TP ICAP Classification: Internal

iSwap Euro B.V. Trade Review and Error Policy

Market Appendix 5 to the Venue Rulebook - Trade Review and Error 

Policy

Version Effective Date Sections Changed Summary Changes Owner

12 May 2021 Application Filing None CCO

V2.0 Feb 2022 Conforming changes for 

Venue

CCO
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TP ICAP Classification: Internal

1. Objective......................................................................................................................................... 3

2. Additional Definitions..................................................................................................................... 3

3. Trade Reviews................................................................................................................................. 4

3.1 General....................................................................................................................................4

3.2 Market Control Procedure......................................................................................................4

4. Errors............................................................................................................................................... 5

4.1 Determination of Error Trades................................................................................................5

4.2 Determination of Error Orders................................................................................................6

4.3 Determination of clerical or other error.................................................................................6

5. Cancellation of Error Trades 6

5.1 Procedure for cancelling Error Trades....................................................................................6

6. Procedures for correcting errors.................................................................................................... 7

6.1 Correcting Error Trades...........................................................................................................7

7. Authority Regarding Cancellations, Price Adjustments and New or Offsetting Transactions........ 9

Market Appendix 5 – Trade Review and Policy

1. Objective

This Policy is issued pursuant to the iSwap Venue Rulebook, the Market Appendices and the 

Agreements. The purpose of this Policy is to set out the policies and procedures that iSwap Euro B.V. 

(Operator) may consider and employ when handling Trade cancellations and Trades executed on the 

iSwap Venue in error. The aim is to ensure that such Trades are dealt with in a quick, efficient, 

transparent and fair way for the parties involved with the least possible disruption to the integrity of 

the market at large.

In the event of conflict between the iSwap Venue Rulebook, the Market Appendices and the 

Agreements, the following order of precedence shall apply to the extent of any inconsistency: 1. this 

Policy; 2. the applicable Market Appendix; 3. the Rulebook and 4. the Agreements.

2. Additional Definitions

In this Policy, terms not defined shall have the meanings given to them in the iSwap Venue 

Rulebook. In addition, the following words and expressions have the following meanings: 

Error Orders: An Order that exceeded the Market Level Parameters or Maximum Overlap at the time

a User attempted to submit it, including Implied Orders that exceed the Market Level Parameters or

Maximum Overlap at the time they are generated. 
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TP ICAP Classification: Internal

Error Trade: A Trade outside the Market Level Parameters or the result of an Error Order.

Fair Market Price: will be determined according to the context of the market at the time the Order 

was entered onto the iSwap Venue and is the price of an Eligible Instrument that is derived by 

calculating the average of prices obtained by:

a) Referencing applicable Trades, Orders and the Market Mid-Price of the Order Book; and

b) Referencing the mid of indicative prices published by ICAP via its market data vendors

Market Level Parameters: a deviation from Fair Market Price in relation to any relevant Eligible 

Instrument of: 

a) For EUR IRS, OIS or OIS/FRA spread maturities of up to and including 2 years, greater than 

0.6 basis points. 

b) For EUR IRS or OIS maturities of greater than 2 years, greater than 0.6 basis points.

c) For GBP IRS or OIS maturities of up to and including 2 years, greater than 1 basis point; and 

d) For GBP IRS or OIS maturities of greater than 2 years, greater than 1.5 basis points.

Maximum Overlap: Maximum overlap of bid and offer orders in basis points, which may be rejected 

by the platform, to prevent disruptive trading.

Market Alert: A message sent via the platform to all connected Market Authorised Users

3. Trade Reviews 

3.1 General

3.1.1 Where a Participant has entered into a Trade in error, it may request that the Operator

review the transaction.

3.1.2 A Participant (the "Requesting Participant") shall notify the Operator of a request to 

cancel or revise the terms of a Trade (the "Relevant Trade") within 10 minutes from the 

time of execution of the Relevant Trade. If the Operator receives such a request later 

than 10 minutes from the time of execution, the Requesting Participant acknowledges 

that the Operator may, in its sole discretion, decline to review the transaction.

3.1.3 Where the Requesting Participant is the Broker Participant, the Operator will confirm

with the Member Participant, who is the counterparty to the Trade, that the review 

should proceed.

3.1.4 For the avoidance of doubt, a Participant is prohibited from submitting cancellations or 

corrections for the purpose of delaying the reporting of a Trade to an SDR. 
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TP ICAP Classification: Internal

3.2 Market Control Procedure

3.2.1 After receiving the request the Operator shall, provided that the review is consistent 

with the Operator's obligations to maintain an orderly market on the iSwap Venue, 

promptly inform the counterparty to the Relevant Trade (the "Other Participant") that 

the Relevant Trade is subject to a review and if the trade price is under review send a 

Market Alert.

3.2.2 Market Control will take the following actions as defined in Trade Cancellation Flow 

Diagram below.
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TP ICAP Classification: Internal

3.2.3 If a Market Alert was sent subject to 3.2.1 then Market Control will send a second 

Market Alert, depending upon their determination, informing Participants that either 

trade stands or is cancelled.

4. Errors

4.1 Determination of Error Trades

4.1.1 Operator will determine whether the Trade was executed outside the Market Level 

Parameters using the Fair Market Price as determined by Market Control.

4.1.2 If such Trade was executed outside the Market Level Parameters, the Operator will 

inform the Participants that such Trade is an Error Trade.

4.2 Determination of Error Orders

4.2.1 Operator will determine whether the Order submitted was outside the Market Level 

Parameters using the Fair Market Price as determined by Market Control.

4.2.2 If such Order was submitted outside the Market Level Parameters, the Operator will 

inform the Participants that any resulting Trade is an Error Trade.

4.2.3 Operator will determine whether the Order submitted was outside the Maximum 

Overlap as determined by Market Control.

4.2.4 If such Order was submitted outside the Maximum Overlap, the Operator will inform the 

Participants that any resulting Trade is an Error Trade.

4.3 Determination of clerical or other error

4.3.1 Operator will determine whether a Trade was executed, cleared or rejected for clearing 

as a result of errors including but not limited to,

i. the trading system, a Participant or Broker Participant made a material mistake 

or that a mistake occurred as a result of a malfunction in the trading system or 

by human error;

ii. the trading system, a Broker Participant or a Participant made a clerical or 

operating error or omission that caused a transaction to be rejected from 

clearing and void ab initio; or

iii. a Clearing Firm or DCO rejected a leg of a Package Transaction for clearing 

because of the sequencing of submission for clearing of the legs of the 

applicable Package Transaction.
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TP ICAP Classification: Internal

5. Cancellation of Error Trades

5.1 Procedure for cancelling Error Trades

5.1.1 If the Operator determines that a Trade is an Error as determined in 4.1.1, 4.2.1 or 4.2.3 it 

shall notify the counterparties to such Trade of its determination. The Operator shall use 

its reasonable endeavours to notify the counterparties to the Error Trade as promptly as 

possible but no later than 30 minutes from the time of execution of the Error Trade. If a 

counterparty has not been notified that a Trade has been determined to be Error Trade 

within 30 minutes of execution, such Trade shall not be considered an Error Trade.

5.1.2 The counterparties to an Error as determined in 4.1.1, 4.2.1, 4.2.3 or 4.3.1 shall take all 

such action required to effect the cancellation of the Error Trade. Failure by any Member 

Participant to comply with any instruction from the Operator to cancel, revise or reverse 

an Error Trade shall constitute a material breach of the Rulebook and the Agreements 

and the Operator shall be permitted to unilaterally cancel the Error Trade in accordance 

with Rule 16 of the Rulebook. 

5.1.3 Where Market Control has determined that the error is as determined in 4.3.1 (i), a 

report will be sent to the CCO describing the review to allow the CCO to evaluate if there 

is any potential evidence of manipulation. 

5.1.4 If Operator determines that an error has occurred as determined in 4.3.1 (i) the Operator 

may, in its sole discretion, decide to cancel or not cancel the trade.

6. Procedures for correcting errors

6.1 Correcting Error Trades

6.1.1 The procedures described in this policy are in accordance with NAL 17-27 & 20-01, 

expiring on the effective date of revised Commission regulations governing swaps with 

clerical and operational errors executed on a swap execution facility, and are limited to:

i. A Trade that was rejected for clearing and void ab initio because of a clerical 

or operational error or omission by the iSwap Venue or a Participant (a 

“Rejected Transaction”),

ii. A leg of a Package Transaction that was rejected for clearing because of the 

sequencing of submission for clearing of the legs of the applicable Package 

Transaction and only for such rejected leg (a “Rejected Leg”), and

iii. A Trade that is carried on a DCO’s books as a result of a clerical or operational 

error or omission by the iSwap Venue or a Participant that was not identified 

until after the Trade had been cleared (an “Erroneously Cleared Transaction”),

in each case where the Operator has affirmatively determined that the transaction or a 

term thereof resulted from an error.
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TP ICAP Classification: Internal

6.1.2 For Rejected Transactions and Rejected Legs, if a Participant or Clearing Firm believes 

that a transaction qualifies as a Rejected Transaction or a Rejected Leg, such Participant 

or Clearing Firm shall request review of the transaction pursuant to this policy.

i. Upon completion of the review of the transaction pursuant to this policy, if 

Operator determines that an error resulted in a Rejected Transaction or a 

Rejected Leg and:

 If the Operator is able to determine how to correct the error, the 

Operator shall execute a new Trade with the same terms as the 

Rejected Transaction or Rejected Leg, other than the error, without 

obtaining consent of the Participant that submitted the Rejected 

Transaction or Rejected Leg. 

 If the Operator is unable to determine how to correct the error, the 

Operator shall consult with the Clearing Firms for the Rejected 

Transaction or Rejected Leg and the Participants involved in such 

transaction, as necessary, and the Clearing Firms for such transactions 

may, with the consent of each respective Participant, agree to a new 

Trade with the same terms as the rejected Trade, other than the error. 

Such Participant consent may not be obtained in advance, and must 

be sought and obtained by each Clearing Firm on a case-by-case basis, 

after the Trade has been rejected. 

ii. Upon execution of such a new Trade to replace a Rejected Transaction or 

Rejected Leg, the Operator shall submit the transaction to the DCO for 

clearing as quickly as technologically practicable, but in any case no later than 

60 minutes from the issuance of the notice of rejection by the DCO to the 

Clearing Firms.

iii. If the new Trade is rejected from clearing, it is void ab initio and no additional 

new Trade will be permitted to be submitted under this policy.

iv. The Operator shall report Swap transaction data to the relevant SDR pursuant 

to this policy for a new Trade that clears with the same terms as the Rejected 

Transaction or Rejected Leg, as applicable, other than the error, including: a 

Part 43 cancellation for the original transaction, a Part 45 termination 

indicating the original transaction is void ab initio, and swap transaction data 

pursuant to Parts 43 and 45 for the new Trade. Such data shall reference the 

original cancelled trade, indicate that it has been reported pursuant to the 

procedures described in this policy and link the original cancelled trade to the 

new trade for reporting to the relevant SDR under Part 43 and Part 45 of the 

Commission Regulations.

v. The procedures in this policy are not available for Rejected Legs of Package 

Transactions that are rejected for clearing by a Clearing Firm or DCO because 

the Package Transaction as a whole failed to satisfy the applicable Risk-Based 

Limits.
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TP ICAP Classification: Internal

6.1.3 For Erroneously Cleared Transactions, if a Participant or Clearing Firm believes that a 

Trade is carried on the books of a DCO as a result of an error, such Participant, Customer 

or Clearing Firm may request review of the transaction pursuant to this policy.

i. Upon completion of the review of the transaction pursuant to this policy, if 

the Operator determines that an error resulted in an Erroneously Cleared 

Transaction and:

 If the Operator is able to determine how to correct the error, it shall 

execute a Trade that offsets the Erroneously Cleared Transaction 

carried on the books of the relevant DCO through the same Clearing 

Firms that cleared the Erroneously Cleared Transaction and the 

Operator shall execute a new Trade with the same terms as the 

Erroneously Cleared Transaction, other than the error, in each case 

without obtaining consent of the Participant that submitted the 

Erroneously Cleared Transaction; provided that, where an Erroneously 

Cleared Transaction did not satisfy the Risk-Based Limits of a 

Participant’s Clearing Firm, the Operator shall obtain the consent of 

the relevant Clearing Firm prior to executing such offsetting Trade. 

 If the Operator is unable to determine how to correct the error, it shall 

consult with the Clearing Firms for Erroneously Cleared Transactions 

and the Participants and, as necessary, and the Participant may agree 

to execute a Trade that offsets the Erroneously Cleared Transaction 

carried on the books of the relevant DCO through the same Clearing 

Firms that cleared the Erroneously Cleared Transaction and to execute 

to a new Trade with the same terms as the rejected Trade, other than 

the error.

ii. Upon execution of such new Trade by the Operator to offset an Erroneously 

Cleared Transaction and to enter into a new Trade, it shall submit the 

transactions to the DCO for clearing as quickly as technologically practicable, 

but in any case no later than three days after the Erroneously Cleared 

Transaction was executed.

iii. The Operator shall report Swap transaction data to the relevant SDR pursuant 

to this policy for a new Trade that clears with the same terms as the 

Erroneously Cleared Transactions, as applicable, other than the error, 

including: a Part 43 cancellation for the original transaction, a Part 45 

termination indicating the original transaction is void ab initio, and swap 

transaction data pursuant to Parts 43 and 45 for the new Trade. Such data 

shall reference the original cancelled trade, indicate that it has been reported 

pursuant to the procedures described in this policy and link the original 

cancelled trade to the new trade for reporting to the relevant SDR under Part 

43 and Part 45 of the Commission Regulations.
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TP ICAP Classification: Internal

6.1.4 For the avoidance of doubt, the procedures of this policy are not applicable to any 

transaction rejected by a DCO for credit reasons.

7. Authority Regarding Cancellations, Price Adjustments and New or 

Offsetting Transactions

Operator has authority to cancel any transaction or adjust the price of any transaction executed, or 

to execute or require the execution of a new or offsetting transaction: (i) when Operator 

determines in its sole discretion such action is necessary to mitigate market disrupting events caused 

by the improper or erroneous use of the Market or by system defects; or (ii) at any time Operator 

determines, in its sole discretion, that allowing a transaction to stand as executed may have a 

material adverse effect on the integrity of the market. All decisions of Operator regarding 

cancellations of transactions or the adjustment of transaction prices and the execution of new or 

offsetting transactions shall be final.