US eases leverage ratio impact on swaps

JP Morgan says new approach boosted ratio by up to 20bp

federal reserve
The Federal Reserve in Washington

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 th