Financial Performance and Remediation Update

MARKETS & TREASURY INCOME LOWER MARKETS & TREASURY INCOME BREAKDOWN ($m) 940 1,250 838 808 578 888 572 580 453 392 277 206 345 372 402 387 362 366 71 (4) (17) 0 8 (86) Mar 19 Sep 19 Mar 20 Sep 20 Mar 21 Sep 21 ■Derivative Valuation Adjustment¹ ■Customer Risk Management 2 ■NAB Risk Management 3 HISTORICAL MARKETS & TREASURY INCOME ($m) KEY CONSIDERATIONS Lower NAB Risk Management income in FY21 primarily reflects: 1,933 1,738 1,778 1,828 578 494 577 550 1,388 380 • lower volatility in global rates & FX markets • ⚫ surplus liquidity impacting repo margins 1,355 1,244 1,201 1,278 1,008 • Recent re-emergence of interest rate volatility, but outlook difficult to predict FY17 FY18 FY19 Markets FY20 ■Treasury FY21 (1) Derivative valuation adjustments include credit valuation adjustments and funding valuation adjustments (2) Customer risk management comprises NII and OOI (3) NAB risk management comprises NII and OOI and is defined as management of interest rate risk in the banking book (IRRBB), wholesale funding and liquidity requirements and trading market risk to support the Group's franchises 22 222 National Australia Bank

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