UNICREDIT GROUP DISCLOSURE (PILLAR III) - as at 31 March 2019

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UNICREDIT GROUP DISCLOSURE (PILLAR III) - as at 31 March 2019
UNICREDIT GROUP DISCLOSURE
         (PILLAR III)
     as at 31 March 2019
UNICREDIT GROUP DISCLOSURE (PILLAR III) - as at 31 March 2019
DISCLOURE BY INSTITUTIONS
                            2
AS AT DECEMBER 31, 2014
UNICREDIT GROUP DISCLOSURE (PILLAR III) - as at 31 March 2019
Contents

Cross reference with the regulatory Disclosure requirements.................................................... 5
Own Funds ............................................................................................................................. 7
Capital requirements .............................................................................................................. 17
Credit Risk ........................................................................................................................... 25
           Credit Risk: RWAs flow statements – IRB method...................................................... 25
           Counterparty Risk exposure: RWAs flow statements – IMM method........................... 26
Market Risks .......................................................................................................................... 29
           RWAs flow statements under the IMA ........................................................................ 29
Liquidity Risk.................. ………………………………………………………………………………31
           Liquidity Coverage Ratio ............................................................................................ 31
           Funding Strategies..................................................................................................... 32
Leverage         .................... ………………………………………………………………………………35
Declaration by the Manager charged with preparing the financial reports …............................ 39
Declaration pursuant to the EBA Guidelines 2016/11 on disclosure requirements
under Part Eight of Regulation (EU) No 575/2013….... ........................................................... 39
UNICREDIT GROUP DISCLOSURE (PILLAR III) - as at 31 March 2019
Notes:

All amounts, unless otherwise specified, are expressed in millions of euros.

Data refer to the prudential scope of consolidation.

Any discrepancies between data disclosed in this document are due to the effect of rounding.

With regard to both the standardized approach and the IRB methodology, non-weighted amounts concerning “guarantees given and
commitments to disburse funds” were considered based on the credit equivalent, unless otherwise specified.

Please note that the disclosures to be provided by the systemically important banks were published on the UniCredit group’s website according
to the deadline defined in the relevant regulations (https://www.unicreditgroup.eu/en/investors/financial-reports.html).

The Disclosure by UniCredit Group is prepared in accordance with a formal policy (Internal Regulation) adopted in the application of the CRR
Article 431 (3) that set out the internal controls and procedures.
The key elements of this policy are:
       •     Identification of roles and responsibilities of the corporate bodies, departments and Legal Entities involved in the process of
             producing the disclosure;
       •     Identification of the information to be published (in accordance with EBA GL/2014/14 and EBA GL 2016/11 and CRR Article 432 and
             433);
       •     Instructions for Legal Entities contributions and related controls;
       •     Consolidation of the disclosure contributions and related controls;
       •     Approval by the Board of Directors;
       •     Publication on the UniCredit Group website.

DISCLOURE BY INSTITUTIONS
                                                                                                                                            4
AS AT DECEMBER 31, 2014
UNICREDIT GROUP DISCLOSURE (PILLAR III) - as at 31 March 2019
Cross reference with the regulatory
Disclosure requirements
In coherence with the EBA Guidelines “GL/2014/14” 1 and updates reported in the EBA Guidelines “GL/2016/11” 2, the table
below shows the cross reference to the information quarterly required.

Regulatory            Content                   Reference to the chapter in the present            Reference to external documents
requirement CRR                                 UniCredit Group Disclosure

Article 437           Own Funds                 Own Funds                                          UniCredit Group website:
                                                                                                   Full terms and conditions of all capital
                                                                                                   instruments (Article 437, paragraph 1, letter
                                                                                                   c) link
                                                                                                   https://www.unicreditgroup.eu/en/investors/f
                                                                                                   unding-and-ratings/programs/bank-
                                                                                                   capital.html

                                                                                                   Annex 1 Capital instruments main features
                                                                                                   templates
                                                                                                   (in excel format) to link
                                                                                                   https://www.unicreditgroup.eu/en/investors/t
                                                                                                   hird-pillar-basel-two-and-three.html)

Article 438           Capital requirements      Capital requirements

Article 440           Capital buffers           Capital requirements

Article 451           Leverage                  Leverage

“Guidelines on disclosure requirements under Part Eight of Regulation (EU) No 575/2013” (GL/2016/11)

EU OV1                Overview of RWAs          Capital requirements

EU CR8                RWAs flow                 Credit Risk: RWAs flow statements – IRB
                      statements of credit      method
                      risk exposures under
                      the IRB approach

EU CCR7               RWAs flow                 Counterparty Risk exposure: RWAs flow
                      statements of CCR         statements – IMM method
                      exposures under the
                      IMM

EU MR2-B              RWAs flow              Market Risk: RWAs flow statements under the
                      statements of Market   IMA
                      Risk exposures
                      under the internal
                      model approach
Enhancing the risk disclosures of bank Recommendation (EDTF)

                                                Leverage - “Leverage Ratio common
                      New key regulatory
N. 4                                            disclosure” table
                      ratio
                                                Liquidity Risk – “Liquidity Coverage Ratio”
                      Funding - Funding
N. 21                                           Liquidity Risk – “Funding Strategies”
                      strategy

1
  “Guidelines on materiality, proprietary and confidentiality and on disclosure frequency under Articles 432(1), 432(2) and 433 of Regulation
(EU) No 575/2013”.
2
  “Guidelines on disclosure requirements under Part Eight of Regulation (EU) No 575/2013”.
UNICREDIT GROUP DISCLOSURE (PILLAR III) - as at 31 March 2019
DISCLOURE BY INSTITUTIONS
                            6
AS AT DECEMBER 31, 2014
>> UNICREDIT GROUP DISCLOSURE
                                                                                                                                Own Funds

Own funds
Starting from 1 January 2014, the calculation of capital requirements keeps into account the regulatory framework known as
“Basel 3”, adopted as a result of the EU Regulation No.575/2013 on prudential requirements for credit institutions and investment
firms (Capital Requirements Regulation - “CRR”) and in the EU Directive 2013/36 on access to the activity of credit institutions and
the prudential supervision of credit institutions and investment firms (Capital Requirements Directive IV - “CRDIV”), also according
to their adoption by Italian Laws.

Such regulation foresees the following breakdown of Own funds:
    •    Tier 1 Capital (T1), made by:
         o     Common Equity Tier 1 Capital (CET1) and
         o     Additional Tier 1 Capital (AT1);
    •    Tier 2 Capital (T2);
    the sum of T1 and T2 generates the Total Own funds (Total Capital).

Capital requirements 3 and buffers for UniCredit Group
The capital requirements applicable as of 31 March 2019 in coherence with CRR article 92 are the following (Pillar 1):
     •    CET1:               4.50%
     •    T1:                 6.00%
     •    Total Capital:      8.00%

In addition to such requirements, the Group shall also meet, through CET1 capital, the following additional requirements:
     •     2.00%, as Pillar 2 Requirements for 2019 in coherence with SREP results
     •     2.50%, as Capital Conservation buffer4 (CCB) according to CRDIV article129
     •     1.00%, as Global Systemically Important Institutions (“G-SII”) buffer5
     •     0.07%, as Countercyclical Capital buffer6 (CCyB) according to the CRDIV Article 160 (paragraphs from 1 to 4), to be
           calculated on a quarterly basis.

Therefore, as at 31 March 2019, the Group shall meet the following overall capital requirements:
    •     CET1:              10.07%
    •     T1:                11.57%
    •     Total Capital:     13.57%

Please find below a scheme of the UniCredit Group capital requirements and buffers which also provides evidences of TSCR
(Total SREP Capital Requirement) and OCR (Overall Capital Requirement) related to the outcome of the SREP process held in
2018 and applicable for 2019:

    2019 Capital requirements and buffers for UniCredit Group
    REQUIREMENT                                                                                   CET1                          T1       TOTAL CAPITAL
    A) Pillar 1 Requirements                                                                      4.50%                     6.00%                8.00%
    B) Pillar 2 Requirements                                                                      2.00%                     2.00%                2.00%
    C) TSCR (A+B)                                                                                 6.50%                     8.00%               10.00%
    D) Combined capital buffer requirement, of which:                                             3.57%                     3.57%                3.57%
      1. Capital Conservation buffer (CCB)                                                        2.50%                     2.50%                2.50%
      2. Global Systemically Important Institution buffer (G-SII)                                 1.00%                     1.00%                1.00%
      3. Institution-specific Countercyclical Capital buffer (CCyB)                               0.07%                     0.07%                0.07%
    E) OCR (C+D)                                                                                 10.07%                    11.57%               13.57%

3
  CET1 Systemic risk buffer (aimed at preventing and mitigating long-term, non-cyclical, systemic or macro-prudential risks that are not provided for
by the CRR) is not applicable as of 31 March 2019.
4
  On October 2016, Bank of Italy published the update of the Circular No. 285 which provides for a different application of the transitional rules
relating to the capital conservation buffer: such transitional rules ended in 2018 and from 1 January 2019 the capital conservation buffer is at 2.50%.
5
  From 1st of January 2019, ended the transitional rules, such requirement is equal to 1.00%. Please note that UniCredit Group was identified by the
Bank of Italy as an O-SII authorized to operate in Italy, and it has to maintain a CET1 capital buffer; such level is equal to 0.50% in 2019 and will be
increased starting by 0.25% on a yearly basis reaching the target of 1.00% from 1 January 2021. Nevertheless, it is worth mentioning that according
to the CRD IV article 131.14, the higher of the G-SII and the O-SII buffer will apply: hence, UniCredit is subject to the application of 1.00% G-SII
buffer for 2019.
6
  Amount rounded to two decimal numbers. With reference to 31 March 2019: (I) countercyclical capital rates have generally been set at 0%, except
for the following countries: United Kingdom (1.00%); Czech Republic (1.25%); Hong Kong (2.50%); Iceland (1.25%); Norway (2.00%); Sweden
(2.00%); Slovakia (1.25%); Lithuania (0.50%); Denmark (0.50%); (II) with reference to the exposures towards Italian counterparties, Bank of Italy has
set the rate equal to 0%.

7
The following table shows UniCredit Group transitional Capital ratios 7 as of 31 March 2019 compared with previous periods:

                                                               1Q19
            UniCredit Group                                                                      4Q18             3Q18            2Q18            1Q18
             Capital ratios8                                 Delta             Delta
                                            Ratios
                                                             Q/Q                Y/Y
    CET1 Capital ratio                        12.25%            0.12%            -0.87%            12.13%          12.17%          12,57%         13,13%
    Tier 1 Capital ratio                      13.93%            0.29%            -0.79%            13.64%          13.72%          14,12%         14,71%
    Total Capital ratio                       16.36%            0.56%            -0.77%            15.80%          15.97%          16,42%         17,13%

Focus on transitional Capital ratios7 of UniCredit S.p.A.
The following table shows the Capital Ratios of UniCredit S.p.A. as of 31 March 2019 compared with previous periods.

                                            1Q19
       UniCredit S.p.A.
                                                                        4Q18              3Q18              2Q18
        Capital ratios8                              Delta
                                  Ratios
                                                     Q/Q
    CET1 Capital ratio               21.86%             0.21%            21.65%             21.43%            22.50%
    Tier 1 Capital ratio             24.75%             0.59%            24.16%             23.94%            25.06%
    Total Capital ratio              28.63%             1.05%            27.58%             27.46%            28.72%

Consolidated Profit eligible
The profit as of 31 March 2019 equal to €1,387 million is recognized in the Own Funds for €1,048 million, resulting after the
destination, approved by the Board of Directors, to dividends for €339 million. Such amount corresponds to 30% of the Group Net
Profit of the period (€1,129 million), rectified excluding the positive extraordinary impact deriving from real estate disposals for
€258 million. The net profit as of 31 March 2019 is included in CET1 capital following the authorization by the competent Authority
according to CRR Article 26(2).

Deductions connected to investments in financial sector entities and deferred tax assets that rely on future profitability
and arise from temporary differences
With reference to 31 March 2019, UniCredit exceeds the thresholds related to significant investments (SI) in CET1 instruments
issued by financial sector entities and deferred tax assets that rely on future profitability and arise from temporary differences.
In this regard, the deductions applied to the own funds are reflected in the CRR article “Threshold exemptions from deduction from
Common Equity Tier 1 items”. In particular, the deferred tax assets that rely on future profitability and arise from temporary
differences summed up to the direct, indirect and synthetic holdings detained by UniCredit in financial sector entities in which
UniCredit has a significant investment (SI) exceed the threshold of 17.65% of the residual amount of Common Equity Tier 1 items
after applying the adjustments and deductions in CRR Articles 32 to 36 in full.
The amounts of the mentioned deductions are described in detail within the table denominated “Transitional Own funds disclosure
template", included in the section dedicated to the Own Funds.

IFRS9
Starting from 1 January 2018, the IFRS9 accounting standard was adopted, envisaging a new framework for provisioning
computation based on expected loss rather than on incurred loss. Please refer to “Basis of preparation” section of the Press
Release issued on 10 May 2018 for all details on this topic.
UniCredit Group has decided not to apply the transitional arrangements for IFRS9 specified in Article 473a of the CRR. As a
consequence, UniCredit Own Funds, Risk Weighted Assets, Capital Ratios and Leverage Ratios already reflect the full impact of
IFRS9 application.

Atlante Fund and Italian Recovery Fund (ex Atlante Fund II)
As at 31 March 2019, the investment held by UniCredit in the quotes of Atlante Fund and Italian Recovery Fund (ex Atlante Fund
II), for approximately €353 million, is primarily referred to investments in securitization notes related to non-performing loans: the
regulatory treatment of the Fund’s quotes recognized in the UniCredit balance sheet foresees the application of the CRR article
128 (Items associated with particular high risk).
With reference to the residual commitments, for €12 million, the regulatory treatment foresees the application of a Credit
Conversion Factor equal to 100% (“full risk” according to the Annex I of the CRR), for the calculation of the related Risk Weighted
Assets.

7
 Starting from 1 January 2019, CET1 Capital is fully loaded, being concluded transitional period related to such capital component.
8
 As of 31 March 2019 the transitional adjustments are still applicable with reference to the 30% of the phase out limit for the Additional Tier 1 and
Tier 2 capital instruments subject to Granfathering, in coherence with CRR article 486 (40% for 2018).

UNICREDIT GROUP DISCLOSURE
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                                                                                                                      Own Funds

Financial conglomerate
As of 31 March 2019 reporting date, the UniCredit Group is allowed to not be subject to the supplementary supervision, although it
is recognized as a financial conglomerate by the Joint Committee according to the 21 December 2018 communication (ref. JC
2018 68).

1. Common Equity Tier 1 Capital – CET1 Capital
Common Equity Tier 1 Capital mainly includes the following elements:
     •  Main Common Equity Tier 1 Capital items, recognized as Common Equity Tier 1 only where they are available to the
        institution for unrestricted and immediate use to cover risks or losses as soon as these occur: (I) capital instruments,
        provided the conditions laid down in CRR Article 28 or, where applicable, Article 29 are met (e.g. ordinary shares); (II)
        share premium accounts related to the instruments referred to in point (I); (III) retained earnings; (IV) accumulated other
        comprehensive income; (V) other reserves; Common Equity Tier 1 Capital items also include minority interests for the
        computable amount recognized by the CRR.
     •  Prudential filters of Common Equity Tier 1 Capital: (I) filter related to increase in its equity under the applicable
        accounting framework that results from securitized assets; (II) filter related to the fair value reserves related to gains or
        losses on cash flow hedges of financial instruments that are not valued at fair value; (III) filter related to gains or losses
        on liabilities of the institution that are valued at fair value that result from changes in the own credit standing of the
        institution; (IV) filter related to all fair value gains and losses arising from the institution's own credit risk related to
        derivative liabilities; (V) filter related to additional value adjustments (prudent valuation).
     •  Deductions from Common Equity Tier 1 items: (I) intangible assets; (II) deferred tax assets (DTA) that rely on future
        profitability and do not arise from temporary differences; (III) negative amounts resulting from the calculation of expected
        loss amounts when compared with credit risk adjustments (shortfall) for those positions evaluated according to IRB
        methods; (IV) defined benefit pension fund assets on the balance sheet of the institution; (V) direct, indirect and
        synthetic holdings by an institution of own Common Equity Tier 1 instruments, including own Common Equity Tier 1
        instruments that an institution is to purchase under an actual or contingent obligation by virtue of an existing contractual
        obligation; (VI) exposures deducted from CET1 as an alternative to the application of 1,250% risk weight; (VII) the
        applicable amount of direct, indirect and synthetic holdings by the institution of Common Equity Tier 1 instruments of
        financial sector entities where the institution does not have a significant investment in those entities (deducted for the
        amount exceeding the thresholds foreseen by the regulation); (VIII) deferred tax assets (DTA) that rely on future
        profitability and arise from temporary differences, and the applicable amount of direct, indirect and synthetic holdings by
        the institution of the Common Equity Tier 1 instruments of financial sector entities where the institution has a significant
        investment in those entities (deducted for the amount exceeding the thresholds foreseen by the regulation).

As of 31 March 2019, CET1 Capital includes ordinary shares issued by UniCredit S.p.A, equal to €20,298 million; among the other
elements, such item does not include €609 million reclassified under Additional Tier 1 Capital, related to the ordinary shares
underlying the Usufruct contract (Cashes).

2. Additional Tier 1 Capital – AT1 Capital
The AT1 positive elements are represented by the following items: (I) capital instruments, where the conditions laid down in CRR
article 52 are met; (II) the share premium accounts related to the instruments referred to in point (I); (III) capital instruments for the
amount computable in Own funds according to the transitional provisions foreseen by the CRR (grandfathering). Furthermore, the
Additional Tier 1 Capital includes also the minority interests for the computable amount not already recognized in the Common
Equity Tier 1 Capital.

3. Tier 2 Capital – T2 Capital
The T2 positive elements are represented by the following items: (I) capital instruments and subordinated loans where the
conditions laid down in CRR Article 63 are met; (II) the share premium accounts related to instruments referred to in point (I); (III)
possible surplus of credit risk adjustments with reference to expected losses for positions evaluated according to IRB methods;
(IV) capital instruments and subordinated loans for the amount computable in Own funds according to the transitional provisions
foreseen by the CRR (grandfathering). The Tier 2 Capital includes also the minority interests for the computable amount not
already recognized in the Tier 1 Capital and the T2 instruments issued by the subsidiaries for the computable amount as defined
by the CRR.

As of 31 March 2019, T2 Capital:
     •    does not include instruments with maturity of 7 years having a contractual amortization plan starting before the 5th year,
          issued after 31 December 2011;
     •    includes - according to CRR Article 484(5) among grandfathered instruments - the amount of the instruments issued
          before 31 December 2011 and subject to the grandfathering provisions.

Refer to Annex 1 for the “Capital instruments main features templates” to link https://www.unicreditgroup.eu/en/investors/third-
pillar-basel-two-and-three.html.

9
Own Funds disclosure template (*) - (CRR Article 492, paragraph 3 and 4)

UNICREDIT GROUP DISCLOSURE
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                           Own Funds

11
(*) Sub-amounts equal to zero or not applicable are not reported.

UNICREDIT GROUP DISCLOSURE
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                                                                                                                                                  Own Funds

Notes to the table “Own Funds disclosure template (CRR Article 492, paragraph 3 and 4)”

Amounts included in the notes below refer to 31 March 2019 if not otherwise specified.
Regarding the transitional adjustments as of 31 March 2019 it is worth mentioning that the transitional adjustment applicable is
30% of the phase-out limit for the Additional Tier 1 and Tier 2 capital instruments subject to Grandfathering in coherence with CRR
article 486 (40% for 2018).

A.
This item does not include €609 million related to the ordinary shares underlying the Usufruct contract (Cashes), reclassified under
item “33. Amount of qualifying items referred to in Article 484 (4) and the related share premium accounts subject to
phase out from AT1”.

B.
The change compared to 31 December 2018 (positive for €3,287 million) mainly reflects the allocation in this item of the profit for
the year 2018 (net of dividends) reclassified in item “5a. Independently reviewed interim profits net of any fore-seeable
charge or dividend”.

C.
The change compared to 31 December 2018 (negative for €369 million) mainly refers to negative change for €488 million related
to the reserve on financial liabilities valued at fair value and actuarial losses partially offset by a positive change related to the
exchanges reserve for €157 million (mainly referred to Russian Ruble).

D.
The profit as of 31 March 2019 equal to €1,387 million is recognized in the Own Funds for €1,048 million, resulting after the
destination, approved by the Board of Directors, to dividends for €339 million. Such amount corresponds to 30% of the Group Net
Profit of the period (€1,129 million), rectified excluding the positive extraordinary impact deriving from real estate disposals for
€258 million. The net profit as of 31 March 2019 is included in CET1 capital following the authorization by the competent Authority
according to CRR Article 26(2).

E.
Starting from 1 January 2019, the revaluation reserves of actuarial net losses – negative for €3,171 million and reported in item “3.
Accumulated other comprehensive income and other reserves” – is not subject to transitional adjustment (positive for €219
million as of 31 December 2018).

F.
With reference to 31 March 2019, the amount reports the excess with respect to the thresholds based to the CRR article 48
“Threshold exemptions from deduction from Common Equity Tier 1 items”. In particular, the deferred tax assets that rely on future
profitability and arise from temporary differences summed up to the direct, indirect and synthetic holdings detained by UniCredit in
financial sector entities in which UniCredit has a significant investments (SI), exceed the threshold of 17.65% of Common Equity
Tier 1 Capital after applying the adjustments and deductions in CRR Articles 32 to 36 in full.

G.
The amount includes the following negative national filters: I) €350 million related to the filter for multiple goodwill redemption
(“affrancamento multiplo dell’avviamento”)9 ; II) €10 million related to the filter for gain on sale of properties mainly used in
operations (“cessione in blocco degli immobili ad uso funzionale”).

H.
The change compared to 31 December 2018 (positive for €992 million) is referred to the issuing of the instrument XS1963834251
with computable amount equal to €992 million.

I.
The amount includes UniCredit SpA instruments subject to grandfathering for €166 million, in addition to the ordinary shares
underlying the Usufruct contract (Cashes) for €609 million (ref. to note A).

J.
The change compared to 31 December 2018 (positive for €888 million) addition to the contractual amortization is mainly referred
to the issuing of the instrument XS1953271225 with computable amount equal to €994 million.

9
  The amount of the filter refers to 5/5 of the amount subject to neutralization calculated according to Bank of Italy communication issued on 9 May 2013; the calculation takes
into account the provisions of the Resolution n.55/E of the Italian Revenue Agency (Agenzia delle entrate) issued on 29 May 2015 concerning "Discipline of the tax credit
resulting from the processing of deferred tax assets recorded in the financial statements referred to in Article 2, paragraphs 55 to 58 of Decree-Law 29 December 2010, n.
225" ("Disciplina del credito d'imposta derivante dalla trasformazione di attività per imposte anticipate iscritte in bilancio di cui all'articolo 2, commi da 55 a 58, del decreto
legge 29 dicembre 2010, n.225").

13
K.
The amount does not include the Pillar 2 Requirements equal to 2% required for 2019 in coherence with SREP results of 2018.
The change compared to 31 December 2018 reflects the increase of the combined buffer related to the end of transitional period
for the following elements (ref. to section “Own Funds” of this document): I) applicable capital conservation buffer that reached the
target value equal to 2.50% (1.875% in 2018); II) global systemic institutions – GSII buffer, that reached the target value equal to
1.00% (0.75% in 2018).

L.
The amount as of 31 March 2019 is calculated by subtracting from the Common Equity Tier 1 capital ratio at the date (i.e. item 61:
12.25%) the minimum Common Equity Tier 1 capital requirement including the combined capital buffer (i.e. item 64: 8.07%).
Hence, the amount expressed in this item does not include the Pillar 2 Requirements equal to 2% required for 2019 in coherence
with SREP results.
The reduction compared to 31 December 2018 depends on the following items: I) increase in Common Equity Tier 1 Capital for
€653 million; II) increase in risk-weighted assets for €1,559 million; iii) increase in combined capital buffer (ref. to note J).

UNICREDIT GROUP DISCLOSURE
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                           Own Funds

15
UNICREDIT GROUP DISCLOSURE
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                                                                                                        Capital requirements

Capital requirements
Issuing of new instruments

During the 1Q 2019 UniCredit S.p.A. has placed one more issue of Additional Tier 1 instruments (so-called Non-Cumulative
Temporary Write-Downs) to institutional investors, with a "perpetual" duration (maturity linked to the corporate duration of
UniCredit S.p.A.), in particular:

     •   On 12 March 2019, with value date 19 March 2019, UniCredit S.p.A. launched a new issuance of Additional Tier 1
         notes, denominated in EUR, for a total of €1 billion. The notes pay fixed rate coupons for the first 7 years equal to
         7.5% per annum, paid on a semi-annual basis. The notes were allocated to institutional investors, based in the
         main financial European venues (UK, Italy and France, etc.).
         The coupon payment is fully discretionary. The notes have a 5.125% Common Equity Tier 1 (CET1) trigger, if the
         Group or Issuer CET1 at any time falls below the trigger level, the instrument will be temporarily written down to
         cure the breach, taking into consideration other instruments with similar write down triggers.
         The additional Tier 1 instruments contributed to strengthen the Tier 1 Ratio of UniCredit S.p.A. and to reach the
         minimum requirement of 1.50% of AT1. This last transaction has completed the plan of additional Tier 1 issuances
         for 2017-19.

On February 2019, UniCredit S.p.A. launched a new issuance of Tier 2 notes:

     •    the notes were denominated in EUR, for a total of €1 billion. The notes have a legal maturity of 10 years and pay a
          fixed rate coupon of 4.875% per annum, paid on an annual basis. The notes have a one-time Issuer's call option
          exercisable after 5 years subject to regulatory approval; if not called, the coupon will reset at the prevailing 5 years
          EUR mid-swap rate plus the initial spread. The notes were distributed to different institutional investors’ categories,
          mainly funds (75%) and banks and insurance companies. The demand has mainly come from France (40%), Italy
          (28%) and UK (11%). The notes are listed on the Luxembourg Stock Exchange.

17
Credit and counterparty risk                                                                                                                                                                                                                       (€ million)
                                                                                                                                                A M OU N T S A S A T 0 3 .3 1.2 0 19                                A M OU N T S A S A T 12 .3 1.2 0 18

                                                                                                                          N ON - WEIGHT ED              W EIGHT ED              C A PIT A L N ON - W EIGHT ED               W EIGHT ED              C A PIT A L
C R ED IT A N D C OU N T ER PA R T Y R ISKS                                                                                      A M OUN T S            A M OU N T S     R EQU IR EM EN T          A M OU N T S             A M OU N T S     R EQU IR EM EN T

A . C R ED IT A N D C OU N T ER PA R T Y R ISK                                                                                     8 4 6 ,145              3 2 1,4 6 4                 2 5,717        8 3 7,752                 3 18 ,9 18                2 5,513
   A .1 St and ard iz ed A p p ro ach                                                                                              3 52 ,4 00              152 ,8 9 6              12 ,2 3 2          3 6 1,8 3 3               151,2 9 4                 12 ,10 3
      Exposures with or secured by central governments or central banks                                                              162,638                   25,186                    2,015           170,857                  22,356                     1,788
      Exposures with or secured by regional administrations and local authorities                                                     26,507                      683                       55            26,481                      737                       59
      Exposures with or secured by administrative bodies and non-commercial undertakings                                               6,997                      825                      66              6,744                      853                      68
      Exposures with or secured by multilateral development banks                                                                       1,735                        5                       0              1,565                        0                       0
      Exposures with or secured by international organizations                                                                          1,695                        -                       -             1,463                         -                       -
      Exposures with or secured by supervised institutions                                                                             11,908                    2,751                    220              11,412                   2,624                     210
      Exposures with or secured by corporates                                                                                         60,844                   58,734                   4,699            63,990                    61,588                   4,927
      Retail exposures                                                                                                                32,332                  23,056                     1,844           33,852                    24,166                   1,933
      Exposures secured by real estate property                                                                                       12,070                   4,934                      395              11,537                   4,525                     362
      Past due exposures                                                                                                               4,456                    5,043                     403             4,603                      5,197                    416
      High risk exposures                                                                                                              2,272                    3,407                     273              2,397                    3,595                     288
      Exposures in the form of guaranteed bank bonds (covered bond)                                                                      479                      130                       10               375                        78                       6
      Exposures in the form of Collective Investment Undertakings (CIU)                                                                     9                        7                       1                 17                       21                       2
      Short term exposures with corporates                                                                                              1,895                   1,070                      86              2,372                     1,605                    128
      Securitization positions                                                                                                         2,386                      572                      46              2,598                      618                      49
      Equity exposures                                                                                                                 6,588                   11,689                     935               6,311                  11,306                     904
      Other exposures                                                                                                                  17,589                  14,804                    1,184            15,261                   12,026                     962
   A .2 IR B A p p ro ach - R isK A sset s                                                                                         4 9 3 ,190              16 6 ,9 6 7             13 ,3 57           4 75,4 8 2               16 6 ,4 8 2                13 ,3 19
      Exposures with or secured by central administration and central banks                                                           38,123                    1,656                      132            25,656                     1,617                    129
      Exposures with or secured by supervised institutions, public and territorial entities and other entities                        39,643                    9,772                     782            38,243                     9,469                     758
      Exposures with or secured by corporate - SM E                                                                                   60,080                  25,049                    2,004            60,066                    25,078                   2,006
      Exposures with or secured by corporate - Specialised lending                                                                     19,221                  8,000                      640             18,601                    7,969                     638
      Exposures with or secured by corporate - Other                                                                                  195,753                 82,588                     6,607           192,691                  83,268                    6,661
      Retail exposures secured by residential real estate property - SM E                                                               5,867                    1,215                      97             5,846                    1,206                      96
      Retail exposures secured by residential real estate property - non SM E                                                         86,864                   21,587                    1,727           85,848                    21,565                    1,725
      Retail exposures - qualifying revolving                                                                                           2,317                     233                       19            2,332                       236                       19
      Retail exposures - other SM E                                                                                                   16,045                    5,013                      401            16,363                    5,098                     408
      Retail exposures - other non SM E                                                                                               14,285                    5,973                     478              14,171                    5,815                    465
      Securitization positions                                                                                                        14,992                    2,572                     206             15,667                    2,744                     219
      Other non credit obligation assets                                                                                                                       3,309                      265                                       2,419                     194
   A .3 IR B A p p ro ach - Eq uit y Exp o sures                                                                                         555                   1,6 0 1                    12 8             436                     1,14 3                      91
      PD/LGD approach: risk assets                                                                                                        168                     323                      26                182                      354                      28
      Internal models approach: risk assets                                                                                                 -                        -                       -                  -                        -                       -
      Simple risk weight approach: risk assets                                                                                           387                    1,278                      102               254                      789                      63
         Equity exposures - private equity in sufficiently diversified portfolios (weight 190%)                                           80                       152                      12                 79                      150                      12
         Equity exposures - exchange-traded (weight 290%)                                                                                  10                      28                        2                 11                      32                        3
         Equity exposures - other (weight 370%)                                                                                          297                    1,098                      88                164                      607                      49
      Exposures subject to transitional arrangements in relation to Own Funds requirements                                                  -                        -                       -                  -                        -                       -
      Exposures subject to grandfathering provisions in relation to Own Funds requirements                                                  -                        -                       -                  -                        -                       -

   A .4 Exp o sures wit h o r cent ral co unt erp art ies as p re- f und ed co nt rib ut io ns t o t he d ef ault f und                                           82                         7                                         81                       6

With reference to point A.1 Standardized approach, the amounts shown in the column “Non weighted amounts” include the off
balance exposures post credit conversion factor.

UNICREDIT GROUP DISCLOSURE
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                                                                                                                                                                               Capital requirements

Cre dit and counte rparty risk - brea kdown RWA a nd Capital require ments                                                                                                                                                     (€ million)
                                                                                                                            AMOUNTS AS AT 03.31.2019                                    AMOUNTS AS AT 12.31.2018
                                                                                                                       CREDIT RISK              COUNTERPARTY RISK                 CREDIT RISK               COUNTERPARTY RISK

                                                                                                                        RWA         CAPITAL          RWA           CAPITAL          RWA         CAPITAL          RWA           CAPITAL
CREDIT AND COUNTERPARTY RISK                                                                                      (NET OF IC)   REQUIREMENT    (NET OF IC)     REQUIREMENT   ( NET OF IC)   REQUIREMENT    (NET OF IC)     REQUIREMENT
Standard m e thod                                                                                                    150,537          12,043           2,359           189       148,635          11,891           2,658             213
      Exposures w ith or secured by central governments or central banks                                              25,163           2,013             23              2        22,308           1,785             48                 4
      Exposures w ith or secured by regional administrations and local authorities                                       657             53              26              2           712             57              25                 2
      Exposures w ith or secured by administr ative bodies and non- commer cial undertakings                             802             64              23              2           826             66              26                 2
      Exposures w ith or secured by multilateral development banks                                                         5              0                -             -             0              0                -                 -
      Exposures w ith or secured by international organizations                                                             -              -               -             -              -              -               -                 -
      Exposures w ith or secured by supervised institutions                                                            2,315            185             436             35         2,229            178             395                32
      Exposures w ith or secured by Corporates                                                                        57,306           4,584           1,428           114        60,163           4,813           1,424             114
      Retail exposures                                                                                                23,051           1,844              5              0        24,001           1,920            165                13
      Exposures secured by r eal estate property                                                                       4,934            395                -             -         4,525            362                -                 -
      Past due exposures                                                                                               5,036            403               7              1         5,186            415              11                 1
      High risk exposur es                                                                                             3,407            273                -             -         3,595            288                -                 -
      Exposures in the for m of guaranteed bank bonds (covered bond)                                                     130             10                -             -            78              6                -                 -
      Securitization positions                                                                                           572             46                                          618             49
      Short term exposures with corporates                                                                               659             53             411             33         1,040             83             565                45
      Exposure in the form of Collective Investment Undertakings (CIU)                                                     7              1                -             -            21              2                -                 -
      Equity exposures                                                                                                11,689            935                -             -        11,306            904                -                 -
      Other exposur es                                                                                                14,804           1,184               -             -        12,026            962                -                 -
IRB                                                                                                                  161,001          12,880           7,567           605       160,553          12,844           7,072             566
  Foundat ion                                                                                                         10,338            827             254             20        10,353            828             246                20
      Exposures w ith or secured by central governments and central banks                                                119             10                -             -           137             11                -                 -
      Exposures w ith or secured by supervised institutions, public and territorial entities and other entities          436             35              23              2           417             33              24                 2
      Exposures w ith or secured by corporate - SME                                                                    2,550            204              12              1         2,620            210              11                 1
      Exposures w ith or secured by corporate - Specialised lending                                                      921             74              17              1           913             73              15                 1
      Exposures w ith or secured by corporate - Other                                                                  6,311            505             202             16         6,264            501             196                16
  Advance d                                                                                                          146,490          11,719           7,313           585       146,314          11,705           6,826             546
      Exposures w ith or secured by central governments and central banks                                              1,434            115             103              8         1,425            114              54                 4
      Exposures w ith or secured by supervised institutions, public and territorial entities and other entities        6,264            501            3,049           244         5,988            479            3,039             243
      Exposures w ith or secured by corporate - SME                                                                   21,906           1,752            581             46        21,985           1,759            462                37
      Exposures w ith or secured by corporate - Specialised lending                                                    6,437            515             625             50         6,540            523             501                40
      Exposures w ith or secured by corporate - Other                                                                 73,154           5,852           2,921           234        74,063           5,925           2,744             220
      Retail exposures secured by r esidential r eal estate property - SME                                             1,215             97                -             -         1,206             96                -                 -
      Retail exposures secured by r esidential r eal estate property - non SME                                        21,587           1,727               -             -        21,565           1,725               -                 -
      Retail exposures - qualif ying revolving                                                                           233             19                -             -           236             19                -                 -
      Retail exposures - other SME                                                                                     5,006            400               7              1         5,092            407               5                 0
      Retail exposures - other non SME                                                                                 5,946            476              27              2         5,796            464              19                 2
      Other non credit obligation assets                                                                               3,309            265                                        2,419            194
Othe r IRB e xpos ure s                                                                                                4,173            334                -             -         3,887            311                -                 -
      PD/LGD approach: risk assets                                                                                       323             26                                          354             28
      Internal models approach: risk assets                                                                                 -              -                                            -              -
      Simple risk w eight approach: r isk assets                                                                       1,278            102                                          789             63

        Equity exposur es - private equity in sufficiently diversified portfolios (w eight 190%)
                                                                                                                         152             12                                          150             12
        Equity exposur es - exchange-traded (w eight 290%)                                                                28              2                                           32              3
        Equity exposur es - other (w eight 370%)                                                                       1,098             88                                          607             49
      Securitization positions                                                                                         2,572            206                                        2,744            219

Exposures w ith or ce ntral counte rpartie s as pre- funde d contributions t o the default f und                          82              7                                           81              6

In the “Capital Adequacy” scheme, the weighted amounts regarding securitization exposures are included in the item “A.1.3
Securitization”; while capital requirement regarding securitization exposures is included in the item “B.1 Credit and
counterparty Risk”.

19
Capital Adequacy                                                                                                                                (€ million)

                                                                                                                                      WEIGHT ED
                                                                                                UNWEIGHT ED ASSETS
                                                                                                                                ASSET S/REQUIREM ENTS

 IT EMS/VAL UES                                                                                03.31.2019       12.31.2018      03.31.2019         12.31.2018

 A. RISK ASSET S

 A.1 Credit and counterparty risk                                                                 846,145         837,752          321,546           318,999

   1. Standardized approach1                                                                      350,014         359,236          152,406           150,757

   2. IRB approaches                                                                              478,753         460,251          165,996           164,881

     2.1 Foundation                                                                                17,100          16,975           10,592            10,599

     2.2 Advanced                                                                                 461,653         443,276          155,404           154,282

   3. Securitizations                                                                              17,378          18,265            3,144             3,361

 B. CAPITAL REQ UIREM ENT S

 B.1 Credit and counterparty risk                                                                                                   25,724            25,520

 B.2 Credit valu ation adjustm ent risk                                                                                               159                158

 B.3 Settlem ent risk                                                                                                                    1                  2

 B.4 Market risk                                                                                                                      756                806

   1. Standard approach                                                                                                               151                123

   2. Internal models                                                                                                                 605                682

   3. Concentr ation Ris k                                                                                                               -                  -

 B.5 Operational risk                                                                                                                2,360             2,360

   1. Basic indicator approach                                                                                                        219                228

   2. Traditional standardized appr oach                                                                                              284                276

   3. Advanced measur ement approach                                                                                                 1,856             1,856

 B.6 Other calculation elements 2                                                                                                     739                769

 B.7 Total cap ital requirem ents                                                                                                   29,739            29,614

 C. RISK ASSET S AND CAPITAL RATIO

 C.1 Risk Weighted Assets                                                                                                          371,739           370,180

 C.2 Com m on Equity Tier 1 Cap ital / Risk weighted assets (CET1 capital ratio)                                                   12.25%             12.13%

 C.3 Tier 1 Cap ital / Risk weighted assets (Tier 1 capital ratio)                                                                 13.93%             13.64%

 C.4 Total Ow n Funds / Risk weighted assets (Total capital ratio)                                                                 16.36%             15.80%

Notes:
1
  The weighted amount includes the “Exposures with or central counterparties as pre-funded contributions to the default fund”.
2
  Such item includes temporary measures on credit risk internal models (linked to limitations raised by the Supervisor), prudential measure on
operational risk internal model (waiting for the final assessment by the Supervisor) and regulatory requirements for securitisation exposures
under Regulation (EU) 2017/2401.

UNICREDIT GROUP DISCLOSURE
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                                                                                                           Capital requirements

Overview of RWAs

The total amount of RWA as of 1st quarter 2019, equal to €371.7 billion, shows an increase with reference to the previous
quarter for approx. €1.6 billion. In particular, Credit RWA increase for approx. €2.2 billion, mainly due to: i) the component
treated under Standardised approach for €1.6 billion and ii) the Equity IRB component treated according to the Simple risk-
weight method for €0.5 billion.
Market RWA decrease for €0.6 billion, basically for lower requirement coming from VaR and SVaR.
Operational RWA remain basically stable.

 EU OV1 - Overview of RWAs                                                                                                            (€ million)

                                                                                                                                   CAPITAL
                                                                                                        RWA
                                       CATEGORIES                                                                                REQUIREMENT
                                                                                               03.31.2019       12.31.2018        03.31.2019
                          1    Credit risk (excluding CCR)                                         291,309          289,071             23,305
       Art 438(c)(d)      2      of which standardised approach                                    132,881          131,261             10,630
       Art 438(c)(d)      3      of which the foundation IRB (FIRB) approach                        10,338           10,353                 827
       Art 438(c)(d)      4      of which the advanced IRB (AIRB) approach                         146,812          146,668             11,745
                                 of which Equity IRB under the Simple risk-weight or the
        Art 438(d)        5      IMA                                                                 1,278              789                 102
 Art 107, Art 438(c)(d)   6    CCR                                                                  12,001           11,782                 960
       Art 438(c)(d)      7      of which mark to market                                             1,745            1,758                 140
       Art 438(c)(d)      8      of which Original exposure                                                 -                -                  -
                          9      of which standardised approach                                             -                -                  -
                          10     of which internal model method (IMM)                                7,462            6,310                 597

                          11     of which: Financial collateral simple method (for SFTs)                    -                -                  -
                                 of which: Financial collateral comprehensive method (for
                          12     SFTs)                                                                 720            1,662                    58
                          13     of which VaR per le operazioni SFT                                         -                -                  -
                                 of which risk exposure amount for contributions to the
       Art 438(c)(d)      14     default fund of a CCP                                                  82               81                    7
       Art 438(c)(d)      15     of which CVA                                                        1,992            1,971                 159
        Art 438(e)        16   Settlement Risk                                                              9            19                    1
       Art 449(o)(i)      17   Securitisation exposures in banking book (after the cap)              3,144            3,361                 252
                          18     of which IRB approach                                                 400              439                    32
                          19     of which IRB Supervisory Formula Approach (SFA)                     1,447            1,569                 116
                          20     of which Internal assessment approach (IAA)                           725              735                    58
                          21     of which standardised approach                                        572              618                    46
        Art 438(e)        22   Market risk                                                           9,455           10,069                 756
                          23     of which standardised approach                                      1,890            1,543                 151
                          24     of which IMA                                                        7,565            8,526                 605
        Art 438(e)        25   Large exposures                                                              -                -                  -
        Art 438(f)        26   Operational risk                                                     29,494           29,506              2,360
                          27     of which Basic Indicator Approach                                   2,743            2,853                 219
                          28     of which Standardised Approach                                      3,546            3,448                 284
                          29     of which Advanced Measurement Approach                             23,205           23,205              1,856
                               Amounts below the thresholds for deduction (subject to
     Art 437(2), 48,60    30   250% risk weight)                                                    17,084           16,756              1,367
         Art 500          31   Floor adjustment                                                             -                -                  -
                          32   Other calculation elements                                            9,244            9,616                 739
                          33   Total                                                               371,739          370,180             29,739

The amounts of the rows 1,6,17 and 30 (except to row 15 “of which: CVA”), equals to €321,546 million and matches
with the amount of the line A.1 of the “Capital Adequacy” table.

21
Countercyclical capital buffer

The table below shows the “Countercyclical capital buffer” disclosure prepared on the basis of the rates applicable as at 31
March 2019.

Amount of institution-specific countercyclical capital buffer                                                        (€ million)

      ROW                                             DESCRIPTION                                              COLUMN - 010

       10             Total risk exposure amount
                                                                                                                       371,739
       20             Institution specific countercyclical buffer rate                                                 0.068%

       30             Institution specific countercyclical buffer requirement
                                                                                                                           254

Market Risk capital requirement                                                                                      (€ million)

                                   Description
                                                                                            03.31.2019             12.31.2018
 Position risk:                                                                                    690                     755
 - Assets included in regulatory trading portfolio                                                 690                     755
 - Assets not included in regulatory trading portfolio                                                -                         -
 Settlement risk for DVP transactions                                                                 1                         2

 Exchange rate risk                                                                                  66                        51
 Commodities risk position                                                                            -                         -
 CVA (Credit Value Adjustment) risk                                                                159                     158
 Market Risk capital requirement                                                                   916                     965

The amount of the Market Risk capital requirement, equal to €916 million, is consistent with:
     •  referring to “Capital Adequacy” table: the sum of points B.2, B.3 and B.4;
     •  referring to “Overview of RWAs table: the sum of the lines 15, 16 and 22 (“Capital requirements” column).

UNICREDIT GROUP DISCLOSURE
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                    Capital requirements

23
UNICREDIT GROUP DISCLOSURE
                             24
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                                                                                                             Credit Risk

Credit Risk
RWAs flow statements – IRB method
The template presents a quarterly flow statement explaining variations in the credit risk exposures, for which the risk-weighted
amount is determined under the IRB approach (AIRB and/or FIRB).

In the first quarter of 2019, credit risk exposures under IRB approach recorded a €0.6 billion increase vs. December 2018,
driven by regulatory changes (€+0.5 billion impacting mainly Austria and CEE), along with €+0.4 billion increase mainly
explained by Euro depreciation vis à vis US dollar and Russian ruble. Moreover, further €+0.5 billion increase is visible in
“Other” (mostly for fine-tunings on risk parameters calculation). Finally, asset quality shows a decrease of €-0.7 billion
(explained mainly by Italy and Austria).

The amounts as of 31 March 2019 of the row 9 (total RWAs equal to €158,428 million and total capital requirements equal to
€12,674 million) are consistent with the sum of rows 3,4 and 5 of “Overview of RWAs” table.

25
Counterparty Risk exposure
RWAs flow statements – IMM method
The template presents a quarterly flow statement explaining changes in the CCR RWAs determined under the IMM10
approach.

In the first quarter of 2019, CCR Exposures under IMM Approach increased by €1.2 billion compared with the last quarter of
2018, mostly in Italy. The increase is explained primarily by the item “Asset size” which registered an increase of €0.9 billion,
partly due to the inclusion under IMM perimeter of repos exposure previously evaluated with standard approach. Moreover,
an increase of €0.3 billion is explained by a methodological change (italian perimeter).

The amounts as of 31 March 2019 of the row 9 (total RWAs equal to €7,462 million and total capital requirements equal to
€597 million) are consistent with the row 10 of “Overview of RWAs” table.

10
     IMM: Internal Model Method.

UNICREDIT GROUP DISCLOSURE
                                                                                                                                26
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                             Credit Risk

27
UNICREDIT GROUP DISCLOSURE
                             28
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>> UNICREDIT GROUP DISCLOSURE
                                                                                                                    Market Risk

Market Risks
RWAs flow statements under the IMA
Shown below is a summary table about Market Risk RWA under internal models, as prescribed by EBA’s final report
Guidelines on Disclosure Requirements Under Part Eight of Regulation (EU) 575/2013.

The RWA reduction with respect of the fourth quarter in 2018 equal to €961 million, is mainly due to the change in the
exposure to interest rate and exchange rate risk in the trading book of UniCredit Bank AG and to an increase of
diversification benefit, partially offset by an increase of the position subject to the credit spread risk of Republic of Italy in the
trading book of UniCredit S.p.A.

EU MR2-B - RWA flow statements of Market Risk exposures under the internal model approach                                      (€ million)

                                                                                                                  Total    Total capital
                                                                      VaR     SVaR      IRC      CRM    Other    RWAs     requirements
1              RWAs and capital requirements at 12.31.2018           1,355    4,365   2,807         -       -    8,526               682
    1a     Regulatory adjustment                                     1,045    3,348     604         -       -    4,997               400
           RWAs and capital requirements at 12.31.2018 (end of the
    1b     day)                                                        310    1,016   2,202         -       -    3,529               282
2        Movement in risk levels                                        64    (289)   1,195         -       -      969                78
3        Model updates/changes                                            -       -        -        -       -         -                  -
4        Methodology and policy                                           -       -        -        -       -         -                  -
5        Acquisitions and disposals                                       -       -        -        -       -         -                  -
6        Foreign exchange movements                                       -       -        -        -       -         -                  -
7        Other                                                            -       -        -        -       -         -                  -
           RWAs and capital requirements at 03.29.2019 (end of the
    8a     day)                                                        374      727   3,397                      4,498               360
    8b     Regulatory adjustment                                       811    2,256        -                     3,067               245
8        RWAs and capital requirements at 03.29.2019                 1,185    2,983   3,397                      7,565               605

Notes related to the tables above:
    •     the amount reported in row 2 explains the change in the RWA shows in row 1b and 8a;
    •     the total RWA of €7,565 million is coherent with row 24 in Overview RWAs table (column “RWA”).
    •     the total capital requirements of €605 million is coherent with:
          o     row 24 in Overview RWAs table (column “Minimal capital requirements”);
          o     row B.4.2 of the Capital Adequacy table.

29
I

UNICREDIT GROUP DISCLOSURE
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                                                                                                             Liquidity Risk

Liquidity Risk
Liquidity Coverage Ratio
The Liquidity Coverage Ratio (LCR), introduced by Basel 3 prudential regulation, is a short time indicator which aims to
ensure that credit institutions maintain an adequate liquidity buffer to cover the net liquidity outflows under severe conditions
of stress over a period of 30 days.

The regulatory framework applied is represented by:
     •    with reference to the requirements to be met:
          o     CRR Article 412 “Liquidity coverage requirement”;
          o     Commission Delegated Regulation (EU) 2016/61 of 10 October 2014 that lays down rules to specify in detail
                the liquidity coverage requirement provided for in CRR Article 412(1). In particular, the requirement that all
                institutions have to meet is equal to 100%;
          o     Commission Implementing Regulation (EU) 2016/322 of 10 February 2016 laying down implementing
                technical standards with regard to supervisory reporting of institutions of the liquidity coverage requirement,
                that is to be applied from 1st October 2016;

     •    with reference to the disclosure information to be published:
          o     CRR Article 435 which defines the disclosure requirements for each separate category of risk, including the
                key ratios (letter f);
          o     EDTF (“Enhancing the risk disclosures of banks”) recommendation n° 4 that requires the disclosure of key
                ratios (included LCR), once the applicable rules are finalised;
          o     EBA Guidelines 2017/01, published in March 2017 and applicable from December 31, 2017 relating to the full
                set of LCR disclosure.

Therefore, disclosure is made according to the EBA guidelines mentioned above.

The Liquidity Coverage Ratio is calculated according to the Commission Implementing Regulation (EU) 2016/322 applied
from 1 October 2016.

EU LIQ1: LCR disclosure template

31
I

Funding Strategies
During the first quarter European repo markets developed in a stable and resilient environment with a strong convergence of
rates toward the level of ECB Deposit Facility. Liquidity conditions remained highly supportive with EONIA and excess of
liquidity mainly ranging respectively between -37/-36 basis points and €1,800/1,900 billion. Liquidity on Italian repo market
remained positive with main part of the activity focused within 3M bucket and the General Collateral curve within 4-5 basis
points up to 1 year maturity (SN -40Bps, 3M -38Bps, 1Y -36Bps). ECB Quantitative Easing end together with the tightening of
BTPs’ spreads led to a decrease of special bonds’ number with an overall convergence of special rates toward GC ones. The
end of QE had a particular impact on core repo markets where repo rates drastically cheapened and curves flattened –
despite they remained negative sloped.

In relation to Medium-Long Term Funding, UniCredit Group maintains a funding strategy based on a balanced and diversified
approach, aimed at ensuring sustainability in terms of market capacity.
The access to multiple sources of liquidity from across various institutional markets in different geographies allows the Group
to maintain a proper level of liquidity while complying with various regulatory requirements.
In particular, during the first quarter of 2019 the Group re-affirmed its ability to access the capital market in different formats
across the capital structure and from different legal entities, leveraging on the strong support by its global fixed income
investor base:
      -    UniCredit SpA has issued 3 year Yankee Senior Non-Preferred Dual-Tranche for a total combined amount of $3
           billion, a 10NC5 Tier 2 Transaction for €1 billion, PerpNC 6/2026 Additional Tier 1 Capital Notes for €1 billion and
           15NC10 Yankee Tier 2 Callable Notes for $1.25 billion;
      -    UniCredit Bank AG has issued a 10 year Fixed Rate Hypothekenpfandbrief, whose oustanding has been
           subsequently increased during Q1, for a total amount of €1 billion;
      -    UniCredit Bank Austria AG has issued a 7 year Pfandbrief for €500 million and a 10 year Pfandbrief for €500
           million;
      -    Yapi Kredi has issued a PerpNC5 Additional Tier 1 transaction for $650 million and 5.5 year Senior Preferred Notes
           for $500 million.

With reference to the above figures, the Entities belonging to the Group KOC Finansal Hizmetler - proportionally consolidated in regulatory
perimeter – are included through the full consolidation.

UNICREDIT GROUP DISCLOSURE
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                         Liquidity Risk

33
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UNICREDIT GROUP DISCLOSURE
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                                                                                                                        Leverage

Leverage
The Basel 3 prudential regulation (BCBS) introduced the requirement of calculation, reporting, and publication of leverage
ratio that is an additional regulatory requirement to risk based indicators.

The main leverage ratio objectives are:
    •    restricting the build-up of leverage in the banking sector;
    •    enhancing the capital ratios with a further, simple and not risk based measure.

The ratio is calculated according to the “Commission Delegated Regulation (EU) 2015/62 of 10 October 2014 amending
Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to the leverage ratio”.

The abovementioned regulation amends CRR article 429, complying with “Basel III leverage ratio framework and disclosure
requirement11”, issued in January 2014.

During In the session of 15 April 2019, the European Parliament approved 3% minimum requirement for the leveraging ratio
in the first pillar. An additional buffer is provided for the G-SII banks, calculated as 50 % of the G-SII buffer rate in
accordance with Article 131 of Directive 2013/36/EU.
The new EU Regulation 575/2013 applies two years after the date of publication in the Official Journal of the European Union
(June 2021). The new G-SIIs requirement shall apply from 1 January 2022.

The present disclosure is performed with the application of the “Commission Implementing Regulation (EU) 2016/200 of 15
February 2016 laying down implementing technical standards with regard to disclosure of the leverage ratio for institutions,
according to Regulation (EU) No 575/2013 of the European Parliament and of the Council”.

Content

CRR article 429 defined the leverage ratio as the Bank’s capital measure divided by the total exposure and it is
expressed ad percentage between:
     •    Tier 1 Capital;
     •    the total exposure, calculated as sum of all assets and off-balance sheet items not deducted when determining
          the Tier 1 capital measure.

The total exposure includes (the below mentioned Articles refer to CRR):

     •     Derivatives – calculated according to the Current Exposure Method as per Article 274, or, as an alternative, the
           Original Exposure Method as per Article 295; if specific conditions set by the Delegated act are met, received cash
           variation margins can be excluded from the exposure. Written Credit Derivatives are calculated by including the
           Fully Effective Notional amount, reduced by the fair value changes that have been incorporated in Tier 1 Capital. If
           specific conditions are met the resulting exposure value may be further reduced by the effective notional amount of
           purchased credit derivatives
     •     Security Financing Transactions (SFT) 12– calculated as sum of 2 components: the counterparty credit risk
           exposure, i.e. the exposure net of collateral (and not including the haircut), and the accounting value of the SFT
           asset; if specific conditions are met, it is possible to determine the exposure value of cash receivable and cash
           payables on a net basis.
     •     Off-balance Sheet Exposure – calculated, according to Article 111 as nominal amount not reduced by specific
           credit risk adjustments and by applying the Standardized Approach for RWA calculation credit conversion factors.
     •     Other Asset – calculated, according to Article 111, as accounting value reduced by specific credit risk
           adjustments, additional value adjustments and other own funds reductions related to the asset item; if specific
           conditions set by the Delegated act are met, cash variation margins provided for derivatives transactions can be
           excluded from the exposure.

The following figures refer to the Leverage Ratio calculated by applying the transitional rules.

11
   See “Basel III leverage ratio framework and disclosure requirements” http://www.bis.org/publ/bcbs270.htm.
12
   Security Financing Transactions are repurchase transactions, securities or commodities lending or borrowing transactions and margin lending
transactions.

35
I

Quantitative Information

The following table shows the Leverage Ratio as of 31 March 2019 and the breakdown of the exposure by main categories,
according to CRR Articles 451(1)(a), 451(1)(b) and 451(1)(c).

T ab le LRCom : Leverag e ratio com m on d isclo sure                                                                                                  (€ million)
                                                                                                                           03.31.2019           12.31.2018
                                                  On-balance sheet exposures (excludin g derivatives and SFT s)
      1        On-balance sheet items (excluding derivatives, SFTs and f iduciary assets, but including collateral)                749,431              749,131
      2        (Asset amounts deducted in determining Tier 1 capital)                                                                (4,235)             (4,128)
               To tal on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets) (sum
      3                                                                                                                            745,196              745,003
               of lin es 1 an d 2)
                                                               Derivative exposures

      4        Replacement cost associated w ith all derivatives transactions (ie net of eligible cash variation margin)            15,306               14,467

      5        A dd-on amounts f or PFE associated w ith all derivatives transactions (mark-to-market method)                       19,372               18,227
    EU-5a      Exposure determined under Original Exposure Method                                                                          -                      -
               Gross-up f or derivatives collateral provided w here deducted f rom the balance sheet assets pursuant
      6                                                                                                                                    -                      -
               to the applicable accounting f ramew ork
      7        (Deductions of receivables assets f or cash variation margin provided in derivatives transactions)                    (9,506)             (7,996)
      8        (Exempted CCP leg of client-cleared trade exposures)                                                                        -                      -
      9        A djusted ef f ective notional amount of w ritten credit derivatives                                                 11,175               14,264
     10        (Adjusted ef fective notional of fsets and add-on deductions for w ritten credit derivatives)                         (8,853)            (11,775)
     11        To tal derivative exposures (sum of lin es 4 to 10)                                                                  27,493               27,187
                                                              Securities financin g trans actio n exposures
     12        Gross SFT assets (w ith no recognition of netting), af ter adjusting f or sales accounting transactions              89,360               76,167
     13        (Netted amounts of cash payables and cash receivables of gross SFT assets)                                            (4,423)             (4,488)
     14        Counterparty credit risk exposure for SFT assets                                                                     14,096               13,680
               Derogation for SFTs: Counterparty credit risk exposure in accordance w ith A rticle 429b (4) and 222 of
    EU-14a                                                                                                                                 -                      -
               Regulation (EU) No 575/2013
     15        A gent transaction exposures                                                                                                -                      -
    EU-15a     (Exempted CCP leg of client-cleared SFT exposure)                                                                           -                      -
     16        To tal securitie s financing transaction exposu res (sum of lines 12 to 15a)                                         99,034               85,360
                                                                   Other o ff-balance she et exposures
     17        Off -balance sheet exposures at gross notional amount                                                               376,866              356,654
     18        (Adjustments for conversion to credit equivalent amounts)                                                           (220,578)           (216,759)
     19        Other off-balance s heet exposures (sum o f lines 17 to 18)                                                         156,288              139,894
                                 Exem pte d exposures in accordan ce w ith CRR Article 429 (7) and (14) (on and off b alance sh eet)
               (Exemption of intragroup exposures (solo basis) in accordance w ith A rticle 429(7) of Regulation (EU)
    EU-19a                                                                                                                                 -                      -
               No 575/2013 (on and of f balance sheet))
               (Exposures exempted in accordance w ith Article 429 (14) of Regulation (EU) No 575/2013 (on and off
    EU-19b                                                                                                                                 -                      -
               balance sheet))
                                                                        Capital and total expos ures
     20        Tier 1 cap ital                                                                                                      51,767               50,488

     21        To tal le ve rage ratio exposures (s um of lines 3, 11, 16, 19, EU-19a an d EU-19b)                                1,028,010             997,445

                                                                                Leverage ratio
     22        Le ve rage ratio                                                                                                         5.04%             5.06%
                                       Choice on transitio nal arrangem ents and amoun t of derecognise d fiduciary item s

    EU-23      Choice on transitional arrangements f or the definition of the capital measure                              Transitional         Transitional

               A mount of derecognised f iduciary items in accordance w ith Article 429(13) of Regulation (EU) No
    EU-24                                                                                                                                  -                      -
               575/2013

UNICREDIT GROUP DISCLOSURE
                                                                                                                                                             36
AS AT 31 MARCH 2019
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