Barclays H1 2022 Results

Interest rate sensitivity Illustrative sensitivity of Group NII to a parallel shift in interest rate curves¹ NII impact of parallel shifts in interest rate curves (Em) Year 1 Year 2 Year 3 25bps upward C.225 C.375 C.525 25bps downward c.(250) c.(400) c.(550) • • • This analysis assumes an instantaneous 25bps parallel shift in interest rate curves and a 25bps shock to the underlying bank rate Around two thirds of the Group income benefit from the illustrative 25bps upward parallel shift is in BUK, with the remaining in Bl This sensitivity is calculated using a constant balance sheet - i.e. maturing business is reinvested at a consistent tenor and margin Actual pricing decisions may differ from the illustrative scenarios. In the event of multiple rate rises, the pass-through is likely to be higher for subsequent rate rises Pass-through is limited on the downward scenario, as customer rates are floored at 0% for GBP and USD deposits2, including when the downward scenario reflects negative base rates This analysis does not apply floors to shocked market rates, thus reflecting the impact of negative base rates on Group NII in the downward scenario This sensitivity is not a forecast of interest rate expectations. In the event of an interest rate change, the actual impact on Group NII may differ from that illustrated in this analysis Compared to Q122, the £50m reduction in illustrative Group NII benefit in Year 1 from a 25bps upward parallel shift reflects the growth in the structural hedge notional, which provides more long-term stability to the income profile 1 This sensitivity is based on the modelled performance of the consumer and corporate banking book only, including the impact of both the product and equity structural hedges. It provides the absolute annual impact of a 25bps shock on Group NII over the next three years, for illustrative purposes only, and is based on a number of assumptions regarding variables which are subject to change. Such assumptions might also differ from those underlying the AEAR calculation in the Barclays PLC Annual Report 2021 | 2 With regards to the relatively modest balance of EUR deposits that are currently subject to charging, no incremental pass-through of further rates reductions are assumed in the illustrative scenario | 36 | Barclays H1 2022 Results | 28 July 2022 BARCLAYS

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