iSwap SEF Application 

Exhibit M-4 – iSwap Cancellation and Error Trade Policy
iSwap Euro BV Trade Cancellation and Error Trade Policy Page 1 of 5

October 2019

Document version: 1.0 Copyright © 2019 iSwap Euro BV – Confidential

iSwap Euro B.V. Trade Cancellation and Error 

Trade Policy
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October 2019

Document version: 1.0 Copyright © 2019 iSwap Euro B.V. – Confidential

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 factors and processes 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 and efficient 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.

1 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 Trade: as defined in paragraph 3.3 of this Policy.

Fair Market Value: 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; 

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

vendors; and

c) Where practicable, consulting with independent third party dealers trading in the 

relevant Eligible Instrument.

Mark-to Market: the present valued difference between the Fair Market Value and current 

market value of the Trade.

Market Level Parameters: a deviation from Fair Market Value 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 either (i) 1 basis point or (ii) EUR 50,000 in Mark-to-Market 

valuation;

b) For EUR IRS or OIS maturities of greater than 2 years, greater than either (i) 1 

basis point or (ii) EUR 100,000 in Mark-to-Market valuation;

c) For GBP IRS maturities of up to and including 2 years, greater than either (i) 

1.5 basis points or (ii) GBP 65,000 in Mark-to-Market valuation; and 

d) For GBP IRS maturities of greater than 2 years, greater than either (i) 1.5 basis 

points or (ii) GBP 130,000 in Mark-to-Market valuation.
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October 2019

Document version: 1.0 Copyright © 2019 iSwap Euro B.V. – Confidential

2 TRADE CANCELLATIONS

General

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

assist with the bilateral cancellation or amendment of that Trade.

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

"Cancellation Request") to cancel, reverse or revise the terms of a Trade (the "Relevant 

Trade") within 15 minutes from the time of execution of the Relevant Trade. If the 

Operator receives the Cancellation Request later than 15 minutes from the time of 

execution, the Requesting Participant acknowledges that the Operator may, in its sole 

discretion, decline to act as an intermediary between the counterparties.

2.3 Where the Requesting Participant is the Broker Participant, the Operator will notify the 

Member Participant who is the counterparty to the Trade and for whom the Broker 

Participant is authorised to act, to confirm that the Cancellation Request is valid. 

2.4 After receiving the Cancellation Request the Operator shall, provided that the 

Cancellation Request 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 Cancellation 

Request.

2.5 If the Other Participant confirms promptly to the Operator that it agrees with the 

Cancellation Request, the request shall be treated as a bilateral cancellation or revision 

of the Relevant Trade.

2.6 Unless determined to be an Error Trade in accordance with this Policy, Member 

Participants acknowledge and agree that the Operator may not ensure the cancellation 

of any Trade, nor the revision of its terms, where a counterparty does not agree with 

the Cancellation Request and, in such event, the Requesting Participant shall be bound 

by the terms of the Relevant Trade.

2.7 Member Participants who agree to a bilateral cancellation or revision of a Trade shall 

promptly notify the Operator and take all such action required to effect the cancellation 

or revision of the Relevant Trade.

2.8 Member Participant agrees to take such action as the Operator requires to put into 

effect any such Trade(s) or cancellations or revisions thereof and shall be responsible, 

and hold the Operator harmless, for all costs incurred by the Operator in so doing. 

Failure by any Member Participant to comply with any instruction from the Operator to 

cancel, revise or reverse a Trade is a material breach of the Rulebook and the 

Agreements.

2.9 Where a cancellation or revision is to occur, the Operator shall arrange for appropriate 

Trade(s) to be effected on the iSwap Venue and transmit the same to the relevant 

Member Participants and shall notify the relevant Authorised Traders as appropriate. 
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Document version: 1.0 Copyright © 2019 iSwap Euro B.V. – Confidential

3 ERROR TRADES

Determination of Error Trades

3.1 In the event that agreement cannot be reached on a bilateral cancellation or revision 

of a Trade in accordance with paragraph 2 above, the Operator shall, in accordance with 

the procedure set out in this paragraph 3, determine whether the Trade was an Error 

Trade.

3.2 Operator will determine, in its reasonable opinion, whether the Trade was executed 

outside the Market Level Parameters.

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

consider the surrounding circumstances, general market conditions and the timeliness 

of the notification and on the basis of these factors, determine, in good faith, whether 

such Trade is an error trade (an “Error Trade”).

3.4 For the avoidance of doubt, a Trade which is executed at a price outside the Market 

Level Parameters shall not automatically be determined to be an Error Trade by 

Operator. 

Cancellation of Error Trades

3.5 If the Operator determines that a Trade is an Error Trade, 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 45 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 45 

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

3.6 The counterparties to an Error Trade 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 18 of the 

Rulebook. 

Release of Counterparty Names

3.7 The Operator reserves the right to disclose at any time the name of the underlying 

counterparties to any Trade or series of Trades in an implied chain, in order to aid the 

fair settlement of the cancellation or reversal of a Trade (including, either before or 

after the procedure outlined in paragraph 2 and 3 has been followed and whether or 

not the counterparties to any Trade have agreed to the cancellation). 

4 AUTHORITY REGARDING CANCELLATIONS, PRICE ADJUSTMENTS AND NEW OR 

OFFSETTING TRANSACTIONS 

4.1 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 
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Document version: 1.0 Copyright © 2019 iSwap Euro B.V. – Confidential

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.