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

UNICREDIT SOFT BULLET OBG OBBLIGAZIONI BANCARIE GARANTITE

Investor Presentation

September 2015

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

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

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UniCredit at a glance A clear international profile based on a strong European identity

(1) Source: UniCredit analysis on Sodali - All data based on ordinary shares as at 28 February 2015. (2) As at 26h August 2015. (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.

Shareholders’ Structure(1)

 Strong local roots in 17 countries  Around 127,000 employees  About 7,000 branches  More than 32,5 mn customers in Europe  One of the most important banks in Europe with 875 bn total assets  One of the 30 global systemically important banks (G-SIBs) worldwide  Market capitalization ca. 35 bn(2)  CET1 ratio fully loaded at 10.37% in Jun-15, up to 10.84% pro-forma for AFS reserves as of August 5th and including the Pioneer deal

UniCredit Highlights

Main shareholders:  Institutional Investors  Retail and Miscellaneous Investors  Stable shareholders (ex. Foundations)

41% 26% 33% Institutional Investors Stable Shareholder Retail Miscellaneous and Unidentified Investors

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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%)*

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

% %

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% Group CB assets portfolio Group CB issue outstanding

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

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Italian legal framework: Secondary level provisions

Ministry of Economy and Finance  Decree 310/06 sets out among others:  Eligibility criteria of the assets in the cover pool  The substitution/integration of assets  Over-collateralization levels, contractually agreed by the parties Bank of Italy  Supervisory regulations of 17 May 2007:  Banks requirements to be an eligible issuer  Criteria for the assets evaluation  Limits of integration with supplemental eligible assets (15%)  Internal and external control (Including asset monitor auditing and banks monitoring)

OBG structure

Assets eligible for the assignment:  Residential mortgages with a maximum LTV of 80%  Commercial mortgages with a maximum LTV of 60%  Loans/securities issued or guaranteed by Public Entities with the following requirements:  Located in the EEA or in Switzerland with a maximum risk- weighting of 20% (Revised Standardized Approach - RSA)  Located outside the EEA and Switzerland (limit of 10% of the cover pool) with a 0% or 20% risk-weighting (RSA) under the standardized approach  ABS with specific requirements  At least 95% of the underlying assets represented by eligible receivables;  No subordination to any other class of issued notes;  20% risk weighting under the standardized approach, thus minimum AA rating or equivalent Banks requirements:  Consolidated regulatory capital of at least EUR 500 mln  Total capital ratio of at least 9%  Tier 1 ratio of at least 6% Limits of assets assignment to protect unsecured creditors from an excessive spoiling of issuing bank net assets: Bank ratio Limits (% of eligible assets) Total capital ratio >11% Tier I ratio >7% Up to 100% Total capital ratio >10% Tier I ratio >6.5% Up to 60% Total capital ratio >9% Tier I ratio >6% Up to 25%  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.

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Sound investor protection by legislative framework

 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.

OBG structure

Issue create senior

• bligation of

UniCredit

/ AAA / AAA

OBG A/ Aa2 / AA OBG SPV

legal segregation

• f mortgage asset

Segregated cover pool of eligible assets provide guarantee

UniCredit S.p.A.

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Detailed Structural Overview

OBG structure

* 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 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.

UniCredit BpC Mortgage Srl (OBG Guarantor) UniCredit S.p.A. (Issuer / Seller / Sub Loan Provider / Servicer)

Issue create senior

• bligation of UniCredit

OBG A/Aa2/AA

Front and Mirror Portfolio Swaps* Segregated cover pool provide guarantee

UniCredit S.p.A. (Swap counterparty) Asset Monitor

Front and Mirror OBG Swaps*

Assignment of the Portfolio Purchase Price Sub Loan proceeds Sub Loan Redemption Asset evaluation monitoring

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Issuer event of default*

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 ***. 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. consequences

OBG structure * For additional information on definitions of terms beginning with capital letter please refer to the terms and conditions of the Prospectus ** 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

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Guarantor event of default*

OBG Guarantor event of default  The OBG Guarantor fails to pay any interest and/or principal due and payable on the OBG Guarantee (and does not remedy within 8 days or 15 days, in case of principal or interest respectively).  An insolvency event occurs with respect to the OBG Guarantor.  A breach of any obligation under the transaction documents by the OBG Guarantor occurs and it is not remedied within the applicable grace period **.  The Amortization Test is breached. Acceleration of the OBG  All amounts due under all series of OBG together with any accrued interest, if applicable, shall become immediately due and payable.  Disposal of the portfolio will take place as quickly as possible.  Proceeds from the liquidation of the cover pool are disbursed to investors in accordance with the Post-Guarantor Event of Default Priority.  OBG Investors have an unsecured claim against the OBG Guarantor and the Issuer for any unpaid amounts under the OBG Guarantee and the OBG. Any rights and claims against the OBG Guarantor and the Issuer shall be exercised and/or brought by the Representative of the OBG holders on behalf of the OBG investors. consequences

OBG structure * For additional information on definitions of terms beginning with capital letter please refer to the terms and conditions of the Prospectus ** Grace period: 30 days from the Notice thereof

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A series of statutory tests provide ongoing asset coverage*

** To be performed only post OBG Guarantor event of default.

Nominal Value Test Net Present Value Interest Coverage Test Over- Collateralization Test Amortization Test ** Interest and other proceeds deriving from the assets being part of the cover pool net of all the costs of the assignee company, are enough to cover the interests and costs due by the issuing bank on the OBG outstanding, taking into account any hedging agreements to cover financial risks entered into in connection with the transaction. The nominal value of the assets constituting the cover pool is at least equal to the nominal amount of the OBG outstanding. The net present value of the assets being part of the cover pool net of all transaction costs of the assignee company, including the expected expenses and the costs of any hedging agreements to cover financial risks, is at least equal to the net present value of the OBG

• utstanding.

For so long as the OBG remain outstanding, the Seller and the Issuer shall procure on a continuing basis that the OBG Guarantor assets adjusted on a conservative way to consider Rating Agencies stresses is at least equal to the nominal amount of the OBG outstanding. The Amortization Test is met if the OBG Guarantor’s assets adjusted on a conservative way to consider the current status of the assets (for example: in arrears receivables or in default receivables) is at least equal to the aggregate Outstanding Principal Balance of the OBG

• utstanding.

* For additional information on how the tests are performed please refer to the Prospectus OBG structure

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Summary of UniCredit OBG program

OBG structure

*As of 30/06/2015

Over collateralization level to be fulfilled in the Programme: 7.5% or such other higher percentage as the Issuer on behalf of the OBG Guarantor shall procure to be determined from time to time in accordance with Rating Agencies’ respective

• methodologies. As of September 2015 the OC level was set at 128.23% in accordance to Rating Agencies requests.

Issuer UniCredit S.p.A. Seller UniCredit S.p.A. Program size EUR 35 bn OBG Guarantor UniCredit BpC Mortgage s.r.l. cover pool/ size 100% Italian residential mortgage loans / EUR 20,8bln + 1,1 bln of substitute assets * Maximum LTV 80% as provided by the OBG Law Maturity Soft bullet with one year extension period Listing/Denomination Luxembourg/ Minimum EUR 100,000 Over-collateralization Test are run monthly to ensure sufficient support Expected ratings A / Aa2/ AA ( S&P/Moody’s/Fitch) Asset monitor Mazars S.p.A. Arranger Corporate and Investment Banking – UniCredit Bank AG (through its London branch) Type of issuance Public Jumbo/Private Placement Governing law Italian Representative of OBG holders Securitisation Services S .p.A. Risk weighting 10% Compliant to EU directive Yes, UCITS and CRD

Rating Overview S&P Moody’s Fitch

UniCredit OBG A Aa2 AA UniCredit Senior A3 / BBB- Outlook negative P-2 / Baa1 Outlook negative F2 / BBB+ Outlook negative

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OBG Issued under UniCredit OBG Program

OBG structure

Name Placed / Retained ISIN Issue Date Maturity Date Nominal Amount Interest Rate Issue Country Serie 1-2009-1 Placed to Market IT0004511959 08/07/09 29/07/16 € 2.000.000.000,00 4,25% Italy Serie 1-2009-2 Placed to Market IT0004511959 20/07/09 29/07/16 € 500.000.000,00 4,25% Italy Serie 2-2009-1 Placed to Market IT0004547409 05/11/09 31/01/22 € 1.000.000.000,00 4,38% Italy Serie 1-2010-1 Placed to Market IT0004638737 09/09/10 31/10/15 € 1.250.000.000,00 2,63% Italy Serie 2-2010-1 Placed to Market IT0004648603 13/10/10 31/10/17 € 1.000.000.000,00 3,38% Italy Serie 1-2011-1 Placed to Market IT0004689433 10/02/11 30/04/23 € 1.250.000.000,00 5,25% Italy Serie 2-2011-1 Placed to Market IT0004734429 16/06/11 31/07/18 € 1.000.000.000,00 4,25% Italy Serie 3-2011-1 Placed to Market IT0004760341 01/09/11 31/10/21 € 1.000.000.000,00 5,00% Italy Serie 1-2012 Placed to Market IT0004846793 23/08/12 31/01/18 € 1.000.000.000,00 4,00% Italy Serie 1-2013 Placed to Market IT0004887078 16/01/13 31/01/20 € 1.000.000.000,00 2,75% Italy Serie 2-2013 Placed to Market IT0004932619 13/06/13 31/01/19 € 1.000.000.000,00 1,88% Italy Serie 3-2013 Placed to Market IT0004957137 03/09/13 31/10/20 € 1.000.000.000,00 2,63% Italy Serie 4-2013 Placed to Market IT0004978125 04/12/13 31/07/24 € 100.000.000,00 3,15% Italy Serie 1-2014 Placed to Market IT0004988538 24/01/14 31/01/17 € 600.000.000,00 Eur3m+0,55% Italy Serie 2-2014 Placed to Market IT0004988553 24/01/14 31/01/24 € 1.000.000.000,00 3,00% Italy Serie 3-2014 Placed to Market IT0005026023 06/06/14 31/07/26 € 75.000.000,00 1,65% Italy Private Placements Placed to Market

• €

231.000.000,00

• Italy

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We target to build up a consistent benchmark curve

 In addition to the well established German and Austrian Pfandbrief curve, the Group has put in place an OBG (Obbligazioni Bancarie Garantite) Programme with subsequent benchmark issues in 5, 7, 10 and 12 years  UCGIM OBG are trading inside (a) the local covered bond market and (b) the respective BTP curve

UniCredit OBG Curve versus Peers (*)

OBG structure

* As of 1 September 2014 Source: UniCredit Research

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

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Italy 50.9 Germany 15.6 CEE 10.8 Austria 11.0 Poland 9.4

UniCredit Group Capacity in Mortgage Banking as of 30st June 2015

 UniCredit Group is acting as a leading player in European mortgage banking being part of our core retail business  UniCredit residential mortgage loan portfolio is well diversified over our European core markets

Unencumbere d Assets in UniCredit S.p.A. balansheet € 9.9 bln Asset used for Market OBG Programme € 20.8 bln CPT OBG Program € 15.1 bln

Total Group: € 98 bln Overall Residential Mortgage Volume – UniCredit Group Estimate of OBG Issue Volume

 The OBG collateral pool is strictly focused on

• ur Italian mortgage portfolio

 Out of the total of € 50.9 bn, € 20.3 bn are segregated as collateral for OBG market issuances.  OBG currently issued: € 15 bn placed to the market  Overall enough collateral to satisfy the OC Commitment

Total Italy: € 50.9 bln

The originator

35% 41% 19% 30% 10%

Asset used in securitizations € 5.1 bln

DA AGGIORNARE

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Main underwriting Criteria and Collection Policies

Residential Mortgage Loans

• The agent fills in the

application form.

• Submission of documentary

evidence (register information, evidence of income, etc.).

• Registration of all the names

involved in the process and validation of the information.

• Scanning of all the documents

and delivery to UniCredit Spa .

• UniCredit Spa checks

that the information provided is in line with the credit policies/requirements*.

• UniCredit Spa

completes the data input in its IT system (EMP).

• UniCredit Spa starts the

credit scoring process.

• UniCredit Spa gives a

preliminary assessment

• n the mortgage
• UniCredit Spa checks

the mortgage and the appraisal along with the Property Valuation and the Preliminary Certified Report (Relazione Notarile Preliminare – “RNP”).

Data Entry Controls Evaluation of Borrower’s Creditworthiness Technical/ Legal Preliminary Analysis

* In the Banking Business the control of the documents is after evaluation of borrower’s creditworthiness.

 Credit approval is carried out solely by UniCredit Spa and all potential borrowers are subject to the same underwriting criteria.  The credit approval process has been developed during the years according to the wide experience of all entities belonging to the former retail division of the UniCredit Group.  Fundamentally it is based on a Credit Scoring Tool and some key Policy Rules.  All information processed comes from a multi-source channel and are checked both internally and by means of credit bureaux.  The internal credit approval procedure completed for the residential mortgage loans originated by UniCredit Spa, also for those included in the Portfolio, follows a 7-step process: 1 2 3 4

Underwriting Process

Underwriting Process

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Electronic Procedure Front End Client Application

Preliminary information about the borrower/ guarantor uploaded into the IT system

Accepted Client (Cliente Desiderato) Rejected Client (Cliente Non Desiderato) Credit Bureaux WHITE RATING (Rating Bianco) BLACK RATING (Rating Nero) Score <= Cut Off Score > Cut Off No Policy Rules Policy Rules Credit Rejected Positive Outcome (Esito Proponibile) Negative Outcome (Esito Nero) Higher Decision Making Bodies

Power Outcome (Esito Facoltá Strutture Crediti.)

Higher Decision Making Bodies Policy Rules Credit Approval (By the relevant deliberating entity) Commercial Network

 The credit scoring system used by UniCredit Spa is composed of the two following elements:  S.E.M. (Strategic Execution Module), based on statistic evaluation (mainly behavioural and social/ demographic variables) which assigns to each potential borrower a credit score. The score can be above a predetermined level (above cut-

• ff: positive output), or below it (below cut-off:

negative output).  Policy Rules, series of credit policy rules.

Delegated Decision Making Bodies within The Network*(Facoltà

strutture Network) Within the limits of their decision-making power.

5 6 7

Main underwriting Criteria and Collection Policies

Residential Mortgage Loans

20

• UniCredit Spa approves the

mortgage.

• The electronic contract is

sent to UBIS / UniCredit Spa for further activities.

• UBIS / UniCredit Spa checks

the documentation received.

• UBIS / UniCredit Spa

performs the census inside its IT systems.

• UBIS / UniCredit Spa

prepares the documentation for the signing and sends it to the Notary Public.

• UBIS / UniCredit Spa receives

the executed copies of the loan agreement.

• UBIS completes the remaining

information required by the system.

• UBIS activates, where

necessary, the Direct Debit in the interbank system.

Approval Completion of the Contract Signing and Disbursement  UBIS (UniCredit Business Integrated Solutions) is the entity belonging to the UniCredit Group specialized in all the administrative and back-office activities, supporting UniCredit Spa with the completion of the process with respect to all the necessary formality.  A copy of all the signed agreements are kept/filed on a separate physical archive and are also scanned/digitalized and saved into UniCredit Spa’s drives.  Regular audits are conducted by UniAudit, the entity of the UniCredit Group in charge of all internal audit activities, which reports directly to the head office.  The process is therefore monitored on an on-going basis and periodical reports certify both the quality of the process and the quality of the information/data input within the system.

Underwriting Process

Main underwriting Criteria and Collection Policies

Residential Mortgage Loans

21 21

• Cu.Re.

Department, trough GEMO IT system, identifies delinquent customer.

• Cu.Re. asks the borrower to

pay the instalment in arrears, contacting him regularly by phone (and tracking this activity).

• Cu.Re. identifies the reasons

for the delay and ascertains the intentions of the client.

• The file is passed to the Adv &

DtD Collection Unit.

• Applying

an asset management approach ADV Collection contacts the customers in order to identify a recovery solution

• Negatives files are managed

by external agencies with two Door to Door collection trial (The second trial is available

• nly on “negatives” of the first

trial).

• The Door to Door Collection

mandates usually last 45 days (extendible to 60).

• The

external agencies can directly collect the amounts due.

• Cu. Re. Department – Analysis &

Default Classification Unit evaluates and classifies as “doubtful” the customer.

• The file is transferred to UCCMB

automatically (UniCredit IT System interfaces with EPC, UCMB’s IT system).

• UCCMB

has a full mandate to represent UniCredit.

• UCCMB

will try to recover the amount without legal recourse.

• If legal recourse is needed, UCCMB

will propose to UniCredit to classify the position as defaulted (“sofferenza”).

• UCCMB mandates can end either

with the complete/partial recovery of the overdue amount.

5 – 105 Days 106 – 270 Days (Extensible to 300d) From the 10th Instalment Overdue

From the Instalment Due Date (Approx) Involved Entities Main Activities

Cu.Re - Soft Collection (1) Cu.Re - Advanced & Door to Door Collection (1) UCCMB (2)

(1) Cu.Re. (Customer Recovery): UniCredit department in charge of the centralised management of arrears, divided into Soft collection Unit and Adv & DtD Collection Unit. (2) UCCMB (UniCredit Credit Management Bank S.p.A.): company 97.81% owned by UniCredit, which centralises the recovery activity of non-performing loans for the UniCredit.

Main underwriting Criteria and Collection Policies

Residential Mortgage Loans

Collection Process

22

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

23

Key parameters of the cover portfolio

 The Portfolio transferred to the OBG Guarantor has been selected and transferred through eight assignments:

• € 6.8 bln as of 01.08.2008,
• € 5.1 bln as of 01.04.2009,
• € 1.9 bln as of 01.03.2011
• € 1.5 bln as of 01.12.2011
• € 5.1 bln as of 01.03.2012
• € 1.6 bln as of 01.10.2012
• € 0.4 bln as of 01.05.2013
• € 4.1 bln as of 15.11.2013

Six revolving portfolios have been selected and transferred:

• €

369 mln as of 01.11.2009,

• € 1,280 mln as of 01.05.2010,
• € 1,200 mln as of 01.03.2011
• € 1,000 mln as of 01.10.2012
• €

630 mln as of 01.03.2013

• €

950 mln as of 16.05.2014

Portfolio Overview

* excluding defaulted loans

Data as of 30th June 2015

Summary 30/06/2015 Originator Unicredit S.p.A. Pool type Dynamic Substitute assets 1,1 bn Total outstanding cover pool 20,8 bn Total number of loans 240.510 Average loan amount 86.509 Weighted average cLTV (current LTV) 51,13% Weighted average seasoning (months) 82,55 Weighted average time to maturity (months) 209,59 Fixed rate loans 24,28% Floating rate loans 65,33% Optional rate loans 7,27% Mixed rate loans 3,12% Weighted Average Spread 1,62% Weighted Average Fixed Rate 5,03%

24 24

Cover pool characteristics: LTV stratification

Portfolio Overview

Note: property value defined as latest full property valuation

25

Portfolio Overview

Cover pool characteristics: regional distribution

Note: list of regions included in the three marco geographical zones

• North: Emilia Romagna, Friuli Venezia Giulia, Liguria, Lombardia, Piemonte, Trentino Alto Adige, Valle d’Aosta, Veneto
• Centre: Abruzzo, Lazio, Marche, Toscana, Umbria
• South: Basilicata, Campania, Calabria, Molise, Puglia, Sardegna, Sicilia

19,98% 11,65% 13,50% 11,32% 9,47% 34,10% 0,00% 10,00% 20,00% 30,00% 40,00% Lombardia Piemonte Lazio Veneto Emilia Romagna Other

Breakdown by region as % of outstanding amount

South; 18% Centre; 24% North; 58%

26

Cover pool characteristics: distribution by size

Portfolio Overview

9,87% 33,98% 32,92% 12,21% 6,61% 4,40% 0% 10% 20% 30% 40%

0 - 50000 50000 - 100000 100000 - 150000 150000 - 200000 200000 - 300000 300000 - over

Breakdown by outstanding amount (all loans) as % of outstanding amount

27

Cover pool characteristics: distribution by seasoning

Annex

Portfolio Overview

0,00% 2,48% 9,34% 24,83% 24,38% 38,96% 0% 10% 20% 30% 40% 50%

0 - 12 12 - 24 24 - 48 48 - 72 72 - 96 96 - over

Breakdown by seasoning (months) as % of outstanding amount

12,43% 13,66% 30,25% 27,56% 13,70% 2,10% 0,28% 0% 10% 20% 30% 40%

0 - 120 120 - 160 160 - 240 240 - 280 280 - 320 320 - 360 360 - over

Breakdown by remaining (months) as % of outstanding amount

28

Cover pool characteristics: breakdown by type of payment

Annex

Portfolio Overview

Monthly; 98,36% Bi-Monthly; 0,01% Quarterly; 1,09% Semi-Annual; 0,54%

Payment Frequency as % of outstanding amount

Cash; 3,63% Direct Debit; 85,55% Standing Order (RID); 10,82%

Payment Type as % of outstanding amount

Floating; 65,33% Fixed; 24,28% Opzionale; 7,27% Modulare; 3,12%

Interest type as % of outstanding amount

29

Cover pool characteristics: distribution by interest rate

Annex

Portfolio Overview

10,28% 8,57% 13,50% 47,96% 19,59% 0,09% 0% 10% 20% 30% 40% 50% 60%

0% - 3% 3% - 4% 4% - 5% 5%- 6% 6% - 7%

• ver 7%

Breakdown by Fixed Interest as % of outstanding amount

11,97% 20,78% 16,34% 23,98% 9,76% 17,17% 0% 10% 20% 30%

0% - 1% 1% - 1,25% 1,25% -1,5% 1,5%- 1,75% 1,75% - 2%

• ver 2%

Breakdown by Floating rate margin as % of outstanding amount

30

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

31

Italy provides well tested asset segregation

 Clear asset segregation by way

• f

true sale asset transfer (law 130/99) – no pledge  True sale transfer is performed by way of public information to borrowers  The Italian legal framework is largely based on the existing Italian securitization law. All features of the law such as the effectiveness

• f

the transfer, the insolvency remoteness, market acceptance etc. have been well tested. The law currently backs the Italian securitization market

Source: vdp, ECBC, UniCredit Global Research

Annex

CAN USA

Asset are transfered to a consolidated subsidiary Asset stay directly with the issuer

16 7

32

Issuing volume is limited by capital thresholds

 Banca d'Italia laid

• ut

comparably strict issuing limits in connection to the capitalization ratios

• f

the issuing banks  Strict issuance limitation in combination with the balanced dimension and measured aggregate size of the Italian mortgage market, will lead to a calm pace of new issuance which avoids excessive supply

Source: vdp, ECBC, UniCredit Global Research

6 13

No Yes CAN USA Total capital Tier 1 ratio Assignment limit Range A ≥11% ≥7% no limitation Range B ≥10% ≥6.5% 60% of eligible assets Range C ≥9% ≥6% 25% of eligible assets Annex

33

Italy provides present value asset tests

 The law requires on mandatory basis a nominal, interest coverage as well as net present value tests  Under the NPV test the net present value of the assets is at least equal to the net present value

• f

the

• utstanding covered bonds.

 On contractual basis UCG provides an Over-collateralization Test and in case

• f

Issuer event

• f

default an Amortization Test.

Source: vdp, ECBC, UniCredit Global Research

10 5 1

Nominal coverage Net present value and nominal value coverage Not compulsory/implicit regulations CAN USA Annex

34

OBG Framework – A cross-country comparison

Annex

Yes No No No Nominal coverage, NPV coverage Yes; Finansinspektionen Regular monitoring of property values Market value 60% 75% EEA OECD Commercial mortgages are capped at 10% of the total pool Up to 20% Yes Common register for mortgage and public collateral. Residential Mortgages, Commercial Mortgages, Public Sector Debt Not applicable No Law of 1 July 2004 Säkerställda Obligationer Sweden Yes No 25% (CH)/43% (CT) No Nominal Coverage Yes; Banco de Espana The examination of property valuations is part of the specific surveillance Mortgage lending value 60% 80% EU EEA No Up to 5% of the amount of outstanding bonds Yes Separate register for mortgage and public collateral. Residential Mortgages, Commercial Mortgages, Public Sector Debt Not applicable No Law of 25 March 1981 (CH) and Law

• f 22 November 2002 (CT) together

with Laws 16/1992, 7/1998, 2 and 3/1994, 44/2002, 36/2003 and 41/2007 Cédulas Hipotecarias (CH), Cédulas Territoriales (CT) Spain Yes Depending on Reg. Capital limit No No Nominal coverage, NPV coverage, cash-flow matching for bonds and assets ≤ 18 months Yes; Banca d'Italia Annually Market value but very conservative 60% 80% EEA and Switzerland EEA and Switzerland Non-EU sovereigns or sub-sovereigns

• max. 10% of the pool

Up to 15% Yes Cover assets remain on the balance sheet but are pledged to a separate entity. Residential Mortgages, Commercial Mortgages, Public Sector Debt, Securitization Notes Not applicable No Legge 130 Art. 7 bis and 7 ter Obbligazioni Garantite Italy Yes Yes Fulfills UCITS 22(4)/CRD No No Issuance Limit 2% NPV 2% Mandatory overcollateralization No No Obligation to replace non-performing loans Nominal coverage, NPV coverage, 180d liq. buffer Not compulsory; implicit regulations; 180d liq. buffer Protection against mismatching Yes; Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin) Yes; Commission Bancaire Special supervision Regular (at least every 2 years) examination of the cover register Annually Valuation check Mortgage lending value Mortgage lending value Basis for valuation 60% 60% LTV barrier commercial 60% 80%; 100% if the loan benefit from the guarantee of the Guarantee Fund for Social Home Ownership (FGAS) LTV barrier residential EEA, Switzerland, USA, Canada and Japan EEA and AAA rated countries Geographical scope for mortgage assets EEA, Switzerland, USA, Canada and Japan EEA, Switzerland, US, Canada and Japan, Australia and New Zealand Geographical scope for public assets No Yes; OFs can only comprise max. 35% of guaranteed loans Restrictions on inclusion of asset classes

• Max. 20%

20% Substitute collateral Yes, 12% of the pool's NPV Yes Inclusion of Hedge Positions Separate register for mortgage, public, ship and aircraft collateral. Common register for mortgage and public collateral in case of SCFs. SFH cannot refinance public sector debt Asset allocation Mortgage loans, public sector debt, ship loans, aircraft loans Mortgage loans, guaranteed housing loans; public sector loans, senior MBS tranches Potential Collateral Not applicable Yes Restrictions on business activities No Yes; SCFs and SFHs Special Banking Principle Laws of 18.7.2005 (Pfandbrief Act) amended in May 2009 Article L. 515 and seq. of the French Monetary and Financial code Legislation Hypothekenpfandbriefe, Öffentliche Pfandbriefe, Schiffspfandbriefe, Flugzeugpfandbriefe Obligations Foncières (OF) Obligations de Financement de l'Habitat (OH) Name of Debt Instrument(s) Germany France (OF and OH) Yes No No No Nominal coverage, NPV coverage Yes; Finansinspektionen Regular monitoring of property values Market value 60% 75% EEA OECD Commercial mortgages are capped at 10% of the total pool Up to 20% Yes Common register for mortgage and public collateral. Residential Mortgages, Commercial Mortgages, Public Sector Debt Not applicable No Law of 1 July 2004 Säkerställda Obligationer Sweden Yes No 25% (CH)/43% (CT) No Nominal Coverage Yes; Banco de Espana The examination of property valuations is part of the specific surveillance Mortgage lending value 60% 80% EU EEA No Up to 5% of the amount of outstanding bonds Yes Separate register for mortgage and public collateral. Residential Mortgages, Commercial Mortgages, Public Sector Debt Not applicable No Law of 25 March 1981 (CH) and Law

• f 22 November 2002 (CT) together

with Laws 16/1992, 7/1998, 2 and 3/1994, 44/2002, 36/2003 and 41/2007 Cédulas Hipotecarias (CH), Cédulas Territoriales (CT) Spain Yes Depending on Reg. Capital limit No No Nominal coverage, NPV coverage, cash-flow matching for bonds and assets ≤ 18 months Yes; Banca d'Italia Annually Market value but very conservative 60% 80% EEA and Switzerland EEA and Switzerland Non-EU sovereigns or sub-sovereigns

• max. 10% of the pool

Up to 15% Yes Cover assets remain on the balance sheet but are pledged to a separate entity. Residential Mortgages, Commercial Mortgages, Public Sector Debt, Securitization Notes Not applicable No Legge 130 Art. 7 bis and 7 ter Obbligazioni Garantite Italy Yes Yes Fulfills UCITS 22(4)/CRD No No Issuance Limit 2% NPV 2% Mandatory overcollateralization No No Obligation to replace non-performing loans Nominal coverage, NPV coverage, 180d liq. buffer Not compulsory; implicit regulations; 180d liq. buffer Protection against mismatching Yes; Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin) Yes; Commission Bancaire Special supervision Regular (at least every 2 years) examination of the cover register Annually Valuation check Mortgage lending value Mortgage lending value Basis for valuation 60% 60% LTV barrier commercial 60% 80%; 100% if the loan benefit from the guarantee of the Guarantee Fund for Social Home Ownership (FGAS) LTV barrier residential EEA, Switzerland, USA, Canada and Japan EEA and AAA rated countries Geographical scope for mortgage assets EEA, Switzerland, USA, Canada and Japan EEA, Switzerland, US, Canada and Japan, Australia and New Zealand Geographical scope for public assets No Yes; OFs can only comprise max. 35% of guaranteed loans Restrictions on inclusion of asset classes

• Max. 20%

20% Substitute collateral Yes, 12% of the pool's NPV Yes Inclusion of Hedge Positions Separate register for mortgage, public, ship and aircraft collateral. Common register for mortgage and public collateral in case of SCFs. SFH cannot refinance public sector debt Asset allocation Mortgage loans, public sector debt, ship loans, aircraft loans Mortgage loans, guaranteed housing loans; public sector loans, senior MBS tranches Potential Collateral Not applicable Yes Restrictions on business activities No Yes; SCFs and SFHs Special Banking Principle Laws of 18.7.2005 (Pfandbrief Act) amended in May 2009 Article L. 515 and seq. of the French Monetary and Financial code Legislation Hypothekenpfandbriefe, Öffentliche Pfandbriefe, Schiffspfandbriefe, Flugzeugpfandbriefe Obligations Foncières (OF) Obligations de Financement de l'Habitat (OH) Name of Debt Instrument(s) Germany France (OF and OH)

35

CONTACTS – UniCredit Group

CFO Department Head of Group Strategic Funding and Portfolio Waleed Banjat El – Amir

• Tel. +39 02 8862 8387

WaleedBanjat.El-Amir@unicredit.eu Head of Term Funding Nicola Gerundino

• Tel. +39 02 8862 2507

nicola.gerundino@unicredit.eu ABS & Covered Bonds Head of ABS & Covered Bonds Luciano Chiarelli

• Tel. +39 02 8862 3253

luciano.chiarelli@unicredit.eu Giorgio Frazzitta

• Tel. +39 02 8862 2260

giorgio.frazzitta@unicredit.eu

UniCredit SpA

Investor Relations Mara Milani

• Tel. +39 02 88620335

mara.milani@unicredit.eu Angelo Di Cresce

• Tel. +39 02 8862 2021

Angelo.DiCresce@unicredit.eu Arianna Raineri

• Tel. +39 02 8862 2692

Arianna.Raineri@unicredit.eu

UniCredit Bank AG CIB

Structuring & Solutions Group Securitised Products - Head of Italy and Southern Europe Paolo Montresor

• Tel. +44 207 826 6502

paolo.montresor@unicredit.eu Andrea Modolo

• Tel. +44 207 826 6505

Andrea.Modolo@unicredit.eu Davide Fiore

• Tel. +44 207 826 6507

Davide.Fiore2@unicredit.eu Debt Capital Markets Global Co-Head of DCM Marco Bales

• Tel. +49 89 378 14001

marco.bales@unicredit.de Global Co-Head of DCM Global Head of Syndication Christian Reusch

• Tel. +49 89 378 12715

christian.reusch@unicredit.de Head of High Grade Syndicate Rüdiger Jungkunz

• Tel. +49 89 378 15885

ruediger.jungkunz@unicredit.de Head of DCM Italy Luca Falco

• Tel. +39 02 8862 0664

luca.falco@unicredit.de UniCredit SpA Group Strategic Funding & Portfolio Piazza Gae Aulenti 20154 Milano Italy

36

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