In this workout, we are told that a hedge fund puts on the following trade short at the money six month, two year payer in $430 million with a delta of $40,000 and long at the money six month, 10 year payer in $100 million, also with a delta of 40,000.

We're then asked a series of questions.

The first one is, what is the net delta on trade date? Well, that would be zero because the hedge fund is long, 40,002 year and short 40,010 year.

The next question is, what is the trader's curve position? The trader is long, two tens in 40 K of delta.

So this is a two tens steeper.

Now this position is called a bear steeper, and we need to explain why.

Well, that's because through the short position in the two year payer, the trader is effectively long six month, two year rates and the long position in the 10 year payer.

So they effectively short six month tenure rates.

The hedge fund is long twos tens, so they're positioned to benefit from the curve steepening.

As the trade uses payer swaptions and the hedge fund is short.

The six month, two year payer and long the six month tenure payer, it's effectively a bet that two year rates won't rise too much or even fall, and 10 year rates will rise more so together this trade benefits from a steepening curve driven by rising long end rates, which is a bare steepening.