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Related Security Spread Futures

Related Security Spread "RSS" Futures

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 of the 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 replaces the need to execute 2 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 exchange-traded and centrally cleared products, 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.

Your key benefits

  • RSS Futures replaces the need to execute 2 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 div 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

Presentation: RSS Futures

RSS Futures replace the need to execute 2 stock legs simultaneously (plus an FX layer). See our sales presentation to learn more.

Interview on RSS Futures

RSS futures were introduced on Eurex in June 2020. We sat down with Richard Aked, Global Head of Systematic Alpha at Maven Securities to get insights into this relatively new class of products' benefits and potential.



Dorte Carlsen

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

Equity & Index Product Design 

Nicolae Raulet

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


Cora Meinecke

T +49 69 211-1 34


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