Financial Performance and Remediation Update
CAPITAL & DEPOSIT HEDGES
NAB REPLICATING PORTFOLIOS¹
-
NAB REPLICATING PORTFOLIOS¹
(%)
Replicating portfolio
Ave return of replicating portfolio
3.0
1H21
2H21
FY21
30 Sep 21 balance
Invested out to term of
2.5
0.95%
0.75%
0.85%
Capital
Low rate deposits
AUD $63bn
AUD $42bn
3 years
2.0
5 years
1.5
BNZ REPLICATING PORTFOLIOS2
1.0
Replicating portfolio
0.5
30 Sep 21 balance
Invested out to term of
0.0
Mar 18
Sep 18
Mar 19
Sep 19
Mar 20
Sep 20
Mar 21
Sep 21
Capital
Low rate deposits
SWAP RATES³
(%)
NZD $9bn
2 years
NZD $9bn
5 years
NAB Portfolio Rate
3m BBSW
Swap rates have
BNZ — REPLICATING PORTFOLIOS2
increased sharply since
(%)
30 September 2021
3.0
3.0
Ave return of replicating portfolio
2.5
2.5
1H21
2H21
0.94%
0.78%
FY21
0.86%
2.0
2.0
1.5
1.5
1.0
1.0
0.5
0.5
0.0
0.0
Mar 18
Mar 18
Sep 18
Mar 19
Sep 19
Sep 18
Mar 19
Sep 19
Mar 20
Mar 20
Sep 20
Mar 21
Sep 21
Sep 20
Mar 21
Sep 21
AUD 3 Year
- AUD 5 Year
-
NZD 2 Year
NZD 5 Year
BNZ Portfolio Rate
3m BKRM
(1) Blended replicating portfolio (Australia only). Replicating portfolio includes capital and low rate deposits, which consist of non-interest bearing deposits and lower tiers in Retirement account. The
investment tenor for Capital was extended from 2yr to 3yr in 2H21
Blended replicating portfolio (New Zealand only). Replicating portfolio includes capital and low rate deposits, which consist of non-interest bearing deposits and lower tiers in Retirement account
AUD Swap Rates sourced from Bloomberg and NZD Swap Rates sourced from Reuters
(2)
(3)
98
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Australia
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