DV01 definition
DV01 means, with respect to a Transaction and any date of determination, the estimated change in the Secured Party’s Transaction Exposure with respect to such Transaction that would result from a one basis point change in the relevant swap curve on such date, as determined by the Valuation Agent in good faith and in a commercially reasonable manner. The Valuation Agent shall, upon request of Party B, provide to Party B a statement showing in reasonable detail such calculation.
DV01 means, with respect to a Transaction and any date of determination, the sum of the estimated change in the Secured Party’s Exposure with respect to such Transaction that would result from a one basis point change in the relevant swap curve on such date, as determined by the Valuation Agent in good faith and in a commercially reasonable manner. The Valuation Agent shall, upon request of Party B, provide to Party B a statement showing in reasonable detail such calculation.
DV01 means an estimate (as determined by the Valuation Agent in good faith and in a commercially reasonable manner) of the change in the Secured Party's Exposure resulting from a one basis point change in the swap curve.
Examples of DV01 in a sentence
In consultation with IIM Risk Management and the BU ALCs, the US Risk Committee, shall recommend to the Board hedge effectiveness tests (including compliance parameters) such as effective duration, DV01 (the dollar value change of an asset or liability resulting from a 1 basis point change in a reference metric), equity beta or delta, performance attributions or other tests, which are commonly based on historical and statistical data.
BNY Mellon shall calculate the portfolio and security-level risk metrics required within Form N-PORT and Form N-CEN (referenced above in this section) inclusive of the DV01, DV100, SDV01, CR01, and CS01 as provided by the Administrator.
Quantifying the exposure of a default swap to changes in the company’s credit quality is done using the concept of DV01, defined as the change in value of the swap for a 1 bp shift in the credit curve.
DV01 Multiplier means, (a) if each Local Business Day is a Valuation Date, 50 and (b) otherwise, 60.
Any reduction in the platform fee from DV01 shall be used to reduce the reporting fee and Debtor and Lender will engage DV01 together to ensure the process of DV01 integration and associated costs are mutually acceptable.
More Definitions of DV01
DV01 means the sum of the estimated change(s) in the mid-market value for the Transaction under the Agreement that would result from a one basis point change in the relevant swap curve, as determined by the Valuation Agent in good faith and in a commercially reasonable manner in accordance with the relevant customary methodology used by the Valuation Agent.
DV01 means, in respect of a Reference Obligation on any date (the “Determination Date”), a number equal to the number of basis points that is the result of calculating the present value of a payment stream on the following basis:
DV01 means in respect of a Reference Entity, the change in the net present value of the remaining expected cash flows of the credit default swap for the relevant Reference Entity for a nominal amount of EUR 10,000 (from expected spread payments and default loss payments) when the market spread curve in respect of that Reference Entity is increased by one basis point.
DV01 means in respect of a Reference Entity, an amount equal to the net present value of one basis point that would be paid by a protection buyer under a credit default swap in respect of such Reference Entity for a remaining maturity equal to the remaining maturity of the Transaction, for a currency equal to the Reference Entity Currency and for a notional amount equal to 10,000 units of the Reference Entity Currency. The amount shall be determined by the Protection Buyer, in good faith and in a commercially reasonable manner, on the basis of (i) the Protection Buyer’s Proprietary Model (which may be modified from time to time by the Protection Buyer, in its sole discretion and without notice) and (ii) the Protection Buyer’s Proprietary Market Data (including any data regarding the probability of default of the relevant Reference Entities, or regarding the credit risk correlation).
DV01 means DV01, Inc.
DV01 means, in respect of a Replacement Reference Entity or a Replaced Reference Entity on any Business Day, an amount equal to the product of:
DV01 means, with respect to a Transaction and any date of determination, the estimated change in the Secured Party’s Transaction Exposure with respect to such Transaction that would result from a one basis point change in the relevant swap curve on such date, as determined by the Valuation Agent in good faith and in a commercially reasonable manner. The Valuation Agent shall, upon request of Party B, provide to Party B a statement showing in reasonable detail such calculation. “Exposure” has the meaning specified in Paragraph 12, except that after the word “Agreement” the words “(assuming, for this purpose only, that Part 1(f) of the Schedule is deleted)” shall be inserted. “Local Business Day” means: any day on which (A) commercial banks are open for business (including dealings in foreign exchange and foreign currency deposits) in New York and the location of Party A, Party B and any Custodian, and (B) in relation to a Transfer of Eligible Collateral, any day on which the clearance system agreed between the parties for the delivery of Eligible Collateral is open for acceptance and execution of settlement instructions (or in the case of a Transfer of Cash or other Eligible Collateral for which delivery is contemplated by other means a day on which commercial banks are open for business (including dealings in foreign exchange and foreign deposits) in New York and the location of Party A, Party B and any Custodian. “▇▇▇▇▇’▇ First Trigger Event” means that no Relevant Entity has credit ratings from ▇▇▇▇▇’▇ at least equal to the ▇▇▇▇▇’▇ First Trigger Ratings Threshold. “▇▇▇▇▇’▇ First Trigger Credit Support Amount” means, for any Valuation Date, the excess, if any, of