BGC Derivative Markets, L.P

Rule Implementation Submission 2021-02

November 5, 2021

1. The texts of the amended Rules are appended as Attachment A. Any additions are 

underlined and any deletions are struck through.

2. The date of intended implementation for these rules is ten business days following the 

filing of this submission.

3. Attached, please find a certification that: (1) these rules comply with the Commodity 

Exchange Act (“Act”), and the Commission’s regulations thereunder; and (2) concurrent 

with this submission, BGCDMLP posted on its website: (i) a notice of pending 

certification of the rule amendments with the Commission; and (ii) a copy of this 

submission.

4. A concise explanation and analysis of the operation, purpose, and effect of each of the 

amended rules appears below.

5. There were no opposing views expressed regarding these amended rules.

6. Confidential treatment is not requested.

CONCISE EXPLANATION AND ANALYSIS OF THE OPERATION, PURPOSE, AND 

EFFECT OF THE RULE AMENDMENT AND ITS COMPLIANCE WITH APPLICABLE 

PROVISIONS OF THE ACT, INCLUDING CORE PRINCIPLES AND THE 

COMMISSION’S REGULATIONS THEREUNDER

Pursuant to Commission Rule 40.6(a)(7)(vi), the following is a concise explanation and analysis 

of the operation, purpose, and effect of the amended rules. The attached amendments are 

cumulative and in response to suggestions and guidance from the staff during the course of the 

staff review of the BGCDMLP application for registration as a Swap Execution Facility. These 

amendments are either:

(1) technical corrections to align the rules more closely with the language of Commission 

Rules; and/or

(2) amendments made in response to guidance of Commission staff.

The following chart identifies the changed rules and notes the effect of the change and an 

explanation of the operation, purpose, and effect of the change.
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CONCISE EXPLANATION AND ANALYSIS OF THE OPERATION, PURPOSE, AND 

EFFECT OF THE RULE AMENDMENT AND ITS COMPLIANCE WITH APPLICABLE 

PROVISIONS OF THE ACT

Rule Rule Title Effect

203(a) Establishment of Regulatory 

Oversight Committee

Amend rule to clarify composition of 

Regulatory Oversight Committee.

204(a) Establishment of the Disciplinary 

Committee

Amend rule to clarify how members of 

Disciplinary Committee are appointed.

602(b)

602(c)

602(d)

602(e)

Trade Execution via Electronic 

Order Book

Remove subsets of rules not currently 

being utilized.

603(b)(i)(F) Orders Amend text to clarify rule.

703(c) Voice Trading Facility Remove subsets of rules not currently 

being utilized.
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CERTIFICATIONS PURSUANT TO SECTION 5c OF THE COMMODITY EXCHANGE 

ACT, 7 U.S.C. §7A-2 AND COMMODITY FUTURES TRADING COMMISSION RULE 40.6, 

17 C.F.R. §40.6

I hereby certify that:

(1) the amended Rules above comply with the Commodity Exchange Act, and the 

Commodity Futures Trading Commission’s regulations thereunder; and

(2) concurrent with this submission, BGC Derivative Markets, L.P. posted on its website:

(a) a notice of pending certification of the above Rules with the Commission; and (b) 

a copy of this submission

By: Michael C. Sulfaro

Title: Chief Compliance Officer 

Date: November 5, 2021
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BGC Derivative Markets, L.P. Rules

PART 2. GOVERNANCE.

203. Regulatory Oversight Committee

(a) Establishment of Regulatory Oversight Committee. The Regulatory Oversight

Committee (“ROC”) is a subcommittee of the Board of Directors of the Facility, 

and shall be composed of no fewer than threePublic Ddirectors only. In the event of an 

even number of Public Directors in the ROC, the chair of the ROC shall have the tie 

breaker vote. The ROC shall be appointed by theBoard of Directors.

204. Disciplinary Committee.

(a) Establishment of the Disciplinary Committee. The Disciplinary Committee is a

committee of the Facility whose members shall consist of such members appointed

bythe Chief Executive OfficerBoard of Directors of the Facility. The members of 

the Disciplinary Committee shall constitute the Facility’s Review Panel(s) and

Hearing Panel(s). A member of a Hearing Panel may not serve as a member of the 

Review Panel in the same matter and each Hearing Panel and each Review Panel must 

include a member that is not a Participant of the Facility.

PART 6. TRADING VIA ELECTRONIC ORDERBOOK.

602. Trade Execution via Electronic Order Book.

(a) Volume Clear Trading (“Fully Electronic Work-Up”).

(i) in order to encourage Participants to provide liquidity to the market during

the Electronic Order Book Trading Session, a Participant that executes a

transaction and exhausts all of the Bids (Offers) displayed on the

ElectronicTrading System at that time and at a particular price shall be able

to use the Electronic Trading System to query the parties whose Bids were 

hit (or Offers lifted) to request to enter into additional transactions at the

same price.

(ii) the Electronic Trading System on behalf of the Participant shall query the

parties in the order in which their Bids (Offers) were executed. The

Participant enters a request to the Electronic Trading System for additional

volume which shall remain open with each such contra-counterparty party

forthe number of seconds specified by the Electronic Trading System, 

which number may vary according by category or class of Swap. Once the 

time hasexpired for the original executing parties, all market Participants
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may be then matched with contra-requests for additional volume of 

transactions. Separatetransactions entered into during the work-up process

will not be confirmed or reported as a single aggregate transaction.

(b) Volume Match Trading Facility. The Volume Match Trading Facility is an auction

Trading Session separate and distinct from the Electronic Order Book Trading

Session and is held periodically during the Business Day. All trades during the 

Volume MatchTrading Session matched subsequent to the Opening Period will be

executed at a single price and in time order of priority. The Facility shall announce a 

Volume Match Trading Session not less than five minutes before it commences. A 

Volume Match Trading Session may be held once or more during the day at set

times or as announced in response to market demand and these timings may vary by

particular Swap contract.

(i) Opening Period. The Volume Match Trading Session begins by the

Facilitygathering indications of interest from potential market 

participants with respect to volume, Bids or Offers (the “Opening 

Period”). The Facility willannounce the length of the Opening Period at

its commencement.

(A) During the Opening Period, Participants may enter Executable 

andIndicative Orders into the Electronic Order Book. 

Executable orders in the Electronic Order Book may

immediately match in fullor in part during the opening period.

(B) The Facility will announce to the market the end of the

OpeningPeriod at least two minutes prior to its ending.

(ii) Matching Session. Upon the close of the Opening Period, the Facility will

announce the price that it determines in its discretion to be the proposed 

market clearing price (the “Volume Match Price”). The Volume Match Price, 

is determined by the Facility acting in its discretion, the functions of which

may, but are not required to, be carried out by an Execution Specialist acting 

for the Facility.

(A) In determining the Volume Match Price, the Facility shall adhere

to the following procedures: The Facility begins the process of

determining the Volume Match proposed price, as provided in

paragraph (c)(i)(A) by sending one or more of Voice, electronic

orany other form of notice to all market Participants active on 

the Facility at that time, including natural persons active on the

Facility or their automated order entry systems, and issuing a

system alert announcing the beginning of a Volume Match or

Volume Match Plus trading session. The notice or notices shall

indicate the Swap product which will be traded during the 

sessionand specify the time until the trading session 
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commences. When announcing by Voice, the Facility shall 

ensure that the announcement is made to all Participants active 

on the Facility through Voice at that time.

(B) Determination of the proposed market-clearing price shall 

includeany one or a combination of a number of inputs, in the 

discretion of the Facility. The particular inputs to be used are in 

the discretion of the Facility. They include prices of 

transactions, executable or indicative bids or offers or historical 

prices on the Facility or any other registered SEF or designated

contract market;prices derived from transactions, executable or 

indicative bids or offers or historical prices on the Facility or 

any other registered SEF or designated contract market; and 

views of active market participants.

(1) Prices of the Subject Swap. Prices from the 

Facility or from any registered SEF or designated 

contract market for the Swap that is the subject of 

the Volume Match will include, where available, the

last price of a transaction, executable or indicative

bids and offers orhistorical prices on the Facility or 

from any other registered SEF or designated 

contract market for the Swap.

(2) Derived Prices. Where such prices and/or 

executable or indicative bids or offers are

unavailable for the Swapthat is the subject of the 

Volume Match, the Facility shall apply analytical 

analysis to prices, executable or indicative bids or 

offers, or historical price informationfor a similar 

Swap traded on the Facility or any other registered 

SEF or designated contract market to determine the

proposed Volume Match Price.

a.) The Facility may also apply analytics where bids or

offers are available from the Facility or any other

registered SEF or designated contract market but

because of the width of the bid/offer spread or other

factors, the mid-market price may be ambiguous and 

the application of such analytics would provide

additional clarity. Such analytical analysis may

include, for example, but is not limited to, empirical

cash flow valuations using Libor, Euribor and

Overnight Interest Rate bootstrapped Discount Factor

curves and forward forecasting curves, credit

adjustment and valuation models and options
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modelling using, but not limited to, industry standard 

Black Scholes, adjusted Black Scholes (Garman 

Kohlhagen) and Stochastic Options models on

specific option structures.

(3) Market Participant Views. The Facility may also

request the views of active market Participants and

consider such views in determining the proposed

Volume Match Price. In requesting the views of

activemarket Participants, the Facility:

a.) must act fairly in determining which active market

Participants to survey;

b.) must weigh the views of market Participants 

based on market conditions and not on factors

unrelated tothe Participant’s assessment of 

market conditions, and shall not knowingly ask 

for or receive a marketview intended solely to 

favor the market Participant’s position;

c.) shall not attempt to coerce or pressure an active

market Participant to respond to the request for

theirviews or to alter a view once it has been 

expressed; and

d.) shall not divulge any information regarding

the positions or intentions of any other 

Participant without the consent of such

Participant.

e.) In using responses from active market 

Participants as an input in the determination of 

the proposed Volume Match price, the Facility 

shall use its best efforts, acting in good faith, to 

disregard any pricesthat are outliers from the

consensus view expressed.

f.) All contacts with active market Participants shall 

be made only via BGC communications media 

and theFacility will record all oral information

requests andresponses thereto and retain a record 

of all oral or written information requests and 

responses thereto in accordance with

Commission Rule 1.31.
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(iii) Conclusion of Matching Session. With the announcement of the 

proposedVolume Match Price the auction will commence (the 

“Matching Session”). Participants may then submit the notional 

amount of Swaps they want to buy or sell at the Volume Match Price. 

Participants may withdraw any pending, unexecuted Orders during the 

Matching Session. All transactions effected during the Matching 

Session are executed at the Volume Match Price and are matched via a 

pre-determined non- discretionary automated trade matching system

using time priority. Tradesare matched in sequence of Order entry 

(except for “all-or-none” Orders which may be matched at a later 

priority in order to fulfill their size requirement) until all Orders are 

filled or market supply exhausted at the Volume Match price. Any 

unfilled Orders are cancelled, unless expresslyrequested by the

Participant to be transferred to the Electronic Order BookTrading

Session as a new Order.

(c) Volume Match Plus (“VM Plus”) Trading Facility. The VM Plus Trading Facility is

an auction Trading Session separate and distinct from the Regular Trading Session 

held periodically during the Business Day. A VM Plus Trading Session will be 

executed inprice and time order of priority. The Facility shall announce a VM Plus 

Trading Session within a specified period of time before it commences. A VM Plus 

Trading Session may be held once or more during the day at set times or as 

announced in response to market demand and may vary by particular Swap contract.

(i) Opening Period. The VM Plus Trading Session begins by the Facility

gathering indications of interest from potential market participants with

respect to volume, Bids or Offers (the “Opening Period”). The Facility

willannounce the length of the Opening Period at its commencement.

(A) During the Opening Period, Participants may enter Executable

andIndicative Orders into the Electronic Order Book. 

Notwithstandingthe matching procedure in subparagraph (d)(ii), 

during the Opening Period, executable orders in the Electronic 

Order Book may immediately match in full or in part during the 

opening period.

(B) The Facility will announce to the market the end of the

OpeningPeriod two minutes prior to its ending.

(ii) Matching Session. Upon the close of the Opening Period, the Facility will

announce the price that it determines in its discretion to be the marketclearing price (the “Volume Match Price”) using the procedure provided 

in subsection (c)(iii) of this Rule 602 and will commence the auction (the

“Matching Session”). Participants may then submit the notional amount 

of Swaps they want to buy or sell at the Volume Match Price. Participants 

maywithdraw any pending, unexecuted Orders during the Matching 

Session. Alltransactions effected during the Matching Session are 
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executed at the Volume Match Price and are matched using time priority. 

Trades are matched in sequence of Order entry (except for “all-or-none” 

Orders which may be matched at a later priority in order to fulfill their 

size requirement) until all Orders are filled or market supply is exhausted

at the Volume Matchprice.

(iii) In the VM Plus trading session, an Authorized Participant may bid

higheror offer lower than the VM price displayed. Where such higher 

bid or lower offer meets no contra size to trade, the Volume Match 

price originally indicated prevails until a trade is subsequently 

executed at the new, more aggressive price level, which becomes the

new Volume Match price displayed.

Any unfilled Orders are cancelled, unless expressly requested to be

transferred to the Electronic Order Book Trading Session as a new Order.

(d) Customer Match Trading Facility. The “Customer Match Trading Facility” is a

Trading Session separate and distinct from the Electronic Order Book Trading

Sessionheld periodically during the Business Day during which prices are 

determined by the interaction of multiple Participants entering Bids and Offers into

the Trading System’sCustomer Match Session. The Facility shall announce a 

Customer Match Trading Session no less than five minutes before it commences. 

Customer Match Trading Session auctions will be held at pre-established times 

during the day and/or in the discretion of the Facility in response to market 

demand, which may vary by Swap contract.

(i) Opening Period. The Customer Match Trading Session begins by

Participants entering indicative or executable Bids, Offers and

Bid/Offerquotes into the Trading System’s Customer Match Trading

Session. TheFacility will announce the length of the Opening period 

at its commencement. All Participants are invited to quote.

(ii) Executable Bids and Offers entered into the Customer Match Trading

Session during the Opening Period will not be matched until the end of 

the Opening Period if a matched or crossed orders result. Bids and Offers

may bewithdrawn at any time prior to the end of the Opening Period.

(iii) The Trading System counts down with a visual indicator to Participants

indicating the end of the Opening Period. Upon the close of the Opening

Period, the Trading System calculates the market price using executable

Bidsand Offers from the multiple Participants, and crosses any Bids and 

Offers (e.g. a Bid which has been entered at a price above an Offer and 

vice versa) which were not withdrawn during the Opening Session such 

that the price chosen for the ensuing Matching Session is that at which the 

maximum volume can be traded. Where executable Bids and Offers do 

not cross (e.g. the price levels of all the Bids are below the levels of all the

Offers), the mid-price is ascertained arithmetically. In the absence of 
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executable orders, Indicative Orders may be used as the basis for the

market price.

(iv) Matching Session. At the beginning of the Matching Session, the Facility

will announce the market price (“Customer Match Price”) ascertained at 

the end of the Opening Period. Where Bids and Offers that crossed during 

the Opening Period created a trade execution which generated the midprice, Participants may then submit the notional amount of Swaps they

further wishto buy or sell at the Customer Match Price. All trades are 

executed at the Customer Match Price and matched using time priority 

(except for those matched during the Opening Period which used price 

and time priority). Orders may be withdrawn until they have been 

executed. The trades are matched in sequence of Order entry until all 

Orders are filled or market supply is exhausted. Any unfilled Orders are 

not disclosed and are cancelledat the end of the session unless expressly 

requested to be returned to the Electronic Order Book Trading Session.

603. Orders.

(F) AON Cross. Following the pre-execution communication, as permitted under Rule 505, 

an All-Or-None Request for Cross (“AONX”), which contains both the buy and the sell 

orders, must be entered onto the Electronic Order Book, either by a party to the

transaction or by an agent on behalf of the participants. Uponentry of the AONX, the 

Electronic Order Book will display an indication that a cross will occur in fifteen (15)

seconds. If the AONX price improves both the best bid and best offer (or if there is no

bid/offer) in the Electronic Order Book, after fifteen (15) seconds following the 

submission of the AONX, the full quantity will be matched at the AONX price. If the 

AONX price matches or is outside thebest bid or offer in the Electronic Order Book, the 

applicable side of the AONX order will match against the order in the Electronic Order 

Book at a price better than or equal to the AONX price, at any point during the fifteen 

(15)second period, provided the Electronic Order Book quantity is the same or higher 

than the quantity of the AONX cross request. Immediately thereafter, any unexecuted 

order remaining in the AONX cross request will be cancelled. Following the pre-execution 

communication, as permitted under Rule 505, a Request for Cross (“RFC”) order will be 

entered into the Electronic Order Book where the first party’s order is entered into the 

Electronic Order Book first. The second party’s order may not be entered into the Electronic 

Order Book until a period of fifteen (15) seconds has elapsed The orders may be entered by 

either party to the transaction or by an agent on behalf of the participants. The first party’s 

order will immediately match against any orders in the Electronic Order Book on the opposite 

side of the market which are at a price better than or equal to the price of the first order and 

will complete the order. The AON Cross will not interact with prices in quantities less than the 

order size of the transaction.
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PART 7. TRADING VIA VOICE FUNCTIONALITY.

703. Voice Trading Facility.

(c) Additional Voice Trading Facilities. If, in the discretion of the Execution Specialist,

there is sufficient trading interest at any particular time, the Execution Specialist may

announce the initiation of any one of the Voice Trading Facility Trading Sessions

provided for in sub-paragraphs (i), (ii), or (iii). Additional Voice Trading Facility

Trading Sessions are separate from the Regular Voice Trading Facility Trading

Sessionand the Technology-Assisted Voice Trading Facility Trading Session 

provided in paragraphs (a) and (b) respectively. Additional Voice Trading Facility 

Trading Sessions may be structured in the manner that, in the judgment of the 

Execution Specialist, will provide for a robust exchange of indications of interest, or 

Bids and Offers by multiple parties. In order for trading to occur in an Additional

Voice Trading Facility Trading Session, there must be no fewer than four 

participating Participants. Additional Voice Trading Facilities are as follows:

i. Volume Match Voice Trading Facility. A Volume Match Voice Trading

Facility Trading Session, if initiated by the Execution Specialist, will

operateas provided in Rule 602(b).

ii. Volume Match Plus Voice Trading Facility. A Volume Match Plus 

Voice Trading Facility Trading Session, if initiated by the Execution

Specialist, willoperate as provided in Rule 602(c).

iii. Customer Match Voice Trading Facility. A Customer Match Voice

Trading Facility Trading Session, if initiated by the Execution Specialist,

willoperate as provided in Rule 602(e).