UNICREDIT SOFT BULLET OBG OBBLIGAZIONI BANCARIE GARANTITE Investor - PowerPoint PPT Presentation

UNICREDIT SOFT BULLET OBG OBBLIGAZIONI BANCARIE GARANTITE Investor Presentation September 2015

AGENDA  UNICREDIT: THE GROUP AND COVERED BOND PLATFORM  UNICREDIT OBG PROGRAM: STRUCTURE  THE ORIGINATOR  PORTFOLIO OVERVIEW (as of 30-Jun-15)  ANNEX 2

AGENDA  UNICREDIT: THE GROUP AND COVERED BOND PLATFORM  UNICREDIT OBG PROGRAM: STRUCTURE  THE ORIGINATOR  PORTFOLIO OVERVIEW (as of 30-Jun-15)  ANNEX 3

UniCredit at a glance A clear international profile based on a strong European identity Shareholders’ Structure (1) UniCredit Highlights  Strong local roots in 17 countries  Around 127,000 employees Institutional Investors  About 7,000 branches 33% 41% Stable Shareholder  More than 32,5 mn customers in Europe Retail Miscellaneous and Unidentified  One of the most important banks in Europe 26% Investors with 875 bn total assets  One of the 30 global systemically important banks (G-SIBs) worldwide  Market capitalization ca. 35 bn (2) Main shareholders:  Institutional Investors  CET1 ratio fully loaded at 10.37% in Jun-15, up to 10.84% pro-forma for AFS reserves as of  Retail and Miscellaneous Investors August 5 th and including the Pioneer deal  Stable shareholders (ex. Foundations) (1) Source: UniCredit analysis on Sodali - All data based on ordinary shares as at 28 February 2015. (2) As at 26 h August 2015. 4 (3) Pro-forma assuming the full absorption of DTA on goodwill tax redemption and tax losses carried forward and Pekao minority excess capital calculated with 12% threshold.

UniCredit Covered Bond platform at a glance Unicredit Group is using three Covered Bond platforms  Unicredit has three Covered Bond platforms: Italy, Germany and Austria  Group Covered Bond asset portfolio composed of EUR 82.9 bn, and issues stands at EUR 44.6 bn (54%)* Group CB assets portfolio % Group CB issue outstanding % Italy ( mortgage ) 35,79 43,1% 16,01 35,9% Germany 30,94 37,3% 19,39 43,5% mortgage 24,07 29,0% 14,62 32,8% public sector 6,87 8,3% 4,76 10,7% Austria 16,21 19,5% 9,19 20,6% mortgage 9,06 10,9% 5,3 12,0% public sector 7,15 8,6% 3,8 8,6% Total 82,9 100% 44,6 100% Focus: Obbligazioni Bancarie Garantite (“OBG”) – Soft Bullet Programme  Issued by UniCredit S.p.A, the central issuing entity of the Group  Based on an Italian legislative covered bond framework (Ministry of Finance/Banca d’Italia)  Guaranteed by a pool of residential mortgage loans originated by UniCredit, one market leader in Italy  The Italian real estate market is characterized by low-price volatility, a high portion of first-home financing and low residential mortgage/household indebtedness vs GDP  UCG represents the only Italian Covered Bond Program having a rating of Fitch, Moody’s and S&P  Expected rating and A (Standard & Poors), Aa2 (Moody’s) and AA (Fitch)  Main OBG Cover pool features as of 30 June 2015: 100% Residential Mortgage Loans, Average cLTV 51.13%, average loan amount Eur 86.509, 4,00% delinquent loans and 0.17% cumulative default ratio. * As of 30 June 2015 5

AGENDA  UNICREDIT: THE GROUP AND COVERED BOND PLATFORM  UNICREDIT OBG PROGRAM: STRUCTURE  THE ORIGINATOR  PORTFOLIO OVERVIEW (as of 30-Jun-15)  ANNEX 6

Italian legal framework: Secondary level provisions OBG structure Ministry of Economy and Finance Bank of Italy  Decree 310/06 sets out among others:  Supervisory regulations of 17 May 2007:  Eligibility criteria of the assets in the cover pool  Banks requirements to be an eligible issuer  The substitution/integration of assets  Criteria for the assets evaluation  Over-collateralization levels, contractually agreed by the  Limits of integration with supplemental eligible assets parties (15%)  Internal and external control (Including asset monitor auditing and banks monitoring) Assets eligible for the assignment: Banks requirements:  Residential mortgages with a maximum LTV of 80%  Consolidated regulatory capital of at least EUR 500 mln  Commercial mortgages with a maximum LTV of 60%  Total capital ratio of at least 9%  Loans/securities issued or guaranteed by Public Entities with  Tier 1 ratio of at least 6% the following requirements: Limits of assets assignment to protect unsecured  Located in the EEA or in Switzerland with a maximum risk- creditors from an excessive spoiling of issuing bank net assets: weighting of 20% (Revised Standardized Approach - RSA)  Located outside the EEA and Switzerland (limit of 10% of the Bank Limits (% of cover pool) with a 0% or 20% risk-weighting (RSA) under the ratio eligible assets) standardized approach Total capital ratio >11% Up to 100%  ABS with specific requirements Tier I ratio >7%  At least 95% of the underlying assets represented by eligible Total capital ratio >10% Up to 60% receivables; Tier I ratio >6.5%  No subordination to any other class of issued notes; Total capital ratio >9% Up to 25%  20% risk weighting under the standardized approach, thus Tier I ratio >6% minimum AA rating or equivalent  The transfer of assets is based on a primary legislation (Law 130/99 - art. 7 bis) introduced in May 2005. This governs the true sale segregation of assets. 7

Sound investor protection by legislative framework OBG structure legal segregation OBG SPV UniCredit S.p.A. of mortgage asset / AAA / AAA Segregated cover Issue create senior pool of eligible assets obligation of provide guarantee UniCredit OBG A / Aa2 / AA  The OBG are senior obligations of UniCredit S.p.A. secured by an Italian residential mortgage loan portfolio (the “Portfolio”).  The assets are transferred into a separate company under a sound legislative framework based on true sale asset segregation (Italian 130/99 law). The assets remain under the servicing of Unicredit  OBG Holders are protected by a legally required cover tests (the “Mandatory Tests”) as well as contractual over collateralization. The tests are reviewed by an independent audit firm acting as Asset Monitor  The value of the Portfolio and issuance of OBG is hedged against interest rate risk and currency risk if any OBG issued is not denominated € currency. 8

Detailed Structural Overview OBG structure Issue create senior obligation of UniCredit OBG A/Aa2/AA UniCredit S.p.A. Segregated cover pool (Issuer / Seller / provide guarantee Sub Loan Provider / Assignment of the Portfolio Servicer) UniCredit BpC Asset evaluation Purchase Price Mortgage Srl Asset Monitor monitoring Sub Loan Redemption (OBG Guarantor) Sub Loan proceeds Front and Mirror Front and Mirror OBG Swaps* Portfolio Swaps* UniCredit S.p.A. (Swap counterparty) * Front and Mirror Portfolio Swaps are in place since inception of the programme to hedge fixed interest rate risk. Front and Mirror OBG Swaps are put in place on each OBG new 9 issue; In case of an Issuer Event of Default, only Front Swaps (Portfolio and OBG) will remain in place to fully hedge interest risk on the Portfolio and the OBG.

Issuer event of default* OBG structure Issuer event of default  The Issuer fails to pay any amount of interest and/or principal due and payable on the OBG (and does not remedy within 7 days or 14 days, in case of principal or interest respectively).  An insolvency event or a suspension of payments ex art 74 of the Italian Banking law occurs with respect to the issuer.  A breach of any material obligation under the OBG or the transaction documents by the issuer occurs and it is not remedied within the applicable grace period **.  A breach of any tests occurs and it is not remedied within the applicable grace period ***. consequences Enforcement of the OBG guarantee  Enforcement of the OBG guarantee by serving a Notice to Pay on the Issuer and the OBG Guarantor.  Payment of the guaranteed amounts on the original scheduled dates in accordance with the Conditions and the final terms and the Post-Issuer Event of Default Priority applicable in relation to each series of OBG (i.e. no acceleration of the OBG against the OBG Guarantor).  In case the OBG Guarantor has insufficient funds to repay in full the OBG on the final maturity date, the unpaid amount will automatically be deferred and shall be due and payable within one year.  Disposal of the portfolio will take place in order to pay interest and principal on the OBG according to their original maturity.  OBG Investors maintain an unsecured claim against the Issuer for any unpaid amounts under the OBG, pursuant to article 4(3) of the MEF Decree, however the OBG Guarantor shall be solely responsible for exercising any rights and bringing any claims against the Issuer on behalf of the OBG investors. * For additional information on definitions of terms beginning with capital letter please refer to the terms and conditions of the Prospectus 10 ** Grace period: 30 days from the Notice thereof *** Grace Period: 1 month following the delivery by the calculation agent of a negative report as confirmed by the Asset Monitor