MCEL Basel III Pillar 3 Capital Disclosure
Transcript of MCEL Basel III Pillar 3 Capital Disclosure
1
MCEL Basel III Pillar 3
Capital Disclosure
March 2021
Macquarie Capital (Europe) Limited
Macquarie Capital (Europe) Limited 1
Contents
1. Overview ......................................................................................................................................................................................................... 2
2. Risk Management ........................................................................................................................................................................................ 3
3. Remuneration ............................................................................................................................................................................................... 6
4. Governance Arrangements ..................................................................................................................................................................... 7
5. Capital Adequacy ........................................................................................................................................................................................ 9
6. Credit Risk Management ....................................................................................................................................................................... 11
7. Market Risk Management ..................................................................................................................................................................... 12
8. Operational Risk Management ........................................................................................................................................................... 13
9. Exposure classification and Credit Risk Mitigation ..................................................................................................................... 15
10. Leverage Ratio .......................................................................................................................................................................................... 18
11. Asset Encumbrance ................................................................................................................................................................................ 21
12. Capital Buffers........................................................................................................................................................................................... 23
13. Disclosure .................................................................................................................................................................................................... 24
Appendix 1 ............................................................................................................................................................................................................... 25
Macquarie Capital (Europe) Limited 2
1. Overview
This disclosure is in relation to Macquarie Capital (Europe) Limited (“MCEL”). MCEL is a UK incorporated company,
authorised by the Financial Conduct Authority (“FCA”) as a full scope investment firm, and is regulated under the
Prudential sourcebook for Investment Firms (“IFPRU”) and the UK onshored versions of the Capital Requirements
Directive (“CRD”) and Capital Requirements Regulation (“CRR”) as per the FCA’s Transitional Directive. These
regulations are structured in line with Basel Committee’s three Pillars of supervision: Pillar 1 “minimum capital
requirements”, Pillar 2 “supervisory review process” and Pillar 3 “market discipline”.
MCEL is ultimately owned by Macquarie Group Limited (“MGL”). MGL is a large financial conglomerate, authorised and
regulated by the Australian Prudential Regulation Authority (“APRA”) as the non-operating holding company of an
Australian deposit-taking institution.
MCEL has produced its Pillar 3 disclosures in accordance with Part 8 of CRR. These requirements are supplemented by
the guidelines published by the European Banking Authority (“EBA”)1. This document sets out the Pillar 3 disclosures
for MCEL as at 31 March 2021. The disclosures for MCEL are prepared on an individual basis or
solo basis.
1 https://www.eba.europa.eu/regulation-and-policy/transparency-and-pillar-3/guidelines-on-disclosure-requirements-under-part-eight-of-regulation-eu-
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2. Risk Management
All MGL subsidiaries, including MCEL, are subject to Macquarie’s risk management framework. This framework has
been endorsed by the MCEL Board.
Macquarie’s risk management framework consists of systems, structures, policies, processes, people and culture. It is
through this framework that Macquarie is able to identify, measure, evaluate, monitor, report, manage and ultimately
accept risk. Acceptance of risk is an integral part of Macquarie’s operations. Strong independent prudential
management has been crucial to Macquarie’s success and stability over many years. The risk management framework
assigns clear risk roles and responsibilities represented by the ‘three lines of defence’. Primary responsibility for risk
management lies at the business level. This is the first line of defence. Part of the role of all business managers
throughout Macquarie is to ensure they manage risks appropriately. The Risk Management Group (“RMG”) forms the
second line of defence and independently assesses all material risks. The third line of defence, which includes internal
audit, independently reviews and challenges Macquarie’s risk management controls, processes and systems.
Macquarie’s core risk management principles have remained stable, and are applied by MCEL as follows:
1. Ownership of risk at the business level: MCEL business heads are responsible for identifying risks within their
businesses and operations and ensuring appropriate management. Before taking decisions, clear analysis of the
risks is sought to ensure those taken are consistent with Macquarie and MCEL’s risk appetite and strategy.
Furthermore, any proposed new business activity in MCEL will require the approval of the relevant boards. It will
be subject to Macquarie’s New Product and Business Approval (“NPBA”) process. This process is an important
aspect of Macquarie’s approach to risk management, providing a well-established framework for the identification
and assessment of incremental risks arising.
2. Understanding worst case outcomes: MCEL examines the consequences of worst-case outcomes and determines
whether these are acceptable. This approach is adopted for all material risk types and is often achieved by stress
testing. Resultant limits effectively constrain positions where the current risk appears low but potential risk exists
in extreme loss events.
3. Requirement for an independent signoff by risk management: MCEL has a strong, independent RMG that is
charged with signing off all material risk acceptance decisions. RMG's opinion is sought at an early stage in the
decision-making process. The approval document submitted to senior management includes independent input
from RMG on risk and return. Additionally, the incremental impact of any proposed new activity on MCEL’s capital
position, and hence ICAAP, will be assessed by RMG as part of this process. Where that impact is considered
material, it will be reported to the MCEL Board.
MCEL’s risk appetite is the degree of risk that MCEL is willing to accept in pursuit of its strategic objectives. This is
detailed in MCEL’s Board approved Risk Appetite Statement (“RAS”), which describes:
• MCEL’s risk appetite, being the nature and amount of risk that Macquarie is willing to accept in pursuit of its
strategic objectives
• the risks MCEL is not willing to accept;
• the processes that MCEL has established to maintain and monitor compliance with risk appetite; and
• the timing and process for review of MCEL’s risk appetite.
Business divisions operating through MCEL are required to act in adherence with the MCEL RAS. On an annual basis,
the MCEL RAS is presented to MCEL Board who review the risk management arrangements for MCEL, including the
appropriateness of risk appetite for MCEL, which are used to embed, set and monitor risk appetite for MCEL’s material
risks. The MCEL Board has formally adopted the MCEL RAS.
MCEL has adopted a range of principles which govern the firm’s overall approach to risk acceptance. These principles
are taken into consideration by all businesses and control functions when the firm considers accepting risk in pursuit
of MCEL’s strategic objectives. These principles are consistent with the wider Macquarie Group Risk
Appetite principles.
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MCEL’s risk appetite reflects that it only has appetite to accept risks that are consistent with the following principles
which apply across the Macquarie Group:
‘Risk taking must be consistent with What We Stand For and our Code of Conduct’
MCEL only has appetite for taking risks in a manner which is consistent with the core principles expressed in
Macquarie’s What We Stand For and Macquarie’s Code of Conduct. Opportunity, accountability and integrity are the
principles which form the basis of all our actions.
MCEL seeks to establish and maintain an appropriate and effective risk culture. This is the foundation of Macquarie’s
risk management framework and is critical to MCEL’s success. We demonstrate our established risk culture by the way
we behave every day.
Risks must be consistent with our strategic intent
MCEL only has appetite for risks which are consistent with its strategic intent.
Risks must be well understood
All risks are comprehensively understood before being accepted. Risks are owned at the business level and all
material risk acceptance decisions are independently signed off by RMG.
Risks must generate returns in proportion to their risk
MCEL only has appetite for risks where the financial or other returns are commensurate with the risks – both
expected and unexpected. A risk and return analysis is performed for all businesses and transactions, which includes
an assessment of worst-case outcomes.
Further information on Macquarie’s risk management framework can be found in the Macquarie Group Limited’s 2021
Financial Statements at:
• www.macquarie.com.au/mgl/au/about-macquarie-group/investor-relations/financial-disclosure/financial-
reports/macquarie-group-limited-mqg
• www.macquarie.com/uk/about/company/risk-management-at-macquarie
Regular reports are produced covering compliance, prudential, market, and operational risks to facilitate the ongoing
monitoring of key risks and ensuring that any breaches, or potential breaches, are escalated to the appropriate level of
management. Regular reports are also produced to monitor the liquidity and capital position of MCEL, including total
capital ratios, liquid assets and large exposures.
The risk information is included in a Risk Management Group report which is presented at the quarterly MCEL Board
meetings in order to facilitate the information flow on risk to the management body.
MCEL’s management body provides feedback on reporting and its content on an ongoing basis, and this is particularly
considered when new business lines are commenced. In addition, the annual board evaluation process includes
consideration of the appropriateness of Board papers.
Additionally, MCEL’s overall risk profile is assessed through the comprehensive risk assessment process as part of
MCEL’s Internal Capital Adequacy Assessment Process (“ICAAP”) which is reviewed, challenged and approved by the
MCEL Board at least annually as part of the business planning cycle, or following any significant change to the business
strategy and/or risk profile of MCEL.
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ICAAP
MCEL’s ICAAP is prepared in accordance with Article 73 of the CRD, as implemented in IFPRU 2.2 of the FCA
Handbook. The ICAAP sets out the means by which MCEL identifies and manages its key risks, and also details the
required level of regulatory capital for MCEL to meet its regulatory minimum (and internal target) requirements over a
three-year forecast period in both base and stress cases.
The ICAAP is part of MCEL’s overall risk management framework. Its key features include:
• comprehensive risk assessment process;
• internal assessment of capital adequacy;
• financial and capital forecasts;
• business strategy and growth plans;
• the impact of a three-year downturn stress scenario; and
• wind down analysis.
MCEL’s ICAAP summary document is reviewed, challenged and approved by the MCEL Board.
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3. Remuneration
Please refer to MCEL’s Pillar 3 Remuneration Disclosures for information on MCEL’s remuneration policy and practices.
https://www.macquarie.com/au/about/investors/regulatory-disclosures
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4. Governance Arrangements
Details of the Directors of MCEL as at 31 March 2021 are set out below:
Name Role Background
Number of total
directorship
appointments
George Alford Non-Executive
Director and
Chair of Board,
Nominations
Committee &
Remuneration
Committee
George Alford joined the MCEL Board of Directors in July
2018 as a Non-Executive Director. George was further
appointed as Chair of MCEL in September 2018 and was
appointed as Chair of the Remuneration and Nominations
Committee in November 2020.
George has over 40 years’ experience in financial services in
both executive and non-executive roles, including at
Kleinwort Benson Group, Financial Services Authority
(formerly Bank of England) and Investec Plc.
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Paul Plewman Executive
Director
Paul Plewman joined the MCEL Board of Directors in October
2018. Paul joined Macquarie in 2005 and is the Head of
Commodities and Global Markets (“CGM”) EMEA.
Paul holds a BA in Computer Engineering and Mathematics
and previously held senior leadership positions at Investec
and the Standard Bank Group.
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Phil Nash Executive
Director
Phil Nash joined the MCEL Board of Directors in December
2019. Phil joined Macquarie in 2016 and is the EMEA Chief
Financial Officer.
Phil previously held senior leadership positions at Bank of
America Merrill Lynch, ABN AMRO and Barclays.
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Christine Higgins Non Executive
Director and
Chair of Audit
Committee
Christine Higgins joined the MCEL Board of Directors in
September 2020 as Non-Executive Director and was
appointed Chair of the Audit Committee in September 2020.
Christine has over 20 years’ experience in international asset
finance including as Head of Capital Solutions for Europe &
Americas at ANZ and Director of Business Development &
International Leasing at Bank of America. Prior to this,
Christine worked as Director of Specialist Finance for
National Australia Bank and was a Principal at Babcock &
Brown.
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Angela
Henderson
Non Executive
Director and
Chair of Risk
Committee
Angela Henderson joined the MCEL Board of Directors in
September 2020 as Non-Executive Director and was
appointed Chair of the Risk Committee in September 2020.
Angela has over 20 years of executive experience in the
financial services sector. Previous non executive roles include
the board of start up companies in the technology and asset
management sectors.
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As per MCEL’s Board Charter, the minimum number of directors is five and the majority of directors must be resident
in the United Kingdom. As at 31 March 2021 the Board consisted of the EMEA CEO, the EMEA CFO and three
independent non-executives directors.
As at 31 March 2021, MCEL had a separate risk committee, audit committee, remuneration committee and
nominations committee. Macquarie has a Nominee Directors & Officers Policy to ensure that only persons with
sufficient seniority and experience are nominated to the Boards of Macquarie entities with appropriate consideration
of the relevant regulatory and statutory requirements.
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Notwithstanding Brexit, MCEL continued to apply Macquarie’s Suitability and Diversity Guidelines (as formulated for
management bodies of entities that are subject to the requirements of the ESMA and EBA joint guidelines on the
assessment of the suitability of members of the management body and key function holders). These S&D Guidelines
provide that directors of MCEL should be suitable at all times and should be reassessed periodically. Suitability in this
context includes, but is not limited to, the following criteria:
• Being of good repute;
• An ability to act with honesty, integrity and independence of mind;
• Overseeing, monitoring and challenging management decision-making effectively;
• The possession of sufficient knowledge, skills and experience to perform their duties;
• Disclosing any financial or non-financial interests that could create potential conflicts of interest;
• Being able to commit sufficient time to perform management body functions in a supervisory context; and
• Not being restricted from taking up the position by any regulatory requirement.
MCEL selects its members in accordance with the S&D Guidelines and as per the global workforce diversity policy for
the Macquarie Group. The Workforce Diversity policy is intended to define Macquarie’s commitment to workforce
diversity and the structures in place to ensure it is realised. The principles contained in Macquarie’s Workforce
Diversity policy are available at: https://www.macquarie.com/uk/about/company/diversity-and-inclusion
Macquarie governance procedures are designed to facilitate constructive challenge and debate amongst the
management body, based on a range of perspectives and viewpoints. However, in order to further encourage diversity
of opinion and debate, avoid group-thinking and to promote sound governance outcomes, diversity aspects including
but not limited to the following will be taken into account by the management body of MCEL when changing and / or
assessing their composition, in accordance with the S&D Guidelines:
• Gender;
• Educational and professional background;
• Age;
• Ethnicity;
• Geographical Provenance;
• Professional experience; and
• Tenure and personal background.
When recruiting Directors for the MCEL Board, the above-mentioned suitability and diversity aspects, as well as
Macquarie’s wider policy and risk management framework requirements, will be taken into account, whether for
executive or non-executive appointments.
It is acknowledged that executive members of management bodies are typically nominated by virtue of their
executive duties and in accordance with the requirements of the Nominee Directors & Officers Policy. Management
body suitability and diversity is therefore closely linked to the suitability and diversity of senior management.
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5. Capital Adequacy
Capital Resources and Key Capital Ratios
MCEL’s regulatory capital resources are solely in the form of Common Equity Tier 1 (“CET1”) capital instruments,
comprising ordinary share capital, equity contribution and reserves less retained losses and Prudent Valuation
Adjustment (“PVA”).
CET1 capital is to only account for externally verified (audited) retained earnings, and foreseeable dividend payments.
MCEL’s capital ratios are calculated in accordance with CRR Article 92 – Capital Resources divided by the Total Risk
Exposure Amount (“TREA”). Given that MCEL’s Capital Resources are solely in the form of CET1 capital instruments, its
CET1 Capital Ratio, Tier 1 Capital Ratio and Total Capital Ratios are equivalent.
Under CRD IV, the minimum capital requirements under CRR Article 92 are supplemented by the following –
• Capital Conservation Buffer (“CCoB”) – The CCoB is a buffer for all firms that can be used to absorb losses while
avoiding breaching minimum capital requirements. The CCoB is to be comprised entirely of CET1 and is calculated
at 2.5% of the RWAs.
• Countercyclical Capital Buffer (“CCyB”) – The CCyB can be varied over time. The primary objective of the
countercyclical capital buffer is to ensure that the banking system is able to withstand stress without restricting
essential services, such as the supply of credit, to the real economy. Each firm’s CCyB depends on its weighted
average CCyB rate determined according to the CCyB rates that apply in the jurisdictions in which the bank has
relevant exposures.
• Systemic buffers ("G-SIIB" and "SRB”) – The systemic buffers apply only to globally systemic banks or ring-fenced
banks and are therefore not applicable to MCEL.
• Individual Capital Guidance (“ICG”; “Pillar 2A”) – ICG is the guidance given to a firm about the amount and quality of
capital resources that the FCA thinks it should hold at all times under the Overall Financial Adequacy Rule. This is
assessed as part of the ICAAP and FCA’s periodic supervisory review and evaluation process (“SREP”). Pillar 2A
capital requirements capture the risks that are not assessed to be adequately covered under the Pillar 1 capital
requirements. Pillar 1 and Pillar 2A capital requirements together constitute the ICG.
• Capital Planning Buffer (“CPB”; “Pillar 2B”) – The CPB is an amount separate, though related to, the ICG, whereby CPB
is the amount and quality of capital resources that a firm should hold at a given time in accordance with the
General Stress and Scenario Testing Rule, so that the firm is able to continue to meet the Overall Financial
Adequacy Rule throughout the relevant capital planning period in the face of adverse circumstances, after allowing
for realistic management actions.
Minimum Regulatory Capital (Pillar 1) Requirements
MCEL’s Pillar 1 capital resource requirement is calculated under the IFPRU rules as the higher of:
• £730,000; and
• 8% of the Total Risk Exposure Amount as calculated per Article 92(3) of the CRR.
Further details on the approach and methodology applied for the calculation of the risk methodologies is provided
below and in subsequent sections.
Credit Risk:
MCEL calculates its Pillar 1 capital requirements for credit risk exposures under the standardised approach, per Part
Three, Title II, Chapter 2 of the CRR.
MCEL calculates its Pillar 1 capital requirements for counterparty credit risk exposures under the mark-to-market
approach, per Article 274 of the CRR; and exposures to central counterparties per Part Three, Title II, Chapter 6,
Section 9 of the CRR.
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MCEL currently holds no securitisation exposures and does not intend to hold securitisation exposures.
Where forms of credit risk mitigation are applied to MCEL’s credit and counterparty risk exposures, this is done in
accordance with Part Three, Title II, Chapter 4 of the CRR.
Market Risk:
MCEL calculates its Pillar 1 capital requirements for market risk positions under the standardised approach, per Part
Three, Title IV, Chapters 1-4 of the CRR.
Operational Risk:
MCEL calculates its Pillar 1 capital requirements for operational risk under the Basic Indicator Approach ("BIA"), per
Part Three, Title III, Chapter 2 of the CRR.
Settlement Risk:
MCEL calculates its Pillar 1 capital requirements for settlement risk per Part Three, Title V of the CRR.
CVA Risk:
MCEL calculates its Pillar 1 capital requirements for CVA risk under the standardised method, per Part Three, Title VI
of the CRR (noting the exclusions from the scope of the CVA risk Pillar 1 capital calculation in Article 382(4)).
Large Exposures in the Trading Book:
In accordance with Article 395(5) of the CRR, MCEL will maintain an additional capital requirement for any trading
book excess to a client or group of connected clients which exceeds 25% of MCEL’s eligible capital. Any additional
capital requirement is calculated in accordance with Articles 397 and 398 of the CRR.
As at 31 March 2021, the total capital ratio for the MCEL was 93.6% which is above the regulatory minimum required
by the FCA, and the MCEL Board imposed internal minimum requirement.
Table 1: Capital Adequacy
31 March 2021 31 March 2020 £’m £’m
Capital Resources
Tier 1 Capital
Ordinary share capital (including share premium) 336.6 336.6
Audited retained earnings (160.3) (152.9)
Equity contribution from ultimate parent entity 2.1 2.1
Prudent Valuation and other adjustments (1.79) (0.7)
Total Tier 1 capital 176.6 185.2
Tier 2 Capital - -
Total Resources 176.6 185.2
Capital Requirement
Credit risk 9.5 11.0
Settlement Risk 0.0 0.2
Market risk 0.4 1.5
• Foreign Exchange Position Risk Requirement 0.4 1.5
Credit Valuation Adjustment 0.1 0.1
Operational Risk 5.0 6.4
Total Capital Requirement 15.0 19.2
Total Risk Weighted Assets 187.9 240.2
Tier 1 Capital Ratio 94.0% 77.1%
Total Capital Ratio 94.0% 77.1%
Note that any figure labelled as “-“ throughout this document relates to a zero balance, whereas figures labelled as
£0.0m relate to non-zero balances which round to £0.0m (to the nearest hundred thousand).
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6. Credit Risk Management
Credit Risk
MCEL’s appetite for credit and counterparty risk is defined in the MCEL Risk Appetite Framework and the MCEL Credit
Policy, which among other things sets out:
• The approval requirements for all MCEL credit limits and exposures;
• Monitoring framework for credit risk within MCEL;
The ongoing reporting requirements to ensure the MCEL CRO, the MCEL CEO, the MCEL Board and other senior
management retain appropriate oversight of the credit risk held within MCEL.
Additionally, as a member of the Macquarie Group, MCEL is subject to a global framework for the approval,
management and reporting of credit risk exposures. This includes the assessment of credit risk using Macquarie’s
economic capital model that is consistent with the advanced approaches under Basel III.
RMG Credit, as part of the Risk Management Group, assists the MCEL Board in establishing and maintaining a robust
framework for the management of credit risks within MCEL.
MCEL enforces a strict ‘no limit, no dealing’ principle. All proposed transactions are analysed and approved by
individuals with discretion authority before they can proceed. Each proposal to incur a material credit exposure is
assessed independently by RMG Credit. This assessment includes a comprehensive review of the creditworthiness of
the counterparty and related entities, key risks and mitigants, and downside case scenarios. The assessment confirms
consistency with risk appetite and portfolio limits. For wholesale credit exposures, the customer creditworthiness is
expressed through the probability of default (MQ rating) and loss given default (LGD) which are the main inputs into
regulatory and economic capital and return on risk calculations. Ratings and LGDs are derived using standardised
rating scorecards that are tailored to specific types of counterparties to ensure comparability of creditworthiness.
RMG Credit monitors the performance of counterparties on an ongoing basis to ensure any deterioration is identified
and reflected in an adjustment to limits, MQ rating, LGD and other customer attributes. This is done, as applicable to
the counterparty, through monitoring of covenant compliance and review and analysis of a variety of sources
including publicly available information specific to the counterparty (such as share price and CDS spread movements),
annual reports, financial statements, media releases, the macroeconomic environment, industry variables, regulatory
changes, market updates, and private information received from the counterparty. RMG Credit also maintains close
contact with the relevant businesses and in some instances, direct contact with the client. At a minimum, full
counterparty reviews must be completed every 12 months.
Wrong-way risk is considered immaterial to MCEL however the entity is subject to the Macquarie Group Credit Risk
Management Framework which sets out the responsibility of RMG Credit and the Front Office for ensuring that
Macquarie is not exposed to specific wrong-way risk.
MCEL does not currently hold collateral, however, any collateral held would be subject to the Macquarie Security
Valuation Policy which defines the principles and standards for valuing and adopting security, as well as roles and
responsibilities of the various stakeholders.
Additional details on impaired exposures, past due exposures and provisioning is set out in the MCEL financial
accounts as published on the Companies House website.
(https://www.gov.uk/government/organisations/companies-house)
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7. Market Risk Management
Market risk is the risk of loss associated with changes in the volatility or prices in markets to which MCEL is exposed.
The only potential source of traded market risk in MCEL is from the Equities business in Macquarie Capital (MacCap),
which should only arise on an exceptional basis. MCEL may also be exposed to immaterial non-traded FX risk, arising
from the MacCap Advisory business.
Traded market risk is constrained at the aggregate level by MCEL’s Macro-Economic Linkages (‘MEL’) and Value at Risk
(‘VaR’) limits.
The MEL scenarios are large, simultaneous, ‘worst case’ movements in global markets. They consider very large
movements in a number of markets at once, based on an understanding of the economic linkages between markets.
The MEL scenarios reflect a market ‘shock’ or ‘gap’ over a period where positions are unable to be managed, as
opposed to a sustained deterioration. The MEL scenario relevant for MCEL models a Global Financial Crisis-style equity
market contagion crash event.
VaR provides a statistical measure of market risk in MCEL, based on a 10-day close-out period and 99% confidence
interval. The magnitude of VaR reflects changes in positions as well as changes in market volatility, correlations, and
enhancements to the model parameters.
Both MEL and VaR are calculated and monitored against limits daily by RMG Market Risk.
As a member of the Macquarie Group, MCEL is also subject to a global framework for the approval, management and
reporting of market risk exposures. Divisional limits are set for individual trading desks and divisions at an MGL level,
with MCEL exposures feeding into MGL limits.
MCEL calculates its market risk capital requirement as the higher of MCEL’s MEL exposure and the standardised
approach as laid out under the CRR. As at 31 March 2021, the market risk capital requirement in MCEL is £0.4m
(derived from the standardised approach) and comprised only of FX position risk.
Interest Rate Risk in the Non-Trading Book (“IRRBB”)
IRRBB is the risk of losses arising from changes in the interest rates associated with banking book items. MCEL has
minimal exposure to IRRBB as the primary activities undertaken within MCEL relate to trading activities and corporate
advisory. IRRBB may arise through DCM underwriting activities performed by the MacCap business unit, and also
through potential mismatches between base rates charged on intercompany lending facilities provided to MCEL
versus rates earnt by MCEL on intercompany or external cash deposits.
MCEL is subject to Macquarie’s management and reporting framework for IRRBB. Macquarie’s approach is that
business units do not take outright interest rate risk and that, where possible, interest rate risks arising in MCEL are to
be transferred out of the non-trading book and managed within traded market risk limits.
Any residual interest rate risks are subject to limits that are approved and monitored by RMG Market Risk.
To the extent that any interest rate exposures remain in MCEL, MCEL calculates its IRRBB risk position with reference
to both Economic risk and Earnings at risk. As at 31 March 2021, the IRRBB exposure in MCEL from the internal
assessment is £4k, fully capitalised under Pillar 2A.
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8. Operational Risk Management
Operational risk framework
Operational risk is defined as the risk of loss resulting from inadequate or failed internal processes, controls or systems
or from external events.
MCEL calculates its Pillar 1 capital requirements for operational risk under the Basic Indicator Approach (“BIA”), per
Part Three, Title III, Chapter 2 of the CRR.
MCEL uses the last three yearly observations from audited financial statements to calculate the average relevant
indicator over this period per Article 316 of the CRR. The average of the relevant indicator is then multiplied by 15% to
calculate the capital requirement for operational risk. The Pillar 1 capital requirements for Operational Risk as at 31
March 2021 were £5.0m.
The relevant indicator is calculated as the sum of the following:
• Interest receivable and similar income
• Interest payable and similar charges
• Income from shares and other variable/ fixed-yield securities
• Commissions/ fees receivable
• Commissions/ fees payable
• Net profit or net loss on financial operations
• Other operating income
MCELs Operational Risk Management Framework (ORMF) is designed to identify, assess and manage operational risks
within the organisation. The key objectives of the framework are:
• Risk identification, analysis and acceptance.
• Execution and monitoring of risk management practices.
• Reporting and escalation of risk information on a routine and exception basis.
The Framework incorporates six primary pillars in the management of operational risk:
1. Operational Risk Policies
Policies and guidelines are established to support the management of operational risks.
2. New Product and Business Approval (“NPBA”) process
A robust change management process to ensure operational risks inherent in new products, businesses,
processes or systems and major organisational projects are identified, addressed and managed prior to
implementation.
3. Incident Reporting and Escalation
Operational risk incidents are analysed to identify lessons learned and ensure appropriate actions have been
taken towards the relevant risk.
4. Risk and Control Self-Assessment (“RCSA”) and Control Assurance
The RCSA is a formal process of risk self-assessment, designed to identify operational and compliance risks
that exist in the business, and to record and assess the performance of the controls in place to mitigate
those risks. Control assurance is a proactive investigation to provide comfort that critical controls are
adequately designed and operating effectively.
5. Operational Risk Capital Framework
MCEL uses the BIA to calculate a Pillar 1 Operational Risk Capital Requirement. MCEL uses a scenario-based
approach to determine operational risk capital requirements under Pillar 2A. The framework for managing
operational risk capital has been developed to establish the level of capital required to be held for operational
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risk exposures and as a tool to encourage appropriate management of Macquarie’s day-to-day operational
risk.
6. Business aligned Operational Risk Management (“BORM”)
BORMs are appointed by Macquarie business division heads to be their representative on operational risk
management matters, and act as their delegate in ensuring that operational risk is addressed appropriately
within the Group.
Structure and Organisation of the Operational Risk Function
Most Macquarie operational risk staff operate at the business level. BORMs are responsible for embedding operational
risk management within their business. They report directly to the relevant business and have a dotted reporting line
to the Head of RMG Operational Risk and Governance. RMG Operational Risk and Governance is a division of RMG and
is responsible for ensuring the MCEL ORMF remains appropriate and that skilled resources are available to support it.
The function is also responsible for MCEL’s Pillar 2 Operational Risk Capital measurement methodology.
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9. Exposure Classification and
Credit Risk Mitigation
The external credit ratings of MCEL’s exposures to corporates, institutions and sovereigns have been mapped to
credit quality steps to determine the appropriate risk weights according to the FCA guidance.
• MCEL has a non-significant investment in a non-financial sector company which is risk-weighted at 100%.
• As at 31 March 2021, MCEL’s credit risk capital requirement amounted to £9.5m.
• Rating agencies used by Macquarie are Moody’s, Standard & Poor’s and Fitch.
MCEL complies with Macquarie Group policy with regards to balance sheet netting arrangements. The tables below
illustrate the balance sheet exposure values by risk weight, before and after application of credit risk mitigation. Past
due fees receivable are assigned to the category ‘Exposures in default’ and are assigned a risk weight of 150%.
Table 2: Geographic and Exposure Class Breakdown of Exposures and Credit Risk Capital Requirements
31 March 2021 31 March 2020
Exposure Class
Geographic
Location
Exposure
pre-credit risk
mitigation and
provision
Credit Risk
Capital
Requirements
Exposure pre-credit
risk mitigation
and provision
Credit Risk
Capital
Requirements
Central governments
or central banks
Australia
1.3 -
Europe 1.2 0.1 6.6 0.1
Claims on institutions
and corporate with a
short-term credit
assessment
Australia 3.0 0.0 80.5 0.1
Europe
2.1
0.0
2.9
0.2
Corporates
Americas
Asia
Australia
Africa
Europe
-
-
89.1
0.7
21.0
-
-
7.1
0.1
1.6
0.3
0.9
20.3
-
84.9
0.0
0.1
1.6
-
6.8
Public sector entities Europe
0.1
0.0
-
-
Equity Exposures Europe - - 3.4 0.3
Exposures in default
Americas - - 0.6 0.1
Asia - - - -
Europe - - 4.6 0.5 Americas 1.6 0.0 - -
Institutions Australia 0.0 0.0 4.1 0.6
Europe 17.6 0.3 24.8 0.3
Other items Europe 2.3 0.2 3.0 0.2
Grand Total 140.1 9.5 236.9 11.0
Macquarie Capital (Europe) Limited 16
Table 3: Asset Class and Risk Weight Class Breakdown of Exposures and Credit Risk Capital Requirements
31 March 2021 31 March 2020
Exposure Class
Risk
Weight
Exposure
pre-credit
risk
mitigation
Exposure
post-credit
risk
mitigation
Capital
requirements
Exposure
pre-credit
risk
mitigatio
n
Exposure
post-
credit risk
mitigation
Capital
requiremen
ts
Central
governments or
central banks
0% 1.4 1.4 - 5.1 5.1 -
100%
1.1 1.1 0.1 1.5 1.5 0.1
Claims on
institutions and
corporates with
a short-term
credit
assessment
20% 5.2 5.2 0.1 81.0 4.1 0.1
50% - - - 1.3 1.3 0.1
100%
- - - 1.1 1.1 0.1
Corporates 20%
100%
0.5
110.3
0.5
110.0
0.0
8.8
-
106.4
-
106.4
-
8.5
Equity
Exposures 100%
- - - 3.4 3.4 0.3
Exposures in
default 150%
- - - 5.2 5.2 0.6
Institutions 20%
100%
19.2
-
19.2
-
0.3
-
21.2
7.7
21.2
7.7
0.3
0.6
Public sector
entities 150%
0.1 0.1 - - - -
Other items 20%
100%
-
2.3
-
2.3
-
0.2
0.0
3.0
0.0
3.0
0.0
0.2
Grand Total 140.1 139.8 9.5 236.9 159.9 11.0
Table 4: Post-CRM Exposure by Industry Type
31-Mar-21 31-Mar-20
Industry Type £’m £’m
Bank 2.2 1.3
Central Government 2.5 6.6
Electricity, Gas and Water supply 0.1 5.7
Financial Intermediaries and auxiliary services 125.5 129.3
Industrials - 1.1
Infrastructure 5.4 4.0
Manufacturing 0.4 4.7
Other 3.7 4.3
Macquarie Capital (Europe) Limited 17
Resources - 2.9
Grand Total 139.8 159.9
Table 5: Pre-CRM Exposure by Residual Maturity
0-3 3-6 6-12 1-5 >5
Exposure Class Months Months Months Years Years N/A Total
Central governments or central banks - - - 2.5 - - 2.5
Claims on institutions and corporates with a short-
term credit assessment
5.2 - - - - - 5.2
Corporates 96.8 - 4.9 9.1 - - 110.8
Institutions 19.2 - - - - - 19.2
Equity Exposures - - - - - -
Public sector entities 0.1 - - - - - 0.1
Other Items - 2.3 - - 2.3
Grand Total 121.3 - 7.2 11.6 - - 140.1
Table 6: Pre-CRM Exposure by ECAI Credit Quality Steps
Exposure Class Unrated 1 2 3 4 5
Central governments or central banks 0.0 2.5 - - - -
Claims on institutions and corporates with a short-term
credit assessment
0.0 1.8 3.3 0.1 - -
Corporates 110.8 - - - - -
Equity Exposures - - - - - -
Public sector entities - 0.1 - - - -
Institutions 19.2 - - - - -
Other Items 2.3 - - - - -
Grand Total 132.3 4.4 3.3 0.1 - -
Table 7: Exposure post credit risk mitigation ("CRM") and average exposure
31-Mar-21 31-Mar-20
Exposure Class
Exposure
Post CRM
Average
Exposure
Post CRM
Exposure
Post CRM
Average
Exposure
Post CRM
Central governments or central banks 2.5 6.6 6.6 8.9
Claims on institutions and corporates with a short-term
credit assessment
5.2 6.7 6.4 16.6
Corporates 110.8 112.6 106.4 117.0
Equity Exposures - 1.3 3.4 6.3
Exposures in default - 4.0 5.2 4.6
Institutions 19.2 20.7 28.9 37.2
Public sector entities 0.1 0.0 - -
Other Items 2.3 1.4 3.0 2.2
Grand Total 140.1 153.3 159.9 192.6
Macquarie Capital (Europe) Limited 18
10. Leverage Ratio
CRD IV requires the disclosure of MCEL’s leverage ratio, which measures the level of Tier 1 capital against both on- and
off-balance sheet exposures. As at 31 March 2021, the leverage ratio was 18.5%.
Leverage is the extent to which a firm funds its assets with borrowings rather than equity. More debt relative to equity
means a higher level of leverage. Excessive leverage is measured by a leverage ratio. This does not take into account
what those assets are, or what their risk characteristics are. Leverage ratios effectively place a cap on borrowings as a
multiple of a firm’s equity.
The purpose of monitoring and managing this metric is to enable regulators to constrain the build-up of excessive
leverage, which was considered to be one of the drivers of the banking crisis.
MCEL monitors its leverage requirements in line with the EBA requirements.
The risk of excessive leverage is managed through regular monitoring and reporting of the leverage ratio to the MCEL
board, this is measured against the Escalation and Triggers Framework.
Table 8: Table LRSum: Summary reconciliation of accounting assets and leverage ratio exposures
31-Mar-21
£’m
1 Total assets as per published financial statements 1,249.8
2 Adjustment for entities which are consolidated for accounting purposes but are outside
the scope of regulatory consolidation
-
3 (Adjustment for fiduciary assets recognised on the balance sheet pursuant to the
applicable accounting framework but excluded from the leverage ratio exposure measure
in accordance with Article 429(13) of Regulation (EU) No 575/2013 "CRR")
-
4 Adjustments for derivative financial instruments 8.4
5 Adjustments for securities financing transactions "SFTs" 2.7
6 Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of
off-balance sheet exposures)
-
EU-6a (Adjustment for intragroup exposures excluded from the leverage ratio exposure measure
in accordance with Article 429 (7) of Regulation (EU) No 575/2013)
-
EU-6b (Adjustment for exposures excluded from the leverage ratio exposure measure in
accordance with Article 429 (14) of Regulation (EU) No 575/2013)
-
7 Other adjustments (304.7)
8 Total leverage ratio exposure 956.3
Macquarie Capital (Europe) Limited 19
Table 9: Table LRCom: Leverage ratio common disclosure
CRR leverage ratio exposures
31-Mar-21
£'m
On-balance sheet exposures (excluding derivatives and SFTs)
1 On-balance sheet items (excluding derivatives, SFTs and fiduciary assets, but
including collateral)
867.1
2 (Asset amounts deducted in determining Tier 1 capital) (1.3)
3 Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets)
(sum of lines 1 and 2)
865.9
Derivative exposures
4 Replacement cost associated with all derivatives transactions (i.e. net of eligible
cash variation margin)
0.6
5 Add-on amounts for PFE associated with all derivatives transactions (mark-to-market
method)
8.4
EU-5a Exposure determined under Original Exposure Method
6 Gross-up for derivatives collateral provided where deducted from the balance sheet
assets pursuant to the applicable accounting framework
-
7 (Deductions of receivables assets for cash variation margin provided in
derivatives transactions)
-
8 (Exempted CCP leg of client-cleared trade exposures) -
9 Adjusted effective notional amount of written credit derivatives -
10 (Adjusted effective notional offsets and add-on deductions for written credit derivatives) -
11 Total derivative exposures (sum of lines 4 to 10) 9.0
Securities financing transaction exposures
12 Gross SFT assets (with no recognition of netting), after adjusting for sales
accounting transactions
78.8
13 (Netted amounts of cash payables and cash receivables of gross SFT assets) -
14 Counterparty credit risk exposure for SFT assets 2.7
EU-14a Derogation for SFTs: Counterparty credit risk exposure in accordance with Article 429b
(4) and 222 of Regulation (EU) No 575/2013
-
15 Agent transaction exposures -
EU-15a (Exempted CCP leg of client-cleared SFT exposure) -
16 Total securities financing transaction exposures (sum of lines 12 to 15a) 81.4
Other off-balance sheet exposures
17 Off-balance sheet exposures at gross notional amount -
18 (Adjustments for conversion to credit equivalent amounts) -
19 Other off-balance sheet exposures (sum of lines 17 to 18) -
Exempted exposures in accordance with CRR Article 429 (7) and (14) (on and off-balance sheet)
EU-19a (Exemption of intragroup exposures (solo basis) in accordance with Article 429(7) of
Regulation (EU) No 575/2013 (on and off-balance sheet))
-
EU-19b (Exposures exempted in accordance with Article 429 (14) of Regulation (EU) No 575/2013
(on and off-balance sheet))
-
Capital and total exposures
20 Tier 1 capital 176.6
21 Total leverage ratio exposures (sum of lines 3, 11, 16, 19, EU-19a and EU-19b) 956.3
Leverage ratio
22 Leverage ratio 18.5%
Macquarie Capital (Europe) Limited 20
Table 10: Table LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures)
CRR leverage ratio exposures
31-Mar-21
£’m
EU-1 Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures),
of which:
867.1
EU-2 Trading book exposures 746.0
EU-3 Banking book exposures, of which: 121.1
EU-4 Covered bonds -
EU-5 Exposures treated as sovereigns 2.8
EU-6 Exposures to regional governments, MDB, international organisations and PSE NOT
treated as sovereigns
-
EU-7 Institutions 8.8
EU-8 Secured by mortgages of immovable properties -
EU-9 Retail exposures -
EU-10 Corporate 101.4
EU-11 Exposures in default 5.7
EU-12 Other exposures (e.g. equity, securitisations, and other non-credit obligation assets) 2.3
LRQua: Disclosure on qualitative items
The Leverage ratio for MCEL is impacted most significantly by changes in the course of settlement as of 31 March
2021. Banking book exposures for MCEL is impacted mostly by fees receivable and intercompany receivables as of
31 March 2021.
Macquarie Capital (Europe) Limited 21
11. Asset Encumbrance
As per the guidelines issued pursuant to Article 16 of Regulation (EU) No 1093/2010 of the European Parliament and
of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority),
amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (the EBA Regulation) and in
accordance with Article 16(3) of the EBA Regulation, an investment firm is required to disclose information on
encumbered and unencumbered assets.
An asset shall be treated as encumbered if it has been pledged or if it is subject to any form of arrangement to secure,
collateralise or credit enhance any transaction from which it cannot be freely withdrawn.
Table 11: Template A – Assets
Carrying amount of
encumbered
assets
Fair value of
encumbered
assets
Carrying amount of
unencumbered
assets
Fair value of
unencumbered
assets
of which
notionally
eligible
EHQLA
and HQLA
of which
notionally
eligible
EHQLA
and HQLA
of which
EHQLA
and
HQLA
of which
EHQLA
and
HQLA
10 30 40 50 60 80 90 100
10 Assets of the
reporting institution
8.8
937.9
20 Loans on demand
132.7
30 Equity instruments
40 Debt securities
50 of which:
covered bonds
60 of which: asset-backed
securities
70 of which: issued by
general governments
80 of which: issued by
financial corporations
90 of which: issued by
non-financial
corporations
100 Loans and advances
other than loans on
demand
82.8
120 Other assets 8.8
722.5
*Cells which are coloured in grey indicate those components which are not reportable under EBA Guidelines.
Macquarie Capital (Europe) Limited 22
Table 12: Template B – Collateral received
The following below table discloses information on collateral received by MCEL that is off-balance sheet
Fair value of
encumbered
collateral received
or own debt
securities issued
Unencumbered
Fair value of collateral received or
own debt securities issued
available for encumbrance
of which
notionally
eligible EHQLA
and HQLA
of which
EHQLA
and
HQLA
10 30 40 60
Collateral received by the reporting institution 78.3 78.3
Loans on demand
Equity instruments
Debt securities 78.3 78.3
• of which: covered bonds
• of which: asset-backed securities
• of which: issued by general governments 78.3 78.3
• of which: issued by financial corporations
• of which: issued by non financial corporations
Loans and advances other than loans on demand
Other collateral received
Own debt securities issued other than own covered
bonds or asset-backed securities
Own covered bonds and asset-backed securities issued
and not yet pledged
Total assets, collateral received and own debt securities
issued
*Cells which are coloured in grey indicate those components which are not reportable under EBA Guidelines
Table 13: Template C – Sources of encumbrance
The following table show sources of encumbrance for the period ended 31 March 2021
Matching liabilities,
contingent liabilities
or securities
lent
£'000
Assets, collateral received
and own debt securities
issued other than covered
bonds and ABSs encumbered
£'000
010 Carrying amount of selected financial liabilities
170 Total sources of encumbrance
8.8
D – Information on importance of encumbrance
Collateral received relates to government bonds that do not meet the conditions to be recognised on balance sheet in
accordance with the applicable accounting framework.
Included within the carrying value of unencumbered assets, there are assets which would not normally be considered
available for encumbrance in the normal course of business including trade timing/settlement differences, intangible
assets, property, plant and equipment, prepayments and accruals and deferred tax assets.
Macquarie Capital (Europe) Limited 23
12. Capital Buffers
Capital Buffers
Institutions are required to hold a capital conservation buffer and a counter-cyclical capital buffer to ensure that
sufficient capital is accumulated during periods of economic growth to absorb losses in stressed periods. MCEL holds
capital buffers in accordance with IFPRU 10.
Capital Conservation Buffer
As per the FCA guidance in IFPRU TP 7, MCEL holds a capital conservation buffer of 2.5% of its total
risk-weighted assets.
Countercyclical Buffer (“CCyB”)
Institutions are required to calculate an institution-specific counter-cyclical capital buffer as a weighted average of the
counter-cyclical buffer rates that apply in the countries where the credit exposures are located. Each member state
designates an authority responsible for setting the counter-cyclical buffer rate in that member state on a quarterly
basis, taking into account the growth of credit levels and changes to the ratio of credit to GDP. The Financial Policy
Committee (FPC) of the Bank of England is responsible for setting the rate in the UK.
MCEL will hold additional capital in respect of exposures with countries as and when the FPC prescribes the CCyB rate.
As of 31 March 2021, the applicable CCyB rates in force were 1% set by Hong Kong, 1% set by Norway, 1% set by
Slovakia and 0.5% set by Luxembourg.
Based on the current exposures this does not have a material impact on MCEL.
Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer
31 March 2021:
General credit exposures Own funds requirements
Own funds
requirement
weights
Counter-
cyclical
capital
buffer rate Country (£’m)
Exposure
value for SA
Exposure
value for
IRB
of which:
General
credit
exposures
of which:
Trading
book
exposures
of which:
Securitisation
exposures Total
Hong Kong - - - - - - 0.0% 1.00%
Luxembourg 4.0 - 0.3 - - - 3.6% 0.50%
Norway - - - - - - 0.0% 1.00%
Slovakia - - - - - - 0.0% 1.00&
Total 4.0 - 0.3 - - -
£'m
Total risk exposure amount 179.9
Institution specific countercyclical capital buffer rate 0.02%
Institution specific countercyclical capital buffer requirement 0.03
Macquarie Capital (Europe) Limited 24
13. Disclosure
• The material in this document has been prepared by Macquarie Capital (Europe) Limited, Company number
03704031 (“MCEL”) purely for the purpose of explaining the basis on which MCEL has prepared and disclosed
certain capital requirements and information about the management of risks relating to those requirements and
for no other purpose. Information in this document, including any forward-looking statements, should not be
considered as advice or a recommendation to investors or potential investors in relation to holding, purchasing or
selling securities or other financial products or instruments (the “Investment Activity”) and does not take into
account investors’ or potential investors’ particular investment objectives, financial situation or needs. Before acting
on any information investors and potential investors should consider the appropriateness of information having
regard to the Investment Activity, any relevant offer document and in particular, investors and potential investors
should seek independent financial advice. No representation or warranty is made as to the accuracy, completeness
or reliability of the information. All securities and financial product or instrument transactions involve risks, which
include (among others) the risk of adverse or unanticipated market, financial or political developments and, in
international transactions, currency risk.
• This document may contain forward-looking statements that is, statements related to future, not past, events or
other matters – including, without limitation, statements regarding our intent, belief or current expectations with
respect to MCEL’s businesses and operations, market conditions, results of operation and financial condition,
capital adequacy, individually assessed provisions for impairment and risk management practices. Readers are
cautioned not to place undue reliance on these forward-looking statements. MCEL does not undertake any
obligation to publicly release the result of any revisions to these forward-looking statements or to otherwise update
any forward-looking statements, whether as a result of new information, future events or otherwise, after the date
of this document. Actual results may vary in a materially positive or negative manner. Forward-looking statements
and hypothetical examples are subject to uncertainty and contingencies outside MCEL’s control. Past performance
is not a reliable indication of future performance. Unless otherwise specified, all information is at 31 March 2021.
• Although Pillar 3 disclosures are intended to provide transparent disclosures on a common basis, the information
contained in this document may not be directly comparable with the information of other firms. This may be due to
a number of factors such as:
− the mix of business exposures differs between firms; and
− the fact that Pillar 2 capital requirements are excluded from this disclosure but play a major role in determining
both the total capital requirements of the firm and any surplus capital available.
Macquarie Capital (Europe) Limited 25
Appendix 1
Capital Adequacy
31 March 2021
£m
(B)
REGULATION
(EU) No 575/2013
ARTICLE
REFERENCE
Capital instruments and the related share premium accounts 338.7 26 (1), 27, 28, 29,
EBA list 26 (3)
of which: Instrument type 1 338.7 EBA list 26 (3)
Retained earnings (160.3) 26 (1) (c)
Accumulated other comprehensive income (and any other reserves) (1.8) 26 (1)
Funds for general banking risk - 26 (1) (f)
Amount of qualifying items referred to in Article 484 (3) and the related share
premium accounts subject to phase out from CET1
- 486 (2)
Public sector capital injections grandfathered until 1 January 2018 - 483 (2)
Minority interests (amount allowed in consolidated CET1) - 84, 479, 480
Independently reviewed interim profits net of any foreseeable charge or dividend - 26 (2)
Common Equity Tier 1 (CET1) capital before regulatory adjustments 176.6
Common Equity Tier 1 (CET1) capital: regulatory adjustments
Total regulatory adjustments to Common Equity Tier 1 (CET1) -
Common Equity Tier 1 (CET1) capital 176.6
Total regulatory adjustments to Additional Tier 1 (AT1) capital
Additional Tier 1 (AT1) capital
Tier 1 capital (T1 = CET1 + AT1) 176.6
Total regulatory adjustments to Tier 2 (T2) capital
Tier 2 (T2) capital
Total capital (TC = T1 + T2) 176.6
Total risk-weighted assets 187.9
Capital ratios and buffers
Common Equity Tier 1 (as a percentage of total risk exposure amount 93.99% 92 (2) (a), 465
Tier 1 (as a percentage of total risk exposure amount 93.99% 92 (2) (b), 465
Total capital (as a percentage of total risk exposure amount 93.99% 92 (2) (c)
Institution specific buffer requirement (CET1 requirement in accordance with
article 92 (1) (a) plus capital conservation and countercyclical buffer requirements
plus a systemic risk buffer, plus systemically important institution buffer
expressed as a percentage of total risk exposure amount)
4.7 CRD 128, 129, 140
of which: capital conservation buffer requirement 4.7
of which: countercyclical buffer requirement 0.0
of which: systemic risk buffer requirement -
of which: Global Systemically Important Institution (G-SII) or Other Systemically
Important Institution (O-SII) buffer
- CRD 131
Common Equity Tier 1 available to meet buffers (as a percentage of risk
exposure amount)
85.97% CRD 128
Macquarie Capital (Europe) Limited 26
Capital instruments’ main features template
Disclosure according to Article 3 in Commission implementing regulation (EU) No 1423/2013
Capital instruments’ main features template (1)
1 Issuer MCEL
2 Unique identifier (e.g CUSIP, ISIN or Bloomberg identifier for private placement) N/a
3 Governing law(s) of the instrument UK
Regulatory treatment
4 Transitional CRR rules CET1
5 Post-transitional CRR rules CET1
6 Eligible at solo/(sub-)consolidated/solo & (sub-)consolidated Solo
7 Instrument type (types to be specified by each jurisdiction) Ordinary Shares
8 Amount recognised in regulatory capital (currency in million, as of most recent
reporting date)
331.6
9 Nominal amount of instrument 331.6
9a Issue price 1
9b Redemption price 1
10 Accounting classification Called Up Share capital
11 Original date of issuance June 29, 1999
12 Perpetual or dated Perpetual
13 Original maturity date No Maturity Date
14 Issuer call subject to prior supervisory approval N/a
15 Optional call date, contingent call dates and redemption amount N/a
16 Subsequent call dates, if applicable N/a
Coupons / dividends
17 Fixed or floating dividend / coupon N/a
18 Coupon rate and any related index N/a
19 Existence of a dividend stopper No
20a Fully discretionary, partially discretionary or mandatory (in terms of timing) Fully discretionary
20b Fully discretionary, partially discretionary or mandatory (in terms of amount) Fully discretionary
21 Existence of step up or other incentive to redeem No
22 Noncumulative or cumulative Non-cumulative
23 Convertible or non-convertible Non-convertible
24 If convertible, conversion trigger(s) N/a
25 If convertible, fully or partially N/a
26 If convertible, conversion rate N/a
27 If convertible, mandatory or optional conversion N/a
28 If convertible, specify instrument type convertible into N/a
29 If convertible, specify issuer of instrument it converts into N/a
30 Write-down features N/a
31 If write-down, write-down trigger(s) N/a
32 If write-down, full or partial N/a
33 If write-down, permanent or temporary N/a
34 If temporary write-down, description of write-up mechanism N/a
35 Position in subordination hierarchy in liquidation (specify instrument type
immediately senior to instrument)
N/a
36 Non-compliant transitioned features No
37 If yes, specify non-compliant features N/a
1. 'N/A' inserted if the question is not applicable.