UniCredit S p A : Group Disclosure (Pillar III) as at 30 June 2022

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UniCredit Group Disclosure (Pillar III)

as at 3O June 2022

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Content

Regulatory framework and key metrics	5
Regulatory framework	5
Key metrics	9
Contents cross reference to the regulatory disclosure requirements	10
Scope of application	19
Own Funds	23
Total Loss Absorbing Capacity	39
Countercyclical capital buffers	43
Own Funds requirements and risk-weighted exposure amounts	49
Credit risk	53
Non-performing and forborne exposures	53
Use of standardised approach	65
Use of the IRB approach	68
Use of risk mitigation techniques (CRM)	80
Counterparty risk exposure	83
Market risk	101
Exposure and use of internal models	101
Exposures to interest rate risk on positions not held in the trading book	104
Securitisation exposures	109
Liquidity risk	115
Liquidity Coverage Ratio	115
Net Stable Funding Ratio	118
Liquidity buffer and funding strategies	119
Leverage	125
Declaration by the Manager charged with preparing the financial reports	131
Annex 1 - Template EU CCA - Main features of regulatory Own Funds instruments and
eligible liabilities instruments	133
Annex 2 - List of templates Regulation (EU) 637/2021	135
Annex 3 - Template EU LI3 - Outline of the differences in the scopes of consolidation	139
Glossary	147

Pillar III · UniCredit Group Disclosure as at 30 June 2022 1

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2 UniCredit Group Disclosure as at 30 June 2022 · Pillar III