UniCredit S p A : Group Disclosure (Pillar III) as at 30 September 2020

One Bank,

One Team,

One UniCredit.

UniCredit Group Disclosure (Pillar III)

as at 30 September 2020

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
Own Funds	23
Total Loss Absorbing Capacity	34
Capital requirements	37
Credit risk	43
Credit risk: RWAs flow statements - IRB method	43
Counterparty risk exposure: RWAs flow statements - IMM method	43
Market risk	45
RWAs flow statements under the IMA	45
Liquidity risk	47
Liquidity Coverage Ratio	47
Funding Strategies	49
Leverage	53
Annex 1 - Capital instruments and TLAC eligible instruments main features template	57
Annex 2 - Reconciliation of quantitative data across disclosure templates	59
Declaration by the Manager charged with preparing the financial reports	65
Declaration pursuant to the EBA Guidelines 2016/11 on disclosure requirements under
Part Eight of Regulation (EU) No.575/2013 and subsequent amendments	67

Pillar III · UniCredit Group Disclosure as at 30 September 2020 1

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 equivalent, unless otherwise specified.
• It should be noted 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 UniCredit Group Disclosure is prepared in accordance with 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 30 September 2020, 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 with 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 30 September 2020 · Pillar III

UniCredit Group Disclosure | Pillar III

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"
			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/funding-
				and-ratings/programs/bank-capital.html
				- Annex 1 in editable format (excel) to link
				https://www.unicreditgroup.eu/en/investors/third-
				pillar-basel-two-and-three.html)
Art. 440		Capital buffers	Capital requirements
Art. 447		Key metrics	Own Funds
			Own Funds - "Total Loss Absorbing Capacity"
			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 IMA
		risk exposures under the 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 30 September 2020 3

UniCredit Group Disclosure | Pillar III

Contents cross reference to the regulatory disclosure requirements

REGULATORY		REFERENCE TO THE CHAPTER/SECTION IN THE	REFERENCE TO THE EXTERNAL
REFERENCE	CONTENT	PRESENT DOCUMENT	DOCUMENTS
EBA "STATEMENT	ON SUPERVISORY REPORTING AND PILLAR 3 DISCLOSURES IN LIGHT OF COVID-19"
EBA Statement	Supervisory Reporting and Pillar 3	"Measures issued in the context of the Covid-19	Refer to the information in the reference
issued on 31	disclosure in the context of the	outbreak, provided by the European regulatory	section - table "Impacts on UniCredit
March 2020 (**)	Covid-19 outbreak	authorities and National Member States" section	group figures and ratios"

EBA/GL/2020/12 ("GUIDELINES AMENDING GUIDELINES EBA/GL/2018/01 ON UNIFORM DISCLOSURES UNDER ARTICLE 473A OF REGULATION (EU)

NO 575/2013 (CRR) ON THE TRANSITIONAL PERIOD FOR MITIGATING THE IMPACT OF THE INTRODUCTION OF IFRS 9 ON OWN FUNDS TO ENSURE COMPLIANCE WITH THE CRR 'QUICK FIX' IN RESPONSE TO THE COVID-19 PANDEMIC")

	Template IFRS9-	Comparison of institutions' own	Own Funds
	FL	funds and capital and leverage
		ratios with and without the
		application of transitional
		arrangements for IFRS 9 or
		analogous ECLs
	EBA/GL/2020/11 ("GUIDELINES ON SUPERVISORY REPORTING AND DISCLOSURE REQUIREMENTS IN COMPLIANCE WITH THE CRR 'QUICK FIX' IN
	RESPONSE TO THE COVID 19 PANDEMIC")
	LRCom	Leverage ratio common disclosure	Leverage
	‐

Notes:

1. Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 ("CRR2"), with reference to the requirements into force as at 30 September 2020. (**) Ref. to the following link: https://eba.europa.eu/eba-provides-additional-clarity-on-measures-mitigate-impact-covid-19-eu-banking-sector.

Moreover, with specific reference to some best practices identified by EBA in the Report "on assessment of Institutions' Pillar 3 Disclosure" (EBA/Rep/2020/09), in order to facilitate the understanding of the consistency of the quantitative data between the tables of the present document, the Annex 2 reports the reconciliation of the main regulatory figures represented in the various tables.

4 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

UniCredit Group Disclosure | Pillar III

Contents cross reference to the regulatory disclosure requirements

Pillar III · UniCredit Group Disclosure as at 30 September 2020 5

UniCredit Group Disclosure | Pillar III

Contents cross reference to the regulatory disclosure requirements

6 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

UniCredit Group Disclosure | Pillar III

Measures issued in the context of the Covid-19 outbreak, provided by the European regulatory authorities and National Member States

The Section below is prepared according to the document "Statement on supervisory reporting and Pillar 3 disclosures in light of Covid-19" issued by EBA on 31 March 20203.

Overview of the measures from European Central Bank and European Banking Authority

During the first nine months of 2020, the Governing Council of the European Central Bank (ECB) has decided a number of measures to ensure that its directly supervised banks can continue to fulfil their role in funding the real economy given the economic effects of the Covid-19.

As well, the European Banking Authority (EBA) issued several statements to explain a number of interpretative aspects on the functioning of the prudential framework in relation to the classification of loans in default, the identification of forborne exposures, and their accounting treatment. These clarifications help ensure consistency and comparability in risk metrics across the whole EU banking sector, which are crucial to monitor the effects of the current crisis.

Among the measures above outlined, the following ones can be mentioned:

• ECB measures issued on 12 March 2020:
• • Capital & Liquidity buffers: banks can fully use capital and liquidity buffers; specifically banks can operate temporarily below:
  • • Pillar 2 Guidance requirements,
    • Capital conservation buffer (moreover National authorities might revise the Countercyclical Buffer rates);
    • Liquidity Coverage Ratio (LCR) threshold.
  • Pillar 2 requirement: banks are allowed to partially use capital instruments that do not qualify as CET1 capital (e.g. Additional Tier 1 or Tier 2 instruments) to meet the Pillar 2 Requirements (P2R); this brings forward a measure initially scheduled to come into effect in January 2021, as part of the revision of the Capital Requirements Directive (CRD V).
  • TLTROIII: ECB announced easing of conditions for targeted longer-term refinancing operations. The Governing Council of the ECB decided to modify some of the key parameters of the third series of TLTRO III to support the continued access of firms and households to bank credit in the face of disruptions and temporary funding shortages associated with the outbreak.
  • Other relief measures: discussion with banks of individual measures, such as adjusting timetables, processes and deadlines (e.g., the ECB will consider rescheduling on-site inspections and extending deadlines for the remediation actions stemming from recent on-site inspections and internal model investigations). Later, ECB also communicated the postponement, by six months, of the issuance of TRIM4 decisions, On-Site follow up letters and internal model decisions not yet communicated to institutions, unless the bank explicitly asks for a decision.
• EBA measures issued on 12 March 2020:
• • Flexibility embedded in the regulatory framework to support the banking sector: coordination between EBA and national competent authorities for a joint effort to alleviate the immediate operational burden for banks at this challenging juncture.
  • EBA Stress Test: the EBA has decided to postpone the EU-wide stress test exercise to 2021; this will allow banks to focus on and ensure continuity of their core operations, including support for their customers.
• ECB measures issued on 20 March 2020:
• • Pro-cyclicalityin Expected Credit Loss (IFRS9): within the international accounting standards framework, ECB recommended institutions to give a greater weight to long-term stable outlook evidenced by past experience when estimating-long-term expected credit losses for the purposes of IFRS9 provisioning policies; this appears particularly important where banks face uncertainty in generating reasonable and supportable forecasts.
  • Moratorium and public guarantee: flexibility (within the ECB Guidance on NPL5 and the Addendum6) regarding the classification of obligors as unlikely to pay, when institutions call on the Covid-19 related public guarantees; the ECB also extended flexibility to the unlikely-to-pay classification of exposures covered by legally imposed payment moratoriums related to Covid-19 in regard to timing and scope of the assessment. With regards to public guarantees, the FAQs indicate that ECB will apply a 0% minimum coverage expectation on new non- performing exposures that have public guarantees, for the first seven years of the NPE vintage count.
  • Transitional IFRS9: ECB recommended that institutions that had not already done so, to implement the transitional IFRS9 arrangements foreseen in the European Regulation No.575/2013 - Capital Requirements Regulation (CRR).

3 The section includes the measures issued up to end of September 2020 and which have an impact over UniCredit group figures and ratios as at 30 September 2020. EBA document is available at the following link: https://eba.europa.eu/eba-provides-additional-clarity-on-measures-mitigate-impact-covid-19-eu-banking-sector.

1. Targeted Review of Internal Models.
2. European Central Bank: "Guidance to banks on non-performing loans", issued in March 2017.
3. European Central Bank: "Addendum to the ECB Guidance to banks on non-performing loans: supervisory expectations for prudential provisioning of non-performing exposures", issued in March 2018.

Pillar III · UniCredit Group Disclosure as at 30 September 2020 7

UniCredit Group Disclosure | Pillar III

Measures issued in the context of the Covid-19 outbreak, provided by the European regulatory authorities and National Member States

• EBA measures issued on 25 March 2020 (on this topic, refer also to the EBA measures issued on 2 April 2020):
• • Flexibility in prudential framework: the EBA called for flexibility and pragmatism in the application of the prudential framework and clarified that, in case of debt moratoria, there is no automatic classification in default, to forborne, and of the worsening of the stage IFRS9.
  • Risk measurement: the EBA, nonetheless, insisted on the importance of adequate risk measurement expecting institutions to prioritise individual assessments of obligors' likeliness to pay when possible.
• ECB measures issued on 27 March 2020:
• • ECB asked banks not to pay dividends until at least October 2020: the ECB updated its recommendation to banks on dividend distributions. To boost the capacity to absorb losses and support lending to households, small businesses and corporates, the banks should not pay dividends for the financial years 2019 and 2020 until at least 1 October 2020. Banks should also refrain from share buy-backsaimed at remunerating shareholders.
• EBA measures issued on 31 March 2020:
• • Sound capital base: the EBA supported all the measures taken so far to ensure banks maintain a sound capital base and provide the needed support to the economy; in this respect, the EBA reiterated and expanded its call to institutions to refrain from the distribution of dividends or share buybacks for the purpose of remunerating shareholders and assess their remuneration policies in line with the risks stemming from the economic situation.
• ECB measures issued on 1 April 2020:
• • Guidance on and references to the use of forecasts: avoid excessively procyclical assumptions in expected credit loss (ECL) estimations
    during the Covid-19 pandemic; in particular, the guidance covered: i) the collective assessment of the significant increase in credit risk (SICR); ii) the use of long-term macroeconomic forecasts; iii) the use of macroeconomic forecasts limited to specific years.
• EBA guidelines issued on 2 April 2020:
• • Guidelines on the treatment of legislative and non-legislative moratoria applied before 30 June 2020: clarified which legislative and non- legislative payment moratoria could trigger forbearance classification; in particular, the guidelines supplemented the EBA Guidelines on the application of the definition of default as regards the treatment of distressed restructuring (they clarified that the payment moratoria, if based on the application of national laws, or on initiatives agreed at industry / private sector level, where widely applied by the relevant credit institutions, do not trigger forbearance classification and it is not necessary to verify the existence of the requirements for tracing between the distressed restructuring).
• ECB statement issued on 14 April 2020:
• • ECB supported the action taken by Euro area macroprudential authorities to address the financial sector impact of the coronavirus outbreak by releasing or reducing capital buffers: the ECB has assessed the notifications submitted by national macroprudential authorities for each proposed measure provided for in the CRR and CRD, and has issued a non-objectiondecision, thereby endorsing the measures taken to reduce capital requirements, including the countercyclical capital buffer.
• ECB press release issued on 16 April 2020:
• • ECB Banking Supervision announced a temporary relief for capital requirements for market risk, by allowing banks to reduce the market risk multiplier by its qualitative component, if any; the market risk multiplier is used to compensate the possible underestimation by banks of their capital requirements for market risk. The reduction of the market risk multiplier by its qualitative component aims at compensating for the quantitative multiplier which can rise when market volatility has been higher than predicted by the bank's internal model.
• EBA statements issued on 22 April 2020:
• • Further measures and guidance on the use of flexibility in relation to Covid-19 on:
  • • Market Risk - Prudent Valuation: draft regulatory standards to mitigate the excessive procyclical effect of the current framework (effects should materialize not before second quarter 2020, and transitorily applicable till 31 December 2020);
    • Market Risk - VaR: clarification of the existing flexibility in the CRR regarding back-testing multipliers and indication that the review of the stressed VaR window could be postponed to the end of 2020;
    • Market Risk - Fundamental Review of the Trading Book (FRTB) - Standardised Approach (SA): postponement to 30 September 2021 (as reference date) of the first reporting related to FRTB-SA figures under CRR2;
    • Supervisory Review and Evaluation Process 2020: clarification that this year's supervisory assessment is focused on material risks and vulnerabilities driven by the current crisis, and the banks' ability to respond;

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UniCredit Group Disclosure | Pillar III

Measures issued in the context of the Covid-19 outbreak, provided by the European regulatory authorities and National Member States

• • Securitisation: clarification on the application to securitisations of the beneficial treatment for forborne/NPE classification in case of public/private moratoria; the significant risk transfer - for deals envisaging such approach - will not be unduly affected;
  • Digital operational resilience: EBA emphasised the importance - in this extraordinarily stressful situation - of operational continuity resilience and cyber security risk management.
• EBA press release issued on 18 June 2020:
• • EBA extends deadline for the application of its Guidelines on payment moratoria to 30 September 2020.
    Acknowledging the crucial role played by banks in providing financing to European businesses and citizens during the ongoing Covid-19 pandemic, the EBA has decided to extend the application date of its Guidelines on payment moratoria (legislative and non-legislative) by 3 months, thus till 30 September 2020 (ref. "EBA guidelines issued on 2 April 2020").
• On 26 June 2020 was published in the Official Journal of the EU the Regulation (EU) 2020/873 (CRR "Quick fix") making targeted amendments to the Capital Requirements Regulation (EU) 575/2013 (CRR) and the revised Capital Requirements Regulation (EU) 2019/876 (CRR2) and entered into force and was applicable starting from 27 June 2020:
  Starting from the second quarter 2020 reporting date, the following changes were applied:
• • application of the SME supporting factor according to the art. 501 of CRR2, concerning the adjustment of own funds requirements for non- defaulted SME exposures;
  • application of a more favourable prudential treatment of loans to pensioners or employees with a permanent contract that are backed by the borrower's pension or salary according to the art. 123 of the CRR2;
  • application of a temporary treatment of public debt issued in the currency of another Member State according to the new art. 500a of the CRR2. Until 31 December 2022 the risk weight applied to the exposure values evaluated according to the standardized methodology shall be 0% of the risk weight assigned to these exposures in accordance with paragraph 2 of Article 114;
  • extension by 2 years of transitional arrangements for mitigating the impact on Own Funds from the introduction of IFRS 9 (Article 473a (8) of Regulation (EU) No.575/2013);
  • introduction of temporary prudential filter for unrealised gains and losses measured at fair value through other comprehensive income, corresponding to exposures to central governments, to regional governments or to local authorities referred, during the period from 1 January 2020 to 31 December 2022.
• ECB press release issued on 28 July 2020:
• • ECB extends recommendation not to pay dividends until January 2021 and clarifies timeline to restore buffers.

• • The ECB extended its recommendation to banks on dividend distributions and share buy-backs until 1 January 2021, and asked banks to be extremely moderate with regard to variable remuneration. It also clarified that it will give enough time for banks to replenish their capital and liquidity buffers in order not to act pro-cyclically.
  • This updated recommendation on dividend distributions remains temporary and exceptional and is aimed at preserving banks' capacity to absorb losses and support the economy in this environment of exceptional uncertainty.
  • The ECB will review whether this stance remains necessary in the fourth quarter of 2020, taking into account the economic environment, the stability of the financial system and the reliability of capital planning.
  • For the same purpose, i.e. preserving banks' capacity to absorb losses and support lending to the real economy, the ECB also issued a letter to banks asking them to be extremely moderate with regard to variable remuneration payments, for example by reducing the overall amount of variable pay, deferring a larger part of the variable remuneration and consider payments in instruments, e.g. own shares.
  • The same applies for replenishing the liquidity coverage ratio (LCR), which will be assessed by the ECB considering both bank-specific (e.g. access to funding markets) and market-specific factors (e.g. demand for liquidity from households, corporates and other market participants).
  • In any case, the ECB commits to allow banks to operate below the P2G and the combined buffer requirement until at least end-2022, and below the LCR until at least end-2021, without automatically triggering supervisory actions.
• ECB press release issued on 17 September 2020:
  - ECB allows temporary relief in banks' leverage ratio after declaring exceptional circumstances due to pandemic (Decision (EU) 2020/1306).
• 
  The ECB announced the decision on the temporary exclusion of certain exposures to central banks from the total exposure measure in view of the Covid-19 pandemic in order to facilitate the implementation of monetary policies, and confirmed that there are exceptional circumstances due to the Covid-19 pandemic (for the purposes of Article 500b(2) of the Regulation (EU) 2020/873 - "CRR Quick Fix" amending Regulations (EU) No.575/2013 and (EU) No.2019/876). Banks to benefit from relief measure until 27 June 2021.

Pillar III · UniCredit Group Disclosure as at 30 September 2020 9

UniCredit Group Disclosure | Pillar III

Measures issued in the context of the Covid-19 outbreak, provided by the European regulatory authorities and National Member States

• EBA press release issued on 21 September 2020:
• • EBA phases out its Guidelines on legislative and non-legislative loan repayments moratoria.
    EBA will phase out its Guidelines on legislative and non-legislative payment moratoria in accordance with its end of September deadline (ref. "EBA guidelines issued on 2 April 2020" and "EBA press release issued on 18 June 2020"). The regulatory treatment set out in the Guidelines will continue to apply to all payment holidays granted under eligible payment moratoria prior to 30 September 2020. Banks can continue supporting their customers with extended payment moratoria also after 30 September 2020; such loans should be classified on a case-by-case basis according to the usual prudential framework.

For the sake of completeness, it is worth mentioning that the Basel Committee on Banking Supervision (BCBS), through the document issued on 3 April 2020, reported its guidance about the measures introduced by Governments and Authorities to reflect the impact of Covid-19; specifically, the Committee agreed that the risk-reducing effects of the various extraordinary support measures taken in its member jurisdictions should be fully recognised in risk-based capital requirements. As well, the Committee agreed that the extraordinary support measures should be taken into account by banks when they calculate their Expected Credit Losses.

Overview of the main measures from National Member States

• Italy:
• • Moratorium on mortgages for private Individuals (UniCredit initiative); main features: I) suspension of the installment (principal) for clients
    which - before the crisis - were not suffering financial difficulties and whose transaction is not forborne; II) maximum duration: 12 months.
  • Moratorium on mortgages for private Individuals (Government initiative); main features: I) the scope is extended also to clients suffering financial difficulties before crisis, as long as the delay in payments does not exceed 90 days, as well as self-employedworks and professionals; II) maximum duration: 18 months; III) fund will pay interest accrued on the residual debt during the suspension period up to 50%; IV) moratorium already in force for employees is extended to self-employedworkers and professionals who have incurred as a result of emergency a decrease in turnover of more than 33%; V) suppressed the ISEE7 requirement (income limit);VI) suspension of the whole installment (principal + interests).
  • Moratorium for SME (Italian Banking Association and UniCredit initiative); main features: I) suspension of the installment (principal); II) maximum duration 12 months; III) performing counterparties, excluding lending positions for which the suspension or extension has already been granted within the 24 months prior to the application date.
  • Moratorium for Micro Enterprises and SME (Government initiative); main features: I) irrevocability (until 09.30.2020) of the credit lines granted "until revoked" and of loans granted on advance on credits (the guarantee covers 33% of the increased credit line used between the date of entry into force of the decree and 09.30.2020); II) postponement (until 09.30.2020 under the same conditions) of the repayment of non- installment loans due to mature before 09.30.2020 (guarantee covers 33%); III) suspension (until 09.30.2020) of the payment of the instalments of loans (principal and interests) due to mature before 09.30.2020 (guarantee covers 33%).
  • "Liquidity" Decree of 8 April 2020, converted with modifications into Law n. 40 of 5 June 2020, containing temporary measures to support liquidity of corporates. It envisages, until 31 December 2020, the possibility of granting SACE8 guarantees between 70 and 90% for loans to businesses, including SMEs that have made full use of their ability to access the "Fondo Centrale di Garanzia", with a duration of up to 6 years and with a specific purpose (personnel costs, costs related to rental/lease of a business branch, investments or working capital for production facilities and business activities located in Italy). The guarantee is at first request, unconditional, explicit, irrevocable, and in compliance with the requirements of the prudential regulations for the purpose of risk mitigation. The same Decree also provides for changes to the Central Guarantee Fund with effect until 31 December 2020, with improvements and simplifications including extending the guarantee to MID CAPs (up to 499 employees), increasing the coverage up to 90% (100% in case of reinsurance), and the increase of the maximum guaranteed amount to €5 million, the simplified procedure for loans up to 25,000 Euro with a duration of 7 years (increased to 30,000 Euro, max duration 10 years by the Conversion Law no. 40 of June 2020), and renegotiation/consolidation of debt with minimum additional finance (10%, limit increased to 25% by the aforementioned Conversion Law).
    In addition, this Decree provides for the granting of the guarantee on loan portfolios and minibond portfolios from the Fund's availability (it being understood that 85% of the Fund's endowment must be allocated to individual loans).

1. Indicatore della Situazione Economica Equivalente (Indicator of the Equivalent Financial Situation).
2. SACE: joint stock company of the Italian group Cassa Depositi e Prestiti, specialized in the insurance-financial sector; with the Decree it assumes the role of state reference and reinsurance subject for the credit institutions that will provide support to corporate.

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UniCredit Group Disclosure | Pillar III

Measures issued in the context of the Covid-19 outbreak, provided by the European regulatory authorities and National Member States

• Tax measures (measures for supporting economy regarding tax matters): art. 55 of the Decree n. 18/2020 provides the possibility to convert existing Deferred Tax Assets related to IRES Tax Losses Carried Forward (regardless of whether or not a corresponding Deferred Tax Assets has been recognized) and to the ACE9 surpluses into tax credits, following the disposal - by 31 December 2020, outside the Group and with accounting derecognition - of credits from defaulting debtors for at least 90 days. Against the transformed amount, the payment (starting from 2021) of a 1.5% fee is due. Under the regulatory capital perspective, CET1 capital will benefit from such potential conversion; on the other side, such assets represent current credit positions towards the Authority, hence to be risk weighted at 0%.
• "Rilancio" Decree of 19 May 2020, n. 34, converted into Law n. 77 of 17 July 2020, containing, among other things, multiple urgent measures in the field of health, support for work and the economy, connected to the Covid-19 pandemic. Among the interventions, this Law:
• • recognizes, for counterparties (non-banks) which habitually carry out business activities or arts and professions in premises open to the public, a tax credit of 60% of the expenses incurred in 2020 (up to a maximum of € 80,000) for the adaptation interventions of the working environments to contain the spread of the Covid-19 virus. The tax credit can be combined with other concessions for the same expenses, can only be used in compensation and can be transferred to other subjects, including banks and other financial institutions, with the right to subsequently transfer the credit;
  • recognizes, for counterparties which habitually carry out business activities or arts and professions, a tax credit of 60% of the expenses incurred in 2020 (up to a maximum of € 60,000) for sanitization interventions and the purchase of protective devices. The tax credit can be combined with other concessions for the same expenses, can only be used in compensation and can be transferred to other subjects, including banks and other financial institutions, with the right to subsequently transfer the credit;
  • raises the deduction rate for expenses incurred from 1 July 2020 to 31 December 2021 to 110% for specific interventions regarding energy efficiency, anti-seismic interventions, installation of photovoltaic systems or infrastructures for charging electric vehicles in buildings. The new provisions make it possible to benefit from a tax deduction of 110 per cent of the expenses incurred for the aforementioned purposes, under certain conditions, and are added to those already in force which regulate the deductions of expenses due for the recovery of the real estate assets, including those of seismic risk reduction (i.e. Sismabonus) and energy requalification of buildings (i.e. Ecobonus). The deduction is normally divided in 5 annual installments, within the limits of the capacity of the annual tax resulting from the tax return. As an alternative to the direct use of the deduction, the Taxpayer (mainly Individuals and Condominiums) can opt for an advance contribution in the form of a discount from the suppliers of goods or services, or, also in this case, for the transfer of the tax credit - corresponding to the deduction due - to other subjects, including banks and other financial institutions, with the option of subsequent transfer;
  • provides 2 new tax credit for the investments of individuals in innovative start up and innovative SME's: a tax credit of 50% of the investment (direct or through UCITS). The investment must be kept for 3 years and cannot exceed €100,000 (€300,000 for investments in innovative SME's);
  • introduces a double tax benefit for capital injections in middle companies: a tax credit of the 20% of the injection for the transferor; a tax credit of the 50% of the losses exceeding the 10% of net worth for the transferee company.
• "August" Decree Law of 14 August 2020, n. 104, converted into Law n. 126 of 13 October 2020, containing several urgent measures in support of health, work and economy, linked to the Covid-19 emergency. Main measures introduced by the Law:
• • extension of the moratorium for SME set by the Decree Cura Italia until 31 January 2021 (previous 30 September 2020). The extension operates automatically, unless expressly waived by the beneficiary company;
  • introduction of some technical changes to the possibility (art. 55, DL Cura Italia n. 18/2020) to convert the DTAs into tax credits (application to special regimes, such as consolidated and transparency);
  • extension of the FCG guarantee scope to companies that have obtained (on financial transactions guaranteed by the Fund) an extension of the guarantee due to temporary difficulties of the beneficiary, if they meet certain requirements;
  • extension of the FCG 30K Guarantee scope to individuals carrying out activities referred to in section K of the ATECO code (this section includes financial intermediation activities, including insurance, reinsurance and pension funds, as well as activities auxiliary to financial intermediation. Also included are the activities of assuming and holding financial assets, such as the activities of holding companies, trust companies, fund management companies and other financial intermediaries);
  • extension of the SACE guarantee scope also to companies admitted to the arrangement procedure with business continuity (or certified plans and restructuring agreements) if their exposures are not classifiable as non performing exposures (at the date of submission of the application), they don't present amounts in arrears and the lender can reasonably assume the full repayment of the exposure at maturity;

9 Aiuto alla Crescita Economica (Aid to Economic Growth).

Pillar III · UniCredit Group Disclosure as at 30 September 2020 11

UniCredit Group Disclosure | Pillar III

Measures issued in the context of the Covid-19 outbreak, provided by the European regulatory authorities and National Member States

• • extension to 31 March 2021 of the moratorium for the tourist sector, for mortgage payments only, specifying that tourism-sector companies are: tourism-accommodation companies, travel and tourism agencies and tour operators, spas and physical wellness centers, subjects that manage amusement parks or theme parks, subjects that carry out tourist guide and assistance activities.
• Other main countries:

Several countries in which the Group operates have passed laws for concession of payment moratorium in order to grant private entities and enterprises sufficient liquidity to counteract the effect of the lockdown measures:

• Croatia:
• • No specific moratorium Law passed; moratorium and stand-still measures are offered by commercial banks to retail and corporate customers, and they will become effective upon application by customers.
  • For retail customers, the moratorium foresees payment holidays up to 6 months since the approval; for corporate customers: (i) stand-still measures up to 3 months; (ii) moratorium with extension of final maturity up to 6 months (up to 12 months for selected industries with significant seasonality, e.g. tourism).
  • Interests are accrued on delayed payments with reference to the capital component of the instalment being delayed.
• Hungary:
• • Law requiring banks to provide moratorium to retail, corporate and financial institution different from banks was passed on 18 March 2020; such law determines the automatic change in the payment plan of existing loans with no need for the customer to apply.
  • For all customers, the payment moratoria refer to the period 18 March 2020 - 31 December 2020 (clients are allowed to opt-out the moratoria any time and opt-in again, without limitation on the number / timing of opting in/out); therefore payments due on this time frame will be delayed in 2021 thus determining an increase in the maturity of the loan.
  • Interests are accrued on delayed payments with reference to the capital component of the instalment being delayed; interests accrued at the end of moratorium are suspended and linearly spread over the remaining instalments.
  • For a limited scope of customers (retail customers with status of: unemployed, socially public-employed, customers with children, pensioner;
    corporate: income decreased by at least 25% due to the Covid-19 crisis) the moratorium has been extended until 30 June, 2021.
  • For the effected retail deals moratoria extension must be applied automatically, for corporate deals the customer has to request the moratoria application (after 1st January 2021).
  • For the effected and eligible deals the same rules (opt in / out, maturity extension, spreading of accumulated interest, etc.) must be applied like in the first phase of the moratoria.
• Slovakia:
• • Law requiring banks to provide moratorium to retail and corporate customers was passed as of 9 April 2020; for all the customers, it covers a maximum period of 9 months (6 months for leasing products), upon request of customers.
  • Debtors may apply for deferral of instalments during the period of pandemic which officially started on 12 March 2020. In case of consumer (retail) loans, debtors may apply for deferral of all installment (i.e. principal and interests); in the case of corporate loans debtors can choose whether apply for deferral of all installment (i.e. principal and interests) or only of principal repayments (interest would be still paid during the deferral) or for deferral of loan repayable in one bullet payment.
  • Interests are accrued during the period of deferral; however, the accrued interest for the period of delay shall not be capitalized into the principal.
• Bosnia and Herzegovina:
• • Decisions by Banking Regulators (in Federation of Bosnia and Herzegovina and in Republic of Srpska) requiring banks to provide temporary moratorium to all customers per their requests, passed by the end of March 2020. According to those Decisions, a first temporary moratorium can be approved, upon request by the customer, until the repeal of extraordinary situation.
  • After expiration of temporary moratorium, further special measures can be approved by banks, upon request by the customer, up to a maximum period of 6 months.
  • Interests are accrued on delayed payments with reference to the capital component of the instalment being delayed.
  • Regulators adopted new decisions (in Federation of Bosnia and Herzegovina at the end of August and in Republic of Srpska at the beginning of September) according to which special measures can be approved by the Bank upon request by customer.
  • Customers can apply for special measures until 31 December 2020.
  • Maximum period on which moratorium can be approved is 6 months while other measures can be approved up to 12 months. Earlier approved temporary or special measures (according to the Decisions from March) are not included in maximum period prescribed by new decisions.

12 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

UniCredit Group Disclosure | Pillar III

Measures issued in the context of the Covid-19 outbreak, provided by the European regulatory authorities and National Member States

• Slovenia:
• • Law requiring banks to provide moratorium to retail and corporate customers was passed by end of March.
  • The Act applies to: (i) banks and savings banks with seat in Slovenia and Slovenian branches of EU banks, on the lenders' side; (ii) companies, co-operatives, foundations, institutes (all with seat in Slovenia), sole entrepreneurs, farmers, natural persons (all if Slovenian citizens residing in Slovenia), on the borrowers' side.
  • Debtors may apply for deferral of instalments during the period of pandemic which officially started as of 12 March 2020. Expiration date for application is 15 November 2020.
  • Interests are accrued on delayed payments.
• Czech Republic:
• • Law requiring banks to provide moratorium to retail and corporate customers was passed as of 17 April 2020; for all the customers, it covers the period starting on1 May 2020 and ending on 31 October 2020, upon request from customers.
  • Debtors may apply for shorter period ending 31 July 2020; in the case of consumer (retail) loans, debtors may apply for deferral of all installment (i.e. principal and interests); in the case of corporate loans, debtors may apply only for deferral of principal repayments (interest would be still paid during the deferral).
  • Interests are accrued during the period of deferral; however the accrued interest for the period of delay must not be capitalized into the principal, i.e. the calculation and accrual of "interests on interests" is not carried out).
• Romania:
• • The Emergency Governmental Ordinance 37/2020 requiring banks to provide moratorium to all customers was passed on 30 March 2020, while its Application Norms were passed on 6 April 2020; it covers a maximum period of 9 months of payment postponement, but not later than 31 December 2020, upon request from customers.
  • Interest accruing during the moratorium for all loans except mortgage loans to private individuals shall be capitalized and its payment will be spread over the duration of the loan. For private individuals mortgage loans, the interest deemed during the suspension period will be treated as an individual claim, to be recovered in maximum 5 years after the suspension ends with no interest applied to it, having 100% guarantee from Ministry of Finance, while the principal will be spread over the extended duration of the loan.
• Bulgaria:
• • No specific moratorium Law passed; moratorium and other relief measures are offered by commercial banks in the country to retail and corporate customers and they will become effective upon application by the customer. This is defined in a non-legislative moratorium (as per EBA guidelines from 25 March 2020) proposed by the Association of the Bulgarian Banks and approved by the Bulgarian National Bank on 10 April 2020.
  • According to the above mentioned non-legislative (private public-like type) moratorium, customers can apply for a moratorium up to 22 June 2020 in order to obtain a payment holiday of principal and/or interests for 6 months. In any case extension of payments in grace is allowed not later than 31 December 2020. At the end of June 2020, the proposed by the Association of the Bulgarian Banks and approved by the Bulgarian National Bank moratoria was prolonged with three more months, thus allowing customer application till 21 September 2020.
  • As per the Law for the measure during the declared by the Bulgarian Parliament on 13 March 2020 "state of emergency", no penalty interests are accrued on delayed payments. Regular interests are accrued with reference to the capital component of the instalment being overdue. Penalty interest accruals were restored with the end of the emergency state.
  • On 19 March 2020, the Bulgarian National Bank has announced three further measures to mitigate the negative impact by the Covid-19 outbreak:
  • • forbidding dividend distribution for all banks in Bulgaria, aiming at strengthening their capital positions;
    • revoking the previously scheduled for 2020 and 2021 increases of the anti-cyclical capital buffers;
    • introducing ad hoc limits on cross-border liquidity placements.
• Germany:
• • Law requiring banks to provide moratorium to private individuals and small business was passed on 1 April 2020; according to the law, customer can apply for a moratorium of payments falling between 1 April and 30 June 2020.

Pillar III · UniCredit Group Disclosure as at 30 September 2020 13

UniCredit Group Disclosure | Pillar III

Measures issued in the context of the Covid-19 outbreak, provided by the European regulatory authorities and National Member States

• Serbia:
• • Bylaw issued by National Bank of Serbia requiring banks to provide moratorium to all customers was passed on 17 March 2020 (the first moratoria) and 27 July 2020 (the second moratoria). The regulation determines the automatic change in the payment plan of existing loans with no need for the customer to apply unless customers explicitly want to opt-out.
  • For all customers, moratoria duration refers to:
  • • the first moratoria: the period 31 March 2020 - 30 June 2020, except for those who applied for earlier moratoria start-date once the bylaw was passed;
    • the second moratoria: the period 1 August 2020 - 30 September 2020; July unpaid obligations can be included as well, Principal due (without interest part) by both moratoria, on the mentioned time frames would have been capitalized after moratoria ends and rescheduled payment plan would have been defined effectively extending the maturity of the loan.
  • During moratorium, annuities and due regular interest payments will be postponed; at the end of the payment holiday, a new amortization plan, at the original interest rate, will be calculated for period extended by the duration of moratorium. The base for the new amortization plan by both moratoria is original capital without interest accrued during the period of moratorium, on which the equal part of due interest accrued during the period of moratorium is distributed.
• Austria:
• • Legal credit moratoria (Covid-19 JuBG) concern the deferral of claims (repayment of capital and payment of interest due between 1 April 2020 and 31 January 2020), and apply to credit agreements with consumers and micro-enterprises concluded before 15 March 2020, provided that the resulting payment bottlenecks are due to the Covid-19 pandemic.
  • In addition to the Legal Credit moratoria also EBA-compliant Private credit moratoria were granted, after finalization of the bank sector agreement and notification to EBA in September. The private moratoria were applied especially to clients not covered by the Legal credit moratoria, especially non-financial corporations.
  • In addition to the EBA-compliantmoratoria (according to the "Guidelines on legislative and non-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis", "EBA/GL/2020/02"), bank specific moratoria are also granted independently of the legal regulations.
  • Under the legal context, loans secured with state guarantees were granted in order to secure customer liquidity, whereby up to 100% of the loan is secured according to the specifications, depending on the guarantee scheme.
• Russia:
• • A "Loan holidays" law (specifically, the Federal Law N106-FZ) was passed on 3 April 2020 for individuals, entrepreneurs and SME clients, belonging to 24 industries stated by the government (e.g. tourism, aviation, culture, sport, etc.) which suffered the most from Covid-19 issues.
  • The term of the program is 30 September 2020, envisaging the following items:
  • • a deferral payment or a decrease of the payment, or a loan rollover; for SME: deferrals of principal and interest;
    • interests and fines for overdue payment incurred up to the start of the grace period are suspended;
    • the interests incurred during the grace period are paid in the end of the loan (for credit cards during 720 days after Credit holidays are over by equal payments every 30 days);
    • the grace period can be up to 6 months.

Accounting wise, the Covid-19 related moratorium will not determine the derecognition of the credit exposure as stated by ESMA. Furthermore, considering that interests will accrue on the payment delayed, no modification loss is generally expected. For the sake of completeness, it is worth noting that interests will be generally accrued on capital component of the installment postponed (apart from some minor exceptions with no material effects on Group Income Statement).

With reference to the assessment of SICR, in accordance with ESMA and EBA statements and guidelines, the application of the moratorium has not determined an automatic reclassification of the customer from Stage 1 to Stage 2. However, appropriate credit processes have been activated by the legal entities in all the processes of credit risk assessment considering both qualitative and quantitative trigger in order to evaluate the classification of credit exposure in order to grant the proper classification in Stage 2 or Stage 3 (default) of those credit exposures for which the increase in credit risk is unrelated to the Covid-19 outbreak.

14 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

UniCredit Group Disclosure | Pillar III

Measures issued in the context of the Covid-19 outbreak, provided by the European regulatory authorities and National Member States

Impacts on UniCredit group figures and ratios

The set of the measures above outlined generated either impacts on UniCredit group figures and ratios, or triggered certain decisions; the related description is reported under the specific sections of the present document, as summarized in the table below (unless the table itself already contains a direct explanation of the item):

					REFERENCE TO THE
					SECTION/TEMPLATE OF PRESENT
	MEASURE		IMPACTS FOR UNICREDIT GROUP		DOCUMENT OR OTHER
			DISCLOSURE
	ECB press release on dividends	UniCredit S.p.A. Board of Directors resolved to withdraw - without	Own Funds
	distribution and share buybacks	modifying the agenda of the Shareholders' Meeting convened on 9
	(issued on 27 March 2020)	April 2020 - the proposal related to the distribution of a dividend.
			Consequently, as of 31 March 2020, the Common Equity Tier 1
			Capital of UniCredit group, as well as UniCredit S.p.A.'s one, are
			increased for €1,404 million, not deducting anymore such amount.
	ECB press release on dividends	UniCredit S.p.A. Board of Directors resolved to withdraw - without	-
	distribution and share buybacks	modifying the agenda of the Shareholders' Meeting convened on 9
	(issued on 27 March 2020)	April 2020 - the proposal related to the authorization of shares buy
			back and the subsequent cancellation. Such withdrawal is neutral on
			1Q2020 Common Equity Tier 1 Capital, as no deduction was
			envisaged when calculation Own Funds as of 4Q2019.
	ECB recommendation not to pay	On 29 July 2020, following the ECB's recommendation on 28 July	Press Release issued on 29 July
	dividends until January 2021 and	2020, UniCredit confirmed it will not pay dividends nor do share	2020
	clarification about the timeline to	buybacks in 2020. Considering that the ECB communication of 28 July
	restore buffers	2020 has not extended its recommendation for 2021 and beyond,	Own Funds
	(issued on 28 July 2020)	UniCredit has re-instated the Team 23 capital distribution policy in
			2021 for financial year 2020 and following years. This means
			UniCredit will plan, as announced, to distribute 50% of underlying net
			profit to shareholders, targeting a maximum 30% cash dividend
			payout of the underlying net profit and a minimum of 20% for share
			buyback. Based on the market environment, the Group could review
			the split between cash dividend and share buyback. Therefore,
			UniCredit is accruing as of 30 September 2020 a cash dividend equal
			to 30% of the underlying net profit. The share buy-back instead is
			subject to regulatory approval and the related deduction from CET1
			capital for prudential purposes will be done immediately following such
			regulatory approval. In particular, as at 30 September 2020 the Group
			has deducted from the Own Funds an amount related to the
			foreseeable dividend related to the first nine months 2020 equal to
			€318 million.
	ECB recommended that	Starting from 1 January 2018, the IFRS9 accounting standard was	Own Funds
	institutions that had not already	adopted, envisaging a new framework for provisioning computation
	done so, to implement the	based on expected credit loss rather than on incurred loss. As of first-
	transitional IFRS 9	time adoption, UniCredit group decided not to apply the transitional
	arrangements foreseen in the	arrangements for IFRS9. Then, being still in the position to benefit of
	CRR	the IFRS9 transitional arrangements stemming from the possibility
	(issued on 20 March 2020)	allowed by the Regulation to reverse once during the transitional
			period the choice made at the inception, UniCredit group asked to the
			Competent Authority the approval to apply the transitional adjustment
			according to the revised framework introduced by the amended CRR2
			both for the static component (i.e. first time adoption effects accounted
			as of 1 January 2018) and for the dynamic component (i.e.
			considering separately (i) the increase of LLP between 1 January
			2018 and 1 January 2020 and (ii) the increase of LLP accounted after
			1 January 2020). The Competent Authority granted the permission to
			fully apply the transitional arrangements set out in article 473a of CRR
			starting from 2Q 2020 (refer to paragraph "Transitional arrangements
			related to the application of IFRS9" in the Own Funds chapter for the
			impacts on the figures and ratio).

Pillar III · UniCredit Group Disclosure as at 30 September 2020 15

UniCredit Group Disclosure | Pillar III

Measures issued in the context of the Covid-19 outbreak, provided by the European regulatory authorities and National Member States

				REFERENCE TO THE
				SECTION/TEMPLATE OF PRESENT
	MEASURE		IMPACTS FOR UNICREDIT GROUP	DOCUMENT OR OTHER
		DISCLOSURE
	ECB allowance to partially use	Starting from 12 March 2020, for the purposes of own funds	Own Funds
	capital instruments that do not	requirements, the Total SREP Capital requirements (TSCR) shall
	qualify as Common Equity Tier 1	include:
	capital (e.g. Additional Tier 1 or	∙ the minimum own funds requirement of 8% to be met at all times in
	Tier 2 instruments), to meet the	accordance with CRR Article 92(1);
	Pillar 2 Requirements	∙ Pillar 2 additional own funds requirement, to be held in excess of the
	(issued on 12 March 2020)	minimum own funds requirement and to be met at all times in
			accordance with Article 16(2)(a) of Regulation (EU) No 1024/2013;
			as a result of the anticipated application of the CRDV Directive
			article 104a, the Pillar 2 requirement can be satisfied also through
			Additional Tier 1 and Tier 2 instruments (i.e. at least 75% with Tier 1
			Capital and at least 56.25% with Common Equity Tier 1 Capital).
			Considering the above, with reference to the 3Q2020, UniCredit group
			shall respect - on a consolidated basis - an Overall Capital
			Requirement10 (OCR) in terms of Total Capital of 13.29% (9.75%
			TSCR + 3.54% for the combined capital buffer requirement), of which
			9.03% composed by CET1:
			∙ 4.50% as per Pillar 1 requirement;
			∙ 0.98% as per Pillar 2 requirement;
			∙ 3.54% for the Combined Buffer capital requirement11.
	Reducing of some	∙ Denmark: from 1.00% (4Q19) to 0.00% (1Q20)	Own Funds
	countercyclical capital buffer	∙ United Kingdom: from 1.00% (4Q19) to 0.00% (1Q20)
	(CCyB) measures operated by	∙ Iceland: from 1.75% (4Q19) to 0.00% (1Q20)
	the Authorities during the first,	∙ Norway: from 2.50% (4Q19) to 1.00% (1Q20)
	the second and the third quarter	∙ Sweden: from 2.50% (4Q19) to 0.00% (1Q20)
2020		∙ Hong Kong: from 2.00% (4Q19) to 1.00% (1Q20)
			∙ France: from 0.25% (1Q20) to 0,00% (2Q20)
			∙ Ireland: from 1.00% (1Q20) to 0.00% (2Q20)
			∙ Lithuania: from 1.00% (1Q20) to 0.00% (2Q20)
			∙ Czech Republic: from 1.00% (2Q20) to 0.50% (3Q20)
			∙ Slovakia: from 1.50% (2Q20) to 1.00% (3Q20)
			Considering the CCyB rates' lowering, UniCredit Group specific CCyB
			reserve decreased to 0.04% as of 3Q2020 (from 0.10% as of 1Q2020,
			and 0.06% as of 2Q2020).
			For the sake of completeness, it is worth mentioning that several
			jurisdictions (e.g. Bulgaria, France, Germany) cancelled the increase
			of the rates that were already foreseen for the next periods.
	Irrevocability of the credit lines	According to the mentioned Italian Law Decree, revocable credit lines	-
	granted in Italy	and credit advances cannot be revoked by the banks for the period
	(Art. 56 of the Law Decree 17/3	between 29 February and 30 September 2020 (the scope refers to the
	2020, No.18)	SMEs with exposures classified as performing).
			Under the regulatory perspective, the classification of such lines and
			credit advances was however kept unchanged, also given the
			temporality of such measures, and in order to avoid unintended
			consequences for liquidity and capital profiles of the Banks; indeed,
			although the Bank shall comply with such Decree, the
			revocability/irrevocability is defined in the underlying contracts, which
			are not currently subject to amendments.

10 Overall Capital Requirement = TSCR + Combined capital buffer requirement.

11 Countercyclical capital buffer requirement, which is part of the Combined Buffer capital requirement together with the Capital Conservation Buffer and the Global Systemically Important Institution buffer, shall be calculated on quarterly basis.

16 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

UniCredit Group Disclosure | Pillar III

Measures issued in the context of the Covid-19 outbreak, provided by the European regulatory authorities and National Member States

					REFERENCE TO THE
					SECTION/TEMPLATE OF PRESENT
	MEASURE		IMPACTS FOR UNICREDIT GROUP		DOCUMENT OR OTHER
			DISCLOSURE
	ECB assumptions in calculating	The statements issued by IASB and ECB were interpreted by	"Basis for preparation" of the
	IFRS9 expected credit loss	UniCredit group in the sense of executing an update of the macro-	"Consolidated interim report as at 31
	(ECL) for updating macro-	economic scenarios, especially considering: (I) the usage of data	March 2020 - Press Release"
	economic scenario	coming from institutions' macroeconomic research and reliable
	(issued on 1 April 2020, recalling	external sources; (II) the application of post-model overlays or	Press Release issued on 22 April
	IASB12 communication issued on	adjustments when changes cannot be reflected in models. Thus,	2020
	27 March 2020)	UniCredit group executed further deep-dive and analyses, including
			the update of macroeconomic forecasts by its internal Research Unit,	Consolidated First Half Financial
			published13 in the quarterly "The UniCredit Economics Chartbook". As	Report as at 30 June 2020
			a result, UniCredit group decided to review the macroeconomic
			scenario for all the regions.	"Basis for preparation" of the
			The outlook, which was basically negative for 2020 with a recovery in	"Consolidated interim report as at 30
			economic growth in 2021, led to recognise - with reference to the	September 2020 - Press Release"
			1Q2020 - an amount of Loan Loss Provisions related to credit
			positions for approx. €0.9 billion (gross of tax) at Group level.
			With reference to the 3Q2020, "The UniCredit Economics Chartbook"
			was again updated, and then published on September 2020.
			Considering the high degree of macro-economic uncertainty implicit in
			current conditions, the macro-economic scenario applied starting from
			1Q2020 was confirmed also for the 3Q2020.
	ECB temporary relief for capital	The ECB granted permission to exclude the overshootings evidenced	Templates EU OV1 (Capital
	requirements for market risk	by the back-testing on hypothetical or actual changes, having	requirements chapter) and EU MR2-
	(issued on 16 April 2020)	occurred in the time period from 1 March 2020 until 31 March 2020,	B (Market risk chapter) of the Pillar III
			from the calculation of the addend set out in Article 366(3) of	document as at 30 June 2020
			Regulation (EU) No.575/2013. This decision was adopted pursuant
			Article 550c of the "CRR quick-fix" approved in June 2020 and
			revokes previous relief measures on addend applied for 1Q2020
			reporting. With reference to 3Q2020 at UniCredit group level, no
			overshootings evidenced by the back-testing on hypothetical or actual
			changes occurred; therefore the relief obtained in the 2Q2020 of
			approx. for -€1,900 million of RWA, did not change as at 30
			September 2020.
	ECB revised the conditions for	On 18 June 2020, UniCredit confirmed borrowing via the ECB's latest	Liquidity risk
	targeted longer-term refinancing	TLTRO III operation of €94.3 billion at Group level, in line with the
	operations (TLTRO III)	maximum allowance, of which:
	(issued on 12 March 2020)	 €51.3 billion by UniCredit S.p.A.,
			 €25.7 billion by UniCredit Bank AG,
			 €15.4 billion by UniCredit Bank Austria AG,
			 €1.9 billion by CEE banks.
			The outstanding TLTRO II borrowings have been repaid by the end of
			June 2020.
	Regulation (EU) 2020/873 of 24	The treatments applied at Group level as at 30 September 2020 are
	June 2020 (CRR "Quick fix")	listed below:
	amending Regulations	 application of the SME supporting factor;
	(EU) 575/2013 and (EU)	 application of the favourable prudential treatment of loans to
	2019/876 as regards certain	pensioners or employees with a permanent contract;
	adjustments in response to the	 application of a temporary treatment of all exposures to the central
	Covid-19 pandemic	governments or central banks of Member States denominated and
			funded in the domestic currency of another Member State;

12 On 27 March 2020, IASB (Statement "IFRS9 and Covid-19") recommended to include in the forecast of future conditions both the specific effects of Covid-19 and the associated support measures. In particular, it clarified that changes in economic conditions should be reflected in macroeconomic scenarios and in their weightings, also through post-model overlays or adjustments when such changes cannot be reflected in models.

13 Ref. to the following link: https://www.research.unicredit.eu/DocsKey/economics_docs_2020_176448.ashx?EXT=pdf&KEY=C814QI31EjqIm_1zIJDBJFQWHqiVh6iWv-rRmfm0wlw=&T=1.

Pillar III · UniCredit Group Disclosure as at 30 September 2020 17

UniCredit Group Disclosure | Pillar III

Measures issued in the context of the Covid-19 outbreak, provided by the European regulatory authorities and National Member States

				REFERENCE TO THE
				SECTION/TEMPLATE OF PRESENT
	MEASURE		IMPACTS FOR UNICREDIT GROUP	DOCUMENT OR OTHER
		DISCLOSURE
			 application of transitional arrangements related to the application of	Owns Funds
			IFRS9, arising from additional capital requirement in relation with
			the benefit on CET1 deriving from the lower LLPs, hence higher	Leverage
			exposures value, determined in accordance with CRR Article
			111(1) and connected with the static component of the IFRS9
			transitional adjustment on standard portfolio.
			Please refer to (i) paragraph "Transitional arrangements related to the
			application of IFRS9" in the Own Funds chapter for the impacts on the
			figures and ratio, and (ii) Leverage Ratio chapter for the impacts on
			exposure and ratio.
	ECB temporary relief in banks'	With reference to 3Q 2020, UniCredit Group did not apply the
	leverage ratio after declaring	temporary exemption of Central Bank exposures as per article 500b of
	exceptional circumstances due	Regulation (EU) 2020/873.
	to Covid-19 pandemic
	(issued on 17 September 2020)

Comments on risk management

The Covid-19 pandemic outbreak triggered a global health crisis and has already had an unprecedented impact on the global economy due to the massive lock-down measures and travel/trade restrictions. In terms of the macroeconomic and (geo)political risks, the Covid-19 pandemic shifted the focus across the world towards world-wide and country-level efforts and measures to deal with this crisis. It had impact in accelerating the massive digitalization of financial institutions and a shift towards new operating model with more remote-based/online channels of client servicing. The outlook of the pandemic normalization path in terms of its timeline and further evolution remains highly uncertain, as well as the magnitude of the economic downturn.

The global economic downturn can be further impacted by the potential new rounds of general lockdowns that might be induced by some Countries across the world, with the risk of further slowing down the expected recovery.

UniCredit put in place pre-emptive measures to face the Covid-19 emergency, including the tightening of risk monitoring, and continues to proactively manage the evolving situation across all dimensions of its risk profile.

For further information on impact of Covid-19 pandemic outbreak impact on risks, refer to each type of risk section below.

Credit risk

With reference to credit risk, UniCredit positively sees all the initiatives aimed at supporting the real economy that have been put in place by the EU government and is complementing them with additional measure to support customers over this period and to reduce as much as possible the negative effects of this crisis. All concessions are defined to respond as quickly as possible to the drawback deriving from a temporary slow-down of the economic cycle and related liquidity issues. The potential impact on the bank's risk profile is mitigated with:

• acquisition of public guarantees in line with the mechanisms put in place by the various governments;
• an ex-ante and ongoing evaluation of the client's risk profile.

UniCredit has defined Group guiding principles for underwriting, monitoring and management of Moratorium/emergency schemes, to cope with the new challenges and to early detect potential signals of asset quality deterioration.

With specific reference to the moratorium measures, and in order to provide relief to the lockdown measures put in place for containing Covid-19 outbreak, UniCredit group made a set of initiatives available to customers, whose specific features are different in each country in terms of scope of customers and product types, typically allow the postponement of instalments and the increase in the residual maturity of credit exposures.

Among these initiatives, a number of moratoriums specifically meet the definition of "General Payment" (either legislative or assimilated non- legislative ones) issued by the "Guidelines on legislative and non-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis"14, as broadly applied by credit institution on the basis of national laws or industry- or sector-wide private initiatives.

14 Guidelines on legislative and non-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis issued on 2 April 2020 ("EBA/GL/2020/02")

18 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

UniCredit Group Disclosure | Pillar III

Measures issued in the context of the Covid-19 outbreak, provided by the European regulatory authorities and National Member States

The Group has also implemented other moratorium initiatives not specifically referred to the above mentioned EBA guidelines and therefore granted by the Institutions as additional customer support tools to deal with the context of difficulties and independently from national law or industry- or sector-wide private initiatives.

On the basis of the "EBA/GL/2020/02" the Group Guidelines defined by the Parent company address all legal entities on rating assignment process and regulatory treatment for the above-mentioned Moratoria and Guarantee Schemes.

Specifically, different regulatory treatments are allowed with respect to forbearance measures as well as Default detection, particularly from the point of view of the Unlikely To Pay ("UTP") assessment:

• General Payment Moratoria granting does not trigger automatically a forbearance classification but a specific assessment is aimed at verifying the financial difficulty situation pre-Covid-19; in this case UTP assessment shall be applied both during the period of the moratorium and shortly after its end;
• for other moratoria initiatives the ordinary forbearance process is applied testing financial difficulty at concession; in this case UTP assessment shall be applied at concession and afterwards.

Specific guidelines have been established for rating assignment with the request for a forward-looking perspective to be adopted for rating to incorporate potential macro-economic rebound combined with sector outlook in case applicable.

Such Guidelines are intended valid up to the duration set for General Payment Moratoria and up to 2020-year end for Bank specific initiatives.

On the basis of the instructions published by EBA on 21 September 2020 with reference to the phase out of the Guidelines on legislative and non- legislative loan repayments moratoria, refer to the "EBA press release issued on 21 September 2020" reported in to the previous paragraph "Overview of the measures from European Central Bank and European Banking Authority").

Liquidity risk

The slowdown in economic activity caused by lockdowns across Europe and the measures the Governments have taken to face the effects of the current health and economic emergency impacted the Group operations in the different countries of its perimeter. The business continuity management plans were activated in order to ensure the regular execution of Treasury activities and the proper information flows to the senior management and the Supervisors. Despite the overall liquidity situation of the Group is safe and under constant control, some risks may materialize in the coming months, depending on the length of the current partial lockdowns and expected economic recovery.

The most relevant risks that the Group may face are: i) an exceptionally high usage of the committed and uncommitted lines granted to corporate customers to cover their working capital needs in case of new lock-downs; ii) the capacity to roll over the expiring wholesale funding and the potential cash or collateral outflows the Group may suffer in case of rating downgrades of both the banks or the sovereign debt in the geographies in which it operates; iii) potential outflows or liquid assets deterioration linked with a generalized worsening of the asset quality.

In addition to this, some risks may arise from the limitations applied to the cross-border lending among banks, which have been increased in some countries.

An important mitigating factor to these risks are the contingency management policies in place in the Group system of rules and the measures announced by the European Central Bank, which have granted a higher flexibility in the management of the current liquidity situation by leveraging on the available liquidity buffers.

Counterparty credit risk

In order to address the potential consequences due to Covid-19 lockdown impact, an in-depth analysis has been performed to detect and monitor potential counterparties at risk on impacted sectors.

At the end of September 2020, the 11.5% (equal to €5.9 billion) of the overall Group Counterparty Credit Risk exposure is allocated to counterparties in "risky sectors", mainly airlines and travel, oil & gas and automotive (suppliers).

Market risk

As far as Market Risk is concerned, the abrupt market movements and the increased market volatility triggered by the outbreak of Covid-19 resulted in a general increase in both managerial and regulatory risk measurement metrics. Consequently, an increase in Internal Model Market Risk RWAs has been recorded. In response to the Covid-19 pandemic the European Parliament approved an amendment to Regulation (EU) 575/2013 and (EU) 2019/876, that allows the institutions to exclude for the calculation of the multiplier quantitative addend the overshootings associated to the exceptional Covid-19 related circumstances, provided that those exceptions do not results from deficiencies in the internal model; this allowed to reduce the impact in terms of Internal Model Market Risk RWAs. Anyway, the evolution of the crisis and the related risk metrics development is under strict monitoring by both risk and business functions. The cautious approach adopted in positions management since the beginning of the crisis resulted in a progressive relief in limits usage.

Operational risks

Referring to operational risks, analyses were carried out in order to identify risks arising from process changes adopted time by time to protect the health of employees and customers. With reference to the operational risks identified, the effectiveness of the risk mitigation measures was then assessed also through a comparative analysis between different Group Legal Entities.

In addition, specific second-level controls were activated to oversee those areas that were subject to the most significant changes. A specific monitoring of operational incidents linked, even indirectly, to the entire Covid-19 epidemic has been created in order to promptly intercept potential process criticalities or inappropriate behaviors.

Pillar III · UniCredit Group Disclosure as at 30 September 2020 19

UniCredit Group Disclosure | Pillar III

Measures issued in the context of the Covid-19 outbreak, provided by the European regulatory authorities and National Member States

References to ECB and EBA publications

• 12 March 2020:
• • ECB: Monetary policy decisions;
  • ECB: Banking Supervision provides temporary capital and operational relief in reaction to coronavirus;
  • ECB: announces measures to support bank liquidity conditions and money market activity;
  • ECB: announces easing of conditions for targeted longer-term refinancing operations (TLTRO III);
  • EBA: Statement on actions to mitigate the impact of Covid-19 on the EU banking sector.
• 20 March 2020:
• • ECB: Banking Supervision provides further flexibility to banks in reaction to coronavirus;
  • ECB: FAQs on ECB supervisory measures in reaction to the coronavirus.
• 25 March 2020:
• • EBA: Statement on the application of the prudential framework regarding Default, Forbearance and IFRS9 in light of Covid-19 measures;
  • EBA: Statement on consumer and payment issues in light of Covid-19;
  • EBA: Postponed EBA activities.
• 27 March 2020:
• • EBA: Press Release through which banks were asked not to pay dividends until at least October 2020, and also refraining from share buy-backs aimed at remunerating shareholders.
• 31 March 2020:
• • EBA provides additional clarity on measures to mitigate the impact of Covid-19 on the EU banking sector (Statement on supervisory reporting and Pillar 3 disclosures in light of Covid-19; Statement on dividends distribution, share buybacks and variable remuneration; Statement on actions to mitigate financial crime risks in the Covid-19 pandemic).
• 1 April 2020:
• • ECB: IFRS 9 in the context of the coronavirus (Covid-19) pandemic.
• 2 April 2020:
• • EBA: Guidelines (EBA/GL/2020/02) on legislative and non-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis.
• 3 April 2020:
• • BCBS: Measures to reflect the impact of Covid-19 (guidance on extraordinary measures to alleviate the financial and economic impact of Covid- 19).
• 14 April 2020:
• • ECB supports macroprudential policy actions taken in response to coronavirus outbreak.
• 16 April 2020:
• • ECB Banking Supervision provides temporary relief for capital requirements for market risk.
• 22 April 2020:
• • EBA provides further guidance on the use of flexibility in relation to Covid-19 and calls for heightened attention to risks.
• 18 June 2020:
• • EBA extends deadline for the application of its Guidelines on payment moratoria to 30 September 2020.
• 26 June 2020:
• • Publication in the Official Journal of the EU Regulation (CRR "quick fix") making targeted amendments to the Capital Requirements Regulation (CRR) and the revised Capital Requirements Regulation (CRR2).
• 28 July 2020:
• • ECB extends recommendation not to pay dividends until January 2021 and clarifies timeline to restore buffers.

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UniCredit Group Disclosure | Pillar III

Measures issued in the context of the Covid-19 outbreak, provided by the European regulatory authorities and National Member States

• 17 September 2020:
• • ECB decision on temporary relief in banks' leverage ratio after declaring exceptional circumstances due to Covid-19 pandemic.
• 21 September 2020:
• • EBA phases out its Guidelines on legislative and non-legislative loan repayments moratoria.

Refer to paragraph "Basis for preparation" of the "Consolidated interim report as at 30 September 2020 - Press Release" for a complete description of the impacts, also including the accounting ones.

Pillar III · UniCredit Group Disclosure as at 30 September 2020 21

UniCredit Group Disclosure | Pillar III

Introduction

22 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

UniCredit Group Disclosure | Pillar III

Own Funds

Starting from 1 January 2014, the calculation of capital requirements takes 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"), updated in the Regulation No. 876/2019 ("CRR2") and subsequently amended in the Regulation 873/2020, 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:
• • Common Equity Tier 1 Capital (CET1) and
  • Additional Tier 1 Capital (AT1);
• Tier 2 Capital (T2).

The sum of Tier 1 Capital and Tier 2 Capital generates the Total Own Funds (Total Capital).

It is worth mentioning that in the update to the EU Regulation No.575/2013 transposed in the Regulation No.876/2019 (CRR2), the main impacts on Group Own Funds calculation, applicable starting from 30 June 2019, derive from the modification to the computability rules of the Additional Tier 1 and Tier 2 instruments. In particular, considering the new conditions provisioned by the CRR2 Articles 52 and 63, an additional grandfathering framework has been introduced to the instruments issued before 27 June 2019 and valid till 28 June 2025 for those instruments that do not comply with the new computability conditions presented (ref.CRR2 Article 494b): such grandfathering framework is in addition to the one provisioned by CRR Articles 484 - 491.

Capital requirements15 and buffers for UniCredit group

The minimum capital requirements applicable to the Group as of 30 September 2020 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, for 2020 the Group shall also meet the following additional requirements:

• 1.75%, as Pillar 2 Requirements in coherence with SREP results; the anticipation of Article 104a.4 of CRD V applies the following extraordinary measures issued by ECB in reaction to the emergency of Covid-19: in particular the Pillar 2 requirement can be satisfied also through Additional Tier 1 and Tier 2 instruments (i.e. at least 75% with Tier 1 Capital and at least 56.25% with Common Equity Tier 1 Capital);
• 2.50%, as Capital Conservation buffer (CCB) according to CRDIV Article 129;
• 1.00%, as Global Systemically Important Institutions ("G-SII") buffer16 ;
• 0.04%, as Countercyclical Capital buffer17 (CCyB) according to the CRDIV Article 130, to be calculated on a quarterly basis.

As at 30 September 2020, the Group shall meet the following overall capital requirements:

∙ CET1:	9.03%
∙ T1:	10.85%
∙ Total Capital:	13.29%

1. 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 at 30 September 2020 in Italy.
2. It should be noted that UniCredit group was identified by the Banca d'Italia as an O-SII authorized to operate in Italy, and it has to maintain a CET1 capital buffer; such level is equal to 0.75% in 2020 and will reach 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 group is subject to the application of 1.00% G-SII buffer for 2020.

17 Amount rounded to two decimal numbers. With reference to 30 September 2020: (I) countercyclical capital rates have generally been set at 0%, except for the following countries: Czech Republic (0.50%); Hong Kong (1.00%); Norway (1.00%); Slovakia (1.00%); Luxemburg (0.25%); Bulgaria (0,50%) (II) with reference to the exposures towards Italian counterparties, Banca d'Italia has set the rate equal to 0%.

Pillar III · UniCredit Group Disclosure as at 30 September 2020 23

UniCredit Group Disclosure | Pillar III

Own Funds

Here below a scheme of the UniCredit group capital requirements and buffers which also provides evidences of the "Total SREP Capital Requirement" (TSCR) and the "Overall Capital Requirement" (OCR) related to the outcome of the SREP process held in 2019 and applicable for 2020.

The scheme reflects the anticipation of Article 104a.4 of CRD V application, as mentioned above.

2020 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	0.98%	1.31%	1.75%
C) TSCR (A+B)	5.48%	7.31%	9.75%
D) Combined capital buffer requirement:	3.54%	3.54%	3.54%
of which:
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)	0.04%	0.04%	0.04%
E) OCR (C+D)	9.03%	10.85%	13.29%

Note referred to Pillar 2 requirements:

• CET1: this amount represents the minimum coverage of the SREP requirement by CET1 capital, in the assumption, verified for the third quarter of 2020, that the amount of AT1 Capital exceeds the regulatory minimum of 1.50% (i.e. being 2.18%).
• T1: this amount represents the minimum coverage of the SREP requirement by T1 Capital, in the assumption, verified for the third quarter of 2020, that the amount of T2 Capital exceeds the regulatory minimum of 2.00% (i.e. being 2.53%).

The following table shows UniCredit group transitional18 capital ratios as at 30 September 2020 compared with previous periods:

UniCredit group transitional capital ratios as at 30 September 2020

	UNICREDIT GROUP TRANSITIONAL CAPITAL			3Q20
	RATIOS		RATIOS	DELTA Q/Q	DELTA Y/Y	2Q20	1Q20	4Q19	3Q19
	CET1 Capital ratio		15.15%	0.61%	2.54%	14.54%	13.44%	13.22%	12.60%
	Tier 1 Capital ratio	17.33%	0.70%	3.10%	16.63%	15.48%	14.90%	14.23%
	Total Capital ratio	19.86%	0.42%	2.75%	19.44%	18.01%	17.69%	17.11%

Focus on transitional capital ratios of UniCredit S.p.A.

The following table shows the transitional19 capital ratios of UniCredit S.p.A. as at 30 September 2020 compared with previous periods:

Transitional capital ratios of UniCredit S.p.A.

	UNICREDIT SPA - TRANSITIONAL CAPITAL						3Q20
	RATIOS			RATIOS			DELTA Q/Q			DELTA Y/Y		2Q20	1Q20	4Q19	3Q19
	CET1 Capital ratio	22.71%		1.10%		0.87%		21.61%	20.95%	21.11%	21.84%
	Tier 1 Capital ratio	26.43%	1.29%	1.84%	25.14%	24.40%	24.04%	24.59%
	Total Capital ratio	30.68%	0.90%	1.45%	29.78%	28.47%	28.86%	29.23%

Consolidated profit/ loss eligible for Own Funds purposes

On 29 July 2020, following the ECB's recommendation20 on 28 July 2020, UniCredit confirmed it will not pay dividends nor do share buybacks in 2020. Considering that the ECB communication of 28 July 2020 has not extended its recommendation for 2021 and beyond21, UniCredit has reinstated the Team 23 capital distribution policy in 2021 for financial year 2020 and following years. This means UniCredit will plan, as announced, to distribute 50% of underlying net profit to shareholders, targeting a maximum 30% cash dividend payout of the underlying net profit and a minimum of 20% for share buyback. Based on the market environment, the Group could review the split between cash dividend and share buyback. Therefore, UniCredit is accruing as of 30 September 2020 a cash dividend equal to 30% of the underlying net profit. The share buy-back instead is subject to regulatory approval and the related deduction from CET1 capital for prudential purposes will be done immediately following such regulatory approval.

18 The transitional adjustments as at 30 September 2020 are (i) grandfathering of Additional Tier 1 and Tier 2 instruments and (ii) IFRS9 transitional arrangements starting from 30 June 2020. 19 The transitional adjustments as at 30 September 2020 refer to the grandfathering of Additional Tier 1 and Tier 2 instruments.

1. ECB extends recommendation not to pay dividends until January 2021 and clarifies timeline to restore buffers.
2. A new ECB communication is expected in December 2020.

24 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

UniCredit Group Disclosure | Pillar III

Own Funds

In particular, as at 30 September 2020 the Group has deducted from the Own Funds an amount related to the foreseeable dividend related to the first nine months 2020 equal to €318 million. Such amount is equal to the 30% of the underlying net profit at consolidated level, in line with the reinstated dividend policy, equal to €1,060 million calculated after the exclusion from the consolidated loss (equal to -€1,606 million) of the extraordinary events occurred in the nine month 2020 mainly related to: (i) Italian integration costs, (ii) foreign exchange reserve recycling pro-rata through P&L following the unwinding of the joint venture related to Yapi Ve Kredi Bankasi A.Ş., and (iii) gains from real estate sale in Germany.

Transitional consolidated Own Funds

Regarding the transitional adjustments as at 30 September 2020, these are:

• grandfathering of Additional Tier 1 and Tier 2 instruments: the transitional adjustment applicable is 20% of the phase-out limit for the Additional Tier 1 and Tier 2 capital instruments subject to grandfathering in coherence with CRR Article 486 (30% for 2019). In addition, the new grandfathering framework is applicable (till 2025) according to the CRR2 Article 494 b, to the Additional T1 and T2 instruments issued before 27 June 2019 that do not comply with the CRR2 Articles 52 and 63.
• IFRS9 transitional arrangements: starting from June 2020, UniCredit Group has received from the competent Authority the approval to apply the transitional arrangements on IFRS9 as per CRR article 473a. The methodological approach is reported in the paragraph below.

Transitional arrangements related to the application of IFRS9

Starting from 1 January 2018, the IFRS9 accounting standard entered into force, envisaging a new framework for provisioning computation based on expected credit losses rather than on incurred losses. As of first-time adoption date, UniCredit group decided not to apply for the transitional arrangements provisioned in CRR for IFRS9.

Being UniCredit group still in the position to benefit of the IFRS9 transitional arrangements from the possibility allowed by the Regulation to reverse once during the transitional period the choice made at the inception, and also in light of the ECB Recommendation issued on 20 March 2020 for institutions that had not already implemented the transitional IFRS9 arrangements, UniCredit Group asked to the Competent Authority the approval to apply the transitional adjustment according to the revised framework introduced by the amended CRR2 both for the static component (i.e. first time adoption effects accounted as of 1 January 2018) and for the dynamic component (i.e. considering separately (i) the increase of LLP between 1 January 2020 and 1 January 2018 and (ii) the increase of LLP accounted after 1 January 2020). The Competent Authority granted the permission to fully apply the transitional arrangements set out in article 473a of CRR starting from the second quarter 2020.

From a methodological standpoint, it is worth mentioning that the IFRS9 transitional adjustment represents a "one-off" positive adjustment to be recognized in the calculation of CET1 capital, which does not originate indirect impacts on the calculation of other CET1 elements apart from the amount of DTA arising from temporary difference to be deducted. In this respect, considering article 473a (7) of the amended CRR2, the portion of DTA arising from temporary differences which is related to the transitional amount added back to CET1 shall be excluded from the amount of DTA to be deducted from CET1 following the regulatory netting.

Specifically, with reference to each component of the adjustment, it is worth mentioning the following interpretations of the regulation:

• The static component of the adjustment to be considered (ref. to elements A2,SA and A2,IRB in Art. 473a) is the entire amount of LLPs, both referred to performing and impaired assets, considering separately Standard (STD) and IRB exposures, booked in IFRS9 First Time adoption. According to Article 473a of the amended CRR2, the transitional adjustment corresponding to the static component is calculated by applying the following percentage factors: 70% for 2020, 50% for 2021, 25% for 2022, 0% starting from 2023.
• The dynamic component of the adjustment includes only LLPs referred to performing assets (i.e. sum of LLPs under IFRS9 Stage1 and Stage2) according to Article 473a (3).
  Furthermore, the dynamic component is composed of the following two elements:
• • element 1: the increase of LLP between 1 January 2020 and 1 January 2018; in case of IRB exposures the amount of LLPs is reduced by the regulatory expected losses (EL) at both dates. Such element 1 is subject to the following transitional percentages (i.e. the same applied to the static component): 70% for 2020, 50% for 2021, 25% for 2022, 0% starting from 2023;
  • element 2: the increase of LLP accounted after 1 January 2020. In case of IRB exposures, the amount of LLPs is reduced by the regulatory expected losses (EL) at both 1 January 2020 and subsequent reference dates. Such element 2 is subject to the following transitional percentages: 100% for 2020 and 2021, 75% for 2022, 50% for 2023, 25% for 2024, 0% starting from 2025.
• Lastly, according to 473a (7) of the amended CRR2, the transitional adjustment applied to CET1 and related to STD exposures (i.e. ABSA) has to be reflected in RWA when calculating the transitional RWA, in order to consider the increase in the exposure value determined in accordance with CRR Article 111(1) due to the minor amount of LLPs reducing CET1.

In quantitative terms, as of 30 September 2020, the transitional IFRS9 adjustment has a positive effect on CET1 capital equal to €2,5 billion, hence the Transitional CET1 ratio is equal to 15.15% while the Fully Loaded CET1 ratio is equal to 14.41%. Moreover, the IFRS9 arrangements has a negative impact on T2 equal to -€0.3 billion originated from the updated amount of the excess of LLP on IRB portfolio computable in T2.

Pillar III · UniCredit Group Disclosure as at 30 September 2020 25

UniCredit Group Disclosure | Pillar III

Own Funds

Capital requirements to be held, as a result of the measures issued in the context of the Covid-19 outbreak, provided by the European regulatory authorities

Within the measures issued by ECB during the first nine months of 2020 given the economic effects of the Covid-19 emergency, here below the main updates in terms of capital requirements are reported:

• banks can operate temporarily below the Pillar II Guidance (P2G) and, Capital conservation buffer (CCB);
• banks are allowed to partially use capital instruments that do not qualify as CET1 capital (e.g. Additional Tier 1 or Tier 2 instruments) to meet the Pillar 2 Requirements (P2R), anticipating a measure initially scheduled to come into effect in January 2021, as part of the revision of the Capital Requirements Directive (CRD V), article 104a.4. As consequence, in line with Pillar 2 Requirements, required in coherence with SREP results and equal to 1.75%, UniCredit group shall meet through Common Equity Tier 1 Capital at least the 0.98% of such requirement and through Tier 1 capital at least the 1.31%, coherently with the details contained in the table "Requirements and capital reserves for the UniCredit group in 2020", reported in this section;
• banks should not pay dividends and not buy back shares until January 2021, following the ECB's recommendation on 28 July 2020 on dividend distributions during the Covid-19 pandemic.

Countercyclical Capital buffer (CCyB), as a result of the measures issued in the context of the Covid-19 outbreak, provided by the European regulatory authorities

The Countercyclical Capital buffer (CCyB) according to the CRDIV Article 130, has to be calculated on a quarterly basis.

During the third quarter 2020, in reaction to the Covid-19 emergency and further to some releases already applied in the first and second quarter 2020, some National Authorities have reviewed the countercyclical capital buffer rate applicable to the states, with the aim of reducing the capital requirement to be held for the countercyclical capital buffer (CCyB).

The rates lowering in Czech Republic (from 1.00% to 0.50%) and Slovakia (from 1.50% to 1,00%) lead to a decrease of UniCredit group's countercyclical capital buffer reserve from 0.06% as of the second quarter 2020 to 0.04% as of the third quarter 2020.

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 30 September 2020, UniCredit exceeds the thresholds related to significant investments in CET1 instruments issued by financial sector entities and deferred tax assets that rely on future profitability and arise from temporary differences, generating a capital deduction from Common Equity Tier 1 Capital of €232 million.

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 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.

It is worth mentioning that the amount above mentioned does not consider the effects related to the transitional adjustments referred to IFRS9.

Atlante Fund and Italian Recovery Fund (ex Atlante Fund II)

As at 30 September 2020, the investment held by UniCredit in the quotes of Atlante Fund and Italian Recovery Fund (ex Atlante Fund II), for approximately €350 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 €9 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.

Financial conglomerate

As at 30 September 2020 reporting date, the UniCredit group is allowed to not be subject to the supplementary supervision, although it is recognised as a financial conglomerate by the Joint Committee (ref. communication JC 2019 72).

26 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

UniCredit Group Disclosure | Pillar III

Own Funds

1. Common Equity Tier 1 Capital - CET1

Common Equity Tier 1 Capital mainly includes the following elements:

• Main Common Equity Tier 1 Capital items, recognised 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; (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 recognised by the CRR.
• Prudential filters of Common Equity Tier 1 Capital: (I) filter related to increase in 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 at 30 September 2020, CET1 Capital includes ordinary shares issued by UniCredit S.p.A., equal to €20,438 million; among the other elements, such item does not include €609 million related to the ordinary shares underlying the Usufruct contract (Cashes) which are reclassified, as resulting from the phase-out according to CRR1 grandfathering rules, under Additional Tier 1 Capital for €517 million and under Tier 2 for €92 million.

2. Additional Tier 1 Capital - AT

The AT1 positive elements are represented by the following items: (I) capital instruments, where the conditions laid down in CRR2 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 and CRR2 (grandfathering). Furthermore, the Additional Tier 1 Capital includes also the minority interests for the computable amount not already recognised in the Common Equity Tier 1 Capital.

3. Tier 2 Capital - T2

The T2 positive elements are represented by the following items: (I) capital instruments and subordinated loans where the conditions laid down in CRR2 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 and CRR2 (grandfathering). The Tier 2 Capital includes also the minority interests for the computable amount not already recognised in the Tier 1 Capital and the T2 instruments issued by the subsidiaries for the computable amount as defined by the CRR.

As at 30 September 2020, the Group Own Funds:

• do not include instruments with maturity of 7 years having a contractual amortization plan starting before the 5th year, issued after 31 December 2011;
• include, 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 according to CRR;
• include the instruments issued before 27 June 2019, subject to grandfathering framework according to CRR2 Article 494b.

Pillar III · UniCredit Group Disclosure as at 30 September 2020 27

UniCredit Group Disclosure | Pillar III

Own Funds

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

					(€ million)
				09.30.2020	12.31.2019
	Common Equity Tier 1 capital (CET1): instruments and reserves
1	Capital instruments and the related share premium accounts (A)		29,819	33,591
		of which: Ordinary shares		29,819	33,591
2	Retained earnings (B)		22,975	16,372
3	Accumulated other comprehensive income (and other reserves) (C)		1,675	1,852
5	Minority interests (amount allowed in consolidated CET1)		98	122
	5a	Independently reviewed interim profits net of any fore-seeable charge or dividend		-	1,967
	6	Common Equity Tier 1 (CET1) capital before regulatory adjustment		54,566	53,904
	Common	Equity Tier 1 (CET1) capital: regulatory adjustments
7	Additional value adjustments		(192)	(184)
8	Intangible assets (net of related tax liability)		(2,837)	(2,815)
9	Transitional adjustment related to IFRS9 (D)		2,493	-
		Deferred tax assets that rely on future profitability excluding those arising from temporary
10	differences (net of related tax liability where the conditions in Article 38 (3) are met) (E)		(705)	(698)
11	Fair value reserves related to gains or losses on cash flow hedges		(45)	72
12	Negative amounts resulting from the calculation of expected loss amounts		(14)	(11)
14	Gains or losses on liabilities valued at fair value resulting from changes in own credit standing		(59)	(63)
15	Defined - benefit pension fund assets		(44)	(41)
16	Direct and indirect holdings by an institution of own CET1 instruments (F)		(289)	(8)
		Exposure amount of the following items which qualify for a RW of 1250%, where the institution
	20a	opts for the deduction alternative		(77)	(102)
	20c	of which: Securitisation positions		(77)	(102)
22	Amount exceeding the 17,65% threshold (G)		(232)	-
		of which: Direct and indirect holdings by the institution of the CET1 instruments of financial
23	sector entities where the institution has a significant investment in those entities		(130)	-
25	of which: Deferred tax assets arising from temporary differences		(102)	-
	25a	Losses for the current financial year (H)		(1,606)	-
	28	Total regulatory adjustment to Common Equity Tier 1 (CET1)		(3,607)	(3,850)
	29	Common Equity Tier 1 (CET1) capital		50,959	50,054
	Additional	Tier 1 (AT1) capital: Instruments
30	Capital instruments (I)		4,953	3,713
33	Amount of qualifying items referred to in Article 484 (4) subject to phase out from AT1 (J)		2,402	2,658
		Qualifying Tier 1 capital included in consolidated AT1 capital (including minority interests not
34	included in row 5) issued by subsidiaries and held by third parties		20	20
	36	Additional Tier 1 (AT1) capital before regulatory adjustments		7,375	6,392
	Additional Tier 1 (AT1) capital: regulatory adjustments
37	Direct and indirect holdings by an institution of own AT1 instruments		(32)	(29)
		Direct, indirect or synthetic holdings by the institution of the AT1 instruments of financial sector
		entities where the institution has a significant investment in those entities (amount above the
40	10% threshold net of eligible short positions)		(3)	(3)
	43	Total regulatory adjustments to Additional Tier 1 (AT1) capital		(35)	(32)
	44	Additional Tier 1 (AT1) capital		7,340	6,360
	45	Tier 1 capital (T1= CET1+AT1)		58,299	56,414

28 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

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Own Funds

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

										(€ million)
							09.30.2020			12.31.2019
	Tier 2 (T2) capital: instruments and provisions
46			Capital instruments (K)			9,210		9,656
47			Amount of qualifying items referred to in Article 484 (5) subject to phase out from T2 capital			92			68
				Qualifying Own Funds instruments included in consolidated T2 capital (including minority
				interests and AT1 instruments not included in row 5 or 34) issued by subsidiaries and held by
48			third parties		480			533
50			Credit risk adjustments			1,037		1,072
	51			Tier 2 (T2) capital before regulatory adjustments			10,820			11,330
	Tier 2 (T2) capital: regulatory adjustments
52			Direct and indirect holdings by an institution of own T2 instruments and subordinated loans			(1,108)		(193)
				Direct and indirect holdings by the institution of the T2 instruments and subordinated loans of
				financial sector entities where the institution has a significant investment in those entities (net
55			of eligible short positions) (M)			(863)			(570)
				Regulatory adjustments applied to Tier 2 in respect of amounts subject to pre-CRR treatment
				and transitional treatments subject to phase out as prescribed in Regulation (EU) No
56			575/2013 (i.e. CRR residual amounts) (N)		(341)			-
	57			Total regulatory adjustments to Tier 2 (T2) capital			(2,312)			(763)
	58			Tier 2 (T2) capital			8,508			10,568
	59			Total capital (TC=T1+T2)			66,806			66,982
	60			Total risk weighted assets (O)			336,396			378,718
	Capital	ratios and buffers
	61			Common Equity Tier 1 (as a percentage of risk exposure amount)			15.15%			13.22%
	62			Tier 1 (as a percentage of risk exposure amount)			17.33%			14.90%
	63			Total capital (as a percentage of risk exposure amount)			19.86%			17.69%
				Institution specific buffer requirement (CET1 requirement in accordance with article 92 (1) (a)
				plus capital conservation and countercyclical buffer requirements, plus systemic risk buffer,
				plus the systemically important institution buffer (G-SII or O-SII buffer), expressed as a
64			percentage of risk exposure amount) (P)			8.04%			8.09%
65			of which: Capital conservation buffer requirement			2.50%			2.50%
66			of which: Countercyclical buffer requirement			0.04%			0.09%
	67a		of which: Global Systemically Important institution (G-SII) or Other Systemically Important
		Institution (O-SII) buffer		1.00%			1.00%
68			Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount)			7.11%			5.13%
		(Q)
	Lower amounts in comparison with the thresholds for the deductions (before the weight of the
				Direct and indirect holdings of the capital of financial sector entities where the institution does
				not have a significant investment in those entities (amount below 10% threshold and net of
72			eligible short positions)			1,567		1,694
				Direct and indirect holdings by the institution of the CET1 instruments of financial sector
				entities where the institution has a significant investment in those entities (amount below 10%
73			threshold and net of eligible short positions)			4,200		3,924
				Deferred tax assets arising from temporary differences (amount below 10% threshold, net of
75			related tax liability where the conditions in Article 38 (3) are met) (R)		3,302		3,359
	Applicable caps on the inclusion of provisions in Tier 2
				Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-
78			based approach (prior to the application of the cap) (R)			2,954		1,784
79			Cap for inclusion of credit risk adjustments in T2 under internal rating-based approach (R)			1,037		1,072
	Capital instruments subject to phase-out arrangements (only applicable between 1 January 2014
	and 1 January 2022)
82			Current cap on AT1 instruments subject to phase out arrangements			517			775
83			Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities)		288			243
84			Current cap on T2 instruments subject to phase out arrangements			1,266		1,900

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

The template above is subject to reconciliation of data across disclosure's templates as represented in the Annex 2.

Pillar III · UniCredit Group Disclosure as at 30 September 2020 29

UniCredit Group Disclosure | Pillar III

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 30 September 2020 if not otherwise specified. Regarding the transitional adjustments as at 30 September 2020 it is worth mentioning that:

• the transitional adjustment applicable is 20% of the phase-out limit for the Additional Tier 1 and Tier 2 capital instruments subject to Grandfathering in coherence with CRR Article 486 (30% for 2019) - ref. item 33 and 47 of the template;
• in addition, from 27 June 2019 it is valid the new grandfathering framework according to the CRR2 Article 494 b), applicable to the Additional T1 and T2 instruments issued before 27 June 2019 that do not comply with the CRR2 Articles 52 and 63;
• it is decided to apply the transitional regime due to the introduction of IFRS9 accounting principle according to Article 473a of EU Regulation 873/2020 that amends EU Regulation 876/2019.

A.

This item does not include €609 million related to the ordinary shares underlying the Usufruct contract (Cashes), reclassified as resulting from the phase-out according to CRR1 grandfathering rules 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" for €517 million and under item "47 Amount of qualifying items referred to in Article 484 (5) and the related share premium account subject to phase out from T2" for €92 million. The change compared to 31 December 2019 (negative for €3,772 million) mainly refers to the neutralization through share premium reserves of negative reserves connected to the IFRS9 First Time Adoption impact of UniCredit S.p.A. (negative for €2,759 million) and other effects for €1,079 million related to the coupons payments and to cover the entire loss from the 2019 financial year of UniCredit S.p.A. in coherence with the authorization received from the Competent Authority.

B.

The change compared to 31 December 2019 (positive for €6,603 million) mainly refers to: i) the inclusion into reserves of the 2019 profit (€3,373 million also including dividends related to 2019 no more distributed in line with the recommendation published by European Central Bank), and ii) the positive effect stemming from the elimination of negative reserves connected to IFRS9 FTA (positive change for €2,759 million). It is worth mentioning that as at 30 September 2020, such capital item includes the amount of foreseeable dividends related to 2020 (€318 million), equal to 30% of the underlying net profit referred to first nine months of 2020 (€1,060 million).

C.

The change compared to 31 December 2019 (negative for €178 million) mainly refers to: i) negative change on actuarial losses (equal to €203 million), ii) on reserves related to equity and debt instruments at fair value (equal to €231 million), and iii) related to the payment of Additional Tier 1 capital instruments coupons, partially offset by the positive effect related to cash flow hedge reserve (equal to €117 million, subject to prudential filter for Own Funds calculation included in item "11 Fair value reserves related to gains or losses on cash flow hedges") and on exchange reserve (equal to €322 million).

D.

Starting from 30 June 2020 UniCredit decided to apply the transitional arrangements referred to the entry into force of IFRS9 accounting principles according to article 473a of EU Regulation 873/2020 published on 27 June 2020 that amends EU Regulation 876/2019. The amount included under this item (equal to €2,493 million) includes the following transitional adjustments: i) static component for €1,593 million (applicable percentage in 2020 equal to 70%); ii) dynamic component for €643 million (applicable percentage in 2020 equal to 100%); iii) deferred tax assets that rely on future profitability and not arise from temporary differences for €25 million; iv) sterilization of the amount exceeding 17,65% CET1 threshold for €232 million related to the exclusion of the deferred tax assets that rely on future profitability and arise from temporary differences after the regulatory netting generated by the application of the IFRS9 accounting principle.

E.

The amount included in this item (equal to €705 million) does not consider the effects related to the transitional adjustments due to IFRS9 that are included in item "9 Transitional adjustment related to the IFRS9".

F.

The change compared to 31 December 2019 is related to authorization received from the competent authority for the repurchase of own shares connected to the delisting of UniCredit shares from Warsaw Stock Exchange. The resolution to proceed with the delisting is valid till 11 October 2020.

30 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

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Own Funds

G.

With reference to 30 September 2020, 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 S.p.A. in financial sector entities in which UniCredit S.p.A. has a significant investment, 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. It is worth mentioning that the amount included in this item does not consider the effects related to the transitional adjustments referred to IFRS9 that are included in item "9 Transitional adjustment related to the IFRS9".

H.

The consolidated loss of the period as of 30 September 2020 (equal to €1,606 million) is entirely deducted from Common Equity Tier 1 according to CRR Article 36(1)(a).

I.

The change compared to 31 December 2019 (positive for €1,240 million) is fully related to the issue, in the first quarter of 2020, of a new instrument, with ISIN XS2121441856.

J.

The amount includes the ordinary shares underlying the Usufruct contract (Cashes) for €517 million (the residual €92 million are included under item 47 "Amount of qualifying items referred to in Article 484 (5) and the related share premium account subject to phase out from T2") and Additional Tier 1 capital instruments that do not comply with the new computability conditions provisioned by the CRR2 Article 52 and, hence, subject to the new grandfathering framework.

K.

The change compared to 31 December 2019 (negative for €446 million) is mainly referred to:

• the issue of two new instruments i) XS2101558307 on 15 January 2020 (computable amount as at 30 September equal to €1,243 million), ii) XS2196325331 on 30 June 2020 (computable amount as at 30 September equal to €1,272 million);
• authorization received by the competent authority to early redeem the instrument IT0005087116 (computable amount equal to €2,482 million), executed on 3 May 2020;
• decrease due to the amortisation effect equal to €440 million;
• decrease due to exchange rate effect equal to €79 million.

L.

The change compared to 31 December 2019 (negative for €915 million) is mainly related to the authorization received by the competent authority to early redeem the instrument XS0986063864 (computable amount equal to €982 million), executed on 28 October 2020.

M.

The change compared with 31 December 2019 is mainly related to the change of the consolidation method of Yapi ve Kredi Bankasi A.Ş. from proportional to equity. Consequently, the instruments issued by Yapi ve Kredi Bankasi A.Ş. and held by UniCredit S.p.A. are fully deducted from the Own Funds, being the issuer a significant financial sector entity for UniCredit S.p.A.

N.

The change compared with 31 December 2019 (negative for €341 million) takes into account the effects of IFRS9 transitional adjustments and it is referred to the calculation of the excess related to the credit risk adjustments in comparison with the expected loss computed in Tier 2 capital.

O.

The amount of risk weighted assets considers the effects of IFRS9 transitional adjustments and include:

• the increase of risk weighted assets related to the benefit on CET1 Capital deriving from the lower credit risk adjustment included in the standard portfolio and weighted at 100%;
• the decrease of risk weighted assets related to the reduction on deferred tax assets that rely on future profitability and arise from temporary differences subject to regulatory netting and weighted at 250%.

P.

The amount does not include the Pillar 2 requirement on CET1 equal to 0.98% in coherence with SREP results of 2019 and with the anticipation of Article 104a.4 of CRD V based on which the Pillar 2 requirement can be satisfied also through AT1 and T2 instruments (i.e. at least 75% with T1 capital and at least 56.25% with CET1 capital).

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Own Funds

Q.

The amount as at 30 September 2020 is calculated by subtracting from the Common Equity Tier 1 capital ratio at the date (i.e. item 61: 15.15%) the

minimum Common Equity Tier 1 requirement including the combined capital buffer (i.e. item 64: 8.04%). The increase compared to 31 December

2019 depends on the following items: (i) increase in Common Equity Tier 1 Capital for €905 million and ii) reduction in risk weighted assets for €42,323 million.

R.

Amounts included in items 75, 78 e 79 do not consider the effects related to the transitional adjustments due to IFRS9 that are included in item "9 Transitional adjustment related to the IFRS9".

Template IFRS9-FL: Comparison of institutions' own funds and capital and leverage ratios with and without the application of transitional arrangements for IFRS 9 or analogous ECLs

						(€ million)
		DESCRIPTION		09.30.2020		06.30.2020
1		Common Equity Tier 1 (CET1) capital (A)		50,959		50,976
		Common Equity Tier 1 (CET1) capital as if IFRS 9 or analogous ECLs transitional arrangements had not been
2		applied		48,466		48,572
3		Tier 1 capital		58,299		58,315
4		Tier 1 capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied		55,806		55,911
5		Total capital		66,806		68,169
6		Total capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied (B)		64,655		66,000
		Risk-weighted assets (amounts)
7		Total risk-weighted assets (C)		336,396		350,670
8		Total risk-weighted assets as if IFRS 9 or analogous ECLs transitional arrangements had not been applied		336,361		350,687
		Capital ratios
9		Common Equity Tier 1 (as a percentage of risk exposure amount)		15.15%		14.54%
		Common Equity Tier 1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional
10		arrangements had not been applied		14.41%		13.85%
11		Tier 1 (as a percentage of risk exposure amount)		17.33%		16.63%
		Tier 1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had
12		not been applied		16.59%		15.94%
13		Total capital (as a percentage of risk exposure amount)		19.86%		19.44%
		Total capital (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements
14		had not been applied		19.22%		18.82%
		Leverage ratio
15		Leverage ratio total exposure measure		1,028,935		1,044,549
16		Leverage ratio (D)		5.67%		5.58%
17		Leverage ratio as if IFRS 9 or analogous ECLs transitional arrangements had not been applied		5.44%		5.36%

The template above is subject to reconciliation of data across disclosure's templates as represented in the Annex 2.

Notes to the table "Template IFRS9-FL: Comparison of institutions' own funds and capital and leverage ratios with and without the application of transitional arrangements for IFRS9 or analogous ECLs"

Starting from 30 June 2020 UniCredit has decided to apply the transitional arrangements referred to the entry into force of IFRS9 accounting principles according to article 473a of EU Regulation 873/2020 published on 27 June 2020 that amends EU Regulation 876/2019, for any further details please refer to paragraph "Transitional arrangements related to the application of IFRS9".

The table above shows the main data on available capital, risk-weighted assets, capital ratios and leverage ratio after IFRS9 transitional arrangements and how they would be if it had not been applied.

32 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

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Own Funds

A.

The amount under this item (equal to €50,959 million) includes €2,493 million due to IFRS9 transitional adjustments, of which: i) static component for €1,593 million (applicable percentage in 2020 equal to 70%); ii) dynamic component for €643 million (applicable percentage in 2020 equal to 100%);

1. deferred tax assets that rely on future profitability and not arise from temporary differences for €25 million; iv) sterilization of the amount exceeding 17.65% CET1 threshold for €232 million related to the exclusion of the deferred tax assets that rely on future profitability and arise from temporary differences after the regulatory netting generated by the application of the IFRS9 accounting principle.

B.

This item (equal to €64,655 million) does not include the amounts reported in point A (€2,493 million) partially offset by the effects of IFRS9 transitional adjustments referred to the re-calculation of the excess of the credit risk adjustments included in Tier 2 capital (negative for €341 million).

C.

The amount of risk weighted assets considers the effects of IFRS9 transitional adjustments and includes:

• the increase of risk weighted assets related to the benefit on CET1 Capital deriving from the static component connected to the standard portfolio;
• the decrease of risk weighted assets related to the reduction on deferred tax assets that rely on future profitability and arise from temporary differences subject to regulatory netting and weighted at 250%.

D.

The Leverage Ratio exposure has been increased by the amount of the positive IFRS 9 transitional adjustment applied to CET1 as per Article 473a(7a) of the amended CRR2.The overall effect on the ratio considering the transitional IFRS9 adjustments applied to CET1 and to exposure is equal to +0.23%.

Pillar III · UniCredit Group Disclosure as at 30 September 2020 33

UniCredit Group Disclosure | Pillar III

Own Funds

Total Loss Absorbing Capacity

Starting from 27 June 2019 the UniCredit group, as a Global Systemically Important Institution ("G-SII"), is subject to the "Total Loss Absorbing Capacity" (TLAC) requirement, introduced by Regulation No.876/2019 ("CRR2") and aimed at ensuring that the G-SIIs have a sufficient amount of Own Funds and liabilities with a high total loss absorbing capacity.

TLAC requirement is formally separated and does not alter or replace Resolution Authority decisions concerning the minimum MREL requirement according to Directive 2014/59/EU.

According to the transitional provisions of CRR2 Article 494, the minimum TLAC requirement applicable on 30 September 2020 is equal to the maximum between:

• 16% of the total risk exposure amount to which the combined Capital reserve applicable to the Group (3.54%) at the reference date is added; therefore, the total minimum requirement applicable on 30 September 2020 is 19.54%;
• 6% of the overall leverage exposure measure.

Referred to the UniCredit group, the applicable requirement as at 30 September 2020 is based on the total risk exposure and it is equal to 19.54%.

These minimum requirements apply until 31 December 2021; then starting from 1 January 2022, in accordance with CRR2 Article 92a, the requirement will be equal to the maximum between:

• 18% of the total risk exposure amount to which the combined capital reserve applicable to the Group at the reference date is added;
• 6.75% of the overall leverage exposure measure.

For the UniCredit group, TLAC minimum requirement is applied on a consolidated basis and shall be respected by the Parent company (Single Point of Entry (SPE), the unique Resolution Entity).

To comply with the above-mentioned minimum requirements, the Regulation envisages the following elements:

• Own Funds are computed according to CRR and CRR2 provisions;
• Tier 2 Capital with a residual maturity equal or greater than 1 year as at 30 September 2020 for the amount related to the regulatory amortization, which is not computed in the Own funds, according to CRR2 Article 64;
• Eligible liabilities that meet the conditions of computability according to CRR2 Article 72b which are computable to the extent that they are not already considered among Additional Tier 1 Capital and Tier 2 Capital;
• Eligible liabilities that do not meet the subordination requirement according to paragraph d) of CRR2 Article 72b 2, but comply with the other eligibility conditions, which are computable for TLAC purposes - if allowed by the Resolution Authority - below the threshold of 3.5% of the total risk exposure amount. It should be noted that this threshold is equal to 2.5% up to 31 December 2021 in application of the transitional provisions of CRR2 Article 494.

In application of the grandfathering regime introduced by CRR2 Article 494b 3, the liabilities issued before 27 June 2019 that do not comply with the conditions of computability referred to paragraph b) point ii) and from paragraph f) to paragraph m), are considered as TLAC eligible instruments according to CRR2 Article 72b.

The contents included in this section have been defined by referring to the final version of "Draft implementing technical standards on disclosure and reporting MREL and TLAC" (EBA/ITS/2020/06).

34 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

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Own Funds

TLAC requirements (at resolution Group level)

The Resolution Strategy defined by Single Resolution Board (SRB) for UniCredit group is Single Point of Entry for those legal entities within the European Union, with the "Bail-in" as main resolution tool applicable only to UniCredit S.p.A. (i.e. the unique Resolution Entity).

EU - KM2

						(€ million)
			G-SII RE QUIREMENT FOR OWN FUNDS A ND ELIGIBLE L IABIL ITIES (TL AC)
		b	c	d	e	f
	OWN F UNDS AN D ELIGIB LE LIA BIL ITIES, RATIOS AN D C OMPONENTS	09.30.2020	06.30.2020	03.31.2020	12.31.2019	09.30.2019
1	Own funds and eligible liabilities	87,536	87,307	84,838	85,125	84,714
2	Total risk exposure amount of the resolution group (TREA)	336,396	350,670	360,970	378,718	387,774
3	Own Funds and eligible liabilities as a percentage of TREA (row 1/row 2)	26.02%	24.90%	23.50%	22.48%	21.85%
4	Total exposure measure of the resolution group	1,028,935	1,044,549	1,017,305	1,023,319	1,042,758
5	Own Funds and eligible liabilities as percentage of the total exposure measure	8.51%	8.36%	8.34%	8.32%	8.12%
6a	Does the subordination exemption in Article 72(b)(4) of the CRR apply (5% exemption)?	NO	NO	NO	NO	NO
	Pro-memo item - Aggregate amount of permitted non-subordinated eligible liabilities
	instruments If the subordination discretion as per Article 72b (3) CRR is applied (max 2.5%
6b	exemption)	8,410	8,767	9,024	9,468	9,611
	Pro-memo item: If a capped subordination exemption applies under Article 72b (3) CRR, the
	amount of funding issued that ranks pari passu with excluded liabilities and that is
	recognised under row 1, divided by funding issued that ranks pari passu with excluded
6c	Liabilities and that would be recognised under row 1 if no cap was applied (%)	74.97%	84.51%	97.29%	90.51%	100.00%

The template above is subject to reconciliation of data across disclosure's templates as represented in the Annex 2.

Pillar III · UniCredit Group Disclosure as at 30 September 2020 35

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Own Funds

36 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

UniCredit Group Disclosure | Pillar III

Capital requirements

Credit and counterparty risk

										(€ million)
			AMOUNTS AS AT 09.30.2020	AMOUNTS AS AT 12.31.2019
			NON-				NON-
			WEIGHTED	WEIGHTED		CAPITAL	WEIGHTED		WEIGHTED	CAPITAL
	CREDIT A ND C OUNTERPAR TY RISKS		AMOUNTS	AMOUNTS		REQUIREMENT	AMOUNTS		AMOUNTS	REQUIREMENT
	A. CREDIT AND COUNTERPARTY RISK
	A.1 Standardised Approach		378,470	107,755		8,620	352,833	144,944	11,596
	Exposures with or secured by central governments or central banks		223,844	15,907		1,273	169,201	23,898	1,912
	Exposures with or secured by regional administrations and local authorities		30,036	604		48	27,864	680	54
	Exposures with or secured by administrative bodies and non-commercial undertakings		10,386	934		75	9,006	875	70
	Exposures with or secured by multilateral development banks		3,713	9		1	1,399	-	-
	Exposures with or secured by international organizations		1,823	-		-	1,354	-	-
	Exposures with or secured by supervised institutions		8,494	1,584		127	12,687	2,611	209
	Exposures with or secured by corporates		36,472	33,955		2,716	54,527	53,072	4,246
	Retail exposures		25,328	17,334		1,387	33,303	23,762	1,901
	Exposures secured by real estate property		8,786	3,667		293	11,430	4,753	380
	Past due exposures		2,751	3,029		242	3,102	3,451	276
	High risk exposures		1,748	2,622		210	2,221	3,331	266
	Exposures in the form of guaranteed bank bonds (covered bond)		259	55		4	319	65	5
	Exposures in the form of Collective Investment Undertakings (CIU)		5	4		0	9	8	1
	Short term exposures with corporates		1,550	466		37	2,121	1,176	94
	Equity exposures		6,775	13,106		1,048	6,642	12,528	1,002
	Other exposures		16,500	14,481		1,158	17,648	14,734	1,179
	A.2 IRB Approach - Risk Assets		467,170	170,497		13,640	461,917	176,760	14,141
	Exposures with or secured by central administration and central banks	42,625	1,900		152	27,957	1,599	128
	Exposures with or secured by supervised institutions, public and territorial entities and other
	entities		31,383	8,497		680	41,316	11,121	890
	Exposures with or secured by corporate - SME		52,051	22,295		1,784	55,035	27,490	2,199
	Exposures with or secured by corporate - Specialised lending		23,608	11,111		889	23,173	11,389	911
	Exposures with or secured by corporate - Other		196,922	91,593		7,327	193,475	88,825	7,106
	Retail exposures secured by residential real estate property - SME		5,543	1,341		107	5,504	1,512	121
	Retail exposures secured by residential real estate property - non SME		84,870	18,733		1,499	82,933	18,926	1,514
	Retail exposures - qualifying revolving		2,303	226		18	2,371	241	19
	Retail exposures - other SME		12,196	4,468		357	14,816	5,413	433
	Retail exposures - other non SME		15,671	6,494		520	15,337	6,364	509
	Other non-credit obligation assets		01.00.1900	3,839		307	01.00.1900		3,880	310
	A.3 IRB Approach - Equity Exposures		749	2,372		190	642	1,950	156
	PD/LGD approach: risk assets		184	362		29	166	340	27
	Internal models approach: risk assets		-	-		-	-	-	-
	Simple risk weight approach: risk assets		565	2,010		161	476	1,610	129
	Equity exposures - private equity in sufficiently diversified portfolios (weight 190%)		45	85		7	83	158	13
	Equity exposures - exchange-traded (weight 290%)		2	7		1	2	7	1
	Equity exposures - other (weight 370%)		518	1,918		153	391	1,445	116
	Exposures subject to transitional arrangements in relation to Own Funds requirements		-	-		-	-	-	-
	Exposures subject to grandfathering provisions in relation to Own Funds requirements		-	-		-	-	-	-
	A.4 Exposures with or central counterparties as pre-funded contributions to the default fund		01.00.1900	112		9	01.00.1900		70	6
	A.5 Securitisation positions		18,177	5,486		439	12,929	3,238	259

The template above is subject to reconciliation of data across disclosure's templates as represented in the Annex 2.

The different representation regarding Securitization positions between the fourth quarter 2019 and the third quarter 2020 is due to the entry into force of the new reporting framework "EBA Data Point Model 2.9" according to the Commission Implementing Regulation (EU) 2020/429, as a consequence RWA as of 31 December 2019 does not include €1.4 billion in item "B.6 Other calculation elements" of the "Capital Adequacy".

With reference to item "A.1 Standardised approach", the amounts shown in the column "Non weighted amounts" include the off-balance exposures post credit conversion factor.

Pillar III · UniCredit Group Disclosure as at 30 September 2020 37

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Capital requirements

Credit and counterparty risk - breakdown RWA and Capital requirements

									(€ million)
			AMOUNT AS AT 0 9.30. 2020			AMOUNT AS AT 12.31. 201 9
		CRE DIT RI SK	COUNTERP ARTY RIS K	CRE DIT RI SK	COUNTERP ARTY RIS K
			CAPIT AL		CAPIT AL		CAPIT AL		CAPIT AL
	CRE DIT AND CO UNTE RPARTY RI SK	RWA	REQUI REMENT	RWA	REQUI REMENT	RWA	REQUI REMENT	RWA	REQUI REMENT
	Standard method	106,506	8,520	1,250	100	143,281	11,462	1,664	133
	Exposures with or secured by central governments or central banks	15,907	1,273	-	-	23,892	1,911	6	0
	Exposures with or secured by regional administrations and local authorities	581	46	23	2	656	52	24	2
	Exposures with or secured by administrative bodies and non-commercial undertakings	918	73	17	1	860	69	15	1
	Exposures with or secured by multilateral development banks	9	1	-	-	-	-	-	-
	Exposures with or secured by international organizations	-	-	-	-	-	-	-	-
	Exposures with or secured by supervised institutions	1,446	116	138	11	2,330	186	281	22
	Exposures with or secured by Corporates	32,900	2,632	1,055	84	51,856	4,148	1,216	97
	Retail exposures	17,333	1,387	1	0	23,758	1,901	4	0
	Exposures secured by real estate property	3,667	293	-	-	4,753	380	-	-
	Past due exposures	3,023	242	6	1	3,445	276	7	1
	High risk exposures	2,619	210	3	0	3,328	266	3	0
	Exposures in the form of guaranteed bank bonds (covered bond)	55	4	-	-	65	5	-	-
	Exposure in the form of Collective Investment Undertakings (CIU)	4	0	-	-	8	1	-	-
	Short term exposures with corporates	458	37	8	1	1,068	85	108	9
	Equity exposures	13,106	1,048	-	-	12,528	1,002	-	-
	Other exposures	14,481	1,158	-	-	14,735	1,179	-	-
	IRB	165,704	13,256	7,165	573	170,743	13,659	7,968	637
	Foundation	9,584	767	179	14	10,861	869	130	10
	Exposures with or secured by central governments and central banks	186	15	-	-	268	21	-	-
	Exposures with or secured by supervised institutions, public and territorial entities and
	other entities	457	37	15	1	572	46	16	1
	Exposures with or secured by corporate - SME	2,323	186	16	1	2,827	226	14	1
	Exposures with or secured by corporate - Specialised lending	1,077	86	18	1	1,009	81	18	1
	Exposures with or secured by corporate - Other	5,541	443	130	10	6,185	495	82	7
	Advanced	153,749	12,300	6,986	559	157,932	12,635	7,838	627
	Exposures with or secured by central governments and central banks	1,612	129	102	8	1,272	102	59	5
	Exposures with or secured by supervised institutions, public and territorial entities and
	other entities	6,756	540	1,269	102	6,953	556	3,580	286
	Exposures with or secured by corporate - SME	19,104	1,528	853	68	24,000	1,920	649	52
	Exposures with or secured by corporate - Specialised lending	9,393	751	624	50	9,830	786	532	43
	Exposures with or secured by corporate - Other	81,798	6,544	4,124	330	79,559	6,365	2,999	240
	Retail exposures secured by residential real estate property - SME	1,341	107	-	-	1,512	121	-	-
	Retail exposures secured by residential real estate property - non SME	18,733	1,499	-	-	18,926	1,514	-	-
	Retail exposures - qualifying revolving	226	18	-	-	241	19	-	-
	Retail exposures - other SME	4,461	357	7	1	5,407	433	6	0
	Retail exposures - other non SME	6,487	519	8	1	6,352	508	13	1
	Other non credit obligation assets	3,839	307	-	-	3,880	310	-	-
	Other IRB exposures	2,372	190	01.00.1900	01.00.1900	1,950	156	01.00.1900	01.00.1900
	PD/LGD approach: risk assets	362	29	-	-	340	27	-	-
	Internal models approach: risk assets	-	-	01.00.1900	01.00.1900	-	-	01.00.1900	01.00.1900
	Simple risk weight approach: risk assets	2,010	161	01.00.1900	01.00.1900	1,610	129	01.00.1900	01.00.1900
	Equity exposures - private equity in sufficiently diversified portfolios (weight 190%)	85	7	01.00.1900	01.00.1900	158	13	01.00.1900	01.00.1900
	Equity exposures - exchange-traded (weight 290%)	7	1	01.00.1900	01.00.1900	7	1	01.00.1900	01.00.1900
	Equity exposures - other (weight 370%)	1,918	153	01.00.1900	01.00.1900	1,445	116	01.00.1900	01.00.1900
	Securitisation positions	5,486	439	01.00.1900	01.00.1900	3,238	259	01.00.1900	01.00.1900
	Exposures with or central counterparties as pre-funded contributions to the default
	fund	112	9	01.00.1900	01.00.1900	70	6	01.00.1900	01.00.1900

The template above is subject to reconciliation of data across disclosure's templates as represented in the Annex 2.

The different representation regarding Securitization positions between the fourth quarter 2019 and the third quarter 2020 is due to the entry into force of the new reporting framework "EBA Data Point Model 2.9" according to the Commission Implementing Regulation (EU) 2020/429, as a consequence RWA as of 31 December 2019 does not include €1.4 billion in item "B.6 Other calculation elements" of the "Capital Adequacy".

38 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

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Capital requirements

Capital Adequacy

						(€ million)
			UNWEIGHTED ASSETS	WEIGHTED ASSETS/REQUIREMENTS
	ITEMS/VALUES	09.30.2020	12.31.2019	09.30.2020	12.31.2019
	A. RISK ASSETS
	A.1 Credit and counterparty risk	864,566	828,322	286,222	326,963
1.	Standardised approach (1)	378,470	352,833	107,868	145,014
2.	IRB approaches (2)	467,919	462,559	172,869	178,710
		2.1 Foundation	15,438	16,959	9,763	10,991
		2.2 Advanced	452,481	445,601	163,106	167,719
3.	Securitisations (3)	18,177	12,929	5,486	3,238
	B. CAPITAL REQUIREMENTS
	B.1 Credit and counterparty risk			22,898	26,157
	B.2 Credit valuation adjustment risk			124	129
	B.3 Settlement risk			3	3
	B.4 Market risk			829	745
1.	Standard approach			225	131
2.	Internal models			604	615
3.	Concentration Risk			-	-
	B.5 Operational risk			2,599	2,637
1.	Basic indicator approach			204	247
2.	Traditional standardised approach			254	277
3.	Advanced measurement approach			2,141	2,114
	B.6 Other calculation elements (4)			459	626
	B.7 Total capital requirements			26,912	30,297
	C. RISK ASSETS AND CAPITAL RATIO
	C.1 Risk Weighted Assets			336,396	378,718
	C.2 Common Equity Tier 1 Capital/Risk weighted assets (CET1 capital ratio)			15.15%	13.22%
	C.3 Tier 1 Capital/Risk weighted assets (Tier 1 capital ratio)			17.33%	14.90%
	C.4 Total Own Funds/Risk weighted assets (Total capital ratio)			19.86%	17.69%

The template above is subject to reconciliation of data across disclosure's templates as represented in the Annex 2.

Notes:

1. The weighted amount includes the "Exposures with or central counterparties as pre-funded contributions to the default fund".
2. The unweighted amount and weighted amount includes the "Equity Exposures".
3. The different representation regarding Securitization positions between the fourth quarter 2019 and the third quarter 2020 is due to the entry into force of the new reporting framework "EBA Data Point Model 2.9"

according to the Commission Implementing Regulation (EU) 2020/429, as a consequence RWA as of 31 December 2019 does not include €1.4 billion in item "B.6 Other calculation elements" of the "Capital Adequacy". 4. Refer to comment reported under the OV1 template (with reference to row 33).

Pillar III · UniCredit Group Disclosure as at 30 September 2020 39

UniCredit Group Disclosure | Pillar III

Capital requirements

Overview of RWAs (comment to the EU OV1 Template)

The total amount of RWAs as of third quarter 2020, equal to €336.4 billion, shows a decrease with reference to the previous quarter for approx. €14.3 billion.

In particular, Credit and Counterparty risk RWA decrease for approx. €10.9 billion (that includes rows 1,6 (excluding row 15),17, 31 and 33) mainly due to:

• business evolution (-€12.8 billion), mainly reflecting lower loans;
• PD scenario worsening (+€3.6 billion) due to Covid-19 emergency;
• other effects (-€1.7 billion) mainly due to the exchange rate effect of Russian Ruble and US Dollar.

The Market RWAs decrease for approx. €3.1 billion, mainly driven by the Internal model method (IMM) due to a decreased exposure in terms of Interest Rate Risk in the Trading Book.

The decrease in the item "Operational risk" for €0.4 billion is mainly driven by the depreciation of currencies, related to Non-Euro countries in East Europe, vs Euro, occurred in third quarter 2020.

EU OV1 - Overview of RWAs

											(€ million)
						RWA			CAPITAL
								REQUIREMENT
CATEGORIES					09.30.2020				06.30.2020		09.30.2020
		1	Credit risk (excluding CCR)		254,580			263,537	20,366
Art 438(c)(d)		2	of which standardised approach		88,876			91,925	7,110
Art 438(c)(d)		3	of which the foundation IRB (FIRB) approach		9,584			10,132	767
Art 438(c)(d)		4	of which the advanced IRB (AIRB) approach		154,111			159,471	12,329
Art 438(d)		5	of which Equity IRB under the Simple risk-weight or the IMA	2,010			2,010	161
Art 107, Art 438(c)(d)		6	CCR		10,078			10,615	806
Art 438(c)(d)		7	of which mark to market		1,253			1,237	100
Art 438(c)(d)		8	of which Original exposure	-			-	-
		9	of which standardised approach		-			-	-
		10	of which internal model method (IMM)		7,011			7,657	561
		11	of which Financial collateral simple method (for SFTs)		-			-	-
		12	of which Financial collateral comprehensive method (for SFTs)	151			191	12
		13	of which VAR for SFT		-			-	-
Art 438(c)(d)		14	of which risk exposure amount for contributions to the default fund of a CCP		112			62	9
Art 438(c)(d)		15	of which CVA	1,552			1,470	124
Art 438(e)		16	Settlement Risk		38			39	3
Art 449(o)(i)		17	Securitisation exposures in banking book (after the cap)		5,486			5,502	439
		18	of which SEC - IRBA		1,835			1,807	147
		19	of which SEC - SA		221			221	18
		20	of which SEC - ERBA	1,677			1,713	134
		21	of which Internal Assessment Approach		1,753			1,761	140
		22	of which 1250%/deduction	-			-	-
Art 438(e)		23	Market risk		10,359			13,461	829
		24	of which standardised approach	2,811			2,474	225
		25	of which IMA		7,548			10,987	604
Art 438(e)		26	Large exposures		-			-	-
Art 438(f)		27	Operational risk		32,493			32,886	2,599
		28	of which Basic Indicator Approach	2,554			2,810	204
		29	of which Standardised Approach		3,179			3,317	254
		30	of which Advanced Measurement Approach		26,760			26,760	2,141
Art 437(2), 48,60		31	Amounts below the thresholds for deduction (subject to 250% risk weight)		17,630			17,620	1,410
Art 500		32	Floor adjustment	-				-		-
		33	Other calculation elements		5,731			7,010	459
		34	Total		336,396			350,670	26,912

The template above is subject to reconciliation of data across disclosure's templates as represented in the Annex 2.

The item 33 "Other calculation elements" includes temporary measures on credit and market risk internal models (linked to limitations raised by the Supervisor).

40 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

UniCredit Group Disclosure | Pillar III

Capital requirements

Market Risk capital requirement

					(€ million)
	DESCRIPTION	09.30.2020			12.31.2019
	Position risk:	655			694
	- Assets included in regulatory trading portfolio	655			694
	- Assets not included in regulatory trading portfolio	-			-
	Settlement risk for DVP transactions	3			3
	Exchange rate risk	173			51
	Commodities risk position	0			-
	CVA (Credit Value Adjustment) risk	124			129
	Market Risk capital requirement	956			877

The template above is subject to reconciliation of data across disclosure's templates as represented in the Annex 2.

Countercyclical capital buffer

The table below shows the "Countercyclical capital buffer" disclosure prepared on the basis of the rates applicable as at 30 September 2020.

Amount of institution-specific countercyclical capital buffer

(€ million)

ROW DESCRIPTION

010 Total risk exposure amount

020 Institution specific countercyclical buffer rate

030 Institution specific countercyclical buffer requirement

COLUMN - 010

336,396

0.042%

143

The template above is subject to reconciliation of data across disclosure's templates as represented in the Annex 2.

Pillar III · UniCredit Group Disclosure as at 30 September 2020 41

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Capital requirements

42 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

UniCredit Group Disclosure | Pillar III

Credit risk

Credit risk: RWAs flow statements - IRB method

In the third quarter of 2020, the credit risk exposures under IRB approach recorded €-5,908 million of decrease versus June 2020 driven by the item "Asset size" (€-8,770 million, mostly due to lower business dynamics in Germany and benefit from Italian state guarantees introduced to mitigate Covid-19 pandemic effects) and "Foreign exchange movements" (€-755 million, reflecting US Dollar and Russian Ruble depreciation), offset only in part by "Asset quality" evolution (€3,153 million primarily in Italy and Germany, impacted by PD scenario worsening due to Covid-19 emergency in the amount of €3,406 million, only partially compensated by net flows to default).

EU CR8 - RWA flow statements of credit risk exposures under the IRB approach

					(€ million)
		QUARTER CLOSING AT 09.30.2020	CUMULATIVE YTD AT 09.30.2020
		A	B	A	B
			CAPITAL		CAPITAL
	DESCRIPTION	RWA AMOUNTS	REQUIREMENTS	RWA AMOUNTS	REQUIREMENTS
1	RWAs and Capital requirements beginning of period	171,612	13,729	170,744	13,660
2	Asset size	(8,770)	(702)	(8,986)	(719)
3	Asset quality	3,153	252	7,517	601
4	Model updates	(29)	(2)	551	44
5	Methodology and policy	0	0	(3,057)	(245)
6	Acquisitions and disposals	-	-	-	-
7	Foreign exchange movements	(755)	(60)	(1,204)	(96)
8	Other	493	39	139	11
9	RWAs and Capital requirements end of period	165,704	13,256	165,704	13,256

The template above is subject to reconciliation of data across disclosure's templates as represented in the Annex 2.

Counterparty risk exposure: RWAs flow statements - IMM method

In the third quarter of 2020, counterparty credit risk exposures under IMM Approach decreased by €-646 million compared with the second quarter of 2020. The decrease is explained primarily by the item "Asset size" which registered a reduction of €-842 million, mainly attributable to lower securities financing transactions exposures in Italy, partially compensated by an increase of €215 million as a result of PD Scenario due to Covid-19 emergency, mainly affecting derivatives exposures in Germany.

EU CCR7 - RWAs flow statements of CCR exposures under the IMM

					(€ million)
		QUARTER CLOSING AT 09.30.2020	CUMULATIVE YTD AT 09.30.2020
		A	B	A	B
			CAPITAL		CAPITAL
	DESCRIPTION	RWA AMOUNTS	REQUIREMENTS	RWA AMOUNTS	REQUIREMENTS
1	RWAs and Capital requirements beginning of period	7,657	613	7,763	621
2	Asset size	(842)	(67)	(1,467)	(117)
3	Credit quality of counterparties	215	17	429	34
4	Model updates (IMM only)	-	-	283	23
5	Methodology and policy (IMM only)	-	-	-	-
6	Acquisitions and disposals	-	-	-	-
7	Foreign exchange movements	(33)	(3)	(43)	(3)
8	Other	14	1	46	4
9	RWAs and Capital requirements end of period	7,011	561	7,011	561

The template above is subject to reconciliation of data across disclosure's templates as represented in the Annex 2.

Pillar III · UniCredit Group Disclosure as at 30 September 2020 43

UniCredit Group Disclosure | Pillar III

Credit Risk

44 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

UniCredit Group Disclosure | Pillar III

Market risk

RWAs flow statements under the IMA

RWA

The table below reports the flow statements of Market Risk RWA under I-mod (table MR2-B), as prescribed by EBA's final report Guidelines "on disclosure requirements under Part Eight of Regulation (EU) 575/2013" (EBA/GL/2016/11).

The RWA reduction with respect of the second quarter in 2020, is mainly due to a decreased exposure in terms of Interest Rate Risk in the Trading book of UniCredit Bank AG.

EU MR2-B - RWA flow statements of market risk exposures under the internal model approach

									(€ million)
									TOTAL CAPITAL
		DESCRIPTION	VaR	SVaR	IRC	CRM	OTHER	TOTAL RWAs	REQUIREMENTS
		RWAs and capital requirements at	3,591	5,673	1,722	-	-	10,987	879
1	06.30.2020
1a		Regulatory adjustment	2,603	3,950	287	-	-	6,840	547
		RWAs and capital requirements at	988	1,723	1,436	-	-	4,146	332
1b		06.30.2020 (end of the day)
2		Movement in risk levels	(641)	(905)	397	-	-	(1,150)	(92)
3		Model updates/changes	-	-	-	-	-	-	-
4		Methodology and policy	-	-	-	-	-	-	-
5		Acquisitions and disposals	-	-	-	-	-	-	-
6		Foreign exchange movements	-	-	-	-	-	-	-
7		Other	-	-	-	-	-	-	-
		RWAs and capital requirements at	346	818	1,832	-	-	2,996	240
8a		09.30.2020 (end of the day)
8b		Regulatory adjustment	1,673	2,878	-	-	-	4,551	364
		RWAs and capital requirements at	2,020	3,696	1,832	-	-	7,548	604
8	09.30.2020

Notes:

The template above is subject to reconciliation of data across disclosure's templates as represented in the Annex 2.

The amount reported in row 2 and 3 explains the change in the RWA shows in row 1b and 8a.

Pillar III · UniCredit Group Disclosure as at 30 September 2020 45

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Market Risk

46 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

UniCredit Group Disclosure | Pillar III

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:
• • CRR Article 412 "Liquidity coverage requirement";
  • Commission Delegated Regulation (EU) 2016/61 of 10 October 2014 that lays down rules that specify in detail the liquidity coverage requirement provided for in CRR Article 412(1). In particular, the requirement that all institutions authorised has to meet is equal to 100%;
  • 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;
  • Commission Delegated Regulation (EU) 2018/1620 of 13 July 2018 amending Delegated Regulation (EU) 2015/61 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for credit institutions;
  • Commission Implementing Regulation (EU) 2020/429 of 14 February 2020 amending Implementing Regulation (EU) No.680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No.575/2013 of the European Parliament and of the Council.
• with reference to the disclosure information to be published:
• • CRR Article 435 which defines the disclosure requirements for each separate category of risk, including the key ratios (letter f);
  • EDTF ("Enhancing the risk disclosures of banks") recommendation No.4 that requires the disclosure of key ratios (included LCR), once the applicable rules are finalised;
  • EBA Guidelines 2017/01, published in March 2017 and applicable from 31 December 2017 relating to the full set of LCR disclosure.

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

Pillar III · UniCredit Group Disclosure as at 30 September 2020 47

UniCredit Group Disclosure | Pillar III

Liquidity risk

EU LIQ1: LCR disclosure template

											(€ million)
SCOPE OF CONSOLIDATION (CONSOLIDATED)		TOTAL UNWEIGHTED VALUE			TOTAL WEIGHTED VALUE
CURRENCY AND UNITS (EURO MILLION)
QUARTER ENDING ON	12.31.2019	03.31.2020	06.30.2020		09.30.2020	12.31.2019	03.31.2020	06.30.2020	09.30.2020
NUMBER OF DATA POINTS USED IN THE
CALCULATION OF AVERAGES	12	12	12		12	12	12	12	12
HIGH-QUALITY LIQUID ASSETS
		Total high-quality liquid assets
1		(HQLA)						139,389	141,129	143,737	153,486
CASH-	OUTFLOWS
		Retail deposits and deposits from
2		small business customers, of which:	244,503	239,792	238,716		239,787	19,175	18,848	18,299	17,929
3		Stable deposits	126,794	128,187	133,304		136,769	6,340	6,409	6,665	6,838
4		Less stable deposits	117,709	111,605	105,412		103,017	12,836	12,438	11,634	11,090
5		Unsecured wholesale funding	177,469	177,460	173,826		172,565	79,595	78,936	75,842	73,954
		Operational deposits (all
6		counterparties) and deposits in
	networks of cooperative banks	52,240	53,890	56,163		59,041	12,217	12,588	13,121	13,818
7		Non-operational deposits (all	121,052	119,802	114,235		110,156	63,201	62,580	59,293	56,769
	counterparties)
8		Unsecured debt	4,178	3,768	3,427		3,368	4,178	3,768	3,427	3,368
9		Secured wholesale funding						10,843	10,401	9,725	9,266
10		Additional requirements	136,558	133,174	128,735		124,816	47,599	46,748	46,543	45,451
		Outflows related to derivative
11		exposures and other collateral
	requirements	30,762	30,488	31,123		30,679	30,571	30,300	30,962	30,463
12		Outflows related to loss of funding
	on debt products	1,688	1,459	1,114		952	1,688	1,459	1,114	952
13		Credit and liquidity facilities	104,109	101,226	96,498		93,185	15,340	14,989	14,467	14,036
		Other contractual funding
14		obligations	6,095	6,246	6,507		6,641	6,006	6,148	6,386	6,505
15		Other contingent funding obligations	143,993	189,160	215,823		212,009	4,731	6,284	7,298	7,597
16		TOTAL CASH OUTFLOWS						167,948	167,365	164,092	160,702
CASH-INFLOWS
17		Secured lending (eg reverse repos)	59,048	60,694	61,467		60,244	15,178	14,761	14,140	13,516
		Inflows from fully performing
18		exposures	44,352	43,066	41,629		39,336	31,259	30,354	29,454	27,862
19		Other cash inflows	35,380	34,369	34,040		33,318	23,974	23,282	23,059	22,501
		(Difference between total weighted
		inflows and total weighted outflows
		arising from transactions in third
		countries where there are transfer
		restrictions or which are
		denominated in non-convertible
EU-19a		currencies)						-	-	-	-
		(Excess inflows from a related
EU-19b		specialised credit institution)						-	-	-	-
20		TOTAL CASH INFLOWS	138,779	138,130	137,136		132,899	70,410	68,397	66,654	63,878
EU-20a	Fully exempt inflows	-	-	-		-	-	-	-	-
EU-20b	Inflows Subject to 90% Cap	-	-	-		-	-	-	-	-
EU-20c	Inflows Subject to 75% Cap	123,258	123,196	122,803		119,201	70,410	68,397	66,654	63,878
									TOTAL ADJUSTED VALUE
21		LIQUIDITY BUFFER						139,389	141,129	143,737	153,486
22		TOTAL NET CASH OUTFLOWS						97,538	98,968	97,438	96,824
23		LIQUIDITY COVERAGE RATIO (%)						143%	143%	148%	159%

48 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

UniCredit Group Disclosure | Pillar III

Liquidity risk

At the end of September 2020, the liquidity buffer components mainly consist of governments bonds, amounting to a total of about €74 billion, representing 40% of the buffer. The other eligible component is mostly made of reserves held with Central Banks (Cash and Deposits). The main component of the net liquidity outflows is related with retail and corporate deposits and the potential cash outflows related with the committed credit lines.

Starting from the second quarter of 2019, the "additional outflows for other products and services", assessed based on the provisions of EU Regulation 2015/61 (Article 23) were revised upwards to reflect the new guidelines sent by the ECB on this point at the end of May 2019.

Reported LCR trend in the 3Q20 is mainly driven by deposit increase and further actions implemented to reinforce the liquidity position of the Group, such as placement of new loans in the ECB collateral pool to back TLTRO (benefiting from ECB temporary easing measures on collateral).

Funding Strategies

Short Term Funding

The third quarter of the year recorded a strong softening of liquidity conditions on the wave of ECB measures, namely TLTRO III and asset purchases. As a consequence, the excess liquidity in the Euro system overtook 3 trillion EUR and a compression of liquidity premia and credit spreads was recorded on all money markets' segments.

European repo curves flattened and rates dropped, particularly over core paper. With the Euribor fixing below the deposit facility level, all repo rates found a consolidation level below -50bps. Some collateral driven pressures were recorded over 3Q-end with GC Italy reaching -72bps.Rates completely retraced the day-after. Despite lower funding needs have been negatively impacting on repo volumes, asset purchases from ECB and decreasing volatility have contributed to fuel the activity on the specials segment.

The unsecured short term funding activity was also deeply influenced by the large amount of liquidity made available on the market by central banks. Investors, mainly MM funds, took the last opportunities to invest at proper yields, given the expectation - then materialized - of lower rates really close to the deposit facility.

The rate drop has been significant, with 6 months and 12 months Euribor 20 bps lower in the third quarter 2020 and the yield of short term government bonds down in negative territory for maturities up to 4 years. All main rate curves are flat or have really poor positive incline up to 1 year. In this market scenario the funding via CD/CP was carried on during the third quarter 2020, with significant nominals in the first month and smaller ones in the other two, mainly on 6 to 12 months maturities. Same for interbank deposits but mainly on shorter maturities.

Medium Long Term Funding

UniCredit funding strategy is aimed at maintaining sustainability and diversification, allowing the Group to confirm its consolidated ability to access capital markets in different formats across the capital structure, even in such a complex year. This approach ensures an appropriate level of liquidity and allows the Group to comply with various regulatory requirements.

During the first nine months of 2020 the Group has realized medium/long term funding for an amount of approx. €22.5 billion. The Funding Plan has been executed using a variety of different maturities and structures, in order to reduce concentration risk.

The Group maintains the advantage of being able to access markets out of a number of different legal entities, enjoying for all of them a large degree of name recognition with institutional investors.

Deposits from customers and banks, senior bonds and own funds represent our most stable funding sources, with deposits from customers representing 64% of the liability structure at the end of September 2020.

In terms of subordinated debt, UniCredit S.p.A. has issued during the first nine months of 2020 the following deals (shown below by type of instrument):

• on February 2020, UniCredit S.p.A. launched a new issuance of Additional Tier 1 notes (so-calledNon-Cumulative Temporary Write-Downs) to institutional investors, with a "perpetual" duration (maturity linked to the corporate duration of UniCredit S.p.A.), denominated in EUR, for a total of €1.25 billion. The notes pay fixed rate coupons for the first 7 years equal to 3.875% 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 contribute to strengthen the Tier 1 Ratio of UniCredit S.p.A. and this last transaction has completed the plan of additional Tier 1 issuances for 2020;
• on January 2020, UniCredit S.p.A launched a new issuance of Tier 2 notes, denominated in EUR, for a total of €1.25 billion. The notes have a legal maturity of 10 years and pay a fixed rate coupon of 2.731% per annum, paid on an annual basis. The notes have a one-time Issuer's call option exercisable after 7 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 (78%) and banks and insurance companies. The demand has mainly come from UK (39%), France (19%) and Italy (10%). The notes are listed on the Luxembourg Stock Exchange;

Pillar III · UniCredit Group Disclosure as at 30 September 2020 49

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Liquidity risk

• on June 2020, UniCredit S.p.A launched a new issuance of Tier 2 notes, denominated in USD, for a total of $1.5 billion. The notes have a legal maturity of 15 years and pay a fixed rate coupon of 5.459% per annum, paid on a semi-annual basis. The notes have a one-time Issuer's call option exercisable after 10 years subject to regulatory approval: if not called, the coupon will reset to the aggregate of the 5 years US Treasury rate plus the initial spread. The Notes, issued out of the GMTN Programme, were distributed to different institutional investors' categories such as asset managers (82 per cent), hedge funds (10 per cent), insurance companies/pension funds (4 per cent) and banks/private banks (3 per cent). The demand has mainly come from US/Canada (71%), Europe (26%) and Asia (3%).

In terms of senior funding, UniCredit S.p.A. issued the following deals:

• in January 2020 a Dual Tranche Senior Non-Preferred transaction for a total combined amount of €2 billion (in both 6NC5 and 10Y formats);
• in June 2020 a Senior Preferred benchmark with 6 years maturity and callable after 5 years for an amount equal to €1.25 billion;
• in July 2020 both a Senior Preferred with 7 years maturity and callable after 6 years for an amount equal to €1 billion in private placement format and a Senior Non-Preferred benchmark with 7 years maturity and callable after 6 years for an amount equal to €1.25 billion;
• in September 2020 a Senior Non-Preferred benchmark with 6 years maturity and callable after 5 years for an amount of $1 billion.

The various issuing entities of the Group can also be active in the private placement space or in placements to local investors, attracting further demand via structured notes as well as plain vanilla products.

The collateralized funding plays also a very important role in the Group funding mix, being one of the most cost efficient sources of funds. The Group continues leveraging on the use of available collateral in order to take advantage of the different issuing platforms, being able also to attract substantial volume of bilateral funding from Agencies/Supranational Entities in different countries.

On the Covered Bond side, UniCredit Bank AG has issued, during the first nine months of the year, 3 new institutional market Covered Bonds ("Pfandbrief") transactions with 12, 10 and 8 years maturities, for a combined amount of €3.25 billion.

UniCredit Bank Austria has also executed an institutional market Covered Bonds ("Pfandbrief") with 10 and 15 years maturities in the first nine months of the year, for a total amount of €1 billion.

The issuance activity has been performed by some entities within the Group also in private placement format, thus contributing to reduce the overall funding cost.

Liabilities structure breakdown by maturity

									(€ million)
		% ON							OVER
INSTRUMENT TYPE	OUTSTANDING	TOTAL	1 MONTH	3 MONTHS	6 MONTHS	9 MONTHS	1 YEAR	2 YEARS	2 YEARS
Deposits from Banks	163,951	21.71%	27,986	9,524	6,817	2,306	900	4,237	112,180
of which Secured	23,695	3.14%	14,232	4,766	3,392	246	59	-	1,000
Deposits from Customers	482,012	63.84%	422,934	18,527	20,744	4,285	3,678	4,012	7,832
of which Secured	29,412	3.90%	25,548	1,941	1,353	298	272	-	-
Subordinated	11,791	1.56%	1,033	10	78	535	-	1,114	9,021
of which Retail	95	0.01%	15	-	19	-	-	61	-
Senior Unsecured	52,522	6.96%	1,375	1,457	2,563	932	1,056	8,892	36,246
of which Retail	7,072	0.94%	74	190	503	209	313	846	4,938
CD/CP	6,724	0.89%	607	345	1,898	-	3,833	40	-
of which Retail	46	0.01%	6	-	-	-	-	40	-
Covered Bonds	38,079	5.04%	2,510	40	1,223	1,014	35	4,910	28,349
ABS	-	0.00%	-	-	-	-	-	-	-
Other	-	-	-	-	-	-	-	-	-
TOTAL	755,080		456,445	29,903	33,324	9,072	9,502	23,206	193,628

50 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

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Liquidity risk

Liabilities structure breakdown by currency

								(€ million)
		% ON
INSTRUMENT TYPE	OUTSTANDING	TOTAL	EUR	USD	GBP	CHF	JPY	OTHER
Deposits from Banks	163,951	21.71%	153,790	6,681	776	41	43	2,620
of which Secured	23,695	3.14%	22,749	854	-	-	-	92
Deposits from Customers	482,012	63.84%	409,738	22,802	1,329	608	82	47,453
of which Secured	29,412	3.90%	22,009	-	-	-	-	7,403
Subordinated	11,791	1.56%	8,458	3,274	-	-	59	-
of which Retail	95	0.01%	95	-	-	-	-	-
Senior Unsecured	52,522	6.96%	42,042	9,211	6	147	40	1,076
of which Retail	7,072	0.94%	6,831	160	-	-	-	80
CD/CP	6,724	0.89%	6,690	34	-	-	-	-
of which Retail	46	0.01%	46	-	-	-	-	-
Covered Bonds	38,079	5.04%	36,984	427	-	-	-	668
ABS	-	0.00%	-	-	-	-	-	-
Other	-	-	-	-	-	-	-	-
TOTAL	755,080		657,702	42,430	2,111	795	224	51,817

Pillar III · UniCredit Group Disclosure as at 30 September 2020 51

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Liquidity risk

52 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

UniCredit Group Disclosure | Pillar III

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 requirement 22", issued in January 2014.

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 Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 ("CRR2"), amending the Regulation (EU) No.575/2013, applies two years after the date of publication in the Official Journal of the European Union (June 2021). According to the Regulation (EU) 2020/873 (CRR "Quick fix") of 26 June 2020, making targeted amendments to the Regulation (EU) 575/2013 (CRR) and to the Regulation (EU) 2019/876 (CRR2), the new G-SIIs requirement shall apply from 1 January 2023.

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 (SFT23 )- calculated as sum of two 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-balanceSheet Exposure - calculated, according to Article 111 as nominal amount not reduced by specific credit risk adjustments and by applying the Standardised 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 applied to Tier 1 Capital.

The Tier 1 Capital including the positive IFRS 9 transitional adjustment applied to CET1 as per Article 473a(7a) of the amended CRR2 has been considered for the calculation of transitional Leverage Ratio.

Consistently, the Leverage Ratio exposure has been increased by the amount of the abovementioned transitional adjustment applied to CET1 (net of tax effects) calculated both on STD and IRB exposures.

The effect on the Leverage Ratio of the IFRS9 transitional adjustment is equal to +0.23% (rounded) as shown in "Template IFRS9-FL: Comparison of institutions' own funds and capital and leverage ratios with and without the application of transitional arrangements for IFRS9 or analogous ECLs" reported in the Own Fund chapter.

22 See "Basel III leverage ratio framework and disclosure requirements" http://www.bis.org/publ/bcbs270.htm.

23 Security Financing Transactions are repurchased transactions, securities or commodities lending or borrowing transactions and margin lending transactions.

Pillar III · UniCredit Group Disclosure as at 30 September 2020 53

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Leverage

Quantitative Information

The following table shows the Leverage Ratio as at 30 September 2020 and the breakdown of the exposure by main categories, according to CRR Articles 451(1)(a), 451(1)(b) and 451(1)(c).

LRCom: Leverage ratio common disclosure

			(€ million)
DESCRIPTION	09.30.2020	12.31.2019
	On-balance sheet exposures (excluding derivatives and SFTs)
1	On-balance sheet items (excluding derivatives, SFTs and fiduciary assets, but including collateral)	779,927	753,406
2	(Asset amounts deducted in determining Tier 1 capital)	(886)	(3,114)
3	Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets) (sum of lines 1 and 2)	779,040	750,292
	Derivative Exposures
4	Replacement cost associated with all derivatives transactions (i.e. net of eligible cash variation margin)	17,045	15,535
5	Add-on amounts for PFE associated with all derivatives transactions (mark-to-market method)	22,831	20,458
EU - 5a	Exposure determined under Original Exposure Method	-	-
	Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the applicable
6	accounting framework	-	-
7	(Deductions of receivables assets for cash variation margin provided in derivatives transactions)	(12,806)	(11,100)
8	(Exempted CCP leg of client-cleared trade exposures)	-	-
9	Adjusted effective notional amount of written credit derivatives	4,991	5,547
10	(Adjusted effective notional offsets and add-on deductions for written credit derivatives)	(3,911)	(3,531)
11	Total derivative exposures (sum of lines 4 to 10)	28,149	26,909
	SFT exposures
12	Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions	84,659	94,803
13	(Netted amounts of cash payables and cash receivables of gross SFT assets)	(2,612)	(3,875)
14	Counterparty credit risk exposure for SFT assets	4,647	11,997
	Derogation for SFTs: Counterparty credit risk exposure in accordance with Article 429b (4) and 222 of Regulation (EU) No
EU - 14a	575/2013	-	-
15	Agent transaction exposures	-	-
EU - 15a	(Exempted CCP leg of client-cleared SFT exposure)	-	-
16	Total securities financing transaction exposures (sum of lines 12 to 15a)	86,694	102,925
	Other off-balance sheet exposures
17	Off-balance sheet exposures at gross notional amount	349,467	362,517
18	(Adjustments for conversion to credit equivalent amounts)	(214,415)	(219,324)
19	Other off-balance sheet exposures (sum of lines 17 to 18)	135,052	143,193
	Exempted exposures in accordance with CRR Article 429 (7) and (14) (on and off balance sheet)
	(Intragroup exposures (solo basis) exempted in accordance with Article 429(7) of Regulation (EU) No 575/2013 (on and off
EU - 19a	balance sheet))	-	-
EU - 19b	(Exposures exempted in accordance with Article 429 (14) of Regulation (EU) No 575/2013 (on and off balance sheet))	-	-
	Capital and total exposures
20	Tier 1 capital	58,299	56,414
21	Total leverage ratio exposures (sum of lines 3, 11, 16, 19, EU-19a and EU-19b)	1,028,935	1,023,319
	Leverage Ratio
22	Leverage Ratio	5.67%	5.51%
	Choice on transitional arrangements and amount of derecognised fiduciary items
EU - 23	Choice on transitional arrangements for the definition of the capital measure	Transitional	Transitional
EU - 24	Amount of derecognised fiduciary items in accordance with Article 429 (13) of Regulation (EU) No 575/2013	-	-

54 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

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Leverage

Pillar III · UniCredit Group Disclosure as at 30 September 2020 55

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Leverage

56 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

UniCredit Group Disclosure | Pillar III

Annex 1 - Capital instruments and TLAC eligible instruments main features template

The Annex 1 is published in the editable format (excel) on the UniCredit website to the link https://www.unicreditgroup.eu/it/investors/third-pillar-basel-two-and-three.html.

Pillar III · UniCredit Group Disclosure as at 30 September 2020 57

58 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

UniCredit Group Disclosure | Pillar III

Annex 2 - Reconciliation of quantitative data across disclosure templates

The present Annex shows the reconciliation of quantitative information across the templates of the present disclosure, as reported below:

• Table 1: Reconciliation of Own Funds figures and ratios;
• Table 2: Reconciliation of the Risk Weighted Assets (RWAs) figures;
• Table 3: Reconciliation of additional quantitative information consistent across templates (including breakdowns of RWAs and exposure values).

Table 1 - Reconciliation of Own Funds figures and ratios

	OWN FUNDS FIGURES AND
	RATIOS			TEMPLATE			ROW
				Own Funds disclosure template			Row 29 - Common Equity Tier 1 (CET1) capital
	Common Equity Tier 1 capital			Template IFRS9-FL: Comparison of institutions'
			own funds and capital and leverage ratios with and
	(CET1)					Row 1 - Common Equity Tier 1 (CET1) capital
			without the application of transitional arrangements
				for IFRS 9 or analogous ECLs
	Additional Tier 1 capital (AT1)			Own Funds disclosure template			Row 44 - Additional Tier 1 (AT1) capital
				Own Funds disclosure template			Row 45 - Tier 1 capital (T1= CET1+AT1)
	Tier 1 capital (T1)			Template IFRS9-FL: Comparison of institutions'
			own funds and capital and leverage ratios with and			Row 3 - Tier 1 capital
				without the application of transitional arrangements
				for IFRS 9 or analogous ECLs
	Tier 2 capital (T2)			Own Funds disclosure template			Row 58 - Tier 2 (T2) capital
				Own Funds disclosure template			Row 59 - Total capital (TC=T1+T2)
	Total capital			Template IFRS9-FL: Comparison of institutions'
			own funds and capital and leverage ratios with and			Row 5 - Total capital
				without the application of transitional arrangements
				for IFRS 9 or analogous ECLs
				Own Funds disclosure template			Row 61 - Common Equity Tier 1 (as a percentage of risk exposure
						amount)
				Template IFRS9-FL: Comparison of institutions'
	CET1 Capital ratio			own funds and capital and leverage ratios with and			Row 9 - Common Equity Tier 1 (as a percentage of risk exposure
			without the application of transitional arrangements			amount)
				for IFRS 9 or analogous ECLs
				Capital Adequacy			Row C.2 Common Equity Tier 1 Capital/Risk weighted assets (CET1
						capital ratio)
				Own Funds disclosure template			Row 62 - Tier 1 (as a percentage of risk exposure amount)
				Template IFRS9-FL: Comparison of institutions'
	Tier 1 Capital ratio			own funds and capital and leverage ratios with and			Row 11 - Tier 1 (as a percentage of risk exposure amount)
			without the application of transitional arrangements
				for IFRS 9 or analogous ECLs
				Capital Adequacy			Row C.3 Tier 1 Capital/Risk weighted assets (Tier 1 capital ratio)
				Own Funds disclosure template			Row 63 - Total capital (as a percentage of risk exposure amount)
				Template IFRS9-FL: Comparison of institutions'
	Total capital ratio			own funds and capital and leverage ratios with and			Row 13 - Total capital (as a percentage of risk exposure amount)
			without the application of transitional arrangements
				for IFRS 9 or analogous ECLs
				Capital Adequacy			Row C.4 Total Own Funds/Risk weighted assets (Total capital ratio)

Pillar III · UniCredit Group Disclosure as at 30 September 2020 59

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Annex 2 - Reconciliation of quantitative data across disclosure templates

Table 2 - Reconciliation of the Risk Weighted Assets (RWAs) figures

	RISK WEIGHTED ASSETS
	(RWAs) FIGURES			TEMPLATE			ROW
				Own Funds disclosure template			Row 60 - Total risk weighted assets
				Template IFRS9-FL: Comparison of institutions'
				own funds and capital and leverage ratios with and			Row 7 - Total risk-weighted assets
				without the application of transitional arrangements
	Total of Risk Weighted Assets			for IFRS 9 or analogous ECLs
	(RWAs)			EU - KM2			Row 2 - Total risk exposure amount of the resolution group (TREA)
				Capital Adequacy			Row C.1 - Risk Weighted Assets
				EU OV1 - Overview of RWAs			Row 34 - Total
				Amount of institution-specific countercyclical capital			Row 010 - Total risk exposure amount
				buffer
							Sum of the rows (column weighted amounts):
							A.1 Standardised Approach
				Credit and counterparty risk			A.2 IRB Approach - Risk Assets
						A.3 IRB Approach - Equity Exposures
							A.4 Exposures with or central counterparties as pre-funded
							contributions to the default fund
							A.5 Securitisation positions
							Sum of the following rows item "A.1 Credit and counterparty risk":
				Capital Adequacy			1. Standardised approach
						2. IRB approaches
	Total RWA Credit and						3. Securitisations
						Sum of the rows (column RWA Credit risk + RWA Counterparty
	counterparty risk (including
						risk):
	securitisations)
						Standard method
				Credit and counterparty risk - breakdown RWA and
						IRB (Foundation+Advanced+Other IRB exposures)
				Capital requirements
						Securitisation positions
							Exposures with or central counterparties as pre-funded
							contributions to the default fund
							Sum of the following rows:
							Row 1 - Credit risk (excluding CCR)
				EU OV1 - Overview of RWAs			Row 6 - CCR (except to row 15 "of which CVA")
						Row 31 - Amounts below the thresholds for deduction (subject to
							250% risk weight)
							Row 17 - Securitisation exposures in banking book (after the cap)

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Annex 2 - Reconciliation of quantitative data across disclosure templates

continued: Table 2 - Reconciliation of the Risk Weighted Assets (RWAs) figures

	RISK WEIGHTED ASSETS
	(RWAs) FIGURES			TEMPLATE			ROW
				Credit and counterparty risk - breakdown RWA and			Row Standard method (column Credit risk - RWA)
				Capital requirements
	RWA Credit risk - standard						Sum of the following rows:
	method			EU OV1 - Overview of RWAs			Row 2 - of which standardised approach
						Row 31 - Amounts below the thresholds for deduction (subject to
							250% risk weight)
				Credit and counterparty risk - breakdown RWA and			Row IRB (Foundation+Advanced+Other IRB exposures)
				Capital requirements
				EU CR8 - RWA flow statement of credit risk			Row 9 - RWAs and Capital requirements end of period
				exposures under IRB
	RWA Credit risk - IRB method
						Sum of the following rows:
				EU OV1 - Overview of RWAs			Row 3 - of which the foundation IRB (FIRB) approach
						Row 4 - of which the advanced IRB (AIRB) approach
							Row 5 - of which Equity IRB under the Simple risk-weight or the
							IMA
				Credit and counterparty risk - breakdown RWA and			Sum of the rows:
						Standard method (column Counterparty risk RWA)
	RWA Counterparty risk			Capital requirements
					IRB (column Counterparty risk RWA)
	(standard+IRB)						Row 6 - CCR except to the row 14 "of which risk exposure amount
				EU OV1 - Overview of RWAs			for contributions to the default fund of a CCP" and row 15 "of which
							CVA"
	RWA Counterparty risk - IMM			EU CCR7 - RWA Flow statements of CCR			Row 9 - RWAs and Capital requirements end of period
			exposures under the Internal Model Method (IMM)
	method
			EU OV1 - Overview of RWAs			Row 10 - of which internal model method (IMM)
				Capital Adequacy			Row A.1.3 Credit and counterparty risk - Securitisations (column
	Securitisations					weighted assets)
				EU OV1 - Overview of RWAs			Row 17 - Securitisation exposures in banking book (after the cap)
	RWA Market risk - of which			EU OV1 - Overview of RWAs			Row 24 - Market risk - of which standardised approach (RWA and
					requirement)
	standard method
			Capital Adequacy			Row B.4.1 Market risk - Standard approach (requirement)
				EU MR2-B - RWA flow statements of market risk			Row 8 - RWAs and capital requirements - column Total RWAs
	RWA Market risk - of which			exposures under the IMA
	IMA			EU OV1 - Overview of RWAs			Row 25 - Market risk - of which IMA
				Capital Adequacy			Row B.4.2 Market risk - Internal models (requirement)
	CVA (Credit Value Adjusted)			EU OV1 - Overview of RWAs			Row 15 - CCR - of which CVA (RWA and capital requirement)
			Capital Adequacy			Row B.2 Credit valuation adjustment risk (requirement)
				Market Risk capital requirement			Row CVA (Credit Value Adjustment) risk (requirement)

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Annex 2 - Reconciliation of quantitative data across disclosure templates

Table 3 - Reconciliation of additional quantitative information consistent across templates (including breakdowns of RWAs and exposure values)

	FIGURES REFERENCE			TEMPLATE			ROW/COLUMN
				Capital Adequacy			Row A.1.1 - Credit and counterparty risk - Standardised approach
							Sum of the rows:
				Credit and counterparty risk			Row A.1 Standardised Approach
						Row A.4 Exposures with or central counterparties as pre-funded
	RWA Credit and counterparty						contributions to the default fund
	risk - standard method						Sum of the rows (column RWA Credit risk + RWA Counterparty
				Credit and counterparty risk - breakdown RWA and			risk):
						Standard method
				Capital requirements
						Exposures with or central counterparties as pre-funded
							contributions to the default fund
				Capital Adequacy			Row A.1.2 Credit and counterparty risk - IRB approaches
				Credit and counterparty risk			Sum of the rows:
	RWA Credit and counterparty					A.2 IRB Approach - Risk Assets
	risk - internal rating-based						A.3 IRB Approach - Equity Exposures
	methodology			Credit and counterparty risk - breakdown RWA and			Sum of the rows (column RWA Credit risk + RWA Counterparty
						risk):
				Capital requirements
						IRB (Foundation+Advanced+Other IRB exposures)
	Settlement risk - requirement			Capital Adequacy			Row B.3 Settlement risk
			Market Risk capital requirement			Row Settlement risk for DVP transactions
				EU OV1 - Overview of RWAs			Row 16 - Settlement Risk
				Capital Adequacy			Row B.4 Market risk
	Market risk - requirement			Market Risk capital requirement			Sum of the rows:
					Row Position risk (Assets included in regulatory trading portfolio)
							Row Exchange rate risk
				EU OV1 - Overview of RWAs			Row 23 - Market risk
				Credit and counterparty risk - breakdown RWA and			Row Simple risk weight approach: risk assets (Other IRB Exposures
	Equities - Simple risk-weighted			Capital requirements			Section)
	approach (RWAs)			Credit and counterparty risk			Row Simple risk weight approach: risk assets (Section A.3 IRB
						Approach - Equity Exposures)
	Credit and counterparty risk -			Credit and counterparty risk			Row A.1 Standardised Approach
						Row A.1.1 Credit and counterparty risk -Standardised approach
	non weighted amounts			Capital Adequacy
					(column unweighted assets)

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Annex 2 - Reconciliation of quantitative data across disclosure templates

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Annex 2 - Reconciliation of quantitative data across disclosure templates

64 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

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Declaration by the Manager charged with preparing the financial reports

The undersigned Stefano Porro, in his capacity as the Manager charged with preparing the financial reports of UniCredit S.p.A.

DECLARES

that, pursuant to Article 154-bis, paragraph 2, of the "Consolidated Law on Finance", the information disclosed in this document corresponds to the document results, books and accounts records.

Milan, 4 November 2020

Stefano Porro

______________________________

Pillar III · UniCredit Group Disclosure as at 30 September 2020 65

66 UniCredit Group Disclosure as at 30 September 2020 · Pillar III

UniCredit Group Disclosure | Pillar III

Declaration pursuant to the EBA Guidelines 2016/11 on disclosure requirements under Part Eight of Regulation (EU) No.575/2013 and subsequent amendments

The undersigned Jean Pierre Mustier (as Chief Executive Officer) and Stefano Porro (as Manager charged with preparing the financial reports) of UniCredit S.p.A.

CERTIFY

that, pursuant to the EBA Guidelines 2016/11 on disclosure requirements under Part Eight of Regulation (EU) No.575/2013 (and subsequent amendments) 4.2 paragraph section C, disclosures provided according to the aforementioned Part Eight have been prepared in accordance with the internal control processes agreed upon at the management body level.

Milan, 4 November 2020

Stefano Porro

Jean Pierre Mustier

______________________________

______________________________

Pillar III · UniCredit Group Disclosure as at 30 September 2020 67

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