The change in the value of credit default swap (CDS) in reaction to a one basis point increase in the underlying spread, or underlying spreads in case of pool. More specifically, it measures the dollar present value changes for each basis point shift in the credit curve. The credit delta of a CDS is roughly equal to the DV01 of a par bond issued by the same reference entity. In calculation, this value is equal to the remaining life of the CDS times the notional principal amount (NPA) times one basis point:

Credit delta = T x NPA x 0.0001

where: T is the remaining life of a swap.

Suppose, as an example, a five-year swap with a notional of $20 million. This swap would have a credit delta of:

Credit delta = 5 x 20,000,000 x 0.0001 = $10,000

The credit delta is also known as a CDS DV01.