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If one is flattening 5s10s swap curve ( Paying 5y swap / Receiving 10y swap) and then hedges by steepening 5s10s Tsy curve ( Buying 5s / Selling 10s) which is equivalent to Buying 5y spreads and selling 10 spreads i.e selling 5s10s spread curve - is this called Steepening the 5s10s spread curve or flattening it?

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I wouldn't say "flattening" (for the ASW box), but if someone else did this is what I would assume - selling the box. But it's not a good assumption as there is not an official term. When referring to 5s10s swaps, I would say "receiving 5s10s" for your trade, for the ASW side I would say "selling the 5s10s box" or "receiving the box". In the interdealer market to achieve this I would say "5s10s box -4.0 offer"

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  • $\begingroup$ Thanks! Appreciate it! $\endgroup$
    – CurveGamma
    Commented Nov 25 at 13:17
  • $\begingroup$ I have another good one for you here :) $\endgroup$
    – Jan Stuller
    Commented Nov 27 at 22:24

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