Evaluation type &1 (val. rule &2): No derivation ID for company code

What causes this issue?

You have not maintained a credit spread curve derivation ID for your own
company in the settings of evaluation type &V1& (valuation rule &V2&
). Consequently, the system cannot derive a reference entity for your
own company. As a result, no credit spread curve can be found. The
credit spread curve is required for calculating the product of the
probability of default and loss given default.

System Response

The system calculates DVA using credit spreads of value zero.

How to fix this error?

If you want to consider the credit spreads of your own company and
thereby the corresponding product of the probability of default and loss
given default, then you must maintain the credit spread curve derivation
ID in the evaluation type/valuation rule (transaction
<DS:TRAN.JBREVAL>JBREVAL</>).

The system issues an error message and will not allow you to continue with this transaction until the error is resolved.

INCLUDE 'CUSTOMIZED_MESSAGE_INFO' OBJECT DOKU ID TX
STYLE S_DOCUS1

Error message extract from SAP system. Copyright SAP SE.