BGC Derivative Markets, L.P 

Rule Implementation Submission 2023-01 

July 24, 2023 

1. The text of the proposed amendment to BGC SEF Contract Specifications Attachment A is appended

as Attachment 1.

2. The date of intended implementation of the proposed amendment is ten business days following the

filing of this submission. The date of the trading mandate for these swap instruments will become

effective BGCDMLP is the same date in which the Commission’s Made Available to Trade

determination becomes effective.

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, BGC

Derivative Markets, L.P. (“BGC”) posted on its website: (i) a notice of pending certification of the

rule submissions with the Commission; and (ii) a copy of this submission.

4. A concise explanation and analysis of the operation, purpose, and effect of the amended rule appears

below.

5. There were no opposing views expressed regarding the amended rules.

6. Confidential treatment is not requested.

CONCISE EXPLANATION AND ANALYSIS OF THE OPERATION, PURPOSE, AND EFFECT OF 

THE CERTIFIED RULE 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. 

In May 2023, the Commodity Futures Trading Commission ("Commission") Division of Market Oversight 

announced on July 7, 2023, that effective August 5, 2023, the swaps described in the chart below will become 

Swaps that are Made Available to Trade and subject to the Trade Execution Requirement under section 

2(h)(8) of the Commodity Exchange Act. 
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 BGC Derivative Markets, L.P. Contract Specifications complies with the Commodity

Exchange Act, and the Commodity Futures Trading Commission’s regulations thereunder; and

(2) concurrent with this submission, BGC Derivative Markets, L.P. 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: Michael C. Sulfaro

Title: Chief Compliance Officer

Date: July 24, 2023 
Attachment 1 

BGC Derivative Markets, L.P. Contract Specifications

(Additions are underscored, deletions are struck through)

BGC Derivative Markets, L.P. Contract Specifications

Product Descriptions

Mandatorily Cleared CEA 2(h)(1) Products as of 5th August, 2023,

BGC Derivative Markets, L.P. Contract Specifications

Product Descriptions

Mandatorily Cleared Products

The following list of Products required to be cleared under Commodity Futures Trading Commission rules is included here for the 

convenience of the reader.

Mandatorily Cleared Spot starting, Forward Starting and IMM dated Interest Rate Swaps by Clearing Organization, including LCH.Clearnet Ltd., 

LCH.Clearnet LLC, and CME, Inc., having the following characteristics:

Specification Fixed-to-floating swap class

1. Currency Australian Dollar

(AUD)

Canadian Dollar

(CAD) Euro (EUR) Hong KongDollar(HKD)

Mexican Peso

(MXN)

Norwegian Krone

(NOK).

2. Floating Rate

Indexes BBSW CDOR EURIBOR HIBOR TIIE-BANXICO NIBOR.

3. Stated Termination

Date Range

28 days to 30 years

28 daysto 30

years

28 daysto 50

years

28 daysto 10

years

28 daysto 21

years

28 daysto 10

years.

4. Optionality No No No No No No.
5. Dual Currencies No No No No No No.

6. ConditionalNotional

Amounts

No No No No No No.

Specification Fixed-to-floating swap class

1. Currency Polish Zloty (PLN) Swedish Krona (SEK)

2. Floating Rate Indexes WIBOR STIBOR

3. Stated Termination Date Range 28 days to 10 years 28 days to 15 years

4. Optionality No No

5. Dual Currencies No No

6. Conditional Notional Amounts No No

Specification

Basis swap class

1. Currency Australian Dollar (AUD) Euro (EUR)

2. Floating Rate Indexes BBSW EURIBOR

3. Stated Termination Date Range 28 days to 30 years 28 days to 50 years

4. Optionality No No

5. Dual Currencies No No

6. Conditional Notional Amounts No No

Specification

Forward rate agreement class

1. Currency Euro (EUR) Polish Zloty

(PLN)

Norwegian Krone

(NOK)

Swedish Krona

(SEK)

2. Floating Rate Indexes EURIBOR WIBOR NIBOR STIBOR
3. Stated Termination Date

Range

3 days to 3 years 3 days to 2 years 3 days to 2 years 3 days to 3 years

4. Optionality No No No No

5. Dual Currencies No No No No

6. ConditionalNotional

Amounts

No No No No

Specification

Overnight index swap class

1. Currency Australian Dollar (AUD)

Canadian

Dollar

(CAD)

Euro

(EUR)

Singapore

Dollar

(SGD)

Sterling

(GBP)

Swiss

Franc

(CHF)

U.S. Dollar

(USD)

U.S.

Dollar

(USD)

Yen

(JPY).

2. Floating Rate

Indexes AONIA-OIS CORRAOIS

€STR SORA SONIA SARON FedFunds SOFR TONA.

3. Stated

Termination

Date Range

7 days to 2 years

7 daysto 2 

years

7 days

to 3 

years

7 daysto 10

years

7 days to

50 years

7 days to

30 years

7 daysto 3 

years

7 days

to 50

years

7 days to

30 years.

4. Optionality No No No No No No No No No.

5. Dual

Currencies

No No No No No No No No No.

6. Conditional

Notional

Amounts

No No No No No No No No No.

1. Reference

Entities

Corporate

2. Region North America

3. Indices MARKIT 

CDX.NA.IG

MARKIT

CDX.NA.HY

4. Tenor MARKIT CDX.NA.IG: 3Y, 5Y, 7Y, 10Y 

MARKIT CDX.NA.HY: 5Y
Credit Default Swaps on a broad-based Index on the Facility are Credit Default Swap Indices by Clearing Organization, including ICE Clear Credit 

LLC, CME, Inc., and LCH.Clearnet SA, having the following characteristics:

Specification European Untranched CDS Indices Class

1. Reference

Entities

Corporate

2. Region Europe

3. Indices MARKIT ITRAXX EUROPE

MARKIT ITRAXX EUROPE CROSSOVER

MARKIT ITRAXX EUROPE HIVOL

4. Tenor MARKIT ITRAXX EUROPE : 5Y, 10Y

MARKIT ITRAXX EUROPE CROSSOVER : 5Y

MARKIT ITRAXX EUROPE HIVOL: 5Y

5. Applicable

Series

MARKIT ITRAXX EUROPE 5Y: Series 10 and all subsequent Series, up to and including

the current Series

MARKIT ITRAXX EUROPE 10Y: Series 7 and all subsequent Series, up to and includingthe current

Series

MARKIT ITRAXX EUROPE CROSSOVER 5Y: Series 10 and all subsequent Series, up toand including 

the current Series

MARKIT ITRAXX EUROPE HIVOL 5Y: Series 10 and all subsequent Series, up toand 

including the current Series

5. Applicable Series MARKIT CDX.NA.IG 3Y: Series 15 and all subsequent Series, up to and includingthe 

current Series

MARKIT CDX.NA.IG 5Y: Series 11 and all subsequent Series, up to and includingthe 

current Series

MARKIT CDX.NA.IG 7Y: Series 8 and all subsequent Series, up to and including the current 

Series

MARKIT CDX.NA.IG 10Y: Series 8 and all subsequent Series, up to and includingthe 

current Series

MARKIT CDX.NA.HY 5Y: Series 11 and all subsequent Series, up to and includingthe 

current Series

6. Tranched No

6. Tranched No

Specification North American Untranched CDS Indices Class
Made Available to Trade CEA 2(h)(8) Products 

Under a Commodity Futures Trading Commission notice, and pursuant to these Swap contract 

specifications, the following products in less than block trade size are Made Available to Trade on the 

Facility.

- 

Specification Fixed-to-Floating Interest Rate Swaps (EUR and GBP)

Currency Euro (EUR)

Floating Rate 

Indexes

EURIBOR

Trade Start Type Spot Starting (T+2)

Optionality No

Fixed Leg

Payment Frequency Semi-Annual, Annual

Day Count 

Convention

30/360, Actual/360

Floating Leg

Reset Frequency Quarterly, Semi-Annual

Day Count 

Convention

Actual/360

Dual Currencies No

Notional Fixed Notional

Fixed Rate Par

Tenors3 2, 3, 4, 5, 6, 7, 10, 15, 20, 30 years

Specification Untranched Credit Default Swap Indices

Reference 

Entities

Corporate Corporate

Region North America Europe
- 11 -

Indices MARKIT CDX.NA.IG 

MARKIT CDX.NA.HY

MARKIT ITRAXX EUROPE

MARKIT ITRAXX EUROPE 

CROSSOVER

Tenor MARKIT CDX.NA.IG 5Y 

MARKIT CDX.NA.HY 5Y

MARKIT ITRAXX EUROPE 5Y

MARKIT ITRAXX EUROPE 

CROSSOVER 5Y

Applicable Series At any time, the then-current on-the-run series

and the preceding series that was replaced by the current one

Interest Rate Swaps

1 Interest Rate Swaps

1.1.1.1 Overview

Interest Rate Swaps

Overview

An instrument in which two parties agree to exchange cash flows in the same or two different 

currencies, based on a notional amount, from fixed to floating or from one floating rate to 

another. The fixed rate is typically reset monthly, quarterly, semi-annually or annually though 

in some cases such as zero coupon Inflation Swaps, there is only one exchange of cash flows 

at maturity. The fixed rate may also be an off-market level whereupon payer and receiver 

agree an upfront payment to accommodate such, such as in ISDA Market Agreed Coupon 

swaps. In general, the floating rate can be almost any kind of index fixed asset price, but in 

the OTC markets we focus on interest rate instruments only, including but not limited to: 

• Deposit indices such as Euribor, Libor, SOFR etc.

• Constant Maturity indices, e.g. 5Y IRS
- 12 -

• Inflation indices, e.g. UK RPI, French HICP, US CPI

Note: We expect Fixed-to-Floating IRS vs LIBOR to be removed from the list of products on 

September 30, 2024, when Swaps referencing and/or trading in USD LIBOR has permanently 

ceased. While the number of trades executed using LIBOR as a benchmark has significantly 

decreased to a level almost non-existent, the contracts will still remain listed as a permitted 

product of the facility as an accommodation to customers until the permanent cessation of 

LIBOR.