Hi,is Spread DV01 in Bloomberg CDSW page the same as Risky PV01 and Contract Value of a basis point? What is the difference amonst these three in terms of CDS? Why Spread DV01 changes with the change of Deal Spread?thanks

Spread DV01 is the sensitivity of the contract to the 1bp move in the curve. I.e. par spread credit delta. (at least I believe BB measures it in respect to par curve).

As I understand,Spread DV01 P&L from change in credit spreads (spread curve).Interest Rate DV01 P&L from change in swap ratesdefine the Risky PV01 (RPV01) as the expected present value of 1bp paid on thepremium leg until default or maturity, whichever is sooner.Contract Value of a basis point = Risky PV01 * Notional * Contract spreadSo Risky PV01 and Contract Value of a basis point do not change if spread curve is fixed, but Spread DV01 changes with contract spread and/or current spread curve. right?

Hi! Spread DV01 is NOT the same as Risky PV01. Howver when the CDS is trading at par then they have the same value. Let me try to explain.The PV01 is also known as the duration of a CDS and commonly refers to the duration of the fixed (premium) leg of the swap. PV01 is the effective duration of a CDS contract adjustting for default risk. You calculate PV01 in the same way as risk-free duartion but with an extra discounting factor given by the survival probability. Thus the P&L of a CDS position is given by the PV of an expected stream of cash flows given by the differential between the current spread and the contract spread (ie what spread it says in the CDS contract, in other words what spread you paid for). PV=(Current spread-Contract spread)*PV01. If the swap is trading at par then (Current spread-Contract spread)=0. The delta of a CDS contract, risky DV01, gives the expected change in P&L for a 1 bp paralell shift in the underlying credit curve. Hence DV01 can be derived from the P&L of the CDS by taking the partial derivative of the PV wrt the current spread. DV01=dPV01/dS=PV01+(Current spread-Contract spread)*dPV01/dS, where d is the sign for the partial derivative. For a contract at par, Current spread=Contract spread, and thus DV01 and PV01 is identical. The further away from par the contract is the more its sensitivity to spread change diverges from its credit duration.The Spread DV01 in BB is not PV01. In fact PV01 is not shown in the CDSW but can be calculated from the field Market Val. Market val is given by (Current spread-contract spread)*PV01*Notional (where PV01 is the final PV01. Thus we can back out the PV01 from the Market val field. HTH