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

\text{PVBP} = \frac{P_{y-1bp} - P_{y+1bp}}{2}

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.