STPP tries to reflect the performance of the Barclays US Treasury 2Y/10Y Yield Curve Index, which captures the returns that are available from a “steepening” U.S. Treasury yield curve. The ETN has a 0.75% expense ratio.
A curve steepener trade utilizes derivatives, or futures, to capitalize on a widening yield difference that occurs due to an increasing yield curve between two Treasury bonds with varying maturities.
The fund takes a weighted “long” position in 2-year Treasury futures contracts and a weighted “short” position in 10-year Treasury futures. As of May 31, the STPP had 76.8% in 2-year Treasuries and 23.3% in 10-year Treasuries.
For more information on Treasuries, visit our Treasury Bonds category.
Max Chen contributed to this article.