ICAP Global Derivatives Limited

2 Broadgate

London

United Kingdom

EC2M 7UR

October 6, 2021

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-2021-

R-8)

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” or 

“CFTC”), 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 October 21, 2021. 

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 

October 6, 2021 

Page 2 

IGDL hereby certifies that the amendments comply 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: October 6, 2021 

Enclosures 

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

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

October 6, 2021 

EXHIBIT A

Explanation of Amendments to IGDL Discount Structure Appendix 

IGDL has amended the IGDL Discount Structure Appendix to (i) replace the “i-Swap Streaming 

Program” with the “i-Swap Market Maker Program,” and add new discounts based on a threetier ranking status; (ii) remove the “eTrading Discounts”; and (iii) clarify that “voice brokerage” 

is referred to as “voice execution brokerage.”

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 

October 6, 2021 

EXHIBIT B

IGDL Discount Structure Appendix 

(Clean Version) 
TP ICAP Classification: Confidential

IGDL SEF Discount 

Structure Appendix

October 2021 

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 Monthly Threshold Discount

(thresholds based off and $75,000 to $149,999 5%

discounts applied to gross $150,000 to $249,999 10%

voice execution brokerage $250,000 to $399,999 20%

in the current month)1 $400,000 or Greater 35%

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’s gross Rank Discount

voice execution #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 

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

 1 Applies to Fixed/Floating USD LIBOR IRS and SOFR OIS. Excludes FRA, EFFR OIS, and Single Clearing House Basis 

swaps.
3

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 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 gross voice brokerage 

for the corresponding Calculation Period.

The number two overall ranked Market Maker receives a 13% discount on their gross voice brokerage 

for the corresponding Calculation Period.

The number three overall ranked Market Maker receives a 10% discount on their gross voice brokerage 

for the corresponding Calculation Period.

Market Maker Risk Requirements

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
5

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
Mr. Christopher J. Kirkpatrick 

October 6, 2021 

EXHIBIT C

IGDL Discount Structure Appendix 

(Marked Version) 
IGDL SEF Discount 

Structure Appendix

JanuaryOctober 2021

ACTIVE 232161307
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 StreamingMarket Maker Program

Market Maker 

DiscountStreaming 

Tiers and Discounts

(applied to current 

month’s gross execution 

voice brokerage in the 

current month)

1

Premium Tier

• Applies only to i-Swap Market Makers who qualify

• Market Makers ranked based on Top of Book status

Rank Discount

 #1 15%

 #2 13%

 #3 102%

 Rest 10%

Base Tier

5% for Base Tier Qualifying Participants

eTrading Discounts

eTrading Discounts 

(applied to current 

month’s i-Swap 

brokerage) 2

• 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%

Key Notes: IGDL Discount Structure

For BrokerageVolume Discounts on Voice Brokerage: 

1 Applies to Fixed/Floating USD LIBOR IRS and SOFR OISInterest Rate Swaps. Excludes FRA, EFFR OIS, and Single 

Clearing House Basis swaps. 2 Applies to participants with i-Swap invoice and includes Broker-entered trades.
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 fees23; or

b. Minimum TPH i-Swap Front End User Minimum Fee34

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 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. 

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.

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.

 23 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. 

34 See Minimum Fees on the Fees tab of the IGDL SEF Fee Card
i-Swap StreamingMarket Maker Program

Summary

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

a particular monthMarket Maker incentives 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 isMarket 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. 

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

will be applied to the current month’s gross voice brokerage.

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.

The number one overall ranked Market Maker receives a 15% discount on their gross voice 

brokerage for the corresponding Calculation Period.

The number two overall ranked Market Maker receives a 13% discount on their gross voice 

brokerage for the corresponding Calculation Period.

The number three overall ranked Market Maker receives a 10% discount on their gross voice 

brokerage for the corresponding Calculation Period.

Market Maker Risk RequirementsStreaming Tiers
 
Premium StreamingMarket Maker Risk Units

To qualify for Premium streamingMarket Maker status, participant must stream a minimum of 128

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 sbspreadover = 1 Risk Unit

o 20100mm 305yr sboutright = 2 Risk Units

• Limit 3 Risk Units per Instrument

• Participant can choose any 128 Risk Units to stream from PremiumMarket Maker table 

above.

Base Streaming Risk Units

To qualify for Base Streaming status, participant must stream a minimum of 12 Risk Units from the 

Base table at i-Swap’s minimum order entry size and at the max bid/offer spread of 1 bp.

League Table Methodology

League Table rank in the Premium Streaming TierMarket Maker Program is computed using Top of 

Book Points on a per instrument basis during the Calculation TimePeriod. 

The score per instrument is computed as follows: 

Premium streamerMarket 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 pointsBook Points will be awarded on Premium Tier instruments listed in the above table

only.

The Participant’sMarket 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 ParticipantMarket Maker is ranked on their 

computed final monthly total score. 

Discount Tier HoursCalculation Period 

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

table. Base and Premium Streaming TiersMarket 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