Secretary of the Commission 

July 17, 2019 

Page 2 

Please contact Brian D. Donnelly, Chief Compliance Officer, at (20I) 984-6956 or by email at

bddonnelly@tullettprebon.com with any questions regarding this matter. 

Enclosures 

Very truly yours, 

ICAP Global Derivatives Limited 

Name: Christopher Koppenheffer 

Title: Chief Operations Officer 

Date: July 17, 2019 

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

Nancy Markowitz, CFTC (nmarkowitz@cftc.gov) 
Secretary of the Commission 

July 17, 2019 

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 i-Swap from 70% of post 12:00 p.m. London voice rate to 

0.0175 basis points. 

• Added the eTrading Rebate Plan to reimburse the most active Participants based on monthly 

electronic trading activity. 

• Provided that Participants who qualify for both the Streaming Discount and eTrading Rebate in 

any given month will receive only the greater of the two. 

• Revised the requirements for Premium Streaming Tier and Base Streaming Tier in the respective 

tables. 

• Revised the League Table Methodology for calculating the score for Premium Streaming Tier. 

• 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.
Secretary of the Commission 

July 17, 2019 

EXHIBIT B 

Amended IGDL Discount Structure Appendix 
 

TP ICAP Classification: Internal 

IGDL SEF Discount 

Structure Appendix 

August 2019 

ACTIVE 246191400
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 20%

 

 i-Swap Streaming Program 

Streaming Tiers and 

Discounts (applied to 

gross voice execution 

brokerage in the 

following month)

 

 

Premium Streaming Tier 

Rank Discount 

 #1 15% 

 #2 13% 

 #3 12% 

 Rest 10% 

Base Streaming Tier 

5% for Participants that qualify for Base Streaming Tier discounts 

eTrading Discounts 

eTrading Discounts 

(applied to the 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 and less any eligible eTrading Rebates. 

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 dollar value of a 

one basis point change (“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 
6

• Participant can choose any 12 Risk Units to stream from the Premium Streaming Tier table 

above. 

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: 

The Participant that qualifies for the Premium Streaming Tier with the highest percentage of day 

spent on Top of Book status will be awarded one point per bid or offer side, per instrument, per 

day. 

Top of book points will be awarded on Premium Streaming 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 Streaming Tier 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 London time to 7:00 am New 

York time period and rankings for the 7:00 am New York time to 5:00 pm New York time period). 

Definitions 
Secretary of the Commission 

July 17, 2019 

EXHIBIT C 

Marked IGDL Discount Structure Appendix 
TP ICAP Classification: Internal

IGDL-2019-R-2

IGDL SEF Discount

Structure Appendix

23 AprilAugust 2019

ACTIVE 242228830ACTIVE 246191400
2

Rank Discount

Brokerage Discounts

(thresholds based off,

and discounts applied to,

gross voice execution

brokerage in the current

month)1

Monthly Threshold

 #1 15%

Discount

 #2 13%

 #3 12%

$75,000 to $149,999 5%

 Rest 10%

• Trader-entered and Broker-entered transactions are eligible to

offset i-Swap minimum fees

Brokerage Discounts for i-Swap

Base Streaming Tier

$150,000 to $249,999

5% for Base Tier Qualifying Participants that qualify for Base

Streaming Tier discounts

10%

IGDL Discount Structure

$250,000 or Greater 20%

Brokerage Discounts

i-Swap Streaming Program

Brokerage Discounts for Voice

Streaming Tiers and

Discounts (applied to

gross voice execution

brokerage in the

following month)

Premium Streaming Tier

• Standard i-Swap rate is 70% of post 12pm London voice

rate0.0175 bp

1

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

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

eTrading Discounts

(applied to the current

month’s i-Swap

brokerage)

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

Rank Discount

eTrading Discounts

#1 100%

• Participants ranked based on billable DV01 volume

#2 50%

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:

“Trader-entered” transaction fees plus “Broker-entered” transaction fees2 a. ; or

Minimum TPH i-Swap Front End User Minimum Fee3 b.

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

2. The i-Swap invoice will reflect the Total Monthly Electronic Fees (as defined above) less any

Broker-entered transaction fees and less any eligible eTrading Rebates.

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.
5

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 dollar value of a

one basis point change (“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 LCH-cleared

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 (such

Participants, “Base Tier Qualifying Participants”). 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 aany given month in either the Premium Streaming Tier or Base Streaming Tier

will be applied to the following month’s gross voice execution brokerage.
6

Streaming Tiers

Premium Streaming Risk Units
7

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 the Premium Streaming Tier table

above.

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:

The Participant that qualifies for the Premium Streaming Tier with the highest percentage of day

spent on Top of Book status will be awarded one point per bid or offer side, per instrument, per

day.

Top of book points will be awarded on Premium Streaming 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 Streaming Tier 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 LDNLondon time to

7:00 am NYNew York time period and rankings for the 7:00 am NYNew York time to 5:00 pm NYNew

York time period).
8

Definitions

League Table Methodology

League Table rank in the Premium Streaming Tier is computed using Average Spread, % of Day Quoted

and Average Size metrics on a per instrument basis during the Calculation Time.

• The score per instrument is computed as follows:

Instrument’s Score = 40% * (Average Spread)

+ 35% * (% of Day Quoted)

+ 25% * (Average Size)

• The Participant’s final score is computed as the average of all Instruments Scores. Each Participant is

ranked on their computed final score.