17. For details, see Ben Dor, Hyman, Polbennikov, and Rosten, “Hedging Pairwise CDS Trades Using DTS.”

18. If the duration is the same on both sides of the trade, then matching duration × notional × spread will be the same as matching notional × spread, which is exactly the way the monthly premium payments on the CDS are calculated. This means that the monthly premium flows on the two legs of the trade will exactly cancel each other out, and the total return of the trade will be entirely based on spread change.

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