US eases leverage ratio impact on swaps
The US SLR eases the criteria for netting cash variation margin and derivatives exposures – boosting JP Morgan's ratio by up to 20bp – and European banks hope their own regulators will follow suit
US banks will have greater freedom to net cash margin against over-the-counter derivatives exposures under last week's proposed revisions to the US supplementary leverage ratio (SLR), bringing down the capital needed to support OTC market-making desks. The changes have already raised JP Morgan's SLR by up to 20 basis points when compared with the international version of the leverage ratio – agreed by the Basel Committee on Banking Supervision in January – and non-US banks hope their regulators
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