3784415 - Security Valuation included in book value for index-linked bonds despite “Do not realize gains/losses” – SAP S/4HANA Cloud Public Edition

• The system includes the Security Valuation amount in the book value even though the valuation step is set to “Do Not Realize Gains/Losses”.
• After the first valuation run, the new book value is higher than expected because the Security Valuation (OCI) amount is carried into the base for subsequent runs.
• The issue occurs in valuation flows for index-linked bonds with steps: index valuation, amortization, and security valuation.
• No error messages are displayed.

• Product: SAP S/4HANA Cloud Public Edition
• Treasury and Risk Management (Public Cloud)

1. Configure a Position Management Procedure with the steps: Index Valuation, Amortization, and Security Valuation.
2. In the Security Valuation step, set “Do Not Realize Gains/Losses”.
3. Run valuation (TPM1).
4. Observe that from the second valuation run onward, the book value includes the Security Valuation (OCI) amount in the base.

1. In the Security Valuation step of the Position Management Procedure, set the valuation category to “Mid-Year Valuation with Reset”.
2. Run valuation (TPM1) for the current period.
3. At the start of the next period, verify that the system resets/reverses the prior period’s Security Valuation (OCI) so that the next valuation run does not carry the OCI delta forward into the book value base.
4. Re-test the valuation sequence (Index Valuation, Amortization, Security Valuation) to confirm the book value excludes the OCI delta in subsequent runs.

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