With respect to a convertible bond, it is the change in the bond price resulted from a single basis point increase in the credit spread. In other words, credit DV01 measures the change in the fair value of the bond in relation to a change in credit spread. When a convertible bond is out-of-the-money, its sensitivity to changes in credit spreads increases. In general, as credit spreads narrow, the value of a bond increases, and vice versa. In contrast, deep in-the-money convertibles are particularly insensitive to credit spread changes. Credit DV01is an important risk measure which is essentially used by arbitrageurs who seek to hedge below investment-grade issues whose prices are near or below the exercise price.

This measure is also known as omicron.