Barclays Plc · LSE:BARC

Barclays — 2024 Barclays US LLC Company Run DFAST Disclosure AMENDED

13 slides from Barclays's investor presentation, Jul 24, 2024

1. Slide 1: Barclays US LLC 2024 Company-Run Dodd-Frank Act Annual Stress Test Disclosure

   Barclays US LLC 2024 Company-Run Dodd-Frank Act Annual Stress Test Disclosure Supervisory Severely Adverse Scenario June 2024 (Including amendments to page 6 from July 24, 2024)

2. Slide 2: Table of contents

   Table of contents Section Description Page A Overview 2 B Description of the Supervisory Severely Adverse Scenario 3 C Results under the Supervisory Severely Adverse Scenario 4 D Types of risks considered in the Supervisory Severely Adverse Scenario 8 E Description of methodologies used in stress te

3. Slide 3: A) Overview

   A) Overview • Barclays US LLC (“Barclays”) is an intermediate holding company (“IHC”) established by Barclays PLC in 2016 following the enactment of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”). • The IHC comprises two main businesses: an investment bank, whic

4. Slide 4: B) Description of the Supervisory Severely Adverse Scenario

   B) Description of the Supervisory Severely Adverse Scenario • The FRB’s hypothetical Supervisory Severely Adverse Scenario is characterized by a severe global recession and features prolonged declines in both residential and commercial real estate prices, which spill over into the Overview corporate

5. Slide 5: C) Results under the Supervisory Severely Adverse Scenario

   C) Results under the Supervisory Severely Adverse Scenario Capital Ratios: Actual Q4 2023, Projected Q1 2024 to Q1 2026 Regulatory Capital Ratio1,2 Actual Q4 2023 Projected Stressed Capital Ratios3 Regulatory Minimum Ending Nine-Quarter Minimum Common Equity Tier 1 Capital Ratio 13.7% 8.3% 8.3% 4.5%

6. Slide 6: C) Results under the Supervisory Severely Adverse Scenario (continued)

   C) Results under the Supervisory Severely Adverse Scenario (continued) Projected Losses, Revenues and Net Income before Taxes: Projected Q1 2024 to Q1 2026 Item1 $m % of Average Assets2 Pre-Provision Net Revenue (“PPNR”)3 (603) (0.3)% Other Revenue - less Provisions4 4,735 Realized Losses/(Gains) on

7. Slide 7: C) Loan Loss Projections

   C) Results under the Supervisory Severely Adverse Scenario (continued) Loan Loss Projections: Projected Q1 2024 to Q1 2026 Loan Type $m1 Portfolio Loss Rates First Lien Mortgages, Domestic - - Junior Liens and Home Equity Lines of Credit, Domestic - - Commercial and Industrial 27 20.3% Commercial Re

8. Slide 8: C) Common Equity Tier 1 Capital Ratio: Key Drivers

   C) Results under the Supervisory Severely Adverse Scenario Common Equity Tier 1 Capital Ratio: Key Drivers, Q4 2023 to Q1 2026 Increase 13.7% Decrease 0.5% 0.4% 8.3% 4.3% 0.6% 1.6% 13.2% 8.9% Regulatory 7.9% Minimum 7.3% 7.3% of 4.5% CET1: Pre-Tax PPNR (Incl Pre-Tax Loan Provisions Pre-Tax Trading a

9. Slide 9: D) Risks considered in the Supervisory Severely Adverse Scenario

   D) Risks considered in the Supervisory Severely Adverse Scenario The risks described below are considered most relevant to Barclays, based on their significance to the IHC’s risk profile and specific vulnerabilities. Barclays’ stress-testing results reflect these risks. • The risk of having an insuf

10. Slide 10: D) Risks considered in the Supervisory Severely Adverse Scenario (continued)

    D) Risks considered in the Supervisory Severely Adverse Scenario (continued) • The risk of loss arising from potential adverse changes in the value of the firm's assets and liabilities from fluctuation in market variables including interest rates, foreign exchange, equity prices, commodity prices, M

11. Slide 11: E) Description of methodologies used in forecasting

    E) Description of methodologies used in forecasting • Barclays uses an interconnected network of models to simulate business performance over nine quarters, under both baseline and stressed market conditions. Outputs from this simulation process include income statement, balance sheet and resource c

12. Slide 12: E) Description of methodologies used in forecasting (continued)

    E) Description of methodologies used in forecasting (continued) • Risk-weighted assets comprise two components for Barclays: ‒ The standardized approach, which is used for credit, counterparty credit and specific market risk exposures. Risk-Weighted ‒ Modeled market risk, which is used for general m

13. Slide 13: F) Further information

    F) Further information • This document contains certain forward-looking statements within the meaning of Section 21E of the US Securities Exchange Act of 1934, as amended, and Section 27A of the US Securities Act of 1933, as amended, with respect to Barclays PLC and its subsidiaries (together the “B

2024 Barclays US LLC Company Run DFAST Disclosure AMENDED on 6ix