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iSwap Venue Fee Structures and Incentives July Oct 2022

Document Version 2.76 © iSwap Euro BV 2021-2022

TP ICAP Classification: Public

Version Effective Date Sections Changed Summary Changes Owner

V2.6

V2.7

July 2022

Oct 2022

1.9 MMP Criteria

1.9 MMP Criteria

Addition of volatile market 

Spreads for EUR MMP

Update to volatile market 

Spreads for EUR MMP

CCO

CCO

iSwap Euro BV SEF/MTF 

Fee Structures and Incentives 

Applicable from 1 July Oct 2022
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iSwap Venue Fee Structures and Incentives July Oct 2022

Document Version 2.76 © iSwap Euro BV 2021-2022

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Contents

INTRODUCTION 3

1.1. General 3

1.2. Execution Fees 3

1.3. Discounts/Incentives 3

1.4. Co-Location 3

ISWAP SEF/MTF 4

1.5. Tradable Instruments 4

1.6. Access Fees 5

1.7. Execution Fees 7

1.8. Discount Structure 78

1.9. Market Maker Programme Criteria 89
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iSwap Venue Fee Structures and Incentives July Oct 2022

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INTRODUCTION

1.1. General

The fees payable by a venue user 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://tpicap.com/regulatory-hub/iswap-euro-mtf-sef

Venue users 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 venue.

1.3. Discounts/Incentives

If the execution fees incurred by a venue user 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 venue user in the relevant month. 

1.4. Co-Location

Operator has outsourced the hosting of its servers to Equinix UK. The iSwap Venue does not offer colocation 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 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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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 iSwap 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 iSwap 

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 iSwap 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 Venue. 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 iSwap 

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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Category Monthly Fee Eligible 

Products

Additional Information

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 iSwap 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 

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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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

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)

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 

25% Discount on Orderbook Trades 0.00015% p.a.
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iSwap Venue Fee Structures and Incentives July Oct 2022

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equivalent 

notional traded

>€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.

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

alternatives. In addition, when the operator has declared a volatile market, under MMP1 a market maker may replace 

A-EUR 2Y with A-EUR 7Y as an alternative. Under MMP2, a market maker may replace A-EUR 2Y with A-EUR 7Y as an 

alternative, provided this substitution still allows for the streaming of 7 qualifying instruments. 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:

• 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, 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.

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 1.3bp

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 1.3bp

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

Formatted: Font: 8 pt
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iSwap Venue Fee Structures and Incentives July Oct 2022

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TP ICAP Classification: Public