFSM 2014, para 7.270 notes the undiscounted value of principal payments on long-term public sector debt liabilities can be used as a proxy).
- Paragraph 53: The BPM Clarification Note 2 provides a standard definition to be used in the BPM which distinguishes between a conceptual definition and a practically acceptable compilation.
- Paragraph 53: Clarity is required in the updated GFSM on whether the split of total reported debt into remaining maturity ≤ one year and > one year should be based on the valuation of the total reported debt (face or nominal value) or on a present value approach for each individual payment stream.
- Paragraph 54: Instruments with no fixed contractual end date do not have a remaining maturity because of the absence of a specified ‘final’ payment.
- Paragraph 54: The definition could be interpreted narrowly to include only those instruments that contractually end within one year rather than covering all contractually scheduled debt service payments (interest and principal) during the next year irrespective of when the debt instrument expires.
- Paragraph 55: Further guidance would be useful for other debt liabilities (for example, accounts payable, pension obligations, SDRs, cash, etc).

### Practical assessment by Task Team
- Paragraph 56: Task Team members felt GFSM 2014 (Table 7.12) is clear in explaining remaining maturity categories and useful for communication but less useful for computation of outstanding debt securities.
- Paragraph 57: Further clarity is needed on which payments should be included in short-term remaining maturity and on whether compilation should use undiscounted or discounted payments.
- Paragraph 58: Clarity is needed on instrument scope for maturity for accounts payable, defined-benefit pension liabilities, standardized guarantees, etc., and on whether standard simplifying conventions should be adopted.

### Options considered (Task Team and GFSAC)
- Option D1: Further clarify the current guidance in GFSM 2014.
  - Paragraph 60: Improve GFSM 2014 guidance to make clearer which payments belong 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 present value approach). Align with the 2025 SNA where appropriate.
- Option D2: Further clarify the current guidance in GFSM 2014 and include numerical examples.
  - Paragraph 61: Same improvements and alignment as Option D1 and additionally provide numeric examples of 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.
  - Paragraph 62: Same as Option D2 but guidance would encompass all financial instruments with a remaining maturity such as loans, standardized guarantees, pension liabilities, etc., to enhance analytical usefulness and improve consistency in reporting across countries.

### Draft recommendations (Task Team)
- Paragraph 63: The Task Team recommends Option D1. Task Team members also saw merit in Option D3 to cover all instruments with remaining maturity.
- Paragraph 64: Recommended activities (dependent on Option agreed):
  - Provide clarification on which payments belong to the short-term and which to the long-term category.
  - Incorporate the methodological principles of BPM Clarification Note 2 into GFSM 2014, allowing 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.
- Paragraph 65: 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 pension liabilities.

### Preliminary views of the GFSAC
- Paragraph 66: An earlier version of the discussion note was discussed at the GFSAC meeting of October 2025. The current version addresses suggestions made by GFSAC members at that meeting and the Task Team recommendations are consistent with the preliminary views of most GFSAC members.

### Questions for Global Consultation (as framed in the discussion note)
- Issue A: Nominal Value of Debt Liabilities
  - Indicate your preferred choice: Option A1, Option A2 or Option A3. Please explain the reason for your choice and provide any other additional comments (including any alternative options you would like to propose).
  - For compilers, do you currently compile debt at nominal value? And, if so, how do you currently derive nominal value in your country’s compilation systems?
- Issue B: Interest Accrual on Debt Securities
  - Indicate your preferred choice: Option B1, Option B2 or Option B3. Please explain the reason for your choice and provide any other additional comments (including any alternative options you would like to propose).
  - For compilers, do you currently calculate interest accrued? And, if so, which method(s) for calculating accrued interest (clean price, dirty price, effective interest method, etc.) are most commonly used in your country? If different methods are used, are they for different purposes?
- Issue C: Asset-Backed Securities (ABS)
  - Indicate your preferred choice: Option C1, Option C2 or Option C3. 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, does government issue ABS? And, if so, how are they reported in your public sector debt statistics?
- Issue D: Remaining / Residual Maturity
  - 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/group-1/discussion-note-28-debt-valuation-issues-consultation-march2026.pdf_