UniCredit S p A : Group Disclosure (Pillar III) as at 31 March 2021

UniCredit Group Disclosure (Pillar III)

as at 31 March 2021

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Content

Contents cross reference to the regulatory disclosure requirements	3
Measures issued in the context of the Covid-19 outbreak, provided by the European regulatory
authorities and National Member States	7
Brexit disclosure	25
Own Funds	27
Total Loss Absorbing Capacity	37
Capital requirements	41
Credit risk	47
Credit risk: RWAs flow statements - IRB method	47
Counterparty risk exposure: RWAs flow statements - IMM method	47
Market risk	49
RWAs flow statements under the IMA	49
Liquidity risk	51
Liquidity Coverage Ratio	51
Funding strategies	54
Leverage	57
Annex 1 - Capital instruments and TLAC eligible instruments main features template	61
Annex 2 - Reconciliation of quantitative data across disclosure templates	63
Declaration by the Manager charged with preparing the financial reports	69
Declaration pursuant to the EBA Guidelines 2016/11 on disclosure requirements under
Part Eight of Regulation (EU) No.575/2013 and subsequent amendments	71

Pillar III · UniCredit Group Disclosure as at 31 March 2021 1

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Notes:

• All amounts, unless otherwise specified, are expressed in millions of euro.
• Data refer to the prudential scope of consolidation.
• Any discrepancies between data disclosed in this document are solely due to the effect of rounding.
• The amounts reported are coherent with the most recent submissions of the regulatory reporting for each period; as a result, some amounts may differ from those disclosed in previous publications.
• With regard to both the standardised approach and the IRB methodology, non-weighted amounts concerning "guarantees given and commitments to disburse funds" were considered based on the credit equivale nt, unless otherwise specified.
• It should be noted that the disclosures to be provided by the systemically important banks were published on the UniCredit gr oup's website according to the deadline defined in the relevant regulations (https://www.unicreditgroup.eu/en/investors/financial-reports.html).
• The UniCredit Group Disclosure is prepared in accordac ith a formal policy (Internal Regulation) adopted in the application of the CRR Article 431(3), that sets 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 and, with reference to 31 March 2021, subsequent amendment in the Regulation No.876/2019);
  • 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;
  • evaluation related to Pillar III re-publication, after the initial issuance, for alignment ih the most recent submissions of regulatory reporting.
• The templates subject to reconciliation of data across disclosure's templates as represented in the Annex 2, report a specific note in order to facilitate their identification.

2 UniCredit Group Disclosure as at 31 March 2021 · Pillar III

UniCredit Group Disclosure | Pillar III

Contents cross reference to the regulatory disclosure requirements

Contents cross reference to the regulatory disclosure requirements

In coherence with the EBA Guidelines "GL/2014/14"1 and update reported in the EBA Guidelines "GL/2016/11"2, the table below shows the cross reference to the information published quarterly.

REGULATORY			REFERENCE TO THE CHAPTER/SECTION IN
REFERENCE		CONTENT	THE PRESENT DOCUMENT	REFERENCE TO THE EXTERNAL DOCUMENTS
REGULATION (EU) No.575/2013 (CRR) AND SUBSEQUENT AMENDMENTS (*)
Art. 437/437a		Own Funds/Owns Funds and	Own Funds
		eligible liabilities	Own Funds - "Total Loss Absorbing Capacity"
			section
			Annex 1 Capital instruments and TLAC eligible	UniCredit group website:
			instruments main features templates	- Full terms and conditions of all capital instruments
				(Article 437, paragraph 1, letter c) link
				https://www.unicreditgroup.eu/en/investors/debt-
				investors/funding-programmes-and-
				prospectuses/bank-capital.html
				- Annex 1 in editable format (excel) to link
				https://www.unicreditgroup.eu/en/investors/financial-
				reporting/pillar-3-disclosures.html
Art. 440		Capital buffers	Capital requirements
Art. 447		Key metrics	Own Funds
			Own Funds - "Total Loss Absorbing Capacity"
			section
			Capital requirements (EU OV1 Template)
			Leverage
			Liquidity risk - "Liquidity Coverage Ratio" section
Art. 451/451a		Leverage/Disclosure of liquidity	Leverage
		requirements	Liquidity risk - "Liquidity Coverage Ratio" section
EBA/GL/2016/11 ("GUIDELINES ON DISCLOSURE REQUIREMENTS UNDER PART EIGHT OF REGULATION (EU) No.575/2013")
EU OV1		Overview of RWA	Capital requirements
EU CR8		RWA flow statement of credit	Credit risk: RWAs flow statements - IRB method
		risk exposures under IRB
EU CCR7		RWA Flow statements of CCR	Counterparty risk exposure: RWAs flow
		exposures under the Internal	statements - IMM method
		Model Method (IMM)
EU MR2-B		RWA flow statements of market	Market risk: RWAs flow statements under the
		risk exposures under the IMA	IMA
EBA/GL/2017/01 ("GUIDELINES ON LCR DISCLOSURE TO COMPLEMENT THE DISCLOSURE OF LIQUIDITY RISK MANAGEMENT UNDER ART.435 OF
REGULATION (EU) No.575/2013")
EU LIQ1		Liquidity Coverage Ratio (LCR)	Liquidity risk - "Liquidity Coverage Ratio" section
EBA/ITS/2020/06 ("FINAL REPORT ON DRAFT ITS ON DISCLOSURE AND REPORTING ON MREL AND TLAC")
EU KM2		Key metrics - G-SII requirement	Own Funds - "Total Loss Absorbing Capacity"
		for Own Funds and eligible	section
		liabilities
EDTF RECOMMENDATION ("ENHANCING THE RISK DISCLOSURE OF BANK")
No.4		New key regulatory ratio	Leverage
			Liquidity risk - "Liquidity Coverage Ratio" section
			Own Funds - "Total Loss Absorbing Capacity"
			section
No.21		Funding strategy	Liquidity risk - "Funding Strategies" section

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".

Pillar III · UniCredit Group Disclosure as at 31 March 2021 3