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. <span>This means that the P&L will vary with outright market level, i.e., the par /par spread is directional. The exposure is bullis h. Another problem is that the spread UST 11.25% 2/15/15 $158.00 (initial payment) $58.00 (initial payment) 11.25% (S/A Act/Act) (coupon payment s) 11.25
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