ICAP Global Derivatives Limited

2 Broadgate

London

United Kingdom

EC2M 7UR

August 10, 2022

Submitted via CFTC Portal

Mr. Christopher J. Kirkpatrick 

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

Re: ICAP Global Derivatives Limited – Regulation 40.6(a) Rule Certification –

Notification of Amendments to IGDL Discount Structure Appendix (IGDL-2022-

R-5)

Dear Mr. Kirkpatrick: 

Pursuant to Section 5c(c) of the Commodity Exchange Act, as amended (the “Act”), and Section 

40.6(a) of the regulations of the Commodity Futures Trading Commission (the “Commission”), 

ICAP Global Derivatives Limited (“IGDL”), a registered swap execution facility, hereby notifies 

the Commission that it wishes to amend the IGDL SEF Discount Structure Appendix to its fee 

schedule (the “IGDL Discount Structure Appendix”), as described more fully in the Exhibits 

attached hereto. The amended IGDL Discount Structure Appendix will become effective on

August 24, 2022.

Pursuant to Commission Regulation 40.6, this submission includes:

(i) A concise explanation and analysis of the amended IGDL Discount Structure 

Appendix and its compliance with applicable provisions of the Act, attached as 

Exhibit A;

(ii) A clean copy of the amended IGDL Discount Structure Appendix, attached as Exhibit 

B; and

(iii) A copy of the amended IGDL Discount Structure Appendix marked to show changes 

to the currently effective version, attached as Exhibit C.
Mr. Christopher J. Kirkpatrick

August 10, 2022

Page 2

IGDL hereby certifies that the amendment complies with the requirements of the Act and 

Commission regulations thereunder. IGDL is not aware of any substantive opposing views 

expressed with respect to this filing and certifies that, concurrent with this filing, a copy of this 

submission was posted on IGDL’s website.

Please contact Brian D. Donnelly, Chief Compliance Officer, at (201) 984-6956 or by email at 

bddonnelly@tullettprebon.com with any questions regarding this matter.

Very truly yours,

ICAP Global Derivatives Limited

By: __________________________

Name: Brian D. Donnelly

Title: Chief Compliance Officer

Date: August 10, 2022

Enclosures

cc: CFTC Division of Market Oversight (dmosubmissions@cftc.gov)

Nancy Markowitz, CFTC (nmarkowitz@cftc.gov) 
Mr. Christopher J. Kirkpatrick

August 10, 2022

EXHIBIT A

Explanation of Amendments to IGDL Discount Structure Appendix

IGDL has amended the IGDL Discount Structure Appendix to make the following changes:

• Revised the market maker discount and program incentives to apply to the following 

month’s gross voice brokerage for the corresponding calculation period.

• Removed market maker discounts from being reflected in the total monthly electronic 

fees. 

• Removed the “Key Notes” for i-Swap market maker discounts on IGDL voice brokerage 

invoices. 

• Revised the market maker risk requirements.

• Made certain non-substantive and conforming changes.

IGDL has reviewed the swap execution facility core principles (“Core Principles”) as set forth in 

the Act and has determined that each of the foregoing changes complies with the requirements of 

impartial access in Core Principle 2 and Commission Regulation 37.202 because all fees will be 

applied in an impartial, fair and non-discriminatory manner.
Mr. Christopher J. Kirkpatrick

August 10, 2022

EXHIBIT B

IGDL Discount Structure Appendix

(Clean Version)
 

TP ICAP Classification: Confidential

IGDL SEF Discount 

Structure Appendix

August 2022

ACTIVE 232161307
2

IGDL Discount Structure

Brokerage Discounts for i-Swap

Brokerage Discounts • i-Swap rate is 0.0175 bp

• Trader-entered and Broker-entered transactions are eligible to 

offset i-Swap minimum fees

Progressive Brokerage Discounts for Voice

Brokerage Discounts Monthly Threshold Discount

(thresholds based off and $175,000 to $249,999 5%

discounts applied to gross $250,000 to $324,999 10%

voice execution brokerage $325,000 to $399,999 25%

in the current month)1

$400,000 or Greater 40%

i-Swap Market Maker Program

Market Maker • Applies only to i-Swap Market Makers who qualify

Discount (applied to • Market Makers ranked based on Top of Book status

voice gross brokerage in Rank Discount

following month)1

#1 15%

#2 13%

#3 10%

Key Notes: IGDL Discount Structure

For Volume Discounts on Voice Brokerage:

1. Discounts are determined by combining New York and London gross voice execution brokerage 

and applied to activity during both London and New York hours as a rebate at the end of the 

month.

2. “Gross voice execution brokerage” means in respect of a Participant (i) brokerage accrued by 

the participant for all transactions executed using Voice RFQ and (ii) all transaction fees accrued 

by the participant for all transactions transacted using Broker-entered orders, including 

1 Applies to all USD and CAD products listed on SEF Fee Card, when traded in-SEF with IGDL.
3

brokerage on Clearing House Basis Swaps transacted using Voice RFQ or Broker-entered 

orders.

3. Thresholds that determine the amount of the discount are calculated based on, and discounts 

are applied to, the gross voice execution brokerage accrued by a participant for the current 

month. Voice volume discounts are progressive and apply to the amount accrued over the 

threshold of the respective tier reached.

For i-Swap fees (as described on the Trade Execution Fee Card tab of the IGDL SEF Fee Card):

1. Calculation of “Total Monthly Electronic Fees” for i-Swap are the greater of the following:

a. “Trader-entered” transaction fees plus “Broker-entered” transaction fees2; or

b. Minimum TPH i-Swap Front End User Minimum Fee3

2. The i-Swap invoice will reflect the Total Monthly Electronic Fees (as defined above) less any 

Broker-entered transaction fees.

i-Swap Market Maker Program

Summary

IGDL offers Market Maker incentives based on a participant’s streaming activity on i-Swap for Medium 

Term Interest Rate Swap instruments. Market Maker requirements are outlined in the table below, and 

incentives awarded are based on the participant’s final rank in the League Table. The League Table 

rankings are computed by IGDL using the below defined League Table Methodology. 

Market Makers must provide the Order Book with an Executable Price Stream for at least 60% of the 

Monitored Trading Day, averaged over each calendar month. 

Market Maker Program Incentives:

Market Makers who qualify for the Market Maker Program discount will be ranked according to the below 

League Table Methodology.

2 Trader-entered and Broker-entered are defined on the “Notes” tab of the ICAP Global Derivatives Limited Trade 

Execution Fee Card. This calculation includes fees for Clearing House Basis Swaps. 

3

See Minimum Fees on the Fees tab of the IGDL SEF Fee Card
4

The number one overall ranked Market Maker receives a 15% discount on their following month’s gross 

voice brokerage for the corresponding Calculation Period.

The number two overall ranked Market Maker receives a 13% discount on their following month’s gross 

voice brokerage for the corresponding Calculation Period.

The number three overall ranked Market Maker receives a 10% discount on their following month’s

gross voice brokerage for the corresponding Calculation Period.

Market Maker Risk Requirements

Tenor/

Strategy

Minimum Size 

(mm):

Max B/O:

SOFR OIS Outrights

Max B/O:

SOFR OIS Spreadovers

2y 200 0.625 bps 0.625 bps

3y 100 0.625 bps 0.625 bps

5y 50 0.625 bps 0.625 bps

7y 30 0.75 bps 0.625 bps

10y 25 0.75 bps 0.625 bps

30y 10 0.75 bps 0.625 bps

5x10 50 0.625 bps 0.75 bps

5x30 15 0.625 bps 0.75 bps

10x30 20 0.625 bps 0.75 bps

2x5x10 100 0.75 bps 0.75 bps

5x7x10 100 0.625 bps 0.625 bps

5x10x30 50 0.625 bps 0.625 bps

Risk Units Required: 8

% of Day Quoted: 60%

Market Maker Risk Units

To qualify for Market Maker status, participant must stream a minimum of 8 Risk Units. A Risk Unit is 

defined as follows:

• Minimum notional streamed at max bid/offer spread per instrument = 1 Risk Unit. 2x minimum 

notional = 2 risk units, etc.

Example: 

o 10mm 30yr spreadover = 1 Risk Unit

o 100mm 5yr outright = 2 Risk Units

• Limit 3 Risk Units per Instrument

• Participant can choose any 8 Risk Units to stream from Market Maker table above.
5

League Table Methodology

League Table rank in the Market Maker Program is computed using Top of Book Points on a per 

instrument basis during the Calculation Period. 

The score per instrument is computed as follows: 

Market Maker with highest percentage of day spent on Top of Book status awarded 

one point per bid or offer side, per instrument, per day.

Top of Book Points will be awarded on instruments listed in the above table only.

The Market Maker final score is computed as the sum of their Top of Book Points each day and 

aggregated on a Month to Date basis. Each Market Maker is ranked on their computed final monthly total 

score. 

Calculation Period

Any discounts achieved will be applied to the rate in effect during the hours set forth in the following table. 

Market Maker ranking will be calculated independently in each location using the following hours (i.e.,

IGDL will calculate rankings for the 7:30 am LDN to 7:00 am NY time period and rankings for the 7:00 am 

NY to 5:00 pm NY time period).

Calculation Day Calculation Time

London Hours 7:30am LDN to 7:00am NY

New York Hours 7:00am NY to 5:00pm NY

Definitions
Mr. Christopher J. Kirkpatrick

August 10, 2022

EXHIBIT C

IGDL Discount Structure Appendix

(Marked Version)
 

TP ICAP Classification: Confidential

IGDL SEF Discount 

Structure Appendix

JulyAugust 2022

ACTIVE 232161307
2

IGDL Discount Structure

Brokerage Discounts for i-Swap

Brokerage Discounts • i-Swap rate is 0.0175 bp

• Trader-entered and Broker-entered transactions are eligible to 

offset i-Swap minimum fees

Progressive Brokerage Discounts for Voice

Brokerage Discounts Monthly Threshold Discount

(thresholds based off and $175,000 to $249,999 5%

discounts applied to gross $250,000 to $324,999 10%

voice execution brokerage $325,000 to $399,999 25%

in the current month)1 $400,000 or Greater 40%

i-Swap Market Maker Program

Market Maker • Applies only to i-Swap Market Makers who qualify

Discount (applied to • Market Makers ranked based on Top of Book status

current month’svoice 

gross brokerage in Rank Discount

voice executionfollowing 

month)1 #1 15%

brokerage)1 #2 13%

#3 10%

Key Notes: IGDL Discount Structure

For Volume Discounts on Voice Brokerage:

1. Discounts are determined by combining New York and London gross voice execution brokerage 

and applied to activity during both London and New York hours as a rebate at the end of the 

month.

2. “Gross voice execution brokerage” means in respect of a Participant (i) brokerage accrued by 

the participant for all transactions executed using Voice RFQ and (ii) all transaction fees accrued 

 1 Applies to all USD and CAD products listed on SEF Fee Card, when traded in-SEF with IGDL.
3

by the participant for all transactions transacted using Broker-entered orders, including 

brokerage on Clearing House Basis Swaps transacted using Voice RFQ or Broker-entered 

orders.

3. Thresholds that determine the amount of the discount are calculated based on, and discounts 

are applied to, the gross voice execution brokerage accrued by a participant for the current 

month. Voice volume discounts are progressive and apply to the amount accrued over the 

threshold of the respective tier reached.

For i-Swap fees (as described on the Trade Execution Fee Card tab of the IGDL SEF Fee Card):

1. Calculation of “Total Monthly Electronic Fees” for i-Swap are the greater of the following:

a. “Trader-entered” transaction fees plus “Broker-entered” transaction fees2; or

b. Minimum TPH i-Swap Front End User Minimum Fee3

2. The i-Swap invoice will reflect the Total Monthly Electronic Fees (as defined above) less any 

Broker-entered transaction fees and Market Maker discounts.

For i-Swap Market Maker Discounts on IGDL Voice Brokerage Invoice:

1. Discounts are applied to only to the gross voice execution brokerage accrued in the corresponding 

Calculation Period – ie, Market Making in NY Hours will count towards discounts on voice trades 

executed after 7am EST.

i-Swap Market Maker Program

Summary

IGDL offers Market Maker incentives based on a participant’s streaming activity on i-Swap for Medium 

Term Interest Rate Swap instruments. Market Maker requirements are outlined in the table below, and 

incentives awarded are based on the participant’s final rank in the League Table. The League Table 

rankings are computed by IGDL using the below defined League Table Methodology. 

Market Makers must provide the Order Book with an Executable Price Stream for at least 60% of the 

Monitored Trading Day, averaged over each calendar month. 

 2 Trader-entered and Broker-entered are defined on the “Notes” tab of the ICAP Global Derivatives Limited Trade 

Execution Fee Card. This calculation includes fees for Clearing House Basis Swaps. 

3 See Minimum Fees on the Fees tab of the IGDL SEF Fee Card
4

Market Maker Program Incentives:

Market Makers who qualify for the Market Maker Program discount will be ranked according to the below 

League Table Methodology.

The number one overall ranked Market Maker receives a 15% discount on their following month’s gross 

voice brokerage for the corresponding Calculation Period.

The number two overall ranked Market Maker receives a 13% discount on their following month’s gross 

voice brokerage for the corresponding Calculation Period.

The number three overall ranked Market Maker receives a 10% discount on their following month’s

gross voice brokerage for the corresponding Calculation Period.

Market Maker Risk Requirements

Tenor/

Strategy

Minimum Size 

(mm):

Max B/O:

SOFR OIS Outrights

Max B/O:

SOFR OIS Spreadovers

2y 200 0.625 bps 0.625 bps

3y 100 0.625 bps 0.625 bps

5y 50 0.625 bps 0.50.625 bps

7y 30 0.75 bps 0.625 bps

10y 25 0.75 bps 0.50.625 bps

30y 10 0.75 bps 0.625 bps

5x10 50 0.625 bps 0.75 bps

5x30 15 0.625 bps 0.75 bps

10x30 20 0.625 bps 0.75 bps

2x5x10 100 0.75 bps 0.75 bps

5x7x10 100 0.625 bps 0.625 bps

5x10x30 50 0.625 bps 0.625 bps

Risk Units Required: 8

% of Day Quoted: 60%

 

Market Maker Risk Units

To qualify for Market Maker status, participant must stream a minimum of 8 Risk Units. A Risk Unit is 

defined as follows:

• Minimum notional streamed at max bid/offer spread per instrument = 1 Risk Unit. 2x minimum 

notional = 2 risk units, etc.
5

Example: 

o 10mm 30yr spreadover = 1 Risk Unit

o 100mm 5yr outright = 2 Risk Units

• Limit 3 Risk Units per Instrument

• Participant can choose any 8 Risk Units to stream from Market Maker table above.

League Table Methodology

League Table rank in the Market Maker Program is computed using Top of Book Points on a per 

instrument basis during the Calculation Period. 

The score per instrument is computed as follows: 

Market Maker with highest percentage of day spent on Top of Book status awarded 

one point per bid or offer side, per instrument, per day.

Top of Book Points will be awarded on instruments listed in the above table only.

The Market Maker final score is computed as the sum of their Top of Book Points each day and 

aggregated on a Month to Date basis. Each Market Maker is ranked on their computed final monthly total 

score. 

Calculation Period 

Any discounts achieved will be applied to the rate in effect during the hours set forth in the following table. 

Market Maker ranking will be calculated independently in each location using the following hours (i.e.,

IGDL will calculate rankings for the 7:30 am LDN to 7:00 am NY time period and rankings for the 7:00 am 

NY to 5:00 pm NY time period).

Calculation Day Calculation Time

London Hours 7:30am LDN to 7:00am NY

New York Hours 7:00am NY to 5:00pm NY

Definitions