Pillar 3 disclosures

Macquarie Capital (Europe) Limited March 2020

Contents

1.0 Overview 2 2.0 Risk Management 3 3.0 Remuneration 5 4.0 Governance Arrangements 6 5.0 Capital Adequacy 8 6.0 Credit Risk Management 10 7.0 Market Risk Management 11 8.0 Operational Risk Management 12 9.0 Exposure Classification and Credit Risk Mitigation 13 10.0 Leverage Ratio 16 11.0 Asset Encumbrance 19 12.0 Capital Buffers 21 Disclaimer 22 Appendix 1 23

1 Macquarie Capital (Europe) Limited Pillar 3 Disclosures March 2020 macquarie.com 1.0 Overview

1.0 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 Capital Requirements Directive IV (“CRD IV”) package (consisting Directive 2013/36/EU (“CRD”) and Regulation (EU) No 575/2013 (“CRR”) and as implemented in part by the FCA under the Prudential sourcebook for Investment Firms (“IFPRU”). 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 is required to produce 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”). This document sets out the Pillar 3 disclosures for MCEL as at 31 March 2020. The disclosures for MCEL are prepared on an individual basis or solo basis.

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2.0 Risk Management

2.0 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: – 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. – 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. – 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. 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.

3 Macquarie Capital (Europe) Limited Pillar 3 Disclosures March 2020 macquarie.com 2.0 Risk Management continued

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 2020 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. 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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3.0 Remuneration

3.0 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

5 Macquarie Capital (Europe) Limited Pillar 3 Disclosures March 2020 macquarie.com 4.0 Governance Arrangements

4.0 Governance Arrangements Details of the Directors of MCEL as at 31 March 2020 are set out below: Number of total directorship Name Role Background appointments George Alford Non-Executive George Alford joined the MCEL Board of Directors in July 2018 as a 2 Director Non-Executive Director. George was further appointed as Chairman and Chair of MCEL in September 2018. 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. Paul Plewman Executive Paul Plewman joined the MCEL Board of Directors in October 2018. 14 Director 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. Phil Nash Executive Phil Nash joined the MCEL Board of Directors in December 2019. Phil 8 Director 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. As per MCEL’s Board Charter, the minimum number of directors is three and the majority of directors must be resident in the United Kingdom. As at 31 March 2020 the Board consisted of the EMEA CEO, the EMEA CFO and an independent non- executive Chair of the Board As at 31 March 2020, MCEL did not have a separate risk committee, however this committee has since been implemented. 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. In addition, 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 have been adopted by the MCEL Board (the “S&D Guidelines”). 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.

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4.0 Governance Arrangements continued

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.

7 Macquarie Capital (Europe) Limited Pillar 3 Disclosures March 2020 macquarie.com 5.0 Capital Adequacy

5.0 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% if 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. 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)).

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5.0 Capital Adequacy Continued

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 2020, the total capital ratio for the MCEL was 77.1% which is above the regulatory minimum required by the FCA, and the MCEL Board imposed internal minimum requirement.

Table 1: Capital Adequacy

31 March 2020 31 March 2019 £’m £’m Capital Resources Tier 1 Capital Ordinary share capital (including share premium) 336.6 336.6 Audited retained earnings (152.9) (140.6) Equity contribution from ultimate parent entity 2.1 2.1 Prudent Valuation and other adjustments (0.7) (2.1) Total Tier 1 capital 185.2 196.0 Tier 2 Capital - - Total Resources 185.2 196.0

Capital Requirement Credit risk 11.0 16.2 Settlement Risk 0.2 0.0 Market risk 1.5 26.5 – Traded Debt Instruments Position Risk Requirement - 0.0 – Equity Position Risk Requirement - 24.6 – Foreign Exchange Position Risk Requirement 1.5 1.9 Credit Valuation Adjustment 0.1 - Operational Risk 6.4 6.8 Total Capital Requirement 19.2 49.5 Total Risk Weighted Assets 240.2 619.8 Tier 1 Capital Ratio 77.1% 31.6% Total Capital Ratio 77.1% 31.6%

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).

9 Macquarie Capital (Europe) Limited Pillar 3 Disclosures March 2020 macquarie.com 6.0 Credit Risk Management

6.0 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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7.0 Market Risk Management

7.0 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 MCEL’s MacCap Equities business, which should only arise on an exceptional basis. MCEL may also be exposed to immaterial non-traded FX risk, arising from advisory activities within the MacCap Advisory and Capital Solutions (ACS) & Infrastructure and Energy Group (IEG) 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 is the Market Contagion scenario, which 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. Macquarie uses a Monte-Carlo VaR model, where volatilities and correlations of all risk factors used in the model are calibrated using a 3-year observation period, with exponential weighting applied to provide increased weight to more recent observations. Monthly re-calibration ensures inclusion of the most recent period on a regular basis. 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 using the standardised approach as laid out under the CRR. As at 31 March 2020, the market risk capital requirement in MCEL is £1.5m 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 within the Macquarie Capital ACS business, 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, wherever 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 2020, the IRRBB exposure in MCEL from the internal assessment is £0.1m, fully capitalised under Pillar 2A.

11 Macquarie Capital (Europe) Limited Pillar 3 Disclosures March 2020 macquarie.com 8.0 Operational Risk Management

8.0 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 2020 were £6.4m. 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 2. Policies and guidelines are established to support the management of operational risks. 3. New Product and Business Approval (“NPBA”) process 4. 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. 5. Incident Reporting and Escalation 6. Operational risk incidents are analysed to identify lessons learned and ensure appropriate actions have been taken towards the relevant risk. 7. Risk and Control Self-Assessment (“RCSA”) and Control Assurance 8. 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. 9. Operational Risk Capital Framework 10. 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 risk exposures and as a tool to encourage appropriate management of Macquarie’s day-to-day operational risk. 11. Business aligned Operational Risk Management (“BORM”) 12. 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. RMG Operational Risk 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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9.0 Exposure classification and Credit Risk Mitigation

9.0 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 2020, MCEL’s credit risk capital requirement amounted to £11.0m. – 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 illustrates 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 2020 31 March 2019

Exposure pre- Exposure pre- Credit Risk Geographic credit risk credit risk Credit Risk Capital Exposure Class Capital Location mitigation and mitigation and Requirements Requirements provision provision Central governments Europe 6.6 0.1 5.7 0.1 or central banks

Claims on Australia 80.5 0.1 99.0 1.1 institutions and corporate with a short-term credit Europe 2.9 0.2 0.9 0.0 assessment Americas 0.3 0.0 2.1 0.2 Asia 0.9 0.1 0.5 0.0 Corporates Australia 20.3 1.6 149.6 12.0 Europe 84.9 6.8 21.6 1.7 Equity Exposures Europe 3.4 0.3 4.5 0.4 Americas 0.6 0.1 - - Exposures in default Asia - - 0.2 0.0 Europe 4.6 0.5 14.5 0.1 Americas - - 0.2 0. Australia 4.1 0.6 1.6 0.1 Institutions Europe 24.8 0.3 28.9 0.5 Australia - - 0.3 0.0 Other items Americas - - 0.0 0.0 Europe 3.0 0.2 0.7 0.0 Grand Total 236.9 11.0 330.4 16.2

13 Macquarie Capital (Europe) Limited Pillar 3 Disclosures March 2020 macquarie.com 9.0 Exposure classification and Credit Risk Mitigation continued

Table 3: Asset Class and Risk Weight Class Breakdown of Exposures and Credit Risk Capital Requirements

31 March 2020 31 March 2019 Exposure Exposure Exposure Exposure post- Capital Risk pre-credit Capital pre-credit post-credit Exposure Class credit risk require Weight risk requirements risk risk mitigation ments mitigation mitigation mitigation

Central 0% 5.1 5.1 - 4.1 4.1 - governments or central banks 100% 1.5 1.5 0.1 1.6 1.6 0.1

Claims on 20% 81.0 4.1 0.1 0.9 0.9 0.0 institutions and corporates with 50% 1.3 1.3 0.1 99.0 26.6 1.1 a short-term credit assessment 100% 1.1 1.1 0.1 0.1 - -

Corporates 100% 106.4 106.4 8.5 173.9 173.9 13.9 Equity 100% 3.4 3.4 0.3 4.5 4.5 0.4 Exposures Exposures in 150% 5.2 5.2 0.6 14.7 1.1 0.1 default

Institutions 20% 21.2 21.2 0.3 29.1 29.1 0.5

50% - - - 1.6 1.6 0.1

100% 7.7 7.7 0.6 - - -

Other Items 20% 0.0 0.0 0.0 0.4 0.4 0.0

100% 3.0 3.0 0.2 0.6 0.6 0.0

Grand Total 236.9 159.9 11.0 330.4 244.3 16.2

Table 4: Post-CRM Exposure by Industry Type

31-Mar-20 31-Mar-19 Industry Type £’m £’m Bank 1.3 23.4 Central Government 6.6 5.7 Electricity, Gas and Water supply 5.7 3.0 Financial Intermediaries and auxiliary services 129.3 201.9 Industrials 1.1 0.0 Infrastructure 4.0 2.3 Manufacturing 4.7 2.7 Other 4.3 0.6 Resources 2.9 4.7 Grand Total 159.9 244.3

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9.0 Exposure classification and Credit Risk Mitigation

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 6.6 - - - - - 6.6 Claims on institutions and corporates with a short-term credit 6.4 - - - - - 6.4 assessment Corporates 106.4 - - - - 0.1 106.4 Equity Exposures 16.4 - 12.5 - - - 28.9 Exposures in default 2.8 - - - - 0.7 3.4 Institutions 0.9 3.3 0.9 - - - 5.2 Other Items 0.1 - - - - 2.8 3.0 Grand Total 139.6 3.3 13.4 - - 3.6 159.9

Table 6: Pre-CRM Exposure by ECAI Credit Quality Steps

Exposure Class Unrated 1 2 3 4 5 Other Central governments or central banks - 6.6 - - - - - Claims on institutions and corporates with a short-term - 1.2 3.5 0.6 1.1 - - credit assessment Corporates 106.1 - - 0.3 - - - Equity Exposures 3.4 ------Exposures in default 5.2 ------Institutions 28.9 ------Other Items 3.0 ------Grand Total 146.6 7.8 3.5 0.9 1.1 - -

Table 7: Exposure post credit risk mitigation ("CRM") and average exposure 31-Mar-20 31-Mar-19 Average Average Exposure Exposure Exposure Exposure Post CRM Post CRM Exposure Class Post CRM Post CRM Central governments or central banks 6.6 8.9 5.7 7.7 Claims on institutions and corporates with a short-term credit 6.4 16.6 27.4 50.9 assessment Corporates 106.4 117.0 173.9 88.4 Equity Exposures 3.4 6.3 4.5 3.0 Exposures in default 5.2 4.6 1.1 2.5 Institutions 28.9 37.2 30.7 35.5 Other Items 3.0 2.2 0.9 19.9 Grand Total 159.9 192.6 244.3 208.0

1. Average exposure post CRM shows the average exposure is calculated over the four quarters to 31 March 2020

15 Macquarie Capital (Europe) Limited Pillar 3 Disclosures March 2020 macquarie.com 10.0 Leverage Ratio

10.0 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 2020, the leverage ratio was 22.3%. 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-20 £’m 1 Total assets as per published financial statements 828.6 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 7.2 5 Adjustments for securities financing transactions "SFTs" 2.9 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 (8.2) 8 Total leverage ratio exposure 830.6

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10.0 Leverage Ratio continued

Table 9: Table LRCom: Leverage ratio common disclosure 31-Mar-20 CRR leverage ratio exposures £'m On-balance sheet exposures (excluding derivatives and SFTs) 1 On-balance sheet items (excluding derivatives, SFTs and fiduciary assets, but including collateral) 740.8 2 (Asset amounts deducted in determining Tier 1 capital) (1.4) 3 Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets) 739.4 (sum of lines 1 and 2)

Derivative exposures 4 Replacement cost associated with all derivatives transactions (i.e. net of eligible cash variation 0.5 margin) 5 Add-on amounts for PFE associated with all derivatives transactions (mark-to-market method) 7.2 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) 7.7

Securities financing transaction exposures 12 Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions 80.6 13 (Netted amounts of cash payables and cash receivables of gross SFT assets) - 14 Counterparty credit risk exposure for SFT assets 2.9 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) 83.4

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 185.2 21 Total leverage ratio exposures (sum of lines 3, 11, 16, 19, EU-19a and EU-19b) 830.6

Leverage ratio 22 Leverage ratio 22.3%

17 Macquarie Capital (Europe) Limited Pillar 3 Disclosures March 2020 macquarie.com 10.0 Leverage Ratio continued

Table 10: Table LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures) 31-Mar-20 CRR leverage ratio exposures £’m EU-1 Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which: 740.8 EU-2 Trading book exposures 611.0 EU-3 Banking book exposures, of which: 129.8 EU-4 Covered bonds - EU-5 Exposures treated as sovereigns 6.6 EU-6 Exposures to regional governments, MDB, international organisations and PSE NOT treated as sovereigns - EU-7 Institutions 3.6 EU-8 Secured by mortgages of immovable properties - EU-9 Retail exposures - EU-10 Corporate 108.6 EU-11 Exposures in default 5.2 EU-12 Other exposures (e.g. equity, securitisations, and other non-credit obligation assets) 5.7

LRQua: Disclosure on qualitative items The Leverage ratio for MCEL is impacted the most significantly, by changes in the course of settlement as of 31 March 2020. Banking book exposures for MCEL is impacted mostly by fees receivable and intercompany receivables as of 31 March 2020.

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11.0 Asset Encumbrance

11.0 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 Fair value of Carrying amount of Fair value of encumbered assets encumbered assets unencumbered assets unencumbered assets of which of which of which of which notionally notionally EHQLA EHQLA and eligible eligible and HQLA EHQLA and EHQLA and HQLA HQLA HQLA 10 30 40 50 60 80 90 100

10 Assets of the reporting 37.0 791.6 institution

30 Equity instruments 3.7 3.7

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

120 Other assets 33.3 791.6

*Cells which are coloured in grey indicate those components which are not reportable under EBA Guidelines

19 Macquarie Capital (Europe) Limited Pillar 3 Disclosures March 2020 macquarie.com 11.0 Asset Encumbrance continued

Table 12: Template B – Collateral received The following below table discloses information on collateral received by MCEL that is off balance sheet

Unencumbered Fair value of encumbered collateral Fair value of collateral received or received or own debt securities own debt securities issued available issued for encumbrance of which of which EHQLA notionally eligible and HQLA EHQLA and HQLA 10 30 40 60 Collateral received by the reporting institution 78.1 Loans on demand Equity instruments 3.3 Debt securities 74.8 74.8 of which: covered bonds of which: asset-backed securities of which: issued by general governments 74.8 74.8 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 37.0 *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 2020:

Matching liabilities, Assets, collateral received and own contingent liabilities or debt securities issued other than securities lent covered bonds and ABSs encumbered £'000 £'000 010 Carrying amount of selected financial liabilities - - 170 Total sources of encumbrance 37.0 37.0

D – Information on importance of encumbrance The main sources of encumbrance relate to funds held in client brokerage accounts. 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.

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12.0 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 2020, the applicable CCyB rates in force were 1% set by Hong Kong, 1% set by Ireland, 0.25% set by France and 0.25% 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 2020: General credit exposures Own funds requirements of which: of which: Counter- Exposure General Trading of which: Own funds cyclical Exposure value for credit book Securitisation requirement capital Country (£’m) value for SA IRB exposures exposures exposures Total weights buffer rate France 1.4 - 0.1 - - 0.1 1.1% 0.25% Hong Kong 0.0 - 0.0 - - 0.0 0.0% 1.00% Ireland 0.2 - 0.0 - - 0.0 0.2% 1.00% Luxembourg 0.9 - 0.1 - - 0.1 0.7% 0.25% Total 2.4 - 0.2 - - 0.2

£'m Total risk exposure amount 245.3 Institution specific countercyclical capital buffer rate 0.01% Institution specific countercyclical capital buffer requirement 0.0

21 Macquarie Capital (Europe) Limited Pillar 3 Disclosures March 2020 macquarie.com 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 2020. – 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.

er

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Appendix 1 Continued

Appendix 1 (B) REGULATION 31 March 2020 (EU) No 575/2013 ARTICLE Capital Adequacy £m 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 (52.9) 26 (1) (c) Accumulated other comprehensive income (and any other reserves) (0.7) 26 (1) Funds for general banking risk - 26 (1) (f) Amount of qualifying items referred to in Article 484 (3) and the related share - 486 (2) premium accounts subject to phase out from CET1 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 185.2

Common Equity Tier 1 (CET1) capital: regulatory adjustments Total regulatory adjustments to Common Equity Tier 1 (CET1) - Common Equity Tier 1 (CET1) capital 185.2 Total regulatory adjustments to Additional Tier 1 (AT1) capital Additional Tier 1 (AT1) capital Tier 1 capital (T1 = CET1 + AT1) 185.2 Total regulatory adjustments to Tier 2 (T2) capital

Tier 2 (T2) capital Total capital (TC = T1 + T2) 185.2 Total risk-weighted assets 240.2

Capital ratios and buffers Common Equity Tier 1 (as a percentage of total risk exposure amount 77.1% 92 (2) (a), 465 Tier 1 (as a percentage of total risk exposure amount 77.1% 92 (2) (b), 465 Total capital (as a percentage of total risk exposure amount 77.1% 92 (2) (c) Institution specific buffer requirement (CET1 requirement in accordance with 6.0 CRD 128, 129, 140 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) of which: capital conservation buffer requirement 6.0 of which: countercyclical buffer requirement 0.0 of which: systemic risk buffer requirement - of which: Global Systemically Important Institution (G-SII) or Other Systemically - CRD 131 Important Institution (O-SII) buffer Common Equity Tier 1 available to meet buffers 69.09% CRD 128 (as a percentage of risk exposure amount)

23 Macquarie Capital (Europe) Limited Pillar 3 Disclosures March 2020 macquarie.com Appendix 1 continued

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 (eg 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 N/a instrument) 36 Non-compliant transitioned features No 37 If yes, specify non-compliant features N/a

'N/A' inserted if the question is not applicable

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