ICAP Global Derivatives Limited

2 Broadgate

London

United Kingdom

EC2M 7UR

July 1, 2020

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-2020-

R-4)

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 July

16, 2020.

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

July 1, 2020

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: July 1, 2020

Enclosures

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

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

July 1, 2020

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 brokerage discount for voice thresholds by adding a discount rate of 35% to 

monthly thresholds of $400,000 or greater.

• 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

July 1, 2020

EXHIBIT B

IGDL Discount Structure Appendix

(Clean Version)
 

TP ICAP Classification: Internal

IGDL SEF Discount 

Structure Appendix

July 2020

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

Brokerage Discounts for Voice

Brokerage Discounts 

(thresholds based off and 

discounts applied to gross 

voice execution 

brokerage in the current 

month)1

Monthly Threshold Discount

$75,000 to $149,999 5%

$150,000 to $249,999 10%

$250,000 to $399,999 20%

$400,000 or Greater 35%

i-Swap Streaming Program

Streaming Tiers and 

Discounts (applied to 

gross voice execution 

brokerage in following 

month)

Premium Tier

Rank Discount

 #1 15%

 #2 13%

 #3 12%

 Rest 10%

Base Tier

5% for Base Tier Qualifying Participants

eTrading Discounts

eTrading Discounts

(applied to current 

month’s i-Swap 

brokerage)

• Applies to all i-Swap Participants, no monthly fee required

• Participants ranked based on billable DV01 volume

• Discounts applied to i-Swap brokerage up to $25k

Rank Discount

#1 100%

#2 50%

 

1 Applies to Fixed/Floating USD Interest Rate Swaps. Excludes FRA, OIS, and Single Clearing House Basis swaps.
3

Key Notes: IGDL Discount Structure

For Brokerage Discounts on Voice:

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 

brokerage on Clearing House Basis Swaps transacted using Voice RFQ and transaction fees for 

Clearing House Basis Swaps transacted using 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.

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.

For i-Swap streaming discounts and eTrading Discounts:

1. Participants who qualify for both the Streaming Discount and the eTrading Rebate on any given 

month will receive the greater of the two. 

 

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

eTrading Discount Plan

Summary

IGDL has introduced an eTrading Rebate Plan to reimburse the most active participant by DV01 to the 

top 2 ranks. 

Participants will receive periodic updates on their trading activity regarding their rank by DV01. At the end 

of the month, #1 ranked participant by DV01 will be eligible to receive a full rebate of their electronic 

brokerage up to $25,000 and #2 ranked participant by DV01 each month will be eligible for a 50% rebate 

of their electronic brokerage up to $25,000.

i-Swap Streaming Program

Summary

IGDL offers additional discounts that will be applied towards a participant’s gross voice execution 

brokerage for a particular month based on a participant’s streaming activity on i-Swap for Medium Term 

Interest Rate Swap instruments. IGDL offers two streaming tiers: Premium Streaming Tier and Base 

Streaming Tier. Participants can obtain discounts in the Base Streaming Tier by meeting the streaming 

requirements for the covered instruments set out below in the relevant table. Additionally, participants are 

eligible to achieve greater discounts by meeting the requirements in the Premium Streaming Tier. 

Discount percentage for those that meet the Premium Streaming Tier requirements is 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. 

Discount achieved in any given month in either the Premium Streaming Tier or Base Streaming Tier will 

be applied to the following month’s gross voice execution brokerage.
5

Streaming Tiers

Premium Streaming Risk Units

To qualify for Premium streaming status, participant must stream a minimum of 12 Risk Units. A Risk Unit 

is defined as follows:

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

Example: 

o 10mm 30yr sb = 1 Risk Unit

o 20mm 30yr sb = 2 Risk Units

• Limit 3 Risk Units per Instrument

• Participant can choose any 12 Risk Units to stream from Premium table above.
6

League Table Methodology

League Table rank in the Premium Streaming Tier is computed using Top of Book Points on a per 

instrument basis during the Calculation Time. 

The score per instrument is computed as follows: 

Premium streamer 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 Premium Tier instruments only.

The Participant’s final score is computed as the sum of their Top of Book Points each day and 

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

score. 

Discount Tier Hours

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

Base and Premium Streaming Tiers 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).

Definitions
Mr. Christopher J. Kirkpatrick

July 1, 2020

EXHIBIT C

IGDL Discount Structure Appendix

(Marked Version)
 

TP ICAP Classification: Internal

IGDL SEF Discount 

Structure Appendix

August 2019July 2020

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

Brokerage Discounts for Voice

Brokerage Discounts 

(thresholds based off and 

discounts applied to gross 

voice execution 

brokerage in the current 

month)1

Monthly Threshold Discount

$75,000 to $149,999 5%

$150,000 to $249,999 10%

$250,000 or Greater to $399,999 20%

$400,000 or Greater 35%

i-Swap Streaming Program

Streaming Tiers and 

Discounts (applied to 

gross voice execution 

brokerage in following 

month)

Premium Tier

Rank Discount

 #1 15%

 #2 13%

 #3 12%

 Rest 10%

Base Tier

5% for Base Tier Qualifying Participants

eTrading Discounts

eTrading Discounts 

(applied to current 

month’s i-Swap 

brokerage)

• Applies to all i-Swap Participants, no monthly fee required

• Participants ranked based on billable DV01 volume

• Discounts applied to i-Swap brokerage up to $25k

Rank Discount

#1 100%

#2 50%

 

1 Applies to Fixed/Floating USD Interest Rate Swaps. Excludes FRA, OIS, and Single Clearing House Basis swaps.
3

Key Notes: IGDL Discount Structure

For Brokerage Discounts on Voice:

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 

brokerage on Clearing House Basis Swaps transacted using Voice RFQ and transaction fees for 

Clearing House Basis Swaps transacted using 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.

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.

For i-Swap streaming discounts and eTrading Discounts:

1. Participants who qualify for both the Streaming Discount and the eTrading Rebate on any given 

month will receive the greater of the two. 

 

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

eTrading Discount Plan 

Summary

IGDL has introduced an eTrading Rebate Plan to reimburse the most active participant by DV01 to the 

top 2 ranks. 

Participants will receive periodic updates on their trading activity regarding their rank by DV01. At the end 

of the month, #1 ranked participant by DV01 will be eligible to receive a full rebate of their electronic 

brokerage up to $25,000 and #2 ranked participant by DV01 each month will be eligible for a 50% rebate 

of their electronic brokerage up to $25,000.

i-Swap Streaming Program

Summary

IGDL offers additional discounts that will be applied towards a participant’s gross voice execution 

brokerage for a particular month based on a participant’s streaming activity on i-Swap for Medium Term 

Interest Rate Swap instruments. IGDL offers two streaming tiers: Premium Streaming Tier and Base 

Streaming Tier. Participants can obtain discounts in the Base Streaming Tier by meeting the streaming 

requirements for the covered instruments set out below in the relevant table. Additionally, participants are 

eligible to achieve greater discounts by meeting the requirements in the Premium Streaming Tier. 

Discount percentage for those that meet the Premium Streaming Tier requirements is 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. 

Discount achieved in any given month in either the Premium Streaming Tier or Base Streaming Tier will 

be applied to the following month’s gross voice execution brokerage.
5

Streaming Tiers

 

Premium Streaming Risk Units

To qualify for Premium streaming status, participant must stream a minimum of 12 Risk Units. A Risk Unit 

is defined as follows:

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

Example: 

o 10mm 30yr sb = 1 Risk Unit

o 20mm 30yr sb = 2 Risk Units

• Limit 3 Risk Units per Instrument

• Participant can choose any 12 Risk Units to stream from Premium table above.
6

League Table Methodology

League Table rank in the Premium Streaming Tier is computed using Top of Book Points on a per 

instrument basis during the Calculation Time. 

The score per instrument is computed as follows: 

Premium streamer 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 Premium Tier instruments only.

The Participant’s final score is computed as the sum of their Top of Book Points each day and 

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

score. 

Discount Tier Hours

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

Base and Premium Streaming Tiers 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).

Definitions