What are the various CMS strategies for curve steepening/flatenning

pusher · February 5th, 2006, 8:42 pm

thanks,p

richbrad · February 7th, 2006, 10:48 am

Try simple trades like err.....3 x (10y EUR CMS - 2y EUR CMS) for a curve steepeningor 10% - 3 x (10y EUR CMS - 2y EUR CMS) for curve flattening!!!

johnself11 · February 8th, 2006, 3:33 am

basically, whenever you receive CMS against a short rate such as LIBOR, you benefit from the steepening of the curve, as your receive leg adjusts to the rising long rate vs the short rate you are paying....