Goldman Sachs International – Financial Statements

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GOLDMAN SACHS INTERNATIONAL (UNLIMITED COMPANY)

Management Report

Introduction

Goldman Sachs International (GSI or the company) provides a wide range of financial services to clients located worldwide. The company also operates a number of branches and representative offices across Europe, the Middle East and Africa (EMEA) to provide financial services to clients in those regions.

The company's primary regulators are the Prudential Regulation Authority (PRA) and the Financial Conduct Authority (FCA).

The company's ultimate parent undertaking and controlling entity is The Goldman Sachs Group, Inc. (Group Inc.). Group Inc. is a bank holding company and a financial holding company regulated by the Board of Governors of the Federal Reserve System (FRB). In relation to the company, "group undertaking" means Group Inc. or any of its subsidiaries. Group Inc., together with its consolidated subsidiaries, form "GS Group". GS Group is a leading global investment banking, securities and investment management firm that provides a wide range of financial services to a substantial and diversified client base that includes corporations, financial institutions, governments and individuals.

The company seeks to be the advisor of choice for its clients and a leading participant in global financial markets. As part of GS Group, the company also enters into transactions with affiliates in the normal course of business as part of its market- making activities and general operations.

The company generates revenues from the following business activities: Investment Banking; Fixed Income, Currency and Commodities (FICC); Equities; and Investment Management, which includes Asset management and Wealth management.

The company strives to maintain a work environment that fosters professionalism, excellence, diversity, cooperation among employees and high standards of business ethics. The company recognises that it needs the most talented people to deliver outstanding results for clients. A diverse workforce in terms of gender, ethnicity, sexual orientation, background, culture and education ensures the development of better ideas, products and services. For further information about Goldman Sachs' people, culture and commitment to diversity, see www.goldmansachs.com/our-firm/people-and-culture.

References to "the financial statements" are to the unaudited financial statements as presented in Part II of this financial report. All references to May 2020, February 2020 and May 2019 refer to the periods ended, or the dates, as the context requires, May 31, 2020, February 29, 2020 and May 31, 2019. All references to November 2019 refer to the date November 30, 2019. All references to "the 2019 Annual Report" are to the company's Annual Report for the period ended November 30, 2019.

Unless otherwise stated, all amounts in this annual report are prepared in accordance with United Kingdom Generally Accepted Accounting Practices (U.K. GAAP). The company also prepares results under United States Generally Accepted Accounting Principles (U.S. GAAP), which are included in the consolidated financial statements of GS Group.

Executive Overview

Profit and Loss Account

Three Months Ended May 2020 versus May 2019. The profit and loss account is set out on page 19 of this financial report. The company's profit for the three months ended May 2020 was $871 million, an increase of 27% compared with the three months ended May 2019.

Net revenues were $2.54 billion for the three months ended May 2020, 8% higher than the three months ended May 2019, primarily due to significantly higher net revenues in FICC and higher net revenues in Investment Banking, partially offset by significantly lower net revenues in Equities and Investment Management.

Administrative expenses were $1.36 billion for the three months ended May 2020, 6% lower than the three months ended May 2019, primarily due to lower direct costs of employment and occupancy, partially offset by significantly higher brokerage, clearing, exchange and distribution fees.

Six Months Ended May 2020 versus May 2019. The company's profit for the six months ended May 2020 was $1.19 billion, an increase of 30% compared with the six months ended May 2019.

Net revenues were $4.48 billion for the six months ended May 2020, 11% higher than the six months ended May 2019, primarily due to significantly higher net revenues in FICC and higher net revenues in Investment Banking, partially offset by lower net revenues in Equities and Investment Management.

Administrative expenses were $2.83 billion for the six months ended May 2020, 4% higher than the six months ended May 2019, primarily due to significantly higher brokerage, clearing, exchange and distribution fees and higher direct costs of employment, partially offset by significantly lower occupancy.

Capital Ratios

As of May 2020, the company's Common Equity Tier 1 (CET1) capital ratio was 10.1% under the E.U. Capital Requirements Directive (CRD).

GOLDMAN SACHS INTERNATIONAL (UNLIMITED COMPANY)

Management Report

Balance Sheet

The balance sheet is set out on page 20 of this financial report. In the subsequent paragraphs, total assets are the sum of "Fixed assets", "Current assets" and "Pension surplus". Total liabilities are the sum of "Creditors: amounts falling due within one year", "Creditors: amounts falling due after more than one year" and "Provisions for liabilities".

As of May 2020, total assets were $1.33 trillion, an increase of $291.45 billion from November 2019, primarily reflecting an increase in financial instruments owned of $256.26 billion (primarily due to an increase in derivative instruments, principally as a result of an increase in interest rates and equities derivatives), debtors of $19.72 billion (primarily due to an increase in cash collateral posted) and collateralised agreements of $10.41 billion (primarily due to changes in firm activity).

As of May 2020, total liabilities were $1.30 trillion, an increase of $289.55 billion from November 2019, primarily reflecting an increase in financial instruments sold, but not yet purchased of $267.04 billion (primarily due to an increase in derivative instruments, principally as a result of an increase in interest rates and equities derivatives) and other creditors of $18.61 billion (primarily due to an increase in cash collateral received).

Total level 3 financial assets were $7.39 billion as of May 2020 and $5.33 billion as of November 2019. Level 3 financial assets as of May 2020 increased compared with November 2019, primarily reflecting an increase in Level 3 derivative instruments. See Note 17 to the financial statements for further information about level 3 financial assets, including changes in level 3 financial assets and related fair value measurement.

Under U.S. GAAP, as of May 2020, total assets were $425.17 billion and total liabilities were $397.68 billion. The company's total assets and total liabilities under U.S. GAAP differ from those reported under U.K. GAAP primarily due to the company presenting derivative balances gross under U.K. GAAP if they are not net settled in the normal course of business, even where it has a legally enforceable right to offset those balances.

Business Environment

In March, the spread of the coronavirus (COVID-19) pandemic across the globe and the dramatic measures taken to contain it, including the temporary closures of non-essential businesses and stay-at-home requirements, caused a sharp contraction in global economic activity, high levels of volatility across most financial assets and global markets, a decline in global equity prices, and a significant widening of credit spreads. Global central banks, including the Federal Reserve and the European Central Bank, responded quickly with accommodative monetary policy by reducing policy interest rates and increasing large scale asset purchases, and the establishment of a number of facilities to support the functioning of the markets and to provide liquidity to the market. In addition, governments globally intervened with fiscal policy to mitigate the impact, which aimed to provide economic relief to businesses and individuals.

As the period progressed, several economies began to take steps towards reopening, causing economic indicators to improve. As a result, financial markets rebounded during the period as equity prices increased and credit spreads tightened due to improved sentiment towards economic recovery. This rise in the valuation of risk assets was also fueled by continued support from governments and central banks globally. Volatility in the equity markets, although declining, remained elevated, and commodities markets experienced significant turmoil, as oil prices declined significantly due to an unprecedented surplus in net supply.

GOLDMAN SACHS INTERNATIONAL (UNLIMITED COMPANY)

Management Report

Results of Operations

Net Revenues

Net revenues include the net profit arising from transactions, with both third parties and affiliates, in securities, foreign exchange and other financial instruments, and fees and commissions. This is inclusive of associated interest and dividends.

The table below presents the company's net revenues by business activity.

In the table above, reclassifications have been made to previously reported amounts to conform to the current presentation. See Note 2 to the financial statements for further information.

Investment Banking

Investment Banking consists of:

Financial advisory. Includes strategic advisory engagements with respect to mergers and acquisitions, divestitures, corporate defence activities, restructurings and spin-offs.

Underwriting. Includes public offerings and private placements, including local and cross-border transactions and acquisition financing, of a wide range of securities and other financial instruments, including loans.

Corporate lending. Includes lending to corporate clients, including relationship lending, middle-market lending and acquisition financing.

Three Months Ended May 2020 versus May 2019. Net revenues in Investment Banking were $348 million for the three months ended May 2020, 18% higher than the three months ended May 2019, reflecting higher net revenues in Financial advisory and Underwriting, partially offset by lower net revenues in Corporate lending.

The increase in Financial advisory reflected an increase in completed mergers and acquisitions transactions. The increase in Underwriting reflected higher net revenues in Debt and Equity underwriting.

As of May 2020, the EMEA investment banking transaction backlog was lower compared with February 2020, primarily due to significantly lower estimated net revenues from potential advisory transactions and potential debt underwriting transactions, and slightly lower estimated net revenues from potential equity underwriting transactions.

Six Months Ended May 2020 versus May 2019. Net revenues in Investment Banking were $750 million for the six months ended May 2020, 18% higher than the six months ended May 2019, reflecting significantly higher net revenues in Underwriting, partially offset by lower net revenues in Financial advisory and Corporate lending.

The increase in Underwriting reflected significantly higher net revenues in Debt underwriting and higher net revenues in Equity underwriting. The decrease in Financial advisory reflected a decrease in completed mergers and acquisitions transactions.

As of May 2020, the EMEA investment banking transaction backlog was lower compared with November 2019, primarily due to lower estimated net revenues from potential advisory transactions, potential equity underwriting transactions and potential debt underwriting transactions.

The backlog represents an estimate of net revenues from future transactions where the company believes that future revenue realisation is more likely than not. The changes in backlog may be a useful indicator of client activity levels which, over the long term, impact net revenues. However, the time frame for completion and corresponding revenue recognition of transactions in the backlog varies based on the nature of the engagement, as certain transactions may remain in the backlog for longer periods of time, which is expected to occur in light of the impact of the COVID-19 pandemic on mergers and acquisitions. In addition, the backlog is subject to certain limitations, such as assumptions about the likelihood that individual client transactions will occur in the future. Transactions may be cancelled or modified, and transactions not included in the estimate may also occur, including underwriting transactions for which the time frame from discussion to completion has shortened in the current environment.

GOLDMAN SACHS INTERNATIONAL (UNLIMITED COMPANY)

Management Report

FICC

FICC generates revenues from intermediation and financing activities.

• FICC intermediation. Includes client execution activities related to making markets in both trading cash and derivative instruments, as detailed below.
  Interest Rate Products. Government bonds (including inflation-linked securities) across maturities, other government-backed securities, and interest rate swaps, options and other derivatives.
  Credit Products. Investment-grade corporate securities, high-yield securities, credit derivatives, exchange-traded funds, bank and bridge loans, municipal securities, emerging market and distressed debt, and trade claims.
  Mortgages. Commercial mortgage-related securities, loans and derivatives, residential mortgage-related securities, loans and derivatives, and other asset-backed securities, loans and derivatives.
  Currencies. Currency options, spot/forwards and other derivatives on G-10 currencies and emerging-market products.
  Commodities. Commodity derivatives and, to a lesser extent, physical commodities, involving crude oil and petroleum products, natural gas, base, precious and other metals, electricity, coal, agricultural and other commodity products.
• FICC financing. Includes providing financing to the company's clients through securities sold under agreements to repurchase (repurchase agreements), as well as through structured credit and asset-backed lending, which are typically longer term in nature.

Three Months Ended May 2020 versus May 2019. Net revenues in FICC were $1.56 billion for the three months ended May 2020, 85% higher than the three months ended May 2019, due to significantly higher net revenues in FICC intermediation and higher net revenues in FICC financing. The increase in FICC intermediation reflected significantly higher net revenues in interest rate products, currencies, commodities and credit products.

Six Months Ended May 2020 versus May 2019. Net revenues in FICC were $2.11 billion for the six months ended May 2020, 42% higher than the six months ended May 2019, due to significantly higher net revenues in FICC intermediation and higher net revenues in FICC financing. The increase in FICC intermediation reflected significantly higher net revenues in currencies, commodities, interest rate products and credit products.

Equities

Equities generates revenues from intermediation and financing activities.

• Equities intermediation. Includes client execution activities related to making markets in equity products and commissions and fees from executing and clearing institutional client transactions on major stock, options and futures exchanges worldwide, as well as over-the-counter (OTC) transactions.
• Equities financing. Includes prime brokerage and other equities financing activities, including securities lending, margin lending and swaps and generates revenues primarily in the form of interest rate spreads or fees.

The company's net revenues are influenced by a combination of interconnected drivers, including (i) client activity levels and transactional bid/offer spreads and (ii) changes in the fair value of its inventory, and interest income and interest expense related to the holding, hedging and funding of its inventory.

Three Months Ended May 2020 versus May 2019. Net revenues in Equities were $538 million for the three months ended May 2020, 43% lower than the three months ended May 2019, due to significantly lower net revenues in Equities financing and Equities intermediation. The decrease in Equities financing primarily reflected a decrease in dividends. The decrease in Equities intermediation reflected significantly lower net revenues in derivatives, partially offset by significantly higher net revenues in cash products.

Six Months Ended May 2020 versus May 2019. Net revenues in Equities were $1.17 billion for the six months ended May 2020, 18% lower than the six months ended May 2019, due to significantly lower net revenues in Equities financing and slightly lower net revenues in Equities intermediation. The decrease in Equities financing primarily reflected a decrease in dividends. The decrease in Equities intermediation reflected significantly lower net revenues in derivatives, largely offset by significantly higher net revenues in cash products.

GOLDMAN SACHS INTERNATIONAL (UNLIMITED COMPANY)

Management Report

Investment Management

Investment Management includes Asset management and Wealth management.

Asset management includes direct investments made by the company, which are typically longer-term in nature, and investing services provided to group undertakings or funds managed by GS Group.

Wealth management includes wealth advisory services, including portfolio management and financial counselling, brokerage and other transaction services to high-net-worth individuals and families.

Three Months Ended May 2020 versus May 2019. Net revenues in Investment Management were $92 million for the three months ended May 2020, 66% lower than the three months ended May 2019, due to significantly lower net revenues in Asset management, partially offset by higher net revenues in Wealth management. The decrease in Asset management primarily reflected significantly lower net gains from investments in debt instruments.

Six Months Ended May 2020 versus May 2019. Net revenues in Investment Management were $449 million for the six months ended May 2020, 9% lower than the six months ended May 2019, due to significantly lower net revenues in Asset management, partially offset by higher net revenues in Wealth management. The decrease in Asset management reflected significantly lower net gains from investments in debt instruments, partially offset by significantly higher net revenues from investing services provided to group undertakings relating to the sale of certain private equity investments.

Administrative Expenses

Administrative expenses are primarily influenced by compensation (including the impact of the Group Inc. share price on share-based compensation), headcount and levels of business activity. Direct costs of employment include salaries, allowances, estimated year-end discretionary compensation, amortisation and mark-to-market of share-based compensation and other items such as benefits. Discretionary compensation is significantly impacted by, among other factors, the level of net revenues, overall financial performance, prevailing labour markets, business mix, the structure of share-based compensation programmes and the external environment.

The table below presents the company's administrative expenses and headcount.

In the table above:

• Direct costs of employment included a credit of $20 million for the three months ended May 2020, a credit of $56 million for the three months ended May 2019, a credit of $47 million for the six months ended May 2020 and a charge of $1 million for the six months ended May 2019 relating to the mark-to-market of share-based compensation.
• Occupancy includes rent and other occupancy-related costs for the company's legacy London campus. Management charges from group undertakings includes occupancy-related costs for the company's new London campus.

Three Months Ended May 2020 versus May 2019. Administrative expenses were $1.36 billion for the three months ended May 2020, 6% lower than the three months ended May 2019.

Direct costs of employment were $597 million for the three months ended May 2020, 13% lower than the three months ended May 2019. Excluding the mark-to-market of share-based compensation for both periods, direct costs of employment were $617 million for the three months ended May 2020, 17% lower than the three months ended May 2019.

Brokerage, clearing, exchange and distribution fees were $302 million for the three months ended May 2020, 31% higher than the three months ended May 2019, reflecting an increase in activity levels.

Occupancy and management charges from group undertakings collectively were $197 million for the three months ended May 2020, 22% lower than the three months ended May 2019, primarily due to non-recurring expenses incurred in the prior period related to the company's legacy London campus.

As of May 2020, headcount was essentially unchanged compared with February 2020.

GOLDMAN SACHS INTERNATIONAL (UNLIMITED COMPANY)

Management Report

Six Months Ended May 2020 versus May 2019.

Administrative expenses were $2.83 billion for the six months ended May 2020, 4% higher than the six months ended May 2019.

Direct costs of employment were $1.33 billion for the six months ended May 2020, 6% higher than the six months ended May 2019. Excluding the mark-to-market of share-based compensation for both periods, direct costs of employment were $1.37 billion for the six months ended May 2020, 10% higher than the six months ended May 2019, reflecting an increase in operating performance.

Brokerage, clearing, exchange and distribution fees were $540 million for the six months ended May 2020, 26% higher than the six months ended May 2019, reflecting an increase in activity levels.

Depreciation and amortisation expenses were $82 million for the six months ended May 2020, 55% higher than the six months ended May 2019, primarily due to an increase in computer software.

Occupancy and management charges from group undertakings collectively were $444 million for the six months ended May 2020, 18% lower than the six months ended May 2019, primarily due to non-recurring expenses incurred in the prior period related to the company's legacy London campus.

As of May 2020, headcount was essentially unchanged compared with November 2019.

Interest Payable and Similar Expenses

Interest payable and similar expenses consists of interest on long-term subordinated loans from parent and group undertakings.

Three Months Ended May 2020 versus May 2019.

Interest payable and similar expenses was $43 million for the three months ended May 2020, 33% lower than the three months ended May 2019 due to a decrease in average interest rates.

Six Months Ended May 2020 versus May 2019. Interest payable and similar expenses was $95 million for the six months ended May 2020, 26% lower than the six months ended May 2019 due to a decrease in average interest rates.

Tax on Profit

The effective tax rate was 23.7% for the six months ended May 2020, which compares to the U.K. corporation tax rate applicable to the company of 27.0%. The effective tax rate represents the company's tax on profit divided by its profit before taxation.

Balance Sheet and Funding Sources

Balance Sheet Management

One of the company's risk management disciplines is its ability to manage the size and composition of its balance sheet. The company leverages the firmwide balance sheet management process performed at the GS Group level to manage these factors. While the asset base of the company changes due to client activity, market fluctuations and business opportunities, the size and composition of the company's balance sheet also reflects factors including (i) overall risk tolerance, (ii) the amount of equity capital held and (iii) the company's funding profile, among other factors. See "Equity Capital Management and Regulatory Capital - Equity Capital Management" for information about the company's equity capital management process.

In order to ensure appropriate risk management, the company seeks to maintain a sufficiently liquid balance sheet and leverages GS Group's processes to dynamically manage its assets and liabilities, which include (i) balance sheet planning,

1. balance sheet limits, (iii) monitoring of key metrics and (iv) scenario analyses. See "Balance Sheet and Funding Sources - Balance Sheet Management" in Part I of the 2019 Annual Report for further information about the company's balance sheet management process.

Funding Sources

The company's primary sources of funding are collateralised financings, intercompany unsecured borrowings, external unsecured borrowings and shareholder's funds. The company raises this funding through a number of different products, including:

• Repurchase agreements and securities loaned;
• Intercompany loans from Group Inc. and other affiliates;
• Debt securities issued including notes, certificates, and warrants; and
• Other borrowings including funded derivatives and transfers of assets accounted for as financings rather than sales.

The table below presents information about the company's funding sources.

GOLDMAN SACHS INTERNATIONAL (UNLIMITED COMPANY)

Management Report

The company generally distributes funding products through its own sales force and third-party distributors to a large, diverse creditor base in a variety of global markets. The company believes that its relationships with external creditors are critical to its liquidity. These creditors include banks, securities lenders, corporations, pension funds, insurance companies, mutual funds and individuals. The company has imposed various internal guidelines to monitor creditor concentration across its external funding programmes.

Secured Funding. The company funds a significant amount of inventory on a secured basis, with external counterparties, as well as with affiliates. Secured funding includes collateralised financings in the balance sheet.

The company may also pledge its inventory as collateral for securities borrowed under a securities lending agreement. The company also uses its own inventory to cover transactions in which the company or its clients have sold securities that have not yet been purchased. Secured funding is less sensitive to changes in Group Inc. and/or the company's credit quality than unsecured funding, due to the posting of collateral to lenders. Nonetheless, the company analyses the refinancing risk of its secured funding activities, taking into account trade tenors, maturity profiles, counterparty concentrations, collateral eligibility and counterparty rollover probabilities. The company seeks to mitigate its refinancing risk by executing term trades with staggered maturities, diversifying counterparties, raising excess secured funding and pre-funding residual risk through the global core liquid assets (GCLA).

The company seeks to raise secured funding with a term appropriate for the liquidity of the assets that are being financed, and seeks longer maturities for secured funding collateralised by asset classes that may be harder to fund on a secured basis, especially during times of market stress.

A majority of the company's secured funding for securities not eligible for inclusion in the GCLA is executed through term repurchase agreements and securities loaned contracts. The company also raises secured funding through debt securities issued, other borrowings and intercompany loans.

The weighted average maturity of the company's external secured funding included in collateralised financings in the balance sheet, excluding funding that can only be collateralised by liquid government and agency obligations, exceeded 120 days as of May 2020.

Intercompany Unsecured Borrowings. The company sources funding through intercompany unsecured borrowings, primarily from its immediate parent undertaking, Goldman Sachs Group UK Limited, and Goldman Sachs Funding LLC (Funding IHC).

Funding IHC is a wholly-owned, direct subsidiary of Group Inc. that facilitates the execution of GS Group's preferred resolution strategy. The majority of GS Group's unsecured funding is raised by Group Inc., which lends the necessary funds to Funding IHC and other subsidiaries, including the company, to meet asset financing, liquidity and capital requirements. The benefits of this approach to subsidiary funding are enhanced control and greater flexibility to meet the funding requirements of the company and other subsidiaries.

Intercompany unsecured borrowings include loans, subordinated loans and other borrowings.

External Unsecured Borrowings. External unsecured borrowings include debt securities issued, other borrowings, bank loans and overdrafts.

Shareholder's Funds. Shareholder's funds is a stable and perpetual source of funding. See Notes 11 and 12 to the financial statements for further information.

Equity Capital Management and Regulatory Capital

Capital adequacy is of critical importance to the company. The company has in place a comprehensive capital management policy that provides a framework, defines objectives and establishes guidelines to assist the company in maintaining the appropriate level and composition of capital in both business- as-usual and stressed conditions.

Equity Capital Management

The company determines the appropriate amount and composition of its equity capital by considering multiple factors including the company's current and future regulatory capital requirements, the results of the company's capital planning and stress testing process, the results of resolution capital models and other factors, such as rating agency guidelines, the business environment and conditions in the financial markets.

The company's capital planning and stress testing process incorporates internally designed stress tests and those required under the PRA's Internal Capital Adequacy Assessment Process (ICAAP). It is also designed to identify and measure material risks associated with business activities, including market risk, credit risk, operational risk and other risks. The company's goal is to hold sufficient capital to ensure that it remains adequately capitalised after experiencing a severe stress event. The company's assessment of capital adequacy is viewed in tandem with its assessment of liquidity adequacy and is integrated into its overall risk management structure, governance and policy framework.

GOLDMAN SACHS INTERNATIONAL (UNLIMITED COMPANY)

Management Report

In addition, as part of the company's comprehensive capital management policy, a contingency capital plan is maintained that provides a framework for analysing and responding to a perceived or actual capital deficiency, including, but not limited to, identification of drivers of a capital deficiency, as well as mitigants and potential actions. It outlines the appropriate communication procedures to follow during a crisis period, including internal dissemination of information, as well as timely communication with external stakeholders.

Regulatory Capital

The company is subject to the capital framework for E.U.- regulated financial institutions prescribed in the CRD and the E.U. Capital Requirements Regulation (CRR). These capital regulations are largely based on the Basel Committee on Banking Supervision's (Basel Committee) capital framework for strengthening international capital standards (Basel III). The Basel Committee is the primary global standard setter for prudential bank regulation, and its member jurisdictions implement regulations based on its standards and guidelines. During the Brexit transition period, the current E.U. rules on prudential regulation will continue to apply to the company. The U.K. government is introducing legislation to provide that the current prudential rules will continue to apply from January 1, 2021.

The risk-based capital requirements are expressed as capital ratios that compare measures of regulatory capital to risk- weighted assets (RWAs). The CET1 capital ratio is defined as CET1 capital divided by RWAs. The Tier 1 capital ratio is defined as Tier 1 capital divided by RWAs. The total capital ratio is defined as total capital divided by RWAs.

The CET1 capital, Tier 1 capital and Total capital ratio requirements (collectively, the Pillar 1 capital requirements) are supplemented by:

• A capital conservation buffer of 2.5% of RWAs, consisting entirely of capital that qualifies as CET1 capital.
• A countercyclical capital buffer of up to 2.5% of RWAs (and also consisting entirely of CET1 capital) in order to counteract excessive credit growth. The buffer only applies to the company's exposures to certain types of counterparties based in jurisdictions which have announced a countercyclical buffer. The buffer was negligible as of May 2020. The countercyclical capital buffer applicable to the company could change in the future and, as a result, the company's risk-based capital requirements could increase.
• The individual capital requirement under Pillar 2A (an additional amount to cover risks not adequately captured in Pillar 1). The PRA performs a periodic supervisory review of the company's ICAAP, which leads to a final determination by the PRA of the individual capital requirement under Pillar 2A. This is a point in time assessment of the minimum amount of capital the PRA considers that a firm should hold.

Regulatory Risk-Based Capital Ratios

The table below presents information about the company's minimum risk-based capital requirements.

In the table above:

• The minimum risk-based capital requirements incorporate the Pillar 2A capital requirement received from the PRA and could change in the future.
• Minimum risk-based capital requirements for the company have decreased compared with November 2019 due to a reduction in the countercyclical capital buffer and modification to the Pillar 2A capital requirements issued by the company's regulators in response to the COVID-19 pandemic.

In addition to the Pillar 2A capital requirement, the PRA also defines the forward-looking capital requirement which represents the PRA's view of the capital that the company would require to absorb losses in stressed market conditions. This is known as Pillar 2B or the "PRA buffer" and is not reflected in the requirements shown above.

The table below presents information about the company's actual risk-based capital ratios.

In the table above:

• The company's CET1 capital ratio, Tier 1 capital ratio, Total capital ratio as of May 2020 decreased compared with November 2019, primarily due to an increase in the company's RWAs. See "Risk-Weighted Assets" for further information.
• CET1 capital, Tier 1 capital and Total capital as of May 2020 excluded the company's profit from April 1, 2020 through
  May 31, 2020, as such profits have not yet been approved to be included as regulatory capital by the PRA.