For the calculation of CVA and DVA for single transactions, you can also use the calculation method Based on Expected Exposures
. With this method, the system calculates the riskfree NPV on the basis of the riskfree yield curve that is assigned in the relevant evaluation type.
The system calculates the CVA/DVA separately. First of all, the expected exposures for a set of future dates are either calculated or, in the case of manual entries, read from the EE table and weighted with the product of default probability (AWKT) and loss given default (LGD).
Technical Name of the Product Feature  TRM_CVA_ST_EE 

The product feature is  New 
Country Dependency  Valid for all countries 
Software Component Version  EAFINSERV 617 
Application Component  FINFSCMTRMMR 
Available as of  Example: SAP enhancement package 7 (SP07) for SAP ERP 6.0 
Prerequisite Business Functions 

CVA and DVA values are calculated using the following equations:
where
LGD = loss given default
D = discount factor
t = time
EPE = expected positive exposure
ENE= expected negative exposure
AWKT = default probability
C in subscript = business partner
I in subscript = your own company
EPE and CVA are positive
ENE and DVA are negative
The calculation of credit and debit value adjustments requires the credit spread curve for the reference entity of either the business partner or of your own company in order to obtain the product AWKT*LGD as follows:
LGD*AWKT (t_{i1}, t_{i}) = CS (t_{i})*(t_{i}  t_{0})  CS (t_{i1})*(t_{i1}  t_{0})
See also: Deriving Credit Spread Curves
The NPV is calculated as follows:
Riskfree NPV  CVA  DVA = NPV
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 for the calculation, 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
).
Documentation on the business function TRM, Credit and Debit Value Adjustments (Reversible)