Calculate Net Present Values - With CVA and DVA
Application component: Position Management and Accounting
App type: SAP GUI
Scope items: Debt and Investment Management|Hedge Accounting for FX Forward - Group Ledger IFRS|Hedge Accounting for FX Option - Group Ledger IFRS|Foreign Currency Risk Management|Hedge Accounting for FX Swap - Group Ledger IFRS
Description:  You use this app to calculate net present values of financial transactions. You can choose to include credit and debit value adjustments in the calculation of NPVs for individual financial transactions or for netting groups. In addition you can calculate the hedge accounting key figures for financial transactions that are assigned as hedging instruments in designated hedging relationships (P-HA) created during the Automated Exposure Item Hedging (FX Risk) process. 
Key features:    Using this function, you can include credit and debit value adjustments in the calculation of the NPVs for financial transactions and then save the NPVs in the NPV table. You use the credit and debit value adjustment type to control how the system calculates the risk-based NPV as well as the CVA and DVA values.   If you have opted to use the Difference Method, the system applies the settings in the evaluation type to calculate the risk-based NPV and the risk-free NPV in exactly the same way as in the function Determine Net Present Values (transaction TPM60). The risk-based NPV is determined using a yield curve matching the yield curve type assigned in the evaluation type settings on the Market Data Categories tab in the Yield Curve Types area. Credit spread curves are applied. The risk-free NPV is determined using a risk-free yield curve matching the yield curve type assigned in the evaluation type settings on the Market Data Categories tab in the Risk-Free Yield Curve Types area. Note If you have assigned basis spread curves, the system applies them in the calcuation of the risk-free NPV as well as the risk-based NPV. In addition, the CVA or DVA is determined as the difference between both values and is also stored in the NPV table.   If you have opted to use the Based on Expected Exposures method, the risk-free NPV is calculated using the risk-free yield curve derived from the evaluation type. CVA and DVA values are calculated using the expected exposures. The (risk-based) NPV is calculated using the following equation: NPV = risk-free NPV – CVA – DVA   See also: Credit and Debit Value Adjustments   The results of the calculation are stored in the NPV table. Since the results are stored in the NPV table at the level of the financial transactions, allocation needs to be used to divide the netting group results across the financial transactions of the netting group. In the NPV table, you can use the CVA/DVA Calculation pushbutton to navigate to the results of the related netting group.   
Business roles: Treasury Specialist - Back Office
Treasury Risk Manager : 
Manages all the company's treasury activities. Uses evaluation reports to ensure that the various strategies defined for trading, market risk management, limit management, and cash management have been observed.

Treasury Specialist - Back Office : 
Processes financial transactions, sends confirmation to counterparties, imports market data and runs the valuation.