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Related Security Spread Futures

Facilitate Relative Value trades in an innovative and efficient way                            

Related Security Spread “RSS” Futures are futures contracts on a specific spread ratio index. The 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 and is measured using five-day moving averages. Each index family consists of two securities, referred to as leg A and leg B. The composition of each index is fixed over time.

Executing the components of a spread exposes end-users to market moves, requires sophisticated execution systems and has high trading and holding costs. RSS Futures replace the need to execute two stock legs simultaneously (plus an FX layer). End clients benefit from ease of execution, obtain fixed notional / FX neutral exposure, reduced costs and increased transparency.

As an exchange-traded and centrally cleared product, our RSS Futures offer added benefits in terms of independent mark-to-market valuation and substantially reduced counterparty risk due to Eurex Clearing acting as the central counterparty.


Key benefits

  • RSS Futures replace the need to execute two stock legs simultaneously (plus an FX layer)
  • Ability to leave limit orders at set spread levels
  • Equal notional spread exposure equivalent to a daily adjusted equal notional trade in both legs
  • RSS Futures will incorporate market-implied funding cost and achieve better-implied dividend level
  • Transparent marketplace with on-screen liquidity provided by market makers 
  • Correct spread level is more observable in a liquid RSS futures market
  • Daily settlement prices provided by the exchange

Products

Video series

Related Security Spread Futures: What you need to know

The video describes the key benefits of Related Security Spread Futures (RSSF) and what else you need to know about this listed product. An example illustrates a special use case of RSSF which allow to trade spreads between two listing of the same company but through a single instrument.

RSSF: Use cases and trading strategies

In this video, Richard Aked from Maven talks about use cases of trading Related Security Spread Futures.

RSSF: Market liquidity and future outlook

Liquidity is one of the most important factors for clients. Richard Aked explains how much liquidity is available in the market and gives a brief outlook on how the market and the product Related Security Spread Futures will evolve in the coming year.

Contact

Sales

Dorte Carlsen

T +44 (0)207 8 62-72 17

dorte.carlsen@eurex.com

Equity & Index Product Design 

Nicolae Raulet

T +44 (0)207 8 62-72 74

Marketing

Cora Meinecke

T +49 69 211-1 34

cora.alexandra.meinecke@eurex.com