Nu Asset Management expanded fixed income options on B3 with the launch of three new inflation-linked ETFs: NB0211, NB0511, and NB1011. The funds offer exposure to IPCA-indexed government bonds (NTN-Bs) and launch a new index family developed by the Brazilian stock exchange, focused on maintaining a specific time horizon for the investor.
The Advantage of Constant Duration
The main feature of the new funds is maintaining a constant duration (weighted average term) of two, five, and ten years, respectively.
In more traditional inflation ETFs available in the market—which track broad indices such as the IMA-B or IMA-B 5+—the portfolio’s duration undergoes natural fluctuations over time as bonds age and the National Treasury issues new debt. In Nu Asset’s products, the portfolio undergoes automatic periodic rebalancings to anchor the portfolio’s sensitivity to the chosen timeframe, preserving the risk profile required by the investor.
Portfolio Composition
To hit the target duration, each ETF has a lean portfolio made up of five federal government bonds (NTN-Bs):
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Anchor Bond (50%): Half of the assets are allocated to the bond with the maturity closest to the desired duration.
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Complementary Bonds (50%): The remainder is distributed among four neighboring bonds on the yield curve, selected based on liquidity criteria (average traded volume), which optimizes transaction costs during position building and unwinding.
The strategy allows investors to access precise points on the real yield curve without the need for manual rolling of government bonds, avoiding spread payments (the difference between bid and ask prices) with each adjustment, since the ETF manages this internally.
Costs, Liquidity, and Taxation
The three funds arrive on B3 with an overall management fee of 0.19% per year, free of performance fees. The initial share price was set around R$ 50, with settlement liquidity at D+1.
Tax-wise, fixed income ETFs follow the rules of Law 13,043/2014, which gives these assets two distinct features compared to traditional funds and direct purchases through Tesouro Direto:
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No come-cotas [semi-annual tax drag]: Tax is not pre-collected semi-annually, allowing the full principal to continue compounding interest.
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Flat 15% tax rate: Taxation occurs only at the time of share sale, regardless of the holding period. In direct purchases of Tesouro IPCA+, the 15% rate is only achieved after holding for two years.
