Barclays Credit Presentation Deck

STRATEGY, TARGETS & GUIDANCE Structural hedge Hedge notional (£bn) GBP 5 Year swap rate¹ (%) Gross hedge contribution (£m) PERFORMANCE 171 1.5 1.0 Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 0.5 0.0 Q120 174 2016 435 hay ASSET QUALITY 431 2017 2018 2019 -Zero Yield Close Q220 Q320 Q420 28 | Barclays Q4 2021 Results | 23 February 2022 174 181 188 192 198 407 ¹ UK Pound Sterling SONIA OIS Zero 5 Year Point (Refinitiv: GBPOIS5YZ=R) | CAPITAL & LEVERAGE 377 350 Structural hedge program update MREL, FUNDING & LIQUIDITY 224 228 2020 2021 5 Year Moving Average 341 Q121 Q221 Q321 Q421 353 2022 371 . CREDIT RATINGS ESG - DIVISIONS & LEGAL ENTITIES APPENDIX The Group's combined gross equity and product structural hedge contribution was £371m in Q421 (Q321: £353m) The combined structural hedge notional as at Dec-21 was £228bn, an increase of £4bn from Sep-21 and a £57bn increase from Dec-19 The £57bn increase in structural hedge notional is relative to an increase in Group deposits of £103bn since Dec-19 The average duration of the structural hedge remains at close to 3 years FY21 gross structural hedge income across the Group was £1,415m, £236m lower than FY20 Given the move in the yield curve and increase in hedge notional, the structural hedge contribution in FY22 is currently expected to be higher than in FY21 BARCLAYS

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