Investor Presentaiton

PROBABILITY OF DEFAULT (PD) ANALYSIS NON RETAIL CORPORATE EAD¹ BY PROBABILITY OF DEFAULT ($bn) 120 100 Investment grade 59% Mar 21 80 60 40 20 ° 11 Sub investment grade 40% Mar 21 Default 1% Mar 21 0<0.03% 0.03<0.11% 0.11<0.55% 0.55<2.00% 2.00<5.01% 5.01<99.99% 100% ■Mar 20 ■Sep 20 Mar 21 AUSTRALIAN AND NEW ZEALAND BUSINESS EXPOSURES PD ≥ 2% 27% 26% 23% 20% 17% 14% 15% 14% 13% 13% 13% 12% 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 (1) For internal ratings based portfolios. Excluding Bank and Sovereign exposures. Total $269bn at Mar 21, $266bn at Sep 20, $283bn at Mar 20 81 National Australia Bank

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