ICAP Global Derivatives Limited 

2 Broadgate 

London 

United Kingdom 

EC2M 7UR 

July 18, 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-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” 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 August 1, 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 

July 18, 2022 

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: July 18, 2022 

Enclosures 

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

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

July 18, 2022 

EXHIBIT A 

Explanation of Amendments to IGDL Discount Structure Appendix 

IGDL has amended the IGDL Discount Structure Appendix to (i) replace the “Brokerage 

Discounts for Voice” with the “Progressive Brokerage Discounts for Voice,” and add new 

discounts and monthly thresholds; (ii) revise the applicability of Market Maker Discount to 

apply to all USD and CAD products listed on SEF Fee Card, when traded in-SEF with IGDL; 

(iii) remove language to clarify the meaning of “Gross voice execution brokerage”; (iv) add that

voice volumes discounts are progressive and apply to the amount accrued over the threshold of

the respective tier reached; and (v) revise the values within the “Market Maker Risk

Requirements”

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 18, 2022 

EXHIBIT B

IGDL Discount Structure Appendix 

(Clean Version) 
 

TP ICAP Classification: Confidential 

IGDL SEF Discount 

Structure Appendix 

July 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’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 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 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 

Tenor Minimum Size 

(mm):

Max B/O: 

SOFR OIS Outrights

Max B/O: 

SOFR OIS Spreadovers

2y 200 0.625bps 0.625bps

3y 100 0.625bps 0.625bps

5y 50 0.625bps 0.5bps

7y 30 0.75bps 0.625bps

10y 25 0.75bps 0.5bps

30y 10 0.75bps 0.625bps

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 

July 18, 2022 

EXHIBIT C

IGDL Discount Structure Appendix 

(Marked Version) 
ACTIVE 232161307

IGDL SEF Discount 

Structure Appendix

October 2021July 2022

TP ICAP Classification: Confidential
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 $75,000175,000 to 

$149,999249,999

5% 

discounts applied to gross $150,000250,000 to 

$249,999324,999

10% 

voice execution brokerage $250,000325,000 to

$399,999

2025%

in the current month)1 $400,000 or Greater 3540%

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.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 and transaction 

fees for Clearing House Basis Swaps transacted usingor 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- i-SwapSwap 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

Tenor Minimum Size 

(mm):

Max B/O: 

SOFR OIS Outrights 

Max B/O: 

SOFR OIS Spreadovers 

2y 200 0.625bps 0.625bps

3y 100 0.625bps 0.625bps

5y 50 0.625bps 0.5bps

7y 30 0.75bps 0.625bps

10y 25 0.75bps 0.5bps

30y 10 0.75bps 0.625bps

Risk Units Required: 8

% of Day Quoted: 60%

Market Maker Risk Units
5

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 
6

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. 
7

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 Day Calculation Time 

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

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

Definitions