1

GFI Swaps Exchange LLC

Rule Implementation Submission 2023-01 

July 24, 2023

1. The text 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 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, GFI Securities LLC (“GFI”)

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. 

On July 7, 2023, the Commodity Futures Trading Commission ("Commission") Division of Market Oversight announced 

that, on August 5, 2023 and thereafter, 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. GFI Swaps Exchange LLC is listing those contracts. In conjunction with that announcement, GFI Swaps Exchange 

LLC is listing for trading the contracts contained in Attachment A. 

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

Summary of Changes

Contract Specification # Contract Specification 

Description

Change Description 

Appendix A 

Pg A-54 

Interest Rates -

Overview 

Added the interest rate overview and a LIBOR footnote to the 

section.

(LIBOR Footnote reference pages: 

43, 96, A-54, A-87, A-88, A-89, A-90, -91) 

Appendix A 

Pg A-55 

Interest Rates –

Overnight Index 

Swaps: SOFR and 

SONIA

Added the overnight index swaps table to the interest rate 

section of Appendix A. 

Exhibit A
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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 GFI Swaps Exchange LLC Contract Specifications complies 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: July 24, 2023 
- A-53 -

Overnight Index Swaps: SOFR and SONIA
- A-52 -

INTEREST RATES

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, semiannually 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 offmarket 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, LIBOR1, SOFR etc.

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

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

Subject to the requirements of the Rules, Swaps in the rates asset class may be effected

(i) in the Order Book pursuant to Rule 505, (ii) through a Request for Quote 

pursuant to Rule 508, (iii) as a voice-executed trade or a Brokered Trade pursuant 

to Rule 509 or (iv) as a Block Trade pursuant to Rule 601.

1 As we transition away from LIBOR, all the swaps that reference the USD LIBOR are permitted. Listing USD LIBOR in the 

contract specifications allows for the settlement of pending contracts with future expiration dates. The anticipated date for 

LIBOR to end is September 30, 2024 which is when all the trading activity regarding LIBOR would cease.
- 43 -

508A. Mid-Market Level

Mid-Market Levels to be used in a Matching session or an RFQ-to-All pursuant

to Rule 508(a)(iii) or Rule 508(a)(iv) shall be established in accordance with the 

following procedures:

(a) The Company will begin the process of determining the Mid-Market Level 

by providing notice to all Participants and Sponsored Access Firms that are active on the 

Trading Platform in that asset class at that time announcing the beginning of a Matching 

session or an RFQ-to-All, specifying the Swap that will be traded and the time at which

the Matching session or RFQ-to-All will commence.

(b) Determination of the proposed Mid-Market Level shall be based, in the 

discretion of the Company, on any one or a combination of a number of inputs, including:

(i) prices of transactions, executable or indicative bids or offers or historical prices on the 

Trading Platform, other swap execution facilities or markets; (ii) prices derived from 

transactions, executable or indicative bids or offers or historical prices on the Trading 

Platform, other swap execution facilities or markets; and (iii) the views of active market 

participants.

(i) Prices. Prices from the Trading Platform, other swap execution 

facilities or markets for the Swap that is to be the subject of Matching or an RFQto-All will include, where available, the last price of a transaction, executable or 

indicative bids and offers or historical pricesforthe Swap on the Trading Platform 

and/or on other swap execution facilities or markets.

(ii) Derived Prices. Where prices and/or executable or indicative bids 

or offers are unavailable for the Swap that is to the subject of Matching or an 

RFQ-to-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 Libor1/SOFR, 

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
- 96 -

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 contractspecificationsfor allsuch Swaps are attached hereto as Appendix 

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

(LIBOR1) 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.
- A-85 -

USD LIBOR1/SOFRInterest 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 LIBOR1/SOFR/LIBOR1/SOFR 

LIBOR1/SOFR/Fed

Funds 

LIBOR1/SOFR/OI S

Including Spread over Treasuries 

LIBOR1/SOFR/MXN-TIIE-Banxico (MXN IRS

Benchmark)LIBOR1/SOFR/ICP (CLP IRS

Benchmark)

Stated Termination Date 

Range

28 daysto 50 years

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

Optionality No

Dual Currencies No

ConditionalNotional AmountsNo
- A-86 -

USD LIBOR1/SOFR 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:

Currency U.S. Dollar (USD)

Floating Rate Indexes LIBOR1

/SOFR

Stated Start Date Range 28 daysto 50 years

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

Optionality No

Dual Currencies No

ConditionalNotional AmountsNo
- A-87 -

USD LIBOR1/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 U.S. Dollar

Floating Rate Indexes LIBOR1

/SOFR

Stated Termination Date 

Range

3 daysto 3 years

Optionality No

Dual Currencies No

ConditionalNotional AmountsNo
- A-88 -

USD LIBOR1/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 U.S. Dollar

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

Floating Rate Indexes LIBOR1

/SOFR

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

Effective Dates IMM dates(3rd Weds of March, June, September, December)
- A-89 -

USD LIBOR1/SOFR 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 LIBOR1

/SOFR

Stated Termination Date 

Range

7 days to 50 years

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

Optionality No

Dual Currencies No

ConditionalNotional AmountsNo