Desk Slang · Core
DV01
DV01 is the dollar value of one basis point: how much the position’s mark changes if the yield (or the curve point you risk on) moves by 0.01%.
Definition
DV01 ≈ −dP/dy × 0.0001, quoted in currency per bp. A book that is ‘long 200k DV01’ makes about $200k if yields fall 1 bp (and loses it if they rise), holding the rest of the curve fixed. CS01 is the credit-spread twin.
Why it matters
It is the common language of rates risk. Percent duration is for brochures; DV01 is for limits.
Case
A 10-year note has roughly $850 DV01 per million face. A $1bn long is ~$850k per bp — that is the number that hits the overnight VaR, not the face.
How to read it
State the curve bump (parallel, key-rate, or a specific future). ‘DV01’ without a bump is incomplete.
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