Capitalab Migrates 10,000 Swaptions to SOFR

BGC Brokers’ Capitalab says it has successfully completed its third execution of a new USD Libor to SOFR swaption migration service, supported by 10 banks, bringing the roral swaptions migrated to over 10,000.

The new service seamlessly switches Libor-referenced USD swaptions into vanilla SOFR swaptions, removing complexities caused by the impact of ISDA supplements on the legacy Libor portfolio and fallback rules, Capitalab says. It adds that with valuation impacts settled at a portfolio level and given the replacement inventory’s vanilla nature, they are “substantially easier to manage”.

The new service also removes the need for bilateral negotiations between participants and mitigates the need for extensive resources to price the Libor inventory conversion to SOFR or its ongoing management under Libor fallback rules. Capitalab says it plans to execute additional multilateral cycles over the coming weeks, with the aim to migrate participants’ near entire Libor inventory to SOFR swaptions.

“On the back of strong client demand, Capitalab mobilised its technology and options expertise to deliver a highly effective solution to our valued clients in record time,” says Capitalab co-founder and managing director Gavin Jackson. “We are delighted with the seamlessness of the first few executions and the strong support from our clients. We look forward to tackling the rest of the inventory shortly, and to solving future multilateral challenges for the derivatives marketplace.”

David Briggs, senior sales executive at Capitalab, adds, “Since our inception, Capitalab has always been synonymous with the options market. It is with great pleasure that we can deliver a pioneering service, resolving another issue with a robust solution. We have helped to save our clients significant resourcing hours by removing the required bilateral negotiations for switching their Libor inventory.”