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BGC Derivative Markets, L.P

Rule Implementation Submission 2022-01

January 6, 2022

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.

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.

BGC is amending the terms and conditions of “BGC SEF Contract Specifications Attachment A”

to reflect the most recent Mandatorily Cleared Products, most recent Made Available to Trade 

Products, addition of SOFR as Floating Rate for OIS trade type, addition of BSBY for Floating 

Rate Interest Rate trade types and addition of Inflation-Linked Swap trade type.
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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 Rule 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: January 6, 2022
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Attachment 1 

BGC Derivative Markets, L.P. Contract Specifications

(Additions are underscored, deletions are struck through)

Mandatorily Cleared CEA 2(h)(1) Products as of 2nd October 2013

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 Kong

Dollar (HKD)

Mexican

Peso

(MXN)

Norwegian

Krone

(NOK)

2. Floating Rate

Indexes

BBSW CDOR EURIBOR HIBOR TIIEBANXICONIBOR

3. Stated

Termination Date

Range

28 days to

30 years

28 days to 30

years

28 days to 50

years

28 days to

10 years

28 days to 21

years

28 days to

10 years

4. Optionality No No No No No No

5. Dual

Currencies

No No No No No No

6. Conditional

Notional

Amounts

No No No No No No

Specification Fixed-to-Floating Swap Class

1. Currency Polish

Zloty

(PLN)

Singapore

Dollar

(SGD)

Swedish

Krona

(SEK)

Swiss Franc

(CHF)

Sterling

(GBP)

U.S. Dollar

(USD)

Yen

(JPY)

2. Floating Rate

Indexes

WIBOR SOR-VWAP STIBOR LIBOR LIBOR LIBOR LIBOR

3. Stated

Termination Date

Range

28 days to

10 years

28 days to

10 years

28 days to

15 years

28 days to

30 years

28 days to

50 years

28 days to

50 years

28 days to

30 years

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

Currencies

No No No No No No No

6. Conditional

Notional

Amounts

No No No No No No No

Specification Basis Swap Class

1. Currency Australian

Dollar

(AUD)

Euro (EUR) Sterling

(GBP)

U.S. Dollar

(USD)

Yen

(JPY)

2. Floating Rate

Indexes

BBSW EURIBOR LIBOR LIBOR LIBOR

3. Stated

Termination Date

Range

28 days to

30 years

28 days to

50 years

28 days to

50 years

28 days to

50 years

28 days to

30 years

4. Optionality No No No No No

5. Dual

Currencies

No No No No No

6. Conditional

Notional

Amounts

No No No No No

Specification Forward Rate Agreement Class

1. Currency Euro (EUR) Polish

Zloty

(PLN)

Norwegian

Krone

(NOK)

2. Floating Rate

Indexes

EURIBOR WIBOR NIBOR

3. Stated

Termination

Date Range

3 days to

3 years

3 days to 2

years

3 days to

2 years

4. Optionality No No No

5. Dual

Currencies

No No No

6. Conditional

Notional

Amounts

No No No

Specification Forward Rate Agreement Class

1. Currency Swedish

Krona

(SEK)

Sterling

(GBP)

U.S.

Dollar

(USD)

Yen

(JPY)

2. Floating Rate

Indexes

STIBOR LIBOR LIBOR LIBOR

3. Stated

Termination

Date Range

3 days to 3

years

3 days to 3

years

3 days to 3

years

3 days to

3 years

4. Optionality No No No No

5. Dual

Currencies

No No No No

6. Conditional

Notional

Amounts

No No No No
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Specification Overnight Index Swap Class

1. Currency Australian

Dollar

(AUD)

Canadian

Dollar

(CAD)

Euro

(EUR)

Sterling

(GBP)

U.S. Dollar

(USD)

2. Floating Rate

Indexes

AONIA-OIS CORRAOISEONIA SONIA FedFunds

3. Stated

Termination Date

Range

7 days to

2 years

7 days to

2 years

7 days to

3 years

7 days to 3

years

7 days to

3 years

4. Optionality No No No No No

5. Dual

Currencies

No No No No No

6. Conditional

Notional

Amounts

No No No No No

Specification Fixed-to-Floating Swap 

Class

1. Currency U.S. Dollar (USD) Euro (EUR) Sterling (GBP) Yen (JPY)

2. Floating Rate Indexes LIBOR/SOFR EURIBOR LIBOR LIBOR

3. Stated Termination Date 

Range

28 days to 50 years 28 days to 50 

years

28 days to 50 

years

28 days to 30 

years

4. Optionality No No No No

5. Dual Currencies No No No No

6. Conditional Notional 

Amounts

No No No No

Specification Basis Swap 

Class

1. Currency U.S. Dollar (USD) Euro (EUR) Sterling (GBP) Yen (JPY)

2. Floating Rate Indexes LIBOR/SOFR EURIBOR LIBOR LIBOR

3. Stated Termination Date 

Range

28 days to 50 years 28 days to 50 years 28 days to 50 years 28 days to 30 years

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

6. Conditional Notional 

Amounts

No No No No

Specification Forward Rate Agreement Class

1. Currency U.S. Dollar (USD) Euro (EUR) Sterling (GBP) Yen (JPY)

2. Floating Rate Indexes LIBOR/SOFR EURIBOR LIBOR LIBOR

3. Stated Termination Date 

Range

3 days to 3 years 3 days to 3 

years

3 days to 3 

years

3 days to 3 

years

4. Optionality No No No No

5. Dual Currencies No No No No

6. Conditional Notional 

Amounts

No No No No

Specification Overnight Index Swap Class

1. Currency U.S. Dollar (USD) Euro (EUR) Sterling (GBP)

2. Floating Rate Indexes FedFunds/SOFR EONIA SONIA

3. Stated Termination Date Range 7 days to 2 years 7 days to 2 years 7 days to 2 years

4. Optionality No No No

5. Dual Currencies No No No
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6. Conditional Notional Amounts No No No

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 Swap 

(USD)

Currency U.S. Dollar (USD) U.S. Dollar (USD) U.S. Dollar (USD)

Floating 

Rate 

Indexes

USD LIBOR (3M, 

6M)/SOFR

USD LIBOR (3M, 

6M)/SOFR

USD LIBOR (3M)/SOFR

Rate Index Swaps

Interest Rate Swap (IRS), Fixed/Float

Contract 

Definition

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a 

specified notional over a term to maturity.

IRS Types Fixed Rate v Floating Rate (X)ibor Index, SOFR (e.g. 3m Libor, 6m Euribor), BSBY

Swap 

Conventions

Fixed Leg:

Payment: Annual, Semi-Annual, Quarterly or as agreed by Participants.

Day Count Conventions: as agreed by Participants and suitable to the Currency's market 

standards, e.g. 30/360, Act/365 etc (see Appendix C)

Holiday Calendar: as agreed by Participants and suitable to the Currency's market standards Business 

Day Conventions: Modified Following with adjustment to period end dates or as agreed by Participants 

and suitable to the Currency's market standards
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Floating Leg

Index: As agreed by participants and suitable to the Currency's market standards(e.g. Libor, 

SOFR, Euribor, BSBY etc.

Payment/Resets: Semi-Annual, Quarterly, Monthly, Daily or as agreed by Participants.

Day Count Conventions: As dictated by Market Standard for the Floating Index, e.g. Act/360, 

Act/365 etc (see Appendix C)

Holiday Calendar: As agreed by participants and suitable to the Currency's marketstandards. Fixing

Calendar: As agreed by participants and suitable to the Currency's market standards. 

Business Day Conventions: Modified Following with adjustment to period end dates or as agreed 

by Participants and suitable to the Currency's market standards.

Overnight Index Swap (OIS), Fixed/Float

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a 

specified notional over a term to maturity.

Fixed Rate v Floating Rate OIS Index (e.g. Sonia, Ronia, Eonia, FedFunds, SOFR)

Swap Term 

(Tenor)

As agreed by the Participants. A contract can have a Tenor from 1 day to 60 years.

Swap 

Conventions

Fixed Leg:

Payment: Annual or as agreed by Participants.

Day Count Conventions: as agreed by Participants and suitable to the Currency's market 

standards, e.g. Act/360, Act/365 etc (see Appendix C)

Holiday Calendar: as agreed by Participants and suitable to the Currency's market standards Business 

Day Conventions: Modified Following with adjustment to period end dates or as agreed by Participants 

and suitable to the Currency's market standards

Floating Leg

Index: As agreed by participants and suitable to the Currency's market standards(e.g. Sonia, 

Ronia, Eonia, FedFunds, SOFR - see Appendix E)

Payment/Resets: Daily resets, compounded daily and paid on an annualised basis, or as agreed 

by Participants.

Day Count Conventions: As dictated by Market Standard for the Floating Index, e.g. Act/360, 

Act/365 etc (see AppendixC)

Holiday Calendar: As agreed by participants and suitable to the Currency's marketstandards. Fixing

Calendar: As agreed by participants and suitable to the Currency's market standards. 

Business Day Conventions: Modified Following with adjustment to period end dates or as agreed 

by Participants and suitable to the Currency's market standards.

Currency Basis Swap, Float/Float
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Contract 

Definition

An agreement to exchange two streams of floating cash flows on a specified notional over a term to 

maturity.

Basis Spread A spread between two Floating Rate Indices (e.g. 3m Libor, 6m Libor, OIS Index, SOFR Index, BSBY - See 

Appendix

E) of the same currency (Super-Major, Major & Non-Major Currencies - see Appendix B).

Swap 

Conventions

Floating Legs 1 & 2:

Index: As agreed by participants and suitable to the Currency's market standards(e.g. 3m Libor, 

6m Libor, OIS Index, SOFR Index, BSBY - See Appendix E)

Payment/Resets: Annual, Semi-Annual, Quarterly, Monthly, Daily or as agreed by 

Participants.

Day Count Conventions: As dictated by Market Standard for each Index, e.g. Act/360, 

Act/365 etc (see Appendix C)

Holiday Calendar: As agreed by participants and suitable to the Currency's marketstandards. Fixing

Calendar: As agreed by participants and suitable to the Currency's market standards. 

Business Day Conventions: Modified Following with adjustment to period end dates or as agreed 

by Participants and suitable to each Currency's market standards.

Cross-Currency Basis Swap, Float/Float

An agreement to exchange a stream of cash flows by applying a floating interest rate on leg 1 and a 

floating interest rate on leg 2 to a specified notional over a term to maturity.

A spread between the Floating Rate Indices (e.g. 3m Libor, 6m Libor, OIS Index, SOFR Index - See 

Appendix

Floating Rate (X)ibor Index (e.g. 3m Libor) v Floating Rate (X)ibor Index (e.g. 3m Euribor), usually with the 

same Payment frequency, e.g. Q/Q

Floating Rate OIS Index (e.g. Eonia) v Floating Rate OIS Index (e.g. FedFunds, SOFR, BSBY), usually with 

the same Payment frequency, e.g. Q/Q

Swap 

Conventions

Floating Legs 1 & 2

Indices: As agreed by participants and suitable to each Currency’s market standards(e.g. 3m Libor, 

6m Libor, OIS Index, SOFR Index, BSBY – See Appendix E)

Payment/Resets: Semi-Annual, Quarterly, Monthly or as agreed by Participants.

Day Count Conventions: As dictated by Market Standard for each Index, e.g. Act/360, 

Act/365 (see Appendix C)

Holiday Calendar: As agreed by participants and suitable to the Currency’s marketstandards. Fixing

Calendar: As agreed by participants and suitable to the Currency’s market standards. 

Business Day Conventions: Modified Following with adjustment to period end dates or as agreed 

by Participants and suitable to each Currency’s market standards.
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Cross-Currency Swap, Fixed/Float

An agreement to exchange a stream of cash flows by applying a fixed interest rate on leg 1 and a floating 

interest rate on leg 2 to a specified notional over a term to maturity.

A spread between the fixed rate of one currency and the Floating Rate Index (e.g. 3m Libor, 6m Libor, 

OIS Index, SOFR Index, BSBY – See Appendix E) of a second currency (Super-Major, Major & Non-Major 

Currencies – see Appendix B)

Swap 

Conventions

Fixed Leg, Currency 1

Payment: Annual, Semi-Annual, Quarterly or as agreed by Participants

Day Count Conventions: as agreed by Participants and suitable to the Currency’s market 

standards, e.g. 30/360, Act/365 etc (see Appendix C)

Holiday Calendar: as agreed by Participants and suitable to the Currency’s market standards Business 

Day Conventions: Modified Following with adjustment to period end dates or as agreed by Participants 

and suitable to the Currency’s market standards

Floating Leg, Currency 2

Index: As agreed by participants and suitable to the Currency’s market standards(e.g. 3m Libor, 

6m Libor, OIS Index, SOFR Index, BSBY - See Appendix E)

Payment/Resets: Annual, Semi-Annual, Quarterly, Monthly, Daily or as agreed by 

Participants.

Day Count Conventions: As dictated by Market Standard for the Floating Index, e.g. Act/360, 

Act/365 etc (see Appendix C)

Holiday Calendar: As agreed by participants and suitable to the Currency's marketstandards. Fixing

Calendar: As agreed by participants and suitable to the Currency's market standards. 

Business Day Conventions: Modified Following with adjustment to period end dates or as agreed 

by Participants and suitable to the Currency's market standards.
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Non-Deliverable IRS, Fixed/Float

Swap 

Conventions

Fixed Leg, Currency 1

Payment: Annual, Semi-Annual, Quarterly or as agreed by Participants

Day Count Conventions: as agreed by Participants and suitable to the Currency's market 

standards, e.g. 30/360, Act/365 etc (see Appendix C)

Holiday Calendar: as agreed by Participants and suitable to the Currency's market standards Business 

Day Conventions: Modified Following with adjustment to period end dates or as agreed by Participants 

and suitable to the Currency's market standards

Floating Leg, Currency 2

Index: As agreed by participants and suitable to the Currency's market standards(e.g. 3m Libor, 

6m Libor, OIS Index, SOFR Index, BSBY - See Appendix E)

Payment/Resets: Annual, Semi-Annual, Quarterly, Monthly, Daily or as agreed by 

Participants.

Day Count Conventions: As dictated by Market Standard for the Floating Index, e.g. Act/360, 

Act/365 etc (see Appendix C)

Holiday Calendar: As agreed by participants and suitable to the Currency's marketstandards. Fixing

Calendar: As agreed by participants and suitable to the Currency's market standards. 

Business Day Conventions: Modified Following with adjustment to period end dates or as agreed 

by Participants and suitable to the Currency's market standards.

Inflation-Linked Swap vs Floating 

Contract 

Definition

An agreement to exchange an inflation-linked bond, with an agreement for one party to pay the 

equivalent cash flows of the bond and the other party to pay a floating rate

Asset Swap 

Types

Proceeds-Equivalent, par-par

Trading 

Conventions

Buy/Pay = Buy Inflation-Linked Bond, pay equivalent cash flows and receive Floating 

Rate +/- spread in bps

Sell/Receive = Sell Inflation-Linked Bond, receive equivalent cash flows and pay Floating 

Rate +/- spread in bps

Specific Trade 

Types

The following swap types may be executed: Outright Asset Swap, Asset Swap Switch and Asset Swap 

Butterflies.

Asset Swap 

Term (Tenor)

The term of the underlying asset.
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Swap 

Conventions

Index: As agreed by participants and suitable to the Currency's market standards, e.g.CPI, HICP,

RPI, USD Libor, SOFR, BSBY, etc

Payment/Resets: As dictated by Market Standard for the Floating Index

Day Count Conventions: As dictated by Market Standard for the Floating Index, e.g. 30/360, 

Act/Act etc (see Appendix C)

Holiday Calendar: As agreed by participants and suitable to the Currency's marketstandards. Fixing

Calendar: As agreed by participants and suitable to the Currency's market standards. 

Business Day Conventions: Modified Following with adjustment to period end dates or as agreed 

by Participants and suitable to the Currency's market standards.

Periodic 

Settlement

Payment and Resets:

Floating Leg: The payment amount of the Floating Leg is based on: Notional, Payment Frequency, Day 

Count Convention, Inflation Index and Floating Reset Dates:

Payments are settled in accordance with the payment frequency of the swap.

Appendix E - Market Fixing Indices

Interbank 

Indices

Description Currencies Day 

Count

Fixings 

Calendar

BBA LIBOR London Interbank Offered Rate USD Act/360 London

JPY Act/360 London

CHF Act/360 London

GBP Act/365 London

EUR Act/365 London

EURIBOR Euro Interbank Offered Rate EUR Act/360 TARGET

SOFR Secured Overnight Financing Rate USD Act/360 New York

BSBY Bloomberg Short-Term Yield Index USD Act/360 New York
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OIS Indices Description Currencies Day 

Count

Fixings 

Calendar

SONIO/A Sterling Overnight Index Average GBP Act/365 London

RONIA GBP Repo Overnight Index Average GBP Act/365 London

EONIA Effective Overnight Index Average Eonia EUR Act/360 TARGET

FEDFUNDS Federal Funds Effective Rate US USD Act/360 Fed Reserve

SOFR Secured Overnight Financing Rate USD Act/360 New York