A type of credit risk exposure that involves a position in an instrument associated with a specific risk that arises from changes in its credit spread. Investors can have access to credit spread exposure by taking a position in credit derivatives such as credit default swaps (CDSs).

This risk exposure is also known as a credit risk spread; a measure of credit default swap (CDS) value sensitivity. It measures the credit sensitivity of a CDS’s value to a one basis point change in its premium (CDS premium or the credit spreads). In other words, it captures the CDS price change for a 1bp shift in the credit par spread.It may also measure the sensitivity of an investment portfolio per one basis point move in credit spreads.

A credit spread exposure is also referred to as CR01, CS01 or SDV01.