Financial Performance and Remediation Update

PROBABILITY OF DEFAULT (PD) ANALYSIS NON RETAIL CORPORATE EAD¹ BY PROBABILITY OF DEFAULT ($bn) 120 100 Investment grade 60% Sep 21 80 60 40 20 ° Sub investment grade 39% Sep 21 Default 1% Sep 21 0<0.03% 0.03<0.11% 0.11<0.55% 0.55<2.00% ■Mar 20 ■Sep 20 ■Mar 21 2.00<5.01% Sep 21 5.01<99.99% 100% AUSTRALIAN AND NEW ZEALAND BUSINESS EXPOSURES PD ≥ 2% 27% 26% 23% 20% 17% 14% 15% 14% 13% 13% 13% 12% 11% 12% 11% Sep 09 Sep 10 Sep 11 Sep 12 Sep 13 Sep 14 Sep 15 Sep 16 Sep 17 Sep 18 Sep 19 Mar 20 Sep 20 Mar 21 Sep 21 (1) For internal ratings based portfolios. Excluding Bank and Sovereign exposures. Total $285bn at Sep 21, $269bn at Mar 21, $266bn at Sep 20 and $283bn at Mar 20 77 National Australia Bank

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