Investor Presentaiton
CAPITAL & DEPOSIT HEDGES
REPLICATING PORTFOLIO
Capital
Low rate deposits
CAPITAL & DEPOSIT HEDGES - REPLICATING PORTFOLIOS¹
3.0
Replicating portfolio
2.5
31 Mar 21 balance
Avg investment term
2.0
$41bn
2 years
1.5
$57bn
5 years
1.0
Ave return of replicating portfolio
0.5
FY20
1.57%
0.95%
1H21
0.0
Mar 18
Sep 18
Mar 19
Sep 19
Mar 20
Sep 20
Mar 21
Portfolio Rate
3m BBSW
FY18
FY19
2.21%
2.12%
2 YEAR AND 5 YEAR SWAP RATES³
3
SPREAD BETWEEN AVERAGE SWAP RATE VS AVERAGE
PORTFOLIO RATE²
2.5
2
(bps)
140
120
115
104
1.5
155
99
100
1
0.5
80
60
40
0
20
Mar 18
Sep 18
Mar 19
Sep 19
Mar 20
Sep 20
Mar 21
2°
-2 Year
-5 Year
2H19
1H20
(1) Blended replicating portfolio earnings rate (Australia only). Replicating portfolio includes capital and non-interest bearing deposits (incl. lower tiers in Retirement account)
(2) Average rates during the reporting period
(3) Source: Bloomberg
102
78
2H20
1H21
National
Australia
BankView entire presentation