t earned from the settlement of the contract. Tracking a Par/Par Asset S wap trade One attractive feature of t he par/par trade is that its performance is simple to track. T he spread is always calculated on a swap of par notional, so <span>if we par/par s wap a bond at a spread of -40 bp ( we receive floating less 40 bp) and this spread moves to -35 bp, we can unwind the pos ition by paying on a swap of the same notio nal and pay floating less 35 bp to lock in a loss of 5 bp running. One problem with the methodolo g y is that the trade is not duration hedged. This means that the P&L will vary with outright market level, i.e., the par /par spread is directio