GFI Swaps Exchange LLC

Rule Implementation Submission 21-0002

December 31, 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 amendments is effective 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, GFI Swaps Exchange LLC 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 GFI Swaps Exchange LLC 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.
2

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

Rule 508A Mid-Market Level In Rule 508A replace LIBOR with SOFR

Contract Specifications Appendix A In Table of Contents replace LIBOR with 

SOFR for GBP Interest Rate Swap

Contract Specifications Appendix A In Table of Contents replace LIBOR with SOFR 

for GBP Interest Rate Swap Fixed to Floating

Contract Specifications Appendix A In Table of Contents replace LIBOR with 

SOFR for GBP Interest Rate MAC

Contract Specifications Appendix A In Table of Contents replace LIBOR with 

SOFR for OIS

Contract Specifications Appendix A In Table of Contents replace LIBOR with 

SOFR for JPY Interest Rate Swap Fixed to 

Floating

Contract Specifications Appendix A In Table of Contents replace LIBOR with 

SOFR for JPY Interest Rate Swap Forward 

Rate Agreement

Contract Specifications Appendix A In Table of Contents add SOFR in 

Swaptions Interest Rate Swaps Basis

Contract Specifications Appendix A In Table of Contents replace add SOFR in 

Swaptions Interest Rate Swaps Fixed to 

Floating

Contract Specifications Appendix A In Table of Contents add SOFR in 

Swaptions Interest Rate Swaps Forward 

Rate Agreement

Contract Specifications Appendix A In Table of Contents add SOFR in 

Swaptions Interest Rate Swaps Market 

Agreed Coupon

Contract Specifications Appendix A In Table of Contents add SOFR in 

Swaptions Interest Rate Swaps Overnight 

Index Swap

Contract Specifications Appendix A In Contract Specs for the Chilean Interest 

Rate Swap Basis replace LIBOR with 

SOFR
3

Contract Specifications Appendix A In Contract Specs for the GBP Libor 

Interest Rate Swap Basis replace LIBOR 

with SOFR

Contract Specifications Appendix A In Contract Specs for the GBP Libor 

Interest Rate Swap Fixed to Floating replace 

LIBOR with SOFR

Contract Specifications Appendix A In Contract Specs for the GBP Libor 

Interest Rate Swap Forward Rate 

Agreement replace LIBOR with SOFR

Contract Specifications Appendix A In Contract Specs for the GBP Libor 

Interest Rate Market Agreed Coupon 

replace LIBOR with SOFR

Contract Specifications Appendix A In Contract Specs for the GBP Libor 

Interest Overnight Index Swap replace 

LIBOR with SOFR

Contract Specifications Appendix A In Contract Specs for the JPY Libor Interest

Basis replace LIBOR with SOFR

Contract Specifications Appendix A In Contract Specs for the JPY Libor Interest

Fixed to Floating replace LIBOR with 

SOFR

Contract Specifications Appendix A In Contract Specs for the JPY Libor Interest

Rate Swap Forward Rate Agreement replace 

LIBOR with SOFR

Contract Specifications Appendix A In Contract Specs for the JPY Libor Interest

Rate Swap Forward Rate Agreement replace 

LIBOR with SOFR

Contract Specifications Appendix A In Contract Specs for the Mexican Peso 

Interest Rate Swap Basis replace LIBOR 

with SOFR

Contract Specifications Appendix A In Contract Specs for the USD Libor 

Interest Rate Swap Basis add SOFR

Contract Specifications Appendix A In Contract Specs for the USD Libor 

Interest Fixed to Floating add SOFR

Contract Specifications Appendix A In Contract Specs for the USD Libor 

Interest Forward Rate Agreement add SOFR

Contract Specifications Appendix A In Contract Specs for the USD Libor 

Interest Rate Market Agreed Coupon add 

SOFR

Contract Specifications Appendix A In Contract Specs for the USD Libor 

Interest Overnight Index Swap add SOFR

Rule 1101 Swap Specifications Added language to reference reliance on 

CFTC No-Action Letters 21-26, 21-27 and 

21-28 for certain contract specifications
4

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, GFI Swaps Exchange LLC. 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: Kenneth Sklover 

Title: Chief Compliance Officer

Date: December 31, 2021 
46

All, the Company will apply analytical analysis to prices, executable or indicative 

bids or offers, or historical price information for a similar Swap traded on the 

Trading Platform, other swap execution facilities or markets to determine the 

proposed Mid-Market Level. The Company also may apply analytics where bids or 

offers are available from on the Trading Platform, other swap execution facilities or 

markets but the mid-market price may be ambiguous because of the width of the 

bid/offer spread or other factors, 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 SOFR Liborf, Euribor and 

Overnight Interest Rate bootstrapped Discount Factor curves and forward 

forecasting curves, credit adjustment and valuation models and options modelling 

using, but not limited to, industry standard Black Scholes, adjusted Black Scholes 

(Garman Kohlhagen) and Stochastic Options models on specific option structures. 

(iii) Market Participant Views. The Company also may request the views 

of active market participants and consider such views in determining the proposed 

Mid-Market Level. In requesting the views of active market participants, the 

Company: (i) will act fairly in determining which active market participants to 

survey; (ii) will weigh the views of market participants based on market conditions 

and not on unrelated factors, and will not knowingly ask for or receive a market 

view intended solely to favor the market participant’s position; (iii) will not attempt 

to coerce or pressure an active market participant to respond to the request for their 

views or to alter a view once it has been expressed; and (iv) will not divulge any 

information regarding the positions or intentions of any other Person without the 

consent of such Person. In using responses from active market participants as an 

input in the determination of the proposed Mid-Market Level, the Company will use 

its best efforts, acting in good faith, to disregard prices that are outliers from the 

consensus view expressed. Any communications (including Voice 

Communications) between the Company and market participants concerning market 

participants’ views in determining the Mid-Market Level will be retained in 

accordance with CFTC Regulation 1.31. 

509. Voice Execution; Brokered Trades

(a) Subject to the requirements of CFTC Regulations relating to the execution of 

Required Transactions and to such instructions as may be given by a Participant or 

Sponsored Access Firm, directions to effect a Swap submitted via Voice Communications 

may be effectuated as the Execution Specialist deems appropriate, taking into account 

liquidity, the size and price of the Order or RFQ, the credit arrangements of the parties to the 

trade (where applicable), and such other factors as such Execution Specialist deems relevant 

in the circumstances. 

(b) An Execution Specialist may facilitate trading in Permitted Transactions by 

making known to Participants and Sponsored Access Firms the existence of trading interest 

in a Swap and communicating Orders, RFQs and Indications of Interest among Participants 
102146184 

CHAPTER 11 

CONTRACTS 

1101. Swap Specifications 

(a) The Company will permit trading in Swaps that will be listed by the 

Company and submitted to the CFTC pursuant to Part 40 of the CFTC Regulations from 

time to time. The contract specifications for all such Swaps are attached hereto as Appendix 

A and incorporated by reference into these Rules. The London Interbank Offered Rate 

(LIBOR) will continue to be permitted as long as CFTC No-Action Letters 21-26, 21-27 

and 21-28 remain in effect. 

(b) The template terms of any non-deliverable forward contract, vanilla FX 

option or exotic FX option recommended by the Emerging Markets Trade Association 

(“EMTA”) or a recognized successor (the “EMTA Template”) are incorporated by 

reference into the product specifications for each relevant non-deliverable forward 

contract, vanilla FX option or exotic FX option. If the terms of an EMTA Template 

conflict with terms the parties may establish through their pre-existing bilateral agreement 

(including, without limitation, Sections 8.1 and 8.2 of the ISDA Definitions and the FX 

Definitions), the terms of the EMTA Template shall prevail. As used in this paragraph 

(b): (i) “ISDA Definitions” means the definitions and provisions contained in the 2006 

ISDA Definitions, as published by the International Swaps and Derivatives Association, 

Inc.; and (ii) “FX Definitions” means the 1998 FX and Currency Option Definitions 

(including Annex A thereto) as published by ISDA, EMTA and The Foreign Exchange 

Committee. 

1102. Rules of the Derivatives Clearing Organization 

(a) The clearing services provided by the Derivatives Clearing Organization 

with respect to any Swap, and the rights and obligations of purchasers and sellers under 

cleared Swaps (including rights and obligations in respect of clearing and settlement, 

variation payments and performance at maturity), will be governed by the rules of the 

Derivatives Clearing Organization. 

(b) Where relevant, delivery of the Commodity underlying a Swap upon 

termination of such Swap and payment of the price in respect thereof shall be made in 

accordance with the rules of the applicable Derivatives Clearing Organization. 

96 
APPENDIX A 

CONTRACT SPECIFICATIONS
A-2

TABLE OF CONTENTS

CREDIT ......................................................................................................................................... 4

Cleared Credit Default Swaps: iTraxx Europe Index Family ................................................ 5 

Cleared Credit Default Swaps: North American CDX Index Family .................................... 7 

Credit Options and Exotic Options ........................................................................................ 9 

iBoxx Standardized TRS Indices ......................................................................................... 11 

Uncleared Credit Default Swaps: iTraxx Europe Index Family .......................................... 12 

Uncleared Credit Default Swaps: Mortgage Indices ............................................................ 14 

Uncleared Credit Default Swaps: North American CDX Index Family .............................. 16 

ENERGY AND COMMODITIES ............................................................................................. 18

Agricultural Swaps ............................................................................................................... 19 

ERCOT Ancillary Services Swaps ....................................................................................... 21 

European Power Swaps ........................................................................................................ 22 

Freight Options .................................................................................................................... 23 

Freight Swaps ....................................................................................................................... 24 

Iron Ore, Coal and Fuel Oil Swaps ...................................................................................... 26 

Natural Gas Options ............................................................................................................. 27 

Natural Gas Swaps ............................................................................................................... 28 

Power Options ...................................................................................................................... 29 

Power Swaps ........................................................................................................................ 32 

Precious Metals Options ...................................................................................................... 33 

EQUITY ....................................................................................................................................... 35

Variance Swaps: NASDAQ-100 Index ................................................................................ 36 

Variance Swaps: Russell 1000 Index ................................................................................... 38 

Variance Swaps: S&P 500 Index .............................................................................................. 

40 

Variance Swaps: S&P Toronto Stock Exchange Index ........................................................ 42 

FOREIGN EXCHANGE ............................................................................................................ 44

Exotic FX Options ............................................................................................................... 45 

Non-deliverable Forwards .................................................................................................... 48 

Vanilla FX Options .............................................................................................................. 51 

INTEREST RATES .................................................................................................................... 52

Brazilian Real Interest Rate Swap: Basis ............................................................................. 53 

Brazilian Real Interest Rate Swap: Fixed-to-Floating .......................................................... 54 

Brazilian Real Interest Rate Swap: Forward Rate Agreement ............................................. 55 
A-3

Chilean Peso Inflation-Protected Interest Rate Forward ...................................................... 56 

Chilean Peso Inflation-Protected Interest Rate Swap ........................................................... 57 

Chilean Peso Interest Rate Swap: Basis ................................................................................58 

Chilean Peso Interest Rate Swap: Fixed-to-Floating ............................................................59 

Chilean Peso Interest Rate Swap: Forward Rate Agreement ................................................60 

Colombian Peso Inflation-Protected Interest Rate Forward ..................................................61 

Colombian Peso Inflation-Protected Interest Rate Swap ......................................................62 

Colombian Peso Interest Rate Swap: Basis ...........................................................................63 

Colombian Peso Interest Rate Swap: Fixed-to-Floating .......................................................64 

Colombian Peso Interest Rate Swap: Forward Rate Agreement ...........................................65 

Euro EURIBOR Interest Rate Swap: Basis ...........................................................................66 

Euro EURIBOR Interest Rate Swap: Fixed-to-Floating .......................................................67 

Euro EURIBOR Interest Rate Swap: Forward Rate Agreement ...........................................68 

Euro EURIBOR Interest Rate Swap: Market Agreed Coupon .............................................69 

Euro EURIBOR Interest Rate Swap: Overnight Index .........................................................70 

GBP SOFRLIBOR Interest Rate Swap: Basis 

................................................................................71 GBP SOFR LIBOR Interest Rate Swap: 

Fixed-to-Floating .............................................................72 

GBP SOFRLIBOR Interest Rate Swap: Forward Rate Agreement 

................................................73 GBP SOFRLIBOR Interest Rate Swap: Market Agreed 

Coupon ...................................................74 

GBP SOFRLIBOR Interest Rate Swap: Overnight Index 

...............................................................75 

JPY SOFRLIBOR Interest Rate Swap: Basis 

.................................................................................76 JPY SOFRLIBOR Interest Rate Swap: 

Fixed-to-Floating ..............................................................77 JPY SOFRLIBOR Interest Rate 

Swap: Forward Rate Agreement .................................................78 Mexican Peso Interest 

Rate Swap: Basis ..............................................................................79 

Mexican Peso Interest Rate Swap: Fixed-to-Floating ...........................................................80 

Mexican Peso Interest Rate Swap: Forward Rate Agreement ...............................................81 

Mexican Peso Unidades de Inversion Rate Swap .................................................................82 

Swaptions ..............................................................................................................................83 

USDSOFR LIBOR Interest Rate Swap: Basis 

................................................................................84 

USD SOFRLIBOR Interest Rate Swap: Fixed-to-Floating 

............................................................85 

USD SOFRLIBOR Interest Rate Swap: Forward Rate Agreement 

................................................86 

USD SOFRLIBOR Interest Rate Swap: Market Agreed 

Coupon...................................................87 

USD SOFRLIBOR Interest Rate Swap: Overnight Index 

..............................................................88 

CREDIT

Subject to the requirements of the Rules, Swaps in the credit asset class may be effected 
The terms and conditions of the swaps incorporate by reference such credit and other terms as 

bilateral agreement. The swaps have the 

A-65

Chilean Peso Interest Rate Swap: Basis

the parties may establish through their pre-existing following 

characteristics: 

Currency Chilean Peso (CLP) 

Floating Rate Indexes SOFR LIBOR/Indice Camara Promedio 

Stated Termination Date 

Range

As negotiated between the parties 

Spot & Forward starting, and broken dates (bespoke tenors) 

Optionality No 

Dual Currencies No 

Conditional Notional 

Amounts

No 
by the DCO in its rules or bylaws are incorporated by reference herein and are the terms and 

conditions of the swap. The swaps have 

A-78

GBP LIBORSOFR Interest Rate Swap: Basis

The terms and conditions of the swap as established the 

following characteristics: 

Currency Sterling (GBP) 

Floating Rate Indexes SOFRLIBOR/SOFRLIBOR 

SOFRLIBOR/SONIAS 

Stated Termination Date 

Range

28 days to 50 years 

Spot & Forward starting, and broken dates (bespoke tenors) 

Optionality No 

Dual Currencies No 

Conditional Notional 

Amounts

No 
by the DCO in its rules or bylaws are incorporated by reference herein and are the terms and 

conditions of the swap. The swaps have 

A-79

GBP LIBOR SOFR Interest Rate Swap: Fixed-toFloating

The terms and conditions of the swap as established the 

following characteristics: 

Currency Sterling (GBP) 

Floating Rate Indexes SOFRLIBOR 

Stated Start Date Range 28 days to 50 years 

Spot & Forward starting, and broken dates (bespoke tenors) 

Optionality No 

Dual Currencies No 

Conditional Notional 

Amounts

No 
A-80

GBP LIBOR SOFR Interest Rate Swap: Forward Rate Agreement

The terms and conditions of the swap as established by the DCO in its rules or bylaws are 

incorporated by reference herein and are the terms and conditions of the swap. The swaps have the 

following characteristics: 

Currency Sterling (GBP) 

Floating Rate Indexes SOFRLIBOR 

Stated Termination Date 

Range

3 days to 3 years 

Optionality No 

Dual Currencies No 

Conditional Notional 

Amounts

No 
by the DCO in its rules or bylaws are incorporated by reference herein and are the terms and 

conditions of the swap. The swaps have 

A-81

GBP LIBOR SOFR Interest Rate Swap: Market Agreed Coupon

The terms and conditions of the swap as established by the DCO in its rules or bylaws are 

incorporated by reference herein and are the terms and conditions of the swap. The swaps have the 

following characteristics: 

Currency Sterling 

Fixed Coupon http://www.sifma.org/services/standard-forms-anddocumentation/swaps/ 

Floating Rate Indexes SOFRLIBOR 

Tenors 1y, 2yrs, 3yrs, 5yrs, 7yrs, 10yrs, 15yrs, 20yrs, 30yrs 

Effective Dates IMM dates (3rd Weds of March, June, September, December) 
A-82

GBP LIBOR SOFR Interest Rate Swap: Overnight 

Index

The terms and conditions of the swap as established the 

following characteristics: 

Currency Sterling (GBP) (“SONIAS”) 

Floating Rate Indexes SOFRLIBOR

Stated Termination Date 

Range

7 days to 50 years 

Spot & Forward starting, and broken dates (bespoke tenors) 

Optionality No 

Dual Currencies No 

Conditional Notional 

Amounts

No 
by the DCO in its rules or bylaws are incorporated by reference herein and are the terms and 

conditions of the swap. The swaps have 

A-83

JPY LIBORSOFR Interest Rate Swap: Basis

The terms and conditions of the swap as established the 

following characteristics: 

Currency Yen (JPY) 

Floating Rate Indexes SOFRLIBOR 

Stated Start Date Range 28 days to 30 years 

Spot & Forward starting, and broken dates (bespoke tenors) 

Optionality No 

Dual Currencies No 

Conditional Notional 

Amounts

No 
A-84

JPY SOFRLIBOR Interest Rate Swap: Fixed-toFloating

The terms and conditions of the swap as established the 

following characteristics: 

Currency Yen (JPY) 

Floating Rate Indexes SOFR

LIBOR 

Stated Start Date Range 28 days to 30 years 

Spot & Forward starting, and broken dates (bespoke tenors) 

Optionality No 

Dual Currencies No 

Conditional Notional 

Amounts

No 
by the DCO in its rules or bylaws are incorporated by reference herein and are the terms and 

conditions of the swap. The swaps have 

A-85

JPY SOFRLIBOR Interest Rate Swap: Forward Rate Agreement

The terms and conditions of the swap as established by the DCO in its rules or bylaws are 

incorporated by reference herein and are the terms and conditions of the swap. The swaps have the 

following characteristics: 

Currency Yen (JPY) 

Floating Rate Indexes LIBOR SOFR

Stated Termination Date 

Range

3 days to 3 years 

Optionality No 

Dual Currencies No 

Conditional Notional 

Amounts

No 
A-86

Mexican Peso Interest Rate Swap: Basis

The terms and conditions of the swaps incorporate by reference such credit and other terms as the 

parties may establish through their pre-existing bilateral agreement. The swaps have the following 

characteristics: 

Currency Mexican Peso (MXN) 

Floating Rate Indexes SOFRLIBOR/28 day MXN-TIIE-Banxico Index 

Stated Termination Date 

Range

As negotiated between the parties 

Spot & Forward starting, and broken dates (bespoke tenors) 

Optionality No 

Dual Currencies No 

Conditional Notional 

Amounts

No 
A-91

Notional Currency Currency in which contract size is expressed 

Settlement Procedure Bilateral settlement performed in settlement currency 

Trading Hours 00:01 - 24:00 Sunday-Friday Eastern Time 

Clearing Venue Bilateral 

USD SOFRLIBOR Interest Rate Swap: Basis

The terms and conditions of the swap as established by the DCO in its rules or bylaws are 

incorporated by reference herein and are the terms and conditions of the swap. The swaps have the 

following characteristics: 

Currency U.S. Dollar 

Floating Rate Indexes SOFRLIBOR/SOFRLIBOR 

SOFRLIBOR/Fed Funds 

SOFRLIBOR/OIS 

Including Spread over Treasuries 

SOFRLIBOR/MXN-TIIE-Banxico (MXN IRS Benchmark) 

SOFRLIBOR/ICP (CLP IRS Benchmark) 

Stated Termination Date 

Range

28 days to 50 years 

Spot & Forward starting, and broken dates (bespoke tenors) 

Optionality No 

Dual Currencies No 

Conditional Notional 

Amounts

No 

USD SOFRLIBOR Interest Rate Swap: Fixed-to-Floating

The terms and conditions of the swap as established by the DCO in its rules or bylaws are 

incorporated by reference herein and are the terms and conditions of the swap. The swaps have the 

following characteristics: 
A-92

Currency U.S. Dollar (USD) 

Floating Rate Indexes SOFRLIBOR 

Stated Start Date Range 28 days to 50 years 

Spot & Forward starting, and broken dates (bespoke tenors) 

Optionality No 

Dual Currencies No 

Conditional Notional 

Amounts

No 
A-93

USD SOFRLIBOR Interest Rate Swap: Forward Rate Agreement

The terms and conditions of the swap as established by the DCO in its rules or bylaws are 

incorporated by reference herein and are the terms and conditions of the swap. The swaps have the 

following characteristics: 

Currency U.S. Dollar 

Floating Rate Indexes SOFRLIBOR 

Stated Termination Date 

Range

3 days to 3 years 

Optionality No 

Dual Currencies No 

Conditional Notional 

Amounts

No 
A-94

USD SOFRLIBOR Interest Rate Swap: Market Agreed Coupon

The terms and conditions of the swap as established by the DCO in its rules or bylaws are 

incorporated by reference herein and are the terms and conditions of the swap. The swaps have the 

following characteristics: 

Currency U.S. Dollar 

Fixed Coupon http://www.sifma.org/services/standard-forms-anddocumentation/swaps/ 

Floating Rate Indexes SOFRLIBOR 

Tenors 1y, 2yrs, 3yrs, 5yrs, 7yrs, 10yrs, 15yrs, 20yrs, 30yrs 

Effective Dates IMM dates (3rd Weds of March, June, September, December) 
A-95

USD SOFRLIBOR Interest Rate Swap: Overnight Index

The terms and conditions of the swap as established by the DCO in its rules or bylaws are 

incorporated by reference herein and are the terms and conditions of the swap. The swaps have the 

following characteristics: 

Currency U.S. Dollar (USD) (“OIS”) 

Floating Rate Indexes SOFRLIBOR 

Stated Termination Date 

Range

7 days to 50 years 

Spot & Forward starting, and broken dates (bespoke tenors) 

Optionality No 

Dual Currencies No 

Conditional Notional 

Amounts

No