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 TRM, Calculating CVA/DVA for Single Trans. (Difference Method)


You can use the difference method to calculate the CVA/DVA for single transactions.

With this method, the system first calculates the (risk-based) NPV using the yield curve stored in the evaluation type. If you have also made the settings for credit spreads, the system also takes credit spreads into account when calculating the NPV (in a composite yield curve).

In this way, the system calculates the risk-free NPV with the risk-free yield curve stored in the evaluation type.

The CVA or DVA is the difference between the risk-free NPV and the (risk-based) NPV:

Risk-free NPV - NPV = CVA or DVA

Technical Details

Technical Name of the Product Feature


The product feature is


Country Dependency

Valid for all countries

Software Component Version


Application Component


Available as of

SAP enhancement package 7 (SP07) for SAP ERP 6.0

Prerequisite Business Functions

TRM, Credit and Debit Value Adjustments (FIN_TRM_CVA)

Additional Details

The difference method is available for single transactions only.

Effects on Existing Data

You calculate NPVs with inclusion of CVA and DVA by using the function Determine NPVs Including CVA and DVA (transaction TPM60CVA). The system performs the calculation for the single transactions in the currency that you specify in the function. If you do not specify a currency, the system applies the position currency.

The results at the level of the financial transactions are stored in the NPV table (table VTVBAR, transaction JBNPV).

Effects on Customizing

See also: Credit and Debit Value Adjustments: Customizing