Desk Slang · Core
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
Analogous to DV01 but on the credit curve. A long credit position has negative P&L when spreads widen, so CS01 is usually quoted as the loss per bp wider. Index versus single-name CS01 is how you see basis books.
Why it matters
HY and IG limits are CS01 limits. Face amount lies when durations differ.
Case
CDX IG at ~5 years has CS01 on the order of $4–5k per million per bp. A $2bn long is a real number when the index gaps 15 bp on a Monday.
How to read it
Parallel spread bump or a specific tenor? Jump-to-default is not CS01 — that is a different limit.
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