Investor Presentaiton

Macquarie FY20 result announcement I macquarie.com Macquarie regulatory capital Non-Bank Group contribution Introduction Overview of Result Result Analysis and Financial Management Outlook Appendices • APRA has specified a regulatory capital framework for Macquarie O MACQUARIE • • A dollar capital surplus is produced; no capital ratio calculation is specified APRA has approved Macquarie's Economic Capital Adequacy Model (ECAM) for use in calculating the regulatory capital requirement of the Non-Bank Group The ECAM is based on similar principles and models as the Basel III regulatory capital framework for banks, with both calculating capital at a one year 99.9% confidence level Risk¹ Credit Equity • . Basel III ECAM Capital requirement generally determined by Basel III IRB formula, with some parameters specified by the regulator (e.g. loss given default) • Capital requirement generally determined by Basel III IRB formula, but with internal estimates of key parameters Harmonised Basel III: 250%, 300% or 400% risk weight, depending on the type of investment². Deduction from Common Equity Tier 1 above a threshold . Extension of Basel III credit model to cover equity exposures. Capital requirement between 36% and 84% of face value; average 50% Market • Operational • APRA Basel III: 100% Common Equity Tier 1 deduction • 3 times 10 day 99% Value at Risk (VaR) plus 3 times 10 day 99% Stressed Scenario-based approach VaR plus a specific risk charge Advanced Measurement Approach • Advanced Measurement Approach 1. The ECAM also covers non-traded interest rate risk and the risk on assets held as part of business operations, including: fixed assets, goodwill, intangible assets and capitalised expenses. 2. Includes all Banking Book equity investments, plus net long Trading Book holdings in financial institutions. 78

View entire presentation