Exhibit B

Page 1 of 8

© ICE Swap Trade, LLC 2013. All Rights Reserved.

ICE Swap Trade, LLC

Error Trade Policy

Version 1.8

1. Definitions

Unless otherwise stated below, all capitalized terms shall have the meaning 

ascribed to such term in the ICE Swap Trade, LLC (“IST” or “SEF”) Rulebook (the 

“Rules”), as can be found on the IST website.

2. Regulatory Considerations

The SEF considers appropriate systems and controls to be important in reducing

the likelihood of Orders being entered in error, preventing the execution of

Transactions at unrepresentative Prices and reducing the market impact of such

Transactions. In order to achieve the stated goal, it is necessary that appropriate

system safeguards and controls be present and maintained by the SEF and its 

Participants and Customers. 

These include:

A. The SEF facilities provide:

i. Price reasonability limits, set by the SEF, which prevent the execution

of Transactions outside of these stated reasonability limits;

iii. optional pre-confirmation messages, which appear prior to the execution 

of all Orders; and

iv. an option to designate the quantity that a Participant or Customer (and 

their Authorized Traders) may wish to expose to the market at one time,

rather than trading the total quantity that is available to be traded at a 

specified Price.

B. The Rules, which provide the SEF with discretion to delete Orders, adjust 

Prices, cancel Transactions or suspend the market in the interest of maintaining 

a fair and orderly market, in conjunction with this policy.

C. Block, Brokered and Permitted Transactions submitted to the SEF will not be 

subject to this Error Trade Policy. Rather, these Transactions may be adjusted 

or cancelled by the SEF, in its sole discretion, upon mutual agreement of and 

per the instructions of the counterparties to such Transaction.

3. Main Components of Error Trade Policy 

A. Under normal market conditions, the SEF will only adjust Prices or cancel
Exhibit B

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© ICE Swap Trade, LLC 2013. All Rights Reserved.

Transactions in such circumstances where a Transaction is executed at a

Price that is not representative of the market value of the respective 

Transaction at the time such Transaction is executed on the SEF. Any

Transactions where the only error is the quantity of Contracts traded, as 

opposed to the Price at which such Contracts were traded, will not be 

subject to cancellation under the Error Trade Policy. The SEF, in its sole 

discretion, will make the final determination as to whether the Price at which 

a Transaction was executed on the SEF will be adjusted, cancelled or such 

Transaction must stand. In determining whether a Transaction has taken 

place at an unrepresentative Price, the SEF, in its sole discretion, will 

consider a number of market related factors to include, but not limited to:

 the price movement in other expiration months of the same Contract;

 the current market conditions, including levels of activity and volatility;

 the time period between different quotes and between quoted and traded 

Prices;

 information regarding Price movement in related Contracts, the release of

economic data or other relevant news prior or during SEF Trading Hours;

 obvious or manifest error;

 whether there is any indication that the Transaction in question

triggered stops or resulted in the execution of spread Transactions;

 whether another Participant or Customer relied on the error Price;

 any other factor, which the SEF may deem relevant.

Price adjustments are limited to error Transactions executed in such Contracts 

as determined by the SEF from time to time.

Notwithstanding any other provision of this Error Trade Policy, the SEF has the 

unilateral right to adjust a Price of or cancel any Transaction clearly executed

in error where there has been no request from a 

Participant/Customer/Authorized Trader, in the interest of maintaining a fair and 

orderly market. The SEF aims to exercise this right promptly after the

Transaction has been identified by the SEF. All decisions of the SEF are final.

B. The SEF, when applicable, may set and vary Price reasonability limits 

(“Reasonability Limits”) within the Trading System for each Contract 

beyond which the SEF will not execute Orders. These Reasonability Limits 

are intended to take into account the prevailing market conditions at the 

time a Transaction is executed on the SEF. The SEF incorporates Price 

Reasonability Limits to prevent ‘fat finger’ type errors that cap the amount 

the Price may change in one trading sequence from an anchor Price. These 

limits are set by the SEF and may be varied without notice according to 

prevailing market conditions. Beyond these limits, the SEF will not execute 
Exhibit B

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© ICE Swap Trade, LLC 2013. All Rights Reserved.

Orders unless the market moves to bring these Orders within the 

Reasonability Limits.

Limit Orders to sell at Prices below the lower Reasonability Limits and Limit

Orders to buy at Prices above the upper Reasonability Limits will not be 

accepted by the SEF, unless such Orders are capable of being executed

opposite previously resting Orders at more favorable Prices within the 

Reasonability Limits. 

Any Transaction executed at a Price outside of the No Cancellation Range

(as defined below), but within the price Reasonability Limits, if identified to the 

SEF within the designated time period, may be considered an error

Transaction and will be treated in the manner provided for in this Error Trade 

Policy.

The Reasonability Limits applicable to each Contract will be listed in a table

on the SEF’s website, which may be updated from time to time by the SEF.

C. The SEF has defined a “no cancellation range” (the “No Cancellation 

Range”) for each Contract. Transactions executed within the No 

Cancellation Range will not, under prevailing market conditions, be 

cancelled or Price adjusted. A component of market integrity is the 

assurance that once a Transaction is deemed executed on the SEF, except

in exceptional circumstances, such as an adverse consequence on the 

market, the Transaction will stand and not be subject to cancellation or

Price adjustment. 

The SEF determines parameters above or below a SEF-set anchor Price for

each Contract within which a Transaction alleged as an error Transaction

may not be cancelled or Price adjusted. Such parameters define the No 

Cancellation Range. The No Cancellation Range applicable to each Contract 

will be listed in a table on the SEF’s website, which may be updated from time 

to time by the SEF.

The anchor Price is set by the SEF and is based on the most liquid Contract 

maturity date, which is typically the “5 year” maturity date as commonly used 

in the market. 

The determination as to when to shift the anchor Price based on the 

liquidity of a Contract will be made by the SEF in its sole discretion. The

anchor Price may be the settlement Price as determined by the relevant 

Clearing House at the end of the previous Business Day, the opening Price

for a given Contract for a respective Business Day or the last Price at which 

such Transaction was executed. The anchor Price of other related 
Exhibit B

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© ICE Swap Trade, LLC 2013. All Rights Reserved.

Contracts is achieved by applying spread differentials against the anchor

Price for the most liquid Contract.

Validation of the anchor Price and No Cancellation Range will automatically 

occur in an event that an error Transaction is alleged to ensure that the No 

Cancellation Range at the time of the alleged error Transaction was 

appropriately reflective of the current market price for the Contract at issue. 

The process for validating the anchor Price will be based on time of 

execution of the Transaction and the most recent bids and offers obtained 

from (i) the SEF, and (ii) reliable industry pricing sources, including but not 

limited to, a Swaps Data Repository. If an anchor Price cannot be 

calculated due to illiquidity of the respective Contract, the SEF will 

determine a fair and accurate anchor Price based on a combination of 

relevant market factors, to include market feedback and reliable industry 

pricing sources. 

If the SEF determines that the anchor Price is not representative of the 

current market Price, or was not representative of the market Price at the 

time that a Transaction error was alleged, then the SEF reserves the right 

at its sole discretion to update the relevant anchor Price or Prices.

If a Transaction takes place within the No Cancellation Range and is

alleged as an error, the Transaction will not be cancelled or Price adjusted. 

D. When applicable, Transactions executed within the Reasonability Limits,

but outside of the defined No Cancellation Range, may be reported to or

considered by the SEF as an error Transaction.

E. Participants/Customers have eight (8) minutes from the time of execution of 

the original Transaction in which to allege a Transaction as having been

executed in error.

F. The SEF will notify the market immediately that an error has been alleged,

giving details of the Transaction, including Contract month, Price and

quantity. The SEF will then notify the affected Participants/Customers

whether the Price is adjusted or the Transaction is cancelled or stands.

G. If the SEF determines that a Price at which a Transaction was executed is 

outside the No Cancellation Range for a given Contract, the Price for such 

Transaction may be adjusted to a Price that equals the fair market value 

Price for that Contract at the time the Transaction under review was 

executed, plus or minus the No Cancellation Range. If the SEF determines 
Exhibit B

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© ICE Swap Trade, LLC 2013. All Rights Reserved.

to adjust the Price of a Transaction, the adjusted Price shall be applied to the 

Transaction despite potentially being outside of the original Order terms. The 

SEF, at its discretion, may allow the Transaction to stand or cancel the 

Transaction rather than adjusting the Price. All decisions of the SEF are final. 

H. If the SEF determines that the premium of an option Transaction is not

representative of the market value for that option as determined by the SEF 

at the time of execution, then the premium of such option Transaction may be 

adjusted to the value of the option at the time the Transaction under review

was executed, plus or minus the No Cancellation Range. The SEF, at its

discretion, may allow the Transaction to stand or cancel the premium rather

than adjusting the premium, and may consider timely input from the parties to 

an alleged error Transaction in making such determination. A l l decisions of

the SEF are final. 

I. If the SEF determines that the Price differential of a spread Transaction is not

representative of the market value for that spread Transaction at the time of

execution, then the Price differential of such spread Transaction may be 

adjusted to the Price differential for that spread Transaction at the time the

Transaction under review was executed, plus or minus the applicable No 

Cancellation Ranges for that Contract. The SEF, at its discretion, may allow

the Transactions to stand or cancel the Transactions rather than adjusting the 

Price differential. All decisions of the SEF are final. 

J. Where either the SEF determines or a Participant/Customer demonstrates 

that it entered into a consequential Transaction based on the Price of a 

Transaction that was determined by the SEF to be an error Transaction and 

such consequential Transactions was executed either (i) simultaneously with 

the alleged error Transaction, or (ii) before the SEF has notified the market of

the alleged error Transaction, the SEF will apply the outcome/determination 

that it applied to the original error Transaction to such consequential

Transaction, to the extent that such consequential Transaction was also 

executed on the SEF.

K. Where consequential Transactions based on the Price of the alleged error

Transaction are executed after the SEF has notified the market of the alleged 

error Transaction, and where the SEF subsequently determines that the Price 

of the alleged error Transaction is to be adjusted or cancelled, such

consequential Transactions may have their Prices adjusted, may be allowed 

to stand or may be cancelled at the discretion of the SEF. All decisions of the 

SEF are final. One of the factors the SEF may take into consideration, is 

whether the alleged error Transaction triggered contingent Orders or resulted 

in the execution of spread Transactions.
Exhibit B

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© ICE Swap Trade, LLC 2013. All Rights Reserved.

When resolving a situation involving consequential Transactions, the SEF will

consider these on a case-by-case basis, evaluating each situation on its

individual circumstances and merits. When considering its approach, the SEF 

will consider those consequential Transactions directly related to the error

Transaction and consider reasonably any Transactions (specifically spread 

Transactions) which have been derived from the error itself and those

executed as a result of it.

L. The SEF will make every attempt to ensure that a decision on whether an

alleged error Transaction will have its Price adjusted, will stand or be

cancelled, will be communicated to the market as soon as reasonably

possible after the time that the original Transaction was executed.

M. The SEF has the unilateral right to cancel any Order, adjust the Price of a

Transaction and cancel any Transaction, which it considers to be at an

unrepresentative Price or market disrupting where there has been no referral

or request from a Participant or other Person. The SEF reserves its right to

consider each alleged error Transaction situation on its individual merits and

will therefore apply the Error Trade Policy in light of the circumstances of each 

individual case. All decisions of the SEF are final.

N. Cancelled Transactions and Prices that have been adjusted will be cancelled

in the SEF’s official record of time and sales. Transactions that are Priced

adjusted will be inserted in the official record of time and sales at the adjusted

Transaction Price.

4. SEF Contacts 

All requests to cancel Orders or Transactions must be directed to

ICEswapsupervision@theice.com. Any such request for the removal of Orders will

be acted upon on a best efforts basis by the relevant SEF personnel. 
Exhibit B

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© ICE Swap Trade, LLC 2013. All Rights Reserved.

ICE Swap Trade, LLC No Cancellation Ranges and Reasonability Limits

The Error Trade Policy includes No Cancellation Range (“NCR”) and Reasonability Limit (“RL”) levels for all Contracts 

listed by the SEF. NCR and RL levels are subject to revision by IST without prior notification. The SEF will apply the 

ranges around the current anchor price as more fully described in the SEF’s Error Trade Policy. In the tables below, the 

values represent the range around the anchor price. 

For example purposes only, if a Contract is quoted in basis points, and the current anchor price is 100 basis points, then 

the NCR would be 0.7% around the anchor price of 100 bps (or 0.7 basis points). The absolute levels of the NCR would 

be 99.65 basis points to 100.35 basis points.

NOTE: The SEF’s Market Supervision staff has the authority to expand the NCR and RL levels on any Contract to two (2) 

times the levels shown below in volatile market conditions without prior notice.

No Cancellation Ranges

All Products quoted in basis points

> 0 bps >5 bps > 10 bps > 25 bps > 50 bps > 100 bps > 150 bps > 200bps >500 bps

<= 5 bps <= 10 bps <=25 bps <=50 bps

<=100

bps <=150 bps <=200bps <=499bps

1.4% 1.35% 1.3% 1.0% 0.70% 0.6% 0.55% 0.5% 0.50%

All Products quoted in percent

> 0 % >5 % > 10 % > 25 % > 50 % > 100 % > 150 % > 200 % >500 %

<= 5 % <= 10 % <=25 % <=50 % <=100 % <=150 % <=200 % <=499 %

0.1875 0.1875 0.1875 0.1875 0.1875 0.1875 0.1875 0.1875 0.1875
Exhibit B

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© ICE Swap Trade, LLC 2013. All Rights Reserved.

ICE Swap Trade Reasonability Limits

All Products quoted in basis points

> 0 bps >5 bps > 10 bps > 25 bps > 50 bps > 100 bps > 150 bps > 200 bps >500 bps

<= 5 bps <= 10 bps <=25 bps <=50 bps <=100 bps <=150 bps <=200 bps <=499 bps

2% 2% 2% 2% 2% 2% 2% 2% 2%

All Products quoted in percent

> 0 % >5 % > 10 % > 25 % > 50 % > 100 % > 150 % > 200 % >500 %

<= 5 % <= 10 % <=25 % <=50 % <=100 % <=150 % <=200 % <=499 %

.75 .75 .75 .75 .75 .75 .75 .75 .75