CCPAccountPositionReportV01auth.068.001.01

Definition: Change in value of position for a unit change in the index. Usage: for interest rate swaps the PV01 of the gross position, for credit default swaps the DV01 of the gross position, for index products with a fixed value per unit move, the total weighted value of a one unit move in the index for the gross contracts in the position, weighted by the delta of the contracts in the position.

Type: ActiveCurrencyAndAmount (Decimal)

Restrictions:

• FractionDigits: 5
• TotalDigits: 18
• MinInclusive: 0

Attributes:

• Ccy (ActiveCurrencyCode)

  Restrictions:

  • Pattern: [A-Z]{3,3}