CS01
CS01 is the dollar value of one basis point of credit spread — how much the book makes or loses if the name or index OAS/CDS widens by 1 bp.
Definition
CS01 refers to how much the book makes or loses if the name or index OAS/CDS widens by 1 bp. Keep that definition fixed when comparing series, managers, or regimes — renaming the same tape does not create a new signal.
Why it matters
It is a named object desks use to frame risk, positioning, or process. When how much the book makes or loses if the name or index OAS/CDS widens by 1 bp shifts, related hedges, limits, and narratives usually need an explicit update rather than a quiet assumption.
Case
Suppose a desk is positioned for the opposite of what cs01 is saying. If how much the book makes or loses if the name or index OAS/CDS widens by 1 bp moves against that book, the first question is not “is the story clever?” but whether size, hedges, and stop logic still match the observation.
How to read it
Keep the definition fixed, then challenge it with cross-checks before sizing. Prefer a short written null hypothesis for CS01: what would falsify the current reading in the next window?
Ask the macro AI about this object
Opens Copilot with Codex + RAG context, or send the object into Alpha Factory intake.