iSwap Euro BV Venue Market Appendix 2 Targeted

Streaming Market Page 1 of 9 October 2019

Document version: 1.1 Copyright © 2019 iSwap Euro BV – Confidential

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Classification: Public TP ICAP Classification: Confidential

Targeted Streaming Market

Market Appendix 2 to the Venue Rulebook – Targeted Streaming 

Market

Version Effective Date Sections Changed Summary Changes Owner

12 May 2021 Application Filing None CCO

V2.0 Feb 2022 Targeted 

Streaming 

Appendix

Removal of liquidity 

provider/market user 

distinction

CCO

V2.0.1 2.5

5.10

5.10.4

5.11

5.13

5.16

Broker Participant access

Application restriction.

Conforming change

Amend LP/Users to Auth 

traders

Amend LP/Users to Auth 

traders

Remove ability to restrict 

matching

CCO

V2.1 1 July 3 2023 2.2, 2.3 & 

Definitions

Clarification of applicable 

regulatory regime

CCO
iSwap Euro BV Venue Market Appendix 2 Targeted

Streaming Market Page 2 of 9 October 2019

Document version: 1.1 Copyright © 2019 iSwap Euro BV – Confidential

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Market Appendix 2 – Targeted Streaming Market

"Targeted Streaming 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. 

Automatic Matching As defined in Rule 5.17.

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.

Liquidity Provider A Member Participant who has elected via 

the Authorisation Form to be a liquidity 

provider and has been permissioned as 

such by Operator.

Market User A Member Participant who is not a 

Liquidity Provider.

Order Pick Matching As defined in Rule 5.17.

Request for Quote or RFQ An electronic message disseminated on the 

Targeted Streaming Market for the 

purposes of soliciting bids or offers of a 

defined quantity in respect of an Eligible 

Instrument.

Request for Stream or RFS An electronic message disseminated on the 

Targeted Streaming Market for the 

purposes of soliciting bids or offers of a 

undefined quantity in respect of an Eligible 

Instrument.

RFQ Session The period after a request for quote (RFQ) is 

initiated during which Liquidity 

ProvidersAuthorised Traders may respond 

to a RFQ. Market UsersThe session initiator

can trade on these Orders. 

RFS Session The period after a request for stream (RFS) 

is initiated during which Liquidity 

ProvidersAuthorised Traders may respond 

to a RFS. Market UsersThe session initiator

can trade on these Orders. 

Targeted Streaming Instrument The Eligible Instruments into which Liquidity 

ProvidersAuthorised Traders may stream 

Actionable IOIs and in respect of which 

Market Users may initiate RFSs and RFQs.
iSwap Euro BV Venue Market Appendix 2 Targeted

Streaming Market Page 3 of 9 October 2019

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Targeted Streaming Market The iSwap Venue targeted streaming 

market made available by the Operator for 

the submission of streamed Orders and 

Actionable IOIs by Liquidity 

ProvidersAuthorised Traders which Match 

with Orders and Actionable IOIs of Market 

Users in accordance with this Targeted 

Streaming Market Appendix. This execution 

method is not available to US Persons.

YTM Yield to maturity.
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Streaming Market Page 4 of 9 October 2019

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2. General

2.1 This Market Appendix sets out additional Rules for Participationparticipation and 

Tradingtrading of the Product(s) on the Targeted Streaming Market, to ensure the 

orderly conduct of business.

2.2 TheAll actions on the Targeted Streaming Market is designedare subject to facilitate 

direct matching between Liquidity ProvidersMiFID II and MiFIR only and comply with 

all applicable AFM regulations.

2.22.3 Any Participant who is a US Person, is forbidden from undertaking actions on the

Targeted Streaming Market Users on a disclosed basis.. 

Liquidity Providers

2.32.4 Authorised Traders may submit streams of Actionable IOIs in Targeted Streaming 

Instruments to Market Users. A Liquidity Provider’s stream of Actionable IOIs shall 

be routed to each of its Market Users so that a Market User has an aggregated view 

ofother Authorised Traders. These indicative prices from its Liquidity Providersare 

not subject to the trade execution requirements in section 2(h)(8) of the Act.

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

certain Products. The Rules are binding on all Member Participants.

2.5 Broker Participants are not permitted to deal with other Participants on the 

Targeted Streaming Market nor are Broker Participants able to view any Orders or 

Actionable IOIs submitted to the Targeted Streaming Market or any resulting Trades. 

3. Trading Day

3.1 The Trading Day for the Product(s) is 08.30 – 18.00 Netherlands time (07.30 – 17.00 

UK time;02:30 – 12:00 NY time) Monday to Friday. 

3.2 Trading is not permitted outside the Trading Day. 

4. Product(s) 

General

4.1 The Product(s) traded on the Targeted Streaming Market are IRS denominated in 

Euro.

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

Formatted: Ju

Formatted: In
iSwap Euro BV Venue Market Appendix 2 Targeted

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4.3 The Targeted Streaming Market supports outright and strategy Eligible Instruments. 

Strategy Eligible Instruments include spread, butterfly, Futures Crosses and basis. 

Each of the Products traded on the Targeted Streaming Market shall be dealt with in 

accordance with the terms in this Rule 4, as applicable.

All Orders

4.4 The Targeted Streaming Market displays the currency and tenor of the Eligible 

Instrument.

Strategy Orders

4.5 The Targeted Streaming Market displays the size ratio of the constituent legs of 

Strategy Eligible Instruments.

4.6 All strategy Orders and Actionable IOIs 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. 

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

4.8 When entering a spread Order or Actionable IOI onto the Targeted Streaming Market, 

the size shall be taken to relate to the longer leg of the spread. When entering a 

butterfly Order or Actionable IOI onto the Targeted Streaming Market, the size shall 

be taken to relate to the middle leg of the butterfly. 

Futures Cross Orders

4.9 The following sub-clauses will apply where Member Participants submit Futures Cross 

Orders onto the Targeted Streaming Market:

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

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

Securities LimitedTPICAP Europe S.A for acceptance. Operator will provide 

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

entered into once accepted by the relevant futures exchange. 

4.9.2 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.

4.9.3 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 CTD Bond and then converted to a yield using the simple YTM 
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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.

4.9.4 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 Future leg of the Trade is executed. This is set at the start 

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

Trading Day.

5. Trading Rules

Request for Quote

5.1 Requests for Quote may only be made by Market UsersAuthorised Traders on 

Targeted Streaming Instruments in a defined quantity. 

5.2 A RFQ must be submitted to at least three Liquidity Providers, subject to a maximum 

number to be determined by the Operator. The three Liquidity ProvidersMember 

Participants. The Member Participants shall not be affiliates of or controlled by the 

requestor or by each other. RFQs are distributed simultaneously. Responses to the 

Market UserAuthorised Trader making a RFQ are transmitted in the order received 

by the Venue. A Market UserAn Authorised Trader making a RFQ will be enabled to 

view and execute against resting firm bids or offers pertaining to the same instrument 

on the Venue.

5.3 A Liquidity ProviderMember Participant, upon receiving a RFQ from the Market User, 

may respond to the RFQ with an Order that is unique to the Market UserAuthorised 

Trader that initiated the RFQ or ignore the request. 

5.4 A RFQ Session will end after the relevant Market Userinitiator has entered into a valid, 

legal and binding Trade. If a RFQ Session has not given rise to the conclusion of a 

Trade at the expiry of a pre-determined time limit, the RFQ Session will automatically 

end. 

Request for Stream

5.5 Requests for Stream may be made by Market UsersAuthorised Traders on Targeted 

Streaming Instruments in an undefined quantity. 

5.6 A RFS must be submitted to at least three Liquidity Providers, subject to a maximum 

number to be determined by the Operator. The three Liquidity ProvidersMember 

Participants. The three Member Participants shall not be affiliates of or controlled by 

the requestor or by each other. RFS are distributed simultaneously. Responses to the 

Market UserAuthorised Trader making a RFS are transmitted in the order received by 
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Streaming Market Page 7 of 9 October 2019

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the Venue. A Market UserAn Authorised Trader making a RFS will be enabled to view 

and execute against resting firm bids or offers pertaining to the same instrument on 

the Venue.

5.7 A Liquidity ProviderMember Participant, upon receiving a RFS from the Market User,

may respond to the RFS with a streamed Order that is unique to the Market User that 

initiated the RFS or ignore the request. A RFS Session will be initiated when the 

Liquidity Provider responds with streamed Orders in response to the RFS. 

5.8 A RFS Session will end after the relevant Market Userinitiator has entered into a valid, 

legal and binding Trade. If a RFS Session has not given rise to the conclusion of a 

Trade at the expiry of a pre-determined time limit, the RFS Session will automatically 

end.

Orders

5.9 Liquidity ProvidersAuthorised Traders may submit Orders and Actionable IOIs onto 

the Targeted Streaming Market directly via the Application Program Interface (API), 

or via the i-Swap front-end application, with all such Orders and Actionable IOIs being 

governed by these RulesForRules. For the avoidance of doubt Actionable IOIs are 

only submitted prior to the initiation of the RFS or RFQ session.

5.10 Market Users will only be able to submit Orders and Actionable IOIs onto the 

Targeted Streaming Market via the i-Swap XFE Front End application, with all such Orders and 

Actionable IOIs being governed by these Rules. 

Formatted: No
iSwap Euro BV Venue Market Appendix 2 Targeted

Streaming Market Page 8 of 9 October 2019

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Order Size

5.115.10 The minimum Order and Actionable IOI size limits are, for IRS Eligible 

Instruments in Euro with:

5.11.15.10.1 a maturity of up to and including 2 years, approximately EUR 40m;

5.11.25.10.2 a maturity of greater than 2 years and up to and including 20 years, 

the duration equivalent of EUR 40m4.9m with a maturity of 220 years; and

5.11.35.10.3 a maturity of greater than 20 years, EUR 5m4.9m. 

5.10.4 Notwithstanding Rule 5.10, Member Participants may instruct Operator via 

the Authorisation Form to configure their settings to allow Orders at 20% of 

the Minimum Order Size (the “Configured Minimum Size”), in which case a 

Participant’s Orders may be Matched with Orders of a Participant who has 

an equivalent configuration. For Orders at the Configured Minimum Size 

Member Participants may only enter Immediate and Non Display Limit 

Orders

Order Visibility and Matching

5.125.11 Market UsersAuthorised Traders that perform name-disclosed requests will 

only be able to see Orders and Actionable IOIs from Liquidity Providers byMember 

Participants to whom they have been enableddirect their requests . 

5.135.12 Liquidity ProviderMember Participants can determine which of its Orders and 

Actionable IOIs will be visible to and available to Match with a Market Usereach 

Authorised Trader performing name-disclosed requests.

5.145.13 Liquidity ProvidersMember Participants will be able to view their own Orders 

and Actionable IOIs and any visible Orders and Actionable IOIs placed by Market 

Users, where the Liquidity Provider has permissioned that Market User to Match with 

their Orders and Actionable IOIsAuthorised Traders from requests directed to them.

5.14 All Orders and Actionable IOIs are on a Authorised Traders performing namedisclosed basis such that Market Userrequests will be able to view the identity of 

Liquidity ProvidersMember Participants on Orders and Actionable IOIs.

5.15 Authorised Traders performing anonymous requests will not be able to view the 

identity of Member Participants on all Orders and Actionable IOIs.

5.16 Market User may request that Operator restrict, suspend or terminate their ability 

to Match with Orders and Actionable IOIs from a particular Liquidity Provider.

Formatted: Lis

Formatted: No
iSwap Euro BV Venue Market Appendix 2 Targeted

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Order Matching Priority

5.175.16 Orders shown on the Targeted Streaming Market can be Matched as follows:

5.17.15.16.1 Automatically using the following criteria in order of precedence 

(“Automatic Matching”):

(a) price; 

(b) Orders ranked by time (based on the time stamped on an Order when 

it is shown on the Targeted Streaming Market).

5.17.25.16.2 Manually by a Market User selecting an Order that they wantthe 

Authorised Trader wants to Match with (“Order Pick Matching”). 

5.185.17 Orders are Matched at the price limit of the submitted Order, or better. 

Orders submitted by Market Users to the Targeted Streaming Market via Automatic 

Matching are Matched at the best available price.

6. Contractual Position

6.1 The relevant Member Participants have entered into a valid, legal and binding Trade:

6.1.1 In relation to a Futures Cross Order, at the point at which the Futures Leg 

is accepted by the relevant futures exchange; and

6.1.2 In relation to all other Orders, at the point at which an Order is Matched. 

6.2 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 ICAP 

Securities LimitedTPICAP Europe S.A.

7. Trade Publication

Trades will be published on the iSwap Venue in accordance with applicable regulatory 

rules.