After you have calculated the CVA and DVA for a netting group, the system still needs to distribute the CVA(NG) and the DVA(NG) to the transactions of the netting group. For this, the system uses the allocation method
that you have selected in the CVA/DVA type.
With the proportional fair value gross approach, CVA and DVA are distributed across all transactions of the netting group proportionally to the NPV (fair value) of the transactions.
With the proportional fair value net approach, the system proportionally distributes CVA across the transactions with a positive NPV (fair value) and DVA across those with a negative NPV (fair value).
Technical Name of the Product Feature |
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The product feature is | New |
Country Dependency | Valid for all countries |
Software Component Version |
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Application Component | FIN-FSCM-TRM-MR |
Available as of | SAP enhancement package 7 (Support Package 07) for SAP ERP 6.0 |
Prerequisite Business Functions |
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After calculating CVA and DVA for the netting group, the system performs allocation during NPV calculation (transaction TPM60CVA
).
The NPV of the transactions of the netting group is obtained as follows:
Risk-free NPV(EG) - CVA(EG) - DVA(EG) = NPV
See also: Determining NPVs Including CVA and DVA
Documentation on the business function TRM, Credit and Debit Value Adjustments (Reversible)