UniCredit S p A : Group Disclosure (Pillar III) as at 31 March 2020

One Bank,

One Team,

One UniCredit.

UniCredit Group Disclosure (Pillar III)

as at 31 March 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	5
authorities and National Member States
Own Funds	15
Total Loss Absorbing Capacity	24
Capital requirements	27
Credit Risk	35
Credit Risk: RWAs flow statements - IRB method	35
Counterparty Risk exposure: RWAs flow statements - IMM method	35
Market Risks	37
RWAs flow statements under the IMA	37
Liquidity Risk	39
Liquidity Coverage Ratio	39
Funding Strategies	41
Leverage	45
Annex 1 - Capital instruments and TLAC eligible instruments main features template	49
Declaration by the Manager charged with preparing the financial reports	51
Declaration pursuant to the EBA Guidelines 2016/11 on disclosure requirements under Part	53
Eight of Regulation (EU) No.575/2013 and subsequent amendments

Pillar III·UniCredit Group Disclosure as at 31 March 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 31 March 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 IIIre-publication, after the initial issuance, for alignment with the most recent submissions of regulatory reporting.

2UniCredit Group Disclosure as at 31 March 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"1and 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
				"Total Loss Absorbing Capacity" section
					Annex 1 Capital instruments and TLAC eligible	UniCredit group website:
					instruments main features templates	- Full terms and conditions of all capital instruments
						(Article 437, paragraph 1, letter c) link
						https://www.unicreditgroup.eu/en/investors/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
					"Total Loss Absorbing Capacity" section
					Capital requirements (EU OV1 Template)
					Leverage
					Liquidity risk - "Liquidity Coverage Ratio" section
Art. 451/451a		Leverage/Disclosure of liquidity			Leverage
		requirements
				Liquidity risk - "Liquidity Coverage Ratio" section
EBA/GL/2016/11	("GUIDELINES ON DISCLOSURE	REQUIREMENTS UNDER PART EIGHT OF REGULATION (EU) No.575/2013")
EU OV1		Overview of RWA			Capital requirements
EU CR8		RWA flow statement of credit
		risk exposures under IRB			Credit Risk: RWAs flow statements - IRB method
EU CCR7		RWA Flow statements of CCR
		exposures under the Internal			Counterparty Risk exposure: RWAs flow
		Model Method (IMM)
				statements - IMM method
EU MR2-B		RWA flow statements of market			Market Risk: RWAs flow statements under the
		risk exposures under the IMA			IMA
EBA/GL/2017/01 ("GUIDELINES ON LCR DISCLOSURE TO COMPLEMENT THE DISCLOSURE OF LIQUIDITY RISK MANAGEMENT UNDER ART.435 OF
REGULATION (EU) No.575/2013")
EU LIQ1		Liquidity Coverage Ratio (LCR)			Liquidity risk - "Liquidity Coverage Ratio" section
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
EBA "STATEMENT ON SUPERVISORY REPORTING AND PILLAR 3 DISCLOSURES IN LIGHT OF COVID-19"
EBA Statement		Supervisory Reporting and Pillar			"Measures issued in the context of the Covid-19	Refer to the information in the reference section -
issued on 31		3 disclosure in the context of the			outbreak, provided by the European regulatory	table "Impacts over UniCredit group figures and
March 2020 (**)		Covid-19 outbreak			authorities and National Member States" section	ratios"

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 31 March 2020. (**) Ref. to the following link:https://eba.europa.eu/eba-provides-additional-clarity-on-measures-mitigate-impact-covid-19-eu-banking-sector.

1 "Guidelines on materiality, proprietary and confidentiality and on disclosure frequency under Articles 432(1), 432(2) and 433 of Regulation (EU) No 575/2013". 2 "Guidelines on disclosure requirements under Part Eight of Regulation (EU) No 575/2013".

Pillar III·UniCredit Group Disclosure as at 31 March 2020 3

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 in 31 March 20203.

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

During the first quarter 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 (however 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).
  • Other relief measures: discussion with banks 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 TRIM4decisions, 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 NPL5and 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, to implement the transitional IFRS 9 arrangements foreseen in the European Regulation No.575/2013 - Capital Requirements Regulation (CRR).

3 The section includes the measures issued up to 28 April 2020 and which have an impacts over UniCredit group figures and ratios as at 31 March 2020.

4 Targeted review of internal models.

5 European Central Bank: "Guidance to banks on non-performing loans", issued in March 2017.

6 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 31 March 2020 5

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-backs aimed 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 anon-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 toCovid-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 regardingback-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 toFRTB-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;

6UniCredit Group Disclosure as at 31 March 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

• 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.

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 asself-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 toself-employedworkers and professionals who have incurred as a result of emergency a decrease in turnover of more than 33%; V) suppressed the ISEE7requirement (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 MicroEnterprises 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" Decreeof 8 April 2020, containing temporary measures to support liquidity of corporates. It envisages, until 31 December 2020, the possibility of granting SACE8guarantees between 70 and 90% for loans to businesses, including SMEs, for a duration of up to 6 years. 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.
  • Tax effects(measures for supporting economy regarding tax items): the art. 55 of the Decree n. 18/2020 gives the possibility to convert existing Deferred Tax Assets (Tax Losses to be carried forward) and ACE9surpluses into tax credits, following the disposal - by 31 December 2020, outside the Group and with accounting derecognition - of loans with a delay in repayment of at least 90 days at the date of the transfer. 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%.
• 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:

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 theinsurance-financial sector; with the Decree it assumes the role of state reference and reinsurance subject for the credit institutions the will provide corporates' support.
3. Aiuto alla Crescita Economica (Aid to Economic Growth).

Pillar III·UniCredit Group Disclosure as at 31 March 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

• Croatia:
• • No specific moratorium Law passed; moratorium andstand-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; 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.
• Slovakia:
• • Law requiring banks to provide moratorium to retail and corporate customers was passed by end of March; for all the customers, it covers a maximum period of 9 months (6 months for leasing products).
  • Debtors may apply for deferral of instalments during the period of pandemic which officially started on 12 March 2020.
  • Interests are accrued on delayed payments with reference to the capital component of the instalment being delayed.
• 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, 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.
• 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
  • Interests are accrued on delayed payments.
• Czech Republic:
• • 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 from customers.
  • Debtors may apply for deferral of instalments during the period of pandemic which officially started on 12 March 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 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 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.

8UniCredit Group Disclosure as at 31 March 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

• • 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 anon-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 mentionednon-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.
  • 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.
  • On 19 March 2020, the Bulgarian National Bank has announced three further measures to mitigate the negative impact by theCovid-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 theanti-cyclical capital buffers;
    • introducing ad hoc limits oncross-border liquidity placements.
• Germany:
• • Law requiring banks to provide moratorium to private individuals and small business was been 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.
• Serbia:
• • Bylaw issued by National Bank of Serbia requiring banks to provide moratorium to all customers was passed on 17 March 2020. 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 toopt-out.
  • For all customers, the payment holidays refer to the period 31 March 2020 - 30 June 2020, except for those who applied for earlier moratoriastart-date once the bylaw was passed; payments due on this time frame will be capitalized after moratoria ends and rescheduled payment plan will be 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 in order to grant the repayment of the original capital plus interest accrued during the period of moratorium.
• Austria:
• • Law requiring banks to provide moratorium to private individuals and small business was passed on 1 April; according to the law, customers can apply for a moratorium of payments falling between 1 April and 30 June 2020.
• Russia:
• • A "Loan holidays" law (specifically, the Federal LawN106-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 - as of 17 April 2020 - 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).

Pillar III·UniCredit Group Disclosure as at 31 March 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

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 Covid-19 outbreak.

Impacts over UniCredit group figures and ratios

The set of the measures above outlined generated either impacts on UniCredit group figures and ratios, or consequences on its behaviour; 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 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, 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, and for the time being - as of 1Q2020 - such
	CRR	decision was not revised. Therefore, UniCredit group is still in the
	(issued on 20 March 2020)	position to benefit from the possibility allowed by the Regulation to
			reverse - once during the transitional period - the choice made at the
			inception.
	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 1Q2020, UniCredit group
			shall respect - on a consolidated basis - an Overall Capital
			Requirement10(OCR) in terms of Total Capital of 13.35% (9.75%
			TSCR + 3.60% for the combined capital buffer requirement), of which
			9.08% composed by CET1:
			•4.50% as per Pillar 1 requirement;
			•0.98% as per Pillar 2 requirement;
			•3.60% for the Combined Buffer capital requirement11.

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.

10UniCredit Group Disclosure as at 31 March 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

Dropping of some countercyclical capital buffer measures operated by the Authorities during the first quarter 2020

•Denmark: from 1.00% (4Q2019) to 0.00% (1Q2020)

Own Funds

• United Kingdom: from 1.00% (4Q2019) to 0.00% (1Q2020)
• Iceland: from 1.75% (4Q2019) to 0.00% (1Q2020)
• Norway: from 2.50% (4Q2019) to 1.00% (1Q20)
• Sweden: from 2.50% (4Q2019) to 0.00% (1Q2020)
• Hong Kong: from 2.00% (4Q2019) to 1.00% (1Q2020)

Notwithstanding the rates' lowering (mainly in countries where UniCredit holds limited exposures), the increase from 1.50% in 4Q2019 to 1.75% in 1Q2020 of the rate in Czech Republic - where UniCredit holds a subsidiary - mainly led to increase UniCredit group's countercyclical capital buffer reserve from 0.09% as of 4Q2019 to 0.10% as of 1Q2020.

For the sake of completeness, it is worth mentioning that:

• other jurisdictions (e.g. France, Lithuania, Czech Republic, Ireland) lowered their rates starting from April 2020; hence the related impact will be visible in 2Q2020;
• 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 granted in Italy

(art. 56 of the Law Decree 17/3 2020, n. 18)

According to the mentioned Italian Law Decree, revocable credit lines	-
and credit advances cannot be revoked by the banks for the period
between 29 February and 30 September 2020 (the scope refers to the
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.

ECB assumptions in calculating IFRS9 expected credit loss (ECL) for updating macroeconomic scenario

(issued on 1 April 2020, recalling IASB12communication issued on 27 March 2020)

The statements issued by IASB and ECB were interpreted by UniCredit group in the sense of executing an update of the macroeconomic scenarios, especially considering: (I) the usage of data coming from institutions' macroeconomic research and reliable external sources; (II) the application of post-model overlays or adjustments when changes cannot be reflected in models.

Thus, UniCredit group executed further deep-dive and analyses, including the update of macroeconomic forecasts by its internal Research Unit, published13in the quarterly "The UniCredit Economics Chartbook". As a result, UniCredit group decided to review the macroeconomic scenario for all the regions.

The outlook, which was basically negative for 2020 with a recovery in economic growth in 2021, led to recognise - with reference to the 1Q2020 - an amount of Loan Loss Provisions related to credit positions for approx. €0.9 million (gross of tax) at Group level.

"Basis for preparation" of the "Consolidated interim report as at 31 March 2020 - Press Release"

Press Release issued on 22 April 2020

12 On 27 March 2020, IASB (Statement "IFRS 9 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 31 March 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

				REFERENCE TO THE
				SECTION/TEMPLATE OF PRESENT
	MEASURE		IMPACTS FOR UNICREDIT GROUP	DOCUMENT OR OTHER
		DISCLOSURE

ECB temporary relief for capital requirements for market risk (issued on 16 April 2020)

The ECB allowed to offset the increase of VaR/Stressed VaR	EU OV1 Template
multiplier due to back-testingover-shootings (quantitative add-on) with
the removal of its qualitative component.
Such exceptions are indeed not necessarily resulting from deficiencies
in the internal model but rather from high market volatility.
The measure is temporary and valid for 6 months, starting on 31
March 2020 till 30 September 2020.
Therefore with reference to 1Q2020 at UniCredit group level, this
measure generated a relief for approx. -€500 million of RWA.

Comments on risk management

• 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: (i) acquisition of public guarantees,

1. anex-ante and ongoing evaluation of the client's risk profile. UniCredit has already 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.

• Liquidity Risk

Regarding the liquidity, 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 lockdown 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; 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. 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

On Counterparty Credit Risk side, analyses have been performed in order to detect and monitor potential counterparties at risk, especially due to the fact that they are part of sectors which are suffering the most the Covid-19 lockdown impact. On average, the 10% of the overall Group Counterparty Credit Risk exposure (€6.3 billion as of March-end 2020) is allocated to counterparties in "risky sectors", mainly Airlines & Travel, Automotive, Oil & Gas.

• 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. The evolution of the crisis and the related risk metrics development is under strict monitoring by both risk and business functions.

12UniCredit Group Disclosure as at 31 March 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

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 targetedlonger-term refinancing operations (TLTRO III);
  • EBA: Statement on actions to mitigate the impact ofCovid-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 ofCovid-19 measures;
  • EBA: Statement on consumer and payment issues in light ofCovid-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 sharebuy-backs aimed at remunerating shareholders.
• 31 March 2020:
• • EBA provides additional clarity on measures to mitigate the impact ofCovid-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 andnon-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis.
• 3 April 2020:
• • BCBS: Measures to reflect the impact ofCovid-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 toCovid-19 and calls for heightened attention to risks.

Refer to paragraph "Basis for preparation" of the "Consolidated interim report as at 31 March 2020 - Press Release" for a complete description of the impacts, also including the accounting ones.

Pillar III·UniCredit Group Disclosure as at 31 March 2020 13

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"), and subsequently updated in the Regulation No. 876/2019 ("CRR2"), 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 requirements14and buffers for UniCredit Group

The minimum capital requirements applicable to the Group as of 31 March 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;
• 2.50%, as Capital Conservation buffer (CCB) according to CRDIV Article129;
• 1.00%, as Global Systemically Important Institutions ("G-SII") buffer15;
• 0.10%, as Countercyclical Capital buffer16(CCyB) according to the CRDIV Article 160 (paragraphs from 1 to 4), to be calculated on a quarterly basis.

As at 31 March 2020, the Group shall meet the following overall capital requirements:

•CET1:	9.08%
•T1:	10.91%
•Total Capital:	13.35%

14 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 31 March 2020.

15 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.

16 Amount rounded to two decimal numbers. With reference to 31 March 2020: (I) countercyclical capital rates have generally been set at 0% , except for the following countries: Czech Republic (1.75%); Hong Kong (1.00%); Norway (1.00%); Slovakia (1.50%); Lithuania (1.00%); Ireland (1.00%); Luxemburg (0.25%); France (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 31 March 2020 15

UniCredit Group Disclosure | Pillar III

Own Funds

Find below a scheme of the UniCredit group capital requirements and buffers which also provides evidences of "Total SREP Capital Requirement" (TSCR) and "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 104.1 a) of CRD V application following the 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).

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:	3.60%	3.60%	3.60%
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)	0.10%	0.10%	0.10%
E) OCR (C+D)	9.08%	10.91%	13.35%

Note Pillar 2 requirements:

• CET1: this amount represents the minimum coverage of SREP requirement by Common Equity Tier 1 capital, in the assumption, verified for the first quarter of 2020, that the amount of Additional Tier 1 Capital is sufficiently large (i.e. exceeds the regulatory minimum of 1.50%).
• T1: this amount represents the minimum coverage of SREP requirement by Tier 1 Capital, in the assumption, verified for the first quarter of 2020, that the amount of Tier 2 Capital is sufficiently large (i.e. it exceeds the regulatory minimum of 2.00%).

The following table showsUniCredit group transitional capital ratios as at 31 March 2020 compared with previous periods:

UniCredit group transitional capital ratios as at 31 march 2020

	UNICREDIT GROUP TRANSITIONAL CAPITAL			1Q20
	RATIOS		RATIOS	DELTA Q/Q	DELTA Y/Y	4Q19	3Q19	2Q19	1Q19
	CET1 Capital ratio	13.44%	0.23%	1.19%	13.22%	12.60%	12.08%	12.25%
	Tier 1 Capital ratio	15.48%	0.58%	1.55%	14.90%	14.23%	13.63%	13.93%
	Total Capital ratio	18.01%	0.32%	1.65%	17.69%	17.11%	16.21%	16.36%

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

The following table shows the capital ratios of UniCredit S.p.A. as at 31 March 2020 compared with previous periods:

Transitional capital ratios of UniCredit S.p.A.

	UNICREDIT SPA - TRANSITIONAL CAPITAL			1Q20
	RATIOS		RATIOS	DELTA Q/Q	DELTA Y/Y	4Q19	3Q19	2Q19	1Q19
	CET1 Capital ratio	20.95%	-0.17%	-0.92%	21.11%	21.84%	21.17%	21.86%
	Tier 1 Capital ratio	24.40%	0.36%	-0.35%	24.04%	24.59%	23.73%	24.75%
	Total Capital ratio	28.47%	-0.39%	-0.16%	28.86%	29.23%	27.75%	28.63%

Transitional consolidated Own Funds

Regarding the transitional adjustments as at 31 March 2020 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 it is applicable (till 2025) 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.

Transitional adjustment related to the application of IFRS9

Starting from 1 January 2018, the IFRS9 accounting standard has been adopted, envisaging a new framework for provisioning computation based on expected credit loss rather than on incurred loss. As of first-time adoption, UniCredit group decided not to apply the transitional arrangements for IFRS9, and for the time being as of first quarter 2020 such decision was not revised. Therefore, UniCredit group is still in the position to benefit from the possibility allowed by the Regulation to reverse once during the transitional period - the choice made at the inception.

16UniCredit Group Disclosure as at 31 March 2020 ·Pillar III

UniCredit Group Disclosure | Pillar III

Own Funds

Decisions regarding the dividends distribution, as a result of the measures issued in the context of the Covid-19 outbreak, provided by the European regulatory authorities

On 5 February 2020, UniCredit S.p.A. Board of Directors resolved to submit - to the 2020 Shareholders' Meeting - the proposal of the distribution of a dividend related to FY2019 for an amount of €1,404 million.

Considering the Covid-19 emergency, on 27 March 2020 the European Central Bank (through the recommendation 2020/19) recommended significant institutions at least until 1 October 2020 to not pay dividends or undertake irrevocable commitment to pay out dividends for the financial years 2019 and 2020, as well as to not execute share buy-back aimed at remunerating shareholders.

In light of the above, on 29 March 2020 UniCredit S.p.A. Board of Directors resolved to withdraw without modifying the agenda of the Shareholders' Meeting convened on 9 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.

The Board reserved the right to convene a new Shareholders' Meeting in order to submit new resolution proposals, subject to an ECB review of its recommendation. Such a meeting would only occur after 1 October 2020, or post any new ECB recommendation on this topic, unless the market conditions or the consequences of the Covid-19 pandemic do not allow such course of action.

It shall be also considered that, with reference to the first quarter 2020, UniCredit has not accrued any amount related to the FY 2020 foreseeable dividend; hence no deduction from Common Equity Tier 1 Capital was encompassed.

For any further details please refer to Section "Measures issued in the context of the Covid-19 outbreak, provided by the European regulatory authorities and National Member States".

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 quarter 2020given 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). 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 Additional 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.

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 160 (paragraphs from 1 to 4), has to be calculated on a quarterly basis. During the first quarter 2020, in reaction to the Covid-19 emergency, 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).

Notwithstanding the rates' lowering (mainly in countries where UniCredit holds limited exposures), the increase from 1.50% in 4Q2019 to 1.75% in 1Q2020 of the rate in Czech Republic - where UniCredit holds a subsidiary - together with the change in the consolidation method of Yapi ve Kredi Bankasi A.Ş., now at equity method (with the consequent exclusion of the related exposure and capital requirement) led to increase UniCredit group's countercyclical capital buffer reserve from 0.09% as of 4Q2019 to 0.10% as of 1Q2020.For any further details please refer to Section "Measures issued in the context of the Covid-19 outbreak, provided by the European regulatory authorities and National Member States".

Pillar III·UniCredit Group Disclosure as at 31 March 2020 17

UniCredit Group Disclosure | Pillar III

Own Funds

Deductions connected to investments in financial sector entities and deferred tax assets that rely on future profitability and arise from temporary differences

With reference to 31 March 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 €328 million.

In this regard, the deductions applied to the own funds are reflected in the CRR Article 48 "Threshold exemptions from deduction from Common Equity Tier 1 items". In particular, the deferred tax assets that rely on future profitability and arise from temporary differences summed up to the direct, indirect and synthetic holdings detained by UniCredit in financial sector entities in which UniCredit has a significant 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. The amounts of the mentioned deductions are described in detail within the following table "Own Funds disclosure template".

Change in the consolidation method of Yapi Ve Kredi Bankasi A.Ş

During the last quarter of 2019, the Group started deleveraging its presence in Turkey; the execution envisaged two transactions, which led to Group to decrease its stake in Yapi Kredi Bank (YKB) from the initial 40.95% to the current 20%:

• on 25 November 2019, UniCredit S.p.A. Board of Directors approved the disposal of 9.02% (out of 40.95% held at that date) of UniCredit's shareholding in YKB and its subsidiaries to Koç Group. Such transaction was closed during the first quarter 2020
• on 5 February 2020, UniCredit S.p.A. announced the launch of a placement of ordinary shares in YKB listed on the Istanbul stock exchange, representing 11.93% of the Company's existing share capital. The accelerated book building (ABB) was successfully completed on 6 February

2020, by transferring shares representing 11.93% of the Company's issued share capital to institutional investors.

Consequently, during the first quarter 2020, the 9.02% and 11.93% stakes in YKB were derecognised under an accounting perspective, leading UniCredit S.p.A. to hold a 20% stake in YKB as of 31 March 2020.

With reference to such 20% stake, from a regulatory perspective (see also the press release published on 11 March 2020), on 10 March 2020 the European Central Bank notified UniCredit its decision to allow the application of the equity method; hence, starting from first quarter 2020: (i) UniCredit's consolidated RWAs no longer include YKB's proportional contribution (40.95% till fourth quarter 2020), thus leading to the release of approximately €20 billion RWA in the first quarter 2020; (ii) the 20% stake is subject to the deduction mechanism applicable to the significant investments in financial sector entities; (iii) UniCredit's consolidated regulatory liquidity ratios no longer include YKB (100% till fourth quarter 2020).

	Treatment of 20% stake			Consolidated view - UniCredit group
		IAS/IFRS consolidation	Finrep consolidation	Corep consolidation	Liquidity treatment
	held by UniCredit in
	YKB		Equity method	Equity method	Equity method	Not consolidated

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

As at 31 March 2020, the investment held by UniCredit in the quotes of Atlante Fund and Italian Recovery Fund (ex Atlante Fund II), for approximately €359 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 31 March 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).

18UniCredit Group Disclosure as at 31 March 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 31 March 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 €517million 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 31 March 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 31 March 2020 19

UniCredit Group Disclosure | Pillar III

Own Funds

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

								(€ million)
						03.31.2020 (A)		12.31.2019 (B)
	Common Equity Tier 1 capital (CET1): instruments and reserves
1			Capital instruments and the related share premium accounts (A)		33,656		33,591
				of which: Ordinary shares		33,656	33,591
2			Retained earnings		16,372		16,372
3			Accumulated other comprehensive income (and other reserves) (B)		6,032		1,852
5			Minority interests (amount allowed in consolidated CET1)		118		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		56,177		53,904
	Common		Equity Tier 1 (CET1) capital: regulatory adjustments
7			Additional value adjustments		(284)		(184)
8			Intangible assets (net of related tax liability)		(2,714)		(2,815)
				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)		(718)	(698)
11			Fair value reserves related to gains or losses on cash flow hedges		(59)		72
12			Negative amounts resulting from the calculation of expected loss amounts		(12)		(11)
14			Gains or losses on liabilities valued at fair value resulting from changes in own credit standing		(423)		(63)
15			Defined - benefit pension fund assets		(42)		(41)
16			Direct and indirect holdings by an institution of own CET1 instruments (C)		(287)		(8)
				Exposure amount of the following items which qualify for a RW of 1,250%, 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 (D)		(328)		-
				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		(184)	-
25			of which: Deferred tax assets arising from temporary differences		(144)		-
	25a		Losses for the current financial year (E)		(2,706)		-
	28			Total regulatory adjustment to Common Equity Tier 1 (CET1)		(7,648)		(3,850)
	29			Common Equity Tier 1 (CET1) capital		48,529		50,054
	Additional		Tier 1 (AT1) capital: Instruments
30			Capital instruments (F)		4,953		3,713
33			Amount of qualifying items referred to in Article 484 (4) subject to phase out from AT1 (G)		2,401		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		24	20
	36			Additional Tier 1 (AT1) capital before regulatory adjustments		7,377		6,392
	Additional	Tier 1 (AT1) capital: regulatory adjustments
37			Direct and indirect holdings by an institution of own AT1 instruments		(26)		(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)
	43			Total regulatory adjustments to Additional Tier 1 (AT1) capital		(26)		(32)
	44			Additional Tier 1 (AT1) capital		7,351		6,360
	45			Tier 1 capital (T1= CET1+AT1)		55,880		56,414

20UniCredit Group Disclosure as at 31 March 2020 ·Pillar III

UniCredit Group Disclosure | Pillar III

Own Funds

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

									(€ million)
						03.31.2020 (A)			12.31.2019 (B)
	Tier 2 (T2) capital: instruments and provisions
46			Capital instruments (H)		10,798			9,656
47			Amount of qualifying items referred to in Article 484 (5) subject to phase out from T2 capital		312			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	481		533
50			Credit risk adjustments		1,093			1,072
	51			Tier 2 (T2) capital before regulatory adjustments		12,684			11,330
	Tier 2 (T2) capital: regulatory adjustments
52			Direct and indirect holdings by an institution of own T2 instruments and subordinated loans (I)		(2,655)			(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 of
55			eligible short positions) (J)	(906)		(570)
	57			Total regulatory adjustments to Tier 2 (T2) capital		(3,561)			(763)
	58			Tier 2 (T2) capital		9,123			10,568
	59			Total capital (TC=T1+T2)		65,003			66,982
	60			Total risk weighted assets		360,970			378,718
	Capital		ratios and buffers
	61			Common Equity Tier 1 (as a percentage of risk exposure amount)		13.44%			13.22%
	62			Tier 1 (as a percentage of risk exposure amount)		15.48%			14.90%
	63			Total capital (as a percentage of risk exposure amount)		18.01%			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 percentage of
64			risk exposure amount) (K)	8.10%		8.09%
65			of which: Capital conservation buffer requirement		2.50%			2.50%
66			of which: Countercyclical buffer requirement		0.10%			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) (L)		5.35%			5.13%
	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)		1,445		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% threshold
73			and net of eligible short positions)	4,265		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)	3,342		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-based
78			approach (prior to the application of the cap)	2,889		1,784
79			Cap for inclusion of credit risk adjustments in T2 under internal rating-based approach		1,093			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)		502			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.

Pillar III·UniCredit Group Disclosure as at 31 March 2020 21

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 31 March 2020 if not otherwise specified.

Regarding the transitional adjustments as at 31 March 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.

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 (positive for €65 million) mainly refers to the capital increase connected to the medium-long term incentives plan for the Group's personnel.

B.

The change compared to 31 December 2019 (positive for €4,179 million) mainly refers to: (i) positive change (equal to €3,312 million) mainly related to the inclusion into reserves of the 2019 profit considering also dividends not distributed (€1,404 million) in line with the recommendation 2020/19 published by European Central Bank on 27 March 2020 in consideration of Covid-19 emergency; ii) positive change (equal to €867 million) related to the combined effect of a positive change on actuarial losses (equal to €639 million), on reserves related to financial liabilities at fair value (€242 million, subject to prudential filter for Own Funds calculation included in item "14 Gains or losses on liabilities valued at fair value resulting from changes in own credit standing"), on cash flow hedge reserve (€132 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") partially offset by the negative effect (€125 million) related to reserve on capital and debt instruments valued at fair value and on exchange reserve

C.

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.

D.

With reference to 31 March 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 investments, 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.

E.

The consolidated loss of the period of 31 March 2020 (equal to €2,706 million) is entirely deducted from Common Equity Tier 1 according to CRR Article 36(1)(a).

F.

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

G.

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 for an amount of €1,888 million.

Such amount decreases by €258 million in comparison with 31 December 2019 for the reduction of phase out percentage applicable (i.e. 20% in 2020 while 30% in 2019).

22UniCredit Group Disclosure as at 31 March 2020 ·Pillar III

UniCredit Group Disclosure | Pillar III

Own Funds

H.

The change compared to 31 December 2019 (positive for €1,142 million) is mainly referred to the issue, in the first quarter of 2020, of a new instrument XS2101558307 (computable amount equal to €1,244 million) partially offset by the amortization effect (equal to €124 million).

I.

The change compared to 31 December 2019 is mainly related to the authorization received by the competent authority to early redeem the instrument IT0005087116 (computable amount equal to €2.482 million), to be executed on 3 May 2020.

J.

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 and held by UniCredit S.p.A are fully deducted from the Own Funds.

K.

The amount does not include the Pillar 2 requirement equal to 1.75% required for 2020 in coherence with SREP results of 2019.

L.

The amount as at 31 March 2020 is calculated by subtracting from the Common Equity Tier 1 capital ratio at the date (i.e. item 61: 13.44%) the

minimum Common Equity Tier 1 requirement including the combined capital buffer (i.e. item 64: 8.10%). The increase compared to 31 December

2019 depends on the following items: (i) reduction in Common Equity Tier 1 Capital for €1,525 million more than offset by ii) reduction in risk- weighted assets for €17,748 million

.

Pillar III·UniCredit Group Disclosure as at 31 March 2020 23

UniCredit Group Disclosure | Pillar III

Own Funds

Total Loss Absorbing Capacity

Starting from 27 June 2019 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 31 March 2020 is equal to the maximum between:

• 16% of the total risk exposure amount to which the combined Capital reserve applicable to the Group (3.60%) at the reference date is added; therefore the total minimum requirement applicable on 31 March 2020 is 19.60%;
• 6% of the overall leverage exposure measure.

Referred to the UniCredit group, the applicable requirement as at 31 March 2020 is based on the total risk exposure and it is equal to 19.60%.

These minimum requirements apply until 31 December 2021; then starting from 1 January 2022, in accordance with CRR2 Article 92a, the requirements 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 requirements are 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 residual maturity equal or greater than 1 year as at 31 March 2020 which are not computable in the Own Funds due to regulatory amortization 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, 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, 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 "Consultation Paper on ITS on disclosure and reporting of MREL and TLAC" (EBA-CP-2019-14), and they will be updated once the final version of the Implementing Technical Standards will be issued according to the CRR2 Article 434a.

24UniCredit Group Disclosure as at 31 March 2020 ·Pillar III

UniCredit Group Disclosure | Pillar III

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)
OWN FUNDS AND ELIGIBLE LIABILITIES, RATIOS AND COMPONENTS	03.31.2020	12.31.2019	09.30.2019	06.30.2019
1	Own Funds and eligible liabilities	84,838	85,125	84,714	80,102
2	Total risk exposure amount of the resolution group (TREA)	360,970	378,718	387,774	387,139
3	Own Funds and eligible liabilities as a percentage of TREA (row 1/row 2)	23.50%	22.48%	21.85%	20.69%
4	Total exposure measure of the resolution group	1,017,305	1,023,319	1,042,758	1,006,702
5	Own Funds and eligible liabilities as percentage of the total exposure measure	8.34%	8.32%	8.12%	7.96%
	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
6a	2.5% exemption)	9,024	9,468	9,611	9,649
6b	Does the subordination exemption in Article 72(b)(4) of the CRR apply (5% exemption)?	NO	NO	NO	NO
	Pro-memo item: If a capped subordination exemption applies under Article 72(b)(3) or
	(4), 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
6c	Excluded Liabilities and that would be recognised under row 1 if no cap was applied (%)	97.29%	90.51%	100.00%	100.00%

Pillar III·UniCredit Group Disclosure as at 31 March 2020 25

UniCredit Group Disclosure | Pillar III

Capital Requirements

Credit and counterparty risk

								(€ million)
		AMOUNTS AS AT 03.31.2020	AMOUNT S AS AT 12.31.2019
		NON-				NON-
		WEIGHT ED		WEIGHTED	CAPITAL	WEIGHT ED	WEIGHT ED	CAPITAL
	CRED IT A ND C OUNTER PAR TY RISK S	AMOUNT S		AMOUNT S	REQUIR EM ENT	AMOUNTS	AMOUNT S	REQUIR EM ENT
	A. CREDIT AND COUNTERPARTY RISK
	A.1 Standardised Approach	313,041	119,786	9,583	352,833	144,944	11,596
	Exposures with or secured by central governments or central banks	151,157	18,478	1,478	169,201	23,898	1,912
	Exposures with or secured by regional administrations and local authorities	29,007	599	48	27,864	680	54
	Exposures with or secured by administrative bodies and non-commercial undertakings	9,401	774	62	9,006	875	70
	Exposures with or secured by multilateral development banks	3,946	8	1	1,399	-	-
	Exposures with or secured by international organizations	3,081	-	-	1,354	-	-
	Exposures with or secured by supervised institutions	7,232	1,435	115	12,687	2,611	209
	Exposures with or secured by corporates	41,886	40,639	3,251	54,527	53,072	4,246
	Retail exposures	26,992	19,427	1,554	33,303	23,762	1,901
	Exposures secured by real estate property	10,455	4,450	356	11,430	4,753	380
	Past due exposures	2,693	2,964	237	3,102	3,451	276
	High risk exposures	2,115	3,173	254	2,221	3,331	266
	Exposures in the form of guaranteed bank bonds (covered bond)	298	63	5	319	65	5
	Exposures in the form of Collective Investment Undertakings (CIU)	6	5	0	9	8	1
	Short term exposures with corporates	1,791	777	62	2,121	1,176	94
	Equity exposures	6,750	12,872	1,030	6,642	12,528	1,002
	Other exposures	16,231	14,120	1,130	17,648	14,734	1,179
	A.2 IRB Approach - Risk Assets	490,318	180,018	14,401	461,917	176,760	14,141
	Exposures with or secured by central administration and central banks	40,951	1,785	143	27,957	1,599	128
	Exposures with or secured by supervised institutions, public and territorial entities and other
	entities	42,846	11,946	956	41,316	11,121	890
	Exposures with or secured by corporate - SME	55,305	26,983	2,159	55,035	27,490	2,199
	Exposures with or secured by corporate - Specialised lending	23,718	11,511	921	23,173	11,389	911
	Exposures with or secured by corporate - Other	206,382	91,748	7,340	193,475	88,825	7,106
	Retail exposures secured by residential real estate property - SME	5,489	1,379	110	5,504	1,512	121
	Retail exposures secured by residential real estate property - non SME	83,301	18,976	1,518	82,933	18,926	1,514
	Retail exposures - qualifying revolving	2,317	234	19	2,371	241	19
	Retail exposures - other SME	14,768	5,367	429	14,816	5,413	433
	Retail exposures - other non SME	15,240	6,375	510	15,337	6,364	509
	Other non - credit obligation assets	0		3,715	297	0	3,880	310
	A.3 IRB Approach - Equity Exposures	665	2,080	166	642	1,950	156
	PD/LGD approach: risk assets	162	331	26	166	340	27
	Internal models approach: risk assets	-	-	-	-	-	-
	Simple risk weight approach: risk assets	502	1,750	140	476	1,610	129
	Equity exposures - private equity in sufficiently diversified portfolios (weight 190%)	60	113	9	83	158	13
	Equity exposures - exchange-traded (weight 290%)	2	6	0	2	7	1
	Equity exposures - other (weight 370%)	441	1,631	130	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	0		81	6	0	70	6
	A.5 Securitisation positions	18,378	6,129	490	12,929	3,238	259

The different representation regarding Securitization positions between the fourth quarter 2019 and the first 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.

The sum of item "A.1 Standardised approach" and "A.4 Exposures with or central counterparties as pre-funded contributions to the default fund" is reconciled with item "A.1.1" of the "Capital Adequacy" table (with reference to the unweighted assets and weighted assets).

The sum of the item "A.2 IRB Approach - Risk Assets" and "A.3 IRB Approach - Equity Exposures", is reconciled with item "A.1.2" of the "Capital Adequacy" table (with reference to the unweighted assets and weighted assets).

Pillar III·UniCredit Group Disclosure as at 31 March 2020 27

UniCredit Group Disclosure | Pillar III

Capital Requirements

Credit and counterparty risk - breakdown RWA and Capital requirements

														(€ million)
			AMOUNT AS AT 03.31. 202 0				AMOUNT AS AT 1 2.31. 2019
		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	118,270	9,462		1,516	121	143,281		11,462			1,664		133
	Ex posures w ith or secured by central gov ernments or central banks	18,469	1,478		9	1	23,892		1,911			6	0
	Ex posures w ith or secured by regional administrations and local au th oriti es	574	46		25	2	656		52		24	2
	Ex posures w ith or secured by administrativ e bodies and non-commercial und ertakings	769	62		5	0	860		69		15	1
	Ex posures w ith or secured by multilateral dev elopmen t banks	8	1		-	-	-		-			-		-
	Ex posures w ith or secured by internati onal org anizati ons	-	-		-	-	-		-			-		-
	Ex posures w ith or secured by superv ised institutions	1,289	103		146	12	2,330		186			281		22
	Ex posures w ith or secured by Corporates	39,409	3,153		1,231	98	51,856		4,148			1,216		97
	Retail ex posures	19,427	1,554		1	0	23,758		1,901			4	0
	Ex posures secured by real estate proper ty	4,450	356		-	-	4,753		380			-		-
	Past due ex posures	2,957	237		7	1	3,445		276			7	1
	High risk ex posures	3,170	254		3	0	3,328		266			3	0
	Ex posures in the form of guaranteed bank bon ds (cov ered bond)	63	5		-	-	65		5		-		-
	Ex posure in the form of Collec tiv e Inv estment Undertakings (CIU)	5	0		-	-	8		1		-		-
	Short term ex posures w ith corporates	687	55		90	7	1,068		85		108		9
	Equity ex posures	12,872	1,030		-	-	12,528		1,002			-		-
	Othe r ex posures	14,120	1,130		-	-	14,735		1,179			-		-
	IRB	172,771	13,822		9,327	746	170,743		13,659			7,968		637
	Foundation	10,459	837		246	20	10,861		869			130		10
	Ex posures w ith or secured by central gov ernments and central banks	190	15		-	-	268		21		-		-
	Ex posures w ith or secured by superv ised institutions, public and terri torial entities and
	other en tities	544	44		16	1	572		46		16	1
	Ex posures w ith or secured by corporate - SME	2,778	222		23	2	2,827		226			14	1
	Ex posures w ith or secured by corporate - Specialised lending	996	80		18	1	1,009		81		18	1
	Ex posures w ith or secured by corporate - Other	5,952	476		189	15	6,185		495			82	7
	Advanced	160,232	12,819		9,080	726	157,932		12,635			7,838		627
	Ex posures w ith or secured by central gov ernments and central banks	1,506	120		89	7	1,272		102			59	5
	Ex posures w ith or secured by superv ised institutions, public and terri torial entities and
	other en tities	7,879	630		3,507	281	6,953		556			3,580		286
	Ex posures w ith or secured by corporate - SME	23,311	1,865		871	70	24,000		1,920			649		52
	Ex posures w ith or secured by corporate - Specialised lending	9,891	791		605	48	9,830		786			532		43
	Ex posures w ith or secured by corporate - Other	81,616	6,529		3,990	319	79,559		6,365			2,999		240
	Retail ex posures secured by residential real estate property - SME	1,379	110		-	-	1,512		121			-		-
	Retail ex posures secured by residential real estate property - non SME	18,976	1,518		-	-	18,926		1,514			-		-
	Retail ex posures - qualify ing rev olv ing	234	19		-	-	241		19		-		-
	Retail ex posures - other SME	5,360	429		8	1	5,407		433			6	0
	Retail ex posures - other non SME	6,366	509		9	1	6,352		508			13	1
	Othe r non credit obliga tion assets	3,715	297		-	-	3,880		310			-		-
	Other IRB exposures	2,080	166	0		0	1,950		156		0			0
	PD/LGD approach: risk assets	331	26		-	-	340		27		-		-
	Internal models approach: risk assets	-	-	0		0	-		-		0			0
	Simple risk w eight appro ach: risk assets	1,750	140	0		0	1,610		129		0			0
	Equity ex posures - priv ate equity in sufficiently div ersified portfol ios (w eight 190%)	113	9	0		0	158		13	0			0
	Equity ex posures - ex change-traded (w eight 290%)	6	0	0		0	7		1	0			0
	Equity ex posures - other (w eight 370%)	1,631	130	0		0	1,445		116		0			0
	Securitisation positions	6,129	490	0		0	3,238		259		0			0
	Exposures with or central counterparties as pre-funded contributions to the default fund	81	6	0		0	70		6	0			0

The different representation regarding Securitization positions between the fourth quarter 2019 and the first 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".

The sum of the RWAs related to credit risk (€118,270 million) and counterparty risk (€1,516 million) standard method, and the "Exposures with or central counterparties as pre-funded contributions to the default fund" (€81 million) equal to €119,866 million is reconciled with item A.1.1 of the "Capital Adequacy" table, "weighted assets" column.

The sum of the RWAs related to credit risk (€172,771 million) and counterparty risk (€9,327 million) IRB method equal to €182,098 million is reconciled with item A.1.2 of the "Capital Adequacy" table, "weighted assets" column.

28UniCredit Group Disclosure as at 31 March 2020 ·Pillar III

UniCredit Group Disclosure | Pillar III

Capital Requirements

Capital Adequacy

							(€ million)
				UNWEIGHTED ASSETS	WEIGHTED ASSETS/REQUIREMENTS
	ITEMS/VALUES	03.31.2020	12.31.2019	03.31.2020	12.31.2019
	A. RISK ASSETS
	A.1	Credit and counterparty risk	822,401	828,322	308,094	326,963
1.	Standardised approach1	313,041	352,833	119,866	145,014
2.	IRB approaches2	490,982	462,559	182,098	178,710
			2.1 Foundation	16,889	16,959	10,706	10,991
			2.2 Advanced	474,094	445,601	171,392	167,719
3.	Securitisations3	18,378	12,929	6,129	3,238
	B. CAPITAL REQUIREMENTS
	B.1	Credit and counterparty risk	65792,04950264	66265,728	24,647	26,157
	B.2	Credit valuation adjustment risk	0	0	128	129
	B.3	Settlement risk	0	0	3	3
	B.4	Market risk	0	0	997	745
1.	Standard approach	0	0	204	131
2.	Internal models	0	0	793	615
3.	Concentration Risk	0	0	-	-
	B.5	Operational risk	0	0	2,606	2,637
1.	Basic indicator approach	0	0	233	247
2.	Traditional standardised approach	0	0	259	277
3.	Advanced measurement approach	0	0	2,114	2,114
	B.6	Other calculation elements4	0	0	498	626
	B.7	Total capital requirements	65792,04950264	66265,728	28,878	30,297
	C. RISK ASSETS AND CAPITAL RATIO
	C.1	Risk Weighted Assets	0	0	360,970	378,718
	C.2	Common Equity Tier 1 Capital/Risk weighted assets (CET1 capital ratio)	0	0	13.44%	13.22%
	C.3	Tier 1 Capital/Risk weighted assets (Tier 1 capital ratio)	0	0	15.48%	14.90%
	C.4	Total Own Funds/Risk weighted assets (Total capital ratio)	0	0	18.01%	17.69%

Notes:

1. The weighted amount includes the "Exposures with or central counterparties aspre-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 first 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 31 March 2020 29

UniCredit Group Disclosure | Pillar III

Capital Requirements

Overview of RWAs (comment to the EU OV1 Template)

The total amount of RWAs as of first quarter 2020, equal to €361 billion, shows a decrease with reference to the previous quarter for approx. €17.7 billion.

In particular, Credit and Counterparty risk RWA decrease for approx. €20.5 billion (that includes rows 1,6,17, 31 and 33 excluding row 15) mainly due to:

• the application of the equity method for the prudential consolidation of Yapi VE Kredi Bankasi A.Ş.(-€19.7 billion), see Own Funds section for related comment;
• the increase in securitisation positions17(+€1.5 billion), mainly due to the end of transitional period according to the new securitization framework according to the Regulation (EU) 2017/2401;
• other effects(-€2.2 billion) mainly due to the exchange rate effect of Russian Ruble and the recognizing of Serbia country as a Third Equivalent Country18.

The Market RWAs increase for approx. €3.1 billion, mainly driven by the Internal model method (IMM) (+€2,2 billion) due to the abrupt market movements and the increased market volatility triggered by the outbreak of Covid-19; such increase considers also the "ECB temporary relief for capital requirements for market risk" which allowed to offset the increase of VaR/ Stressed VaR multiplier with a positive impact at Unicredit group level equal to approx. -€0.5 billion19).

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 CEE versus Euro.

17 Regarding securitisations, the total RWA amount as of 31 March 2020 is equal to €6.1 billion (as reported in row 17), while as of 31 December 2019 the total RWA amount was equal to €4.6 billion (as sum of the row 17 and €1.4 billion reported in row 33). The different representation regarding Securitisation positions between the quarters 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.

18 Commission Implementing Decision (EU) 2019/2166 of 16 December 2019.

19 See section "Measures issued in the context of the Covid-19 outbreak, provided by the European regulatory authorities and National Member States" of the present document for further comments.

30UniCredit Group Disclosure as at 31 March 2020 ·Pillar III

UniCredit Group Disclosure | Pillar III

Capital Requirements

EU OV1 - Overview of RWAs

											(€ million)
					RWA				CAPITAL
								REQUIREMENT
CATEGORIES				03.31.2020				12.31.2019			03.31.2020
	1	Credit risk (excluding CCR)		272,843			295,817		21,827
Art 438(c)(d)	2	of which standardised approach		100,071			125,073		8,006
Art 438(c)(d)	3	of which the foundation IRB (FIRB) approach		10,459			10,862		837
Art 438(c)(d)	4	of which the advanced IRB (AIRB) approach		160,562			158,272		12,845
Art 438(d)	5	of which Equity IRB under the Simple risk-weight or the IM A	1,750			1,610		140
Art 107, Art 438(c)(d)	6	CCR		12,518			11,308		1,001
Art 438(c)(d)	7	of which mark to market		1,539			1,498		123
Art 438(c)(d)	8	of which Original exposure	-			-		-
	9	of which standardised approach		-			-		-
	10	of which internal model method (IMM)		9,030			7,763		722
	11	of which Financial collateral simple method (for SFTs)		-			-		-
	12	of which Financial collateral comprehensive method (for SFTs)	273			367		22
	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		81			70	6
Art 438(c)(d)	15	of which CVA		1,595			1,609		128
Art 438(e)	16	Settlement Risk		33			39	3
Art 449(o)(i)	17	Securitisation exposures in banking book (after the cap)		6,129			3,238		490
	18	of which SEC - IRBA		1,995					160
	19	of which SEC - SA		221					18
	20	of which SEC - ERBA	1,849					148
	21	of which Internal Assessment Approach		2,064					165
	22	of which 1250%/deduction		-					-
Art 438(e)	23	Market risk		12,458			9,315		997
	24	of which standardised approach	2,545			1,633		204
	25	of which IM A		9,912			7,682		793
Art 438(e)	26	Large exposures		-			-		-
Art 438(f)	27	Operational risk		32,571			32,965		2,606
	28	of which Basic Indicator Approach	2,911			3,084		233
	29	of which Standardised Approach		3,241			3,462		259
	30	of which Advanced M easurement Approach		26,419			26,419		2,114
Art 437(2), 48,60	31	Amounts below the thresholds for deduction (subject to 250% risk weight)	18,198			18,208		1,456
Art 500	32	Floor adjus tment		-				-			-
	33	Other calculation elements		6,220			7,827		498
	34	Total		360,970			378,718		28,878

The amounts of the rows 1,6,17 and 31 (except to row 15 "of which: CVA"), equals to €308,094 million and matches with the amount of the line A.1 of the "Capital Adequacy" table.

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

The RWA amount for securitisation exposures (row 17) is equal to €6.1 billion with the following distinction:

• €5.6 billionnon-STS ("simple, transparent and standardized") positions;
• €0.5 billion STS positions.

Pillar III·UniCredit Group Disclosure as at 31 March 2020 31

UniCredit Group Disclosure | Pillar III

Capital Requirements

Market Risk capital requirement

					(€ million)
	DESCRIPTION		03.31.2020		12.31.2019
	Position risk:		856		694
	- Assets included in regulatory trading portfolio		856		694
	- Assets not included in regulatory trading portfolio		-		-
	Settlement risk for DVP transactions		3		3
	Exchange rate risk		141		51
	Commodities risk position		0		-
	CVA (Credit Value Adjustment) risk		128		129
	Market Risk capital requirement		1,127		877

The amount of the Market Risk capital requirement, equal to €1,127 million, is consistent with:

• referring to "Capital Adequacy" table: the sum of points B.2, B.3 and B.4;
• referring to EU OV1 "Overview of RWAs" table: the sum of the lines 15, 16 and 23 ("Capital requirements" column).

Countercyclical capital buffer

The table below shows the "Countercyclical capital buffer" disclosure prepared on the basis of the rates applicable as at 31 March 2020.

Amount of institution-specific countercyclical capital buffer

(€ million)

ROW DESCRIPTION

010Total risk exposure amount

020Institution specific countercyclical buffer rate

030Institution specific countercyclical buffer requirement

COLUMN - 010

360,970

0.097%

350

32UniCredit Group Disclosure as at 31 March 2020 ·Pillar III

UniCredit Group Disclosure | Pillar III

Credit Risk

Credit Risk: RWAs flow statements - IRB method

In the first quarter of 2020, credit risk exposures under IRB approach recorded a €2,027 million of increase versus December 2019 driven by "Asset size" (€2.651 million, reflecting business dynamics across all geographies of the group), partially compensated by a decrease in "Foreign exchange movements" (-€382 million mainly in CEE due to Russian Ruble depreciation) and in "Other" (-€232 million mostly driven by fine-tunings on risk parameters calculation).

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

			(€ million)
		A	B
			CAPITAL
	DESCRIPTION	RWA AMOUNTS	REQUIREMENTS
1	RWAs and Capital requirements as at 12.31.2019	170,744	13,660
2	Asset size	2,651	212
3	Asset quality	(59)	(5)
4	Model updates	-	-
5	Methodology and policy	49	4
6	Acquisitions and disposals	-	-
7	Foreign exchange movements	(382)	(31)
8	Other	(232)	(19)
9	RWAs and Capital requirements as at 03.31.2020	172,771	13,822

The amounts as of 31 March 2020 of the row 9 (total RWAs equal to €172,771 million and total capital requirements equal to €13,822 million) are consistent with the sum of rows 3,4 and 5 of "Overview of RWAs" table.

Counterparty Risk exposure: RWAs flow statements - IMM method

In the first quarter of 2020, counterparty credit risk exposures under IMM Approach increased by €1,267 million compared with the fourth quarter of 2019. The increase is explained primarily by the item "Asset size" which registered an increase of €906 million, mainly attributable to derivatives exposures in Italy and Germany, as well as an increase of €283 million due to an update of internal model parameters.

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

			(€ million)
		A	B
		RWA	CAPITAL
	DESCRIPTION	AMOUNTS	REQUIREMENTS
1	RWAs and Capital requirements as at 12.31.2019	7,763	621
2	Asset size	906	72
3	Credit quality of counterparties	44	4
4	Model updates (IMM only)	283	23
5	Methodology and policy (IMM only)	-	-
6	Acquisitions and disposals	-	-
7	Foreign exchange movements	13	1
8	Other	21	2
9	RWAs and Capital requirements as at 03.31.2020	9,030	722

The amounts as at 31 March 2020 of the row 9 (total RWAs equal to €9,030 million and total capital requirements equal to €722 million) are consistent with the row 10 of "Overview of RWAs" table.

Pillar III·UniCredit Group Disclosure as at 31 March 2020 35

UniCredit Group Disclosure | Pillar III

Market Risk

RWAs flow statements under the IMA

RWA

Shown below is a summary table about 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 RWAs increase with respect of the fourth quarter in 2019 is mainly due to the massive increase of volatility in the markets in different asset classes in the course of uncertainty around the Covid-19 crisis.

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	1,146	3,417	3,119	-	-	7,682	615
1	12.31.2019
1a		Regulatory adjustment	730	2,426	393	-	-	3,549	284
		RWAs and capital requirements at	416	991	2,726	-	-	4,133	331
1b		12.31.2019 (end of the day)
2		Movement in risk levels	964	630	(1,339)	-	-	256	20
3		Model updates/changes	-	-	-	-	-	-	-
4		Methodology and policy	-	-	-	-	-	-	-
5		Acquisitions and disposals	-	-	-	-	-	-	-
6		Foreign exchange movements	-	-	-	-	-	-	-
7		Other	-	-	-	-	-	-	-
		RWAs and capital requirements at	1,380	1,622	1,387	-	-	4,389	351
8a		03.31.2020 (end of the day)
8b		Regulatory adjustment	721	3,304	1,498	-	-	5,523	442
		RWAs and capital requirements at	2,101	4,926	2,885	-	-	9,912	793
8	03.31.2020

Notes:

• the amount reported in row 2 explains the change in the RWA shows in row 1b and 8a;
• the total RWA of €9,912 million is coherent with row 25 in Overview RWAs table (column "RWA");
• the total capital requirements of €793 million is coherent with:
• • row 25 in Overview RWAs table (column "Minimal capital requirements");
  • row B.4.2 of the Capital Adequacy table.

Pillar III·UniCredit Group Disclosure as at 31 March 2020 37

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 have 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.
• 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.

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

Pillar III·UniCredit Group Disclosure as at 31 March 2020 39

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	06.30.2019	09.30.2019	12.31.2019	03.31.2020	06.30.2019	09.30.2019	12.31.2019	03.31.2020

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)										131,407	135,783		139,389		141,129
CASH-	OUTFLOWS
		Retail deposits and deposits from
2		small business customers, of which:		248,129	246,553		244,503	239,792				19,389	19,280		19,175		18,848
3		Stable deposits		123,306	125,412		126,794	128,187			6,165	6,271		6,340		6,409
4		Less stable deposits	124,823	121,141		117,709	111,605			13,224	13,009		12,836		12,438
5		Unsecured wholesale funding		173,773	175,873		177,469	177,460				77,959	78,933		79,595		78,936
		Operational deposits (all
6		counterparties) and deposits in
	networks of cooperative banks	49,741	51,153		52,240	53,890			11,663	11,983		12,217		12,588
7		Non-operational deposits (all
	counterparties)	119,246	120,208		121,052	119,802			61,511	62,437		63,201		62,580
8		Unsecured debt	4,786	4,513		4,178	3,768			4,786	4,513		4,178		3,768
9		Secured wholesale funding										11,397	11,219		10,843		10,401
10		Additional requirements		134,995	136,656		136,558	133,174				46,829	47,322		47,599		46,748
		Outflows related to derivative
11		exposures and other collateral
	requirements	30,324	30,481		30,762	30,488			30,110	30,307		30,571		30,300
12		Outflows related to loss of funding	1,593	1,616		1,688	1,459			1,593	1,616		1,688		1,459
	on debt products
13		Credit and liquidity facilities	103,078	104,559		104,109	101,226			15,126	15,399		15,340		14,989
		Other contractual funding
14		obligations		6,708	6,054		6,095	6,246				6,629	5,974		6,006		6,148
15		Other contingent funding obligations		41,988	94,789		143,993	189,160				1,522	2,975		4,731		6,284
16		TOTAL CASH OUTFLOWS										163,725	165,702		167,948		167,365
CASH-INFLOWS
17		Secured lending (eg reverse repos)		56,878	57,520		59,048	60,694				16,285	15,594		15,178		14,761
		Inflows from fully performing
18		exposures		43,348	44,500		44,352	43,066				30,531	31,263		31,259		30,354
19		Other cash inflows		36,466	35,505		35,380	34,369				24,782	23,936		23,974		23,282
		(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		136,691	137,525		138,779	138,130				71,598	70,794		70,410		68,397
EU-20a	Fully exempt inflows		-	-		-	-			-	-		-		-
EU-20b	Inflows Subject to 90% Cap	-	-		-	-			-	-		-		-
EU-20c	Inflows Subject to 75% Cap	120,191	121,697		123,258	123,196			71,598	70,794		70,410		68,397
												TOTAL	TOTAL ADJUSTED VALUE
												ADJUSTED
21		LIQUIDITY BUFFER										131,407	135,783		139,389		141,129
22		TOTAL NET CASH OUTFLOWS										92,127	94,908		97,538		98,968
23		LIQUIDITY COVERAGE RATIO (%)										143%	143%		143%		143%

40UniCredit Group Disclosure as at 31 March 2020 ·Pillar III

UniCredit Group Disclosure | Pillar III

Liquidity Risk

At the end of March 2020, liquidity buffer components mainly consist of governments bonds, amounting to a total of about €86 billion, representing 62% 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.

Funding Strategies

Short Term Funding

The short-term funding activity was characterized by a cyclical pattern in the first two months of 2020, and then by tremendous volatility as the pandemic Covid -19 outbreak appeared.

In the first weeks of the year we saw some renewed interest for our CD/CP coming from usual investors and, later in February some stabilization also in consideration of the low yields offered by the typical instruments of this activity in an environment with abundant liquidity. The whole scenario changed dramatically fast as the first cases of Coronavirus were reported in some western countries: we witnessed a rush for cash that led many Funds to divesting their assets, expectations for huge intervention from Central Banks and national governments mounted, interbank lending activity reduced remarkably in volumes and tenors, spreads on some Government Bonds hit some countries, even though to a lesser extent than in previous financial crisis. Some potential obstacle for some players to get direct and smooth access to all the tools arranged by Central Banks to inject liquidity in the markets, is another factor which have caused a sharp and quote abnormal rise of rates in unsecured segment.

First quarter of the year was extremely volatile on the wave of the spreading of Covid Emergency. During January and February, repo market was overall stable with the excess of liquidity consolidating around 1.7trillion and EONIA ranging around -45bps. All markets found a "comfort" zone for day-by-day activity due to a better circulation of liquidity and a more balanced management of liquidity positions (and tiering multiplier). Italian repo curve remained in the range -40/-46 bps from day-by-day to 1 year maturities, with volumes becoming less significant from 6 months maturities on. Core rates remained very close to the level of the deposit facility.

With the spreading of Covid-emergency, markets turned into risk off mood and started giving high probabilities to an ECB rate cut. Consequently, all repo curves downward shifted to incorporate rate cuts expectations and core-periphery spreads widened. After ECB decision on 12 March 2020 and Lagarde's President speech, the markets reacted negatively with an impact on interbank liquidity, with strong selling pressures on Italy, with a strong richening of core paper. Activity focused on shorter tenors and only after further extraordinary measures of ECB20, repo markets gradually normalized.

At the time being, despite excess of liquidity is above 2 trillion slight liquidity pressures are recorded mainly due to flight-to-liquidity behaviors from market participants. Uncertainties are weighting on Italian repo rates with day-by-day rates at -45/-46bps, 1 month rates at -40bps,1y rates at -30bps. Regarding core markets, rates retraced toward the level of the deposit facility (from -65/-70bps) and are showing slightly negative slopes.

Medium Long Term Funding

In relation to Medium-Long Term Funding, the Group strategy is aimed at maintaining sustainability in terms of market capacity, throughout a balanced and diversified approach.

The broad access to multiple sources of liquidity from across various institutional markets in different geographies allows the Group to maintain a proper level of liquidity while complying with various regulatory requirements.

In particular during the first quarter of 2020 the Group confirmed its ability to access the capital markets, in different formats across the capital structure and from different legal entities, leveraging on the strong support by its global fixed income investor base:

• UniCredit S.p.A. has issued €4.5 billion of different TLAC eligible instruments, in particular:
• • 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.

20 Refer to "Measures issued in the context of the Covid-19 outbreak, provided by the European regulatory authorities and National Member States" section.

Pillar III·UniCredit Group Disclosure as at 31 March 2020 41

UniCredit Group Disclosure | Pillar III

Liquidity Risk

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 has aone-time Issuer's call option exercisable after 5 years subject to regulatory approval; if not called, the coupon will reset at the prevailing 5 years EUR mid-swap rate plus the initial spread. The notes were distributed to different institutional investors' categories, mainly funds (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.;
  • on January 2020, UniCredit S.p.A launched a new issuance of SeniorNon-Preferred notes (dual tranche in both 6NC5 and 10Y maturities) for a total of €2 billion.
• UniCredit Bank AG has executed €1.25 billion of a 12Y Covered Bond;
• UniCredit Bank Austria has executed €500 million of a 10Y Covered Bond.

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	155,798	21.44%	40,051	63,225	3,878	2,938	26,092	4,053	15,562
of which Secured	36,287	4.99%	25,676	6,221	2,694	506	1,003	186	-
Deposits from Customers	468,933	64.54%	406,254	15,451	21,226	8,975	4,462	4,000	8,564
of which Secured	35,958	4.95%	28,514	4,953	2,277	150	63	-	-
Subordinated	13,561	1.87%	50	2,608	255	1,046	78	1,597	7,927
of which Retail	2,683	0.37%	-	2,558	34	15	17	59	-
Senior Unsecured	48,074	6.62%	1,121	490	1,149	2,358	2,527	6,847	33,582
of which Retail	7,522	1.04%	124	122	209	283	508	941	5,337
CD/CP	3,342	0.46%	168	227	1,911	-	989	47	-
of which Retail	52	0.01%	7	-	-	-	-	45	-
Covered Bonds	36,884	5.08%	746	86	162	2,538	1,223	4,422	27,706
ABS	-	-	-	-	-	-	-	-	-
Other	-	-	-	-	-	-	-	-	-
TOTAL	726,593		448,390	82,087	28,582	17,855	35,371	20,966	93,342

Liabilities structure breakdown by currency

								(€ million)
		% ON
INSTRUMENT TYPE	OUTSTANDING	TOTAL	EUR	USD	GBP	CHF	JPY	OTHER
Deposits from Banks	155,798	21.44%	133,348	16,574	862	110	3	4,902
of which Secured	36,257	4.99%	33,117	423	-	-	-	2,717
Deposits from Customers	468,933	64.54%	374,752	25,099	1,113	622	82	67,264
of which Secured	35,958	4.95%	9,502	-	-	-	-	26,455
Subordinated	13,561	1.87%	11,370	2,130	-	-	62	-
of which Retail	2,683	0.37%	2,683	-	-	-	-	-
Senior Unsecured	48,074	6.62%	37,910	8,995	6	146	42	974
of which Retail	7,522	1.04%	7,225	191	-	-	-	106
CD/CP	3,342	0.46%	3,197	146	-	-	-	-
of which Retail	52	0.01%	52	-	-	-	-	-
Covered Bonds	36,884	5.08%	35,769	455	-	-	-	660
ABS	-	-	-	-	-	-	-	-
Other	-	-	-	-	-	-	-	-
TOTAL	726,593		596,346	53,398	1,981	879	188	73,801

42UniCredit Group Disclosure as at 31 March 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 thebuild-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 21", 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). The new G-SIIs requirement shall apply from 1 January 2022.

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

Content

CRR Article 429 defined the leverage ratio as the Bank's capital measure divided by the total exposure and it is expressed ad percentage between:

• Tier 1 Capital;
• the total exposure, calculated as sum of all assets andoff-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 (SFT22)- 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.

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

22 Security Financing Transactions are repurchase transactions, securities or commodities lending or borrowing transactions and margin lending transactions.

Pillar III·UniCredit Group Disclosure as at 31 March 2020 45

UniCredit Group Disclosure | Pillar III

Leverage

Quantitative Information

The following table shows the Leverage Ratio as at 31 March 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			03.31.2020	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)		732,995	753,406
2		(Asset amounts deducted in determining Tier 1 capital)	(3,086)	(3,114)
3		Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets) (sum of lines 1 and 2)	729,909	750,292
		Derivative Exposures
4		Replacement cost associated with all derivatives transactions (ie net of eligible cash variation margin)		18,360	15,535
5		Add-on amounts for PFE associated with all derivatives transactions (mark-to-market method)	21,319	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 accounting
6		framework	-	-
7		(Deductions of receivables assets for cash variation margin provided in derivatives transactions)	(12,550)	(11,100)
8		(Exempted CCP leg of client-cleared trade exposures)	-	-
9		Adjusted effective notional amount of written credit derivatives	5,826	5,547
10		(Adjusted effective notional offsets and add-on deductions for written credit derivatives)	(4,715)	(3,531)
11		Total derivative exposures (sum of lines 4 to 10)	28,240	26,909
		SFT exposures
12		Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions	97,613	94,803
13		(Netted amounts of cash payables and cash receivables of gross SFT assets)	(4,247)	(3,875)
		(Gross amounts of cash payables and cash receivables of gross SFT assets)	93,365	90,928
14		Counterparty credit risk exposure for SFT assets	10,636	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)	104,001	102,925
		Other off-balance sheet exposures
17		Off-balance sheet exposures at gross notional amount	359,979	362,517
18		(Adjustments for conversion to credit equivalent amounts)	(204,824)	(219,324)
		Adjustment for off-balance sheet items (ie conversion to credit equivalent amounts of off-balance sheet exposures)	155,155	143,193
19		Other off-balance sheet exposures (sum of lines 17 to 18)	155,155	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		55,880	56,414
21		Total leverage ratio exposures (sum of lines 3, 11, 16, 19, EU-19a and EU-19b)	1,017,305	1,023,319
		Leverage Ratio
22		Leverage Ratio		5.49%	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	-	-

46UniCredit Group Disclosure as at 31 March 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 31 March 2020 49

UniCredit Group Disclosure | Pillar III

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 Financial Intermediation", the information disclosed in this document corresponds to the document results, books and accounts records.

Milan - 5 May 2020

Stefano Porro

______________________________

Pillar III·UniCredit Group Disclosure as at 31 March 2020 51

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 - 5 May 2020

Stefano Porro

Jean Pierre Mustier

______________________________

______________________________

Pillar III·UniCredit Group Disclosure as at 31 March 2020 53

unicreditgroup.eu