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Basel III and other regulatory changes

  • Some uncertainties remain

    • Basel is currently undertaking a quantitative impact study (QIS) of changes to credit valuation adjustment (CVA) methodology and the capital requirements for bank exposures to central counterparties – final methodologies expected later in 2011

    • The Bank for International Settlements (BIS) rules are subject to implementation by APRA

  • Revised capital rules

  • Our current assessment is that Macquarie has sufficient capital to meet the Basel III capital requirements and the leverage ratio requirements

  • A new liquidity framework

  • APRA has proposed that liquid assets can be satisfied with assets that are eligible for repo with the RBA (pricing is yet to be announced)

  • This outcome should resolve the previous difficulties for Australia resulting from the Basel definition of liquid assets

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