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PVBP (Price Value of a Basis Point)

The change in a bond's price for a 1 basis point move in yield, expressed per 100 face value.

PVBP (Price Value of a Basis Point), also called DV01 per 100 par, measures interest rate sensitivity in price-point terms: how much does the bond's clean price change if yields move 1bp? Relation to DV01: DV01 = PVBP × Notional / 100. For example, a bond with PVBP = $0.0750 and $1M notional has DV01 = $750. PVBP is the building block for duration-based hedging — to hedge $1M of a PVBP 0.0750 bond with futures (PVBP 0.0600), you need 0.0750/0.0600 × $1M/$100k ≈ 12.5 contracts. PVBP is bond-specific (doesn't depend on position size), making it useful for comparing sensitivity across bonds with different coupons and maturities regardless of position size.

Formula
PVBP=Py−1bp−Py+1bp2\text{PVBP} = \frac{P_{y-1bp} - P_{y+1bp}}{2}
Where
Py−1bpP_{y-1bp}=Clean price at yield − 1bp
Py+1bpP_{y+1bp}=Clean price at yield + 1bp
Related Terms

DV01

Dollar change in value for a 1 basis point (0.01%) yield move.

Modified Duration

Measures the percentage price change for a 1% yield change.

CS01

Dollar change in value for a 1 basis point move in credit spread.

Macaulay Duration

The weighted average time (in years) to receive the bond's cash flows.

Convexity

Measures the curvature of the price-yield relationship — how duration itself changes.

Stress Test (Rate Shock)

Estimates impact of large yield moves using duration and convexity.