ULBRVelocityShares Long LIBOR ETN
ULBR Fund Description
ULBR tracks the daily change in the forward 3-month USD LIBOR, as determined by Eurodollar futures.
ULBR Factset Analytics Insight
A complicated investment, ULBR tracks an index that aims to synthetically reproduce the day-to-day change in 3-month USD LIBOR. The note functions as a bet on LIBOR itself; for example, if LIBOR increases from 2% to 2.2%, ULBR should rise by 10% (subject to fees and contango effects). To replicate the daily performance of LIBOR, the note shorts a ladder of Eurodollar futures with a weighted average tenor of one year. Therefore, the note does not track current LIBOR, but an average of forward LIBOR rates implied by the futures ladder.To avoid increased volatility when rates are low, positions are subject to a floor rate of 1%. If rates fall below this floor, the note will proportionally gear down its exposure to the index. In this way, it uses leverage in a variable manner, subject to daily fluctuations. Like all leveraged ETPs, the note will experience path-dependency effects when rates are below the 1% floor. Because forward LIBOR is derived from futures prices, ULBR is also subject to the effects of contango, which can severely erode long-term returns. In addition to its expense ratio, the note charges a spread fee to simulate the cost of rolling the futures contracts. This fee is fixed, and so will have a greater effect when rates (and the note’s value) are low.ULBR is a pricey and complex investment, yet offers a unique take on interest rates. Due to high fees, the inherent volatility of LIBOR, often-steep contango effects, and the potential for path-dependency effects, investors should trade with caution and use this as a short-term instrument only. As an ETN, ULBR is subject to the credit risk of Citigroup.
ULBR CHARTS AND PERFORMANCE
ULBR Portfolio Data
ULBR Index Data
ULBR Fund Structure
ULBR Tax Exposures
ULBR Factset Analytics Block Liquidity
This measurement shows how easy it is to trade a $1 million USD block of ULBR. ULBR is rated a N/A out of 5.