1 

iSwap VenueEuro SEF/MTF Fee Structures and Incentives June 

2021July 2022

Document Version 2.46 © iSwap Euro BV 2020-2021-2022

TP ICAP Classification: Public 

Version Effective Date Sections Changed Summary Changes Owner

V2.6 July 2022 1.9 MMP Criteria Addition of volatile market 

Spreads for EUR MMP 

CCO 

iSwap Euro BV SEF/MTF 

Fee Structures and Incentives 

Applicable from 1 July 20212022
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iSwap VenueEuro SEF/MTF Fee Structures and Incentives June 

2021July 2022 Document Version 2.46 © iSwap Euro BV 2020-2021-2022

TP ICAP Classification: Public 

Contents 

INTRODUCTION 33

1.1. General 33

1.2. Execution Fees 33

1.3. Discounts/Incentives 33

1.4. Co-Location 33

ISWAP SEF/MTF 44

1.5. Tradable Instruments 44

1.6. Access Fees 55

1.7. Execution Fees 77

1.8. Discount Structure 88

1.9. Market Maker Programme Criteria 99

 
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iSwap VenueEuro SEF/MTF Fee Structures and Incentives June 

2021July 2022 Document Version 2.46 © iSwap Euro BV 2020-2021-2022

TP ICAP Classification: Public 

INTRODUCTION 

1.1. General 

The fees payable by a vVenue uUser will be calculated monthly in arrears and are payable upon 

presentation of an invoice. For further details on payment of fees please refer to the iSwap Euro B.V. 

Terms of business on our website: 

https://regulatory.tpicap.com/icap/uk/iswapmtfhttps://tpicap.com/regulatory-hub/iswap-euro-mtf-sef 

Venue uUsers are responsible for the payment of any applicable taxes and charges of any public agency 

or authority, including without limitation any financial transactions tax or value added tax. 

1.2. Execution Fees 

Transactions arranged within the venue will be subject to an execution fee, as specified for the relevant 

product in 1.7 Execution Fees for each market segment of the vVenue. 

1.3. Discounts/Incentives 

If the execution fees incurred by a vVenue uUser exceed the discount thresholds specified for the 

relevant product in 1.8 Discount Structure, then the discounts shown shall be applied to the execution 

fees payable by the vVenue uUser in the relevant month. 

1.4. Co-Location 

Operator has outsourced the hosting of its servers to Equinix UK. The iSwap SEF /EU MTF / SEFVenue

does not offer co-location services to platform Participants. 
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ISWAP SEF/MTF 

1.5. Tradable Instruments 

Trading is permitted in the IRD Segment in the following Tradable Instruments: 

Financial Instruments Parameters 

Interest Rate Swap Fixed/Floating, 

Single Currency Basis Swap GBP: Floating/Floating Single Ccy Basis, 

EUR: Traded as Two Fixed/Floating Swaps 

FRA Forward Rate Agreements 

Overnight Index Swap Overnight Index Swaps

Trading is permitted in the IRD Segment in the following types of Transactions (including 

Package Transactions): 

Transaction Types Parameters (where applicable)

Outright A Transaction in a single interest rate 

instrument from the list of Tradable Instruments 

above (“Interest Rate Products”) 

Curve Spread A Transaction in two Interest Rate Products of 

differing tenors

Basis Spread A Transaction in two Interest Rate Products of 

the same tenor 

Butterfly A Transaction in three Interest Rate Products of 

differing tenors 

Interest Rate Swap & Future Strategies An interest Rate Product transacted as a 

package with a futures instrument transaction 
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iSwap VenueEuro SEF/MTF Fee Structures and Incentives June 2021July 2022 Document Version 2.46 © iSwap Euro BV 2020-2021-2022

TP ICAP Classification: Public 

1.6. Access Fees 

Category Monthly Fee Eligible 

Products 

Additional Information

Member Participant - i-Swap 

Front End GUI User 

N/A All electronic 

products 

Entitles access for up to 15 Authorised 

Traders through the i-Swap Front End GUI. 

Member Participant - Application Programming 

Interface ("API") Full Usage 

including right to derive from 

data 

EUR 15,000 

(from March 1st 

2018) 

All electronic 

products 

Entitles connection via an API. Usage of data 

is subject to i-Swap Euro BV MTF Market 

Data Licence (Derive from API data). Under 

this agreement, data from the API may be 

aggregated and used to create Derived data 

for redistribution internally to authorised 

Member Participant users. Data may also 

be commingled with data from other 

sources. For a full description please see 

Market Data Licence. 

Fee entitles up to 75 Authorised Traders 

within a Member Participant. Minimum Fee 

offset against net brokerage paid to i-Swap 

Euro BV within the calendar month by 

Member Participant 

Member Participant - Application Programming 

Interface ("API") Full Usage 

excluding right to derive 

from data 

EUR 7,500 (from 

March 1st 2018) 

All electronic 

products 

Entitles connection via an API. Usage of data 

is subject to i-Swap Euro BV MTF Market 

Data Licence (commingle API data). Under 

this agreement, data from the API may be 

commingled with other data, however. it 

may not be used to create Derived data, 

except for the purposes of trading on the iSwap Euro platformVenue. For a full 

description please see Market Data Licence 

Fee entitles up to 75 Authorised Traders 

within a Member Participant. Minimum Fee 

offset against net brokerage paid to i-Swap 

Euro BV within the calendar month by 

Member Participant 

Member Participant - Application Programming 

Interface ("API") access for 

the purposes of Liquidity 

Provision to the Targeted 

Streaming Market 

N/A Targeted 

Streaming 

Market 

Connection via an API for the purposes of 

Liquidity Provision on the Targeted 

Streaming Market. 

Entitles up to 20 Authorised Traders within a 

Member Participant. 

Member Participant - Application Programming 

Interface ("API") access for 

the purposes of Trade 

Straight Through Processing 

N/A All electronic 

products 

Connection via an API for the purposes of 

Trade Straight Through Processing. 

Entitles up to 5 of Authorised STP logins 

within a Member Participant. 
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iSwap VenueEuro SEF/MTF Fee Structures and Incentives June 2021July 2022 Document Version 2.46 © iSwap Euro BV 2020-2021-2022

TP ICAP Classification: Public 

Category Monthly Fee Eligible 

Products 

Additional Information

Member Participant - Application Programming 

Interface ("API") Full Usage 

excluding right to derive 

from data for GBP market 

N/A GBP electronic 

products 

Connection via an API. Usage of data is 

subject to i-Swap Euro BV MTF Market Data 

Licence. Under this agreement, data from 

the API may be aggregated. However. it 

may not be used to create Derived data, 

except for the purposes of trading on the iSwap Euro platform. For a full description 

please see Market Data Licence 

Entitles up to 20 Authorised Traders within a 

Member Participant. 

Broker Participant - Application Programming 

Interface ("API") Orderbook 

access, Full Usage including 

right to derive from data 

EUR 35,000 All electronic 

orderbook 

products 

Connection via an API. Usage of data is 

subject to i-Swap Euro BV MTF Market Data 

Licence (Derive from API data). Under this 

agreement, data from the API may be 

aggregated and used to create Derived data 

for redistribution internally to authorised 

Broker Participant users. Data may also be 

commingled with data from other sources. 

For a full description please see Market Data 

Licence. 

Fee entitles access for up to 50 active 

Authorised Brokers through the i-Swap 

Front End GUI. 

Broker Participant with 

Application Programming 

Interface (“API”) Orderbook 

access, requiring processing 

of Future Cross transactions 

to the relevant exchange. 

EUR 15,000 All Future 

Cross Products 

Fee permits unlimited use of the iSwap 

EuroEU MTF Future Cross processing facility 

in eligible instruments for up to 100 

Authorised Brokers. An additional one-time 

technology set up fee may be applicable for 

additional exchanges other than Eurex. 

Minimum Broker participation period 1 year. 

 
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iSwap VenueEuro SEF/MTF Fee Structures and Incentives June 2021July 2022 Document Version 2.46 © iSwap Euro BV 2020-2021-2022

TP ICAP Classification: Public 

1.7. Execution Fees 

Product Currency Business Rate Measure Trade Execution Fee

Calculation Methodology 

FIXED/FLOATING 

SWAP , Swap v 

Futures Cross and 

EONIA - Orderbook 

Market 

EUR 0.0002 % pa Brokerage will be charged at the headline 

rate. For Basis, Brokerage will be charged at 

the headline rate on one leg only, with the 

remaining leg being nett of brokerage 

(Zero Brokerage). Calculation method for 

Spread and Butterfly trades detailed below. 

Member Participant (API) 25% discount 

applied to FIXED/FLOATING SWAP 

Orderbook Market (0.00015) 

Single Currency Basis 

Swap (as two swaps) 

- Orderbook Market 

EUR 0.0001 % pa

FIXED/FLOATING 

SWAP , Swap v 

Futures Cross and 

Basis - Targeted 

Streaming Market 

EUR 0.0001 % pa

FIXED/FLOATING 

SWAP - Orderbook 

Market 

GBP 0.0003 % pa Brokerage will be charged at the headline 

rate. Calculation method for Spread and 

Butterfly trades detailed below. 

OVERNIGHT INDEX 

SWAP – Orderbook 

Market 

GBP 0.0003 % pa

FLOATING/FLOATIN

G SWAP - Orderbook 

Market Single 

Currency Basis 

GBP 0.0003 % pa

FIXED/FLOATING 

SWAP - Orderbook 

Market Future Yield 

Spread instrument 

GBP 0.00015 % pa Brokerage will be charged at the headline 

rate. 

OVERNIGHT INDEX 

SWAP – Orderbook 

Market Future Yield 

Spread Instrument 

GBP 0.00015 % pa Brokerage will be charged at the headline 

rate. 

Trade Execution Fees for Strategy Trades (Note C)

Spread Trades

Pay on the lower notional on the gap using the standard IRS Rate

Bro Rate Headline IRS RATE as detailed above

Amount Longer Duration Leg Notional

Swap Rate Longer Duration Leg

Tenor Gap Between Near/Far

NPV No NPV

Butterfly Trades

Butterflies will be charged at the sum of two spreads (using 1⁄2 the notional of the body for consideration in each 

spread) 
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iSwap VenueEuro SEF/MTF Fee Structures and Incentives June 2021July 2022 Document Version 2.46 © iSwap Euro BV 2020-2021-2022

TP ICAP Classification: Public 

1.8. Discount Structure 

Monthly EUR discount is applied based upon the following thresholds, with the 10 year equivalent notional of each 

trade considered. This will include all legs of Spreads and Butterflies, and trades in the Targeted Streaming market. 

Threshold Discount Equivalent Rate

€ 0 – 5,000,000,000 

10 year 

equivalent 

notional traded

No Discount 0.0002% p.a.

Member Participant API 0.00015% p.a. 

€ 5,000,000,001 – 10,000,000,000 

10 year 

equivalent 

notional traded

25% Discount on Orderbook Trades 0.00015% p.a. >€10,000,000,00

0 

10 year 

equivalent 

notional traded

50% Discount on Orderbook Trades

This will be the discount floor 

0.0001% p.a.

Monthly GBP discount is applied based upon the following thresholds, with the 10 year equivalent notional of each 

trade considered. This will include all legs of Spreads and Butterflies. The Rate Floor for Futures Yield Spread 

Instrument is 0.00015% p.a 

Threshold Discount Equivalent Rate

£ 0 – 500,000,000

10 year 

equivalent 

notional traded

No Discount 0.00030% p.a.

£500,000,001- 1,000,000,000 

10 year 

equivalent 

notional traded

17% Discount 0.00025% p.a.

> £1,000,000,000

10 year 

equivalent 

notional traded

33% Discount

This will be the discount floor 

0.00020% p.a.
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iSwap VenueEuro SEF/MTF Fee Structures and Incentives 

June 2021July 2022

Document Version 2.46 © iSwap Euro BV 2020-2021-2022

TP ICAP Classification: Public 

1.9. Euro Market Maker Programme Criteria 

*Under MMP2 a market maker may replace both 5Y and 10Y Gadget with both A-EUR 7Y and A-EUR 30Y as

alternatives. For the purposes of the API discount, Market Makers who quote all 9 MMP2 instruments, their highest 7 

ranked instruments will be taken into account. 

Market Makers shall provide the Order Book with an Executable Price Stream for at least 70% of the Monitored 

Trading Day, averaged over each calendar month, or 50% in a month where the Operator has declared a volatile 

market. 

Market Makers qualifying for MMP2 will also be ranked according to three equally weighted criteria: 

Programme Instrument Bid/Offer 

spread (b.p) 

Size (longer leg 

of spread)

Discount to Headline 

Rate

Volatile Market 

Bid/Offer 

spread (b.p) 

Market Maker Programme 1 (MMP1) 37.5% (0.000125% pa)

A-EUR 2Y 0.45bp 100m 1.0bp

A-EUR 5Y 0.5bp 50m 1.0bp

A-EUR 10Y 0.5bp 25m 1.0bp

After € 5,000,000,000 10Y CLOB equivalent notional traded in a month

50% (0.0001% pa) on 

trades transacted after 

the volume threshold

Market Maker Programme 2 (MMP2) 50% (0.0001%) 

A-EUR 2Y 0.45bp 100m 1.0bp

A-EUR 5Y 0.5bp 50m 1.0bp

A-EUR 10Y 0.5bp 25m 1.0bp

A-EUR 5Y Spot Bobl.sofc* ("5Y Gadget") 0.5bp 50m 1.0bp

A-EUR 10Y Spot Bund.sofc* ("10Y Gadget") 0.5bp 25m 1.0bp

A-EUR 5Y-10Y.sp 0.6bp 25m 1.0bp

A-EUR 10Y-30Y.sp 1.0bp 10m 1.5bp

A-EUR 7Y* (alternative to 5Y Gadget) 0.5bp 35m 1.0bp

A-EUR 30Y* (alternative to 10Y Gadget) 1.0bp 10m 1.5bp

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iSwap VenueEuro SEF/MTF Fee Structures and Incentives 

June 2021July 2022

Document Version 2.46 © iSwap Euro BV 2020-2021-2022

TP ICAP Classification: Public 

 Percentage of Monitored Trading day at Top of Book;  Percentage of Monitored Trading Day when quote compliance is achieved;  Average bid/offer spread when quote compliance is achieved. 

A rank will be calculated for each MMP2 instrument, based on the above criteria and then one overall rank 

across the top 7 instruments quoted. A rank tie will be resolved by Percentage of Monitored Trading Day at 

Top of Book. 

The number one overall ranked Qualifying Market Maker receives a 100% discount on their API Data license 

fee for that month. The second qualifying Market Maker will receive a 50% discount. 

A Market Maker will be deemed to have met the qualifying Bid/Offer spread for any Programme Instrument if either 

its Bid or Offer is at the best price level, so long as the aggregate iSwap orderbook Bid/Offer spread in the 

Programme instrument at that time is no greater than the qualifying Bid/Offer Spread. 

A Participant will not qualify as compliant with the Programme Eligibility Criteria if utilising an algorithmic “follow” 

routine which largely applies a simple arithmetical spread to the existing aggregate bid offer values available on the 

Programme Instruments, in order to achieve programme compliance. 

Monitored Trading Day is 9am – 6pm Central European time. 
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June 2021July 2022

Document Version 2.46 © iSwap Euro BV 2020-2021-2022

TP ICAP Classification: Public 

GBP Market Maker Programme Criteria 

Market Makers may sign up to any or all the available Market Making Programmes: GMMP1, GMMP2, and 

GMMP3. 

Programme Instruments starting with A-GBPOIS refer to GBP swaps vs SONIA; and Programme Instruments 

starting with A-GBP refer to GBP swap vs LIBOR. 

A Market Maker will be deemed to have met the qualifying Bid/Offer spread for any Programme Instrument 

if either its Bid or Offer is at the best price level, so long as the aggregate iSwap orderbook Bid/Offer spread

in the Programme instrument at that time is no greater than the qualifying Bid/Offer Spread. 

All Orders in Programme Instruments for the relevant GBP Market Maker Programme can be given 

automatic One Cancels Other (OCO) protection. Alternatively, a Market Maker can manage this themselves. 

A Participant will not qualify as compliant with the Programme Eligibility Criteria if utilising an algorithmic 

“follow” routine which largely applies a simple arithmetical spread to the existing aggregate bid offer values 

available on the Programme Instruments, in order to achieve programme compliance. 

Monitored Trading Day is 10am – 5:15pm Central European time. 

Market Makers shall provide the Order Book with an Executable Price Stream for at least 70% of the 

Monitored Trading Day, averaged over each calendar month. 

Market Maker 

Programme Programme Instrument Bid/Offer spread (b.p) 

Size (longer leg 

of spread) Discount

GBP Market Maker 

Programme 1 (GMMP1)

100% (0.0% pa) on all Direct 

GBP OVERNIGHT INDEX SWAP 

Transactions <= 1Y maturity 

A-GBPOIS 1M 1.0bp 500m

A-GBPOIS 3M 1.0bp 300m

A-GBPOIS 6M 1.0bp 150m

GBP Market Maker 

Programme 2 (GMMP2)

50% (0.00015%) discount on 

all direct GBP 

FIXED/FLOATING SWAP and 

FLOATING/FLOATING SWAP 

Orderbook Trades **

A-GBP 2Y 1.0bp 50m

A-GBP 5Y 1.0bp 20m

A-GBP 10Y 1.0bp 10m

A-GBP 10Y-30Y.sp 1.5bp 5m

GBP Market Maker 

Programme 3 (GMMP3)

50% (0.00015%) discount on 

all direct GBP OVERNIGHT 

INDEX SWAP Transactions > 

1Y Maturity **

A-GBPOIS 2Y 1.0bp 50m

A-GBPOIS 5Y 1.0bp 20m

A-GBPOIS 10Y 1.0bp 10m

A-GBPOIS 10Y-30Y.sp 1.5bp 5m

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