Ossiam launches ETF to play long/short with US yield curve

Paris-based Ossiam has launched an ETF designed to benefit from a possible steepening of the US yield curve.

The Ossiam US Steepener UCITS ETF is available on Deutsche Börse Xetra and tracks the Solactive US Treasury Yield Curve Steepener 2-5 vs 10-30 Index.

The strategy of the index involves a long position in two-year and five-year US Treasury bond futures and a short position in ten-year and 30-year US Treasury bond futures.

To harvest further performance from the movement of the US Treasury yield curve, which is currently flat, Solactive said the index is equipped with a “multiplier leveraging on both directions the action of the yield curve by a factor of ten”.

Timo Pfeiffer, head of research at Solactive, said: “This is a timely launch of this ETF, considering the yield curve is at its flattest for over a decade. Depending on how the Fed’s interest rate decision plays out compared to market expectations, optimistic investors could generate returns for their fixed income portfolio and place strategic positions.”

Earlier this month, Solactive supplied the underlying index for another US Treasury bond futures ETF when Lyxor launched the Lyxor US Curve Steepening 2-10 ETF, said to be the first US Treasury “Steepener” ETF in Europe and tracking the Solactive USD Daily (x7) Steepener 2-10 Index, which also involves long and short positions. The ETF was listed in London.

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