23 Jul 2020

Eurex, Eurex Clearing

Eurex’s new Related Security Spread Futures (RSS) – an update

At the end of June, Eurex launched its RSS Futures offering – a listed solution for relative value trades in related securities, a core hedge fund strategy. Here’s a short update on the main facts around these new products.

What are RSS Futures about? 
Related Security Spread or RSS Futures are contracts on a specific spread ratio index. iSTOXX Spread Ratio indices aim to offer exposure to the relative value spread, which is defined as the ratio between two securities that are related to the same company. This new and innovative product allows investors to trade the spread between related securities, such as dual listings or different share classes, in a more elegant and efficient way.

What are their key benefits?
RSS Futures offer investors ease of execution due to the replacement of the need to execute two stock legs simultaneously (plus an FX layer). Additional benefits are cash settlement, fixed notional FX neutral exposure, reduced costs and increased transparency. As a centrally cleared product it also benefits from independent mark-to-market valuation and substantially reduced counterparty risk.

Are there any promising developments?
Orderbook prices are available for 22 pairs with 100-200k notional at a spread of 0.5-1 index point, provided by our partner and Market Maker, Maven Securities. Various trades have been executed in the first weeks of listing. Our key priority is to make end users aware of the added benefits of the new, listed alternative and provide clear, transparent information on key product features.
 

 

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