Enterprise Resource Planning Blogs by SAP
Get insights and updates about cloud ERP and RISE with SAP, SAP S/4HANA and SAP S/4HANA Cloud, and more enterprise management capabilities with SAP blog posts.
cancel
Showing results for 
Search instead for 
Did you mean: 
elaine_makyama
Associate
Associate

A common practice in Brazil is to have Corporate Bond Issuance linked to inflation indexes, such as IPCA, that are released in a monthly basis.

SAP Treasury and Risk Management customers faces difficulties to manage this product type as they have to create a virtual currency to be able to update the nominal amount.

A new functionality is now available in SAP S/4HANA 2023 (Nov 2023) to support this requirement as informed in the What's New page Manage Index-Linked Bonds

Requirement description


The shares of this type of instrument are remunerated according to the IPCA as following:

Inflation adjustment of the VNA and amortizations, if any, will have to observe the anniversary dates of each fund, as well as the periods of incidence of the closed index and the projections for the index published by ANBIMA, as described below:

Calculating VNA:

𝑽𝑵𝑨 = 𝑽𝑵𝑬 𝑿 𝑪

Where: VNA= Adjusted Nominal Value to eight decimal places, without rounding off;

VNE = Nominal Unitary Value on the date of issue, on the date of payment or on the date of the last amortization or compounding of the remuneration, if any, whichever occurs last.

C= Accumulated change factor of the price index.

Source: Metodologias Precificacao FIDC_ingles.pdf (anbima.com.br)

Complete Guide in Portuguese: Calculo_Rentabilidade_TesouroIPCA.pdf (tesourodireto.com.br)
 

Index Source of Information

The historical series of inflation indexes can be found here Índice Nacional de Preços ao Consumidor Amplo | IBGE
Indexes prices are released in a monthly basis as follows:

YEARMONTHINDEX PRICEVARIATION
   %
2017JAN4793,850,38
 FEV4809,670,33
 MAR4821,690,25
 ABR4828,440,14
 MAI4843,410,31
 JUN4832,27-0,23
 JUL4843,870,24
 AGO4853,070,19
 SET4860,830,16
 OUT4881,250,42
 NOV4894,920,28
 DEZ4916,460,44

 

Overview of functionality in SAP Treasury and Risk Management


The Brazilian IPCA Inflation Index can be entered using application ENTER PRICE INDEX VALUES or transaction TMDPRICEIDX.

 

TMDPRICEIDX



Effects on Customizing:

Condition type:

The new FIMA Calculation category PIDX was created to be assigned to the condition type for the index price adjustment.

New Calculation Category



Position Management

Type of step 3 procedure for index valuation have to be defined in the following path:

Treasury and Risk Management > Transaction Manager > General Settings > Accounting > Settings for Position Management > Key Date Valuation > Define Index Valuation Procedure

 

Index Valuation Step


 

Example of End User Operations:

In the example below the Bond was issued on 25.08.2017 and the contract states that the index validity is from 15th to 15th of each month.

Index Price have to be informed in the basic data of the security class.

Security Class Basic Data


And in the condition for the price index adjustment, Fixing Data area indicates that the index will be fixed starting from July 15th to August 15th, and the first index value read will be applied on September 15th.

Index Price Adjustment condition in FWZZ

In the security class cashflow, the index factor value is available to be checked for operational flows.

Security Class Cashflow


 

2 Comments