An interest rate risk measure that captures sensitivity to changes in the interest rate yield curve (e.g. the LIBOR curve). It gauges the change in value of an interest-sensitive contract or instrument for a one basis point (01 or 1 bp) upward or downward parallel shift in the LIBOR curve. For example, if a 1% (100 bp) change in interest rates has caused the value of a contract to change by $50,000, then its interest rate sensitivity is:
LIBOR01 = 50,0000/ 100 = $500 per basis point
This measure is also known as IR01.
