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 

 
 

 

 

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. 

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 Authorised Traders 

may respond to a RFQ. The session initiator 

can trade on these Orders. 

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

is initiated during which Authorised Traders 

may respond to a RFS. The session initiator 

can trade on these Orders. 

Targeted Streaming Instrument The Eligible Instruments into which 

Authorised Traders may stream Actionable 

IOIs and initiate RFSs and RFQs. 

Targeted Streaming Market The iSwap Venue targeted streaming 

market made available by the Operator for 

the submission of streamed Orders and 

Actionable IOIs by Authorised Traders which 

Match in accordance with this Targeted 

Streaming Market Appendix. This execution 

method is not available to US Persons. 

YTM Yield to maturity.

 
 

 

 

2. General 

2.1 This Market Appendix sets out additional Rules for participation and trading of the 

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

business. 

2.2 All actions on the Targeted Streaming Market are subject to MiFID II and MiFIR only 

and comply with all applicable AFM regulations. 

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

Targeted Streaming Market. 

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

Instruments to other Authorised Traders. These indicative prices are not subject to 

the trade execution requirements in section 2(h)(8) of the Act. 

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

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

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. 

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 

TPICAP 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 

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 Authorised Traders on Targeted Streaming 

Instruments in a defined quantity. 

5.2 A RFQ must be submitted to at least three Member 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 Authorised Trader making a 

RFQ are transmitted in the order received by the Venue. An 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 Member Participant, upon receiving a RFQ, may respond to the RFQ with an Order 

that is unique to the Authorised Trader that initiated the RFQ or ignore the request. 

5.4 A RFQ Session will end after the initiator 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 Authorised Traders on Targeted Streaming 

Instruments in an undefined quantity. 

5.6 A RFS must be submitted to at least three Member 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 Authorised Trader making a RFS 

are transmitted in the order received by the Venue. An 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 Member Participant, upon receiving a RFS may respond to the RFS with a streamed 

Order that is unique to the Market User that initiated the RFS or ignore the request. 

5.8 A RFS Session will end after the initiator 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 Authorised Traders may submit Orders and Actionable IOIs onto the Targeted 

Streaming Market directly via the Application Program Interface (API), or via the iSwap front-end application, with all such Orders and Actionable IOIs being governed 

by these Rules. For the avoidance of doubt Actionable IOIs are only submitted prior 

to the initiation of the RFS or RFQ session. 

 
 

 

 

Order Size 

5.10 The minimum Order and Actionable IOI size limits are, for IRS Eligible Instruments in 

Euro with: 

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

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

duration equivalent of EUR 4.9m with a maturity of 20 years; and 

5.10.3 a maturity of greater than 20 years, EUR 4.9m. 

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

5.11 Authorised Traders that perform name-disclosed requests will be able to see Orders 

and Actionable IOIs from Member Participants to whom they direct their requests . 

5.12 Member Participants can determine which of its Orders and Actionable IOIs will be 

visible to and available to Match with each Authorised Trader performing namedisclosed requests. 

5.13 Member Participants will be able to view their own Orders and Actionable IOIs and 

any visible Orders and Actionable IOIs placed by Authorised Traders from requests 

directed to them. 

5.14 Authorised Traders performing name-disclosed requests will be able to view the 

identity of Member 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 Orders and Actionable IOIs. 

Order Matching Priority

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

5.16.1 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). 

5.16.2 Manually by selecting an Order that the Authorised Trader wants to Match 

with (“Order Pick Matching”). 

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

submitted 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 TPICAP 

Europe S.A. 

7. Trade Publication 

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

rules.