Capitolis announced today the successful conclusion of a major industry initiative, facilitating the transition of over 17,000 legacy USD LIBOR-referenced swaptions to vanilla SOFR replacements. The series of multilateral exercises involved 17 global dealer participants and marks a key milestone in the broader LIBOR transition.

The effort, which spanned nine live execution cycles, began under Capitalab—acquired by Capitolis last year—and was by mounting concerns over the operational complexity and risk tied to legacy LIBOR swaptions. The transition eliminates the significant burden of managing expiries and pricing of these legacy instruments.

Capitolis Transitions 17,000+ Legacy LIBOR Swaptions to SOFR

Challenges around legacy LIBOR swaptions intensified in 2020 when major clearinghouses shifted from Fed Funds to SOFR discounting for USD swaps. This shift fragmented the USD swaption market, placing additional strain on rates volatility desks. With one major clearinghouse ending support for clearing exercised LIBOR swaptions as of June 30, 2025, urgency among market participants grew.

In response, Capitolis launched a rapid proof-of-concept initiative in collaboration with nine major dealers. The approach proved successful and was subsequently scaled to nine full multilateral runs. The result: a streamlined portfolio of vanilla SOFR swaptions for participating firms, with reduced risk and improved operational efficiency.

“This initiative demonstrates the strength of collaboration across the industry and the power of innovation to solve real-world problems,” said Gavin Jackson, Co-Head of Portfolio Optimization at Capitolis. “The successful transition of such a large volume of trades reflects the trust our clients place in Capitolis and their commitment to progress.”

With most participants now holding minimal or no legacy LIBOR swaptions, Capitolis remains ready to conduct ad-hoc runs for firms still holding remaining positions. This achievement positions the industry for a smoother post-LIBOR era, with cleaner books and reduced operational risk across the board.

Also, stay updated with the Latest Broker News.