Capitalab, a division of BGC Brokers LP, an entity within BGC Group, Inc. (NASDAQ:BGC), today announced it has successfully completed its third execution of a new USD LIBOR to SOFR swaption migration service, supported by 10 major global investment banking groups.

This pioneering 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 LIBOR fallback rules. With valuation impacts settled at a portfolio level and 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.

The first three cycles executed seamlessly, switching in excess of 10,000 LIBOR swaptions to SOFR, supported by automated trade booking. Capitalab plans to execute additional multilateral cycles over the coming weeks, with the aim to migrate participants’ near entire LIBOR inventory to SOFR swaptions.

Capitalab co-founder and managing director Gavin Jackson, said:

“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. 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, added:

“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.”