October 2019

Document version: 1.1 Copyright © 2019 iSwap Euro BV 

FOIA CONFIDENTIAL TREATMENT REQUESTED BY ISWAP EURO B.V. PURSUANT TO 17 CFR 145

Market Appendix 1 – Order Book Market

"Order Book Market Appendix"

1. Definitions and Interpretation 

The following definitions shall apply only to this Market Appendix in addition to the 

definitions contained in the iSwap Venue Rulebook. 

Authorised Trader Desk Manager A user of the iSwap Venue being a Member 

Participant’s authorised employee, officer, 

agent, Affiliate or designee as notified to the 

Operator by Member Participant who has 

been granted certain trading permissions as 

set out in the Schedule.

CTD Bond The government bond, contained in the 

basket of deliverable bonds defined by the 

relevant futures exchange, which is 

cheapest to deliver against the relevant 

Future.

Forward Rate Agreement (FRA) An interest rate derivative in which, for a 

reference period in the future, one 

counterparty agrees to pay an agreed fixed 

interest rate, and the other counterparty 

agrees to pay a reference floating interest 

rate, on a notional amount in a specified 

currency.

Implied Order An implied order is a tradeable order 

automatically generated from two or more 

orders. 

Mid Market Trade A Trade that occurs at the Order Book Mid

Order Book The iSwap Venue central limit order book 

made available by the Operator for the 

submission of Orders and the Matching of 

Trades in accordance with this Order Book 

Market Appendix.

Order Book Mid The price level announced from time to 

time by the Operator for a Product, in the 

discretion of the Operator, set in 

accordance with Rule 5.155.14.

Overnight Index Swaps (OIS) An Interest Rate Swap in respect of which 

the floating interest rate is determined by 

reference to an index based on overnight 

interbank interest rates.

YTM Yield to maturity.

2. General
October 2019

Document version: 1.1 Copyright © 2019 iSwap Euro BV 

FOIA CONFIDENTIAL TREATMENT REQUESTED BY ISWAP EURO B.V. PURSUANT TO 17 CFR 145

2.1 This Order Book Market Appendix sets out additional Rules for participation and 

trading of the Product(s) on the Order Book, to ensure the orderly conduct of 

business.

2.2 Where indicated, certain Rules in this Appendix have specific application to certain 

Products. The Rules are binding on all Participants.

2.3 Broker Participants are permitted to deal with Member Participants on the Order 

Book and will: 

2.3.1 submit all Orders on behalf of Member Participant as soon as reasonably 

practicable after instructions to place the Orders are received from such 

Member Participant; and

2.3.2 invoice a Member Participant for whom it is authorised to act directly in 

relation to any applicable fees for its services.

2.3.3 Pursuant to Commission Regulation 37.202, iSwap will provide impartial access to 

its market(s) and market services, including any indicative quote screens or any 

similar pricing data displays. iSwap will maintain criteria governing such access that 

are impartial, transparent, and applied in a fair and nondiscriminatory manner. 

3. Trading Day

3.1 The Trading Day for the Product(s) is:

3.1.1 in respect of Product(s) denominated in Euro, 08.30 – 18.00 Netherlands 

time (07.30 – 17.00 UK time; 02.30 - 12.00 NY time) Monday to Friday; and

3.1.2 in respect of Product(s) denominated in Pound Sterling, 089.30 – 17.15 

Netherlands time (078.30 – 16.15 UK time; 23:30 - 11:15 US time) Monday 

to Friday.

3.2 Trading is not permitted outside the Trading Day except for Large in Scale Trade 

registrations as specified in the Schedule. 

4. Product(s) 

General

4.1 The Product(s) traded on the Order Book are:

4.1.1 IRS denominated in Euro and GBP;

4.1.2 OIS denominated in Euro (EONIA) and GBP (SONIA); and

4.1.3 FRA denominated in Euro.

4.2 Each Product is made up of one or more Eligible Instruments.
October 2019

Document version: 1.1 Copyright © 2019 iSwap Euro BV 

FOIA CONFIDENTIAL TREATMENT REQUESTED BY ISWAP EURO B.V. PURSUANT TO 17 CFR 145

4.3 The Order Book supports outright and strategy Eligible Instruments. Strategy Eligible 

Instruments include spreads, butterflies, Futures Crosses and basis. Each of the 

Eligible Instruments traded on the Order Book shall be dealt with in accordance with 

the terms in this Rule 4, as applicable.

All Orders

4.4 Participants may only submit limit Orders to the Order Book. The types of limit Orders 

and durations of those Orders that may be submitted to the Order Book are 

prescribed in the Schedule.

4.5 Orders submitted to the Order Book must specify the volume, price, duration and 

whether it is a buy or sell Order. 

4.6 The Order Book displays the currency and tenor of the Eligible Instrument(s).

4.7 All Orders can imply into other Orders, to the extent possible.

4.8 Implied Orders are automatically generated from outright orders into strategies, a 

combination of outright and strategy orders or a combination of strategy orders. 

Strategy Orders

4.9 The Order Book displays the size ratio of the constituent legs of Strategy Eligible 

Instruments.

4.10 All strategy Orders are submitted and Matched using the default duration ratios set 

by Operator. These ratios are set at the start of the Trading Day, and updated 

periodically by Operator during trading hours. 

4.11 Trade sizes are rounded down to the nearest 0.1 million.

4.12 When entering a spread Order onto the Order Book, the Order size shall be taken to 

relate to the longer leg of the spread Order. When entering a butterfly Order onto 

the Order Book, the Order size shall be taken to relate to the middle leg of the 

butterfly Order. 

Futures Cross Orders

4.13 The following sub-clauses will apply where Participants submit Futures Cross Orders 

onto the Order Book:

4.13.1 Once a Futures Cross Order is Matched, the iSwap Venue will automatically 

submit the resulting Futures leg to the relevant futures exchange via ICAP 

Securities Limited via TP ICAP Europe SA for acceptance. Operator will provide 

Participants with the details of the Futures Cross Trade they have entered 

into once accepted by the relevant Futures exchange.
October 2019

Document version: 1.1 Copyright © 2019 iSwap Euro BV 

FOIA CONFIDENTIAL TREATMENT REQUESTED BY ISWAP EURO B.V. PURSUANT TO 17 CFR 145

4.13.2 The spread price of the Futures Cross Order is the sum of: (i) the fixed rate of 

an Interest Rate Swap which starts on the delivery date of the relevant Future 

and matures on the maturity date of the relevant CTD Bond; less (ii) the yield 

of the relevant Future.

4.13.3 The Futures leg of the Futures Cross Trade is priced at the last traded price of 

such Future on the relevant futures exchange at the time of the initial Match 

of the Futures Cross Order. This price is multiplied by the conversion factor of 

the corresponding CTD Bond and then converted to a yield using the simple 

YTM formula (which can be replicated on Bloomberg or in Excel's =YIELD 

function). This gives a 5dp yield, to which the traded Interest Rate Swap 

spread is added giving a 5dp swap rate.

4.13.4 The Operator, at its discretion, sets the ratio between the notional principal 

of an Interest Rate Swap leg of the Trade and the number of contracts in 

which its corresponding Futures leg of the Trade is executed. This is set at the 

start of the Trading Day and updated periodically by Operator during the 

Trading Day. 

5. Trading Rules

Orders

5.1 Authorised Persons may submit Orders onto the Order Book directly via the Order 

Book’s Application Program Interface (API) or front end application, with all such 

Orders being governed by these Rules.

5.2 All Participant’s Orders are pre-Trade anonymous other than as follows:

5.2.1 Member Participant can permission their Authorised Traders to view details 

of Orders submitted by other Authorised Traders of such Member 

Participant (as further detailed in the Schedule); and

5.2.2 Authorised Traders can permission Authorised Brokers or Broker Participant 

to view Orders and details of their Orders.

Order Size

5.3 Participants shall only submit Orders that conform to the minimum order size 

(“Minimum Order Size”) for Eligible Instruments. Orders that do not conform to the 

Minimum Order Size cannot be submitted to the Order Book. 

5.4 The Minimum Order Size limits for Eligible Instruments in the Products are set as 

follows:

5.4.1 For IRS, OIS and FRA Eligible Instruments denominated in Euro with:

(a) a maturity of up to and including 2 years, approximately EUR 40m;
October 2019

Document version: 1.1 Copyright © 2019 iSwap Euro BV 

FOIA CONFIDENTIAL TREATMENT REQUESTED BY ISWAP EURO B.V. PURSUANT TO 17 CFR 145

6. Contractual Position

6.1 All Orders shown on the Order Book are firm and available to be Matched. 

6.2 At the point at which an Order (other than a Futures Cross Order) submitted by 

Member Participant or Broker Participant on behalf of a Member Participant is 

Matched, the relevant Member Participants have entered into a valid, legal and 

binding Trade. 

6.3 At the point at which the Futures leg of a Futures Cross Orders is accepted by the 

relevant futures exchange, the relevant Member Participants have entered into a 

valid, legal and binding Trade.

6.4 The Futures Leg of any Futures Crosses shall also be governed by the International 

Uniform Give-Up Agreement in place between the Member Participant and TP ICAP 

Europe SA.ICAP Securities Limited.