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FIN_TRM_CVA: TRM, Credit and Debit Value Adjustments (New) ( RELNTRM_617_CVA_M )

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Short text

FIN_TRM_CVA: TRM, Credit and Debit Value Adjustments (New)

Use

With this business function, you can include credit and debit value adjustments in the calculation of net present values for single transactions and netting groups.

The calculation results (NPV, risk-free NPV, CVA, and DVA values) are stored on the level of the financial transaction in the net present value table (table VTVBAR), and you can use these results in key date valuation.

The business function contains the following product features:

• FIN_TRM_CVA: Calculating CVA/DVA for Single Trans. (Difference Method)

• FIN_TRM_CVA: Calculating CVA/DVA for Netting Groups (EE Method)

• FIN_TRM_CVA: Calculating CVA/DVA for Single Transactions (EE Method)

• FIN_TRM_CVA: Determining Expected Exposures

• FIN_TRM_CVA: Allocation of Netting Group Results

• FIN_TRM_CVA: Archiving Evaluation Results

Notes:

This business function is part of SAP enhancement package 7, Support Package 07, for SAP ERP 6.0 (EA-FINSERV 617).

See SAP Note Relationship of Licenses and Business Functions (1524246) to establish whether you need additional licenses for activating the business function TRM, Credit and Debit Value Adjustments (FIN_TRM_CVA).

Effects on Existing Data

Changed Functions

The net present value table (table VTVBAR) has been extended to include CVA and DVA values.

New Functions

In the area menu of Treasury and Risk Management, you now find the new functions Determine NPVs Including CVA and DVA (transaction TPM60CVA) and Enter Expected Exposures (transaction TPMEEM) under the following paths:

• Transaction Manager -> Money Market -> Accounting -> Valuation

• Transaction Manager -> Foreign Exchange -> Accounting -> Valuation

• Transaction Manager -> Derivatives -> Accounting -> Valuation

• Transaction Manager -> Securities -> Accounting -> Valuation

• Transaction Manager -> Debt Management -> Accounting -> Valuation

• Transaction Manager -> Commodities -> Accounting -> Valuation

• Financial Risk Management for Commodities -> Accounting -> Valuation

Effects on Data Transfer

Effects on System Administration

Effects on Customizing

New Customizing Activities

Under Treasury and Risk Management -> Basic Analyzer Settings -> Valuation, you find the new node Settings for the Calculation of Credit and Debit Value Adjustments with the following new activities:

• Define Expected Exposure Types

• Define Credit and Debit Value Adjustment Types

• BAdI: Get Percentage of Collateralization

Further Information

For more information, see the documentation of the business function in SAP Library under Business Function Sets and Business Functions -> Enterprise Business Functions -> Accounting -> Financial Supply Chain Management -> Treasury and Risk Management -> TRM, Credit and Debit Value Adjustments (Reversible).

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This documentation is copyright by SAP AG.

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